CRAI’s Upside Edge Masks a Triple‑Flag Storm

Strong upside potential meets deep drawdowns and high‑vol volatility

CRAI CRA International, 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

CRA International, Inc. (CRAI) — Return Performance

CRAI delivered a mixed return profile over the past five years, posting strong long‑term gains but notable short‑term weakness. Over the 5‑year horizon the stock rose 79.42%, outpacing its sector ETF by 7.61% and delivering a modest 3.08% excess versus the broader market. However, the most recent 1‑month gain of 5.02% was accompanied by an even larger sector outperformance (alpha 7.61%), while the 3‑month, 6‑month and 12‑month periods were all negative, with alpha lagging the sector by 23.09%, 35.26% and 41.04% respectively.

Period Returns vs S&P 500 & XLI

Monthly Returns Heatmap

CRAI

The stock generated positive alpha in the very short term (1M) but has underperformed its sector across all intermediate horizons (3M to 2Y), indicating a divergence between recent price weakness and longer‑term momentum. The 5‑year total return of 79.42% reflects robust cumulative performance, yet the negative alpha over the 3‑year period (-19.31%) suggests that sector strength has been a primary driver of gains.

Returns Overview

CRA International, Inc. (CRAI) — Return Charts

Volatility Analysis

CRA International, Inc. (CRAI) — Volatility Profile

CRA International exhibits markedly higher price variability than the broader market, with an annualized volatility of 38.37% versus the S&P 500's 17.78%, indicating more than double the fluctuation in its share price. The firm’s downside risk is pronounced: a downside deviation of 29.74% and a historical max drawdown of -60.74% over a roughly one‑year period (January 2020 to March 2020) highlight vulnerability during market stress, though recovery took nearly a full year, underscoring prolonged downside exposure. Recent short‑term volatility remains elevated; the 60‑day vol of 41.62% exceeds the long‑term average of 38.37%, while the 252‑day vol of 37.05% sits slightly below the annualized figure, suggesting a modest tapering but still above benchmark levels.

Volatility Metrics

CRAI

CRA International's volatility profile is substantially higher than the S&P 500, reflecting a riskier price trajectory for investors. The downside deviation of 29.74% signals that negative returns are more extreme than the market average, and the -60.74% max drawdown—spanning roughly 11 months from peak to trough and another 10 months to recovery—demonstrates both depth and duration of loss potential. While the 60‑day volatility is currently above its long‑term average, indicating heightened near‑term risk, the 252‑day measure has slipped marginally below the annualized level, offering a slight moderation in medium‑term fluctuations.

Annualized volatility of CRAI (38.37%) is more than twice that of the S&P 500 (17.78%).
Downside deviation (29.74%) exceeds typical market downside risk, pointing to larger negative swings.
Maximum drawdown of -60.74% lasted nearly a year from peak to trough and required another ten months for full recovery.
Current 60‑day volatility (41.62%) is above the long‑term average, while 252‑day volatility (37.05%) is slightly below it.

Positive Characteristics
The 252‑day volatility has begun to converge toward the long‑term average, indicating a potential easing of short‑term pressure.
Despite high overall volatility, the firm recovered from its deepest drawdown, showing resilience over an extended horizon.

Volatility Analysis

CRA International, Inc. (CRAI) — Volatility & Drawdown Charts

Beta & Correlation

CRA International, Inc. (CRAI) — Beta Profile

CRA International (CRAI) exhibits a trailing beta of 0.868 versus the S&P 500, placing it squarely in the market‑like range (0.8–1.2). This indicates that the stock moves roughly in line with overall market movements but with slightly less volatility, offering a modest defensive tilt relative to pure market exposure. The upside beta of 0.751 and downside beta of 0.986 reveal an asymmetric risk profile: CRAI tends to under‑react on market rallies while falling almost one‑for‑one with market declines, a pattern that heightens downside sensitivity for risk‑averse investors. The R-squared of 0.162 (correlation 0.402) shows that only about 16% of CRAI’s price variance is explained by broad market factors, leaving roughly 84% driven by idiosyncratic forces. Consequently, the stock provides a strong diversification benefit within a portfolio dominated by market‑linked assets. When benchmarked against its sector (XLI), CRAI’s sector beta of 0.845 and sector correlation of 0.431 suggest that sector dynamics account for slightly less than half of its total systematic exposure, underscoring that company‑specific drivers dominate both the market and industry components.

