Getty Realty’s Historic Drawdown Returns as Volatility Peaks

Why the latest bull‑high‑vol regime could reshape risk expectations over the next year

GTY Getty Realty Corp.

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

Getty Realty Corp. (GTY) — Return Performance

Getty Realty Corp. (GTY) delivered a mixed return profile over the past five years, with notable strength in the 6‑month and 5‑year horizons where total returns were 20.5% and 36.22%, respectively. While short‑term performance was modest—1‑month gain of 1.38% and 3‑month gain of 3.71%—the stock generated positive alpha over the sector ETF in the 6‑month (+12.63%) and 1‑year (+2.43%) periods, indicating outperformance relative to its real‑estate peers during those windows.

Period Returns vs S&P 500 & XLRE

Monthly Returns Heatmap

GTY

Alpha generation was strongest in the medium term, with a 12.63% excess return versus the XLRE sector over six months and a modest 2.43% premium over one year, suggesting the business capitalized on recent market tailwinds. However, longer horizons show deteriorating alpha—negative 53.28% over three years and negative 35.59% over five years—reflecting underperformance relative to the sector in earlier cycles. The short‑term picture is mixed, as GTY posted a slight negative alpha of -0.23% in the past month despite modest absolute gains.

Returns Overview

Getty Realty Corp. (GTY) — Return Charts

Volatility Analysis

Getty Realty Corp. (GTY) — Volatility Profile

Getty Realty Corp. (GTY) exhibits markedly higher price variability than the broader market, with an annualized volatility of 26.34% compared to the S&P 500's 17.78%, indicating roughly a 48% premium in risk per unit of time. The stock’s downside profile is pronounced: a downside deviation of 21.67% and a historic max drawdown of -47.8% over a 16‑month period (Oct 2019 to Mar 2020) reveal substantial sensitivity to market stress, while the recovery took more than a year, underscoring prolonged vulnerability during adverse regimes. Recent short‑term volatility measures are mixed; the 60‑day vol of 17.68% sits below the long‑term average, suggesting temporary calm, whereas the 252‑day vol of 19.84% remains above the annualized figure, reflecting lingering elevated risk relative to the benchmark.

Volatility Metrics

GTY

GTY’s volatility exceeds the S&P 500 by nearly 9.6 percentage points on an annual basis, implying that investors demand higher compensation for bearing its price swings. The downside deviation of 21.67% surpasses the benchmark's implied upside/downside symmetry, indicating that negative returns are more volatile than positive ones. The max drawdown depth of -47.8% and a recovery horizon extending beyond twelve months highlight significant tail risk, which could impair capital preservation in downturns. Although the 60‑day volatility has retreated to 17.68%, below its long‑term average, the 252‑day figure remains elevated at 19.84%, suggesting that recent calm may be temporary and not fully reflective of the underlying risk environment.

GTY’s annualized volatility is 48% higher than the S&P 500 (26.34% vs 17.78%).
Downside deviation stands at 21.67%, signaling greater variability on the loss side.
The historic max drawdown of -47.8% lasted roughly 16 months, with a recovery exceeding one year.
Short‑term (60‑day) volatility is currently below the long‑term average, while 252‑day volatility remains above it.

Positive Characteristics
Recent 60‑day volatility has fallen to 17.68%, indicating a period of reduced short‑term price turbulence.
The stock’s recovery from its deepest drawdown demonstrates resilience despite the prolonged downturn.

Volatility Analysis

Getty Realty Corp. (GTY) — Volatility & Drawdown Charts

Beta & Correlation

Getty Realty Corp. (GTY) — Beta Profile

Getty Realty Corp. (GTY) exhibits a trailing beta of 0.774 versus the S&P 500, placing it in the defensive range (<0.8). This suggests that the stock historically moves less than the broad market on both up and down days, providing a cushion during equity market drawdowns. However, its sector beta of 0.916 against the Real Estate index (XLRE) indicates that GTY tracks its industry more closely than it does the overall market, implying that sector-specific dynamics drive a larger share of its price action. The upside beta (0.899) is marginally lower than the downside beta (0.906), reflecting a slightly stronger sensitivity to negative market moves relative to positive ones—a subtle asymmetry that risk‑aware investors should monitor. With an R-squared of 27.3% versus the S&P 500, only about a quarter of GTY’s returns are explained by broad market movements, leaving roughly 73% as idiosyncratic variance that can be diversified away. By contrast, the sector R-squared of 47.9% shows nearly half of the stock’s variability is linked to real‑estate trends, underscoring the importance of sector exposure in its risk profile.

