Schneider National’s Bull‑HighVol Surge: Alpha Amid Historic Drawdowns

Why the carrier’s strong upside comes with lingering downside risk flags

SNDR Schneider National, 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

Schneider National, Inc. (SNDR) — Return Performance

Schneider National, Inc. (SNDR) delivered robust absolute returns across all horizons, most notably a 54.66% gain over the past year and an 81.42% increase over five years. Relative to its industrial sector ETF benchmark, SNDR generated positive alpha in every period except the three‑year window, where it underperformed by -31.92%, indicating that short- to medium-term performance has been driven largely by outperformance of the broader sector.

Period Returns vs S&P 500 & XLI

Monthly Returns Heatmap

SNDR

The stock produced strong short‑term alpha, delivering 7.88% excess return versus the sector in one month and 28.06% over three months, reflecting momentum from favorable earnings and freight demand. Over longer horizons, alpha turned negative for the three‑year period (-31.92%) while remaining modestly positive at 9.61% over five years, suggesting that recent outperformance may be temporary and tied to cyclical tailwinds rather than a durable competitive edge.

Returns Overview

Schneider National, Inc. (SNDR) — Return Charts

Volatility Analysis

Schneider National, Inc. (SNDR) — Volatility Profile

Schneider National (SNDR) exhibits markedly higher price variability than the broader market, with an annualized volatility of 31.17% versus the S&P 500's 17.78%, indicating roughly 75% greater dispersion around its mean return. The stock’s downside risk metrics are also pronounced: a downside deviation of 20.87% and a historical maximum drawdown of -44.04% that persisted for over three years from May 2018 to December 2021, reflecting significant vulnerability during adverse market regimes. While the recent 60‑day volatility (42.78%) and 252‑day volatility (39.45%) sit above the long‑term average, they signal that the stock remains in a heightened risk environment relative to its historical baseline.

Volatility Metrics

SNDR

Schneider National's volatility profile is substantially more aggressive than the S&P 500 benchmark, with both short‑term (60‑day) and medium‑term (252‑day) volatilities exceeding its long‑run annualized level of 31.17%. The elevated downside deviation of 20.87% suggests that negative returns are more extreme than positive ones, a concern for risk‑averse investors. Moreover, the -44.04% max drawdown, lasting roughly three and a half years before full recovery, underscores the stock’s potential for prolonged periods of depressed pricing during market stress.

Annualized volatility is 75% higher than the S&P 500 (31.17% vs 17.78%).
Downside deviation of 20.87% indicates pronounced asymmetric risk.
Maximum drawdown of -44.04% lasted over three years, highlighting deep and extended downside exposure.
Current 60‑day (42.78%) and 252‑day (39.45%) volatilities are above the long‑term average, pointing to a sustained high‑risk environment.

Positive Characteristics
The stock has fully recovered from its deepest drawdown as of December 2021, demonstrating resilience after severe stress.
Higher volatility can translate into larger upside moves for investors with higher risk tolerance.

Volatility Analysis

Schneider National, Inc. (SNDR) — Volatility & Drawdown Charts

Beta & Correlation

Schneider National, Inc. (SNDR) — Beta Profile

Schneider National exhibits a trailing beta of 0.8 versus the S&P 500, placing it at the upper edge of the defensive range (beta < 0.8) and just within the market‑like band (0.8–1.2). This indicates that the stock’s price movements tend to be slightly less volatile than the broad market, offering modest downside protection while still participating in upside trends. The asymmetric beta profile—upside beta of 0.764 versus downside beta of 0.658—shows a marginally stronger response on the upside, suggesting that positive market moves translate into larger relative gains than negative moves erode value, an important nuance for risk‑adjusted positioning.

Beta & Correlation Metrics

SNDR

The market beta of 0.8 signals a defensive tilt, meaning the stock is expected to move roughly 80% of S&P 500’s swings, dampening exposure during broad market sell‑offs. However, its sector beta of 0.801 against the Industrials index (XLI) mirrors this behavior, implying that most of the systematic risk stems from general equity market dynamics rather than pure industrial sector cycles. With an R-squared of 22.9% to the S&P 500 and a sector R² of 27.9%, only about one‑quarter of Schneider’s price variance is explained by either benchmark, underscoring a high idiosyncratic component (77.1%) that can be leveraged for diversification.

