I am planning to start a 10 stock low volatility portfolio from an underlying index of Nifty 100 or Nifty 200. I have seen some articles and videos on how low volatility stocks perform well in both, bear and bull markets. Want to evaluate the same.
The idea is to identify stocks with low Standard deviation of log of daily returns. Arrange them in the order of increase SD and select the top 10. They come with two other conditions,
a. 6 months return must be positive (or 1 year)
b. Current market price must be > its 200 DMA.
Portfolio will be rebalanced once a month. But, I expect the churn to be very low.
As the stocks are selected on the basis of SD of daily returns, I don’t think there is any use in looking at smallcaps or microcaps. Hence, my universe will be Nifty 100 or Nifty 200.
I will create a notional pf and monitor for couple of months, before I start really investing.
Any thoughts on this?
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