Red drop shadow faded during export

I apply a red glow on an object (rectangle) on an black background.

When  exported as JPEG or PDF, the red glow color faded become greyish. 
I check that it's same when I turn the proof colors on.

I've change different modes for the drop shadow but none gives the correct result.

This only happens in CMYK mode. When exported as RGB, it's fine.

 

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