Cimpress’s High‑Alpha Surge Meets a Quartet of Risk Flags

Why the bull‑run may stall as historic drawdowns resurface in a volatile regime

CMPR Cimpress plc

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

Cimpress plc (CMPR) — Return Performance

Cimpress plc (CMPR) delivered a highly volatile return profile over the past five years, with extreme swings between periods of strong outperformance and notable underperformance relative to the Communication Services sector ETF (XLC). The stock posted an impressive 101.17% total return over the last year, generating alpha of 82.17% versus the sector, while its three‑year horizon turned negative, delivering -12.78% total return and a steep -84.6% alpha, highlighting a sharp long‑term divergence.

Period Returns vs S&P 500 & XLC

Monthly Returns Heatmap

CMPR

In the short term (1‑month to 1‑year), CMPR produced robust positive alpha, most notably a 29.52% three‑month gain with 16.42% sector‑adjusted outperformance and a 41.99% six‑month return generating 34.13% alpha. Conversely, the two‑year and five‑year windows show pronounced underperformance, with total returns of only 7.92% (alpha -27.30%) and -12.78% (alpha -84.60%), indicating that recent momentum has not been sustainable over longer horizons.

Returns Overview

Cimpress plc (CMPR) — Return Charts

Volatility Analysis

Cimpress plc (CMPR) — Volatility Profile

Cimpress plc exhibits markedly higher price fluctuations than the broader market, with an annualized volatility of 52.31% compared to the S&P 500's 17.78%, indicating more than three times the typical equity risk. The stock’s downside profile is pronounced: a downside deviation of 37.4% and an historic maximum drawdown of -88.74% over a 4.5‑year period underscore severe loss potential during adverse market regimes. While short‑term volatility remains elevated—60‑day vol at 46.37% and 252‑day vol at 45.22%, both above the long‑run average of 52.31%—the persistence of high volatility suggests that risk has not yet abated.

Volatility Metrics

CMPR

Cimpress's annualized volatility of 52.31% is roughly three times the S&P 500 benchmark, reflecting a highly speculative price trajectory. The downside deviation of 37.4% signals that negative returns are substantially larger than positive ones on a risk‑adjusted basis, and the -88.74% max drawdown—spanning from March 2018 to October 2022 with no full recovery—highlights prolonged vulnerability to market stress. Both the 60‑day (46.37%) and 252‑day (45.22%) volatilities sit below the long‑term average, indicating a modest short‑term cooling but still well above market norms.

Annualized volatility is >3× S&P 500, denoting high equity risk.
Downside deviation of 37.4% points to asymmetric loss potential.
Maximum drawdown of -88.74% persisted for over four years without recovery.
Current 60‑day and 252‑day volatilities are lower than the long‑run average, suggesting a slight short‑term easing.

Positive Characteristics
Short‑term volatility has moderated relative to its historical peak, offering a marginally less turbulent near‑term outlook.
Despite high overall risk, the recent dip in trailing vol may provide an entry point for investors comfortable with elevated downside exposure.

Volatility Analysis

Cimpress plc (CMPR) — Volatility & Drawdown Charts

Beta & Correlation

Cimpress plc (CMPR) — Beta Profile

Cimpress plc exhibits a trailing beta of 1.404 versus the S&P 500, placing it in the aggressive category (>1.2) and indicating that its equity price tends to amplify broad market movements by roughly 40%. The upside beta (1.501) exceeds the downside beta (1.464), suggesting slightly higher sensitivity on rising markets than on falling ones—a nuance that risk‑aware investors monitor for asymmetric exposure. With an R-squared of 22.8% and a correlation of 0.477 to the market, only about one‑quarter of Cimpress’s price variance is explained by overall market swings, leaving roughly three‑quarters driven by idiosyncratic factors. The sector beta of 1.101 versus the Communication Services index (XLC) shows that while the stock is more volatile than its peer group, the bulk of its risk stems from company‑specific drivers rather than sector dynamics; the sector correlation of 0.417 and sector R² of 17.4% reinforce this view. Consequently, diversification benefits are pronounced, as most of Cimpress’s return profile is not tightly linked to either the broad market or its industry benchmark.

