Hope Bancorp’s Triple‑Flag Warning in a Bull‑HighVol Market

Why the bank’s historic drawdowns and recent risk alerts could temper its current rally

HOPE Hope Bancorp, Inc.

In this report

01

Returns Overview

Period returns, alpha, cumulative performance, distributions

P. 2-3

→

02

Volatility Analysis

Annualized volatility, downside deviation, drawdowns

P. 4-5

→

03

Beta & Correlation

Trailing, upside, downside beta, systematic risk

P. 6-7

→

04

Risk-Adjusted Returns

Sharpe, Sortino, Calmar, Information, Treynor

P. 8-9

→

05

Market Regime Analysis

Bull/bear behavior, capture ratios

P. 10-11

→

06

Investment Highlights & Risk Summary

Executive summary, risk flags, rankings

P. 12-13

→

Returns Overview

Hope Bancorp, Inc. (HOPE) — Return Performance

Hope Bancorp, Inc. (HOPE) delivered a mixed return profile across the examined horizons. The stock posted modest short‑term gains of 0.48% over one month but underperformed its sector benchmark by -0.92%, while its three‑month total return accelerated to 12.8% and generated a small positive alpha of -0.3% relative to the XLF ETF. Longer horizons showed stronger outperformance, with six‑month and one‑year returns of 14.96% and 20.69% respectively, producing alphas of 7.10% and 1.69%, indicating the company’s ability to add value beyond sector movements over medium terms.

Period Returns vs S&P 500 & XLF

Monthly Returns Heatmap

HOPE

Alpha generation was limited in the very short term but became pronounced at six‑month (7.10% alpha) and one‑year (1.69% alpha) horizons, suggesting momentum buildup after initial volatility. The two‑year period saw a 26.51% total return yet delivered negative alpha of -8.71%, reflecting sector strength outpacing the stock. Over three‑ and five‑year spans, HOPE’s returns of 70.73% and 10.53% produced positive alphas of 4.82% and -61.29% respectively, highlighting a standout multi‑year performance despite recent underperformance in the most recent two years.

Returns Overview

Hope Bancorp, Inc. (HOPE) — Return Charts

Volatility Analysis

Hope Bancorp, Inc. (HOPE) — Volatility Profile

Hope Bancorp, Inc. (HOPE) exhibits markedly higher price variability than the broader market, with an annualized volatility of 34.19% versus the S&P 500's 17.78%, indicating roughly double the standard deviation of returns. The stock's downside risk is pronounced: a downside deviation of 23.44% and a historical maximum drawdown of -64.3% over a three‑year period (2017‑2020) demonstrate substantial loss potential and a prolonged recovery horizon, as the price has not yet reclaimed its prior peak. Recent short‑term volatility remains elevated; the 60‑day vol of 24.13% exceeds the longer‑term 252‑day average of 28.47%, suggesting that recent market movements have been more turbulent than the historical norm for this security.

Volatility Metrics

HOPE

The company’s annualized volatility of 34.19% is nearly twice the S&P 500 benchmark, reflecting a high‑beta profile that amplifies both gains and losses relative to market moves. Downside metrics reinforce this risk narrative: a downside deviation of 23.44% signals that negative returns are more volatile than positive ones, while the -64.3% max drawdown—spanning from January 2017 to April 2020 with no subsequent recovery—highlights severe tail‑risk and a lengthy duration of loss. Although the 60‑day volatility (24.13%) is lower than the 252‑day average (28.47%), it remains well above the market’s short‑term volatility, indicating that recent price swings are still pronounced relative to peers.

HOPE's annualized volatility of 34.19% is roughly double the S&P 500's 17.78%, implying a high beta exposure.
Downside deviation of 23.44% shows that negative returns are substantially more erratic than positive ones.
The maximum drawdown of -64.3% over a three‑year window underscores severe loss potential and a prolonged unrecovered period.
Short‑term (60‑day) volatility remains elevated at 24.13%, though it is modestly lower than the longer‑term 252‑day average of 28.47%.
The lack of recovery from the 2020 trough suggests persistent downside pressure and limited upside resilience.

Positive Characteristics
Despite high overall volatility, the recent 60‑day vol (24.13%) is lower than the longer‑term 252‑day average, hinting at a modest short‑term easing of price swings.
The company’s elevated volatility could offer higher upside potential for risk‑tolerant investors seeking leveraged exposure to market moves.

