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Russell/Nomura Indexes Annual Reconstitution

November 22, 2021

Nomura Securities Co., Ltd.

Tokyo, November 22, 2021 - Nomura Securities Co., Ltd. and FTSE Russell today announced that the Russell/Nomura Japan Equity Indexes' annual reconstitution for 2021 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 1,500. 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 1,500 as a result of 66 additions and 154 deletions. The total capitalization of the index was approximately 505 trillion yen (as of October 15, 2021; float-adjusted).

The number of constituents in the Large Cap Index was 300 stocks, decreasing by 50 stocks from the annual reconstitution held last year. The number of stocks in the Top Cap Index was unchanged at 60, and the Mid Cap Index decreased by 50 stocks to 240. 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 400 and 800 stocks, respectively (see Chart 1).

The Total Value Index had 64 additions and 169 deletions, while the Total Growth Index had 95 additions and 155 deletions. The capitalization turnover ratios (one-sided) for the Total Value and Growth indexes are 10.6% and 11.8%, respectively (see Chart 2). In terms of sector concentration in the Large Cap Index, the weighting of "Information & Communication" is tilted toward Value this year, while the weighting of "Chemicals" and "Electric Appliances" is tilted toward Growth. In the Small Cap Index, the weighting of "Foods" increased in both Value and Growth, while the weighting of "Services" decreased in both styles (see Chart 3).

Chart 1 Russell/Nomura Japan Equity Indexes

Note: Number of stocks is as of November 22, 2021 following annual reconstitution

Chart 2 November 2021 Rebalancing Summary

Note: "Percentage of total market cap" is based on the share price as of October 15, 2021.Turnover ratio (one-sided) is calculated:
[Σ | market cap weighting before reconstitution - market cap weighting after reconstitution | /2]

Chart 3 Change in Weighting by Sector in Russell/Nomura Style Indexes

Note: Based on the share price as of October 15, 2021. Highlights in red indicate that the weighting increased by 1 pp. or more, while highlights in gray indicate that the weighting decreased by 1 pp. or more. Changes by 2 pp. or more are highlighted in darker colors.

Russell/Nomura Prime Index Had 36 Additions and 28 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 36 additions and 28 deletions. The total market capitalization of the Prime Index is approximately 494 trillion yen (as of October 15, 2021; float-adjusted), and the turnover ratio (one-sided) of the index is 1.6%.
26 stocks entered the index for the first time, including 10 stocks from the "Services" sector and 3 stocks from the "Information & Communication" sector.

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 22, 2021, 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.
Global Research Division,
Financial Engineering & Technology Research Center
Index Operations Dept.
E-mail: idx_mgr@jp.nomura.com

Nomura

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 three business divisions: Retail, Wholesale (Global Markets and Investment Banking), and Investment Management. 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.

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