Weis Markets’ Low‑Beta Appeal Masks a History of Deep Drawdowns

Why the defensive profile may not protect against lingering underperformance in a high‑volatility rally

WMK Weis Markets, 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

Weis Markets, Inc. (WMK) — Return Performance

Weis Markets, Inc. (WMK) delivered a strong short‑term performance, posting a 7.19% return over the past month and generating an excess return of 9.78 percentage points versus its consumer defensive sector benchmark. The outperformance persisted at three months (14.37% total return, +1.27% alpha) and six months (22.05% total return, +14.18% alpha), indicating that recent earnings momentum translated into superior price appreciation relative to the sector. Over longer horizons, the stock’s advantage narrowed: one‑year returns were 8.96% with a negative alpha of -10.04%, while two‑ and three‑year periods showed modest underperformance (alpha of -7.1% and -38.0% respectively), suggesting that the recent rally may be driven by short‑term catalysts rather than sustained structural advantages.

Period Returns vs S&P 500 & XLP

Monthly Returns Heatmap

WMK

The company generated positive alpha in the 1M, 3M, and 6M windows, highlighting a pronounced short‑run upside relative to its sector. However, the shift to negative alpha from the 1Y horizon onward signals a divergence between recent price gains and longer‑term performance trends, implying that investors should weigh the sustainability of current momentum against historical underperformance.

Returns Overview

Weis Markets, Inc. (WMK) — Return Charts

Volatility Analysis

Weis Markets, Inc. (WMK) — Volatility Profile

Weis Markets, Inc. (WMK) exhibits markedly higher price variability than the broader market, with an annualized volatility of 29.46% versus the S&P 500's 17.78%, indicating roughly a 66% premium in risk per unit of time. The stock’s downside profile is also pronounced: a downside deviation of 20.36% and a historic maximum drawdown of -48.65% over a four‑year span (2017‑2021) reflect substantial susceptibility to prolonged declines, especially given the three‑year recovery period required to regain lost ground. Recent short‑term volatility measures—60‑day at 26.54% and 252‑day at 26.21%—remain above the long‑term annualized level of 29.46%, suggesting that price swings have not yet eased back toward historical norms.

Volatility Metrics

WMK

The company’s volatility is significantly higher than the S&P 500 benchmark, implying a steeper risk‑return trade‑off for investors. Downside risk metrics are elevated; a downside deviation of 20.36% signals that negative returns are more pronounced than the overall volatility would suggest, while the -48.65% max drawdown underscores vulnerability to severe market or company‑specific stress events. The current trailing volatilities (60d = 26.54%, 252d = 26.21%) sit just below the long‑term average of 29.46%, indicating a modest short‑term cooling but still above the market baseline.

WMK’s annualized volatility exceeds the S&P 500 by approximately 66%.
Downside deviation (20.36%) is high relative to its total volatility, highlighting asymmetric risk.
The maximum drawdown of -48.65% lasted nearly four years before full recovery, indicating deep and persistent downside exposure.
Trailing 60‑day and 252‑day volatilities are slightly lower than the long‑term average yet remain well above market levels.

Positive Characteristics
Short‑term volatility has begun to contract toward its historical mean, suggesting a potential stabilization of price swings.
Despite elevated risk metrics, the stock’s recovery from the 2017‑2021 drawdown demonstrates resilience and the ability to regain lost value over an extended horizon.

Volatility Analysis

Weis Markets, Inc. (WMK) — Volatility & Drawdown Charts

Beta & Correlation

Weis Markets, Inc. (WMK) — Beta Profile

Weis Markets exhibits a trailing beta of 0.443 versus the S&P 500, placing it firmly in the defensive range (<0.8). This low market sensitivity suggests that the stock’s price movements are muted relative to broad equity market swings, which can be attractive for investors seeking lower volatility exposure. However, its sector beta of 0.761 indicates a higher alignment with the Consumer Staples index (XLP) than with the overall market, implying that sector dynamics drive a larger share of its risk profile. The asymmetric upside and downside betas—0.581 on the upside versus 0.321 on the downside—reveal that Weis Markets tends to participate more in positive market moves while cushioning losses during declines. A modest R-squared of 7.1% with the S&P 500 confirms that only a small fraction of its price variance is explained by broad market factors, leaving 92.9% as idiosyncratic risk. When measured against its sector, the R² rises to 14.2%, indicating that sector forces account for a modest but still limited portion of total variability.

