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BSE Expands Investment Universe: 4 New Factor Indices for Large-Cap Stocks

The Bombay Stock Exchange's index subsidiary has just launched four new factor indices. These track specific investment styles like momentum and quality within the top 100 large-cap companies. They're designed to help create new ETFs and benchmark investment portfolios. This move gives investors more tools to build diversified strategies.

Key Points: BSE Launches 4 New Factor Indices from BSE 100 Large-Cap TMC Universe

  • BSE Index Services launches four new factor indices from the BSE 100 large-cap TMC universe
  • The indices are Momentum 30, Low Volatility 30, Enhanced Value 30, and Quality 30
  • Indices are reconstituted quarterly and have a base value of 1000 from June 2005
  • New indices enable passive strategies like ETFs and fund benchmarking for investors
3 min read

BSE launches 4 new BSE 100 large-cap TMC universe factor indices

BSE Index Services launches four new factor indices—Momentum, Low Volatility, Enhanced Value, and Quality—based on the BSE 100 large-cap TMC universe.

"Building on the success of factor launches on the BSE 500 universe earlier in the year, we are pleased to expand our factor family... - Ashutosh Singh, MD & CEO, BSE Index Services"

New Delhi, Dec 10

The Bombay Stock Exchange's (BSE) subsidiary BSE Index Service on Wednesday announced the launch of four new factor Indices from the universe of BSE large-cap total market capitalisation (TMC) index with 5 per cent stock level capping.

The newly introduced indices are BSE large-cap 100 momentum 30, BSE large-cap 100 low volatility 30, BSE large-cap 100 enhanced value 30, and BSE large-cap 100 quality 30.

"BSE Index Services Pvt. Ltd., a wholly owned subsidiary of BSE, today announced the launch of 4 new BSE factor indices from the BSE 100 large cap TMC index as the universe with 5 per cent stock level capping," the exchange said in a press release.

These Indices are Reconstituted Quarterly, have a base value of 1000, and the first value date is June 20, 2005, along with the additional screening for the liquidity profile, the release added.

BSE large-cap 100 Momentum 30 will track the performance of the 30 companies in the BSE 100 large-cap TMC that exhibit the most persistence in their relative performance, based on their momentum scores. Constituents are weighted based on their momentum score.

BSE large-cap 100 Low Volatility 30 will measure the performance of the 30 least volatile companies in the BSE 100 large-cap TMC. Constituents are weighted by their inverse volatility.

BSE large-cap 100 Enhanced Value 30 measures the performance of the 30 companies in the BSE 100 large-cap TMC with the most attractive valuations, based on their value scores. Constituents are weighted based on their value score.

BSE large-cap 100 Quality 30 measures the performance of the 30 companies in the BSE 100 large-cap TMC that exhibit the most persistence in their relative performance, based on their momentum scores. Constituents are weighted based on their momentum score.

"Building on the success of factor launches on the BSE 500 universe earlier in the year, we are pleased to expand our factor family with the launch of four new factor indices, this time on the large-cap universe," BSE Index Services Pvt. Ltd MD & CEO Ashutosh Singh said.

"These indices, in the same vein as our BSE 500 universe factor family, will be reset on a quarterly basis with the introduction of an innovative score-based only weighting method," he added.

The index said that these new indices can be used for running passive strategies such as ETFs and Index Funds.

It can also be used for benchmarking of PMS strategies, MF schemes and fund portfolios. Additionally, investors can now access a broader spectrum of market opportunities, further enriching their investment strategies with this latest addition to BSE's suite of indices.

- IANS

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Reader Comments

P
Priyanka N
Finally! We needed more sophisticated benchmarks beyond just Sensex and Nifty 50. Hope mutual funds launch ETFs based on these quickly. The momentum index could be a game-changer for active traders.
R
Rohit P
Sounds complex for the average investor. Will there be proper education from SEBI and AMFI on how to use these factor indices? Otherwise, it's just another product for the financially literate few.
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Sarah B
Interesting development. The quarterly reconstitution is key – keeps the indices dynamic. The enhanced value index could be a good entry point for value investors looking at large caps specifically.
K
Karthik V
Good to see Indian markets maturing. But a small note: the article says the same thing for Momentum 30 and Quality 30 in paragraphs 4 and 7. Might be a typo? Quality should be based on profitability/balance sheet scores, not momentum.
N
Nikhil C
More options are always welcome! This allows for better portfolio construction. Hope the expense ratios on funds tracking these are reasonable. Bhagwan kare yeh retail investors ke liye accha saabit ho. 🙏

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