NSE Indices Limited(Formerly known as India Index Services & Products Limited-IISL)

Methodology Document for Equity Indices

October 2024

Table of Contents
1.

Nifty 500 ................................................................................................................................................................... 6

2.

Nifty 100 ................................................................................................................................................................... 6

3.

Nifty Midcap 150 ................................................................................................................................................... 6

4.

Nifty Smallcap 250................................................................................................................................................. 6

5.

Nifty 50 ..................................................................................................................................................................... 6

6.

Nifty Next 50 ........................................................................................................................................................... 6

7.

Nifty Midcap 50 ...................................................................................................................................................... 7

8.

Nifty Midcap 100 ................................................................................................................................................... 7

9.

Nifty Midcap Select ............................................................................................................................................... 7

10.

Nifty Smallcap 50 ................................................................................................................................................... 7

11.

Nifty Smallcap 100................................................................................................................................................. 7

12.

Nifty 200 ................................................................................................................................................................... 7

13.

Nifty LargeMidcap 250 ......................................................................................................................................... 7

14.

Nifty MidSmallcap 400 ......................................................................................................................................... 7

15.

Nifty500 Multicap 50:25:25 ................................................................................................................................ 8

16.

Nifty500 LargeMidSmall Equal-Cap Weighted .............................................................................................. 817.

Nifty Microcap 250 ............................................................................................................................................. 26

18.

Nifty Total Market .............................................................................................................................................. 28

Nifty Sectoral Indices......................................................................................................................................................... 30
1.

Nifty Auto ............................................................................................................................................................. 30

2.

Nifty Bank ............................................................................................................................................................. 30

3.

Nifty Consumer Durables ................................................................................................................................. 30

4.

Nifty FMCG ........................................................................................................................................................... 30

5.

Nifty IT ................................................................................................................................................................... 30

6.

Nifty Media .......................................................................................................................................................... 30

7.

Nifty Metal ........................................................................................................................................................... 31

8.

Nifty Oil & Gas ..................................................................................................................................................... 31

9.

Nifty Pharma ........................................................................................................................................................ 31

10.

Nifty PSU Bank..................................................................................................................................................... 31

11.

Nifty Private Bank............................................................................................................................................... 31

12.

Nifty Realty........................................................................................................................................................... 31

13.

Nifty Financial Services ..................................................................................................................................... 33

14.

Nifty Financial Services 25/50 ......................................................................................................................... 35

15.

Nifty Financial Services Ex-Bank ..................................................................................................................... 35

16.

Nifty Healthcare .................................................................................................................................................. 37

17.

Nifty MidSmall Sector indices ......................................................................................................................... 39

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Nifty MidSmall Financial Services ................................................................................................................. 39
Nifty MidSmall Healthcare .............................................................................................................................. 39
Nifty MidSmall IT & Telecom.......................................................................................................................... 40
Nifty Thematic Indices ...................................................................................................................................................... 43
1.

Nifty Capital Markets ........................................................................................................................................ 43

2.

Nifty Commodities ............................................................................................................................................. 43

3.

Nifty Core Housing ............................................................................................................................................. 43

4.

Nifty Energy.......................................................................................................................................................... 43

5.

Nifty Housing ....................................................................................................................................................... 44

6.

Nifty India Consumption................................................................................................................................... 44

7.

Nifty India Tourism............................................................................................................................................. 44

8.

Nifty Infrastructure ............................................................................................................................................ 44

9.

Nifty MNC ............................................................................................................................................................. 45

10.

Nifty PSE ................................................................................................................................................................ 45

11.

Nifty Rural............................................................................................................................................................. 45

12.

Nifty Services Sector .......................................................................................................................................... 46

13.

Nifty Non-Cyclical Consumer ........................................................................................................................... 46

14.

Nifty Mobility....................................................................................................................................................... 46

15.

Nifty India Digital ................................................................................................................................................ 47

16.

Nifty Transportation & Logistics ..................................................................................................................... 48

16.

Nifty EV & New Age Automotive ................................................................................................................... 51

17.

Nifty India Manufacturing ................................................................................................................................ 56

18.

Nifty India Defence ............................................................................................................................................ 60

19.

Nifty India New Age Consumption ................................................................................................................ 63

20.

Nifty IPO ................................................................................................................................................................ 66

21.

Nifty MidSmall India Consumption ............................................................................................................... 68

22.

Nifty500 Multicap India Manufacturing 50:30:20 ..................................................................................... 71

23.

Nifty500 Multicap Infrastructure 50:30:20.................................................................................................. 73

24.

Nifty Shariah Indices .......................................................................................................................................... 76
Nifty50 Shariah:.................................................................................................................................................. 76
Nifty500 Shariah: ............................................................................................................................................... 76
Nifty Shariah 25:................................................................................................................................................. 77

25.

Nifty CPSE ............................................................................................................................................................. 82

26.

Nifty100 Liquid 15 .............................................................................................................................................. 84

27.

Nifty Midcap Liquid 15 ...................................................................................................................................... 86

28.

Nifty ESG Indices ................................................................................................................................................. 88
Nifty100 ESG Index ............................................................................................................................................ 88
Nifty100 Enhanced ESG Index ........................................................................................................................ 88

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Nifty100 ESG Sector Leaders Index............................................................................................................... 92
29.

Nifty Corporate Group Indices ........................................................................................................................ 95
Nifty India Corporate Group Index - Aditya Birla Group ........................................................................ 95
Nifty India Corporate Group Index - Mahindra Group ............................................................................ 95
Nifty India Corporate Group Index - Tata Group ...................................................................................... 95
Nifty India Corporate Group Index - Tata Group 25% Cap ..................................................................... 9730.

Nifty SME Emerge ............................................................................................................................................... 99

31.

Nifty REITs & InvITs ..........................................................................................................................................101

Nifty Strategy Indices ......................................................................................................................................................104
1.

Nifty Dividend Opportunities 50 ..................................................................................................................104

2.

Nifty Dynamic Asset Allocation indices ......................................................................................................107
Nifty 50 & Short Duration Debt – Dynamic P/E ..................................................................................... 107
Nifty 50 & Short Duration Debt – Dynamic P/B ..................................................................................... 107

3.

Nifty Growth Sectors 15 .................................................................................................................................110

4.

Nifty Top 10 Equal Weight .............................................................................................................................113

5.

Nifty Top 15 Equal Weight .............................................................................................................................115

6.

Nifty Top 20 Equal Weight .............................................................................................................................117

7.

Nifty50 Equal Weight.......................................................................................................................................118

8.

Nifty100 Equal Weight ....................................................................................................................................121

9.

Nifty500 Equal Weight ....................................................................................................................................122

10.

Nifty Alpha 50 ....................................................................................................................................................124

11.

Nifty High Beta 50.............................................................................................................................................126

12.

Nifty Low Volatility 50 .....................................................................................................................................128

13.

Nifty100 Alpha 30 .............................................................................................................................................130

14.

Nifty200 Alpha 30 .............................................................................................................................................133

15.

Nifty100 Low Volatility 30 ..............................................................................................................................135

16.

Nifty200 Momentum 30 .................................................................................................................................138

17.

Nifty Midcap150 Momentum 50 ..................................................................................................................142

18.

Nifty500 Momentum 50 .................................................................................................................................146

19.

Nifty100 Quality 30 ..........................................................................................................................................150

20.

Nifty200 Quality 30 ..........................................................................................................................................154

21.

Nifty Midcap150 Quality 50 ...........................................................................................................................157

22.

Nifty Smallcap250 Quality 50 ........................................................................................................................160

23.

Nifty Multi-Factor Indices: .............................................................................................................................165
Nifty Alpha Low-Volatility 30 ...................................................................................................................... 165
Nifty Quality Low-Volatility 30 ................................................................................................................... 165
Nifty Alpha Quality Low-Volatility 30 ....................................................................................................... 165
Nifty Alpha Quality Value Low-Volatility 30 ........................................................................................... 165

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24.

Nifty500 Multicap Momentum Quality 50 ................................................................................................17125.

Nifty MidSmallcap400 Momentum Quality 100 ......................................................................................178

26.

Nifty Smallcap250 Momentum Quality 100..............................................................................................184

27.

Nifty50 Value 20 ...............................................................................................................................................190

28.

Nifty200 Value 30 .............................................................................................................................................193

29.

Nifty500 Value 50 .............................................................................................................................................196

30.

Nifty Equity Savings .........................................................................................................................................199

Nifty 50 variants: ..............................................................................................................................................................200
1.

Nifty50 USD ........................................................................................................................................................200

2.

Nifty50 JPY..........................................................................................................................................................200

3.

Nifty50 Dividend Points ..................................................................................................................................201

4.

Nifty50 PR 1x Inverse ......................................................................................................................................202

5.

Nifty50 PR 2x Leverage ...................................................................................................................................203

6.

Nifty50 TR 1x Inverse.......................................................................................................................................204

7.

Nifty50 TR 2x Leverage ...................................................................................................................................205

8.

Nifty 50 Arbitrage .............................................................................................................................................206

9.

Nifty 50 Futures.................................................................................................................................................208

10.

Nifty50 Equal Weight.......................................................................................................................................210

Index Characteristics .......................................................................................................................................................211
Eligible basic industries for selection in sectoral and thematic indices ............................................................219
Differential Voting Rights...............................................................................................................................................239
Investible Weight Factors (IWFs) .................................................................................................................................240
Impact Cost ........................................................................................................................................................................242
Corporate Actions and Share Updates .......................................................................................................................245
Corporate action involving merger/ amalgamation ...............................................................................................247
Corporate action involving demerger/ spin-off .......................................................................................................247
Index Calculation Formula .............................................................................................................................................252
Index Policy ........................................................................................................................................................................256
Cessation of Indices Policy .............................................................................................................................................259
Market Feedback & Index Methodology Review ....................................................................................................260
IOSCO Compliance ...........................................................................................................................................................260
Index Dissemination ........................................................................................................................................................261
About NSE Indices Limited .............................................................................................................................................264

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Nifty Broad market indices
NSE Indices Limited (formerly known as India Index Services & Products Limited-IISL), a NSE groupcompany, was set-up in May 1998 to provide a variety of indices and index related services forthe capital markets.

In order to develop, construct and maintain indices on Indian equities that serve as useful market
performance benchmarks that may be useful underlying indices for investment products, NSE
Indices Limited, an NSE group company has developed a series of broad equity indicesintroducing a structure that efficiently represents large, mid and small market capitalisation
segments of the Indian capital market.

Under this structure, there are 17 broad market indices as shown below:

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1.

Nifty 500
Nifty 500 represents the top 500 companies based on full market capitalisation from theeligible universe.

2.

Nifty 100
Nifty 100 represents top 100 companies based on full market capitalisation from Nifty
500. This index intends to measure the performance of large market capitalisationcompanies.

3.

Nifty Midcap 150
Nifty Midcap 150 represents the next 150 companies (companies ranked 101-250) basedon full market capitalisation from Nifty 500. This index intends to measure theperformance of mid market capitalisation companies.

4.

Nifty Smallcap 250
Nifty Smallcap 250 represents the balance 250 companies (companies ranked 251-500)
from Nifty 500. This index intends to measure the performance of small market
capitalisation companies.

5.

Nifty 50
The index represents 50 companies selected from the universe of Nifty 100 based on freefloat market capitalisation and liquid companies having average impact cost of 0.50% orless for 90% of the observations for a basket size of Rs. 10 Crores. The constituents shouldhave derivative contracts available on NSE.

6.

Nifty Next 50
It represents the balance 50 companies from Nifty 100 after excluding the Nifty 50
companies. Cumulative weight of non F&O stocks in the index is capped at 10% on aquarterly rebalance dates. Further, non F&O stocks in the index are individually capped
at 4.5% on quarterly rebalance dates.

The capping factor of stocks is realigned upon replacement of scrips in the index and on
a quarterly basis on the last trading day of March, June, September and December bytaking into account closing prices as on T-3 basis, where T day is last trading day of March,June, September and December.

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7.

Nifty Midcap 50
It includes top 50 companies selected based on 6 month average free float market
capitalization from the top 100 companies selected based on both average daily fullmarket capitalization and average daily turnover based on previous six months data fromthe Nifty Midcap 150 index. A preference is given to companies that are available fortrading in NSE’s Futures & Options segment at the time of final selection.

8.

Nifty Midcap 100
It includes all companies from Nifty Midcap 50. Remaining companies are selected basedon average daily turnover from Nifty Midcap 150 index.

9.

Nifty Midcap Select
It includes a focused portfolio of 25 stocks within the Nifty Midcap 150 index. The stocks
are selected based on market cap, average daily turnover and availability for trading on
NSE’s Futures & Options segment (F&O) are eligible to be the part of the index

10. Nifty Smallcap 50
It includes top 50 companies selected based on 6 month average free-float market
capitalization from the top 150 companies selected based on both average daily fullmarket capitalization and average daily turnover based on previous six months period
data from the Nifty Smallcap 250 Index.

11. Nifty Smallcap 100
It includes all companies from Nifty Smallcap 50. Remaining companies are selectedbased on average daily turnover from top 150 companies selected based on full market
capitalisation from Nifty Smallcap 250 index.

12. Nifty 200
Nifty 200 includes all companies forming part of Nifty 100 and Nifty Midcap 100 index.

13.

Nifty LargeMidcap 250
It includes all companies from Nifty 100 and Nifty Midcap 150. It intends to measureperformance of the large and mid-market capitalisation companies. The aggregate
weight of large cap stocks and mid cap stocks is 50% each and is reset on a quarterly basis.

14. Nifty MidSmallcap 400
It includes all companies from Nifty Midcap 150 and Nifty Smallcap 250. It intends tomeasure performance of the mid and small market capitalisation companies.

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715. Nifty500 Multicap 50:25:25
It tracks a portfolio of large, mid and small capitalization companies with weights of 50%,
25% and 25% respectively assigned to each size segment on quarterly rebalance dates.

16. Nifty500 LargeMidSmall Equal-Cap Weighted
It tracks a portfolio of large, mid and small capitalization companies with equal weightassigned to each size segment on quarterly rebalance dates.

Broad market indices - Review and eligibility criteria
The review of broad market indices is undertaken semi-annually based on data for six months
ending January and July.
To be considered for inclusion in Nifty 500 index, companies must form part of eligible universe.

The eligible universe/ minimum eligibility criteria include the following:•

The company must be domiciled in India and traded (listed & traded and not listed but
permitted to trade) at the National Stock Exchange (NSE) are eligible for inclusion in the Nifty
indices.

•Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed
fixed return, stocks under suspension and stocks categorized under BZ series are not eligible
for inclusion in the Nifty indices.

•

Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index
subject to fulfilment of specified DVR related criteria•

The investible weight factor (IWF) of stock should be at least 0.10 (10% free float); OR 6
month average free float market capitalization of the stock should be at least 25% of the 6month average full market capitalization of the existing smallest index constituent (prior toindex review) by full market capitalization in Nifty 500 as of the cut-off date•Companies must be traded for at least 90% of days during the previous six months period•

Companies must have average impact cost not greater than 1% during the previous six
months period•

Eligibility criteria for newly listed security is checked based on the data for one-month period
instead of a six-month period•

Companies should rank within top 800 based on both average daily turnover and average
daily full market capitalisation based on previous six months period data

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At the time of index reconstitution, a company which has undergone a scheme of arrangement
for corporate event such as demerger capital restructuring etc. is considered eligible for inclusionin the index if company has completed one calendar month of trading as on the cut-off date after
the stock has traded on ex. basis subject to fulfilment of all eligibility criteria for inclusion in theindex.
The eligible universe/ minimum eligibility criteria for Nifty 100 includes the following:•

The company should be a constituent of Nifty 500
AND•

Investible weight factor (IWF) of stock should be at least 0.10 (10% free float)OR•

6 month average free float market capitalization of the stock should be at least 25% of
the 6 month average full market capitalization of the of the existing smallest index
constituent (prior to index review) by full market capitalization in Nifty 100 as of the cutoff date•On a prospective basis, non - F&O stocks are eligible for inclusion only if the total
instances of the stock hitting the upper or lower circuit (price band)* during the past 6months as of the cut-off date is less than 20% of the number of total trading days overthe same period.

*An instance is counted each time the stock hits the upper or lower price circuit on agiven 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.

The eligible universe/ minimum eligibility criteria for Nifty Midcap 150 includes:•

The company should be a constituent of Nifty 500
AND•

Investible weight factor (IWF) of stock should be at least 0.10 (10% free float)OR•

6 month average free float market capitalization of the stock should be at least 25% of
the 6 month average full market capitalization of the of the existing smallest index

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9

constituent (prior to index review) by full market capitalization in Nifty Midcap 150 as of
the cut-off date

Securities will be included if

Securities will be excluded if

Maximum
Replacements
per review*

Nifty 500

• Rank based on full market • Rank based on full market
capitalisation is among top 350
capitalisation or average
turnover falls below 800 or• Full market capitalisation is at
any stock does not meet
least 1.5 times the full market
minimum eligibility criteria
capitalization of the smallest
orsecurity
undergoesindex constituent (based on fullsuspension or delisting or
market capitalization) in Nifty
scheme of arrangement *500

25

Nifty 100

• Rank based on average full • Constituents excluded frommarket capitalization is among
Nifty 500*
top 90:5AND• Rank based on average fullmarket capitalization falls
below 110 (i.e. beyond 110)

- stock is available for trading in• In case the number of
NSE's Futures & Options segmentcompulsory
inclusions(F&O)
exceed those of compulsory
exclusions in the steps
above, the replacement
ORstocks to be excluded are
identified based on below:- Withintheeligible- such stock’s Average Daily
replacement pool of
Turnover (ADT) is greater thanthstocks (ranked 91 to 110
the ADT of the 90 stock of thebased on Average Full
Nifty 100 ranked by ADT (prior tomarket capitalization)
review), as on the cut-off datesorted based on their fullmarket capitalization,
the smallest companies• Average
full
marketcapitalization is at least 1.5
that are not available fortimes the average full market
trading in NSE’s Futures
capitalization of the smallest& Options segment will
index constituent (based on
be first selected forfull market capitalization) in
exclusions
Nifty 100 as of the cut-off
date:

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Securities will be included if

Securities will be excluded if

Maximum
Replacements
per review*• Additional
stocksfor
exclusion, if required, will beANDselected from the remaining
eligible replacement poolstocks based on lowest- stock is available for trading in
Average Daily Turnover
NSE's Futures & Options segment
(ADT)
(F&O)

OR

- such stock’s Average Daily
Turnover (ADT) is greater thanthe ADT of the 90th stock of the
Nifty 100 ranked by ADT (prior toreview), as on the cut-off date•In case the number ofcompulsory
exclusions
exceeds those of compulsory
inclusions in the steps above,
the replacements to fill up the
deficit are identified based on
below:
Withintheeligible
replacement pool of stocks(ranked 91 to 110 based on
AverageFullmarketcapitalization) sorted based
on
their
full
marketcapitalization,companiesthat are available for tradingin NSE’s Futures & Options
segment will be first selectedbased on their average fullmarket capitalization

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11

Securities will be included if

Securities will be excluded if

Maximum
Replacements
per review*• Additional replacement stocks,
if required, will be selectedfrom the remaining eligible
replacementpoolstocks(ranked 91 to 110 based on
AverageFullmarketcapitalization) based on their
Average Daily Turnover (ADT)• Rank based on full market • Constituents excluded from
capitalisation is among top 225
Nifty 500*
• Full market capitalisation is at • Rank based on full market
least 1.5 times the full market
capitalisation is falls below
capitalization of the smallest
275
index constituent (based on fullmarket capitalization) in Nifty
150

15

Nifty Smallcap • Constituents in Nifty 500 not forming part of Nifty 100 and Nifty
250
150

-

Nifty Midcap
150

Nifty 50

• It meets the impact cost • When a better security iscriteria and free-float market
available in the replacement
capitalisation is at least 1.5
pool, which meets inclusion
times the free-float market
criteria
capitalization of the smallest
Pleaserefer
detailed
constituent in Nifty 50
methodology
separately
given in this document

5 Annually

Nifty Next 50• Constituents in Nifty 100 not forming part of Nifty 50-

Nifty Midcap
50• A non-member eligible F&O • Constituents excluded fromstock shall be compulsorily
Nifty Midcap150*
included in the index replacing • Rank based on average fullthe smallest non F&O stock inmarket capitalisation or
the index (if any) based on freeaverage daily turnover (6float market capitalization inmonth data) falls beyond
the index
100 within Nifty Midcap• Rank of F&O stock based on 6
150*.
month average free float
market capitalization is within • Rank based on 6 monthaverage free float market
top 30 (ranked with preference
to F&O stocks) within thecapitalization falls beyond 70
eligible universe of top 100(ranked with preference to5

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Securities will be included if

Securities will be excluded if

stocks based on average fullmarketcapitalizationoraverage daily turnover (6month average data)• Any non-member eligible F&O
stock will be included in theindex only if its free-float
market capitalization is at least
1.5 times the free-float market
capitalization of the smallest
F&O index constituent• Any non-member eligible non F&O stock will be included in
the index if its free-float
market capitalization is at least
1.5 times the free-float market
capitalization of the smallest
Non F&O index constituent

Maximum
Replacements
per review*

F&O stocks) within eligible
universe of top 100 stocks

Nifty Midcap
100• Constituents added in Nifty • Constituents excluded from
Midcap 50 which are not in
Nifty Midcap 150*
Nifty Midcap 100*
• Rank based on average daily
turnoverofexisting• Rank based on average daily
turnover is among top 70 fromconstituent is below 130
constituents in Nifty Midcap
among constituents in Nifty
150
Midcap 150

Nifty Midcap
SelectConstituents forming part of Nifty Midcap 150 selected based onmarket cap, average daily turnover and availability for trading on
NSE’s Futures & Options segment (F&O)

10

Please refer detailed methodology separately given in thisdocument
Nifty Smallcap • Rank based on 6 month •50
average free-float market
capitalization is within top 30 •from the eligible universe of
top 150 stocks based on
averagefullmarketcapitalization or average daily
turnover (6 month average•data)

Nifty Indices – Methodology Document, October 2024 20241025

Constituents excluded from
Nifty Smallcap 250*
Rank based on average fullmarket capitalization or
average daily turnover (6month average data) falls
beyond 150 within Nifty
Smallcap 250*
Rank based on free float
market capitalization falls

10

13Securities will be included if• Free-float
marketcapitalization of non-member
eligible stocks is at least 1.5
times of the free-float market
capitalization of the smallest
index constituent

Securities will be excluded if

Maximum
Replacements
per review*

beyond 70 within theeligible universe of top 150
stocksNifty Smallcap • Rank based on average daily • Constituents excluded from100
turnover is among top 70 from
Nifty Smallcap 250*
top 150 constituents selected • Rank based on full market
based
on
full
marketcapitalisation falls below 180
capitalisation in Nifty Smallcap
from Nifty Smallcap 250
250
constituents• All constituents of Nifty • Rank based on full market
Smallcap 50 not forming part
capitalisation is among topof Nifty Smallcap 100*
180 from Nifty Smallcap 250
constituents but rank basedon average daily turnover
falls below 130 (from top 180
constituents)

15

Nifty 200

Constituents forming part of Nifty 100 and Nifty Midcap 100

-

Nifty
LargeMidcap
250

Constituents forming part of Nifty 100 and Nifty Midcap 150

-

Nifty
MidSmallcap
400

Constituents forming part of Nifty Midcap 150 and Nifty Smallcap
250-

Constituents forming part of Nifty 500-

Nifty500
Multicap
50:25:25

Please refer detailed methodology separately given in thisdocument

Nifty500
Constituents forming part of Nifty 500
LargeMidSmall Please refer detailed methodology separately given in thisEqual-Cap
document
Weighted

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14

Securities will be included if

Securities will be excluded if

Nifty Microcap Top 250 companies beyond Nifty 500 index constituents, selected250
based on their average full market capitalization

Maximum
Replacements
per review*
50

Please refer detailed methodology separately given in thisdocument
Nifty Total
MarketConstituents forming part of Nifty 500 and Nifty Microcap 250-

Please refer detailed methodology separately given in thisdocument* Limits on replacement are not applicable for exclusions on account of non-compliance of minimum eligibility
criteria, exclusion of stocks from parent index and corporate events such as merger, demerger, delisting, tradingsuspension etc.

In case of reconstitution of child indices, latest index composition including most recent changes
in respective parent index whether announced or yet to be announced shall be considered. Child
indices are defined as those indices where constituents are selected from a list of any otherindex. Example: Nifty 50 would be considered as a child index as constituents of Nifty 50 are
selected from a list of Nifty 100 index.

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Nifty 50 Index
The Nifty 50 is the flagship index on the National Stock Exchange of India Ltd. (NSE). The Index
tracks the behavior of a portfolio of blue-chip companies, the largest and most liquid Indian
securities. It includes 50 of the all companies listed and/ or traded on the NSE, capturesapproximately 66% of its float-adjusted market capitalization and is a true reflection of the Indian
stock market.

The Nifty 50 covers major sectors of the Indian economy and offers investment managers
exposure to the Indian market in one efficient portfolio. The Index has been trading since April
1996 and is well suited for benchmarking, index funds and index-based derivatives.

The Nifty 50 is owned and managed by NSE Indices Limited (formerly known as India Index
Services & Products Limited-IISL), India’s first specialized company focused on an index as a coreproduct.

Highlights
The Nifty 50 is a 50 stock, float-adjusted market-capitalization weighted index for India. It is used
for a variety of purposes, such as benchmarking fund portfolios, index-based derivatives andindex funds.

The Nifty 50 is derived from economic research and is created for those interested in investing
and trading in Indian equities.

Market Representation: The Nifty 50 stocks represent about 66% of the total floatadjusted market capitalization of the National Stock Exchange (NSE).

Turnover Representation: The Nifty 50 stocks represent about 54% of the total floatadjusted market capitalization of the National Stock Exchange (NSE).

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Trading in derivative contracts based on Nifty 50:
The National Stock Exchange of India Limited (NSE) commenced trading in derivatives withindex futures on June 12, 2000. The futures contracts on the NSE are based on the Nifty 50. The
exchange introduced trading on index options based on the Nifty 50 on June 4, 2001.
Additionally, exchange traded derivatives contracts linked to Nifty 50 are traded at NSE
International Exchange IFSC Limited (NSE IX).

Index Computation:
The Nifty 50 is computed using a float-adjusted, market capitalization weighted
methodology*, wherein the level of the index reflects the total market value of all the stocks
in the index relative to a particular base period. The methodology also takes into accountconstituent changes in the index and corporate actions such as stock splits, rights issuance, etc.,
without affecting the index value.

* Beginning June 26, 2009, the Nifty 50 is being computed using float-adjusted market
capitalization weighted method, wherein the level of index reflects the float-adjusted market
capitalization of all stocks in the Index.

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Index review and eligibility criteria
Index Review frequency:
The review of Nifty 50 is undertaken semi-annually based on data for six months ending Januaryand July. The replacement of stocks in Nifty 50 (if any) is implemented from the last trading dayof March and September. In case of any replacement in the index, a four weeks’ prior notice isgiven to the market participants.
Additional index reconstitution may be undertaken in case any of the index constituent
undergoes merger, demerger, delisting, specific cases of capital restructuring etc., in case any of
the index constituent is moved to BZ series, if trading permission of any of the index constituent
is withdrawn from F&O segment, if a security is suspended for trading from Capital Market for
any reason and in case of any adverse regulatory findings or orders issued against any of theindex constituent that necessitates removal of such stock from the index. In case of a capital
restructuring or voluntary delisting, equity shareholders’ approval is considered as a trigger toinitiate the replacement of such stock from the index through additional index reconstitution.
For all other cases, replacements will be initiated based on notifications issued by the Exchange.
Further, additional index reconstitution may be undertaken to screen to continued eligibility of
an index constituent that may have undergone corporate action involving demerger inaccordance with the guidelines prescribed under a separate section ‘Corporate actions involving
demerger/ spin-off’ of this document.

Eligible Securities:
Constituents of Nifty 100 index that are available for trading in NSE’s Futures & Options segment
are eligible for inclusion in the Nifty 50 index. The latest composition of Nifty 100 including mostrecent changes whether announced or yet to be announced shall be considered eligible subject
to availability of trading in NSE’s Futures & Options segment in such stocks.

Differential Voting Rights:
Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index
subject to fulfilment of specified DVR related criteria.

Trading Frequency:
The company’s trading frequency should be 100% in the last six months.

Liquidity:
For inclusion in the index, the security should have traded at an average impact cost of 0.50
% or less during the last six months for 90% of the observations for a portfolio of Rs. 10 crores.
Impact cost is the cost of executing a transaction in a security in proportion to its index weight,
measured by market capitalization at any point in time. This is the percentage mark-up suffered
while buying/selling the desired quantity of a security compared to its ideal price -- (best buy +best sell)/2. Please refer section on ‘Impact Cost’ within this document.

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Float-Adjusted Market Capitalization:
Companies will be eligible for inclusion in Nifty 50 index provided the average free-float market
capitalisation is at least 1.5 times the average free-float market capitalization of the smallest
constituent in the index.

Limit on total number of changes:
As part of the semi-annual reconstitution of the index, a maximum of 10% of the number ofcompanies in the index (i.e. five companies) may be added in a calendar year.
Where the committee considers that the number of changes at the first semi-annual rebalancemight restrain the second semi-annual rebalance, it retains the right to reduce the number of
constituent changes at the first review in reverse order of the free-float capitalisation. (In otherwords, the largest eligible company will be added and the smallest company removed, and then
the next largest added and next smallest removed, and so on until the committee deems thatthe appropriate number of changes have been made.
At the second semi-annual rebalance, the same principle applies, however once a total of fivecompanies have been added to the index across the two semi-annual reviews, no further
additions (or deletions) will be made.
However, the limit of maximum 10% change shall not be applicable for any exclusion of acompany due to it not meeting the eligibility criteria on account of factors such as non-availabilityof F&O, higher impact cost, lower trading frequency; scheme of arrangements such as merger,
demerger, delisting, specific cases of capital restructuring etc.; shifting to BZ series; tradingsuspension; adverse regulatory findings or orders issued against any of the index constituent asstated earlier, etc.

Currency of Calculation
Nifty 50 is computed in five currencies namely Indian Rupee (INR), US Dollar (USD), Australian
Dollar (AUD), Canadian Dollar (CAD) and Japanese Yen (JPY). Additionally, Nifty 50 Total Returnand Net Total Return indices are also available in US Dollar (USD) and Japanese Yen (JPY).

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Nifty Midcap SelectEligibility criteria
To form part of Nifty Midcap Select Index, stocks should satisfy the following eligibility criteria.

Eligible Universe:•

Stocks forming part/going to be a part of the Nifty Midcap 150 at the time of index review•

Stocks should be available for trading on NSE’s Futures & Options segment as on the review
date

Stock selection criteria:
The stocks within the eligible universe are selected in the following steps:
Step 1: Top 5 stocks are selected based on their 6 month Average Full Market capitalization
Step 2: The next 20 stocks are selected in the following way:•

The remaining stocks after the step 1 are then reranked based on their 6 month Averagefull market capitalization and 6 month Average daily turnover•

The stocks forming part of the top 50 by 6 month Average full market capitalization and6 month Average daily turnover are then ranked based on their 6 month Average freefloat market capitalization, termed as ‘reranked universe’•

Top 20 stocks are then selected based on the 6 month Average free-float market
capitalization from the reranked universe

Weight and Capping:•

The stock’s weight is based on the free-float market capitalization

Reconstitution & Rebalancing criteria•

Index reconstitution will be done on a semi-annual basis in March and September along with
the Nifty Broad-based indices based on data for 6 months ending January and July
respectively.

•

Stocks forming part/ going to be a part of Nifty Midcap 150 that are available for NSE’s F&O
trading are eligible to be the part of the index.

•

An existing stock shall be compulsorily excluded from the index if it is ineligible based on theeligibility criteria or if it does not form part of the ‘reranked universe’.

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•Top 5 stocks based on 6 month Average full market capitalization within the eligible universe
shall be compulsorily included in the index.

•

Top 10 stocks based on the 6-month Average free-float market capitalization from the‘reranked universe’ are compulsorily included in the index.

•

An existing stock whose rank based on 6 month Average free-float mcap within the ‘reranked
universe’ falls beyond 30 is compulsorily excluded from the index.

•

A new eligible stock within the ‘reranked universe’ is compulsorily included in the index if its
6 month Average free-float market capitalization is at least 1.5 times of the 6 month Averagefree-float market capitalization of the smallest index constituent.

•

In case the total number of eligible stocks within ‘reranked universe’ is below 20, the deficit
number of stocks will be selected from the ‘reranked universe’ based on top 60 stocks by
Average full market capitalization and Average daily turnover instead of top 50 stocks.
Further if the number of eligible stocks is still below 20, then the number of stocks in the‘reranked universe’ would sequentially increase to top 70 and so on, until at least 20 eligible
stocks are obtained.

•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes:
1. Any corporate action (scheme of arrangement, delisting etc.) or suspension by
the exchange etc.
2. Is no longer available for trading on NSE’s F&O segment
3. In case any of the index constituent is moved to BZ series•

Additional index reconstitution may be undertaken to screen continued eligibility of an index
constituent that may have undergone corporate action involving demerger in accordancewith the guidelines prescribed under a separate section ‘Corporate actions involving
demerger/ spin-off’ of this document.

•

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. In caseof non-compliance, suitable corrective measures will be taken to ensure compliance with thenorms

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Nifty500 Multicap 50:25:25
Stock Selection Criteria:•

Stocks that form part of the Nifty 500 index also form part of the Nifty500
Multicap 50:25:25 Index at all points in time

Weights and Capping:•

Nifty500 Multicap 50:25:25 Index shall have the following size segment weights
as on quarterly rebalance dates:o Large Cap stocks (Stocks part of Nifty 100 index) – Total Weight 50%
o Mid Cap stocks (Stocks part of Nifty Midcap 150 index) – Total Weight 25%
o Small Cap stocks (Stocks part of Nifty Smallcap 250 index) – Total Weight
25%•

Weight of each stock within each of the 3 size segments will be based on its freefloat market capitalization•

For capping purposes, a DVR would be classified as part of either Nifty 100, Nifty
Midcap 150 or Nifty Smallcap 250 depending on whether its parent stocks is amember of Nifty 100, Nifty Midcap 150 or Nifty Smallcap 250 and the weight of
the DVR and its parent stock would be derived in the following way:o Aggregate the Free Float Market Capitalization of the DVR security and its
parento The combined entity will be classified as Large cap, Mid cap or Small cap
depending on whether the parent security is a member of Nifty 100, Nifty
Midcap 150 or Nifty Midcap Smallcap 250 for capping purposeso The weight of the combined entity will be split into the weight of theparent security and the DVR security in the proportion of the Free Float
Market Capitalization of the parent and DVR•

Weight of the stocks shall be rebalanced on a quarterly basis from the last trading
day of March, June, September and December by taking into account closing
prices as on T-3 basis, where T day is last trading day of March, June, September
and December

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Reconstitution:•

The index will follow the composition of the Nifty 500 Index at every point in time•

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 constituentsis excluded from Nifty 500 index or undergoes suspension or delisting or schemeof arrangement•

Additional index reconstitution may be undertaken to screen continued eligibilityof an index constituent that may have undergone corporate action involving
demerger in accordance with the guidelines prescribed under a separate section‘Corporate actions involving demerger/ spin-off’ of this document.

•

Further, on a quarterly basis, indices will be screened for compliance with theportfolio concentration norms for ETFs/ Index Funds announced by SEBI on
January 10, 2019. In case of non-compliance of any of the stated norms, suitablecorrective measures such as replacement of ineligible stock, re-alignment ofconstituent weights will be undertaken depending upon the nature of noncompliance to ensure the compliance of applicable norms

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Nifty500 LargeMidSmall Equal-Cap Weighted
Stock Selection Universe:•

Stocks that form part of the Nifty 500 index also form part of the Nifty500
LargeMidSmall Equal-Cap Weighted Index at all points in time

Weights and Capping:•

Nifty500 LargeMidSmall Equal-Cap Weighted Index shall have the following
size segment weights as on quarterly rebalance dates:o Large Cap stocks (Stocks part of Nifty 100 index) – Total Weight 33.33%
o Mid Cap stocks (Stocks part of Nifty Midcap 150 index) – Total Weight33.33%o Small Cap stocks (Stocks part of Nifty Smallcap 250 index) – Total
Weight 33.33%•

Weight of each stock within each of the three size segments will be based on
its free-float market capitalization•

For capping purposes, a DVR would be classified as part of either Nifty 100,
Nifty Midcap 150 or Nifty Smallcap 250 depending on whether its parent
stocks is a member of Nifty 100, Nifty Midcap 150 or Nifty Smallcap 250 and
the weight of the DVR and its parent stock would be derived in the followingway:o Aggregate the Free Float Market Capitalization of the DVR security and its
parento The combined entity will be classified as Large cap, Mid cap or Small cap
depending on whether the parent security is a member of Nifty 100, Nifty
Midcap 150 or Nifty Midcap Smallcap 250 for capping purposeso The weight of the combined entity will be split into the weight of theparent security and the DVR security in the proportion of the Free Float
Market Capitalization of the parent and DVR
Weight of the stocks shall be rebalanced on a quarterly basis from the last
trading day of March, June, September and December•

Reconstitution & Rebalancing Criteria:••

The index will follow the composition of the Nifty 500 Index at every point in
time
Apart from the scheduled semi-annual review, additional ad-hocreconstitution and rebalancing of the index shall be initiated in case any of theindex constituents is excluded from Nifty 500 index or undergoes suspension
or delisting or scheme of arrangement

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•

•

Additional index reconstitution may be undertaken to screen continued
eligibility of an index constituent that may have undergone corporate action
involving demerger in accordance with the guidelines prescribed under aseparate section ‘Corporate actions involving demerger/ spin-off’ of thisdocument.
Further, on a quarterly basis, indices will be screened for compliance with theportfolio concentration norms for ETFs/ Index Funds announced by SEBI on
January 10, 2019. In case of non-compliance of any of the stated norms,
suitable corrective measures such as replacement of ineligible stock, realignment of constituent weights will be undertaken depending upon thenature of non-compliance to ensure the compliance of applicable norms.

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17. Nifty Microcap 250
The Nifty Microcap 250 index aims to track the performance of microcap stocks listed or
permitted to trade on NSE. The index includes the top 250 companies beyond the Nifty 500 index
constituents, selected based on their average full market capitalization. A stock’s weight is basedon its free-float market capitalization.

Eligibility criteria
To form part of Nifty Microcap 250 Index, stocks should satisfy the following eligibility criteria.

Eligible Universe:•

The company must be domiciled in India and traded (listed & traded and not listed but
permitted to trade) at the National Stock Exchange (NSE) are eligible for inclusion.

•

Convertible stocks, bonds, warrants, rights, and preferred stocks that provide any guaranteed
fixed return, stocks under suspension and stocks categorized under BZ series are not eligible
for inclusion.

•

Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index
subject to fulfilment of specified DVR related criteria mentioned below.

•

Companies must have average impact cost not greater than 1% during the previous six
months period•

Companies ranked within top 1000 based on average daily turnover and on average daily fullmarket capitalization based on previous six months period data. Post applying the impact
cost filter, it is possible that the number of eligible stocks in the universe is less than 250. In
case, the number of eligible stocks in the universe is less than 250, then the deficit numberof stocks shall be selected from the universe of stocks ranked within top 1100, top 1200 andso on, based on both average daily turnover and average daily full market capitalization
based on previous six months period data, until at least 250 eligible stocks are obtained. If
the number of eligible stocks is still less than 250, then the index may have less than 250
constituents.

•

The investible weight factor (IWF) of stock should be at least 0.10 (10% free float); OR 6
month average free float market capitalization of the stock should be at least 25% of the 6

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month average full market capitalization of the existing smallest index constituent (prior toindex review) by full market capitalization in Nifty Microcap 250 as of the cut-off date.
•Companies traded for at least 90% of days during the previous six months period.

•

Eligibility criteria for newly listed security is checked based on the data for one-month period
instead of a six-month period.

•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is considered
eligible for inclusion in the index if company has completed one calendar month of trading
as on the cut-off date after the stock has traded on ex. basis subject to fulfilment of alleligibility criteria for inclusion in the index.

Stock selection criteria:
Step 1: From the eligible universe, exclude stocks that form part of the Nifty 500 (or being
included in the Nifty 500)
Step 2: From the above shortlisted universe, exclude stocks whose rank based on average dailyfull market capitalisation based on previous six months period data is within the top 350
Step 3: From the remaining eligible stocks, choose the top 250 stocks based on their average
daily full market capitalisation based on previous six months period data

Reconstitution & Rebalancing criteria•

Index rebalancing will be done on a semi-annual basis and made effective from the last
trading day of March and September, using 6 month ended average data for January and July
respectively•

An existing stock will be compulsorily excluded if it is ineligible based on the eligibility criteria•

From the eligible universe, exclude stocks that form part of the Nifty 500 (or being includedin the Nifty 500) OR stocks whose rank based on average daily full market capitalisation basedon previous six months period data is within the top 350•

Stocks from the above shortlisted universe will be compulsorily included if their rank basedon 6 month average full market capitalisation is within the top 675, or 6 month average fullmarket capitalisation is at least 1.5 times the 6 month full market capitalization of thesmallest index constituent (based on full market capitalization) in the Nifty Microcap 250

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•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents is removed
from the Nifty Microcap 250 due to any corporate action (scheme of arrangement, delistingetc.) or suspension by the exchange etc.

•

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. In case of noncompliance, suitable corrective measures will be taken to ensure compliance with the norms

Weight and Constituent Capping:•

Stock weights are determined based on their free float market capitalizations

18. Nifty Total Market
Nifty Total Market Index aims to track the performance of 750 stocks covering large, mid,small and microcap segments via a single index. Stocks that are part of Nifty 500 index and
Nifty Microcap 250 index form part of the Nifty Total Market index. Stock’s weight is basedon its free-float market capitalization.

Stock selection criteria•

All stocks that form part of the Nifty 500 index or Nifty Microcap 250 Index also form part of
the Nifty Total Market Index at all points in time

Reconstitution:•

The index will include all the stocks of Nifty 500 and Nifty Microcap 250 Indices at every point
in time•Index reconstitution will be aligned with the rebalancing of Nifty 500 and Nifty Microcap 250
Indices and will be done on a semi-annual basis and made effective from the last trading dayof March and September, using 6 month ended average data for January and July respectively•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents is excluded

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from Nifty 500 index or Nifty Microcap 250 Index or undergoes suspension or delisting or
scheme of arrangement•

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. In caseof non-compliance, suitable corrective measures will be taken to ensure compliance with thenorms

Weight and Constituent Capping:•

Stock weights are determined based on their free float market capitalizations

Currency of Calculation
Nifty 50 is computed in five currencies namely Indian Rupee (INR), US Dollar (USD), Australian
Dollar (AUD), Canadian Dollar (CAD) and Japanese Yen (JPY). All other broad market indices arecomputed in Indian Rupee (INR).

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Nifty Sectoral Indices
NSE Indices has developed a series of sectoral indices that represent the collective performanceof stocks in respective sectoral index. All sectoral indices are capped as per the details provided
under ‘Index characteristics’ on subsequent pages.

A comprehensive list of basic industries eligible to be included in these indices can be accessedin a separate section in this document {Click Here}.

1. Nifty Auto: The index is designed to reflect the behaviour and performance of theAutomobiles sector which includes manufacturers of cars & motorcycles, heavy vehicles,
auto ancillaries, tyres, etc. The index comprises of maximum of 15 stocks and base date of
the index is January 1, 2004.

2. Nifty Bank: The index is designed to reflect the behaviour and performance of the large
and liquid banks. The index comprises of maximum of 12 stocks and base date of the index
is January 1, 2000.

