We found 30 Platykurtic & Low Variance stocks. Want to know what they are?
What if you can find stock that are platykurtic and have low variance? Would it make you bored and sleepy, or are you thinking about options and hedges? These stocks have a Fisher score of 1.0 or less, and variance lower than the whole market held evenly weighted?
Data based on 253 trading days through October 13, 2021
Platykurtic Stocks (thin-tailed)
A platykurtic stock is one that moves very tightly within its expected values. It does not leap, or jump, in price in multiples of its standard deviation of price changes. It is predictable. Couple this with low variance, and we may have found the safest stocks in the market.
We set a standard kurtosis score of 1.00 vs. a normal distribution of 3.0, and stocks with variances lower than the variance of an ‘all asset’ portfolio. This is a very high bar. These should be the safe bets.
The variance of the stock is 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.
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