Quantitative
breadth, dispersion, correlation, liquidity — all corporate-action adjusted
Every return on this page is adjusted for corporate actions, and that is not a detail.
equity_daily is raw, and prev_close is simply the previous close rather than NSE's adjusted one — so a split or bonus becomes a real-looking return with nothing to flag it. Across the Nifty 500 over six years there are 127 log-returns beyond ±40% spanning 110 distinct symbols. Unadjusted, RELIANCE's five-year volatility reads 38.05% instead of 22.40%, its excess kurtosis 526 instead of 3.3, and INFY's maximum drawdown becomes −87.9% dated 2020 instead of −50.7% dated 2026 — the wrong number and the wrong year. Volatility is annualised over 247 trading days, this market's measured mean for 2015–2025, not the textbook 252.Market breadth
Nifty500 constituents above their own moving averages · 509 sessions
492 of 498 names qualify for a 200-day window
Above 50-day
37.1%
Above 200-day
51.8%
Advances
812
1442 declines
A/D line
−70.9k
cumulative, this window
above 50-dayabove 200-day
509 points · hover for any day
Advance–decline line
cumulative A−D
508 points · hover for any day
Whole market, ETFs excluded; +/-5bp treated as unchanged. When this falls while the index rises, a handful of large names are carrying it.
Dispersion and correlation
Two readings of the same question: is the index the whole story?
60-day correlation window
Dispersion
1.81%
cross-section of 498 names
Avg correlation
0.133
names moving independently
Index breadth read
Stock-pickers'
low correlation favours selection
Constituents
50
Nifty50
cross-sectional σ of daily returns
508 points · hover for any day
Average pairwise correlation
ρ, 60-day
448 points · hover for any day
Sector rotation
Equal-weighted returns by lookback · as of 2026-09-09
equal-weighted, Nifty 500 constituents only
| Sector | Names | 1 week | 1 month | 3 months | 6 months | 1 year | 3-month |
|---|---|---|---|---|---|---|---|
| Consumer Services | 29 | +0.02% | -1.14% | +12.47% | +11.50% | -20.11% | |
| Healthcare | 48 | +0.75% | +0.75% | +11.13% | +25.34% | +15.79% | |
| Realty | 11 | -0.81% | -1.30% | +10.88% | +11.12% | -5.87% | |
| Oil Gas & Consumable Fuels | 17 | +1.62% | +0.99% | +10.24% | +9.87% | +15.22% | |
| Services | 14 | +0.52% | -1.79% | +10.18% | +8.70% | +4.73% | |
| Textiles | 5 | -0.26% | +2.67% | +8.51% | +26.20% | +20.54% | |
| Financial Services | 101 | -0.38% | -1.24% | +6.91% | +6.26% | -0.54% | |
| Consumer Durables | 16 | -1.42% | -4.23% | +6.81% | +3.33% | -12.36% | |
| Automobile and Auto Components | 38 | -1.33% | -5.21% | +6.56% | +11.84% | +11.23% | |
| Capital Goods | 62 | +1.74% | +1.23% | +6.35% | +22.78% | +24.20% | |