Beta & Correlation Metrics

CRAI

The trailing beta of 0.868 signals a modestly defensive stance, meaning CRAI is expected to underperform in strong bull markets but also to cushion losses during downturns relative to the S&P 500. However, the pronounced downside beta (0.986) nearly matches a market move of one‑to‑one, indicating that on negative market days the stock’s losses may be comparable to broader market declines, eroding some of its defensive appeal. The low R-squared (16.2%) and high idiosyncratic risk share (83.8%) illustrate that CRAI’s price action is driven largely by firm‑specific factors such as consulting contract wins, client concentration, and earnings guidance rather than macro or sector trends. This characteristic enhances its role as a diversifier but also means investors must monitor company‑level developments closely.

Trailing beta of 0.868 places CRAI in the market‑like range with a slight defensive bias.
Downside beta (0.986) exceeds upside beta (0.751), indicating greater sensitivity to market declines than rallies.
R-squared of 16.2% means only a small fraction of price movements are explained by the S&P 500, offering strong diversification potential.
Systematic risk accounts for 16.2% of total variance while idiosyncratic risk dominates at 83.8%.
Sector beta (0.845) is marginally lower than market beta, showing that sector exposure contributes less to overall systematic risk than broader market movements.

Positive Characteristics
Low market beta and modest defensive profile reduce volatility in rising markets.
High idiosyncratic component provides diversification benefits for portfolios heavily weighted to market‑linked assets.
Sector correlation (0.431) is lower than market correlation, indicating limited contagion from industrial sector shocks.

Beta & Correlation

CRA International, Inc. (CRAI) — Rolling Beta

Positive Notes

Low market beta and modest defensive profile reduce volatility in rising markets.

High idiosyncratic component provides diversification benefits for portfolios heavily weighted to market‑linked assets.

Sector correlation (0.431) is lower than market correlation, indicating limited contagion from industrial sector shocks.

Risk-Adjusted Returns

CRA International, Inc. (CRAI) — Risk-Adjusted Performance

CRA International (CRAI) delivers modest risk‑adjusted returns relative to conventional benchmarks. A Sharpe ratio of 0.49 falls well below the 1.0 threshold that signals a favorable trade‑off between total volatility and excess return, indicating that the stock’s risk premium is limited when measured against its overall variability. However, the Sortino ratio of 0.632 exceeds the Sharpe figure, suggesting that downside volatility is lower than total volatility and that investors are being compensated more efficiently for adverse price movements.

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

Risk-Adjusted Metrics

CRAI

The Calmar ratio of 0.369 reflects a modest return relative to the worst historical drawdown, implying that periods of loss have been relatively severe compared with the average annualized gain. An Information Ratio of 0.274 signals that the stock has generated positive alpha, but the magnitude is below the 0.5 level typically associated with consistent outperformance by active managers. The Treynor ratio of 21.667 indicates a high return per unit of systematic risk (beta), which can be attractive for investors focused on market‑related exposure rather than total volatility.

Sharpe ratio (0.49) is below the desirable >1.0 benchmark, indicating limited excess return per unit of total risk.
Sortino ratio (0.632) exceeds Sharpe, highlighting a more favorable downside‑risk profile.
Calmar ratio (0.369) points to significant drawdown severity relative to average returns.
Information Ratio (0.274) suggests modest but positive alpha generation, falling short of the >0.5 consistency threshold.
Treynor ratio (21.667) shows strong compensation for systematic risk exposure.

Positive Characteristics
Sortino ratio above Sharpe indicates resilience to downside volatility.
Positive Information Ratio confirms the presence of some manager‑driven alpha.

Risk-Adjusted Returns

CRA International, Inc. (CRAI) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe indicates resilience to downside volatility.

Positive Information Ratio confirms the presence of some manager‑driven alpha.

