Also known as: NMC150MP Index (Bloomberg) · NSE_E_625 (Nifty Indices code)
At a glance
- Weighting schemeFactor tilted
- Review frequencySemi-annual
- Constituent count50
- Single cap5
- Buffer25 / 75
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 9 fields | |||
| Index name | Nifty Midcap150 Momentum 50 | Nifty Midcap150 Momentum 50 Index aims to track the performance of the top 50 companies within the Nifty Midcap 150Open p.192 ↗ |
The official index name is Nifty Midcap150 Momentum 50. |
| Index family | Nifty Strategy Indices | Strategy indices:Open p.289 ↗ |
The index is listed among Nifty strategy indices. |
| Parent index | Nifty Midcap 150 | top 50 companies within the Nifty Midcap 150 selected based on their Normalized Momentum Score.Open p.192 ↗ |
The index selects companies from the Nifty Midcap 150. |
| Base date | 2005-04-01 | The index has a base date of April 01, 2005, with a base value of 1000Open p.192 ↗ |
The index base date is April 1, 2005. |
| Base value | 1,000 | The index has a base date of April 01, 2005, with a base value of 1000Open p.192 ↗ |
The index base value is 1000. |
| Objective | Tracks the performance of the top 50 companies within the Nifty Midcap 150 selected based on their Normalized Momentum Score. | Nifty Midcap150 Momentum 50 Index aims to track the performance of the top 50 companies within the Nifty Midcap 150 selected based on their Normalized Momentum Score.Open p.192 ↗ |
The index aims to track the performance of the top 50 Nifty Midcap 150 companies selected by Normalized Momentum Score. |
| Size segment | Mid | Stocks part of the Nifty Midcap 150 at the time of review are eligible for inclusion in the indexOpen p.192 ↗ |
The index targets mid-cap companies through the Nifty Midcap 150 universe. |
| Index family type | Factor | selected based on their Normalized Momentum Score. The Normalized Momentum Score for each company is determined based on its 6-month and 12month price returnOpen p.192 ↗ |
The index is a factor-based strategy index. |
| Factor exposures | Momentum | 50 stocks are selected based on high Normalized Momentum ScoreOpen p.192 ↗ |
The index provides exposure to the momentum factor. |
| M2 Universe · 4 fields | |||
| Markets | India | Stocks part of the Nifty Midcap 150 at the time of review are eligible for inclusion in the indexOpen p.192 ↗ |
The index covers Indian equities through the Nifty Midcap 150 universe. |
| Exchanges | National Stock Exchange of India | Non-F&O stocks within Nifty Midcap 150 hitting the circuit filter more than or equal to 20% of the trading days in past 6 monthsOpen p.192 ↗ |
The index uses stocks traded on the National Stock Exchange of India ecosystem. |
| Security types | Common | Stocks forming part / going to be a part of the Nifty Midcap 150 index at the time of review subject to the following:Open p.192 ↗ |
The eligible universe consists of stocks forming part of the Nifty Midcap 150 index. |
| Parent universe index | Nifty Midcap 150 | Stocks forming part / going to be a part of the Nifty Midcap 150 index at the time of review subject to the following:Open p.192 ↗ |
The eligible universe comprises current or prospective Nifty Midcap 150 stocks at the review date. |
| M3 Eligibility screens · 12 fields | |||
| Differential voting rights eligibility | Eligible if DVR-related market capitalisation, free-float, and applicable index liquidity criteria are met. | Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index subject to fulfilment of specified DVR related criteria given below:Open p.318 ↗ |
Equity securities with differential voting rights may be included if they satisfy the specified market-capitalisation, free-float, and liquidity criteria. |
| Differential voting rights free float | 10% | Free float of DVR equity class share should be at least 10% of free-float market capitalization of the company (voting equity class share and DVR equity class share) and 100% free-float market capitalization of last security in respective indexOpen p.318 ↗ |
The DVR equity class must have free float equal to at least 10% of the company's free-float market capitalisation and at least 100% of the free-float market capitalisation of the last security in the respective index. |
| Differential voting rights market capitalisation basis | Company level aggregated market capitalisation | Market capitalisation criteria is measured at a company level by aggregating the market capitalisation of individual class of security meeting the liquidity criteria for the respective indexOpen p.318 ↗ |
For DVR securities, market capitalisation is assessed at the company level by aggregating the market capitalisation of each individual security class that meets the relevant liquidity criteria. |
| Differential voting rights security count effect | The index may contain more securities than its fixed company count because separate voting and DVR share classes can both be included. | Upon inclusion of DVRs in index, the index may not have fixed number of securities. For example, if DVR of an existing Nifty 50 constituent is included in Nifty 50, the Nifty index will have 51 securities but continue to have 50 companiesOpen p.318 ↗ |