Beta & Correlation Metrics

CMPR

Cimpress’s market beta of 1.404 signals an aggressive risk posture, meaning a 1% move in the S&P 500 historically translates into a 1.4% move in the stock. The higher upside beta (1.501) relative to downside beta (1.464) implies that gains may be amplified more than losses during market rallies, offering modest upside capture but also heightened exposure when markets surge. However, the low R-squared of 22.8% indicates that most price movements are not explained by market factors, underscoring a strong idiosyncratic component. When benchmarked against its sector, the beta drops to 1.101 and sector R² falls to 17.4%, confirming that sector-specific shocks account for an even smaller slice of variance. Investors can therefore expect diversification benefits: the stock’s performance is driven largely by company‑specific fundamentals rather than broad market or sector trends.

Trailing beta of 1.404 classifies Cimpress as aggressive, amplifying market moves.
Upside beta (1.501) exceeds downside beta (1.464), indicating asymmetric risk with stronger upside sensitivity.
R-squared of 22.8% shows only a quarter of variance is market‑driven; 77.2% is idiosyncratic.
Sector beta of 1.101 and sector R² of 17.4% reveal that sector exposure contributes less to overall risk than company‑specific factors.
Low market and sector correlations (0.477 and 0.417) enhance diversification potential.

Positive Characteristics
High idiosyncratic component provides diversification benefits for portfolio construction.
Upside beta > downside beta suggests the stock may capture more upside in bullish environments.

Beta & Correlation

Cimpress plc (CMPR) — Rolling Beta

Positive Notes

High idiosyncratic component provides diversification benefits for portfolio construction.

Upside beta > downside beta suggests the stock may capture more upside in bullish environments.

Risk-Adjusted Returns

Cimpress plc (CMPR) — Risk-Adjusted Performance

Cimpress plc delivers modest risk‑adjusted performance as reflected by a Sharpe ratio of 0.228, well below the benchmark threshold of 1.0 that denotes attractive excess return per unit of total volatility. The Sortino ratio of 0.32 exceeds the Sharpe figure, indicating that downside volatility is lower than overall volatility and the stock’s risk profile is skewed toward less severe losses. However, other metrics such as the Calmar ratio (0.176) and Information Ratio (0.06) suggest limited compensation for drawdown risk and only marginal consistency in generating alpha relative to a benchmark.

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

Risk-Adjusted Metrics

CMPR

Cimpress’s Sharpe of 0.228 signals that the equity provides just over two percent annual excess return per unit of total risk, which is insufficient for most risk‑averse investors. The higher Sortino ratio (0.32) points to a relatively benign downside environment, meaning losses have been less volatile than overall price movements. Nevertheless, the Calmar ratio of 0.176 implies that the average annualized return is only about 18 percent of the maximum historical drawdown, highlighting vulnerability during market stress. The Information Ratio of 0.06 falls far short of the 0.5 benchmark for consistent outperformance, indicating that any active management advantage has been minimal.

Sharpe ratio is well below 1.0, reflecting weak excess return relative to total volatility.
Sortino exceeds Sharpe, suggesting a favorable downside risk profile.
Calmar ratio of 0.176 indicates returns are modest compared with the severity of past drawdowns.
Information Ratio of 0.06 shows limited consistent alpha generation.
Treynor ratio of 8.513 is unusually high, but without a comparable beta figure its interpretive value is constrained.

Positive Characteristics
Downside volatility is relatively low, as evidenced by the Sortino ratio surpassing the Sharpe ratio.
The Treynor ratio suggests that, on a purely systematic risk basis, the stock has delivered a high return per unit of market exposure.

Risk-Adjusted Returns

Cimpress plc (CMPR) — Rolling Sharpe & Sortino

Positive Notes

Downside volatility is relatively low, as evidenced by the Sortino ratio surpassing the Sharpe ratio.

The Treynor ratio suggests that, on a purely systematic risk basis, the stock has delivered a high return per unit of market exposure.

