September 2018 INDXX INDIA INFRASTRUCTURE INDEX METHODOLOGY
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1 September 2018 INDXX INDIA INFRASTRUCTURE INDEX METHODOLOGY
2 CONTENTS 1. INDXX INDIA INFRASTRUCTURE INDEX INDEX DESCRIPTION CREATION OF MASTER LIST Initial Universe Free Float Maximum Price Security Type Foreign Institutional Investor (FII) Limit Share Classes SECURITY SELECTION PROCESS FINAL COMPOSITION WEIGHTING BUFFER RULES Market Capitalization Liquidity RECONSTITUTION AND REBALANCING RULES INDEX REVIEW PROCESS CORPORATE ACTIONS DISCLAIMER... 5 September
3 1. INDXX INDIA INFRASTRUCTURE INDEX 1.1 INDEX DESCRIPTION The India Infrastructure Index is designed to track the performance of companies in the infrastructure industry in India. The index has a base date of September 29, 2006 with an initial value of 1,000. The index is currently available in the following versions: Total Return (Bloomberg Ticker: IINXXT) Price Return (Bloomberg Ticker: IINXX) 1.2 CREATION OF MASTER LIST Initial Universe To be eligible for inclusion in the Initial Universe, securities must have: Their listing on Indian Stock Exchanges. A minimum market capitalization of $100 million. A 6-month average daily turnover greater than or equal to $3 million. Traded for at least 90% of the total trading days over the last 6 months on their respective stock exchanges, and at least 90% of the total trading days over the last 3 months for an Initial Public Offering ( IPO ) security Free Float All securities must have a minimum free float equivalent to 10% of shares outstanding Maximum Price Securities trading at a price of $10,000 or above are ineligible for inclusion in the universe. This rule is not applicable for existing constituents. Existing constituents shall remain in the universe irrespective of their stock price Security Type The following security types are eligible for inclusion: Common Stock Foreign Institutional Investor (FII) Limit Available FII Limit of each security should be at least 5%. Securities which are a part of the Government of India restrictive list for foreign investors would not be considered for inclusion in the universe. September
4 1.2.6 Share Classes If multiple share classes exist for a company, the most liquid share class is considered for inclusion in the portfolio. 1.3 SECURITY SELECTION PROCESS All the companies from the universe which belong to the Infrastructure Industries as defined by Indxx are included in the Selection List. 1.4 FINAL COMPOSITION From the Selection List: The top 30 companies by market capitalization will form the final index. There is a security cap of 3 securities for each industry. If more than three companies qualify for inclusion from one industry, all additional securities (starting from the fourth largest) in that industry are replaced by the next largest securities from the Selection List, that belong to non-capped industries. 1.5 WEIGHTING The index is weighted as follows: Components are weighted based on their security-level free float market capitalization. A single security cap of 4.90% is applied. If the weight of a constituent(s) exceeds 4.90%, the excess weight is proportionately allocated to the remaining constituents. 1.6 BUFFER RULES Buffer Rules are employed to reduce Portfolio Turnover. The following buffer rules apply: Market Capitalization A constituent shall continue to be included in the Initial Universe if its market capitalization is greater than or equal to 80% of the previously defined market capitalization limit Liquidity A constituent shall continue to be included in the Initial Universe if its 6-month ADTV is greater than or equal to 70% of the previously defined liquidity limit. 1.7 RECONSTITUTION AND REBALANCING RULES The index follows an annual reconstitution and rebalancing schedule. The new portfolio becomes effective at the close of second last Friday of September each year. This day is called the Effective Day. September
5 If there are seven or fewer trading days after the rebalance date up to and including the last trading day of the quarter, the new portfolio becomes effective at the close of third-last Friday of September each year. The security selection and portfolio creation process start on the Friday exactly a month before the Effective Day, called the Selection Day. The selection list is created based on the data as of the Selection Day. Weights are calculated five trading days prior to the Effective Day. Index Shares are frozen using weights as of this day. 1.8 INDEX REVIEW PROCESS At the end of every calendar quarter, each index constituent will be reviewed for any corporate news or event which has significantly impacted the liquidity or raised concerns on corporate governance. The constituents will also be checked for breach of any trading limits. If there is any red flag based on the above checks, the index committee shall decide on continued index membership of the constituent. Any changes to the index composition resulting from the review process will be communicated to the index users subsequently. As a result of the review, effected companies would be removed at the close of the last working day of each quarter (March, June, Sep, December) and their weights would be allocated among remaining index constituents in the proportion of their existing weights. 1.9 CORPORATE ACTIONS Indxx standard Corporate Actions for market cap weighted indices apply. The corporate action guidebook is present in the Announcements section of our website, under Index Documents. September
6 2. DISCLAIMER This methodology document and all information contained herein including, without limitation, all text, data, graphs, charts, visuals and theory (collectively, the information ), were created by and is the sole property of Indxx, LLC. Redistribution, reproduction and/or photocopying of this document in whole or part is prohibited without written permission from Indxx. All information in this document provided by Indxx is impersonal and not tailored to the needs of any person, entity or group. None of the information constitutes an attempt at an offer to sell (or an attempt of an offer to buy), or a promotion or recommendation of, any security, product, investment vehicle or any trading strategy, and Indxx does not endorse, approve or otherwise express any opinion regarding any issuer, security, financial product, instrument, or trading strategy. None of the information, Indxx indices, models, other products or services contained herein is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and should not be relied on as such. A decision to invest in any investment fund or other vehicle should not be made based solely on information or statements contained in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks, fees and expenses associated with investing, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other vehicle. Historical data, analysis and performance of Indxx indices should not be taken as an indication or guarantee of any future performance. Indxx does not guarantee the accuracy and/or completeness of any Indxx index, any data included herein, or any data from which it is based, and Indxx shall have no liability for any errors, omissions, or interruptions therein. All information in these materials in provided as is and the content may change without notice. For more information on the index, please info@indxx.com. Learn more at September
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