Nifty Smallcap250 Momentum Quality 100 stocks list

The universe is the stocks in the Nifty Smallcap 250 at the time of each review, with a listing history of at least 1 year. Four screens then remove stocks: the bottom 10 percentile by 6-month average daily turnover, the bottom 10 percentile by turnover ratio, any company with more than 20% of its promoters' shares pledged, and any stock outside futures and options (F&O) that hit its upper or lower price band on 20% or more of trading days in the past 6 months.

The top 100 stocks by aggregate percentile score are selected. The aggregate score is 50% momentum percentile and 50% quality percentile. A momentum percentile ranks each eligible stock on its momentum score, with the highest score getting the highest percentile. The quality percentile works the same way.

At a review, an existing member stays if it ranks within the top 150 on the aggregate score. The top 50 ranked non-members are added, replacing the lowest scoring members. A member that falls beyond rank 150 is removed. If fewer than 100 stocks are eligible, the index holds only those.

The momentum score uses the 12-month and 6-month price returns, each divided by the stock's annualised standard deviation of daily returns over 1 year. Each ratio becomes a Z score (how many standard deviations it sits above or below the eligible universe's average), and the two Z scores are averaged 50:50.

The quality score uses return on equity (ROE), debt-to-equity ratio and the variability of year-on-year earnings per share (EPS) growth over the previous 5 years, with ROE and debt-to-equity taken from the latest fiscal year and consolidated figures used where available. A non-financial company's Z quality score is one third each of ROE, minus debt-to-equity, and minus EPS growth variability. Financial services companies skip debt-to-equity and use half each of ROE and minus EPS growth variability. An IPO is considered only if its adjusted EPS data is enough to calculate EPS growth variability over at least the previous 3 financial years.

Each stock's weight is its free-float market cap multiplied by its composite factor score, which is 50% normalised momentum score plus 50% quality score. Free-float market cap counts only the shares available for public trading. No stock can exceed 3%, applied at the semi-annual reconstitution; weights drift with prices between reviews.

The index is rebalanced and reconstituted semi-annually, in Jun and Dec, using data to the last trading day of May and Nov. The six-month average data to the cut-off is used, and the market gets four weeks' notice. An extra reconstitution happens if a member leaves the Nifty Smallcap 250 through a corporate action or exchange suspension.

The base date is 1 Apr 2005 and the base value is 1000. The index launched on 21 Dec 2023.