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Strategy Indices


NIFTY Multi-Factor Indices are designed to reflect the performance of a portfolio of stocks that are selected based on combination of 2 or more factors selected from 4 single-factors namely, Quality, Value, Alpha and Low Volatility. It intends to counter the cyclicality of single factor index strategy and provides investors a choice to take exposure to multiple factors through a single index product.

List of Multi-Factor Indices

  1. NIFTY Alpha Low-Volatility 30
  2. NIFTY Quality Low-Volatility 30
  3. NIFTY Alpha Quality Low-Volatility 30
  4. NIFTY Alpha Quality Value Low-Volatility 30
     

Highlights:

  • The index series has a base date of April 01, 2005 and a base value of 1000
  • Stocks from NIFTY 100 and NIFTY Midcap 50 at the time of review are eligible for inclusion in the indices
  • Indices consist of well diversified portfolio of 30 stocks selected based on combination of 2 or more factors from the 4 factors - Alpha, Quality, Value and Low-Volatility
  • Stock selection and weights are derived from factor scores resulting in portfolio capturing the essence of underlying factor dynamics
  • With threshold mechanism that lays down stringent criteria for inclusion and exclusion, the index seeks to minimize degree of churning and replication cost
     

Links:

White Paper on NIFTY Multi-Factor Indices by NSE Indices

"Multi-factor index strategies provide diversified factor-exposure with varied risk-return profile" (.pdf)

Methodology Document:

Download Methodology of NIFTY Multi-Factor Index series (.pdf)

Factsheet and Index Constituents

Index Name Fact Sheets Index Constituents
NIFTY Alpha Low-Volatility 30    
NIFTY Quality Low-Volatility 30    
NIFTY Alpha Quality Low-Volatility 30    
NIFTY Alpha Quality Value Low-Volatility 30    


Links to NIFTY Indices website:

The NIFTY Midcap150 Quality 50 index includes top 50 companies from its parent NIFTY Midcap 150 index, selected based on their 'quality' scores. The quality score for each company is determined based on return on equity, financial leverage (except for financial services companies) and earning per share (EPS) growth variability of each stock analysed during the previous 5 financial years. The weight of each stock in the index is based on a combination of stock's quality score and its free float market capitalization.

Highlights:

  • The index series has a base date of April 01, 2005 and a base value of 1000
  • Stocks from NIFTY Midcap 150 index at the time of review are eligible for inclusion in the index.
  • 50 companies with higher profitability, lower leverage and more stable earnings are selected to be part of the index.
  • The weight of each stock in the index is based on the combination of stock's quality score and its free-float market capitalization.
  • Each Sector in the index is capped at 25%.
  • Index is rebalanced semi-annually.

Links:

Download List of NIFTY Midcap 150 Quality 50 Index Stocks (.csv)

Download Factsheet of NIFTY Midcap 150 Quality 50 Index(.pdf)

Download Methodology of NIFTY Midcap 150 Quality 50 Index(.pdf)

NIFTY50 Equal Weight Index represents an alternative weighting strategy to its market capitalization based parent index, the NIFTY 50 Index. The index includes the same companies as its parent index, however, weighted equally.

Links:

Download NIFTY50 Equal Weight Index - "Its uniqueness lies in its simplicity" - a white paper by NSE Indices

Download List of NIFTY50 Equal Weight Index Stocks (.pdf)

Download Fact Sheet of NIFTY50 Equal Weight Index (.pdf)

Download Methodology of NIFTY50 Equal Weight Index Index (.pdf)

The NIFTY100 Equal Weight Index comprises of same constituents as NIFTY 100 Index (free float market capitalization based Index).
The NIFTY 100 tracks the behavior of combined portfolio of two indices viz. NIFTY 50 and NIFTY Next 50. It is a diversified 100 stock index.
As the name suggests, each index constituent is allocated fixed equal weight at each re-balancing.
NIFTY100 Equal Weight Index would comprise of the securities, which are constituents of NIFTY 100 Index. Any changes i.e. inclusion and exclusion of securities in NIFTY 100 would be automatically mirrored in this index.

