A Land‑Bank’s Long‑Lagging Recovery Meets a New Bull‑High‑Vol Surge

Why Alexander & Baldwin’s historic drawdowns and current volatility raise caution for the coming year

ALEX Alexander & Baldwin, Inc.

In this report

01

Returns Overview

Period returns, alpha, cumulative performance, distributions

P. 2-3

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02

Volatility Analysis

Annualized volatility, downside deviation, drawdowns

P. 4-5

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03

Beta & Correlation

Trailing, upside, downside beta, systematic risk

P. 6-7

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04

Risk-Adjusted Returns

Sharpe, Sortino, Calmar, Information, Treynor

P. 8-9

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05

Market Regime Analysis

Bull/bear behavior, capture ratios

P. 10-11

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06

Investment Highlights & Risk Summary

Executive summary, risk flags, rankings

P. 12-13

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Returns Overview

Alexander & Baldwin, Inc. (ALEX) — Return Performance

Alexander & Baldwin, Inc. delivered a mixed return profile over the past five years, with notable strength in the medium term. The stock posted a 52.23% total return over five years, but its alpha versus the Real Estate sector ETF (XLRE) was negative at -19.59%, indicating underperformance relative to peers despite absolute gains. In contrast, shorter horizons showed sporadic outperformance: a 14.57% six‑month gain generated +6.71% alpha, while the one‑year return of 23.97% produced +4.98% alpha, suggesting periods where the company capitalized on sector tailwinds before reverting to lagging performance in longer windows.

Period Returns vs S&P 500 & XLRE

Monthly Returns Heatmap

ALEX

The stock generated positive alpha in the 6‑month (+6.71%) and 1‑year (+4.98%) horizons, reflecting short‑term momentum that outpaced the XLRE benchmark. However, over 2‑year, 3‑year and 5‑year periods the company lagged the sector by -13.82%, -4.55% and -19.59% respectively, indicating a divergence between recent gains and longer‑term underperformance. The one‑month return was flat (0.24%) with a modest +2.83% alpha, but the three‑month period turned negative (-12.13% alpha), highlighting volatility in short‑term relative performance.

Returns Overview

Alexander & Baldwin, Inc. (ALEX) — Return Charts

Volatility Analysis

Alexander & Baldwin, Inc. (ALEX) — Volatility Profile

Alexander & Baldwin, Inc. (ALEX) exhibits markedly higher price variability than the broader market, with an annualized volatility of 36.46% versus the S&P 500's 17.78%, indicating more than double the typical price swings. The stock's downside risk is pronounced: a downside deviation of 24.01% and a historic maximum drawdown of -69.34% over a two‑year period (December 2017 to March 2020) underscore substantial vulnerability during market stress, with no full recovery to prior peaks as of the latest data. Recent short‑term volatility (60‑day at 2.53%) sits below its long‑term average, while the 252‑day figure of 41.31% exceeds the historical annualized level, suggesting a recent uptick in risk that investors should monitor.

Volatility Metrics

ALEX

The stock's volatility profile is considerably more aggressive than the benchmark, reflecting its exposure to cyclical real‑estate and agricultural assets. Downside deviation of 24.01% signals that negative returns are more extreme than the overall market, and the -69.34% max drawdown—lasting roughly 27 months without a full rebound—highlights significant tail risk. While the 60‑day volatility of 2.53% is modest relative to its long‑term average, the 252‑day volatility at 41.31% surpasses the historical annualized figure, indicating heightened recent price swings that could affect short‑term investors.

ALEX's annualized volatility of 36.46% is more than double the S&P 500’s 17.78%, denoting a high‑risk profile.
Downside deviation stands at 24.01%, indicating larger negative return dispersion compared with the market.
The maximum drawdown of -69.34% over a 27‑month period reflects severe downside exposure and an incomplete recovery.
Short‑term (60‑day) volatility is subdued at 2.53%, but 252‑day volatility has risen to 41.31%, above its long‑run average.

Positive Characteristics
Recent 60‑day volatility is relatively low, offering a short‑term window of reduced price turbulence.
The stock’s high volatility can provide larger upside potential for risk‑tolerant investors during market recoveries.

Volatility Analysis

Alexander & Baldwin, Inc. (ALEX) — Volatility & Drawdown Charts

Beta & Correlation

Alexander & Baldwin, Inc. (ALEX) — Beta Profile

Alexander & Baldwin, Inc. (ALEX) exhibits a trailing beta of 1.03 versus the S&P 500, placing it squarely in the market‑like range (0.8‑1.2). This suggests that over the trailing period the stock has moved in step with broader equity markets, neither providing strong defensive shelter nor amplifying market swings. However, the upside beta of 1.02 versus a downside beta of 1.206 reveals an asymmetry: the stock tends to fall more sharply than it rises when the market turns lower, indicating heightened sensitivity to adverse market moves and a potential drag on performance during downturns. The R‑squared of 0.253 (25.3%) indicates that roughly one quarter of ALEX’s price variance is explained by movements in the S&P 500, leaving about 74.7% driven by idiosyncratic factors. Consequently, diversification benefits remain substantial because most of the stock’s risk is not market‑derived. When benchmarked against its sector (XLRE), the sector beta of 0.972 and sector correlation of 0.533 show that ALEX tracks real‑estate dynamics closely, but still derives a sizable portion of its variance from company‑specific drivers. The split between systematic (25.3%) and idiosyncratic risk underscores that while market exposure is modest, the firm’s performance is largely dictated by internal or micro‑sectoral factors.

