Stock vs. Benchmark Comparison
Data updated: 2025-06-21 17:48 UTC
思科 (CSCO)
标普500 (SPY)
📈 Cumulative Return
48.60%
vs Benchmark 9.73%
📊 Volatility (Ann.)
23.2%
Benchmark 20.5%
*
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
40.77%
Beta
0.84
Ann. Alpha
38.92%
Information Ratio
2.57
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 30.94%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 38.92%.
- A low Beta value (0.84) 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 (2.57) 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
48.60%
9.73%
38.87%
Annualized Return
52.83%
12.06%
40.77%
Risk Metrics
Metric
CSCO
SPY
Ratio/Diff.
Annualized Volatility
23.17%
20.49%
1.13x
Max Drawdown
17.46%
18.76%
0.93x
Sharpe Ratio
2.15
0.44
1.71
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.84
Lower than market
Low Volatility
Annualized Alpha
38.92%
Positive Alpha
Good
Information Ratio
2.57
High IR
Excellent
Correlation Coeff.
0.74
Moderately Correlated
Clear Link
R-Squared
55.03%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
95.09%
Captures part of up moves
Down Capture Ratio
62.05%
Falls less than market