Fresh Del Monte’s Low‑Beta Shield Hides a Triple Risk Warning

Why the defensive profile may not protect against persistent underperformance

FDP Fresh Del Monte Produce 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

Fresh Del Monte Produce Inc. (FDP) — Return Performance

Fresh Del Monte Produce (FDP) has delivered a mixed return profile across horizons, underperforming its consumer defensive sector benchmark in the short term but showing relative strength over longer periods. Over the past month and quarter, FDP fell 8.15% and 26.68%, respectively, generating alpha of -5.56% and -39.78% versus the sector, indicating pronounced downside pressure. Conversely, the 2‑year and 3‑year windows reveal positive total returns of 41.11% and 24.4% with modest to strong sector outperformance (alpha +5.89% over 2 years, but a lagging -41.51% over 3 years), suggesting a rebound after the recent slump.

Period Returns vs S&P 500 & XLP

Monthly Returns Heatmap

FDP

In the near term (1‑6 months) FDP generated negative alpha across all intervals, reflecting heightened sensitivity to short‑term market or commodity shocks. The 2‑year horizon marks a turnaround, delivering a 41.11% total return and +5.89% sector alpha, while the 3‑year period shows a modest 24.4% gain but still lagging the sector by -41.51%, highlighting volatility in performance persistence. Over the longest view (5 years) FDP’s 1.65% return trails both the market and sector markedly, underscoring the need for investors to weigh recent recovery against historical underperformance.

Returns Overview

Fresh Del Monte Produce Inc. (FDP) — Return Charts

Volatility Analysis

Fresh Del Monte Produce Inc. (FDP) — Volatility Profile

Fresh Del Monte Produce Inc. (FDP) exhibits markedly higher price variability than the broader market, with an annualized volatility of 33.86% versus the S&P 500’s 17.78%, indicating roughly double the dispersion of returns around its mean. The stock’s downside risk is pronounced: a downside deviation of 26.35% reflects substantial loss‑side fluctuations, and the historical maximum drawdown of –67.33% stretched over four years (Nov 2016 to Nov 2020) underscores vulnerability to prolonged equity erosion without full recovery to prior peaks. Recent short‑term volatility remains elevated; both the 60‑day (33.62%) and 252‑day (28.88%) measures sit above the long‑term average, suggesting that investors continue to face heightened uncertainty in the near term.

Volatility Metrics

FDP

The company’s volatility profile is considerably more aggressive than the benchmark, with annualized swings that are nearly twice as large as those of the S&P 500. Downside metrics reinforce this risk tilt: a downside deviation of 26.35% translates to larger loss‑potential per unit of total risk, while the –67.33% max drawdown—unrecovered after more than four years—highlights a historical susceptibility to severe and lasting price declines. Moreover, the current trailing volatilities (60‑day at 33.62% and 252‑day at 28.88%) exceed the long‑term average of 33.86%, indicating that recent market conditions have not tempered the stock’s inherent volatility.

FDP’s annualized volatility is 90.6 basis points higher than the S&P 500, reflecting a riskier return distribution.
Downside deviation of 26.35% signals that loss‑side moves are substantially larger relative to total volatility.
The maximum drawdown of –67.33% persisted for four years with no full recovery, demonstrating deep and prolonged downside exposure.
Both 60‑day (33.62%) and 252‑day (28.88%) volatilities remain above the long‑term average, indicating sustained short‑term risk.

Positive Characteristics
Despite high volatility, FDP’s price movements provide opportunities for traders seeking larger absolute returns.
The elevated downside deviation can be partially offset by a potentially higher equity risk premium for investors comfortable with greater risk.

Volatility Analysis

Fresh Del Monte Produce Inc. (FDP) — Volatility & Drawdown Charts

Beta & Correlation

Fresh Del Monte Produce Inc. (FDP) — Beta Profile

Fresh Del Monte Produce Inc. (FDP) exhibits a trailing beta of 0.568 versus the S&P 500, placing it firmly in the defensive range (<0.8). This indicates that the stock moves roughly 57% of the magnitude of broad market swings, offering a cushion during equity market downturns but also delivering muted upside when markets rally. The sector‑adjusted beta of 0.912 relative to the Consumer Staples index (XLP) is higher, suggesting FDP’s price dynamics are more aligned with its industry than with the overall market; nevertheless, it remains below one, confirming a defensive tilt even within the sector. The asymmetric beta profile—upside beta of 0.779 versus downside beta of 0.434—highlights that FDP reacts more strongly to positive market moves than to negative ones, a useful characteristic for risk‑aware investors seeking limited downside exposure while retaining some participation in bullish phases. An R-squared of 8.9% with the S&P 500 and a correlation of 0.298 mean that less than one‑tenth of FDP’s price variance is explained by broad market movements, underscoring a high degree of idiosyncratic risk (91.1%). When measured against its sector, R-squared rises modestly to 15.4% with a correlation of 0.393, indicating that sector forces explain slightly more variation but the stock remains largely driven by company‑specific factors.

