BSE rolls out four new midcap factor indices

New value, momentum, low-volatility and quality indices track 30 stocks each from the BSE 150 Midcap universe, aimed at passive investors and fund managers

BSE Index Services launched four new factor indices based on the BSE 150 Midcap Index, adding to its range of benchmarks aimed at passive fund managers and institutional investors.

The new indices are the BSE Midcap 150 Enhanced Value 30, Momentum 30, Low Volatility 30 and Quality 30. Each index tracks 30 stocks selected from the BSE 150 Midcap universe using distinct factor-based criteria. Individual stock weights are capped at 5%, and the indices will be reviewed and reconstituted on a quarterly basis.

All four indices have been backdated to 20 June 2005, with a base value of 1,000. Stocks included in the indices must also meet a screening requirement of 100% trading frequency.

Ashutosh Singh, MD & CEO of BSE Index Services, highlighted the significance of these indices, stating, Mid-caps are a critical building block in long-term portfolios, with this launch the BSE factor indices now span large caps, large-mid, broad market 500 universe and mid-caps. The objective is to create a seamless and institution grade investable factor continuum while also enabling ETF and passive fund managers to build coherent, market-wide strategies aligned to different risk?return objectives.

The indices are intended for use in passive investment products such as exchange-traded funds and index funds. They can also be used as benchmarks for portfolio management services, mutual fund schemes and other managed portfolios.

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