Beta & Correlation Metrics

GTY

The trailing market beta of 0.774 classifies GTY as defensive, meaning it tends to underperform in bull markets but also fall less sharply in bear markets relative to the S&P 500. The upside/downside beta split (0.899 vs 0.906) reveals a modest downside bias; the stock is slightly more reactive to market declines than to gains, which could amplify losses during systemic downturns. GTY’s sector beta of 0.916 and sector correlation of 0.692 indicate that real‑estate specific factors explain a substantial portion of its price movement. The systematic component (27.3%) versus idiosyncratic component (72.7%) further confirms that most of GTY’s risk is company‑specific, offering diversification benefits for portfolios already exposed to broader market or sector risks.

GTY’s market beta of 0.774 places it in the defensive category, reducing exposure to broad equity swings.
Upside beta (0.899) is slightly lower than downside beta (0.906), indicating a modest asymmetry that heightens sensitivity to market declines.
R-squared of 27.3% versus the S&P 500 shows that only about one‑quarter of GTY’s returns are driven by overall market movements, leaving significant idiosyncratic risk.
Sector beta (0.916) and sector R-squared (47.9%) reveal that nearly half of the stock’s variance is tied to real‑estate industry dynamics.
The systematic versus idiosyncratic split (27.3% vs 72.7%) suggests strong diversification potential when GTY is added to a non‑real‑estate, market‑balanced portfolio.

Positive Characteristics
Defensive market beta provides downside protection in broader equity sell‑offs.
High idiosyncratic risk (72.7%) offers diversification benefits for investors seeking exposure beyond market and sector trends.
Strong correlation to the real‑estate sector (0.692) allows targeted tactical positioning within a sector‑focused strategy.

Beta & Correlation

Getty Realty Corp. (GTY) — Rolling Beta

Positive Notes

Defensive market beta provides downside protection in broader equity sell‑offs.

High idiosyncratic risk (72.7%) offers diversification benefits for investors seeking exposure beyond market and sector trends.

Strong correlation to the real‑estate sector (0.692) allows targeted tactical positioning within a sector‑focused strategy.

Risk-Adjusted Returns

Getty Realty Corp. (GTY) — Risk-Adjusted Performance

Getty Realty Corp. (GTY) delivers modest risk-adjusted returns in the current market environment. With a Sharpe ratio of 0.382, the stock generates return well below the benchmark threshold of 1.0, indicating that its excess return over the risk‑free rate is limited relative to total volatility. However, the Sortino ratio of 0.465 exceeds the Sharpe figure, suggesting that downside volatility is less pronounced than overall volatility and that GTY’s performance suffers fewer large negative deviations.

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

Risk-Adjusted Metrics

GTY

The Sharpe ratio of 0.382 places GTY in a low‑return, high‑risk quadrant when compared to the S&P 500 benchmark (Sharpe ~1.0). The higher Sortino ratio (0.465) signals that the stock’s downside risk is somewhat contained, which may be attractive to investors wary of severe losses. The Calmar ratio of 0.287 reflects a modest return relative to its maximum historical drawdown, implying that any adverse price moves could erode a sizable portion of gains. An Information Ratio of 0.04 falls far short of the 0.5 threshold for consistent alpha generation, indicating limited value added by active management. The Treynor ratio of 13.021 is unusually high, but because it measures excess return per unit of systematic risk (beta), its magnitude must be interpreted alongside the low Sharpe; the figure suggests that GTY’s returns are heavily driven by market exposure rather than skillful security selection.

GTY's Sharpe ratio (0.382) signals underperformance relative to risk‑adjusted benchmarks.
The Sortino ratio exceeds the Sharpe, highlighting a comparatively milder downside volatility profile.
A Calmar ratio of 0.287 indicates that returns are modest when measured against peak-to-trough drawdowns.
Information Ratio at 0.04 suggests minimal consistent alpha generation from active management.
Treynor ratio is high (13.021), reflecting strong market exposure but not necessarily superior risk‑adjusted performance.

Positive Characteristics
Sortino ratio above Sharpe points to a favorable downside risk characteristic.
High Treynor ratio shows that the stock captures systematic market returns efficiently.

Risk-Adjusted Returns

Getty Realty Corp. (GTY) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe points to a favorable downside risk characteristic.

High Treynor ratio shows that the stock captures systematic market returns efficiently.

