We publish an inventory of shares with low volatility and momentum every month. We offer information for BSE 500 and BSE 100 shares. There are actually three totally different screener information accessible.
(1) Shares with low volatility and momentum from the BSE 100 massive cap universe can be found as a separate file
(2) Shares with low volatility and momentum from the BSE 500 universe can be found as a separate file. NEW: Historic information from April 2023 is obtainable at no additional value!
(3) Historic information from March 2019 to February 2022 will probably be primarily based on the Nifty 100. From March 2022 onwards, it will likely be primarily based on the BSE 100. That is accessible as a separate file.
The widespread methodology of filtration: We filter for (1) constructive 1-year return, (2) constructive six-month return, (3) value > 200-day shifting common, (4) 50% of every day constructive returns, and (5) lowest volatility.
What’s low-volatility investing? Low volatility investing refers to figuring out shares with low value fluctuations and investing in them. Once more, that is primarily based on previous proof: Low volatility stock investing: Does it work? Higher returns at lower risk?
What’s momentum investing? Investing in shares which have elevated significantly over the previous 6-12 months, hoping the development will proceed (for a brief interval). Related information and hyperlinks for the Indian and US markets are mentioned right here: Momentum Stock Investing in India: Does it Work?
There’s a shut connection between momentum investing and low volatility. Most momentum stock-picking methods additionally embody a option to filter out shares primarily based on volatility. They like shares which have moved up prior to now (= momentum) with low volatility. One other intently associated concept is to hunt for shares which have stayed near their all-time price highs.
Warning: Whether or not you select shares with momentum or low volatility, it is very important acknowledge when to promote them. This sort of development requires severe ranges of self-discipline and dedication. It’s best to be capable of purchase a inventory with out query and promote it with out query in a brief interval if it now not has sufficient momentum and/or low volatility. For those who get distracted by the shares’ valuation, ROE, and many others. and hesitate or purchase greater than obligatory, it won’t work. Please don’t blindly use this listing to purchase and litter your portfolio. This listing will evolve when it comes to methodology over time. So be ready for this. Do your analysis about momentum and low-volatility investing!! Determine which to offer extra precedence to – low volatility or momentum. The usual previous efficiency is just not consultant of future efficiency. The disclaimer applies right here. No methodology will work on a regular basis!
Momentum Investing in India
You possibly can watch this video model of the above-linked publish to get an introduction to momentum investing.
Low Volatility Investing in India
Suppose p1 is the day gone by’s closing value, and p2 is at this time’s closing value. Day by day return is outlined as (p2-p1)/p1. That is the share change in value. After we compute these every day returns’ normal deviation, we assume they fall on a bell curve. I’m afraid that’s not proper. The subsequent higher step can be to imagine that the log return outlined as log (p2) – log(p1) falls on a bell curve.
That is additionally not an correct approximation, as market returns are fractal in nature. Nonetheless, this can be a nearer approximation. So, the usual deviation of log returns is used for creating low-volatility indices. Nonetheless, there’s not a lot distinction for the current case; you would use simply the peculiar normal deviation.
Why ought to returns fall on a bell curve? If they don’t, then the “common” and “normal deviation” are meaningless!!
How do I take advantage of this screener?
You need to use it in a number of methods. Listed here are some strategies.
Please notice: All 5 filters will probably be enabled if you open the file. You possibly can reset them and use any filter that you simply like.
To display for low-volatility shares:
- Kind by an growing normal deviation
- Select shares with the bottom volatility.
- Optionally, you may take into account shares with value momentum within the final six months, 12 months or longer.
To display for momentum shares:
- Take away shares with adverse six-month AND 1y returns.
- Take away shares with 50% or decrease constructive every day returns.
- Take away shares with a present value decrease than the final 200-day common.
- Kind the remaining shares by growing the usual deviation.
- Select shares with low volatility and excessive momentum (excessive 6-month or 1Y returns).
Word: Frequent buying and selling could also be obligatory for each approaches. If the inventory doesn’t meet the above standards in subsequent month’s screener, you could have to promote it in full and exchange it with one other, no matter tax. Alternatively, this will additionally not be obligatory when you consider within the fundamentals of the underlying enterprise. This name is totally as much as the consumer.
Get the inventory lists!
Phrases and circumstances
- If you need information for BSE 100 alone, the associated fee is Rs. 111.
- The price is Rs. 300 for information for the BSE 500 alone. Historic information from April 2023 is obtainable at no additional value!
- The worth is Rs. 500 for month-to-month historic information for the High 100 shares from March 2019 to the present month. It will make it easier to spot persistently low-volatility shares.
- This buy provides unique reductions on our two programs: How to Get People to Pay for Your Skills (aka Earn from Abilities) and the lectures on goal-based portfolio management.
- Whereas we’ll do our greatest to publish up to date screener sheets every month, we can not assure the identical.
- The file incorporates no purchase or promote suggestions and solely has information derived from value data.
- Sufficient care and energy have been put in to weed out errors; nevertheless, I can not assure that the sheet is error-free.
- The customer should analysis utilizing the knowledge within the spreadsheet and develop their technique. No suggestions or help are included within the sheet and won’t be supplied individually.
- We won’t present any additional assist or help in utilizing the sheet.
- We aren’t accountable for your capital losses or positive aspects from utilizing this sheet.
[1] If you need BSE 500 qualifying shares for the present month, Click here to pay Rs. 300 and download the latest BSE 500 momentum low volatility screener. After buy, you can be directed to a Google Drive hyperlink with the sheet. Please obtain the sheet to make use of it. Residing exterior India? You possibly can pay through this PayPal link (6 USD). Ship a mail to freefincal at Gmail dot com for help.
[2] If you need the High 100 historic information of qualifying shares from March 2019 to the present month, Click here to pay Rs. 500 and download the latest Top 100 momentum low volatility screener with historical data. After buy, you can be directed to a Google Drive hyperlink with the sheet. Please obtain the sheet to make use of it. Residing exterior India? You possibly can pay through this PayPal link (9 USD). Ship a mail to freefincal at Gmail dot com for help.
[3] If you need BSE 100 qualifying shares, Click here to pay Rs. 111 and download the latest BSE 100 momentum low volatility screener. After buy, you can be directed to a Google Drive hyperlink with the sheet. Please obtain the sheet to make use of it. Residing exterior India? You possibly can pay through this PayPal link (3 USD). Ship a mail to freefincal at Gmail dot com for help.
By clicking, you comply with the phrases within the vital data part above. Don’t forget to obtain the sheet after you pay (you’ll obtain an e-mail with a obtain hyperlink after fee)!
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