Stock vs. Benchmark Comparison
Data updated: 2025-05-06 20:51 UTC
Moderna (MRNA)
标普500 (SPY)
📈 Cumulative Return
-77.83%
vs Benchmark 13.00%
📊 Volatility (Ann.)
68.1%
Benchmark 20.0%
⚠️ 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
-87.39%
Beta
1.11
Ann. Alpha
-76.19%
Information Ratio
-1.36
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 140.91%.
- The stock showed negative stock selection ability, with an annualized Alpha of -76.19%.
- A Beta value (1.11) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-1.36) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
MRNA
SPY
Excess/Diff.
Total Return
-77.83%
13.00%
-90.83%
Annualized Return
-72.07%
15.32%
-87.39%
Risk Metrics
Metric
MRNA
SPY
Ratio/Diff.
Annualized Volatility
68.14%
20.05%
3.40x
Max Drawdown
85.30%
18.76%
4.55x
Sharpe Ratio
-1.10
0.61
-1.72
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.11
Similar to market
Medium Volatility
Annualized Alpha
-76.19%
Negative Alpha
Poor
Information Ratio
-1.36
Low IR
Poor
Correlation Coeff.
0.33
Low Correlation
Weak Link
R-Squared
10.71%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
28.39%
Captures part of up moves
Down Capture Ratio
173.07%
Falls more than market