November 29, 2024
Nifty100 Low Volatility 30 Index aims to measure the performance of the low volatile securities in the large market capitalisation
segment.
The securities are selected from Nifty 100 index and should be available for trading in derivative segment(F&O).The selection of
securities and its weights in Nifty100 Low Volatility 30 are based on volatility. Volatility of the securities is calculated as the standard
deviation of daily price returns (log normal) for last one year.
In order to make the index replicable for passive products, weightage of the stocks with turnover less than the stock having the lowest
turnover in Nifty 50, has been capped at 3%.
Portfolio Characteristics
Methodology Volatility based weighting Index Since
QTD YTD 1 Year 5 Years
No. of Constituents 30 Returns (%) # Inception
Launch Date July 08, 2016 Price Return -9.78 11.95 21.56 16.83 16.25
Base Date April 01, 2005 Total Return -9.66 13.25 22.97 18.73 18.16
Base Value 1000 Since
Statistics ## 1 Year 5 Years
Calculation Frequency Real-Time Inception
Index Rebalancing Quarterly Std. Deviation * 11.58 15.71 17.20
Sector Representation Beta (NIFTY 50) 0.72 0.76 0.76
Sector Weight(%) Correlation (NIFTY 50) 0.87 0.92 0.93
Fast Moving Consumer Goods 17.99
Fundamentals
Healthcare 17.35
P/E P/B Dividend Yield
Financial Services 16.65
32.29 5.97 1.09
Information Technology 14.25
Automobile and Auto Components 11.29
Top constituents by weightage
Consumer Durables 6.46
Telecommunication 3.43 Company’s Name Weight(%)
Oil, Gas & Consumable Fuels 3.29
Construction Materials 3.29 Sun Pharmaceutical Industries Ltd. 4.09
Chemicals 3.13 ICICI Bank Ltd. 3.99
Construction 2.88 ITC Ltd. 3.93
Tata Consultancy Services Ltd. 3.91
Hindustan Unilever Ltd. 3.87
HDFC Bank Ltd. 3.70
HCL Technologies Ltd. 3.67
Infosys Ltd. 3.55
Dr. Reddy's Laboratories Ltd. 3.52
Britannia Industries Ltd. 3.49
## Based on Price Return Index.
# QTD,YTD and 1 year returns are absolute returns.Returns for greater than one year are CAGR returns.
* Average daily standard deviation annualised.
Disclaimer: All information contained herewith is provided for reference purpose only. NSE Indices Limited (formerly known as India Index Services & Products Limited-IISL) ensures accuracy and reliability of the above
information to the best of its endeavors. However, NSE Indices Limited makes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and disclaim any and all
liability whatsoever to any person for any damage or loss of any nature arising from or as a result of reliance on any of the information provided herein. The information contained in this document is not intended to provide any
professional advice.
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November 29, 2024
Index Methodology
Eligible Universe:
i. The securities forming part of Nifty 100 are eligible for inclusion in the index
ii. Securities should have a minimum listing history of 1 year
iii. Securities should be available for trading in derivative segment (F&O).
iv. DVR shares are not eligible for inclusion in the index
Selection Criteria:
i. Stocks are assessed on the basis of volatility for index inclusion
ii. Volatility is calculated as the standard deviation of daily price returns (log normal) for last one year
iii. Eligible stocks are then ranked based on their volatility score, with stock having lowest volatility getting a rank of 1
iv. Top 30 ranked stocks with least volatility form part of the index
Index Rebalancing:
i. The index is reviewed on quarterly basis
ii. At time of review, if the existing constituent of the index is ranked within top 60 based on the low volatility score, then the stock is
retained in the index
iii. Stocks based on lowest volatility rank gets included in the index, depending on the number of exclusions from the index due to
above rule
Index Governance:
A professional team manages all NSE indices. There is a three-tier governance structure comprising the Board of Directors of NSE
Indices Limited, the Index Advisory Committee (Equity) and the Index Maintenance Sub-Committee.
Key Indices
Broad Market Indices Sectoral Indices Thematic Indices Strategy Indices Fixed Income
Nifty 50 Nifty Bank Nifty CPSE Nifty100 Equal Weight Nifty 10 yr Benchmark G-Sec
Nifty Next 50 Nifty IT Nifty Commodities Nifty50 PR 1x Inverse Nifty 8-13 yr G-Sec
Nifty 100 Nifty PSU Bank Nifty Energy Nifty50 PR 2x Leverage Nifty 4-8 yr G-Sec
Nifty 200 Nifty FMCG Nifty Shariah 25 Nifty50 Value 20 Nifty 11-15 yr G-Sec
Nifty 500 Nifty Private Bank Nifty 100 Liquid15 Nifty100 Quality 30 Nifty 15 yr and above G-Sec
Nifty Midcap 50 Nifty Metal Nifty Infrastructure Nifty Low Volatility 50 Nifty Composite G-Sec
Nifty Midcap 100 Nifty Financial Services Nifty Corporate Group Nifty Alpha 50 Nifty 1D Rate
Contact Us:
Email: indices@nse.co.in | Tel: +91 22 26598386 | Fax: +91 22 26598120
Learn more at: www.niftyindices.com
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