Negative BETA Stocks vs. SPY
(All US listed stocks through Friday, May 20, 2022 (market close)
All stocks with negative BETA values (in alphabetical order of tickers) that pass our data validation, market capitalization > $100M, along with 1-year BETA (vs. S&P 500 Index ETF).
Positive Net Income Stocks
(through May 23):
AZPN Aspen Technology Inc. -0.05
CPK Chesapeake Utilities Corp -0.33
FATH Fathom Digital Manufacturing Corporation -0.12
IHS IHS Holding Ltd -0.15
NICK Nicholas Financial Inc. -0.09
NTIC Northern Technologies International Corp. -0.17
PCOM Points.com Inc -0.16
UNB Union Bankshares Inc. -0.02
Negative Net Income Stocks:
BKEP Blueknight Energy Partners LP -0.11
Exchange Traded Funds (ETF)
(through May 23):
AAAU Goldman Sachs Physical Gold ETF -0.07
SQQQ ProShares UltraPro Short QQQ -3.78
UUP Invesco DB US Dollar Index Bullish Fund -0.11
UVXY ProShares Ultra VIX Short-Term Futures ETF -5.45
VIXY ProShares VIX Short-Term Futures ETF -3.70
(through May 23):
AZPN Aspen Technology Inc. -0.05
CPK Chesapeake Utilities Corp -0.33
FATH Fathom Digital Manufacturing Corporation -0.12
IHS IHS Holding Ltd -0.15
NICK Nicholas Financial Inc. -0.09
NTIC Northern Technologies International Corp. -0.17
PCOM Points.com Inc -0.16
UNB Union Bankshares Inc. -0.02
Negative Net Income Stocks:
BKEP Blueknight Energy Partners LP -0.11
Exchange Traded Funds (ETF)
(through May 23):
AAAU Goldman Sachs Physical Gold ETF -0.07
SQQQ ProShares UltraPro Short QQQ -3.78
UUP Invesco DB US Dollar Index Bullish Fund -0.11
UVXY ProShares Ultra VIX Short-Term Futures ETF -5.45
VIXY ProShares VIX Short-Term Futures ETF -3.70
BETA is the degree that a stock moves with an index. BETA is calculated by the covariance of a stock versus an index, like SPY, divided by the variance of the index. We calculate this based on daily close prices over a year against SPY.
Negative BETA stocks moved in the opposite direction of the index. A stock with a negative BETA fell when the index rose, and rose when the index fell. It is rare to see a negative BETA stock. Most stocks move with the market, hence the expression "a rising tide lifts all boats." Negative BETA stocks are an anomaly. Negative BETA may be caused by anomalous trading activity (e.g., MEME stocks like $AMC or $GME), poor business performance during a rising market, or a counter-cyclical stock that moves against the market (e.g., discount retailers). Some stocks have declined during a rising market (e.g., Clorox or $CLX). I use this list to find stocks that are trading strangely and could provide an edge.
BETA is the degree of correlation. Some call it the systematic risk of a stock. A stock with a BETA of 1.0 means the covariance of the stock vs. the index equals the variance of the index, or that their variability matches. So, if the index rose by 2%, then the stock also rose by 2%, on average. A BETA of more than 1.0 implies the stock has greater momentum than the index. We see stocks with BETA of 3.0 or greater over the past year which have tremendous momentum, almost like leverage in your portfolio. These are very risky stocks to hold in case the market index declines.
A stock with a BETA of zero moves independently, or without a relationship, to the underlying index. For example, $TVC, which is a stock ticker that buys you a $25 bond issued by the Tennessee Valley Authority, likely has a BETA near zero. This ticker moves with interest rates and the health of the issuer, not the stock market.
Three new examples are:
1) K or Kellogg Co has a negative beta of -0.05, or -5%. This is a consumer products company that is moving slightly opposite the S&P 500 index. There were labor relations problems with this company over the measurement period.
2) We see a highly speculative stock in digital printing for a small roll-up play out of Wisconsin. $FATH or Fathom Digital Manufacturing Corporation. It has a negative BETA of -0.15.
