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Russell/Nomura Indexes Annual Reconstitution
November 20, 2020
Nomura Securities Co., Ltd.
Tokyo, November 20, 2020 - Nomura Securities Co., Ltd. and FTSE Russell today announced that the Russell/Nomura Japan Equity Indexes' annual reconstitution for 2020 has been implemented. The number of constituents in the Russell/Nomura Total Market Index, which captures 98% of the float-adjusted market capitalization of the Japanese equity market, came to 1,600. The membership list has been posted on Nomura Securities Global Research Division, Financial Engineering & Technology Research Center.
The total number of firms in the Russell/Nomura Total Market Index was 1,600 as a result of 121 additions and 102 deletions. The total capitalization of the Index was approximately 406 trillion yen (as of October 15, 2020; float-adjusted). The index turnover was generally high due to the ongoing turmoil in the financial markets caused by the spread of coronavirus.
The number of constituents in the Large Cap Index was 350 stocks, the same as in the annual reconstitution held last year. The number of stocks in the Top Cap Index decreased by 10 to 60 and the Mid Cap Index increased by 15 to 290. The number of stocks in the Small Cap Core Index and the Micro Cap Index, both of which represent the bottom 15% of the Total Market Index, was about the same as last year (see Chart 1).
The Total Value Index had 184 additions and 81 deletions, while the Total Growth Index had 149 additions and 137 deletions. The capitalization turnover ratios (one-sided) for the Total Value and Growth indexes are 16.8% and 17.1%, respectively (see Chart 2). In terms of sector concentration in the Large Cap Index, "Foods" and "Electric Appliances" are now tilted toward Value while "Information & Communication" decreased. The growth weighting of "Information & Communication" is now tilted toward Growth (see Chart 3).
Chart 1 Russell/Nomura Japan Equity Indexes
Chart 2 November 2020 Rebalancing Summary
Chart 3 Change in Weighting by Sector in Russell/Nomura Style Indexes
Russell/Nomura Prime Index Had 61 Additions and 49 Deletions
The Russell/Nomura Prime Index is a sub-index of the Russell/Nomura Total Market Index. The index was designed as a benchmark for passive management strategies for institutional investors and is composed of Japan's top 1,000 market cap stocks (float-adjusted). As a result of this year's reconstitution, the index had 61 additions and 49 deletions. The total market capitalization of the Prime Index is approximately 395 trillion yen (as of October 15, 2020; float-adjusted), and the turnover ratio (one-sided) of the index is 2.4%.
46 stocks entered the index for the first time, including 22 stocks from the Information & Communication sector, which accounted for about half of the newly entered stocks.
About Russell/Nomura Japan Equity Indexes
In 1995, FTSE Russell and Nomura Securities Co., Ltd. jointly developed the Russell/Nomura Japan Equity Indexes that serve to measure performance based on various investment policies. The indexes are value weighted and include only common stocks domiciled in Japan. All indexes are subsets of the Russell/Nomura Total Market Index, which represents approximately 98% of the investable Japan equity market.
The indexes are reconstituted annually in order to accurately reflect changes in the Japanese marketplace. (The annual reconstitution for this year was implemented on Nov 20, 2020, after closing on Nov 19). Component stocks are determined based on the float-adjusted market capitalization as of 15 October each year (or the preceding business day if this is a non-business day).
Securities that leave the Russell/Nomura Indexes between reconstitution dates due to mergers, acquisitions or other similar corporate activity are not replaced. Thus, the number of securities in the indexes over the year fluctuates according to corporate activity. The only additions between reconstitution dates are as a result of spin-offs and initial public offerings falling in the large segment (as determined by the latest reconstitution).
[For inquiries regarding index calculation]
Nomura Securities Co., Ltd. Financial Engineering & Technology Research Center
Index Operations Dept.
Nomura is a global financial services group with an integrated network spanning over 30 countries. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its four business divisions: Retail, Asset Management, Wholesale (Global Markets and Investment Banking), and Merchant Banking. Founded in 1925, the firm is built on a tradition of disciplined entrepreneurship, serving clients with creative solutions and considered thought leadership. For further information about Nomura, visit www.nomura.com.