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Published: November 3, 2022 at 6:00 am
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!
You can watch this video version of the above-linked post to get an introduction to momentum investing.
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!!
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.
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.
Terms and conditions
[1] If you want BSE 500 qualifying stocks for November 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 the Top 100 historical data of qualifying stocks from March 2019 to November 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 November 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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