Nifty 100 Momentum, Low Volatility Stock Screener for March 2019

Published: March 28, 2019 at 10:06 am

Last Updated on

Download a momentum, low volatility stock screener for 100 stocks from the Nifty 100 (March 2019). What was previously published as stocks list is now been expanded into a screener. Hopefully next month, I will be able to include 500 stocks from the Nifty 500.

What is momentum investing? Invest in stocks that have moved up considerably over the past 6-12 months hoping that the trend will continue into the future (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?.

Nifty 100 Momentum, Low Volatility Stock Screener for March 2019

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?

There is a close connection between momentum investing and low volatility. In fact, 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 idea that is closely related 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 or both, it is important to recognise when to sell the stocks. 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 of time if it no longer has enough momentum and/or low volatility.  If you get distracted by the valuation of the stocks, their 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 own research about momentum and low volatility investing!!

Momentum Investing in India

You can watch this video version of the above-linked post to get an introduction to momentum investing

Low Volatility Investing in India

When you open the file, you will see the following columns

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Column nameExplanation
Symbolstock symbol
Security Namestock name
Industryindustry classification of the stock
Index McapMarket cap as on Feb 28th 2019
Weightage %The weight of the stock in Nifty 100 as on Feb 28th 2019
Current DateDate when the screener was created (26-3-2019)
Current market price (CMP)The closing price of the stock on above date
Average of last 200 day closing price (200 AVG)Average of last 200-day closing price
Is CMP > 200 day AVG? “Yes” =1 “No” =0A check if CMP is greater than or less than the 200 AVG
stddev of returnthe standard deviation of monthly returns a measure of volatility
stdev of log returnThis is the standard deviation of log returns.
CAGR 1yThe CAGR over the last one year. This is the same as the absolute return
Start Date of analysisWhen the analysis was started (26-3-2018)
No of daily returnsTotal daily returns studied
No of positive daily returnsOut of the above, the number of positive returns
Percentage of positive daily returnsThe ratio of the above two quantities
R-squaredA measure of how much of stocks volatility comes from the index (N100)
BetaA measure of how volatile the stock is in comparison to the index. Makes sense only when R-squared is high
Absolute return 6 monthsAbsolute gain or loss over the last 6 months

Suppose p1 is the previous day 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 that 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 for creating low volatility indices, the standard deviation of log returns are used. However, there is not much of a difference for the present case and you could use just the ordinary standard deviation.

Why should returns fall on a bell curve? If they do not, then both the “average” and “standard deviation” have no meaning!!

How to use this screener?

You can use it in multiple ways. Here are some suggestions.

To screen for low volatile stocks

  1. Sort by an increasing standard deviation
  2. Ensure returns over the last 6 months and 1Y are positive with a good amount of positive daily returns.
  3. Choose stocks with the lowest volatility

To screen for momentum stocks

  1. Remove stocks with negative 6 months AND 1Y returns
  2. Remove stocks with 50% or lower positive daily returns
  3. Remove stocks with a current price lower than last 200-day average
  4. Sort remaining stocks by increasing standard deviation.
  5. Choose stocks with low volatility and high momentum (high 6 month or 1Y returns).

Note: Frequent trading may be necessary for both approaches. If in the next month’s screener, a stock does not meet the above criteria, you will have to sell in full and replace by another regardless of tax

Important Information

  1. This screener (March 2019) costs Rs. 111 (Rs. 100 + Rs. 11 transaction fee)  The reasons for this are mentioned in this change of policy note. I believe the cost is both affordable and justified for the information provided and reasons mentioned in the aforementioned link.
  2. The cost is only for the March 2019 screener and only for the data in the sheet.
  3. While I will do my best to publish updated screener sheets each month, I cannot guarantee the same.
  4. The file does not contain any buy or sell recommendations and only has data derived from price information. The stocks chosen are merely members of the Nifty 100 as on Feb 2019.
  5. Enough care and effort have been put in to weed out errors, however, I cannot guarantee that the sheet is free of error.
  6. The buyer will have to do their own research with regard to using the information in the spreadsheet. No recommendations or assistance is included in the sheet and will not be provided separately
  7. I will not provide any further help or assistance in using the sheet

Click here to pay Rs. 111 and download (instantly) the Nifty 100 momentum low volatility screener

By clicking you agree to the terms in the important information section above. Do not forget to download the sheet after you pay!!

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Pattabiraman editor freefincalM. Pattabiraman(PhD) is the founder, managing editor and primary author of freefincal. He is an associate professor at the Indian Institute of Technology, Madras. since Aug 2006. Connect with him via Twitter or Linkedin Pattabiraman has co-authored two print-books, You can be rich too with goal-based investing (CNBC TV18) and Gamechanger and seven other free e-books on various topics of money management. He is a patron and co-founder of “Fee-only India” an organisation to promote unbiased, commission-free investment advice.
He conducts free money management sessions for corporates and associations on the basis of money management. Previous engagements include World Bank, RBI, BHEL, Asian Paints, Cognizant, Madras Atomic Power Station, Honeywell, Tamil Nadu Investors Association. For speaking engagements write to pattu [at] freefincal [dot] com

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