We publish a list of stocks with low volatility and momentum each month. We provide data for BSE 500 and BSE 100 stocks. There are now three different screener files available.
(1) Stocks with low volatility and momentum from the BSE 100 large cap universe are available as a separate file
(2) Stocks with low volatility and momentum from the BSE 500 universe are available as a separate file
(3) Historical data from March 2019 to Feb 2022 will be based on the Nifty 100. From March 2022 onwards, it will be based on BSE 100. This is available as a separate file.
The common method of filtration: We filter for (1) positive 1-year return, (2) positive six-month return, (3) price > 200-day moving average, (4) 50% of daily positive returns, and (5) lowest volatility.
What is low volatility investing? Low volatility investing refers to identifying stocks with low price fluctuations and investing in them. Again this is based on past evidence: Low volatility stock investing: Does it work? Higher returns at lower risk?
What is momentum investing? Investing in stocks that have increased considerably over the past 6-12 months, hoping the trend will continue (for a short period). Relevant data and links for the Indian and US markets are discussed here: Momentum Stock Investing in India: Does it work?
There is a close connection between momentum investing and low volatility. Most momentum stock-picking strategies also include a way to filter out stocks based on volatility. They prefer stocks that have moved up in the past (= momentum) with low volatility. Another closely related idea is to hunt for stocks that have stayed close to their all-time price highs.
Warning: Whether you choose stocks with momentum or low volatility, it is important to recognize when to sell them. This kind of trend following requires serious levels of discipline and commitment. You should be able to buy a stock without question and sell it without question in a short period if it no longer has enough momentum and/or low volatility. If you get distracted by the stocks’ valuation, ROE, etc. and hesitate or buy more than necessary, it will not work. Please do not blindly use this list to buy and clutter your portfolio. This list will evolve in method with time. So be prepared for this. Do your research about momentum and low volatility investing!! Decide which to give more priority to – low volatility or momentum. The standard past performance is not representative of future performance disclaimer applies here. No method will work all the time!
Momentum Investing in India
You can watch this video version of the above-linked post to get an introduction to momentum investing
Low Volatility Investing in India
Suppose p1 is the previous day’s closing price, and p2 is today’s closing price. Daily return is defined as (p2-p1)/p1. This is the percentage change in price. When we compute these daily returns’ standard deviation, we assume they fall on a bell curve. This is wrong. The next better step would be to assume that the log return defined as log (p2) – log(p1) falls on a bell curve.
This is also not an accurate approximation as market returns are fractal in nature. However, this is a closer approximation. So, the standard deviation of log returns is used for creating low volatility indices. However, there is not much difference for the present case; you could use just the ordinary standard deviation.
Why should returns fall on a bell curve? If they do not, then the “average” and “standard deviation” have no meaning!!
How to use this screener?
You can use it in multiple ways. Here are some suggestions.
Please note: All five filters will be enabled when you open the file. You can reset them and use any filter that you like.
To screen for low volatility stocks:
- Sort by an increasing standard deviation
- Choose stocks with the lowest volatility.
- Optionally you can consider stocks with price momentum in the last six months, 12 months or longer.
To screen for momentum stocks:
- Remove stocks with negative six months AND 1Y returns.
- Remove stocks with 50% or lower positive daily returns.
- Remove stocks with a current price lower than the last 200-day average.
- Sort remaining stocks by increasing the standard deviation.
- Choose stocks with low volatility and high momentum (high 6-month or 1Y returns).
Note: Frequent trading may be necessary for both approaches. If the stock does not meet the above criteria in the next month’s screener, you will have to sell in full and replace it with another regardless of tax.
Get the stock lists!
Terms and conditions
- If you want Sep 2022 data for BSE 100 alone, the cost is Rs. 111.
- If you want Sep 2022 data for BSE 500 alone, the cost is Rs. 300.
- If you want monthly historical data for the Top 100 stocks: March 2019 to Sep 2022, the price is Rs. 500. This will help you spot consistently low volatile stocks.
- This purchase gives you access to exclusive discounts on the two courses we run: How to get people to pay for your skills (aka earn from skills) and the lectures on goal-based portfolio management.
- While we will do our best to publish updated screener sheets each month, we cannot guarantee the same.
- The file does not contain any buy or sell recommendations and only has data derived from price information.
- Enough care and effort have been put in to weed out errors; however, I cannot guarantee that the sheet is free of error.
- The buyer will have to research using the information in the spreadsheet and develop their strategy. No recommendations or assistance are included in the sheet and will not be provided separately.
- We will not provide any further help or assistance in using the sheet.
- We are not responsible for your capital losses or gains from using this sheet.
[1] If you want BSE 500 qualifying stocks for September 2022: Click here to pay Rs. 300 and download the latest BSE 500 momentum low volatility screener. After purchase, you will be directed to a google drive link with the sheet. Please download the sheet to use it. Living outside India? You can pay via this Paypal link (6 USD). Send a mail to freefincal at Gmail dot com for assistance.
[2] If you want Top 100 historical data of qualifying stocks from March 2019 to September 2022: Click here to pay Rs. 500 and download the latest Top 100 momentum low volatility screener with historical data. After purchase, you will be directed to a google drive link with the sheet. Please download the sheet to use it. Living outside India? You can pay via this Paypal link (9 USD). Send a mail to freefincal at Gmail dot com for assistance.
[3] If you want BSE 100 September 2022 qualifying stocks alone: Click here to pay Rs. 111 and download the latest BSE 100 momentum low volatility screener. After purchase, you will be directed to a google drive link with the sheet. Please download the sheet to use it. Living outside India? You can pay via this Paypal link (3 USD). Send a mail to freefincal at Gmail dot com for assistance.
You agree to the terms in the important information section above by clicking. Do not forget to download the sheet after you pay (you will get an email with a download link after payment)!!
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