Another recent example is $GEO, or Geo Group, a private prison company that converted from a REIT to a corporation recently. This stock has moved due to the political risk against this company. President Biden is trying to eliminate privately-run, for-profit Federal prisons. It had a negative BETA that is close to zero.
There are fewer negative BETA stocks through these latest market downturns, such as $NEM or Newmont Mining. This used to have a negative BETA but is now positive.
Some believe a mix of positive and negative BETA stocks is a way to hedge their investment.
It is not always easy to find the right index to calculate BETA. You need clean and complete data (every day). We faced this issue the first time we analyzed the Turkish stock market for a potential Turkish client. We had to use a US-listed iShares ETF ($TUR) and lost almost half our tickers during data validation to negative BETA.
We use data validation filters to ensure liquid, continuously traded, US exchange listed, common stocks with prices and values in standard ranges which have market capitalization above a certain level. We also exclude business development corporations, closed end funds, and acquisition companies.
Negative BETA stocks moved in the opposite direction of the index. A stock with a negative BETA fell when the index rose, and rose when the index fell. It is rare to see a negative BETA stock. Most stocks move with the market, hence the expression "a rising tide lifts all boats." Negative BETA stocks are an anomaly. Negative BETA may be caused by anomalous trading activity (e.g., MEME stocks like $AMC or $GME), poor business performance during a rising market, or a counter-cyclical stock that moves against the market (e.g., discount retailers). Some stocks have declined during a rising market (e.g., Clorox or $CLX). I use this list to find stocks that are trading strangely and could provide an edge.
BETA is the degree of correlation. Some call it the systematic risk of a stock. A stock with a BETA of 1.0 means the covariance of the stock vs. the index equals the variance of the index, or that their variability matches. So, if the index rose by 2%, then the stock also rose by 2%, on average. A BETA of more than 1.0 implies the stock has greater momentum than the index. We see stocks with BETA of 3.0 or greater over the past year which have tremendous momentum, almost like leverage in your portfolio. These are very risky stocks to hold in case the market index declines.
A stock with a BETA of zero moves independently, or without a relationship, to the underlying index. For example, $TVC, which is a stock ticker that buys you a $25 bond issued by the Tennessee Valley Authority, likely has a BETA near zero. This ticker moves with interest rates and the health of the issuer, not the stock market.
Three new examples are:
1) K or Kellogg Co has a negative beta of -0.05, or -5%. This is a consumer products company that is moving slightly opposite the S&P 500 index. There were labor relations problems with this company over the measurement period.
2) We see a highly speculative stock in digital printing for a small roll-up play out of Wisconsin. $FATH or Fathom Digital Manufacturing Corporation. It has a negative BETA of -0.15.
Another recent example is $GEO, or Geo Group, a private prison company that converted from a REIT to a corporation recently. This stock has moved due to the political risk against this company. President Biden is trying to eliminate privately-run, for-profit Federal prisons. It had a negative BETA that is close to zero.
There are fewer negative BETA stocks through these latest market downturns, such as $NEM or Newmont Mining. This used to have a negative BETA but is now positive.
Some believe a mix of positive and negative BETA stocks is a way to hedge their investment.
It is not always easy to find the right index to calculate BETA. You need clean and complete data (every day). We faced this issue the first time we analyzed the Turkish stock market for a potential Turkish client. We had to use a US-listed iShares ETF ($TUR) and lost almost half our tickers during data validation to negative BETA.
We use data validation filters to ensure liquid, continuously traded, US exchange listed, common stocks with prices and values in standard ranges which have market capitalization above a certain level. We also exclude business development corporations, closed end funds, and acquisition companies.
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We frequently tweet on this topic.
Negative BETA Stocks (updated)
— Chicago Quantum (@chicago_quantum) May 9, 2022
Very few common stocks (market cap > $500M) have negative BETA, but a few ETFs can give significant negative BETA exposure.https://t.co/c6SPXnLCRB$BTOG $IHS $K $NEM $FATH $SES
ETFs listed on the webpage