Index Insights | Sustainable Investment – Equity

エコシステムの発展:
花開く日本株ESG
指数とインデックス
運用

Written in collaboration with SGX

日本でも高まるESG 投資の機運

November 2022

AUTHORS
Atsuhito Mori
Head of Sustainable Investment Japan
atsuhito.mori@lseg.com
Ken Hirose
Director, Index Investments Group Japan
ken.hirose@lseg.com

Index Insights | Sustainable Investment – Equity

四半期分析

世界の投資家は、環境、社会、およびガバナンス (ESG) の考慮事項を投資のコアの部分に統合することを目的とした投資戦略の開発を進めて、その手法は洗練度が増しています。日本のサステナブル市場もこの世界的なトレンドの例外ではなく、広く開発が進められており、投資家のコアとなる（従来の時価総額型等の）ベンチマークやパッシブ戦略に 、ESG 評価基準(criteria)を統合するという需要が増えてきています。 サステナビリティ基準(standard)を改善するための取り組みの一環として、日本市場においても開示基準、規制、および定義が、ますます重視されています。 近年（ESGやサステナブル投資に関する）国際基準の収束が進んでおり、欧州連合のサステナブルファイナンス開示規則 (SFDR) は、日本を含む他の多くの市場におけるサステナブル基準発展の原動力となっています。
FTSE Russell と SGX が共同作成したこの分析では、日本のサステナビリティ基準の発展、広く分散する時価総額ベース等の市場インデックスと比較した (ESGを統合している) FTSE Blossom Japan IndexSeries のパフォーマンス要因分析、そしてインデックスに連動する SGX FTSE Blossom Japan Index 先物市場の成長に注目しています。

FTSE Russell

2Index Insights | Sustainable Investment – Equity

目次
日本における新たなESG基準の策定.......................................................................................................... 4
日本株市場におけるESGファクターの存在 ............................................................................................... 5
SGX FTSE Blossom Japan インデックス先物市場の発展 .......................................................................... 8

FTSE Russell

3

Index Insights | Sustainable Investment – Equity

日本における新たなESG基準の策定
2021 年 6 月に発表され、東京証券取引所によって 2022 年 4 月に施行された日本のコーポレート ガバナン
ス コードの改訂¹では、サステナビリティを巡る課題への取組みにおいて、次のことを要求しています。
1.

サステナビリティについて基本的な方針を策定し自社の取組みを開示

2.

プライム市場上場企業において、TCFD 又はそれと同等の国際的枠組みに基づく
気候変動開示の質と量を充実

世界最大の公的年金基金である日本の年金積立金管理運用独立行政法人 (GPIF) は、ESG をパッシブマ
ンデートに統合することを早期に採用した運用法人の 1 つです。 たとえば、GPIF は 2017 年に国内パッシブ運用ポートフォリオのベンチマークとして FTSE Blossom Japan Index² を採用しました。これは、運用ポートフォリオの ESG リスクを軽減することで長期的なリスク/リターン プロファイルを改善することを目的としています。 2022 年3月に FTSE Blossom Japan Sector Relative Index³ が追加されたことで、GPIFが採用するESG指数は国内株式・外国株式合計で8本となり、2022 年 3 月末時点でESG指数に基づくパッシブ運用の運用資産額は合計で約12.1兆円まで拡大しています。4
ESG データに対する需要が高まり、投資家によるスチュワードシップ活動への注目が高まっているた
め、投資家はESG の評価とエンゲージメントのために、より透明性の高い企業情報を必要としています。 GPIFによるESGパッシブ運用の拡大などESG投資の増加に伴い、日本企業は、透明性を高め、関連するESG情報を投資家に開示することが求められています。 これによってより多くの日本企業が、国際的な ESG 評価基準に沿った詳細な ESG 開示と、その結果である高いESG 評価スコアによって示
される、優れた ESG パフォーマンスの重要性を認識し始めています。

