野村股东收益70(Nomura Shareholder Yield 70)指数规则手册,系统说明该指数的编制方法。指数由70家在股东回报方面较为积极的日本上市公司股票构成,依据过去三年的实际分红、股票回购、增资等量化指标(净股东收益率)筛选。成分股选自日本各证券交易所全部普通股,按东证33个行业分类剔除银行、证券及商品期货、保险及其他金融业务板块。个股权重按自由流通市值调整确定,单只股票权重上限2%,以兼顾分散化与流动性。选择流程为:先按市值与流动性(累计自由流通市值前85%、近60个交易日日均成交额前500名)筛选,再按行业筛选,最后选取净股东收益率最高的70只股票。指数每年调整一次,基期为2008年1月31日,基值10000点,自2019年3月13日起发布。
Nomura Shareholder Yield 70 is a share price index comprising stocks in 70 companies that quantitative indicators based on dividends, share buybacks, etc, indicate to be proactive on shareholder returns. Constituent stocks are selected from a universe of all common stocks listed on Japanese stock exchanges (excluding stocks in the "banks", "securities and commodities futures", "insurance", and "other financing business" sectors, based on the Tokyo Stock Exchange's 33 sector classifications). The index selects the top 70 Japanese stocks by "net shareholder yield", based on actual dividends, share buybacks, and capital increases over the past three years. Individual stock weightings are determined on the basis of free float-adjusted market capitalization, with individual stock weightings capped at 2%. Stocks are first screened by market capitalization and liquidity, then by sector, and finally ranked by net shareholder yield. The index is reconstituted once a year. The base date is 31 Ja