The NSE site describes Strategy Indices as “designed based on quantitative models/investment strategies to provide a single value for the aggregate performance of a number of companies.” That is close to how we think about “Factor Investing”. A more straightforward way of thinking about factor or quantitative investing is
Factor Investing is about defining a characteristic (also called factor or set of factors), and consistently applying a set of criteria to buy a diversified portfolio of stocks that share that characteristic.
Read our ELI5 explanation of factor investing here in the section titled “What is factor investing?”
This page summarises the performance of the various NSE single-factor indices since their inception.
Nifty Factor Index Calendar Year Performance since inception
Read our detailed comparative analysis of Nifty factor indices to identify the best factor index
Nifty 200 Momentum 30 Index
Nifty200 Momentum 30 Index aims to track the performance of the top 30 companies within the Nifty 200 selected based on their Normalised Momentum Score. The Normalised Momentum Score for each company is determined based on its 6-month and 12-month price return, adjusted for volatility. Stock weights are based on a combination of the stock’s Normalised Momentum Score and its free-float market capitalisation.
Nifty Midcap150 Momentum 50 Index
Nifty Midcap150 Momentum 50 Index aims to track the performance of the top 50 companies within the Nifty Midcap 150 selected based on their Normalised Momentum Score. The Normalised Momentum Score for each company is determined based on its 6-month and 12-month price return, adjusted for volatility. Stock weights are based on a combination of the stock’s Normalised Momentum Score and its free-float market capitalisation.
Nifty200 Quality 30 Index
The Nifty200 Quality 30 index includes the top 30 companies from its parent Nifty 200 index, selected based on their ‘quality’ scores. 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 five years.
Nifty500 Value 50 Index
The Nifty500 Value 50 index consists of 50 companies from its parent Nifty 500 index, selected based on their ‘value’ scores. The value score of each company is determined based on the Earnings to Price ratio (E/P), Book Value to Price ratio (B/P), Sales to Price ratio (S/P) and Dividend Yield.
Nifty 50 Value 20 Index
The Nifty50 Value 20 Index reflects the behaviour and performance of a diversified portfolio of value companies forming a part of the Nifty 50 Index. It consists of the most liquid value blue chip companies. The Nifty50 Value 20 Index comprises 20 National Stock Exchange (NSE) companies. Value companies are generally perceived as companies with low PE (Price to Earning), low PB (Price to Book) and high DY (Dividend Yield).
Nifty100 Low Volatility 30 Index
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 their weights in Nifty100 Low Volatility 30 is based on volatility.
Nifty Low Volatility 50 Index
The index measures the performance of the least volatile securities listed on the NSE. To make the 50 stocks index investible and replicable, criteria such as turnover and market capitalisation are applied when selecting securities. Weights of securities in the index are assigned based on the volatility values. The least volatile security in the index gets the highest weight. To derive the volatility of the securities, the standard deviation of daily price returns (log-normal) for the last year is considered.
Nifty200 Alpha 30 Index
Nifty200 Alpha 30 index 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 each company is determined based on Jensen’s alpha computed using 1-year trailing prices.
Nifty High Beta 50
The index aims to measure the performance of the stocks listed on the NSE with 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. To make the 50 stocks index investible and replicable, criteria such as turnover and market capitalisation are applied when selecting securities. Weights of securities in the index are assigned based on the beta values. Security with the highest Beta in the index gets the highest weight.
Nifty Dividend Opportunities 50
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 50 companies. A key feature of the index is the methodology of selection of stocks, i.e. the method employs a yield-driven selection criterion that aims to maximise yield while providing stability and tradability.
Capitalmind offers portfolios based on the Momentum and Low Volatility factors in our PMS. Talk to us to know more and see if we’re a good fit to grow your wealth long-term.