We found Platykurtic & Low Variance stocks through January 19, 2022. Want to know what they are?
Platykurtic Stocks (thin-tailed)
A platykurtic stock is one that moved very tightly within its expected values. It did not leap, or jump, in price in multiples of its standard deviation of price changes. It was more predictable. When we combine this with stocks that had low price variance, we may have created the previously 'safest stocks' in the market.
It is up to you to decide whether this is the same thing moving forward, and whether you want that safety in your portfolio.
We set a standard kurtosis score of 1.50 (was 1.0) vs. a normal distribution of 3.0, and stocks with variances lower than the variance of an ‘all asset’ portfolio. This is a high bar against these stocks having a normal distribution. These were the 'safe bets' during a rising market - slow and steady movers.
The variance of the stock is equal to or lower than the variance of all stocks held evenly (significant portfolio diversification).
These are stocks without extreme behavior in regards to the fourth order movement (variance squared or price to the fourth power) over the measurement period. We check whether they are leptokurtic (history of leaping), with either positive or negative skewness, and a low or high variance. Depending on the data, we can see one stock, or sometimes a few dozen. These stocks are candidates for options pricing anomalies, and may warrant additional analysis.
We provide this list with every run to our clients.
We added data validation filters this week that exclude stocks with net income < $1, market capitalization of less than $50M and BDC/CEF/Acquisition companies.
NEW CLIENTS WELCOME