Negative BETA Stocks vs. SPY
(1 year through July 27, 2021 (market close)
These stocks have negative BETA when compared to SPY (the S&P 500 ETF) for 1 year.
BETA for a stock is the degree (vs. 1.0) that a stock moves in lock-step with an index. BETA is a degree of correlation, or how an investment moves with another investment. A stock with a BETA of 1.0 against the $SPY (S&P 500 index) moves the same amount on a percentage basis as the index. So, S&P goes up 2%, this stock rises 2%, and if the index falls 2% the stock falls 2%. This creates leverage or momentum for a stock in your portfolio.
Negative BETA stocks move in the opposite direction of the index. A stock with a negative BETA (-1.0) would rise 2% if the $SPY falls 2%, and vice versa. This is not a common occurence. Negative BETA is not good, it's an anomaly.
Here are the stocks with BETA values outside the data validation range, with their BETA values (in descending order).
GME -1.2924878802838424
AMC -1.0358800439132791
LUB -0.9280041493147769
EXPR -0.7858731447333764
TTNP -0.68329112630098
AHPI -0.6397162170768343
CODX -0.4849986452311264
ISIG -0.47046449250699557
ODT -0.42737197733480575
CVM -0.34220190284729773
DGLY -0.2785048742770971
APT -0.19835438852981999
ARPO -0.19111905438555452
RETO -0.15807752043590714
SRRK -0.15511263369495554
ONTX -0.1432632988922305
QDEL -0.07794838802797731
TR -0.07275889096204413
SANW -0.06723734878700155
RSSS -0.020606899496607774
Negative BETA is caused by anomalous trading activity (e.g., MEME stocks), bad business performance during a rising market, or a counter-cyclical stock that moves against the market. An example of a counter-cyclical business would be a pawn shop, or a thrift store.
It is common to see BETAs approaching zero, when a stock moves independently versus an index, but not to move in the opposite direction. BETA values of a stock change against different stock market indices. We also use the NASDAQ Composite 100 $QQQ or Wilshire 5000 to calculate BETA.
This list is created during our work. We remove negative BETA stocks from our run during data validation. These might be interesting for you to perform due diligence and do fundamental research on, as they could be interesting to go long or short for a 'swing' period of time.
We compare all 4,600+ US listed common stocks against either the SPY or QQQ in our largest runs, over the measurement period (usually a year, or 253 trading days). Our most recent BETA range vs. SPY is (3.79, 0.00231). The normal condition we would expect to see is either stocks with negative business impacts in a rising market, or stocks doing well during a falling market. Our model requires us to remove negative BETA stocks.
Note: 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 client. We had to use a US-listed iShares ETF (TUR) and lost almost half our tickers during data validation to negative BETA.
Negative BETA stocks move in the opposite direction of the index. A stock with a negative BETA (-1.0) would rise 2% if the $SPY falls 2%, and vice versa. This is not a common occurence. Negative BETA is not good, it's an anomaly.
Here are the stocks with BETA values outside the data validation range, with their BETA values (in descending order).
GME -1.2924878802838424
AMC -1.0358800439132791
LUB -0.9280041493147769
EXPR -0.7858731447333764
TTNP -0.68329112630098
AHPI -0.6397162170768343
CODX -0.4849986452311264
ISIG -0.47046449250699557
ODT -0.42737197733480575
CVM -0.34220190284729773
DGLY -0.2785048742770971
APT -0.19835438852981999
ARPO -0.19111905438555452
RETO -0.15807752043590714
SRRK -0.15511263369495554
ONTX -0.1432632988922305
QDEL -0.07794838802797731
TR -0.07275889096204413
SANW -0.06723734878700155
RSSS -0.020606899496607774
Negative BETA is caused by anomalous trading activity (e.g., MEME stocks), bad business performance during a rising market, or a counter-cyclical stock that moves against the market. An example of a counter-cyclical business would be a pawn shop, or a thrift store.
It is common to see BETAs approaching zero, when a stock moves independently versus an index, but not to move in the opposite direction. BETA values of a stock change against different stock market indices. We also use the NASDAQ Composite 100 $QQQ or Wilshire 5000 to calculate BETA.
This list is created during our work. We remove negative BETA stocks from our run during data validation. These might be interesting for you to perform due diligence and do fundamental research on, as they could be interesting to go long or short for a 'swing' period of time.
We compare all 4,600+ US listed common stocks against either the SPY or QQQ in our largest runs, over the measurement period (usually a year, or 253 trading days). Our most recent BETA range vs. SPY is (3.79, 0.00231). The normal condition we would expect to see is either stocks with negative business impacts in a rising market, or stocks doing well during a falling market. Our model requires us to remove negative BETA stocks.
Note: 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 client. We had to use a US-listed iShares ETF (TUR) and lost almost half our tickers during data validation to negative BETA.