Methodology SP Bse Indices
Methodology SP Bse Indices
Methodology SP Bse Indices
Methodology
July 2018
Asia Index Private Limited: Index Methodology
Table of Contents
Introduction 3
Partnership 3
Index Objectives, Highlights, and Index Family 3
Supporting Documents 5
Eligibility Criteria and Index Construction 6
Approaches 6
Multiple Share Classes 6
Data Points 7
S&P BSE SENSEX 8
S&P BSE SENSEX Futures Index 9
S&P BSE Arbitrage Rate Index 11
S&P BSE SENSEX 2X Leverage Daily Index 12
S&P BSE SENSEX Inverse Daily Indices 13
S&P BSE 100 14
S&P BSE SENSEX 50 16
S&P BSE SENSEX Next 50 17
S&P BSE 100 LargeCap TMC 18
S&P BSE SENSEX 50 TMC and S&P BSE SENSEX Next 50 TMC 19
S&P BSE 200 21
S&P BSE 500 22
S&P BSE 150 Midcap 23
S&P BSE 250 Smallcap 24
S&P BSE 250 LargeMidcap 25
S&P BSE 400 MidSmallcap 26
S&P BSE 250 LargeMidcap, 65:35 27
S&P BSE PSU 28
S&P BSE CPSE 29
S&P BSE Bharat 22 Index 30
S&P BSE IPO 31
S&P BSE SME IPO 32
S&P BSE DOLLEX Indices 33
S&P BSE Sector Indices 34
S&P BSE Realized Volatility Indices 35
On February 19, 2013, S&P Dow Jones Indices and the BSE Ltd. (formerly Bombay Stock Exchange
(“BSE”) announced their strategic partnership to calculate, disseminate, and license the widely followed
BSE suite of indices.
The S&P BSE family of indices measures the performance of BSE listed companies across various sizes,
industries, themes, and strategies. Each index is designed to represent a certain segment of the Indian
equities market.
Broad-based. The Broad-based indices act as market indicators for the Indian stock market, covering
large-cap, mid-cap, and small-cap companies. Broad-based indices include the following:
S&P BSE SENSEX. The index serves as both a benchmark and an investable index and is
comprised of 30 large, well-established and financially sound companies across key sectors. It is
the oldest index in the country.
S&P BSE 100. The index measures the performance of 100 of the largest and most liquid Indian
companies within the S&P BSE LargeMidCap.1
S&P BSE SENSEX 50. The index measures the performance of 50 of the largest and most liquid
companies within S&P BSE 100.
S&P BSE SENSEX Next 50. The index measures the performance of the 50 companies within
S&P BSE 100 that are not members of the S&P BSE SENSEX 50.
S&P BSE SENSEX 50 TMC. The index measures the performance of 50 of the largest and most
liquid companies within the S&P BSE 500, as selected by total market capitalization.
S&P BSE SENSEX Next 50 TMC. The index measures the performance of 50 of the largest and
most liquid companies within the S&P BSE 500, as selected by total market capitalization, that
are not members of the S&P BSE SENSEX 50 TMC.
S&P BSE 200. The index measures the performance of 200 of the largest and most liquid
companies within the S&P BSE 500.
S&P BSE 500. The index is designed to be a broad representation of the Indian capital market.
The following indices are intended to represent market capitalization size segments within the Indian
market while considering the requirements outlined by SEBI.2
S&P BSE 100 LargeCap TMC. The index measures the performance of 100 of the largest and
most liquid companies within the S&P BSE 500, as selected by total market capitalization
S&P BSE 150 Midcap. The index measures the performance of 150 midcap companies, by total
market capitalization, subject to buffers, in the S&P BSE 500 but not in the S&P BSE 100.
1
For more information on the eligibility, construction and maintenance of the S&P BSE LargeMidCap, please refer to the S&P BSE
AllCap Methodology document, available at www.spdji.com.
2
Based on SEBI Circular “Categorization and Rationalization of Mutual Fund Schemes” dated October 6, 2017
(http://www.sebi.gov.in/legal/circulars/oct-2017/categorization-and-rationalization-of-mutual-fund-schemes_36199.html).
Strategy.
S&P BSE IPO. The index tracks the performance of stocks listed via initial public offerings
(IPOs), over a one-year period from its listing date.
S&P BSE SME IPO. The Index tracks the performance of Small and Medium Enterprises
(SMEs) listed via IPOs on BSE’s SME Platform, over a one-year period from its listing date.
S&P BSE DOLLEX Indices.
o The S&P BSE DOLLEX 30 is a U.S. dollar linked version of S&P BSE SENSEX.
o The S&P BSE DOLLEX 100 is a U.S. dollar linked version of the S&P BSE 100.
o The S&P BSE DOLLEX 200 is a U.S. dollar linked version of the S&P BSE 200.
S&P BSE SENSEX Futures Index. The index models the returns realized through an
investment in the near-month futures contract on the S&P BSE SENSEX.
S&P BSE Arbitrage Rate Index. The index is an index of indices that consists of a position with
a 100% long index weight in the S&P BSE SENSEX Total Return Index and a 100% short index
weight in the S&P BSE SENSEX Futures Excess Return Index.
S&P BSE SENSEX 2X Leverage Daily Index. The index generates a multiple of the underlying
index return, minus the cost of borrowing capital to generate excess index exposure. The S&P
Asia Index Private Limited: S&P BSE Indices Methodology 4
BSE SENSEX 2X Leverage Daily Index reflects 200% of the return of the S&P BSE SENSEX,
including dividends and price movements.
S&P BSE SENSEX Inverse Daily Indices.
o The S&P BSE SENSEX 1X Inverse Daily Index provides inverse returns of the S&P BSE
SENSEX.
o The S&P BSE SENSEX 2X Inverse Daily Index provides two times the inverse
performance of the S&P BSE SENSEX.
Sectors. The Sector indices are equity benchmarks for BSE traded securities in several broadly defined
economic sectors. The indices include companies in the S&P BSE 500 that represent nine sectors of the
economy and contain a minimum of 10 companies per index. Sector indices include the following:
S&P BSE AUTO S&P BSE CAPITAL GOODS
S&P BSE OIL & GAS S&P BSE CONSUMER DURABLES
S&P BSE METAL S&P BSE REALTY
S&P BSE BANKEX S&P BSE TECK
S&P BSE POWER
Realized Volatility. Realized Volatility indices measure the historic volatility of the S&P BSE SENSEX
over fixed 1, 2, and 3 month time horizons, which are synchronized with BSE’s 1, 2, and 3 month futures
and options expiration cycles.
S&P BSE REALVOL-1MTH S&P BSE REALVOL-3MTH
S&P BSE REALVOL-2MTH
Supporting Documents
This methodology is meant to be read in conjunction with supporting documents providing greater detail
with respect to the policies, procedures and calculations described herein. References throughout the
methodology direct the reader to the relevant supporting document for further information on a specific
topic. The list of the main supplemental documents for this methodology and the hyperlinks to those
documents is as follows:
The methodology is created by S&P Dow Jones Indices to achieve the aforementioned objective of
measuring the underlying interest of each index governed by this methodology document. Any changes to
or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones
Indices so that the index continues to achieve its objective.
The S&P BSE 250 LargeMidcap, 65:35 and S&P BSE Arbitrage Rate Index employ a weighted return
scheme.
