Stock vs. Benchmark Comparison
Data updated: 2025-08-13 06:47 UTC
Moderna (MRNA)
标普500 (SPY)
📈 Cumulative Return
-69.79%
vs Benchmark 22.08%
📊 Volatility (Ann.)
65.9%
Benchmark 19.8%
⚠️ 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
-87.14%
Beta
1.21
Ann. Alpha
-71.36%
Information Ratio
-1.42
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 119.58%.
- The stock showed negative stock selection ability, with an annualized Alpha of -71.36%.
- A high Beta value (1.21) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-1.42) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
MRNA
SPY
Excess/Diff.
Total Return
-69.79%
22.08%
-91.87%
Annualized Return
-62.57%
24.57%
-87.14%
Risk Metrics
Metric
MRNA
SPY
Ratio/Diff.
Annualized Volatility
65.88%
19.83%
3.32x
Max Drawdown
73.71%
18.75%
3.93x
Sharpe Ratio
-1.00
1.09
-2.08
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.21
Higher than market
High Volatility
Annualized Alpha
-71.36%
Negative Alpha
Poor
Information Ratio
-1.42
Low IR
Poor
Correlation Coeff.
0.36
Low Correlation
Weak Link
R-Squared
13.30%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
82.04%
Captures part of up moves
Down Capture Ratio
218.42%
Falls more than market