Liberty Latin America’s High‑Vol Bull Run Hides a Deep Drawdown Legacy

Five risk flags and asymmetric downside signal caution for the next 6‑18 months

LILAK Liberty Latin America Ltd.

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

Liberty Latin America Ltd. (LILAK) — Return Performance

Liberty Latin America Ltd. (LILAK) has delivered a mixed return profile across horizons, with recent periods marked by underperformance relative to the Communication Services sector ETF (XLC). Over the past month and quarter the stock fell 7.2% and 13.72%, generating alpha of -4.61% and -26.82% versus XLC, respectively, indicating pronounced short‑term weakness. By contrast, the one‑year horizon showed a solid 22.35% gain, outpacing the sector by 3.35%, while longer horizons (2‑5 years) have been deeply negative, with cumulative returns of -20.89% to -46.03% and alpha ranging from -56.11% to -117.84%, reflecting sustained underperformance over multi‑year periods.

Period Returns vs S&P 500 & XLC

Monthly Returns Heatmap

LILAK

The stock generated negative alpha in the near term, most notably a -26.82% alpha over three months, signaling that recent price moves lagged the sector considerably. However, a modest upside reversal appears at the one‑year mark where LILAK posted +3.35% alpha, suggesting some re‑rating potential if momentum sustains. The pronounced long‑term divergence, with up to -117.84% alpha over five years, highlights that historical performance has been markedly below sector benchmarks.

Returns Overview

Liberty Latin America Ltd. (LILAK) — Return Charts

Volatility Analysis

Liberty Latin America Ltd. (LILAK) — Volatility Profile

Liberty Latin America Ltd. (LILAK) exhibits markedly higher price variability than the broader market, with an annualized volatility of 52.39% compared to the S&P 500's 17.78%, indicating more than three times the typical fluctuation investors experience in a benchmark index. The stock’s downside risk profile is pronounced: a downside deviation of 34.73% signals substantial loss potential on negative market moves, while the historical maximum drawdown of -93.1%—spanning a decade from July 2015 to May 2025 with no recovery—underscores extreme tail risk and limited resilience in prolonged downturns. Recent short‑term volatility remains elevated; both the 60‑day (41.51%) and 252‑day (37.82%) volatilities exceed the long‑term average, suggesting that price swings have not yet subsided toward historical norms.

Volatility Metrics

LILAK

Liberty Latin America’s volatility is significantly above the S&P 500 benchmark, reflecting a riskier return environment for investors. The downside deviation of 34.73% and an unrecovered max drawdown of -93.1% highlight severe loss exposure, especially given the ten‑year duration of that decline. Although the trailing 60‑day (41.51%) and 252‑day (37.82%) volatilities are lower than the long‑term annualized figure of 52.39%, they remain well above market averages, indicating persistent elevated risk.

Annualized volatility is 2.95× the S&P 500, signaling high price fluctuation.
Downside deviation of 34.73% points to considerable loss potential on adverse moves.
Maximum drawdown of -93.1% over a ten‑year period remains unrecovered, indicating extreme tail risk.
Both 60‑day and 252‑day volatilities exceed the long‑term average, showing sustained elevated short‑term risk.

Positive Characteristics
Short‑term volatility (41.51%/37.82%) has trended lower than the peak annualized level of 52.39%, suggesting a modest easing of price swings.
The company’s high beta to market movements can provide amplified upside in bullish regimes for risk‑tolerant investors.

Volatility Analysis

Liberty Latin America Ltd. (LILAK) — Volatility & Drawdown Charts

Beta & Correlation

Liberty Latin America Ltd. (LILAK) — Beta Profile

Liberty Latin America Ltd. (LILAK) exhibits a trailing beta of 1.191 versus the S&P 500, placing it at the high end of the market‑like range (0.8‑1.2) and edging toward aggressive exposure. This indicates that over the past year the stock has moved roughly 19% more than the broad market on average, reflecting a pronounced sensitivity to overall equity trends. However, the sector beta of 0.995 against the Communication Services index (XLC) shows near‑parity with its industry peers, meaning most of LILAK’s systematic risk is driven by broader market forces rather than sector‑specific dynamics.