| Chemicals | 26 | -0.31% | -2.91% | +4.27% | +11.74% | -2.98% | |
| Information Technology | 27 | -4.34% | -5.67% | +2.40% | +7.84% | -14.07% | |
| Construction Materials | 11 | -1.21% | -7.56% | +0.50% | -5.52% | -19.37% | |
| Metals & Mining | 18 | +1.92% | +0.32% | +0.41% | +4.22% | +24.60% | |
| Fast Moving Consumer Goods | 28 | -1.13% | -5.39% | -0.48% | +1.70% | -14.87% | |
| Media Entertainment & Publication | 5 | +1.30% | -1.83% | -0.94% | +12.80% | +8.33% | |
| Construction | 13 | -0.70% | -4.03% | -2.74% | +2.94% | -21.82% | |
| Telecommunication | 9 | +0.50% | +0.31% | -4.32% | +6.66% | +9.93% | |
| Power | 17 | +1.22% | -3.99% | -8.02% | +12.76% | +1.40% |
Delivery today, movement tomorrow
Nifty500 · 3,40,906 observations, ranked within each session
quintile 1 = lowest delivery
Q1
27.12% delivered
1.97%
Q2
39.44% delivered
1.70%
Q3
46.86% delivered
1.58%
Q4
54.04% delivered
1.49%
Q5
65.66% delivered
1.38%
average next-day absolute return by delivery quintile
| Quintile | Avg delivery | Next-day |return| | Observations |
|---|---|---|---|
| Q1 | 27.1% | 1.9693% | 68,463 |
| Q2 | 39.4% | 1.7022% | 68,351 |
| Q3 | 46.9% | 1.5769% | 68,191 |
| Q4 | 54.0% | 1.4896% | 68,033 |
| Q5 | 65.7% | 1.3759% | 67,868 |
Turnover concentration
Share of the session's traded value held by the largest N names · 2026-09-09
total 119875 Cr
Top 5
9.5%
Top 10
15.9%
Top 25
29.6%
Top 50
42.8%
Top 100
57.5%
cumulative share of the day's traded value
| # | Symbol | Turnover | Share | Cum. |
|---|---|---|---|---|
| 1 | GRAPHITE | 3061 Cr | 2.55% | 2.5% |
| 2 | HDFCBANK | 2717 Cr | 2.27% | 4.8% |
| 3 | COFORGE | 1996 Cr | 1.67% | 6.5% |
| 4 | ICICIBANK | 1982 Cr | 1.65% | 8.1% |
| 5 | ADANIENT | 1641 Cr | 1.37% | 9.5% |
| 6 | WHEELS | 1563 Cr | 1.30% | 10.8% |
| 7 | RELIANCE | 1563 Cr | 1.30% | 12.1% |
| 8 | ANTELOPUS | 1547 Cr | 1.29% | 13.4% |
| 9 | MVELECTRO | 1521 Cr | 1.27% | 14.7% |
| 10 | BSE | 1437 Cr | 1.20% | 15.9% |
| 11 | PAYTM | 1432 Cr | 1.20% | 17.1% |
| 12 | INFY | 1405 Cr | 1.17% | 18.2% |
| 13 | IFCI | 1402 Cr | 1.17% | 19.4% |
| 14 | CHENNPETRO | 1316 Cr | 1.10% | 20.5% |
| 15 | MOLBIO | 1179 Cr | 0.98% | 21.5% |
| 16 | LT | 1175 Cr | 0.98% | 22.5% |
| 17 | DLF | 1134 Cr | 0.95% | 23.4% |
| 18 | BHARTIARTL | 1017 Cr | 0.85% | 24.3% |
| 19 | COALINDIA | 986 Cr | 0.82% | 25.1% |
| 20 | ADANIPORTS | 971 Cr | 0.81% | 25.9% |
Price impact (Amihud illiquidity)
Nifty500 · median |log return| per ₹1 crore of turnover · 500 names
842× spread across the index
Deepest — least impact per crore
| Symbol | Impact | Avg turnover | Sessions |
|---|---|---|---|
| HDFCBANK | 3.24e-6 | 2992 Cr | 167 |
| ICICIBANK | 4.45e-6 | 2058 Cr | 167 |
