Moderna (MRNA)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return, or increase in value of % of Moderna is lower, thus worse.
• Looking at total return in of 118.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (47%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the compounded annual growth rate (CAGR) of % in the last 5 years of Moderna, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11%)
• During the last 3 years, the annual performance (CAGR) is 29.8%, which is higher, thus better than the value of 13.7% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The volatility over 5 years of Moderna is %, which is smaller, thus better compared to the benchmark SPY (21.4%) in the same period.
• Looking at volatility in of 74.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.7%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Moderna is %, which is lower, thus better compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 48.3% is larger, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.4) in the period of the last 5 years, the Sharpe Ratio of of Moderna is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.37, which is smaller, thus worse than the value of 0.6 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of in the last 5 years of Moderna, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
• Looking at downside risk / excess return profile in of 0.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.84).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (9.45 ) in the period of the last 5 years, the Ulcer Index of of Moderna is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 49 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of days of Moderna is lower, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -75.8 days is smaller, thus worse.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (351 days) in the period of the last 5 years, the maximum time in days below previous high water mark of days of Moderna is lower, thus better.
• Looking at maximum days below previous high in of 453 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (351 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average days below previous high of days of Moderna is lower, thus better.
• Looking at average time in days below previous high water mark in of 153 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (101 days).