Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:40 UTC
思科 (CSCO)
标普500 (SPY)
📈 Cumulative Return
30.53%
vs Benchmark 13.00%
📊 Volatility (Ann.)
22.8%
Benchmark 20.0%
*
Disclaimer: This analysis is based on historical data and does not constitute investment advice. Securities markets involve risk; invest cautiously. Data updated T+0.
Ann. Excess Return
18.75%
Beta
0.82
Ann. Alpha
19.28%
Information Ratio
1.16
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 15.02%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 19.28%.
- A low Beta value (0.82) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A high Information Ratio (1.16) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
CSCO
SPY
Excess/Diff.
Total Return
30.53%
13.00%
17.53%
Annualized Return
34.07%
15.32%
18.75%
Risk Metrics
Metric
CSCO
SPY
Ratio/Diff.
Annualized Volatility
22.77%
20.05%
1.14x
Max Drawdown
17.46%
18.76%
0.93x
Sharpe Ratio
1.36
0.61
0.75
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.82
Lower than market
Low Volatility
Annualized Alpha
19.28%
Positive Alpha
Good
Information Ratio
1.16
High IR
Excellent
Correlation Coeff.
0.72
Moderately Correlated
Clear Link
R-Squared
52.14%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
84.99%
Captures part of up moves
Down Capture Ratio
66.01%
Falls less than market