Download List of NIFTY100 Equal Weight Index Stocks (.csv)

Download Fact Sheet .pdf)

Download Methodology (.pdf)

The NIFTY100 Low Volatility 30 index tracks the performance of 30 stocks in NIFTY 100 with the lowest volatility in last one year. NIFTY 100 index represents the large market capitalisation segment of market.

Links:

Download "NIFTY100 Low Volatility 30 Index - Lower risk need not necessarily mean lower returns" - a white paper by NSE Indices (.pdf)

Download List of NIFTY100 Low Volatility 30 Index Stocks (.csv)

Download Fact Sheet (.pdf)

Download Methodology (.pdf)

The Nifty200 Momentum 30 Index aims to track the performance of 30 high momentum stocks across large and mid-cap stocks. The Momentum Score for each stock is based on recent 6-month and 12-month price return, adjusted for volatility.

Highlights:

  • The index has a base date of April 01, 2005, with a base value of 1000.
  • The index tracks the performance of the stocks that are part of the Nifty 200 index, and have high Normalised Momentum Scores
  • The Normalised Momentum Score is based on 6-month and 12-month price return, adjusted for volatility.
  • The weight of each stock is based on the factor tilt methodology-the weight is derived by multiplying the free float market cap with the Normalised Momentum Score of that stock
  • Stock weights are capped at the lower of 5% or 5 times the weight of the stock in the index based only on free float market capitalization
  • A buffer based on Normalised Momentum Score ranks is applied to reduce turnover

Links:

Nifty200 Momentum 30 Index - Gain exposure to 30 high momentum stocks across large and mid-cap stocks

Download List of Nifty200 Momentum 30 (.csv)

Download FactSheet(.pdf)

Download Methodology(.pdf)

The NIFTY100 Alpha 30 Index consists of 30 companies from its parent NIFTY 100 index, selected based on their 'alpha'scores. The alpha score for each company is determined based on Jensen's alpha computed using 1 year trailing prices.

Highlights:

  • The index has a base date of April 01, 2005 and a base value of 1000.
  • Stocks from NIFTY 100 index at the time of review are eligible for inclusion in the index.
  • 30 companies having a listing history of more than 1 year, with highest positive Jensen's alpha are selected to be part of the index.
  • The weight of each stock in the index is based on the combination of stock's 'alpha' score and its free float market capitalization.
  • Each Sector in the index is capped at 25%.
  • Index is rebalanced quarterly.


Links:

NIFTY100 Alpha 30 Index- Smart beta index strategy capturing recent performers within the large cap segment(.pdf)

Download List of NIFTY100 Alpha 30 Index Stocks (.csv)

Download Factsheet of NIFTY100 Alpha 30 Index(.pdf)

Download Methodology of NIFTY100 Alpha 30 Index(.pdf)

NIFTY Alpha 50 index aims to measure the performance of securities listed on NSE with high Alphas. In order to make the 50 stock index investible and replicable, criteria such as turnover and free float market capitalization are applied while selection of securities.

Weights of securities in the index are assigned based on the alpha values. Security with highest alpha in the index gets highest weight.

Links:

Download List of NIFTY Alpha 50 Index Stocks (.csv)

Download Fact Sheet (.pdf)

Download Methodology (.pdf)

In equity market arbitrage is a popular strategy used by market participants that involves buying equities and selling equivalent equity futures.

The NIFTY 50 Arbitrage Index aims to measure the performance of such arbitrage strategies. The index measures performance of portfolio involving investment in equity and equivalent short position equity futures, short-term debt market investments and cash.

Links:

Download Fact Sheet (.pdf)

Download Methodology (.pdf)

The NIFTY 50 & Short Duration Debt - Dynamic P/B Index captures the performance of portfolio where asset allocation between equity and debt is based on Price-Book ratio (P/B) of the NIFTY 50. The asset allocation in the index is dynamically managed based on a model that compares the current Price-Book ratio (P/B) with the historical Price-Book ratio (P/B) of NIFTY 50 in the previous 7 years.

