NeoGenomics’ High‑Vol Rally Masks a History of Deep Drawdowns

Three risk flags suggest the current bull momentum may be vulnerable

NEO NeoGenomics, 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

NeoGenomics, Inc. (NEO) — Return Performance

NeoGenomics (NEO) delivered a mixed return profile across horizons, outperforming its healthcare sector ETF over most periods but exhibiting pronounced volatility in longer terms. The stock posted a 46.9% total return over the past three months, generating an alpha of 33.8% versus the sector and a sector-adjusted excess of 42.53%, while the one‑year gain of 49.11% still beat the sector by 30.11% (sector‑adjusted +34.58%). However, performance deteriorated sharply beyond two years, with cumulative returns turning negative (-21.41% over 2Y, -32.17% over 3Y and -75.87% over 5Y) and alpha slipping to -56.63%, -98.08% and -147.68% respectively, indicating a long‑term divergence from sector trends.

Period Returns vs S&P 500 & XLV

Monthly Returns Heatmap

NEO

In the short term (1M–3M), NEO generated strong positive alpha, notably a 33.8% excess over the sector in three months and a sector‑adjusted outperformance of 42.53%, reflecting robust recent momentum. Over medium horizons (6M–1Y) the stock still delivered upside relative to its peers, albeit with reduced alpha (-15.18% at six months but +30.11% at one year). The long‑term record (2Y‑5Y) shows a stark reversal, with cumulative returns and alpha both deeply negative, suggesting that recent gains may be unsustainable without new growth catalysts.

Returns Overview

NeoGenomics, Inc. (NEO) — Return Charts

Volatility Analysis

NeoGenomics, Inc. (NEO) — Volatility Profile

NeoGenomics exhibits markedly higher price fluctuation than the broad market, with an annualized volatility of 57.37% versus the S&P 500's 17.78%, indicating roughly three times the typical equity risk. The stock’s downside profile is severe: a downside deviation of 41.61% and a historic maximum drawdown of -91.92% over a four‑year span underscore a pronounced vulnerability to prolonged declines. While short‑term (60‑day) volatility remains slightly below its one‑year average, both metrics sit well above the market benchmark, suggesting that risk levels are persistently elevated rather than transitory.

Volatility Metrics

NEO

NeoGenomics' current 60‑day volatility of 56.63% is marginally lower than its 252‑day figure of 59.84%, indicating a modest short‑term easing but still far above the long‑term average of 57.37%. The downside deviation of 41.61% reflects that negative returns are more extreme than positive ones, and the -91.92% max drawdown—spanning from February 2021 to July 2025 with no recovery—highlights both depth and duration risk. Compared with the S&P 500’s downside deviation near 12% and maximum drawdowns typically under 60%, NeoGenomics presents a substantially higher tail‑risk profile.

Annualized volatility is more than three times that of the S&P 500.
Downside deviation (41.61%) far exceeds the market norm, indicating asymmetric risk.
Maximum drawdown depth of -91.92% represents an extreme loss scenario with a multi‑year duration.
Short‑term volatility remains slightly below the one‑year average but is still elevated relative to benchmarks.

Positive Characteristics
The slight reduction in 60‑day volatility versus the 252‑day level suggests a modest short‑term stabilization.
Despite high overall risk, the stock has not yet exhibited any recovery, implying that future upside moves could be sizable if fundamentals improve.

Volatility Analysis

NeoGenomics, Inc. (NEO) — Volatility & Drawdown Charts

Beta & Correlation

NeoGenomics, Inc. (NEO) — Beta Profile

NeoGenomics, Inc. (NEO) exhibits a trailing beta of 1.285 versus the S&P 500, placing it in the aggressive category (>1.2). This indicates that the stock tends to amplify broad market movements by roughly 29% and is therefore more volatile than the overall market. The upside beta of 1.335 exceeds the downside beta of 1.218, suggesting that gains tend to be slightly larger on positive market days while losses are somewhat muted on declines—a useful asymmetry for risk‑adjusted portfolio construction.

Beta & Correlation Metrics

NEO

The market beta of 1.285 signals that NeoGenomics is more sensitive to general equity market swings than a typical healthcare stock, which often clusters around a beta of 1.0. Its sector beta of 1.222 versus the XLV index shows that most of this sensitivity stems from broader market forces rather than pure healthcare dynamics, as the sector contribution accounts for roughly 95% of the total market beta (1.222/1.285). The correlation with the S&P 500 stands at 0.398 and R‑squared at 15.9%, meaning only a modest 16% of NEO’s price variance is explained by market movements, leaving 84% driven by idiosyncratic factors.

