Platykurtic U.S. common stocks: August 30, 2024
- Stocks with a platykurtic distribution.
- What it means for a stock to have a platykurtic distribution.
- Show a platykurtic distribution example.
A platykurtic stock has a standardized kurtosis score that is less than a normal distribution value of three (K < 3.0). Kurtosis is the fourth central movement of a distribution. We filter the list to include stocks with K < 1.25 and stock price variance lower than the market as a proprietary choice.
Visualization:
1) a platykurtic stock distribution has fewer outliers than a normal stock price distribution, so imagine the roll of a fair, six-sided die. There are no outliers, and a die is perfectly platykurtic.
2) a platykurtic stock likely has significant liquidity so that if one side of the trade wants to drive the stock up or down, the other side is right there with plenty of buying or selling power to take the other side of the trade.
3) a platykurtic stock with low variance just did not see outlier moves last year...it was more predictable within the expected range of daily stock price changes.
The S&P 500 Equity Index ETF is a highly platykurtic stock and has been for a while. However, it has recently become less platykurtic. In jest, we would say the S&P 500 Equity Index ETF is expected to deliver more whammies than last year. It was much calmer earlier in 2024.
Visualization:
1) a platykurtic stock distribution has fewer outliers than a normal stock price distribution, so imagine the roll of a fair, six-sided die. There are no outliers, and a die is perfectly platykurtic.
2) a platykurtic stock likely has significant liquidity so that if one side of the trade wants to drive the stock up or down, the other side is right there with plenty of buying or selling power to take the other side of the trade.
3) a platykurtic stock with low variance just did not see outlier moves last year...it was more predictable within the expected range of daily stock price changes.
The S&P 500 Equity Index ETF is a highly platykurtic stock and has been for a while. However, it has recently become less platykurtic. In jest, we would say the S&P 500 Equity Index ETF is expected to deliver more whammies than last year. It was much calmer earlier in 2024.
Platykurtic and low variance stocks:
Here is the sorted list of the platykurtic and low variance stocks we found today, with ticker, standard kurtosis score, and normalized variance over the past year. We normalize the second number (the variance) to allow comparability between stocks.
TICKER, STANDARDIZED KURTOSIS SCORE (ascending order below limit), VARIANCE (normalized)
TLT 0.050 0.0000207
CSX 0.199 0.0000234
IEF 0.367 0.0000045
FTS 0.490 0.0000211
MPLX 0.491 0.0000098
EQC 0.520 0.0000108
WMB 0.535 0.0000239
DUK 0.541 0.0000206
WHF 0.570 0.0000242
L 0.587 0.0000163
GBDC 0.598 0.0000144
QQQ 0.666 0.0000220
PEG 0.688 0.0000247
DTM 0.701 0.0000231
PBA 0.706 0.0000149
TRP 0.709 0.0000229
CTO 0.723 0.0000213
KMI 0.788 0.0000211
YUM 0.812 0.0000197
CME 0.878 0.0000212
REGN 0.922 0.0000220
BRK.B 0.938 0.0000124
SPY 0.972 0.0000113
ATO 1.081 0.0000194
ACI 1.167 0.0000162
UNP 1.169 0.0000232
ET 1.180 0.0000205
NMFC 1.208 0.0000080
SO 1.219 0.0000238
TICKER, STANDARDIZED KURTOSIS SCORE (ascending order below limit), VARIANCE (normalized)
TLT 0.050 0.0000207
CSX 0.199 0.0000234
IEF 0.367 0.0000045
FTS 0.490 0.0000211
MPLX 0.491 0.0000098
EQC 0.520 0.0000108
WMB 0.535 0.0000239
DUK 0.541 0.0000206
WHF 0.570 0.0000242
L 0.587 0.0000163
GBDC 0.598 0.0000144
QQQ 0.666 0.0000220
PEG 0.688 0.0000247
DTM 0.701 0.0000231
PBA 0.706 0.0000149
TRP 0.709 0.0000229
CTO 0.723 0.0000213
KMI 0.788 0.0000211
YUM 0.812 0.0000197
CME 0.878 0.0000212
REGN 0.922 0.0000220
BRK.B 0.938 0.0000124
SPY 0.972 0.0000113
ATO 1.081 0.0000194
ACI 1.167 0.0000162
UNP 1.169 0.0000232
ET 1.180 0.0000205
NMFC 1.208 0.0000080
SO 1.219 0.0000238
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