Lend Lease Group Pink Sheet Volatility
| LLESY Pink Sheet | USD 2.35 0.19 8.80% |
Sharpe Ratio = -0.1469
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Latest disclosures for Lend Lease Group show a Market Risk Adjusted Performance of 2.5%, a Risk of 3.77, and a Risk Adjusted Performance of -0.1%. The stock is currently underperforming relative to its full potential based on monthly moving averages.
Key indicators related to Lend Lease's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Lend Lease (3 Months):
Beta -0.22 | Alpha -0.55 | Risk 3.77 | Sharpe Ratio -0.15 | Expected Return -0.55 |
Moving together with Lend Lease Pink Sheet
| 0.8 | SPHXF | SM Prime Holdings | PairCorr |
| 0.63 | HLDCY | Henderson Land | PairCorr |
| 0.84 | MTSFY | Mitsui Fudosan Earnings Call This Week | PairCorr |
| 0.72 | MTSFF | Mitsui Fudosan Earnings Call This Week | PairCorr |
| 0.73 | MITEY | Mitsubishi Estate Earnings Call This Week | PairCorr |
| 0.83 | NDVLY | New World Development | PairCorr |
| 0.85 | SWZNF | Schweizerische Nationalbank | PairCorr |
| 0.87 | BRK-A | Berkshire Hathaway | PairCorr |
| 0.81 | GRLF | Green Leaf Innovations | PairCorr |
Moving Against Lend Lease Pink Sheet
| 0.83 | JRFIF | Japan Metropolitan | PairCorr |
| 0.65 | HYMTF | Hyundai Motor | PairCorr |
| 0.54 | DIFTY | Daito Trust Construction | PairCorr |
| 0.43 | TKURF | Tokyu REIT | PairCorr |
Sensitivity To Market
Lend Lease beta coefficient measures the volatility of Lend Lease pink sheet relative to the systematic risk of the broad market benchmark. A beta of -0.22 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 3.77%. Lend Lease Group has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 3.74%, which summarize how widely returns have moved. Volatility is commonly higher for smaller or less liquid equities due to wider spreads and thinner order books. For Lend Lease, measured downside deviation describes the intensity of negative return periods.
3 Months Beta |Lend Lease Group Demand TrendCurrent 90-day Lend Lease correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far Lend Lease returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 3.77 |
For Lend Lease, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of Lend Lease's returns. Latest disclosures for Lend Lease Group show a Maximum Drawdown of 21.91.
Pink Sheet Volatility Analysis
Volatility describes the degree to which Lend Lease pink sheet price fluctuates in either direction. It captures how much Lend Lease's price fluctuates, which is relevant to allocation calibration.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Lend Lease Group's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Based on a 90-day horizon, Lend Lease Group has a beta of -0.2203. This indicates that as returns on the benchmark increase, returns on Lend Lease tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Lend Lease Group tends to outperform the market.Lend Lease remains sensitive to broader pink sheet market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. Latest disclosures for Lend Lease Group show a Mean Deviation of 2.23 and a Standard Deviation of 3.74.
Predicted Return Distribution |
| Density |
What Drives Lend Lease's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Real Estate sector can move Lend Lease's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for Lend Lease.Lend Lease's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in Lend Lease's shares.Pink Sheet Risk Measures
Based on a 90-day horizon, the coefficient of variation of Lend Lease is -680.83. The daily returns are distributed with a variance of 14.2 and standard deviation of 3.77. The mean deviation of Lend Lease Group is currently at 2.26. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.5525 | |
β | Beta against Dow Jones | -0.2203 | |
σ | Overall volatility | 3.77 | |
Ir | Information ratio | -0.151 |
Pink Sheet Return Volatility
Lend Lease historical daily return volatility represents how much of Lend Lease pink sheet's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company reported 3.7684% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9279% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Strong recent returns in Lend Lease Pink Sheet do not always mean Lend Lease Company is outperforming peers on business quality. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| HNLGY | 0.58 | -0.02 | 0.00 | 0.06 | 0.00 | 1.89 | 10.65 | |||
| HUFAF | 0.20 | -0.07 | 0.00 | 16.50 | 0.00 | 0.00 | 6.52 | |||
| HNLGF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FSRPF | 0.38 | -0.20 | 0.00 | -3.45 | 0.00 | 0.00 | 12.22 | |||
| NWWDF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| UILCF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CTRGF | 0.34 | -0.18 | 0.00 | -23.88 | 0.00 | 0.00 | 10.98 | |||
| NDVLY | 5.37 | -0.12 | 0.00 | 0.06 | 0.00 | 11.76 | 51.06 | |||
| ATTRF | 0.16 | -0.09 | 0.00 | -3.93 | 0.00 | 0.00 | 2.63 | |||
| VGPBF | 1.24 | -0.29 | 0.00 | -0.67 | 0.00 | 2.28 | 12.67 |
Risk Metrics, Assumptions & Methodology
Beta for Lend Lease measures the share of volatility attributable to broad market movements versus company-specific factors. Lower trading activity may introduce occasional variability in execution conditions. Lend Lease has a market cap of 3.82 billion, P/E of 29.4, ROE of -1.81%.
Reported values for Lend Lease Group are derived from periodic company reporting and market reference feeds and standardized for analysis. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Lend Lease Group is more volatile than Dow Jones Industrial by approximately 4.05x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 33% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Lend Lease Group with characteristics aligned to broad market upside participation. This price-change note interprets the latest move in the context of short-horizon trading behavior. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a very speculative upward sentiment. The trend is possibly hyped up. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Lend Lease probability analysis.
Moderate diversification
The correlation between Lend Lease and Dow Jones is 0.36, which Macroaxis classifies as Moderate diversification for the selected horizon. A 0.36 reading means Lend Lease and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
Additional Risk Indicators
Secondary risk indicators for Lend Lease Group evaluate exposure beyond standard deviation, beta, or one headline volatility measure. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | -0.13 | |||
| Market Risk Adjusted Performance | 2.53 | |||
| Mean Deviation | 2.23 | |||
| Coefficient Of Variation | -686.33 | |||
| Standard Deviation | 3.74 | |||
| Variance | 13.98 | |||
| Information Ratio | -0.15 |
Lend Lease Suggested Diversification Pairs
A pair-trading setup around Lend Lease shifts the return benchmark from the broad market to a second position, altering the risk profile. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Lend Lease as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Lend Lease's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Lend Lease's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Lend Lease Group.