We publish a listing of shares with low volatility and momentum every month. We offer knowledge for BSE 500 and BSE 100 shares. Replace: Beginning March 2026, the screening metrics have been considerably up to date (particulars beneath).
There are actually three totally different screener information out there.
(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 value!
(3) Historic knowledge from March 2019 to February 2022 might be based mostly on the Nifty 100. From March 2022 onwards, it is going to be based mostly on the BSE 100. That is out there as a separate file.
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What’s low-volatility investing? Low-volatility investing refers to figuring out shares with low value volatility and investing in them. Once more, that is based mostly on previous proof: Low volatility inventory investing: Does it work? Greater 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 thought is to hunt for shares which have stayed near their all-time value highs.
Warning: Please do your due diligence earlier than utilizing the screener to purchase or promote shares. The info in these screeners are based mostly on previous value knowledge. They shouldn’t be construed as a measure of future efficiency. It is a DIY software. The person ought to do their due diligence and develop their very own low-volatility/momentum investing technique earlier than performing on the info offered by these screeners. Freefincal or its homeowners, editors, or authors is not going to be liable for your losses or positive factors incurred through the use of these screeners.
These screeners will evolve of their strategies over time. So be ready for this. Do your analysis about momentum and low-volatility investing!! Resolve which to prioritise extra: low volatility or momentum. Previous efficiency will not be consultant of future efficiency. The disclaimer applies right here. No technique will work on a regular basis!
Be aware: The “good” shares in these screeners will change each month. Whether or not you want to maintain on to a inventory (based mostly on its fundamentals) if it fails to qualify in these screeners is solely your choice.
Filters Out there within the Screener
| Metric | Rationalization |
| Present Date | The final date within the 1Y trailing knowledge set |
| CMP | The market value on the final date |
| 200-day SMA | Easy transferring common over 200 days |
| 150 day sma | Easy transferring common over 150 days |
| 50 day sma | Easy transferring common over 50 days |
| stddev of return | How a lot particular person returns differ from the common over the past yr. Assumes costs observe a traditional distribution |
| stdev of log return | How a lot particular person log returns differ from the common over the past yr. Assumes costs observe a log-normal distribution. Thought of a greater measure of volatility |
| CAGR 1y | Annualised return over the past yr |
| Begin Date of research | begin date of the 1Y value knowledge set |
| No of days over which the 1Y CAGR was calculated | self explanatory |
| No of day by day returns | self explanatory |
| No of optimistic day by day returns | self explanatory |
| Proportion of optimistic day by day returns | (No of optimistic day by day returns)/(No of day by day returns) |
| RSQ | Measure Pattern High quality: A excessive RSQ (nearer to 1 or 100%) signifies a “easy” development with minimal volatility across the imply. |
| Beta | measures a inventory’s sensitivity and volatility relative to the index |
| CAGR 6 months | Annualised return over the past 6 months |
| Abs 6 months | Absolute return over the past 6 months |
| No of days over which 6 month returns had been calculated | self explanatory |
| Max Value | self explanatory |
| Alpha | risk-adjusted extra return above index |
| Ulcer Index 1Y | Ulcer Index measures draw back danger by focusing particularly on the depth and length of drawdowns. In contrast to the Normal Deviation (which penalises each upward and downward “surprises”), the Ulcer Index cares solely concerning the ache of falling costs. (search our archives on how it’s computed and used for mutual funds) |
| 1Y Max Drawdown | Max has fallen from a peak over the past yr |
| Trailing 6 months max drawdown | The identical as above over the past 6 months |
| RVOL | Excessive relative quantity helps us perceive if the momentum is dependable |
| % of bullish days through ADX | momentum measure through ADX = Common Directional Index. |
| % of bearish days through ADX | This must be decrease than the above metric |
| Distance from 1Y excessive | Shares near yearly highs have increased momentum |
| Is CMP > 200-day SMA? “Sure” =1 “No” =0 | Checks if the present value is increased than the 200 SMA (momentum test) |
| 50-day SMA > 150-day SMA > 200-day SMA “Sure” =1 “No” =0 | Stronger momentum indicator |
Composite scores
Now we have now added three composite scores computed as follows.
Decide percentile ranks of CAGR, Ulcer index, RSQ, and % of bullish days through ADX. Designate them as Rank_CAGR, Rank_Ulcer, Rank_RSQ, Rank_ADX
Then undertake 4 security filters:
- Examine if CMP > 200-day SMA
- Examine if RVOL > 0.8
- Examine if 1Y Max Drawdown > -20%
- % of bullish days through ADX > 50%
If all these security checks are legitimate,
- Low volatility rating: 50% of Rank_Ulcer + 30% of Rank_RSQ + 20% of Rank_CAGR
- Momentum rating: 40% of Rank_CAGR+ 30% of Rank_Ulcer+30% of Rank_ADX
- Low volatility + Momentum rating: 40% of Rank_CAGR+ 30% of Rank_Ulcer+20% of Rank_RSQ
Solely shares with passes security checks might be ranked.
