Stock vs. Benchmark Comparison
Data updated: 2025-09-26 20:29 UTC
Moderna (MRNA)
标普500 (SPY)
📈 Cumulative Return
-61.51%
vs Benchmark 16.58%
📊 Volatility (Ann.)
65.2%
Benchmark 19.4%
⚠️ 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
-71.35%
Beta
1.23
Ann. Alpha
-61.60%
Information Ratio
-1.17
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 91.26%.
- The stock showed negative stock selection ability, with an annualized Alpha of -61.60%.
- 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 (-1.17) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
MRNA
SPY
Excess/Diff.
Total Return
-61.51%
16.58%
-78.10%
Annualized Return
-52.51%
18.85%
-71.35%
Risk Metrics
Metric
MRNA
SPY
Ratio/Diff.
Annualized Volatility
65.22%
19.45%
3.35x
Max Drawdown
64.82%
18.76%
3.46x
Sharpe Ratio
-0.85
0.81
-1.67
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.23
Higher than market
High Volatility
Annualized Alpha
-61.60%
Negative Alpha
Poor
Information Ratio
-1.17
Low IR
Poor
Correlation Coeff.
0.37
Low Correlation
Weak Link
R-Squared
13.38%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
102.52%
Outperforms in up markets
Down Capture Ratio
212.28%
Falls more than market