Beta & Correlation Metrics

FDP

The market beta of 0.568 signals a defensive posture; FDP is expected to lose only about 57 cents for every dollar the S&P 500 falls, while gaining roughly 57 cents when the index rises. However, its upside beta of 0.779 shows that during market rallies the stock captures a larger share of gains than its overall beta suggests, whereas the downside beta of 0.434 reflects a more muted decline in bear markets, offering an asymmetric risk‑reward profile that can be attractive for investors prioritizing capital preservation. The low R-squared (8.9%) confirms that most price movements stem from firm‑specific drivers rather than market trends, implying diversification benefits when FDP is added to a broader equity portfolio.

Trailing beta of 0.568 classifies FDP as defensive relative to the S&P 500.
Upside beta (0.779) exceeds downside beta (0.434), indicating stronger participation in market rallies than in declines.
R-squared of 8.9% shows that only a small fraction of price variance is market‑driven, highlighting high idiosyncratic risk.
Sector beta of 0.912 reveals greater sensitivity to Consumer Staples dynamics than to the broader market, yet remains below one.
Systematic risk accounts for just 8.9% of total variance; idiosyncratic risk dominates at 91.1%, suggesting diversification potential.

Positive Characteristics
Defensive market beta provides downside protection in volatile environments.
Higher upside beta offers meaningful participation in equity uptrends despite overall defensive stance.
Low market correlation (0.298) and modest sector correlation (0.393) enhance portfolio diversification benefits.

Beta & Correlation

Fresh Del Monte Produce Inc. (FDP) — Rolling Beta

Positive Notes

Defensive market beta provides downside protection in volatile environments.

Higher upside beta offers meaningful participation in equity uptrends despite overall defensive stance.

Low market correlation (0.298) and modest sector correlation (0.393) enhance portfolio diversification benefits.

Risk-Adjusted Returns

Fresh Del Monte Produce Inc. (FDP) — Risk-Adjusted Performance

Fresh Del Monte Produce Inc. (FDP) delivers modest risk-adjusted returns, as reflected by a Sharpe ratio of 0.079 and a Treynor ratio of 4.731. While the Sharpe figure indicates that total return barely exceeds the risk-free rate on a volatility‑adjusted basis, the Sortino ratio of 0.102—slightly higher than the Sharpe—suggests that downside volatility is marginally lower than overall volatility, providing a modest cushion against adverse moves. However, the Calmar ratio of 0.094 and a negative Information ratio of -0.195 reveal vulnerability to drawdowns and an inability to generate consistent alpha relative to a benchmark.

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

Risk-Adjusted Metrics

FDP

The Sharpe ratio of 0.079 places FDP well below the 1.0 threshold that investors typically regard as acceptable, meaning the stock’s excess return per unit of total risk is minimal. The Sortino ratio’s modest uplift to 0.102 indicates that downside risk contributes slightly less to overall volatility, but the absolute level remains low, offering limited upside protection. A Calmar ratio of 0.094 signals that the average annualized return is only about one‑tenth of the worst historical drawdown, underscoring significant susceptibility to capital erosion during market stress. The Information ratio of -0.195 further confirms that FDP has underperformed its benchmark on a risk-adjusted basis, suggesting active management has not added value.

Sharpe ratio (0.079) is far below the acceptable >1.0 level, indicating weak total‑risk adjusted performance.
Sortino ratio exceeds Sharpe slightly, pointing to a marginally better downside risk profile but still low in absolute terms.
Calmar ratio (0.094) reveals that returns are small relative to peak‑to‑trough drawdowns, highlighting drawdown severity.
Negative Information ratio (-0.195) shows the stock has not generated consistent excess return versus its benchmark.
Treynor ratio of 4.731 suggests a relatively high return per unit of systematic risk, but this must be weighed against poor total‑risk metrics.

Positive Characteristics
The Sortino ratio’s slight edge over Sharpe indicates that downside volatility is somewhat contained.
A Treynor ratio above 4 reflects decent compensation for market exposure despite overall low risk‑adjusted returns.

Risk-Adjusted Returns

Fresh Del Monte Produce Inc. (FDP) — Rolling Sharpe & Sortino

Positive Notes

The Sortino ratio’s slight edge over Sharpe indicates that downside volatility is somewhat contained.

A Treynor ratio above 4 reflects decent compensation for market exposure despite overall low risk‑adjusted returns.

