National Stock Exchange and Nasdaq 100
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  • 1. STOCK INDICESNSE INDIA S&P CNX NIFTY & NASDAQ 100
  • 2. THE S&P CNX NIFTY (NIFTY 50)Source : India Index Services & Products Limited
  • 3. THE S&P CNX NIFTY● The headline index on NSE India Ltd.● 50-stock, float-adjusted, market-capitalization weighted index● 23 diversified sectors of the economy● Captures approximately 67% of the market capitalization
  • 4. THE S&P CNX NIFTY● True reflection of Indias stock market● Reward-to-risk ratio higher than other leading indices● Higher correlations with typical investment portfolios in India
  • 5. SECTOR BREAK-UP● Banks ● Refineries ● Engineering● Software ● Finance ● Pharmaceuticals● Cigarettes ● Automobiles ● Oil Production● Gas ● Construction● Power ● Cement ● Electrical● Steel ● Telecom ● Paints● Diversified ● Mining ● Financial● Aluminium ● Metals
  • 6. ELIGIBILITY CRITERIA
  • 7. IMPACT COST● Impact cost is the cost of executing a transaction in a security in proportion to its index weight, measured by market capitalization at any point in time.● This is the percentage mark up suffered while buying/selling the desired quantity of a security compared to its ideal price, (best buy + best sell)/2.
  • 8. LIQUIDITY (IMPACT COST)● The security should have traded at an average impact cost of of 0.50% or less during the last 6 months, for 90% of the observations, for a basket size of Rs 20m
  • 9. FLOAT-ADJUSTED MARKET CAPITALISATION● The company must have at least twice the float- adjusted market capitalization of the current smallest index constituent.
  • 10. FREE FLOAT● The company should have at least 10% of its stock available to investors (floating stock).● For this purpose, floating stock is stocks which are not held by the promoters and associated entities (where identifiable) of such companies.
  • 11. DOMICILE● The company must be domiciled in India and trade on the NSE.
  • 12. ELIGIBLE SECURITIES● All common shares listed on the NSE (which are of equity and not of a fixed income nature) are eligible for inclusion in the S&P CNX Nifty index.● Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed fixed return are not eligible.
  • 13. OTHER VARIABLES● A company which comes out with an IPO is eligible for inclusion in the index, if it fulfills the normal eligibility criteria for the index, for a 3- month period instead of a 6-month period.
  • 14. CHANGES TO THE INDEX (RANKING REVIEW)
  • 15. ● The index is reviewed semi-annually, and a six-week notice is given to themarket before making any changes to the index constituents.
  • 16. ADDITIONS● The complete list of eligible securities is compiled based on the float-adjusted market capitalization criteria.● After that, the liquidity (impact cost) and float- adjustment filters are applied to them, respectively.
  • 17. ADDITIONS● The top ranking companies form the replacement pool.● The top stocks, in terms of size (float-adjusted market capitalization) are then identified for inclusion in the index from the replacement pool.
  • 18. DELETIONS● Stocks may be deleted due to mergers, acquisitions or spin-offs.● If this newly constructed list warrants changes in the existing constituent list, then the smallest existing constituents are dropped in favor of the new additions.
  • 19. INDEX CALCULATION FORMULAE
  • 20. In = (I0 x MCn) / MC0
  • 21. MCn Float-adjusted index marketcapitalization as of current date
  • 22. MCn = NΣk Pk x Qk
  • 23. QkNumber of float adjusted shares outstanding of the kth issue as of the current date
  • 24. Pk Security price of the kthissue as of the current date
  • 25. NTotal number of component securities used in the index calculation
  • 26. MCn = NΣk Pk x Qk
  • 27. I0Index value of initial date Base Index Value 1000
  • 28. InIndex value of current date
  • 29. MC0Base Index market capitalization ofRs 2.06tr as on November 3, 1995
  • 30. In = (I0 x MCn) / MC0
  • 31. NASDAQ - 100 Source : Nasdaq
  • 32. NASDAQ - 100● Includes 100 of the largest domestic and international non-financial securities listed on The Nasdaq Stock Market based on market capitalization.
