September 25, 2018

GPIF Selected Global Environmental Stock Indices
Government Pension Investment Fund (GPIF) promotes ESG investment for the purpose of improving thelong-term return of the whole asset by reducing the negative externality to the environment and society. GPIF
called for applications of environmental indices for global equities and has been in the process of selection as
GPIF holds the view that among important ESG issues, environmental concerns such as climate change
represent a cross-border, global challenge. GPIF selected two indices that are constructed with the same
methodology and commenced passive investment tracking these indices.
＜Selected Indices＞
Asset

Name of index

Japanese Equities

S&P/JPX Carbon Efficient Index

Non-Japanese Equities

S&P Global Ex-Japan LargeMid Carbon Efficient Index＜Main Characteristics of the indices＞
1.

Both indices overweight companies that have high carbon efficiency1 within the same industry
and/or disclose the amount of carbon emissions.

2.

Both indices adjust the over/underweight of companies in accordance with the damage on theenvironment by each industry to which the companies belong (companies, which belong to anindustry that have more damage on the environment, are more incentivized to improve theircarbon efficiency and disclosure).

3.

S&P/JPX Carbon Efficient Index covers all companies that are listed on the first section of Tokyo
Stock Exchange (with some illiquid stocks excluded) thus the coverage is broader than other
ESG indices.

＜Comment by President Norihiro Takahashi＞
GPIF hopes that the selected Global Environmental Stock indices will provide an opportunity forcompanies to work on carbon efficiency and disclosure. These indices are not constructed by the divestmentof companies that have more damage on the environment, nevertheless lead to accomplish lowering climatechange risks by significantly reducing carbon emissions of the portfolio. Moreover, the indices can include
small listed companies that were not covered by other ESG indices, which goes along with GPIF’s idea toimprove the sustainability of the overall market.
GPIF invests 1.2 trillion yen (approximately 10 billion dollar) at home and abroad in the passive funds

tracking these Global Environment Stock Indices. GPIF will continue to actively engage in ESG investment
so as to maintain pension reserves for the future generations.
1

carbon efficiency is the ratio of company’s greenhouse gas emissions to the revenue.

FTSE Blossom
Japan Index

Index
concept

MSCI JapanESG Select Leaders
Index

MSCI Japan
Empowering
Women Index (WIN)S& P/JPX Carbon
Efficient Index

S& P Global ExJapan
L argeMidC ap
Carbon Efficient
Index· MSCI calculates thegender-diversity scoresbased on various pieces
・Based on carbon data provided by Trucost,· The MSCI Japan ESG· The index uses the ESG
of information disclosed
one of the pioneers of environmental researchassessment scheme that is Select Leaders Index is aunder the Act oncompanies, S&P Dow Jones Indices, a leading
broad ESG index thatapplied to the FTSE4Good
independent provider, develops the index
integrates various ESG risks Promotion of Women's
Japan Index Series which
Participation andmethodologies.
has one of the longest track into today's portfolio. The
・The indices are designed to increase index
index is based on MSCI ESG Advancement in therecords globally for ESG
Workplace and selects
weights of the companies which have low
Research that more thanindexes.
companies with higher
Carbon to Revenue Footprints (annual
1,000 clients use· The index is a broad ESG
gender diversity scores from greenhouse gas (GHG) emissions divided by
globally.
index that selects stocks
each sector.
annual revenues) and actively disclose· The index incorporates
with high absolute ESG· The first index designed
information of carbon emissions.
scores and adjusts industry stocks with relatively high
ESG scores in each industry. to cover a broad range of
weights to neutral.
factors related to gender
diversity.

Subject ofInvestment

Domestic Equity

Domestic Equity

Domestic Equity

Constituent
universe(parent index)

FTSE JAPAN INDEX(509 stocks)

Top 500 companies(in terms of market cap)in the MSCI Japan IMI

Top 500 companies(in terms of market cap)in the MSCI Japan IMI

Number of index
constituents

149

252

208

Assets undermanagement¥526.6 billion(4.3 billion dollars)¥622.9 billion(5.2 billion dollars)¥388.4 billion(3.2 billion dollars)(Note) Number of index constituents and assets under management on the left are of March 31,2018.
Ones on the right are of August 31,2018(Assets under management are of September 25,2018 ).
Exchange rate \120 to the dollar. It is an approximate amount.

