A Two‑Year Drawdown Lingers as the Stock Enters a Bull‑High‑Vol Phase

Why First Commonwealth’s historic slump raises risk concerns despite current upside momentum

FCF First Commonwealth Financial Corporation

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

First Commonwealth Financial Corporation (FCF) — Return Performance

First Commonwealth Financial Corporation delivered modest positive returns across all horizons, but its ability to generate alpha relative to the sector ETF varied markedly over time. While short‑term performance (1‑month) was flat with a -0.5% sector‑adjusted return despite a 3.49% raw gain, longer intervals showed stronger outperformance, notably a 45.21% total return and +9.99% alpha over the past two years and a 64.6% total return with a -1.31% alpha over three years, indicating that its excess returns are not consistent across all periods.

Period Returns vs S&P 500 & XLF

Monthly Returns Heatmap

FCF

The stock generated positive raw returns in every window but produced meaningful sector‑adjusted outperformance only in the 2‑year (+9.99% alpha) and 5‑year (+4.19% alpha) horizons, suggesting that its long‑term fundamentals may be more compelling than short‑term catalysts. In contrast, the 1‑month and 3‑month periods showed negative alphas of -0.5% and -4.4%, respectively, highlighting a short‑term divergence where market dynamics outweighed company‑specific drivers.

Returns Overview

First Commonwealth Financial Corporation (FCF) — Return Charts

Volatility Analysis

First Commonwealth Financial Corporation (FCF) — Volatility Profile

First Commonwealth Financial Corporation (FCF) exhibits markedly higher price variability than the broader market, with an annualized volatility of 31.71% versus the S&P 500's 17.78%, indicating that its stock moves roughly 1.8 times as much on a yearly basis. The downside risk profile is pronounced: a downside deviation of 22.51% reflects substantial loss‑side fluctuations, and the historical maximum drawdown of -57.57% spanned from July 2018 to May 2020—a 22‑month decline before full recovery in November 2021—highlighting vulnerability during market stress periods. Recent short‑term volatility (60‑day at 16.77%) sits below the long‑term annualized level, while the trailing 252‑day figure of 22.77% remains elevated relative to the S&P 500, suggesting that current price swings are moderating but still above benchmark norms.

Volatility Metrics

FCF

FCF's volatility is substantially higher than the market benchmark, with a 31.71% annualized figure versus 17.78% for the S&P 500, implying greater price swings and heightened risk exposure. The downside deviation of 22.51% and a max drawdown depth of -57.57% over a 22‑month period underscore significant loss potential during adverse market regimes. While the 60‑day volatility (16.77%) is lower than both its long‑term average and the S&P 500, the 252‑day trailing volatility remains high at 22.77%, indicating that recent risk has eased but the stock still trades with above‑average variability.

FCF's annualized volatility is 78% higher than the S&P 500, reflecting a more aggressive price profile.
Downside deviation of 22.51% signals pronounced loss‑side risk relative to market norms.
The historic max drawdown of -57.57% persisted for nearly two years, illustrating vulnerability in prolonged downturns.
Short‑term (60‑day) volatility is currently subdued at 16.77%, below the long‑term average and the benchmark.
Trailing 252‑day volatility remains elevated at 22.77%, indicating that risk has not fully normalized.

Positive Characteristics
Recent 60‑day volatility has softened, suggesting a temporary reduction in price turbulence.
The stock has demonstrated full recovery from its deepest drawdown, showing resilience over longer horizons.

Volatility Analysis

First Commonwealth Financial Corporation (FCF) — Volatility & Drawdown Charts

Beta & Correlation

First Commonwealth Financial Corporation (FCF) — Beta Profile

First Commonwealth Financial Corporation (FCF) exhibits a trailing beta of 0.984 versus the S&P 500, placing it squarely in the market‑like range (0.8‑1.2). This suggests that on average the stock moves almost one‑for‑one with broad market fluctuations, offering neither pronounced defensive cushioning nor aggressive leverage. However, its sector beta of 1.076 relative to the Financial Services index (XLF) indicates a modestly higher sensitivity to sector‑specific dynamics, meaning that movements in the banking and insurance subsector will impact FCF more than the overall market does.

