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Negative BETA Stocks, September 4, 2024

Chicago Quantum: The home of the negative beta stock list.

• ​We produce this list every day to remove these stocks from our Chicago Quantum Net Score analysis.
• Negative beta stocks are anomalies.
• Stocks typically rise with the stock market indices ('a rising tide lifts all boats').
• These stocks have moved in the opposite direction for the past year.
• Here is the list of stocks, and select ETFs that we include in our analysis, with negative beta.

​These stocks and a few ETFs have negative BETA values for the past year vs. the S&P 500 Equity Index ETF $SPY. This is based on daily adjusted closing price values.

There are very few stocks with a negative beta value. In the past three years since we have been tracking them, they make up around 2% of all data validated stocks.

They say "A rising tide lifts all boats." We expect all stocks to move with the market over time, just to a greater and lesser extent based on relative investor interest, valuations and earnings potential. When a stock moves opposite to the overall market, it means there are strong forces at work on those individual stocks.

ETFs that track commodities, risk factors, currencies, or cryptocurrencies may commonly trade with a negative BETA, because their underlying factor typically moves in the opposite direction as stocks (think interest rates, or the cost of insurance on stocks).

Here are the stocks with BETA values outside the data validation range.

We notice some big names on the list, reflecting strong market and fiscal / tax / regulatory forces at work.

TICKER (alphabetical order), BETA, STOCK NAME
CBOE -0.291 Cboe Global Markets Inc.
CHD -0.005 Church & Dwight Co. Inc.
COR -0.061 Cencora Inc.
CPB -0.174 Campbell Soup Co.
CYBN -0.156 Cybin Inc
EJH -1.208 E-Home Household Service Holdings Ltd
ENSV -0.315 Enservco Corp
FEMY -0.293 Femasys Inc
GIS -0.146 General Mills Inc.
HE -0.081 Hawaiian Electric Industries Inc.
HUBC -0.882 Hub Cyber Security Ltd
HUSA -1.146 Houston American Energy Corp
INDO -2.039 Indonesia Energy Corp Ltd
K -0.227 Kellanova Co
LIFW -1.212 MSP Recovery Inc
LYRA -0.225 Lyra Therapeutics Inc
MCK -0.183 Mckesson Corporation
MEGL -0.022 Magic Empire Global Ltd
PRZO -0.814 ParaZero Technologies Ltd
RCAT -0.138 Red Cat Holdings Inc
SJM -0.008 J.M. Smucker Co.
SLNO -0.280 Soleno Therapeutics Inc
SQQQ -3.939 ProShares UltraPro Short QQQ -3x Shares
SYRS -0.025 Syros Pharmaceuticals Inc.
TPET -1.619 Trio Petroleum Corp.
TZA -3.725 Direxion Daily Small Cap Bear 3X Shares
UUP -0.147 Invesco DB US Dollar Index Bullish Fund
VIRX -0.226 Viracta Therapeutics Inc
​ZVRA -0.395 Zevra Therapeutics Inc

Learn more about our Chicago Quantum Net Score analysis

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What stock BETA means in the stock market

• Describe stock beta
• Describe negative stock beta, how it happens and what it means.
• Provide a list of currently negative BETA stocks (it changes frequently).
• Provide negative beta stock examples.​

BETA is the degree that a stock moves with the stock market.  BETA is the degree of correlation, and the systematic risk of a stock.  BETA is calculated by the covariance of a stock (x) with an index (y) divided by the variance of the index: covariance x,y / variance y.  BETA is the measure of the systematic risk, or degree to which a stock moved as a multiple of the overall stock market.  A negative BETA stock has a negative covariance with the underlying index.

We measure this movement over a year, against the S&P 500 Index ETF, or SPY.

A stock with a negative BETA moved in the opposite direction of the market. It implies an inverse relationship between that stock and the market over the past year. It has zigged, when the market has zagged. It rose when the market fell. This is an anomaly, as most stocks move with the market, hence the expression: "a rising tide lifts all boats."

A beta of one implies a stock generally moved with the market. The large equity index, the S&P 500, moves with the market with a beta of one. Surprisingly, Real Estate moves with the market, as well as Bitcoin.

A beta between zero and one means a stock moved less quickly, but still with the market. A common example are consumer packaged goods that sell products found in grocery stores.

A beta greater than one means a stock moved more aggressively, but aligned with the market. It is proportional, so a beta of 2 implies it moves twice as much as the market. We see beta values up to 3.50 in our model. Many of the highest beta stocks are growth stocks and new economy stocks.

Continue Reading: What is stock BETA?

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