Strategy

S&P BSE ENHANCED VALUE INDEX

Description
The S&P BSE Enhanced Value Index is designed to measure the performance of the 30 companies in the S&P BSE
LargeMidCap with the highest valuations based on three fundamental measures – book value-to-price, earnings-to-price
and sales-to-price.

Index Attributes
The value factor is one of the oldest and most established risk premia in financial markets; historically, stocks with
attractive valuations have tended to outperform the broader market. The S&P BSE Enhanced Value Index seeks to
capture this premium using a simple and transparent approach by selecting stocks based on a “value score” that is a
composite of valuation metrics, including book value-to-price, earnings-to-price, and sales-to-price.

Methodology Construction
• Universe. All companies must be members of the S&P BSE LargeMidCap to be eligible for inclusion in the index.
• Size and Liquidity. Eligible constituents must have a minimum float-adjusted market capitalization of INR 20 billion and
a minimum annualized traded value of INR 10 billion.
• Constituent Selection. Securities are first ranked in descending order by their value score, which is an equal-weighted
composite constructed from the following three ratios:

1. Earnings-to-Price
2. Book Value-to-Price
3. Sales-to-Price
The top 24 stocks with the highest value scores are selected for inclusion. Existing constituents ranked 25-36 are
selected in order of highest rank, until the target constituent count of 30 is reached. If 30 constituents are not reached at
this point, non-constituents ranked 25-36 are selected in order of highest rank until the target is reached.
• Constituent Weightings. Constituents are weighted by the product of their float-adjusted market capitalization and
value score, subject to security and sector constraints.
• Diversification. The maximum sector weight is set at 30% and the weight of any single constituent is capped at the
lower of 5% and 20 times its market capitalization weight in the parent index. Each stock’s weight is floored at 0.05%.

Quick Facts
WEIGHTING METHOD Score weighted
REBALANCING FREQUENCY Semiannually in March and September
CALCULATION FREQUENCY End of day
CALCULATION CURRENCIES INR, USD
LAUNCH DATE December 3, 2015
FIRST VALUE DATE September 16, 2005

For more information, view the methodology document at https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-bse-

factor-indices.pdf.

All information for an index prior to its Launch Date is back-tested, based on the methodology that was in effect on the Launch Date. Back-tested
performance, which is hypothetical and not actual performance, is subject to inherent limitations because it reflects application of an Index
methodology and selection of index constituents in hindsight. No theoretical approach can take into account all of the factors in the markets in general
and the impact of decisions that might have been made during the actual operation of an index. Actual returns may differ from, and be lower than,
back-tested returns.

www.asiaindex.co.in index_services@spbse.com AS OF MARCH 28, 2024

 Strategy
S&P BSE ENHANCED VALUE INDEX

Historical Performance
* Data has been re-based at 100

S&P BSE Enhanced Value Index TR S&P BSE LargeMidCap TR

Performance
INDEX LEVEL RETURNS ANNUALIZED RETURNS
1 MO 3 MOS YTD 1 YR 3 YRS 5 YRS 10 YRS

TOTAL RETURNS

1,444.48 0.52% 14.79% 14.79% 92.23% 43.75% 29.74% 17.68%

PRICE RETURNS

854.67 0.45% 14.07% 14.07% 83.47% 36.58% 24.2% 13.82%

BENCHMARK* TOTAL RETURNS

12,188.98 1.41% 4.89% 4.89% 38.72% 18.57% 16.72% 15.36%

BENCHMARK* PRICE RETURNS

9,503.41 1.39% 4.7% 4.7% 36.85% 17.02% 15.2% 13.83%

* The index benchmark is the S&P BSE LargeMidCap

www.asiaindex.co.in index_services@spbse.com AS OF MARCH 28, 2024

 Strategy
S&P BSE ENHANCED VALUE INDEX

Calendar Year Performance

2023 2022 2021 2020 2019 2018 2017 2016 2015 2014

TOTAL RETURNS

62.17% 26.25% 56.93% 12.76% -7.3% -26.88% 45.98% 16.56% -15.84% 40.03%

PRICE RETURNS

53.86% 18.98% 49.24% 8.61% -9.82% -28.78% 42.84% 14.54% -17.68% 37.09%

BENCHMARK* TOTAL RETURNS

24.8% 5.7% 28.35% 16.9% 10.28% 1.15% 34.18% 5.53% -0.46% 35.65%

BENCHMARK* PRICE RETURNS

23.06% 4.2% 26.81% 15.27% 9.02% -0.23% 32.44% 4.08% -1.77% 33.63%

* The index benchmark is the S&P BSE LargeMidCap

Risk
ANNUALIZED RISK ANNUALIZED RISK-ADJUSTED RETURNS

3 YRS 5 YRS 10 YRS 3 YRS 5 YRS 10 YRS

STD DEV

20.45% 27.94% 26.67% 2.14 1.06 0.66

BENCHMARK* STD DEV

13.23% 18.75% 16.46% 1.4 0.89 0.93

Risk is defined as standard deviation calculated using monthly values.
* The index benchmark is the S&P BSE LargeMidCap

Fundamentals
P/E [TRAILING] P/E [PROJECTED] P/B INDICATED DIV YIELD P/SALES P/CASH FLOW

9.1 9.07 1.7 2.68% 0.61 -6.52

As of February 29, 2024. Fundamentals are updated on approximately the fifth business day of each month.

