US stocks in focus for mean-reversion US stocks in focus for mean-reversion US stocks in focus for mean-reversion

US stocks in focus for mean-reversion

Peter Garnry

Head of Saxo Strats

Summary:  The lessons from 2008 were that mean-reversion strategies work well during high volatility environments and with strong risk-on in Europe today we are providing a list of the worst decliners in the US equity market on a risk-adjusted basis. These stocks will most likely be in focus when markets open in the US.

As we stated a couple of days mean-reversion effects are strong during high volatility. Yesterday's massive sell-off means that there are opportunities on the long today although we warn that it comes with high risk due to current market environment. The table below is an inspirational list of the stocks that were down the most on a risk-adjusted basis across the different sectors. 

Below is a list with the three US companies within each sector with the largest decline in asset price, relative to the usual fluctuations in the asset price. With this measure, assets which typically have a stable price will get a higher score if their stock price falls drastically - compared to equities with large fluctuations in the price on a daily basis.

Source: Saxo Bank and Bloomberg

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