Ameresco’s Upside Edge Meets Triple‑Flag Warning

Strong alpha potential tempered by deep drawdowns and high‑volatility regime

AMRC Ameresco, 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

Ameresco, Inc. (AMRC) — Return Performance

Ameresco, Inc. (AMRC) displayed a highly volatile return profile over the past five years, with extreme swings between periods of strong outperformance and deep underperformance relative to its industrial sector benchmark. The stock posted an impressive 87.36% gain over the trailing twelve months, generating alpha of 68.36% versus the sector ETF, yet it suffered a -54.62% decline over the five‑year horizon, lagging the sector by 126.44%. Short‑term performance was mixed: a -20.9% return in the last month trailed sector alpha by 1.2 points, while the three‑month period produced an 11.61% gain, still underperforming sector alpha by 1.49%, indicating recent volatility without consistent outperformance.

Period Returns vs S&P 500 & XLI

Monthly Returns Heatmap

AMRC

In the near term, AMRC generated negative returns (-20.9% MTD) and modestly missed sector alpha, reflecting short‑term weakness despite a rebound in the three‑month window (+11.61%). Over longer horizons, the stock’s 1Y return of +87.36% delivered substantial absolute gain but was heavily offset by steep declines over 3Y (-41.48%) and 5Y (-54.62%), resulting in large negative alpha relative to the sector across those periods.

Returns Overview

Ameresco, Inc. (AMRC) — Return Charts

Volatility Analysis

Ameresco, Inc. (AMRC) — Volatility Profile

Ameresco, Inc. (AMRC) exhibits markedly higher price variability than the broader market, with an annualized volatility of 62.0% compared to the S&P 500’s 17.78%, indicating roughly 3.5 times more fluctuation on a yearly basis. The stock’s downside risk is pronounced: a downside deviation of 41.59% and a historic maximum drawdown of -91.12% over a multi‑year period reflect severe loss potential, especially given the four‑year duration from its November 2021 peak to the April 2025 trough with no recovery observed. Recent short‑term volatility remains elevated, as the 60‑day vol (73.22%) and 252‑day vol (82.29%) both exceed the long‑term annualized figure, underscoring persistent market stress for this security.

Volatility Metrics

AMRC

The volatility profile of AMRC is exceptionally aggressive relative to the S&P 500 benchmark; its 62.0% annualized vol translates into a standard deviation more than three times that of the index, implying larger price swings and higher risk for investors. Downside metrics reinforce this view: a downside deviation of 41.59% signals that negative returns are both frequent and severe, while the -91.12% max drawdown—spanning nearly four years without full recovery—highlights extreme tail‑risk exposure. Moreover, the current trailing volatilities (73.22% for 60 days and 82.29% for 252 days) sit well above the long‑term average, indicating that recent market conditions have amplified price instability rather than subsiding.

AMRC’s annualized volatility is roughly 3.5× higher than the S&P 500.
Downside deviation of 41.59% points to pronounced asymmetry in loss versus gain.
Maximum drawdown of -91.12% reflects a near‑total erosion of value over an extended period.
Both 60‑day and 252‑day trailing volatilities exceed the long‑term average, suggesting ongoing heightened risk.
No recovery from the peak to trough indicates persistent weakness in price support.

Positive Characteristics
High volatility can create opportunities for short‑term traders seeking large price moves.
The pronounced swing may attract investors with a high risk tolerance looking for potential outsized returns if a turnaround occurs.

Volatility Analysis

Ameresco, Inc. (AMRC) — Volatility & Drawdown Charts

Beta & Correlation

Ameresco, Inc. (AMRC) — Beta Profile

Ameresco, Inc. (AMRC) exhibits a trailing beta of 1.447 versus the S&P 500, placing it firmly in the aggressive range (>1.2). This indicates that the stock tends to amplify broad market movements by roughly 45% more than an average equity, making it more volatile during both bull and bear phases. The upside beta (1.397) is slightly lower than the downside beta (1.329), suggesting a modest asymmetry where losses may be marginally less severe than gains relative to market swings, a nuance that risk managers should monitor. The R-squared of 0.172 and correlation of 0.415 reveal that only about 17% of AMRC’s price variance is explained by the S&P 500, leaving roughly 83% driven by idiosyncratic factors. Consequently, diversification benefits are limited; the stock behaves largely independent of market trends. When decomposing risk sources, systematic risk accounts for 17.2% of total variance while idiosyncratic risk dominates at 82.8%, underscoring that company‑specific drivers—such as project pipelines and regulatory changes—are the primary determinants of performance.

