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Russell/Nomura Indexes Annual Reconstitution
November 21, 2022
Nomura Securities Co., Ltd.
Tokyo, November 21, 2022 - Nomura Securities Co., Ltd. and FTSE Russell today announced that the Russell/Nomura Japan Equity Indexes' annual reconstitution for 2022 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 65 deletions and 72 additions. The total capitalization of the index was approximately 471 trillion yen (as of October 14, 2022; float-adjusted).
The number of constituents in the Large Cap Index was 300 stocks, the same as last year. The number of stocks in the Top Cap Index and Mid Cap Index, both sub-indices of the Large Cap Index, was unchanged at 60 and 240, respectively. The Small Cap Core Index and Micro Cap Index, sub-indices of the Small Cap Index, which accounts for the bottom 15% of the Total Market Index, had 400 and 800 stocks, respectively, remaining unchanged from last year (see Chart 1).
The Total Value Index had 86 deletions and 82 additions, while the Total Growth Index had 93 deletions and 126 additions. The capitalization turnover ratios (one-sided) for the Total Value and Growth indexes are 11.2% and 11.4%, respectively (see Chart 2). In terms of sector concentration, the weighting of “Information & Communication” is tilted toward Growth, while the Value weighting decreased. In the Large Cap Index, Growth weightings decreased for “Electric Appliances” and increased for “Land Transportation.” In the Small Cap Index, the weighting of “Electric Appliances” is tilted toward Value, while the weighting of “Land Transportation” and “Retail Trade” decreased in both styles (see Chart 3).
Chart 1 Russell/Nomura Japan Equity Indexes
Chart 2 November 2022 Rebalancing Summary
Chart 3 Change in Weighting by Sector in Russell/Nomura Style Indexes
Russell/Nomura Prime Index Had 24 Deletions and 32 Additions
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 24 deletions and 32 additions. The total market capitalization of the Prime Index was approximately 461 trillion yen (as of October 14, 2022; float-adjusted), and the turnover ratio (one-sided) of the index was 1.3% (see Chart 2).
13 stocks entered the index for the first time, including 4 stocks from the “Information & Communication” sector and 3 stocks from the “Service” sector. Others were adopted from “Wholesale Trade”, “Precision Instruments”, “Banks”, “Other Financing Business” and “Real Estate”.
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 weighted by float-adjusted market cap 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 21, 2022, after closing on Nov 18). 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.
Nomura is a global financial services group with an integrated network spanning over 30 countries and regions. By connecting markets East & West, Nomura services the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Investment Management, and Wholesale (Global Markets and Investment 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.