3. Nifty Consumer Durables: The index aims to reflect the performance of stocks
belonging to Consumer Durables industry. The index comprises of maximum of 15 stocks
and base date of the index is April 1, 2005 and a base value of 1000 points

4. Nifty FMCG: The index is designed to reflect the behaviour and performance of Fast
Moving Consumer Goods (FMCG). They are those goods and products, which are nondurable, mass consumption products and available off the shelf. The index comprises ofmaximum of 15 companies.

5. Nifty IT: The index is designed to reflect the behaviour of companies engaged into activities
such as software development, hardware, IT infrastructure etc. The index comprised of 10
companies. The base value of the index was revised from 1000 to 100 with effect from May
28, 2004.

6. Nifty Media: The Nifty Media Index is designed to reflect the behavior and performanceof sectors such as advertising, media & entertainment, printing and publishing etc. The index
comprises of maximum of 15 companies.

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7. Nifty Metal: The Nifty Metal Index is designed to reflect the behavior and performance ofthe metals sector. The index comprises of maximum of 15 stocks.

8. Nifty Oil & Gas: The index aims to reflect the performance of stocks belonging toindustries such as oil, gas and petroleum products etc. The index comprises of maximum of
15 stocks and base date of the index is April 1, 2005 and a base value of 1000 points.

9. Nifty Pharma: The Nifty Pharma Index is designed to reflect the behavior andperformance of the companies that are engaged into manufacturing of pharmaceuticals andbiotechnology companies. Effective September 30, 2021, the index comprises of maximumof 20 stocks.

10. Nifty PSU Bank: The Nifty PSU Bank Index is designed to reflect the behavior andperformance of the public sector banks. Effective December 27, 2019, all Public Sector Banks
that are traded (listed & traded and not listed but permitted to trade) at the National Stock
Exchange (NSE) are eligible for inclusion in the index subject to fulfilment of other inclusion
criteria namely one-month listing history and 90% trading frequency. The base date of theindex is January 1, 2004 and base value of 1000 points.

11. Nifty Private Bank: The Nifty Private Bank Index is designed to reflect the behavior andperformance of the banks from private sector. The index comprises of 10 stocks and weightsof each company in the index were capped at 25% (until March 29, 2019).

12. Nifty Realty: The Nifty Realty Index is designed to reflect the behavior and performanceof the companies that are engaged into construction of residential & commercial real estate
properties. The index comprises of maximum of 10 stocks.

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Index review and eligibility criteria
Index Review frequency:
The review of sectoral indices is undertaken semi-annually based on data for six months ending
January and July.

Eligibility Criteria
To be considered for inclusion in Nifty sectoral indices, companies must form part of eligible
universe. The eligible universe includes:•

Companies should form part of Nifty 500 at the time of review•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selected froma list of any other index. Example: Nifty Auto would be considered as a child index as
constituents of Nifty Auto are selected from a list of Nifty 500 index•

Minimum number of stocks within the index should be 10•

In case, the number of eligible stocks within Nifty 500 falls below 10, then deficit number ofstocks shall be selected from the universe of stocks ranked within top 800 based on bothaverage daily turnover and average daily full market capitalisation based on previous six
months period data used for index rebalancing of Nifty 500, provided company meets theeligibility criteria of having minimum listing history of 1 calendar month and 90% trading
frequency as the data cut-off date•

Further, in case the number of eligible stocks in the universe is still less than 10, then the
deficit number of stocks shall be selected from the universe of stocks ranked within top 1000,
top 1100, top 1200 and so on, based on both average daily turnover and average daily fullmarket capitalization based on previous six months period data, until at least 10 eligible
stocks are obtained, subject to fulfilment of other inclusion criteria. If the number of eligible
stocks is still less than 10, then the index may have less than 10 constituents•

Companies should form part of respective sector universe•

In case of Nifty Bank index, companies that are allowed to trade in F&O segment at NSE are
only eligible to be a constituent of the index while for all the other sector indices, a

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preference shall be given to companies that are available for trading in NSE’s Futures &Options segment at the time of final selection•

In case of Nifty Financial Services, a preference within each subsector shall be given tocompanies that are available for trading in NSE’s Futures & Options segment•

On a prospective basis, Non - F&O stocks are eligible for inclusion only if the total instancesof the stock hitting the upper or lower circuit (price band)* during the past 6 months as of
the cut-off date is less than 20% of the number of total trading days over the same period*An instance is counted each time the stock hits the upper or lower price circuit on a given trading day. If a stock hits theupper and lower price circuit (price band) on the same trading day, it will be counted as two instances•

The companies are sorted in the descending order of the average free-float market
capitalization (FF market capitalization) and final selection of companies shall be made basedon the FF market capitalization to form part of the index•

Companies will be included if free-float market capitalisation is at least 1.5 times the freefloat market capitalization of the smallest index constituent in respective index

13. Nifty Financial Services:
The index is designed to reflect the behaviour and performance of the Indian financial market
namely 1) Banking, 2) Financial Institutions, 3) Housing Finance, 4) NBFC, 5) Insurance and 6)
Other Financial Services companies. Other Financial Services currently comprises all companies
in financial services sector excluding companies in banking, financial institutions, housing
finance, insurance and NBFCs.
A comprehensive list of basic industries eligible to be included in this index can be accessed in a
separate section in this document {Click Here}.
The index comprises of maximum of 20 stocks. Detailed methodology for selection of stocks inthis index along with other variant Nifty Financial Services 25/50 is given hereunder.
Eligible universe:
Nifty 500 constituents representing Financial Services are considered eligible for inclusion in theindex. In case, the number of eligible stocks representing a particular sector within Nifty 500 falls
below 10, then deficit number of stocks shall be selected from the universe of stocks ranked
within top 800 based on both average daily turnover and average daily full market capitalisation
based on previous six months period data used for index rebalancing of Nifty 500. In case, thenumber of eligible stocks in the universe is still less than 10, then the deficit number of stocks
shall be selected from the universe of stocks ranked within top 1000, top 1100, top 1200 and soon, based on both average daily turnover and average daily full market capitalization based on
previous six months period data, until at least 10 eligible stocks are obtained, subject tofulfilment of other inclusion criteria. If the number of eligible stocks is still less than 10, then theindex may have less than 10 constituents.

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Stock Selection criteria:
Selection of the stocks shall be done in 2 steps:
Step 1: Within eligible universe, calculate the weights of each subsector based on average free
float market capitalization
Step 2: The companies within each subsector are sorted in the descending order of the averagefree-float market capitalization and final selection of companies shall be made based on thehigher average free-float market capitalization to form part of the index.
Step 3: Companies will be included if average free-float market capitalisation is at least 1.5 times
the average free-float market capitalization of the smallest index constituent.
In order to provide meaningful representation of various sub-sectors in the index, replacement
may also be made across different subsectors provided average free-float market capitalisationof a stock being included is at least 1.5 times the average free-float market capitalization of thesmallest index constituent in the index.
Step 4: Select companies from each sub-sector in such a manner that weightage of selected
constituents in a subsector closely matches with weightage of the subsector as determined instep 1. A preference within each sub-sector is given to companies that are available for tradingin NSE’s Futures & Options segment.
As the index comprise maximum of 20 stocks, it may be possible that weightage of certain subsector may not closely match with that of eligible universe.

Constituent capping:•

Weights of each stock in these indices will be calculated based on its free-float market
capitalization such that no single stock shall be more than 33% and weights of top 3 stocks
cumulatively shall not be more than 62% at the time of rebalancing.

•This means that at the time of rebalancing of the index, no single constituent shall haveweightage of more than maximum capping limits as stated above. The capping factor ofstocks is realigned upon replacement of scrips in the index and on a quarterly basis on thelast trading day of March, June, September and December by taking into account closing
prices as on T-3 basis, where T day is last trading day of March, June, September andDecember.

•In the event of weight realignment, capping factors will be calculated for all constituents (forcapped indices) whose uncapped weight is greater than maximum capping limits as statedabove. Weightage of such constituent may increase beyond maximum capping limit between
the rebalancing periods depending on the price movement. The capping factor is calculated

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34

considering the closing prices of the index constituents 3 trading days (T-3) prior to theeffective date (T day) of the changes for all constituents.

14. Nifty Financial Services 25/50:
Nifty Financial Services 25/50 is a capped version of Nifty Financial Services index, where 25
refers to the maximum value for the % weight of a single stock and 50 refers to maximum value
for the aggregate % weight for all stocks with individual weight more than 5%.

Stock Selection criteria•

Stocks that form part of Nifty Financial Services index also form part of this index at all points
in timeConstituent Weights and Capping:• Weight of stocks within this index are capped to achieve the following:o Weight of the individual stock should not exceed 25%
o Aggregate weight of all the stocks with individual weight above 5% should not exceed50%• A buffer of 10% of the value of each cap limit is used in order to reduce the probability ofpassive breach of above mentioned capping limits due to stock price movements between
two quarterly rebalancing.
• Accordingly, at the time of quarterly rebalancing of Nifty Financial Services 25/50 Index,o Weight of each stock is capped at 22.5%
o Sum of the top 3 stocks is capped at 45% subject to individual stock floored at 4.6%o Stocks below top 3 are individually capped at 4.5%#• Capping will be done quarterly, considering the closing prices of the index constituents as on
T-3 trading days prior to the effective date (T day). As a result of which the weight of theindex constituents may be greater than their capping limits as on the effective date.
Reconstitution•

The index will follow the composition of Nifty Financial Services Index at every point in time.

• Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement

15. Nifty Financial Services Ex-Bank:
The index is designed to reflect the behaviour and performance of portfolio of stocks fromthe Financial Services sector other than Banks. The largest 30 stocks from eligible basic

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35

industries are chosen based on 6 month average free-float market capitalisation. Index stock
weights are based on their free-float market capitalization.
Eligible universe:•

Stocks forming part/going to form part of Nifty 500 index are considered as eligible universe
for stock selection.

•

Minimum number of stocks within the index should be 10•

In case, the number of eligible stocks representing a particular sector within Nifty 500 falls
below 10, then deficit number of stocks shall be selected from the universe of stocks ranked
within top 800 based on both average daily turnover and average daily full market
capitalisation based on previous six months period data used for index rebalancing of Nifty
500. In case, the number of eligible stocks in the universe is still less than 10, then the deficit
number of stocks shall be selected from the universe of stocks ranked within top 1000, top
1100, top 1200 and so on, based on both average daily turnover and average daily full market
capitalization based on previous six months period data, until at least 10 eligible stocks are
obtained, subject to fulfilment of other inclusion criteria. If the number of eligible stocks isstill less than 10, then the index may have less than 10 constituents A comprehensive list ofbasic industries eligible to be included in this index can be accessed in a separate section inthis document {Click Here}.

Stock selection criteria:
Select the largest 30 stocks from the Eligible universe based on their average daily free-float
market capitalization based on previous six months period data
Weight methodology:
The weight of the stocks within the index are based on their free-float market capitalization.
Weight of index constituents are capped at below levels quarterly in March, June, September
and December.
•

Weight of each stock in the index is capped at 25%•

Aggregate weight of top 3 stocks is capped at 62%•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

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36

Reconstitution•

Index rebalancing will be done on a semi-annual basis and made effective from the last
trading day of March and September (similar to Nifty Broad-based indices), using 6 month
ended average data for January and July respectively•

Existing index constituents that do not form part of the eligible universe are excluded fromthe index•

Non- member eligible companies will be included if free-float market capitalisation is at least
1.5 times the free-float market capitalization of the smallest index constituent in respective
index

•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement•

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. In caseof non-compliance, suitable corrective measures will be taken to ensure compliance with thenorms

16. Nifty Healthcare
The index is designed to reflect the behaviour and performance of Healthcare companies.
The index comprises of maximum of 20 companies and base date of the index is April 1, 2005
and a base value of 1000 points.
Eligibility Criteria:
To form part of the Nifty Healthcare index, stocks should satisfy the following eligibility criteria.
Stock Selection Universe:•

Stocks forming part / going to be a part of the Nifty 500 index at the time of review•

A comprehensive list of basic industries eligible to be included in this index can be accessedin a separate section in this document {Click Here}

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Stock Selection criteria:
Selection of the stocks shall be done in 2 steps:
Step 1: Top 20 stocks based on six-month average free-float market capitalization that areavailable for trading in NSE’s Futures & Options (F&O) segment at the time of review areselected to be the part of the index
Step 2: In case the number of stocks selected in the Step 1 above is less than 20, then the deficit
number of stocks is selected based on six-month average free-float market capitalization
Weights and Capping:••

Weights of each stock in these indices will be calculated based on its free-float market
capitalization such that no single stock shall be more than 33% and weights of top 3 stocks
cumulatively shall not be more than 62% at the time of rebalancing
Weight of the stocks shall be rebalanced on a quarterly basis from the last trading day ofMarch, June, September and December

Reconstitution:
•
•
•

•

•

•

•

Index rebalancing will be done on a semi-annual basis and made effective from the last
trading day of March and September
Stocks that move out of the Nifty 500 shall also move out of the Nifty Healthcare Index at
the time of the review of the Nifty Healthcare index
Stocks that are available for trading in F&O segment are compulsorily included in the index
and will replace the smallest index constituents which are not available for trading in F&O
segment subject to maximum of 20 stocks in the index
In case all the stocks within the index are available for trading in F&O segment and the nonmember eligible stock which is also available for trading in F&O segment, such stock will
be included in the index only if its free-float market capitalization is at least 1.5 times thefree-float market capitalization of the smallest index constituent
Stocks which are not available for trading in F&O segment will be included if its free-float
market capitalization is at least 1.5 times the free-float market capitalization of the smallest
index constituents which are not available for trading in F&O segment
In case, the number of eligible stocks within Nifty 500 is less than 20, then deficit numberof stocks shall be selected from the universe of stocks ranked within top 800 based on bothaverage daily turnover and average daily full market capitalization based on previous six
months period data used for index rebalancing of Nifty 500
In case, the number of eligible stocks representing a particular sector within Nifty 500 falls
below 10, then deficit number of stocks shall be selected from the universe of stocks
ranked within top 800 based on both average daily turnover and average daily full market
capitalisation based on previous six months period data used for index rebalancing of Nifty
500. In case, the number of eligible stocks in the universe is still less than 10, then the
deficit number of stocks shall be selected from the universe of stocks ranked within top
1000, top 1100, top 1200 and so on, based on both average daily turnover and average
daily full market capitalization based on previous six months period data, until at least 10

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38

eligible stocks are obtained, subject to fulfilment of other inclusion criteria. If the numberof eligible stocks is still less than 10, then the index may have less than 10 constituents
Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents gets
excluded from Nifty 500 or undergoes suspension or delisting or scheme of arrangement
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. In caseof 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 of norms••

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

17. Nifty MidSmall Sector indices
NSE indices has developed a series of sectoral indices that tracks the performance of the midcap
and small cap stocks from their respective sectors. All sectoral indices are capped as per thedetails provided under ‘Index characteristics’ on subsequent pages.
A comprehensive list of basic industries eligible to be included in these indices can be accessedin a separate section in this document {Click Here}.

Nifty MidSmall Financial Services
The Nifty MidSmall Financial Services index tracks the performance of the mid cap and small cap
stocks belonging to the financial services sector. The index includes upto 30 stocks base date of
the index is April 1, 2005 and a base value of 1000 points.

Nifty MidSmall Healthcare
The Nifty MidSmall Healthcare index tracks the performance of the mid cap and small cap stocks
belonging to the healthcare sector. The index includes upto 30 stocks base date of the index isApril 1, 2005 and a base value of 1000 points.

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Nifty MidSmall IT & Telecom
The Nifty MidSmall IT & Telecom index tracks the performance of the mid cap and small cap
stocks belonging to the information technology and telecommunication sector. The index
includes upto 20 stocks base date of the index is April 1, 2005 and a base value of 1000 points.

Index review and eligibility criteria
Index Review frequency:
The review of sectoral indices is undertaken semi-annually based on data for six months ending
January and July.

Eligibility criteria
To form part of Nifty MidSmall Sector Indices, stocks should qualify the following eligibility
criteria:
Eligible Universe:•

Stocks forming part / going to be a part the Nifty MidSmallcap 400 index at the time of review
subject to the following:o Non - F&O stocks within Nifty MidSmallcap 400 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 period*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.
Stock Selection criteria:•

Stocks within the eligible sector universe are sorted in the descending order of their 6-monthaverage Free-Float Market capitalization•

Based on the above free-float market capitalization order within the sector universe, 30
stocks in Nifty MidSmall Financial Services index, 30 stocks in Nifty MidSmall Healthcare

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index and 20 stocks in Nifty MidSmall IT & Telecom index are selected to be part of the index(subject to availability)•

A comprehensive list of basic industries eligible to be included in this index can be accessedin a separate section in this document {Click Here}. The list of basic industries identified so
far may evolve and hence change in future due to market dynamics.

Constituent Weights and Capping:•

Weights of each stock in these indices shall be calculated based on its free-float market
capitalization•

Stock weights shall be capped at 33% each and the aggregate weight of top 3 stocks shall becapped at 62% at the time of index rebalancing.

•

Capping of the indices shall be done on a quarterly basis on the last trading day of March,June, September and December.

Reconstitution•

The indices shall be reconstituted on a semi-annual basis along with the parent index Nifty
MidSmallcap 400 in the month of March and September•

The replacements shall be implemented from the last trading day of March and September•

Eligible stocks within the sector universe that are already not part of the index shall be
included if free-float market capitalization is at least 1.5 times the free-float market
capitalization of the smallest index constituent in respective index replacing such smallest
index constituent•

In case, the number of eligible stocks within the Nifty MidSmallcap 400 falls below 30 for Nifty
MidSmall Financial Services and Nifty MidSmall Healthcare and 20 for Nifty MidSmall IT &Telecom index, the index shall continue with the available number of stocks within the eligible
sector universe•

In case, the number of eligible stocks within Nifty MidSmallcap 400 falls below 10, then deficit
number of stocks shall be selected from the universe of stocks ranked within top 800 basedon both average daily turnover and average daily full market capitalization based on previous
six months period data used for index rebalancing of Nifty MidSmallcap 400, provided
company meets the eligibility criteria of having minimum listing history of 1 calendar month,
90% trading frequency, not hitting the circuit filter more than or equal to 20% of the trading

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41

days in past 6 months as on the data cut-off date and are not forming part of Nifty 100 as on
effective date•

Further, in case the number of eligible stocks in the universe is still less than 10, then the
deficit number of stocks shall be selected from the universe of stocks ranked within top 1000,
top 1100, top 1200 and so on, based on both average daily turnover and average daily fullmarket capitalization based on previous six months period data, until at least 10 eligible
stocks are obtained, subject to fulfilment of other inclusion criteria. If the number of eligible
stocks is still less than 10, then the index may have less than 10 constituents•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the indices shall be initiated in case any of the index constituents is excluded
from Nifty MidSmallcap 400 index or undergoes suspension or delisting or scheme ofarrangement•

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. In caseof 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 noncompliance to ensure the compliance of applicable norms

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Nifty Thematic Indices
NSE Indices has developed a series of thematic indices that represent the collective performanceof stocks in respective theme of the index. These thematic indices are capped as per the details
provided under ‘Index characteristics’ on subsequent pages.

1. Nifty Capital Markets: The index is designed to reflect the behaviour and performanceof a diversified portfolio of companies representing the capital market theme. A
comprehensive list of basic industries eligible to be included in this index can be accessed ina separate section in this document {Click Here}. The index comprises of maximum of 20
stocks. Weights of constituents of Nifty Capital Markets are capped at 20% (maximum
capping limit).

2. Nifty Commodities: The index is designed to reflect the behaviour and performance ofa diversified portfolio of companies representing the commodities segment which includes
sectors like Oil, Petroleum Products, Cement, Power, Chemical, Sugar, Metals and Mining
etc. A comprehensive list of basic industries eligible to be included in this index can beaccessed in a separate section in this document {Click Here}. The index comprises ofmaximum of 30 stocks. Weights of constituents of Nifty Commodities are capped at 10%(maximum capping limit).

3. Nifty Core Housing: The index is designed to reflect the behaviour and performance of
portfolio of stocks that represent the core housing theme. A comprehensive list of basic
industries eligible to be included in this index can be accessed in a separate section in thisdocument {Click Here}. The index comprises of maximum of 30 stocks.

Weights ofconstituents of Nifty Core Housing are capped at 15% (maximum capping limit).

4. Nifty Energy: The index is designed to reflect the behaviour and performance ofcompanies that represents sectors such as petroleum, gas and power etc. A comprehensive
list of basic industries eligible to be included in this index can be accessed in a separate
section in this document {Click Here}. The index comprises of maximum of 10 stocks.

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Weights of each stock in Nifty Energy index are calculated based on its free-float market
capitalization such that no single stock shall be more than 33% and weights of top 3 stocks
cumulatively shall not be more than 62% at the time of rebalancing.

5. Nifty Housing: The index is designed to reflect the behaviour and performance of
portfolio of stocks that broadly represent the housing theme. A comprehensive list of basic
industries eligible to be included in this index can be accessed in a separate section in thisdocument {Click Here}. The largest 50 stocks from eligible basic industries are chosen basedon 6 month average free-float market capitalisation. Index stock weights are based on theirfree-float market capitalization. Sector weights are capped at 25% each and stock weights
are capped at 10% each.

6. Nifty India Consumption:

The index is designed to reflect the behavior andperformance of a diversified portfolio of companies representing the domestic consumption
sector which includes sectors like Consumer Non-durables, Healthcare, Auto, Telecom
Services, Pharmaceuticals, Hotels, Media & Entertainment, etc. A comprehensive list ofbasic industries eligible to be included in this index can be accessed in a separate section inthis document {Click Here}. Companies with domestic operating revenue of more than 50%
are considered eligible for inclusion in the index. The index comprises of maximum of 30
stocks. Weights of constituents of Nifty India Consumption index are capped at 10%(maximum capping limit).

7. Nifty India Tourism: The index is designed to reflect the behaviour and performance of
portfolio of stocks that represent the travel and tourism theme. A comprehensive list ofbasic industries eligible to be included in this index can be accessed in a separate section inthis document {Click Here}. The index comprises of maximum of 30 stocks. Weights ofconstituents of Nifty India Tourism are capped at 20% (maximum capping limit).

8. Nifty Infrastructure: The index is designed to reflect the behaviour and performance ofcompanies that represents infrastructure sector such as power, port, air, roads, railways,
shipping etc. A comprehensive list of basic industries eligible to be included in this index can

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44

be accessed in a separate section in this document {Click Here}. The index comprises ofmaximum of 30 companies.

Further, effective September 27, 2019, the index is computed with maximum of 30
companies and weights of each company in the index are capped at 20% (from 34% earlier).

9. Nifty MNC: The index is designed to reflect the behaviour and performance of companies
in which the foreign promoter shareholding is over 50%. The index comprises of maximumof 15 companies and base date of the index is January 2, 1995 and base value of 1000 points.
Further, effective September 28, 2018, the index is computed with maximum of 30
companies and weights of each company in the index are capped at 10%. At the time ofrebalancing of shares/ change in index constituents/ change in investable weight factors(IWFs), the weightage of the index constituent (where applicable) is capped at 10%.
Weightage of such stock may increase beyond 10% between the rebalancing periods.

10. Nifty PSE: The index is designed to reflect the behaviour of public sector enterprises(PSE) companies. Companies with 51% of their outstanding share capital held by the Central
Government and/or State Government, directly or indirectly are considered as PSEs. The
index comprises of maximum of 20 companies.

Weights of each stock in Nifty PSE index are calculated based on its free-float market
capitalization such that no single stock shall be more than 33% and weights of top 3 stocks
cumulatively shall not be more than 62% at the time of rebalancing.

11. Nifty Rural: The index is designed to reflect the behaviour and performance of portfolioof stocks that represent the rural theme. A comprehensive list of basic industries eligible to
be included in this index can be accessed in a separate section in this document {Click Here}.
The index comprises of maximum of 75 stocks. Weights of sectors of Nifty Rural are capped
at 25% (maximum capping limit) and weights of constituents are capped at 10% (maximum
capping limit)

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12. Nifty Services Sector: The Nifty Services Index is designed to reflect the behavior andperformance of service sectors services sector such as computers – software, IT educationand training, banks, telecommunication services, financial institutions, power, media,
courier, shipping etc. A comprehensive list of basic industries eligible to be included in thisindex can be accessed in a separate section in this document {Click Here}. The index
comprises of maximum of 30 companies.
Weights of each stock in Nifty Services Sector index are calculated based on its free-float
market capitalization such that no single stock shall be more than 33% and weights of top 3
stocks cumulatively shall not be more than 62% at the time of rebalancing.

13. Nifty Non-Cyclical Consumer: NSE Indices has developed the Nifty Non-Cyclical
Consumer Index which aims to track the performance of portfolio of stocks that broadly
represent the Non-Cyclical Consumer theme. A comprehensive list of basic industries eligible
to be included in this index can be accessed in a separate section in this document {ClickHere}. The largest 30 stocks from eligible basic industries are chosen based on 6 monthaverage free-float market capitalisation. The list of basic industries identified so far may
evolve and hence change in future due to market dynamics. The weight of the stocks in theindex is based on their free-float market capitalization. Stock weights are capped at 10%.

14. Nifty Mobility: NSE Indices has developed the Nifty Mobility Index which aims to track
the performance of portfolio of stocks that broadly represent the mobility theme. The
largest 30 stocks from eligible basic industries shown in Table 1 below are chosen based on
6 month average free-float market capitalization. The list of basic industries identified so far
may evolve and hence change in future due to market dynamics. The weight of the stocks in
the index is based on their free-float market capitalization. Sectors corresponding to certain
basic industries listed in Table 2 below are capped at 20% each and the stocks belonging tothese basic industries are capped at 5% each. All other stocks are capped at 8% each.

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Table 1: List of eligible basic industries
No.

Eligible Basic Industry

1

2/3 Wheelers
Abrasives
AirlineAuto Components & Equipments
Batteries Automobile
Bearings
Castings & Forgings
Commercial Vehicles
Fastener
Gas Cylinders
Gas Transmission/Marketing
Logistics Solution Provider
LPG/CNG/PNG/LNG Supplier

2
3
4
5
6
7
8
9
10
11
12
13

No.

Eligible Basic Industry

15 Port & Port services
16 Railway Wagons
17 Railways
18 Refineries & Marketing
19 Ship Building & Allied Services
20 Shipping
21 Toll bridge operator
22 Tour, Travel Related Services
23 Tractors
24 Trading Auto Ancillaries
25 Trading Automobiles
26 Tyres & Rubber Products
27 Apart from the above 25 basic industries, ECommerce companies which are into delivery are
eligible to be included

14 Passenger Cars & Utility Vehicles

Table 2: Basic industries for which corresponding sectors are capped at 20% each and stock cap of 5%each applies. This list of basic industries for which corresponding sectors are capped at 20% each andstocks are capped at 5% each, may evolve and hence change in future due to market dynamics.

Sr. No.

Basic industries for which corresponding
sectors are capped at 20% each and stock
cap of 5% each applies

1

Abrasives

2

Bearings

3

Castings & Forgings

4

LPG/CNG/PNG/LNG Supplier

5

Railway Wagons

6

Refineries & Marketing

7

Ship Building & Allied Services

8

Gas Transmission/Marketing

The above list of basic industries, for which corresponding sectors are capped at 20% each andstocks are capped at 5% each, may evolve and hence change in future due to market dynamics.

15. Nifty India Digital: NSE Indices has developed the Nifty India Digital Index which aims to
track the performance of portfolio of stocks that broadly represent the Digital theme. A
comprehensive list of basic industries eligible to be included in this index can be accessed ina separate section in this document {Click Here}. The largest 30 stocks from eligible basic
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47

industries are chosen based on 6 month average free-float market capitalisation. The list ofbasic industries identified so far may evolve and hence change in future due to market
dynamics.

Additionally, in the future, we may explore using Artificial Intelligence(AI)/Machine Learning (ML) driven tools to identify companies focused on digital technology.
The weight of the stocks in the index is based on their free-float market capitalization. Sector
weights are capped at 50% each and stock weights are capped at 7.5% each.

16. Nifty Transportation & Logistics: The Nifty Transportation & Logistics Index aims to
track the performance of portfolio of stocks that broadly represent the Transportation &Logistics theme. A comprehensive list of basic industries eligible to be included in this index
can be accessed in a separate section in this document {Click Here}.

The largest 30 stocks from eligible basic industries given below are chosen based on 6 monthaverage free-float market capitalisation. The list of basic industries identified so far may evolveand hence change in future due to market dynamics. The weight of stocks in the index is basedon their free-float market capitalization. Stock weights are capped at 20% each.

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Index review and eligibility criteria
Index Review frequency:
The review of these indices is undertaken semi-annually based on data for six months ending
January and July.

Eligibility Criteria
To be considered for inclusion in indices listed above, companies must form part of eligible
universe. The eligible universe includes:
1. Companies should form part of Nifty 500 at the time of review.
2. In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selected froma list of any other index. Example: Nifty Infrastructure index would be considered as a childindex as constituents of Nifty Infrastructure are selected from a list of Nifty 500 index.
3. Minimum number of stocks within the index should be 10.
4. In case, the number of eligible stocks within Nifty 500 falls below 10, then deficit number ofstocks shall be selected from the universe of stocks ranked within top 800 based on bothaverage daily turnover and average daily full market capitalisation based on previous six
months period data used for index rebalancing of Nifty 500
5. Further, in case the number of eligible stocks in the universe is still less than 10, then the
deficit number of stocks shall be selected from the universe of stocks ranked within top 1000,
top 1100, top 1200 and so on, based on both average daily turnover and average daily fullmarket capitalization based on previous six months period data, until at least 10 eligible
stocks are obtained, subject to fulfilment of other inclusion criteria. If the number of eligible
stocks is still less than 10, then the index may have less than 10 constituents
6. Companies should form part of respective theme of indices as mentioned above
7. In case of Nifty Infrastructure index, companies that are allowed to trade in F&O segment at
NSE are only eligible to be constituent of the index
8. Companies will be included if free-float market capitalisation is at least 1.5 times the freefloat market capitalization of the smallest index constituent in respective index.

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Constituent capping:•

Weights of constituents of Nifty Commodities, Nifty India Consumption index, Nifty MNC and
Nifty Non-Cyclical Consumer are capped at 10% (maximum capping limit), weights ofconstituents of Nifty Core Housing are capped at 15%, weights of constituents of Nifty
Infrastructure, Nifty India Tourism and Nifty Capital Markets are capped at 20% and weightsof each stock in Nifty Energy, Nifty PSE and Nifty Services Sector index are calculated basedon its free-float market capitalization such that no single stock shall be more than 33% andweights of top 3 stocks cumulatively shall not be more than 62% at the time of rebalancing.
For the Nifty Housing Index, sector weights are capped at 25% each and stock weights arecapped at 10% each. For Nifty Rural Index, sector weights are capped at 25% each and stock
weights are capped at 10% each. For Nifty India New Age Consumption, sector weights arecapped at 25% each and stock weights are capped at 5% each. For the Nifty Mobility Index,
sectors corresponding to certain basic industries listed in Table 2 are capped at 20% each andthe stocks belonging to these basic industries are capped at 5% each. All other stocks arecapped at 8% each. In case the number of stocks from basic industries corresponding to thosedefined in Table 2 above getting capped at 5%, is greater than or equal to 4, the sector cap
criteria for such non-core sectors would be relaxed from 20% to 25%, then 30% and so on.
For the Nifty India Digital Index, sector weights are capped at 50% each and stock weights
are capped at 7.5% each. For the Nifty Transportation & Logistics Index, stock weights arecapped at 20% each.

•This means that at the time of rebalancing of the index, no single constituent shall haveweightage of more than maximum capping limits as stated above. The capping factor ofstocks is realigned replacement of scrips in the index and on a quarterly basis and madeeffective from the last trading day of March, June, September and December•

In the event of weight realignment, capping factors will be calculated for all constituents (forcapped indices) whose uncapped weight is greater than maximum capping limits as statedabove. Weightage of such constituent may increase beyond maximum capping limit between
the rebalancing periods depending on the price movement. The capping factor is calculated
considering the closing prices of the index constituents 3 trading days (T-3) prior to theeffective date (T day) of the changes for all constituents

Also see:••Index characteristics: Click here
Index reconstitution frequency: Click here

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50

•
•
•
•

Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

16. Nifty EV & New Age Automotive
The Nifty EV & New Age Automotive Index aims to track the performance of the companies which
are active in electric vehicles or new age automotive vehicles (such as hybrid vehicles, hydrogenfuel-based vehicles and green hybrid vehicles) segment. This particularly includes manufacturersof electric vehicles, new age automotive vehicles, electric batteries; electric vehicles or electric
battery component producers, companies produce or supply raw materials that are relevant to
the electric vehicle and autonomous vehicle technology segment, companies that build
autonomous vehicles, and suppliers of autonomous vehicle technologies.
The salient features of this index are:•

The index has a base date of April 02, 2018 and a base value of 1000.

•

Stocks forming part / going to be a part of the Nifty 500 index at the time of review are
eligible for inclusion in the index.

•

Stocks forming a part of the Nifty 500 are eligible to be a part of the index provided they
are involved in the production and supply of electric or new age automotive vehicles,
batteries, components, raw materials, and technology•

The overall weight of the stocks belonging to Group A (Manufacturing of
2W/3W/4W/PV/CV Electric and New age automotive vehicles) shall be capped at 40%.

•

The weight of each stock belonging to Group A shall be capped at 8%. All other stocks arecapped at 4%•

The index is reconstituted semi-annually and rebalanced on a quarterly basis.

Universe:•

Stocks forming part/going to form part of the Nifty 500 index•

Bottom 10 percentile stocks based on 6-month average daily turnover are ineligible forinclusion in the index

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Eligible Universe:•

Stocks within Nifty 500 are eligible to be a part of the index provided they fulfil any of thefollowing criteria:o Group A
Manufacturing of 2W/3W/4W/PV/CV Electric and New age automotive vehicles
o Group B
Manufacturing of batteries for Electric and New age automotive vehicles
o Group C:C.1) Manufacturing of components for Electric and New age automotive vehicles/ Electric and New age automotive vehicle batteriesC.2) Manufacturing/ Supply of raw material for Electric and New age automotive
vehicles/batteries/components (excluding supplier/manufacturer of metals)
C.3) Provide advanced automotive technology for Electric and New age
automotive vehicles.
o Group D
All companies that are part of eligible universe for group C and are a part of any
one of the below groups:•••

Product Linked Incentives (PLI) for Advanced Automotive or ACC batteries
Faster Adoption and manufacturing of Electric Vehicles (FAME)
Society of Manufacturers of Electric Vehicles (SMEV) (excluding companies
that are only involved in charging ecosystem)*For detailed description of each criterion, please refer to the Annexure below

Stock Selection criteria:
Selection of the stocks will be done in either of the following manner:
1. Select all stocks forming part of the Group A and Group B
2. Select top 5 stocks based on 6 month average free-float market capitalizationfrom each of the Group C.1, Group C.2 and Group C.3
3. Select top 5 stocks based on 6 month average free-float market capitalizationfrom Group D that are not selected in step 2 above.

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Weights and Capping:o Weight of each stock in the index is based on its free-float market capitalizationo Aggregate weight of the stocks belonging to Group A shall be capped at 40%
o The weight of each stock in Group A shall be capped at 8%. All other stocks arecapped at 4%.
o In case the capping limits are not achievable, the capping threshold shall be
relaxed by 1%
o The weight of the stocks shall be rebalanced on a quarterly basis
Reconstitution:o The index shall be reviewed/reconstituted on a semi-annual basis in March and
Septembero 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 Nifty EV & New Age Automotive indexo 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 constituentsis removed from Nifty 500 index due to any corporate action (scheme ofarrangement, delisting etc.) or suspension by the exchange etc.
o Further, on a quarterly basis, indices will be screened for compliance with theportfolio concentration norms for ETFs/ Index Funds announced by SEBI on
January 10, 2019. In case of non-compliance of any of the stated norms, suitablecorrective measures such as replacement of ineligible stock, re-alignment ofconstituent weights will be undertaken depending upon the nature of noncompliance to ensure the compliance with the norms.
Annexure
Following is a detailed description of each of the groups mentioned above:
Group A:
Manufacturing of 2W/3W/4W/PV/CV Electric and New age automotive vehicles:
The companies forming part of any of the following are eligible to be a part of theindex:

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A company either on its own or through its subsidiary is involved in the
manufacturing of Battery Electric Vehicle (BEV) or electric 2-wheelers (2W) suchas electric scooters, electric motorcycles and e-bicycles , 3-wheelers (3W) such as
e-rickshaws, 4-wheelers (4W), passenger vehicles, and commercial vehicles suchas electric bus, electric trucks (LCV, MCV, HCV, ICV, MDV, electric tippers, power
freight trucks, electric trailers) and electric tractors and electric rails, alternativefuel driven vehicles such as hybrid vehicles, hydrogen fuel based vehicles andgreen hybrid vehicles.
Group B:
Manufacturing of batteries for Electric and New age automotive vehicles:
The companies forming part of any of the following are eligible to be a part of theindex:
A company either on its own or through its subsidiary is involved in the
manufacturing of batteries for electric / alternative fuel-driven vehicles (hybrid
vehicles, hydrogen fuel-based vehicles and green hybrid vehicles) such as lithiumion batteries, lithium-ion battery packs, lead-acid batteries, sodium-ion batteries,
solid-state batteries, electric vehicle battery cells, e-ride batteries, e-rickshaw
batteries, E3W and E2W battery pack, pure-lead thin plate battery.

Group C:C.1) Manufacturing of components for Electric and New age automotive vehicles /Electric and New age automotive vehicle batteries:
The companies forming part of any of the following are eligible to be a part of theindex:
A company either on its own or through its subsidiary is involved in the
manufacturing/supply/ sale of Electric /alternative fuel-driven vehicle (hybrid
vehicles, hydrogen fuel-based vehicles and green hybrid vehicles) components
such as DC-DC converters, battery chargers, on-board and off-board battery
chargers, compressor packages, electric drivetrain, suspension, chassis parts,
brake parts, cooling systems, charge protection devices, aluminium castings, Hub
motor, motor control unit, electric control unit, dampers, motors, crankshafts,
aluminium forgings, stampings, magnetic products, composites, electric
powertrain, customised bearings, seals, thermal management system, RCD cable,
body control module, smart plug, traction motors, traction motors coolingsystems, axles, drivetrain and rotor parts, drive pulley, output shaft, drive motor,
motor controller, battery modules, throttle grip sensors, tyre pressure sensors,
electric horn, electric coolant pumps, electric vacuum pumps, electriccompressor, electronic braking system, Heads-Up display, E-cockpit, Disc brake,

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Round TFT Instrument cluster, TFT Smart Clusters, electric cabin tilt system,hydrogen powertrain, automotive LED lighting, electric locomotives, shock
absorbers, hybrid energy storage device, EV controller, electric control panels,
wiring harness, gears, camshafts, VFD, carburetor, EV fuses, Thinsulate acoustic
insulation, integrated absorptive barrier, muphony multilayered acoustic
specifically designed for EVs. OR
A company either on its own or through its subsidiary is involved in the
manufacturing of components of Electric /alternative fuel-driven vehicle (hybrid
vehicles, hydrogen fuel-based vehicles and green hybrid vehicles) batteries suchas lithium-ion cells, coating material for lithium-ion batteries, lithium-ion battery
components, BOPET (Biaxially Oriented Polyester) films for EV batteries, battery
management system (BMS) and graphite anode.
C.2) Manufacturing/Supply of raw material for Electric and New age automotive
vehicles/batteries/components (excluding supplier/manufacturer of metals):
The companies forming part of any of the following are eligible to be a part of theindex:
A company either on its own or through its subsidiary is involved in the
production/ supply of chemicals or raw materials for electric/alternative fueldriven(hybrid,hydrogenfuel-based
and
green
hybrid)vehicles/batteries/components such as bromine and lithium for lithium-ion
batteries, development of EV battery molecules, electrolyte salts used in super
capacitor batteries, soda -ash, lithium iron phosphate, PVDF electrode binders,battery chemicals, LiPF6, additives, electrolyte formulations, cathode active
materials, fluoropolymers, anode and cathode material for lithium-ion cells
excluding ceramics, metals such as copper and aluminium, steel, and other metal
based products such as aluminium foil and semi-conductor material such as siliconcarbideC.3) Advanced Automotive Technology for Electric and New age automotive
vehicles:The companies forming part of any of the following are eligible to be a part of theindex:
A company either on its own or through its subsidiary provides
hardware/software technology solutions to Electric/alternative fuel-driven
vehicles (hybrid, hydrogen fuel-based and green hybrid) such as end-to-end
electric vehicle engineering solutions, electric vehicle solutions, electric drivetrain
solutions, electric mobility solutions, hydrogen drivetrain solutions. This also
includes companies that are involved in the development of green technology forelectric/alternative fuel-driven vehicles (hybrid, hydrogen fuel-based and green

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hybrid), Advanced Driver Assistance systems (ADAS), car automation, control
systems and technology solutions for software defined vehicles (SDVs).

Group D:All companies that are part of eligible universe for group C and are part of any one of
the below groups:• Product Linked Incentives (PLI) for Advanced Automotive or ACC batteries• Faster Adoption and manufacturing of Electric Vehicles (FAME)• Society of Manufacturers of Electric Vehicles (SMEV) (excluding companies
that are only involved in charging ecosystem)

17. Nifty India Manufacturing‘Nifty India Manufacturing’ Index aims to track the performance of the companies selected fromthe combined universe of Nifty 100, Nifty Midcap 150 and Nifty Smallcap 50 index based on 6
month average free-float market capitalisation within the eligible basic industries that broadly
represent manufacturing sector. A stock’s weight is based on its free-float market capitalization.
The salient features of this index are:•

The index has a base date of April 01, 2005, with a base value of 1000•

Stocks forming part of the combined universe of Nifty 100, Nifty Midcap 150 and Nifty
Smallcap 50 at the time of review are eligible for inclusion in the index•

Stocks forming part of the eligible ‘basic industry’ based on AMFI classification shall be
eligible to be included from the universe at the time of review. (Refer Annexure 1 for listof such eligible basic industries)•

Provides ~75% coverage of Free Float Market Cap of eligible stocks within each eligible
basic industry of the combined universe•

The weight of each stock in the index is based on its free float market capitalization with amaximum stock cap of 5% and minimum weight to certain manufacturing sectors shall be
20% each•

Index is reconstituted and rebalanced semi-annually

Eligibility Criteria:

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To form part of the Nifty India Manufacturing index, stocks should satisfy the following eligibility
criteria.
Stock Selection Universe:•

Stocks forming part / going to be a part of the combined universe of Nifty 100, Nifty
Midcap 150 and Nifty Smallcap 50 index at the time of review•

Only ordinary equity shares will be considered•

A comprehensive list of basic industries eligible to be included in this index can beaccessed in a separate section in this document {Click Here}.

Stock Selection criteria:
Selection of the stocks shall be done in following steps:
Step 1: Select all the eligible stocks from Nifty 100
Step 2: If the cumulative coverage based on 6 month Average FFMCAP of the stocks selected in thestep 1 is less than 75% within their basic industries across the combined universe, then the stocks
from Nifty Midcap 150 and Nifty Smallcap 50 are sorted in the descending order of the 6 month
Average Free-float mcap* within each basic industry
Step 3: The stocks are then selected from the sorted universe until the 75% coverage by cumulative
weight (including the stocks selected in step 1) of 6 month Average FFMCAP of the eligible stocks
within the basic industry is reached.