Including a DVR class may cause the index to have more securities than companies, such as 51 securities representing 50 companies. |
| Differential voting rights independent class inclusion | Yes | It is possible that the DVR is eligible for inclusion in the index whereas the full voting rights security class is ineligible. In such scenario, the DVRs shall be included in the index irrespective of whether full voting rights share class is part of indexOpen p.318 ↗ |
A DVR class may be included even if the full-voting-rights share class is not eligible or included. |
| Liquidity measures | Trading frequency, Traded turnover, Volume of shares to total shares issued, Ratio of turnover to market capitalization, Impact cost | Liquidity of a security can be measured through factors such as trading frequency, traded turnover, volume of shares to total shares issued, ratio of turnover to market capitalization, impact cost etc.Open p.323 ↗ |
Liquidity may be assessed using trading frequency, traded turnover, traded share volume relative to shares issued, turnover relative to market capitalisation, and impact cost. |
| Impact cost screen applicability | Nifty 50, Nifty Next 50 | For selection of securities in indices such as Nifty 50 and Nifty Next 50, liquidity is screened on the basis of ‘impact cost’ as criteria.Open p.323 ↗ |
Nifty 50 and Nifty Next 50 screen securities for liquidity using impact cost. |
| Impact cost definition | Impact cost is the percentage difference between the execution price for a predefined order size and the ideal price, calculated as the average of the best bid and best offer. | In mathematical terms it is the percentage mark-up observed while buying / selling the desired quantity of a stock with reference to its ideal price (best buy + best sell) / 2.Open p.325 ↗ |
Impact cost measures the percentage execution cost of buying or selling a predefined quantity relative to the midpoint of the best bid and offer. |
| Impact cost characteristics | Buy and sell impact costs are calculated separately; impact cost varies by transaction size, changes with outstanding orders, and insufficiently liquid stocks receive a penal impact cost. | It should however be emphasised that: impact cost is separately computed for buy and sell impact cost may vary for different transaction sizes impact cost is dynamic and depends on the outstanding orders where a stock is not sufficiently liquid, a penal impact cost is appliedOpen p.325 ↗ |
Impact cost is computed separately for buys and sells, varies by transaction size and order book, and a penal cost is applied to insufficiently liquid stocks. |
| Circuit instance counting rule | Each upper or lower circuit hit on a trading day counts as an instance; both circuits on the same day count as two instances. | An instance is counted each time the stock hits the upper or lower price circuit on a given trading day. If a stock hits the upper and lower price circuit (price band) on the same trading day, it will be counted as two instances.Open p.192 ↗ |
An instance is counted each time a stock hits an upper or lower circuit, and two hits on one day count as two instances. |
| Trading history | Minimum value: 1 year | Constituents should have a minimum listing history of 1 yearOpen p.192 ↗ |
Constituents must have a minimum listing history of one year. |
| Extreme price screen | Applicability: non-F&O stocks; Metric: Upper or lower circuit instances; Window: 6; Window unit: Months; Threshold: 20; Threshold unit: (% of trading days); Rule: ineligible if total circuit-hit instances are at least 20% of trading days | Non - F&O stocks within Nifty Midcap 150 are ineligible for inclusion if the total instances of the stock hitting the upper or lower circuit (price band)* during the past 6 months as of the cut-off date is more than or equal to 20% of the number of total trading daysOpen p.192 ↗ |
Non-F&O stocks are ineligible if they hit upper or lower circuits on at least 20% of trading days in the prior six months. |
| M4 Selection and constituent count · 8 fields | |||
| Momentum return windows | Six month return: [Price(M-1)/Price(M-7)]-1; Twelve month return: [Price(M-1)/Price(M-13)]-1; Price reference: last trading day of the reference month | 12-month price return (12 M return): [Price (M-1)/Price (M-13)]-1 Where M is the rebal month, and prices are as of the last trading day of M-1 Month and M-13 MonthOpen p.192 ↗ |
Six- and twelve-month momentum returns use month-end prices from M-1 to M-7 and M-1 to M-13. |
| Volatility adjustment | Annualised standard deviation of lognormal daily returns for one year. | Std.Deviation (σp): Annualised standard deviation of lognormal daily returns of the stock for 1 yearOpen p.192 ↗ |
Each momentum return is divided by the annualised standard deviation of the stock's lognormal daily returns over one year. |
| Z score average weights | Metric: 12-month Momentum Z Score; Weight (%): 50, Metric: 6-month Momentum Z Score; Weight (%): 50 | Weighted Average Z Score = 50% * (12-month Momentum Z Score) + 50% * (6-month Momentum Z Score)Open p.192 ↗ |
