We found Leptokurtic & Low Variance stocks (through January 19,2022). Want to know what they are?
Leptokurtic Stocks (fat-tailed)
We found highly kurtotic (or leptokurtic) or fat-tailed stocks (not normally distributed - they had more frequent 'big moves') that displayed lower than average variance. The kurtosis score we use that found these stocks is 4.5 (was 5.0). A normal distribution is 3.0. This is a high bar.
The variance of each of these stocks is lower than the variance of all stocks held evenly (significant portfolio diversification) * 1.50.
Only a few of these stocks met the bar of having a variance below all stocks held evenly.
These are stocks that did display 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 added data validation filters this week that exclude stocks with net income < $1, market capitalization of less than $50M and BDC/CEF/Acquisition companies.
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