Beta & Correlation Metrics

ALEX

The market beta of 1.03 signals a neutral stance relative to broad equity movements, but the pronounced downside beta (1.206) flags greater vulnerability during bearish periods. Investors should monitor macro‑economic headwinds that could trigger sector stress, as the stock’s downside sensitivity may exacerbate losses. The modest R‑squared and high idiosyncratic share suggest that company‑specific events—such as land development outcomes or REIT conversion dynamics—will dominate price behavior, offering both diversification potential and unique risk exposure.

Trailing market beta of 1.03 places ALEX in a market‑like risk profile.
Downside beta (1.206) exceeds upside beta (1.02), indicating asymmetric downside sensitivity.
Only 25.3% of price variance is explained by the S&P 500, leaving 74.7% idiosyncratic.
Sector beta of 0.972 shows near‑par exposure to real‑estate sector movements.
Systematic risk (25.3%) is modest; most risk stems from company‑specific factors.

Positive Characteristics
Beta close to 1 provides familiar market exposure without extreme leverage.
High idiosyncratic component offers diversification benefits for portfolios seeking non‑market drivers.
Sector beta near unity ensures the stock participates in real‑estate sector upside while retaining company‑specific upside potential.

Beta & Correlation

Alexander & Baldwin, Inc. (ALEX) — Rolling Beta

Positive Notes

Beta close to 1 provides familiar market exposure without extreme leverage.

High idiosyncratic component offers diversification benefits for portfolios seeking non‑market drivers.

Sector beta near unity ensures the stock participates in real‑estate sector upside while retaining company‑specific upside potential.

Risk-Adjusted Returns

Alexander & Baldwin, Inc. (ALEX) — Risk-Adjusted Performance

Alexander & Baldwin, Inc. (ALEX) delivers modest risk-adjusted returns over the observed period. With a Sharpe ratio of 0.19, the stock generates only a small excess return per unit of total volatility relative to the risk‑free rate of 3.63%, falling well short of the >1.0 threshold that signals attractive risk‑adjusted performance. However, its Sortino ratio of 0.288 exceeds the Sharpe figure, indicating that downside volatility is lower than overall volatility and that the equity’s return profile is somewhat protected against adverse moves.

Risk-free rate: 3.63% (Fed Funds Rate)

Risk-Adjusted Metrics

ALEX

The Calmar ratio of 0.152 reflects a relatively weak relationship between annualized returns and the maximum historical drawdown, suggesting that periods of loss have been sizable compared with the modest upside achieved. An Information Ratio of -0.05 signals that active management has underperformed its benchmark on a risk‑adjusted basis, offering little evidence of consistent alpha generation. The Treynor ratio of 6.721 appears high, but because it is expressed in percentage points per unit of systematic risk (beta), the figure alone does not offset the low Sharpe and negative Information metrics; investors should view the elevated Treynor with caution given the overall weak risk‑adjusted profile.

Sharpe ratio of 0.19 indicates limited excess return relative to total volatility.
Sortino ratio exceeds Sharpe, highlighting a more favorable downside risk characteristic.
Calmar ratio of 0.152 points to significant drawdown severity versus modest returns.
Negative Information Ratio (-0.05) suggests underperformance against the benchmark on a risk‑adjusted basis.
Treynor ratio is high numerically but does not compensate for weak overall risk‑adjusted metrics.

Positive Characteristics
Sortino ratio above Sharpe shows that downside volatility is relatively contained.
Treynor ratio indicates that the stock has generated return per unit of systematic risk, albeit modest in absolute terms.

Risk-Adjusted Returns

Alexander & Baldwin, Inc. (ALEX) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe shows that downside volatility is relatively contained.

Treynor ratio indicates that the stock has generated return per unit of systematic risk, albeit modest in absolute terms.

Market Regime Analysis

Alexander & Baldwin, Inc. (ALEX) — Regime Behavior

The analysis of Alexander & Baldwin, Inc. across distinct market regimes reveals a nuanced performance profile. In bull markets, the stock delivers solid returns, though its average monthly gain diminishes from 1.96% in calm uptrends (Bull‑LowVol) to 1.71% when volatility spikes (Bull‑HighVol). During bear periods, the company’s equity experiences sharper declines, yet losses are less severe in turbulent downturns (Bear‑HighVol) at –1.86% versus –2.86% in orderly declines (Bear‑LowVol). The upside capture of 91.7% and downside capture of 94.4% generate a capture ratio of 0.97, indicating that the stock tracks the market closely on both sides but leans slightly more toward downside risk.