For more information on weighting schemes, please refer to S&P Dow Jones Indices’ Index Mathematics
Methodology document.
Asia Index Private Limited believes turnover in index membership should be avoided when possible. At
times, a company may appear to temporarily violate one or more of the addition criteria. However, the
addition criteria are for addition to an index, not for continued membership. As a result, an index
constituent that appears to violate criteria for addition to that index will not be deleted unless ongoing
conditions warrant an index change.
3
Effective with the June 2015 rebalancing.
Data Points
For stocks, which have undergone a scheme of arrangement for corporate events such as spin-offs,
capital restructurings, etc., data from the scheme’s effective date up to reference date is considered for
average free float market capitalization, average total market capitalization, and annualized traded value,
wherever applicable.
Eligible Universe. The index is derived from the constituents of the S&P BSE 100. The inclusion of
DVRs in the index will result in more than 30 stocks in the index. However, the number of companies in
the index remains fixed at 30. Stocks in the eligible universe must satisfy the following eligibility factors in
order to be considered for index inclusion:
Listing History. Stocks must have a listing history of at least six months at BSE.
Trading Days. The stock must have traded on every trading day at BSE during the six month
reference period.
Revenue. Eligible companies must have reported revenue in the last four quarters.
Multiple Share Classes. DVRs satisfying the above eligibility criteria are aggregated with the
company’s common stock and index construction is done based on the aggregated company
data as detailed below.
Index Construction.
1. All companies meeting the eligibility factors are ranked based on their average six month float-
adjusted market capitalization. The top 75 are identified.
2. All companies meeting the eligibility factors are ranked again based on their average six month
total market capitalization. The top 75 are identified.
3. All companies identified based on steps 1 and 2 are then combined and sorted based on their
average six month value traded. Companies with a cumulative value traded greater than 98% are
excluded.
4. The remaining companies are then sorted by average six-month float-adjusted market
capitalization. Companies with a weight of less than 0.5% are excluded.
5. All remaining companies are classified by sector and then sorted in descending order of rank by
average six month float-adjusted market capitalization. These companies make up the
replacement pool, to be included in the index if an existing constituent is removed.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Underlying Index. The underlying index for the futures contract is the S&P BSE SENSEX. The futures
contract is traded on BSE Ltd. under the symbol ‘BSX’.
Futures Roll. The index includes a provision for the replacement of the index futures contract as it
approaches maturity (also referred to as “rolling” or “the roll”). This replacement occurs over a one-day
rolling period every month, which is one business day prior to the expiration of the futures contract.
The near-month futures contract expires on the last Thursday of each month. In case the last Thursday is
a holiday, it expires on the immediately preceding business day.
Calculation of the Excess Return Index. The excess return is calculated from the price change of the
underlying futures contract. On any trading date, t, the level is calculated as follows:
where:
ERIt = Excess return index level on business day t.
ERIt-1 = Excess return index level on business day t-1.
IERt = Index excess return on business day t, defined as follows:
𝐷𝐶𝑅𝑃𝑡
𝐼𝐸𝑅𝑡 = −1
𝐷𝐶𝑅𝑃𝑡−1
where:
DCRPt = Daily contract reference price of the futures contract on business day t.
DCRPt-1 = Daily contract reference price of the futures contract on business day t-1.
The daily contract reference price is the official close, as designated by the BSE Ltd.
Calculation of the Total Return Index. For a funded investment, the total return between business days
t-1 and t includes the risk free return for the initial cash outlay.
where:
TRIt = Total return index level on business day t.
TRIt-1 = Total return index level on business day t-1.
TRt = Total return on business day t, defined as follows:
where:
IERt = Index excess return on business day t.
RFRt = Risk free rate on business day t.
∆𝑡
𝑅𝐹𝑅𝑡 = 𝑀𝐼𝐵𝑂𝑅𝑡−1 ×
365
where:
MIBORt-1 = One month MIBOR on business day t-1.
∆t = Number of calendar days between business day t and business day t-1.
Note: Effective after the close on April 15, 2015, the risk free rate calculation is based on a 365-day year
convention. Prior to this, it was based on a 360-day year convention.
Underlying Indices. S&P BSE SENSEX Total Return Index and S&P BSE SENSEX Futures Excess
Return Index.
Index Calculation. On the trading date, t, the index is calculated as follows using the component indices
as detailed above.
where:
Rebalancing. The index is rebalanced monthly, effective after the close one business day prior to the
expiration of the futures contract. The near-month futures contract expires on the last Thursday of each
month. If the last Thursday is a holiday, the contract expires on the immediately preceding business day.
At each rebalancing, the weights of the underlying indices are reset to the weights above.
Index Maintenance. All index adjustments and corporate action treatments follow the rules of the S&P
BSE SENSEX.
Daily Index Returns. The daily return for the S&P BSE SENSEX 2X Leverage Daily Index consists of
the return on the total position in the underlying index, the S&P BSE SENSEX, less the borrowing costs
for leverage.
𝑈𝐼𝑇𝑅𝑡 𝐵𝑅𝑡−1
𝐿𝐼𝑅𝑡 = 𝐾 × ( − 1) − (𝐾 − 1) × ( ) × 𝐷𝑡,𝑡−1
𝑈𝐼𝑇𝑅𝑡−1 365
where:
LIRt = Leveraged index return at time t.
K (K ≥ 1) = Leverage ratio.
K = 2, Exposure = 200%.
UITRt = Underlying index total return value at time t.
UITRt-1 = Underlying index total return value at time t-1.
BRt-1 = Borrowing rate (overnight MIBOR) at time t-1.
Dt,t-1 = Number of calendar days between date t and t-1.
In the equation above, the borrowing rate is applied to the leveraged index return to account for the cost
of capital of the funds borrowed to generate leverage.
Daily Index Values. Leveraged index values are calculated each day by applying the current day’s
leveraged index return to the previous day’s leveraged index value, as follows:
where:
LIVt = Leveraged index value at time t.
LIVt-1 = Leveraged index value at time t-1.
LIRt = Leveraged index return at time t.
The leveraged position is rebalanced daily. This is consistent with the payoff from futures based
replication.
Daily Index Returns. The calculation follows the same general approach as the S&P BSE SENSEX 2X
Leverage Daily Index with certain adjustments as follows:
1. The return on the underlying index, the S&P BSE SENSEX, is reversed and is based on the total
return of the underlying index so that dividends and price movements are included.
2. While the costs of borrowing the securities are not included, there is an adjustment to reflect the
interest earned on both the initial investment and the proceeds from selling short the securities in
the underlying index. These assumptions reflect normal industry practice.
𝑈𝐼𝑇𝑅𝑡 𝐿𝑅𝑡−1
𝐼𝐼𝑅𝑡 = −𝐾 × ( − 1) + (𝐾 + 1) × ( ) × 𝐷𝑡,𝑡−1
𝑈𝐼𝑇𝑅𝑡−1 365
where:
IIRt = Inverse index return at time t.
K (K ≥ 1) = Leverage ratio.
K = 1, Exposure = -100%.
K = 2, Exposure = -200%.
UITRt = Underlying index total return value at time t.
UITRt-1 = Underlying index total return value at time t-1.
LRt-1 = Lending rate (overnight MIBOR) at time t-1.
Dt,t-1 = Number of calendar days between date t and t-1.
