Also known as: NMCMMQP Index (Bloomberg) · NSE_E_677 (Nifty Indices code)
At a glance
- Weighting schemeFactor tilted
- Review frequencySemi-annual
- Constituent count50
- Single cap5
- Buffer{'large_cap': 5, 'mid_cap': 8, 'small_cap': 13} / {'large_cap': 15, 'mid_cap': 23, 'small_cap': 38}
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 9 fields | |||
| Index name | Nifty500 Multicap Momentum Quality 50 | The Nifty500 Multicap Momentum Quality 50 Index aims to track the performance of the largecap, midcap and smallcap stocksOpen p.244 ↗ |
The official index name is Nifty500 Multicap Momentum Quality 50. |
| Index family | Nifty strategy indices | Strategy indices:Open p.290 ↗ |
The index is listed within Nifty strategy indices. |
| Parent index | Nifty 500 | selected based on the combination of momentum and quality factors from the Nifty 500 index.Open p.244 ↗ |
The index selects stocks from the Nifty 500 index. |
| Base date | 2005-04-01 | The index has a base date of April 01, 2005, with a base value of 1000Open p.244 ↗ |
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.244 ↗ |
The index base value is 1000. |
| Objective | Tracks large-cap, mid-cap and small-cap stocks selected by a combination of momentum and quality factors from the Nifty 500 index. | The Nifty500 Multicap Momentum Quality 50 Index aims to track the performance of the largecap, midcap and smallcap stocks which are selected based on the combination of momentum and quality factors from the Nifty 500 index.Open p.244 ↗ |
The index aims to track the performance of large-cap, mid-cap and small-cap stocks selected based on combined momentum and quality factors from the Nifty 500. |
| Size segment | All cap | track the performance of the largecap, midcap and smallcap stocks which are selected based on the combination of momentum and quality factorsOpen p.244 ↗ |
The index covers large-cap, mid-cap and small-cap stocks. |
| Index family type | Factor | 32 Nifty500 Multicap Momentum Fixed Apr 01, 2005 1000 Tilt 5% Real-time Quality 50Open p.290 ↗ |
The index is a factor index. |
| Factor exposures | Momentum, Quality, Multi factor | The momentum score for each company is determined based on its 6-month and 12-month price return, adjusted for volatility. The quality score for each company is determinedOpen p.244 ↗ |
The index provides exposure to momentum and quality through a combined multi-factor score. |
| M2 Universe · 3 fields | |||
| Markets | India | Stocks part of the Nifty 500 index at the time of review are eligible for inclusion in the indexOpen p.244 ↗ |
The index covers Indian stocks. |
| Security types | Common | Stocks forming part of the Nifty 500 are further classified into three segment universesOpen p.244 ↗ |
The index is constructed from equity stocks in the Nifty 500 and its segment indices. |
| Parent universe index | Nifty 500 | Universe: Stocks forming part / going to be a part of the Nifty 500 index at the time of reviewOpen p.244 ↗ |
Stocks forming part of, or going to be part of, the Nifty 500 at the review date form the 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. |
| Maximum promoter pledge (%) | 20% | Companies having percentage pledged promotor’s shares greater than 20% are ineligible for inclusion in the indexOpen p.245 ↗ |
Companies with more than 20% of promoter shares pledged are ineligible. |
| Turnover ratio definition | Six month average daily turnover divided by six month average free float market capitalization | Turnover ratio is calculated by dividing 6 months ADT by 6 months average FFMcapOpen p.245 ↗ |
Turnover ratio is six-month ADT divided by six-month average free-float market capitalization. |
| IPO quality data exception | Adjusted EPS must be available for at least three financial years of EPS growth variability. | In case of an IPO, company will be considered for selection, if adjusted EPS data is available to at least calculate EPS growth variability in previous 3 financial yearsOpen p.247 ↗ |
An IPO company may be considered if adjusted EPS data allows calculation of EPS growth variability for at least the previous three financial years. |
| Trading history | Minimum value: 1 year; Exceptions: IPO companies may be selected if adjusted EPS data supports at least three financial years of EPS growth variability | Constituents should have a minimum listing history of 1 yearOpen p.244 ↗ |
Constituents must have a minimum listing history of one year, subject to the stated IPO EPS-data exception. |
| Liquidity screen | Metric: Average daily value and turnover ratio; Window: 6 months; Threshold: Bottom 10 percentile within each segment universe is ineligible | Bottom 10 percentile stocks based on 6 month average daily turnover within each segment universe (Large cap, Mid cap and Smallcap segment separately) are ineligibleOpen p.245 ↗ |
Bottom-decile stocks by six-month average daily turnover and by turnover ratio within each segment universe are ineligible. |
| Financial screens | Return on equity, Debt to equity excluding financial services, EPS growth variability, Maximum promoter pledge | 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.Open p.244 ↗ |
