Stock vs. Benchmark Comparison
Data updated: 2025-09-23 22:19 UTC
思科 (CSCO)
标普500 (SPY)
📈 Cumulative Return
35.31%
vs Benchmark 18.57%
📊 Volatility (Ann.)
22.4%
Benchmark 19.4%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
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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
18.00%
Beta
0.87
Ann. Alpha
17.69%
Information Ratio
1.22
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 13.84%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 17.69%.
- A Beta value (0.87) close to 1 indicates the stock's volatility is similar to the market.
- The stock's risk level is similar to the benchmark index.
- A high Information Ratio (1.22) 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
35.31%
18.57%
16.74%
Annualized Return
38.88%
20.88%
18.00%
Risk Metrics
Metric
CSCO
SPY
Ratio/Diff.
Annualized Volatility
22.38%
19.43%
1.15x
Max Drawdown
17.46%
18.76%
0.93x
Sharpe Ratio
1.60
0.92
0.68
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.87
Similar to market
Medium Volatility
Annualized Alpha
17.69%
Positive Alpha
Good
Information Ratio
1.22
High IR
Excellent
Correlation Coeff.
0.76
Moderately Correlated
Clear Link
R-Squared
57.51%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
98.53%
Captures part of up moves
Down Capture Ratio
81.40%
Falls less than market