Domestic Equity

Foreign Equity

TOPIX (2103 stocks)

S&P Global ex-Japan
LargeMid Index (2584
stocks)

1694

2162

¥1.2 trillion(10 billion dollars)Selection Result of Global
Environmental Index

ESG Indices in GPIF Investment
Integrated
Indices
Japanese
Equities

FTSE Blossom
Japan Index
Japanese
Equities

MSCI Japan
Select Leaders
Index

Thematic IndicesE（Environment）

S

Japanese
Equities

Non‐JapaneseEquities

S&P/JPX Carbon
Efficient IndexSeriesJapanese
Equities（Social）

MSCI Japan
Empowering
Women Index
（ＷIＮ）

G

N/A

（Governance）

Copyright © 2018 Government Pension Investment Fund All rights reserved.

2

Selection Process of Global Environmental Index

Called for application from November 2017 to January 2018. Received 17 indices from index providers and asset
managers from all over the world.
The first screening was conducted from the viewpoints indicated in “Qualification” in the RFP (p.3).At this point, our rating
was particularly focused on their management, especially handling of inquiries from investee companies.
8 indices passed the first screening. Some indices assess the climate change only, while others look at the environmental
issues in general. As for their assessment perspective, some focus on risk management, while others stress both return
opportunity and risk management.

Selection Process

The First Screening（document
screening）：17 indicesHearing

The Second Screening：８indicesMultiple Hearings
The Final Screening/Selected １index

8 indices that passed the first screening<Target subject>
Environmental issues ingeneralEnvironmental issues ingeneralEnvironmental issues ingeneralEnvironmental issues ingeneral
Focused on climatechangeFocused on climatechangeFocused on climatechangeFocused on climatechange<Assessment Point>
Index①
Index②Return opportunity &Risk management
Return opportunity &Risk management

Index③

Risk management

Index④

Risk management

Index⑤

Risk management

Index⑥

Risk management

Index⑦
Index⑧Return opportunity &Risk management
Return opportunity &Risk management

Note: Applicants submitted a pair of index for Japanese equities and for non-Japanese equities based on the same
methodology, and both were counted as one index.
Copyright © 2018 Government Pension Investment Fund All rights reserved.

3

Excerpt from the Call for Applications
Qualification（must meet all the following conditions)① Have sufficient track records in index construction and ESG research, or have a sufficient track record of index calculation
using data of external institutions of ESG evaluation with a proven track record.
② Have track records of investment using an index developed in-house.
③ An office in Japan.
④ In the event that the index is selected and publicized, the applicant must be well prepared for inquiries from companies
and media, etc., regarding the evaluation methods.

The First Screening

Requirements（for proposing ESG index）① Considering that environmental issues including climate change constitute global challenges, applicants should propose
two indices based on the same concept, one for (i) international equities (excluding Japanese equities) and one for (ii)Japanese equities. For the purpose of comparative analysis, it is desirable that an additional index consisting of global
equities (including Japanese equities) also be submitted.
② The index should be based on the concept that encourages to seek the solution of environmental issues, rather thanuniformly excluding companies in specific industries or types of business (so-called negative screening).
③ Provide the same level of returns as their capitalization-weighted index (Parent index) and improve their risk-adjusted
return in the long run. Prove that through past performance and back test.
④ Select equities based solely on ESG factors, focusing on the environment.
⑤ The evaluation methodology should be highly objective, neutral and transparent.
⑥ Disclose data necessary for passive investment.
⑦ Avoid bias towards any specific company, business styles, etc.
⑧ Have a capacity for considerable investment.
The Second & Final Screening
Copyright © 2018 Government Pension Investment Fund All rights reserved.