Quality is assessed using ROE, debt-to-equity except for financial services, and EPS growth variability, while companies with promoter pledge above 20% are ineligible. |
| Extreme price screen | Metric: Upper or lower circuit instances; Window: 6 months; Threshold: At least 20% of total trading days; applies to non-member, non-F&O stocks | A non-member, non - F&O stocks which are not a part of index are ineligible for inclusion if the total instances of the stock hitting the upper or lower circuit (price band)Open p.245 ↗ |
Non-member, non-F&O stocks are ineligible if upper or lower circuit hits over six months are at least 20% of trading days. |
| M4 Selection and constituent count · 8 fields | |||
| Segment allocation | Large cap: 10; Mid cap: 15; Small cap: 25 | Top 10 stocks from the large cap segment o Top 15 stocks from the midcap segment o Top 25 stocks from the smallcap segmentOpen p.248 ↗ |
The index selects 10 large-cap, 15 mid-cap and 25 small-cap stocks. |
| Segment universe definition | Large cap: Nifty 100; Mid cap: Nifty Midcap 150; Small cap: Nifty Smallcap 250 | o Large cap segment – stocks forming part of the Nifty 100 index o Midcap Segment –stocks forming part of the Nifty Midcap 150 index o Smallcap segment – stocks forming part of the Nifty Smallcap 250 indexOpen p.244 ↗ |
Large-cap, mid-cap and small-cap segment universes are the Nifty 100, Nifty Midcap 150 and Nifty Smallcap 250, respectively. |
| Factor weights | Momentum: 0.5; Quality: 0.5 | Aggregate Percentile Score= 50% * percentile Momentum score + 50% * percentile Quality scoreOpen p.248 ↗ |
The aggregate percentile score gives 50% weight to momentum and 50% to quality. |
| Insufficient segment candidates rule | The index continues with the available number of stocks if a segment has fewer candidates than its target. | In case, the number of stocks within the eligible segment universe falls below 10 in the largecap segment, 15 in the midcap segment and 25 in the smallcap indexOpen p.249 ↗ |
If an eligible segment universe contains fewer than its target number, the index continues with the available stocks in that segment. |
| Selection method | Rank by metric | Aggregate Percentile Score= 50% * percentile Momentum score + 50% * percentile Quality scoreOpen p.248 ↗ |
Stocks are ranked and selected by aggregate momentum and quality percentile scores. |
| Ranking metrics | Name: 6-month volatility-adjusted price momentum; Window: 6 months; Direction: Higher; Step order: 1, Name: 12-month volatility-adjusted price momentum; Window: 12 months; Direction: Higher; Step order: 1, Name: quality composite; Window: 5 years; Direction: Higher; Step order: 2, Name: aggregate momentum-quality percentile score; Window: Combined; Direction: Higher; Step order: 3 | Aggregate Percentile Score= 50% * percentile Momentum score + 50% * percentile Quality score Stocks are selected from each segment universe based on the aggregate percentile scoreOpen p.248 ↗ |
Securities are ranked using 6- and 12-month volatility-adjusted momentum and a five-year quality composite, combined equally into an aggregate percentile score. |
| Target constituent count | 50 | 10 companies from large cap universe (stocks forming part of the Nifty 100), 15 companies from midcap universe (stocks forming part of the Nifty Midcap 150) and 25 companies from the smallcap universeOpen p.244 ↗ |
The index targets 50 stocks, allocated as 10 large-cap, 15 mid-cap and 25 small-cap. |
| Industry neutrality rule | No industry-neutral selection rule is specified; factors are calculated within segment universes. | The Momentum and Quality factors are calculated separately for the stocks forming part of the eligible segment universeOpen p.245 ↗ |
The methodology specifies segment-level selection but does not specify industry neutrality. |
| M5 Weighting and capping · 11 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 | 50% normalized momentum score plus 50% quality score | Composite Factor Score: 50% * Normalized Momentum score + 50% * Quality scoreOpen p.248 ↗ |
The composite factor score is 50% normalized momentum score and 50% quality score. |
| Weight drift rule | Weights may drift between rebalancing periods because of stock price movements. | The weight of stocks may drift between two rebalancing periods due to movement in the stock pricesOpen p.248 ↗ |
Stock weights may move away from capped levels between semi-annual rebalancing periods because of price changes. |
| 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.248 ↗ |
A stock's weight is derived from 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 | 5% | Each stock in the index is capped at 5%Open p.248 ↗ |
Each stock is capped at 5%. |
| Cap application timing | At review | Capping will be done semi-annually at the time of reconstitutionOpen p.248 ↗ |
Capping is performed semi-annually at reconstitution. |
| Divisor adjustment rule | Factor-weighted index weights are reset with divisor-based treatment at semi-annual reconstitution. | 32 Nifty500 Multicap Momentum Fixed Apr 01, 2005 1000 Tilt 5% Real-time Quality 50Open p.290 ↗ |
