Mumbai: India Index Services & Products, a joint venture between the National Stock Exchange and Crisil, Monday launched three new indices -- the CNX Low Volatility Index, the CNX High Beta Index and the CNX Alpha Index.
The CNX Low Volatility index aims to measure the performance of the least volatile securities listed on the NSE, to create a portfolio of least-volatile securities which shall curb the downside during the bear phases, IISL said.
The index comprises 50 securities and weights are assigned based on the volatility value. Security, having the lowest-volatility in the index, gets the highest weight, the release said.
The CNX High Beta Index aims to measure the performance of the stocks listed on NSE that have high beta. Beta is a measure of the sensitivity of stock returns to market returns.
This index is represented by the performance of the S&P CNX Nifty and constitutes 50 securities and weights are assigned based on their Beta values. Stocks having the highest beta get the highest weight, it said.
The index, the CNX Alpha Index, aims to measure the performance of those NSE stocks with high alpha value which are measured on the basis of their risk-adjusted value.
The index also constitutes 50 securities and weights are assigned based on the alpha values and accordingly those scrips with the highest alpha will have highest weight in the index.
The stocks in these indices are selected from the top 300 companies on the NSE based on their average free-float market capitalisation and aggregate turnover for the last six months.
It also said the top 50 securities ranked by low volatility, high beta and high alpha form part of respective index and to reduce the replacements of scrip in the index, a buffer of 100 percent shall be applied in the quarterly reviews, for all the three indices.
The indices will be calculated on an end-of-day basis and their closing value would be available the NSE.