  • 33. NASDAQ - 100● Reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
  • 34. NASDAQ - 100● Does not contain securities of financial companies including investment companies.
  • 35. NASDAQ - 100● Calculated under a modified capitalization- weighted methodology, expected to retain in general the economic attributes of capitalization-weighting while providing enhanced diversification.
  • 36. NASDAQ - 100● Reviewed on a quarterly basis, with the adjustment of weights of index components made using a proprietary algorithm.
  • 37. ELIGIBILITY CRITERIA
  • 38. INITIAL INCLUSION● The security’s U.S. listing must be exclusively on the Nasdaq National Market (unless the security was dually listed on another U.S. market prior to January 1, 2004 and has continuously maintained such listing)● The security must be of a non-financial company
  • 39. INITIAL INCLUSION● The security may not be issued by an issuer currently in bankruptcy proceedings● The security must have average daily trading volume of at least 200,000 shares
  • 40. INITIAL INCLUSION● Only one class of security per issuer is allowed● The issuer of the security may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible
  • 41. INITIAL INCLUSION● The issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn● The issuer of the security must have "seasoned" on NASDAQ or another recognized market (it has been listed on a market for at least two years)
  • 42. INITIAL INCLUSION● If the security would otherwise qualify to be in the top 25% of the securities included in the Index by market capitalization for the six prior consecutive month-ends, then a one-year "seasoning" criterion would apply.
  • 43. CONTINUED INCLUSION● The security’s U.S. listing must be exclusively on the Nasdaq National Market (unless the security was dually listed on another U.S. market prior to January 1, 2004 and has continuously maintained such listing)
  • 44. CONTINUED INCLUSION● The security must be of a non-financial company● The security may not be issued by an issuer currently in bankruptcy proceedings● The security must have average daily trading volume of at least 200,000 shares (measured annually during the ranking review process)
  • 45. CONTINUED INCLUSION● If the issuer of the security is organized under the laws of a jurisdiction outside the U.S., then such security must have listed options on a recognized options market in the U.S. or be eligible for listed-options trading on a recognized options market in the U.S. (measured annually during the ranking review process)
  • 46. CONTINUED INCLUSION● The security must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate adjusted market capitalization of the Index at each month-end.● In the event a company does not meet this criterion for two consecutive month-ends, it will be removed from the Index effective after the close of trading on the third Friday of the following month
  • 47. CONTINUED INCLUSION● The issuer of the security may not have annual financial statements with an audit opinion that is currently withdrawn.● In administering the Index, Nasdaq will exercise reasonable discretion as it deems appropriate
  • 48. CHANGES TO THE INDEX (RANKING REVIEW)
  • 49. RANKING REVIEW● Reviewed on an annual basis● Securities which meet the applicable eligibility criteria are ranked by market value● Securities already in the index and ranked within top 100 are retained● Securities ranked 101-125 that were in top 100 in previous ranking review are also retained● Any other securities are replaced
  • 50. RANKING REVIEW● Additions and Deletions publicly announced via press release in December● Any security ineligible for continued exclusion during the year will be replaced with the largest market capitalization security, not in the index but meeting eligibility criteria
  • 51. INDEX CALCULATION FORMULAE
  • 52. I = MCagg / D
  • 53. MCagg = NΣk Sk x Pk
  • 54. MCaggAggregate Market value
  • 55. SkIndex Share weight of Security k
  • 56. PkLast Sale Price of Security k
  • 57. MCagg = NΣk Sk x Pk
  • 58. D = ( MCf /MCi ) x DiAppropriated Index Divisor
  • 59. MCfMarket value after adjustments
  • 60. MCiMarket value before adjustments
  • 61. DiDivisor before adjustments
  • 62. D = ( MCf /MCi ) x DiAppropriated Index Divisor
  • 63. I = MCagg / D
  • 64. THANK YOU