Lennar Risk Analysis And Volatility

LEN -- USA Stock  

USD 51.56  0.35  0.68%

We consider Lennar very steady. Lennar has Sharpe Ratio of 0.0988 which conveys that the firm had 0.0988% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Lennar which you can use to evaluate future volatility of the firm. Please verify Lennar Corporation Downside Deviation of 1.38, Mean Deviation of 1.3 and Risk Adjusted Performance of 0.1007 to check out if risk estimate we provide are consistent with the epected return of 0.1477%.
Interest Expense

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Follows market closely
Horizon     30 Days    Login   to change

Lennar Market Sensitivity

As returns on market increase, Lennar returns are expected to increase less than the market. However during bear market, the loss on holding Lennar will be expected to be smaller as well.
2 Months Beta |Analyze Lennar Demand Trend
Check current 30 days Lennar correlation with market (DOW)
β = 0.6299

Lennar Central Daily Price Deviation

Lennar Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Lennar Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Lennar Projected Return Density Against Market

Considering 30-days investment horizon, Lennar has beta of 0.6299 indicating as returns on market go up, Lennar average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lennar Corporation will be expected to be much smaller as well. Moreover, The company has an alpha of 0.2011 implying that it can potentially generate 0.2011% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Lennar is 1011.64. The daily returns are destributed with a variance of 2.23 and standard deviation of 1.49. The mean deviation of Lennar Corporation is currently at 1.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.20
β
Beta against DOW=0.63
σ
Overall volatility
=1.49
Ir
Information ratio =0.16

Lennar Return Volatility

the corporation has volatility of 1.4942% on return distribution over 30 days investment horizon. the entity inherits 1.0427% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Lennar Investment Opportunity

Lennar Corporation has a volatility of 1.49 and is 1.43 times more volatile than DOW. 13% of all equities and portfolios are less risky than Lennar. Compared to the overall equity markets, volatility of historical daily returns of Lennar Corporation is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Lennar Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Lennar to be traded at $56.72 in 30 days. . As returns on market increase, Lennar returns are expected to increase less than the market. However during bear market, the loss on holding Lennar will be expected to be smaller as well.

Lennar correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lennar Corp. and equity matching DJI index in the same portfolio.

Lennar Current Risk Indicators

Lennar Suggested Diversification Pairs

Please see also Stocks Correlation. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
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