The 12-month and 6-month momentum Z-scores each contribute 50%. |
| Normalized momentum score formula | 1 + weighted average Z-score when non-negative; otherwise (1 - weighted average Z-score)^-1. | Normalized Momentum Score = (1+ Weighted Average Z score) if Weighted Average Z score >=0 (1- Weighted Average Z score) ^-1 if Weighted Average Z score < 0Open p.192 ↗ |
The Normalized Momentum Score transforms positive and negative weighted average Z-scores asymmetrically. |
| Compulsory inclusion rule | The top 25 ranked non-index eligible stocks are compulsorily included, replacing the lowest-scoring existing stocks. | From the eligible universe, top 25 ranked stocks based on the Normalized Momentum score that are already not part of the index shall be compulsorily included in the index replacing the stocks with lowest Normalized Momentum scoreOpen p.193 ↗ |
At review, the top 25 eligible stocks not already in the index must replace the lowest-scoring current constituents. |
| Selection method | Rank by metric | Top 50 stocks with the highest Normalized Momentum Score are selected to be the part of the indexOpen p.192 ↗ |
The index selects the highest-ranked stocks by Normalized Momentum Score. |
| Ranking metrics | Name: Normalized momentum score; Window: 6 and 12 months; Direction: Highest; Step order: 1, Name: Six month momentum ratio; Window: 6 months; Direction: Higher; Step order: 2, Name: Twelve month momentum ratio; Window: 12 months; Direction: Higher; Step order: 3 | For each eligible stock, Z Score is calculated on the basis of 6-month momentum ratio and 12-month momentum ratioOpen p.192 ↗ |
Stocks are ranked by Normalized Momentum Score, built from volatility-adjusted 6-month and 12-month price returns. |
| Target constituent count | 50 | 50 stocks are selected based on high Normalized Momentum ScoreOpen p.192 ↗ |
The index has a fixed target of 50 constituents. |
| M5 Weighting and capping · 9 fields | |||
| Foreign investible factor calculation | FIF equals the lower of IWF and the foreign ownership limit, multiplied by an adjustment factor based on foreign room, and is applied according to standard IWF criteria. | Step 1: Calculate the interim IWF = Lower of IWF and Foreign Ownership Limit (FOL) Where, IWF is the Investible Weight factor of the company Foreign Ownership limit (FOL) is the board approved limits as disclosed in the shareholding pattern of the companies Step 2: Calculate the FIF = interim IWF * Adjustment Factor FIF shall be applied as per the standard IWF criteriaOpen p.321 ↗ |
The foreign investible factor is calculated as the lower of the investible weight factor and foreign ownership limit, multiplied by a foreign-room adjustment factor. |
| Foreign room adjustment bands | From: 0; To: 0.05; Factor: 0, From: 0.05; To: 0.15; Factor: 0.25, From: 0.15; To: 0.25; Factor: 0.5, From: 0.25; To: 0.5; Factor: 0.75, From: 0.5; To: 1; Factor: 1 | Adjustment Factor is determined as the table below: Foreign Room (%) 0-0.05 0.05-0.15 0.15 - 0.25 0.25 - 0.5 0.5 -1 Adjustment Factor 0
0.25
0.5
0.75 1Open p.321 ↗ |
The foreign-room adjustment factor is 0, 0.25, 0.50, 0.75, or 1 depending on the company's foreign room band. |
| Foreign room formula | foreign_room = (foreign_ownership_limit - utilized_limit) / foreign_ownership_limit | Calculation of Foreign Room is as follows: 𝐹𝑂𝐿−𝑈𝑡𝑖𝑙𝑖𝑧𝑒𝑑 𝑙𝑖𝑚𝑖𝑡 Foreign Room (%) = 𝐹𝑂𝐿 Where, Utilized limit is the percentage of the foreign holdings as disclosed in the shareholding pattern of the companiesOpen p.321 ↗ |
Foreign room is calculated as foreign ownership limit minus utilized limit, divided by foreign ownership limit. |
| Relative cap rule | Multiple of free float weight: 5; Fixed cap (%): 5 | Each stock in the index is capped at the lower of 5% or 5 times the weight of the stock in the index based only on free float market capitalizationOpen p.193 ↗ |
The cap is the lower of 5% and five times the stock's weight based solely on free-float market capitalization. |
| Weighting scheme | Factor tilted | 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 Normalized Momentum Score of that stockOpen p.192 ↗ |
Stock weights use factor tilt methodology based on free-float market capitalization multiplied by Normalized Momentum Score. |
| Free float factor | Method: Free float | The IWFs for each company in the index are determined based on the public shareholding of the companies as disclosed in the shareholding pattern submitted to the stock exchanges on quarterly basis.Open p.319 ↗ |
The investible weight factor is based on public shareholding, with specified non-free-float holdings excluded from free-float computation. |
| Foreign ownership limit | The interim IWF is the lower of the company's IWF and its board-approved foreign ownership limit, then multiplied by the foreign-room adjustment factor to derive FIF. | Step 1: Calculate the interim IWF = Lower of IWF and Foreign Ownership Limit (FOL) Where, IWF is the Investible Weight factor of the company Foreign Ownership limit (FOL) is the board approved limits as disclosed in the shareholding pattern of the companiesOpen p.321 ↗ |
