Also known as: NSCMOMQP Index (Bloomberg) · NSE_E_650 (Nifty Indices code)
At a glance
- Weighting schemeFactor tilted
- Review frequencySemi-annual
- Constituent count100
- Single cap3
- Buffer50 / 150
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 10 fields | |||
| Index name | Nifty Smallcap250 Momentum Quality 100 | The Nifty Smallcap250 Momentum Quality 100 Index aims to track the performance of the small cap stocks which are selected based on the combination of momentum and quality factors.Open p.256 ↗ |
The official index name is Nifty Smallcap250 Momentum Quality 100. |
| Index short name | Nifty Smallcap250 Momentum Quality 100 | 34 Nifty Smallcap250 Momentum Quality 100Open p.291 ↗ |
The methodology refers to the index by the short name Nifty Smallcap250 Momentum Quality 100. |
| Index family | Nifty Strategy Indices | Strategy indices:Open p.289 ↗ |
The index is listed within the strategy indices table. |
| Parent index | Nifty Smallcap 250 | Stocks part of the Nifty Smallcap 250 index at the time of review are eligible for inclusion in the indexOpen p.256 ↗ |
The index draws its universe from the Nifty Smallcap 250 index. |
| Base date | 2005-04-01 | The index has a base date of April 01, 2005, with a base value of 1000Open p.256 ↗ |
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.256 ↗ |
The index base value is 1000. |
| Objective | Tracks the performance of small-cap stocks selected based on a combination of momentum and quality factors. | The Nifty Smallcap250 Momentum Quality 100 Index aims to track the performance of the small cap stocks which are selected based on the combination of momentum and quality factors.Open p.256 ↗ |
The index aims to track small-cap stocks selected through combined momentum and quality factors. |
| Size segment | Small | The Nifty Smallcap250 Momentum Quality 100 Index aims to track the performance of the small cap stocks which are selected based on the combination of momentum and quality factors.Open p.256 ↗ |
The index targets small-cap stocks. |
| Index family type | Factor | 34 Nifty Smallcap250 Momentum Fixed Apr 01, 2005 1000 Tilt 3% Real-time Quality 100Open p.291 ↗ |
The index is a factor strategy index. |
| Factor exposures | Momentum, Quality, Multi factor | 100 companies based on the combination of momentum and quality factors are selected to be part of the indexOpen p.256 ↗ |
The index provides exposure to momentum and quality through a combined multi-factor selection process. |
| M2 Universe · 4 fields | |||
| Markets | India | Universe: Stocks forming part / going to be a part of the Nifty Smallcap 250 index at the time of reviewOpen p.256 ↗ |
The index covers Indian small-cap stocks represented in the Nifty Smallcap 250 universe. |
| Exchanges | National Stock Exchange of India | Universe: Stocks forming part / going to be a part of the Nifty Smallcap 250 index at the time of reviewOpen p.256 ↗ |
The index is based on stocks from the NSE Smallcap 250 universe, with prices used from NSE under the family methodology. |
| Security types | Common | Stocks part of the Nifty Smallcap 250 index at the time of review are eligible for inclusion in the indexOpen p.256 ↗ |
The index uses equity stocks forming part of the Nifty Smallcap 250 index. |
| Parent universe index | Nifty Smallcap 250 | Universe: Stocks forming part / going to be a part of the Nifty Smallcap 250 index at the time of reviewOpen p.256 ↗ |
Stocks forming or going to form part of Nifty Smallcap 250 at the review constitute the index universe. |
| M3 Eligibility screens · 16 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 filter screen | Threshold (%): 20; Window: 6 months; Basis: instances hitting upper or lower circuit as a percentage of total trading days; same-day upper and lower hits count as two instances | Non - F&O stocks within Nifty Smallcap 250 index 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 days over the same periodOpen p.256 ↗ |
Non-F&O stocks are ineligible if upper or lower circuit hits in the past six months are at least 20% of trading days in that period. |
| Financial data basis | Consolidated financial data is used where available; otherwise standalone data is used; latest fiscal-year data is used for ROE and D/E. | Latest fiscal year data is considered for the calculation of return on equity (ROE) and debtto-equity (D/E) ratio. EPS growth variability in previous 5 financial years is calculated using adjusted EPS of previous 6 years. Consolidated financial data is used wherever available else standalone financial data is taken into consideration.Open p.258 ↗ |
Quality calculations use consolidated financial data when available, otherwise standalone data, with latest fiscal-year ROE and D/E data. |