Index Characteristics
NUMBER OF CONSTITUENTS 30
CONSTITUENT MARKET CAP [INR CRORE]
MEAN TOTAL MARKET CAP 132,112.66
LARGEST TOTAL MARKET CAP 671,666.3
SMALLEST TOTAL MARKET CAP 7,768.29
MEDIAN TOTAL MARKET CAP 94,819.55
WEIGHT LARGEST CONSTITUENT [%] 9.9
WEIGHT TOP 10 CONSTITUENTS [%] 66

www.asiaindex.co.in index_services@spbse.com AS OF MARCH 28, 2024

 Strategy
S&P BSE ENHANCED VALUE INDEX

ESG Carbon Characteristics

CARBON TO VALUE INVESTED (METRIC TONS CO2e/$1M INVESTED)* 1,003.28
CARBON TO REVENUE (METRIC TONS CO2e/$1M REVENUES)* 850.2
WEIGHTED AVERAGE CARBON INTENSITY (METRIC TONS CO2e/$1M REVENUES)* 1,204.71
FOSSIL FUEL RESERVE EMISSIONS (METRIC TONS CO2/$1M INVESTED) 44,340.99

*Operational and first-tier supply chain greenhouse gas emissions.

For more information, please visit: www.spdji.com/esg-carbon-metrics.

Top 10 Constituents By Index Weight

CONSTITUENT SYMBOL SECTOR*
Hindalco Industries Ltd 500440 Commodities
Grasim Industries Ltd 500300 Commodities
State Bank of India 500112 Financial Services
Oil & Natural Gas Corp Ltd 500312 Energy
Indian Oil Corp Ltd 530965 Energy
Bharat Petroleum Corp Ltd 500547 Energy
Vedanta Ltd 500295 Commodities
Hindustan Petroleum Corp Ltd 500104 Energy
Gail India Ltd 532155 Energy
Jindal Steel & Power Ltd 532286 Commodities

*Based on GICS® sectors

Tickers
TICKER REUTERS
TOTAL RETURNS SPBSEVIT N/A
PRICE RETURNS SPBSEVIP n/a

www.asiaindex.co.in index_services@spbse.com AS OF MARCH 28, 2024

 Strategy
S&P BSE ENHANCED VALUE INDEX

Disclaimer
Source: Asia Index Private Limited.

The launch date of the S&P BSE Enhanced Value Index was December 3, 2015. The launch date of the S&P BSE LargeMidCap was April 15, 2015.

All information presented prior to the index launch date is back-tested. Back-tested performance is not actual performance, but is hypothetical. The
back-test calculations are based on the same methodology that was in effect when the index was officially launched. Past performance is not a
guarantee of future results. Please see the Performance Disclosure at http://www.asiaindex.co.in/regulatory-affairs-disclaimers/ for more information
regarding the inherent limitations associated with back-tested performance.

© Asia Index Private Limited 2024. All rights reserved. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without
written permission. The S&P BSE Indices (the “Indices”) are published by Asia Index Private Limited (“AIPL”), which is a joint venture among affiliates of
S&P Dow Jones Indices LLC (“SPDJI”) and BSE Limited (“BSE”). Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s
Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). BSE® and SENSEX®
are registered trademarks of BSE. These trademarks have been licensed to AIPL. AIPL, BSE, S&P Dow Jones Indices LLC or their respective affiliates
(collectively “AIPL Companies”) make no representation or warranty, express or implied, as to the ability of any index to accurately represent the asset
class or market sector that it purports to represent and AIPL Companies shall have no liability for any errors, omissions, or interruptions of any index or
the data included therein. Past performance of an index is not an indication of future results. This document does not constitute an offer of any
services. All information provided by AIPL Companies is general in nature and not tailored to the needs of any person, entity or group of persons. It is not
possible to invest directly in an index. AIPL Companies may receive compensation in connection with licensing its indices to third parties. Exposure to
an asset class represented by an index is available through investable instruments offered by third parties that are based on that index. AIPL
Companies do not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that seeks to provide an investment
return based on the performance of any Index. AIPL and S&P Dow Jones Indices LLC are not an investment advisor, and the AIPL Companies make no
representation regarding the advisability of investing in any such investment fund or other investment vehicle. For more information on any of our
indices please visit www.spdji.com and www.asiaindex.co.in.

CONTACT US

www.asiaindex.co.in MUMBAI TOKYO MEXICO CITY

index_services@spbse.com +91-22-2272-5312 81 3 4550 8564 52 (55) 1037 5290

BEIJING SYDNEY LONDON

86.10.6569.2770 61 2 9255 9802 44 207 176 8888

HONG KONG NEW YORK DUBAI

852 2532 8000 1 212 438 7354 971 (0)4 371 7131
1 877 325 5415