In the equation above, the first right hand side term represents the total return on the underlying index
and the second right hand side term represents the interest earned on the initial investment and the
shorting proceeds.
Daily Index Values. Inverse index values are calculated each day by applying the current day’s inverse
index return to the previous day’s inverse index value, as follows:
where:
IIVt = Inverse index value at time t.
IIVt-1 = Inverse index value at time t-1.
IIRt = Inverse index return at time t.
The inverse position is rebalanced daily. This is consistent with the payoff from futures based replication.
Eligible Universe. The index is derived from the constituents of the S&P BSE LargeMidCap.4 The
inclusion of DVRs in the index will result in more than 100 stocks in the index. However, the number of
companies in the index remains fixed at 100.
Index Construction. The following company data points are calculated for each eligible company:
1. Average daily float-adjusted market capitalization
2. Annualized traded value
3. Number of non-trading days
These are calculated based on an observation period defined as the prior six-month period, as of the
rebalancing reference date. If a stock’s listing history is less than six months, as of the rebalancing
reference date, all data used in the eligible universe screening and index construction process are from
the listing date.
Where a company has multiple share classes, the eligible share classes are combined to measure the
company’s data point 1. Data points 2-3 are measured independently for each of the eligible share
classes.
Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the observation period. The annualization is calculated using 250 trading days in a year.
4
For more information on the eligibility, construction, and maintenance of the S&P BSE LargeMidCap, please refer to the S&P BSE
AllCap Methodology document, available at www.spdji.com.
In addition, the constituent selection process of the S&P BSE 100 also takes into account the derivative
market linkage constraints of the S&P BSE SENSEX 50 and S&P BSE SENSEX Next 50 as detailed in
the following pages. The selection process based on derivative market linkage is repeated until the
criteria for all three indices are met.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Eligible Universe. The index is derived from the constituents of the S&P BSE 100. In order to be eligible
for index inclusion, the constituent must be linked to derivative trading (i.e. have a derivative contract).
Index Construction. All eligible companies are ranked based on average daily float-adjusted market
capitalization. The top 40 companies (whether a current constituent or not) are selected for index
inclusion. Existing constituents ranked 41 – 60 are selected in order of highest rank until the target
constituent count of 50 is reached. If after this step the target constituent count is not achieved, then non-
constituents are selected in order of highest rank until the target constituent count is reached.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Eligible Universe. The index is derived from the constituents of the S&P BSE 100 that are not members
of the S&P BSE SENSEX 50.
Index Construction. All constituents of the S&P BSE 100 that are not members of the S&P BSE
SENSEX 50 are selected and form the index, subject to the following derivative market linkage
constraints:
The individual float-adjusted weight of any share class of a company not linked to derivatives
trading cannot exceed 5% of the index.
The aggregate float-adjusted weight of the index constituents not linked to derivatives trading
cannot exceed 20%.
If any of the above derivative market linkage constraints are violated, the lowest-ranked company not
linked to derivatives trading is removed and replaced with the highest-ranked eligible company linked to
derivatives trading. This process is repeated until the aggregate weight of the index constituents not
linked to derivatives trading no longer violates the constraints outlined above.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Eligible Universe. The index is derived from constituents of the S&P BSE 500.5 The inclusion of DVRs
in the index will result in more than 100 stocks in the index. However, the number of companies in the
index remains fixed at 100.
Index Construction.
1. Eligible companies must satisfy the following criteria for inclusion into the index.
a. Have no more than five non-trading days6 in the past six months, as of the rebalancing
reference date. When a company has multiple share classes non-trading days are
measured independently for each of the eligible share classes.
b. Have an annualized traded value6 greater than or equal to INR 10 billion (INR 8 billion for
current constituents). Annualized traded value is calculated by taking the median of the
monthly medians of the daily traded values over the six-month observation period. The
annualization is calculated using 250 trading days in a year. When a company has
multiple share classes annualized traded value is measured independently for each of
the eligible share classes.
2. Companies satisfying the criteria in step 1 are ranked based on average daily total market
capitalization over the prior six-month period. When a company has multiple share classes, total
market capitalization is assessed at company level. The top 80 companies are included in the
index. Existing constituents ranked 81–120 are selected, by order of highest rank, until the target
constituent count of 100 is reached. If after this step the target count is not achieved, non-
constituents are selected in order of highest rank until the target count is reached.
3. The following derivative market linkage constraints are also taken into account.6
a. The individual float weight of any share class of a company not linked to derivatives
trading cannot exceed 5% of the index.
b. The aggregate float weight of the stocks in the index not linked to derivatives trading
cannot exceed 10% of the index
If any of the above derivative market linkage rules are violated, the lowest-ranked stock
not linked to derivatives is replaced by the next eligible stock linked to derivatives, based
on the rank derived in step 2.
If a stock’s listing history is less than six months, as of the rebalancing reference date, all data used in the
index construction process is assessed from the listing date. In addition, stocks that have undergone a
scheme of arrangement for corporate events such as spin-offs or capital restructurings, use the available
data from the scheme’s effective date until the reference date.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
5
Prior to the June 2018 rebalancing, only companies with a listing history of at least six months have been eligible for constituent
selection.
6
These rules only became applicable starting from the December 2011 rebalancing forward.
Eligible Universe. The indices are derived from constituents of the S&P BSE 500 7 by forming a
‘Selection Universe’, as detailed below:
1. Calculate the following company data points, based on an observation period defined as the prior
six-month period as of the rebalancing reference date, for each eligible company in the Eligible
Universe:
a. Average daily total market capitalization
b. Annualized traded value8
c. Number of non-trading days98
If a stock’s listing history is less than six months, as of the rebalancing reference date, all data used in the
eligible universe screening and index construction process are from the listing date.
Where a company has multiple share classes, the eligible share classes are combined to calculate
company data point a. Company data points b and c are measured independently for each of the eligible
share classes.
Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the observation period. The annualization is calculated using 250 trading days in a year.
2. Eligible companies must satisfy the following criteria for inclusion into the Selection Universe.
a. Have an annualized traded value greater than or equal to INR 10 billion (INR 8 billion for
current constituents).
b. Have no more than five non-trading days in the past six months, as of the rebalancing
reference date.
3. Companies satisfying the criteria in step 2 are ranked based on average daily total market
capitalization. The top 80 companies are included in the Selection Universe. Existing constituents
from the two indices ranked 81–120 are selected, by order of highest rank, until the target count
of 100 is reached. If after this step the target count is not achieved, non-constituents are selected
in order of highest rank until the target count is reached.
4. The following derivative market linkage constraints are also taken into account:8
a. The individual float weight of any share class of a company not linked to derivatives
trading cannot exceed 5% of the ‘Selection Universe’.
b. The aggregate float weight of the stocks in the ‘Selection Universe’ not linked to
derivatives trading cannot exceed 10% of the ‘Selection Universe’
If any of the above derivative market linkage rules are violated, the lowest-ranked stock not linked to
derivatives is replaced by the next eligible stock from the ‘Selection Universe’ linked to derivatives, based
on the rank derived in step 3.
In addition, the selection process also takes into account the derivative market linkage constraints of the
S&P BSE SENSEX 50 TMC as detailed in the following pages. The selection process based on derivative
market linkage is repeated until all the criteria are met.
