FIGS’ High‑Beta Surge: Big Upside Paired With a Heavy Downside Drag

Multiple risk flags signal aggressive exposure in a bear‑low‑vol environment

FIGS FIGS, 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

FIGS, Inc. (FIGS) — Return Performance

FIGS, Inc. delivered a mixed return profile over the past five years, marked by strong recent outperformance but historically volatile performance. The stock posted a robust 61.38% gain over both the trailing one‑year and two‑year periods, exceeding its sector ETF benchmark (XLY) by 59.5% and 39.99% respectively, while its three‑year return of 42.53% still outperformed the sector’s 10.46% despite a negative alpha of -19.55%. In contrast, shorter horizons were weaker: the one‑month gain of 2.54% lagged the sector’s 6.71%, and the three‑month decline of -29.88% fell short of the sector’s -24.84%, indicating recent headwinds.

Period Returns vs S&P 500 & XLY

Monthly Returns Heatmap

FIGS

The company generated positive alpha over longer horizons, delivering +44.06% versus the sector’s +59.5% in the past year and +26.7% versus +39.99% over two years, reflecting strong momentum after a turnaround. However, short‑term performance diverged sharply, with negative alpha of -33.05% in the three‑month window and a modest -10.15% in six months, highlighting heightened sensitivity to near‑term market or company‑specific factors.

Returns Overview

FIGS, Inc. (FIGS) — Return Charts

Volatility Analysis

FIGS, Inc. (FIGS) — Volatility Profile

FIGS, Inc. exhibits markedly higher price variability than the broader market, with an annualized volatility of 70.01% versus the S&P 500's 17.73%, indicating that its share price swings roughly four times as much on a yearly basis. The downside risk profile is pronounced: a downside deviation of 48.34% reflects substantial losses during market declines, and the historical maximum drawdown of -92.77%—spanning from June 2021 to April 2025 with no recovery—demonstrates extreme tail risk and prolonged capital erosion. While short‑term volatility (60‑day at 75.0%) remains above its longer‑term 252‑day level (64.14%), the elevated recent volatility underscores heightened uncertainty relative to its already lofty long‑run average.

Volatility Metrics

FIGS

The company's annualized volatility of 70.01% is nearly four times the S&P 500 benchmark, signaling that investors must tolerate far greater price swings for any potential upside. Downside deviation sits at 48.34%, meaning losses during down markets are substantially larger than the market's typical downside risk (approximately 12‑15%). The max drawdown of -92.77% over a nearly four‑year window illustrates an extreme loss event with no subsequent rebound, highlighting severe tail‑risk exposure. Moreover, the current 60‑day volatility of 75.0% exceeds its 252‑day average of 64.14%, indicating that recent market conditions have amplified price turbulence beyond its historical norm.

FIGS' annualized volatility is roughly 4x the S&P 500, reflecting a high‑risk profile.
Downside deviation of 48.34% signals markedly larger losses in bear markets compared with the broader market.
The -92.77% max drawdown over a multi‑year period shows extreme capital erosion and a lack of recovery.
Short‑term (60‑day) volatility is higher than the long‑term (252‑day) average, suggesting heightened recent uncertainty.

Positive Characteristics
Despite elevated risk, the high volatility could present opportunities for traders seeking large price moves.

Volatility Analysis

FIGS, Inc. (FIGS) — Volatility & Drawdown Charts

Beta & Correlation

FIGS, Inc. (FIGS) — Beta Profile

FIGS, Inc. exhibits a trailing beta of 1.508 versus the S&P 500, placing it firmly in the aggressive range (>1.2) and indicating that its equity price tends to amplify broad market movements by roughly 51% more than the index. The upside beta (1.343) is modestly lower than the downside beta (1.435), suggesting that the stock’s price declines a touch faster than it rises when markets move, an asymmetry that risk‑aware investors should monitor for potential tail‑risk exposure. With an R-squared of 13.1% and a correlation of 0.362 to the market, only a small fraction of FIGS’ return variance is explained by systematic factors; the bulk (86.9%) is idiosyncratic, implying limited diversification benefit from adding the stock to a broad market portfolio.

Beta & Correlation Metrics

FIGS

The company’s market beta of 1.508 signals heightened sensitivity to overall equity cycles, while its sector beta of 1.152 indicates that exposure to consumer‑cyclical dynamics accounts for a lesser portion of total volatility. The disparity between upside (1.343) and downside (1.435) betas reveals a slight skew toward larger losses in down markets, an important consideration for portfolio construction under bearish regimes. Because systematic risk comprises only 13.1% of total variance, most price movements stem from company‑specific drivers such as product rollout, earnings surprises, or competitive developments.

