props to this guy if the P&L is real, but this quote will make some CFA heads explode (cc: @naufalsanaullah) https://bit.ly/3oWGqWH pic.twitter.com/xFnib6UGVd
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I mean… it sounds insane but it’s basically true? For whatever reason low priced stocks are more volatile, so a $2 stock is more likely to hit $4 than a $60 stock is to hit $120 (also much more likely to go to zero but yolo)
“Low price” is a genuine exposure that you could include in quant risk models if you wanted to, it basically captures the “shitty stock” factor.
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It has literally been an outperforming factorhttps://finance.yahoo.com/news/worst-stocks-are-doing-the-best-morning-brief-110238013.html …
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Isnt this just called size factor
End of conversation
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Low price has more vol, but most importantly the skew is to the right, since there is a cliff at zero. It sort of makes sense that in the short term, in a bull market, low price stocks do well. In fact, even Fidelity has a product like this (the Low Priced Stock fund) !!
Thanks. Twitter will use this to make your timeline better. UndoUndo
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