Current Market Regime: Bull-HighVol

Bull-LowVol = calm uptrend • Bull-HighVol = volatile uptrend • Bear-LowVol = orderly decline • Bear-HighVol = crisis

Regime Returns & Capture Ratios

ALEX

Alexander & Baldwin demonstrates modest resilience in volatile environments; its average return remains positive during Bull‑HighVol periods, suggesting that the business can sustain earnings amid market turbulence. However, the higher downside capture relative to upside (94.4% vs 91.7%) signals a defensive weakness: the stock tends to fall slightly more than the S&P 500 in bear regimes, especially when volatility is low. The current Bull‑HighVol regime aligns with its stronger historical performance (1.71% average), implying that recent market conditions may support continued incremental gains, albeit at a slower pace than in calmer bull markets.

Market Regime Analysis

Alexander & Baldwin, Inc. (ALEX) — Regime & Capture Charts

Regime Timeline

The stock’s upside capture of 91.7% falls short of the ideal >100%, indicating it does not fully participate in market rallies.
Downside capture exceeds upside capture (94.4% vs 91.7%), yielding a capture ratio below 1.0 and reflecting modest vulnerability in down markets.
Performance deteriorates noticeably in Bear‑LowVol regimes, with an average monthly loss of –2.86%, highlighting sensitivity to orderly market declines.
In the current Bull‑HighVol regime, historical averages suggest continued positive but muted returns (1.71% per month).
The capture ratio of 0.97 confirms that the stock’s movements are closely tied to overall market swings, offering limited asymmetric upside.

Positive Characteristics
Maintains positive average returns even in high‑volatility bull markets.
Downside loss is less severe during Bear‑HighVol periods (–1.86%) compared with Bear‑LowVol declines.
Capture ratio close to parity (0.97) indicates predictable behavior relative to the benchmark.

Investment Highlights & Risk Summary

Alexander & Baldwin, Inc. (ALEX) — Summary & Implications

Alexander & Baldwin (ALEX) delivered a strong 1‑year total return of 23.97%, generating an absolute alpha of 4.98% versus the S&P 500 and a sector‑adjusted alpha of 14.04% against the XLRE real estate index. However, this outperformance comes with elevated risk: annualized volatility of 36.46% far exceeds the market’s ~17%, and the stock has experienced a historic maximum drawdown of -69.34%. Risk metrics reflect modest compensation for that risk – a Sharpe ratio of 0.19 and Sortino of 0.288 indicate limited excess return per unit of total or downside volatility. The capture profile further underscores asymmetry, with upside capture at 91.7% but downside capture at 94.4%, meaning the stock tends to lose more on market declines than it gains on advances. Investors should weigh the attractive relative returns against the deep drawdown history and unfavorable risk‑adjusted metrics when considering exposure over the next 6–18 months.

Summary Dashboard

Investment Highlights

1Y total return of 23.97% outpaces the S&P 500’s roughly 19% gain, delivering a positive absolute alpha of 4.98%.
Sector alpha of 14.04% indicates that ALEX has significantly outperformed its real‑estate peers in XLRE over the past year.
Beta of 1.03 suggests near‑market sensitivity, providing exposure to broader equity moves without excessive leverage.
Upside capture of 91.7% shows that the stock participates in most market rallies, albeit slightly below the market.

Risk-Return Rankings

ALEX ELEVATED

High return with strong sector outperformance but marked by extreme volatility and deep drawdowns.

Strength: Sector alpha of +14.04% versus XLRE.

Concern: Maximum historical drawdown of -69.34% and low Sharpe (0.19).

Key Takeaways

ALEX’s absolute and sector‑adjusted returns are compelling relative to peers, but risk compensation is weak.
Volatility at 36.46% more than double the S&P 500 implies larger price swings that may not suit risk‑averse investors.
The downside capture of 94.4% exceeds upside capture, indicating a bias toward losses in market downturns.
Low risk‑adjusted metrics (Sharpe 0.19, Sortino 0.288) suggest limited excess return per unit of risk.

PORTFOLIO IMPLICATIONS

Given its elevated risk profile, ALEX may serve as a satellite position for investors seeking real‑estate exposure with upside potential beyond the sector average, but it should be balanced with lower‑volatility assets to temper overall portfolio drawdown risk. Pairing ALEX with defensive holdings that exhibit low beta and higher Sharpe ratios can improve the aggregate risk‑adjusted return while preserving diversification across real‑estate sub‑segments.

ALEX

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Report written 2026-06-07 • Finexus

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