Foreign ownership limits constrain the foreign investible factor by using the lower of IWF and the foreign ownership limit before applying the foreign-room adjustment factor. |
| Weight cap | 5% | 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 capitalizationOpen p.192 ↗ |
Each stock is capped at the lower of 5% or five times its free-float-market-capitalization-only weight. |
| Cap application timing | At review | Capping is done on a semi-annual basis at the time of rebalancingOpen p.193 ↗ |
Capping is applied semi-annually at the time of rebalancing. |
| M6 Review and rebalance schedule · 9 fields | |||
| Monthly share change effective date | last trading day of each month | which have an impact of 5% or more on the issued share capital of the security are normally implemented on monthly basis effective from the last trading day of each month after providing a three trading days’ prior notice.Open p.326 ↗ |
Singular equity-share changes with an impact of 5% or more are normally implemented monthly, effective on the last trading day of each month after three trading days' prior notice. |
| Quarterly share float rebalancing months | March, June, September, December | Changes entailing less than 5% impact on the issued share capital or a free-float are accumulated and implemented on quarterly basis (quarterly rebalancing) with effect from the last trading day of March, June, September and December.Open p.326 ↗ |
Share or free-float changes below 5% are accumulated and implemented in quarterly rebalancing, effective on the last trading day of March, June, September and December. |
| Corporate action adjustment timing | after close of trading and after calculation of closing index value; applied on ex-date | Appropriate adjustments are made after the close of trading and after the calculation of the closing value of the index. Corporate actions such as bonus, splits, dividends, rights offerings, and share changes are applied on the ex-date.Open p.326 ↗ |
Corporate-action adjustments are made after the close of trading and after calculation of the closing index value, and bonus, splits, dividends, rights offerings and share changes are applied on the ex-date. |
| Quarterly sebi concentration screen | The index is screened quarterly for SEBI ETF and index fund portfolio concentration norms and corrected if non-compliant. | Further, on a quarterly basis, indices will be screened for compliance with the portfolio concentration norms for ETFs/ Index Funds announced by SEBI on January 10, 2019.Open p.193 ↗ |
On a quarterly basis, the index is checked against SEBI portfolio concentration norms, with replacements or weight realignments if needed. |
| Review frequency | Semi-annual | The index is reconstituted semi-annually in June & DecemberOpen p.192 ↗ |
The index is reconstituted semi-annually. |
| Review types | Scheduled review, Ad hoc | Apart from the scheduled semi-annual review, additional ad-hoc reconstitution and rebalancing of the index shall be initiatedOpen p.193 ↗ |
The index has scheduled semi-annual reviews and may undergo ad hoc reconstitution. |
| Review months | June, December | Index rebalancing and reconstitution will be done on a semi-annual basis in June and DecemberOpen p.193 ↗ |
Scheduled reviews occur in June and December. |
| Data cutoff rule | Data end on the last trading day of May for the June review and November for the December review. | using data ending last trading day of May and NovemberOpen p.193 ↗ |
Semi-annual reviews use data ending on the last trading day of May and November. |
| Effective date rule | Last trading day of June or December. | The effective date for index reconstitution of index is the last trading day of respective month.Open p.293 ↗ |
Reconstitution takes effect on the last trading day of the respective review month. |
| M7 Buffers and turnover control · 3 fields | |||
| Change batching with stock replacement | Share or free-float changes of 5% or more in other securities are clubbed with an ad hoc constituent replacement to reduce turnover. | In case of any replacement of index constituent arising from ad-hoc index review necessitated on account of scheme of arrangement, delisting, moving of security to BZ category etc. or merger of non-constituent into an index constituent, change in shares or free float by 5% or more in all other securities are clubbed together with such stock replacement to reduce the turnover caused by frequent rebalancing by ETF/index funds tracking such indices.Open p.326 ↗ |
When an ad hoc stock replacement occurs because of a scheme of arrangement, delisting, BZ-category move, or merger, share or free-float changes of 5% or more in other securities are combined with that replacement to reduce turnover. |
| Buffer purpose | reduce turnover | A buffer based on Normalized Momentum Score ranks is applied to reduce turnoverOpen p.192 ↗ |
A rank-based buffer is applied to reduce index turnover. |
| Buffer zone | Entry rank: 25; Exit rank: 75 | If the rank of the eligible stocks within the existing index based on Normalized Momentum score is within top 75 such stocks would continue to form part of the indexOpen p.193 ↗ |