4

Points of Global Environmental Index Selection
1. Focusing on ESG(environment information) and Positive Screening It is preferable for the indices to have a positive screen, as well as a comparative evaluation method
within each industry. As a universal owner, GPIF’s policy does not agree that indices shall divest from, or
exclude, companies that have more damage on environment, such as coal or electric power companies.

2. Encouraging Disclosure. Improvement of Evaluation Method It’d be difficult to construct the environment index only using with disclosed information from investee
companies, due to insufficient information regarding metrics such as amounts of greenhouse gas (GHG)
emissions and sales total from eco-friendly products.
 GPIF’s objective, which is to improve the market sustainability, can be achieved by using flags for“disclosed/non-disclosed” information, and utilize this in a scheme that will incentivize corporate disclosure(e.g. a scheme to prioritize disclosed information).
 In order to improve the evaluation methodology, index providers should disclose evaluation result
as well as its methodology.

3. Governance and Conflicts of Interest Applying the same standard when GPIF selected ESG indices for Japanese equities in July 2017.

4. Largest Universe Possible
 Small-cap stocks should have opportunities to be constituents, providing improvement to sustainability
within the whole market.
Copyright © 2018 Government Pension Investment Fund All rights reserved.

5

Difference of the amount of GHG by Industries

Among the major listed companies, a high proportion of the greenhouse gas emissions are emitted by the public utilities,
material, and energy industries.
However, other companies’ business may utilize the energy and materials made from these industries.
Some pension funds overseas divest from companies that damage the environment. However, because there is alimitation to the amount of GHG caused by the entire supply chain that can be captured and understood, it would be
more significant to reduce the climate change risk by encouraging the competition within each industry.

Amount of GHG emission by industries that
constitute S&P Global Ex-Japan LargeMid
Carbon Efficiency Index

Distribution of Carbon Efficiency by industries

Capital
資本財（7.3％）
Goods(7.3%)
4%4%
運輸Transportation（2.4％）(2.4%)5%

Other
その他(76.0%)（76.0％）
14%
14%
公益事業
Utilities(2.8%)（2.8％）
31%

5%

31%

Materials
素材（5.0％）23%(5.0%)23%

エネルギー
Energy (6.5%)(6.5％)
23%23%※カッコ内（）は指数全
Note:(%) indicates
the total
weightbased on the float
体に占める浮動株調整済
時価総額ウエイト、カッコadjusted
market-cap in the
外は温室効果ガスの排出
wholeindex. % indicates the
量シェア
share
of GHG emission

Note: Subjects are constituents of S&P Global Ex‐Japan LargeMid Carbon Efficiency Index as of August 31, 2018.
Source: Trucost
Copyright © 2018 Government Pension Investment Fund All rights reserved.

6

Current Disclosure about GHG
While ESG providers have increased their coverage of ESG scores for companies beyond Large/Midcap indices such as MSCI ACWI, public disclosure rate of GHG emissions by companies are still very
low. Therefore it’s very difficult to construct an index based solely on disclosed information provided bycompanies. Among the developed countries, Japan’s disclosure rate of GHG emissions ranks the lowest.
Disclosure Rate of Amount of GHG Emissions（15 developed countries）
英国
UK

98.9

フランス
France

94.0

南アフリカ
South
Africa89.6

豪州
Australia
ドイツ
Germany

83.7

スウェーデン

81.6

ブラジル

80.9

86.4

SwedenBrasilカナダ
Canada
米国
USA
日本
Japan
香港
Hong Kong
韓国
South Korea
タイ
Thailand台湾
Taiwan

75.3
66.8
59.3
55.6
53.6
41.3
36.6

中国
China

（％）

26.2
0

20

40

60

80

100

Note 1: Subjects are constituents of S&P Global LargeMidCap as of August 31, 2018
Note 2: Disclosure/Non-disclosure is classified by Trucost’s assessment
Source: Trucost
Copyright © 2018 Government Pension Investment Fund All rights reserved.

7

Difficulty to Evaluate Environmental Technology


During the application process, some of the proposed indices evaluated eco-friendly products or services, and reflected
this assessment to the weight of the constituents or stock selection. Since society increasingly seeks out technology toresolve environmental issues, particularly climate change, more attention has been directed towards these kinds ofindices.