Beta & Correlation Metrics

FCF

The upside beta of 0.984 versus downside beta of 0.987 are virtually identical, implying symmetric exposure to positive and negative market moves; risk managers should not expect a protective bias during market rallies or heightened vulnerability in downturns. An R-squared of 30.4% with the S&P 500 shows that less than one‑third of FCF’s price variance is explained by broad market movements, leaving roughly 70% driven by idiosyncratic factors such as loan portfolio performance and regional economic conditions. The higher sector correlation (0.738) and sector R² (54.5%) indicate that more than half of the stock’s variability stems from financial‑sector trends, underscoring the importance of monitoring banking‑industry health alongside macro cues.

Trailing market beta of 0.984 classifies FCF as a market‑like equity, not defensive nor aggressive.
Sector beta (1.076) exceeds market beta, revealing greater exposure to financial‑sector swings than to the broader market.
Upside and downside betas are essentially equal (0.984 vs 0.987), indicating symmetric risk on both market directions.
R-squared of 30.4% versus the S&P 500 highlights a dominant idiosyncratic component (69.6%) in price movements.
Sector R² of 54.5% shows that over half of the stock’s variance is tied to sector dynamics, making sector monitoring critical.

Positive Characteristics
Symmetric upside/downside beta reduces surprise volatility during market regime shifts.
High idiosyncratic share (69.6%) offers diversification benefits for portfolios heavily weighted toward broad market exposure.

Beta & Correlation

First Commonwealth Financial Corporation (FCF) — Rolling Beta

Positive Notes

Symmetric upside/downside beta reduces surprise volatility during market regime shifts.

High idiosyncratic share (69.6%) offers diversification benefits for portfolios heavily weighted toward broad market exposure.

Risk-Adjusted Returns

First Commonwealth Financial Corporation (FCF) — Risk-Adjusted Performance

First Commonwealth Financial Corporation (FCF) delivers modest risk-adjusted returns relative to conventional benchmarks. With a Sharpe ratio of 0.347, the stock generates approximately 34.7% of the excess return per unit of total volatility that a market portfolio would be expected to deliver, well below the >1.0 threshold for strong performance. However, its Sortino ratio of 0.489 exceeds the Sharpe figure, indicating that downside volatility is lower than overall volatility and that the equity’s return profile is less penalized by adverse price movements.

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

Risk-Adjusted Metrics

FCF

FCF ranks first (and only) in this single‑company review for risk-adjusted performance, though its absolute metrics suggest limited upside relative to the risk-free rate of 3.63%. The Calmar ratio of 0.254 reflects a modest return-to-drawdown relationship; a worst drawdown of roughly four times the annualized return signals vulnerability during market stress. The Information Ratio of 0.07 falls short of the 0.5 benchmark, implying that any active management or alpha generation is weak and not consistently outpacing the relevant benchmark.

Sharpe ratio (0.347) signals low excess return per unit of total risk.
Sortino ratio (0.489) > Sharpe, showing a relatively favorable downside‑risk profile.
Calmar ratio (0.254) indicates that returns are small compared to the maximum historical drawdown.
Information Ratio (0.07) suggests limited consistency in generating alpha above the benchmark.

Positive Characteristics
The Sortino ratio exceeds the Sharpe, highlighting that downside volatility is less pronounced than overall volatility.

Risk-Adjusted Returns

First Commonwealth Financial Corporation (FCF) — Rolling Sharpe & Sortino

Positive Notes

The Sortino ratio exceeds the Sharpe, highlighting that downside volatility is less pronounced than overall volatility.