Weights and capping:•

Weights of each stock in the index will be calculated based on its free-float market
capitalization•

The following manufacturing sectors shall have a minimum weight ^ of 20% each
1) Automobile and Auto Components
2) Capital Goods•

The maximum weight of each stock within the index is capped at 5%•

The weight of the stocks shall be rebalanced on a semi-annual basis along with the
Nifty Broad-based indices^In case the number of stocks within the Automobile and Auto Components or Capital Goods sector falls
below 4, the constraint of minimum sector weight will be relaxed for that sector

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Reconstitution:• Index reconstitution and rebalancing will be done along with the Nifty Broad-based
indices on a semi-annual basis in March and September and made effective on the last
trading day of March and September using the 6 month Average free-float capitalization
ended January and July respectively• Stocks forming part/going to be part of the eligible basic industries within the combined
universe of Nifty 100, Nifty Midcap 150 and Nifty Smallcap 50 at the time of review are
eligible to be the part of the index• The following guidelines are used in order to achieve the target sector coverage of 75%•

Step 1: Select all the eligible stocks from Nifty 100•

Step 2: If the cumulative coverage based on 6 month Average FFMCAP of thestocks selected in the step 1 is less than 75% within their basic industries within
the combined universe, the stocks from Nifty Midcap 150 and Nifty Smallcap 50
are sorted in the descending order of the 6 month Average Free-float mcap within
their basic industries•

Based on the above sorting the cumulative % free-float basic industry coverage iscalculated•

In each basic industry where the cumulative % free-float coverage after theselection of stocks within Nifty 100 is less than 75%, the companies are selecteduntil the cumulative basic industry coverage of the selected companies crosses
75% following the below guidelines:•

The company that increases the cumulative basic industry coverage above
75% is termed as ‘marginal company’•

If the marginal company is an existing index constituent, it is retained in
the index.

•

If the marginal company is a new constituent, it will be included in theindex:•

Only if the cumulative weight of companies before the addition of
marginal company is less than 70%

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•

If the cumulative weight exceeds 75% after the addition of themarginal stock, such that the excess weight above 75% is lower thanthe earlier deficit below 75% (i.e. 75% minus the cumulative weight
before including the marginal stock) For instance, if the cumulative
weight of the stocks before the addition of marginal stock is 72.5%
and on the addition of the marginal stock, the cumulative weight
becomes 77%, the stock will be included in the index (as the excess
weight of 2% is lower than the deficit of 2.5%). But if on the additionof marginal stock the weight becomes 78%, the new constituent will
not be included in the index (as the excess weight of 3% is higher thanthe deficit of 2.5%)•

If there is only 1 eligible stock within the basic industry, it is includedin the index•

If adding a non-marginal existing index constituent(s) ranked immediately after themarginal stock does not increase the basic industry coverage beyond 80%, such
existing stock(s) would be retained in the index•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents
undergoes suspension or delisting or scheme of arrangement•

Further, on a quarterly basis, indices will be screened for compliance with theportfolio concentration norms for ETFs/ Index Funds announced by SEBI on January
10, 2019. In case of non-compliance, suitable corrective measures will be taken to
ensure compliance with the norms

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5918. Nifty India Defence
NSE Indices has developed the Nifty India Defence Index which aims to track the performance of
portfolio of stocks that broadly represent the Defence theme. From the Nifty Total Market index,
stocks forming part of eligible basic industries or those which obtain at least 10% of revenues
from the defence industry are eligible to be included in the index and are chosen based on 6
month average free-float market capitalization. The weight of the stocks in the index is based on
their free-float market capitalization. Stock weights are capped at 20% each.
The salient features of this index are:•

The index has a base date of April 02, 2018, with a base value of 1000•

Stocks part of / going to form part of the Nifty Total Market at the time of review are
eligible for inclusion in the index•

Stocks forming part of the certain eligible ‘basic industries’ based on AMFI Industry
Classification or stocks which are present in the Society of Indian Defence Manufacturers(SIDM) member list and obtain at least 10% of revenues from the defence segment are
eligible to be included from the universe at the time of review•

Minimum number of stocks within the index is 10•

The weight of each stock in the index is based on its free float market capitalization•

Stocks weights are capped at 20% each•

The Index is reconstituted semi-annually along with Nifty Broad-market indices

Index Methodology:
Universe and Eligibility Criteria:•

Stocks forming part/going to form part of Nifty Total Market index are considered as eligible
universe for stock selection•

Within the Nifty Total Market index, stocks forming part of the basic industries given below
or stocks which are present in the Society of Indian Defence Manufacturers (SIDM) member
list as of the review date and obtain at least 10% of revenues from the defence segment are
eligible to be included in the index. The list of basic industries and eligible SIDM members
identified so far may evolve and hence change in the future due to changes in the SIDM
member list or market dynamics•

Minimum number of stocks within the index is 10

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•

In case, the number of eligible stocks within the Nifty Total Market index falls below 10, thendeficit number of stocks shall be selected from the universe of stocks ranked within top 1000,
top 1100, top 1200 and so on, based on both average daily turnover and average daily fullmarket capitalisation based on previous six months period data used for index rebalancing
of Nifty Total Market Index•

Maximum number of stocks within the index is 30•

A comprehensive list of basic industries eligible to be included in this index can be accessedin a separate section in this document {Click Here}. The above list of eligible basic industries
may evolve and hence change in future due to market dynamics.

Stock selection criteria:
As on the base date of the index, select the largest 30 stocks (subject to availability) from the
Eligible Universe based on their average daily free float market capitalization based on previous
six months period data
Weight and Constituent Capping:•

Stock weights are determined based on their free float market capitalizations•

Stock weights of index constituents are capped at 20% each on a quarterly basis in March,June, September and December•

For capping purpose, the weight of the DVR and its parent stock would be derived in thefollowing way:o Aggregate the Free Float Market Capitalization of the DVR security and its parent
o The weight of the combined entity will be split into the weight of the parent security andthe DVR security in the proportion of the Free Float Market Capitalization of the parent
and DVR•

The weight of the sectors and stocks may drift between two rebalancing periods due to the
movement in stock prices

Reconstitution & Rebalancing criteria:•

Index reconstitution will be done on a semi-annual basis in March and September along with
the Nifty Broad-based indices based on data for 6 months ending January and July
respectively

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•

In case the number of stocks in the eligible universe exceeds 30, companies will be included
if free-float market capitalisation is at least 1.5 times the free-float market capitalization of
the smallest index constituent in respective index•

From April 2016 onwards, equity securities with Differential Voting Rights (DVR) are eligible
for inclusion in the index subject to fulfilment of specified DVR related criteria mentioned
below:oMarket capitalisation criteria is measured at a company level by aggregating themarket capitalisation of individual class of security meeting the liquidity criteria
for the respective indexoFree 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 classshare) and 100% free-float market capitalization of last security in respective
index

o

It should meet liquidity criteria applicable for the respective indexoUpon 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 companieso

It is possible that the DVR is eligible for inclusion in the index whereas the fullvoting rights security class is ineligible. In such scenario, the DVRs shall be includedin the index irrespective of whether full voting rights share class is part of index•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement•

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. In caseof non-compliance, suitable corrective measures will be taken to ensure compliance with thenorms

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6219. Nifty India New Age Consumption
NSE Indices has developed the Nifty India New Age Consumption Index which aims to track the
performance of stocks from the Nifty 500 Index which represent the new age consumption
theme. The new age consumption theme captures companies that cater to the discretionary andaspirational spending of the new generation. It also provides insights into the evolving
preferences that define modern consumer behaviour in a rapidly changing market by focusing
on sectors such as Consumer Services, Automobile and Auto Components, Consumer Durables,
Realty etc. The Nifty India New Age Consumption index comprises of maximum of 75 stocks. The
weight of each stock in the index is based on its free-float market capitalization.

The salient features of this index are:•

The index has a base date of April 01, 2005, with a base value of 1000•

Stocks part of the Nifty 500 index at the time of review are eligible for inclusion in the index•

Stocks forming part of the eligible basic industries {Click Here} shall be eligible to be included
from the universe at the time of review•

The index comprises a maximum of 75 stocks•

The weight of each stock in the index is based on free float market capitalization•

The Index is reconstituted semi-annually and rebalanced quarterly•

Sector weights are capped at 25%. Stock weights are capped at 5%

Index Methodology:
Universe:•

Stocks forming part/going to form part of Nifty 500 index are considered as eligible
universe for stock selection•

Stocks forming part of the basic industries within the Nifty 500 are eligible to be includedin the index.

•

A comprehensive list of basic industries eligible to be included in this index can beaccessed in a separate section in this document {Click Here}

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Stock selection criteria:•

75 stocks from the eligible universe are selected in the following manner:o Step 1: Select top stock from each basic industry based on 6-month average Free
Float Market capitalization.
o Step 2: In case the number of stocks selected in step 1 above is less than 75, thenthe deficit number of stocks are selected based on 6-month average Free Float
Market capitalization from the remaining universe.

Weights and Capping:•

Weight of the stock in the index is based on its free float market capitalization•

Sector weights are capped at 25% and stock weights shall be capped at 5% at the time ofrebalancing•

Capping will be done quarterly at the time of rebalancing on the last trading day of March,June, September and December•

The weight of the stocks may drift between the two rebalancing periods due to the
movement in stock prices

Index Rebalancing and Reconstitution• The index shall be reviewed/reconstituted on a semi-annual basis in March and
September using data ended January and July respectively•

Stocks that moved out of the Nifty 500 index shall also move out of the index at the timeof the subsequent review of the Nifty India New Age Consumption index•

Existing index constituents that do not form part of the eligible universe are excluded
from the index•

Minimum number of stocks within the index should be 10.

•

In case, the number of eligible stocks within Nifty 500 falls below 10, then the deficit
number of stocks shall be selected from the universe of stocks ranked within top 800
based on both average daily turnover and average daily full market capitalization basedon previous six months period data used for index rebalancing of Nifty 500•

Further, in case the number of eligible stocks in the universe is still less than 10, then the
deficit number of stocks shall be selected from the universe of stocks ranked within top
1000, top 1100, top 1200 and so on, based on both average daily turnover and average

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daily full market capitalization based on previous six months period data, until at least 10
eligible stocks are obtained, subject to fulfilment of other inclusion criteria. If the numberof eligible stocks is still less than 10, then the index may have less than 10 constituents•

Compulsory inclusion shall be done in the following manner:o Step 1: Top stock from each basic industry shall be compulsory included
o Step 2: Non-member eligible stock shall be included if its free-float market
capitalization is at least 1.5 times the free float market capitalization of thesmallest index constituent other than the stocks forming part of Step 1•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement•

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. Incase of non-compliance, suitable corrective measures will be taken to ensure compliancewith the norms

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20. Nifty IPO
The Nifty IPO Index aims to track the performance of the last 100 IPOs listed on NSE andpermitted to trade stocks if they are allowed to trade on NSE on the day of listing, subject tomeeting minimum inclusion criteria. Stock weights are determined based on their free float
market capitalization. Stock weights are capped at 10%

The salient features of this index are:•

The index has an inception date of Jan 02, 2017, with a base value of 1000•

Last 100 IPOs are eligible for inclusion in the index subject to minimum inclusion criteria•

The weight of each stock in the index is based on its free float market capitalization•

The index is reviewed quarterly•

Stocks weights are capped at 10% eachIndex methodology:
Eligible Universe:•

All IPOs listed on NSE Main board and permitted to trade stocks if they are allowed to
trade on NSE on the day of listing• Company’s free-float market capitalization as on the listing date at NSE should be Rs. 100
crores or more
Stock selection criteria:•

As on the base date of the index, previous 100 IPOs that are eligible as per the above
eligibility criteria, are selected to be part of the index.

Constituent Weights and Capping:•

Stock weights are determined based on their free float market capitalizations•

Each constituent of the index is capped at 10%•

Index weight caps are reset at every review whether periodic or ad-hoc

Reconstitution & Rebalancing criteria:•

The index reconstitution and rebalancing is done on a quarterly basis and will be madeeffective from the last trading day of March, June, September and December•

At every quarterly review, the total number of constituents in the index is reset at 100 by
removing the excess number of stocks above 100. Stocks with oldest listing dates are
removed first

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•

In case there are two or more stocks with same listing date and are eligible for exclusion,
all such stocks shall be removed from the index and the total number of stocks in theindex may temporarily be lower than 100•

Going forward, eligible new IPOs shall be included in the index on a T+4 basis, where T is
the listing date of IPO. No exclusions from the index shall be made due to these inclusions.
As a result, the total number of index constituents may exceed 100 between twoquarterly index review dates•

Apart from the scheduled quarterly review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement. No inclusions shall be made into theindex due to such exclusions

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6721. Nifty MidSmall India Consumption
The Nifty MidSmall India Consumption index aims to track the performance of the portfolio ofstocks that broadly represent the consumption theme within the basic industries likepharmaceuticals, media and entertainment, telecom services, hotels, consumer electronics,
residential, commercial projects, etc. Companies with domestic operating revenues of morethan 50% are considered eligible to be the part of the index.
The index includes upto 30 stocks and are selected from the parent Nifty MidSmallcap 400 index
based on stock’s 6 month average free-float market capitalization. The weight of each stock in
the index is based on stock’s free float market capitalization. Stock weights are capped at 10%
at the time of index rebalancing.
The salient features of this index are:•

The index series has a base date of April 01, 2005 and a base value of 1000•

Stocks forming part / going to be a part of the Nifty MidSmallcap 400 index at the time ofreview are eligible for inclusion in the index subject to the following:•o Domestic operating revenues of more than 50% are considered eligible forinclusion in the indexo Non - F&O stocks within Nifty MidSmallcap 400 are ineligible for inclusion if thetotal 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 thenumber of total trading days over the same period
Top 30 stocks are selected within the eligible basic industries to be the part of the index(subject to availability))•

The weight of each stock in the index is based on its free float market capitalization•

Index is reconstituted semi-annually and rebalanced quarterly.

Index methodology:
Eligibility criteria
To form part of Nifty MidSmall India Consumption Index, stocks should qualify the following
eligibility criteria(s)•Stocks forming part / going to be a part the Nifty MidSmallcap 400 index at the time of review
subject to the following:o Companies with domestic operating revenues of more than 50% within the eligible
basic industries are considered eligible to be the part of the index. A comprehensive
list of basic industries eligible to be included in this index can be accessed in a separate

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section in this document {Click Here}. The list of basic industries identified so far may
evolve and hence change in future due to market dynamics.
o Non - F&O stocks within Nifty MidSmallcap 400 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 period*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.

Stock Selection criteria:•

Top 30 stocks based on 6-month average Free-Float Market capitalization within the eligible
universe in Nifty MidSmall India Consumption Index are selected to be part of the index(subject to availability)

Constituent Weights and Capping:•

Weights of each stock in the index shall be calculated based on its free-float market
capitalization•

Stock weights shall be capped at 10% at the time of rebalancing•

Capping of the index shall be done on a quarterly basis on the last trading day of March, June,
September and December.

Reconstitution•

The index will be reconstituted on a semi-annual basis along with the parent index Nifty
MidSmallcap 400 in the month of March and September using six-month average data ending
January and July respectively•

The replacements shall be implemented from the last trading day of March and September•

Eligible stocks within the universe that are not part of the index shall be included if its freefloat market capitalization is at least 1.5 times the free-float market capitalization of thesmallest index constituent replacing such smallest index constituent

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•

In case, the number of eligible stocks within the Nifty MidSmallcap 400 falls below 30, theindex shall continue with the available number of stocks within the eligible universe•

In case, the number of eligible stocks within Nifty MidSmallcap 400 falls below 10, then deficit
number of stocks shall be selected from the universe of stocks ranked within top 800 basedon both average daily turnover and average daily full market capitalization based on previous
six months period data used for index rebalancing of Nifty MidSmallcap 400, provided
company meets the eligibility criteria of having minimum listing history of 1 calendar month,
90% trading frequency, not hitting the circuit filter more than or equal to 20% of the trading
days in past 6 months as on the data cut-off date and are not forming part of Nifty 100 as on
effective date•

Further, in case the number of eligible stocks in the universe is still less than 10, then the
deficit number of stocks shall be selected from the universe of stocks ranked within top 1000,
top 1100, top 1200 and so on, based on both average daily turnover and average daily fullmarket capitalization based on previous six months period data, until at least 10 eligible
stocks are obtained, subject to fulfilment of other inclusion criteria. If the number of eligible
stocks is still less than 10, then the index may have less than 10 constituents•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents is excluded
from Nifty MidSmallcap 400 index or undergoes suspension or delisting or scheme ofarrangement•

Further, on a quarterly basis, index will be screened for compliance with the portfolio
concentration norms for ETFs/ Index Funds announced by SEBI on January 10, 2019. In caseof 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 noncompliance to ensure the compliance of applicable norms

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7022. Nifty500 Multicap India Manufacturing 50:30:20
The Nifty500 Multicap India Manufacturing 50:30:20 aims to track the performance of selectlarge cap, mid cap and small cap stsocks from the Nifty 500 index that represent the
manufacturing theme. The weight of stocks is based on stock’s free float market capitalization
with overall weight to large cap segment fixed at 50%, mid-cap segment fixed at 30% and small
cap segment fixed at 20%. The weight of each stock in the index is capped at 10%.
The salient features of this index are:•

The indices have a base date of April 01, 2005 and a base value of 1000•

Stocks forming part / going to be a part of the Nifty 500 index at the time of review are eligible
for inclusion in the indices•

15 companies from large cap universe, 25 companies from mid cap and 35 companies fromsmall cap universe based on free-float market capitalization from the eligible universe withpreference to stocks that are available for trading on NSE’s F&O segment are selected to be
the part of the indices•

The overall weight to the large cap segment is fixed at 50%, mid cap segment is fixed at 30%
and small cap segment is fixed at 20%.

•

The weight of each stock in the index is based on the free float market capitalization subject
to a stock cap of 10%•

Indices are reconstituted semi-annually and rebalanced quarterly

Index Methodology
Eligibility criteria
To form part of Nifty500 Multicap India Manufacturing 50:30:20 and Nifty500 Multicap
Infrastructure 50:30:20, stocks should qualify the following eligibility criteria:
Eligible Universe:•

Stocks forming part / going to be a part the Nifty 500 index at the time of review•

Only ordinary equity shares will be considered•

Stocks should form part of the manufacturing theme. A comprehensive list of basic industries
eligible to be included in this index can be accessed in a separate section in this document

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{Click Here}. The list of basic industries identified so far may evolve and hence change infuture due to market dynamics.
Eligible segment universe:
Stock forming part of eligible universe are further classified into following segment universe:a) Large cap universe : stocks forming part of the Nifty 100b) Mid cap universe : stocks forming part of the Nifty Midcap 150c) Small cap universe : stocks forming part of the Nifty Smallcap 250
Stock Selection criteria:
Selection of the stocks shall be done in 2 steps:•

Step 1: Stocks within each eligible segment universe are further sorted in the descendingorder of their 6 month free-float market capitalization with preference to the stocks that areavailable for trading on the NSE’s Futures & Option segment (F&O stocks)•

Step 2: From the eligible segment universe select :o Top 15 companies from large cap universeo Top 25 companies from mid cap universeo Top 35 companies from the small cap universe

Constituent Weights and Capping:•

The weight of each stock in the indices is based on its free-float market capitalization•

The overall segment weight is fixed ato Large cap stocks - 50%
o Mid cap stocks - 30%
o Small cap stocks - 20%•

The weight of each stock in the indices shall be capped at 10%•

The indices shall be rebalanced on a quarterly basis on the last trading day of March, June,
September and December

Reconstitution•

The indices shall be reconstituted on a semi-annual basis and made effective from the last
trading day of March and September

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•

Stocks that move out of the Nifty 500 shall also move out of the Nifty500 Multicap India
Manufacturing 50:30:20 and the Nifty500 Multicap Infrastructure 50:30:20 index•

Non-member F&O stocks within each segment are compulsorily included in the respective
index replacing the smallest non F&O index constituent in that segment of that index•

In case all the member stocks within the segment of the index have F&O, a non-member
eligible stocks with F&O within that segment shall be included if its free-float market
capitalization is at least 1.5 times of the free-float mcap of the smallest index constituent
within that segment.

•

Non F&O stock will be included if its free-float market capitalization is at least 1.5 times thefree float market capitalization of the smallest index constituents which are not available fortrading in F&O segment•

In case, the number of eligible stocks within the large cap universe falls below 15, the mid
cap universe falls below 25 and the small cap universe falls below 35, the index shall continue
with the available number of stocks within the eligible segment universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the indices shall be initiated in case any of the index constituents is excluded
from Nifty 500 index or undergoes suspension or delisting or scheme of arrangement•

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. In caseof 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 noncompliance to ensure the compliance of applicable norms

23. Nifty500 Multicap Infrastructure 50:30:20
The Nifty500 Multicap Infrastructure 50:30:20 Index aims to track the performance of select largecap, mid cap and small cap stocks from the Nifty 500 index that represents the infrastructure
theme. The weight of stocks is based on stock’s free float market capitalization with overall
weight to large cap segment fixed at 50%, mid-cap segment fixed at 30% and small cap segment
fixed at 20%. The weight of each stock in the index is capped at 10%.
The salient features of this index are:

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•The indices have a base date of April 01, 2005 and a base value of 1000•

Stocks forming part / going to be a part of the Nifty 500 index at the time of review are eligible
for inclusion in the indices•

15 companies from large cap universe, 25 companies from mid cap and 35 companies fromsmall cap universe based on free-float market capitalization from the eligible universe withpreference to stocks that are available for trading on NSE’s F&O segment are selected to be
the part of the indices•

The overall weight to the large cap segment is fixed at 50%, mid cap segment is fixed at 30%
and small cap segment is fixed at 20%.

•

The weight of each stock in the index is based on the free float market capitalization subject
to a stock cap of 10%•

Indices are reconstituted semi-annually and rebalanced quarterly

Index Methodology
Eligibility criteria
To form part of Nifty500 Multicap India Manufacturing 50:30:20 and Nifty500 Multicap
Infrastructure 50:30:20, stocks should qualify the following eligibility criteria:
Eligible Universe:•

Stocks forming part / going to be a part the Nifty 500 index at the time of review•

Only ordinary equity shares will be considered•

Stocks should form part of the infrastructure theme. A comprehensive list of basic industries
eligible to be included in this index can be accessed in a separate section in this document{Click Here}. The list of basic industries identified so far may evolve and hence change infuture due to market dynamics.

Eligible segment universe:
Stock forming part of eligible universe are further classified into following segment universe:d) Large cap universe : stocks forming part of the Nifty 100e) Mid cap universe : stocks forming part of the Nifty Midcap 150f) Small cap universe : stocks forming part of the Nifty Smallcap 250
Stock Selection criteria:

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74

Selection of the stocks shall be done in 2 steps:•

Step 1: Stocks within each eligible segment universe are further sorted in the descendingorder of their 6 month free-float market capitalization with preference to the stocks that areavailable for trading on the NSE’s Futures & Option segment (F&O stocks)•

Step 2: From the eligible segment universe select :o Top 15 companies from large cap universeo Top 25 companies from mid cap universeo Top 35 companies from the small cap universe

Constituent Weights and Capping:•

The weight of each stock in the indices is based on its free-float market capitalization•

The overall segment weight is fixed ato Large cap stocks - 50%
o Mid cap stocks - 30%
o Small cap stocks - 20%•

The weight of each stock in the indices shall be capped at 10%•

The indices shall be rebalanced on a quarterly basis on the last trading day of March, June,
September and December

Reconstitution•

The indices shall be reconstituted on a semi-annual basis and made effective from the last
trading day of March and September•

Stocks that move out of the Nifty 500 shall also move out of the Nifty500 Multicap India
Manufacturing 50:30:20 and the Nifty500 Multicap Infrastructure 50:30:20 index•

Non-member F&O stocks within each segment are compulsorily included in the respective
index replacing the smallest non F&O index constituent in that segment of that index•

In case all the member stocks within the segment of the index have F&O, a non-member
eligible stocks with F&O within that segment shall be included if its free-float market
capitalization is at least 1.5 times of the free-float mcap of the smallest index constituent
within that segment.

•

Non F&O stock will be included if its free-float market capitalization is at least 1.5 times thefree float market capitalization of the smallest index constituents which are not available fortrading in F&O segment

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75

•

In case, the number of eligible stocks within the large cap universe falls below 15, the mid
cap universe falls below 25 and the small cap universe falls below 35, the index shall continue
with the available number of stocks within the eligible segment universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the indices shall be initiated in case any of the index constituents is excluded
from Nifty 500 index or undergoes suspension or delisting or scheme of arrangement•

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. In caseof 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 noncompliance to ensure the compliance of applicable norms

24. Nifty Shariah Indices
What is a Shariah Index?
Shariah Index can be used to construct Socially Responsible Investment (SRI) products that are
attractive to investors who do not wish to invest in stocks of companies that engage in activities thatthey deem to be against their beliefs. Shariah compliant products are particularly attractive toIslamic investors, as these instruments allow followers of the Islamic faith to invest without violating
their religious principles.

Nifty50 Shariah:
Based on Nifty 50, the current constituents of the index are screened for Shariah compliance. Thosethat are compliant form the Nifty50 Shariah. The resulting index performance closely tracks theperformance of the parent index. The Nifty includes the largest and most liquid companies listed on
the National Stock Exchange.

Nifty500 Shariah:
The Nifty 500 covers more than 90% of the total market capitalization and more than 80% of total
traded volume on the National Stock Exchange. The current constituents of the index are screened
for Shariah compliance. The resulting compliant stocks form the Nifty500 Shariah, which closely
tracks the performance of the parent index representation.

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Nifty Shariah 25:
25 Shariah compliant stocks forms part the index. The index independent and have fixed numberof constituents, unlike other 2 Shariah indices (Nifty50 Shariah & Nifty500 Shariah), which aresubsets of parent indices (Nifty 50 & Nifty 500 respectively) and does not have fixed number of
constituents. At the time of periodic review of the index, all index constituents shall be compliant
to IRDA prescribed dividend norms for investment.

Screening Partner:
NSE Indices Limited has contracted with Taqwaa Advisory and Shariah Investment Solutions(TASIS) to provide the Shariah screens and filter the stocks based on these screens.

Taqwaa Advisory and Shariah Investment Solutions (TASIS) is India’s premier Shariah Advisory
institution in the field of business and finance. For the last many years TASIS is at the forefront
in providing shariah consultancy, monitoring and certification to many of India’s reputed
organizations, including those owned by the central and state government too. TASIS played a
key role in promoting India’s first shariah index and has now joined National Stock Exchange inproviding shariah consultancy and screening services.

TASIS - Shariah Supervisory Board:
Mufti Abdul Kadir Barkatulla
Mufti Barkatulla is a prominent Islamic Sharia law expert with a background in economics andfinance as well as social and Muslim Community work. He was trained extensively in Islamic andmodern education systems in India and the UK. Mufti has contributed to the British Muslim
community as an Imam, Shariah Judge, developer of Islamic Law information databases andShariah Advisor of Islamic Banks and Funds in Europe and Asia. He is also Chairman of Board of
Ulama of Halal Food Authority of UK. He has been commended by members of the British
Parliament for his contributions to the Islamic Finance sector of UK.

Mufti Khalid Saifullah Rahmani
Mufti Khalid Saifullah Rahmani is General Secretary of Islamic Fiqh Academy, India and a founding
member of All India Muslim Personal Law Board. He is founder Director of The Institute of Higher
Learning in Islam, Hyderabad. He has written more than 100 books on a wide range of topics andNifty Indices – Methodology Document, October 2024 20241025

77

pioneered more than fifteen institutions of Islamic education, research and jurisprudence acrossthe country. His wide reach and broad outlook have made him respectable across wide sections
and sects of the Muslim community in India.

Dr Hafiz Mohammad Iqbal Nadvi
Dr. Nadvi has a doctorate in Islamic jurisprudence (Fiqh) from Ummul Qura University, Makkah,
Saudi Arabia. He has been Asst. Professor at King Saud University Riyadh for six years. He hastaught Shariah for two decades in various institutes. He is Resident Imam of Al Nadwa Institute,
Toronto, Chairman of Canadian Council of Imam and Chairman of Shariah Board, Canada. For his
expertise, Dr Nadvi has been invited by Harvard Law School, London School of Economics andmany other prestigious institutions.

Shariah Screening Process:Business Screening:
Activities which are not permitted under Shariah are those which involve engaging in interest
earning businesses or in those businesses which are mostly harmful to human society anddisallowed by Shariah. Thus, companies engaged in promoting promiscuity, violence, vulgarityand businesses affecting the environment are also considered Shariah non-compliant. Hence allcompanies which are primarily into the following activities are screened out on the businessparameter.
•

Conventional financial services such as banks, insurance companies, finance and investmentcompanies, stock broking etc.

•

Production, sale and marketing of food & beverages such as Pork, Alcohol, Tobacco and suchother items etc.

•

Companies involved in production or distribution of vulgar entertainment, such as film andother recreational activities where vulgarity, promiscuity is a part and parcel of the businessundertaken / promoted•

Hotels and restaurants (providing products or entertainment not permitted under Shariah)•

Gambling, Narcotic drugs, etc.

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Financial Screening:
Since interest-based transactions are prohibited by Shariah, companies passing the businessscreening stage are further screened to ensure that their dealings involving interest-based debt
or earnings out of / deployment of funds on interest are within the maximum tolerance limits
set by Shariah scholars. There are certain variations in these tolerance limits based on place andtime. To remain on the conservative side from a Shariah adherence perspective, TASIS has
adopted financial screening norms based on annual consolidated financials which are moreconservative than those followed by its peers and also justified by empirical studies of the Indian
environment. TASIS norms are given below:•

Interest based-debt should be less than or equal to 25% of Total Assets•

Interest income plus returns from interest-based investments should be less than orequal to 2.5% of the total income•

Receivables plus cash and bank balances should be less than or equal to 90% of Total
AssetsIncome Purification Ratio (IPR):
For full compliance with Shariah law, investors are required to purge the pro rata portion ofinterest income accrued on their holding of shares in a company.

Index Eligibility:
The underlying index constituents are screened for Shariah compliance. Only stocks that arecompliant remain in the Shariah compliant indices.
Shariah Index

Parent Index / underlying Index

Nifty50 Shariah Index

Nifty 50 Index

Nifty500 Shariah Index

Nifty 500 Index

Each of the above two parent indices has its own eligibility criteria. For eligibility criteria for theunderlying indices, please refer to the methodology document of Nifty 50 and Nifty broad market
indices.

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Nifty Shariah 25 - Eligibility Criteria:•

The company must be domiciled in India and traded (listed & traded and not listed but
permitted to trade) at the National Stock Exchange (NSE) are eligible for inclusion in the Nifty
indices.

•Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed
fixed return, stocks under suspension and stocks categorized under BZ series are not eligible
for inclusion in the Nifty indices.

•

Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index
subject to fulfilment of specified DVR related criteria.

•

The company’s trading frequency should be at least 90% in the last six months•

The company should be Shariah compliant for last 24 months continuously•

At the time of index constituents, companies which are compliant to IRDA prescribed
dividend norms for investment shall be considered eligible to be included in the index•

25 stocks based on six month average free float market capitalization are selected as index
base composition•

Shariah compliance screening is done on monthly basis and review of Nifty Shariah 25 index
is undertaken semi-annually based on data for six months ending January and July.

•

During monthly review, if any index constituent becomes non-Shariah compliant then,
Shariah compliant non-index constituent from replacement pool will be included in the index•

During semi-annual review, replacement is made if any non-index Shariah compliant security
with 1.5 times free float market capitalization is available in replacement pool than the lastindex constituent by free float market capitalization.

•

If any index constituent is replaced due to corporate action such as de-merger etc. then, suchcompany becomes eligible for index if it fulfils Shariah compliance norms for 12 months.

Constituent Capping:
Weights of each stock in Nifty50 Shariah and Nifty500 Shariah indices are calculated based on its
free-float market capitalization such that no single stock shall be more than 33% and weights of
top 3 stocks cumulatively shall not be more than 62% at the time of rebalancing.

Each constituent in the Nifty Shariah 25 index is capped at 10%. This means that at the time ofrebalancing of the index, no single constituent shall have weightage of more than 10%. The
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capping factor of stocks is realigned upon replacement of scrips in the index and on a quarterly
basis and made effective from the last trading day of March, June, September and December.

In the event of weight realignment, capping factors will be calculated for all constituents whose
uncapped weight is greater than maximum capping limit. Weightage of such constituent may
increase beyond maximum capping limit between the rebalancing periods depending on theprice movement. The capping factor is calculated considering the closing prices of the index
constituents 3 trading days (T-3) prior to the effective date (T day) of the changes.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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8125. Nifty CPSE
Nifty CPSE Index is constructed in order to facilitate Government of India’s initiative to dis-invest
some of its stake in selected CPSEs. The government opted for ETF route for disinvestment. The
ETF shall track the performance of the Nifty CPSE index.

Selection Criteria:
The CPSEs selected meet below mentioned parameters:

1. Included in the list of CPSEs published by the Department of Public Enterprise
2. Listed at National Stock Exchange of India Ltd. (NSE)
3. Having more than 51% government holding (stake via Govt. of India or President of India)
under promoter category.
4. Companies having average free float market capitalization of more than 1000 Cr. for six
month period ending December 2019 are selected.
5. Companies which are IRDA dividend norms compliant shall be considered eligible to be
included in the index.

Calculation Rules & Methodology:
Index Construction and Back-Testing:
1. The index has base date of 01-Jan-2009 and base value of 1000.
2. Back testing of the index is carried out since 01-Jan-2004.
3. Out of the CPSEs shortlisted for forming part of the index, CPSEs which got listed at NSE after
01-Jan-2004 are included in the index on the 1st trading day of next quarter of their listing.
4. Weights of constituents are capped at 25% on each rebalancing.

Daily Index Value Calculation:
1. Daily index calculation initiated effective February 10, 2014
2. The index is calculated on free float market capitalization methodology
3. Weights of index constituent shall be re-aligned (i.e. capped at 20%) on a quarterly basis andmade effective from the last trading day of March, June, September and December

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4. Additionally, at the time of quarterly rebalancing / change in index constituents, the weightsof the constituents shall be re-aligned.
5. The index values are calculated on real-time basis
6. The total return values of the index are also computed on daily end of day basis
7. The index values shall be calculated on each day when capital market segment of National
Stock Exchange is open for trading in equity shares

Constituent capping:
Weights of constituents of Nifty CPSE index are capped at 20% as explained hereunder:
1. The capping factor of stocks is realigned upon replacement of scrips in the index and on aquarterly basis, which will come into effect from the last trading day of March, June,
September and December
2. In the event of weight realignment, capping factor will be calculated for all constituents
whose uncapped weight is greater than 20%. In between aforementioned periods, the weightof constituents can go above 20% depending on the price movement

Index Maintenance:
Rebalancing•

Index will undergo a review (exclusion or replacement) in case of corporate actions such as
merger, de-merger etc•

Revision in the index (change in eligibility criteria, inclusions, exclusions, capping etc.) shallbe carried out upon formal request received from the CPSE ETF issuer AMC as appointed by
the Ministry of Disinvestment

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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8326. Nifty100 Liquid 15
Introduction
Nifty100 Liquid 15 Index is designed to provide exposure to the liquid stocks while making theindex easily replicable and tradable. All the index constituents have derivatives traded onthem. The maximum weight of a single stock is capped at 15%.

Eligible Securities:
Constituents of Nifty 100 index that are available for trading in NSE’s Futures & Options segment
are eligible for inclusion in the Nifty100 Liquid 15 index.
In case of reconstitution of child indices, latest index composition including most recent changes
in respective parent index whether announced or yet to be announced shall be considered. Child
indices are defined as those indices where constituents are selected from a list of any otherindex. Nifty100 Liquid 15 index would be considered as a child index as constituents of this index
selected from a list of Nifty 100 index.

Index Review frequency:
The review of Nifty100 Liquid 15 is undertaken semi-annually based on data for six months
ending January and July.

Eligibility Criteria•

The index shall have 15 stocks from the 100 stocks forming part of Nifty 100 and are
individually eligible in the F&O segment as per the criteria stipulated by SEBI•

Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index
subject to fulfillment of specified DVR related criteria•

For inclusion in the index the stock shall have turnover ratio (TRO) greater than 100% in
majority of the last 6 months at time of review•

The free float market capitalization shall be average daily free float during the month ofreview•

The turnover ratio (TRO) shall be computed as under
𝐴𝐺𝐺𝑅𝐸𝐺𝐴𝑇𝐸 𝑀𝑂𝑁𝑇𝐻𝐿𝑌 𝑇𝑈𝑅𝑁𝑂𝑉𝐸𝑅

TRO = 𝐴𝑉𝐸𝑅𝐴𝐺𝐸 𝐹𝑅𝐸𝐸 𝐹𝐿𝑂𝐴𝑇 𝐷𝑈𝑅𝐼𝑁𝐺 𝑇𝐻𝐸 𝑀𝑂𝑁𝑇𝐻 ∗ 12

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84

•The eligible companies are than ranked in descending order of the free float market
capitalization and the top 15 companies are selected to form the base index.

Exclusion criteria•

If the stock’s TRO is less than 100% in 3 out of 6 months then such stock shall be eligible for
exclusion. The stock replacing it shall meet the inclusion criteria mentioned above•

A stock continuing to meet the inclusion criteria may still be excluded if any other stock
meeting the inclusion criteria has 1.5 times free float market capitalization that of theexisting stock in the index•

The total number of stocks which shall be replaced in a review shall be restricted to 2. If
there are more than 2 stocks eligible for replacement then stock with lower free float
market capitalisation shall be replaced first•

The review will take place on a semi-annual basis

Constituent Capping:
Each constituent in the index is capped at 15%. This means that at the time of rebalancing of theindex, no single constituent shall have weightage of more than 15%. The capping factor of stocks
is realigned upon replacement of scrips in the index and on a quarterly basis from the last trading
day of March, June, September and December.
In the event of weight realignment, capping factors will be calculated for all constituents whose
uncapped weight is greater than 15%. Weightage of such constituent may increase beyond 15%
between the rebalancing periods depending on the price movement. The capping factor is
calculated considering the closing prices of the index constituents 3trading days (T-3) prior to theeffective date (T day) of the changes.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

Nifty Indices – Methodology Document, October 2024 20241025

8527. Nifty Midcap Liquid 15
Introduction
Nifty Midcap Liquid 15 Index is designed to provide investors exposure to the liquid midcap
stocks while making the index easily replicable and tradable. All the index constituents havederivatives traded on them. The maximum weight of a single stock is capped at 15%.

Eligibility Criteria
The criteria for the Nifty Midcap Liquid 15 Index include the following:•

Constituents of Nifty Midcap 50 index that are available for trading in NSE’s Futures &Options segment are eligible for inclusion in the Nifty Midcap Liquid 15 index•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selectedfrom a list of any other index. Nifty Midcap Liquide 15 index would be considered as achild index as constituents of this index selected from a list of Nifty Midcap 50 index•

Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in theindex subject to fulfilment of specified DVR related criteria•

Companies are selected on the parameter of Turnover ratio. The turnover ratio is
calculated for each month. The companies with a turnover ratio of more than 100% in
at least 3 of the last 6 months are considered for index construction•

The turnover ratio (TRO) shall be computed as under:

𝐴𝐺𝐺𝑅𝐸𝐺𝐴𝑇𝐸 𝑀𝑂𝑁𝑇𝐻𝐿𝑌 𝑇𝑈𝑅𝑁𝑂𝑉𝐸𝑅

TRO = 𝐴𝑉𝐸𝑅𝐴𝐺𝐸 𝐹𝑅𝐸𝐸 𝐹𝐿𝑂𝐴𝑇 𝐷𝑈𝑅𝐼𝑁𝐺 𝑇𝐻𝐸 𝑀𝑂𝑁𝑇𝐻 ∗ 12•

The eligible companies are than ranked in descending order of the free float market
capitalization and the top 15 companies are selected to form the base index.

•

The Base date for the Index is taken as 01-01-2009 and the base value is taken as 1000

Index Review•

The review of Nifty Midcap Liquid 15 index is undertaken semi-annually based on data
for six months ending January and July

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•The total number of stocks to be replaced during a review is capped at 4 stocks•

During the review, the index constituent is excluded if TRO is less than 100% in 3 out ofthe previous 6 months•

A stock continuing to meet the inclusion criteria may still be excluded if any other stock
meeting the inclusion criteria has 1.5 times free float market capitalization that of theexisting stock in the index•

However, if stocks are excluded from the F&O segment or Nifty Midcap 50 Index therestriction on number of stocks replaced may not be applicable

Constituent Capping:
Each constituent in the index is capped at 15%. This means that at the time of rebalancing of theindex, no single constituent shall have weightage of more than 15%. The capping factor of stocks
is realigned upon replacement of scrips in the index and on a quarterly basis from the last trading
day of March, June, September and December.

In the event of weight realignment, capping factors will be calculated for all constituents whose
uncapped weight is greater than 15%. Weightage of such constituent may increase beyond 15%
between the rebalancing periods depending on the price movement. The capping factor is
calculated considering the closing prices of the index constituents 3 trading days (T-3) prior to
the effective date (T day) of the changes.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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8728. Nifty ESG Indices
Nifty100 ESG Index
Nifty100 Enhanced ESG Index
Introduction
Environmental, Social and Governance based investment strategy has gained popularity among
investors globally. The underlying drive behind ESG theme-based investing lies in generatingsuperior risk adjusted returns from socially responsible, environment friendly and ethical firms.
The construct of Nifty ESG indices (Nifty100 ESG index and Nifty100 Enhanced ESG index) resultsin portfolio with similar sector exposure vis-à-vis Nifty 100 (parent index), but with stock level
ESG tilt. This results in portfolio with higher weightage towards companies with better ESG
performance.

Highlights•

Designed to reflect the performance of companies that are part of Nifty 100 index,
based on ESG score•

The companies that are involved in any major Environmental, Social or Governancecontroversy shall not be considered for selection in the index•

Companies engaged in the business of tobacco, alcohol, controversial weapons andgambling operations shall be excluded•

Weight of the index constituent is based on the combination of the ESG score andfree-float market capitalisation•

The indices have a base date of April 01, 2011 and a base value of 1000

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Methodology
Eligibility criteria
To form part of Nifty100 ESG Index and Nifty100 Enhanced ESG Index, stocks should qualify thefollowing eligibility criteria(s). The ESG and controversy research is provided by Stakeholders
Empowerment Services (SES).

Eligible Universe:•

Stock should form part of Nifty 100 at the time of index review•

Only ordinary equity shares will be considered

ESG Score:
ESG score measures the performance of the companies on Environmental, Social andGovernance front. The companies are evaluated based on the Policy disclosures and three main
factors viz Environmental, Social and Governance.
These scores are categorised into eight grades:•

A+ - 90 to 100 score•A - 80 to 89.99 score•

B+ - 70 to 79.99 score•B - 60 to 69.99 score•

B- - 50 to 59.99 score•

C+ - 40 to 49.99 score•C - 20 to 39.99 score•

D - 0 to 19.99 score

The companies are assessed annually by SES based on Business Responsibility & Sustainability
Reports, but also on key disclosure requirement of Sustainability Reports and/or Integrated
Reports (GRI/ IIRC), TCFD, etc. Additionally, companies are monitored on an ongoing basis forany controversy pertaining to ESG.
Stocks forming part/going to form part of the Nifty 100 index are eligible to be the part of theindex subject to the following:•

Companies should have an ESG score at the time of review•

For Nifty100 Enhanced ESG Index, index companies with ‘ESG score’ lesser than 60, which
are categorised as B-, C+, C and D grades shall be excluded

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Controversy:
Companies with controversy score less than 70 shall be excluded

Business Involvement:
Companies engaged in the business of tobacco, alcohol, controversial weapons and gambling
operations are excluded. Controversial Weapons include chemical weapons, biological weapons,anti-personnel mines and cluster bombs.

