STAAR Surgical’s Upside Edge Amid a History of Deep Drawdowns

Why the current Bull‑HighVol regime could amplify alpha while risk flags linger

STAA STAAR Surgical Company

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

STAAR Surgical Company (STAA) — Return Performance

STAAR Surgical (STAA) delivered a mixed return profile across horizons, posting strong short‑term outperformance but pronounced long‑term underperformance relative to its sector benchmark. Over the past month the stock rose 0.33% while generating alpha of 2.92% versus the XLV ETF, yet over three years it fell 42.95% with an alpha lag of -108.86%, indicating that recent gains have not translated into sustained superior performance.

Period Returns vs S&P 500 & XLV

Monthly Returns Heatmap

STAA

The stock produced positive alpha in the 1‑month (2.92%) and 3‑month (47.27%) windows, reflecting short‑term market outperformance; however, its cumulative returns over 2‑year (-37.01%), 3‑year (-42.95%), and 5‑year (-80.33%) periods were markedly negative with alpha deficits of -72.23%, -108.86% and -152.15% respectively, signaling long‑term divergence from sector peers.

Returns Overview

STAAR Surgical Company (STAA) — Return Charts

Volatility Analysis

STAAR Surgical Company (STAA) — Volatility Profile

STAAR Surgical Company (STAA) exhibits markedly higher price variability than the broader market, with an annualized volatility of 58.64% compared to the S&P 500's 17.78%, indicating more than three times the typical equity risk level. The stock’s downside profile is severe: a downside deviation of 37.02% reflects substantial loss potential on negative days, and the historical maximum drawdown of -90.72% spanned from September 2021 to April 2025 without any recovery, underscoring prolonged vulnerability. While short‑term volatility (60‑day at 67.3%) sits above its longer‑term 252‑day level (69.4%), both metrics remain well beyond the long‑run average, confirming that investors are currently enduring heightened risk.

Volatility Metrics

STAA

The company’s volatility is more than threefold the S&P 500 benchmark, suggesting that price swings are driven by sector‑specific dynamics and a relatively thin trading float. Downside risk metrics reinforce this view: a downside deviation of 37.02% signals large losses on bad days, while the -90.72% max drawdown over nearly four years highlights an extreme tail event with no sign of rebound. The 60‑day volatility (67.3%) exceeds the 252‑day figure (69.4%), indicating that recent market stress has amplified short‑term price swings beyond the already elevated long‑term level.

Annualized volatility is 58.64%, more than three times the S&P 500's 17.78%.
Downside deviation of 37.02% points to pronounced loss risk on negative trading days.
Maximum drawdown of -90.72% persisted for over three and a half years with no recovery.
Current 60‑day volatility (67.3%) is slightly below the 252‑day average (69.4%), but both remain far above market norms.

Positive Characteristics
Despite extreme historical drawdowns, the recent 60‑day volatility has modestly eased relative to its longer‑term level, hinting at a potential stabilization of price swings.
The high volatility may create opportunities for investors seeking large upside moves if the business fundamentals improve.

Volatility Analysis

STAAR Surgical Company (STAA) — Volatility & Drawdown Charts

Beta & Correlation

STAAR Surgical Company (STAA) — Beta Profile

STAAR Surgical Company exhibits a trailing beta of 1.195 relative to the S&P 500, placing it at the upper edge of the market-like range (0.8‑1.2) and bordering on aggressive exposure. This indicates that, on average, the stock moves roughly 20% more than the broad market in either direction, reflecting a modestly elevated systematic risk profile. The upside beta of 1.153 versus a downside beta of 0.946 reveals an asymmetric response: gains are amplified slightly more than losses are dampened, a nuance that matters for investors focused on downside protection. The R-squared of 13.1% signals that only a small fraction of the stock’s variance is explained by market movements, leaving 86.9% as idiosyncratic risk driven by company‑specific factors. When benchmarked against the healthcare sector (XLV), the sector beta of 1.104 and sector correlation of 0.316 suggest that roughly one‑third of the stock’s movement aligns with sector trends, while the remaining two‑thirds stem from broader market dynamics and firm‑level drivers. This decomposition highlights that STAAR’s risk is more heavily weighted toward general market exposure than pure healthcare sector swings.