Beta & Correlation Metrics

AMRC

The market beta of 1.447 signals aggressive exposure to overall equity movements, while the sector beta of 1.242 indicates slightly lower but still above‑average sensitivity to the Industrials (XLI) index. The gap between these betas implies that roughly 86% (1.242/1.447) of AMRC’s market risk is attributable to sector dynamics, with the remaining 14% stemming from broader market forces. This decomposition highlights that sector trends—such as industrial demand cycles and energy policy shifts—play a significant role in the stock’s volatility. The asymmetric beta profile shows a higher downside beta (1.329) relative to upside beta (1.397), meaning the stock tends to fall slightly less sharply than it rises when the market moves. For investors, this asymmetry can be advantageous in a rising market but warrants caution during downturns, as the idiosyncratic component may amplify losses if company‑specific events materialize.

Trailing beta of 1.447 classifies AMRC as an aggressive stock relative to the S&P 500.
Upside beta (1.397) exceeds downside beta (1.329), indicating modest asymmetry favoring gains in up markets.
R-squared of 0.172 shows only 17% of price movements are explained by market factors, limiting diversification benefits.
Systematic risk comprises 17.2% of total variance; idiosyncratic risk dominates at 82.8%.
Sector beta (1.242) accounts for the majority of market exposure, suggesting sector dynamics drive most of AMRC’s systematic risk.

Positive Characteristics
Aggressive market beta offers potential for outsized upside when equities rally.
Higher upside beta relative to downside beta provides a slight edge in rising markets.
Strong idiosyncratic component allows the stock to diverge from broader market trends, offering tactical positioning opportunities.

Beta & Correlation

Ameresco, Inc. (AMRC) — Rolling Beta

Positive Notes

Aggressive market beta offers potential for outsized upside when equities rally.

Higher upside beta relative to downside beta provides a slight edge in rising markets.

Strong idiosyncratic component allows the stock to diverge from broader market trends, offering tactical positioning opportunities.

Risk-Adjusted Returns

Ameresco, Inc. (AMRC) — Risk-Adjusted Performance

Ameresco, Inc. (AMRC) delivers modest risk‑adjusted returns relative to the prevailing risk‑free rate of 3.63%. The Sharpe ratio of 0.445 signals that the stock’s excess return per unit of total volatility is below the conventional threshold of 1.0 for a strong risk‑adjusted performance, while the Sortino ratio of 0.663—higher than the Sharpe—indicates that downside volatility is less pronounced than overall volatility, offering some protection in falling markets. However, the Calmar ratio of 0.342 and an Information ratio of 0.323 suggest limited reward relative to historical drawdowns and only modest consistency in generating alpha above a benchmark.

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

Risk-Adjusted Metrics

AMRC

The Sharpe ratio of 0.445 places AMRC well below the 'good' benchmark, implying that investors are compensated with relatively low excess returns for each unit of total risk taken. In contrast, the Sortino ratio of 0.663 exceeds the Sharpe, reflecting a more favorable downside profile; the company’s price movements have exhibited less severe negative deviations than overall volatility would suggest. The Calmar ratio of 0.342 points to a sizable historical maximum drawdown relative to its annualized return, indicating that periods of loss have eroded much of the upside potential. An Information ratio of 0.323, while positive, falls short of the 0.5 level associated with consistent alpha generation, implying that any outperformance may be intermittent rather than systematic.

Sharpe ratio below 1.0 signals weak total risk‑adjusted performance.
Sortino ratio exceeds Sharpe, highlighting a comparatively milder downside volatility.
Calmar ratio under 0.5 indicates that historical drawdowns have been large relative to returns.
Information ratio of 0.323 suggests modest but not consistent alpha generation.
Treynor ratio of 19.047 reflects high return per unit of systematic risk, yet must be interpreted alongside the low Sharpe.

Positive Characteristics
Sortino ratio above Sharpe demonstrates resilience to downside market moves.
High Treynor ratio indicates that the stock has delivered strong returns relative to its beta exposure.

Risk-Adjusted Returns

Ameresco, Inc. (AMRC) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe demonstrates resilience to downside market moves.

High Treynor ratio indicates that the stock has delivered strong returns relative to its beta exposure.

