Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:05 UTC
思科 (CSCO)
标普500 (SPY)
📈 Cumulative Return
48.69%
vs Benchmark 19.31%
📊 Volatility (Ann.)
23.0%
Benchmark 20.2%
*
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
31.06%
Beta
0.89
Ann. Alpha
28.24%
Information Ratio
2.14
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 22.65%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 28.24%.
- A Beta value (0.89) 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 (2.14) 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
48.69%
19.31%
29.38%
Annualized Return
52.86%
21.81%
31.06%
Risk Metrics
Metric
CSCO
SPY
Ratio/Diff.
Annualized Volatility
22.99%
20.17%
1.14x
Max Drawdown
17.46%
18.75%
0.93x
Sharpe Ratio
2.17
0.93
1.24
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.89
Similar to market
Medium Volatility
Annualized Alpha
28.24%
Positive Alpha
Good
Information Ratio
2.14
High IR
Excellent
Correlation Coeff.
0.78
Moderately Correlated
Clear Link
R-Squared
61.09%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
102.60%
Outperforms in up markets
Down Capture Ratio
77.47%
Falls less than market