Description of Cisco Systems

Cisco Systems, Inc. - Common Stock

Statistics of Cisco Systems (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (65.8%) in the period of the last 5 years, the total return of 129.5% of Cisco Systems is greater, thus better.
  • During the last 3 years, the total return, or increase in value is 76%, which is greater, thus better than the value of 48.8% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of 18.1% in the last 5 years of Cisco Systems, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.6%)
  • During the last 3 years, the annual performance (CAGR) is 20.8%, which is greater, thus better than the value of 14.2% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Cisco Systems is 22.3%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 22.1% is larger, thus worse.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:
  • Looking at the downside volatility of 23.7% in the last 5 years of Cisco Systems, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
  • Looking at downside deviation in of 24.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.6%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Which means for our asset as example:
  • Looking at the risk / return profile (Sharpe) of 0.7 in the last 5 years of Cisco Systems, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.6)
  • Compared with SPY (0.91) in the period of the last 3 years, the Sharpe Ratio of 0.83 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.66 in the last 5 years of Cisco Systems, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.54)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.74, which is smaller, thus worse than the value of 0.8 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (4.03 ) in the period of the last 5 years, the Downside risk index of 6.37 of Cisco Systems is greater, thus worse.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 5.74 is greater, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Cisco Systems is -23.1 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -20.3 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of Cisco Systems is 314 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days under water in of 116 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Which means for our asset as example:
  • Looking at the average days under water of 63 days in the last 5 years of Cisco Systems, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 29 days is smaller, thus better.

Performance of Cisco Systems (YTD)

Historical returns have been extended using synthetic data.

Allocations of Cisco Systems
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Allocations

Returns of Cisco Systems (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Cisco Systems are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.