Reconstitution & Rebalancing criteria•

Index will be reconstituted semi-annually in June and December based on data for six
months ending May and November respectively•

Stocks that meet the above eligibility criteria will be considered eligible•

Stocks that do not form part of Nifty 100 at the time of review are excluded•

An existing constituent is compulsorily excluded if it has controversy score less than 70•

Apart from the scheduled review, additional ad-hoc reconstitution and rebalancing of theindex will be initiated, and no replacement (inclusion) will be made in case ofo the index constituents ceases to form part of Nifty 100 due to suspension, delisting or
scheme of arrangemento

If controversy score of an index constituent falls below 70

Weight and Constituent Capping:•Compute ESG Z Score as follows:
ESG Z Score = [x – μ]/ σ
Where;
x is the ESG score for the company
μ is the mean of the ESG scores in the parent index
σ is the std. deviation of the ESG scores in the parent index•

The Normalized ESG Score is calculated for each eligible stock from its ESG Z Score as:o Normalized ESG Score =(1+ ESG Z Score), if ESG Z Score >=0(ESG Z Score)^-1 if, ESG Z Score < 0

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•

Each constituent is tilt weighted by multiplying its Normalized ESG Score with the square rootof its free float market capitalization as per the following formula:o Tilt-weighted Market Cap = Normalized ESG Score * SQRT(FF market capitalization)•

Sector and stock caps will be applied as follows:o Sector with weight >= 25% in the parent index will be capped in the ESG Indices at thesame weight as that in the parent indexo Sector with weight < 25% in the parent index, will be capped at 25% in the ESG Indices(in case of breach)o Constituent weight is capped at the lower of 8% or 5 times the weight of the stock in
the index based only on free float market capitalization•

The weights may drift between rebalancing due to the movement in stock prices

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Nifty100 ESG Sector Leaders Index
Introduction
Nifty100 ESG Sector Leaders Index aims to track the performance of select companies withineach sectors of the Nifty 100 which have scored well on ESG and which do not have involvement
in any major controversies.

Highlights
•
•
•
•

•
•

The index tracks the performance of the stocks that are part of the Nifty 100 index
and which have scored well on Environmental, Social and GovernanceThe companies that are involved in any major Environmental, Social or Governancecontroversy shall not be considered for selection in the index
Companies engaged in the business of tobacco, alcohol, controversial weapons andgambling operations shall be excluded
Provides ~75% coverage of Free Float Market Cap of eligible stocks within each sectorof Nifty 100
Weight of the stock is based on free-float market capitalization with a maximum stock
cap of 10%
The index has a base date of January 01, 2014, with a base value of 1000

Methodology
Eligibility criteria
To form part of Nifty100 ESG Sector Leaders index, stocks should qualify the following eligibility
criteria:• All stocks forming part of Nifty100 at the time of review are eligible to be the part of thisindex (June and December)• Only ordinary equity shares will be considered• Companies with ESG score less than 60 which are categorised as B-, C+, C and D grades
shall be excluded• Companies with controversy score less than 70 shall be excluded• Companies which derive 25% or more of their revenues from cigarettes, breweries,
weapons, gambling, and nuclear power or any revenue from 'controversial weapons'
subject to the company disclosures made under segment revenue break up in its annual
report shall be excluded

Stock Selection Criteria:•

The stocks within the eligible universe are ranked in the descending order of their ESG
score within their respective sectors1

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•The stocks are then selected from the ranked universe until the 75% coverage by
cumulative weight of six month average free-float market capitalisation of the eligible
stocks within the sector1 is reached1.Banks and Non-Banks are considered as separate sectors for stock selection

Reconstitution & Rebalancing criteria•

The index is reconstituted semi-annually in June and December and made effective fromthe last trading day of June and December using the following data cut-off:o The stock selection is based on 6 month average free-float market capitalization
ended May and November for the reconstitution in June and December
respectively
o The ESG score, controversy score and controversial business involvement
exclusions should be based on latest available data at the time of review•

Stocks forming part of Nifty100 at the time of review are eligible to be the part of theuniverse
Stocks with ESG score less than 60 are excluded
Stocks with controversy score less than 70 are excluded
Stocks which derive 25% or more of their revenue from cigarettes, breweries, weapons,
gambling, and nuclear power, or any revenue from 'controversial weapons' are excluded
Stocks that meet the above eligibility criteria will be considered eligible
The following guidelines are used in order to achieve the target sector coverage of 75%
o The eligible stocks are sorted in the following order within their respective
sectors:▪ Stocks are sorted in the descending order of the ESG score▪ In case there are two stocks with equal ESG score, the stocks are thensorted such that existing constituent are at the top and new stocks at thebottom▪ Within the above, if there are two existing constituent or two new stocks
with equal ESG score, stocks are then sorted based on their 6-month
Average free-float market capitalizationo Based on above sorting, the cumulative % free-float sector coverage is calculatedo In each sector, the companies are selected until the cumulative sector coverageof the selected securities crosses 75% following the below guidelines,
1. The company that increases the cumulative sector coverage above 75% istermed as ‘marginal company’
2. If the marginal company is an existing index constituent, it is retained in
the index
3. If the marginal company is a new constituent, it will be included in theindex:▪ Only if the cumulative weight of companies before the addition of
marginal company is less than 70%

•
•
•
•
•

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▪

▪

•

If, the cumulative weight exceeds 75% after the addition of themarginal stock, such that the excess weight above 75% is lower
than the earlier deficit below 75% (i.e. 75% minus the cumulative
weight before including the marginal stock). For instance, if the
cumulative weight of the stocks before the addition of marginal
stock is 72.5% and on the addition of the marginal stock, thecumulative weight becomes 77%, the stock will be included in theindex (as the excess weight of 2% is lower than the deficit of 2.5%).
But if on the addition of marginal stock the weight becomes 78%,
the new constituent will not be included in the index (as the excess
weight of 3% is higher than the deficit of 2.5%)
If there is only 1 eligible stock within the sector, it is included in
the index

Apart from the scheduled review, additional ad-hoc reconstitution and rebalancing of
the index will be initiated with a notice of 5 trading days, and no replacement (inclusion)
will be made in case of:o The index constituent ceases to form part of Nifty 100 due to suspension,delisting or scheme of arrangemento If the controversy score of an index constituent falls below 70

Weight and Constituent Capping:
•
•

•
•

The weight of the stock in the index is calculated based on its free-float marketcapitalisation subject to stock cap of 10%
Capping will be done considering the closing prices of the index constituents 3 trading
days (T-3) prior to the effective date (T day). As a result of which the weight of the index
constituents may be greater than their capping limits as on the effective dateIndex weight will be rebalanced on a semi-annual basis and implemented from the last
trading day of June and December
The weights may drift between the two rebalancing periods due to stock pricemovements

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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9429. Nifty Corporate Group Indices
Nifty India Corporate Group Index - Aditya Birla Group
Nifty India Corporate Group Index - Mahindra Group
Nifty India Corporate Group Index - Tata Group
Introduction
The corporate group indices are designed to reflect performance of companies belonging to aparticular corporate group. Globally index providers have developed indices on corporate groups
and some of these indices also have Exchange Traded Funds (ETFs).

In India too, there are big corporate groups and some of the group companies are listed on
National Stock Exchange of India (NSE). Various categories of market participants have invested
in the companies forming part of these groups.

Indices on 3 corporate groups namely Tata Group, Aditya Birla Group and Mahindra Group havebeen developed by NSE Indices Limited and they are named as Nifty India Corporate Group Index- Aditya Birla Group index, Nifty India Corporate Group Index - Mahindra Group Index and Nifty
India Corporate Group Index - Tata Group index. The indices will include all the listed companiesof the respective groups.

Additional index series of Tata Group namely ‘Nifty India Corporate Group Index - Tata Group
25% Cap’ based on free float market capitalisation is also developed.

These indices serve variety of purposes such as benchmarking fund portfolios, launching of index
funds, ETFs and structured products.

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Index Construction & Review Methodology:
Calculation method:
Corporate Group indices namely Nifty India Corporate Group Index - Aditya Birla Group, Nifty
India Corporate Group Index - Mahindra Group and Nifty India Corporate Group Index - Tata
Group Indices are calculated using full market capitalisation method. This method is used tomeasure the total equity value of the companies in the respective group. The indices have a basedate of April 01, 2005 and a base value of 1000

Initial Universe & security selection:•

All companies forming part of the respective corporate group that are domiciled in India andtraded (listed & traded and not listed but permitted to trade) at the National Stock Exchange(NSE) are eligible to form part of the respective index. DVR shares of eligible companies will
also form part of the index.

Rebalancing & replacement rule:•

A new company which comes out with an IPO / new listing•

A company gone out of the index due to corporate actions such as scheme of arrangement/
demerger/acquisition, take-over etc.

will be screened for inclusion on quarterly basis (Jan-Apr-Jul-Oct end cycle) and if eligible, will get
included in the index effective from the last trading day of March, June, September andDecember.
•

Scrips will be excluded from the index in case of suspension or delisting or in case of corporate
event such as scheme of arrangement / merger / acquisition/ demerger in accordance withguidelines governing demerger detailed separately

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Nifty India Corporate Group Index - Tata Group 25% Cap
Introduction
The Nifty India Corporate Group Index - Tata Group 25% Cap Index consists of 10 Tata groupcompanies listed at NSE that meet market capitalization and liquidity criteria.

Selection criteria•

Companies must rank within the top 800 companies by average full market capitalisation andaverage turnover for the last six months.

•

Final selection of 10 companies shall be done based on free float market capitalisation*The index is calculated on free float market capitalization basis since October 01, 2010; prior to which it
was calculated on full market capitalization. Top 10 companies are selected based on full market
capitalisation prior to October 01, 2010 and then based on free float market capitalisation.

Constituent Capping:
Each constituent in the Nifty India Corporate Group Index - Tata Group 25% Cap index is capped
at 25% and weights of top 3 stocks cumulatively shall not be more than 62% at the time ofrebalancing. This means that at the time of rebalancing of the index, no single constituent shallhave weightage of more than 25%. The capping factor of stocks is realigned upon replacementof scrips in the index and on a quarterly basis from the last trading day of March, June, September
and December.

In the event of weight realignment, capping factors will be calculated for all constituents whose
uncapped weight is greater than 25%. Weightage of such constituent may increase beyond 25%
between the rebalancing periods depending on the price movement. The capping factor is
calculated considering the closing prices of the index constituents 3trading days (T-3) prior to theeffective date (T day) of the changes.

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Eligibility criteria:•

Index is rebalanced semi-annually based on data for six months ending January and July.

•

A company which comes out with an IPO / new listing will be eligible for inclusion in the index
after it fulfils the eligibility criteria for a 1 month period instead of a period of 6 months•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is considered
eligible for inclusion in the index if company has completed one calendar month of trading
as on the cut-off date after the stock has traded on ex. basis subject to fulfilment of alleligibility criteria for inclusion in the index.

•

Final selection of 10 companies shall be done based on free float market capitalisation•

Companies will be included if free-float market capitalisation is at least 1.50 times the freefloat market capitalization of the smallest index constituent in the index•

Constituent will be excluded from the index if it is excluded from Nifty India Corporate GroupIndex - Tata Group Index. Such impacted security will be removed and replaced by the next
higher ranked security (on the basis of free float market capitalization post fulfilling othereligibility criteria)

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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30. Nifty SME Emerge
Introduction
Small and Medium Enterprises (SME) plays a crucial role in growth of the Indian economy byproducing diverse range of products & services and creating employment opportunities. ‘Nifty
SME EMERGE Index’ is designed to reflect the performance of a portfolio of eligible small andmedium enterprises that are listed on NSE EMERGE platform.

Highlights•

The index has a base date of December 01, 2016 and a base value of 1000•

The index captures the performance of select liquid SMEs listed on NSE EMERGE platform•

Constituents are weighted based on free float market capitalization•

Index is reconstituted on a quarterly basis

Methodology
Eligibility criteria•

To form part of the Nifty SME Index, stocks should qualify the following eligibility criteria:o Stocks should be listed under NSE EMERGE platformo At the time of quarterly review, stocks should have traded for a minimum of 25% oftrading days subject to a minimum of 10 trading days during the previous 3 months
o Minimum number of constituents in the index is 20. In case less than 20 stocks areavailable to form part of the index, the minimum trading frequency threshold of 25%
is lowered by 1% at a time till minimum of 20 stocks are available to form part of theindex

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Reconstitution criteria•

Index shall be reconstituted quarterly based on data for three months ending February,
May, August and November; whereo 2 out of the 4 quarterly reviews are aligned with semi-annual review of Nifty broad
market Indices, effective last trading day of March and Septembero Remaining 2 quarterly reviews shall be effective last trading day of June andDecember•

An existing index constituent is excluded if its trading frequency calculated using the method
mentioned above falls below 10%•

Apart from scheduled reviews, additional ad-hoc reconstitution of the index shall be initiatedin case any index constituent undergoes suspension/delisting/ scheme of arrangement or ifthey move to NSE Mainboard

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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100

31. Nifty REITs & InvITs
Introduction
Nifty REITs & InvITs index aims to track the performance of REITs and InvITs that are publicly
listed and traded (listed and traded or not listed but permitted to trade) at the National Stock
Exchange. The weights of the securities within the index are based on their free-float market
capitalization subject to a security cap of 33% each and aggregate weight of top 3 securities iscapped at 72%.

Highlights•

The index has a base date of July 01, 2019, with a base value of 1000•

All REITs and InvITs that are publicly listed or traded (listed and permitted to trade) at the
National Stock Exchange are eligible for inclusion in the index•

The weight of each security in the index is based on its free float market capitalization•

The index is reconstituted and rebalanced on a quarterly basis

Methodology
Universe and eligibility criteria:•

Real Estate Investment Trusts (REITs) or Infrastructure Investment Trusts (InvITs) must
be domiciled in India and listed and traded (listed & traded and not listed but permitted
to trade) at the National Stock Exchange to be eligible for inclusion in the index•

Only publicly listed securities are eligible for inclusion•

Only securities that have a market lot size of 1 unit are eligible for inclusion•

Securities should have a minimum listing history of 1 month as on the cutoff date•

Securities should have a minimum trading frequency of 60% during the previous 3
months as on the cutoff date

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Stock selection criteria:•

As on the base date of the index, all securities that are eligible based on the eligibility criteria
are selected to be the part of the index

Weight and Constituent Capping:•

Weight of the securities are determined based on their free float market capitalization suchthat weight of each security within the index shall be capped at 33% and the aggregate
weight of top 3 securities shall be capped 72% at the time of rebalancing on a quarterly
basis in March, June, September and December•

The following capping limits are applied:o If the number of securities within the index is less than or equal to 3, the weight ofthe securities in the index are aligned equallyo If the number of securities within the index is 4, the weight of the securities in theindex is capped at 33%
o If the number of securities within the index is greater than 4, then the weight of eachsecurity in the index is capped at 33% and the aggregate weight of the top 3
securities is capped at 72%•

The weight of securities may drift between two rebalancing periods due to movement intheir prices

Reconstitution & Rebalancing criteria:•

Index reconstitution will be done on a quarterly basis in March, June, September, andDecember based on data for 3 months ending February, May, August and November
respectively•

An existing index constituent is excluded if its trading frequency falls below 30%•

All eligible securities will be included in the index•

Apart from the scheduled quarterly review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement

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Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Nifty Strategy Indices
1. Nifty Dividend Opportunities 50
Introduction
The Nifty Dividend Opportunities 50 Index is designed to provide exposure to high yielding
companies listed on NSE while meeting stability and tradability requirements. The index
comprises of 50 companies. A key feature of the index is the methodology of selection of stocks
i.e. the method employs a yield driven selection criteria that aims to maximize yield whileproviding stability and tradability.

The index is calculated using free float market capitalization methodology with a base date ofOctober 1, 2007 indexed to a base value of 1000. At the time of quarterly rebalancing/ change inindex constituents, the weightage of the index constituent (where applicable) is capped at 10%.
Weightage of such stock may increase beyond 10% between the rebalancing periods

Index Construction & Review Methodology:
Index Review frequency:
The review of Nifty Dividend Opportunities 50 index is undertaken annually based on data for six
months ending January.

Eligibility Criteria•

The company must be domiciled in India and traded (listed & traded and not listed but
permitted to trade) at the National Stock Exchange (NSE) are eligible for inclusion in the Nifty
indices•Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed
fixed return, stocks under suspension and stocks categorized under BZ series are not eligible
for inclusion in the Nifty indices•

Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index
subject to fulfilment of specified DVR related criteria

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•

Companies must rank within the top 300 companies by average free-float market
capitalisation and average daily turnover for the last six months•

The company's trading frequency should be at least 90% in the last six months•

The company should have a listing history of 1 year•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. would beconsidered eligible for inclusion in the index if as on the cut-off date for sourcing data ofpreceding six months for index reconstitution, a company has completed three calendar
months of trading period after the stock has traded on ex. basis subject to fulfilment of alleligibility criteria for inclusion in the index•

Companies must have reported net profit as per latest annual audited results•

A dividend yield of each company is calculated using total dividend amount in the last 12
months (calculated based on ex-dividend date) prior to the rebalancing reference date using
average market capitalization for one-year period ending January•

Top 25 companies ranked by annual dividend yield will be compulsorily included in index andcompanies ranked below 75 by annual dividend yield will be compulsorily excluded from the
index

•

After making the selection as stated above, any shortfall in arriving at a list of 50 companies
shall be filled by selecting companies based on higher annual dividend yield rank

Constituent Capping:
Each constituent in the index is capped at 10%. This means that at the time of rebalancing of theindex, no single constituent shall have weightage of more than 10%. The capping factor of stocks
is realigned upon replacement of scrips in the index and on a quarterly basis from the last trading
day of March, June, September and December.

In the event of weight realignment, capping factors will be calculated for all constituents whose
uncapped weight is greater than 10%. Weightage of such constituent may increase beyond 10%
between the rebalancing periods depending on the price movement. The capping factor is
calculated considering the closing prices of the index constituents 3 trading days (T-3) prior to
the effective date (T day) of the changes.

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Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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2. Nifty Dynamic Asset Allocation indices
Nifty 50 & Short Duration Debt – Dynamic P/E
Nifty 50 & Short Duration Debt – Dynamic P/BIntroduction
The Nifty Dynamic Asset Allocation Index series includes hybrid indices that track multiple assetclasses (namely equity and debt). The dynamic asset allocation model assigns weights between
the two asset classes based on relative market valuation. The index series presently consists of 2
indices namely Nifty 50 & Short Duration Debt – Dynamic P/E Index and Nifty 50 & Short Duration
Debt – Dynamic P/B Index.

Within Nifty 50 & Short Duration Debt – Dynamic P/E and Nifty 50 & Short Duration Debt –Dynamic P/B indices, asset allocation between equity and debt is done by a model that uses
Price-Earnings ratio (P/E) or Price-Book ratio (P/B) of Nifty 50 index. While the allocation is
primarily between equity and debt, in case the model prescribes allocation to equity that is lower
than 65%, the equity arbitrage is used to maintain the equity allocation at 65%. Arbitrage is done
by giving equal allocation to Nifty 50 TR index and Nifty 50 Futures index (short). In case arbitrage
is used, 10% of the asset allocated to Nifty 50 Futures index (short) is additionally allocated to
Nifty 1D Rate index (TREPS component) in order to capture the margin requirement.

Highlights•

The Indices have a base date of April 01, 2005 and base value of 1000•

Asset allocation is based on a model that compares current Price-Earnings ratio (P/E) or PriceBook ratio (P/B) with the average, maximum and minimum Price-Earnings ratio (P/E) or PriceBook ratio (P/B) of Nifty 50 in previous 7 years•

Maximum allocation to equity component is 80% and minimum allocation is 65% (including
arbitrage)•

Maximum allocation to debt (including TREPS) component is 35% and minimum allocation is20%•

In case arbitrage is used, 10% of the asset allocated to Nifty 50 Futures index (short) is
allocated to Nifty 1D Rate index (TREPS)

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•

The asset allocation in the index is rebalanced on a monthly basis•

Weights of the equity, fixed income, TREPS and arbitrage component can drift between
monthly reset dates due to underlying asset price movement

Methodology•

The Nifty Dynamic Asset Allocation Indices present consist of 2 indices namelyo Nifty 50 & Short Duration Debt – Dynamic P/E Index where asset allocation
is based on the comparison of Nifty 50 P/E with the average, maximum, minimum P/Eof Nifty 50 in previous 7 years
o Nifty 50 & Short Duration Debt – Dynamic P/B Index where asset allocation
is based on the comparison of Nifty 50 P/B with the average, maximum, minimum P/Bof Nifty 50 in previous 7 years•

For both indices, the assets are allocated among following components:o Equity component – Nifty 50 TR Indexo Debt component - Nifty Short duration debt indexo Arbitrage Component – Nifty 50 TR Index and Nifty 50 Futures index (short)o TREPS Component – Nifty 1D Rate Index
Exhibit 1: Allocation between equity and debt components depending on comparative ratio

Asset Allocation rules:

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In case of Nifty 50 & Short Duration Debt – Dynamic P/E and Nifty 50 & Short Duration Debt –Dynamic P/B indices:•

Equity allocation (Nifty 50 TR) is determined by an asset allocation model which compares
the current value of P/E or P/B of Nifty 50 with the average, maximum and minimum P/E or
P/B of Nifty 50 in previous 7 years•

Maximum allocation to equity component is 80% and minimum allocation is 65%•

In case, the model prescribes an allocation to equity that is lower than 65%, the equity
arbitrage is used to maintain the equity allocation at 65%. Arbitrage is done by giving equal
allocation to Nifty 50 TR index and Nifty 50 Futures index (short)•

In case arbitrage is used, 10% of the asset allocated to Nifty 50 Futures index (short) is
additionally allocated to Nifty 1D Rate index (TREPS component) in order to capture themargin requirement•

Remaining allocation is given to debt component (Nifty Short duration debt index), hence
maximum allocation to debt (including TREPS) component is 35% and minimum allocation is20%•

The asset allocation in the index is rebalanced on a monthly basis•

The month over month change in allocation to equity component (Nifty 50 TR, excluding
arbitrage component) by asset allocation model at the time of rebalancing is capped at 10%

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3. Nifty Growth Sectors 15
Introduction
Nifty Growth Sectors 15 Index is designed to provide investors exposure to the liquid stocks
from sectors of market interest. The index is easily replicable and tradable. All the index
constituents have derivatives traded on them. The weight of a single stock is capped at 15%.

Selection Criteria
The criteria for the Nifty Growth Sectors 15 Index include the following 2 steps:

1. Sector Selection:
Base Composition:
Sectors are selected based on P/E and P/B values of NSE Indices Limited (formerly known as
India Index Services & Products Limited-IISL) sector indices, which are compared to Nifty 50.
The yearly Average P/E and Average P/B values are compared with Nifty’s yearly Average P/E
and Average P/B values and if, out of the 4 observations, sector that have higher P/E and P/B
in 3 out of 4 observations are shortlisted.

For the purpose of clarity, for 2 years period, there will be 4 observations (i.e. 2 yearly Average
P/E numbers and 2 Average P/B numbers for each index). Out of 4 observations, sectors thathave higher P/E and P/B in 3 out of 4 observations are selected.)

Stock Selection:
Base Composition:•

Securities having derivatives available on them, from selected sectors for base period (i.e.
July-December 2008) are identified•

The securities are then ranked as per Free float market capitalization and top 50% of the
securities are carried forward for further scrutiny•

The securities identified in step 2 are then ranked by EPS growth frequency•

Any security which had negative EPS for base review period of not considered•

Top 15 companies are selected as base composition

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Index Review:
Stock review: (Periodicity: semi-annually)•

Once in six months, stocks are reviewed in order to find out the better replacement
available from the selected sectors based on data for six months ending January and July.

•

From selected sectors, securities on which derivatives are available and has positive EPS
shall form part of replacement pool•At the time of semi-annual review, replacement shall be made from the same sector withgreater EPS growth frequency and greater free float market capitalization than the stock thatis being replaced•

Further, replacement shall also be made from the same sector with same EPS growth
frequency and free float market capitalization 1.5 times higher than the stock that is being
replaced•

In case of scheme of arrangement or non-availability of F&O in any of the index constituent,a replacement shall be made from the list of stocks arranged in descending order of EPS
growth frequency and free-float market capitalization within the same sector subject tominimum EPS growth frequency of 3•

In case of non-availability of stocks meeting the above requirement, replacement shall bemade based on greater EPS growth frequency and free float market capitalization across all
eligible sectors•

At the time of review, stocks meeting dividend norms specified by IRDA are considered
eligible

Sector and stock review: (Periodicity: once in 2 years)•

Sectors are screened once in 2 years in order to identify sectors, which are of market
interest•

For 2 year period, there will be 4 observations (i.e. 2 yearly P/E numbers and 2 P/B numbers
for each index). Out of 4 observations, sectors that have higher P/E and P/B in 3 out of 4
observations are selected for inclusion in index•

From selected sectors, securities having derivatives available are identified•

The securities are then ranked as per Free float market capitalization and top 50% of the
securities are carried forward for further scrutiny•

Securities having positive EPS are only considered

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•

The remaining stocks after above step are then ranked in the descending order of EPS
growth frequency and then free-float market capitalization. EPS growth frequency ismeasured as number of instances, a company would have reported positive quarter onquarter growth in preceding 4 quarters•

From the above list, include one stock each from the eligible sectors based on greater EPS
growth frequency (subject to minimum EPS growth frequency of 3) and within same EPS
growth frequency, based on free float market capitalization across all eligible sectors•

Remaining stocks shall be selected based on greater EPS growth frequency and within same
EPS growth frequency, based on free float market capitalization across all eligible sectors•

Effective 3rd March 2014 at the time of review, stocks meeting dividend norms specified
by IRDA are considered eligible

Constituent Capping:
Each constituent in the index is capped at 15%. This means that at the time of rebalancing of theindex, no single constituent shall have weightage of more than 15%. The capping factor of stocks
is realigned upon replacement of scrips in the index and on a quarterly basis from the last trading
day of March, June, September and December.

In the event of weight realignment, capping factors will be calculated for all constituents whose
uncapped weight is greater than 15%. Weightage of such constituent may increase beyond 15%
between the rebalancing periods depending on the price movement. The capping factor is
calculated considering the closing prices of the index constituents 3 trading days (T-3) prior to
the effective date (T day) of the changes.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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4. Nifty Top 10 Equal Weight
Introduction
NSE Indices has developed the Nifty Top 10 Equal Weight Index which aims to track the
performance of the top 10 stocks selected based on 6-month average free-float market
capitalization from the Nifty 50.

Index Construction & Review Methodology:
Eligible Universe:•

Stocks forming part/going to form a part of the Nifty 50 shall be eligible to be a part ofthe index.

Stock selection criteria:•

Top 10 stocks are selected based on 6-month average free-float market capitalizationfrom the eligible universe.

Stock weighing methodology:•

Each stock in the index is equally weighted on a quarterly basis from the last trading dayof March, June, September and December•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

Reconstitution and Rebalancing criteria:•

Index reconstitution will be done on a semi-annual basis in March and September alongwith the Nifty broad-based indices based on data for 6 months, ending in January andJuly respectively.

•

Stocks forming part/going to be a part of the Nifty 50 are eligible to be a part of the index.

•

Stocks that moved out of the Nifty 50 shall also move out of the Nifty Top 10 Equal Weight
Index

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•

Non-member eligible stock shall be included if its free-float market capitalization is atleast 1.5 times the free-float market capitalization of the smallest index constituent.

•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes:
1. Any corporate action (scheme of arrangement, delisting, etc.) or suspension by theexchange, etc.
2. In case any of the index constituent is moved to the BZ series.

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. In case ofnon-compliance, suitable corrective measures will be taken to ensure compliance with thenorms.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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5. Nifty Top 15 Equal Weight
Introduction
NSE Indices has developed the Nifty Top 15 Equal Weight Index which aims to track the
performance of the top 15 stocks selected based on 6-month average free-float market
capitalization from the Nifty 50.

Index Construction & Review Methodology:
Eligible Universe:•

Stocks forming part/going to form a part of the Nifty 50 shall be eligible to be a part ofthe index.

Stock selection criteria:•

Top 15 stocks are selected based on 6-month average free-float market capitalizationfrom the eligible universe.

Stock weighing methodology:•

Each stock in the index is equally weighted on a quarterly basis from the last trading dayof March, June, September and December•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

Reconstitution and Rebalancing criteria:•

Index reconstitution will be done on a semi-annual basis in March and September alongwith the Nifty broad-based indices based on data for 6 months, ending in January andJuly respectively.

•

Stocks forming part/going to be a part of the Nifty 50 are eligible to be a part of the index.

•

Stocks that moved out of the Nifty 50 shall also move out of the Nifty Top 15 Equal Weight
Index

•

Non-member eligible stock shall be included if its free-float market capitalization is atleast 1.5 times the free-float market capitalization of the smallest index constituent.

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•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes:
1. Any corporate action (scheme of arrangement, delisting, etc.) or suspension by
the exchange, etc.
2. In case any of the index constituent is moved to the BZ series.

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. In case ofnon-compliance, suitable corrective measures will be taken to ensure compliance with thenorms.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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6. Nifty Top 20 Equal Weight
Introduction
NSE Indices has developed the Nifty Top 20 Equal Weight Index which aims to track the
performance of the top 20 stocks selected based on 6-month average free-float market
capitalization from the Nifty 50.

Index Construction & Review Methodology:
Eligible Universe:•

Stocks forming part/going to form a part of the Nifty 50 shall be eligible to be a part ofthe index.

Stock selection criteria:•

Top 20 stocks are selected based on 6-month average free-float market capitalizationfrom the eligible universe.

Stock weighing methodology:•

Each stock in the index is equally weighted on a quarterly basis from the last trading dayof March, June, September and December•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

Reconstitution and Rebalancing criteria:•

Index reconstitution will be done on a semi-annual basis in March and September alongwith the Nifty broad-based indices based on data for 6 months, ending in January andJuly respectively.

•

Stocks forming part/going to be a part of the Nifty 50 are eligible to be a part of the index.

•

Stocks that moved out of the Nifty 50 shall also move out of the Nifty Top 20 Equal Weight
Index

•

Non-member eligible stock shall be included if its free-float market capitalization is atleast 1.5 times the free-float market capitalization of the smallest index constituent.

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•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes:
1. Any corporate action (scheme of arrangement, delisting, etc.) or suspension by
the exchange, etc.
2. In case any of the index constituent is moved to the BZ series.

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. In case ofnon-compliance, suitable corrective measures will be taken to ensure compliance with thenorms.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

7. Nifty50 Equal Weight
Introduction
NSE Indices Limited (formerly known as India Index Services & Products Limited-IISL), a NSE groupcompany provides a variety of indices and index related services and products for the Indian
capital markets. The flagship 'Nifty 50' index is widely tracked and traded as the benchmark for
Indian Capital Markets. The Nifty 50 is based on free float market capitalization methodology.

Nifty50 Equal Weight Index represents an alternative weighting strategy to its market
capitalization based parent index, the Nifty 50 Index. The index includes the same companies as
its parent index, however, weighted equally. The index aims to measure the performance ofconstituents forming part of the parent index, the Nifty 50 Index, where each company in theindex will be assigned equal weights at the time of review. The index has a base date ofNovember 03, 1995 and a base value of 1000.

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Index Construction & Review Methodology:
Eligibility criteria•

All constituents forming part of Nifty 50 will form part of the Nifty50 Equal Weight Index•

Any change in composition of Nifty 50 will be incorporated in the index

Reconstitution & Rebalancing criteria•

Index will be reconstituted semi-annually based on January and July ending data along withthe review of Nifty 50•

The replacement of stocks in Nifty 50 (if any) is implemented from the last trading day ofMarch and September. In case of any replacement in the index, a four weeks’ prior notice
is given to the market participants•

Weightage of stocks in equal weighted indices are aligned equally at the time of change in
the index composition in March and September•

Additionally, weightage will be aligned equally on a quarterly basis considering the closing
prices of the index constituents 3 trading days (T-3) prior to the effective date (T day) ofchanges and implemented from the last trading day of March, June, September andDecember after providing 3 trading days’ prior notice•

Weights may drift between rebalancing due to movement in stock prices•

Apart from the scheduled review, additional ad-hoc reconstitution and rebalancing of theindex will be initiated in case any of the index constituents ceases to form part of Nifty 50
due to suspension, delisting or scheme of arrangement

Constituent Weights:•

At each rebalancing and reconstitution, all the companies in the index are given equal
weights.
𝑤=

1
𝑁

Where, N = Number of companies in the index.

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•

In case there are multiple securities (e.g. DVR) of the same company in the index, thecompany will be equal weighted and the securities will be weighted in proportion to free
float-adjusted market capitalization.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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8. Nifty100 Equal Weight
Introduction
The Nifty100 Equal Weight Index comprises of the constituents forming part of Nifty 100 Index(free float market capitalization based Index). The Nifty 100 tracks the behavior of combined
portfolio of two indices viz. Nifty 50 and Nifty Next 50. It is a diversified 100 stock index.

The constituents of Nifty100 Equal Weight Index are assigned equal weight at each periodic rebalancing (quarterly re-balancing and semi-annual review) of the Index. Under this methodology,
at the time of rebalancing every constituent would get an equal representation regardless of thesize of each company in the Index. The base date of the index is January, 01 2003 (Same as Nifty
100 Index).

Index Construction & Review Methodology:
Eligibility criteria•

All constituents forming part of Nifty 50 and Nifty Next 50 (together constitutes Nifty 100)
will form part of the Nifty100 Equal Weight Index•

Any change in composition of Nifty 100 will be incorporated in the index

Reconstitution & Rebalancing criteria•

Index will be reconstituted semi-annually based on January and July ending data along withthe review of Nifty 100.

•

The replacement of stocks in Nifty 100 (if any) is implemented from the last trading dayof March and September. In case of any replacement arising out of scheduled review inthe index, a four weeks’ prior notice is given to the market participants•

Weightage of stocks in equal weighted indices are aligned equally at the time of change in
the index composition in March and September•

Additionally, weightage will be aligned equally on a quarterly basis considering the closing
prices of the index constituents 3 trading days (T-3) prior to the effective date (T day) ofchanges and implemented from the last trading day of March, June, September andDecember after providing 3 trading days’ prior notice

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•

Weights may drift between rebalancing due to movement in stock prices•

Apart from the scheduled review, additional ad-hoc reconstitution and rebalancing of theindex will be initiated in case any of the index constituents ceases to form part of Nifty 100
due to suspension, delisting or scheme of arrangement

Constituent Weights:•

At each rebalancing and reconstitution, all the companies in the index are given equal
weights𝑤=

1
𝑁

Where, N = Number of companies in the index.
•

In case there are multiple securities (e.g. DVR) of the same company in the index, thecompany will be equal weighted and the securities will be weighted in proportion to free
float-adjusted market capitalization

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

9. Nifty500 Equal Weight
Introduction
Nifty500 Equal Weight Index represents an alternative weighting strategy to its market
capitalization-based parent index, the Nifty 500 Index. The index includes the same companies
as its parent index, however, weighted equally. The index aims to measure the performance ofconstituents forming part of the parent index, the Nifty 500 Index, where each company in theindex will be assigned equal weights at the time of rebalancing.

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Index Construction & Review Methodology:
Eligibility criteria•

All constituents forming part/going to form part of the Nifty 500 will form part of the
Nifty500 Equal Weight at all point in time

Reconstitution & Rebalancing criteria:
•
•
•
•
•
•

Index will be reconstituted semi-annually based on January and July ending data alongwith the review of Nifty 500.
The replacement of stocks in Nifty 500 (if any) is implemented from the last trading dayof March and September.
Weightage of stocks in equal weighted indices are aligned equally at the time of change
in the index composition in March and September
Additionally, weightage will be aligned equally on a quarterly basis and implemented
from the last trading day of March, June, September, and December
Weights may drift between rebalancing due to movement in stock prices
Apart from the scheduled review, additional ad-hoc reconstitution and rebalancing of theindex will be initiated in case any of the index constituents ceases to form part of Nifty
500 due to suspension, delisting or scheme of arrangement

Constituent Weights:•

At each rebalancing and reconstitution, all the companies in the index are given equal
weights.
𝑤 = 1/N,
Where N= Number of companies in the index•

In case there are multiple securities (e.g. DVR) of the same company in the index, thecompany will be equal weighted and the securities will be weighted in proportion to free
float-adjusted market capitalization

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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12310. Nifty Alpha 50
Introduction
The index aims to measure the performance of securities listed on NSE with high Alphas. In orderto make the 50 stocks index investible and replicable, criteria such as turnover and market
capitalization are applied while selection of securities. Weights of securities in the index are
assigned based on the alpha values. Security with highest alpha in the index gets highest weight.

Index Construction & Review Methodology:
Calculation Methodology
The index is constructed using divisor methodology where weights are assigned based on alphavalues of the securities.

Index Review frequency:
The review of Nifty Alpha 50 index is undertaken on quarterly basis using data of six month period
ending last trading day of February, May, August and November.

Selection Criteria
1. The company must be domiciled in India and traded (listed & traded and not listed but
permitted to trade) at the National Stock Exchange (NSE) are eligible for inclusion in the Nifty
indices
2. Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed
fixed return, stocks under suspension and stocks categorized under BZ series are not eligible
for inclusion in the Nifty indices
3. Companies must rank within the top 300 companies by average free-float market
capitalization and average daily turnover for the last six months ending February, May,
August and November
4. The company should have a listing history of 1 year
5. At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is considered
eligible for inclusion in the index if company has completed twelve calendar months of

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trading as on the cut-off date after the stock has traded on ex. basis subject to fulfilment of
all eligibility criteria for inclusion in the index.
6. The company's trading frequency should be 100% in the last one-year period
7. Alphas of eligible securities are calculated using 1-year trailing prices (Adjusted forcorporate actions) and ranked in descending order
8. Top 50 securities with highest alphas form part of the index
9. In order to reduce the replacements of scrips in the index, a buffer of 100% shall be appliedat the time of each review. This means that if the existing constituent at the time of thereview ranks within the top 100, the same can be retained in the index
10. Scrips having negative alpha are not considered for selection. However, an existing
constituent having negative alpha would be retained in the index if no scrip having a
positive alpha forms part of the eligible pool

Constituent Selection:
Alpha of eligible securities are calculated using 1-year trailing prices (Adjusted for corporate
actions). The eligible securities are then ranked in descending order of Alpha values. Top 50
companies based on alpha rankings form part of the index. In order to reduce the replacementsof scrips in the index, a buffer of 100% shall be applied at the time of each review.

Constituent weighting:At each rebalancing of Alpha index, the weight (w), for each index constituent (i) is set
proportional to its alpha:Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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12511. Nifty High Beta 50
Introduction:
The index aims to measure the performance of the stocks listed on NSE that have High Beta.
Beta can be referred to as a measure of the sensitivity of stock returns to market returns. The
market is represented by the performance of the Nifty 50 index. In order to make the 50 stocks
index investible and replicable, criteria such as turnover and market capitalization are applied
while selection of securities. Weights of securities in the index are assigned based on the beta
values. Security with highest beta in the index gets the highest weight.

Index Construction & Review Methodology:
Calculation Methodology
The index is constructed using divisor methodology where weights are assigned based on beta
values of the securities.

Index Review frequency:
The review of Nifty High Beta 50 index is undertaken on quarterly basis using data of six month
period ending last trading day of February, May, August and November.

Selection Criteria
1. The company must be domiciled in India and traded (listed & traded and not listed but
permitted to trade) at the National Stock Exchange (NSE) are eligible for inclusion in the
Nifty indices2. Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed
fixed return, stocks under suspension and stocks categorized under BZ series are noteligible for inclusion in the Nifty indices
3. Companies must rank within the top 300 companies by average free-float market
capitalization and average daily turnover for the last six months ending February, May,
August and November
4. The company should have a listing history of 1 year
5. At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is
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126considered eligible for inclusion in the index if company has completed twelve calendar
months of trading as on the cut-off date after the stock has traded on ex. basis subject tofulfilment of all eligibility criteria for inclusion in the index.
6. The company's trading frequency should be 100% in the last one-year period
7. Beta of eligible securities is calculated using 1-year trailing prices (Adjusted forcorporate actions) are ranked in descending order
8. Top 50 securities with high beta form part of the index
9. In order to reduce the replacements of scrips in the index, a buffer of 100% shall beapplied at the time of each review. This means that if the existing constituent at thetime of the review ranks within the top 100, the same can be retained in the index
10. Securities having beta greater than 1 will be selected to form part of the index at eachreview. In case this criterion is not fulfilled, scrip with highest beta in replacement pool
will be considered for selection

Constituent Selection:
Beta of eligible securities is calculated using 1-year trailing prices (Adjusted for corporate
actions). The eligible securities are then ranked in descending order of beta values. Top 50
companies based on beta rankings form part of the index. In order to reduce the replacementsof scrips in the index, a buffer of 100% shall be applied at the time of each review.

Constituent weighting:At each rebalancing, the weight ‘w’ for each index constituent ‘i’ is reset based on its Beta.
Constituent with the highest Beta in the index gets the highest weight.

𝑤𝑖 =Beta i100∑ Betai=1

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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12712. Nifty Low Volatility 50
Introduction:
The index aims to measure the performance of the least volatile securities listed on NSE. In
order to make the 50 stocks index investible and replicable, criteria such as turnover andmarket capitalization are applied while selection of securities.

Weights of securities in the index are assigned based on the volatility values. Least volatile
security in the index gets the highest weight. In order to derive the volatility of the securities,
standard deviation of daily price returns (log normal) for last one year is considered.

Index Construction & Review Methodology:
Calculation Methodology
The index is constructed using divisor methodology where weights are assigned based onvolatility values of the securities.
Index Review frequency:
The review of Nifty Low Volatility 50 index is undertaken on quarterly basis using data of six
month period ending last trading day of February, May, August and November.
Selection Criteria
1. The company must be domiciled in India and traded (listed & traded and not listed but
permitted to trade) at the National Stock Exchange (NSE) are eligible for inclusion in the
Nifty indices2. Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed
fixed return, stocks under suspension and stocks categorized under BZ series are noteligible for inclusion in the Nifty indices
3. Companies must rank within the top 300 companies by average free-float market
capitalization and average daily turnover for the last six months ending February, May,
August and November
4. The company should have a listing history of 1 year
5. At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. isconsidered eligible for inclusion in the index if company has completed twelve calendar

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months of trading as on the cut-off date after the stock has traded on ex. basis subject tofulfilment of all eligibility criteria for inclusion in the index.
6. The company's trading frequency should be 100% in the last one-year period
7. The company should have a positive net worth as per the latest annual audited results
8. Volatility of eligible securities are calculated using 1-year trailing prices (Adjusted forcorporate actions) are ranked in ascending order
9. Top 50 securities with least volatility form part of the index
10. In order to reduce the replacements of scrips in the index, a buffer of 100% shall beapplied at the time of each review. This means that if the existing constituent at thetime of the review ranks within the top 100, the same can be retained in the index

Constituent Selection:
Volatility of eligible securities shall be calculated using 1-year trailing prices (Adjusted forcorporate actions). The eligible securities are then ranked in ascending order of volatility values.
Top 50 companies based on volatility rankings form part of the index. In order to reduce thereplacements of scrips in the index, a buffer of 100% shall be applied at the time of each review.

Constituent weighting:At each rebalancing, the weight ‘W’ for each index constituent ‘i’ is reset based on its volatility.
Least volatile constituent in the index gets the highest weight.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

Nifty Indices – Methodology Document, October 2024 20241025

12913. Nifty100 Alpha 30
Introduction:
The Nifty100 Alpha 30 index consists of 30 companies from its parent Nifty 100 index, selectedbased on their ‘alpha’ scores. The alpha score for each company is determined based on Jensen’salpha computed using 1-year trailing prices.

Index Construction & Review Methodology:
Index Review frequency:
The review of Nifty100 Alpha 30 index is undertaken on quarterly basis using data of six month
period ending last trading day of February, May, August and November.

