Stock vs. Benchmark Comparison
Data updated: 2025-06-21 16:30 UTC
Moderna (MRNA)
标普500 (SPY)
📈 Cumulative Return
-80.57%
vs Benchmark 9.73%
📊 Volatility (Ann.)
67.9%
Benchmark 20.5%
⚠️ 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
-87.59%
Beta
1.23
Ann. Alpha
-78.74%
Information Ratio
-1.38
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 151.16%.
- The stock showed negative stock selection ability, with an annualized Alpha of -78.74%.
- A high Beta value (1.23) 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 (-1.38) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
MRNA
SPY
Excess/Diff.
Total Return
-80.57%
9.73%
-90.29%
Annualized Return
-75.53%
12.06%
-87.59%
Risk Metrics
Metric
MRNA
SPY
Ratio/Diff.
Annualized Volatility
67.92%
20.49%
3.32x
Max Drawdown
82.81%
18.76%
4.42x
Sharpe Ratio
-1.16
0.44
-1.60
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.23
Higher than market
High Volatility
Annualized Alpha
-78.74%
Negative Alpha
Poor
Information Ratio
-1.38
Low IR
Poor
Correlation Coeff.
0.37
Low Correlation
Weak Link
R-Squared
13.72%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
55.31%
Captures part of up moves
Down Capture Ratio
208.57%
Falls more than market