Janus International’s Low‑Beta Shield Masks a History of Deep Drawdowns

Six risk flags and persistent underperformance raise questions about future upside

JBI Janus International Group, 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

Janus International Group, Inc. (JBI) — Return Performance

Janus International Group, Inc. (JBI) has underperformed its industrial sector benchmark across all horizons, delivering a cumulative 1‑month loss of -4.49% versus the sector's -5.1%, and a 5‑year decline of -63.91% compared with the sector's -146.41%. The alpha gap widens markedly over longer periods: while short‑term (1M) alpha is modest at +0.61%, the 3‑year alpha deepens to -118.07% and the 5‑year alpha reaches -135.72%, indicating persistent lag relative to peers.

Period Returns vs S&P 500 & XLI

Monthly Returns Heatmap

JBI

The stock generated modest positive alpha only in the 1‑month window (+0.61%), but quickly turned negative thereafter, with a 3‑month alpha of -14.07% and a 6‑month alpha of -29.88%. The long‑term return profile is dominated by steep underperformance, as evidenced by a 5‑year alpha of -135.72%, highlighting a sustained divergence from sector momentum.

Returns Overview

Janus International Group, Inc. (JBI) — Return Charts

Volatility Analysis

Janus International Group, Inc. (JBI) — Volatility Profile

Janus International Group, Inc. (JBI) exhibits markedly higher price fluctuation than the broader market, with an annualized volatility of 42.4% versus the S&P 500's 17.78%, indicating more than double the typical daily price swings. The stock’s downside risk is pronounced: a downside deviation of 34.35% and a maximum drawdown of -69.92% over a five‑year window underscore substantial vulnerability during market stress, with the decline spanning from September 2021 to May 2026 and still unrecovered. Recent volatility metrics show that short‑term (60‑day) volatility at 43.61% and medium‑term (252‑day) volatility at 49.8% are both above the long‑run average of 42.4%, suggesting a persisting elevated risk environment.

Volatility Metrics

JBI

The company’s annualized volatility of 42.4% is more than two times the S&P 500 benchmark, reflecting a highly reactive price profile that can amplify both gains and losses for investors. Downside deviation stands at 34.35%, meaning that negative returns are substantially larger than the market’s typical downside risk, while the -69.92% max drawdown—still in progress—demonstrates deep and prolonged capital erosion without any sign of recovery. Both the 60‑day (43.61%) and 252‑day (49.8%) volatilities exceed the historical average, indicating that recent market conditions have not alleviated the stock’s inherent risk.

JBI's volatility is more than twice that of the S&P 500, highlighting a high‑risk profile.
Downside deviation of 34.35% signals larger-than‑average negative return swings.
The maximum drawdown of -69.92% remains unrecovered after nearly five years, indicating severe downside exposure.
Current short‑ and medium‑term volatilities are above the long‑run average, suggesting persistent risk.
No recovery from the peak-to-trough decline points to a prolonged bearish regime.

Positive Characteristics
Elevated volatility can provide opportunities for tactical traders seeking larger price moves.
The stock’s high beta relative to the market may enhance returns in bullish cycles if risk is managed carefully.

Volatility Analysis

Janus International Group, Inc. (JBI) — Volatility & Drawdown Charts

Beta & Correlation

Janus International Group, Inc. (JBI) — Beta Profile

Janus International Group (JBI) exhibits a trailing beta of 0.636 versus the S&P 500, placing it firmly in the defensive range (<0.8). This indicates that the stock tends to move less than the broad market on average, offering lower volatility during equity rallies and downturns. However, the upside beta of 0.476 and downside beta of 0.401 reveal a modest asymmetry: the share’s price reacts slightly more to positive market moves than to negative ones, which can be valuable for investors seeking limited downside exposure while still capturing some rally upside. The low R‑squared of 0.095 (9.5% systematic risk) underscores that over 90% of JBI’s price variance is idiosyncratic, meaning the stock behaves largely independent of overall market dynamics and can serve as a diversification tool.

