Ultra Clean’s High‑Beta Surge Meets a History of Deep Drawdowns

Aggressive upside potential collides with multiple risk flags in today’s Bull‑HighVol environment

UCTT Ultra Clean Holdings, Inc.

In this report

01

Returns Overview

Period returns, alpha, cumulative performance, distributions

P. 2-3

→

02

Volatility Analysis

Annualized volatility, downside deviation, drawdowns

P. 4-5

→

03

Beta & Correlation

Trailing, upside, downside beta, systematic risk

P. 6-7

→

04

Risk-Adjusted Returns

Sharpe, Sortino, Calmar, Information, Treynor

P. 8-9

→

05

Market Regime Analysis

Bull/bear behavior, capture ratios

P. 10-11

→

06

Investment Highlights & Risk Summary

Executive summary, risk flags, rankings

P. 12-13

→

Returns Overview

Ultra Clean Holdings, Inc. (UCTT) — Return Performance

Ultra Clean Holdings (UCTT) delivered a mixed return profile over the past five years, marked by explosive gains in the medium term but modest performance relative to its technology sector benchmark (XLK) in recent periods. The stock surged 224% over six months and 263.6% over one year, far outpacing sector alpha of 216.1% and 244.6% respectively, yet it posted a -4.09% return in the last month with a negative alpha of -1.5% versus the sector. Over longer horizons, UCTT generated positive but diminishing excess returns: 67.5% total gain over two years (alpha +32.3%) and 113.4% over three years (alpha +47.5%), while its five‑year performance lagged the sector by 19.0% on an alpha basis.

Period Returns vs S&P 500 & XLK

Monthly Returns Heatmap

UCTT

The company produced strong positive alpha in the 6‑month to 3‑year windows, indicating that recent operational or market catalysts have driven returns well above the technology sector. However, the negative one‑month return and modest alpha over the past five years suggest a potential reversion risk as short‑term momentum wanes. Investors should note the divergence between short‑term underperformance and long‑term outperformance when evaluating timing and exposure.

Returns Overview

Ultra Clean Holdings, Inc. (UCTT) — Return Charts

Volatility Analysis

Ultra Clean Holdings, Inc. (UCTT) — Volatility Profile

Ultra Clean Holdings (UCTT) exhibits markedly higher price variability than the broader market, with an annualized volatility of 58.14% versus the S&P 500's 17.78%, indicating more than three times the typical market swing. The stock's downside risk is pronounced: a downside deviation of 38.93% and a historical maximum drawdown of -79.34% over a 14‑month decline from October 2017 to December 2018, with recovery taking two years, underscore substantial tail risk for investors. Recent short‑term volatility remains elevated; the 60‑day figure of 79.7% exceeds the long‑term 252‑day average of 70.12%, suggesting that price swings are currently intensifying rather than moderating.

Volatility Metrics

UCTT

The company’s volatility profile is significantly above the S&P 500 benchmark, reflecting a riskier equity that may appeal to traders seeking large moves but deters risk‑averse investors. Downside metrics—38.93% downside deviation and an almost 80% peak‑to‑trough loss—highlight severe asymmetric risk, while the two‑year recovery from its deepest drawdown illustrates prolonged capital erosion potential. The elevated 60‑day volatility relative to the 252‑day average signals that recent market conditions have amplified price turbulence beyond the already high long‑term level.

Annualized volatility is more than three times the S&P 500, indicating a highly volatile security.
Downside deviation of 38.93% and a max drawdown of -79.34% reveal substantial tail risk.
The 60‑day volatility (79.7%) exceeds the 252‑day average (70.12%), showing current volatility is on an upward trend.
Recovery from the historic drawdown took two years, suggesting prolonged downside periods.

Positive Characteristics
High volatility can generate sizable short‑term trading opportunities for active investors.
The stock’s price rebound after the deep drawdown demonstrates resilience despite severe declines.

