Stock Price Variance Analysis 2024
We restarted this analysis on September 3, 2024 using data from August 30, 2024.
For more information, please check back.
KTA: Actual U.S. stock price variance has stabilized over the past month during a significant increase in stock market values.
Variance has been decreasing for many months, which has been a very bullish sign for U.S. stock prices. See data below.
For more information, please check back.
KTA: Actual U.S. stock price variance has stabilized over the past month during a significant increase in stock market values.
Variance has been decreasing for many months, which has been a very bullish sign for U.S. stock prices. See data below.
One way to measure the riskiness of US-listed stocks is to measure the variance of stock price changes. Risk is a function of stock price variance, which is the degree which stock prices vary around their mean change. We believe that risky stock portfolios with high variance require investors to demand a higher expected return to hold them. The high uncertainty presented by higher variance requires a higher expected return.
When stock price variance falls across all stocks, and for the major indices, then the expected return required by investors falls. At least, that is what the theory says.
What we are seeing is consistently lower stock portfolio variance over the timeframe that we have been reporting this set of data. It continues to decline. There is less price volatility in stocks, broadly speaking, and this tends to support stock prices.
- What is the actual stock price variance currently?
- Do stock prices have higher or lower volatility over the last six months?
When stock price variance falls across all stocks, and for the major indices, then the expected return required by investors falls. At least, that is what the theory says.
What we are seeing is consistently lower stock portfolio variance over the timeframe that we have been reporting this set of data. It continues to decline. There is less price volatility in stocks, broadly speaking, and this tends to support stock prices.
S&P 500 Equity Index ETF ($SPY):
May 5: 3.8 x 10-5
May 15: 3.5 x 10-5
Sept 12: 2.4 x 10-5
September 18: 2.2 x 10-5
October 3: 2.2 x 10-5
October 13: 2.0 x 10-5
October 16: 2.0 x 10-5
October 24: 1.9 x 10-5
October 30: 1.8 x 10-5
October 31: 1.8 x 10-5
November 14: 1.5 x 10-5
January 28, 2024: 1.2 x 10-5
February 20, 2024: 1.2 x 10-5
March 6, 2024: 1.1 x 10-5
August 30, 2024: 1.1 x 10-5 (same as in March!)
All Chicago Quantum Net Score stocks analyzed; stocks that pass data validation:
May 5: 6.3 x 10-5, for 3,397 stocks
May 15: 5.8 x 10-5 for 3,384 stocks
Sept 12: 4.2 x 10-5 for 3,021 stocks
September 18: 4.1 x 10-5 for 3,021 stocks
October 3: 3.8 x 10-5 for 2,992 stocks (Natural attrition of 29 stocks. No change in validation parameters.)
October 13: 3.6 x 10-5 for 2,979 stocks (Natural attrition of 13 stocks. No change in validation parameters.)
October 16: 3.6 x 10-5 for 2,981 stocks
October 24: 3.5 x 10-5 for 2,979 stocks
October 30: 3.4 x 10-5 for 2,979 stocks
October 31: 3.4 x 10-5 for 2,978 stocks
November 14: 3.2 x 10-5 for 2,983 stocks
January 28, 2024: 3.0 x 10-5 for 3,266 stocks
February 20, 2024: 3.2 x 10-5 for 2,468 stocks
March 6, 2024: 3.2 x 10-5 for 2,475 stocks
August 30, 2024: 3.2 x 10-5 for 3,189 stocks (same as in March)
Total equity market capitalization of all Chicago Quantum Net Score stocks that pass data validation:
October 31: $47.89T for 2,978 stocks
November 14: $51.6T for 2,983 stocks (up significantly over the past 2 weeks)
January 28, 2024: $54.6T for 3,266 stocks (up significantly over the past 2.5 months)
February 20, 2024: $58.7T for 2,469 stocks (up significantly over the past month due to a data error)
March 6, 2024: $54.5T for 2,475 stocks
August 30, 2024: $61.4T for 3,189 stocks
Average Volume of Shares traded:
October 31: 1.085% (vs. last year, average, across all stocks)
November 14: 1.391% (volume up 39% vs. the average over the last year, averaged across all stocks)
January 28, 2024: 0.882 or 88.2% of last year's average volume.