However, when evaluating indices with high transparency and objectivity, it is difficult to judge which technology would
be better, or how much they are sold, due to the lack of disclosure. Consequently, these indices were not selected in theend.

More disclosure of eco-friendly products or services from companies would enable to evaluate them in the active
investment as well as passive investment based on rules (index tracker), which could eventually make the market moresustainable.

Barriers to Evaluate Environmental Technology

Companies are not willing todisclose information ofenvirotech or eco-friendly
products due to its disruptive
nature.
Envirotech or eco-friendly productsthat we can easily acquire
information already may becomecommodities with low return.

With less information about envirotech or ecofriendly products, not many technology or
products can be subject to index evaluation
based on rules when constructs index.

Copyright © 2018 Government Pension Investment Fund All rights reserved.

8

Concept of Carbon Efficient Index
 S&P/JPX Carbon Efficient Index
 S&P Global Ex-Japan LargeMidCap Carbon Efficient Index＜Concept＞① Overweight companies that have high carbon efficiency within the same industry and/or
disclose the amount of carbon emissions.
② Adjust the over/underweight of companies in accordance with the damage on the environment
by each industry to which the companies belong (companies which belong to industry thathave more damage on the environment, are more incentivized to improve carbon efficiency
and disclosure).
③ S&P/JPX Carbon Efficiency Index covers all companies that are listed on the first section ofTokyo Stock Exchange (with some illiquid stocks excluded) thus the coverage is broader thanother ESG indices.

Note: Carbon efficiency is the ratio of company’s greenhouse gas emissions to the revenue.
Copyright © 2018 Government Pension Investment Fund All rights reserved.

9

Carbon Efficient Index Methodology Summary〜Step1. Determining the Global Standard〜The indices increase the weight of the companies within each industry group with low Carbon-toRevenue (CO2e/Revenue), and decrease the weight of companies that have high total Carbon-toRevenue.
Also, within the rules of the index, there are rules in places that provide companies that publically provide
GHG emissions with increased weight, thus motivating companies to proactively disclose emissions.

Step 1: Determining the Global Standard
1

2

3

Universe

Determine thedecile thresholds
for each of theIndustry Groups

Determine the
Impact of each of
the Industry
Groups

•S&P Global LargeMidCap Index•

S&P Global LargeMidCap Index
Rank the companies within each of
the industry groups by Carbon-toRevenue values•

Determine the decile thresholds foreach respective industry group•

High Impact Industry Group•Mid Impact Industry Group•Low Impact Industry Group

Copyright © 2018 Government Pension Investment Fund All rights reserved.

10

Carbon Efficient Index Methodology Summary〜Step2. Determine the Constituents〜

Domestic (Japan) Equity Universe (2103
Constituents）<TOPIX>

Foreign Equity Universe（2584 Constituents）<S&P Global Ex‐Japan LargeMidCap Index>

Screening Criteria

Screening Criteria①Liquidity Standard• Average Daily Trading value of less than JPY 50M②Company Disclosure Standard• The company’s GHG emissions are within the
Global Top 100 emitters by total emissions, and isalso not reporting emissions numbers.
③Controversy• The RRI score as provided by RepRisk* is over 75① Liquidity Standard• Average Daily Trading value of less than USD 3M②Company Disclosure Standard• The company’s GHG emissions are within the
Global Top 100 emitters by total emissions, andis also not reporting emissions numbers.

Index Methodology Weight is Determined(1694 Constituents)

Index Methodology Weight is Determined(2162 Constituents)③Controversy• The RRI score as provided by RepRisk* is over75

Note 1: Numbers of constituents are as of August 31, 2018
Note 2: RepRisk is a research provider, specialized in ESG risks, based in Zurich, Switzerland

Copyright © 2018 Government Pension Investment Fund All rights reserved.

