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In consideration of the investment needs corresponding to the new market segmentation, we have been preparing to offer a new index that takes into account the functionality of the new market segment as an investment universe. *1
We are pleased to announce that we have compiled the outline of the "JPX Prime 150 Index," a new index for stocks listed on the Tokyo Stock Exchange (TSE) Prime Market that selects stocks with a focus on value creation, as you will see below.
We will proceed with the detailed design, taking into account the opinions of market participants, etc., and plan to start calculation on Monday, July 3, 2023.
Recently, there has been increasing attention paid to the status of value creation by Japanese companies. For example, only about half of the listed companies in TSE Prime Market have a PBR (price book value ratio) exceeding 1x, which represents expectations of future value creation.
In light of these circumstances, we have decided to develop a new stock price index which will be composed of stocks selected to represent "Japanese companies that are estimated to create value" from among the top-ranked stocks listed on TSE Prime Market by market capitalization based on two measures of value creation: 1) equity spread*2, the difference between ROE (return on equity) and cost of equity, and 2) PBR, a market valuation based on stock price.
The JPX Prime 150 Index is designed to make visible the leading Japanese companies that are estimated to create value, and to make the index and its constituent stocks the target of medium- to long-term investment by institutional and individual investors in Japan and abroad, thereby contributing to the penetration of value-creating management and the enhancement of the appeal of the Japanese stock market.
| Name | JPX Prime 150 Index |
| Concept | Index composed of leading Japanese companies that are estimated to create value |
| Stock Selection Method | [Universe Selection] Stocks listed on TSE Prime Market. However, stocks that fall under the following as of the rebalance base date are excluded. ・Stocks that do not meet the continued listing criteria ・Stocks designated as Securities to Be Delisted ・Stocks designated as Securities on Alert ・Stocks for which a segment transfer has been announced [Screening by Market Capitalization] The top 500 stocks in the universe by market capitalization as of the rebalance base date shall be eligible. [Selection of Stocks by Value Creation] After selecting stocks based on the criteria in (1) below, select stocks based on the criteria in (2).
Once a year in August, stocks are reconstituted (the rebalance base date is the last business day of June). |
| Number of Constituent Stocks | 150 stocks (75 stocks based on estimated equity spread criteria and 75 stocks based on PBR criteria) |
| Calculation Method | Free-float adjusted market capitalization-weighted |
| Constituent Stocks & Calculation Methodology | Plan to publish calculation methodology, including component stocks and stock selection criteria, by the calculation start date. |
| Calculation/Distribution of Index Values | To be calculated and distributed in real time (every second) starting July 3, 2023 |
-The contents of the above framework are as of the present time and are subject to change as the detailed design process proceeds.
December 28, 2012 is standardized at 1000 points.
This is the performance of the prototype based on the current framework, and performance may change if some of the framework is changed during the detailed design process.
A license agreement with JPX Market Innovation & Research, Inc. is required when using the JPX Prime 150 Index for structuring or offering financial products or providing it to third parties.
Contact
JPX Market Innovation & Research, Inc. Index Business Dept.
TEL:050-3377-7754
E-mail:index@jpx.co.jp