List of stocks with momentum and low volatility (Nov 2018)

Here is a list of stocks with momentum and low volatility from the Nifty 100. Starting this month, I would like to publish this list on a monthly basis. Readers interested in momentum investing combined with low volatility can use this as a starting point.

Momentum investing essentially means identifying stocks that have moved up considerably in the past 6-12 months and investing them in the hope that the trend will continue into the future. It is hope on the basis of past research as discussed here for the Indian and US markets: Momentum Stock Investing in India: Does it work?. 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?

As discussed in the first link above, 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. That is, 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.

I have previously published a list of stocks that have traded close to their “all-time” high and  30 Low Volatility Stocks from Nifty 100: Aug 2018 and  July 2018. Readers may be aware I have been testing low volatility investing with lazy investing portfolios involving low volatility So clearly, I am a fan of low volatility investing and would like to explore with a monthly listing such as this one.

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 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 methodology with time. So be prepared for this. Do your own research about momentum and low volatility investing!!

Stock Weight allocation: Many readers have asked me how to assign weights to such stocks. Assuming that you have only low volatility stocks in your portfolio, first decide on the number of stocks, say 16. Then assign about 6% weight to each. If any stock is removed from a low volatility listing (eg. NSE low volatility indices), then you will have to sell that entire 6% holding and replace it with a stock from the listing. People who are incapable of being methodical and disciplined should stay away from this.

Momentum Investing in India

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

List of stocks with momentum and low volatility (Nov 2018)

To play it safe, I would like to stick with the Nifty 100. The full list can be downloaded from below.

Procedure followed

1: Download last one-year stock price from moneycontrol. You can do this for any stock with this tool: Automated Earnings Power Stock Analysis With Screener.in data

2: Calculate daily returns (usual and logarithmic)

3: Calculate standard deviation in daily returns (usual and logarithmic). This is the volatility.

4: Calculate CAGR of the last year. This is the momentum. Note that BSE uses CAGR/volatility as the momentum score

5: Calculate how many daily returns were positive. This is a measure of the quality of the momentum.

6: Since 67 of the 101 stocks studied had a one year return less than zero, we will short-list only those stocks with a positive return.

7: From this 34 stocks, we will demand that at least half the daily returns should have been positive. That is, out of the 247 daily returns, at least half should have been positive. This shortens the list to 24 stocks.

Bajaj Finance Ltd.
UPL Ltd.
GAIL (India) Ltd.
Tech Mahindra Ltd.
Havells India Ltd.
Bajaj Finserv Ltd.
Titan Company Ltd.
Lupin Ltd.
HCL Technologies Ltd.
Godrej Consumer Products Ltd.
Pidilite Industries Ltd.
Reliance Industries Ltd.
Mahindra & Mahindra Ltd.
Dabur India Ltd.
Tata Consultancy Services Ltd.
Marico Ltd.
Infosys Ltd.
Kotak Mahindra Bank Ltd.
Wipro Ltd.
Britannia Industries Ltd.
Hindustan Unilever Ltd.
Procter & Gamble Hygiene & Health
Colgate Palmolive (India) Ltd.
HDFC Bank Ltd.

8: If we further look at the standard deviation and demand a value lower than the median from the above 24, we will be left with 13 stocks.

Bajaj Finance Ltd.
UPL Ltd.
GAIL (India) Ltd.
Tech Mahindra Ltd.
Havells India Ltd.
Bajaj Finserv Ltd.
Titan Company Ltd.
Lupin Ltd.
HCL Technologies Ltd.
Godrej Consumer Products Ltd.
Pidilite Industries Ltd.
Reliance Industries Ltd.
Mahindra & Mahindra Ltd.

Momentum (1 Year CAGR) vs Volatility of all Nifty 100 stocks

1 year return (momentum) vs volatility of stocks in the Nifty 100

There is a loose correlation between momentum and volatility. It is fairly clear that higher volatility stocks have lower returns.