Existing constituents ranked within the top 75 may remain, while top 25 non-members are compulsory entrants and members beyond rank 75 are excluded. |
| M8 Corporate actions, IPOs, ad-hoc changes · 10 fields | |||
| Corporate action notice period | 3 trading days | which have an impact of 5% or more on the issued share capital of the security are normally implemented on monthly basis effective from the last trading day of each month after providing a three trading days’ prior notice.Open p.326 ↗ |
Monthly implementation of qualifying equity-share changes occurs after three trading days' prior notice. |
| Merger constituent change notice period | 3 business days | Announcement of the changes shall be made providing notice of minimum three working days including the indices on which Futures and Options are traded at NSEOpen p.328 ↗ |
Merger-driven constituent changes are announced with at least three working days' notice, including for indices with NSE futures and options. |
| Spinoff dummy symbol treatment | When SPOS is conducted, the demerged company is retained and spun-off entities are temporarily represented as equal-weight dummy stocks pending listing and subsequent removal. | The Demerged company shall be retained in the index. The spun off entity/entities shall be retained in the index in the form of dummy stocks (with equal weights) and shall be excluded from the index as per the below criteria:Open p.328 ↗ |
If the exchange conducts a special pre-open session for a demerger, the demerged company remains in the index and spun-off entities are temporarily represented as equal-weight dummy symbols until the newly listed entity is removed under the stated price-band and timing rules. |
| New spinoff listing removal rule | The actual newly listed spun-off symbol is temporarily included without eligibility screening and is removed after the close of its third listing day after two consecutive days without hitting the lower price band. | During this temporary period, new symbol shall not be screened for compliance with index eligibility criteria. 11 New symbol shall be removed from the index after the close of trading on third day of listing at the market determined price.Open p.330 ↗ |
A newly listed spun-off entity temporarily replaces the dummy symbol without eligibility screening and is removed after the close of the third listing day, subject to deferral until two consecutive days without a lower-price-band hit are observed. |
| Demerged company post event eligibility review | Retained demerged companies are screened using data from the ex-date through the last trading day of the next calendar month, while other securities use six months of data; ineligible companies are replaced at the quarter-end after notice. | Demerged company (ABC) which is retained in the index shall be screened for its continued eligibility, considering data for the period starting the ex-date till the last trading day of the next calendar month and 6 months data for other securities.Open p.330 ↗ |
A retained demerged company's continued eligibility is assessed using data from the ex-date through the last trading day of the next calendar month, compared with six months for other securities, and an ineligible company is replaced effective at the last trading day of the calendar quarter after required notice. |
| Ad-hoc deletion | Delisting, Acquisition, Prolonged suspension, Other | additional ad-hoc reconstitution and rebalancing of the index shall be initiated in case any of the index constituents is removed from Nifty Midcap 150 due to any corporate action (scheme of arrangement, delisting etc.) or suspension by the exchangeOpen p.193 ↗ |
Ad hoc reconstitution is triggered when a constituent is removed from Nifty Midcap 150 due to corporate actions such as a scheme of arrangement or delisting, or is suspended by the exchange. |
| Replacement policy | Next review | Stocks that moved out of the Nifty Midcap 150 shall also move out of the index at the time of the subsequent review of the Nifty Midcap150 Momentum 50 IndexOpen p.193 ↗ |
Stocks removed from Nifty Midcap 150 also leave the momentum index at the subsequent review, with separate ad hoc reconstitution permitted for specified events. |
| Merger spinoff rules | For mergers, the transferor is excluded at the close of T-1 and fixed-count indices replace it based on eligibility while variable-count indices do not. For SPOS demergers, the parent is retained and spun-off entities are represented temporarily as dummy/new stocks; without SPOS, the demerged company is removed at the beginning of T-1 and fixed-count indices make a suitable replacement. | Indices with fixed number of constituents: On ex-date, a replacement of company will be made based on the eligibility criteria of respective indices in place of transferor company which is being excluded Indices with variable number of constituents: On ex-date, no replacement will be madeOpen p.328 ↗ |
