Skewed stock returns (Market Close, September 12, 2023)
This is a list of US-listed stocks that have a significant skew to their daily price returns. They have more frequent positive or negative daily returns over the past year than can be explained by a normal distribution.
Skewness may be a momentum or relative strength indicator.
Skewness may be a momentum or relative strength indicator.
Maximum and minimum skew stocks
The excessive positive skew stocks are:
ALPP 12.190
BIOR 12.570
BNGO 13.233
BRDS 13.007
CARM 11.289
CKPT 11.599
COSM 7.783
CRKN 12.770
DSX 7.556
EJH 8.910
FCNCA 7.528
FFIE 12.779
GREE 8.850
HLGN 12.663
IMGN 8.233
JAGX 14.277
LFLY 11.670
LPTX 11.477
MARK 12.002
MCOM 11.678
MDGL 11.912
MULN 7.758
NCMI 9.929
NGMS 8.518
RETA 7.567
SDIG 11.207
SFT 10.925
SPRO 10.507
SYTA 13.420
TNXP 9.974
TRTN 8.265
WATT 14.252
ZYNE 11.260
There are this many excessive positive skew stocks: 33
The excessive negative skew stocks are:
AAP -7.545
BHVN -13.844
DRVN -10.274
DSGN -9.330
EVA -9.795
EXLS -15.229
FATE -7.720
FGEN -12.615
FNKO -8.220
GOSS -7.900
IMUX -7.684
LSXMA -13.625
LSXMK -13.827
LUNG -8.361
MRSN -7.853
NGM -10.094
OLPX -8.452
ORGN -11.182
ORMP -11.015
OTLK -12.362
PIRS -7.896
RCM -8.722
ROG -10.562
SAGE -9.219
SPHR -9.777
SYNH -8.857
TLRY -9.595
TLS -7.699
VERA -8.623
VIR -7.721
There are this many excessive negative skew stocks: 30
The excessive positive skew stocks are:
ALPP 12.190
BIOR 12.570
BNGO 13.233
BRDS 13.007
CARM 11.289
CKPT 11.599
COSM 7.783
CRKN 12.770
DSX 7.556
EJH 8.910
FCNCA 7.528
FFIE 12.779
GREE 8.850
HLGN 12.663
IMGN 8.233
JAGX 14.277
LFLY 11.670
LPTX 11.477
MARK 12.002
MCOM 11.678
MDGL 11.912
MULN 7.758
NCMI 9.929
NGMS 8.518
RETA 7.567
SDIG 11.207
SFT 10.925
SPRO 10.507
SYTA 13.420
TNXP 9.974
TRTN 8.265
WATT 14.252
ZYNE 11.260
There are this many excessive positive skew stocks: 33
The excessive negative skew stocks are:
AAP -7.545
BHVN -13.844
DRVN -10.274
DSGN -9.330
EVA -9.795
EXLS -15.229
FATE -7.720
FGEN -12.615
FNKO -8.220
GOSS -7.900
IMUX -7.684
LSXMA -13.625
LSXMK -13.827
LUNG -8.361
MRSN -7.853
NGM -10.094
OLPX -8.452
ORGN -11.182
ORMP -11.015
OTLK -12.362
PIRS -7.896
RCM -8.722
ROG -10.562
SAGE -9.219
SPHR -9.777
SYNH -8.857
TLRY -9.595
TLS -7.699
VERA -8.623
VIR -7.721
There are this many excessive negative skew stocks: 30
Please contact us for more information.
Skewness: Interesting stock data to capture and report.
We can run our analysis and create a portfolio with the highest (positive) and lowest (negative) skew stocks. This includes all stocks (profitable and unprofitable) that pass our data validation. This is what we now call the QQQ run, but is not yet available to outside clients via our website. It is available to clients who buy via an invoice and pre-order.
When we have analyzed this on an ad-hoc basis, we notice there are differences in stock returns based on skewness.
We can run our analysis and create a portfolio with the highest (positive) and lowest (negative) skew stocks. This includes all stocks (profitable and unprofitable) that pass our data validation. This is what we now call the QQQ run, but is not yet available to outside clients via our website. It is available to clients who buy via an invoice and pre-order.
When we have analyzed this on an ad-hoc basis, we notice there are differences in stock returns based on skewness.