本报告为野村日本股票贝塔精选指数的指数规则手册,介绍两只指数:野村日本股票高贝塔精选30与野村日本股票低贝塔精选50。两只指数从日本各证券交易所(东交所Prime/Standard/Growth/TOKYO PRO Market、名古屋、札幌、福冈)上市的全部普通股中筛选。高贝塔精选30由基于市场贝塔(近60个月)、外汇贝塔(USD/JPY,近60个月)与动量(近11个月经市场贝塔调整的股价回报)三项标准化评分平均后综合得分最高的30只股票构成;低贝塔精选50则由基于市场贝塔、外汇贝塔与个股特质风险(近60个月经市场贝塔调整的股价回报标准差)三项评分平均后综合得分最低的50只股票构成。指数原则上每年重构两次,采用自由流通市值加权,单只成分股权重上限为5%(超出部分按自由流通市值比例分配给其他成分股),并通过自由流通市值与日均成交额等指标进行可投资性筛选。
This document is the index rulebook for the Nomura Japan Equity Beta Select Indices, which refer to two indices drawn from a universe of all common stocks listed on Japanese stock exchanges: the Nomura Japan Equity High Beta Select 30 and the Nomura Japan Equity Low Beta Select 50. The High Beta Select 30 comprises the top 30 stocks based on a quantitative indicator built from three scores showing market correlation (market beta, forex beta, momentum), while the Low Beta Select 50 comprises the bottom 50 stocks based on three scores (market beta, forex beta, stock-specific risk). The indices are reconfigured twice a year as a general rule, weighted by free float-adjusted market capitalization with individual stock weights capped at 5%, and screened for investability via free float-adjusted market cap and average daily turnover. The base date of both indices is 29 December 2000 with a base value of 10,000, and publication of index values started on 18 January 2017. Yen-based and US doll