Beta & Correlation Metrics

JBI

The market beta of 0.636 signals defensive behavior relative to the S&P 500, suggesting that JBI will likely underperform in strong bull markets but also cushion losses in bear phases. Its sector beta of 0.569 versus XLI confirms that a sizable portion of its risk stems from broader industrial trends rather than pure market exposure; nonetheless, the sector correlation of only 0.299 indicates limited alignment with industrial cycles. The asymmetric upside/downside betas (0.476 vs 0.401) imply a slightly higher sensitivity to upward moves, offering modest upside capture without proportionally increasing downside risk.

Trailing market beta of 0.636 classifies JBI as defensive, implying lower volatility than the S&P 500.
Upside beta (0.476) exceeds downside beta (0.401), indicating modestly stronger reaction to positive market moves.
R‑squared of 9.5% shows that most price movement is idiosyncratic, enhancing diversification benefits.
Systematic risk accounts for only 9.5% of total variance, with 90.5% driven by company‑specific factors.
Sector beta (0.569) is lower than market beta, suggesting the stock’s primary risk driver is broader market rather than industrial sector dynamics.

Positive Characteristics
Low systematic exposure (9.5%) reduces sensitivity to macro‑economic shocks.
Defensive beta provides downside protection in volatile markets.
Asymmetric upside beta offers modest participation in market rallies while limiting downside acceleration.

Beta & Correlation

Janus International Group, Inc. (JBI) — Rolling Beta

Positive Notes

Low systematic exposure (9.5%) reduces sensitivity to macro‑economic shocks.

Defensive beta provides downside protection in volatile markets.

Asymmetric upside beta offers modest participation in market rallies while limiting downside acceleration.

Risk-Adjusted Returns

Janus International Group, Inc. (JBI) — Risk-Adjusted Performance

Janus International Group, Inc. (JBI) exhibits uniformly negative risk‑adjusted metrics, indicating that its realized returns have lagged the risk‑free rate on a per‑unit‑risk basis over the measurement period. The Sharpe ratio of -0.106 and Sortino ratio of -0.131 both fall below zero, confirming underperformance relative to a 3.63% risk‑free benchmark and suggesting that volatility—both total and downside—is eroding investor returns. Consequently, JBI ranks lowest (and only) in overall risk‑adjusted performance among the set of companies considered.

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

Risk-Adjusted Metrics

JBI

The Sharpe ratio of -0.106 signals that each unit of total volatility generated a return 10.6% below the risk‑free rate, while the more negative Sortino ratio (-0.131) implies an even larger shortfall when only downside volatility is considered, highlighting a pronounced weakness in protecting against losses. The Calmar ratio of -0.013 reflects that the company's annualized return is far outweighed by its maximum drawdown, indicating severe capital erosion during market downturns. An Information Ratio of -0.387 further demonstrates that active management has failed to produce consistent alpha; the negative value suggests systematic underperformance relative to a benchmark. Finally, the Treynor ratio of -7.081 shows that for each unit of systematic (beta) risk, JBI delivered returns 7.08% below the risk‑free rate, underscoring poor compensation for market exposure.

All risk‑adjusted ratios are negative, confirming underperformance versus the risk‑free rate.
The Sortino ratio is more adverse than the Sharpe ratio, indicating that downside volatility is a greater drag on performance.
A Calmar ratio near zero (negative) points to a severe max drawdown relative to any positive return.
Information Ratio below -0.5 reflects an inability of active management to generate consistent excess returns.

Positive Characteristics
None identified; the metrics uniformly signal risk‑adjusted weakness.

Risk-Adjusted Returns

Janus International Group, Inc. (JBI) — Rolling Sharpe & Sortino

Positive Notes

None identified; the metrics uniformly signal risk‑adjusted weakness.