7
Prior to the June 2018 rebalancing, only companies with a listing history of six months or more were eligible for constituent
selection.
8
These rules only became applicable starting from the December 2011 rebalancing forward.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index will result in more than 200 stocks in the index. However, the number of companies in
the index remains fixed at 200.
Index Construction. The following company data points are calculated for each eligible company:
1. Average daily total market capitalization
2. Annualized traded value
3. Number of non-trading days
These are calculated based on an observation period defined as the prior six-month period, as of the
rebalancing reference date. If a stock’s listing history is less than six months, as of the rebalancing
reference date, all data used in the eligible universe screening and index construction process are from
the listing date.
Where a company has multiple share classes, the eligible share classes are combined to measure the
company’s data point 1. Data points 2-3 are measured independently for each of the eligible share
classes.
Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the observation period. The annualization is calculated using 250 trading days in a year.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Eligible Universe. The index is derived from the constituents of the S&P BSE AllCap. 9 The inclusion of
DVRs in the index will result in more than 500 stocks in the index. However, the number of companies in
the index remains fixed at 500.
Index Construction. The following company data points are calculated for each eligible company:
1. Average daily total market capitalization
2. Annualized traded value
3. Trading frequency
These are calculated based on an observation period defined as the prior six-month period, as of the
rebalancing reference date. If a stock’s listing history is less than six months, as of the rebalancing
reference date, all data used in the eligible universe screening and index construction process are from
the listing date.
Where a company has multiple share classes, the eligible share classes are combined to measure the
company’s data point 1. Data points 2-3 are measured independently for each of the eligible share
classes.
Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the observation period. The annualization is calculated using 250 trading days in a year.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
9
For information on the S&P BSE AllCap, please refer to the S&P BSE AllCap Methodology available at www.spdji.com.
Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 150 stocks in the index. However, the number of companies in
the index remains fixed at 150. Where a company has multiple share classes, the eligible share classes
are combined to measure the company’s market capitalization
Index Construction. All the companies in the S&P BSE 500 that are not part of the S&P BSE 100 are
ranked based on average six month daily total market capitalization.10 From the remaining universe of
400 stocks, the top 120 companies (whether a current constituent or not) are selected for index inclusion.
Existing constituents ranked 121 – 180 are selected in order of highest rank until the target constituent
count of 150 is reached. If after this step the target constituent count is not achieved, then non-
constituents are selected in order of highest rank until the target constituent count is reached.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
10
For history prior to May 29, 2017, full rebalancings were conducted at both the scheduled rebalancing and ad-hoc rebalancing,
driven by additions/deletions due to corporate actions. The companies were selected based on total market capitalization as of the
open of the rebalancing effective date. In addition, no buffers were applied during that period.
Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 250 stocks in the index. However, the number of companies in
the index remains fixed at 250.
Index Construction. All constituents of the S&P BSE 500 that are not members of the S&P BSE 100
and S&P BSE 150 Midcap are selected and form the index.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.11
11
For history prior to May 29, 2017, full rebalancings were conducted at both the scheduled rebalancing and ad-hoc rebalancing,
driven by additions/deletions due to corporate actions. The companies were selected based on total market capitalization as of the
open of the rebalancing effective date. In addition, no buffers were applied during that period.
Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 250 stocks in the index. However, the number of companies in
the index remains fixed at 250.
Index Construction. All constituents of the S&P BSE 100 and S&P BSE 150 Midcap together form the
index.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 400 stocks in the index. However, the number of companies in
the index remains fixed at 400.
Index Construction. All constituents of the S&P BSE 500 that are not members of the S&P BSE 100
form the index.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Underlying Indices. S&P BSE 100 and S&P BSE 150 MidCap.
Index Eligibility. All constituents of the underlying indices are eligible for index inclusion.
On any trading date, t, the index is calculated as follows using the component indices as detailed on the
prior pages:
where:
Rebalancing. The index is rebalanced quarterly, effective after the close of the third Friday of March,
June, September and December. At each rebalancing, the weights of the underlying indices are reset to
65% and 35% of the total index weight.
Index Maintenance. All index adjustments and corporate action treatments follow the underlying index.
Eligible Universe. S&P BSE 500 companies classified as a PSU are eligible for the index. For purposes
of index eligibility, PSU12 refers to any undertaking where 51% or more of the company is held by the
Central Government, State Government, or jointly by the Central Government and one or more State
Governments.
Index Construction. Companies classified under the category “PSU” and are part of S&P BSE 500 after
the review form the index.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
12
For more details on PSUs, please refer to https://archive.india.gov.in/spotlight/spotlight_archive.php?id=78.
Eligible Universe. All the companies classified as CPSE by the Ministry of Public Sector Enterprises are
eligible for the index. CPSE refers to any public sector undertaking where the Central Government or any
other CPSE holding is equal to or greater than 51%. Public Sector Banks are not classified as CPSE.
CPSE companies with the following characteristics are not eligible for index inclusion:
1. Companies classified in Z group by BSE.
2. Companies traded under a permitted category at BSE.
3. Companies objected by the Surveillance Department of BSE.
4. Companies identified on the Graded Surveillance Measure (GSM) list.13 In addition, a company
dropped due to inclusion on the GSM list must remain off the list for six consecutive months prior
to the rebalancing reference date to be reconsidered for index inclusion.
5. Companies traded on the BSE’s SME platform.
6. Companies suspended, as of the rebalancing reference date.
Index Construction. Companies classified as “CPSE” by the Ministry of Public Sector Enterprise and
listed on BSE Ltd. form the index.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Deletions. Any company added to the GSM list will be dropped from the index effective at the open of
Tuesday, following the first Monday of every month. The reference date for the list is the third Friday of
every month.
13
For more details please refer to https://www.bseindia.com/markets/equity/EQReports/graded_surveil_measure.aspx?expandable=6.
Eligible Universe. The following companies listed on the BSE Ltd. are eligible for index inclusion:
1. All companies classified as Central Public Sector Enterprises (CPSE) by the Government of
India.
2. All companies classified as Specific Undertaking of the Unit Trust of India (SUUTI).
3. All Public Sector Undertaking (PSU) Banks.
4. All other companies disinvested by the Government of India.
Index Construction. The Government of India publishes a list 14 of certain stocks from the eligible
universe, all of which are under the disinvestment program. These stocks are selected and form the
index.
Constituent Weightings. The index employs a non-market capitalization weighting scheme, using the
divisor methodology used in S&P Dow Jones Indices’ equity indices. The weight of each individual stock
is capped at 15% and each BSE sector is capped at 20% of the index. Individual stock and sector weight
caps are applied during the annual March rebalancing.
Additions and Deletions. Additions and deletions to the index occur only where the Government of
India notifies the public of a change in government holdings on their website.10 Changes to the index will
be made within a reasonable time frame, subject to five business days advance notice. In addition to the
annual March rebalancing, any addition to or deletion from the index will trigger an ad-hoc rebalancing to
reweight all individual stock and sector caps. For any ad-hoc rebalancing, constituents’ index shares are
calculated using closing prices seven business days prior to the rebalancing date.
Please refer to the Corporate Action table in Index Maintenance for details on how spin-off additions are
treated.
14
For the publicly available list of constituent stocks at launch, please refer to
http://pib.nic.in/newsite/PrintRelease.aspx?relid=169636. For notice of changes to the Government of India’s disinvestment
program, please refer to http://pib.nic.in/newsite/erelease.aspx.