Selection criteria
To form part of Nifty100 Alpha 30 Index, stocks should qualify the following eligibility criteria(s):••Stocks should form part of Nifty 100 index at the time of review
In case of reconstitution of child indices, latest index composition including mostrecent changes in respective parent index whether announced or yet to beannounced shall be considered. Child indices are defined as those indices whereconstituents are selected from a list of any other index. Nifty100 Alpha 30 index
would be considered as a child index as constituents of this index is selected from alist of Nifty 100 index

•
•

•
•
•

Constituents should have a minimum listing history of 1 year
At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. would
be considered eligible for inclusion in the index if as on the cut-off date for sourcing
data of preceding twelve months for index reconstitution, a company has completed
twelve calendar months of trading period after the stock has traded on ex. basis
subject to fulfilment of all eligibility criteria for inclusion in the index
For each eligible stock, Jensen’s Alpha is computed using 1-year trailing price(adjusted for corporate actions)
Only stock’s having positive Jensen’s Alpha are then ranked in descending order of
Alpha values
Top 30 companies based on alpha rankings form part of the index

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Constituent Weights and Capping:•

Weight of the stock in the index is derived by multiplying the square root of free float
market cap with the alpha score of that stock

Calculation of alpha score:
Z score for Alpha of each selected security is calculated as per following formula(x – μ)/ σ
Where;
x is Jensen’s Alpha of the stockµ is mean value of the Jensen’s Alpha in the eligible universe
σ is std. deviation of Jensen’s Alpha in the eligible universe
Alpha score is calculated for all the selected security from the Z score as
Alpha Score = (1+Z score) if Average Z score >0(1- Z score)^-1 if Average Z score < 0•••Each stock in the index is capped at the lower of 8% or 5 times the weight of the stockin the index based only on free float market capitalization
Each Sector in the index is capped at 25%
Capping will be done quarterly at the time of rebalancing

Rebalancing
•
•
•

•

The replacement of stocks in the index (if any) is generally implemented from the last
trading day of March, June, September and December
Stocks that do not qualify the eligibility criteria mentioned above will be compulsorily
excluded from the index and replaced with non-member eligible stocks
Top 15 ranked stocks on the basis of Jensen’s Alpha are compulsorily included in theindex, whereas existing stocks in the index whose rank goes beyond 45 are compulsorily
excluded from the index
Apart from the scheduled quarterly review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement

Calculation Frequency:
The index is calculated on an end of day basis for all days National Stock Exchange of India is
open for trading in equity shares.

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Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

Nifty Indices – Methodology Document, October 2024 20241025

13214. Nifty200 Alpha 30
Introduction:
Nifty200 Alpha 30 index which consists of 30 stocks selected from its parent Nifty 200 based on‘Jensen’s Alpha’. Stock weights are based on their alpha scores. The alpha score for eachcompany is determined based on Jensen’s alpha computed using 1-year trailing prices.
The salient features of this index are:•

The index has a base date of April 01, 2005, with a base value of 1000•

Stocks from Nifty 200 index at the time of review are eligible for inclusion in the index•

Stock should be available for trading in derivative segment (F&O) as on the effective date•

30 stocks are selected based on the Jensen’s Alpha•

The weight of stocks in the index is based on their alpha scores•

Stock weights are capped at the lower of 5% or 5 times the weight of the stock in the index
based only on free float market capitalization•

The index is reconstituted on a quarterly basis

Index Construction & Review Methodology:
Universe and eligibility criteria:•

Stocks forming part / going to be a part of the Nifty 200 index at the time of review•

Constituents should have a minimum listing history of 1 year as on the cut-off date•

Stock should be available for trading in derivative segment (F&O) as on the effective date

Stock selection criteria:•

For each eligible stock, Jensen’s Alpha is computed using 1-year trailing price (adjusted
for corporate actions)•

Stocks having positive Jensen’s Alpha would form part of eligible universe•

Top 30 stocks with highest Jensen’s Alpha would be selected to be the part of the index

Weight and Constituent Capping:•

Weight of the stock in the index is based on its alpha score.

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Calculation of alpha score:
Z score for Alpha of each selected stocks is calculated as per the following formula(x – μ)/ σ
Where;
x is Jensen’s Alpha of the stockµ is mean value of Jensen’s Alpha in the eligible universe
σ is std. deviation of Jensen’s Alpha in the eligible universe

Alpha score is calculated for all the selected stocks from its Z score as per the following
formula:Alpha Score = (1+ Z score) if Z score >0(1- Z score)^-1 if Z score < 0•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 capitalization•

Weight of the index constituents is capped quarterly in March, June, September andDecember

Rebalancing and reconstitution•

Index will be reconstituted quarterly in March, June, September and December using
trailing 1 year price (adjusted for corporate actions) for the period ending last trading day
of February, May, August and November respectively•

Stocks that move out of the Nifty 200 shall also move out of the Nifty200 Alpha 30 Index
at the time of the subsequent review of the Nifty200 Alpha 30 Index•

If the rank of the stocks based on the Jensen’s Alpha within the existing index portfolio
goes beyond 45 such stocks shall be compulsorily excluded, and they will be replaced by
next best stocks within the eligible universe•

From the eligible universe, top 15 ranked stocks based on the Jensen’s Alpha that are
already not part of the index shall be compulsorily included in the index replacing thelowest Jensen’s Alpha stocks from the existing portfolio•

In case the number of stocks within the eligible universe is less than 30, the deficit numberof stocks would be selected from the existing stocks with least negative Jensen’s Alpha

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•

Apart from the scheduled quarterly review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents is removed
from Nifty 200 due to any corporate action (scheme of arrangement, delisting etc.) or
suspension by the exchange etc. and would be made effective along with the ad-hocreconstitution of the Nifty 200•

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. Incase of non-compliance, suitable corrective measures will be taken to ensure compliancewith the norms

15. Nifty100 Low Volatility 30
Introduction:
Nifty100 Low Volatility 30 Index aims to measure the performance of the low volatile securities
in the large market capitalisation segment. The selection of securities and its weights in Nifty100
Low Volatility 30 are based on volatility.

Index Construction & Review Methodology:
Eligible Universe:•

The securities forming part of Nifty 100 are eligible for inclusion in the index•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selected froma list of any other index. Nifty100 Low Volatility 30 index would be considered as a childindex as constituents of this index selected from a list of Nifty 100 index•

Securities should have a minimum listing history of 1 year•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. would beconsidered eligible for inclusion in the index if as on the cut-off date for sourcing data ofpreceding twelve months for index reconstitution, a company has completed twelve calendar
months of trading period after the stock has traded on ex. basis subject to fulfilment of alleligibility criteria for inclusion in the index

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•

Securities should be available for trading in derivative segment (F&O)•

DVR shares are not eligible for inclusion in the index

Selection Criteria:•

Stocks are assessed on the basis of volatility for index inclusion•

Volatility is calculated as the standard deviation of daily price returns (log normal) for last
one year•

Eligible stocks are then ranked based on their volatility score, with stock having lowest
volatility getting a rank of 1•

Top 30 ranked stocks with least volatility form part of the index

Rebalancing
The index is reconstituted on a quarterly basis using data of six month period ending last trading
day of February, May, August and November. Volatility is calculated using closing prices of last
one-year (adjusted for corporate actions) period ending last trading day of February, May, Augustand November for each review respectively.

At time of review, if the existing constituent of the index is ranked within top 60 based on the
low volatility score, then the stock is retained in the index. Stocks based on lowest volatility rank
gets included in the index, depending on the number of exclusions from the index due to above
rule.

Constituent Weights:•

In the first step, weight of the constituents are calculated based on the volatility
1𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑤=1∑𝑛1𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦•

Weight of the stocks, having 6-month average turnover less than the stock with the lowest 6
month average turnover in Nifty 50 Index, are capped at 3%. The excess weight is distributed
among the non-capped stocks in the proportion of their low volatility weights•

Weights of constituents are capped during the quarterly review. The weights of theconstituent can change between the rebalancing periods due to the change in stock prices

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•

Quarterly rebalancing of weights is carried out considering the closing prices of the index
constituents 3 trading days prior to the effective date of the changes

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

Nifty Indices – Methodology Document, October 2024 20241025

13716. Nifty200 Momentum 30
Introduction
Nifty200 Momentum 30 Index which aims to track the performance of the top 30 companies
within the Nifty 200 selected based on their Normalized Momentum Score. The Normalized
Momentum Score for each company is determined based on its 6-month and 12-month pricereturn, adjusted for volatility. Stock weights are based on a combination of the stock’s
Normalized Momentum Score and its free-float market capitalization.

Highlights•

The index has a base date of April 01, 2005, with a base value of 1000•

The index tracks the performance of the stocks that are part of the Nifty 200 index, andhave high Normalized Momentum Scores•

The Normalized Momentum Score is based on 6-month and 12-month price return,
adjusted for volatility•

The weight of each stock is based on the factor tilt methodology – the weight is derived
by multiplying the free float market cap with the Normalized Momentum Score of that
stock

•

Stock weights are capped at the lower of 5% or 5 times the weight of the stock in theindex based only on free float market capitalization•

A buffer based on Normalized Momentum Score ranks is applied to reduce turnoverIndex Construction & Review Methodology:
Eligibility criteria•

Stocks forming part / going to be a part of the Nifty 200 index at the time of review•

Constituents should have a minimum listing history of 1 year•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. would beconsidered eligible for inclusion in the index if as on the cut-off date for sourcing data ofpreceding twelve months for index reconstitution, a company has completed twelve
calendar months of trading period after the stock has traded on ex. basis subject tofulfilment of all eligibility criteria for inclusion in the index

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•

Stock should be available for trading in derivative segment (F&O) as on the effective date

Stock selection criteria:
Stocks shortlisted based on above mentioned criteria are further analysed as:•

For each eligible stock, Z Score is calculated on the basis of 6-month momentum and 12month momentum• Momentum Ratio for a stock is calculated as:
Momentum Ratio = (𝑃𝑟𝑖𝑐𝑒 𝑅𝑒𝑡𝑢𝑟𝑛)/𝜎p▪

12 month Momentum Ratio (MR12) = 12 month Price return / σp
• 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 Month•▪

Std.Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

6 month Momentum Ratio (MR6) = 6 month Price return / σp
• 6 month price return (6 M return): [Price (M-1)/Price (M-7)]-1
Where M is the rebal month, and prices are as of the last
trading day of M-1 Month and M-7 Month••

Std.Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

Z Score of the Momentum Ratio for each security is calculated:▪ The 12 – month Momentum Z score for each stock is calculated as per
the following formula:[MR12 – μMR,12]/ σMR,12
Where;
MR12 is the 12 month Momentum Ratio of the stockµMR, 12 is the mean of the 12 month Momentum Ratios of the eligible
universe
σ MR,12 is the std. deviation of the 12 month Momentum Ratios of theeligible universe▪

Similarly, the 6 month Momentum Z score for each stock is calculated as
per the following formula:[MR6 – μMR,6]/ σMR,6

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Where;MR6 is the 6 month Momentum Ratio of the stockµMR, 6 is the mean of the 6 month Momentum Ratios in the eligible universe
σMR,6 is the std. deviation of the 6 month Momentum Ratios in the eligible
universe• The Weighted Average Z score is calculated for each eligible stock as per the following
formula:o
Weighted Average Z Score = 50% * (12 month Momentum Z Score) + 50%* (6 month Momentum Z Score)• The Normalized Momentum Score is calculated for each eligible stock from its Weighted
Average Z score as:o Normalized Momentum Score = (1+ Wgt. Average Z score) if Wgt. Average Z score >=0(1- Weighted Average Z score)^-1 if Wgt. Average Z score <0• The top 30 stocks with the highest Normalized Momentum Score are selected

Weights and Capping:•

Weight of the stock in the index is derived by multiplying the free float market cap with
the Normalized Momentum Score of that stock•

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 capitalization•

Capping will be done semi-annually at the time of rebalancing

Reconstitution•

Index rebalancing will be done on a semi-annual basis in June and December•

Stocks that move out of the Nifty 200 shall also move out of the Nifty200 Momentum 30
Index at the time of the review of the Nifty200 Momentum 30 Index•

From the eligible universe defined above, the top 15 ranked stocks on their Normalized
Momentum Score are compulsorily included in the index, whereas existing stocks in theindex whose rank goes beyond 45 are compulsorily excluded from the index

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•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents is removed
from Nifty 200 due to any corporate action (scheme of arrangement, delisting etc.) or
suspension by the exchange etc.

•

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. Incase 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 of norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

Nifty Indices – Methodology Document, October 2024 20241025

14117. Nifty Midcap150 Momentum 50
Introduction
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. The
Normalized Momentum Score for each company is determined based on its 6-month and 12month price return, adjusted for volatility. Stock weights are based on a combination of thestock’s Normalized Momentum Score and its free-float market capitalization.

Highlights
•
•

•
•

•
•
•

The index has a base date of April 01, 2005, with a base value of 1000
Stocks part of the Nifty Midcap 150 at the time of review are eligible for inclusion in
the index subject to the following:o Non-F&O stocks within Nifty Midcap 150 hitting the circuit filter more than orequal to 20% of the trading days in past 6 months as on cutoff date are ineligible
for inclusion in the index
50 stocks are selected based on high Normalized Momentum Score
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 thatstock
Stock weights are capped at the lower of 5% or 5 times the weight of the stock in theindex based only on free float market capitalization
A buffer based on Normalized Momentum Score ranks is applied to reduce turnover
The index is reconstituted semi-annually in June & December

Index Construction & Review Methodology:
Eligible Universe:o Stocks forming part / going to be a part of the Nifty Midcap 150 index at the time ofreview subject to the following:o Constituents should have a minimum listing history of 1 yearo 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 thepast 6 months as of the cut-off date is more than or equal to 20% of the numberof total trading days over the same period

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*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.
Stock selection criteria•

Top 50 stocks with the highest Normalized Momentum Score are selected to be the partof the index

Normalised Momentum Score is calculated for each stock using the following approach:•For each eligible stock, Z Score is calculated on the basis of 6-month momentum ratio and
12-month momentum ratio•

Momentum Ratio for a stock is calculated as:

Momentum Ratio = (𝑃𝑟𝑖𝑐𝑒 𝑅𝑒𝑡𝑢𝑟𝑛)/𝜎p▪

12-month Momentum Ratio (MR12) = 12-month Price return / σp•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 Month•

Std.Deviation (σp): Annualised standard deviation of lognormal
daily returns of the stock for 1 year▪

6-month Momentum Ratio (MR6) = 6-month Price return / σp•

6-month price return (6 M return): [Price (M-1)/Price (M-7)]-1
Where M is the rebal month, and prices are as of the last
trading day of M-1 Month and M-7 Month•

Std.Deviation (σp): Annualised standard deviation of lognormal
daily returns of the stock for 1 year•

Z Score of the Momentum Ratio for each security is calculated:▪

The 12 – month Momentum Z score for each stock is calculated as per
the following formula:[MR12 – μMR,12]/ σMR,12

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Where;MR12 is the 12-month Momentum Ratio of the stockµMR, 12 is the mean of the 12-month Momentum Ratios of the eligible
universe
σMR,12 is the std. deviation of the 12-month Momentum Ratios of theeligible universe▪

Similarly, the 6-month Momentum Z score for each stock is calculated as
per the following formula:[MR6 – μMR,6]/ σMR,6

Where;
MR6 is the 6-month Momentum Ratio of the stockµMR, 6 is the mean of the 6-month Momentum Ratios in the eligible universe
σMR,6 is the std. deviation of the 6-month Momentum Ratios in the eligible
universe• The Weighted Average Z score is calculated for each eligible stock as per the following
formula:o

Weighted Average Z Score = 50% * (12-month Momentum Z Score) + 50%* (6-month Momentum Z Score)• The Normalized Momentum Score is calculated for each eligible stock from its Weighted
Average Z score as:oNormalized Momentum Score =(1+ Weighted Average Z score) if Weighted Average Z score >=0(1- Weighted Average Z score) ^-1 if Weighted Average Z score < 0

Weights and Capping:•

Weight of the stock in the index is derived by multiplying the free float market cap with
the Normalized Momentum Score of that stock

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•

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 capitalization•

Capping is done on a semi-annual basis at the time of rebalancing

Index rebalancing & reconstitution:•

Index rebalancing and reconstitution will be done on a semi-annual basis in June andDecember using data ending last trading day of May and November•

Stocks that moved out of the Nifty Midcap 150 shall also move out of the index at the timeof the subsequent review of the Nifty Midcap150 Momentum 50 Index•

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 index•

From the eligible universe, top 25 ranked stocks based on the Normalized Momentum scorethat are already not part of the index shall be compulsorily included in the index replacing
the stocks with lowest Normalized Momentum score from the existing portfolio•

If the rank of the stocks within the existing index based on the Normalized Momentum
score goes beyond 75 such stocks shall be compulsorily excluded, and they will be replacedby next best stocks within the eligible universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing 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 exchange etc.

•

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. In caseof 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 norms

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18. Nifty500 Momentum 50
Introduction
Nifty500 Momentum 50 Index which aims to track the performance of the top 50 companies
within the Nifty 500 selected based on their Normalized Momentum Score. The Normalized
Momentum Score for each company is determined based on its 6-month and 12-month pricereturn, adjusted for volatility. Stock weights are based on a combination of the stock’s
Normalized Momentum Score and its free-float market capitalization.

Highlights•••

The index has a base date of April 01, 2005, with a base value of 1000
The index tracks the performance of stocks that are a part of the Nifty 500 index andhave high Normalized Momentum Scores
The Normalized Momentum Score is based on 6-month and 12-month price return, adjusted
for volatility•

The weight of each stock is based on the factor tilt methodology – the weight is derived bymultiplying the free float market cap with the Normalized Momentum Score of that stock•••

Stock weights are capped at the lower of 5% or 5 times the weight of the stock in theindex based only on free float market capitalization
A buffer based on Normalized Momentum Score ranks is applied to reduce turnover
The index is reconstituted semi-annually in June & December

Index Construction & Review Methodology:
Eligible Universe:o Each stock within the universe is eligible to be the part of the index subject to following:o Constituents should have a minimum listing history of 1 yearo A non-member stock which is not available for trading in F&O segment within
the universe 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 cutoff date is more than or equal to 20% of the number of total trading days overthe same period*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 (priceband) on the same trading day, it will be counted as two instances.

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o Companies having percentage pledged promotor’s shares greater than 20% areineligible for inclusion in the indexo Bottom 10 percentile stocks based on 6 month average daily turnover within theuniverse are ineligible for inclusion in the indexo Bottom 10 percentile stocks based on Turnover ratio within the universe areineligible for inclusion in the index.
Stock selection criteria
Stocks shortlisted based on above mentioned criteria are further analysed as:•

For each eligible stock, Z Score is calculated on the basis of 6-month momentum and 12month momentum• Momentum Ratio for a stock is calculated as:
Momentum Ratio = (𝑃𝑟𝑖𝑐𝑒 𝑅𝑒𝑡𝑢𝑟𝑛)/𝜎p▪

12 month Momentum Ratio (MR12) = 12 month Price return / σp
• 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 Month•▪

Std.Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

6 month Momentum Ratio (MR6) = 6 month Price return / σp
• 6 month price return (6 M return): [Price (M-1)/Price (M-7)]-1
Where M is the rebal month, and prices are as of the last
trading day of M-1 Month and M-7 Month••

Std.Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

Z Score of the Momentum Ratio for each security is calculated:▪ The 12 – month Momentum Z score for each stock is calculated as per
the following formula:[MR12 – μMR,12]/ σMR,12
Where;
MR12 is the 12 month Momentum Ratio of the stockµMR, 12 is the mean of the 12 month Momentum Ratios of the eligible
universe

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σ MR,12 is the std. deviation of the 12 month Momentum Ratios of theeligible universe▪

Similarly, the 6 month Momentum Z score for each stock is calculated as
per the following formula:[MR6 – μMR,6]/ σMR,6
Where;
MR6 is the 6 month Momentum Ratio of the stockµMR, 6 is the mean of the 6 month Momentum Ratios in the eligible universe
σMR,6 is the std. deviation of the 6 month Momentum Ratios in the eligible
universe• The Weighted Average Z score is calculated for each eligible stock as per the following
formula:o
Weighted Average Z Score = 50% * (12 month Momentum Z Score) + 50%* (6 month Momentum Z Score)• The Normalized Momentum Score is calculated for each eligible stock from its Weighted
Average Z score as:o Normalized Momentum Score = (1+ Wgt. Average Z score) if Wgt. Average Z score>=0(1- Weighted Average Z score)^-1 if Wgt. Average Z
score < 0
• Top 50 stocks with the highest Normalized Momentum Score are selected

Weights and Capping:•

Weight of the stock in the index is derived by multiplying the free float market cap with
the Normalized Momentum Score of that stock•

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 capitalization•

Capping will be done semi-annually at the time of rebalancing•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

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Index rebalancing & reconstitution:•

Index rebalancing and reconstitution will be done on a semi-annual basis in June andDecember using data ending last trading day of May and November respectively•

Stocks that moved out of the Nifty 500 index shall also move out of the index at the timeof the subsequent review of the Nifty500 Momentum 50 index•

If the rank of the eligible stocks within the existing index based on momentum score is
within top 75, then such stocks would continue to form part of the index•

From the eligible universe top 25 ranked stocks based on the momentum score that are
not part of the index shall be compulsorily included in the index replacing the stocks withlowest momentum score from the existing portfolio.

•

If the rank of the stocks within the existing index based on the momentum score goesbeyond 75, then such stocks shall be compulsorily excluded, and they will be replaced by
next best stocks based on the momentum score•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated 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.

•

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. Incase 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 norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Introduction
NSE Indices Limited (formerly known as India Index Services & Products Limited-IISL), a NSE groupcompany provides a variety of indices and index related services and products for the Indian
capital markets.
The Nifty100 Quality 30 index includes top 30 companies from its parent Nifty 100 index, selectedbased on their ‘quality’ scores. The quality score for each company is determined based on returnon equity (ROE), financial leverage (Debt/Equity Ratio) and earning (EPS) growth variability
analysed during the previous 5 years.

Highlights•

The index series has a base date of October 01, 2009 and a base value of 1000•

Stocks from Nifty 100 index at the time of review are eligible for inclusion in the index•

30 companies with higher profitability, lower leverage and more stable earnings are selected
to be part of the index•

The weight of each stock in the index is based on the combination of stock’s quality score
and its free float market capitalization•

Index is rebalanced semi-annually

Index Construction & Review Methodology:
Eligibility criteria•

Stocks should form part of Nifty 100 index at the time of review•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selected froma list of any other index. Nifty100 Quality 30 index would be considered as a child index as
constituents of this index selected from a list of Nifty 100 index•

Constituents should have a minimum listing history of 1 year

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•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is considered
eligible for inclusion in the index if company has completed twelve calendar months of
trading as on the cut-off date after the stock has traded on ex. basis subject to fulfilment of
all eligibility criteria for inclusion in the index.

•

Stock should be available for trading in derivative segment (F&O)

Stock selection criteria:
Stocks shortlisted based on above mentioned criteria are further analysed as given below:•

For each eligible stock, Z 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. Debt-toequity ratio is not considered for companies belonging to financial services sector•

Latest fiscal year data is considered for the calculation of return on equity (ROE) anddebt-to-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•

Z score of each parameter for each security is calculated as per following formula:(x – μ)/ σ
Where;
x is parameter value of the stockµ is mean value of the parameter in the eligible universe
σ is std. deviation of parameter in the eligible universe•

EPS growth variability is not calculated for stocks with negative EPS in any of theprevious 6 fiscal years. Such stocks are not considered for selection•

In case of an IPO, company will be considered for selection, if adjusted EPS data isavailable to at least calculate EPS growth variability in previous 3 financial years•

Weighted average Z score is calculated for all securities as per the following formula:

For Non-Financial Service sector company:
Weighted Z score= 0.33 * Z score of ROE + 0.33 * - (Z score of D/E) + 0.33* - (Z score of EPS
growth variability)

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For financial services sector:
Weighted Z score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growth variability)•

Quality score is calculated for all eligible securities from the weighted average Z score as
Quality Score = (1+ Average Z score) if Average Z score >0(1-Average Z score)^-1 if Average Z score < 0•

Top 30 stocks are selected based on quality-score

Weights and Capping:•

Weight of the stock in the index is derived by multiplying the square root of the free
float market cap with the quality score of that stock•

Each stock in the index is capped at the lower of 5% or 5 times the weight of the stockin the index based only on free float market capitalization•

Capping will be done semi-annually at the time of rebalancing

Reconstitution•

Index rebalancing will be done on a semi-annual basis in June and December•

Stocks that moved out of the Nifty 100 at the time of review shall also move out of
the index•

Top 10 ranked stocks on the basis of quality score are compulsorily included in theindex, whereas existing stocks in the index whose rank goes beyond 50 are
compulsorily excluded from the index•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents
undergoes suspension or delisting or scheme of arrangement•

Further, on a quarterly basis, indices will be screened for compliance with theportfolio concentration norms for ETFs/ Index Funds announced by SEBI on January
10, 2019. 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 thecompliance of norms

Also see:•••Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here

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•
•
•

Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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20. Nifty200 Quality 30
Introduction
The Nifty200 Quality 30 index includes top 30 companies from its parent Nifty 200 index, selectedbased on their ‘quality’ scores. The quality score for each company is determined based on returnon equity (ROE), financial leverage (Debt/Equity Ratio) and earning (EPS) growth variability
analysed during the previous 5 years.

Highlights•

The index series has a base date of April 01, 2005 and a base value of 1000•

Stocks from Nifty 200 index at the time of review are eligible for inclusion in the index•

30 companies with higher profitability, lower leverage and more stable earnings are
selected to be part of the index•

The weight of each stock in the index is based on the combination of stock’s quality score
and its free float market capitalization•

Index is rebalanced semi-annually

Index Construction & Review Methodology:
Eligibility criteria
To form part of Nifty200 Quality 30 Index, stocks should qualify the following eligibility criteria(s):Universe:•

Stocks should form part of Nifty 200 index at the time of review•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selectedfrom a list of any other index. Nifty200 Quality 30 index would be considered as a childindex as constituents of this index selected from a list of Nifty 200 index.

•

Constituents should have a minimum listing history of 1 year•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is

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considered eligible for inclusion in the index if company has completed twelve calendar
months of trading as on the cut-off date after the stock has traded on ex. basis subject tofulfilment of all eligibility criteria for inclusion in the index.
•

Stock should be available for trading in derivative segment (F&O)

Stock selection criteria:
Stock’s shortlisted based on above mentioned criteria are further analysed as
•

•

•

•
•
•

For each eligible stock, Z score is calculated on the basis of return on equity (ROE), debtto-equity (D/E) ratio and EPS growth variability in the previous 5 years. Debt-to-equity
ratio is not considered for companies belonging to financial services sector
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
Z score of each parameter for each security is calculated as per following formula:(x – μ)/ σ
Where;
x is parameter value of the stockµ is mean value of the parameter in the eligible universe
σ is std. deviation of parameter in the eligible universe
EPS growth variability is not calculated for stocks with negative EPS in any of the previous
6 fiscal years. Such stocks are not considered for selection
In case of an IPO, company will be considered for selection, if adjusted EPS data isavailable to at least calculate EPS growth variability in previous 3 financial years
Weighted average Z score is calculated for all securities as per the following formula

For Non-Financial Service sector company:
Weighted Z score= 0.33 * Z score of ROE + 0.33 * - (Z score of D/E) + 0.33* - (Z score of
EPS growth variability)

For financial services sector:
Weighted Z score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growth variability)•

Quality score is calculated for all eligible securities from the weighted average Z score as
Quality Score = (1+ Average Z score) if Average Z score >0(1-Average Z score)^-1 if Average Z score < 0•

Top 30 stocks are selected based on quality-score

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Weights and Capping:•••

Weight of the stock in the index is derived by multiplying the square root of the free float
market cap with the quality score of that stock
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 capitalization
Capping will be done semi-annually at the time of rebalancing

Reconstitution
•
•
•

•

•

Index rebalancing will be done on a semi-annual basis in June and December.
Stocks that moved out of the Nifty 200 at the time of review shall also move out of theindex
Top 10 ranked stocks on the basis of quality score are compulsorily included in the index,
whereas existing stocks in the index whose rank goes beyond 50 are compulsorily
excluded from the index
Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement
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. Incase 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 of norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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

Highlights•

The index series has a base date of April 01, 2005 and a base value of 1000•

Stocks from Nifty Midcap 150 index at the time of review are eligible for inclusion in the
index

•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selectedfrom a list of any other index. Nifty Midcap 150 Quality 50 index would be considered asa child index as constituents of this index selected from a list of Nifty Midcap 150 index•

50 companies with higher profitability, lower leverage and more stable earnings are
selected to be part of the index•

The weight of each stock in the index is based on the combination of stock’s quality score
and its free float market capitalization

Index Construction & Review Methodology:
Eligibility criteria
To form part of Nifty Midcap150 Quality 50 Index, stocks should qualify the following eligibility
criteria(s).

Universe:••

Stocks should form part of Nifty Midcap 150 index at the time of review
Constituents should have a minimum listing history of 1 year

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•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. isconsidered eligible for inclusion in the index if company has completed twelve calendar
months of trading as on the cut-off date after the stock has traded on ex. basis subject tofulfilment of all eligibility criteria for inclusion in the index.

Stock selection criteria:
Stock’s shortlisted based on above mentioned criteria are further analysed as••

For each eligible stock, Z score is calculated on the basis of return on equity (ROE), debtto-equity (D/E) ratio and EPS growth variability in the previous 5 years. Debt-to-equity
ratio is not considered for companies belonging to financial services sector
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•

Z score of each parameter for each security is calculated as per following formula(x – μ)/ σ
Where;
x is parameter value of the stockµ is mean value of the parameter in the eligible universe
σ is std. deviation of parameter in the eligible universe•

EPS growth variability is not calculated for stocks with negative EPS in any of the previous
6 fiscal years. Such stocks are not considered for selection
In case of an IPO, company will be considered for selection, if adjusted EPS data isavailable to at least calculate EPS growth variability in previous 3 financial years
Weighted average Z score is calculated for all securities as per the following formula••

For Non-Financial Service sector company:
Weighted Z score= 0.33 * Z score of ROE + 0.33 * - (Z score of D/E) + 0.33* - (Z score of
EPS growth variability)
For financial services sector:
Weighted Z score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growth variability)•

Quality score is calculated for all eligible securities from the weighted average Z score as
Quality Score = (1+ Average Z score) if Average Z score >0(1-Average Z score)^-1 if Average Z score < 0•

Top 50 stocks are selected based on quality-score

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Weights and Capping:•••

Weight of the stock in the index is derived by multiplying the square root of the free float
market cap with the quality score of that stock
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 capitalization
Capping will be done semi-annually at the time of rebalancing

Reconstitution
•
•
•

•

Index reconstitution will be done on a semi-annual basis in June and December. Changes
shall be effective from the last trading day of June and December
At the time of review, stocks forming part of Nifty Midcap 150 are eligible to form part ofthis index
Top 25 ranked stocks on the basis of quality score are compulsorily included in the index,
whereas existing stocks in the index whose rank goes beyond 75 are compulsorily
excluded from the index
Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement

Calculation Frequency:
The index is calculated on an end of day basis for all days National Stock Exchange of India is
open for trading in equity shares.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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22. Nifty Smallcap250 Quality 50
Introduction
The Nifty Smallcap250 Quality 50 Index aims to tracks the performance of the small cap stocks
which are selected based on their quality scores. The quality score for each company isdetermined based on return on equity (ROE), financial leverage (Debt/Equity Ratio) and earning(EPS) growth variability analysed during the previous 5 years. The weight of each stock in theindex is based on a combination of stock’s quality score and its free float market capitalization.

Highlights•

The index has a base date of April 01, 2005, with a base value of 1000•

Stocks part of the Nifty Smallcap 250 index at the time of review are eligible forinclusion in the index•

Stocks that have scored low on value, liquidity and volatility parameters are
excluded from the index•

50 companies with high quality score are selected to be part of the index•

The weight of each stock in the index is based on the combination of stock’s quality
score and its free float market capitalization. The index is reconstituted semiannually (June, December)Index Construction & Review Methodology:
Eligibility criteria
To form part of Nifty Smallcap250 Quality 50 Index, stocks should qualify the following eligibility
criteria(s).

Universe:•

Stocks forming part / going to be a part of the Nifty Smallcap 250 index at the time ofreview•

Constituents should have a minimum listing history of 1 year

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Eligible Universe:•

Stocks forming part of the universe are eligible to be the part of the index subject tofollowing:o Non - F&O stocks within Nifty Smallcap 250 index are ineligible for inclusion if thetotal 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 thenumber of total trading days over the same period*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.
o Companies having percentage pledged promotor’s shares greater than 20% areineligible for inclusion in the indexo Bottom 10 percentile stocks based on Value score are ineligible for inclusion in
the index (Refer Annexure for calculation of value score)o Bottom 10 percentile stocks based on 6 month average daily turnover are
ineligible for inclusion in the indexo Bottom 10 percentile stocks based on high volatility are ineligible for inclusion in
the index (Refer Annexure for calculation of volatility)

Stock selection criteria:•

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. Debt-toequity ratio is not considered for companies belonging to financial services sector.

•

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.

•

Z Quality score of each parameter for each security is calculated as per following formula:(x – μ)/ σ
Where; x is parameter value of the stockµ is mean value of the parameter in the eligible universe

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σ is std. deviation of parameter in the eligible universe•

EPS growth variability is not calculated for stocks with negative EPS in any of the previous
6 fiscal years. Such stocks are not considered for selection•

In case of an IPO, company will be considered for selection, if adjusted EPS data isavailable to at least calculate EPS growth variability in previous 3 financial years•

Weighted average Z Quality score is calculated for all securities as per the following
formula: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)
For Financial services sector:
Weighted average Z Quality score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growthvariability)•

Quality score is calculated for all eligible securities from the weighted average Z Quality
score asQuality Score = (1+ Average Z Quality score) if Avg. Z Quality score >0(1-Average Z Quality score)^-1 if Avg. Z Quality score < 0•

Top 50 stocks are selected based on quality score

Stock weighing methodology:•

Weight of the stock in the index is derived by multiplying the square root of the free float
market cap with the quality score of that stock•

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 capitalization•

Capping will be done semi-annually at the time of reconstitution•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

Index rebalancing & reconstitution:•

Index rebalancing and reconstitution will be done on a semi-annual basis in June andDecember using data ending last trading day of May and November respectively

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•

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 Quality 50 index•

If the rank of the eligible stocks within the existing index based on Quality score is within
top 75 then such stocks would continue to form part of the index•

From the eligible universe, top 25 ranked stocks based on the Quality score that are notpart of the index shall be compulsorily included in the index replacing the stocks withlowest Quality score from the existing portfolio•

If the rank of the stocks within the existing index based on the Quality score goes beyond
75 such stocks shall be compulsorily excluded, and they will be replaced by next beststocks based on the Quality score within the eligible universe•

In case, the number of stocks within the eligible universe falls below 50, the index shallcontinue with the available number of stocks within the eligible universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing 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.

•

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. Incase 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 norms

Annexure :1) Calculation of Value Score:•

Z Value score is calculated on the basis of on Earnings to Price ratio (E/P), Book Valueto Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield•

Latest fiscal year data is considered for the calculation of Earnings to Price ratio (E/P),
Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield•

Consolidated financial data is used wherever available else standalone financial data
is taken into consideration•

Z Value score of each parameter for each security is calculated as per following
formula:(x – μ)/ σ

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Where;x is parameter value of the stockµ is mean value of the parameter in the parent index
σ is std. deviation of parameter in the parent index•

Weighted average Z Value score is calculated for all securities as per the following
formula:Weighted Z Value score= 0.25 * (Z score of E/P) + 0.25 * (Z score of B/P) + 0.25* (Zscore of S/P) + 0.25 * (Z score of Div. Yield)•

Value score is calculated for all eligible securities from the weighted average Z score
asValue Score = (1+ Average Z Value score) if Average Z Value score >0(1-Average Z Value score)^-1 if Average Z Value score < 02) Calculation of Volatility:
Volatility is calculated using closing prices of last one-year (adjusted for corporate
actions) period ending last trading day of May and November for June and December
review respectively

Calculation Frequency:
The index is calculated on an end of day basis for all days National Stock Exchange of India is
open for trading in equity shares.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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16423. Nifty Multi-Factor Indices:
Introduction
Nifty Multi-Factor Index series includes indices that are designed to reflect the performance of
portfolio of stocks selected based on combination of 2 or more factors such as Quality, Value,
Alpha and Low Volatility.
Investments where stocks are screened based on multiple factors have gained popularity among
global investment community. By combing the well-established factors used in active investment
and rules-based frame work of passive investment, factor indices tend to deliver risk premium inlong term in a transparent, rule-based and cost effective manner. NSE Indices Limited maintains
various indices based on single factors including Alpha, Quality, Low Volatility and Value. Belowis the list of newly launched Nifty multi-factor indices:

Nifty Alpha Low-Volatility 30
Nifty Quality Low-Volatility 30
Nifty Alpha Quality Low-Volatility 30
Nifty Alpha Quality Value Low-Volatility 30
The multi-factor indices intend to capture the long-term risk premia by diversification across 4
factors namely: Alpha, Quality, Low Volatility and Value. By doing so, it intends to counter thecyclicality of single factor index strategy and provides investors a choice to take exposure to
multiple factors through a single index product.

Highlights•

The index series has a base date of April 01, 2005 and a base value of 1000•

Stocks from Nifty 100 and Nifty Midcap 50 at the time of review are eligible for inclusion in
the indices•

Indices consist of well diversified portfolio of 30 stocks selected based on combinationof 2 or more factors from the 4 factors – Alpha, Quality, Value and Low-Volatility•

Stock selection and weights are derived from factor scores resulting in portfolio capturing theessence of underlying factor dynamics

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•

With threshold mechanism that lays down stringent criteria for inclusion and exclusion, theindex seeks to minimize degree of churning and replication cost

Methodology
Eligibility criteria•

All constituents forming part of Nifty 100 and Nifty Midcap 50 at the time of review are
eligible for inclusion in the index•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selected froma list of any other index. Nifty Multi-Factor indices would be considered as a child indices asconstituents of this index selected from a list of Nifty 100 and Nifty Midcap 150 index•

Stocks should be available for trading in derivative segment (F&O)•

Constituents should have a minimum listing history of 1 year

• At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is considered
eligible for inclusion in the index if company has completed twelve calendar months of
trading as on the cut-off date after the stock has traded on ex. basis subject to fulfilment of
all eligibility criteria for inclusion in the index.

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Stock Selection and stock weights:
Composition of single factors:

Alpha

Quality

Value

Low Volatility

Parameters- High Jensens
Alpha- High ROE- Low Debt
Equity ratio-Low EPS growthvariability- High ROCE
- HighDividend Yield- Low P/E
- Low P/B

- Low standard
deviation ofprice returns

Data source

Previous one
year stock
pricesAnnual Report

Annual Report

Previous one
year stock
pricesCondition

Company
should havepricing historyof atleast 1
year

Company
should havereported
postive EPS in
previous 6
financial years

Company
should havereported
postive PAT inprevious 1
financial year

Company
should havepricing historyof atleast 1
year

Factors

Computation of single factor scores
Single Factors

Quality

Value

Stock Selection and weighing process
Weighting Factor level Z score Factor level percentile score

Parameter score
Return on Equity

33.33%

Debt to Equity Ratio

33.33%EPS growth variability in 5 years

33.33%

Price to Earnings Ratio*1

30%

Price to Book Value Ratio*1

20%

Return on Capital Employed*1

Dividend Yield*1
Alpha
Low Volatility

Jensen’s Alpha based on CAPM
Inverse of Standard deviation ofdaily price returns

Aggregate Quality Z
score

Percentile Distribution of
Quality Z score

Aggregate Value Z
score

Percentile Distribution of
Quality Z score

100%

Alpha Z score

Percentile Distribution of
Alpha Z score

100%

Low Vol Z score

Percentile Distribution of
Low Volatility Z score

40%
10%

*1 Refer to annexure for details on different weight combinations used for the calculation of value z score

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Factor Weights in Multi-factor Indices
Index

Factors Weights

Selection

Alpha

Low-Vol.

Quality

Value

Nifty Alpha Low-Volatility 30

50%

50%

-

-

Nifty Quality Low-Volatility 30

-

50%

50%

-

Nifty Alpha Quality Low-Volatility 30

33.33%

33.33%

33.33%-

Nifty Alpha Quality Value Low-Volatility 30

25%

25%

25%

25%

Top 30stocks basedon weighted
average
percentile
score

Weights
Based onweighted
average factor
level Z Score.
Weights ofstocks arecapped at 5%

Reconstitution & Rebalancing criteria• The Indices will be reconstituted semi-annually in June and December• Top 10 stocks based on average percentile score are compulsorily included in the index• An existing constituent is compulsorily excluded if its rank based on Average percentile score
drops below 50• Weights of stocks are capped at the lower of 5% or 5 times the weight of the stock in theindex based only on free float market capitalization• Weights may drift between rebalancing due to movement in stock prices• Apart from the scheduled review, additional ad-hoc reconstitution and rebalancing of theindex will be initiated in case any of the index constituents undergoes suspension, delistingor scheme of arrangement• 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. In caseof 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 of norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Factor Mathematics
Z score of factors considered for the index are calculated based on the weighted average Z scoreof underlying parameters which is discussed below.

1) Quality Factor:•

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. D/E is not considered for companies
belonging to financial services sector•

Companies with negative EPS in the previous 6 years are excluded•

To derive Z-Score, for non-financial service company, equal weightage is given to ROE, D/E
and EPS growth variability in the previous 5 years. For Financial Service sector company,
50% weightage is given to ROE & EPS growth variability•

Average weighted Z score is calculated for all securities as per the following formula:
Quality Z score (Non- Financial service sector) = (1/3) * Z score of ROE + (1/3) * (-Z score of D/E) + (1/3) * (-Zscore of EPS growth variability)

Quality Z score (Financial service sector) = .5 * Z score of ROE + .5 * (-Z score of EPS growth variability)

2) Value Factor:•

Value Z score are calculated on the basis of ROCE (Return on Capital Employed), PE, PB and
Dividend yield (DY)•

Average weighted Z score is calculated for all securities as per the following formula
Value Z score= 0.3 * (-Z score of P/E) + 0.2 * (-Z score of P/B) + 0.4 * (Z Score of ROCE)+ 0.1 *(Z score of Div. Yield)•

In case quality is also one of the factors in the index then average weighted Z score is
calculated for all securities as per the following formula:
Value Z score= 0.3 * (-Z score of P/E) + 0.3 * (-Z score of P/B) + 0.2 * (Z Score of ROCE)+ .2 *(Z score of Div. Yield)

3) Low Volatility Factor:•

Low Volatility Z score is calculated using the inverse of Std. deviation based on previous 1year prices returns

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Alpha Z score is calculated for all securities on the basis of Jensen's Alpha based on previous
1-year prices, where market portfolio is Nifty 50
Calculation of Alpha: αs = rs – [rf + βs ( rm - rf )]αs: Alpha of the stock
rs: Average of daily return of security during previous 12 months
rf : Average of daily 3 Month MIBOR rate during previous 12 months
rm : Average of daily return of index i.e. Nifty 50
βs : Beta of the security calculated based on previous 12 month period.

Z score of the factors are converted into Factor score based on the following formula
Factor Score = (1+ Average Z score) if Average Z score >0
1/ (1-Average Z score) if Average Z score < 0

Percentile score is calculated from the factor score for every eligible security with security having
the highest factor score getting the highest percentile score.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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24. Nifty500 Multicap Momentum Quality 50
Introduction:
The Nifty500 Multicap Momentum Quality 50 Index aims to track the performance of thelargecap, midcap and smallcap stocks which are selected based on the combination of
momentum and quality factors from the Nifty 500 index. The momentum score for eachcompany is determined based on its 6-month and 12-month price return, adjusted forvolatility. 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 theprevious 5 years.