Infographic generated by Gemini to characterize the Freefincal low volatility plus momentum inventory screener
How do I take advantage of this screener?
There are a number of methods to make use of this screener. That is solely a advice.
At all times guarantee you might be shopping for a very good inventory. Examine steadiness sheet metrics (not a part of this screener) comparable to Return on Fairness, Debt-to-Fairness Ratio, Earnings Yield, and many others., earlier than shopping for any inventory.
First, arrange the security filters.
- Examine if CMP > 200-day SMA
- Examine if RVOL > 0.8
- Examine if 1Y Max Drawdown > -20%
- % of bullish days through ADX > 50%
To display screen for low-volatility shares:
- Main Metric: Ulcer Index. Search for the bottom values within the listing. This means the inventory spends little or no time in deep or lengthy drawdowns.
- Secondary Metric: RSQ (R-Squared). Search for values closest to 1.0. Excessive RSQ means the worth strikes in a gentle, linear trend quite than in erratic jumps.
- Secondary Metric: Std Dev of Log Return. Search for the bottom numbers right here to make sure the day-to-day “noise” or value swings are minimal.
- It’s also possible to use the low volatility composite rating as a further information.
To display screen for momentum shares:
- Main Metric: CAGR 1y. Search for the best percentages. That is the inventory’s uncooked “pace” or absolute momentum over the previous yr.
- Secondary Metric: Alpha. Search for excessive optimistic numbers. This exhibits the inventory is considerably outperforming the benchmark index.
- Secondary Metric: Distance from 1Y Excessive. Search for shares very near their 1Y excessive (small distance). This means robust present demand and “breakout” potential.
- It’s also possible to use the momentum composite rating as a further information.
To display screen for low volatility + momentum shares:
Search for
- Excessive 1Y CAGR
- Low Ulcer Index
- Excessive RSQ
- It’s also possible to use the low volatility + momentum composite rating
Be aware about the usual deviation of log returns. Suppose p1 is the day prior to this’s closing value, and p2 is immediately’s closing value. Each day return is outlined as (p2-p1)/p1. That is the proportion change in value. Once we compute the usual deviation of those day by day returns, we assume they fall on a bell curve. I’m afraid that’s not proper. A extra acceptable step could be to imagine that the log return, outlined as log(p2) – log(p1), follows 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 may be not a lot distinction for the current case; you possibly can use simply the peculiar normal deviation.
Get the inventory screeners!
Phrases and circumstances
- The fee is Rs. 300 for the BSE 500 knowledge alone. Historic knowledge from April 2023 is offered! (New metrics might be out there from March 2026 onwards).
- The worth is Rs. 500 for month-to-month historic knowledge for the Prime 100 shares from March 2019 to the present month. It will enable you spot persistently low-volatility shares. (New metrics might be out there from March 2026 onwards).
- If you need knowledge for the BSE 100 alone, the fee is Rs. 150.
- This buy provides unique reductions on our two programs: Methods to Get Individuals to Pay for Your Expertise (aka Earn from Expertise) 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 it.
- The file accommodates no purchase or promote suggestions and consists solely of knowledge derived from value info.
- Adequate care and energy have been taken to determine and proper errors; nonetheless, I can not assure the sheet is error-free.
- The customer must analysis utilizing the knowledge within the spreadsheet and develop their technique. No suggestions or help are included within the sheet and won’t be offered individually.
- We is not going to present any additional help with utilizing the sheet.
- We aren’t liable for your capital losses or positive factors from utilizing this sheet.
[1] If you need BSE 500 qualifying shares for the present month, click on right here to pay Rs. 300 and obtain the newest 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 may pay through this PayPal hyperlink (6 USD). Ship an e-mail to freefincal at Gmail dot com for help.
[2] If you need the Prime 100 historic knowledge of qualifying shares from March 2019 to the present month, click on right here to pay Rs. 500 and obtain the newest Prime 100 momentum low volatility screener with historic knowledge. 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 may pay through this PayPal hyperlink (9 USD). Ship an e-mail to freefincal at Gmail dot com for help.
[3] If you need BSE 100 qualifying shares, click on right here to pay Rs. 150 and obtain the newest 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 be used. Residing exterior India? You may pay through this PayPal hyperlink (3 USD). Ship an e-mail to freefincal at Gmail dot com for help.
By clicking, you comply with the phrases within the necessary info part above. Please bear in mind to obtain the sheet after cost (you’ll obtain an e-mail with a obtain hyperlink).
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