Nifty MidSmallcap400 Momentum Quality 100 stocks list

The universe is the Nifty MidSmallcap 400 at the time of review, and a company needs a listing history of at least 1 year. It is split into a midcap segment (the Nifty Midcap 150) and a smallcap segment (the Nifty Smallcap 250). The index holds 50 companies from each segment, the 50 with the highest aggregate percentile score: 50% of the momentum percentile plus 50% of the quality percentile.

Four screens remove companies from each segment before ranking. A company outside the futures and options segment is ineligible if it hit the upper or lower price circuit (the daily price limit) on at least 20% of trading days in the past 6 months. A company with more than 20% of promoter shares pledged is ineligible. The bottom 10 percentile by 6-month average daily turnover and the bottom 10 percentile by turnover ratio, each within its own segment, are also ineligible.

Momentum score: for each company, the 6-month and the 12-month price return are each divided by the annualised standard deviation of its daily returns over 1 year. Each ratio is turned into a Z score (how many standard deviations it sits above or below the segment's average), and the two Z scores are averaged 50:50 and normalised.

Quality score: Z scores of return on equity and debt to equity for the latest fiscal year, and of EPS growth variability over the previous 5 years, with consolidated data where available. For a non-financial company the three count one third each, with debt to equity and variability counted in reverse. For a financial services company debt to equity is left out and the other two count half each.

The composite factor score is 50% of the normalised momentum score plus 50% of the quality score. A stock's weight is its free-float market capitalisation (the value of the shares available for public trading) multiplied by that composite score. Each stock is capped at 5% when the index is reconstituted, and weights drift between reviews as prices move.

The index is reconstituted twice a year, in Jun and Dec, using data to the last trading day of May and Nov. A current member stays if it ranks within the top 75 of its segment's eligible universe. In each segment, the 25 top-ranked eligible non-members are added in place of the lowest-scoring members, and a member ranked beyond 75 is removed. A company that leaves the Nifty MidSmallcap 400 leaves this index at its next review.

An extra reconstitution takes place if a constituent is removed from the Nifty MidSmallcap 400, for example through delisting or a scheme of arrangement. The index is also screened every quarter against SEBI's portfolio concentration norms for ETFs and index funds, announced on 10 Jan 2019.

The index has a base date of 1 Apr 2005 and a base value of 1000. It was launched on 8 Feb 2024. A total returns variant, which counts reinvested dividends, also exists.