Moderna Total Risk Alpha
| MRNA Stock | | | USD 48.54 -0.25 -0.51% |
Total Risk Alpha measures the excess return of an asset after comparing its performance to a benchmark portfolio matched to the same total risk level. Unlike Jensen Alpha, which adjusts for systematic risk (beta) only, Total Risk Alpha accounts for total volatility. Below is Moderna's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
Moderna carries a Total Risk Alpha of 0.2477, consistent with positive alpha — return above what market exposure alone would predict. Moderna has generated modest excess return beyond what its systematic risk exposure explains.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | 0.2477 | |
| ER[a] | = | Expected return on investing in Moderna |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Moderna |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
The peer group averages -0.1 for Total Risk Alpha, with Moderna at 0.2477 falling above that level. Readings span -1.4115 (Atrium Therapeutics Common) to 0.6958 (Revolution Medicines). Moderna has generated more excess return relative to its market exposure than the peer group average.
Total Risk Alpha Relative To Other Indicators
The chart below plots Total Risk Alpha against Maximum Drawdown for Moderna and its peers. Each point represents one equity — position along the horizontal axis shows Total Risk Alpha while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Moderna's Maximum Drawdown of
23.48 runs about
94.79 times its Total Risk Alpha of
0.25 . This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Moderna.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for Moderna is 0.2477. Total Risk Alpha for Moderna is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Moderna operates in the health care sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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