Beta & Correlation Metrics

WMK

The trailing market beta of 0.443 signals defensive behavior, meaning the stock is expected to move roughly 44% of the S&P 500’s magnitude on a one‑for‑one basis. The upside beta of 0.581 suggests that in rising markets the stock captures about 58% of the market’s gains, whereas the downside beta of 0.321 indicates a more subdued reaction to market drops, providing a built‑in buffer for risk‑averse investors. With an R-squared of only 7.1%, most of Weis Markets’ price action is driven by company‑specific factors rather than broad market trends, emphasizing the importance of fundamentals and operational performance in its valuation.

Trailing beta (0.443) classifies Weis Markets as defensive, offering lower volatility relative to the S&P 500.
Upside beta exceeds downside beta (0.581 vs 0.321), indicating asymmetric risk where gains are captured more than losses are incurred.
Low market R-squared (7.1%) means the majority of price movement is idiosyncratic, enhancing diversification benefits in a broader portfolio.
Sector beta (0.761) and sector R² (14.2%) show that consumer‑defensive dynamics contribute more to risk than overall market movements.
Systematic risk accounts for only 7.1% of total variance, while idiosyncratic risk dominates at 92.9%, highlighting company‑specific drivers.

Positive Characteristics
Defensive market beta reduces exposure during broad equity downturns.
Higher upside beta provides participation in market rallies without proportionally higher downside risk.
Low correlation with the S&P 500 (0.267) improves portfolio diversification.

Beta & Correlation

Weis Markets, Inc. (WMK) — Rolling Beta

Positive Notes

Defensive market beta reduces exposure during broad equity downturns.

Higher upside beta provides participation in market rallies without proportionally higher downside risk.

Low correlation with the S&P 500 (0.267) improves portfolio diversification.

Risk-Adjusted Returns

Weis Markets, Inc. (WMK) — Risk-Adjusted Performance

Weis Markets, Inc. (WMK) delivers modest risk-adjusted returns, reflected by a Sharpe ratio of 0.25 that falls well below the benchmark threshold of 1.0 for attractive performance relative to the risk-free rate of 3.63%. The Sortino ratio of 0.362 exceeds the Sharpe figure, indicating that downside volatility is less pronounced than total volatility and suggesting a relatively favorable loss profile despite overall low excess returns. However, the Calmar ratio of 0.226 signals vulnerability to drawdowns, as the company’s worst peak‑to‑trough decline erodes much of its annualized return, while a negative Information Ratio (-0.059) points to an inability to generate consistent alpha over a passive benchmark.

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

Risk-Adjusted Metrics

WMK

The Sharpe ratio of 0.25 implies that WMK’s excess return over the risk‑free rate is only a quarter of the volatility taken, offering limited compensation for total risk. In contrast, the higher Sortino ratio (0.362) shows that when focusing solely on downside deviation, the stock performs relatively better, suggesting that adverse price moves are less severe than overall fluctuations. The Calmar ratio of 0.226 highlights that the firm’s worst drawdown consumes a large portion of its return, raising concerns for investors with low tolerance for capital loss. A Treynor ratio of 16.666 suggests strong reward per unit of systematic risk (beta), but this metric alone is insufficient given the weak absolute risk‑adjusted scores and negative Information Ratio, which indicates that active management has not added value relative to a passive index.

Sharpe ratio of 0.25 signals low compensation for total volatility.
Sortino ratio exceeds Sharpe, indicating a more favorable downside risk profile.
Calmar ratio of 0.226 reveals significant drawdown severity relative to returns.
Negative Information Ratio (-0.059) shows the stock has underperformed its benchmark on an active‑management basis.
Treynor ratio is high (16.666), but absolute risk‑adjusted metrics remain weak.

Positive Characteristics
Sortino ratio above Sharpe suggests downside volatility is relatively contained.
High Treynor ratio indicates strong return per unit of systematic market risk.

Risk-Adjusted Returns

Weis Markets, Inc. (WMK) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe suggests downside volatility is relatively contained.

High Treynor ratio indicates strong return per unit of systematic market risk.