Eligible Universe. Companies listed on BSE after the completion of their IPO are considered eligible for
inclusion in the index. Follow-on public issues are not eligible for inclusion.
Index Construction. A company must have minimum float-adjusted market capitalization of INR 1 billion
on the first day of listing.
A company is included in the index on the third day of listing subject to the fulfillment of the minimum
float-adjusted market capitalization criteria.
A company is excluded from the index at the open of the Monday following the third Friday of the month
after the completion of one year of listing.
If there are less than 10 companies due to a possible exclusion after one year, the exclusion of the
company is delayed until a new inclusion is made to the index
Constituent Weightings. The index is weighted by float-adjusted market capitalization, subject to a 20%
stock capping. Weights are updated at each monthly rebalancing.
Eligible Universe. Companies listed on the BSE post- IPO are considered eligible for inclusion in the
index. Follow-on public issues are considered ineligible for inclusion.
Index Construction. At each rebalancing, the constituents of the eligible universe are selected and form
the index, subject to the following:
A company is included in the index on the second day of its listing.
A company is excluded from the index at the open of the Monday following the third Friday of the
month after completion of one year of listing on the BSE SME Platform.
A company that migrates from the BSE SME Platform to the BSE Mainboard Platform is removed
from the index on the effective date of the migration, even if the migration occurs before the
completion of one year of listing.
A minimum of 10 companies are maintained in the index at all times.
If the removal of a company due to violation of the one-year listing rule would result in fewer than the
minimum 10 companies the exclusion is delayed until a new company is included in the index. 15
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
15
The index calculation started with five constituents for its base composition in back testing.
Index Construction. The S&P BSE SENSEX represents the universe for the S&P BSE DOLLEX 30.
The S&P BSE 100 is the universe for the S&P BSE DOLLEX 100, and the S&P BSE 200 is the universe
for the S&P BSE DOLLEX 200.
Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.
Index Sector
S&P BSE AUTO Transportation Equipment
S&P BSE OIL & GAS Oil & Gas
S&P BSE METAL Metal, Metal Products, & Mining
S&P BSE BANKEX Banks
S&P BSE POWER Heavy Electrical Equipment, Electric Utilities
S&P BSE CAPITAL GOODS Capital Goods
S&P BSE CONSUMER DURABLES Consumer Durables
S&P BSE REALTY Realty
S&P BSE TECK16 Media & Publishing, Information Technology & Telecommunications
Market Coverage. Eligible stocks are selected based on their average float-adjusted market
capitalization rank, until a minimum market coverage of 90% of the average float-adjusted market
capitalization per sector is achieved.
Liquidity. Companies must have a minimum trading frequency of 90% in the preceding six months.
Buffers. A buffer of 2% both for inclusion and exclusion in the index is considered to minimize the
turnover. For example, a non-constituent is included in the index only if it falls within 88% coverage and
an existing index constituent is not excluded unless it falls above 92% coverage. However, the buffer
criterion is applied only after the minimum 90% float-adjusted market capitalization coverage is satisfied.
To maintain a minimum count of 10 in the index, constituents are retained and non-constituents are
included based on their average float-adjusted market capitalizaton rank.
Constituent Weightings. With the exception of the S&P BSE BANKEX and S&P BSE OIL & GAS, the
constituents of each of the S&P BSE Sector Indices are weighted by float-adjusted market capitalization.
The S&P BSE BANKEX and S&P BSE OIL & GAS employ a non-market capitalization weighting scheme
for corporate action.17 At each quarterly share update, index constituents are weighted based on float-
adjusted market capitalization, subject to a 22% and 20% weight cap, respectively. Any excess weight is
distributed proportionally across the remaining stocks in the index.
For more information on the weighting schemes, please refer to S&P Dow Jones Indices’ Index
Mathematics Methodology document.
16
For the S&P BSE TECK, the index aims for each sector to have a minimum constituent count of 10, with 90% coverage. In cases
where there are fewer than 10 eligible constituents, the 90% coverage ratio is still maintained.
17
The S&P BSE BANKEX and S&P BSE OIL & GAS employ a non-market capitalization weighting scheme effective after the close
on January 23, 2015 and April 1, 2015, respectively. Prior to the effective date, the indices employed a float-adjusted market
capitalization weighting scheme.
Index Calculations. The formula for realized volatility uses continuously compounded daily returns
assuming a mean daily price return of zero. The summation of the squared daily returns is annualized,
assuming 252 business days per year.
The following formula is used to calculate the value of the index on the nth day of the underlying option
expiration cycle. At BSE, the options expire on the last Thursday of the month.
∑𝑛𝑡=1 𝑅𝑡2
𝑅𝐸𝐴𝐿𝑉𝑂𝐿𝑛 = √252 ∗ ( )
𝑛
where:
n = nth day of the underlying option expiration cycle; resets to 1 at the start of a new cycle.
𝑃𝑡
Rt = ln = One-day log return of the S&P BSE SENSEX.
𝑃𝑡−1
Pt = Closing value of the S&P BSE SENSEX on the tth day of the option expiration cycle.
Index rebalancings occur as detailed in the table below. The table is arranged in chronological order.
Note: The Effective dates are at the market open and Reference dates are after the market close.
Reference
Category Index Frequency Effective Date Date
S&P BSE SENSEX
S&P BSE 100
S&P BSE SENSEX 50
S&P BSE SENSEX Next 50
S&P BSE 100 LargeCap TMC
S&P BSE SENSEX 50 TMC Monday following the third Last trading
S&P BSE SENSEX Next 50 TMC Semi-annual Friday of June and day of April
S&P BSE 200 December and October
Broad
S&P BSE 500
S&P BSE 150 Midcap
S&P BSE 250 Smallcap
S&P BSE 250 LargeMidcap
S&P BSE 400 MidSmallcap
Monday following the third
S&P BSE 250 LargeMidcap, 65:35 Quarterly Friday of March, June, --
September and December
S&P BSE PSU Monday following the third Last trading
Semi-annual Friday of June and day of April
Thematic S&P BSE CPSE December and October
Monday following the third
S&P BSE Bharat 22 Index18 Annual --
Friday of March
S&P BSE DOLLEX 30 Monday following the third Last trading
S&P BSE DOLLEX 100 Semi-annual Friday of June and day of April
S&P BSE DOLLEX 200 December and October
S&P BSE IPO Monday following the third
--
Investment S&P BSE SME IPO Friday of the month
Monthly
Strategy S&P BSE SENSEX Futures Index One day before the futures
--
S&P BSE Arbitrage Rate Index contract expiration date
S&P BSE SENSEX 2X Leverage Daily Index
S&P BSE SENSEX 1X Inverse Daily Index Daily -- --
S&P BSE SENSEX 2X Inverse Daily Index
S&P BSE AUTO
S&P BSE BANKEX
S&P BSE CAPITAL GOODS
S&P BSE CONSUMER DURABLES Monday following the third Last trading
Sector S&P BSE METAL Semi-annual Friday of June and day of April
S&P BSE OIL & GAS December and October
S&P BSE POWER
S&P BSE REALTY
S&P BSE TECK
For non-market capitalization weighted indices, constituents’ index shares are calculated using closing
prices on the Wednesday prior to the second Friday of the rebalancing month as the reference price.