Market Regime Analysis

Cimpress plc (CMPR) — Regime Behavior

Cimpress plc exhibits markedly different return characteristics depending on the prevailing market regime. In bullish environments the stock outperforms, delivering an average monthly gain of 2.03% during calm uptrends (Bull-LowVol) and accelerating to 3.30% when volatility is elevated (Bull-HighVol). Conversely, its performance deteriorates sharply in bearish settings: modest upside of only 0.33% per month in orderly declines (Bear-LowVol) and a pronounced negative return of -3.66% during volatile downturns (Bear-HighVol). The firm’s upside capture of 126.1% indicates it participates strongly in market rallies, yet its downside capture of 152.3% signals heightened sensitivity to market drops, resulting in a net capture ratio of 0.83, below the ideal threshold of 1.0.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

CMPR

During Bull-HighVol periods—currently the prevailing regime—the stock’s average monthly return of 3.30% suggests it thrives on heightened market excitement, likely driven by its growth-oriented business model and sensitivity to consumer spending trends. However, the elevated downside capture (152.3%) means that any shift toward a bear environment could quickly erode gains, as evidenced by the -3.66% average in Bear-HighVol months. The modest 0.33% return in Bear-LowVol regimes underscores limited defensive qualities; Cimpress does not provide meaningful protection when markets decline calmly.

Market Regime Analysis

Cimpress plc (CMPR) — Regime & Capture Charts

Regime Timeline

Cimpress delivers strong upside participation, with an upside capture of 126.1%, exceeding the S&P 500’s benchmark of 100%.
The downside capture of 152.3% reveals that the stock loses value more quickly than the broader market during declines.
In volatile bear markets (Bear-HighVol) the company posts a steep -3.66% average monthly loss, highlighting vulnerability to risk-off sentiment.
The current Bull-HighVol regime aligns with the firm’s highest historical return period (3.30% avg), supporting short‑term upside potential.
A capture ratio of 0.83 indicates that overall risk-adjusted performance lags the market, as more downside is captured than upside.

Positive Characteristics
Robust upside capture suggests the stock can amplify gains during market rallies.
The highest average return occurs in Bull-HighVol conditions, which matches today’s environment.

Investment Highlights & Risk Summary

Cimpress plc (CMPR) — Summary & Implications

Cimpress plc delivered a spectacular 101.17% total return over the past year, generating an alpha of 82.17% versus the S&P 500 and outpacing its communication services sector by 97.58%. The stock’s upside capture of 126.1% indicates it participates strongly in market rallies, but this benefit is offset by a downside capture of 152.3%, meaning losses are amplified when the broader market falls. Risk metrics reveal elevated concerns: annualized volatility of 52.31% and a maximum drawdown of -88.74% underscore the potential for large capital swings, while a Sharpe ratio of 0.228 signals modest excess return per unit of risk. Investors should weigh the high absolute returns against the pronounced downside asymmetry and extreme drawdown history when considering exposure to Cimpress.

Summary Dashboard

Investment Highlights

One-year total return of 101.17% demonstrates exceptional price appreciation.
Alpha of 82.17% versus the S&P 500 shows strong outperformance on a risk-adjusted basis relative to the broad market.
Sector alpha of 97.58% indicates the company has beaten its communication services peers by a wide margin.
Upside capture of 126.1% reflects that the stock captures more than the full gain of market rallies.

Risk-Return Rankings

CMPR HIGH

Very high return potential but accompanied by extreme volatility and drawdown risk.

Strength: Outstanding absolute return (101.17% YTD) and market outperformance (Alpha 82.17%).

Concern: Deep maximum drawdown of -88.74% and high downside capture (152.3%).

Key Takeaways

Cimpress offers outsized upside in bullish market environments, as evidenced by its strong upside capture.
The stock’s volatility (52.31%) and historic drawdown (-88.74%) place it among the riskier names in the sector.
Sharpe ratio of 0.228 indicates that excess returns are modest relative to the level of risk taken.
Investors should be prepared for significant downside risk, as the company captures 152% of market losses.

PORTFOLIO IMPLICATIONS

Cimpress may serve as a high-conviction growth tilt within a diversified portfolio, suitable for investors seeking aggressive upside and willing to accept large drawdowns. Pairing it with lower‑beta, low‑volatility holdings can help temper overall portfolio risk, while its strong sector outperformance can add incremental return potential when communication services equities are in favor.

CMPR

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Report written 2026-06-07 • Finexus

Disclaimer

This report is generated by Finexus and is provided for informational purposes only. It does not constitute investment advice, a recommendation, or an offer or solicitation to buy or sell any security.

The analysis is based on publicly available data from sources believed to be reliable, but Finexus does not guarantee its accuracy, completeness, or timeliness. Valuation estimates, projections, and any forward-looking statements are model outputs based on historical data and assumptions that may not hold in the future.

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