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Nomura : Russell/Nomura Indexes Annual Reconstitution(PDF 72KB)

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11/20/2017 | 03:06am CET

News Release

Russell/Nomura Indexes Annual Reconstitution Tokyo, November 20, 2017-Nomura Securities Co., Ltd. and FTSE Russell Indexes today announced that the Russell/Nomura Japan Equity Indexes' annual reconstitution for 2017 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 http://qr.nomuraholdings.com/en/frcnri/index.html

The total number of fir ms in the Russell/Nomura Total Market Index was 1,600 as a result of 151 additions and 37 deletions. The total capitalization of the Index was approximately 430 trillion yen (as of October 13, 2017, float-adjusted).

The number of constituents in the Large Cap Index included the same 350 stocks as in the annual reconstitution held last year. The number of stocks in the Top Cap Index and the Mid Cap Index, which are sub-indices of the Large Cap Index, were both the same as last year. The number of stocks in the Small Cap Index, which represents the bottom 15% of the Total Market Index, increased to 1,250 (see Chart 1).

The Total Value Index had 134 additions and 95 deletions, while the Total Growth Index had 210 additions and 87 deletions. The capitalization turnover ratios (one-sided) for the Total Value and Growth indices are low at less than 10% (see Chart 2). In terms of sector concentration, all changes in value and growth weightings are in the 2% range, smaller than last year. With regard to the Large Cap Index, "Land Transportation" and "Retail Trade" are tilted toward Value, while the growth weighting of "Electric Appliances", "Chemicals" and "Machinery" increased by over 1% (see Chart 3). With regard to the Small Cap Index, "Land Transportation" is tilted toward Growth.

Large Chart 1 Russell/Nomura Japan Equity Indexes Total Market (1,600 stocks)

Value Growth

Top Cap

(70 stocks)

Large Ca

(350 stocks

s)

Mid Cap

(280 stock

Small Cap Core

(450 stocks)

Micro Cap

(800 stocks

0% Float-adjusted market cap 50% p

)

Mid-Small Cap

(1,530 stocks)

Prime

(1,000 stocks)

85% Small Cap

(1,250stocks)

Small 95% 100% Low Adjusted P/B

)

High

Note: Number of stocks as of November 20, 2017 following annual reconstitution

Chart 2 Rebalancing Summary

No.of stocks

% of total market cap

Turnover ratio (one-sided)

Pre

Post

Diff

Out

In

Pre

Post

Diff

Total

1,486

1,600

114

37

151

100.00%

100.00%

-

1.6%

Value

1,093

1,132

39

95

134

49.92%

49.30%

-0.62%

9.1%

Growth

796

919

123

87

210

50.08%

50.70%

0.62%

9.8%

Large

350

350

0

17

17

84.63%

84.41%

-0.21%

2.1%

Value

220

223

3

20

23

39.95%

40.17%

0.22%

9.2%

Growth

243

240

-3

28

25

44.68%

44.24%

-0.44%

9.6%

Small

1,136

1,250

114

54

168

15.37%

15.59%

0.21%

9.8%

Value

873

909

36

90

126

9.97%

9.13%

-0.84%

15.8%

Growth

553

679

126

83

209

5.40%

6.46%

1.05%

27.2%

Prime

991

1,000

9

29

38

97.38%

97.09%

-0.30%

1.5%

Value

726

704

-22

71

49

48.27%

47.58%

-0.69%

9.1%

Growth

559

604

45

52

97

49.11%

49.51%

0.39%

9.5%

Note: "% of total market cap" based on share price as of October 13, 2017 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

