logo

BSE to change Factor indices methodology from Sept

The constituent of S&P BSE Factor indices will be decided on the basis of market capitalisation and liquidity from September onwards. The index is operated by Asia Index — an equal venture between S&P Dow Jones Indices LLC and BSE. Currently, there is no market capitalisation and liquidity buffer rule applied for the inclusion of scrips in S&P BSE Factor indices. Factors indices, which measures non-market factors, like momentum, volatility, value and quality of stocks, were launched last year. The indices -- S&P BSE Enhanced Value Index, S&P BSE Low Volatility Index, S&P BSE Momentum Index and S&P BSE Quality Index — include top 30 companies each and fall under the umbrella of S&P BSE factor indices. The changes would be applicable in September, when the rebalancing of the index takes place, according to a circular posted on the BSEs website. As per the new methodology, current index constituents with a float adjusted market capitalisation of at least Rs 16 billion, an annualized traded value of at least Rs 8 billion and turnover ratio of 16 per cent remain eligible for index inclusion provided they meet the other eligibility criteria. In the constituents weighting for S&P BSE Quality Index, each company is weighted by the product of its float-adjusted m-cap and quality score, subject to security and sector constraints.
PTI

PTI

Our Contributor help bring you the latest article around you


Exclusive

View All

Latest News

View All
Share it
Top