Trailing market beta of 0.8 classifies Schneider as defensive to slightly market‑like, limiting volatility relative to the S&P 500.
Upside beta (0.764) exceeds downside beta (0.658), indicating a modest asymmetry that favors gains in rising markets.
R-squared of 22.9% reveals that roughly 77% of price movement is driven by factors unrelated to the broader market, offering diversification benefits.
Systematic risk accounts for only 22.9% of total variance, while idiosyncratic risk dominates at 77.1%, highlighting company‑specific drivers.
Sector beta (0.801) closely matches market beta, suggesting that sector exposure contributes little additional risk beyond the overall market sensitivity.

Positive Characteristics
Defensive trailing beta reduces downside volatility during broad market corrections.
Higher upside beta than downside beta provides asymmetric upside potential in bullish environments.
Low R-squared and high idiosyncratic risk indicate strong diversification value within a broader portfolio.

Beta & Correlation

Schneider National, Inc. (SNDR) — Rolling Beta

Positive Notes

Defensive trailing beta reduces downside volatility during broad market corrections.

Higher upside beta than downside beta provides asymmetric upside potential in bullish environments.

Low R-squared and high idiosyncratic risk indicate strong diversification value within a broader portfolio.

Risk-Adjusted Returns

Schneider National, Inc. (SNDR) — Risk-Adjusted Performance

Schneider National, Inc. (SNDR) delivers modest risk-adjusted returns relative to standard benchmarks. The Sharpe ratio of 0.343 falls well below the 1.0 threshold that signals a strong risk‑adjusted performance, indicating that the stock’s excess return over the 3.63% risk‑free rate is limited per unit of total volatility. However, the Sortino ratio of 0.512 exceeds the Sharpe figure, suggesting that downside volatility is less pronounced than overall volatility and that the equity has a relatively more favorable loss profile.

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

Risk-Adjusted Metrics

SNDR

The Calmar ratio of 0.325 points to a modest return relative to the worst historical drawdown, implying that periods of decline have eroded a sizable portion of gains. An Information Ratio of 0.003 indicates near‑zero consistent alpha generation; active management has not added appreciable value beyond market expectations. The Treynor ratio of 13.369, expressed as excess return per unit of systematic risk (beta), is high in absolute terms but must be interpreted alongside the low Sharpe, revealing that while the stock may reward market exposure, it does so with limited upside after accounting for total risk.

Sharpe ratio of 0.343 signals weak overall risk‑adjusted performance.
Sortino ratio exceeds Sharpe, indicating a relatively benign downside volatility profile.
Calmar ratio of 0.325 reflects sensitivity to drawdowns and limited compensation for worst‑case losses.
Information Ratio near zero shows negligible consistent alpha from active management.
High Treynor ratio suggests reward for market exposure but is offset by low total risk‑adjusted returns.

Positive Characteristics
Sortino ratio above the Sharpe indicates that downside risk is less severe than overall volatility.
Treynor ratio of 13.369 demonstrates substantial excess return per unit of systematic risk, beneficial for investors seeking market beta exposure.

Risk-Adjusted Returns

Schneider National, Inc. (SNDR) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above the Sharpe indicates that downside risk is less severe than overall volatility.

Treynor ratio of 13.369 demonstrates substantial excess return per unit of systematic risk, beneficial for investors seeking market beta exposure.

Market Regime Analysis

Schneider National, Inc. (SNDR) — Regime Behavior

Schneider National (SNDR) exhibits a pronounced sensitivity to market volatility within bullish cycles, delivering an average monthly return of 2.85% during Bull-HighVol periods—significantly above the 1.71% achieved in calmer Bull-LowVol environments. In contrast, its performance deteriorates sharply when markets turn bearish, with a steep -3.9% loss in Bear‑LowVol months and a milder but still negative -1.74% during Bear‑HighVol intervals. The company’s upside capture of 111.0% indicates it tends to outperform the S&P 500 on the upside, yet its downside capture of 119.9% reveals a higher propensity to fall faster than the index in down markets, resulting in an overall capture ratio of 0.93, below the neutral benchmark of 1.0. Given the current Bull‑HighVol regime—characterized by rising equity prices coupled with elevated volatility—the stock’s historical strength in such environments suggests it may continue to generate above‑average returns, albeit with heightened downside risk if market sentiment shifts.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

