Factors
Code: pipeline/tipsheet/compute/factors.py, publish/factors.py (run inside the indices step).
Bundles: factors/*. Page: /factors/.
Which index stands for each factor
For each factor, the NSE strategy index with the longest live record (earliest launch), compared with the universe it selects from, so the comparison isolates the factor rule rather than a size difference:
| Factor | Index | Live since | Compared with |
|---|---|---|---|
| Low volatility | Nifty100 Low Volatility 30 | Jul 2016 | Nifty 100 |
| Quality | Nifty200 Quality 30 | Apr 2018 | Nifty 200 |
| Value | Nifty500 Value 50 | Oct 2018 | Nifty 500 |
| Momentum | Nifty200 Momentum 30 | Aug 2020 | Nifty 200 |
| Alpha | Nifty Alpha 50 | Nov 2012 | Nifty 500 (its 300-stock selection universe has no NSE index of its own) |
| Equal weight | Nifty100 Equal Weight | Jun 2013 | Nifty 100 |
The Nifty500 factor family (Momentum 50, Quality 50, Low Volatility 50) shares one parent but launched in 2024–25, so nearly all of its history is back-calculated; it was not used.
Measures
- Lead: the factor’s total return minus its parent’s, in percentage points; beyond a year, the difference of annualised returns. Total-return indices throughout.
- Live and back-calculated: launch dates from NSE factsheets (
compute/trend_launch_dates.csv). The lead per year is computed separately before and after launch. Everything before launch is NSE’s back-calculation, made with the rule already chosen; see C12 indocs/research/site_calculations_spec.mdfor the test across all strategy indices. - Rolling lead: the factor’s 252-session return minus the parent’s, weekly.
- Since launch: factor ÷ parent, 100 at launch, live data only.
- Calendar years: each year’s return minus the parent’s (the latest year to date). Includes back-calculated years; the page labels each factor’s launch year.
- Falls and rallies: average monthly lead in the Nifty 500 TRI’s worst and best tenth of months since May 2005 (26 each), and in the other months. Descriptive, includes back-calculated years.
- Overlap: correlation of monthly leads over the last five years.
- Risk: volatility and tracking error (standard deviation of daily lead) over the last 756 sessions, annualised; worst and current fall of factor ÷ parent from its running peak.
- Valuation: latest P/E, P/B and dividend yield from NSE’s index valuation data, which for these indices starts on 31 August 2026, so there is no history to rank them against yet.
Limits
- A factor index is one implementation of a factor; another provider’s momentum or quality rule can behave differently.
- Fund returns trail index returns by costs and tracking difference.
- Correlations and falls-and-rallies figures describe the past; with 26 months in each tail they are estimates, not constants.