Tokyo Stock Exchange, Inc. (TSE) has announced details on the specifications of the style indices (value and growth indices) that the exchange intends to launch in autumn as announced on February 29, 2008.
Matters such as the launch date and the method of distributing index values, etc. will be announced when determined.
- New indices(tentative name)
- TOPIX Value index
- TOPIX Growth index
- TOPIX 500 Value index
- TOPIX 500 Growth index
- TOPIX Small Value index
- TOPIX Small Growth index
- Calculation method
- Free float adjusted market capitalization weighted (same as TOPIX)
- Indicator used to categorize into value or growth
- Actual PBR, PER based on revenue forecasts
- Method of determining component stocks
- [TOPIX500Value, Growth]
(1) Universe is same as TOPIX500.
(2) High PBR issues will tentatively be grouped into growth, and low PBR issues will tentatively be grouped into value.(The borderline is at around 50% of the total free float adjusted market capitalization of TOPIX500.)
(3) The attributes of some tentative growth and tentative value issues classified by the process outlined in (2) will be changed (certain tentative growth issues with a low PER and certain tentative value issues with a high PER). The TSE will make a comprehensive judgment regarding these changes taking the PBR and PER of each issue into consideration.
(4) Issues in the intermediate range that cannot be clearly distinguished as either value or growth will be categorized based on a method determined by the TSE.(Issues selected through the process outlined in (3) will be 100% value or 100% growth). - [TOPIX Small Value, Growth]
Universe is same as TOPIX Small and the constituents will be decided by the same selection method outlined in (1)-(4) above. - [TOPIX Value, Growth]
The constituents of TOPIX Value combine both TOPIX 500 Value and TOPIX Small Growth, and the constituents of TOPIX Growth combine both TOPIX 500 Growth and TOPIX Small Growth (Please refer to the next page.)
- [TOPIX500Value, Growth]
- Constituent review
- [Periodic review]
Once a year on the last business day of October(Base date for selection is the last business day of August.) - [The addition of new listing issues]
The additions date is same as TOPIX (the end of the month following the listing date or the date the issue was designated to the first section.)
- [Periodic review]
Reference Materials
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