Volatility Analysis

Ultra Clean Holdings, Inc. (UCTT) — Volatility & Drawdown Charts

Beta & Correlation

Ultra Clean Holdings, Inc. (UCTT) — Beta Profile

Ultra Clean Holdings (UCTT) exhibits a trailing beta of 1.72 versus the S&P 500, placing it well into the aggressive range (>1.2). This indicates that the stock tends to amplify broad market movements, generating roughly 72% larger percentage swings than the index on average. The upside beta of 1.63 and downside beta of 1.48 reveal a modest asymmetry: the security is slightly more responsive to positive market moves than to declines, which can be attractive for momentum‑oriented investors but still implies considerable downside exposure. The R-squared of 27.7% shows that less than one‑third of UCTT’s price variance is explained by overall market dynamics; the remaining 72.3% is idiosyncratic, suggesting a high potential for diversification benefits within a broader portfolio. When benchmarked against the Technology sector (XLK), the sector beta falls to 1.37 with a sector correlation of 0.56 and R² of 31.6%, indicating that roughly one‑third of its movements are tied to sector trends, while two‑thirds stem from company‑specific factors. Decomposing risk therefore highlights that UCTT’s primary driver is firm‑level volatility rather than pure market or sector exposure.

Beta & Correlation Metrics

UCTT

The trailing beta of 1.721 signals aggressive price behavior relative to the S&P 500, meaning a 1% move in the index is expected to produce a 1.72% move in UCTT. The upside/downside beta split (1.634 vs 1.475) demonstrates a slight bias toward stronger gains during market rallies, but the gap is modest enough that downside risk remains pronounced. With an R-squared of 0.277, only about 28% of price movements are driven by systematic market forces; the bulk—72%—is idiosyncratic, offering diversification potential for investors seeking exposure outside pure market beta.

Trailing beta of 1.721 classifies UCTT as an aggressive stock relative to the S&P 500.
Upside beta (1.634) exceeds downside beta (1.475), indicating a modest asymmetry favoring gains in rising markets.
R-squared of 27.7% implies that most price variation is idiosyncratic, providing diversification benefits.
Systematic risk accounts for only 27.7% of total variance, while idiosyncratic risk dominates at 72.3%.
Sector beta (1.372) is lower than market beta, showing that roughly 20% of the stock’s aggressiveness stems from broader technology sector moves.

Positive Characteristics
Higher upside beta suggests potential for outperformance during bullish market phases.
Low R-squared indicates strong company‑specific drivers, which can be leveraged for active alpha generation.

Beta & Correlation

Ultra Clean Holdings, Inc. (UCTT) — Rolling Beta

Positive Notes

Higher upside beta suggests potential for outperformance during bullish market phases.

Low R-squared indicates strong company‑specific drivers, which can be leveraged for active alpha generation.

Risk-Adjusted Returns

Ultra Clean Holdings, Inc. (UCTT) — Risk-Adjusted Performance

Ultra Clean Holdings, Inc. (UCTT) delivers modest risk-adjusted returns when measured against standard benchmarks. The Sharpe ratio of 0.554 falls below the 1.0 threshold for a favorable risk‑adjusted return, indicating that the stock’s excess return over the 3.63% risk‑free rate is limited relative to its total volatility. However, the Sortino ratio of 0.827 exceeds the Sharpe figure, suggesting that downside volatility is lower than overall volatility and that the company’s returns are less penalized by negative price movements.

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

Risk-Adjusted Metrics

UCTT

The Calmar ratio of 0.452 signals that UCTT’s cumulative return is roughly half of its maximum historical drawdown, pointing to a relatively steep decline during adverse periods and highlighting the importance of capital preservation for investors. An Information Ratio of 0.451 sits just below the 0.5 benchmark for consistent alpha generation, implying that active management has produced modest excess returns relative to a relevant benchmark. The Treynor ratio of 18.718, expressed as a percentage, indicates a high return per unit of systematic risk (beta), but without an accompanying beta figure its absolute significance is limited.

Sharpe ratio below 1.0 reflects limited excess return relative to total volatility.
Sortino ratio higher than Sharpe denotes a more favorable downside risk profile.
Calmar ratio under 0.5 reveals that historical drawdowns have been sizable compared with overall returns.
Information Ratio just shy of 0.5 suggests only marginal consistency in generating alpha.
Treynor ratio is high, but interpretation requires knowledge of the stock's beta.

Positive Characteristics
Downside volatility is relatively low, as indicated by a Sortino ratio exceeding the Sharpe ratio.
The Treynor ratio demonstrates strong return generation per unit of systematic risk.

Risk-Adjusted Returns

Ultra Clean Holdings, Inc. (UCTT) — Rolling Sharpe & Sortino

Positive Notes

Downside volatility is relatively low, as indicated by a Sortino ratio exceeding the Sharpe ratio.

The Treynor ratio demonstrates strong return generation per unit of systematic risk.