Index share amounts are calculated and assigned to each stock to arrive at the weights determined on
the reference date. Since index shares are assigned based on the reference prices, the actual weight of
each stock at the rebalancing differs from these weights due to market movements.
18
If an ad-hoc rebalancing occurs within the three months prior to the annual March rebalancing then the annual March rebalancing
for that year is not conducted.
For more information, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices
document.
Float Adjustment. Investable Weight Factors (IWFs), which define the available float for a company, are
reviewed on an annual basis and are implemented at the open of the Monday following the third Friday of
September. Changes to a company’s IWF of five percentage points or more (for example from 0.80 to
0.85) are made as soon as reasonably possible after the data has been verified.
Foreign investment limits are not applied while calculating the IWF for S&P BSE index constituents.
For details on float adjustment and Investable Weight Factors, please refer to S&P Dow Jones Indices’
Float Adjustment Methodology.
Ongoing Maintenance
The indices are also reviewed on an ongoing basis to account for events such as mergers, takeovers,
delistings, group changes, suspensions, surveillance objections, graded surveillance measure objections,
spin-offs/demergers, or bankruptcies. Changes to index composition and related weight adjustments are
made as soon as they are effective. These changes are typically announced one to five business days
prior to the implementation date.
Additions
Broad-based Indices. Between rebalancings, if a company’s ordinary share class is added to a Broad-
based index, its DVR share class is also eligible for index inclusion provided it meets all of the criteria as
specified in Eligibility Criteria and Index Construction. If a company is dropped from an index due to a
corporate action, the most eligible non-constituent company as of the last business day of the previous
month based on the specific index’s eligibility and construction criteria is added to the index as a
replacement in order to maintain the target count.19
Any addition of a new company into the S&P BSE 500 (which is not added to the S&P BSE 100) is added
to either the S&P BSE 150 Midcap or S&P BSE 250 Smallcap based on its daily six-month average total
market capitalization as of the last business day of the previous month.20
Fast-Tracked IPOs. To allow for the immediate inclusion or “fast track” of significantly sized IPOs in the
BSE indices, the IPO must be among the top 10 companies, based on a respective index’s construction
ranking criteria. In addition, such stocks, including DVR stocks must satisfy all other criteria mentioned
under the “Eligibility and Index Construction” section of each index. In such cases, the minimum listing
history required is one month. Companies meeting these criteria are added to the broad-based indices
with five days’ notice to clients. If a fast-tracked IPO is added to an index, then the smallest company, by
the respective construction ranking criteria, is removed.
Such IPOs must also satisfy the derivatives market linkage rule to be included in the S&P BSE 100, S&P
BSE SENSEX 50, S&P BSE SENSEX Next 50, S&P BSE 100 LargeCap TMC, and S&P BSE SENSEX
50 TMC. If a fast-tracked IPO is added to the S&P BSE SENSEX 50, then the smallest company by rank
in the index is dropped and added to the S&P BSE SENSEX Next 50. In such a case, the smallest
company by rank in the S&P BSE SENSEX Next 50 is dropped so that the index maintains its target
19
For back-tested data for the S&P BSE SENSEX 50, the largest eligible company by float-adjusted market capitalization that was
not selected for index inclusion at the last rebalancing was added to the index as a replacement.
20
For history prior to May 29, 2017, full rebalancings were conducted at both the scheduled rebalancing and ad-hoc rebalancing,
driven by additions/deletions due to corporate actions. The companies were selected based on total market capitalization as of
the open of the rebalancing effective date. In addition, no buffers were applied during that period.
S&P BSE Sector Indices. If the sector classification of a company changes between rebalancings, the
change is accounted for at the quarterly share update. Companies that change to an ineligible sector are
dropped from the respective index on a quarterly basis. During the March and September quarterly share
updates, deletions are made without replacements, even if the company count falls below 10.
Replacements are only made to the indices during the June and December semi-annual rebalancings.
Changes take effect at the open of the Monday following the third Friday of March, June, September, and
December.
Deletions
Between rebalancings, a company can be deleted from an index due to events such as mergers,
takeovers, delistings, group changes, suspensions, surveillance objections, graded surveillance measure
objections, spin-offs/demergers or bankruptcies. In addition, index constituents removed from an index’s
underlying universe are also deleted from the index on the same effective date
Whenever possible, changes in the index’s components are announced at least one to five
business days prior to their implementation date.
Whenever practicable, Asia Index Private Limited uses the closing price for all deletions.
On a monthly basis, companies added to the GSM list are dropped from the indices. The effective date of
the drop is at the open of the Tuesday following the first Monday of each month. The reference date for
the GSM list data is the third Friday of the previous month.
Any company dropped due to inclusion on the GSM list must remain off the list for six consecutive months
prior to the rebalancing reference date to be reconsidered for index inclusion.
21
The Fast-track IPO rule applies from the launch date for the S&P BSE SENSEX 50 TMC and S&P BSE SENSEX Next 50 TMC.
With the exception of the S&P BSE BANKEX and S&P BSE OIL & GAS, the indices follow the corporate
action treatment for float-adjusted market capitalization weighted indices. The S&P BSE BANKEX and
S&P BSE OIL & GAS follow the corporate action treatment for non-market capitalization weighted indices.
Float-Adjusted Market Capitalization Weighted Indices. The following table details the most common
corporate actions and index treatment for the S&P BSE Indices employing a float-adjusted market
capitalization weighting scheme.
Divisor
Corporate Action Adjustment to Index Adjustment?
Spin Off In general, the parent company is dropped from the Yes
index. However, if information regarding price adjustment
is available, the parent company may remain in the index
with an adjusted price, at the discretion of the Index
Committee.
Rights Offering Rights price is adjusted and index shares will be Yes
increased as per the Rights Ratio.
Stock Dividend (Bonus), Index shares are multiplied by and price is divided by the No
Stock split, Reverse split factor.
Stock Split
Change in Shares (new Index shares and weights will change as per the Yes
issue, repurchase, corporate action.
warrant conversion etc.)
Special Dividend Price of stock making special dividend is reduced by the Yes
per share special dividend amount after the close of
trading on the day before the dividend ex-date.
Constituent Change No intraday rebalancing. No
Deletions due to delisting, acquisition or any other Yes
corporate event resulting in the deletion of the stock from
the index causes the weights of the rest of the stocks in
the index to change.
Stocks that are reclassified into Z group between Yes
rebalancings are removed from the index as soon as
practicable.
Rebalancing changes including additions, deletions and Yes
weight changes.
Divisor
Corporate Action Adjustment to Index Adjustment?
Spin Off In general, the parent company is dropped from the Yes
index. However, if information regarding price adjustment
is available, the parent company may remain in the index
with an adjusted price, at the discretion of the Index
Committee.
Rights Offering The price is adjusted to the Price of the Parent Company No
minus the Price of the Rights Offering/Rights Ratio. Index
shares change so that the company’s weight remains the
same as its weight before the rights offering.
Stock Dividend (Bonus), Index shares are multiplied by and price is divided by the No
Stock split, Reverse split factor.
Stock Split
Change in Shares (new None. No
issue, repurchase,
warrant conversion etc.)
Special Dividend Price of stock making special dividend is reduced by the Yes
per share special dividend amount after the close of
trading on the day before the dividend ex-date.
