Risk
Downside Risk
A conditional beta signal that measures how strongly a stock co-moves with the market specifically in bad market states.
Risk
Systematic Volatility
A volatility-shock exposure signal that ranks stocks by how strongly they move when aggregate implied volatility changes.
Risk
12-Month Systematic Volatility
Definition phase
Definition
Systematic volatility estimates each stock's exposure to changes in aggregate market volatility, typically through a regression that includes market returns and changes in the VIX. The ranking variable is the stock's estimated sensitivity to volatility shocks.
The intuition is that some stocks behave like bad-state assets when uncertainty spikes, co-moving more strongly with jumps in expected market volatility.
Inside the finance research stack, the representative implementation sorts the Russell 1000 cross-section on volatility-shock exposure and compares the lowest-exposure names against the highest-exposure names in a market-neutral spread.
Related Signals
Nearby ideas in the library.
Risk
Coskewness
A higher-moment risk signal that studies how a stock behaves when large market moves and skewness stress appear.