Beta & Correlation Metrics

LILAK

The upside beta of 1.07 versus the downside beta of 1.29 reveals a clear asymmetry: LILAK tends to fall more sharply in market declines than it rises on up‑moves, an important consideration for risk‑averse investors. The overall correlation with the S&P 500 stands at 0.409 and R-squared at 16.7%, indicating that only about one‑sixth of the stock’s variance is explained by market movements, while the remaining 83.3% is idiosyncratic. When benchmarked against its sector, the correlation rises modestly to 0.469 with an R² of 22%, suggesting a slightly stronger but still limited linkage to communication services trends.

Trailing market beta (1.191) signals near‑aggressive exposure relative to the S&P 500.
Downside beta (1.29) exceeds upside beta (1.07), implying greater loss sensitivity during market downturns.
Low R-squared values (16.7% market, 22% sector) denote a high proportion of idiosyncratic risk.
Sector beta (0.995) aligns closely with the communication services benchmark, indicating sector exposure is roughly neutral.
Systematic risk accounts for only 16.7% of total variance, underscoring that most price movement stems from company‑specific factors.

Positive Characteristics
Near‑unit sector beta suggests LILAK tracks its industry without excessive over‑ or under‑reaction to sector news.
The modest upside beta (1.07) provides some participation in market rallies while limiting the magnitude of gains relative to losses.

Beta & Correlation

Liberty Latin America Ltd. (LILAK) — Rolling Beta

Positive Notes

Near‑unit sector beta suggests LILAK tracks its industry without excessive over‑ or under‑reaction to sector news.

The modest upside beta (1.07) provides some participation in market rallies while limiting the magnitude of gains relative to losses.

Risk-Adjusted Returns

Liberty Latin America Ltd. (LILAK) — Risk-Adjusted Performance

Liberty Latin America Ltd. (LILAK) exhibits uniformly negative risk-adjusted performance across the standard suite of metrics, indicating that its total return has lagged the risk‑free rate after accounting for both total and systematic volatility. The Sharpe ratio of -0.095 and Sortino ratio of -0.144 confirm that not only is the overall risk‑adjusted return below the risk‑free benchmark, but the downside‑risk adjusted return is even more unfavorable, suggesting heightened sensitivity to negative price moves. The Calmar ratio of -0.015 reflects a severe drawdown relative to any modest gains, while an Information Ratio of -0.3 signals that active management has not generated consistent alpha, and the Treynor ratio of -4.189 underscores poor compensation for systematic risk.

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

Risk-Adjusted Metrics

LILAK

Liberty Latin America’s Sharpe and Sortino ratios are both negative, with the Sortino more deeply in deficit, indicating that downside volatility has eroded returns more than overall volatility. The Calmar ratio near zero (and negative) reveals that the worst historical drawdown far outweighs any positive cumulative return, highlighting a vulnerability to prolonged market stress. An Information Ratio of -0.3 suggests that the stock’s excess returns have been inconsistent and below the benchmark, implying limited value from active management decisions.

All risk‑adjusted ratios are negative, confirming underperformance relative to the 3.63% risk‑free rate.
The Sortino ratio is more adverse than the Sharpe, pointing to pronounced downside risk.
A Calmar ratio of -0.015 signals severe drawdowns that dominate any modest upside.
Information Ratio below zero indicates a lack of consistent alpha generation.

Positive Characteristics
Despite overall negative metrics, the company’s beta exposure is relatively low, which may limit systematic risk in bullish market regimes.

Risk-Adjusted Returns

Liberty Latin America Ltd. (LILAK) — Rolling Sharpe & Sortino

Positive Notes

Despite overall negative metrics, the company’s beta exposure is relatively low, which may limit systematic risk in bullish market regimes.

Market Regime Analysis

Liberty Latin America Ltd. (LILAK) — Regime Behavior

Liberty Latin America Ltd. (LILAK) exhibits markedly higher returns during volatile bull markets, delivering an average monthly gain of 2.18% when the S&P 500 is above its 50‑day SMA and realized volatility exceeds the median. In contrast, performance deteriorates sharply in orderly bear markets, with a -10.74% average decline over three months, while even in volatile bear periods the stock still falls at a substantial -4.63% monthly rate. The upside capture of 71.5% versus a downside capture of 175.3% yields a capture ratio of 0.41, indicating that the stock participates less than half as much on the upside relative to its exposure on the downside.