Mergers exclude the transferor at the close of T-1, with replacement only in fixed-count indices; demergers with SPOS retain the parent and temporarily include dummy or newly listed spun-off securities, while demergers without SPOS remove the parent at the beginning of T-1 and replace it only in fixed-count indices. |
| Deletion price | market determined price after close of trading on the removal day | New symbol shall be removed from the index after the close of trading on third day of listing at the market determined price.Open p.330 ↗ |
A newly listed spun-off entity is removed after the close of trading on its scheduled removal day at the market-determined price. |
| Share or float change threshold | Threshold: 5 percent of issued share capital or free float; Below threshold schedule: Quarterly; At or above threshold schedule: Monthly or clubbed with ad hoc replacement | All singular instances of changes in equity shares arising out of additional issue of capital, such as ESOPs, QIPs, ADR/GDR issues, private placements, warrant conversions, FCCB conversions, buy-back, forfeiture of shares etc. which have an impact of 5% or more on the issued share capital of the security are normally implemented on monthly basisOpen p.326 ↗ |
Singular share changes affecting 5% or more of issued share capital are normally implemented monthly, while share or free-float changes under 5% are accumulated for quarterly rebalancing. |
| M9 Calculation and return variants · 12 fields | |||
| Market capitalization formula | Index value equals index market capitalization divided by base free float market capitalization times base index value | Index Value = Index Market Capitalisation / Base Free Float Market Capitalisation of index * Base Index Value where Index Market Capitalization = Shares outstanding * IWF * Capping factor * PriceOpen p.332 ↗ |
For market-capitalization-based price-return indices, index value equals index market capitalization divided by base free-float market capitalization, multiplied by the base index value. |
| Special dividend threshold | 2 percent of market price on announcement date | All dividend amounts that are greater than or equal to 2% of company’s market prices on date of announcements are considered as a special dividend.Open p.333 ↗ |
A dividend is treated as special if it is at least 2% of the company’s market price on the announcement date. |
| Holiday schedule | official_NSE_Indices_holiday_schedule | For the calculation of indices, the NSE Indices Limited follows the official holiday schedule. A complete holiday schedule for the year is available on the NSE Indices Limited and NSE website.Open p.337 ↗ |
Index calculations follow the official holiday schedule published by NSE Indices and NSE. |
| Formula type | Divisor | Using the divisor and modified index market capitalization, Equal weight/ factor-based indices are calculated as follows:Open p.332 ↗ |
Equal-weight and factor-based indices use an index divisor applied to modified index market capitalization. |
| Price source | regulated_prices_from_NSE_in_INR | Prices Regulated prices received from the National Stock Exchange of India Ltd, in Indian Rupees.Open p.337 ↗ |
Index calculations use regulated prices in Indian rupees received from the National Stock Exchange of India Limited. |
| Calculation frequency | real-time | 20 Nifty Midcap150 Momentum 50# Apr 01, 2005 1000 Tilt 5% Real-time FixedOpen p.289 ↗ |
The index is calculated in real time. |
| Precision | 2 decimal places | Index values are disseminated up to two decimal placesOpen p.338 ↗ |
Published index values are disseminated with up to two decimal places. |
| Return variants | PR, GTR, NTR | A separate series of index i.e. Total Returns Index (TR) is calculated which shows the returns on Index portfolio, inclusive of dividends.Open p.333 ↗ |
The methodology describes price return, total return inclusive of dividends, and net total return index variants. |
| Withholding tax basis | Investor basis: non-resident institutional investors not benefiting from double taxation treaties; Dividend withholding tax rate (%): 23.92; Bonus share short term capital gains tax rate (%): 23.92 | For the computation of NTR index, the maximum rate applicable to the non-resident institutional investors who do not benefit from double taxation treaties.Open p.334 ↗ |
Net total return uses the maximum withholding tax rate for non-resident institutional investors without treaty benefits; the current effective dividend and bonus-share tax rates are each 23.92%. |
| Dividend treatment | regular_dividends_reinvested_after_close_on_ex_date; special_dividends_adjusted_in_PR_and_excluded_from_TR | The total return version of the index is also available, which assumes dividends are reinvested in the index after the close on the ex-date.Open p.333 ↗ |
Total return assumes dividends are reinvested after the close on the ex-date, while special or short-notice dividends are adjusted in the price index on the ex-dividend date and excluded from total return. |
| Market disruption rule | consult_with_NSE | In case of a market stress or disruption, NSE Indices Limited will review and deal with the situation on consultative basis with the National Stock Exchange of India Ltd. (NSE) as NSE is source for price data for computation of equity indices.Open p.340 ↗ |