Market Regime Analysis

Weis Markets, Inc. (WMK) — Regime Behavior

Weis Markets, Inc. (WMK) exhibits a pronounced sensitivity to market volatility regimes. In bull markets with low volatility the stock delivers modest gains of 0.13% per month, reflecting its alignment with a stable uptrend; however, during bullish periods marked by heightened volatility it underperforms sharply, posting an average monthly decline of -0.69%. The most striking behavior emerges in bear environments: while a calm down‑market (Bear‑LowVol) still drags the stock down by -0.83% per month, the combination of falling equity prices and elevated market turbulence (Bear‑HighVol) flips the trend, generating a robust 4.4% monthly gain. This asymmetry is underscored by an upside capture of only 33.4% against the S&P 500 but a negative downside capture of -11.4%, yielding a capture ratio of -2.92 that signals strong defensive characteristics in volatile declines.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

WMK

In the current Bull‑HighVol regime, WMK is likely to face continued pressure, as its historical average return of -0.69% per month suggests it lags the broader market when volatility spikes. Investors should therefore anticipate muted performance unless the regime shifts toward lower volatility. Conversely, if a transition to Bear‑HighVol occurs, WMK's historic 4.4% monthly outperformance positions it as a potential defensive play that could offset broader equity losses.

Market Regime Analysis

Weis Markets, Inc. (WMK) — Regime & Capture Charts

Regime Timeline

WMK delivers positive returns only in the most turbulent bear market (Bear‑HighVol), with an average gain of 4.4% per month.
During bullish but volatile periods, WMK underperforms, losing -0.69% per month on average.
The upside capture of 33.4% indicates limited participation in market rallies, while the negative downside capture (-11.4%) reflects a defensive tilt during market drops.
A capture ratio of -2.92 signals that WMK's gains in down markets more than offset its losses in up markets, albeit with an overall low upside exposure.

Positive Characteristics
Defensive profile shines in Bear‑HighVol regimes, offering potential portfolio protection during market stress.
Negative downside capture demonstrates the stock’s ability to generate positive returns when broader equity markets decline.

Investment Highlights & Risk Summary

Weis Markets, Inc. (WMK) — Summary & Implications

Weis Markets (WMK) delivered an 8.96% total return over the past year, yet its performance lagged the broader market by more than 10 percentage points, reflected in a negative alpha of -10.04% versus the S&P 500. The stock exhibits low market sensitivity with a beta of 0.44 and modest upside capture (33.4%) but also shows an unusually favorable downside capture of -11.4%, indicating limited loss exposure when the market declines. However, volatility is elevated at an annualized 29.46% and the historical maximum drawdown of -48.65% underscores a potential for large capital losses during adverse periods. Risk‑adjusted returns are modest, with a Sharpe ratio of 0.25 and a Sortino of 0.362, suggesting that the excess return per unit of risk is limited relative to typical benchmarks.

Summary Dashboard

Investment Highlights

Sector outperformance: WMK generated a sector alpha of +4.37% versus the Consumer Staples ETF (XLP), indicating it has performed better than its peers despite overall market lag.
Low downside capture: A downside capture ratio of -11.4% shows that the stock tends to lose less than the market in down periods, providing defensive characteristics for risk‑averse investors.
Low beta: With a beta of 0.44, WMK is considerably less volatile than the S&P 500 (beta = 1), reducing portfolio sensitivity to broad equity swings.
Positive absolute return: An annual return of 8.96% still exceeds the long‑term inflation trend and offers positive nominal growth despite market underperformance.

Risk-Return Rankings

WMK MODERATE

Low market sensitivity and defensive downside capture offset high volatility and a deep historical drawdown.

Strength: Sector alpha of +4.37% versus XLP

Concern: Maximum drawdown of -48.65% indicates significant loss risk

Key Takeaways

WMK provides defensive exposure with low beta and favorable downside capture, useful in volatile markets.
The stock’s high volatility (29.46%) and near‑50% historical drawdown temper the appeal of its defensive traits.
Negative alpha versus the S&P 500 (-10.04%) signals that absolute returns have lagged broader market performance.
Sector outperformance suggests relative strength within Consumer Staples, which may aid diversification.

PORTFOLIO IMPLICATIONS

For investors seeking a modestly defensive equity position within consumer staples, WMK can serve as a low‑beta complement to higher‑beta holdings, helping to dampen overall portfolio volatility. However, the sizable historical drawdown and elevated volatility warrant careful sizing; allocating a limited portion of equity exposure to WMK can capture its downside protection while limiting potential capital erosion during market stress.

WMK

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Report written 2026-06-07 • Finexus

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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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