| RELIANCE | 4.96e-6 | 2105 Cr | 167 |
| BHARTIARTL | 6.34e-6 | 1533 Cr | 167 |
| SBIN | 7.51e-6 | 1474 Cr | 167 |
| INFY | 9.04e-6 | 1600 Cr | 167 |
| LT | 1.10e-5 | 997 Cr | 167 |
| AXISBANK | 1.20e-5 | 902 Cr | 167 |
| BSE | 1.27e-5 | 1421 Cr | 167 |
| TCS | 1.29e-5 | 1040 Cr | 167 |
| ETERNAL | 1.42e-5 | 1159 Cr | 167 |
| ITC | 1.42e-5 | 579 Cr | 167 |
| BAJFINANCE | 1.43e-5 | 854 Cr | 167 |
| M&M | 1.45e-5 | 912 Cr | 167 |
| KOTAKBANK | 1.48e-5 | 667 Cr | 167 |
| SUNPHARMA | 1.51e-5 | 518 Cr | 167 |
| MARUTI | 1.70e-5 | 647 Cr | 167 |
| BEL | 1.73e-5 | 628 Cr | 167 |
| TATASTEEL | 1.81e-5 | 596 Cr | 167 |
| HAL | 1.98e-5 | 548 Cr | 167 |
| ONGC | 2.07e-5 | 474 Cr | 167 |
| TITAN | 2.09e-5 | 441 Cr | 167 |
| NTPC | 2.12e-5 | 415 Cr | 167 |
| MCX | 2.18e-5 | 917 Cr | 167 |
| POWERGRID | 2.21e-5 | 370 Cr | 167 |
| VEDL | 2.22e-5 | 934 Cr | 167 |
| COALINDIA | 2.26e-5 | 507 Cr | 167 |
| ADANIPOWER | 2.37e-5 | 631 Cr | 167 |
| HINDALCO | 2.37e-5 | 586 Cr | 167 |
| EICHERMOT | 2.42e-5 | 416 Cr | 167 |
Thinnest — most impact per crore
| Symbol | Impact | Avg turnover | Sessions |
|---|---|---|---|
| SPLPETRO | 2.73e-3 | 13 Cr | 167 |
| GALLANTT | 1.92e-3 | 94 Cr | 167 |
| TRAVELFOOD | 1.90e-3 | 9 Cr | 167 |
| EIHOTEL | 1.71e-3 | 24 Cr | 167 |
| JSWDULUX | 1.67e-3 | 8 Cr | 102 |
| DCMSHRIRAM | 1.63e-3 | 10 Cr | 167 |
| BBTC | 1.62e-3 | 22 Cr | 167 |
| BLUEDART | 1.54e-3 | 10 Cr | 167 |
| NUVOCO | 1.48e-3 | 32 Cr | 167 |
| RHIM | 1.39e-3 | 37 Cr | 167 |
| ABLBL | 1.35e-3 | 17 Cr | 167 |
| ASAHIINDIA | 1.31e-3 | 19 Cr | 167 |
| TTML | 1.26e-3 | 18 Cr | 167 |
| INDIACEM | 1.23e-3 | 20 Cr | 167 |
| CHALET | 1.21e-3 | 12 Cr | 167 |
| ERIS | 1.17e-3 | 13 Cr | 167 |
| GODREJIND | 1.12e-3 | 29 Cr | 167 |
| SUMICHEM | 1.11e-3 | 28 Cr | 167 |
| NIVABUPA | 1.10e-3 | 15 Cr | 167 |
| BIKAJI | 1.09e-3 | 10 Cr | 167 |
| AIIL | 1.06e-3 | 38 Cr | 167 |
| TEGA | 1.05e-3 | 24 Cr | 167 |
| GODIGIT | 1.04e-3 | 18 Cr | 167 |
| SAPPHIRE | 1.02e-3 | 34 Cr | 167 |
| BAYERCROP | 1.02e-3 | 12 Cr | 167 |
| PFIZER | 1.00e-3 | 16 Cr | 167 |
| JUBLINGREA | 9.91e-4 | 22 Cr | 167 |
| UTIAMC | 9.42e-4 | 17 Cr | 167 |
| SBFC | 9.33e-4 | 19 Cr | 167 |
| RITES | 9.30e-4 | 45 Cr | 167 |
Survivorship is stated, not solved. equity_daily holds 5,409 distinct EQ symbols and only 2,678 still traded in September 2026. Cross-sections here use today's index membership, so a historical breadth reading is the breadth of today's constituents rather than of the index as it stood — against point-in-time membership for 2018, only 228 of 500 names overlap. The one table carrying membership history is a reconstruction that leaves Reliance out of the Nifty 50, so the choice was to say this plainly or to ship nothing.