IISL Launches 4 Multi-Factor Equity Indices - Indices Provide Diversified Factor-Exposure With Varied Risk-Return Profile

India Index Services & Products Limited (IISL), an NSE group company, has today launched 4 multi-factor equity indices in its continuous efforts to expand the suite of indices for the Indian capital market. These indices are:

1. NIFTY Alpha Low-Volatility 30
2. NIFTY Quality Low-Volatility 30
3. NIFTY Alpha Quality Low-Volatility 30
4. NIFTY Alpha Quality Value Low-Volatility 30

NIFTY Multi-Factor Indices are designed to reflect the performance of portfolio of stocks that are selected based on combination of 2 or more factors selected from 4 single-factors namely, Alpha Quality, Value, and Low-Volatility. Stock selection and stock weights in the indices are based on composite factor scores resulting in portfolio capturing the essence of underlying factor dynamics. These indices intend to counter the cyclicality of single-factor index strategies and provide investors a choice to take exposure to multiple factors through a single index product. Multifactor indices tend to exhibit lower cyclicality and better portfolio diversification as compared to traditional market capitalization and single factor indices.

Mukesh Agarwal, CEO – IISL, said, “Investments where stocks are screened based on multiple factors have gained popularity among global investment community. By combing the well- established factors used in active investment and rules based frame work of passive investment, multi-factor indices tend to have better risk return characteristics compared to traditional market capitalization and single-factor based index strategies over longer time frame.”

The index series will be calculated on an end-of-day basis. It is expected to provide an alternative for benchmarking and creation of passive products (ETFs) for investors seeking to take exposure to desired combinations of various factors with lower cyclicality and better portfolio diversification.

The base date for these four indices is April 01, 2005 with a base value of 1000. The index composition will be reconstituted semi-annually, where the selection and the weights of the constituents will be based on designated factors considered for the respective index.

All NIFTY indices follow a well-defined, market relevant and rules-based framework that helps IISL provide transparent, replicable and market representative indices. IISL equity indices comprises of broad-based benchmark indices, sectoral indices, strategy indices, thematic indices and customized indices. IISL also maintains fixed income indices based on Government of India securities, corporate bonds and money market instruments.