Market Regime Analysis

CRA International, Inc. (CRAI) — Regime Behavior

CRA International (CRAI) demonstrates a pronounced sensitivity to market volatility, delivering its strongest returns in calm up‑trends (Bull‑LowVol) where it averages 3.48% per month over 63 months. In the current Bull‑HighVol environment, monthly performance moderates to an average of 2.15%, reflecting a reduction in upside capture as investors demand higher risk premiums. The firm’s defensive characteristics become evident during bear markets: it still generates modest gains of 2.03% in Bear‑LowVol periods, but turns negative (-2.17%) when both the market is falling and volatility spikes, indicating vulnerability to stress scenarios.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

CRAI

In Bull‑LowVol regimes CRAI’s upside capture of 117.7% translates into outperformance relative to the S&P 500, while its downside capture remains low at 76.5%, yielding a capture ratio of 1.54—a strong asymmetric risk profile. During Bull‑HighVol periods the firm still captures 117.7% of market gains but the heightened volatility compresses absolute returns to 2.15% per month, suggesting that price appreciation is tempered by broader market uncertainty. In Bear‑LowVol conditions CRAI’s ability to post positive monthly returns (2.03%) underscores its partial defensive nature, yet in Bear‑HighVol regimes the negative average of -2.17% indicates that extreme stress erodes its upside advantage.

Market Regime Analysis

CRA International, Inc. (CRAI) — Regime & Capture Charts

Regime Timeline

CRAI’s capture ratio of 1.54 reflects a robust ability to participate in market rallies while limiting losses during downturns.
The firm’s performance drops noticeably when volatility rises, even if the market remains bullish, highlighting sensitivity to risk premiums.
Defensive traits are evident in Bear‑LowVol regimes where CRAI still delivers positive returns, but it struggles in volatile bear markets.

Positive Characteristics
High upside capture (117.7%) and low downside capture (76.5%) provide an attractive asymmetric return profile.
Positive monthly returns in both Bull‑LowVol and Bear‑LowVol regimes demonstrate resilience across market cycles.

Investment Highlights & Risk Summary

CRA International, Inc. (CRAI) — Summary & Implications

CRA International (CRAI) delivered a 1‑year total return of -22.04%, lagging the S&P 500 by 41.04% and underperforming its industrials peer group (XLI) by an identical margin. The stock’s annualized volatility of 38.37% and a maximum drawdown of -60.74% signal substantial price swings and capital loss risk, while a beta of 0.868 suggests slightly lower systematic exposure than the market. On the upside, CRAI captured 117.7% of S&P gains versus only 76.5% of downside moves, yielding an asymmetric risk profile that may appeal to investors seeking higher participation in rally markets with limited downside sensitivity. However, a Sharpe ratio of 0.49 and Sortino of 0.632 fall well below the commonly cited threshold of 1.0 for attractive risk‑adjusted returns, indicating modest excess return per unit of risk.

Summary Dashboard

Investment Highlights

Upside capture of 117.7% demonstrates that CRAI participates more fully in market rallies than the broader S&P 500.
Downside capture of 76.5% reflects a muted response to market declines, providing a built‑in defensive tilt relative to the index.
Beta of 0.868 indicates lower overall systematic risk, which can reduce portfolio volatility when combined with higher beta assets.
Sortino ratio of 0.632, while modest, exceeds the simple downside capture metric and shows that returns above the target threshold are generated more efficiently than losses.

Risk-Return Rankings

CRAI HIGH

High volatility and deep drawdown dominate a profile of modest risk‑adjusted returns despite attractive upside capture.

Strength: Strong upside capture (117.7%) with limited downside participation (76.5%).

Concern: Maximum drawdown of -60.74% signals severe capital loss potential.

Key Takeaways

CRAI’s asymmetric capture ratio (>1.0) suggests it may add upside exposure without proportionally increasing downside risk.
The Sharpe (0.49) and Sortino (0.632) ratios indicate that the stock does not currently deliver compelling excess returns for its level of risk.
A beta below 1 reduces market‑related volatility, but the high absolute volatility (38.37%) still makes the stock volatile in dollar terms.
Sector underperformance of -41.01% versus XLI highlights a relative weakness that could persist if industrial trends remain unfavorable.

PORTFOLIO IMPLICATIONS

For investors constructing diversified portfolios, CRAI can serve as an opportunistic tilt toward higher upside capture within the industrials space, particularly in environments where equity markets are expected to rise sharply. However, its high volatility and historic drawdown warrant pairing with low‑beta or defensive assets—such as utilities or consumer staples—to temper overall portfolio risk. The asymmetric downside beta (0.99 down vs 0.75 up) suggests that while the stock may not exacerbate market declines dramatically, it still carries significant tail‑risk that must be managed through position sizing and active monitoring.

CRAI

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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.

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