Constituent Change No intraday rebalancing. No
Deletions due to delisting, acquisition or any other Yes
corporate event resulting in the deletion of the stock from
the index causes the weights of the rest of the stocks in
the index to change.
Stocks that are reclassified into Z group between Yes
rebalancings are removed from the index as soon as
practicable.
Rebalancing changes including additions, deletions and Yes
weight changes
Divisor
Adjustmen
Corporate Action Adjustment to Index t?
Rights Offering The price is adjusted to the Price of the Parent Company No
minus the Price of the Rights Offering/Rights Ratio. Index
shares change so that the company’s weight remains the
same as its weight before the rights offering.
Stock Dividend (Bonus), Index shares are multiplied by and price is divided by the No
Stock split, Reverse split factor.
Stock Split
Change in Shares (new None. No
issue, repurchase,
warrant conversion etc.)
Special Dividend Price of stock making special dividend is reduced by the Yes
per share special dividend amount after the close of trading
on the day before the dividend ex-date.
Constituent Change Addition and deletion, as notified by Government of India, Yes
will result in ad-hoc rebalancing. Stocks will be reweighted
based on the weighing scheme.
Spin Off Spin-offs are generally added to the index per the treatment described in
S&P Dow Jones Indices’ Equity Indices Policies & Practices document.
Any such addition will be announced to clients in advance.
For more information, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices
document.
All S&P BSE Indices are calculated in Indian rupees and U.S. dollars, with the exception of the S&P BSE
DOLLEX series, and the S&P BSE 200. The S&P BSE DOLLEX series is calculated only in U.S. dollars
while the S&P BSE 200 is calculated in both Indian rupees and Australian dollars.
Spot foreign exchange rates provided by Thomson Reuters are taken daily at 3:00 PM India Time and
used in the end-of-day calculation to calculate the indices in U.S. dollars and Australian dollars.
The S&P BSE SENSEX is also calculated in U.S. dollars using WM/ Reuters foreign exchange rates
taken daily at 4:00 PM London Time. These mid-market fixings are calculated by The WM Company
based on Reuters data and appear on Reuters pages WMRA.
Additional currency, currency hedged, and risk control versions of the indices may be available. For a list
of available currency, currency hedged, and risk control indices, please contact Client Services at
index_services@spglobal.com.
For more information on currency, currency hedged, and risk control indices, please refer to S&P Dow
Jones Indices’ Index Mathematics Methodology.
Index history availability, base dates and base values are shown in the table below.
22
The index’s historical composition is the same as the composition at launch. Stocks were added to the index at each subsequent
rebalancing in March following their IPO.
S&P Dow Jones Indices calculates multiple return types which vary based on the treatment of regular
cash dividends. The classification of regular cash dividends is determined by S&P Dow Jones Indices.
Price Return (PR) versions are calculated without adjustments for regular cash dividends.
Gross Total Return (TR) versions reinvest regular cash dividends at the close on the ex-date
without consideration for withholding taxes.
Net Total Return (NTR) versions, if available, reinvest regular cash dividends at the close on the
ex-date after the deduction of applicable withholding taxes.
In the event there are no regular cash dividends on the ex-date, the daily performance of all three indices
will be identical.
For a complete list of indices available, please refer to the daily index levels file (“.SDL”).
For more information on the classification of regular versus special cash dividends as well as the tax rates
used in the calculation of net return, please refer to S&P Dow Jones Indices’ Equity Indices Policies &
Practices Methodology document.
For more information on the calculation of return types, please refer to S&P Dow Jones Indices’ Index
Mathematics Methodology document.
The S&P BSE Indices Index Committee oversees the S&P BSE Indices. The Index Committee is
composed of full time employees of S&P Dow Jones Indices and the BSE. The Index Committee meets
quarterly. At each meeting, the Index Committee reviews pending corporate actions that may affect index
constituents, statistics comparing the composition of the indices to the market, companies that are being
considered as candidates for addition to an index, and any significant market events. In addition, the
Index Committee may revise index policy covering rules for selecting companies, treatment of dividends,
share counts or other matters.
Asia Index Private Limited considers information about changes to its indices and related matters to be
potentially market moving and material. Therefore, all Index Committee discussions are confidential.
S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying the
methodology if the need arises. In any scenario where the treatment differs from the general rules stated
in this document or supplemental documents, clients will receive sufficient notice, whenever possible.
In addition to the daily governance of indices and maintenance of index methodologies, at least once
within any 12-month period, the Index Committee reviews the methodology to ensure the indices continue
to achieve the stated objectives, and that the data and methodology remain effective. In certain instances,
S&P Dow Jones Indices may publish a consultation inviting comments from external parties.
For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow
Jones Indices’ Equity Indices Policies & Practices document.
All index constituents are evaluated daily for data needed to calculate index levels and returns. All events
affecting the daily index calculation are typically announced in advance via the Index Corporate Events
report (.SDE), delivered daily via ftp to all clients. Any unusual treatment of a corporate action or short
notice of an event may be communicated via email to clients.
In addition, index composition changes due to scheduled rebalancings are announced four weeks in
advance of the rebalancing effective date for the following indices:
S&P BSE SENSEX S&P BSE TECK
S&P BSE 100 S&P BSE BANKEX
S&P BSE SENSEX 50 S&P BSE OIL & GAS
S&P BSE SENSEX Next 50 S&P BSE 150 Midcap
S&P BSE 200 S&P BSE 250 LargeMidcap
S&P BSE 250 Smallcap S&P BSE SENSEX 50 TMC
S&P BSE 400 MidSmallcap S&P BSE SENSEX Next 50 TMC
S&P BSE 500 S&P BSE 100 LargeCap TMC
Pro-forma Files
In addition to the corporate events file (.SDE), Asia Index Private Limited provides constituent pro-forma
files each time the indices rebalance. The pro-forma file is typically provided daily in advance of the
rebalancing date and contains all constituents and their corresponding weights and index shares effective
for the upcoming rebalancing.
Please visit www.spdji.com for a complete schedule of rebalancing timelines and pro-forma delivery
times.
Holiday Schedule
The S&P BSE Indices are calculated on all business days when the BSE is open.
A complete holiday schedule for the year is available on the BSE Ltd. Web site at www.bseindia.com.
Special Trading Sessions. The S&P BSE Indices will be calculated on special trading sessions as
declared by the Bombay Stock Exchange. Some examples include, but are not limited to, special trading
sessions on Saturday and Mahurat trading. Asia Index Private Limited will issue a notice to inform market
participants regarding such special trading sessions.
If the special trading session falls on the Saturday following the third Friday of any rebalancing month, the
new portfolio will be effective at the discretion of the Index Committee. Asia Index Private Limited will
issue a notice to inform market participants detailing when the new portfolio will become effective.
The Index Committee may change the date of a given rebalancing for reasons including market holidays
occurring on or around the scheduled rebalancing date. Any such change will be announced with proper
advance notice where possible.
For information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity
Indices Policies & Practices document.
Recalculation Policy
For information on the recalculation policy, please refer to S&P Dow Jones Indices’ Equity Indices
Policies & Practices document.
Real-Time Calculation
Real-time, intra-day index calculations are executed for certain S&P BSE Indices on the BSE real-time
platform, “EPIC”. Real-time indices are not restated.
For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, please
refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document.
End-of-Day Calculation
End of day index calculations are executed on an S&P proprietary platform.
