REX’s Upside Edge Amid a History of Deep Drawdowns

Why the current bull‑high‑vol regime may amplify gains while keeping downside flags in check

REX REX American Resources Corporation

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

REX American Resources Corporation (REX) — Return Performance

REX American Resources Corporation delivered a mixed return profile over the past five years, marked by modest short‑term underperformance but strong long‑run outperformance versus its sector benchmark (XLB). While the stock fell 3.93% and 1.43% over the trailing one‑month and three‑month windows, respectively—underperforming the sector by -2.92% and -2.75%—it posted a 38.99% gain over six months, outpacing the sector by 27.34%. The longer horizons show pronounced alpha generation: 84.48% total return YTD versus 68.03% for XLB, 97.02% over two years versus 78.92%, 158.01% over three years versus 129.61%, and a cumulative 198.87% gain over five years compared with 164.14% for the sector.

Period Returns vs S&P 500 & XLB

Monthly Returns Heatmap

REX

Alpha was negative in the near term, reflecting short‑term price pressure that lagged the sector by roughly -2% per month. However, from six months onward, REX generated substantial excess returns, delivering alpha of 31.12% over six months and sustaining high outperformance through the three- and five-year periods (92.1% and 127.05% respectively). This divergence suggests that while short‑term volatility suppressed performance, the business fundamentals and growth drivers have driven robust long‑run upside relative to its peers.

Returns Overview

REX American Resources Corporation (REX) — Return Charts

Volatility Analysis

REX American Resources Corporation (REX) — Volatility Profile

REX American Resources Corporation exhibits markedly higher price fluctuation than the broader market, with an annualized volatility of 46.72% 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 33.35% and a historical max drawdown of -65.5% over a three‑year period underscore vulnerability to prolonged declines, especially given the 2‑year span from its peak in May 2017 to trough in March 2020. Recent volatility metrics show that short‑term (60‑day) volatility at 40.56% remains above the long‑term 252‑day average of 31.8%, suggesting that market stress or company‑specific factors continue to elevate risk levels relative to its historical norm.

Volatility Metrics

REX

The company's volatility is substantially higher than the S&P 500 benchmark, reflecting a risk profile suited for investors comfortable with aggressive price swings. Downside deviation of 33.35% and a maximum drawdown of -65.5% illustrate deep loss potential during market downturns, while the two‑year duration of that drawdown highlights extended recovery periods. Although the current 60‑day volatility exceeds the long‑term 252‑day average, the recent reduction from its peak annualized level suggests some moderation, yet risk remains elevated compared with broader equity markets.

Annualized volatility of REX is 162% higher than the S&P 500.
Downside deviation stands at 33.35%, indicating sizable loss‑oriented fluctuations.
Maximum historical drawdown reached -65.5% over a 2‑year period, reflecting deep and prolonged downside exposure.
Current 60‑day volatility (40.56%) is above the long‑term 252‑day average (31.8%), signaling ongoing heightened risk.
Despite recent volatility easing from its peak, REX’s risk metrics remain significantly above market benchmarks.

Positive Characteristics
The decline in short‑term volatility relative to its historical peak suggests a potential stabilization of price swings.
Recovery from the 2020 trough was completed by March 2021, demonstrating that extreme drawdowns can be reversed within a reasonable timeframe.

Volatility Analysis

REX American Resources Corporation (REX) — Volatility & Drawdown Charts

Beta & Correlation

REX American Resources Corporation (REX) — Beta Profile

REX American Resources Corporation exhibits a trailing beta of 1.083 versus the S&P 500, positioning it squarely in the market‑like range (0.8–1.2). This indicates that, on average, the stock moves slightly more than the broad market but does not display the heightened volatility of an aggressive (>1.2) ticker. The upside beta of 1.164 exceeds the downside beta of 1.116, suggesting marginally higher sensitivity to positive market moves relative to negative ones—a nuance that risk managers should note when constructing asymmetric exposure strategies.

