LIX 15 index in National Stock Exchange of India

LIX 15 index

LIX 15 index is introduced in National Stock Exchange of India (NSE) with effect from 08 July 2013. The base date for calculation of LIX 15 index is 01 January 2009 and base value is 1500 points.  As on 28 June 2013, the value of LIX 15 index is 2355.4.  With the increasing investor’s interest to invest in passive portfolios / indices, NSE introduced LIX 15 index.  The main aim of the index is to provide investors which is easily replicable  and tradable.  Present Nifty 50 is not highly efficient in this regard due to high impact cost in some of the stocks.

To achieve the goal of providing highly replicable and tradable index, only stocks with a free float of minimum 15 billion rupees and Turnover Ratio of more than 100% during majority of preceding 6 months at the time of review are included.  Further all the stocks which are part of LIX 15 index shall be eligible to be included in futures and options segment.  Turnover Ratio is calculated as (Monthly Turnover X 12) / Average free float during the month. Further, all the 15 stocks shall be part of CNX 100 index.  Weightage of any stock in the index is capped at 15% of the index value to avoid concentration risk.

As on 01 July 2013, 9 sectors represents the 15 stocks included in the index.  These 15 stocks constitute a turnover of 34% of all stocks traded value in fno segment and 22% of all stocks traded in cash segment of National Stock Exchange of India.  This indicates the highly liquid nature of the index.

LIX 15 index stocks weightage

LIX 15 index stocks weightage

LIX 15 index

State Bank of India has highest weight in the index with weightage of 12.94% and JSW Steel has lowest weightage with a weight of 2.52% in the index.  Similarly, Banking sector has more than 1/3 weightage in the index with 5 stocks representing the index. Banking is followed by Automobile – 4 wheeler sector with an weightage of 21%. These two sectors represent 55% of the total index which indicates high concentration in these two sectors.  Construction has lowest weightage with just 3%.

LIX 15 index sector wise weightage

LIX 15 index sector wise weightage pie chart

LIX 15 index value will be calculated in real time daily during market hours.  Index will be reviewed once in six months to consider any changes in the constituent stocks.  During review of the index, if any constituent stock’s free float value is less than Rupees 40 billion or Turnover Ratio is less than 100% in 3 out of 6 months, such stocks may be excluded from the index.  Anyhow, new stocks to be introduced shall met all eligibility criteria to be included in the index. More than 2 stocks will not be reduced during any semi annual review. If more than 2 stocks met exclusion criteria, then stocks with lower free float market capitalization will be excluded from the index.

LIX 15 index Returns, Beta, Standard Deviation and Correlation with Nifty

YearReturnsStandard DeviationBeta vis-à-vis NiftyCorrelation with Nifty
200976%50%1.1797%
201019%23%1.1597%
2011-37%32%1.2397%
201241%28%1.4292%
Jan-Jun 2013-16%25%1.2287%
Since inception57%34%1.2196%

List of Stocks constituting index

LIX 15 index Constituents weightage as on 01 Jul 2013
Company’s NameWeight
State Bank of India12.94%
Tata Motors Ltd.12.92%
Axis Bank Ltd.12.77%
United Spirits Ltd.8.64%
Maruti Suzuki India Ltd.7.94%
Tata Steel Ltd.7.00%
Cairn India Ltd.6.49%
IDFC Ltd.5.99%
Hindalco Industries Ltd.4.90%
Yes Bank Ltd.4.69%
Bank of Baroda4.15%
Reliance Communications Ltd.3.29%
Jindal Steel & Power Ltd.3.20%
Jaiprakash Associates Ltd.2.56%
JSW Steel Ltd.2.52%

Introduction of this index by National Stock Exchange of India will encourage investors and fund managers to consider it for highly liquid investments along with high exposure to selected stocks.