We publish a list of stocks with low volatility and momentum each month. We provide data for BSE 500 and BSE 100 stocks. Update: Starting March 2026, the screening metrics have been significantly updated (details below).
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. NEW: Historical data from April 2023 is available at no extra cost!
(3) Historical data from March 2019 to February 2022 will be based on the Nifty 100. From March 2022 onwards, it will be based on the BSE 100. This is available as a separate file.
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What is low-volatility investing? Low-volatility investing refers to identifying stocks with low price volatility 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: Please do your due diligence before using the screener to buy or sell stocks. The data in these screeners are based on past price data. They should not be construed as a measure of future performance. This is a DIY tool. The user should do their due diligence and develop their own low-volatility/momentum investing strategy before acting on the data provided by these screeners. Freefincal or its owners, editors, or authors will not be responsible for your losses or gains incurred by using these screeners.
These screeners will evolve in their methods over time. So be prepared for this. Do your research about momentum and low-volatility investing!! Decide which to prioritise more: low volatility or momentum. Past performance is not representative of future performance. The disclaimer applies here. No method will work all the time!
Note: The “good” stocks in these screeners will change every month. Whether you wish to hold on to a stock (based on its fundamentals) if it fails to qualify in these screeners is entirely your decision.
Filters Available in the Screener
| Metric | Explanation |
| Current Date | The last date in the 1Y trailing data set |
| CMP | The market price on the last date |
| 200-day SMA | Simple moving average over 200 days |
| 150 day sma | Simple moving average over 150 days |
| 50 day sma | Simple moving average over 50 days |
| stddev of return | How much individual returns vary from the average over the last year. Assumes prices follow a normal distribution |
| stdev of log return | How much individual log returns vary from the average over the last year. Assumes prices follow a log-normal distribution. Considered a better measure of volatility |
| CAGR 1y | Annualised return over the last year |
| Start Date of analysis | start date of the 1Y price data set |
| No of days over which the 1Y CAGR was calculated | self explanatory |
| No of daily returns | self explanatory |
| No of positive daily returns | self explanatory |
| Percentage of positive daily returns | (No of positive daily returns)/(No of daily returns) |
| RSQ | Measure Trend Quality: A high RSQ (closer to 1 or 100%) indicates a “smooth” trend with minimal volatility around the mean. |
| Beta | measures a stock’s sensitivity and volatility relative to the index |
| CAGR 6 months | Annualised return over the last 6 months |
| Abs 6 months | Absolute return over the last 6 months |
| No of days over which 6 month returns were calculated | self explanatory |
| Max Price | self explanatory |
| Alpha | risk-adjusted excess return above index |
| Ulcer Index 1Y | Ulcer Index measures downside risk by focusing specifically on the depth and duration of drawdowns. Unlike the Standard Deviation (which penalises both upward and downward “surprises”), the Ulcer Index cares only about the pain of falling prices. (search our archives on how it is computed and used for mutual funds) |
| 1Y Max Drawdown | Max has fallen from a peak over the last year |
| Trailing 6 months max drawdown | The same as above over the last 6 months |
| RVOL | High relative volume helps us understand if the momentum is reliable |
| % of bullish days via ADX | momentum measure via ADX = Average Directional Index. |
| % of bearish days via ADX | This has to be lower than the above metric |
| Distance from 1Y high | Stocks close to yearly highs have higher momentum |
| Is CMP > 200-day SMA? “Yes” =1 “No” =0 | Checks if the current price is higher than the 200 SMA (momentum check) |
| 50-day SMA > 150-day SMA > 200-day SMA “Yes” =1 “No” =0 | Stronger momentum indicator |
Composite scores
We have now added three composite scores computed as follows.
Determine percentile ranks of CAGR, Ulcer index, RSQ, and % of bullish days via ADX. Designate them as Rank_CAGR, Rank_Ulcer, Rank_RSQ, Rank_ADX
Then adopt four safety filters:
- Check if CMP > 200-day SMA
- Check if RVOL > 0.8
- Check if 1Y Max Drawdown > -20%
- % of bullish days via ADX > 50%
If all these safety checks are valid,
- Low volatility score: 50% of Rank_Ulcer + 30% of Rank_RSQ + 20% of Rank_CAGR
- Momentum score: 40% of Rank_CAGR+ 30% of Rank_Ulcer+30% of Rank_ADX
- Low volatility + Momentum score: 40% of Rank_CAGR+ 30% of Rank_Ulcer+20% of Rank_RSQ
Only stocks with passes safety checks will be ranked.
Infographic generated by Gemini to represent the Freefincal low volatility plus momentum stock screener
How do I use this screener?
There are multiple ways to use this screener. This is only a recommendation.
Always ensure you are buying a good stock. Check balance sheet metrics (not part of this screener) such as Return on Equity, Debt-to-Equity Ratio, Earnings Yield, etc., before buying any stock.
First, set up the safety filters.
- Check if CMP > 200-day SMA
- Check if RVOL > 0.8
- Check if 1Y Max Drawdown > -20%
- % of bullish days via ADX > 50%
To screen for low-volatility stocks:
- Primary Metric: Ulcer Index. Look for the lowest values in the list. This indicates the stock spends very little time in deep or long drawdowns.
- Secondary Metric: RSQ (R-Squared). Look for values closest to 1.0. High RSQ means the price moves in a steady, linear fashion rather than in erratic jumps.
- Secondary Metric: Std Dev of Log Return. Look for the lowest numbers here to ensure the day-to-day “noise” or price swings are minimal.
- You can also use the low volatility composite score as an additional guide.
To screen for momentum stocks:
- Primary Metric: CAGR 1y. Look for the highest percentages. This is the stock’s raw “speed” or absolute momentum over the past year.
- Secondary Metric: Alpha. Look for high positive numbers. This shows the stock is significantly outperforming the benchmark index.
- Secondary Metric: Distance from 1Y High. Look for stocks very close to their 1Y high (small distance). This indicates strong current demand and “breakout” potential.
- You can also use the momentum composite score as an additional guide.
To screen for low volatility + momentum stocks:
Look for
- High 1Y CAGR
- Low Ulcer Index
- High RSQ
- You can also use the low volatility + momentum composite score
Note about the standard deviation of log returns. 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 the standard deviation of these daily returns, we assume they fall on a bell curve. I’m afraid that’s not right. A more appropriate step would be to assume that the log return, defined as log(p2) – log(p1), follows 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.
Get the stock screeners!
Terms and conditions
- The cost is Rs. 300 for the BSE 500 data alone. Historical data from April 2023 is available! (New metrics will be available from March 2026 onwards).
- The price is Rs. 500 for monthly historical data for the Top 100 stocks from March 2019 to the current month. This will help you spot consistently low-volatility stocks. (New metrics will be available from March 2026 onwards).
- If you want data for the BSE 100 alone, the cost is Rs. 150.
- This purchase offers exclusive discounts on our two courses: 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 it.
- The file contains no buy or sell recommendations and consists solely of data derived from price information.
- Sufficient care and effort have been taken to identify and correct errors; however, I cannot guarantee the sheet is error-free.
- 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 assistance with 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 the current month, 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 an email to freefincal at Gmail dot com for assistance.
[2] If you want the Top 100 historical data of qualifying stocks from March 2019 to the current month, 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 an email to freefincal at Gmail dot com for assistance.
[3] If you want BSE 100 qualifying stocks, click here to pay Rs. 150 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 for use. Living outside India? You can pay via this PayPal link (3 USD). Send an email to freefincal at Gmail dot com for assistance.
By clicking, you agree to the terms in the important information section above. Please remember to download the sheet after payment (you will receive an email with a download link).
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