Beta & Correlation Metrics

REX

The market beta of 1.083 implies the stock will gain roughly 8.3% for every 10% rise in the S&P 500, while a comparable decline would result in about a 7.9% loss, reflecting modestly amplified upside risk. The R‑squared of 0.17 means only 17% of REX’s price variance is explained by market movements; consequently, 83% stems from idiosyncratic factors, offering substantial diversification benefits for portfolios seeking exposure outside pure market dynamics. Comparing the sector beta of 0.991 to the market beta reveals that most systematic risk derives from broader equity trends rather than sector‑specific drivers, as the stock’s sensitivity to the Basic Materials index is essentially neutral.

Trailing market beta (1.083) places REX in a market‑like risk profile.
Upside beta (1.164) exceeds downside beta (1.116), indicating slightly higher upside sensitivity.
R‑squared of 0.17 signals low correlation with overall market movements, enhancing diversification potential.
Systematic risk accounts for only 17% of total variance; idiosyncratic risk dominates at 83%.
Sector beta (0.991) is nearly neutral, showing that sector exposure contributes minimally to total systematic risk.

Positive Characteristics
Low market R‑squared provides a strong diversification buffer.
Neutral sector beta reduces vulnerability to Basic Materials industry cycles.
Higher upside beta offers modest potential for outperformance in bullish environments.

Beta & Correlation

REX American Resources Corporation (REX) — Rolling Beta

Positive Notes

Low market R‑squared provides a strong diversification buffer.

Neutral sector beta reduces vulnerability to Basic Materials industry cycles.

Higher upside beta offers modest potential for outperformance in bullish environments.

Risk-Adjusted Returns

REX American Resources Corporation (REX) — Risk-Adjusted Performance

REX American Resources Corporation (REX) delivers a modest risk-adjusted return profile, reflected by a Sharpe ratio of 0.428, which falls well below the benchmark threshold of 1.0 for attractive risk‑adjusted performance. The Sortino ratio of 0.6 exceeds the Sharpe figure, indicating that downside volatility is less pronounced than overall volatility and that the stock’s returns are relatively smoother on the loss side. However, other metrics—Calmar at 0.361, Information Ratio at 0.254, and a high Treynor ratio of 18.459—paint a mixed picture: while systematic risk compensation appears strong, the fund's ability to generate consistent alpha and to limit drawdowns is limited.

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

Risk-Adjusted Metrics

REX

The Sharpe ratio of 0.428 suggests that REX generates only $0.43 of excess return per unit of total risk, signaling underperformance relative to the risk‑free rate when adjusted for volatility. In contrast, the Sortino ratio of 0.6 shows a more favorable downside risk profile, implying that investors are being compensated better for the portion of volatility that actually leads to losses. The Calmar ratio of 0.361 indicates that the stock’s annualized return is roughly one‑third of its maximum historical drawdown, highlighting vulnerability during market stress periods. An Information Ratio of 0.254 falls short of the 0.5 benchmark, suggesting that active management has produced modest and inconsistent alpha relative to a relevant benchmark.

Sharpe ratio well below 1.0 points to weak total risk‑adjusted returns.
Sortino ratio exceeds Sharpe, indicating a relatively benign downside volatility environment.
Calmar ratio of 0.361 signals that worst‑case drawdowns have eroded a sizable share of returns.
Information Ratio under 0.5 reflects limited consistency in generating excess alpha.
High Treynor ratio (18.459) shows strong compensation for systematic market risk.

Positive Characteristics
Sortino ratio above Sharpe suggests the stock’s downside risk is less severe than its overall volatility.
Treynor ratio indicates robust return per unit of beta, rewarding investors taking on market exposure.

Risk-Adjusted Returns

REX American Resources Corporation (REX) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe suggests the stock’s downside risk is less severe than its overall volatility.

Treynor ratio indicates robust return per unit of beta, rewarding investors taking on market exposure.

Market Regime Analysis

REX American Resources Corporation (REX) — Regime Behavior

REX American Resources Corporation (REX) demonstrates pronounced sensitivity to market volatility, delivering modest returns in calm uptrends but generating strong performance when the S&P 500 is rising amid heightened volatility. In bear environments the stock is markedly defensive, posting near‑zero loss in orderly declines and limiting downside to just -1.2% on average during volatile downturns. The asymmetry is captured by an upside capture of 93.4% combined with a low downside capture of 38.1%, yielding a capture ratio of 2.45, indicating that the stock extracts substantially more upside than it concedes on the downside.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

REX

During Bull‑LowVol periods REX averages a modest 1.37% monthly return over 63 months, reflecting limited upside when market moves are smooth. In contrast, Bull‑HighVol regimes boost average returns to 4.93% per month across 37 months, underscoring the stock’s ability to thrive amid price swings in an upward market. Bear‑LowVol conditions see virtually flat performance (-0.08% monthly), while Bear‑HighVol environments still produce a small negative average of -1.2%, highlighting its defensive character when markets are volatile and falling.