FIGS’ market beta (1.508) exceeds the aggressive threshold, implying amplified reactions to S&P 500 swings.
Downside beta (1.435) is higher than upside beta (1.343), indicating a modestly steeper decline in falling markets.
R-squared of 13.1% means only one‑eighth of return variability aligns with market movements, leaving 86.9% as idiosyncratic risk.
Sector beta (1.152) is lower than the overall market beta, showing that consumer‑cyclical exposure accounts for a smaller share of total volatility.
Correlation to the market (0.362) and sector (0.39) are modest, reinforcing the view that FIGS behaves relatively independently of broader trends.

Positive Characteristics
The company’s idiosyncratic risk dominance offers potential for alpha generation through firm‑specific catalysts.
Sector beta below market beta suggests that diversification into non‑cyclical assets could temper overall portfolio volatility while retaining upside exposure.

Beta & Correlation

FIGS, Inc. (FIGS) — Rolling Beta

Positive Notes

The company’s idiosyncratic risk dominance offers potential for alpha generation through firm‑specific catalysts.

Sector beta below market beta suggests that diversification into non‑cyclical assets could temper overall portfolio volatility while retaining upside exposure.

Risk-Adjusted Returns

FIGS, Inc. (FIGS) — Risk-Adjusted Performance

FIGS, Inc. delivers a marginal risk-adjusted return profile, as reflected by its Sharpe ratio of 0.01—well below the 1.0 threshold that signals adequate compensation for total volatility. The Sortino ratio of 0.015 is slightly higher than the Sharpe, indicating that downside volatility is modestly lower than overall volatility, yet both figures remain near zero and suggest returns barely exceed the risk‑free rate after adjusting for risk. Across other metrics, a Calmar ratio of 0.047 points to severe drawdowns relative to annualized gains, while an Information Ratio of -0.124 signals that the stock has underperformed its benchmark on a risk‑adjusted basis; the Treynor ratio of 0.47 shows limited reward for systematic market exposure.

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

Risk-Adjusted Metrics

FIGS

Given the extremely low Sharpe and Sortino ratios, FIGS offers negligible excess return per unit of total or downside risk, making it unattractive to investors seeking risk‑adjusted outperformance. The Calmar ratio underscores that historical drawdowns have eroded most of any positive performance, and the negative Information Ratio confirms a lack of consistent alpha generation relative to its benchmark. However, the Treynor ratio of 0.47 indicates that the stock does provide some return for each unit of market beta, albeit modest compared with broader equity expectations.

Sharpe ratio (0.01) and Sortino ratio (0.015) are both near zero, indicating returns barely exceed the risk‑free rate after accounting for volatility.
Calmar ratio of 0.047 reveals that worst drawdowns have been substantially larger than annualized gains.
Information Ratio of -0.124 shows consistent underperformance relative to the benchmark on a risk‑adjusted basis.
Treynor ratio of 0.47 suggests limited compensation for systematic market risk.

Positive Characteristics
Sortino ratio marginally exceeds Sharpe, implying downside volatility is slightly lower than total volatility.
The stock provides a small positive Treynor ratio, indicating some reward for bearing market beta.

Risk-Adjusted Returns

FIGS, Inc. (FIGS) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio marginally exceeds Sharpe, implying downside volatility is slightly lower than total volatility.

The stock provides a small positive Treynor ratio, indicating some reward for bearing market beta.

Market Regime Analysis

FIGS, Inc. (FIGS) — Regime Behavior

FIGS, Inc. exhibits markedly divergent performance across market regimes, delivering modest gains in calm up‑trends but suffering pronounced losses when markets turn bearish. In Bull‑LowVol periods the stock’s average monthly return is just 0.31%, reflecting limited upside participation despite a generally favorable environment. Conversely, during Bear‑LowVol and Bear‑HighVol phases the company posts average declines of -4.53% and -7.98% respectively, indicating heightened sensitivity to downside risk even when volatility is subdued. The capture metrics reinforce this asymmetry: an upside capture of 68.7% signals that FIGS captures roughly two‑thirds of S&P 500 gains in rising markets, while a downside capture of 131.4% shows it incurs more than the market’s losses during declines, yielding a net capture ratio of only 0.52.

