Skewed U.S. Common Stock List…It’s Asymmetric

Skewness is the asymmetry of a frequency distribution of a random variance about its mean. It is a stock price change frequency distribution chart that is asymmetric, with a tail on one side of the mean, and more ‘close in’ observations on the other side.

Today, we see aggressive skew readings in the market now.

​A normal distribution is a symmetrical distribution around a mean change, and has a skewness value of zero. We set a positive and negative skewness limit that identifies just a few of the stocks with the largest degree of stock price skewness (see below for current limit).

We identify US-listed common stocks with a significant positive skew or a significant negative skew to their daily price changes. We think of this as more changes in one direction (vs. the mean change) offset by fewer but larger changes in the other direction.

Positive Skew
A positive skew stock means there are more daily price changes that are worse than the average (or mean) change, offset by larger and less frequent changes that are better than the average.

Here is a theoretical example of a company with a positively skewed stock price:
- we have a stock that did not change in price over the past year (mean change = zero).
- all year the stock tended to drop, lots of red or negative days, terrible publicity, short sellers targeted the stock all year
- the stock had a short squeeze, or sharp reversal, and it drove the price of…