FTSE Russell

4Index Insights | Sustainable Investment – Equity

日本株市場におけるESGファクターの存在
AGPIFとオーストラリア国立大学の2022年2月共同研究レポートによると5 、ESGスコアと企業価値の間には統計上有意な関係が確認されています。また、同レポートではPRI署名数が増加するにつれて、ESGスコアが企業価値に与える正の影響が強くなっている可能性も指摘されています。同レポートでは
グローバル株式市場の代表的な1,200銘柄を分析対象としていますが、この分析結果は概ね日本の株式市場においても有効な内容であると考えられます。事実、弊社のESGレーティングに基づいて各銘柄のウェイトが調整されているFTSE Blossom Japan Indexシリーズは近年、伝統的な市場ベンチマークを大き
くアウトパフォームする結果を示しており、日本株市場においてもESGファクターが有効となりつつあることを示唆していると考えられます。
図表１はFTSE Blossom Japan Index及びFTSE Blossom Japan Sector Relative Indexのトータルリター
ンを、同じユニバースの伝統的時価総額指数であるFTSE Japan All Cap Indexと比較したものです。対象となる2016年末から2022年9月末までの期間はCovid-19ショックに伴うボラティリティの大幅上昇や地政学的な緊張の高まりとエネルギー価格の急騰等、決して一筋縄ではいかない相場環境であったものの、FTSE Blossom Japan Index、FTSE Blossom Sector Relative Indexのいずれもが伝統的指数を上回る堅調なパフォーマンスを示していることが分かります。
図表 1. FTSE Blossom指数シリーズのパフォーマンス（トータルリターン、円ベース）
150
140
130
120
110
100
90
80

FTSE Blossom JapanFTSE Blossom Japan SR

FTSE Japan All Cap

Source: FTSE Russell. Data based on monthly returns from December 2016 – September 2022.
Past performance is no guarantee of future results. Please see end for important legal disclosures.

1

Revised Japanese Corporate Governance Code (TSE)FTSE Blossom Japan Index Series
3
GPIF adoption of FTSE Blossom Japan Sector Relative Index
4
ESG Report 2021 (GPIF)
5
GPIF/ANU joint study on the diversification effects and portfolio efficiency of ESG investments can be found here.
2

FTSE Russell

5Index Insights | Sustainable Investment – Equity

図２ではFTSE Blossom指数シリーズのパフォーマンス要因を分析しています。これを見ると、同指数群のアウトパフォームが業種配分効果によるものではなく、専ら個別銘柄選択効果に依ることが分かります。FTSE Blossom Japan Indexではベンチマークに対するアウトパフォームが+5.5%でしたが、個別銘柄効果が+6.5％でした。またFTSE Blossom Japan Sector Relative Indexでは、ベンチマークに対するアウトパフォームが+4.5%で、個別銘柄効果は+4.6％でした。
図表 2. 要因分析（業種配分効果か個別銘柄選択効果か）
Local Total Return (%)
18/12/2015 - 30/09/2022

Attribution Effects (bps)

FTSE Blossom
Japan Index

FTSE JapanAll Cap Index

ExcessIndustry Return

Industry
Allocation

Stock
Selection

Interaction

Total
Contribution

Technology

81.4

78.3

3.1

-8.6

40.4

-0.3

31.6

Telecommunications

84.6

82.7

1.8

-18.7

22.0

-5.0

-1.7

Health Care

55.9

54.1

1.8

-11.4

20.8

-0.9

8.5

Financials

21.8

13.5

8.3

-4.4

113.1

19.4

128.0

Real Estate

-9.8

7.2

-17.0

-23.2

-55.5

-41.0

-119.8Consumer Discretionary

47.6

37.6

10.0

7.9

249.6

9.1

266.5

Consumer Staples

23.1

17.1

6.0

18.7

44.0

-6.3

56.5

Industrials

55.3

57.3

-2.1

27.8

-10.3

-39.4

-21.9

Basic Materials

48.4

30.4

18.0

-6.3

138.0

-3.0

128.7

Energy

63.0

48.8

14.2

2.6

8.7

1.0

12.3

Utilities

13.5

-11.4

24.9

-14.2

81.0

-2.5

64.2

46.9%

41.4%

-29.9

651.8

-68.9

Total Return (Local)
Local Excess Return

5.5%
Local Total Return (%)
18/12/2015 - 30/09/2022

Attribution Effects (bps)