Market Regime Analysis

Getty Realty Corp. (GTY) — Regime Behavior

Getty Realty Corp. (GTY) exhibits markedly different return profiles depending on the prevailing market regime. In a Bull-HighVol environment—characterized by an upward‑trending S&P 500 with elevated volatility—the stock delivers its strongest average monthly gain of 2.55%, reflecting its capacity to benefit from risk‑on sentiment while tolerating price swings. Conversely, in calmer bull markets (Bull-LowVol) the average return drops to just 0.44% per month, indicating that GTY’s upside is more tied to heightened market activity than to steady appreciation. During bear periods the stock shows resilience: in Bear-HighVol it still posts a modest positive 1.15% monthly return, whereas in Bear-LowVol it suffers a sharper decline of -4.48%, suggesting that low‑volatility downtrends pose greater challenges for this REIT. The upside capture of 83.4% and downside capture of 72.8% yield a capture ratio of 1.14, meaning GTY captures roughly 14% more upside than downside relative to the S&P 500.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

GTY

In the current Bull-HighVol regime, GTY is positioned to outperform its historical average of 2.55% per month, leveraging its higher upside capture while still limiting downside exposure relative to the broader market. However, investors should remain mindful that in a transition to Bear-LowVol conditions, the stock’s performance could deteriorate sharply, as evidenced by the -4.48% average return in that regime. The 1.14 capture ratio signals a net positive asymmetry but underscores that upside benefits are most pronounced when market volatility is elevated.

Market Regime Analysis

Getty Realty Corp. (GTY) — Regime & Capture Charts

Regime Timeline

GTY’s highest historical returns occur in Bull-HighVol regimes (2.55% avg), indicating strong performance during volatile uptrends.
In Bear-LowVol periods, GTY experiences the steepest declines (-4.48% avg), highlighting vulnerability to calm down markets.
The capture ratio of 1.14 reflects a modest upside bias, as the stock captures more gains than losses relative to the S&P 500.
Downside capture at 72.8% suggests that GTY limits losses better than the market in most regimes, though not dramatically so.
Current Bull-HighVol conditions align with GTY’s strongest regime, potentially supporting continued outperformance.

Positive Characteristics
Strong upside capture (83.4%) during volatile bull markets provides a buffer against broader market swings.
Positive performance even in Bear-HighVol environments (+1.15% avg) indicates defensive characteristics when volatility is high.
Capture ratio above 1.0 demonstrates net favorable asymmetry, offering investors modest protection on the downside while participating in upside moves.

Investment Highlights & Risk Summary

Getty Realty Corp. (GTY) — Summary & Implications

Getty Realty Corp. (GTY) delivered a robust 1‑year total return of 21.43%, generating an alpha of 2.43% versus the S&P 500 and outpacing its sector benchmark XLRE by 11.49%. The stock’s beta of 0.774 indicates lower sensitivity to market moves, while upside capture of 83.4% against a downside capture of 72.8% reflects modest defensive characteristics in bear markets. However, the equity exhibits elevated risk: annualized volatility of 26.34% and a historic maximum drawdown of –47.8% signal significant capital loss potential, underscored by a Sharpe ratio of only 0.382. Investors should weigh the attractive relative return and sector outperformance against the deep drawdown history and modest risk‑adjusted performance when considering GTY for a real‑estate allocation.

Summary Dashboard

Investment Highlights

1-year total return of 21.43% exceeds both the S&P 500 (approx. 19%) and the XLRE sector index, demonstrating strong absolute performance.
Alpha of 2.43% versus the S&P 500 and sector alpha of 11.49% indicate that GTY has generated excess returns not explained by market movements.
Beta of 0.774 suggests lower systematic risk than the broader market, providing a cushioning effect during equity downturns.
Upside capture of 83.4% combined with downside capture of 72.8% yields a capture ratio above 1.0, indicating better participation in rally phases relative to declines.
Sector outperformance of 11.49% versus XLRE highlights GTY’s competitive positioning within the real‑estate space.

Risk-Return Rankings

GTY ELEVATED

Strong relative returns and low beta are offset by high volatility and a historic -47.8% drawdown.

Strength: Sector‑beating alpha of 11.49% versus XLRE.

Concern: Maximum drawdown of –47.8% indicates deep capital loss risk.

Key Takeaways

GTY’s outperformance relative to both the market and its sector makes it an attractive return source in a real‑estate tilt.
The low beta and favorable upside/downside capture suggest modest defensive qualities, but they do not eliminate drawdown risk.
Risk‑adjusted metrics (Sharpe 0.382, Sortino 0.465) are below conventional thresholds (>1.0), signaling limited excess return per unit of risk.
High annualized volatility (26.34%) and a near‑50% historical drawdown warrant careful position sizing.
Investors should monitor the depth of future corrections, as GTY’s price may be more vulnerable during prolonged market stress.

PORTFOLIO IMPLICATIONS

GTY can serve as a return‑enhancing component in portfolios seeking exposure to real estate with a tilt toward higher alpha generation. Its low beta and upside capture make it complementary to higher‑beta equities, potentially smoothing overall portfolio volatility. However, given the elevated drawdown risk and modest Sharpe ratio, prudent investors should allocate GTY conservatively, perhaps as part of a diversified REIT basket, and consider stop‑loss or hedging strategies to mitigate potential severe declines.

GTY

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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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