The US stock market may be fresh off its most boring stretch in more than five decades, but there are still stocks that give investors nightmares.
In a client note Wednesday, the derivatives team at Goldman Sachs identified 15 companies that traders see as having elevated downside risk over the next 12 months.
To single out the most feared stocks in its coverage universe, Goldman looked at two measures:
- Twelve-month implied volatility – the estimated price swing for a stock over the next year. Calculated using the price of options. Twelve-month skew – the degree to which investors are hedging against losses in a stock, relative to bets on gains. Calculated using the implied volatility spread between one-year put and call contracts.
To qualify for Goldman’s “most feared” list, a stock had to have been in the 40th percentile or above for each of these measures over the past year. The firm then ranked those 15 companies in order of 12-month normalized skew percentile.
The following charts show just how much more worry has been baked into these 15 companies over the past year, based on the two measures listed above:
15. Xylem
Ticker: XYL
Sector: Industrials
Performance over last 12 months: +19.2%
12-Month Skew Percentile: 42
Click here for a real-time Xylem chart.
14. Manitowoc Company
Ticker: MTW
Sector: Industrials
Performance over last 12 months: +0.3%
12-Month Skew Percentile: 43
Click here for a real-time Manitowoc chart.
13. Macerich Co.
Ticker: MAC
Sector: Real Estate
Performance over last 12 months: -24.2%
12-Month Skew Percentile: 43
Click here for a real-time Macerich chart.
12. Flowserve Corp.
Ticker: FLS
Sector: Industrials
Performance over last 12 months: +8.3%
12-Month Skew Percentile: 43
Click here for a real-time Flowserve chart.
11. Patterson Cos.
Ticker: PDCO
Sector: Health Care
Performance over last 12 months: -5.1%
12-Month Skew Percentile: 47
Click here for a real-time Patterson Cos. chart.
10. Seattle Genetics Inc.
Ticker: SGEN
Sector: Health Care
Performance over last 12 months: +85.3%
12-Month Skew Percentile: 47
Click here for a real-time Seattle Genetics chart.
9. FleetCor Technologies Inc.
Ticker: FLT
Sector: Information Technology
Performance over last 12 months: -4.7%
12-Month Skew Percentile: 48
Click here for a real-time FleetCor Technologies chart.
8. Hertz Global Holdings
Ticker: HTZ
Sector: Industrials
Performance over last 12 months: -64.5%
12-Month Skew Percentile: 62
Click here for a real-time Hertz Global Holdings chart.
7. AvalonBay Communities Inc.
Ticker: AVB
Sector: Real Estate
Performance over last 12 months: +2.4%
12-Month Skew Percentile: 64
Click here for a real-time AvalonBay Communities chart.
6. Alnylam Pharmaceuticals Inc.
Ticker: ALNY
Sector: Health Care
Performance over last 12 months: +32.0%
12-Month Skew Percentile: 70
Click here for a real-time Alnylam Pharmaceuticals Inc. chart.
5. DaVita Inc.
Ticker: DVA
Sector: Health Care
Performance over last 12 months: -19.4%
12-Month Skew Percentile: 75
Click here for a real-time DaVita Inc. chart.
4. GNC Holdings
Ticker: GNC
Sector: Consumer Discretionary
Performance over last 12 months: -72.6%
12-Month Skew Percentile: 81
Click here for a real-time GNC Holdings chart.
3. Dun & Bradstreet Corp.
Ticker: DNB
Sector: Industrials
Performance over last 12 months: -9.4%
12-Month Skew Percentile: 83
Click here for a real-time Dun & Bradstreet chart.
2. Dynegy Inc.
Ticker: DYN
Sector: Utilities
Performance over last 12 months: -62.4%
12-Month Skew Percentile: 84
Click here for a real-time Dynegy chart.
1. Spark Therapeutics
Ticker: ONCE
Sector: Health Care
Performance over last 12 months: +54.2%
12-Month Skew Percentile: 89
Click here for a real-time Spark Therapeutics chart.
SEE ALSO:
Goldman Sachs' top economist is losing confidence in the Fed's ability to raise interest rates