| Trading history | Minimum value: 1 year; Exceptions: IPO companies may be selected if adjusted EPS data is available to calculate EPS growth variability for at least the previous three financial years | Constituents should have a minimum listing history of 1 yearOpen p.256 ↗ |
Constituents must have a minimum listing history of one year, subject to the IPO data exception for quality-factor calculations. |
| Liquidity screen | Metric: Average daily value; Window: 6 months; Threshold: Bottom 10th percentile excluded; bottom 10th percentile by turnover ratio also excluded; Buffer for existing: Existing constituents ranked within the top 150 by composite percentile score may remain | Bottom 10 percentile stocks based on 6 month average daily turnover are ineligible for inclusion in the indexOpen p.257 ↗ |
Stocks in the bottom 10 percentile by six-month average daily turnover or by turnover ratio are ineligible, while existing constituents have a rank retention rule. |
| Financial screens | Return on equity, Debt to equity excluding financial services, EPS growth variability over 5 years | For each eligible stock, Z Quality score is calculated on the basis of return on equity (ROE), debt-to-equity (D/E) ratio and EPS growth variability in the previous 5 years.Open p.258 ↗ |
Quality is assessed using ROE, debt-to-equity except for financial services companies, and EPS growth variability over the prior five years. |
| Business or ESG exclusions | companies with promoter pledged share percentage above 20% | Companies having percentage pledged promotor’s shares greater than 20% are ineligible for inclusion in the index.Open p.257 ↗ |
Companies with more than 20% of promoters’ shares pledged are ineligible. |
| Suspension rule | Suspended constituents may trigger additional ad hoc reconstitution and rebalancing. | Apart from the scheduled semi-annual review, additional ad-hoc reconstitution and rebalancing of the index shall be initiated in case any of the index constituents is removed from Nifty Smallcap 250 index due to any corporate action (scheme of arrangement, delisting etc.) or suspension by the exchange etc.Open p.261 ↗ |
If an index constituent is suspended by the exchange, additional ad hoc reconstitution and rebalancing may be initiated. |
| M4 Selection and constituent count · 6 fields | |||
| Mandatory inclusion rule | Rank: 50; Count: top 50 non-index ranked eligible stocks; Action: compulsorily included by replacing lowest-ranked existing constituents | From the eligible universe, top 50 ranked stocks based on the composite percentile score that are not part of the index shall be compulsorily included in the index replacing the stocks with lowest composite percentile score from the existing portfolioOpen p.261 ↗ |
The top 50 ranked eligible non-constituents are compulsorily included, replacing the lowest-scoring existing stocks. |
| Insufficient eligible stocks rule | Continue with available number of eligible stocks. | In case, the number of stocks within the eligible universe falls below 100, the index shall continue with the available number of stocks within the eligible universeOpen p.261 ↗ |
If fewer than 100 stocks are eligible, the index continues with the available number. |
| Selection method | Rank by metric | Aggregate Percentile Score= 50% * percentile Momentum score + 50% * percentile Quality score Top 100 stocks based on aggregate percentile score are selected to be the part of the index.Open p.260 ↗ |
Eligible stocks are ranked by aggregate momentum and quality percentile scores. |
| Ranking metrics | Name: 6 month volatility adjusted momentum z score; Window: 6 months; Direction: higher is better; Step order: 1, Name: 12 month volatility adjusted momentum z score; Window: 12 months; Direction: higher is better; Step order: 1, Name: Quality z score; Window: 5 financial years; Direction: higher is better; Step order: 2, Name: Aggregate percentile score; Window: combined momentum and quality; Direction: higher is better; Step order: 3 | The momentum score for each company is determined based on its 6-month and 12month price return, adjusted for volatility.Open p.256 ↗ |
Momentum uses six- and twelve-month volatility-adjusted price returns, quality uses ROE, D/E and EPS variability, and selection ranks the 50/50 aggregate percentile score. |
| Target constituent count | 100 | 100 companies based on the combination of momentum and quality factors are selected to be part of the indexOpen p.256 ↗ |
The index normally comprises 100 companies, but continues with fewer if fewer than 100 eligible stocks are available. |
