Nifty50 & Short Duration Debt – Dynamic P/B
The Nifty 50 & Short Duration Debt – Dynamic P/B Index captures the performance of portfolio where asset allocation between equity and debt is based on Price-Book ratio (P/B) of the Nifty 50. The asset allocation in the index is dynamically managed based on a model that compares the current Price-Book ratio (P/B) with the historical Price-Book ratio (P/B) of Nifty 50 in the previous 7 years.
The index has a base date of 1st April, 2005 and base value of 1000
Asset allocation is based on a model that compares current Price-Book ratio (P/B) with the average, maximum and minimum Price-Book ratio (P/B) of Nifty 50 in previous 7 years
Maximum allocation to equity component is 80% and minimum allocation is 65% (including arbitrage)
Maximum allocation to debt component is 35% (including CBLO) and minimum allocation is 20%
In case arbitrage is used, 10% of the asset allocated to Nifty 50 Futures index (short) is allocated to Nifty 1D Rate index (CBLO)
The asset allocation in the index is rebalanced on a monthly basis
Weights of the equity, fixed income, CBLO and arbitrage component can drift between monthly reset dates due to underlying asset price movement
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