Contact Information
Tickers
The table below lists headline indices covered by this document. All currency, currency hedged, risk
control, and return type versions of the below indices that may exist are also covered by this document.
Please contact index_services@spglobal.com for a complete list of indices covered by this document.
FTP
Daily constituent and index level data are available via FTP subscription.
For product information, please contact S&P Dow Jones Indices, www.spdji.com/contact-us.
Web site
For further information, please refer to S&P Dow Jones Indices’ Web site at www.spdji.com.
--
S&P BSE 200: 06/15/2018 Companies meeting the eligibility At each semi-annual rebalancing,
factors are ranked based on their eligible companies must have an
Index Construction: average six month total market annualized traded value of at least
capitalization, average six month INR 5 billion. Current index
float-adjusted market capitalization, constituents with an annualized
and average six month value traded. traded value of at least INR 4 billion
Rank Full is determined by assigning remain eligible for index inclusion
a 75% weight to the average six provided they meet the other
month total market capitalization eligibility criteria.
rank and a 25% weight to the Companies satisfying the above
average six month value traded rank. criteria are then ranked by their
Rank Free is determined by average six month total market
assigning a 75% weight to the capitalization.
average six month float-adjusted The top 160 companies are added
market capitalization rank and a 25% to the index.
weight to the average six month Current constituents ranked 161-
value traded rank. 240 are added to the index in order
For all companies, Rank Full and of highest rank until the constituent
Rank Free are added and a count reaches 200 companies.
Combined Final Rank is determined If the target constituent count of
based on this number. 200 companies is still not met, non-
If an existing constituent has Rank constituents are added to the index
Full and Rank Free greater than 220, in order of highest rank until the
it is excluded from the index. target constituent count is met.
Non-constituents with Rank Full and
Rank Free less than 200 are
identified and sorted on Combined
Final Rank. These are included in
the index based on the best
Combined Final Rank.
In order to achieve the target
constituent count, stocks are
assessed based on their ranks and
selected accordingly.
Reference Period
S&P BSE Sector Indices: 12/19/2016 If the sector classification of a company If the sector classification of a company
changes between rebalancings, the changes between rebalancings, the
Sector Changes change is accounted for at the semi- change is accounted for at the quarterly
annual rebalancing. Changes take share update. Changes take effect at
effect at the open of the Monday the open of the Monday following the
following the third Friday of June and third Friday of March, June, September,
December. and December.
S&P BSE 200: 12/19/2016 All common equities listed at BSE Ltd. The index is derived from the
(excluding companies classified in Z constituents of the S&P BSE 500.
Eligible Universe group, listed mutual funds, companies
suspended on the last day of the month
prior to review date, companies
objected by the Surveillance
Department of BSE Ltd. and those that
are traded under a permitted category
and SME category) are considered
eligible.
S&P BSE 500: 12/19/2016 Companies must have a listing history Companies must have a listing history
of at least three months at BSE. of at least three months at BSE. IPOs
Listing History are eligible if they have a listing history
of at least one month.
The S&P BSE Indices (the “Indices”) are published by Asia Index Private Limited (“AIPL”), which is a joint
venture among affiliates of S&P Dow Jones Indices LLC, a division of S&P Global (“S&P DJI”) and BSE
Limited (“BSE”). Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial
Services LLC, a division of S&P Global (“S&P”), and Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC (“Dow Jones”). BSE® and SENSEX® are registered trademarks of BSE. These
trademarks have been licensed to AIPL.
Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written
permission. This document does not constitute an offer of services in jurisdictions where AIPL, BSE, S&P
DJI, S&P or their respective affiliates (collectively “AIPL Companies”) do not have the necessary licenses.
All information provided by AIPL Companies is impersonal and not tailored to the needs of any person,
entity or group of persons. AIPL Companies receive compensation in connection with licensing its indices
to third parties. Past performance of an index is not an indication or guarantee of future results.
It is not possible to invest directly in an index. Exposure to an asset class represented by an index is
available through investable instruments based on that index. AIPL Companies do not sponsor, endorse,
sell, promote or manage any investment fund or other investment vehicle that is offered by third parties
and that seeks to provide an investment return based on the performance of any index. AIPL Companies
make no assurance that investment products based on the index will accurately track index performance
or provide positive investment returns. AIPL and S&P DJI are not fiduciaries or investment advisors, and
the AIPL Companies make no representation regarding the advisability of investing in any such
investment fund or other investment vehicle. A decision to invest in any such investment fund or other
investment vehicle should not be made in reliance on any of the statements set forth in this document.
Prospective investors are advised to make an investment in any such fund or other vehicle only after
carefully considering the risks associated with investing in such funds, as detailed in an offering
memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or
other vehicle. Inclusion of a security within an index is not a recommendation by the AIPL Companies to
buy, sell, or hold such security, nor is it considered to be investment advice. Closing prices for S&P BSE
Indices are calculated by AIPL or its agent based on the closing price of the individual constituents of the
index as set by their primary exchange. Closing prices are received by AIPL from the BSE. Real-time
intraday prices are calculated similarly without a second verification.
These materials have been prepared solely for informational purposes based upon information generally
available to the public from sources believed to be reliable. No content contained in these materials
(including index data, ratings, credit-related analyses and data, model, software or other application or
output therefrom) or any part thereof (“Content”) may be modified, reverse-engineered, reproduced or
distributed in any form by any means, or stored in a database or retrieval system, without the prior written
permission of AIPL. The Content shall not be used for any unlawful or unauthorized purposes. AIPL and
its third-party data providers and licensors and the other AIPL Companies (collectively “AIPL Parties”) do
not guarantee the accuracy, completeness, timeliness or availability of the Content. The AIPL Parties are
not responsible for any errors or omissions, regardless of the cause, for the results obtained from the use
of the Content.
The Content is provided on an “as is” basis. THE AIPL PARTIES DISCLAIM ANY AND ALL EXPRESS
OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM
BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE
UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR
HARDWARE CONFIGURATION. In no event shall the AIPL Parties be liable to any party for any direct,
Asia Index Private Limited: S&P BSE Indices Methodology 54
indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs,
expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity
costs) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings and market analyses, are statements of opinion as of
the date they are expressed and not statements of fact. Any opinion, analyses and rating
acknowledgement decisions are not recommendations to purchase, hold, or sell any securities or to make
any investment decisions, and do not address the suitability of any security. AIPL does not assume any
obligation to update the Content following publication in any form or format. The Content should not be
relied on and is not a substitute for the skill, judgment and experience of the user, its management,
employees, advisors and/or clients when making investment and other business decisions. AIPL has
obtained information from sources it believes to be reliable; AIPL does not perform an audit or undertake
any duty of due diligence or independent verification of any information it receives.
The AIPL Companies keep certain activities of their business units separate from each other in order to
preserve the independence and objectivity of their respective activities. As a result, certain business units
of the AIPL Companies may have information that is not available to other business units. The AIPL
Companies have established policies and procedures to maintain the confidentiality of certain non-public
information received in connection with each analytical process.
The AIPL Companies provide a wide range of services to, or relating to, many organizations, including
issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions
and financial intermediaries, and accordingly may receive fees or other economic benefits from those
organizations, including organizations whose securities or services they may recommend, rate, include in
indices or model portfolios, evaluate or otherwise address.