Dynamic Smallcap Index comprises of 100 stocks that typically represents small and medium market capitalization companies. The index seeks to measure the performance of the portfolio where weights of the index constituents are derived based on ‘Jensen’s Alpha’. As per this approach, constituents with higher alpha are assigned higher weight in the index.
Stocks in this index have been selected based on quantitative analysis conducted by the Dynamic Equities Pvt. Ltd. and the index is calculated & maintained by the India Index Services & Products Limited (IISL) which is a group company of the National Stock Exchange of India Limited (NSE).
This index aims to measure the performance of 100 stocks which are invested through our PMS. These stocks are well-diversified and criteria such as liquidity and market cap alongwith key fundamentals have been applied while selecting them. The performance of Dynamic Smallcap Index is benchmarked against NSE Small & Midcap Indices and the Top 10 Smallcap Mutual Funds.
|Methodology||Alpha based Weighting|
|No. of Constituents||100|
|Launch Date||September 30, 2017|
|Base Date||October 3, 2016|
|Calculation Frequency||EOD Daily|
|Std. Deviation *||20.71|
|Beta (NIFTY 50)||1.45|
|Correlation (NIFTY 50)||0.75|
|AUTOMOBILES & AUTO PARTS||10.62|
|METALS AND MINING||10.07|
|CEMENT & CEMENT PRODUCTS||4.47|
|TEXTILES AND APPAREL||2.53|
Top Constituents by Weight
|Shakti Pumps (India) Ltd.||3.28|
|Goa Carbon Ltd.||3.04|
|Visaka Industries Ltd.||2.87|
|Indiabulls Real Estate Ltd.||2.82|
|Gravita India Ltd.||2.76|
|Avanti Feeds Ltd.||2.62|
|Graphite India Ltd.||2.40|
|Himadri Speciality Chemical Ltd.||2.34|
|Muthoot Capital Services Ltd.||2.19|
|Phillips Carbon Black Ltd.||2.02|
# QTD,YTD and 1 year returns are absolute returns. Returns for greater than one year are CAGR returns.
* Average daily standard deviation annualised.
|Period||Dynamic Smallcap Index||NSE Smallcap Index||NSE Midcap Index||Top 10 Small & Midcap MF Schemes||Nifty Index|
|1 Year (Oct'16 - Sep'17)||49.20||19.94||14.24||30.67||12.03|
- The list of 100 stocks are determined based on quantitative research & analysis conducted on a quarterly basis by Dynamic Research team
- Weight of stocks in index is based on alpha score derived from ‘Jensen Alpha’ for the 100 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.
List of Index Stocks for Oct-Dec '17 Quarter
Disclaimer: All information contained herewith is provided for reference purpose only. Dynamic ensures accuracy and reliability of above information to the best of its endeavors. However, Dynamic makes no warranty or representation as to the accuracy, completeness or reliability of any information contained herein and disclaim any and all liability whatsoever to any person for any damage or loss for 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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