Negative BETA Stocks vs. SPY
(All US listed stocks through January 19, 2022 (market close)
These stocks have negative BETA when compared to SPY (the S&P 500 ETF) for 1 year.
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.
BETA is the degree that a stock moves with an index. 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.
Another 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 has a negative BETA that is close to zero.
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 $CLX). I use this list to find stocks that are trading strangely and could provide an edge.
Some believe a mix of positive and negative BETA stocks is a way to hedge their investment. This is why we publish our list of Negative BETA Stocks.
Here are all stocks with negative BETA values (in alphabetical order of tickers) that passed our data validation.
APO Apollo Global Management Inc -0.10
APT Alpha Pro Tech Ltd. -0.24
AUBN Auburn National Bancorp Inc. -0.25
AVIR Atea Pharmaceuticals Inc -0.07
CBAN Colony Bankcorp Inc. -0.09
CCRD CoreCard Corporation -0.00
CFFI C & F Financial Corp -0.01
CLX Clorox Co. -0.21
CPK Chesapeake Utilities Corp -1.09
CVLY Codorus Valley Bancorp Inc. -0.25
DJCO Daily Journal Corporation -0.04
GCBC Greene County Bancorp Inc 0.00
GEO Geo Group Inc. -0.05
GRAB Grab Holdings Limited -0.43
HRL Hormel Foods Corp. -0.04
IHS IHS Holding Ltd -1.43
KOSS Koss Corp. -3.15
LARK Landmark Bancorp Inc -0.18
LGO Largo Inc -0.03
MKFG Markforged Holding Corporation -0.14
MRLN Marlin Business Services Corp -0.11
MYFW First Western Financial Inc -0.07
NICK Nicholas Financial Inc. -0.16
NWFL Norwood Financial Corp. -0.13
PDEX Pro-Dex Inc. (co) -0.33
PNT POINT Biopharma Global Inc -0.01
QDEL Quidel Corp. -0.29
ROIV Roivant Sciences Ltd -0.08
SBFG SB Financial Group Inc -0.22
SGLY Singularity Future Technology Ltd -1.02
SIEB Siebert Financial Corp. -0.08
SMLR Semler Scientific Inc -0.76
TCFC Community Financial Corp -0.08
TR Tootsie Roll Industries Inc. -0.05
UNB Union Bankshares Inc. -0.02
VRE Veris Residential Inc -0.01
Note: It is not always easy to find the right index to calculate BETA. You need clean and complete data (every day). We faced this issue the first time we analyzed the Turkish stock market for a potential client. We had to use a US-listed iShares ETF ($TUR) and lost almost half our tickers during data validation to negative BETA.
We added another new data validation filter. The main ones are positive net income, minimum $50M market capitalization and 'not' a business development corporation, closed end fund, or acquisition company.
BETA is the degree that a stock moves with an index. 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.
Another 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 has a negative BETA that is close to zero.
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 $CLX). I use this list to find stocks that are trading strangely and could provide an edge.
Some believe a mix of positive and negative BETA stocks is a way to hedge their investment. This is why we publish our list of Negative BETA Stocks.
Here are all stocks with negative BETA values (in alphabetical order of tickers) that passed our data validation.
APO Apollo Global Management Inc -0.10
APT Alpha Pro Tech Ltd. -0.24
AUBN Auburn National Bancorp Inc. -0.25
AVIR Atea Pharmaceuticals Inc -0.07
CBAN Colony Bankcorp Inc. -0.09
CCRD CoreCard Corporation -0.00
CFFI C & F Financial Corp -0.01
CLX Clorox Co. -0.21
CPK Chesapeake Utilities Corp -1.09
CVLY Codorus Valley Bancorp Inc. -0.25
DJCO Daily Journal Corporation -0.04
GCBC Greene County Bancorp Inc 0.00
GEO Geo Group Inc. -0.05
GRAB Grab Holdings Limited -0.43
HRL Hormel Foods Corp. -0.04
IHS IHS Holding Ltd -1.43
KOSS Koss Corp. -3.15
LARK Landmark Bancorp Inc -0.18
LGO Largo Inc -0.03
MKFG Markforged Holding Corporation -0.14
MRLN Marlin Business Services Corp -0.11
MYFW First Western Financial Inc -0.07
NICK Nicholas Financial Inc. -0.16
NWFL Norwood Financial Corp. -0.13
PDEX Pro-Dex Inc. (co) -0.33
PNT POINT Biopharma Global Inc -0.01
QDEL Quidel Corp. -0.29
ROIV Roivant Sciences Ltd -0.08
SBFG SB Financial Group Inc -0.22
SGLY Singularity Future Technology Ltd -1.02
SIEB Siebert Financial Corp. -0.08
SMLR Semler Scientific Inc -0.76
TCFC Community Financial Corp -0.08
TR Tootsie Roll Industries Inc. -0.05
UNB Union Bankshares Inc. -0.02
VRE Veris Residential Inc -0.01
Note: It is not always easy to find the right index to calculate BETA. You need clean and complete data (every day). We faced this issue the first time we analyzed the Turkish stock market for a potential client. We had to use a US-listed iShares ETF ($TUR) and lost almost half our tickers during data validation to negative BETA.
We added another new data validation filter. The main ones are positive net income, minimum $50M market capitalization and 'not' a business development corporation, closed end fund, or acquisition company.