Blossom
Japan Sector
Relative

FTSE JapanAll Cap Index

ExcessIndustry Return

Industry
Allocation

Stock
Selection

Interaction

Total
Contribution

Technology

77.6

78.3

-0.7

4.5

-5.1

-1.3

-1.9

Telecommunications

64.9

82.7

-17.8

-13.6

-68.3

0.9

-81.0

Health Care

63.1

54.1

9.0

-2.8

66.3

5.1

68.5

Financials

18.2

13.5

4.7

-3.4

73.6

-1.5

68.7

Real Estate

-2.2

7.2

-9.3

2.4

-20.1

-4.9

-22.7

Consumer Discretionary

43.8

37.6

6.2

2.5

152.6

-0.1

155.0

Consumer Staples

23.2

17.1

6.1

3.6

47.7

-2.2

49.0

Industrials

65.4

57.3

8.0

-6.2

201.0

3.0

197.9

Basic Materials

32.9

30.4

2.5

2.7

16.5

-0.4

18.8

Energy

42.9

48.8

-5.9

4.4

-4.8

-1.0

-1.4

Utilities

-12.0

-11.4

-0.6

3.9

-1.1

-0.2

2.6

Total Return (Local)

45.9%

41.4%

-2.0

458.4

-2.8

Local Excess Return

4.5%

Source: FTSE Russell. Data based on September 2022.
Past performance is no guarantee of future results. Please see end for important legal disclosures.

FTSE Russell

6Index Insights | Sustainable Investment – Equity

更に当レポートでは、伝統的なファクター分析アプローチ（Industry, Value, Quality, Volatility, Size,
Momentum）に基づいた分析も行いました。もしESGが日本株市場でパフォーマンスに影響を及ぼしていないのだとすれば、Blossomシリーズのパフォーマンスも伝統的なファクターにより説明ができるはずです。図３はこの分析結果をまとめたものですが、これらの伝統的ファクター群はBlossomシリーズのパフォーマンスを説明できないという結果でした。“Residual Factor”というのは残存ファクターであり、超過リターンから伝統的ファクターで説明される部分を除いたものです。Residual Factorの全超過
リターンに対する比率（≒伝統的ファクターでは説明できない比率）はFTSE Blossom Japan Indexでは383/548bp (70%)、FTSE Blossom Japan Sector Relative Indexに至っては430/426bp (101%)という結果でした。
図表 3. ファクター分析
Industry and Style Factor Attribution—FTSE Blossom Japan Index
Attribution with Industry and Style Factor: Return Contribution (bps)
Industry

Value

Quality

Volatility

Size

Momentum

Residual

Total Excess
in JPY

31/05/2015 to
31/12/2018-26.9650.49-55.47

69.05-116.04

16.07

24.89

-37.9831/12/2018 to
30/09/2022-61.63

31.42

-6.69

-329.30

517.4595.50

339.01585.76

Full Period-100.83102.63-84.20-241.64369.20120.39382.57548.12

PeriodIndustry and Style Factor Attribution—FTSE Blossom Japan Sector Relative Index
Attribution with Industry and Style Factor: Return Contribution (bps)
Industry

Value

Quality

Volatility

Size

Momentum

Residual

Total Excess
in JPY

31/05/2015 to
31/12/2018

6.83

22.92

-84.2730.60-136.38

68.08

58.09

-34.12

31/12/2018 to
30/09/2022

-8.17

26.43

-5.13

-160.63

187.7280.52

340.84461.59Full Period

1.10

58.94

-122.23-122.38

3.36

177.14430.45426.38PeriodSource: FTSE Russell. Data based on September 2022.
Past performance is no guarantee of future results. Please see end for important legal disclosures.

ESGが株価パフォーマンスに影響を与えているとする先行研究は2016年の “Corporate Sustainability:
First Evidence on Materiality” by Khan, Serafeil, and Yoon 等既に存在しますが、ESG要素が蓋然性の高いアルファの源泉であるかはまだ意見が分かれる所でしょう。これは日本においても同様であり、今な
お多くの投資実務家の間で議論が続いている状況です。我々の今回の検証もFTSE Blossom Japan
Indexシリーズに限った話であり、且つ当該指数が存在している期間に限った検証です。今後も継続的な分析が必要なところですが、ESG要素に基づき銘柄選択が行われるFTSE Blossom Japan Indexシ
リーズが近年堅調なパフォーマンスを示しているのは事実であり、日本の株式市場におけるESGファ
クターの存在を確認する上では今回の分析結果は重要な示唆を与えていると考えています。