| Industry neutrality rule | No industry-neutral selection rule is specified, but quality scoring excludes debt-to-equity for financial services companies. | Debt-toequity ratio is not considered for companies belonging to financial services sector.Open p.258 ↗ |
The methodology does not impose industry-neutral selection; it only changes the quality-score formula for financial services companies. |
| M5 Weighting and capping · 13 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. |
| Composite factor score weights | Normalized momentum score: 0.5; Quality score: 0.5 | Composite Factor Score: 50% * Normalized Momentum score + 50% * Quality scoreOpen p.260 ↗ |
The composite factor score gives 50% weight to normalized momentum and 50% to quality. |
| Momentum z score weights | 12 month momentum z score: 0.5; 6 month momentum z score: 0.5 | Weighted Average Z Score = 50% * (12 month Momentum Z Score) + 50% * (6 month Momentum Z Score)Open p.258 ↗ |
The weighted momentum Z-score gives equal weight to the 12-month and 6-month momentum Z-scores. |
| Non financial quality score weights | Roe: 0.3333333333; Debt to equity: 0.3333333333; EPS growth variability: 0.3333333333 | For Non-Financial Service sector company: Weighted average Z Quality score= (1/3) * Z score of ROE + (1/3) * - (Z score of D/E) + (1/3) * - (Z score of EPS growth variability)Open p.259 ↗ |
For non-financial companies, quality equally weights ROE, inverse D/E and inverse EPS growth variability. |
| Financial services quality score weights | Roe: 0.5; EPS growth variability: 0.5 | For Financial services sector: Weighted average Z Quality score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growth variability)Open p.259 ↗ |
For financial services companies, quality gives 50% to ROE and 50% to inverse EPS growth variability, excluding D/E. |
| Weighting scheme | Factor tilted | Weight of the stock in the index is derived by multiplying the free float market cap with the composite factor score of that stockOpen p.260 ↗ |
Each stock’s weight is its free-float market capitalization multiplied by its composite momentum-quality factor 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 | 3% | Each stock in the index is capped at 3%Open p.260 ↗ |
Each stock is capped at 3%. |
| Cap application timing | At review | Capping will be done semi-annually at the time of reconstitutionOpen p.260 ↗ |
The 3% stock cap is applied semi-annually at reconstitution. |
| Divisor adjustment rule | Weights may drift between semi-annual rebalancings because of price movements and are reset using the index divisor at reconstitution. | The weight of stocks may drift between two rebalancing periods due to movement in the stock pricesOpen p.260 ↗ |
After semi-annual capping, stock weights may drift until the next rebalancing because prices move. |
| M6 Review and rebalance schedule · 12 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. |
| Announcement notice period | 5 business days | For reconstitution of other indices (whether scheduled or additional), prior notice of minimum 5 working days is given to the relevant market participants in a suitable manner.Open p.293 ↗ |
For non-broad-market indices, scheduled or additional reconstitutions generally require at least five working days’ notice. |
| Quarterly sebi compliance actions | Corrective action may include replacement of ineligible stocks or realignment of constituent weights. | In case of non-compliance of any of the stated norms, suitable corrective measures such as replacement of ineligible stock, re-alignment of constituent weights will be undertaken depending upon the nature of non-compliance to ensure the compliance with the normsOpen p.261 ↗ |
Quarterly SEBI concentration screens may lead to stock replacement or weight realignment. |
| Review frequency | Semi-annual | The index is reconstituted semi-annually (June, December)Open p.256 ↗ |
The index is reconstituted semi-annually. |
| Review types | Scheduled review, Ad hoc, Quarterly compliance screen | Index rebalancing and reconstitution will be done on a semi-annual basis in June and December using data ending last trading day of May and November respectivelyOpen p.260 ↗ |
The index has scheduled semi-annual reviews, ad hoc reconstitution for removals or suspensions, and quarterly SEBI concentration-compliance screens. |
| Review months | June, December | The index is reconstituted semi-annually (June, December)Open p.256 ↗ |
Scheduled reviews occur in June and December. |
| Data cutoff rule | Data end on the last trading day of May for the June review and the last trading day of November for the December review. | Index rebalancing and reconstitution will be done on a semi-annual basis in June and December using data ending last trading day of May and November respectivelyOpen p.260 ↗ |