Market Regime Analysis

Ameresco, Inc. (AMRC) — Regime Behavior

Ameresco (AMRC) demonstrates a pronounced sensitivity to market volatility regimes, delivering strong upside in bullish environments while exhibiting modest resilience during bearish periods. In Bull-LowVol conditions the stock posted an average monthly return of 4.39%, reflecting robust participation in calm uptrends, whereas in Bull-HighVol it still generated positive momentum at 3.37% despite heightened market turbulence. The bear regimes reveal a stark contrast: losses deepen to -8.13% in Bear-LowVol but flatten dramatically to just -0.11% during Bear-HighVol, indicating that extreme volatility dampens downside risk for the company. Overall, AMRC’s upside capture of 196.0% and downside capture of 142.9% yield a capture ratio of 1.37, signifying that it captures substantially more upside than downside relative to the S&P 500.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

AMRC

In Bull-LowVol markets AMRC outperforms the broader index, delivering 4.39% versus the S&P’s typical return, driven by its exposure to growth-oriented energy efficiency contracts that thrive in stable economic conditions. During volatile bull phases (Bull-HighVol), the stock’s average return of 3.37% remains positive but is moderated by heightened market swings, reflecting a slight sensitivity to risk sentiment while still benefitting from its defensive revenue streams. In Bear-LowVol periods the company suffers a steep decline of -8.13%, suggesting that orderly downtrends can pressure discretionary spending on sustainability projects; however, in Bear-HighVol environments the loss narrows dramatically to -0.11%, indicating that extreme market turbulence may shift investor focus toward resilient, long‑term infrastructure spend where AMRC’s services are perceived as essential.

Market Regime Analysis

Ameresco, Inc. (AMRC) — Regime & Capture Charts

Regime Timeline

AMRC delivers strong upside participation with an upside capture of 196.0% across all bull regimes.
Downside capture remains elevated at 142.9%, but the ratio improves in Bear-HighVol, limiting losses to -0.11% on average.
The current Bull-HighVol regime aligns with a positive 3.37% monthly return, suggesting continued upside potential despite market volatility.
Bear-LowVol presents the greatest risk, with an average decline of -8.13%, highlighting vulnerability in orderly downturns.

Positive Characteristics
Capture ratio of 1.37 indicates the stock captures more upside than downside relative to the S&P 500.
In Bear-HighVol environments, AMRC’s losses are near breakeven, demonstrating defensive characteristics during market stress.

Investment Highlights & Risk Summary

Ameresco, Inc. (AMRC) — Summary & Implications

Ameresco, Inc. (AMRC) delivered an exceptional 1‑year total return of 87.36%, generating an alpha of 68.36% versus the S&P 500 and outpacing its industrials sector benchmark (XLI) by a similar margin. The stock’s upside capture of 196% indicates that it has nearly doubled the gains of the broader market during bullish periods, while its Sharpe ratio of 0.445 reflects modest excess return per unit of risk given the high volatility environment. However, the same upside strength is accompanied by a downside capture of 142.9% and an extreme maximum drawdown of -91.12%, underscoring significant tail‑risk exposure. Investors should weigh the trade‑off between the strong absolute performance and the pronounced risk flags—particularly the elevated beta of 1.447, annualized volatility of 62%, and deep historical drawdown—when considering AMRC for a medium‑term (6‑18 month) allocation.

Summary Dashboard

Investment Highlights

1Y return of 87.36% produced an alpha of 68.36% versus the S&P 500, demonstrating superior absolute performance.
Upside capture of 196% shows that the stock participates almost twice as much in market rallies compared to the benchmark.
Sector outperformance: AMRC generated sector alpha of 68.39% against XLI, indicating it is a leading performer within Industrials.
Sortino ratio of 0.663 exceeds the Sharpe ratio, suggesting better reward for downside‑adjusted risk despite overall volatility.

Risk-Return Rankings

AMRC HIGH

Strong return and upside capture are offset by extreme volatility and deep drawdown risk.

Strength: High absolute return (87.36% YTD) with 68.36% alpha versus S&P 500.

Concern: Maximum historical drawdown of -91.12% indicating severe capital loss potential.

Key Takeaways

AMRC’s outperformance is driven by a high beta (1.447) that amplifies market moves in both directions.
The stock’s volatility of 62% far exceeds the S&P 500’s typical ~17%, implying larger price swings.
Downside capture above 100% (142.9%) means losses are magnified when the broader market declines.
While upside potential is compelling, risk‑adjusted metrics remain modest (Sharpe 0.445).

PORTFOLIO IMPLICATIONS

AMRC may suit aggressive investors seeking high upside exposure within an industrials allocation, particularly those comfortable with a high beta and willing to allocate a small, risk‑budgeted portion of the portfolio. Its strong return potential can complement lower‑beta, defensive holdings by providing asymmetric upside, but the deep drawdown history warrants tight position sizing and active monitoring of market volatility regimes.

AMRC

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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.

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.

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