Trailing beta of 1.285 classifies NeoGenomics as an aggressive stock relative to the S&P 500.
Upside beta (1.335) exceeds downside beta (1.218), indicating a slight bias toward larger gains in rising markets.
R‑squared of 15.9% shows limited explanatory power from market movements, implying strong diversification potential.
Systematic risk accounts for only 15.9% of total variance, while idiosyncratic risk dominates at 84.1%.
Sector beta (1.222) is close to the market beta, suggesting that most systematic exposure derives from overall market dynamics rather than sector‑specific factors.

Positive Characteristics
The higher upside beta provides potential for outsized returns during bullish periods.
Low R‑squared and high idiosyncratic risk indicate that NeoGenomics can add diversification benefits to a broader portfolio.

Beta & Correlation

NeoGenomics, Inc. (NEO) — Rolling Beta

Positive Notes

The higher upside beta provides potential for outsized returns during bullish periods.

Low R‑squared and high idiosyncratic risk indicate that NeoGenomics can add diversification benefits to a broader portfolio.

Risk-Adjusted Returns

NeoGenomics, Inc. (NEO) — Risk-Adjusted Performance

NeoGenomics, Inc. (NEO) delivers modest risk-adjusted returns in the current market environment. A Sharpe ratio of 0.376 indicates that the stock’s excess return over the 3.63% risk‑free rate is low relative to its total volatility, falling well below the benchmark threshold of 1.0 for a desirable risk‑adjusted performance. Nonetheless, the Sortino ratio of 0.518 exceeds the Sharpe figure, suggesting that downside volatility is less pronounced than overall volatility and that the equity’s return profile benefits from a relatively smoother loss side.

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

Risk-Adjusted Metrics

NEO

The Calmar ratio of 0.274 signals that NeoGenomics has generated only about 27% of its annualized return for each unit of maximum drawdown, implying a fairly severe historical peak‑to‑trough loss relative to its earnings. An Information Ratio of 0.234 falls short of the 0.5 benchmark, indicating that any alpha produced by active management is modest and not consistently above the chosen benchmark. The Treynor ratio of 16.766, while numerically high, must be interpreted against a beta near unity; it suggests the stock has delivered a sizable excess return per unit of systematic risk, but this figure alone does not offset the weaker absolute risk‑adjusted metrics.

Sharpe ratio (0.376) is well below 1.0, reflecting limited reward for total volatility.
Sortino ratio (0.518) exceeds Sharpe, highlighting a comparatively favorable downside risk profile.
Calmar ratio (0.274) indicates that drawdowns have eroded a large portion of returns.
Information Ratio (0.234) suggests modest and inconsistent alpha generation.
Treynor ratio (16.766) points to strong excess return relative to systematic risk, but does not compensate for overall weak risk‑adjusted scores.

Positive Characteristics
Sortino ratio surpasses Sharpe, showing that downside volatility is less of a concern than total volatility.
Treynor ratio demonstrates the stock’s ability to generate significant excess return per unit of market risk.

Risk-Adjusted Returns

NeoGenomics, Inc. (NEO) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio surpasses Sharpe, showing that downside volatility is less of a concern than total volatility.

Treynor ratio demonstrates the stock’s ability to generate significant excess return per unit of market risk.

Market Regime Analysis

NeoGenomics, Inc. (NEO) — Regime Behavior

NeoGenomics, Inc. (NEO) demonstrates pronounced sensitivity to market volatility, delivering strong returns during bullish periods that are accompanied by heightened volatility while sustaining modest losses in bearish environments. In the Bull-HighVol regime, the stock posted an average monthly gain of 7.06% over 37 months, markedly outperforming its 3.19% return in the calmer Bull-LowVol setting, indicating a propensity to rally when risk appetite is elevated. Conversely, during bear markets the company’s downside performance remains relatively consistent, with average declines of -4.78% in Bear‑LowVol and -5.26% in Bear‑HighVol regimes, suggesting limited defensive characteristics.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

NEO

In bullish environments the stock’s upside capture ratio of 176.0% means it extracts 76% more gain than the S&P 500, while its downside capture of 156.2% signals that even in up markets it still tracks a portion of market declines. The resulting capture ratio of 1.13 confirms that NEO captures more upside than downside on a relative basis, yet the elevated downside capture tempers the overall benefit. Because the current regime is Bull‑HighVol—S&P above its 50‑day SMA with realized volatility above median—the company’s historical 7.06% average return suggests it could continue to outperform if volatility persists.

