We publish an inventory of shares with low volatility and momentum every month. We offer knowledge for BSE 500 and BSE 100 shares. There at the moment are three completely different screener information obtainable.
(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 knowledge from April 2023 is offered at no further price!
(3) Historic knowledge from March 2019 to February 2022 shall be based mostly on the Nifty 100. From March 2022 onwards, it will likely be based mostly on the BSE 100. That is obtainable as a separate file.
The frequent technique of filtration: We filter for (1) constructive 1-year return, (2) constructive six-month return, (3) value > 200-day transferring 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 based mostly on previous proof: Low volatility inventory investing: Does it work? Larger returns at decrease danger?
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 knowledge and hyperlinks for the Indian and US markets are mentioned right here: Momentum Inventory Investing in India: Does it Work?
There’s a shut connection between momentum investing and low volatility. Most momentum stock-picking methods additionally embrace a strategy to filter out shares based mostly on volatility. They like shares which have moved up prior to now (= momentum) with low volatility. One other carefully associated concept is to hunt for shares which have stayed near their all-time value highs.
Warning: Whether or not you select shares with momentum or low volatility, you will need to acknowledge when to promote them. This sort of development requires severe ranges of self-discipline and dedication. You must be capable to purchase a inventory with out query and promote it with out query in a brief interval if it not has sufficient momentum and/or low volatility. In the event you get distracted by the shares’ valuation, ROE, and so forth. and hesitate or purchase greater than mandatory, it is not going to work. Please don’t blindly use this listing to purchase and litter your portfolio. This listing will evolve when it comes to technique over time. So be ready for this. Do your analysis about momentum and low-volatility investing!! Resolve which to present extra precedence to – low volatility or momentum. The usual previous efficiency isn’t consultant of future efficiency. The disclaimer applies right here. No technique 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. Once we compute these every day returns’ customary 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, it is a nearer approximation. So, the usual deviation of log returns is used for creating low-volatility indices. Nonetheless, there may be not a lot distinction for the current case; you possibly can use simply the atypical customary deviation.
Why ought to returns fall on a bell curve? If they don’t, then the “common” and “customary 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 solutions.
Please notice: All 5 filters shall be enabled while you open the file. You possibly can reset them and use any filter that you just like.
To display screen for low-volatility shares:
- Kind by an rising customary deviation
- Select shares with the bottom volatility.
- Optionally, you may think about shares with value momentum within the final six months, 12 months or longer.
To display screen for momentum shares:
- Take away shares with destructive 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 rising the usual deviation.
- Select shares with low volatility and excessive momentum (excessive 6-month or 1Y returns).
Observe: Frequent buying and selling could also be mandatory for each approaches. If the inventory doesn’t meet the above standards in subsequent month’s screener, you might must promote it in full and exchange it with one other, no matter tax. However, this may increasingly additionally not be mandatory if you happen to imagine within the fundamentals of the underlying enterprise. This name is totally as much as the consumer.
Get the inventory lists!
Phrases and situations
- In order for you knowledge for BSE 100 alone, the associated fee is Rs. 111.
- The fee is Rs. 300 for knowledge for the BSE 500 alone. Historic knowledge from April 2023 is offered at no further price!
- The worth is Rs. 500 for month-to-month historic knowledge for the High 100 shares from March 2019 to the present month. This may provide help to spot persistently low-volatility shares.
- This buy affords unique reductions on our two programs: Tips on how to Get Individuals to Pay for Your Abilities (aka Earn from Abilities) and the lectures on goal-based portfolio administration.
- 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 knowledge 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 client should analysis utilizing the data within the spreadsheet and develop their technique. No suggestions or help are included within the sheet and won’t be supplied individually.
- We is not going to present any additional assist or help in utilizing the sheet.
- We aren’t accountable for your capital losses or good points from utilizing this sheet.
[1] In order for you BSE 500 qualifying shares for the present month, Click on right here to pay Rs. 300 and obtain the most recent BSE 500 momentum low volatility screener. After buy, you may 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 by way of this PayPal hyperlink (6 USD). Ship a mail to freefincal at Gmail dot com for help.
[2] In order for you the High 100 historic knowledge of qualifying shares from March 2019 to the present month, Click on right here to pay Rs. 500 and obtain the most recent High 100 momentum low volatility screener with historic knowledge. After buy, you may 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 by way of this PayPal hyperlink (9 USD). Ship a mail to freefincal at Gmail dot com for help.
[3] In order for you BSE 100 qualifying shares, Click on right here to pay Rs. 111 and obtain the most recent BSE 100 momentum low volatility screener. After buy, you may 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 by way of this PayPal hyperlink (3 USD). Ship a mail to freefincal at Gmail dot com for help.
By clicking, you comply with the phrases within the necessary data part above. Don’t forget to obtain the sheet after you pay (you’ll obtain an e-mail with a obtain hyperlink after cost)!
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