Total Value

Total Growth

Large Value Large Growth

Small Value Small Growth

FISHERY,AGRICULTURE & FORESTRY

0.0%

0.0%

- -

0.1% -0.4%

MINING

0.0%

-

0.0% -

0.0% -

CONSTRUCTION

-0.5%

0.5%

-0.4% 0.6%

-0.2% -0.8%

FOODS

0.3%

-0.3%

0.1% -0.2%

1.0% -1.1%

TEXTILES & APPARELS

0.3%

-0.3%

0.4% -0.3%

0.0% 0.2%

0.1% 0.0%

PULP & PAPER

0.0%

0.0%

0.0% -

CHEMICALS

-1.3%

1.2%

-1.4% 1.4%

-0.7% 0.1%

PHARMACEUTICAL

0.7%

-0.9%

0.7% -0.8%

0.8% -0.9%

OIL & COAL PRODUCTS

0.2%

-0.1%

0.2% -0.1%

0.1% -

RUBBER PRODUCTS

-0.3%

0.3%

-0.3% 0.4%

-0.3% -0.2%

GLASS & CERAMICS PRODUCTS

-0.1%

0.1%

0.0% -0.1%

-0.7% 1.2%

IRON & STEEL

0.1%

-

0.0% -

0.3% -

NONFERROUS METALS

-0.3%

0.3%

-0.1% 0.3%

-1.1% 0.1%

METAL PRODUCTS

-0.1%

0.1%

-0.1% 0.1%

0.1% 0.3%

MACHINERY

-1.0%

1.0%

-0.9% 1.2%

-1.2% -0.3%

ELECTRIC APPLIANCES

-1.1%

1.1%

-1.2% 1.7%

-0.4% -0.7%

TRANSPORTATION EQUIPMENT

0.0%

-0.3%

-0.3% -0.3%

0.5% 0.0%

PRECISION INSTRUMENTS

0.0%

0.0%

0.0% -0.1%

-0.1% 0.5%

OTHER PRODUCTS

0.0%

-0.1%

0.1% 0.0%

-0.1% -0.2%

ELECTRIC POWER & GAS

0.1%

-0.1%

0.1% -

0.0% 0.0%

LAND TRANSPORTATION

0.9%

-0.9%

1.1% -1.1%

0.1% 1.1%

MARINE TRANSPORTATION

0.0%

-

0.0% -

0.0% -

AIR TRANSPORTATION

-0.1%

0.1%

-0.2% 0.1%

- -

WAREHOUSING & HARBOR TRANSPORTATION SERVICES

0.0%

0.0%

0.0% -

0.1% 0.0%

INFORMATION & COMMUNICATION

0.6%

-0.8%

0.7% -1.0%

0.1% 0.8%

WHOLESALE TRADE

0.1%

0.0%

0.0% -0.1%

0.7% 0.1%

RETAIL TRADE

0.8%

-0.8%

1.0% -1.3%

0.1% 0.6%

BANKS

0.1%

-0.1%

-0.2% -0.1%

0.7% -

SECURITIES & COMMODITY FUTURES

0.0%

0.0%

0.0% -

0.1% -0.1%

INSURANCE

0.0%

0.0%

-0.1% -

0.0% 0.0%

OTHER FINANCING BUSINESS

-0.1%

0.0%

-0.1% -0.1%

0.0% 0.8%

REAL ESTATE

0.3%

-0.2%

0.2% -0.2%

0.4% -0.1%

SERVICES

0.4%

0.2%

0.7% 0.2%

-0.6% -1.0%

Note: Based on the sha re price a s of October 13, 2017. Highlighted in red are sectors whose weightings in Growth Index increased over 1%, while highlighted in blue are sectors whose weightings in Value Index increased over 1%.

Russell/Nomura Prime Index had 38 additions and 29 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 38 additions and 29 deletions. The total market capitalization of the Prime Index is approximately 418 trillion yen (as of October 13, 2017, float-adjusted), and the turnover ratio (one-sided) of the index is 1.5 %, maintaining a low level.

20 stocks, including two firms that conducted IPOs in 2017, entered the index for the first time. Of the 20 new additions, 19 stocks were components of the Prime Growth Index.

About Russell/Nomur a Japan Equity Indexes:

In 1995, FTSE Russell Indexes and Nomura Sec urit ies Co., Lt d. jointly dev eloped the Russell/ Nomura Japan Equity Indexes t hat serve to measur e perf or manc e based on v arious invest ment policies. The ind ices ar e value w eight ed and include only common s toc ks domic iled in Japan. All indic es are s ubsets of the Russ ell/ Nomur a Total Market Index, w hich represents approximately 98% of the investable Japan equity market.

The indic es ar e r econst it ut ed annually in or der to acc urat ely r ef lect changes in t he Japanes e mar ketplac e. ( The annual reconst it ut ion f or this y ear w as implemented on Nov 20, 2017, af ter closing on Nov 17). Component stoc ks ar e deter mined based on the f loat-adjust ed mar ket capitalization as of Oct ober 15 (last business day if October 15 is a holiday).

Sec urit ies that leave t he Russell/ Nomur a Indexes betw een r econs titution dat es due to mergers, acquisitions or other s imilar corporate act iv ity are not r eplac ed. Thus, the number of sec ur it ies in t he ind ices over the year f luctuat es acc ording to c orporate activ ity. The only additions betw een r econst itution dat es ar e as a res ult of spin-of fs and initial public of f erings f alling in the large segment (as determined by the latest reconstitution) .

ends

For further information please contact:

Index Operations Dept.

Nomura Securities Co., Ltd.

81-3-6703-3986

Nam e Company Telephone

Nomura

Nomur a is an As ia- headquart ered f inancial serv ices gr oup w ith an integrated global netw ork spanning ov er 30 countr ies. By connect ing mar kets East & Wes t, Nomura s ervic es the needs of indiv iduals , inst it ut ions, corpor at es and governments thr ough its t hree business divis ions: Retail, Asset Management, and Wholes ale (Global Markets and Inv est ment Banking). Founded in 1925, t he f ir m is built on a tr adit ion of disciplined entr epr eneurs hip, serv ing clients w ith cr eativ e solut ions and c ons idered t hought leadership. For f urther inf ormation about Nomura, visit w w w .nomura.com.

Nomura Holdings Inc. published this content on 20 November 2017 and is solely responsible for the information contained herein.
Distributed by Public, unedited and unaltered, on 20 November 2017 02:05:04 UTC.

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