During market stress or disruption, NSE Indices reviews and handles the situation consultatively with NSE, which supplies the price data. |
| Recalculation policy | Recalculate when errors occur subject to investor protection override and notification | In principle the Nifty family of indices are recalculated whenever errors occur. However, where the correction of a historical error would lead to difficulties for index product issuers or investors, the committee retains the right to override the correction.Open p.338 ↗ |
Indices are in principle recalculated whenever errors occur, but the committee may override correction if it would harm product issuers or investors, and users are notified. |
| M10 Governance, change policy, disclosure · 14 fields | |||
| Administrator | NSE Indices Limited | The indices are calculated and administered by NSE Indices Limited.Open p.334 ↗ |
NSE Indices Limited calculates and administers the indices. |
| Committee member names public | Yes | In order to maintain transparency, the names of the committee member are publicly displayed on the website.Open p.335 ↗ |
The names of index committee members are publicly displayed on the website for transparency. |
| Methodology change announcement | approved_by_Index_Maintenance_Sub-Committee; overseen_by_Oversight_Committee; announced_by_press_release | Any change to the index methodology is approved by the NSE Indices Index Maintenance Sub-Committee and overseen by the NSE Indices Oversight Committee, and the same is announced through a press release.Open p.340 ↗ |
Methodology changes are approved by the Index Maintenance Sub-Committee, overseen by the Oversight Committee, and announced through a press release. |
| Data vendor change controls | vendors must flag data feed changes in advance for assessment | NSE Indices requires its data vendors to flag any changes to their data feeds to NSE Indices in advance, allowing it the opportunity to assess the scale of and comment on the proposed change.Open p.337 ↗ |
Data vendors must flag changes to their data feeds in advance so NSE Indices can assess and comment on the proposed change. |
| Liability disclaimer | NSE Indices does not accept liability for losses arising from use of or reliance on the indices, ground rules, errors, or inaccuracies | NSE Indices Limited does not accept any liability for any losses, claims, expenses etc. that may be incurred by any person as a result of usage of Nifty family of indices as a result of reliance of the ground rules, any errors or inaccuracies.Open p.340 ↗ |
NSE Indices disclaims liability for losses, claims, or expenses caused by using the Nifty indices or relying on the ground rules, errors, or inaccuracies. |
| Oversight body | NSE Indices Oversight Committee, Index Maintenance Sub-Committee (Equity), Index Advisory Committee (Equity) | The indices are calculated and administered by NSE Indices Limited. A professional team at NSE Indices Limited manages the indices, according to a detailed control and accountability frameworkOpen p.334 ↗ |
NSE Indices calculates and administers the indices, with maintenance by the Index Maintenance Sub-Committee, advice from the Index Advisory Committee, and oversight from the NSE Indices Oversight Committee. |
| Discretion points | exceptional situations where applying the stated methodology is impracticable, overriding correction of historical errors that would cause difficulties for product issuers or investors | Index Maintenance Sub-Committee reserves the right to take a decision to deal with any exceptional situation that may arise where application of stated methodology may not be practicable.Open p.335 ↗ |
The Index Maintenance Sub-Committee may decide exceptional cases where the stated methodology is impracticable and may override historical error corrections that would create difficulties for issuers or investors. |
| Methodology review frequency | Annual | Review of methodology of Nifty indices is carried out on an annual basis.Open p.340 ↗ |
The methodology of Nifty indices is reviewed annually. |
| External review | IOSCO assessment by Dalal Doctor and Associates in April 2024 | The last assessment was carried out by Dalal Doctor and Associates in April 2024. Detailed report can be accessed on the website.Open p.340 ↗ |
NSE Indices states it is compliant with IOSCO Principles and that its last assessment was conducted by Dalal Doctor and Associates in April 2024. |
| Consultation procedure | ongoing stakeholder feedback and Voice of Customer for discontinuation reviews | NSE Indices Limited on an on-going basis interacts with the stakeholders inviting the feedback through various channels of communication.Open p.340 ↗ |
NSE Indices gathers stakeholder feedback on an ongoing basis and conducts Voice of Customer research when reviewing possible index discontinuation. |