February 20, 2024: 1.13 or 113%
August 30, 2024: 93.7% (less than the average - could be the summer & Labor Day Friday)
Average Share Price vs. 253 Day Average:
January 28, 2024: 1.02 (up 2.% vs. last year's average)
February 20, 2024: 1.05 (up over the past month)
March 6, 2024: 1.07 (up further)
Average Dividend Yield (actually paid over the past year / average share price):
January 28, 2024: 1.017, or 1.7%
February 20, 2024: 1.019 or 1.9% (up over the past month, but could be due to timing)
March 6, 2024: 1.0184 or 1.8% (down slightly)
August 30, 2024: 105.4 or 5.4% higher than the average last year
Average BETA vs. SPY:
January 28, 2024: 1.27
February 20, 2024: 1.33
March 6, 2024: 1.30 (down slightly)
August 30, 2024: 1.20 (down significantly - things have gone up, and settled down)
May 5: 3.8 x 10-5
May 15: 3.5 x 10-5
Sept 12: 2.4 x 10-5
September 18: 2.2 x 10-5
October 3: 2.2 x 10-5
October 13: 2.0 x 10-5
October 16: 2.0 x 10-5
October 24: 1.9 x 10-5
October 30: 1.8 x 10-5
October 31: 1.8 x 10-5
November 14: 1.5 x 10-5
January 28, 2024: 1.2 x 10-5
February 20, 2024: 1.2 x 10-5
March 6, 2024: 1.1 x 10-5
August 30, 2024: 1.1 x 10-5 (same as in March!)
All Chicago Quantum Net Score stocks analyzed; stocks that pass data validation:
May 5: 6.3 x 10-5, for 3,397 stocks
May 15: 5.8 x 10-5 for 3,384 stocks
Sept 12: 4.2 x 10-5 for 3,021 stocks
September 18: 4.1 x 10-5 for 3,021 stocks
October 3: 3.8 x 10-5 for 2,992 stocks (Natural attrition of 29 stocks. No change in validation parameters.)
October 13: 3.6 x 10-5 for 2,979 stocks (Natural attrition of 13 stocks. No change in validation parameters.)
October 16: 3.6 x 10-5 for 2,981 stocks
October 24: 3.5 x 10-5 for 2,979 stocks
October 30: 3.4 x 10-5 for 2,979 stocks
October 31: 3.4 x 10-5 for 2,978 stocks
November 14: 3.2 x 10-5 for 2,983 stocks
January 28, 2024: 3.0 x 10-5 for 3,266 stocks
February 20, 2024: 3.2 x 10-5 for 2,468 stocks
March 6, 2024: 3.2 x 10-5 for 2,475 stocks
August 30, 2024: 3.2 x 10-5 for 3,189 stocks (same as in March)
Total equity market capitalization of all Chicago Quantum Net Score stocks that pass data validation:
October 31: $47.89T for 2,978 stocks
November 14: $51.6T for 2,983 stocks (up significantly over the past 2 weeks)
January 28, 2024: $54.6T for 3,266 stocks (up significantly over the past 2.5 months)
February 20, 2024: $58.7T for 2,469 stocks (up significantly over the past month due to a data error)
March 6, 2024: $54.5T for 2,475 stocks
August 30, 2024: $61.4T for 3,189 stocks
Average Volume of Shares traded:
October 31: 1.085% (vs. last year, average, across all stocks)
November 14: 1.391% (volume up 39% vs. the average over the last year, averaged across all stocks)
January 28, 2024: 0.882 or 88.2% of last year's average volume.
February 20, 2024: 1.13 or 113%
August 30, 2024: 93.7% (less than the average - could be the summer & Labor Day Friday)
Average Share Price vs. 253 Day Average:
January 28, 2024: 1.02 (up 2.% vs. last year's average)
February 20, 2024: 1.05 (up over the past month)
March 6, 2024: 1.07 (up further)
Average Dividend Yield (actually paid over the past year / average share price):
January 28, 2024: 1.017, or 1.7%
February 20, 2024: 1.019 or 1.9% (up over the past month, but could be due to timing)
March 6, 2024: 1.0184 or 1.8% (down slightly)
August 30, 2024: 105.4 or 5.4% higher than the average last year
Average BETA vs. SPY:
January 28, 2024: 1.27
February 20, 2024: 1.33
March 6, 2024: 1.30 (down slightly)
August 30, 2024: 1.20 (down significantly - things have gone up, and settled down)
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