Volatility Analysis

Hope Bancorp, Inc. (HOPE) — Volatility & Drawdown Charts

Beta & Correlation

Hope Bancorp, Inc. (HOPE) — Beta Profile

Hope Bancorp exhibits a trailing beta of 1.047 versus the S&P 500, placing it squarely in the market‑like range (0.8‑1.2). This indicates that, on average, the stock moves roughly in line with broader equity markets, neither offering strong defensive protection nor pronounced leverage to market swings. Its sector beta of 1.147 relative to the Financial Services index (XLF) is modestly higher, suggesting that a larger portion of its price volatility stems from movements within the banking sector rather than the overall market. The asymmetric beta profile shows a slightly lower upside beta (1.013) compared with downside beta (1.028), implying marginally greater sensitivity to market declines than to gains. With an R‑squared of 29.7% against the S&P 500, only about one‑third of Hope Bancorp’s price variation is explained by broad market factors; the remaining 70.3% is idiosyncratic, reflecting company‑specific drivers that can provide diversification benefits. When benchmarked to its sector, the R‑squared rises to 53.2%, indicating that over half of the stock’s movements are tied to financial‑services dynamics, while the other half remains unique to Hope Bancorp.

Beta & Correlation Metrics

HOPE

The trailing beta of 1.047 signals market‑like exposure, meaning investors can expect returns that roughly track the S&P 500 without extreme amplification. However, the downside beta of 1.028 exceeds the upside beta of 1.013, highlighting a subtle bias toward greater loss sensitivity during market downturns—a key consideration for risk‑averse portfolios. The sector beta of 1.147 underscores that sector shocks—such as changes in interest rates or regulatory policy—will have a slightly larger impact on Hope Bancorp than generic equity market movements.

Hope Bancorp’s market beta (1.047) falls within the market‑like range, indicating proportional movement with the S&P 500.
Downside beta (1.028) exceeds upside beta (1.013), revealing a modest asymmetry that amplifies downside risk relative to upside potential.
R-squared of 29.7% versus the S&P 500 shows limited systematic exposure; 70.3% of price variance is idiosyncratic, offering diversification benefits.
Sector beta (1.147) is higher than market beta, meaning sector‑specific factors drive a larger share of volatility.
Sector R-squared of 53.2% indicates that over half of the stock’s movement aligns with financial services trends, while the remainder remains company‑specific.

Positive Characteristics
Market‑like beta provides predictable exposure without excessive leverage.
High idiosyncratic risk (70.3%) can aid portfolio diversification when combined with broader market holdings.
Sector correlation of 0.73 suggests meaningful but not overwhelming dependence on financial sector dynamics, allowing some isolation from sector shocks.

Beta & Correlation

Hope Bancorp, Inc. (HOPE) — Rolling Beta

Positive Notes

Market‑like beta provides predictable exposure without excessive leverage.

High idiosyncratic risk (70.3%) can aid portfolio diversification when combined with broader market holdings.

Sector correlation of 0.73 suggests meaningful but not overwhelming dependence on financial sector dynamics, allowing some isolation from sector shocks.

Risk-Adjusted Returns

Hope Bancorp, Inc. (HOPE) — Risk-Adjusted Performance

Hope Bancorp, Inc. (HOPE) delivers modest risk-adjusted returns as reflected by a Sharpe ratio of 0.153, indicating that the stock has generated a small excess return over the risk‑free rate per unit of total volatility. The Sortino ratio of 0.223 exceeds the Sharpe, suggesting that downside volatility is lower than overall volatility and that the equity’s performance suffers less from negative returns than many peers. However, other metrics such as the Calmar (0.138) and Information Ratio (-0.137) point to limited upside relative to drawdowns and a lack of consistent alpha generation, respectively, while the Treynor ratio of 4.996 signals that the asset has earned a relatively high return per unit of systematic risk.

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

Risk-Adjusted Metrics

HOPE

The Sharpe ratio of 0.153 falls well below the 1.0 threshold, indicating that HOPE's total risk‑adjusted performance is weak relative to market benchmarks. The higher Sortino ratio (0.223) shows a more favorable downside profile; investors may experience less severe negative volatility than implied by the Sharpe. A Calmar ratio of 0.138 reveals that the stock’s annualized return barely covers its maximum historical drawdown, implying vulnerability during market stress. The negative Information Ratio (-0.137) suggests that active management has not added value beyond a passive benchmark, and the relatively high Treynor ratio (4.996) reflects decent compensation for systematic risk but does not offset the overall low risk‑adjusted returns.

Sharpe ratio of 0.153 signals weak total risk‑adjusted performance.
Sortino ratio exceeds Sharpe, indicating a milder downside volatility environment.
Calmar ratio of 0.138 points to limited return relative to worst drawdown severity.
Negative Information Ratio shows lack of consistent alpha generation.
Treynor ratio of 4.996 suggests reasonable reward for systematic risk.

Positive Characteristics
Sortino ratio above Sharpe highlights a comparatively gentle downside risk profile.
Treynor ratio indicates the stock provides a respectable return per unit of market exposure.

Risk-Adjusted Returns

Hope Bancorp, Inc. (HOPE) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe highlights a comparatively gentle downside risk profile.

Treynor ratio indicates the stock provides a respectable return per unit of market exposure.

