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IndexMethodology
Nifty Auto
The Nifty Auto Index is designed to reflect the behaviour and performance of the Automobiles segment of the financial market. TheNifty Auto Index comprises 15 tradable, exchange listed companies. The index represents auto related sectors like Automobiles 4wheelers, Automobiles 2 & 3 wheelers, Auto Ancillaries and Tyres.
Nifty Auto Index is computed using free float market capitalization method, wherein the level of the index reflects the total free floatmarket value of all the stocks in the index relative to particular base market capitalization value.
Nifty Auto Index can be used for a variety of purposes such as benchmarking fund portfolios, launching of index funds, ETFs andstructured products.
Eligibility Criteria for Selection ofConstituent Stocks
Index Re-Balancing:
Index is re-balanced on semi – annualbasis. The cut-off date is January 31 andJuly 31 of each year, i.e. For semi-annual review of indices, average datafor six months ending the cut-off date isconsidered. Four weeks prior notice isgiven to market from the date of change.
Index Govenance:
A professional team at IISL managesNifty Auto Index. There is a three-tiergovernance structure comprising theBoard of Directors of IISL, the IndexPolicy Committee, and the IndexMaintenance Sub-Committee.
Companies must rank within the top 500companies ranked by average free-floatmarket capitalisation and aggregate turnoverfor the last six months.
Companies should form a part of theAutomobiles sector.
The company’s trading frequency should beat least 90% in the last six months.
The company should have reported apositive net worth.
The company should have an investableweight factor (IWF) of at least 10%.
The company should have a listing historyof 6 months. A company which comes outwith an IPO will be eligible for inclusion inthe index, if it fulfills the normal eligibilitycriteria for the index for a 3 month periodinstead of a 6 month period.
Final selection of 15 companies shall bedone based on the free-float marketcapitalization of the companies.
Bloomberg:
Thomson Reuters:CNXAUTO Index
.CNXAUTO
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December 31, 2015
Nifty AutoDecember 31, 2015
Statistics
Returns (%)
QTD YTD 1 Year 5 YearsSince
Inception
1 Year 5 YearsSince
Inception
6.77 -0.32 -0.32 14.43 19.22
1 Year Performance Comparison of Sector Indices
Top 10 constituents by weightage
Company’s NameWeight
(%)
Tata Motors Ltd. 20.39
Maruti Suzuki India Ltd. 16.47
Mahindra & Mahindra Ltd. 15.85
Bajaj Auto Ltd. 9.30
Hero MotoCorp Ltd. 8.85
Eicher Motors Ltd. 5.56
Bosch Ltd. 4.55
Motherson Sumi Systems Ltd. 3.59
Ashok Leyland Ltd. 3.34
Bharat Forge Ltd. 2.98
Methodology
No. of Constituents
Launch Date
Base Date
Base Value
Calculation Frequency
Index Rebalancing
Free Float Market Capitalization
15
July 12, 2011
January 01, 2004
1000
Real-time Daily
Semi-Annually
Std. Deviation *
Beta (Nifty 50)
Correlation (Nifty 50)
19.48
1.03
0.85
19.78
0.95
0.81
24.43
0.82
0.82
Portfolio Characteristics
FundamentalsP/E P/B Dividend Yield
41.47 6.28 0.79
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Disclaimer: All information contained herewith is provided for reference purpose only. IISL ensures accuracy and reliability of the above information to the best of its endeavors. However, IISLmakes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and disclaim any and all liability whatsoever to any person for anydamage or loss of 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 anyprofessional advice.
# QTD,YTD and 1 year returns are absolute returns.Returns for greater than one year are CAGR returns.* Average daily standard deviation annualised