Market Regime Analysis

Janus International Group, Inc. (JBI) — Regime Behavior

Janus International Group (JBI) exhibits a pronounced sensitivity to market volatility regimes. In calm up‑trends (Bull‑LowVol), the stock delivers a modest average monthly gain of 2.58%, reflecting its ability to ride broad equity rallies when risk appetite is stable. Conversely, during volatile up‑trends (Bull‑HighVol) the average return turns negative at -0.63% per month, indicating that heightened uncertainty erodes its performance despite an overall bullish market backdrop. In bearish environments, JBI’s downside exposure intensifies: a sharp loss of 6.55% in Bear‑LowVol and a still sizable decline of 3.65% in Bear‑HighVol, underscoring limited defensive qualities. The upside capture of 76.6% versus a downside capture of 149.4% yields a capture ratio of 0.51, meaning the stock captures roughly half as much upside as it concedes on the downside, a profile more characteristic of cyclical rather than defensive equities.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

JBI

In the current Bull‑HighVol regime—where the S&P 500 is above its 50‑day SMA but volatility is elevated—JBI’s historical average monthly return of -0.63% suggests a likely drag on portfolio performance, as the stock historically underperforms in such environments. The high downside capture (149.4%) further signals that any market pullbacks within this volatile uptrend could exacerbate losses. While the stock shows decent upside participation in calm bull markets, its asymmetric risk profile makes it less attractive when volatility remains high.

Market Regime Analysis

Janus International Group, Inc. (JBI) — Regime & Capture Charts

Regime Timeline

JBI generates positive returns only in Bull‑LowVol regimes (2.58% avg), but turns negative in Bull‑HighVol (-0.63%).
Downside capture of 149.4% indicates the stock loses more than the market during declines, especially evident in Bear‑LowVol (-6.55%).
Capture ratio of 0.51 is well below the ideal benchmark of >1.0, reflecting a net defensive weakness.
The current Bull‑HighVol environment aligns with JBI’s historically negative performance, implying short‑term headwinds.

Positive Characteristics
Strong upside participation in calm bull markets (76.6% capture) suggests the stock can benefit from stable growth periods.
Historical resilience in Bear‑HighVol (-3.65%) is less severe than in Bear‑LowVol, indicating some mitigation of losses when volatility is high.

Investment Highlights & Risk Summary

Janus International Group, Inc. (JBI) — Summary & Implications

Janus International Group (JBI) has delivered a challenging performance over the past year, posting a total return of -37.35% and an alpha of -56.34% versus the S&P 500. The stock’s risk profile is marked by high volatility (42.4% annualized), a deep max drawdown of -69.92%, and a negative Sharpe ratio (-0.106), indicating that returns have not compensated investors for the level of risk taken. Capture metrics reveal an unfavorable asymmetry, with upside capture at 76.6% but downside capture soaring to 149.4%, meaning the stock has amplified market declines while lagging on gains. Despite these headwinds, the beta of 0.636 suggests lower systematic exposure relative to the broader market, which could be useful for investors seeking a less volatile industrials exposure within a diversified portfolio.

Summary Dashboard

Investment Highlights

Beta of 0.636 indicates lower sensitivity to overall market movements, providing a modest defensive tilt in a volatile environment.
Upside capture of 76.6% shows the stock participates in roughly three‑quarters of market rallies, limiting upside loss relative to peers.
Sector beta of 0.569 suggests that within Industrials (XLI) the company is less exposed to sector swings, offering potential diversification benefits.

Risk-Return Rankings

JBI HIGH

High volatility and deep drawdown dominate a modest beta profile, resulting in an elevated risk-return balance.

Strength: Low systematic beta (0.636) reduces market‑related risk.

Concern: Negative Sharpe ratio (-0.106) and 149% downside capture signal poor risk‑adjusted performance.

Key Takeaways

The stock’s negative alpha of -56.34% signals substantial underperformance versus the S&P 500.
A max drawdown of nearly 70% highlights significant capital loss potential in adverse market regimes.
High volatility (42.4%) and a negative Sharpe ratio indicate that returns have not justified risk taken.
Downside capture exceeding 149% means the stock amplifies losses when the broader market falls.

PORTFOLIO IMPLICATIONS

Given its low beta but high idiosyncratic risk, JBI may serve as a niche diversifier for portfolios seeking reduced exposure to broad market movements while accepting company‑specific volatility. However, the pronounced downside asymmetry and negative risk‑adjusted metrics suggest that allocation should be limited to investors comfortable with substantial drawdowns and who have a clear view on a turnaround in the company's operational performance or industrials sector dynamics.

JBI

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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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