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    Factsheet_Nifty_Futures

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    Factsheet_Nifty_Futures

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    richmondnischal
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    © All Rights Reserved
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    7 views2 pages

    Factsheet_Nifty_Futures

    Uploaded by

    richmondnischal

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 2

    October 31, 2024

    Nifty 50 is the most actively traded index on F&O segment of National Stock Exchange of India Ltd.

    The Nifty 50 Futures Index is designed to track the performance of Nifty 50 Futures contract traded on NSE. The index will track the
    near month Nifty 50 index futures contract. The index incorporates roll over from near-month to mid-month contract three days prior
    to expiry of near month contract. The index can be used as a benchmark for investment products linked to Nifty 50 futures contract.

    Index Variant: Nifty 50 Futures TR Index

    Portfolio Characteristics Statistics


    Methodology Price Returns Since
    QTD YTD 1 Year 5 Years
    Inception
    Launch Date June 16, 2016
    Returns (%) # -6.67 5.51 18.93 10.69 10.19
    Base Date April 01, 2005
    Base Value 1000 Since
    1 Year 5 Years
    Inception
    Calculation Frequency End of day
    Std. Deviation * 13.51 19.25 22.17
    Beta (NIFTY 50) 0.99 1.01 1.03
    Weights to contracts during expiry Correlation (NIFTY 50) 0.99 0.99 0.99
    Near-Month Mid-Month
    Period before Roll over 100% 0%
    Expiry – 3 day 75% 25%
    Expiry – 2 day 60% 40%
    Expiry – 1 day 45% 55%
    Expiry day 30% 70%

    # QTD,YTD and 1 year returns are absolute returns.Returns for greater than one year are CAGR returns.
    * Average daily standard deviation annualised

    Disclaimer: All information contained herewith is provided for reference purpose only. NSE Indices Limited (formerly known as India Index Services & Products Limited-IISL) ensures accuracy
    and reliability of the above information to the best of its endeavors. However, NSE Indices Limited makes 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 any damage 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 any professional advice.
    1
    October 31, 2024

    Index Methodology
    i. Index is constructed using the near month Nifty 50 futures contract (Symbol: Nifty) traded on NSE

    ii. The near month futures contract expire on last Thursday of each month. Index will start roll over to mid-month contract 3 days prior
    to expiry day of near month contract

    iii. The percentage shift in weights is based on the 1 year average roll over percentage observed during the expiry week. This shall be
    reviewed semi-annually

    Index Governance:
    A professional team manages all NSE indices. There is a three-tier governance structure comprising the Board of Directors of NSE
    Indices Limited, the Index Advisory Committee (Equity) and the Index Maintenance Sub-Committee.

    Key Indices
    Broad Market Indices Sectoral Indices Thematic Indices Strategy Indices Fixed Income
    NIFTY 50 NIFTY Bank NIFTY CPSE NIFTY100 Equal Weight NIFTY 10 yr Benchmark G-Sec
    NIFTY Next 50 NIFTY IT NIFTY Commodities NIFTY50 PR 1x Inverse NIFTY 8-13 yr G-Sec
    NIFTY 100 NIFTY PSU Bank NIFTY Energy NIFTY50 PR 2x LeverageNIFTY 4-8 yr G-Sec
    NIFTY 200 NIFTY FMCG NIFTY Shariah 25 NIFTY50 Value 20 NIFTY 11-15 yr G-Sec
    NIFTY 500 NIFTY Private Bank NIFTY 100 Liquid15 NIFTY Quality 30 NIFTY 15 yr and above G-Sec
    NIFTY Midcap 50 NIFTY Metal NIFTY Infrastructure NIFTY Low Volatility 50 NIFTY Composite G-Sec
    NIFTY Full Midcap 100 NIFTY Financial ServicesNIFTY Corporate GroupNIFTY Alpha 50 NIFTY 1D Rate

    Contact Us:
    Email: indices@nse.co.in | Tel: +91 22 26598386 | Fax: +91 22 26598120
    Learn more at: www.niftyindices.com
    2

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