Download the full list of Nifty 100 stocks with 1Y CAGR, volatility and fraction of daily positive returns

New Videos from the freefincal youtube channel

 


About the Author M Pattabiraman author of freefincal.comM. Pattabiraman is the co-author of two books: You can be rich too with goal based investing and Gamechanger. “Pattu” as he is popularly known, publishes unbiased, promotion-free research, analysis and holistic money management advice. Freefincal serves more than one million readers a year with numbers based analysis on topical issues and has more than a 100 free calculators on different aspects of insurance and investment analysis, including a robo advisory template for use by beginners. Contact information: freefincal {at} Gmail {dot} com He conducts free money management sessions for corporates (see details below). Previous engagements include World Bank, RBI, BHEL, Asian Paints.

Content Policy

Freefincal has original unbiased, conflict-of-interest-free,  topical reports, reviews, commentary and analysis on all aspects of personal finance like mutual funds, stocks, insurance etc. All guest authors and contributors to the site also do not have any conflict of interest. If you find the content useful, please consider supporting us by (1) sharing our articles and (2) disabling ad-blockers for our site if you are using one. No promotional content We do not accept sponsored posts and link exchange requests from content writers and agencies. This is our privacy policy Our website is non-profit in nature. The revenue from the advertisement will only be used for hosting charges, domain registration charges, specific plugins necessary for traffic growth and analytics services for search engine optimisation.

Create a "from start to finish" financial plan with this unique open-source robo advisory software template


 Don't like ads but want to support the site? Subscribe to the ad-free newsletter! 
You will get the full post-ad-free delivered to your inbox for Rs. 3000 a year. Follow this link to read the terms and sign up! 
Want to conduct a sales-free "basics of money management" session in your office?
I conduct free seminars to employees or societies. Only the very basics and getting-started steps are discussed (no scary math):For example: How to define financial goals, how to save tax with a clear goal in mind; How to use a credit card for maximum benefit; When to buy a house; How to start investing; where to invest; how to invest for and after retirement etc. depending on the audience. If you are interested, you can contact me: freefincal [at] Gmail [dot] com. I can do the talk via conferencing software, so there is no cost for your company. If you want me to travel, you need to cover my airfare (I live in Chennai)

Connect with us on social media


Do check out my books


You Can Be Rich Too with Goal-Based Investing

You can be rich too with goal based investingMy first book is meant to help you ask the right questions, seek the right answers and since it comes with nine online calculators, you can also create custom solutions for your lifestyle! Get it now.  It is also available in Kindle format.
Gamechanger: Forget Startups, Join Corporate & Still Live the Rich Life You WantGamechanger: Forget Start-ups, Join Corporate and Still Live the Rich Life you wantMy second book is meant for young earners to get their basics right from day one! It will also help you travel to exotic places at low cost! Get it or gift it to a young earner

The ultimate guide to travel by Pranav Surya

Travel-Training-Kit-Cover This is a deep dive analysis into vacation planning, finding cheap flights, budget accommodation, what to do when travelling, how travelling slowly is better financially and psychologically with links to the web pages and hand-holding at every step.  Get the pdf for ₹199 (instant download)

Free Apps for your Android Phone

All calculators from our book, “You can be Rich Too” are now available on Google Play!
Install Financial Freedom App! (Google Play Store)
Install Freefincal Retirement Planner App! (Google Play Store)
Find out if you have enough to say "FU" to your employer (Google Play Store)

Blog Comment Policy

Your thoughts are vital to the health of this blog and are the driving force behind the analysis and calculators that you see here. We welcome criticism and differing opinions. I will do my very best to respond to all comments asap. Please do not include hyperlinks or email ids in the comment body. Such comments will be moderated and I reserve the right to delete the entire comment or remove the links before approving them.
Updated: November 26, 2018 — 6:27 pm

4 Comments

Add a Comment
  1. Hi Pattu,
    In your last step “standard deviation and demand a value above than the medium” – Since this is std-dev or volatility shouldn’t this be “..a vaule LESS than the medium” ?

    1. Yes, thank you! Corrected.

  2. sir, how to buy those stocks, should one buy top 10 in this list now … say each stock for 10000/-…. and continue holding till they are part of top 10… if a stock loose ranking that is sold and another one taking its position is baught… am i right or you sugest any other method…

Leave a Reply

Your email address will not be published. Required fields are marked *