Nifty 200 Momentum 30 Index
The National Stock Exchange (NSE) offers the Nifty200 Momentum 30, a single factor strategy index that is intended to replicate the performance of strong momentum equities in both the big and mid cap categories. The diversified index consists of thirty equities chosen from the NIFTY 200.By correcting price returns for volatility, the equities' Normalised Momentum Score is calculated. The thirteen economic sectors that these stocks represent are Power, Oil, Gas & Consumable Fuels, Capital Goods, Automotive & Auto Components, Chemicals, Consumer Services, Financial Services, FMCG, Metals & Mining, Telecom, Healthcare, Consumer Durables, and Textiles.
The Nifty200 Momentum 30 index was introduced on August 25, 2020, with a base date of April 1, 2005, and a base value of 1000. The Nifty200 Momentum 30 share price has crossed 17,000 at about 19x P/E multiples since its debut. It is reconstituted every six months.
NSE Indices Limited, formerly India Index Services & Products Limited, is the owner and manager of the Nifty200 Momentum 30 index.The three-tier organization that oversees it is composed of the Index Maintenance Sub-Committee, the Index Advisory Committee, and the Board of Directors of NSE Indices.
This index can help with the launch of index funds, exchange-traded funds, and structured products. AMCs may also utilize it for fund portfolio benchmarking.
Criteria to Select Stocks for Nifty 200 Momentum 30 Index
In order for the companies to be included in the Nifty200 Momentum 30 index, they need to meet certain qualifying requirements:
- The National Stock Exchange will list it.
- It is going to be included in the NIFTY 200 index.
- It must have a year's worth of listing history.
- Based on 6- and 12-month price return data, it will have strong Normalised Momentum Scores.
- Will comprise the securities that can be traded on the derivatives division of the NSE.
- If the securities have traded for at least 12 calendar months prior to the deadline for index reconstitution, they will be included in the list of securities that have undergone schemes of arrangement, such as spin-offs, capital restructurings, and more.
- Securities that are taken out of the NIFTY 200 index will not be included.
- Will inevitably contain the top 15 equities based on Normalised Momentum Scores.
- Will automatically remove stocks that are ranked lower than 45 using Normalised Momentum Scores.
- A buffer based on Normalised Momentum Score ranks is applied to minimize turnover.
Every year in June and December, the Nifty200 Momentum 30 index is reassessed semi-annually using six months of data. When there is a suspension, delisting, or plan of arrangement, ad hoc rebalancing may be done. Every quarter, the Nifty200 Momentum 30 index is also checked for compliance.
How to Calculate Nifty 200 Momentum 30 Index?
The NSE Nifty200 Momentum 30 share price is calculated in real time by factor tilt-weighting its 30 equities using the Normalised Momentum Score. This momentum score is calculated for each firm stock using its weighted average A score, which is based on an equal weighting of its 6-month and 12-month price returns, adjusted for daily price return volatility.
For instance, If the Weight Average A score >=0, then the Normalised Momentum Score = (1+ Weight Average A score).
Or, if the Weight Average A score is less than zero, (1- Weighted Average Z score) ^-1
The weights are capped at 5% or five times the weight of the stock in the index based on float-adjusted market capitalisation and are determined by the Factor Tilt technique. The weights are calculated by multiplying the stock's free float market capitalisation value by its Normalised Momentum Score.
