Nifty200 Momentum 30

The NIFTY Nifty200 Momentum 30 share price is computed by factor tilt-weighting its 30 stocks based on Normalised Momentum Score on a real-time basis. This momentum score is determined for each company stock from its weighted average Z score, which is derived on the basis of equal weighting of its 6-month and 12-month price return, which has been adjusted for its daily price return volatility.

The weights are based on Factor Tilt methodology and are capped at 5% or 5x the weight of the stock in the index based on float-adjusted market capitalisation. The weights are computed by multiplying the Normalised Momentum Score of the stock with its free float market capitalization value.

To be inserted in the Nifty200 Momentum 30 index, the companies must fulfill the following eligibility criteria:

1. It will be listed on the National Stock Exchange.
2. It will form a part of the NIFTY 200 index.
3. It will have a minimum listing history of 1 year.
4. It will have high Normalised Momentum Scores based on 6-month and 12-month price return data.
5. Will include the securities which are tradeable on NSE’s derivatives segment. 
6. Will include the securities that have undergone a scheme of arrangement, such as spin-offs, capital restructuring, etc., if they have traded for at least 12 calendar months before the cut-off date for index reconstitution.
7. Will exclude securities if they are removed from the NIFTY 200 index.
8. Will compulsorily include the top 15 stocks ranked on the basis of Normalised Momentum Scores. 
9. Will compulsorily exclude the stocks that get ranked below 45 on the basis of Normalised Momentum Scores. 
10. In order to reduce turnover, a buffer based on Normalised Momentum Score ranks is applied.

Normalised Momentum Score = (1+ Wgt. Average Z score) if Wgt. Average Z score >=0 

                                        Or (1- Weighted Average Z score) ^-1 if Wgt. Average Z score < 0

The Nifty200 Momentum 30 index is reviewed semi-annually based on six months of data in the months of June and December each year. Ad-hoc rebalancing may be undertaken in instances of suspension, delisting or scheme of arrangement. The Nifty200 Momentum 30 index is also screened, on a quarterly basis, for compliance with SEBI’s portfolio concentration norms for ETFs/Index Funds since 2019.