Overview (ETFs)

Factor Model Indicators

Factors refer to common attributes that may affect price movements of investment assets such as equities, bonds, and REITs. Some examples include market volatility, company size, price book-value ratio (PBR), price earnings ratio (PER), return on equity (ROE), currency fluctuations, and interest-rate fluctuations. Factor investing has become popular in recent years due to its usability as a risk management tool given that the return on various types of investment assets can be explained by a select number of common factors. Quintessential factors used under such investment strategies include: a) high yield, where issues that produce high stock dividends or dividend yields are selected; b) quality, where highly profitable issues with favorable ROE, financial leverage, etc. are selected; c) fundamentals, where the selection of issues is based on financial indicators such as sales revenue or sales cash flow; and d) low volatility, where issues likely to have the lowest risk for steep price movements are selected.

Examples of ETFs Tracking Factor Model Indicators

The table below presents ETFs tracking factor model indicators, which are listed on the TSE market. The characteristics of each ETF are disclosed in the securities registration statements of the ETFs and the websites of asset management companies.

High Yield

iShares MSCI Japan High Dividend ETF (1478, BlackRock Japan)
NEXT FUNDS Nikkei 225 High Dividend Yield Stock 50 Index Exchange Traded Fund (1489, Nomura AM)
One ETF High Dividend Japan Equity (1494, Asset Management One) *In Japanese only
NEXT FUNDS Nomura Japan Equity High Dividend 70 Exchange Traded Fund (1577, Nomura AM)
Daiwa ETF TOPIX High Dividend Yield 40 Index (1651, Daiwa AM)
Listed Index Fund Japan High Dividend(TSE Dividend Focus 100) (1698, Nikko AM)

Quality

MAXIS JAPAN Quality 150 Index ETF (1460, Mitsubishi UFJ Kokusai AM) *In Japanese only

Fundamentals

NEXT FUNDS Russell/Nomura Fundamental Index Exchange Traded Fund (1598, Nomura AM)

Low Volatility

Listed Index Fund MSCI Japan Equity High Dividend Low Volatility (1399, Nikko AM)
iShares MSCI Japan Minimum Volatility (ex-REITs) ETF (1477, BlackRock Japan)