FTSE Russell

7

Index Insights | Sustainable Investment – Equity

SGX FTSE Blossom Japan インデッ
クス先物市場の発展
SGX はFTSE Blossom Japan Indexの先物を提供している唯一の取引所です。2021年1月の上場以来、当先物は建玉と出来高において著しい成長を遂げています。
2022 年第 3 四半期には、(i) マーケット メーカーの参加者が増加し、スプレッドが 5 ベーシス ポイント
程度まで狭くなり、 (ii) 図 4 に示す通り、2022年10月には建玉が1,506枚 (約 8,200 万米ドル) を記録する等、建玉の急激な増加も見られました。過去1 年間のSGX FTSE Blossom Japan Index先物への関心の高まりにより、2022 年 9 月下旬には 約 3,200 万米ドルの取引が立会外で約定しました。
FTSE Blossom Japan Indexシリーズは、FTSE Japan All Cap Indexとの 99% を超える高い相関性と前述の高いパフォーマンスにより、様々な種類の投資家の注目を集めています。当先物はこれらの投資家に、FTSE Blossom Japan Index 等のパフォーマンスの良いESG インデックスに、資本効率良くアクセスできる方法を提供しています。 SGX FTSE Blossom Japan Index先物は、国内外の投資家に、一年中、昼夜問わず (1 日 22 時間まで) 取引できる環境を整えており、 他市場のETFと共に、幅広い投資家のニーズに応えるソリューションを提供し、Blossom Japan Index シリーズのエコシステムをさらに強化していきます。

図表4. Quarter-end Open Interest (Lots)
1,600

Nov 22: 1,506

●

1,400
1,200
1,000
800
600
400
200
0
Mar 21FTSE Russell

Jun 21

Sep 21

Dec 21Mar 22Jun 22

Sep 228

Index Insights | Sustainable Investment – Equity

About Singapore Exchange (SGX Group)
We are Asia’s leading and trusted securities and derivatives market infrastructure, operating equity, fixedincome, currency, and commodity markets to the highest regulatory standards. We also operate a multiasset sustainability platform, SGX FIRST or Future in Reshaping Sustainability Together (sgx.com/first).
We are committed to facilitating economic growth in a sustainable manner leveraging our roles as a key
player in the ecosystem, a business, regulator, and listed company. With climate action as a key priority,
we aim to be a leading sustainable and transition financing and trading hub offering trusted, quality, endto-end products and solutions.
As Asia’s most international, multi-asset exchange, we provide listing, trading, clearing, settlement,
depository, and data services, with about 40% of listed companies and over 80% of listed bonds
originating outside of Singapore. We are the world’s most liquid international market for the benchmark
equity indices of China, India, Japan, and ASEAN. In foreign exchange, we are Asia’s leading
marketplace and most comprehensive service provider for global FX over-the-counter and futures
participants. Headquartered in AAA-rated Singapore, we are globally recognized for our risk
management and clearing capabilities. For more information, please visit www.sgx.com.