11

Carbon Efficient Index Methodology Summary〜Step3. “Disclosed”/”Non-Disclosed” Determination〜
Company Disclosure of
GHG Emissions

Company Disclosure of
Emissions

No Disclosure⇒Not subject to increased weight

Trucost to determine
trustworthiness and quality of
disclosed environmental data
Determined as “Disclosed”⇒ Subject to increased weight

Determined as “Non-Disclosed”⇒ Not subject to increased
weight＜Decision standards for Disclosed/Non-Disclosed＞
The environmental data that a company discloses are compared to the estimated value produced by the Trucost Modelthat is produced using various industry specific metrics, and if the company disclosed value is then classified as a“disclosed” company, the constituent is subject to a increased weight. However, if a company only produces emissions
for a small domestic part of their business, or only a small portion of direct emissions from an office or factory, thiscompany may be determined as “non-disclosed”.
Copyright © 2018 Government Pension Investment Fund All rights reserved.

12

Carbon Efficient Index Methodology Summary〜Step4. Determining the Weight〜＝ Decile Weight Adjustment x Industry Group Impact Factor

Carbon Weight Adjustment※The constituent weight is calculated by taking the weight based on the industry neutral float adjusted market captitalizationand multiplying it by the Carbon Weight Adjustment
Industry Group Impact Factor

When disclosed,＋10％Disc lo se d

Low
×0.5

the 2nd decile
the 3rd decile

The 9th decile
The 10th decile

Carbon Weight Adjustment

Disclose

40%

20%

40%

120%

Non-disclose

30%

15%

30%

90%

Disclose

30%

15%

30%

90%

Non-disclose

20%

10%

20%

60%

Disclose

20%

10%

20%

60%

Non-disclose

10%

5%

10%

30%

Disclose

10%

5%

10%

30%

Non-disclose

0%

0%

0%

0%

Disclose

0%

0%

0%

0%

Non-disclose

-10%

-5%

-10%

-30%

Disclose

-10%

-5%

-10%

-30%

Non-disclose

-20%

-10%

-20%

-60%

Disclose

-20%

-10%

-20%

-60%

Non-disclose

-30%

-15%

-30%

-90%

the 4th-7th decile
The 8th decile

Industry Group Impact Factor and its relation
to Carbon Weight Adjustment

High
×3.0

De c il e

Classification
W e i gh t
/ No n of decile
disc l o se d Adju st m e n t
the 1st decile

Mid
×1.0

Even if the two companies arein the top decile of theirrespective industry group,companies in the higher impact
industry group have a largerchange in weight

Carbon-toRevenue is HighHigh Impact
Mid Impact
Low Impact

Carbon-toRevenue is Low

Copyright © 2018 Government Pension Investment Fund All rights reserved.

13

Trucost Engagement Process
Trucost Gathers
Public Data andPerforms Company
Analysis•

Trucost to gather public company
data, including financial statements,
CSR/ESG reporting, CDP Reports•

Run analysis of this data to create
estimates for environmental data
estimates through EEIO
(Environmentally-Extended InputOutput)••

If company provides specificenvironmental information, Trucost
will confirm accuracy of data bycomparing to estimates
If the company does not provide
environmental data, Trucost will
rely on its modelled estimates

Company may
Respond to Letterand discuss with
Trucost reasoning
and details ofenvironmental data

Trucost Sends a
Letter to Company
with Company
Analysis•Upon creating anenvironmental data report forthe company, Trucost sends a
letter to the company•

The company will have four weeks
to respond back to the letter andengage with Trucost regarding theinformation that is being provided.

•

The letter includes information
regarding how the company
may access the online data•

Companies may contact Trucost to
have a better understanding of its
carbon data and may provide more
information•

The details in the letter will
also explain how thisinformation is used by Trucost
and contact information of
Trucost is included in this letter.

•

Based on responses fromcompanies, environmental data iscorrected as necessary andenvironmental database will be
updated accordingly. (In case there
is no response from a company, no
adjustment is done).

Source: Created by GPIF based on information from S&P Dow Jones
Copyright © 2018 Government Pension Investment Fund All rights reserved.

