S&P BSE Allcap Index

What is BSE AllCap?

BSE AllCap is a broad-based, comprehensive, rules-based index on the Bombay Stock Exchange (BSE) which captures the performance of a selection of companies that belong to BSE LargeCap (70%), BSE MidCap (15%), and BSE SmallCap (15%) indices. It is a real-time index of 1106 stocks spanning 19 sectors, including Finance, IT, Oil & Gas, FMCG, Transport Equipment, Healthcare, Capital Goods, Housing Related, Chemical & Petrochemical, Metal, Metal Products & Mining, Power, Consumer Durables, Telecom, Agriculture, Transport Services, Utilities, Textile, Tourism, and Media & Publishing.

This S&P BSE AllCap index was launched on April 15, 2015, with the first value date as September 16, 2005, with base value of 1000. Since its inception, S&P BSE AllCap share price has breached the levels of 6,000 at ~21.75x P/E multiples. The weighted average carbon intensity of the BSE AllCap index comes to 669.89.

BSE AllCap is reconstituted annually in September, with July’s last trading day as its reference date. It also undergoes quarterly reviews in the months of December, March, and June. Reconstitution involves both company size and sector classification reviews. 

S&P BSE AllCap index is managed and governed by S&P BSE Index Committee set up under Asia Index Private Ltd, which is a joint venture of S&P and BSE Ltd. The BSE AllCap index is calculated in two currencies: INR and US$; for US$, spot foreign exchange rates are applied from Refinitiv’s data. It has an index variant in the form of S&P BSE Allcap TR for both currencies.

How is BSE AllCap calculated? How are stocks selected for inclusion in BSE AllCap?

S&P BSE AllCap share price is computed by weighting its 1106 stocks based on free-float market capitalisation, using the divisor methodology of the S&P Dow Jones equity indices.

The securities must fulfil the following eligibility criteria to be included in the BSE AllCap index:

1. Should be domiciled in India and listed on the Bombay Stock Exchange.
2. Should belong to any of the S&P BSE LargeCap, S&P BSE MidCap, or S&P BSE SmallCap indices.
3. Should include all the common shares and shares with differential voting rights (DVRs) of the company.
4. Should rank within top 1200 stocks in the BSE’s listed companies’ universe based on average daily total market capitalisation.
5. Should have an average daily total market capitalisation value of at least Rs. 1.5 billion.
6. Should have an annualised traded value of at least Rs. 0.5 billion.
7. Should have a turnover ratio of at least 5%.
8. Should have a trading frequency >80%.
9. Should have an Investable Weight Factor (IWF) of at least 10% at the rebalance reference date.
10. Should have an impact cost of 1% or less over the past 6-month period.
11. Should have a minimum of 700 stocks at each rebalancing date.
12. Should maintain a buffer of 5% in order to reduce turnover.
13. Companies that have completed their IPOs should have a listing history of at least one month in order to be considered for inclusion in the index.
14. Companies that have undergone a scheme of arrangement, namely spin-offs, capital restructuring etc., must have a listing history of at least one month in order to be eligible for inclusion.
15. Companies can be excluded in between the rebalancing dates due to mergers, delisting, takeovers, suspensions, surveillance objections, bankruptcies, or graded surveillance measure (GRM).  

The index value is calculated as follows –

Index value = Index Market Value / Divisor

Where,

Index Market Value = Price * Shares * IWF (Float Factor) *Fx rate

Divisor = Market Value / Index Value

The S&P BSE AllCap index is reconstituted annually in September, with quarterly reviews being undertaken in the months of December, March, and June to evaluate the trading frequency and the impact cost of the index’s constituents.