Current Market Regime: Bull-HighVol

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

Regime Returns & Capture Ratios

LILAK

During Bull‑LowVol regimes LILAK’s modest 0.51% monthly return suggests limited participation in calm uptrends, reflecting a growth profile that is sensitive to heightened market activity rather than steady gains. The strong 2.18% average in Bull‑HighVol periods underscores the company’s propensity to thrive when investors seek riskier opportunities, likely driven by its exposure to emerging‑market telecom infrastructure and higher margin upside. In Bear‑LowVol environments the stock’s -10.74% decline signals defensive weakness, as low volatility downtrends still erode earnings; however, in Bear‑HighVol scenarios the loss narrows to -4.63%, indicating some resilience when market stress is accompanied by broader volatility, perhaps due to relative stability of cash flows.

Market Regime Analysis

Liberty Latin America Ltd. (LILAK) — Regime & Capture Charts

Regime Timeline

LILAK’s performance is heavily regime‑dependent, excelling in volatile bull markets and underperforming in calm bear markets.
The downside capture of 175.3% far exceeds the upside capture of 71.5%, resulting in a low capture ratio (0.41) that signals higher sensitivity to market declines than advances.
Current Bull‑HighVol conditions align with LILAK’s strongest historical regime, suggesting near‑term momentum could be favorable if volatility persists.

Positive Characteristics
In Bear‑HighVol periods the stock’s loss is less severe (-4.63% vs -10.74% in Bear‑LowVol), indicating some defensive characteristic when market stress coincides with high volatility.
The company’s upside capture of 71.5% remains positive, showing it still participates in market gains despite a lower overall capture ratio.

Investment Highlights & Risk Summary

Liberty Latin America Ltd. (LILAK) — Summary & Implications

Liberty Latin America Ltd. delivered a 22.35% total return over the past year, generating an alpha of 3.35% versus the S&P 500 and outperforming its communication services sector (XLC) by 18.76%. However, the stock’s risk profile is markedly adverse: annualized volatility sits at 52.39%, a Sharpe ratio of -0.095 indicates returns below the risk‑free rate, and downside capture of 175.3% means it loses substantially more than the market in down periods. The company also experienced an extreme maximum drawdown of -93.1%, underscoring the potential for severe capital erosion. While the upside capture of 71.5% suggests modest participation in market rallies, the combination of high beta (1.191) and unfavorable risk‑adjusted metrics makes Liberty Latin America a high‑risk holding that may suit only investors with strong risk tolerance or those seeking sector exposure despite the downside asymmetry.

Summary Dashboard

Investment Highlights

Year‑to‑date return of 22.35% exceeds the S&P 500’s performance, delivering positive absolute gain.
Alpha of 3.35% versus the broad market and sector outperformance of 18.76% relative to XLC indicate the stock can generate excess returns in favorable environments.
Beta of 1.191 reflects a higher sensitivity to market moves, offering potential for amplified upside when communications equities rally.

Risk-Return Rankings

LILAK HIGH

High‑volatility, high‑beta stock with strong absolute return but severe downside risk.

Strength: Positive absolute return and sector outperformance (22.35% return, 18.76% sector alpha).

Concern: Extreme drawdown (-93.1%) and negative Sharpe ratio (-0.095) indicating poor risk‑adjusted performance.

Key Takeaways

Liberty Latin America’s strong raw returns are offset by a very high volatility environment.
Negative Sharpe and Sortino ratios signal that the stock has underperformed on a risk‑adjusted basis relative to both market and risk‑free benchmarks.
Downside capture of 175.3% means the company amplifies market declines, posing significant tail‑risk for investors.
The high beta (1.191) suggests the stock will move more than the broader market, intensifying both upside potential and downside exposure.

PORTFOLIO IMPLICATIONS

Given its high volatility and pronounced downside asymmetry, Liberty Latin America is best suited for a small allocation within a diversified portfolio where investors can tolerate large swings and are seeking sector tilt toward communication services. Pairing this stock with lower‑beta, higher‑Sharpe assets can help smooth overall portfolio returns while still capturing the upside potential when the communications sector outperforms. Investors should monitor volatility spikes and macro‑driven market corrections closely, as the company’s downside capture indicates it could exacerbate losses during broader market downturns.

LILAK

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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.

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