Market Regime Analysis

Hope Bancorp, Inc. (HOPE) — Regime Behavior

Hope Bancorp exhibits modestly higher returns in volatile bull markets, delivering an average monthly gain of 2.21% during Bull-HighVol periods compared to 2.09% in calmer uptrends. In bear environments the stock underperforms, posting a -4.36% loss on average when volatility is low and a somewhat smaller -3.14% loss when volatility spikes, indicating sensitivity to market downturns but with a slight cushion during turbulent declines. The upside capture of 98.0% suggests the company tracks the S&P 500 closely on the upside, while a downside capture of 121.2% reveals that it loses more than the index in falling markets, resulting in a capture ratio of 0.81, well below the ideal threshold of 1.0.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

HOPE

In Bull-LowVol regimes Hope Bancorp generates an average monthly return of 2.09%, reflecting stable earnings growth that benefits from a steady market rally. During Bull-HighVol periods the stock improves its performance to 2.21% per month, showing resilience to heightened volatility and an ability to capture incremental upside when risk appetite rises. Conversely, in Bear-LowVol conditions the firm suffers a -4.36% average monthly decline, indicating limited defensive qualities during orderly market drops. In Bear-HighVol scenarios the loss narrows to -3.14%, suggesting that while the stock still underperforms the broader market, it can partially offset extreme downside pressure.

Market Regime Analysis

Hope Bancorp, Inc. (HOPE) — Regime & Capture Charts

Regime Timeline

Hope Bancorp’s upside capture of 98.0% is close to parity with the S&P 500, but its downside capture of 121.2% leads to net underperformance in bear markets.
The capture ratio of 0.81 signals that for every unit of market loss, Hope loses more than it gains on the upside, a red flag for risk‑averse investors.
Performance improves modestly when volatility rises in a bull market, indicating some beta sensitivity to risk premiums.
In bear regimes the stock’s losses are larger than the index, confirming that it is not a defensive name.

Positive Characteristics
Higher average return during Bull-HighVol (2.21%) versus Bull-LowVol (2.09%) shows capacity to thrive in volatile uptrends.
Losses shrink from -4.36% in Bear‑LowVol to -3.14% in Bear‑HighVol, indicating a modest buffer when market turbulence intensifies.

Investment Highlights & Risk Summary

Hope Bancorp, Inc. (HOPE) — Summary & Implications

Hope Bancorp delivered a 20.69% total return over the past year, generating an absolute alpha of 1.69% versus the S&P 500 and outperforming its financial services sector benchmark (XLF) by 20.13%. However, the stock’s risk profile is pronounced: annualized volatility sits at 34.19%, a deep max drawdown of -64.3% has been recorded, and downside capture exceeds upside capture (121.2% vs 98.0%). The Sharpe ratio of 0.153 signals modest excess return per unit of total risk, while the Sortino of 0.223 indicates slightly better compensation for downside volatility but remains low by institutional standards. Investors should weigh the attractive absolute return and sector outperformance against the elevated volatility, asymmetric capture profile, and potential for significant capital loss.

Summary Dashboard

Investment Highlights

1-year return of 20.69% produced a positive alpha of 1.69% versus the S&P 500, indicating modest excess performance.
Sector alpha of 20.13% shows the company outperformed its financial services peers (XLF) over the same period.
Beta of 1.047 suggests price movements closely track market swings without excessive leverage.
Upside capture of 98.0% indicates the stock participates in most of the market’s upside gains.

Risk-Return Rankings

HOPE HIGH

Strong absolute return but high volatility and deep drawdown create an elevated risk-return profile.

Strength: Positive 1-year alpha (+1.69%) and sector outperformance (+20.13% vs XLF).

Concern: Deep max drawdown of -64.3% and downside capture of 121.2% signal asymmetric downside risk.

Key Takeaways

Hope Bancorp’s return exceeds both the broad market and its sector, but risk metrics are unfavorable.
Volatility (34.19%) is double the S&P 500’s typical 17% level, amplifying potential losses.
The downside capture ratio above 100% means the stock loses more than the market in down markets.
Low Sharpe (0.153) and Sortino (0.223) indicate limited compensation for the risk taken.

PORTFOLIO IMPLICATIONS

Given its high volatility and asymmetric downside exposure, Hope Bancorp is best suited for a small allocation within a diversified equity portfolio that can absorb large swings in value. Its positive alpha and sector outperformance may complement more defensive holdings, but investors should monitor drawdown thresholds closely and consider pairing the stock with assets exhibiting low correlation or lower beta to mitigate overall portfolio risk.

HOPE

Related Reports

Visit finexus.net/reports for more reports

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.

Past performance is not indicative of future results. Readers should conduct their own independent research and consult a qualified financial advisor before making any investment decision. Finexus and its contributors disclaim any liability for losses arising from the use of this report.