|Methodology||Alpha based Weighting|
|No. of Constituents||30|
|Launch Date||November 16, 2017|
|Base Date||October 1, 2014|
|Calculation Frequency||End of day|
|Std. Deviation *||15.50|
|AUTOMOBILES & AUTO PARTS||11.73|
|BANKS-PRIVATE AND PSU||8.86|
|METALS AND MINING||4.64|
|ENERGY-OIL & GAS||2.04|
Top Constituents by Weight
|AVENUE SUPERMARTS LTD.||6.58|
|TECH MAHINDRA LTD.||6.58|
|PIDILITE INDUSTRIES LTD.||6.19|
|TATA CONSULTANCY SERVICES||5.71|
|MAHINDRA & MAHINDRA||5.20|
|KOTAK MAHINDRA BANK LTD.||5.20|
|HINDUSTAN UNILEVER LTD.||5.05|
|BRITANNIA INDUSTRIES LTD.||4.73|
Annualized Volatility %
|Period||Dynamic Largecap Index||NIFTY 50 Index|
Ended Jul 31, 2018
|Period||Dynamic Large Cap Index||NIFTY 50 Index||Top 5 Largecap MF|
|Since Inception (1-10-14)||25.88||9.77||31.03|
# QTD,YTD and 1 year returns are absolute returns. Returns for greater than one year are CAGR returns.
* Average daily standard deviation annualised.
- Weight of stocks in index is based on alpha score derived from ‘Jensen Alpha’ for the 30 stocks calculated based on previous 6 month period ending last trading day of February, May, August & November of each year.
- Index is rebalanced on a quarterly basis in March, June, September and December on 1st working day after F&O expiry of March, June, September and December.
- Weight of the stocks are determined based on Alpha score calculated at the time of the quarterly review. This weight may drift till the next review due to movement in stock prices.
- Apart from the scheduled quarterly review, additional rebalancing of the index is carried out in case any of the index constituents undergoes a suspension or delisting or scheme of arrangement.
The list of 30 stocks are determined based on quantitative research & analysis conducted on a quarterly basis by Dynamic Research team
List of Index Stocks for Jul-Sep'18 Quarter
|Ashok Leyland Ltd.|
|Aurobindo Pharma Ltd.|
|Avenue Supermarts Ltd.|
|Bajaj Finance Ltd.|
|Bajaj Finserv Ltd.|
|Bajaj Holdings & Investment Ltd.|
|Britannia Industries Ltd.|
|Cadila Healthcare Ltd.|
|Dabur India Ltd.|
|Dr. Reddy's Laboratories Ltd.|
|Godrej Consumer Products Ltd.|
|Hindustan Unilever Ltd.|
|Indiabulls Housing Finance Ltd.|
|IndusInd Bank Ltd.|
|JSW Steel Ltd.|
|Kotak Mahindra Bank Ltd.|
|L&T Finance Holdings Ltd.|
|Mahindra & Mahindra Ltd.|
|Maruti Suzuki India Ltd.|
|Pidilite Industries Ltd.|
|Piramal Enterprises Ltd.|
|Procter & Gamble Hygiene & Health Care Ltd.|
|Reliance Industries Ltd.|
|Sun Pharmaceutical Industries Ltd.|
|Tata Consultancy Services Ltd.|
|Tech Mahindra Ltd.|
|TVS Motor Company Ltd.|
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