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.