Current Market Regime: Bear-LowVol

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

Regime Returns & Capture Ratios

FIGS

In Bull‑LowVol regimes FIGS delivers marginal positive returns (0.31%), suggesting limited upside momentum and a reliance on broader market strength to generate earnings growth. The Bull‑HighVol environment provides a more favorable backdrop, with an average monthly gain of 5.47%, indicating the stock can capitalize on heightened investor risk appetite and sector tailwinds. However, in both bear regimes the stock underperforms: a -4.53% decline in Bear‑LowVol and a steeper -7.98% drop in Bear‑HighVol, reflecting vulnerability to revenue pressure and cost sensitivities during economic slowdowns. The downside capture exceeding 130% underscores that FIGS behaves more like a growth-oriented, less defensive name, amplifying losses when the S&P 500 falls.

Market Regime Analysis

FIGS, Inc. (FIGS) — Regime & Capture Charts

Regime Timeline

FIGS’ upside capture of 68.7% is well below the ideal benchmark of >100%, indicating muted participation in market rallies.
The downside capture of 131.4% exceeds the S&P 500’s losses, confirming a defensive weakness and higher tail‑risk exposure.
Capture ratio of 0.52 highlights that for every unit of upside captured, the stock incurs nearly double the downside, an unfavorable risk‑return profile.
Performance deteriorates sharply in Bear‑HighVol periods (-7.98% avg), suggesting heightened vulnerability during volatile market downturns.

Positive Characteristics
The stock shows resilience in Bull‑HighVol environments, delivering strong average returns of 5.47%, which may benefit from elevated investor enthusiasm for growth stocks.
Even in Bear‑LowVol conditions the decline is less severe than in Bear‑HighVol, indicating some mitigation when volatility is low.

Investment Highlights & Risk Summary

FIGS, Inc. (FIGS) — Summary & Implications

FIGS, Inc. delivered a spectacular 1‑year total return of 61.38%, generating an alpha of 44.06% versus the S&P 500 and outpacing its consumer‑cyclical peer group (XLY) by 59.5%. However, that performance came with extreme risk: annualized volatility of 70.0% and a historic maximum drawdown of –92.8% indicate the stock can swing dramatically and has previously erased almost all invested capital. The equity exhibits a high beta of 1.508, meaning it moves roughly 51% more than the market on each move, and its downside capture of 131.4% suggests losses exceed market declines while upside capture lags at only 68.7%. Consequently, risk‑adjusted metrics are weak—Sharpe of 0.01 and Sortino of 0.015—implying that excess returns have been earned at a disproportionate cost of risk. Investors should weigh the lure of outsized upside against the probability of severe downside, especially in volatile or bear market regimes.

Summary Dashboard

Investment Highlights

1‑year total return of 61.38% translates to an alpha of 44.06% versus the S&P 500, demonstrating strong absolute outperformance.
Sector alpha of 59.5% shows the company has beaten its consumer‑cyclical peers (XLY) by a wide margin.
Upside capture of 68.7% indicates that in bullish periods the stock participates in roughly two‑thirds of market gains, providing some participation in rallies.

Risk-Return Rankings

FIGS HIGH

High‑return, high‑volatility profile with extreme drawdown risk and weak risk‑adjusted performance.

Strength: Exceptional absolute return (61.38% YoY) and sector outperformance (+59.5% alpha vs XLY).

Concern: Maximum historical drawdown of –92.8% and downside capture of 131.4% signal severe loss potential.

Key Takeaways

The stock’s outsized returns are driven by high beta exposure, which also magnifies losses.
Risk‑adjusted metrics (Sharpe 0.01, Sortino 0.015) are far below acceptable thresholds for risk‑aware investors.
Volatility of 70% places FIGS well above the market average (S&P 500 vol ~17%).
Downside capture exceeds 130%, meaning the equity loses more than the broader market in downturns.

PORTFOLIO IMPLICATIONS

FIGS may serve as a high‑conviction satellite position for investors seeking aggressive growth and willing to tolerate extreme volatility, ideally within a diversified core that includes low‑beta, higher Sharpe assets. Its asymmetric risk profile—high upside potential offset by pronounced downside sensitivity—suggests it is best allocated in small percentages (e.g., <5% of total equity exposure) or paired with protective strategies such as options hedges to mitigate the likelihood of severe drawdowns.

FIGS

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Report written 2026-07-31 • Finexus

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