Market Regime Analysis

Ultra Clean Holdings, Inc. (UCTT) — Regime Behavior

Ultra Clean Holdings (UCTT) demonstrates pronounced sensitivity to market volatility, delivering strong outperformance during bullish periods marked by high realized volatility while still maintaining modest gains in calmer uptrends. In bear markets the stock’s performance deteriorates, yet losses are less severe when volatility is elevated, suggesting a partial defensive characteristic under stressed conditions. The current environment—a Bull-HighVol regime—places UCTT in its most favorable historical context, as it historically generates an average monthly return of 6.87% during such periods.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

UCTT

During Bull-LowVol regimes UCTT posts a modest 3.6% average return, indicating solid but not spectacular participation in steady market rises. In the prevailing Bull-HighVol regime its upside capture spikes to 210.9%, translating into an average monthly gain of 6.87%, reflecting strong momentum and growth exposure. When the market turns bearish with low volatility, UCTT’s average loss widens to -3.76%, but in Bear-HighVol conditions losses shrink to -1.88%, highlighting a relative defensive tilt as heightened volatility dampens downside moves. The capture ratio of 1.36 (upside capture 210.9% vs downside capture 154.8%) confirms that the stock captures more upside than downside, though the elevated downside capture suggests vulnerability during market drops.

Market Regime Analysis

Ultra Clean Holdings, Inc. (UCTT) — Regime & Capture Charts

Regime Timeline

UCTT’s upside capture of 210.9% vastly exceeds its downside capture of 154.8%, yielding a capture ratio above 1.0 and indicating net positive exposure to market moves.
The stock’s strongest historical performance occurs in Bull-HighVol regimes (+6.87% avg), aligning with the current market environment.
In Bear-LowVol periods UCTT suffers larger losses (-3.76%) than in Bear-HighVol periods (-1.88%), suggesting some defensive resilience when volatility is high.
Despite higher downside capture, the net capture ratio of 1.36 signals that upside gains outweigh downside losses over time.

Positive Characteristics
Exceptional upside participation during volatile bull markets.
Relatively muted losses in high‑volatility bear environments compared to low‑volatility declines.
Current Bull-HighVol regime aligns with the company’s historically strongest return profile.

Investment Highlights & Risk Summary

Ultra Clean Holdings, Inc. (UCTT) — Summary & Implications

Ultra Clean Holdings (UCTT) delivered an extraordinary 1‑year total return of 263.6%, generating an alpha of 244.6% versus the S&P 500 and outpacing its technology sector ETF by 220.8%. The stock’s upside capture of 210.9% demonstrates that it participated strongly in market rallies, while a downside capture of 154.8% indicates amplified losses during market declines. However, these gains come with pronounced risk: the share exhibits a beta of 1.72, annualized volatility of 58.1%, and a historic max drawdown of –79.3%, resulting in a modest Sharpe ratio of 0.55 and a Sortino of 0.83. Investors must weigh the high return potential against the elevated exposure to market swings and deep loss scenarios when considering UCTT for a portfolio.

Summary Dashboard

Investment Highlights

1‑year total return of 263.6% reflects exceptional price appreciation driven by strong demand in its clean‑technology niche.
Alpha of 244.6% versus the S&P 500 shows that the stock generated returns far beyond what market movements alone would explain.
Upside capture of 210.9% indicates the company captured more than double the gains of the broader market during bullish periods.
Sector outperformance: UCTT’s sector alpha of 220.8% versus XLK demonstrates superior performance relative to its technology peers.

Risk-Return Rankings

UCTT HIGH

Ultra Clean delivers outsized returns but with extreme volatility and drawdown risk.

Strength: Exceptional absolute return (263.6% YoY) and high upside capture (210.9%).

Concern: Deep historical drawdown of –79.3% and beta of 1.72 amplify market losses.

Key Takeaways

The stock’s return profile is highly asymmetric, offering large upside but also severe downside exposure.
Sharpe (0.55) and Sortino (0.83) ratios are below the typical benchmark of 1.0, indicating modest risk‑adjusted performance despite raw returns.
High beta and volatility suggest the stock will move more sharply than the market in both directions.
Investors should be prepared for potential capital erosion during market downturns given the 154.8% downside capture.

PORTFOLIO IMPLICATIONS

UCTT may suit a high‑conviction, risk‑tolerant allocation within a diversified portfolio, acting as an aggressive growth tilt that can boost upside potential when markets rally. To mitigate its extreme drawdown risk, pairing UCTT with lower‑beta, defensive holdings or using it in a small, satellite position can help balance overall portfolio volatility while preserving the opportunity for outsized gains.

UCTT

Related Reports

Visit finexus.net/reports for more reports

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.