SGX Disclaimer
This document/material is not intended for distribution to, or for use by or to be acted on by any person orentity located in any jurisdiction where such distribution, use or action would be contrary to applicablelaws or regulations or would subject Singapore Exchange Limited (“SGX”) and/or its affiliates (collectively
with SGX, the “SGX Group Companies”) to any registration or licensing requirement. This document/material is not an offer or solicitation to buy or sell, nor financial advice or recommendation for any
investment product. This document/material has been published for general circulation only. It does notaddress the specific investment objectives, financial situation, or particular needs of any person. Advice
should be sought from a financial adviser regarding the suitability of any investment product before
investing or adopting any investment strategies. Use of and/or reliance on this document/material isentirely at the reader’s own risk. Investment products are subject to significant investment risks, including
the possible loss of the principal amount invested. Past performance of investment products is notindicative of their future performance. Any forecast, prediction, or projection in this document/material is
not necessarily indicative of the future or likely performance of the product. Examples (if any) provided
are for illustrative purposes only. While each of the SGX Group Companies have taken reasonable careto ensure the accuracy and completeness of the information provided, each of the SGX Group
Companies disclaims any and all guarantees, representations, and warranties, expressed or implied,in relation to this document/material and shall not be responsible or liable (whether under contract, tort(including negligence) or otherwise) for any loss or damage of any kind (whether direct, indirect orconsequential losses or other economic loss of any kind, including without limitation loss of profit, lossof reputation, and loss of opportunity) suffered or incurred by any person due to any omission, error,
inaccuracy, incompleteness, or otherwise, any reliance on such information, or arising from and/orin connection with this document/material. The information in this document/material may have beenobtained via third party sources and which have not been independently verified by any SGX Group
Company. No SGX Group Company endorses or shall be liable for the content of information provided
by third parties (if any). The SGX Group Companies may deal in investment products in the usual courseof their business, and may be on the opposite side of any trades. Each of SGX, Singapore Exchange
Securities Trading Limited and Singapore Exchange Bond Trading Pte. Ltd. is an exempt financial
adviser under the Financial Advisers Act (Cap. 110) of Singapore. The information in this document/material is subject to change without notice. This document/material shall not be reproduced,
republished, uploaded, linked, posted, transmitted, adapted, copied, translated, modified, edited, orotherwise displayed or distributed in any manner without SGX’s prior written consent. Please notethat the general disclaimers and jurisdiction specific disclaimers found on SGX’s website at
http://www.sgx.com/terms-use are also incorporated into and applicable to this document/material.

FTSE Russell

9

ABOUT FTSE RUSSELL
FTSE Russell is a leading global provider of index and benchmark solutions, spanning diverse asset classes and investment objectives. As a trusted
investment partner, we help investors make better-informed investment decisions, manage risk, and seize opportunities.
Market participants look to us for our expertise in developing and managing global index solutions across asset classes. Asset owners, asset
managers, ETF providers, and investment banks choose FTSE Russell solutions to benchmark their investment performance and create investment
funds, ETFs, structured products, and index-based derivatives. Our clients use our solutions for asset allocation, investment strategy analysis, andrisk management, and value us for our robust governance process and operational integrity.
For over 35 years we have been at the forefront of driving change for the investor, always innovating to shape the next generation of benchmarks
and investment solutions that open up new opportunities for the global investment community.
CONTACT US
To learn more, visit lseg.com/ftse-russell; email info@ftserussell.com; or call your regional Client Service team office:
EMEA +44 (0) 20 7866 1810

Asia-PacificNorth America +1 877 503 6437

Hong Kong +852 2164 3333
Tokyo +81 3 6441 1430
Sydney +61 (0) 2 7228 5659

Disclaimer© 2023 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) The Yield Book Inc (“YB”) and (7) Beyond Ratings S.A.S. (“BR”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB and BR. “FTSE ®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”, “The Yield
Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service marks owned or licensed by theapplicable member of LSEG or their respective licensors and are owned, or used under license, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB or BR. FTSE
International Limited is authorized and regulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by LSEG, from sources believed by it to be accurate andreliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided “as is” without warranty of any kind. No
member of LSEG nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly, or impliedly,
either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but not limited toindexes, data and analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation of historical data
accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of LSEG nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or inpart caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analyzing, editing,transcribing, transmitting, communicating, or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special,consequential or incidental damages whatsoever, even if any member of LSEG is advised in advance of the possibility of such damages, resulting from the use of, or inability to use,such information.
No member of LSEG nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting
financial or investment advice. No member of LSEG nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability ofinvesting in any asset or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made in reliance on any
information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset nor confirmation that any particularinvestor may lawfully buy, sell or hold the asset or an index containing the asset. The general information contained in this publication should not be acted upon without obtaining
specific legal, tax, and investment advice from a licensed professional.
The information contained in this report should not be considered “research” as defined in recital 28 of the Commission Delegated Directive (EU) 2017/593 of 7 April 2016supplementing Directive 2014/65/EU of the European Parliament and of the Council (“MiFID II”) and is provided for no fee.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual
trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance.
Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officiallylaunched. However, back-tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change frommonth to month based on revisions to the underlying economic data used in the calculation of the index.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate.
Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially. No member of LSEG
nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise,
without prior written permission of the applicable member of LSEG. Use and distribution of LSEG data requires a license from FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI
Europe, YB, BR and/or their respective licensors.