Highlights

  • The index has a base date of 1st April, 2005 and a base value of 1000
  • Asset allocation is based on a model that compares current Price-Book ratio (P/B) with the average, maximum and minimum Price-Book ratio (P/B) of NIFTY 50 in previous 7 years
  • Maximum allocation to equity component is 80% and minimum allocation is 65% (including arbitrage)
  • Maximum allocation to debt component is 35% (including overnight rate) and minimum allocation is 20%
  • In case arbitrage is used, 10% of the asset allocated to NIFTY 50 Futures index (short) is additionally allocated to NIFTY 1D Rate index (CBLO)
  • The asset allocation in the index is rebalanced on a monthly basis
  • Weights of the equity, fixed income overnight rate, CBLO and arbitrage component can drift between monthly reset dates due to underlying asset price movement


Links:

NIFTY Dynamic Asset Allocation Index Series- 'employs dynamic asset allocation strategy based on market valuations' Download White Paper here (.pdf)

Download Factsheet of NIFTY 50 & Short Duration Debt - Dynamic P/B Index (.pdf)

Download Methodology of NIFTY Dynamic Asset Allocation Indices (.pdf)

The NIFTY 50 & Short Duration Debt - Dynamic P/E Index captures the performance of portfolio where asset allocation between equity and debt is based on Price-Earnings ratio (P/E) of the NIFTY 50. The asset allocation in the index is dynamically managed based on a model that compares the current Price-Earnings ratio (P/E) with the historical Price-Earnings ratio (P/E) of NIFTY 50 in the previous 7 years.

Highlights

NIFTY Equity Savings Index captures performance of a portfolio having exposure to equity, equity arbitrage and debt instruments. This index is a total return index capturing price return and dividend/coupon income.

Highlights

The NIFTY 50 Futures Index is designed to track the performance of NIFTY 50 Futures contract traded on NSE. The index tracks the near month NIFTY 50 index futures contract. The index incorporates roll over from near-month to mid-month contract three days prior to expiry of near month contract.

The NIFTY 50 Futures TR Index is designed to track the performance of total returns from NIFTY 50 Futures contract and investment in risk free instrument. The Index assumes that contract value is invested in risk free instrument (MIBOR)
 

Links:

Download Fact Sheet for NIFTY Futures Index (.pdf)

Download Fact Sheet for NIFTY Futures TR Index (.pdf)

Download Methodology (.pdf)

Almost every institutional investor and off-shore fund enterprise with an equity exposure in India would like to have an instrument for measuring returns on their equity investment in dollar terms. To facilitate this, a new index the NIFTY50 USD; a US Dollar denominated NIFTY 50 has been developed.

Salient Features

  • Performance indicator to foreign institutional investors, off-shore funds, etc.
  • Provides an effective tool for hedging Indian equity exposure.
  • Impact cost of the NIFTY 50 for a portfolio size of 50 Lakhs is 0.02%
  • Provides fund managers an instrument for measuring returns on their equity investment in dollar terms.

Links:

Download Methodology (.pdf)

The NIFTY Dividend Opportunities 50 Index is designed to provide exposure to high yielding companies listed on NSE while meeting stability and tradability requirements. The NIFTY Dividend Opportunities 50 Index comprises of 50 companies. The methodology employs a yield driven selection criteria that aims to maximize yield while providing stability and tradability.
Market Representation

NIFTY High Beta Index aims to measure the performance of the stocks listed on NSE that have High Beta. Beta can be referred to as a measure of the sensitivity of stock returns to market returns. The market is represented by the performance of the NIFTY50. In order to make the 50 stock index investible and replicable, criteria such as turnover and free float market capitalization are applied while selection of securities..

Weights of securities in the index are assigned based on the beta values. Security with highest beta in the index gets highest weight.

Links:

Download List of NIFTY High Beta 50 Index Stocks (.csv)

Download Fact Sheet (.pdf)

Download Methodology (.pdf)

NIFTY Low Volatility 50 Index aims to measure the performance of the least volatile securities listed on NSE. In order to make the 50 stock index investible and replicable, criteria such as turnover and free float market capitalization are applied while selection of securities.