Highlights:•

The index has a base date of April 01, 2005, with a base value of 1000•

Stocks part of the Nifty 500 index at the time of review are eligible for inclusion in the
index

•

Stocks that have scored low on liquidity parameters are excluded from the index•

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 universe (stocks forming part of the Nifty Smallcap 250)
based on the combination of momentum and quality factors are selected to be part ofthe index•

The weight of each stock in the index is based on the combination of stock’s composite
momentum - quality score and its free float market capitalization.

•

The index is reconstituted semi-annually (June, December)

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Index Construction & Review Methodology:
Universe:•

Stocks forming part / going to be a part of the Nifty 500 index at the time of review

Eligible Universe:•

Stocks forming part of the Nifty 500 are further classified into three segment universes in
the following manner: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 index•

Each stock within the segment universe is eligible to be the part of the index subject tofollowing:o Constituents should have a minimum listing history of 1 yearoA non-member, non - F&O stocks which are not a part of index are ineligible forinclusion if the total instances of the stock hitting the upper or lower circuit (priceband) * 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 period*An instance is counted each time the stock hits the upper or lower price circuit on a given tradingday. If a stock hits the upper and lower price circuit (price band) on the same trading day, it will becounted as two instances.

o Companies having percentage pledged promotor’s shares greater than 20% areineligible for inclusion in the indexo Bottom 10 percentile stocks based on 6 month average daily turnover within eachsegment universe (Large cap, Mid cap and Smallcap segment separately) areineligible for inclusion in the indexo Bottom 10 percentile stocks based on Turnover ratio within each segment
universe (Large cap, Mid cap and Smallcap segment separately) are ineligible forinclusion in the index.
To remove large illiquid companies which may have higher FFMCAP but poor relative liquidity wehave applied the turnover ratio. Turnover ratio is calculated by dividing 6 months ADT by 6 months
average FFMcap
Percentage pledged share criteria has been added from April 2016 rebalancing and Circuit filter criteria has
been added since June 2019 rebalancing due to unavailability of data

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Stock selection criteria:
Factors used for stock selection:
The Momentum and Quality factors are calculated separately for the stocks forming part of theeligible segment universe
Factor 1: Momentum•

For each eligible stock, Z Score is calculated on the basis of 6-month momentum and 12month momentum• Momentum Ratio for a stock is calculated as:
Momentum Ratio = (𝑃𝑟𝑖𝑐𝑒 𝑅𝑒𝑡𝑢𝑟𝑛)/𝜎p▪

12 month Momentum Ratio (MR12) = 12 month Price return / σp
• 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 Month•▪

Std. Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

6 month Momentum Ratio (MR6) = 6 month Price return / σp
• 6 month price return (6 M return): [Price (M-1)/Price (M-7)]-1
Where M is the rebal month, and prices are as of the last
trading day of M-1 Month and M-7 Month••

Std. Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

Z Score of the Momentum Ratio for each security is calculated:▪ The 12 – month Momentum Z score for each stock is calculated as per
the following formula:[MR12 – μMR,12]/ σMR,12
Where;
MR12 is the 12 month Momentum Ratio of the stockµMR, 12 is the mean of the 12 month Momentum Ratios of the eligible
segment universe
σMR,12 is the std. deviation of the 12 month Momentum Ratios of theeligible segment universe▪

Similarly, the 6 month Momentum Z score for each stock is calculated as
per the following formula:

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[MR6 – μMR,6]/ σMR,6
Where;
MR6 is the 6 month Momentum Ratio of the stockµMR, 6 is the mean of the 6 month Momentum Ratios in the eligible segment
universe
σMR,6 is the std. deviation of the 6 month Momentum Ratios in the eligible
segment universe
The Weighted Average Z score is calculated for each eligible stock as per the following formula :oWeighted Average Z Score = 50% * (12 month Momentum Z Score) + 50%* (6 month Momentum Z Score)• The Normalized Momentum Score is calculated for each eligible stock from its Weighted
Average Z score as:o Normalized Momentum Score = (1+ Wgt. Avg. Z score) if Wgt. Avg. Z score >=0•(1- Weighted Average Z score)^-1 if Wgt. Avg. Z score < 0
Percentile Momentum score is calculated from the Normalized Momentum score forevery eligible security with security having the highest factor score getting the highest
percentile score.

Factor 2: Quality••

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. Debt-toequity ratio is not considered for companies belonging to the financial services sector.
Latest fiscal year data is considered for the calculation of return on equity (ROE) and debtto-equity (D/E) ratio. EPS growth variability in the previous 5 financial years is calculatedusing adjusted EPS of previous 6 years. Consolidated financial data is used whereveravailable else standalone financial data is taken into consideration.
Where,Y-O-Y EPS growth(n) =Y-O-Y EPS growth(n) =••𝐸𝑃𝑆 (𝑛)−𝐸𝑃𝑆(𝑛−1)

If EPS(n-1) > 0

𝐸𝑃𝑆 (𝑛−1)−(𝐸𝑃𝑆 (𝑛)−𝐸𝑃𝑆(𝑛−1))
𝐸𝑃𝑆 (𝑛−1)

If EPS(n-1) < 0

If EPS for year n-1 is 0, EPS growth would be Null for the period n
Z Quality score of each parameter for each security is calculated as per following formula:(x – μ)/ σ
Where; x is parameter value of the stockµ is mean value of the parameter in the eligible segment universe
σ is std. deviation of parameter in the eligible segment universe
In case of an IPO, company will be considered for selection, if adjusted EPS data isavailable to at least calculate EPS growth variability in previous 3 financial years

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•

•

•

Weighted average Z Quality score is calculated for all securities as per the following
formula: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)
For Financial services sector:
Weighted average Z Quality score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growthvariability)
Quality score is calculated for all eligible securities from the weighted average Z Quality
score asQuality Score = (1+ Average Z Quality score) if Avg. Z Quality score >0(1-Average Z Quality score)^-1 if Avg. Z Quality score < 0
Percentile Quality score is calculated from the Quality score for every eligible security
with security having the highest factor score getting the highest percentile score.

Stock selection criteria:•

Aggregate Percentile Score= 50% * percentile Momentum score + 50% * percentile
Quality score•

Stocks are selected from each segment universe based on the aggregate percentile scorein the following manner:o Top 10 stocks from the large cap segmento Top 15 stocks from the midcap segmento Top 25 stocks from the smallcap segment

Stock weighing methodology:•

Composite Factor Score: 50% * Normalized Momentum score + 50% * Quality score•

Weight of the stock in the index is derived by multiplying the free float market cap withthe composite factor score of that stock•

Each stock in the index is capped at 5%•

Capping will be done semi-annually at the time of reconstitution

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•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

Index rebalancing & reconstitution:•

Index rebalancing and reconstitution will be done on a semi-annual basis in June andDecember using data ending last trading day of May and November respectively•

Stocks that moved out of the Nifty 500 index shall also move out of the index at the timeof the subsequent review of the Nifty500 Multicap Momentum Quality 50 index•

If the rank of the eligible stocks within the existing index based on composite percentile
score is within:o Top 15 in the large cap segment universeo Top 23 in the midcap segment universeo Top 38 in the smallcap segment universe
then such stocks would continue to form part of the index•

From the eligible segment universe, 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 score that are not part of the index shall be compulsorily
included in the index replacing the stocks with lowest composite percentile score fromthe existing portfolio within the respective segment universe•

If the rank of the stocks within the existing index based on the composite percentile scoregoes:o Beyond 15 in the large cap segment universeo Beyond 23 in the midcap segment universeo Beyond 38 in the smallcap segment universe
such stocks shall be compulsorily excluded, and they will be replaced by next beststocks based on the composite percentile score within the eligible segment
universe

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•

In case, the number of stocks within the eligible segment universe falls below 10 in thelargecap segment, 15 in the midcap segment and 25 in the smallcap index, the index shallcontinue with the available number of stocks within that segment universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated 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.

•

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. Incase 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 norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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25. Nifty MidSmallcap400 Momentum Quality 100
Introduction:
The Nifty MidSmallcap400 Momentum Quality 100 Index aims to track the performance of the
midcap and smallcap stocks which are selected based on the combination of momentum andquality factors from the Nifty MidSmallcap 400 index. 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 determined based on return on equity (ROE), financial
leverage (Debt/Equity Ratio) and earning (EPS) growth variability analysed during the previous
5 years.

Highlights:•

The index has a base date of April 01, 2005, with a base value of 1000•

Stocks part of the Nifty MidSmallcap 400 index at the time of review are eligible forinclusion in the index•

Stocks that have scored low on liquidity parameters are excluded from the index•

50 companies from the Midcap universe (stock forming part of the Nifty Midcap 150
index) and 50 companies from Smallcap universe (stock forming part of the Nifty Smallcap
250 index) based on the combination of momentum and quality factors are selected tobe part of the index•

The weight of each stock in the index is based on the combination of stock’s composite
momentum - quality score and its free float market capitalization.

•

The index is reconstituted semi-annually (June, December)Index Construction & Review Methodology:
Universe:• Stocks forming part / going to be a part of the Nifty MidSmallcap 400 index
at the time of review

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Eligible Universe:•

Stocks forming part of the Nifty MidSmallcap 400 are further classified into two segment
universes in the following manner:o Midcap Segment – stocks forming part of the Nifty Midcap 150 index
o Smallcap segment – stocks forming part of the Nifty Smallcap 250 index•

Each stock within the segment universe is eligible to be the part of the index subject tofollowing:o Constituents should have a minimum listing history of 1 yearo Non - F&O stocks within the segment universe 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 period*An instance is counted each time the stock hits the upper or lower price circuit on a given tradingday. If a stock hits the upper and lower price circuit (price band) on the same trading day, it will becounted as two instances.

o Companies having percentage pledged promotor’s shares greater than 20% areineligible for inclusion in the indexo Bottom 10 percentile stocks based on 6 month average daily turnover within eachsegment universe (Midcap and Smallcap segment separately) are ineligible forinclusion in the indexo Bottom 10 percentile stocks based on Turnover ratio within each segment
universe (Midcap and Smallcap segment separately) are ineligible for inclusion in
the index.
Stock selection criteria:
Factors used for stock selection:
The Momentum and Quality factors are calculated separately for the stocks forming part of theeligible segment universe
Factor 1: Momentum•

For each eligible stock, Z Score is calculated on the basis of 6-month momentum and 12month momentum• Momentum Ratio for a stock is calculated as:
Momentum Ratio = (𝑃𝑟𝑖𝑐𝑒 𝑅𝑒𝑡𝑢𝑟𝑛)/𝜎p▪

12 month Momentum Ratio (MR12) = 12 month Price return / σp
• 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 Month

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•

▪

Std. Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

6 month Momentum Ratio (MR6) = 6 month Price return / σp
• 6 month price return (6 M return): [Price (M-1)/Price (M-7)]-1
Where M is the rebal month, and prices are as of the last
trading day of M-1 Month and M-7 Month••

Std. Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

Z Score of the Momentum Ratio for each security is calculated:▪ The 12 – month Momentum Z score for each stock is calculated as per
the following formula:[MR12 – μMR,12]/ σMR,12
Where;
MR12 is the 12 month Momentum Ratio of the stockµMR, 12 is the mean of the 12 month Momentum Ratios of the eligible
segment universe
σMR,12 is the std. deviation of the 12 month Momentum Ratios of theeligible segment universe▪

Similarly, the 6 month Momentum Z score for each stock is calculated as
per the following formula:[MR6 – μMR,6]/ σMR,6
Where;
MR6 is the 6 month Momentum Ratio of the stockµMR, 6 is the mean of the 6 month Momentum Ratios in the eligible segment
universe
σMR,6 is the std. deviation of the 6 month Momentum Ratios in the eligible
segment universe

The Weighted Average Z score is calculated for each eligible stock as per the following formula :oWeighted Average Z Score = 50% * (12 month Momentum Z Score) + 50%* (6 month Momentum Z Score)• The Normalized Momentum Score is calculated for each eligible stock from its Weighted
Average Z score as:o Normalized Momentum Score = (1+ Wgt. Avg. Z score) if Wgt. Avg. Z score >=0

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(1- Weighted Average Z score)^-1 if Wgt. Avg. Z•

score < 0
Percentile Momentum score is calculated from the Normalized Momentum score forevery eligible security with security having the highest factor score getting the highest
percentile score.

Factor 2: Quality••

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. Debt-toequity ratio is not considered for companies belonging to the financial services sector.
Latest fiscal year data is considered for the calculation of return on equity (ROE) and debtto-equity (D/E) ratio. EPS growth variability in the previous 5 financial years is calculatedusing adjusted EPS of previous 6 years. Consolidated financial data is used whereveravailable else standalone financial data is taken into consideration.
Where,Y-O-Y EPS growth(n) =Y-O-Y EPS growth(n) =

•

•
•

•

•

𝐸𝑃𝑆 (𝑛)−𝐸𝑃𝑆(𝑛−1)

If EPS(n-1) > 0

𝐸𝑃𝑆 (𝑛−1)−(𝐸𝑃𝑆 (𝑛)−𝐸𝑃𝑆(𝑛−1))
𝐸𝑃𝑆 (𝑛−1)

If EPS(n-1) < 0

If EPS for year n-1 is 0, EPS growth would be Null for the period n
Z Quality score of each parameter for each security is calculated as per following formula:(x – μ)/ σ
Where; x is parameter value of the stockµ is mean value of the parameter in the eligible segment universe
σ is std. deviation of parameter in the eligible segment universe
In case of an IPO, company will be considered for selection, if adjusted EPS data isavailable to at least calculate EPS growth variability in previous 3 financial years
Weighted average Z Quality score is calculated for all securities as per the following
formula: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)
For Financial services sector:
Weighted average Z Quality score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growthvariability)
Quality score is calculated for all eligible securities from the weighted average Z Quality
score asQuality Score = (1+ Average Z Quality score) if Avg. Z Quality score >0(1-Average Z Quality score)^-1 if Avg. Z Quality score < 0
Percentile Quality score is calculated from the Quality score for every eligible security
with security having the highest factor score getting the highest percentile score.

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Stock selection criteria:•

Aggregate Percentile Score= 50% * percentile Momentum score + 50% * percentile
Quality score•

50 stocks are selected from each segment universe individually based on the aggregate
percentile score

Stock weighing methodology:•

Composite Factor Score: 50% * Normalized Momentum score + 50% * Quality score•

Weight of the stock in the index is derived by multiplying the free float market cap withthe composite factor score of that stock•

Each stock in the index is capped at 5%•

Capping will be done semi-annually at the time of reconstitution•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

Index rebalancing & reconstitution:•

Index rebalancing and reconstitution will be done on a semi-annual basis in June andDecember using data ending last trading day of May and November respectively•

Stocks that moved out of the Nifty MidSmallcap 400 index shall also move out of theindex at the time of the subsequent review of the Nifty MidSmallcap400 Momentum
Quality 100 index•

If the rank of the eligible stocks within the existing index based on composite percentile
score is within top 75 in the eligible segment universe, then such stocks would continue
to form part of the index•

From the eligible segment universe top 25 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 portfolio
within the respective segment universe•

If the rank of the stocks within the existing index based on the composite percentile scoregoes beyond 75 in the eligible segment universe, such stocks shall be compulsorily
excluded, and they will be replaced by next best stocks based on the composite percentile
score within the eligible segment universe

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•

In case, the number of stocks within the eligible segment universe falls below 50, theindex shall continue with the available number of stocks within that eligible segment
universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents is removed
from Nifty MidSmallcap 400 index due to any corporate action (scheme of arrangement,delisting etc.) or suspension by the exchange etc.

•

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. Incase 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 norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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26. Nifty Smallcap250 Momentum Quality 100
Introduction:
The Nifty Smallcap250 Momentum Quality 100 Index aims to track the performance of thesmall cap stocks which are selected based on the combination of momentum and quality
factors. The momentum score for each company is determined based on its 6-month and 12month price return, adjusted for volatility. The quality score for each company is determinedbased on return on equity (ROE), financial leverage (Debt/Equity Ratio) and earning (EPS)
growth variability analysed during the previous 5 years.

Highlights•

The index has a base date of April 01, 2005, with a base value of 1000•

Stocks part of the Nifty Smallcap 250 index at the time of review are eligible forinclusion in the index•

Stocks that have scored low on liquidity parameters are excluded from the index•

100 companies based on the combination of momentum and quality factors are
selected to be part of the index•

The weight of each stock in the index is based on the combination of stock’s
composite momentum - quality score and its free float market capitalization.

•

The index is reconstituted semi-annually (June, December)Index Construction & Review Methodology:
Universe:•

Stocks forming part / going to be a part of the Nifty Smallcap 250 index at the time ofreview•

Constituents should have a minimum listing history of 1 year

Eligible Universe:•

Stocks forming part of the universe are eligible to be the part of the index subject tofollowing:o Non - F&O stocks within Nifty Smallcap 250 index are ineligible for inclusion if thetotal instances of the stock hitting the upper or lower circuit (price band)* during

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the past 6 months as of the cut-off date is more than or equal to 20% of thenumber of total trading days over the same period*An instance is counted each time the stock hits the upper or lower price circuit on a given tradingday. If a stock hits the upper and lower price circuit (price band) on the same trading day, it will becounted as two instanceso Companies having percentage pledged promotor’s shares greater than 20% areineligible for inclusion in the index.
o Bottom 10 percentile stocks based on 6 month average daily turnover are
ineligible for inclusion in the indexo Bottom 10 percentile stocks based on Turnover ratio are ineligible for inclusion in
the index.
Stock selection criteria:
Factors used for stock selection:
Factor 1: Momentum Factor•

For each eligible stock, Z Score is calculated on the basis of 6-month momentum and 12month momentum• Momentum Ratio for a stock is calculated as:
Momentum Ratio = (𝑃𝑟𝑖𝑐𝑒 𝑅𝑒𝑡𝑢𝑟𝑛)/𝜎p▪

12 month Momentum Ratio (MR12) = 12 month Price return / σp
• 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 Month•▪

Std. Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

6 month Momentum Ratio (MR6) = 6 month Price return / σp
• 6 month price return (6 M return): [Price (M-1)/Price (M-7)]-1
Where M is the rebal month, and prices are as of the last
trading day of M-1 Month and M-7 Month••

Std. Deviation (σp ) : Annualised standard deviation of lognormal
daily returns of the stock for 1 year

Z Score of the Momentum Ratio for each security is calculated:▪ The 12 – month Momentum Z score for each stock is calculated as per
the following formula:[MR12 – μMR,12]/ σMR,12
Where;
MR12 is the 12 month Momentum Ratio of the stock

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µMR, 12 is the mean of the 12 month Momentum Ratios of the eligible
universe
σMR,12 is the std. deviation of the 12 month Momentum Ratios of theeligible universe▪

Similarly, the 6 month Momentum Z score for each stock is calculated as
per the following formula:[MR6 – μMR,6]/ σMR,6
Where;
MR6 is the 6 month Momentum Ratio of the stockµMR, 6 is the mean of the 6 month Momentum Ratios in the eligible universe
σMR,6 is the std. deviation of the 6 month Momentum Ratios in the eligible
universe• The Weighted Average Z score is calculated for each eligible stock as per the following
formula:o
Weighted Average Z Score = 50% * (12 month Momentum Z Score) + 50%* (6 month Momentum Z Score)• The Normalized Momentum Score is calculated for each eligible stock from its Weighted
Average Z score as:o Normalized Momentum Score = (1+ Wgt. Avg. Z score) if Wgt. Avg. Z score >=0(1- Weighted Average Z score)^-1 if Wgt. Avg. Z•

score < 0
Percentile Momentum score is calculated from the Normalized Momentum score forevery eligible security with security having the highest factor score getting the highest
percentile score.

Factor 2: Quality Factor•

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. Debt-toequity ratio is not considered for companies belonging to financial services sector.

•

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.
Where,

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Y-O-Y EPS growth(n) =Y-O-Y EPS growth(n) =𝐸𝑃𝑆 (𝑛)−𝐸𝑃𝑆(𝑛−1)
𝐸𝑃𝑆 (𝑛−1)

If EPS(n-1) > 0−(𝐸𝑃𝑆 (𝑛)−𝐸𝑃𝑆(𝑛−1))
𝐸𝑃𝑆 (𝑛−1)

If EPS(n-1) < 0

If EPS for year n-1 is 0, EPS growth would be Null for the period n•

Z Quality score of each parameter for each security is calculated as per following formula:(x – μ)/ σ
Where; x is parameter value of the stockµ is mean value of the parameter in the eligible universe
σ is std. deviation of parameter in the eligible universe•

In case of an IPO, company will be considered for selection, if adjusted EPS data isavailable to at least calculate EPS growth variability in previous 3 financial years•

Weighted average Z Quality score is calculated for all securities as per the following
formula: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)
For Financial services sector:
Weighted average Z Quality score= 0.5 * Z score of ROE + 0.5*-(Z score of EPS growthvariability)•

Quality score is calculated for all eligible securities from the weighted average Z Quality
score asQuality Score = (1+ Average Z Quality score) if Avg. Z Quality score >0(1-Average Z Quality score)^-1 if Avg. Z Quality score < 0•

Percentile Quality score is calculated from the Quality score for every eligible security
with security having the highest factor score getting the highest percentile score.

Stock selection criteria:•

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 theindex.

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Stock weighing methodology:•

Composite Factor Score: 50% * Normalized Momentum score + 50% * Quality score•

Weight of the stock in the index is derived by multiplying the free float market cap withthe composite factor score of that stock•

Each stock in the index is capped at 3%•

Capping will be done semi-annually at the time of reconstitution•

The weight of stocks may drift between two rebalancing periods due to movement in thestock prices

Index rebalancing & reconstitution:•

Index rebalancing and reconstitution will be done on a semi-annual basis in June andDecember using data ending last trading day of May and November respectively•

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
index

•

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 index•

From the eligible universe, top 50 ranked stocks based on the composite percentile scorethat are not part of the index shall be compulsorily included in the index replacing thestocks with lowest composite percentile score from the existing portfolio•

If the rank of the stocks within the existing index based on the composite percentile scoregoes 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 universe•

In case, the number of stocks within the eligible universe falls below 100, the index shallcontinue with the available number of stocks within the eligible universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing 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.

•

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. In

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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 norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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27. Nifty50 Value 20
Introduction:
The Nifty50 Value 20 Index is designed to reflect the behaviour and performance of adiversified portfolio of value companies forming a part of Nifty 50 Index. It consists of the mostliquid value blue chip companies. The Nifty50 Value 20 Index comprises of 20 companies listedon the National Stock Exchange (NSE). Value companies are normally perceived as companies
with low PE (Price to Earning), low PB (Price to Book) and high DY (Dividend Yield).

Index Construction & Review Methodology:
The index is calculated using free float market capitalization methodology and has a base dateof January 1, 2009 indexed to a base value of 1000. At the time of quarterly rebalancing/ change
in index constituents, the weightage of the index constituent (where applicable) is capped at
15%. Weightage of such stock may increase beyond 15% between the rebalancing periods.

Selection Criteria
The criteria for the Nifty50 Value 20 Index include the following:•

Companies forming the part Nifty 50 on the construction and rebalancing date are taken
into consideration for selection of stocks•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selectedfrom a list of any other index. Nifty50 Value 20 index would be considered as a childindex as constituents of this index selected from a list of Nifty 50 index•

Stocks are selected on the basis of ROCE (Return on Capital Employed), PE, PB and DY
and final ranking is derived to select the value stocks from Nifty 50•

Ranks are assigned to all the Nifty constituents based on each parameter i.e. ROCE, PE,
PB & DY *. Relatively lower PE and PB receives a better rank, while higher DY and ROCE
receive a better rank

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•

Weights of 0.4, 0.3, 0.2 and 0.1 are assigned to ranks of ROCE, PE, PB and Dividend Yield
respectively to derive the final ranking for selection•

The top 20 companies as per the ascending order of the final ranking are selected toform the index

Index Review•

The index is reviewed annually in December•

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. Incase of non-compliance of any of the stated norms, suitable corrective measures suchas replacement of ineligible stock, re-alignment of constituent weights will be
undertaken depending upon the nature of non-compliance to ensure the compliance of
norms

•

In order to reduce the number of rebalancing of constituents in a review, a buffer of
50% of total number of the constituents shall be applied at the time of each review. Thismeans that if the existing constituent at the time of the review ranks within the top 30,
the same can be retained in the index. However, if a stock ranks within the top 5 stocks
in the rebalancing pool the stock with the lowest rank from the existing constituentswould be replaced with the same•

Companies which are IRDA dividend norms compliant shall be considered eligible to be
included in the index

Constituent Capping:
Each constituent in the index is capped at 15%. This means that at the time of rebalancing of theindex, no single constituent shall have weightage of more than 15%. The capping factor of stocks
is realigned upon replacement of scrips in the index and on a quarterly basis from the last trading
day of March, June, September and December.

In the event of weight realignment, capping factors will be calculated for all constituents whose
uncapped weight is greater than 15%. Weightage of such constituent may increase beyond 15%
between the rebalancing periods depending on the price movement. The capping factor is
calculated considering the closing prices of the index constituents 3 trading days (T-3) prior to
the effective date (T day) of the changes.
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Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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28. Nifty200 Value 30
Introduction:
The Nifty200 Value 30 index consists of 30 companies from its parent Nifty 200 index, selectedbased on their ‘value’ scores. The value score of each company is determined based on
Earnings to Price ratio (E/P), Book Value to Price ratio (B/P), Sales to Price ratio (S/P) andDividend Yield.

Highlights•

The index has a base date of April 01, 2005 and a base value of 1000•

Stocks from Nifty 200 index at the time of review are eligible for inclusion in the index•

30 companies with higher Earnings to Price ratio (E/P), Book Value to Price ratio (B/P), Sales
to Price ratio (S/P) and Dividend Yield are selected to be part of the index•

The weight of each stock is based on the factor tilt methodology – the weight is derived bymultiplying the free float market cap with the Value Score of that stock•

Stock weights are capped at the lower of 5% or 5 times the weight of the stock in the index
based only on free float market capitalization•

A buffer based on Value Score ranks is applied to reduce turnoverIndex Construction & Review Methodology:
Universe:•

Stocks should form part of Nifty 200 index at the time of review•

Constituents should have a minimum listing history of 1 month•

Stock should be available for trading in derivative segment (F&O) as on the effective date

Stock selection criteria:
Stocks shortlisted based on above mentioned criteria are further analysed as•

For each eligible stock, Z score is calculated on the basis of on Earnings to Price ratio(E/P), Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield•

Latest fiscal year data is considered for the calculation of Earnings to Price ratio (E/P),
Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield.
Consolidated financial data is used wherever available else standalone financial data
is taken into consideration•

Z score of each parameter for each security is calculated as per following formula:

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(x – μ)/ σ
Where;
x is parameter value of the stockµ is mean value of the parameter in the eligible universe
σ is std. deviation of parameter in the eligible universe•

Weighted average Z score is calculated for all securities as per the following formula:

Weighted Z score= 0.25 * (Z score of E/P) + 0.25 * (Z score of B/P) + 0.25* (Z score of S/P) +0.25 * (Z score of Div. Yield)•

Value score is calculated for all eligible securities from the weighted average Z

score asValue Score = (1+ Average Z score) if Average Z score >0(1-Average Z score)^-1 if Average Z score < 0•

Top 30 stocks are selected based on value-score

Weights and Capping:•

Weight of the stock in the index is derived by multiplying the free float market cap with
the Value score of that stock•

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 capitalization•

Capping will be done semi-annually at the time of rebalancing

Index Rebalancing and Reconstitution:•

Index rebalancing and reconstitution will be done on a semi-annual basis in June andDecember using data ending last trading day of May and November•

Stocks that moved out of the Nifty 200 shall also move out of the index at the time of thesubsequent review of the Nifty200 Value 30 Index•

If the rank of the eligible stocks within the existing index based on Value score is within
top 45 such stocks would continue to form part of the index•

From the universe, top 15 ranked stocks based on the Value score that are already notpart of the index shall be compulsorily included in the index replacing the stocks withlowest Value score from the existing portfolio

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•

If the rank of the stocks within the existing index based on the Value score goes beyond
45 such stocks shall be compulsorily excluded, and they will be replaced by next beststocks within the universe•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents is removed
from Nifty 200 due to any corporate action (scheme of arrangement, delisting etc.) or
suspension by the exchange etc.

•

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. Incase 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 norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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29. Nifty500 Value 50
Introduction
The Nifty500 Value 50 index consists of 50 companies from its parent Nifty 500 index, selectedbased on their ‘value’ scores. The value score of each company is determined based on Earnings
to Price ratio (E/P), Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield.

Highlights•

The index has a base date of April 01, 2005 and a base value of 1000•

Stocks from Nifty 500 index at the time of review are eligible for inclusion in the index•

50 companies with higher Earnings to Price ratio (E/P), Book Value to Price ratio (B/P), Sales
to Price ratio (S/P) and Dividend Yield are selected to be part of the index•

The weight of each stock in the index is based on the combination of stock’s ‘value’ score andits free float market capitalization

Index Construction & Review Methodology:
Eligibility criteria
To form part of Nifty500 Value 50 Index, stocks should qualify the following eligibility criteria(s)Universe:•

Stocks should form part of Nifty 500 index at the time of review•

In case of reconstitution of child indices, latest index composition including most recentchanges in respective parent index whether announced or yet to be announced shall beconsidered. Child indices are defined as those indices where constituents are selected froma list of any other index. Nifty500 Value 50 index would be considered as a child index as
constituents of this index selected from a list of Nifty 500 index•

Constituents should have a minimum listing history of 1 month•

At the time of index reconstitution, a company which has undergone a scheme ofarrangement for corporate event such as demerger, capital restructuring etc. is considered
eligible for inclusion in the index if company has completed one calendar month of trading
as on the cut-off date after the stock has traded on ex. basis subject to fulfilment of alleligibility criteria for inclusion in the index.

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•

Stocks should have ranked within top 400 based on both average daily turnover and average
daily free-float market capitalisation based on previous six months data ending May andNovember.

Stock selection criteria:
Stock’s shortlisted based on above mentioned criteria are further analysed as•

For each eligible stock, Z score is calculated on the basis of on Earnings to Price ratio(E/P), Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield•

Latest fiscal year data is considered for the calculation of Earnings to Price ratio (E/P),
Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield.
Consolidated financial data is used wherever available else standalone financial data
is taken into consideration•

Z score of each parameter for each security is calculated as per following formula:(x – μ)/ σ
Where;
x is parameter value of the stockµ is mean value of the parameter in the eligible universe
σ is std. deviation of parameter in the eligible universe•

Weighted average Z score is calculated for all securities as per the following formula:

Weighted Z score= 0.25 * (Z score of E/P) + 0.25 * (Z score of B/P) + 0.25* (Z score of S/P) +0.25 * (Z score of Div. Yield)•

Value score is calculated for all eligible securities from the weighted average Z

score asValue Score = (1+ Average Z score) if Average Z score >0(1-Average Z score)^-1 if Average Z score < 0•

Top 50 stocks are selected based on value-score

Weights and Capping:•

Weight of the stock in the index is derived by multiplying the free float market cap withthe value score of that stock

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•

Each sector in the index is capped at 25%•

Each stock in the index is capped at the lower of 5% or 3 times the weight of the stock in
the index based only on free float market capitalization•

Capping will be done semi-annually at the time of rebalancing

Reconstitution•

Index reconstitution will be done on a semi-annual basis in the month of June andDecember based on six months data ending May and November respectively•

Stocks that do not qualify the eligibility criteria mentioned above will be compulsorily
excluded from the index and replaced with non-member eligible stocks•

Top 25 ranked stocks on the basis of value score are compulsorily included in the index,
whereas existing stocks in the index whose rank goes beyond 75 are compulsorily
excluded from the index•

Apart from the scheduled semi-annual review, additional ad-hoc reconstitution andrebalancing of the index shall be initiated in case any of the index constituents undergoes
suspension or delisting or scheme of arrangement•

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. Incase 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 of norms

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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30. Nifty Equity Savings
Introduction
NSE Indices Limited (formerly known as India Index Services & Products Limited-IISL), a NSE groupcompany provides a variety of indices and index related services and products for the Indian
capital markets.

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

Methodology•

The index series has a base date of April 01, 2005 and a base value of 1000.

•

The Nifty Equity Savings Index includes the following components:
1) 35% exposure to Nifty 50 Total Return Index
2) 30% exposure to equity arbitrage (long position in Nifty 50 Total Return Index andequivalent short position in Nifty 50 Futures Index)
3) 30% exposure to Nifty Short Duration Debt Index
4) 5% exposure to Nifty 1D Rate Index•

Weights of the sub-indices can drift between monthly reset dates due to underlying asset
price movement. These weights are reset to their pre-defined levels on a monthly basis.

Also see:
•
•
•
•
•
•

Index characteristics: Click here
Index reconstitution frequency: Click here
Corporate Actions and Share Updates: Click here
Investible weight factors: Click here
Index Calculation Formula: Click here
Index Factsheet: Click here

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Nifty 50 variants:
1. Nifty50 USD
Nifty50 USD, a dollar linked variant of Nifty 50 index has been constructed as an instrument formeasuring returns on their equity investment in the US dollar terms. Nifty50 USD is Nifty 50,
measured in dollars.
Index value calculation:
Closing value of Nifty 50 * Exchange rate (USD/INR) as on base date/ Exchange rate (USD/INR)
for the day
Base date of Nifty50 USD is same as Nifty 50 i.e. November 3, 1995 and the base index value is1000 points
Exchange rate as on base date: 34.65
Effective April 3, 2017, WM/Reuters 4 pm FX benchmark USD/INR rate on a daily basis isconsidered in place of reference rate as published by Reserve Bank of India for calculation ofdaily index value.

2. Nifty50 JPY
Nifty50 JPY, a Japanese Yen (JPY) linked variant of Nifty 50 index has been constructed as an
instrument for measuring returns of equity investment in Japanese currency (JPY). Nifty50 JPY is
Nifty 50, measured in Japanese Yen.
Index value calculation:
Nifty50 JPY is calculated using Telegraphic Transfer Mid rate (TTM) foreign exchange rate from
the MUFG Bank. Nifty 50 index value for a given trading day (T day) denominated in JPY iscomputed and published on the following trading day (T+1) at National Stock Exchange of India(NSE) using the corresponding TTM rate of T+1 day.
Nifty50 JPY (T day) = Closing value of Nifty 50 (T-1 day) * Exchange rate (JPY/INR) as on base date/
Exchange rate (JPY/INR) for the day (T day)Also see:•Index characteristics: Click here

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3. Nifty50 Dividend Points
The Nifty 50 Dividend Points is a running total of dividend points of the securities forming partof Nifty 50 Index. It is worth noting that the Nifty 50 Dividend Points is a passive representationof annual index dividend points. It is not an active index of stocks representing a quantitative
dividend-based investment strategy.

The index measures the total ordinary dividends paid in the securities forming part of theunderlying index since the previous rebalancing date. Indexed dividend of Nifty 50 Index are
dividends paid by index constituents expressed in terms of the level of Nifty 50 Index.

The Nifty50 Dividend Points resets to zero every year after the close of the settlement of
exchange traded derivative contracts linked to Nifty 50 Index in the month of March every year
(normally the last Thursday in March). It is done to coincide with the expiry of exchange tradedderivative contracts linked to Nifty 50 Index for the month.

The formula for calculating the dividend index on any date (t) for the Nifty 50 Index is:

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

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

Also see:•Index characteristics: Click here

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4. Nifty50 PR 1x Inverse
The Nifty50 PR 1x Inverse index aims to provide inverse return of its underlying index. A broader
index provides good exposure to an economy, an inverse index on a broader index will provide
the desired exposure when the investor is bearish on the markets.
•

Nifty50 PR 1x Inverse Index provides the investor an opportunity to create a position which
gives inverse (opposite) returns as compare to Nifty 50 PR Index•

The index is designed to provide the inverse performance of the Nifty 50 PR, representing
a short position in the index

Index value calculation:
Nifty50 PR 1x Inverse Index Value =Previous day’s Nifty50 PR 1x Inverse Index Value * (1+ Nifty 50 PR 1x Inverse Index Return)

Nifty50 PR 1x Inverse Index Return =-1*((Current Nifty PR Index Value/previous day Nifty 50 PR Index Value)-1) + (2*(previous days
TREPS rate /360)*(diff. in number of days between today and previous trading day))-(previous
days TREPS rate /360)*(diff. in number of days between today and previous trading day))where TREPS is an overnight rate provided through Triparty Repo Dealing System (TREPS) by
Clearing Corporation of India Ltd. (CCIL).

Also see:••Index characteristics: Click here
Index Factsheet: Click here

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5. Nifty50 PR 2x Leverage
Nifty50 PR 2x Leverage Index is designed to generate multiple time return of the underlying index
in situations where the investor borrows funds to generate index exposure beyond his/her cash
position.
•

Nifty50 PR 2x Leverage Index seeks twice the index return on a daily basis•

Index is designed to provide magnified exposure to Nifty 50 PR Index value

Index value calculation:
Nifty50 PR 2x Leverage Index Value =Previous day’s Nifty50 PR 2x Leverage Index Value * (1+ Nifty50 PR 2x Leverage Index Return)

Nifty50 PR 2x Leverage Index Return =2*((Current Nifty 50 PR Index Value/previous day Nifty 50 PR Index Value)-1)- (previous days
TREPS rate /360)*(diff. in number of days between today and previous trading day))where TREPS is an overnight rate provided through Triparty Repo Dealing System (TREPS) by
Clearing Corporation of India Ltd. (CCIL).

Also see:••Index characteristics: Click here
Index Factsheet: Click here

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6. Nifty50 TR 1x Inverse
The Nifty50 TR 1x Inverse index tries to provide inverse return of its underlying index. A broader
index provides good exposure to an economy, an inverse index on a broader index will provide
the desired exposure when the investor is bearish on the markets.
•

Nifty50 TR 1x Inverse Index provides the investor an opportunity to create a position
which gives inverse (opposite) returns as compare to Nifty 50 TR Index•

The index is designed to provide the inverse performance of the Nifty 50 TR, representing
a short position in the index

Index value calculation:
Nifty50 TR 1x Inverse Index Value =Previous day’s Nifty50 TR 1x Inverse Index Value * (1+ Nifty50 TR 1x Inverse Index Return)
Nifty50 TR 1x Inverse Index Return =-1*((Current Nifty 50 TR Index Value/previous day Nifty 50 TR Index Value)-1) + (2*(previous days
TREPS rate /360)*(diff. in number of days between today and previous trading day))-(previous
days TREPS rate /360)*(diff. in number of days between today and previous trading day))where TREPS is an overnight rate provided through Triparty Repo Dealing System (TREPS) by
Clearing Corporation of India Ltd. (CCIL).

Also see:••Index characteristics: Click here
Index Factsheet: Click here

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7. Nifty50 TR 2x Leverage
The Nifty50 TR 2x Leverage Index is designed to generate multiple time return of the underlying
index in situations where the investor borrows funds to generate index exposure beyond his/her
cash position.
•

Nifty50 2x Leverage Index seeks twice the index return on a daily basis•

Index is designed to provide magnified exposure to Nifty 50

Index value calculation:
Nifty50 TR 2x Leverage Index Value =Previous day’s Nifty50 TR 2x Leverage Index Value * (1+ Nifty50 TR 2x Leverage Index Return)

Nifty50 TR 2x Leverage Index Return =2*((Current Nifty 50 TR Index Value/previous day Nifty 50 TR Index Value)-1) - (previous days
TREPS rate /360)*(diff. in number of days between today and previous trading day))where TREPS is an overnight rate provided through Triparty Repo Dealing System (TREPS) by
Clearing Corporation of India Ltd. (CCIL).

Also see:••Index characteristics: Click here
Index Factsheet: Click here

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8. Nifty 50 Arbitrage
The Nifty 50 Arbitrage Index aims to measure the performance of such arbitrage strategies. The
index measures performance of portfolio involving investment in equity and equivalent shortposition equity futures, short-term debt market investments and cash. Index is constructed
representing strategy of long position in Nifty 50 Price Returns index and equivalent shortposition in Nifty 50 index futures contracts traded on NSE in equity and equity derivatives
segment respectively.

Methodology
The weights of the index constituents are as under:o 65% weight is assigned to net returns from investment in long Nifty 50 index and equivalent
Nifty 50 index short futures▪

A short position in near month futures contract is considered for computation. The
near month futures contract expires on last Thursday of each month. Accordingly,
index will include mid-month contract from the next trading day after the expiry ofnear month contract•

Close value of Nifty 50 index and daily settlement price of Nifty 50 futurescontract is consideredo 30% weight is assigned to returns from 1-month MIBOR. The 1-month MIBOR is considered
to represent the short term investments
o 5% weight is given to casho Dividends received on equity investment are expressed as dividend points index and areconsidered for index calculation on the Ex-dividend date. Index dividend points are dividends
paid by index constituents expressed in terms of the level of Nifty 50 Index. The index
dividend of the Nifty 50 Index is calculated by taking the summation of dividend pay-out(adjusted for free float) specified by index constituents divided by the index divisor on exdividend dateo The index is computed at end of the day using the close value of Nifty 50 index and daily
settlement price of Nifty 50 futures contracto Index has a base date of April 01, 2010 and base value of 1000

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Index Calculation
𝑵𝒊𝒇𝒕𝒚 𝟓𝟎 𝑨𝒓𝒃𝒊𝒕𝒓𝒂𝒈𝒆 𝑰𝒏𝒅𝒆𝒙 = 𝐼𝑛𝑑𝑒𝑥 𝑉𝑎𝑙𝑢𝑒 𝑡−1 𝑋 (1 + 𝑅𝑒𝑡𝑢𝑟𝑛𝑠𝑡 )𝑹𝒆𝒕𝒖𝒓𝒏𝒔 = (𝐸𝑞𝑢𝑖𝑡𝑦 𝑅𝑒𝑡𝑢𝑟𝑛𝑠 𝑋 65%) + (𝐷𝑒𝑏𝑡 𝑅𝑒𝑡𝑢𝑟𝑛𝑠 𝑋 30%) + (𝐶𝑎𝑠ℎ 𝑋 5%)

𝑬𝒒𝒖𝒊𝒕𝒚 𝑹𝒆𝒕𝒖𝒓𝒏𝒔 = 𝑁𝑖𝑓𝑡𝑦 50 𝑅𝑒𝑡𝑢𝑟𝑛𝑠 + 𝑆ℎ𝑜𝑟𝑡 𝑁𝑖𝑓𝑡𝑦 𝐹𝑢𝑡𝑢𝑟𝑒𝑠 𝑅𝑒𝑡𝑢𝑟𝑛𝑠

𝑁𝑖𝑓𝑡𝑦 50 𝐼𝑛𝑑𝑒𝑥 𝑉𝑎𝑙𝑢𝑒𝑡 + 𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝑃𝑜𝑖𝑛𝑡𝑠 𝐼𝑛𝑑𝑒𝑥𝑡

𝑵𝒊𝒇𝒕𝒚 𝟓𝟎 𝑹𝒆𝒕𝒖𝒓𝒏𝒔 = 𝐿𝑁 (𝑁𝑖𝑓𝑡𝑦 50 𝐼𝑛𝑑𝑒𝑥 𝑉𝑎𝑙𝑢𝑒𝑡−1)

𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝑃𝑎𝑦𝑜𝑢𝑡 𝑜𝑛 𝐸𝑥−𝑑𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝑑𝑎𝑡𝑒

𝑫𝒊𝒗𝒊𝒅𝒆𝒏𝒅 𝑷𝒐𝒊𝒏𝒕𝒔 𝑰𝒏𝒅𝒆𝒙 = ( 𝐼𝑛𝑑𝑒𝑥 𝐷𝑖𝑣𝑖𝑠𝑜𝑟 𝑜𝑛 𝐸𝑥−𝑑𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝑑𝑎𝑡𝑒 )𝑁𝑖𝑓𝑡𝑦 50 𝐼𝑛𝑑𝑒𝑥 𝐹𝑢𝑡𝑢𝑟𝑒𝑠 𝑃𝑟𝑖𝑐𝑒𝑡

𝑵𝒊𝒇𝒕𝒚 𝟓𝟎 𝑺𝒉𝒐𝒓𝒕 𝑭𝒖𝒕𝒖𝒓𝒆𝒔 𝑹𝒆𝒕𝒖𝒓𝒏𝒔 = 𝐿𝑁 ( 𝑁𝑖𝑓𝑡𝑦 50 𝐹𝑢𝑡𝑢𝑟𝑒𝑠 𝑃𝑟𝑖𝑐𝑒𝑡−1

𝑫𝒆𝒃𝒕 𝑹𝒆𝒕𝒖𝒓𝒏𝒔 𝑻 =1 𝑀𝑜𝑛𝑡ℎ 𝑀𝐼𝐵𝑂𝑅 𝑅𝑎𝑡𝑒𝑇−1
365

) 𝑋−1

𝑋 𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑑𝑎𝑦𝑠

Where T is the Trading Day

Also see:••Index characteristics: Click here
Index Factsheet: Click here

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9. Nifty 50 Futures
Nifty 50 is the benchmark index for the Indian equity market and also most actively traded index
on F&O segment of NSE.