Market Regime Analysis

Fresh Del Monte Produce Inc. (FDP) — Regime Behavior

Fresh Del Monte Produce Inc. demonstrates a pronounced sensitivity to market volatility regimes. In Bull-HighVol periods—characterized by an upward‑trending S&P 500 coupled with elevated realized volatility—the stock delivers its strongest average monthly return of +2.92%, reflecting its ability to capitalize on risk‑on environments where consumer discretionary spending and supply‑chain resilience tend to improve. Conversely, in Bear-HighVol regimes the company posts a modest negative average of -0.29%, indicating limited downside protection when markets are both falling and turbulent. The remaining two regimes show muted performance: a slight loss of -0.76% during calm bull markets (Bull-LowVol) and a small gain of +1.28% in orderly bear markets (Bear‑LowVol). Overall, the upside capture of 49.7% versus a downside capture of 56.4% yields a capture ratio of 0.88, suggesting that while the stock participates less than proportionally in market rallies, it also underperforms slightly during declines.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

FDP

During Bull‑HighVol periods, Fresh Del Monte Produce benefits from heightened consumer demand for fresh produce and relatively stable input costs, translating into a robust +2.92% average return over 37 months. In Bear‑HighVol environments, the stock’s -0.29% average indicates modest resilience but still lags the broader market, reflecting vulnerability to tightening consumer budgets and potential supply‑chain disruptions. The low upside capture (49.7%) in calm bull markets suggests limited participation when equity markets rise without volatility, while the slightly higher downside capture (56.4%) in bear phases points to a marginally defensive tilt but not enough to be classified as a true defensive name.

Market Regime Analysis

Fresh Del Monte Produce Inc. (FDP) — Regime & Capture Charts

Regime Timeline

FDP’s strongest performance occurs in volatile up‑trend regimes (+2.92% avg), outperforming its other three regime averages.
The capture ratio of 0.88 indicates the stock captures less upside than downside relative to the S&P 500, implying a net defensive bias but limited upside participation.
In Bear‑LowVol periods the stock still generates a positive average (+1.28%), suggesting some defensive characteristics during orderly market declines.
Downside capture exceeds 50% (56.4%), meaning the stock tends to lose more than half of market losses in bear regimes.

Positive Characteristics
Positive average return (+1.28%) in Bear‑LowVol regime highlights modest resilience when markets decline calmly.
Strongest historical performance (+2.92%) aligns with the current Bull‑HighVol environment, offering upside potential.

Investment Highlights & Risk Summary

Fresh Del Monte Produce Inc. (FDP) — Summary & Implications

Fresh Del Monte Produce Inc. (FDP) has delivered a negative 1‑year total return of -8.21%, lagging the S&P 500 by 27.21 percentage points and underperforming its Consumer Defensive peers by 12.8%. The stock exhibits elevated volatility at an annualized 33.86% and suffered a severe maximum drawdown of -67.33%, indicating substantial capital loss risk in adverse market regimes. Risk‑adjusted performance is weak, with a Sharpe ratio of 0.079 and a Sortino ratio of 0.102, both far below the typical benchmark of 1.0 for attractive risk‑adjusted returns. However, FDP’s beta of 0.568 suggests lower sensitivity to broad market movements, which could provide some defensive characteristics in a rising equity environment.

Summary Dashboard

Investment Highlights

Low overall beta (0.568) means the stock moves less than the market, potentially reducing portfolio volatility during bullish cycles.
Upside capture of 49.7% indicates that FDP participates in roughly half of market upside, offering modest participation when equities rise.
Sector beta of 0.912 aligns closely with the Consumer Defensive index, providing sector‑consistent exposure while limiting extreme market swings.

Risk-Return Rankings

FDP ELEVATED

High volatility and deep drawdown dominate risk profile despite low beta.

Strength: Low overall beta (0.568) reduces market‑wide exposure.

Concern: Maximum drawdown of -67.33% signals severe downside risk.

Key Takeaways

FDP’s return metrics show significant underperformance versus both the S&P 500 and its sector peers.
Risk‑adjusted ratios (Sharpe 0.079, Sortino 0.102) are well below acceptable thresholds for excess return per unit of risk.
The stock’s downside capture (56.4%) exceeds its upside capture (49.7%), indicating a bias toward losing more in market declines than gaining in rallies.
Low beta may make FDP useful as a modest defensive overlay, but the deep historical drawdown limits its attractiveness for risk‑averse investors.

PORTFOLIO IMPLICATIONS

For portfolios seeking lower overall equity sensitivity, FDP can serve as a small defensive tilt due to its sub‑1.0 beta; however, the pronounced volatility and historic drawdown suggest it should occupy only a modest allocation, preferably within a diversified basket of low‑beta assets. Investors might pair FDP with higher‑quality defensive stocks that exhibit stronger risk‑adjusted returns to offset its asymmetric downside profile while preserving some sector exposure.

FDP

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Report written 2026-06-07 • Finexus

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