Beta & Correlation Metrics

STAA

The trailing beta of 1.195 signals near‑aggressive market sensitivity, meaning the stock tends to outperform the S&P 500 in rising markets but also underperform when the index falls. The asymmetric beta—upside 1.153 versus downside 0.946—implies a modest tilt toward upside capture while providing a slight cushion on the down side, an attribute that can be attractive for risk‑aware investors seeking limited loss exposure. With an R-squared of just 13.1%, diversification benefits are pronounced: most price movement is driven by idiosyncratic factors rather than market co‑movement. Compared to its sector benchmark, the sector beta of 1.104 indicates that sector forces account for a smaller share of risk than overall market forces, reinforcing the view that company‑specific catalysts dominate STAAR’s price action.

Trailing beta of 1.195 places STAA at the high end of market-like exposure, bordering aggressive.
Upside beta (1.153) exceeds downside beta (0.946), indicating stronger upside capture relative to downside risk.
R-squared of 13.1% means 86.9% of price variance is idiosyncratic, offering strong diversification potential.
Sector beta of 1.104 and sector correlation of 0.316 show that only about one‑third of movements align with healthcare sector trends.
Systematic risk (13.1%) is modest compared to the dominant idiosyncratic component, suggesting firm‑specific drivers are primary price movers.

Positive Characteristics
Asymmetric beta provides a slight upside bias while limiting downside volatility.
Low market R-squared enhances diversification benefits within a broader portfolio.
Sector exposure is moderate, allowing investors to benefit from healthcare tailwinds without being overly sector‑concentrated.

Beta & Correlation

STAAR Surgical Company (STAA) — Rolling Beta

Positive Notes

Asymmetric beta provides a slight upside bias while limiting downside volatility.

Low market R-squared enhances diversification benefits within a broader portfolio.

Sector exposure is moderate, allowing investors to benefit from healthcare tailwinds without being overly sector‑concentrated.

Risk-Adjusted Returns

STAAR Surgical Company (STAA) — Risk-Adjusted Performance

STAAR Surgical Company (STAA) delivers modest risk‑adjusted performance relative to standard benchmarks. With a Sharpe ratio of 0.405, the stock falls well short of the >1.0 threshold that denotes strong risk‑adjusted excess returns, indicating that its total return barely exceeds the risk‑free rate after accounting for overall volatility. However, the Sortino ratio of 0.642 surpasses the Sharpe figure, suggesting that downside volatility is less pronounced than total volatility and that the equity’s upside potential is relatively more efficient when measured against harmful price swings.

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

Risk-Adjusted Metrics

STAA

The Calmar ratio of 0.302 points to a modest return‑to‑drawdown profile; the company’s historical peak-to-trough loss erodes a substantial portion of its annualized gain, implying that investors have endured relatively severe drawdowns for each unit of return. The Information Ratio of 0.266, while positive, remains below the >0.5 benchmark for consistent alpha generation, indicating that any outperformance relative to a passive index is limited and may not be reliably repeatable. The Treynor ratio of 19.877 reflects a high reward per unit of systematic (beta) risk, but this figure must be interpreted alongside the low Sharpe and Calmar metrics, which reveal that the excess return comes at the cost of heightened total volatility.

Sharpe ratio (0.405) signals weak overall risk‑adjusted performance.
Sortino ratio (0.642) exceeds Sharpe, highlighting a comparatively favorable downside risk profile.
Calmar ratio (0.302) indicates that returns are modest relative to the severity of historical drawdowns.
Information Ratio (0.266) suggests limited consistency in generating alpha above a benchmark.
Treynor ratio (19.877) shows strong compensation for systematic risk, but total volatility remains a concern.

Positive Characteristics
Sortino ratio above Sharpe demonstrates that downside volatility is less impactful than overall volatility.
High Treynor ratio reflects efficient reward for market exposure.

Risk-Adjusted Returns

STAAR Surgical Company (STAA) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe demonstrates that downside volatility is less impactful than overall volatility.

High Treynor ratio reflects efficient reward for market exposure.