Market Regime Analysis

REX American Resources Corporation (REX) — Regime & Capture Charts

Regime Timeline

REX’s upside capture (93.4%) is close to parity with the market, but its downside capture (38.1%) is markedly lower, producing a strong capture ratio of 2.45.
The stock’s performance spikes in Bull‑HighVol regimes (+4.93% avg) while remaining near‑flat in Bear‑LowVol periods (-0.08% avg).
Defensive qualities are evident in bear markets, with limited losses even during volatile declines (only -1.2% average).
Current regime is Bull‑HighVol, aligning with REX’s strongest historical return environment.
A capture ratio above 1.0 confirms that REX consistently captures more upside than downside across cycles.

Positive Characteristics
Strong upside performance in volatile bull markets (+4.93% avg).
Low downside exposure during bear periods, especially Bear‑HighVol (-1.2% avg).
Capture ratio of 2.45 signals favorable risk‑adjusted return profile.

Investment Highlights & Risk Summary

REX American Resources Corporation (REX) — Summary & Implications

The company delivered an exceptional 1‑year total return of 84.48%, generating an alpha of 65.48% versus the S&P 500 and outpacing its sector (XLB) by 68.03%. This performance reflects strong price appreciation, but it came with pronounced risk characteristics: annualized volatility of 46.72% and a maximum drawdown of –65.5%, indicating that investors experienced substantial swings and deep capital losses during market stress. The stock’s beta of 1.083 suggests slightly higher sensitivity to broad market moves, while its Sharpe ratio of 0.428 signals modest excess return per unit of total risk; the Sortino ratio of 0.6 improves the picture by focusing on downside volatility. Upside capture of 93.4% versus a downside capture of only 38.1% demonstrates an asymmetric profile that has historically limited losses in down markets while still participating in gains, offering potential diversification benefits for risk‑aware portfolios. Over the next 6‑18 months, investors should weigh the attractive return and sector outperformance against the high volatility and deep drawdown history, recognizing that future upside may be tempered by the same forces that produced past declines.

Summary Dashboard

Investment Highlights

1‑year total return of 84.48% represents a substantial absolute gain for shareholders.
Alpha of 65.48% versus the S&P 500 and sector alpha of 68.03% indicate strong outperformance relative to both market and peers.
Upside capture of 93.4% combined with downside capture of only 38.1% yields an asymmetric risk profile that limits losses during market declines.
Beta of 1.083 is modestly above the market, suggesting the stock moves roughly in line with broader equity trends while still offering some independent return potential.

Risk-Return Rankings

REX HIGH

High‑return, high‑volatility profile with strong upside capture but deep historical drawdown.

Strength: Exceptional 1‑year return and sector‑beating alpha.

Concern: Maximum drawdown of –65.5% and annualized volatility of 46.7%.

Key Takeaways

The company’s return metrics vastly exceed market and sector benchmarks, reflecting powerful price momentum.
Volatility and drawdown risk are elevated, meaning investors must be comfortable with large short‑term swings.
Asymmetric capture (high upside, low downside) can provide diversification benefits in mixed‑beta portfolios.
Sharpe ratio below 1.0 suggests that excess returns come at a significant risk cost.

PORTFOLIO IMPLICATIONS

Given its high return and high volatility, the stock may suit aggressive growth allocations or as a satellite position within a diversified portfolio seeking asymmetric upside exposure. Its low downside capture can help cushion overall portfolio losses during market downturns, but the deep historical drawdown warrants limiting exposure to a modest percentage of total equity risk. Combining this business with lower‑beta, lower‑volatility holdings could balance the risk‑return trade‑off and improve the portfolio’s overall Sharpe ratio.

REX

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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.

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.