Seeking Alpha
Value, growth, long-term horizon, medium-term horizon
Profile| Send Message| ()  

Do you worry about stock volatility when choosing among names? One idea is to consider a stock's recent trading volatility. With this idea in mind, we ran a screen.

We began by screening the large-cap sector for low-volatility stocks, with average intra-day volatility over the last month under 2% (meaning, on average, these stocks have traded within a 2% range each day).

We then screened for those that also appear undervalued relative to the Graham Number. The Graham Number is a measure of maximum fair value created by the "godfather of value investing" Benjamin Graham.

It is based off of a stock's EPS and book value per share (BVPS).

Graham Number = SQRT(22.5 x TTM EPS x MRQ BVPS)

The equation assumes that P/E should not be higher than 15 and P/BV should not be higher than 1.5. Stocks trading well below their Graham Number may be undervalued.

For an interactive version of this chart, click on the image below. Analyst ratings sourced from Zacks Investment Research.

Tool provided by Kapitall.

Do you think these stocks offer less risk? Use this list as a starting point for your own analysis.

List sorted by potential upside implied by the Graham Number.

1. Chevron Corporation (CVX): Engages in petroleum, chemicals, mining, power generation, and energy operations worldwide. Market cap at $197.09B, most recent closing price at $99.91. Average intra-day volatility over the last month at 1.76%. Diluted TTM earnings per share at 13.62, and a MRQ book value per share value at 63.61, implies a Graham Number fair value = sqrt(22.5*13.62*63.61) = $139.62. Based on the stock's price at $100.84, this implies a potential upside of 38.46% from current levels.

2. Loews Corporation (L): Operates primarily as a commercial property and casualty insurance company in the United States. Market cap at $15.68B, most recent closing price at $39.52. Average intra-day volatility over the last month at 1.63%. Diluted TTM earnings per share at 2.62, and a MRQ book value per share value at 48.96, implies a Graham Number fair value = sqrt(22.5*2.62*48.96) = $53.72. Based on the stock's price at $39.87, this implies a potential upside of 34.75% from current levels.

3. American Electric Power Co., Inc. (AEP): Engages in the generation, transmission, and distribution of electric power to retail customers. Market cap at $19.16B, most recent closing price at $39.57. Average intra-day volatility over the last month at 1.08%. Diluted TTM earnings per share at 4.09, and a MRQ book value per share value at 30.69, implies a Graham Number fair value = sqrt(22.5*4.09*30.69) = $53.14. Based on the stock's price at $39.72, this implies a potential upside of 33.8% from current levels.

4. PPL Corporation (PPL): Generates and sells electricity; and delivers natural gas to approximately 5.3 million utility customers primarily in the northeastern and northwestern US. Market cap at $16.03B, most recent closing price at $27.64. Average intra-day volatility over the last month at 1.19%. Diluted TTM earnings per share at 2.83, and a MRQ book value per share value at 19.44, implies a Graham Number fair value = sqrt(22.5*2.83*19.44) = $35.18. Based on the stock's price at $27.88, this implies a potential upside of 26.19% from current levels.

5. Time Warner Inc. (TWX): Operates as a media and entertainment company in the United States and internationally. Market cap at $33.17B, most recent closing price at $34.56. Average intra-day volatility over the last month at 1.89%. Diluted TTM earnings per share at 2.72, and a MRQ book value per share value at 30.92, implies a Graham Number fair value = sqrt(22.5*2.72*30.92) = $43.50. Based on the stock's price at $35.23, this implies a potential upside of 23.48% from current levels.

6. The Allstate Corporation (ALL): Engages in the personal property and casualty insurance, life insurance, retirement, and investment products businesses primarily in the United States. Market cap at $16.66B, most recent closing price at $33.90. Average intra-day volatility over the last month at 1.90%. Diluted TTM earnings per share at 2.01, and a MRQ book value per share value at 38.91, implies a Graham Number fair value = sqrt(22.5*2.01*38.91) = $41.95. Based on the stock's price at $34.31, this implies a potential upside of 22.26% from current levels.

7. M&T Bank Corporation (MTB): Operates as the holding company for M&T Bank and M&T Bank, National Association that provide commercial and retail banking services to individuals, corporations and other businesses, and institutions. Market cap at $9.9B, most recent closing price at $78.20. Average intra-day volatility over the last month at 1.85%. Diluted TTM earnings per share at 6.26, and a MRQ book value per share value at 67.67, implies a Graham Number fair value = sqrt(22.5*6.26*67.67) = $97.63. Based on the stock's price at $79.93, this implies a potential upside of 22.14% from current levels.

8. The Chubb Corporation (CB): Provides property and casualty insurance to businesses and individuals. Market cap at $19.08B, most recent closing price at $70.69. Average intra-day volatility over the last month at 1.44%. Diluted TTM earnings per share at 5.86, and a MRQ book value per share value at 57.38, implies a Graham Number fair value = sqrt(22.5*5.86*57.38) = $86.98. Based on the stock's price at $71.54, this implies a potential upside of 21.58% from current levels.

9. General Dynamics Corp. (GD): Provides business aviation, combat vehicles, weapons systems and munitions, military and commercial shipbuilding, and communications and information technology products and services worldwide. Market cap at $22.99B, most recent closing price at $63.74. Average intra-day volatility over the last month at 1.76%. Diluted TTM earnings per share at 6.8, and a MRQ book value per share value at 38.42, implies a Graham Number fair value = sqrt(22.5*6.8*38.42) = $76.67. Based on the stock's price at $64.06, this implies a potential upside of 19.68% from current levels.

10. Entergy Corporation (ETR): Operates as an integrated energy company in the United States. Market cap at $11.71B, most recent closing price at $66.06. Average intra-day volatility over the last month at 1.20%. Diluted TTM earnings per share at 5.32, and a MRQ book value per share value at 50.32, implies a Graham Number fair value = sqrt(22.5*5.32*50.32) = $77.61. Based on the stock's price at $66.28, this implies a potential upside of 17.09% from current levels.

11. Public Service Enterprise Group Inc. (PEG): Operates in the energy industry primarily in the northeastern and mid Atlantic United States. Market cap at $16.1B, most recent closing price at $31.83. Average intra-day volatility over the last month at 1.34%. Diluted TTM earnings per share at 2.89, and a MRQ book value per share value at 21, implies a Graham Number fair value = sqrt(22.5*2.89*21) = $36.95. Based on the stock's price at $31.93, this implies a potential upside of 15.73% from current levels.

*BVPS and EPS data sourced from Yahoo! Finance, all other data sourced from Finviz.

Source: 11 Low-Risk Large-Caps Undervalued By The Graham Number