| Error correction policy | correct_errors_in_principle; committee may withhold corrections harmful to investors or issuers; notify users | In principle the Nifty family of indices are recalculated whenever errors occur. However, where the correction of a historical error would lead to difficulties for index product issuers or investors, the committee retains the right to override the correction.Open p.338 ↗ |
Errors are generally corrected, but corrections may be overridden to protect investors or issuers, and users are notified of corrections and non-correction decisions. |
| Change announcement | www.niftyindices.com, www.nseindia.com, press releases, leading data vendors | All index-related announcements are posted on the websites of NSE Indices Limited and NSE. Changes impacting the constituent list are also posted on the Web site.Open p.337 ↗ |
Announcements, daily values, constituents, methodology, and press releases are published on the NSE Indices and NSE websites, and indices are carried by leading data vendors. |
| Constituents published | Bool: Yes; Frequency: Daily | Daily index values, index constituents, methodology, and press releases are available on www.niftyindices.com and www.nseindia.com.Open p.341 ↗ |
Index constituents are published on the index websites, with the dissemination section identifying daily availability alongside daily index values. |
| Cessation policy | annual relevance review; triggers include feedback, internal assessment, regulation, lack of eligible stocks, or low acceptance; CEO and IMSC approval; market notice | The trigger for considering a discontinuation of any of the Nifty indices could be:Open p.339 ↗ |
NSE Indices may discontinue an index after relevance review and market feedback, with CEO and Index Maintenance Sub-Committee approval and adequate market notice. |
Open points · 26Model-written, for reference
- 1No official index name, code, administrator, launch date, base date, base value, currency, or methodology version is stated.
- 2The supplied sections do not identify the eligible markets, exchanges, listing boards, or security universes beyond equity securities and DVR equity classes.
- 3No minimum trading-history requirement is stated.
- 4The impact-cost section explains the metric but does not provide a numerical threshold, review window, or existing-constituent buffer.
- 5No minimum market capitalisation amount or rank is stated, apart from the DVR company-level aggregation methodology.
- 6No minimum foreign room, voting-rights threshold for unrestricted shareholders, minimum price, financial screen, ESG exclusion, suspension rule, or extreme-price screen is stated.
- 7M5 sections do not state the constituent selection method, ranking metrics, target constituent count, tie-break rule, industry neutrality rule, or reserve list.
- 8M5 sections do not explicitly state the overall index weighting scheme, although IWF and FIF indicate free-float-related weighting factors.
- 9M5 sections do not state single-issuer, group, sector, or country caps or when caps are applied.
- 10M5 sections do not state the source or update schedule for total shares outstanding, except that shareholding patterns used for IWF and FIF are submitted quarterly.
- 11M5 sections do not state a divisor adjustment rule for weight resets.
- 12M5 sections do not specify a domestic inclusion factor.
- 13Scheduled constituent review frequency, review types, review months, data cutoff, announcement and effective-date rules are not stated in the corporate actions, ipos, ad-hoc changes section.
- 14Rank buffers, size-segment buffers, liquidity buffers for existing constituents and maximum turnover per review are not stated in the corporate actions, ipos, ad-hoc changes section.
- 15No fast-entry rule for large new listings is stated in the corporate actions, ipos, ad-hoc changes section.
- 16No reserve list or separate corporate-actions guide name is stated in the corporate actions, ipos, ad-hoc changes section.
- 17The replacement policy does not map cleanly to reserve list, none, or next review; the text says fixed-count indices replace using index-specific eligibility criteria and variable-count indices do not replace.
- 18The document does not specify an intraday real-time calculation interval.
- 19The document does not specify whether closing auction prices, last traded prices, or reference prices are used when no trade occurs.
- 20The document does not provide a numerical notice period for methodology changes or index discontinuation, only 'adequate notice'.
- 21The document does not define material methodology changes.
- 22The document does not state a formal external consultation procedure for ordinary methodology changes, apart from ongoing stakeholder feedback.
- 23The supplied index-specific sections do not print the NSE code NSE_E_625, short name NMC150MP, Bloomberg ticker BBG020TG6NZ5, or an index ISIN; those identifiers were provided in the request but are not evidenced in the section text.
- 24The index-specific section does not state a launch date separate from the base date.
- 25The index-specific section does not state a methodology version or edition date.
- 26The index-specific section does not state a benchmark regulatory classification.
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