We found 17 Leptokurtic & Low Variance stocks. Want to know what they are?
What if you can find stock that are leptokurtic and have low variance? Would you be happy about it? These have a Fisher score of 5.0 or more, and variance lower than the whole market held evenly weighted?
Data based on 253 trading days through October 13, 2021
Leptokurtic Stocks (fat-tailed) We find highly kurtotic (or leptokurtic) or fat-tailed stocks that have lower than average variance. The kurtosis score we use that found these stocks is now 5.0 (where 3.0 is a standard, or normal distribution score). This is a very high bar.
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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