To provide a benchmark to track the performance of Nifty 50 Futures contract, Nifty 50 Futures
Index has been developed. The Nifty 50 Futures Index will track the near month Nifty 50 index
futures contract.

Two versions of the index have been created namely Nifty 50 Futures (Price return) and Nifty 50
Futures (Total Return).

Methodology•

Index is constructed using the near month Nifty 50 futures contract (Symbol: Nifty) tradedon NSE•The near month futures contract expires on last Thursday of each month. Typically, market
participants start rolling over the positions to the mid-month contract. Accordingly, index will
include mid-month contract 3 days prior to expiry day of contract•

The weights shall shift from Near to Mid-month contract gradually and by expiry the midmonth contract will have 70% weight in the index as given in below table:

Weights•

Period before

Expiry – 3

Expiry – 2

Expiry – 1

Expiry day

Roll over

day

day

day

Near

100%

75%

60%

45%

30%

Mid

0%

25%

40%

55%

70%

The percentage shift in weights are based on the 1 year average roll over percentage(rounded to nearest 5%) observed during the expiry week•

For example, the average roll over percentage from Jan 2015 – Dec 2015 shall be applicablefor index calculation between Jan 2016 to Jun 2016. The average roll over percentage from
Jul 2015 –Jun 2016 shall be applicable for index calculation between Jul 2016 to Dec 2016

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𝑂𝑝𝑒𝑛 𝑖𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑖𝑛 𝑁𝑒𝑥𝑡 𝑚𝑜𝑛𝑡ℎ 𝑐𝑜𝑛𝑡𝑟𝑎𝑐𝑡•

Roll over is computed as : 𝑂𝑝𝑒𝑛 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑖𝑛 (𝑁𝑒𝑎𝑟 𝑚𝑜𝑛𝑡ℎ + 𝑁𝑒𝑥𝑡 𝑚𝑜𝑛𝑡ℎ 𝑐𝑜𝑛𝑡𝑟𝑎𝑐𝑡) 𝑥 100•

The index is computed daily at end of day based on the daily settlement price of Nifty 50
Futures contract•

Index has a base date of April 01, 2005 and base value of 1000

Index Calculation
Price Return Index (PR) Calculation:
Price Return index is calculated considering only the daily settlement price of the underlying
Nifty 50 Futures contract.

PR Index Value (t) = Index value (t-1) × (1+ PR (t))

PR (t) =CP(t)CP(t−1)−1

Where;PR (t) = Price return of the futures contract on current business day
CP (t) = Daily settlement price of the underlying contract on current business day
CP (t-1) = Daily settlement price of the underlying contract previous business day

On the day of roll:
The weighted price CP (t) of the underlying futures contract, is calculated as

CP (t) =CP(Near)(t) ∗ Wt1(t)+ CP(Next)(t) ∗ Wt2(t)CP(Near)(t−1)∗ Wt1(t)+ CP(Next)(t−1) ∗ Wt2(t)−1Where;CP (Near) (t) = Price of the near month contract on current business day (t)CP (Near) (t-1) = Price of the near month contract on previous business day (t-1)
CP (Next) (t) = Price of the next month contract on current business day (t)CP (Next) (t-1) = Price of the next month contract on previous business day (t-1)
Wt1 (t) = Weight assigned to near month contract on current business day (t)Wt2 (t) = Weight assigned to next month contract on current business day (t)Nifty Indices – Methodology Document, October 2024 20241025

209

Total Return Index (TR) Calculation:
The Total Return index can be used to measure total returns from futures and investment in risk
free instrument.

The index uses previous 30 day MIBOR as a risk free instrument for computing the total returnindex. MIBOR is used as a reference rate in money market.

TR Index Value (t) = TR Index value (t-1) * (1+ TR (t))

Total Return (TR) = Price return (t) + Risk free return (t)Risk free return (t) = MIBOR (t-1) ×

Number of days between t and t−1 business days
365

Also see:••Index characteristics: Click here
Index Factsheet: Click here

10. Nifty50 Equal Weight
Please see detailed methodology under strategy indices category of this document.

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Index Characteristics
Broad market indices:
Sr.
No.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

Index Names

Base Date

Base Index
Value
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000

Weighing

Nifty 50
Nov 03, 1995
Free float
Nifty Next 50
Nov 04, 1996
Free float
Nifty 100
Jan 01, 2003
Free float
Nifty 200
Jan 01, 2004
Free float
Nifty 500
Jan 01, 1995
Free float
Nifty Midcap 150
Apr 01, 2005
Free float
Nifty Midcap 50
Jan 01, 2004
Free float
Nifty Midcap 100
Jan 01, 2003
Free float
Nifty Midcap SelectOct 03, 2005
Free float
Nifty Smallcap 250
Apr 01, 2005
Free float
Nifty Smallcap 50
Apr 01, 2005
Free float
Nifty Smallcap 100
Jan 01, 2004
Free float
Nifty LargeMidcap 250
Apr 01, 2005
Free float
Nifty MidSmallcap 400
Apr 01, 2005
Free float
Nifty500 Multicap 50:25:25
Apr 01, 2005
Free float
Nifty500 LargeMidSmall
16
Apr 01, 2005
1000
Free float
Equal-Cap Weighted
17
Nifty Microcap 250
Apr 01, 2005
1000
Free float
18
Nifty Total Market
Apr 01, 2005
1000
Free float
Note: See detailed methodology for stock capping under relevant index

Yes
Yes
Yes

Calculation
Frequency
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-timeYes

End of day-

Real-time
Real-time

Capping

Sectoral indices:
Sr.
No.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Index Names

Base Date

Base Index
Value
1000
1000
1000
1000
1000
1000
1000
1000
100
1000
1000
1000
1000
1000
1000
1000

Weighing

Capping*Calculation
Frequency
Real-time
Real-time
Real-time
Real-time
Real-time
End of day
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time
Real-time

Nifty Auto
Jan 01, 2004
Free float
33%
Nifty Bank
Jan 01, 2000
Free float
33%
Nifty Consumer Durables
Apr 01, 2005
Free float
33%
Nifty Financial Services
Jan 01, 2004
Free float
33%
Nifty Financial Services 25/50#
Jan 01, 2004
Free float
22.5%
Nifty Financial Services Ex-Bank
Apr 01, 2005
Free float
25%
Nifty FMCG
Jan 01, 1996
Free float
33%
Nifty Healthcare
Apr 01, 2004
Free float
33%
Nifty ITJan 01, 1996
Free float
33%
Nifty Media
Dec 30, 2005
Free float
33%
Nifty Metal
Jan 01, 2004
Free float
33%
Nifty Oil & Gas
Apr 01, 2005
Free float
33%
Nifty Pharma
Jan 01, 2001
Free float
33%
Nifty Private Bank
May 01, 2004
Free float
23%
Nifty PSU Bank
Jan 01, 2004
Free float
33%
Nifty Realty
Dec 29, 2006
Free float
33%
Nifty MidSmall Financial
17
Apr 01, 2005
1000
Free float
33%
End of day
Services
18 Nifty MidSmall Healthcare
Apr 01, 2005
1000
Free float
33%
Real-time
19 Nifty MidSmall IT & Telecom
Apr 01, 2005
1000
Free float
33%
End of day* No single stock shall be more than the capping limit prescribed above and weights of top 3 stocks cumulatively
shall not be more than 62% at the time of rebalancing# No single stock shall be more than the capping limit prescribed above and cumulative weights of stocks more than
4.5% shall not be more than 45% at the time of rebalancing

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211

Nifty 50 Variants:
Sr.
No.
1
2
3
4
5
6
7
8
9

Index Names

Base Date

Nifty50 USD
Nifty50 Dividend Points
Nifty50 PR 1x Inverse
Nifty50 PR 2x Leverage
Nifty50 TR 1x Inverse
Nifty50 TR 2x Leverage
Nifty 50 Arbitrage
Nifty 50 Futures
Nifty50 Equal WeightNov 03, 1995
Apr 02, 2009
Apr 02, 2009
Apr 02, 2009
Apr 02, 2009
Apr 01, 2010
Apr 01, 2005
Nov 03, 1995

Base Index
Value
1000
1000
1000
1000
1000
1000
1000
1000

Calculation
Frequency
End of day
Beginning of day
Real-time
Real-time
Real-time
Real-time
End of day
End of day
Real-time

Weighing

Capping*Calculation
Frequency-

End of day
End of day
Real-time
End of day
Real-time
Real-time
End of day
Real-time
End of day
Real-time
End of day

Thematic indices:
Sr.
No.

Index Names

Base Date

Base
Index
Value

Apr 01, 2005

1000

Apr 01, 2019
Jan 01, 2004
Apr 01, 2005
Jan 01, 2009
Jan 01, 2001
Apr 01, 2005
Jan 02, 2006
Apr 02, 2018
Apr 01, 2005
Apr 01, 2005

1000
1000
1000
1000
1000
1000
1000
1000
1000
1000

Full market
capitalization
Free float
Free float
Free float
Free float
Free float
Free float
Free float
Free float
Free float
Free float

Apr 01, 2018

1000

Free float

Apr 01, 2005

1000

Free float

20%
10%
15%
20%
33%
10%#
10%
20%
7.5%#
20%
8% and4%#
5%

Apr 01, 2005

1000

Free float

5%#

End of day

Jan 01, 2004

1000

20%

Real-time

Apr 01, 2005

1000

-

End of day

Jan 02, 2017
Jan 01, 2009

1000
1000

Free float
Full market
capitalization
Free float
Free float

10%
15%

End of day
Real-time

Apr 01, 2005

1000

Free float

10%

End of Day

20

Nifty India Corporate GroupIndex - Aditya Birla Group
Nifty Capital Markets
Nifty Commodities
Nifty Core Housing
Nifty CPSE
Nifty Energy
Nifty Housing
Nifty India Consumption
Nifty India Defence
Nifty India Digital
Nifty India Tourism
Nifty EV & New Age
Automotive
Nifty India Manufacturing #Nifty India New Age
Consumption
Nifty Infrastructure
Nifty India Corporate GroupIndex - Mahindra Group
Nifty IPO
Nifty Midcap Liquid 15
Nifty MidSmall India
Consumption
Nifty MNC

Dec 31, 1994

1000

Free float

Real-time

21

Nifty Mobility

Apr 01, 2005

1000

Free float

22
23
24
25
26

Nifty Non-Cyclical Consumer
Nifty PSE
Nifty Rural
Nifty Services Sector
Nifty Shariah 25
Nifty India Corporate GroupIndex - Tata Group
Nifty India Corporate GroupIndex - Tata Group 25% Cap

Apr 01, 2005
Jan 01, 1995
Apr 01, 2005
Jun 01, 1999
Jan 01, 2009

1000
1000
1000
1000
1000

Apr 01, 2005

1000

Free float
Free float
Free float
Free float
Free float
Full market
capitalization

10%8% and
5%#
10%
Yes
10%#
Yes
10%
-

End of day

Apr 01, 2005

1000

25%

Real-time

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

27
28

Nifty Indices – Methodology Document, October 2024 20241025

Free float

End of day
Real-time

End of Day
End of day
Real-time
End of day
Real-time
End of day

212

29
30
31
32
33
34

Nifty Transportation &Logistics
Nifty100 Liquid 15
Nifty50 Shariah
Nifty500 Shariah
Nifty500 Multicap India
Manufacturing 50:30:20#
Nifty500 Multicap
Infrastructure 50:30:20#
Nifty SME EMERGE
Nifty100 ESG #Nifty100 Enhanced ESG #Nifty100 ESG Sector Leaders

Apr 01, 2005

1000

Free float

20%

End of day

Jan 01, 2009
Dec 29, 2006
Dec 29, 2006

1500
1000
1000

Free float
Free float
Free float

15%
33%
33%

Real-time
End of day
End of day

Apr 01, 2005

1000

Free float

10%

Real-time

Apr 01, 2005

1000

Free float

10%

Real-time35
Dec 01, 2016
1000
Free float
End of day
36
Apr 01, 2011
1000
Tilt weighted
8%Real-time37
Apr 01, 2011
1000
Tilt weighted
8%
End of day
38
Jan 01, 2014
1000
Free float
10%
Real-time
39 Nifty REITs & InvITs^
Jul 01, 2019
1000
Free float
33%
End of day* No single stock shall be more than the capping limit prescribed above and weights of top 3 stocks cumulatively
shall not be more than 62% at the time of rebalancing# See detailed methodology for sector and stock capping under relevant index^ No single stock shall be more than the capping limit prescribed above and weights of top 3 stocks cumulatively
shall not be more than 72% at the time of rebalancing

Strategy indices:
Sr.
No.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26

Weighing

CappingCalculation
Frequency

Dec 31, 2003
Apr 01, 2005

Base
Index
Value
1000
1000

Score
Multi factor

5%Real-time
Real-time

Apr 01, 2005

1000

Multi factor

5%

End of day

Apr 01, 2005

1000

Multi factor

5%

End of day

Oct 01, 2007
Jan 01, 2009
Dec 31, 2003
Dec 31, 2003
Apr 01, 2005
Mar 02, 2006
Mar 02, 2006
Mar 02, 2006
Apr 01, 2005
Jan 01, 2003
Apr 01, 2005
Apr 01, 2005
Apr 01, 2005
Apr 01, 2005
Apr 01, 2005
Apr 01, 2005
Oct 01, 2009
Apr 01, 2005
Apr 01, 2005
Apr 01, 2005

1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000
1000

Free float
Free float
Score
Score
Multi factor
Equal Weight
Equal Weight
Equal Weight
Equal Weight
Equal Weight
Tilt
Score
Score
Tilt
Tilt
Tilt
Tilt
Tilt
Tilt
Tilt

10%
15%
5%
Yes
5%
3%
5%
5%
5%
5%
5%
5%
5%

Real-time
Real-time
End of day
End of day
End of day
End of day
End of day
End of day
End of day
Real-time
End of day
Real-time
Real-time
Real-time
Real-time
End of day
Real-time
Real-time
Real-time
End of day

Apr 01, 2005

1000

Tilt

5%

End of day

Apr 01, 2005

1000

Tilt

5%

End of day

Index Names

Base Date

Nifty Alpha 50
Nifty Alpha Low Volatility 30 #Nifty Alpha Quality Low Volatility
30 #Nifty Alpha Quality Value Low
Volatility 30 #Nifty Dividend Opportunities 50
Nifty Growth Sectors 15
Nifty High Beta 50
Nifty Low Volatility 50
Nifty Quality Low Volatility 30 #Nifty Top 10 Equal Weight
Nifty Top 15 Equal Weight
Nifty Top 20 Equal Weight
Nifty500 Equal Weight
Nifty100 Equal Weight
Nifty100 Alpha 30 #Nifty200 Alpha 30 #Nifty100 Low Volatility 30 #Nifty200 Momentum 30 #Nifty Midcap150 Momentum 50#
Nifty500 Momentum 50#
Nifty100 Quality 30 #Nifty200 Quality 30 #Nifty Midcap150 Quality 50 #Nifty Smallcap250 Quality 50 #Nifty500 Multicap Momentum
Quality 50
Nifty MidSmallcap400
Momentum Quality 100

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Nifty Smallcap250 Momentum
Apr 01, 2005
1000 Tilt
Quality 100
28 Nifty50 Equal WeightNov 03, 1995 1000 Equal Weight
29 Nifty50 Value 20
Jan 01, 2009
1000 Free float
30 Nifty200 Value 30 #Apr 01, 2005
1000 Tilt
31 Nifty500 Value 50 #Apr 01, 2005
1000 Tilt# See detailed methodology for sector and stock capping as may be applicable27

3%

End of day

15%
5%
Yes

Real-time
Real-time
End of day
End of day

Index reconstitution and rebalancing
All Nifty indices are reconstituted at pre-defined periodicity as tabulated hereunder. Unlessmentioned otherwise in the methodology document, the additional index reconstitution may beundertaken:•

in case any of the index constituent undergoes merger, demerger, delisting, specific casesof capital restructuring etc.

•

in case any of the index constituent is moved to BZ/ SZ series•

if trading permission of any of the index constituent is withdrawn from F&O segment (incase of indices where it is mandatory that all the constituents of an index must be
available for trading in F&O)•

if a security is suspended for trading from Capital Market or SME Emerge at NSE for any
reason•in case of any adverse regulatory findings or orders issued against any of the index
constituent that necessitates removal of such stock from the index

In case of merger/ amalgamation, transferor company (a company which is being merged intoanother company) shall be excluded from index on the ex-date (T Day) of merger i.e. closing of
T-1 day as mentioned below:•

Indices with fixed number of constituents: On ex-date, a replacement of company will bemade 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 madein place of the transferor company which is being excluded•

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 NSE•

Equity shares, investible weight factor of merged entity (combined entity post-merger)
shall be updated based on the terms of merger on the ex-date of merger i.e. closing of T1 day

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In case of capital restructuring or voluntary delisting, equity shareholders’ approval isconsidered as a trigger to initiate the replacement of such stock from the index throughadditional index reconstitution. For all other cases, replacements will be initiated based on
notifications issued by the Exchange.
Further, on a quarterly basis, all indices (excluding Nifty Corporate Group and Nifty SME Emerge)
will be screened for compliance with the portfolio concentration norms for equity ETFs/ Index
Funds announced by SEBI on January 10, 2019. In case of non-compliance of any of the statednorms, suitable corrective measures such as replacement of ineligible stock, re-alignment ofconstituent weights will be undertaken depending upon the nature of non-compliance to ensure
the compliance of norms.

Replacement of stocks resulting from periodic index reconstitution will be implemented fromthe last trading day (beginning of day) of March, June, September and December depending
upon the review frequency as may be applicable for each index.

In case of scheduled reconstitution of broad market indices, a four weeks’ prior notice is given
to the market participants. 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 suitablemanner. Index Maintenance Sub-Committee (Equity) in exceptional situation may announce
reconstitution of any index with a notice of less than 5 working days.

Index rebalancing:
In case of capped indices, capping of stocks will be implemented from the last trading day ofMarch, June, September and December by taking into account closing prices as on T-3 basis,
where T day is last trading day of March, June, September and December.

Quarterly rebalancing of shares and investible weight factors will be implemented from the last
trading day of March, June, September and December.

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Index reconstitution schedule:
Broad market indices:
Sr.
No.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18

Index Names
Nifty 50
Nifty Next 50
Nifty 100
Nifty 200
Nifty 500
Nifty Midcap 150
Nifty Midcap 50
Nifty Midcap 100
Nifty Midcap SelectNifty Smallcap 250
Nifty Smallcap 50
Nifty Smallcap 100
Nifty LargeMidcap 250
Nifty MidSmallcap 400
Nifty500 Multicap 50:25:25
Nifty500 LargeMidSmall Equal-Cap
Weighted
Nifty Microcap 250
Nifty Total Market

Review Frequency

Reconstitution effective from*

Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual

March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September

Semi Annual

March, September

Semi Annual
Semi Annual

March, September
March, September

Review Frequency

Reconstitution effective from*

Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual

March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September
March, September

Sectoral indices:
Sr.
No.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

Index Names
Nifty Auto
Nifty Bank
Nifty Consumer Durables
Nifty Financial Services
Nifty Financial Services 25/50
Nifty Financial Services Ex-Bank
Nifty FMCG
Nifty IT
Nifty Healthcare
Nifty Media
Nifty Metal
Nifty Oil & Gas
Nifty Pharma
Nifty Private Bank
Nifty PSU Bank
Nifty Realty
Nifty MidSmall Financial Services
Nifty MidSmall Healthcare
Nifty MidSmall IT & Telecom

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Thematic indices:
Sr.
No.

Index Names

Review Frequency

Reconstitution effective from*

Nifty India Corporate Group Index Quarterly
March, June, September, December
Aditya Birla Group2
Nifty Capital Markets
Semi Annual
March, September
3
Nifty Commodities
Semi Annual
March, September
4
Nifty Core Housing
Semi Annual
March, September
5
Nifty CPSE
6
Nifty Energy
Semi Annual
March, September
7
Nifty Housing
Semi Annual
March, September
8
Nifty India Consumption
Semi Annual
March, September
9
Nifty India Defence
Semi Annual
March, September
10 Nifty India Digital
Semi Annual
March, September
11 Nifty India Tourism
Semi Annual
March, September
12 Nifty EV & New Age Automotive
Semi Annual
March, September
13 Nifty India Manufacturing
Semi Annual
March, September
14 Nifty India New Age Consumption
Semi Annual
March, September
15 Nifty Infrastructure
Semi Annual
March, September
Nifty India Corporate Group Index 16
Quarterly
March, June, September, December
Mahindra Group
17 Nifty IPO
Quarterly
March, June, September, December
18 Nifty Midcap Liquid 15
Semi Annual
March, September
19 Nifty MidSmall India Consumption
Semi Annual
March, September
20 Nifty MNC
Semi Annual
March, September
21 Nifty Mobility
Semi Annual
March, September
22 Nifty Non-Cyclical Consumer
Semi Annual
March, September
23 Nifty PSE
Semi Annual
March, September
24 Nifty Rural
Semi Annual
March, September
25 Nifty Services Sector
Semi Annual
March, September
26 Nifty Shariah 25
Semi Annual
March, September
Nifty India Corporate Group Index 27
Quarterly
March, June, September, December
Tata Group
Nifty India Corporate Group Index 28
Semi Annual
March, September
Tata Group 25% Cap
29 Nifty Transportation & Logistics
Semi Annual
March, September
30 Nifty100 Liquid 15
Semi Annual
March, September
31 Nifty50 Shariah#
Semi Annual
32 Nifty500 Shariah#
Semi Annual
Nifty500 Multicap India
33
Semi Annual
March, September
Manufacturing 50:30:20
Nifty500 Multicap Infrastructure
34
Semi Annual
March, September
50:30:20
35 Nifty SME EMERGE
Quarterly
March, June, September, December
36 Nifty100 ESG
Semi Annual
June, December
37 Nifty100 Enhanced ESG
Semi Annual
June, December
38 Nifty100 ESG Sector Leaders
Semi Annual
June, December
39 Nifty REITs & InvITs
Quarterly
March, June, September, December# In case of any replacements as part of monthly Shariah compliance, the same will be implemented from the lastworking day of respective month1

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Strategy indices:
Sr.
No.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

Review
Frequency

Index Names
Nifty Alpha 50
Nifty Alpha Low Volatility 30
Nifty Alpha Quality Low Volatility 30
Nifty Alpha Quality Value Low Volatility 30
Nifty Dividend Opportunities 50
Nifty Growth Sectors 15
Nifty High Beta 50
Nifty Low Volatility 50
Nifty Quality Low Volatility 30
Nifty Top 10 Equal Weight
Nifty Top 15 Equal Weight
Nifty Top 20 Equal Weight
Nifty500 Equal Weight
Nifty100 Equal Weight
Nifty100 Alpha 30
Nifty200 Alpha 30
Nifty100 Low Volatility 30
Nifty200 Momentum 30
Nifty Midcap150 Momentum 50
Nifty500 Momentum 50
Nifty100 Quality 30
Nifty200 Quality 30
Nifty Midcap150 Quality 50
Nifty Smallcap250 Quality 50
Nifty500 Multicap Momentum Quality 50
Nifty MidSmallcap400 Momentum Quality
100
Nifty Smallcap250 Momentum Quality 100
Nifty50 Equal Weight
Nifty50 Value 20
Nifty200 Value 30
Nifty500 Value 50

Reconstitution effective from*

Quarterly
Semi Annual
Semi Annual
Semi Annual
AnnualSemi Annual
Quarterly
Quarterly
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Quarterly
Quarterly
Quarterly
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual
Semi Annual

March, June, September, December
June, December
June, December
June, December
March
March, September
March, June, September, December
March, June, September, December
June, December
March, September
March, September
March, September
March, September
March, September
March, June, September, December
March, June, September, December
March, June, September, December
June, December
June, December
June, December
June, December
June, December
June, December
June, December
June, December
June, December

Semi Annual
Semi Annual
AnnualSemi Annual
Semi Annual

June, December
March, September
DecemberJune, December
June, December* The effective date for index reconstitution of index is the last trading day of respective month.
The Index Maintenance Sub-Committee (Equity) may revise the reconstitution dates statedabove in case of exceptional cases.

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Eligible basic industries for selection in sectoral and thematic indices
Sectoral indices:
Index
Nifty Auto

Nifty Bank

Nifty Consumer Durables

Nifty Financial Services

Basic Industry
2/3 Wheelers
Auto Components & Equipments
Auto Dealer
Castings & Forgings
Commercial Vehicles
Passenger Cars & Utility Vehicles
Tractors
Trading - Auto Components
Tyres & Rubber Products
Other Bank
Private Sector Bank
Public Sector Bank
Ceramics
Consumer Electronics
CyclesFootwear
Furniture, Home FurnishingGems, Jewellery And Watches
Glass - Consumer
Granites & Marbles
Household AppliancesHouseware
Leather And Leather Products
Leisure Products
Plastic Products - Consumer
Plywood Boards/ Laminates
Sanitary Ware
Asset Management Company
Depositories, Clearing Houses and Other Intermediaries
Exchange and Data Platform
Financial Institution
Financial Products Distributor
Financial Technology (Fintech)
General Insurance
Holding Company
Housing Finance Company
Insurance Distributors
Investment Company
Life Insurance
Microfinance Institutions
Non Banking Financial Company (NBFC)
Other Bank
Other Capital Market related Services
Other Financial Services
Other Insurance Companies

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IndexNifty Financial Services ExBank

Nifty FMCG

Nifty Healthcare index

Basic Industry
Private Sector Bank
Public Sector Bank
Ratings
Securitisation
Stockbroking & Allied
Asset Management Company
Depositories, Clearing Houses and Other Intermediaries
Exchange and Data Platform
Financial Institution
Financial Products Distributor
Financial Technology (Fintech)
General Insurance
Holding Company
Housing Finance Company
Insurance Distributors
Investment Company
Life Insurance
Microfinance Institutions
Non Banking Financial Company (NBFC)
Other Capital Market related Services
Other Financial Services
Other Insurance Companies
Ratings
Securitisation
Stockbroking & Allied
Animal Feed
Breweries & Distilleries
Cigarettes & Tobacco Products
Dairy Products
Diversified FMCG
Edible Oil
Household Products
Meat Products including Poultry
Other Agricultural Products
Other Beverages
Other Food Products
Packaged Foods
Personal Care
Seafood
Stationary
Sugar
Tea & Coffee
Biotechnology
Healthcare Research, Analytics & Technology
Healthcare Service Provider
Hospital
Medical Equipment & Supplies
Pharmaceuticals
Pharmacy Retail

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IndexNifty IT

Nifty Media

Nifty Metal

Nifty MidSmall Financial
Services

Basic Industry
Computers - Software & Consulting
Computers Hardware & Equipments
Education
IT Enabled Services
Software Products
Advertising & Media Agencies
Digital Entertainment
Electronic Media
Film Production, Distribution & Exhibition
Media & Entertainment
Print Media
Printing & Publication
TV Broadcasting & Software Production
Web based media and service
Aluminium
CopperDiversified Metals
Ferro & Silica ManganeseIndustrial Minerals
Iron & SteelIron & Steel Products
Pig Iron
Precious Metals
Sponge Iron
Trading - Metals
Trading - Minerals
Zinc
Asset Management Company
Depositories, Clearing Houses and Other Intermediaries
Exchange and Data Platform
Financial Institution
Financial Products Distributor
Financial Technology (Fintech)
General Insurance
Holding Company
Housing Finance Company
Insurance Distributors
Investment Company
Life Insurance
Microfinance Institutions
Non Banking Financial Company (NBFC)
Other Bank
Other Capital Market related Services
Other Financial Services
Other Insurance Companies
Private Sector Bank
Public Sector Bank
Ratings
Securitisation

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IndexNifty MidSmall Healthcare

Nifty MidSmall IT & Telecom

Nifty Oil & Gas

Nifty Pharma
Nifty Private Bank
Nifty PSU Bank
Nifty Realty

Basic Industry
Stockbroking & Allied
Biotechnology
Healthcare Research, Analytics & Technology
Healthcare Service Provider
Hospital
Medical Equipment & Supplies
Pharmaceuticals
Pharmacy RetailComputers - Software & Consulting
Computers Hardware & Equipments
Education
IT Enabled Services
Other Telecom Services
Software Products
Telecom - Cellular & Fixed line services
Telecom - Equipment & Accessories
Telecom - Infrastructure
Gas Transmission/Marketing
LPG/CNG/PNG/LNG Supplier
Lubricants
Offshore Support Solution Drilling
Oil Equipment & Services
Oil Exploration & Production
Oil Storage & Transportation
Refineries & Marketing
Trading - Gas
Biotechnology
Pharmaceuticals
Private Sector Bank
Public Sector Bank
Residential, Commercial Projects

Thematic indices:
Index
Nifty Capital Markets

Nifty Commodities

Basic Industry
Asset Management Company
Exchange and Data Platform
Stockbroking & Allied
Depositories, Clearing Houses and Other Intermediaries
Financial Products Distributor
Ratings
Other Capital Market related Services
Aluminium
Aluminium, Copper & Zinc Products
Carbon Black
Cement & Cement Products
Coal
Commodity Chemicals

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IndexNifty Core Housing

Nifty Energy

Basic Industry
CopperDiversified Metals
Ferro & Silica ManganeseFertilizers
Industrial Minerals
Integrated Power Utilities
Iron & SteelIron & Steel Products
Jute & Jute Products
Oil Exploration & Production
Paper & Paper Products
Pesticides & Agrochemicals
Pig Iron
Power Distribution
Power Generation
Refineries & Marketing
Specialty Chemicals
Sponge Iron
Sugar
Trading - Coal
Zinc
Cables – Electricals
Cement & Cement Products
Ceramics
Consumer Electronics
Furniture, Home Furnishing
Glass – Consumer
Granites & Marbles
Household AppliancesHouseware
Housing Finance Company
Other Construction Materials
PaintsPlywood Boards/ Laminates
Residential, Commercial Projects
Sanitary Ware
Coal
Gas Transmission/Marketing
Integrated Power Utilities
Offshore Support Solution Drilling
Oil Exploration & Production
Power - Transmission
Power Distribution
Power Generation
Refineries & Marketing

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IndexNifty Housing

Nifty India Consumption

Basic Industry
Trading - Coal
Cables - Electricals
Cement & Cement Products
Ceramics
Civil Construction
Consumer Electronics
Furniture, Home Furnishing
Glass - Consumer
Granites & Marbles
Household AppliancesHouseware
Housing Finance Company
Integrated Power Utilities
Iron & SteelLPG/CNG/PNG/LNG Supplier
Other Construction Materials
PaintsPlywood Boards/ Laminates
Power Distribution
Power Generation
Private Sector Bank
Public Sector Bank
Residential, Commercial Projects
Sanitary Ware
2/3 Wheelers
AirlineAmusement Parks/ Other Recreation
Animal Feed
Breweries & Distilleries
Ceramics
Cigarettes & Tobacco Products
Consumer Electronics
CyclesDairy Products
Digital Entertainment
Diversified consumer products
Diversified FMCG
Diversified Retail
Edible Oil
Education
E-Learning
Electronic Media
E-Retail/ E-Commerce
Film Production, Distribution & Exhibition
Footwear

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Index

Basic Industry
Furniture, Home Furnishing
Garments & Apparels
Gems, Jewellery And Watches
Glass - Consumer
Granites & Marbles
Healthcare Service Provider
Hospital
Hotels & Resorts
Household AppliancesHousehold ProductsHouseware
Integrated Power Utilities
Internet & Catalogue Retail
Leather And Leather Products
Leisure Products
Media & Entertainment
Meat Products including Poultry
Other Beverages
Other Consumer Services
Other Food Products
Other Textile Products
Packaged Foods
Paints
Passenger Cars & Utility Vehicles
Personal Care
Pharmaceuticals
Pharmacy Retail
Plastic Products - Consumer
Plywood Boards/ Laminates
Power - Transmission
Power Distribution
Print Media
Printing & Publication
Railways
Real Estate related services
Residential, Commercial Projects
Restaurants
Sanitary Ware
Seafood
Shipping
Speciality Retail
Stationary
Sugar
Tea & Coffee
Telecom - Cellular & Fixed line services

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IndexNifty India Defence

Nifty India Digital

Nifty India Manufacturing

Basic Industry
Tour, Travel Related Services
TV Broadcasting & Software Production
Web based media and service
Wellness
Aerospace & Defense
Explosives
Ship Building & Allied Services
Computers - Software & Consulting
Computers Hardware & Equipments
Digital Entertainment
E-Learning
E-Retail/ E-Commerce
Financial Technology (Fintech)
Internet & Catalogue Retail
IT Enabled Services
Other Telecom Services
Software Products
Telecom - Cellular & Fixed line services
Telecom - Equipment & Accessories
Tour, Travel Related Services
2/3 Wheelers
Abrasives & Bearings
Aerospace & Defense
Aluminium
Aluminium, Copper & Zinc Products
Auto Components & Equipments
Biotechnology
Cables - Electricals
Carbon Black
Castings & Forgings
Ceramics
Commercial Vehicles
Commodity Chemicals
Compressors, Pumps & Diesel Engines
Consumer Electronics
CopperCyclesDiversified consumer products
Diversified Metals
Dyes And Pigments
Electrodes & Refractories
Explosives
Ferro & Silica ManganeseFertilizers
Footwear

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IndexNifty India New Age
Consumption

Basic Industry
Furniture, Home Furnishing
Garments & Apparels
Glass - Consumer
Glass - Industrial
Granites & Marbles
Heavy Electrical Equipment
Household AppliancesHouseware
Industrial Gases
Industrial Products
Iron & SteelIron & Steel Products
Leather And Leather Products
Leisure Products
Lubricants
Medical Equipment & Supplies
Other Industrial Products
Other Textile Products
Packaging
Paper & Paper ProductsPassenger Cars & Utility Vehicles
Pesticides & Agrochemicals
Petrochemicals
Pharmaceuticals
Pig Iron
Plastic Products - Consumer
Plastic Products - Industrial
Plywood Boards/ Laminates
Precious Metals
Printing Inks
Railway Wagons
Refineries & Marketing
Rubber
Sanitary Ware
Ship Building & Allied Services
Specialty Chemicals
Sponge Iron
Telecom - Equipment & Accessories
Tractors
Tyres & Rubber Products
Zinc
2/3 Wheelers
AirlineAmusement Parks/ Other Recreation

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Index

Basic Industry
Asset Management Company
Auto Dealer
Consumer Electronics
CyclesDigital Entertainment
Diversified Retail
Education
E-Learning
Electronic Media
E-Retail/ E-Commerce
Film Production, Distribution & Exhibition
Financial Technology (Fintech)
Footwear
Furniture, Home Furnishing
Garments & Apparels
Gems, Jewellery And Watches
Hotels & Resorts
Household AppliancesHousewareInternet & Catalogue Retail
Leather And Leather Products
Leisure Products
Media & Entertainment
Other Textile ProductsPassenger Cars & Utility Vehicles
Pharmacy Retail
Plastic Products - Consumer
Print Media
Printing & Publication
Residential, Commercial Projects
Restaurants
Speciality Retail
Stockbroking & Allied
Telecom - Cellular & Fixed line services
Tour, Travel Related Services
TV Broadcasting & Software Production
Web based Media Services
Wellness

Nifty India Tourism

AirlineAirport & Airport services
Amusement Parks/Other Recreation
Hotel & Resorts
Restaurants
Tour, Travel Related Services

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IndexNifty Infrastructure

Nifty MidSmall India
Consumption

Basic Industry
Apart from the above basic industries companies which are in to
manufacturing of trolley bags, suitcases, luggage are eligible to be
included in the index
AirlineAirport & Airport services
Amusement Parks/ Other Recreation
Auto Components & Equipments
Cement & Cement Products
Civil Construction
Commercial Vehicles
Compressors, Pumps & Diesel Engines
Construction Vehicles
Education
Gas Transmission/Marketing
Heavy Electrical Equipment
Hospital
Hotels & Resorts
Industrial Products
Integrated Power Utilities
Logistics Solution Provider
LPG/CNG/PNG/LNG Supplier
Lubricants
Offshore Support Solution Drilling
Oil Exploration & Production
Oil Storage & Transportation
Other Telecom Services
Port & Port services
Power - Transmission
Power Distribution
Power Generation
Power Trading
Railway Wagons
Refineries & Marketing
Residential, Commercial Projects
Road Assets–Toll, Annuity, Hybrid-Annuity
Sanitary Ware
Ship Building & Allied Services
Shipping
Telecom - Cellular & Fixed line services
Telecom - Equipment & Accessories
Telecom - Infrastructure
Tour, Travel Related Services
Trading - Gas
Tyres & Rubber Products
2/3 Wheelers

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Index

Basic Industry
AirlineAmusement Parks/ Other Recreation
Animal Feed
Breweries & Distilleries
Ceramics
Cigarettes & Tobacco Products
Consumer Electronics
CyclesDairy Products
Digital Entertainment
Diversified consumer products
Diversified FMCG
Diversified Retail
Edible Oil
Education
E-Learning
Electronic Media
E-Retail/ E-Commerce
Film Production, Distribution & Exhibition
Footwear
Furniture, Home Furnishing
Garments & Apparels
Gems, Jewellery And Watches
Glass - Consumer
Granites & Marbles
Healthcare Service Provider
Hospital
Hotels & Resorts
Household AppliancesHousehold ProductsHouseware
Integrated Power Utilities
Internet & Catalogue Retail
Leather And Leather Products
Leisure Products
Meat Products including Poultry
Media & Entertainment
Other Beverages
Other Consumer Services
Other Food Products
Other Textile Products
Packaged Foods
Paints
Passenger Cars & Utility Vehicles
Personal Care

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IndexNifty Mobility

Basic Industry
Pharmaceuticals
Pharmacy Retail
Plastic Products - Consumer
Plywood Boards/ Laminates
Power - Transmission
Power Distribution
Print Media
Printing & Publication
Railways
Real Estate related services
Residential, Commercial Projects
Restaurants
Sanitary Ware
Seafood
Shipping
Speciality Retail
Stationary
Sugar
Tea & Coffee
Telecom - Cellular & Fixed line services
Tour, Travel Related Services
TV Broadcasting & Software Production
Web based media and service
Wellness
2/3 Wheelers
Abrasives & Bearings
AirlineAirport & Airport services
Auto Components & Equipments
Auto Dealer
Castings & Forgings
Commercial Vehicles
Gas Transmission/Marketing
Logistics Solution Provider
LPG/CNG/PNG/LNG SupplierPassenger Cars & Utility Vehicles
Port & Port services
Railway Wagons
Railways
Refineries & Marketing
Road Assets–Toll, Annuity, Hybrid-Annuity
Ship Building & Allied Services
Shipping
Tour, Travel Related Services
Tractors

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IndexNifty Non-Cyclical Consumer

Basic Industry
Trading - Auto Components
Tyres & Rubber Products
Apart from the above basic industries, E-Commerce companies
which are into delivery are eligible to be included
Advertising & Media Agencies
AirlineAmusement Parks/ Other Recreation
Animal Feed
Breweries & Distilleries
Ceramics
Cigarettes & Tobacco Products
Consumer Electronics
CyclesDairy Products
Digital Entertainment
Distributors
Diversified consumer products
Diversified FMCG
Diversified Retail
Edible Oil
Education
E-Learning
E-Retail/ E-Commerce
Film Production, Distribution & Exhibition
Footwear
Furniture, Home Furnishing
Garments & Apparels
Gems, Jewellery And Watches
Glass - Consumer
Granites & Marbles
Hotels & Resorts
Household AppliancesHousehold ProductsHousewareInternet & Catalogue Retail
Leather And Leather Products
Media & Entertainment
Other Agricultural Products
Other Beverages
Other Consumer Services
Other Telecom Services
Other Textile Products
Packaged Foods
Paints
Personal Care

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IndexNifty Rural

Basic Industry
Pharmacy Retail
Plastic Products - Consumer
Plywood Boards/ Laminates
Print Media
Printing & Publication
Restaurants
Sanitary Ware
Speciality Retail
Stationary
Sugar
Tea & Coffee
Telecom - Cellular & Fixed line services
Tour, Travel Related Services
Trading - Textile Products
TV Broadcasting & Software Production
Wellness
2/3 Wheelers
Aluminium, Copper & Zinc Products
Animal Feed
Cement & Cement Products
Commercial Vehicles
Construction Vehicles
CyclesDiversified Commercial Services
Diversified FMCG
Dyes And Pigments
Edible Oil
Fertilizers
Household AppliancesHousehold Products
Housing Finance Company
Leather And Leather ProductsLife Insurance
Non Banking Financial Company (NBFC)
Other Agricultural Products
Other Telecom Services
Personal Care
Pesticides & Agrochemicals
Plastic Products - Industrial
Sugar
Tea & Coffee
Telecom - Cellular & Fixed line services
Tour, Travel Related Services
Tractors
TV Broadcasting & Software Production

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IndexNifty Services Sector

Basic Industry
Water Supply & Management
Dairy Products
Footwear
Forest Products
Jute & Jute Products
PaintsPaper & Paper Products
Pharmacy Retail
Plastic Products - Consumer
Packaged Foods
Passenger Cars & Utility Vehicles
Power Generation
Integrated Power Utilities
Compressors, Pumps & Diesel Engines
Consumer Electronics
Microfinance Institutions
Other Construction Materials
Banks that rank within top 10 ranked by percentage of its
branches in rural area and top 10 ranked by number of its
branches in rural areas (Data sourced from: Reserve Bank ofIndia - Trend and Progress of Banking in India (rbi.org.in))
AirlineAirport & Airport services
Asset Management Company
Business Process Outsourcing (BPO)/ Knowledge Process
Outsourcing (KPO)
Computers - Software & Consulting
Depositories, Clearing Houses and Other Intermediaries
Diversified Commercial Services
Diversified Retail
Education
E-Retail/ E-Commerce
Exchange and Data Platform
Film Production, Distribution & Exhibition
Financial Institution
Financial Products Distributor
Financial Technology (Fintech)Gas Transmission/Marketing
General Insurance
Healthcare Service Provider
Holding Company
Hospital
Hotels & Resorts
Housing Finance Company
Insurance Distributors
Integrated Power Utilities

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IndexNifty Transportation &Logistics

Basic Industry
Internet & Catalogue Retail
Investment Company
IT Enabled Services
Life Insurance
Logistics Solution Provider
LPG/CNG/PNG/LNG SupplierMedia & Entertainment
Non Banking Financial Company (NBFC)
Other Bank
Other Capital Market related Services
Other Financial Services
Other Insurance Companies
Other Telecom Services
Port & Port services
Power - Transmission
Power Distribution
Power Generation
Private Sector Bank
Public Sector Bank
Ratings
Restaurants
Road Assets–Toll, Annuity, Hybrid-Annuity
Shipping
Software Products
Stockbroking & Allied
Telecom - Cellular & Fixed line services
Tour, Travel Related Services
Trading & Distributors
TV Broadcasting & Software Production
2/3 Wheelers
Abrasives & Bearings
AirlineAirport & Airport services
Auto Components & Equipments
Auto Dealer
Castings & Forgings
Commercial Vehicles
Logistics Solution Provider
Passenger Cars & Utility Vehicles
Port & Port services
Railway Wagons
Railways
Road Assets–Toll, Annuity, Hybrid-Annuity
Ship Building & Allied Services

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IndexNifty500 Multicap India
Manufacturing 50:30:20

Basic Industry
Shipping
Tour, Travel Related Services
Tractors
Tyres & Rubber Products
Apart from the above basic industries, E-Commerce companies
which are into delivery are eligible to be included
2/3 Wheelers
Abrasives & Bearings
Aerospace & Defense
Aluminium
Aluminium, Copper & Zinc Products
Auto Components & Equipments
Biotechnology
Cables - Electricals
Carbon Black
Castings & Forgings
Ceramics
Commercial Vehicles
Commodity Chemicals
Compressors, Pumps & Diesel Engines
Consumer Electronics
CopperCyclesDiversified consumer products
Diversified Metals
Dyes And Pigments
Electrodes & Refractories
Explosives
Ferro & Silica ManganeseFertilizers
Footwear
Furniture, Home Furnishing
Garments & Apparels
Glass - Consumer
Glass - Industrial
Granites & Marbles
Heavy Electrical Equipment
Household AppliancesHouseware
Industrial Gases
Industrial Products
Iron & SteelIron & Steel Products
Leather And Leather Products

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IndexNifty500 Multicap
Infrastructure 50:30:20

Basic Industry
Leisure Products
Lubricants
Medical Equipment & Supplies
Other Industrial Products
Other Textile Products
Packaging
Paper & Paper ProductsPassenger Cars & Utility Vehicles
Pesticides & Agrochemicals
Petrochemicals
Pharmaceuticals
Pig Iron
Plastic Products - Consumer
Plastic Products - Industrial
Plywood Boards/ Laminates
Precious Metals
Printing Inks
Railway Wagons
Refineries & Marketing
Rubber
Sanitary Ware
Ship Building & Allied Services
Specialty Chemicals
Sponge Iron
Telecom - Equipment & Accessories
Tractors
Tyres & Rubber Products
Zinc
AirlineAirport & Airport services
Amusement Parks/ Other Recreation
Auto Components & Equipments
Cement & Cement Products
Civil Construction
Commercial Vehicles
Compressors, Pumps & Diesel Engines
Construction Vehicles
Education
Gas Transmission/Marketing
Heavy Electrical Equipment
Hospital
Hotels & Resorts
Industrial Products
Integrated Power Utilities

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Index

Basic Industry
Logistics Solution Provider
LPG/CNG/PNG/LNG Supplier
Lubricants
Offshore Support Solution Drilling
Oil Exploration & Production
Oil Storage & Transportation
Other Telecom Services
Port & Port services
Power - Transmission
Power Distribution
Power Generation
Power Trading
Railway Wagons
Refineries & Marketing
Residential, Commercial Projects
Road Assets–Toll, Annuity, Hybrid-Annuity
Sanitary Ware
Ship Building & Allied Services
Shipping
Telecom - Cellular & Fixed line services
Telecom - Equipment & Accessories
Telecom - Infrastructure
Tour, Travel Related Services
Trading - Gas
Tyres & Rubber Products

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Differential Voting Rights
Equity securities with Differential Voting Rights (DVR) are eligible for inclusion in the index
subject to fulfilment of specified DVR related criteria given below:•

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
index

•

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 index•

It should meet liquidity criteria applicable for the respective index•

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 companies• 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 index

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Investible Weight Factors (IWFs)
IWF as the term suggests is a unit of floating stock expressed in terms of a number available fortrading and which is not held by the entities having strategic interest in a company. Higher IWF
suggest greater number of shares held by the investors as reported under public category withina shareholding pattern reported by each company.