SNDR

In Bull-LowVol conditions, Schneider National delivers modest gains (1.71% per month), reflecting steady demand for transportation services amid a stable equity rally. The stock’s performance improves markedly in Bull-HighVol periods, posting 2.85% average monthly returns, which suggests that the company benefits from increased freight volumes and pricing power during volatile uptrends. However, its defensive qualities are limited; in Bear-LowVol months it suffers a steep -3.9% decline, indicating vulnerability to broader economic slowdowns, while the less severe -1.74% loss in Bear-HighVol suggests some resilience when volatility is high but market direction is negative.

Market Regime Analysis

Schneider National, Inc. (SNDR) — Regime & Capture Charts

Regime Timeline

Schneider National’s upside capture (111.0%) exceeds the S&P 500, confirming strong participation in market rallies.
Downside capture (119.9%) surpasses the index, highlighting heightened sensitivity to market declines and a capture ratio below 1.0.
The stock’s best historical returns occur in Bull-HighVol regimes (+2.85% avg), aligning with the current market environment.
Defensive performance is weak; the -3.9% average loss in Bear-LowVol periods signals considerable downside risk during calm declines.

Positive Characteristics
Robust upside capture suggests the company can capitalize on freight demand spikes during bullish, volatile markets.
Historical resilience in Bear-HighVol months (-1.74%) indicates a modest buffer against sharp market turbulence.

Investment Highlights & Risk Summary

Schneider National, Inc. (SNDR) — Summary & Implications

Schneider National (SNDR) delivered a stellar 1‑year total return of 54.66%, generating an alpha of 35.66% versus the S&P 500 and outpacing its industrials peer group by 35.69%. The stock’s beta of 0.8 indicates lower systematic risk than the market, yet volatility remains elevated at an annualized 31.17%, reflecting the cyclical nature of transportation services. While upside capture exceeds the benchmark at 111.0%, downside capture is weaker at 119.9%, signaling that the share price has historically fallen more sharply than the sector during market declines. Investors must weigh the strong absolute performance against a deep historical drawdown of -44.04% and modest risk‑adjusted metrics, including a Sharpe ratio of 0.343 and Sortino of 0.512.

Summary Dashboard

Investment Highlights

1‑year total return of 54.66% represents robust absolute performance relative to the S&P 500’s ~19% gain over the same period.
Alpha of 35.66% versus the S&P 500 and sector alpha of 35.69% demonstrate consistent outperformance on a risk‑adjusted basis.
Beta of 0.8 suggests lower sensitivity to broad market moves, potentially cushioning the portfolio in a sideways or declining equity environment.
Upside capture ratio of 111.0% indicates that SNDR participates fully in market rallies, adding upside potential when equities rise.

Risk-Return Rankings

SNDR ELEVATED

High return with strong outperformance but marked by deep drawdown risk and modest risk‑adjusted returns.

Strength: Exceptional 1‑year alpha of +35.66% versus the S&P 500.

Concern: Deep max drawdown of -44.04% and downside capture of 119.9% indicate vulnerability in market declines.

Key Takeaways

SNDR’s outperformance is driven by strong demand for logistics services and efficient asset utilization, reflected in its high alpha.
The stock’s volatility (31.17%) exceeds the S&P 500’s typical ~17% level, implying larger price swings that may deter risk‑averse investors.
Modest Sharpe (0.343) and Sortino (0.512) ratios suggest that excess returns come with proportionally higher risk.
Downside capture above 100% signals that the stock tends to lose more than the sector during market corrections, a key downside asymmetry.

PORTFOLIO IMPLICATIONS

Schneider National can serve as a high‑return supplement in a diversified industrials allocation, offering upside participation when logistics demand accelerates. However, its elevated volatility and deep historical drawdown warrant limiting exposure to a modest weight, especially for investors with lower risk tolerance. Pairing SNDR with lower‑beta, higher‑Sharpe assets can smooth portfolio returns while preserving the potential for outsized gains during economic expansions.

SNDR

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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.

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