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GOLDMAN SACHS: Traders fear these 15 nightmare stocks

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GOLDMAN SACHS: Traders fear these 15 nightmare stocks

clown shanghai

Reuters / Carlos Barria

A costumed performer stands beside a security guard at the gate of the Shanghai Nightmare haunted house attraction in Shanghai October 27, 2010.

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 on 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:

  • 12-month implied volatility — The estimated price swing for a stock over the next year. Calculated using the price of options
  • 12-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

In order 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:

Screen Shot 2017 05 17 at 9.57.45 AM

Goldman Sachs

 

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.

Read more stories on Business Insider, Malaysian edition of the world’s fastest-growing business and technology news website.



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