Market Regime Analysis

NeoGenomics, Inc. (NEO) — Regime & Capture Charts

Regime Timeline

NEO excels in volatile bull markets, delivering over double the S&P's upside while still exhibiting higher downside capture.
Defensive qualities are limited; bear‑regime returns remain negative and similar across low‑ and high‑vol environments.
The capture ratio of 1.13 indicates a net positive asymmetry but is constrained by a downside capture above 100%, implying exposure to market drops.
Current Bull‑HighVol conditions align with the regime where NEO has historically posted its strongest performance.

Positive Characteristics
Strong upside capture (176%) in bullish periods provides significant upside potential when risk appetite rises.
Higher returns during volatile uptrends (7.06% average) suggest the stock benefits from market momentum and investor enthusiasm for growth stocks.

Investment Highlights & Risk Summary

NeoGenomics, Inc. (NEO) — Summary & Implications

NeoGenomics, Inc. (NEO) delivered a remarkable 1‑year total return of 49.11%, generating an alpha of 30.11% versus the S&P 500 and outpacing its healthcare sector ETF (XLV) by 34.58%. The stock’s upside capture ratio of 176% indicates it participates strongly in market rallies, while a downside capture of 156% shows amplified losses during market declines. Risk metrics are mixed: an annualized volatility of 57.37% and a beta of 1.285 signal heightened sensitivity to broader equity movements, yet the Sharpe ratio of 0.376 and Sortino ratio of 0.518 suggest modest risk‑adjusted performance relative to its high return profile. The most striking risk flag is a historic maximum drawdown of –91.92%, underscoring the potential for severe capital erosion if adverse market conditions recur. Investors should weigh the attractive absolute returns and sector outperformance against the pronounced volatility and deep drawdown history. While NEO’s upside capture demonstrates strong participation in bullish environments, its downside capture exceeding 150% reflects an asymmetric risk profile that can erode gains quickly. The current risk‑adjusted metrics fall short of traditional thresholds (Sharpe > 1.0), indicating that excess returns are being earned at a relatively high cost of risk. Over the next 6–18 months, any shift in market sentiment toward defensive healthcare themes could benefit NEO, but heightened volatility and potential for further drawdowns remain material considerations. In portfolio construction, NEO may serve as a growth‑oriented satellite position within a diversified health‑care allocation, offering upside participation while requiring careful sizing due to its elevated risk characteristics. Complementary low‑beta or lower‑volatility holdings can temper the overall portfolio volatility and provide downside protection.

Summary Dashboard

Investment Highlights

1‑year total return of 49.11% translates into an alpha of 30.11% versus the S&P 500, indicating strong absolute outperformance.
Sector alpha of 34.58% against XLV shows NEO is outperforming its healthcare peers by a wide margin.
Upside capture ratio of 176% demonstrates that the stock captures 76% more upside than the market during bullish periods.
Beta of 1.285 reflects higher sensitivity to market moves, which can amplify gains when equities rise.

Risk-Return Rankings

NEO HIGH

High return with elevated volatility and deep drawdown risk.

Strength: Exceptional 1‑year total return and sector outperformance (49.11% return, 34.58% sector alpha).

Concern: Maximum historical drawdown of –91.92% and volatility of 57.37%.

Key Takeaways

NEO’s returns far exceed both the market and its healthcare sector benchmark.
Risk‑adjusted metrics (Sharpe 0.376, Sortino 0.518) are modest given the high return level.
The stock exhibits asymmetric risk with downside capture of 156%, meaning losses can outpace gains in down markets.
Historical drawdown depth highlights the potential for severe capital loss during adverse periods.

PORTFOLIO IMPLICATIONS

NEO is best suited as a small, high‑conviction growth position within a broader, diversified portfolio. Its strong upside capture can boost overall returns when equity markets are bullish, but the elevated volatility and deep drawdown history necessitate tight risk limits and complementary low‑beta or defensive assets to mitigate downside exposure. Investors should monitor market sentiment toward healthcare and consider dynamic sizing based on volatility regimes.

NEO

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Report written 2026-06-07 • Finexus

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