Semi-annual reviews use data ending on the last trading day of May and November. |
| Effective date rule | Last trading day of June and December. | * The effective date for index reconstitution of index is the last trading day of respective month.Open p.293 ↗ |
Reconstitution becomes effective on the last trading day of the respective review month. |
| Rebalance frequency | Semi-annual | Index rebalancing and reconstitution will be done on a semi-annual basis in June and December using data ending last trading day of May and November respectivelyOpen p.260 ↗ |
The index is rebalanced on a semi-annual basis in June and December. |
| Weight reset frequency | Semi-annual | Capping will be done semi-annually at the time of reconstitutionOpen p.260 ↗ |
Factor weights and capping are reset semi-annually at reconstitution. |
| 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. |
| Parent index exit rule | Securities that leave Nifty Smallcap 250 also leave this index at the subsequent index review. | Stocks that moved out of the Nifty Smallcap 250 index shall also move out of the index at the time of the subsequent review of the Nifty Smallcap250 Momentum Quality 100 indexOpen p.260 ↗ |
Stocks removed from the parent Nifty Smallcap 250 index are removed at the next review of this index. |
| Buffer zone | Entry rank: 50; Exit rank: 150 | If the rank of the eligible stocks within the existing index based on composite percentile score is within top 150 then such stocks would continue to form part of the indexOpen p.261 ↗ (not found verbatim in the PDF) |
Existing constituents remain if ranked within the top 150, while top-ranked non-constituents up to rank 50 must be added. |
| M8 Corporate actions, IPOs, ad-hoc changes · 11 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, Other, Prolonged suspension | additional ad-hoc reconstitution and rebalancing of the index shall be initiated in case any of the index constituents is removed from Nifty Smallcap 250 index due to any corporate action (scheme of arrangement, delisting etc.) or suspension by the exchange etc.Open p.261 ↗ |
Ad hoc reconstitution is triggered when a constituent is removed from Nifty Smallcap 250 due to corporate actions such as schemes of arrangement or delisting, or is suspended by the exchange. |
| Replacement policy | Next review | If the rank of the stocks within the existing index based on composite percentile score goes beyond 150 such stocks shall be compulsorily excluded, and they will be replaced by next best stocks based on the composite percentile score within the eligible universeOpen p.261 ↗ (not found verbatim in the PDF) |
Securities removed from the parent index are replaced through the index’s ad hoc or subsequent review mechanism using the next-best eligible stocks. |
| 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. |
| Corporate actions guide ref | Corporate Actions and Share Updates | Corporate Actions and Share Updates: Click hereOpen p.261 ↗ |
The index section refers readers to the Corporate Actions and Share Updates document. |
| M9 Calculation and return variants · 13 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. |
| Index characteristics calculation frequency | real-time | 34 Nifty Smallcap250 Momentum Fixed Apr 01, 2005 1000 Tilt 3% Real-time Quality 100Open p.291 ↗ |
Nifty Smallcap250 Momentum Quality 100 is calculated in real time according to the index characteristics table. |
| 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 | 34 Nifty Smallcap250 Momentum Fixed Apr 01, 2005 1000 Tilt 3% Real-time Quality 100Open p.291 ↗ |
The strategy index table identifies real-time calculation frequency for this index. |
| 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 · 30Model-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.
- 23Index launch date is not stated in the provided index-specific sections.
- 24ISIN for the index is not stated.
- 25Refinitiv or Wind vendor tickers are not stated; supplied Bloomberg and local codes are not printed in the quoted text.
- 26Methodology version and methodology edition date are not stated.
- 27Benchmark regulatory status is not stated.
- 28No explicit tie-break rule is provided for identical aggregate percentile scores.
- 29No explicit minimum free-float percentage specific to this index is stated beyond use of free-float market capitalization in weighting.
- 30No explicit minimum foreign-room screen specific to this index is stated.
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