The JPX-Nikkei Mid and Small Cap Index is comprised of companies with middle and small market capitalization, which make up the majority of listed companies in Japan, that are selected based on the same concept as JPX-Nikkei Index 400 and appealing to shareholders and aim at sustainably increasing corporate value. The index was jointly developed by Nikkei and Tokyo Stock Exchange.
JPX-Nikkei Mid and Small Cap Index is composed common stocks whose main market is the TSE 1st section, 2nd section, Mothers or JASDAQ market (in principle).
The components are reviewed annually to keep the mid and small cap segment of the market. The Annual Review shall be conducted at the end of August as follows. (1)Issues constituting the top 20% of market capitalization on the selection base date, under the 10 billion yen of market capitalization on the selection base date and under 15 billion yen of trading value in the one year since the selection base date shall be removed, (2)Each stock is scored by 3-year average ROE and 3-year cumulative operating profit with the weights on the each indicator 70% and 30% respectively, (3)200 stocks are selected by the final ranking with the scores calculated in (2) and qualitative factors from the perspectives of corporate governance and disclosure. In case of delisting of the components due to a merger or bankruptcy etc., new stocks shall not be added in principle. When the Annual Review is conducted, the number of components is back to 200. Therefore the index is calculated with less than 200 components until then.
The index is calculated based on market capitalization adjusted by FFW (Free Float Weight). The index is calculated by dividing the current total free float adjusted market value by "base market value". Base market value is adjusted to maintain continuity in the index when the market value of constituents changes for non-market reasons. In case where the cap maximum of the components exceed 1.5% at the Annual Review, the each weight to the total market value of the index shall be adjusted within 1.5% at the end of June, the selection base date of the Annual Review.
The index will be calculated from March 13, 2017. The inception value was 10,000 points on August 31, 2016 (calculation base date) and calculated retroactively back to August 31st, 2006. The index will be calculated every 1 second during the trading hours of the Tokyo Stock Exchange.