Market Regime Analysis

First Commonwealth Financial Corporation (FCF) — Regime Behavior

First Commonwealth Financial Corporation (FCF) demonstrates modestly higher returns in bullish environments, delivering an average monthly return of 2.53% during Bull‑HighVol periods and 2.22% in Bull‑LowVol periods. The incremental edge in the volatile uptrend suggests that the bank’s loan portfolio and fee income can benefit from heightened market activity without sacrificing performance. In bear markets the stock is more resilient than many peers, posting a -0.9% average return when volatility is low and limiting losses to -2.22% when volatility spikes, reflecting defensive characteristics typical of regional banks with conservative balance sheets.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

FCF

During Bull‑HighVol regimes, FCF’s upside capture of 97.9% closely tracks the S&P 500 while still generating a slight premium return, indicating that its earnings are relatively insulated from market turbulence. In Bear‑LowVol periods the downside capture falls to 82.7%, meaning the stock loses less than the broader market during orderly declines, reinforcing its defensive profile. The more adverse Bear‑HighVol environment widens the gap between upside and downside capture (ratio of 1.18), suggesting that while losses deepen in volatile downturns, they remain proportionally smaller than gains in up markets.

Market Regime Analysis

First Commonwealth Financial Corporation (FCF) — Regime & Capture Charts

Regime Timeline

FCF’s average return improves from 2.22% to 2.53% when moving from Bull‑LowVol to Bull‑HighVol, showing resilience to heightened volatility.
The downside capture of 82.7% indicates the stock outperforms the market on a risk‑adjusted basis during bear phases.
A capture ratio of 1.18 signals that upside performance outweighs downside exposure, a favorable asymmetry for investors.
In Bear‑HighVol regimes, losses deepen to -2.22%, but this is still less severe than the S&P’s typical decline, underscoring defensive qualities.

Positive Characteristics
Strong upside capture (97.9%) close to market performance during bullish periods.
Defensive downside capture (82.7%) limits losses in both low‑ and high‑volatility bear markets.
Capture ratio above 1.0 reflects a net positive risk/reward profile.

Investment Highlights & Risk Summary

First Commonwealth Financial Corporation (FCF) — Summary & Implications

First Commonwealth Financial Corporation delivered a 1‑year total return of 19.74%, marginally beating the S&P 500 by generating an alpha of 0.74%. The stock’s beta of 0.984 suggests it moves almost in lockstep with the broader market, while its upside capture of 97.9% and downside capture of 82.7% indicate a modest defensive tilt during market declines. However, the company’s annualized volatility of 31.71% is well above the S&P 500’s 17.1%, and a historic maximum drawdown of -57.6% signals substantial tail‑risk that could erode capital in adverse environments. Risk‑adjusted performance metrics are modest, with a Sharpe ratio of 0.347 and Sortino ratio of 0.489, reflecting limited excess return per unit of risk compared to traditional benchmarks.

Summary Dashboard

Investment Highlights

1Y total return of 19.74% represents solid absolute performance despite elevated market volatility.
Alpha of +0.74% versus the S&P 500 shows modest outperformance on a risk‑adjusted basis.
Downside capture ratio of 82.7% indicates the stock loses less than the market in declining periods, providing a defensive cushion.
Beta of 0.984 suggests near‑market sensitivity, allowing investors to maintain exposure to broader equity moves without excessive amplification.

Risk-Return Rankings

FCF ELEVATED

Elevated volatility and a historic -57.6% drawdown temper the modest outperformance and defensive capture profile.

Strength: Downside capture of 82.7% limits losses in bear markets.

Concern: Maximum historical drawdown of -57.6% signals high tail‑risk.

Key Takeaways

The stock offers modest outperformance (alpha +0.74%) but with volatility more than 80% higher than the S&P 500.
Defensive characteristics are evident in a downside capture below 100%, yet upside participation is near parity at 97.9%.
Risk‑adjusted ratios (Sharpe 0.347, Sortino 0.489) fall short of the commonly cited threshold of 1.0 for attractive risk‑return trade‑offs.
The deep historical drawdown underscores the need for vigilant position sizing and stop‑loss discipline.

PORTFOLIO IMPLICATIONS

First Commonwealth Financial can serve as a modestly defensive equity exposure within a diversified portfolio, particularly for investors seeking slightly reduced downside in turbulent markets. However, its high volatility and pronounced drawdown history suggest it should be weighted conservatively or paired with lower‑volatility assets to balance overall portfolio risk. Incorporating this stock alongside more stable, higher Sharpe ratio holdings can improve the portfolio's upside capture while mitigating tail‑risk through diversification.

FCF

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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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