Weights of securities in the index are assigned based on the volatility values. Least volatile security in the index gets the highest weight.

Links:

Download List of NIFTY Low Volatility 50 Index Stocks (.csv)

Download Fact Sheet .pdf)

Download Methodology (.pdf)

Dividends are an important component of the total return on equities. The NIFTY50 Dividend Points index is designed to track the total dividend from the constituents of the NIFTY 50 index. The value of the dividend index is expressed in terms of index points. It enables the investor to take a view on dividends of NIFTY 50 index securities independent of the price movement.

Currently there are various derivative contracts available using NIFTY 50 index as the underlying, which have dividend risk implied in them. The NIFTY50 Dividend Points index strips the dividend cash flow of the NIFTY 50 index and provides investors with the ability to hedge against the dividend risk that implicit in the value of the NIFTY 50 index derivatives.

Dividend Index (t) = Previous Dividend Index Value (t-1) + Indexed Dividend (t day)

The index dividend of the NIFTY 50 Index is calculated by taking the summation of dividend payout (adjusted for free float) specified by index constituents divided by the index divisor on ex-dividend date.

Links:

Download Factsheet (.pdf)

Download Methodology (.pdf)

NIFTY200 Quality 30 includes top 30 companies from its parent NIFTY 200, selected based on their ?quality? scores. The quality score for each company is determined based on return on equity (ROE), financial leverage (Debt/Equity Ratio) and earning (EPS) growth variability analysed during the previous 5 years.

Highlights:

NIFTY100 Quality 30 Index aims to cover companies which have durable business model resulting in sustained growth. This index consists of 30 companies which are selected based on low gearing, high return on equity and profit growth.

Links:

List of NIFTY100 Quality 30 Index Stocks (.csv)

Download Fact Sheet .pdf)

Download Methodology (.pdf)

The NIFTY500 Value 50 index consists of 50 companies from its parent NIFTY 500 index, selected based on their 'value' scores. The value score of each company is determined based on Earnings to Price ratio (E/P), Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield.

Highlights

NIFTY50 Value 20 is a diversified 20 stock index providing exposure to 8 broader sectors of the economy. The NIFTY50 Value 20 Index is designed to reflect the behaviour and performance of a diversified portfolio of value companies forming a part of NIFTY 50 Index. It consists of the liquid value blue chip companies. NIFTY50 Value 20 index is owned and managed by NSE Indices Limited (formerly known as India Index Services & Products Limited) (NSE Indices). NSE Indices is India?s specialized company focused upon the index as a core product.

Market Representation

  • The NIFTY50 Value 20 Index represents about 26.7% of the free float market capitalization of the stocks listed on NSE as on March 31, 2017.

The total traded value for the last six months ending March 2017 of all index constituents is approximately 21.1% of the traded value of all stocks on the NSE.

Links:

Download List of NIFTY50 Value 20 Index (.csv)

Download Factsheet (.pdf)

Download Methodology(.pdf)

NIFTY Growth Sectors 15 Index is designed to provide investors exposure to the liquid stocks from sectors of market interest. The 15 stock index is easily replicable and tradable.

Links:

Download List of NIFTY Growth Sectors 15 Index (.csv)

Download Factsheet (.pdf)

Download Methodology (.pdf)

The NIFTY50 PR 1x Inverse index tries to provide inverse return of its underlying index.

Links:

Download Factsheet (.pdf)

Download Methodology (.pdf)

The NIFTY50 TR 1x inverse index tries to provide inverse return of its underlying index.

Links:

Download Factsheet (.pdf)

Download Methodology (.pdf)

The NIFTY50 PR 2x Leverage Index is designed to generate multiple time return of the underlying index in situations where the investor borrows funds to generate index exposure beyond his/her cash position.

Links:

Download Factsheet (.pdf)

Download Methodology (.pdf)

The NIFTY50 TR 2x Leverage index is designed to generate multiple time return of the underlying index in situations where the investor borrows funds to generate index exposure beyond his/her cash position.

Links

Download Factsheet(.pdf)

Download Methodology (.pdf)

Updated on: 14/09/2020
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