The index uses a divisor and resets factor-derived weights during semi-annual capping and reconstitution. |
| M6 Review and rebalance schedule · 11 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. |
| Nifty 500 removal rule | Securities removed from Nifty 500 are removed at the subsequent review of this index. | Stocks that moved out of the Nifty 500 index shall also move out of the index at the time of the subsequent review of the Nifty500 Multicap Momentum Quality 50 indexOpen p.248 ↗ |
Stocks that leave the Nifty 500 also leave this index at its subsequent review. |
| Quarterly sebi concentration screen | Yes | 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.249 ↗ |
The index is screened quarterly for compliance with SEBI portfolio concentration norms for ETFs and index funds. |
| Review frequency | Semi-annual | The index is reconstituted semi-annually (June, December)Open p.244 ↗ |
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.249 ↗ |
The index has scheduled semi-annual reviews and additional ad hoc reconstitution when required. |
| Review months | June, December | Index rebalancing and reconstitution will be done on a semi-annual basis in June and DecemberOpen p.248 ↗ |
Scheduled reconstitution occurs in June and December. |
| Data cutoff rule | Uses data ending on the last trading day of May for June review and November for December review. | using data ending last trading day of May and November respectivelyOpen p.248 ↗ |
June and December reviews use data ending on the last trading day of May and November, respectively. |
| 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 becomes effective on the last trading day of the respective review month. |
| Weight reset frequency | Semi-annual | Capping will be done semi-annually at the time of reconstitutionOpen p.248 ↗ |
Factor weights and the 5% stock cap are reset semi-annually at reconstitution. |
| M7 Buffers and turnover control · 4 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. |
| Compulsory inclusion ranks | Large cap: 5; Mid cap: 8; Small cap: 13 | top 5 ranked stocks from large cap, top 8 ranked stocks from the midcap and top 13 ranked stocks from the smallcap segment based on the composite percentile scoreOpen p.249 ↗ |
The top 5 large-cap, top 8 mid-cap and top 13 small-cap ranked non-members must be included. |
| Compulsory exclusion ranks | Large cap: 15; Mid cap: 23; Small cap: 38 | Beyond 15 in the large cap segment universe o Beyond 23 in the midcap segment universe o Beyond 38 in the smallcap segment universe such stocks shall be compulsorily excludedOpen p.249 ↗ |
Existing large-cap, mid-cap and small-cap stocks ranked beyond 15, 23 and 38, respectively, must be excluded. |
| Buffer zone | Entry rank: Large cap: 5; Mid cap: 8; Small cap: 13; Exit rank: Large cap: 15; Mid cap: 23; Small cap: 38 | Top 15 in the large cap segment universe o Top 23 in the midcap segment universe o Top 38 in the smallcap segment universe then such stocks would continue to form part of the indexOpen p.249 ↗ |
Existing constituents are retained within segment rank buffers, while high-ranked non-members are compulsory entrances and constituents beyond exit ranks are compulsory exclusions. |
| 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 | in case any of the index constituents is removed from Nifty 500 index due to any corporate action (scheme of arrangement, delisting etc.) or suspension by the exchange etc.Open p.249 ↗ |
Ad hoc reconstitution may be triggered when a constituent is removed from the Nifty 500 because of a corporate action, delisting, scheme of arrangement, or exchange suspension. |
| Replacement policy | Next review | they will be replaced by next best stocks based on the composite percentile score within the eligible segment universeOpen p.249 ↗ |
Ad hoc changes are initiated through additional reconstitution and replacements are selected by composite percentile rank within the eligible segment universe. |
| 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.249 ↗ |
The index section refers readers to the Corporate Actions and Share Updates document. |
| 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 | 32 Nifty500 Multicap Momentum Fixed Apr 01, 2005 1000 Tilt 5% Real-time Quality 50Open p.290 ↗ |
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 · 28Model-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 index-specific sections do not state an ISIN.
- 24The index-specific sections do not provide a Refinitiv, Wind, or local exchange ticker; NSE_E_677 and NMCMMQP are supplied by the request metadata rather than printed in the quoted section.
- 25The index-specific sections do not state the index launch date.
- 26The index-specific sections do not state calculation currency explicitly, although family rules indicate Indian rupees.
- 27The index-specific sections do not specify a reserve list for ad hoc replacements.
- 28The methodology does not define a tie-breaking rule for identical aggregate percentile scores.
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