The IWFs for each company in the index are determined based on the public shareholding of thecompanies as disclosed in the shareholding pattern submitted to the stock exchanges onquarterly basis. The following categories are excluded from the free float factor computation
where identifiable separately:
1. Shareholding reported under promoter category
2. Depository Receipts (DRs) held by promoters and promoter groups
3. Associate/group companies/ cross-holdings
4. Family members of promoter
5. Trusts managed by promoter/ promoter group companies
6. Employee Benefit Trusts/ Employee Welfare Trusts
7. Directors
8. Public shareholder representing (nominating) member on Board
9. Public shareholder entitled to represent (nominate) member on Board
10. Key Management Personnel (KMP)
11. First right of refusal in favour of company/promoters in case shareholder intends to sell thestake
12. Strategic investment by corporate bodies
13. Direct/ indirect shareholding by Central/ State Government/ Government backed
corporations, Governor in case of central/ state owned company (excluding insurancecompanies)
14. Direct/ indirect shareholding by Central/ State Government/ Government backed
corporations, Governor in company where government is not a promoter (excluding
insurance companies)
15. Foreign Direct Investment
16. Private Equity Investor
17. Private Equity Fund
18. Foreign Venture Capital Investors
19. Sovereign Wealth Funds
20. Shares under lock-in period reported under public category
21. Investor Education and Protection Fund (IEPF)
22. Persons acting in concert with promoters

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Example: For XYZ Ltd.

Total Shares

Shares%

1,00,00,000

100.00Shares%

19,75,000

19.75

50,0000.50

2,50,000

2.50

12,575

0.13

Employee Welfare Trusts

1,45,987

1.46

Shares under lock-in category

14,78,500

14.79

Shareholding of promoter and promoter group
Foreign Direct Investment
Shares held by promoters through ADR/GDRs.
Equity held by associate/group companies (cross-holdings)

IWF = [1,00,00,000 – (19,75,000 + 50,000 +2,50,000 +12,575 +1,45,987 +14,78,500)] /1,00,00,000. = 0.608794
The IWF will be rounded to six decimals.

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Impact Cost
Liquidity of a security can be measured through factors such as trading frequency, tradedturnover, volume of shares to total shares issued, ratio of turnover to market capitalization,
impact cost etc. Generally, securities with higher of each of the above factors (excluding impactcost) suggest superior liquidity on a relative basis.
Impact cost in simple words is a cost that an investor is required to incur for executing his buy orsell order as against the ideal cost of that security. Company with lower impact cost suggest thehigh liquidity as against the company with higher impact cost. For selection of securities inindices such as Nifty and Nifty Junior, liquidity is screened on the basis of ‘impact cost’ as criteria.
Liquidity in the context of stock markets means a market where large orders can be executedwithout incurring a high transaction cost. The transaction cost referred here is not the fixed costs
typically incurred like brokerage, transaction charges, depository charges etc. but is the cost
attributable to lack of market liquidity as explained subsequently. Liquidity comes from thebuyers and sellers in the market, who are constantly on the lookout for buying and selling
opportunities. Lack of liquidity translates into a high cost for buyers and sellers.
When a buyer or seller approaches the market with an intention to buy a particular stock, he can
execute his buy order in the stock against such sell orders, which are already lying in the order
book, and vice versa.
An example of an order book for a stock at a point in time is detailed below:
Buy

Sell

Sr.No.

QuantityPrice

QuantityPrice

Sr. No.

1

1000

3.50

2000

4.00

5

2

1000

3.40

1000

4.05

6

3

2000

3.40

500

4.20

7

4

1000

3.30

100

4.25

8

There are four buy and four sell orders lying in the order book. The difference between the best
buy and the best sell orders (in this case, 0.50) is the bid-ask spread. If a person places an orderto buy 100 shares, it would be matched against the best available sell order at 4 i.e. he would
buy 100 shares for 4. If he places a sell order for 100 shares, it would be matched against thebest available buy order at 3.50 i.e. the shares would be sold at 3.5.
Hence if a person buys 100 shares and sells them immediately, he is poorer by the bid-ask spread.
This spread may be regarded as the transaction cost which the market charges for the privilegeof trading (for a transaction size of 100 shares).
Progressing further, it may be observed that the bid-ask spread as specified above is valid for an
order size of 100 shares upto 1000 shares. However for a larger order size the transaction cost
would be quite different from the bid-ask spread.
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Suppose a person wants to buy and then sell 3000 shares. The sell order will hit the following
buy orders:Sr. No.

Quantity

Price

1

1000

3.50

2

1000

3.40

3

1000

3.40

while the buy order will hit the following sell orders:
QuantityPrice

Sr. No.

2000

4.00

5

1000

4.05

6

This implies an increased transaction cost for an order size of 3000 shares in comparison to theimpact cost for order for 100 shares. The "bid-ask spread" therefore conveys transaction cost fora small trade.
This brings us to the concept of impact cost. We start by defining the ideal price as the averageof the best bid and offer price, in the above example it is (3.5+4)/2, i.e. 3.75. In an infinitely liquidmarket, it would be possible to execute large transactions on both buy and sell at prices which
are very close to the ideal price of 3.75. In reality, more than 3.75 per share may be paid
while buying and less than 3.75 per share may be received while selling. Such percentage
degradation that is experienced vis-à-vis the ideal price, when shares are bought or sold, is called
impact cost. Impact cost varies with transaction size.
For example, in the above order book, a sell order for 4000 shares will be executed as follows:
Sr. No.

Quantity

Price

Value

1

1000

3.50

3500

2

1000

3.40

3400

3

2000

3.40

6800

Total value

13700

Weighted average price

3.43

The sale price for 4000 shares is 3.43, which is 8.53% worse than the ideal price ofHence we say "The impact cost faced in buying 4000 shares is 8.53%".

3.75.

Definition: Impact cost represents the cost of executing a transaction in a given stock, for a
specific predefined order size, at any given point of time.
Impact cost is a practical and realistic measure of market liquidity; it is closer to the true cost of
execution faced by a trader in comparison to the bid-ask spread.

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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 applied

In mathematical terms it is the percentage mark-up observed while buying / selling the desiredquantity of a stock with reference to its ideal price (best buy + best sell) / 2.
Example A:
ORDER BOOK SNAPSHOTBuy Quantity

Buy Price

Sell Quantity

Sell Price

1000

98

1000

99

2000

97

1500

100

1000

96

1000

101

TO BUY 1500 SHARES

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Corporate Actions and Share Updates
Maintenance of Nifty indices includes carrying out adjustments for corporate actions like stock
splits, stock dividends, share changes and scheme of arrangements. Some corporate actions,such as bonus, stock splits and reverse stock splits require simple changes in the equity shares
outstanding and the stock prices of the companies in the index.
Other corporate actions such as change in equity, rights issue of shares, special dividend, change
in investible weight factor (IWF) / free float results into change in the market value of an index
overall and require a divisor adjustment to prevent the value of the index from changing.

This helps in keeping the value of the index accurate and ensures that the movement of the index
does not get impacted due to corporate actions of the companies in it. 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 appliedon the ex-date.
All singular instances of changes in equity shares arising out of additional issue of capital, suchas 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 sharecapital 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. In case of any replacementof index constituent arising from ad-hoc index review necessitated on account of scheme ofarrangement, 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 areclubbed together with such stock replacement to reduce the turnover caused by frequent
rebalancing by ETF/index funds tracking such indices.
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 dayof March, June, September and December.
In case of merger of index constituents, equity shares, investible weight factor of merged entity
shall be updated based on the terms of merger with effect from the ex-date (T day) of merger
i.e. closing of T-1 day
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Summary of Corporate Action Adjustments:
Sr.
No.

Type of corporate
actionDivisor Adjsutment forMarket capitalization
based indices(Full or free float)

Divisor Adjustment for
Equal Weight/ factor
based indices

Revision in the capping
factor for Capped Indices1

RightsDivisor adjusted.
Price and index shares will
be adjusted based on ratio

Divisor adjusted.
Price and index shares will
be adjusted based on ratio

No change

Divisor not adjusted. Priceand index shares areadjusted based on bonus
ratio resulting into nochange in index market
capitalization
Divisor not adjusted. Priceand index shares areadjusted based on stock
split/ reverse stock split
ratio resulting into nochange in index market
capitalization

Divisor not adjusted.
Price and index shares areadjusted based on bonus
ratio resulting into nochange in index market
capitalization
Divisor not adjusted. Priceand index shares areadjusted based on stock
split/ reverse stock split
ratio resulting into nochange in index market
capitalization

Divisor adjusted. Price will
be reduced for special
dividend amount resulting
into change in the index
market capitalization

Divisor adjusted. Price will
be reduced for special
dividend amount resulting
into change in the index
market capitalization

No change

Divisor adjusted. Index
shares will be revised
resulting into change in theindex market capitalization
Divisor not adjusted for all
indices except thosecomputed on free-float
method. IWF will berevised resulting intochange in the index market
capitalization

Divisor not adjusted aschange in equity does nothave any impact under thismethodology

New capping factor is
calculated upon quarterly
rebalancing of shares

Divisor not adjusted aschange in IWF does nothave any impact under thismethodology

New capping factor is
calculated upon quarterly
rebalancing of IWFs

2

Bonus

3

Stock split/ Reverse
stock split

4

Special Dividend#/
Price adjustment for
shorter notice toStock Exchange fordividend payment

5

Change in equity

6

Change in investible
weight factor (IWF)/ free float

7

MergerTransferor company shall be
excluded from index on the
ex-date (T Day) of merger
i.e. closing of T-1 day.

Divisor is adjusted on dateof replacement of stock8

Demerger

9

Replacement ofstockTransferor company shallbe excluded from index on
the ex-date (T Day) ofmerger i.e. closing of T-1
day.

No change

No change

New capping factor is
calculated upon
replacement of such stock

Divisor is adjusted on dateof replacement of stock

No change in case stock isretained in the index.
Divisor adjusted if stock is
excluded from the index

No change in case stock isretained in the index
Divisor adjusted if stock is
excluded from theDivisor adjusted

Divisor adjusted

No change in case stock isretained in the index
New capping factor is
calculated upon exclusionof stock
New capping factor
calculated# 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. These dividends are adjusted in price returns index on ex. dividend date and they are further
excluded from computation of total returns index.

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Corporate action involving merger/ amalgamation
In case of merger/ amalgamation, transferor company (a company which is being merged intoanother company) shall be excluded from index on the ex-date (T Day) of merger i.e. closing of
T-1 day as mentioned below:•

Indices with fixed number of constituents: On ex-date, a replacement of company will bemade 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 madein place of the transferor company which is being excluded•

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 NSE•

Equity shares, investible weight factor of merged entity (combined entity post-merger)
shall be updated based on the terms of merger on the ex-date of merger i.e. closing of T1 day

Corporate action involving demerger/ spin-off
In case of scheme of arrangement for demerger of any of the index constituents or ‘Demerged
company’ - a company which is demerging its business division(s) into a separate new entity/
company, following adjustment shall be made:If Special Pre-Open session (SPOS)* is conducted by the Exchange
The Demerged company shall be retained in the index.
Additionally, the spun off business/ entity shall be included in the index at constant price(which is difference between the demerged company’s closing price on T-1 day wherein T is
Ex. Demerger date and price derived during Special Pre-Open session (SPOS) on the Ex.
Demerger date.
The spun off business/ entity which is the newly listed entity shall be removed from the index
after end of day (EOD) on third day of its listing.
In case, during the first 2 days of these 3 days, if the spun off business/ entity hits the priceband on both days, then the exclusion date shall be deferred by another 3 days. Afterobserving two consecutive days of the spun off business/ entity not hitting the price band, suchspun off business/entity shall be removed after the third trading day of such observation.

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If Special Pre-Open session (SPOS)* is conducted by the Exchange
If on such 3rd day spun off business/ entity again hits the price band, exclusion of such stock
shall not be deferred anymore.
*In accordance with the NSE’s Capital Market Consolidated Circular dated May 27, 2020, Exchange conducts special
pre-open session (SPOS) for the purpose of price discovery of all stocks in cases involving corporate restructuring.

If Special Pre-Open session is not conducted by Exchange, the Demerged company shall be
removed from the index at the beginning of T-1 day (close of Ex. – 2) where T day would be theEx. date for demerger of stock by making a suitable replacement in case of indices with fixed
number of companies. No replacement (inclusion) will be made in case of indices with variable
number of companies.

Detailed modalities for handling of corporate action involving demerger are given
hereunder:
In order to make adjustments in Nifty equity indices in case of demerger where Exchange
conducts a special pre-open session (SPOS) as stated above, following approach shall befollowed:
1 For instances of demerger in case of index constituent (For example: Symbol: ABC), after
close of market hours on T-1 day a dummy symbol (For example: Symbol: ABC-D) will be
added to the index (where T day would be the ex. demerger date). As addition of dummy
symbol in the index shall be mandatorily made as part of operational guidelines governing
Nifty equity indices for handling corporate action involving demerger, separate
announcement shall not be made.
2 On T day (ex. demerger day), 50 stocks index will be represented by 51 securities with initial
price of dummy symbol (ABC-D) set to be zero.
3 Exchange conducts special pre-open session (SPOS) for price discovery of companies
undergoing demerger from 9 a.m. to 9:45 a.m. on Ex. day of demerger (T day).
4 During the SPOS, index shall be calculated using the most recently available price of 49 stocks,
previous day’s closing price of ABC (50th security) and Zero price of dummy symbol (ABC-D).
5 After the closure of SPOS, discovered price of the demerged company / security – ABC andindicative price of ABC-D would be calculated simultaneously as explained below:
Sr.
No.
1

Scenarios
Price Discovered @NSE
and not discovered@other Exchanges

Demerger of non F&O stock Demerger of F&O stock(Post SPOS)(Post SPOS)
Once the price of parent symbol-series is discovered at 09:45
AM (last minutes of random closure) in SPOS session,
immediately the discovered price (discovered based on valid
trades at NSE) at NSE shall be used for price allocation onparent and dummy symbol

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Sr.
No.
2

3

4

Scenarios
Price Discovered @NSE
& other Exchanges

Demerger of non F&O stock Demerger of F&O stock(Post SPOS)(Post SPOS)
Once the price of parent symbol-series is discovered at 09:45
AM (last minutes of random closure) in SPOS session,
immediately the discovered price (discovered based on valid
trades at NSE) at NSE shall be used for price allocation onparent and dummy symbol

Price Not Discovered@NSE and discovered@other Exchanges

Once the price of parent symbol-series is discovered at other
Exchange (and not discovered at NSE) at 09:45 AM (lastminutes of random closure) in SPOS session, immediately thediscovered price at other exchange shall be used for priceallocation on parent and dummy symbol
Price Not Discovered @ Once the price is discovered Once the price is discovered
NSE & not discoveredon any of the subsequent on the same day or on any of@ other Exchanges
days then; any one of the the subsequent days then;above scenarios may apply
any one of the above
scenarios may apply

6 Indicative price of dummy symbol (ABC-D) will be computed as a difference between theprevious day's closing price of the ABC and the discovered price on ex. day of demerger. In
case, discovered price is greater than or equal to previous closing price, price of dummy
security shall be considered as '0'.
For example:• Closing price of ABC on T-1 day - Rs. 1000/• Discovered price of ABC Ltd. calculated on Ex. Day - Rs. 600/• Price of dummy symbol (ABC-D) would be calculated/ derived as Rs. 400/- (Prev. close
Rs. 1000/- minus discovered price Rs. 600/-)• In case, discovered price is greater than or equal to previous closing price, price ofdummy security shall be considered as '0')
7 Once trading in the demerged company’s stock (ABC) moves in the Normal market (from
SPOS) after the prescribed time (i.e. 10:00 am currently), index would be computed sourcing
the discovered price of ABC and derived price of dummy symbol ABC-D. As total
consideration (price) of ABC and ABC-D remains at Rs. 1000/-, there shall be no change in theinitial index value on account of such a price discovery.
8 Once demerged company is available for trading under Normal market, index shall becomputed based on the latest prices of all index constituents and a constant price of dummy
symbol (ABC-D) as explained earlier on a daily basis till such time new company resulting after
demerger is listed/ traded at NSE. In other words, index values will be calculated considering
the real time prices of all index constituents (except for dummy symbol) and for dummy
symbol (ABC-D), static (derived) price (Rs. 400/-) will be considered till the listing of a newcompany resulting out of demerger.
9 Weightage of each scrip in the index shall be computed based on the market capitalizationof all securities in the index, including the dummy symbol (for example 51 securities in 50
stock index).
10 From the actual date of listing of spun-off business/entity (ABC-D) (beginning of the day),dummy symbol (ABC-D) will be replaced by a new actual symbol (new company listed

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subsequent to demerger) and index will be calculated based on the prices of this new symbol.
This means that a newly listed symbol would form part of the index for a temporary period
as explained in subsequent point. During this temporary period, new symbol shall not bescreened for compliance with index eligibility criteria.
11 New symbol shall be removed from the index after the close of trading on third day of listingat the market determined price. In case during the first 2 days of these 3 days, if the spunoff business/entity hits the price band on both the days, then the exclusion date shall bedeferred. After observing two consecutive days of the spun-off business/entity not hitting
the price band, such spun-off business/entity shall be removed after the closing of third dayof such observation. The possible scenarios are explained hereunder:
Sr. No.
1

2

3

ScenarioSpun off entity does not hit the priceband on first two trading days of its
listing

ActionExclusion of spun off entity shall be madeafter the close of 3rd trading day of its listing(initial exclusion date)

Spun off entity hits the price band Exclusion of spun off entity shall be deferredon first two trading days of its listing by another 3 trading days from initial
exclusion date (which is after the close of
3rd trading day of its listing). In other words,
the exclusion shall be made after the closeof 6th trading day instead of the close of 3rd
trading day provided spun off entity does
not hit price band on two consecutive days
prior to its proposed exclusion which is after
the close of 6th trading day.
During the first two days post deferment ofinitial exclusion date, if spun off entity
continues to hit the price band on any
trading day, the exclusion of spun off entity
shall be made after the close of next trading
day upon observing two consecutive days ofthe spun off entity not hitting the priceband.
Spun off entity hits the price band Exclusion of spun off entity shall be madeon either first day of its listing or on after the close of next trading day upon
second trading day of its listingobserving two consecutive days of the spunoff entity not hitting the price band.

Note: In each of the above cases, a press release announcing exclusion of spun off entity shallbe issued after the close of second consecutive day of the spun off entity not hitting the priceband.
12 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 thenext calendar month and 6 months data for other securities. Such demerged company, if
found to be the least eligible company to be part of the index based on index eligibility

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criteria, shall be replaced, in case a suitable replacement is available with effect from the last
trading day of the calendar quarter subject to providing required notice period to market.
13 In case of any index constituents undergoing demerger where Exchange is not conducting a
special pre-open session (SPOS), it shall be removed from Nifty indices on beginning of T-1
day (close of Ex. – 2) where T day would be the Ex. date for demerger of stock by making
suitable replacement in case of indices with fixed number of companies. No replacement(inclusion) will be made in case of indices with variable number of companies.
Announcement of such changes shall be made a minimum of 3 working days in advance forchange in the constituents of indices including the indices on which Futures and Options aretraded at NSE.

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Index Calculation FormulaMarket capitalization-based indices (price return):
Formula for computing price return variant of indices based on market capitalization method(full or free-float mcap method) is as under:
Index Value = Index Market Capitalisation / Base Free Float Market Capitalisation of index * Base
Index Value
where Index Market Capitalization = Shares outstanding * IWF * Capping factor * Price•

IWF = 1 in case of indices computed based on full market capitalization method•

Capping factor = 1 in case of uncapped indiceswhere Index market capitalisation is the aggregate of market capitalisation of each scrip in the
Index adjusted for free float and/or capping factor depending upon the methodology; andBase index value is the initial value assigned to each index (For example 1000 or 100).

Equal weight/ factor-based indices (price return):
Using the divisor and modified index market capitalization, Equal weight/ factor-based indices
are calculated as follows:

Index Valuet = (Modified Index Market Capitalization / Index Divisort) * 1000
Modified Index Market Capitalization = ∑ (Modified Index Shares)i * Pricei
Modified Index Sharesi = (Weighti * Modified Index Market Capitalization) / Pricei
Modified Index Sharesi (on Base date) = (Weighti * Base Index Divisor) / Pricei

Notes:
1. As on the base date, notional portfolio value of INR 1 billion has been considered as ‘modified
market capitalization’ and ‘Base Index Divisor’.
2. Modified index shares are calculated considering modified index market capitalization of the
day prior to the rebalancing date. Modified shares are calculated whenever the index isrebalanced

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Total Return Index Calculation:
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. Corporate actions like Dividend announcement do not
require any adjustment in the normal price index (other than special dividend).

All dividend amounts that are greater than or equal to 2% of company’s market prices on dateof announcements are considered as a special dividend. These dividends are adjusted in pricereturns index on ex. dividend date and they are further excluded from computation of total
returns index. Moreover, all dividends that are being paid by the company with shorter noticeto the stock exchange are also adjusted in price return index on ex. dividend date and they are
excluded from computation of total returns index.

A separate series of index i.e. Total Returns Index (TR) is calculated which shows the returns on
Index portfolio, inclusive of dividends.

Calculation of the TR :𝑻𝑹 𝑰𝒏𝒅𝒆𝒙 = 𝑃𝑟𝑒𝑣𝑖𝑜𝑢𝑠 𝑇𝑅 ∗ [1 + ((𝑇𝑜𝑑𝑎𝑦 ′ 𝑠 𝑃𝑅 𝐼𝑛𝑑𝑒𝑥 + 𝐼𝑛𝑑𝑒𝑥𝑒𝑑 𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑)− 1) ]
𝑃𝑟𝑒𝑣𝑖𝑜𝑢𝑠 𝑃𝑅 𝐼𝑛𝑑𝑒𝑥

where,
𝐼𝑛𝑑𝑒𝑥𝑒𝑑 𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑 =𝐷𝑖𝑣𝑖𝑑𝑒𝑛𝑑 𝑃𝑎𝑦𝑜𝑢𝑡
𝐵𝑎𝑠𝑒 𝑀𝑎𝑟𝑘𝑒𝑡 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑠𝑎𝑡𝑖𝑜𝑛 𝑜𝑓 𝐼𝑛𝑑𝑒𝑥

𝑃𝑟𝑖𝑐𝑒 𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑠 =𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑃𝑟𝑖𝑐𝑒 𝐼𝑛𝑑𝑒𝑥 𝑉𝑎𝑙𝑢𝑒−1
𝑃𝑟𝑒𝑣𝑖𝑜𝑢𝑠 𝑃𝑟𝑖𝑐𝑒 𝐼𝑛𝑑𝑒𝑥 𝑉𝑎𝑙𝑢𝑒Net Total Return (NTR) Calculation:
Net Total Return (NTR) index aims to measure the performance of the index considering thatthe cash dividends (regular/special) and the income from stock dividends (bonus issues) are
reinvested in the index after deducting the withholding tax on the dividends and Short Term
Capital Gains tax on the bonus shares issued as detailed below:•

The withholding tax rate on the dividends for non-residential shareholders is presently
20% (plus applicable surcharge and cess) as per Income Tax Act, 1961. (The withholding
tax rate will be as applicable from time to time). For the computation of NTR index, themaximum rate applicable to the non-resident institutional investors who do not benefit
from double taxation treaties. As per the Income Tax Act, 1961, the maximum surcharge
applicable for the Non Resident Institutional Investors on the income from dividends is

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15% and cess is 4%, thus the effective withholding tax rate applicable for the income
from dividends is 23.92%.
•

Short term capital gains tax rate on the income generated from the Stock dividends(bonus issue) is presently 20% (plus applicable surcharge and cess) as per Income Tax
Act, 1961. (The Short term capital gains tax rate will be as applicable from time to time).
The effective short term capital gains tax rate on the income generated from the Stock
dividends is 23.92% (the short term capital gains tax rate is 20%, the maximum
surcharge applicable for the Non Resident Institutional Investors on the short term
capital gains arising through transfer of equity shares is 15% and cess is 4%).

•The surcharge rate differs depending on whether the institutional investor is recognized
as being structured as a corporate or a trust/fund and based on their income slab.
Therefore, the higher of the two rates for maximum income slab is considered.

Currently, Net Total Return index is computed for Nifty 50 index.

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Index Governance:
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
framework, that includes this methodology and incorporates the guidance of the NSE Indices
Index Maintenance Sub-Committee and with oversight from the NSE Indices OversightCommittee.

Index Committees:
NSE Indices Limited has constituted the Index Advisory Committee (Equity), which provides
guidance on macro issues pertaining to equity indices.

The Index Maintenance Sub-committee (Equity) is responsible for the maintenance of the Nifty
Indices methodology, oversees the operational guidelines for managing the equity indices andapproves changes to the stock selection criteria. Index Maintenance Sub-Committee reserves
the right to take a decision to deal with any exceptional situation that may arise whereapplication of stated methodology may not be practicable.

The NSE Indices Index Oversight Committee’s function is “to review and provide challenge on
all aspects of the benchmark (index) determination process” by providing oversight of theadministration of the indices by NSE Indices Limited, the Index Advisory Committee (Equity),
Index Maintenance Sub-Committee and the policies and procedures governing theiradministration. The Oversight Function reports to the Board of NSE Indices Limited.

In order to maintain transparency, the names of the committee member are publicly displayedon the website.

None of the member in the above committee except the exchange

representative(s) (who co-ordinates between the Index Advisory Committee - Equity and Index
Maintenance Sub-Committee - Equity) represent more than one committee and thereby the
independence of each of the committees is maintained.

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Index Policy
The Nifty family of indices uses transparent, researched and publicly documented rules for index
maintenance. These rules are applied regularly to manage changes to the index. Review ofindices is carried out at pre-defined periodicity to ensure that each security in the index fulfils
eligibility criteria.

Announcements:
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. Please refer to thewww.niftyindices.com and www.nseindia.com.

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.
Please refer to the www.niftyindices.com and www.nseindia.com.

Input Data Source:
Input data to the review and Source:
calculation of the Nifty equity
indices comprises:
PricesRegulated prices received from the National Stock
Exchange of India Ltd, in Indian Rupees.

Shares in issue / issuance

National Stock Exchange of India Ltd. For companies
traded at NSE but not listed, shares in issue arereferred from company’s periodic disclosures

Dividends

National Stock Exchange of India Ltd

Company share float

National Stock Exchange of India Ltd. For companies
traded at NSE but not listed, company share float isreferred from company’s periodic disclosures

WM/Refinitiv 4pm London fix FX Refinitiv
data

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Input data to the review and Source:
calculation of the Nifty equity
indices comprises:
MUFG Bank Telegraphic Transfer Cogencis Information Services Ltd.
Mid (TTM) Rate
Triparty

Repo

Dealing

System Clearcorp Dealing Systems (India) Pvt. Ltd. (a group(TREPS) Overnight lending rate
MumbaiInterbankOffer

company of the Clearing Corporation of India Ltd.)
Rate Financial Benchmarks India Pvt. Ltd.

(Term MIBOR)
In addition, index reviews require:
Liquidity data
Classification

National Stock Exchange of India Ltd
data

(such

as National Stock Exchange of India Ltd (derived fromthematic, geographical or industry publicly
sector classifications)available

Company

information,or

information filed with the exchange by companies).

Various reference data including National Stock Exchange of India Ltd (derived fromfinancial information from annual publicly

available

Company

information,orreports

information filed with the exchange by companies).

Shariah compliance data

Taqwaa Advisory and Shariah Investment Solutions(P) Ltd. (TASIS)

ESG related Score

Stakeholders Empowerment Services (SES)

Data Control:
NSE Indices requires its data vendors to flag any changes to their data feeds to NSE Indices inadvance, allowing it the opportunity to assess the scale of and comment on the proposed change.

Use of the data is controlled by the application of the index methodology document. These arenever subject to differing priorities and no judgement is exercised in their use.
Where data (such as Shariah information) is sourced from other data providers, NSE Indices
partners with reputable data providers, whose data is already in wide use within the investment
industry and recognised as being of good quality.

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NSE Indices is confident the input data used in the determination of the indices it administers is
sufficient and appropriate, and that verification of the quality of input data is provided via themonitoring of index reviews and calculated index values carried out by the NSE Index
Maintenance Sub-Committee.

Index Precision
The level of precision for index calculation is as follows:•

Shares outstanding are expressed in units•

Investible weight factors (IWFs) are expressed in two decimals•

Float-adjusted market capitalization is stated to two decimal places•

Index values are disseminated up to two decimal places

Index Recalculations
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 orinvestors, the committee retains the right to override the correction. Users of the Nifty indices
are notified through appropriate channel of communication of both corrections and decisions
to protect investors by not correcting an error.

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Cessation of Indices Policy
NSE Indices Ltd. regularly launches new indices to widen its product and increase its presence
across asset classes to meet the needs of cross section of market participants. The indices are
periodically reviewed and rebalanced to ensure that they continue to be concurrent &representative of its underlying segment and relevant to the market participants. Along with theperiodic index rebalancing, NSE Indices also reviews the index methodology to ensure it delivers
indices that accurately represent their definition, and to incorporate any market feedback orchanges in global practices in index maintenance. This periodic review of the index methodology
is carried out by the Index Maintenance Sub-Committee (Equity) and it is overseen by the NSE
Indices Oversight Committee.
There may be some situations in which the index may not be relevant and assist in effective
benchmarking for the market participants. Such situations may be due to significant changes in
the market infrastructure, regulatory changes, limited usage of index and its economic relevance,
etc. In such cases, NSE Indices may consider discontinuation of the index.
The trigger for considering a discontinuation of any of the Nifty indices could be:
1. Market feedback on relevance of index to market participants & its utility forbenchmarking or constructing financial products
2. NSE Indices’ internal assessment of relevance of index
3. Regulatory guideline
4. Non availability of eligible stocks for inclusion in the index
5. Lower acceptance of the benchmark
The following process will be followed in deciding the discontinuation of any index:• In the annual review of indices and its methodology, the NSE Indices team will review theusefulness and relevance for continuation of the indices. Additionally, if required such
review may be conducted for any specific index based on market feedback and otherconditions.
• In such review, the team will do internal assessment with reference to current usage ofthe index either for benchmarking or for financial products etc. and if there are any
alternatives available for the index.
• NSE Indices team will also conduct Voice of Customer for collecting feedback of market
participants.
• In case of any preliminary proposal for discontinuation of the index, the productdevelopment team will place the proposal before the CEO of NSE Indices. The proposal
shall have assessment summary along with justification of the proposal.
• The CEO may approve the proposal to discontinue the index which shall be placed before
the Index Maintenance Sub-Committee (IMSC) for the final approval.
• IMSC will review the proposal and accord its consent considering the merit.
• Value of discontinued indices may be displayed on the website for a pre-defined period
on a case to case basis• NSE Indices will announce the discontinuation by providing adequate notice to themarket.

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Market Feedback & Index Methodology Review
NSE Indices Limited is committed to ensure that all Nifty indices are relevant for the market
participants. In order to ensure this, NSE Indices Limited on an on-going basis interacts withthe stakeholders inviting the feedback through various channels of communication. The
feedback received from the market participants forms a key input for all index related aspects.

Review of methodology of Nifty indices is carried out on an annual basis. Additionally, NSE
Indices Limited also considers any feedback that it may receive with regards to index
methodology as part of on-going market interactions. 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.

Other
In case of a market stress or disruption, NSE Indices Limited will review and deal with thesituation on consultative basis with the National Stock Exchange of India Ltd. (NSE) as NSE issource for price data for computation of equity indices.

All indices are expected to reflect the performance of a basket of stocks selected based on thedefined guidelines and theme. Every index user is advised to evaluate the benefits of index
and take an informed decision before using the index for self or creation of index-linked
products. 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.

IOSCO Compliance
NSE Indices Limited (formerly known as India Index Services and Products Limited - “IISL”) iscompliant to the International Organization of Securities Commissions (“IOSCO”) Principles for
Financial Benchmarks. The last assessment was carried out by Deloitte Haskins & Sells LLP(“DHS”) in December 2022. Detailed report can be accessed on the website.

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Index Dissemination
Web site:
Daily index values, index constituents, methodology, and press releases are available on
www.niftyindices.com and www.nseindia.com. Additionally, leading data vendors also carry theindices on its platforms:
Index identifiers:
Sr.
No.

Index Name

Bloomberg Ticker

Refinitiv RIC CodeIndex Category

1

Nifty 500

NSE500.NIFTY500

Broad

2

Nifty 100

NSE100.NIFTY100

Broad

3

Nifty Midcap 150

NSEMD150.NIMI150

Broad

4

Nifty Smallcap 250

NSES250.NISM250

Broad

5

Nifty 50

Nifty

.NSEI

Broad

6

Nifty Next 50

NIFTYJR

.NN50

Broad

7

Nifty Midcap 50

NIFTYM50.NIMDCP50

Broad

8

Nifty Midcap 100

NSEMCAP.NIFMDCP100

Broad

9

Nifty Midcap Select

NMIDSELP.NIFTYMIDSELECT

Broad

10

Nifty Smallcap 50

NSESM50.NISM50

Broad

11

Nifty Smallcap 100

NSESMCP.NIFSMCP100

Broad

12

NSE200.NIFTY200

Broad

NSELM250-

Broad

NSEMDSM.NIMI400

Broad

15

Nifty 200
Nifty LargeMidcap
250
Nifty MidSmallcap
400
Nifty500 Multicap
50:25:25

NMULTIP.NIF500MUL

Broad

16

Nifty Microcap 250-.NIFTYMICROCAP250

Broad

17

Nifty Total Market

NTOTMKTP.NIFTYTOTALMKT

Broad

18

Nifty AutoNSEAUTO.NIFTYAUTO

Sectoral

19

NSEBANK.NSEBANK

Sectoral20

Nifty Bank
Nifty Consumer
Durables

NISSCODU-

Sectoral

21

Nifty FMCGNSEFMCG.NIFTYFMCGSectoral

22

Nifty ITNSEIT.NIFTYIT

Sectoral

23

Nifty MediaNSEMED.NIFTYMED

Sectoral24

Nifty Metal

NSEMET.NIFTYMETSectoral25

Nifty Oil & Gas

NISSOIL-

Sectoral

26

Nifty Pharma

NSEPHRM.NIPHARM

Sectoral

27

Nifty PSU BankNSEPSBK.NIFTYPSU

Sectoral

13
14

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Sr.
No.

Index Name

Bloomberg Ticker

Refinitiv RIC CodeIndex Category

28

Nifty Private BankNSEPBANK.NIFPVTBNKSectoral

29

Nifty Realty
Nifty Financial
Services
Nifty Financial
Services 25/50

NSEREAL.NIFTYREAL

Sectoral

NSEFIN.NIFTYFIN

Sectoral-.NIFSER

Sectoral

NHEALTHP.NIFHEIN

Sectoral

33

Nifty Healthcare
Nifty MidSmall
Healthcare-.NIFTYMIDSMLHLTH

Sectoral

34

Nifty Commodities

NSECMD.NIFTYCOM

Thematic

35

Nifty Energy

NSENRG.NIFTYENR

Thematic

36

NHOUSINP-

Thematic

37

Nifty Housing
Nifty India
Consumption

NSECON.NIFTYCONSThematic

38

Nifty Infrastructure

NSEINFR.NIFTYINFR

Thematic

39

Nifty MNCNSEMNC.NIFTYMNC

Thematic

40

Nifty PSE
Nifty Services
SectorNSEPSE.NIFTYPSE

Thematic

NSESRV.NIFTYSER

Thematic

Nifty India Digital
Nifty Transportation& Logistics
Nifty India
Manufacturing-.NIFTYINDDIGITAL

Thematic

NTANDLP-

ThematicNMFGP.NIFTYINDIAMFG

Thematic

NDEFNCEP-

Thematic-.NIFTYMULTIMFG

Thematic

47

Nifty India Defence
Nifty500 Multicap
India Manufacturing
50:30:20
Nifty500 Multicap
Infrastructure
50:30:20-.NIFTYMULTIINFRA

Thematic

48

Nifty50 Shariah

NSESHTR-

Thematic

49

Nifty500 Shariah

NS500STR-

Thematic

50

Nifty Shariah 25

NSHAR25P-

Thematic

51

Nifty CPSE

CPSE

.NICPSE

Thematic

52

Nifty100 Liquid 15
Nifty Midcap Liquid
15

LIX15

.NLIX50

Thematic

NSEMID15.NIFML15

Thematic

Nifty100 ESG
Nifty100 Enhanced
ESG
Nifty100 ESG Sector
Leaders
Nifty India
Corporate GroupNSEESG-

ThematicNSEESGE-

ThematicNESGLDRP.NIFESG

Thematic

NTATA25P.NIFTYTATA25CAP

Thematic

30
31
32

41
42
43
44
45

46

53
54
55
56
57

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Sr.
No.

Index Name

Bloomberg Ticker

Refinitiv RIC CodeIndex Category

NSEDIV.NIFTYDVOPStrategy

NSENI15.NI15Strategy

NSE50EW.NIFTY50EWStrategy

NSE100EW.NIFTY100EW

Strategy61

Index - Tata Group
25% Cap
Nifty Dividend
Opportunities 50
Nifty Growth
Sectors 15
Nifty50 Equal
WeightNifty100 Equal
Weight62

Nifty Alpha 50

NSEAP.NIFTYALI

Strategy

63

Nifty High Beta 50
Nifty Low Volatility
50

NSEHB

.NIFTYHBI

Strategy

NSELV.NIFTYLVIStrategy

N200A30P.NIFTY200ALPHA30

Strategy

NSELV30.NIFTY100L30

Strategy

N200MOMP.NIFMOM

Strategy

68

Nifty200 Alpha 30
Nifty100 Low
Volatility 30
Nifty200
Momentum 30
Nifty Midcap150
Momentum 50-.NIFTYM150MOMNTM50

Strategy

69

Nifty100 Quality 30

NSEQTY30.NIF100QL30

Strategy70

NSE200Q.NIQU30

Strategy

NMIDQLTP.NIFIMID150QA50

Strategy

N250Q50P-

Strategy

73

Nifty200 Quality 30
NIFTY Midcap150
Quality 50
Nifty Smallcap250
Quality 50
Nifty Alpha LowVolatility 30

NALOW30P.NIFALV30

Strategy

74

Nifty50 Value 20

NSENV20.NV20Strategy

75

DEFTY

.NSED

Strategy

NIFTYDVD.NIFTYDVStrategy

NPR1XI.NIFPR1X

Strategy

NPR2XL.NIFPR2X

Strategy

NTR1XI.NIFTR1X

Strategy

NTR1XL.NIFTR1X

Strategy

81

Nifty50 USD
Nifty50 Dividend
PointsNifty50 PR 1x
InverseNifty50 PR 2x
Leverage
Nifty50 TR 1x
InverseNifty50 TR 1x
InverseNifty50 TR 2x
Leverage

NTR2XL.NIFTR2X

Strategy

82

Nifty 50 Arbitrage

NSE50ARB-

Strategy

83

Nifty 50 Futures

N50FUTPR-

Strategy

58
59
60

64
65
66
67

71
72

76
77
78
79
80

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About NSE Indices Limited
NSE Indices Limited (formerly known as India Index Services & Products Ltd. - IISL), a subsidiary of NSE,
provides a variety of indices and index related services for the capital markets. The company focuses on theindex as a core product. The company owns and manages a portfolio of indices under the Nifty brand of NSE,
including the flagship index, the Nifty 50. Nifty equity indices comprise of broad-based benchmark indices,
sectoral indices, strategy indices, thematic indices and customised indices. NSE Indices Limited also
maintains fixed income indices based on Government of India securities, corporate bonds, money market
instruments and hybrid indices. Many investment products based on Nifty indices have been developed
within India and abroad. These include index based derivatives traded on NSE and NSE International
Exchange IFSC Limited (NSE IX) and a number of index funds and exchange traded funds. The flagship 'Nifty
50' index is widely tracked and traded as the benchmark for Indian Capital Markets.

For more information, please visit: www.niftyindices.com

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