Market Regime Analysis

STAAR Surgical Company (STAA) — Regime Behavior

STAAR Surgical Company (STAA) exhibits relatively consistent performance across market environments, delivering modest positive returns in bullish periods regardless of volatility level and limiting losses during bearish phases. In bull markets the stock generates average monthly gains of 4.44% when volatility is low and 4.17% when volatility spikes, indicating resilience to short‑term turbulence while still participating in upside momentum. During bear regimes the firm’s downside exposure narrows considerably, with an average loss of only -1.94% per month in high‑volatility declines versus a steeper -5.73% in orderly downturns, suggesting that extreme market stress dampens the negative impact on its equity price.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

STAA

In the current Bull-HighVol regime, STAA’s 4.17% average monthly return aligns closely with its performance in calmer bull markets, implying that heightened market volatility does not erode its upside participation. The company’s upside capture of 178.0% demonstrates that it outpaces the S&P 500 by a wide margin during rising periods, while a downside capture of 115.1% indicates modestly higher sensitivity to declines; however, the overall capture ratio of 1.55 remains favorable because the excess upside more than compensates for the added downside risk. The relatively muted loss in Bear-HighVol (-1.94%) positions STAA as semi‑defensive, offering a buffer against severe market stress compared with many growth‑oriented peers.

Market Regime Analysis

STAAR Surgical Company (STAA) — Regime & Capture Charts

Regime Timeline

STAA delivers >4% average monthly returns in both bull regimes, evidencing strong participation in equity rallies.
Downside performance deteriorates in Bear-LowVol environments (-5.73%) but improves markedly in Bear-HighVol periods (-1.94%), indicating defensive behavior when market stress is acute.
Upside capture of 178% far exceeds the benchmark S&P 500, while downside capture remains above 100%, yielding a net capture ratio of 1.55—a positive risk‑return asymmetry.
The current Bull-HighVol regime supports continued upside potential, as historical data shows negligible degradation in returns relative to low‑volatility bull markets.

Positive Characteristics
High upside capture (178%) signals strong alignment with market rallies.
Capture ratio above 1.0 (1.55) confirms that the stock gains more on the upside than it loses on the downside over time.
Limited loss in Bear-HighVol (-1.94%) suggests defensive resilience during volatile downturns.

Investment Highlights & Risk Summary

STAAR Surgical Company (STAA) — Summary & Implications

STAAR Surgical Company delivered an extraordinary 1‑year total return of 78.72%, generating an alpha of 59.73% versus the S&P 500 and outpacing its healthcare sector (XLV) by 64.2%. The stock’s upside capture of 178.0% demonstrates strong participation in market rallies, while a downside capture of 115.1% signals heightened sensitivity to market declines. However, the business is characterized by extreme risk: annualized volatility of 58.64% and a historic maximum drawdown of -90.72% expose investors to severe capital loss potential. Risk‑adjusted metrics are modest, with a Sharpe ratio of 0.405 and Sortino of 0.642, indicating that the excess return per unit of risk is limited relative to benchmarks. Investors should weigh the compelling upside performance against the pronounced volatility and drawdown risk when considering exposure to STAAR Surgical.

Summary Dashboard

Investment Highlights

1‑year total return of 78.72% translates into a market‑beating alpha of 59.73% versus the S&P 500, underscoring strong absolute performance.
Sector outperformance is evident with a sector alpha of 64.2% against XLV, indicating the company’s growth exceeds its healthcare peers.
Upside capture of 178.0% shows that STAAR captures nearly double the upside of the broader market during bullish periods.
Beta of 1.195 suggests the stock moves slightly more than the market, providing amplified gains when equities rise.

Risk-Return Rankings

STAA HIGH

High‑return, high‑volatility profile with strong upside capture but severe drawdown risk.

Strength: Exceptional 1‑year alpha of 59.73% versus the S&P 500.

Concern: Maximum historical drawdown of -90.72% and annualized volatility of 58.64%.

Key Takeaways

STAAR Surgical’s return profile is compelling, delivering near‑80% gains in a single year.
The stock’s upside capture exceeds the market by 78%, but downside capture remains above 100%, indicating asymmetrical risk.
Risk metrics (Sharpe 0.405, Sortino 0.642) are modest; excess returns come at a high volatility cost.
Historical drawdown of over 90% highlights the potential for near‑total capital erosion during market stress.

PORTFOLIO IMPLICATIONS

STAAR Surgical may serve as a satellite position in a growth‑oriented portfolio seeking outsized upside, but its high volatility and deep drawdown history require careful sizing and risk mitigation. Pairing STAA with low‑beta, defensive holdings can temper overall portfolio beta and reduce downside exposure, while still allowing participation in market rallies through its strong upside capture characteristic.

STAA

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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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