14

“Global Standard” for the Carbon Efficiency by Industries
and Impact Rate by Industries
Decile (Note: numbers indicates carbon efficienct (tonnes CO2e/$1M)
Industy
Impact1

Utilities

HIGH-179.64179.64-332.14 332.14-543.95(omit)

4203.92-5076.34 5076.34-8247.42

8247.42-

Materials

HIGH-231.95

231.95-406.88 406.88-507.21(omit)

1648.09-2668.82 2668.82-4533.53

4533.53-

EnergyHIGH-201.2201.2-364.26 364.26-510.28(omit)

961.55-1220.39 1220.39-1930.85

1930.85-

Transportation

HIGH-68.5768.57-76.42

76.42-101.33(omit)

956.44-1143.91 1143.91-1299.88

1299.88-

Food, Beverage & Tobacco

HIGH-137.1

137.1-168.54 168.54-192.06(omit)

479.32-733.49

733.49-942.18

942.18-Commercial & Professional Services

HIGH-16.31

16.31-21.44

21.44-22.92(omit)

61.9-145.9

145.9-521.82

521.82-

Consumer Services

MID-41.0541.05-55.14

55.14-78.44(omit)

125.13-214.87

214.87-415.08

415.08以-Capital Goods

MID-50.3850.38-66.87

66.87-79.93(omit)

179.14-224.99

224.99-363.92

363.92-

Household & Personal Products

MID

-51.9

51.9-58.8

58.8-69.11(omit)

138.76-159.05

159.05-353.94

353.94-

Semiconductors & Semiconductor Equipment

MID-58.7158.71-75.44

75.44-98.6(omit)

163.56-239.26

239.26-348.53

348.53-

Automobiles & Components

MID-44.2844.28-49.67

49.67-59.67(omit)

198.31-224.06

224.06-248.12

248.12-

Technology Hardware & Equipment

MID-34.5734.57-49.74

49.74-60.21(omit)

127.93-163.56

163.56-247.87

247.87-

Consumer Durables & Apparel

MID

-43.4

43.4-58.14

58.14-68.09(omit)

128.35-167.75

167.75-219.21

219.21-

Real Estate

LOW-58.2558.25-81.08

81.08-81.08(omit)

88.77-102.87

102.87-155.8

155.8-

Telecommunication Services

LOW

-25.2

25.2-25.79

25.79-25.79(omit)

65.65-97.35

97.35-128.82

128.82-

Pharmaceuticals, Biotechnology & Life Sciences

LOW-40.0240.02-47.86

47.86-52.81(omit)

61.33-71.34

71.34-111.43

111.43-

Food & Staples Retailing

LOW-29.0829.08-48.48

48.48-55.43(omit)

70.1-77.72

77.72-103.23

103.23-

Diversified Financials

LOW

-6.14

6.14-10.32

10.32-12.43(omit)

15.06-31.42

31.42-85.28

85.28-

Health Care Equipment & Services

LOW-17.61

17.61-34.87

34.87-47.95(omit)

71.7-74.85

74.85-85.23

85.23-

Retailing

LOW-26.2726.27-44.73

44.73-50.19(omit)

73.01-77.64

77.64-83.93

83.93-

Software & Services

LOW

-14.4

14.4-16.14

16.14-19.3(omit)

25.54-33.16

33.16-44.73

44.73-

Media

LOW-13.9513.95-15.39

15.39-16.37(omit)

27.39-30.21

30.21-40.25

40.25-

Banks
LOW
-5.65
Source: Created by GPIF based on information from S&P Dow Jones
Insurance
LOW
-3.43

5.65-5.65

5.65-6.39(omit)

12.65-14.67

14.67-24.27

24.27-

3.43-3.82

3.82-4.38(omit)

5.4-7.91

7.91-14.03

14.03-

GICS Industry Group2

3

4,5,6,78

9

10

Copyright © 2018 Government Pension Investment Fund All rights reserved.

15

Carbon Efficient Index Performance〜S&P/JPX Carbon Efficient Index〜

 While maintaining roughly the same Risk/Return profile as the parent index, TOPIX, this index
decreased their Carbon-to-Revenue footprint by 24.5%
Mar.31, 2009 to Aug.31, 2018
(JPY)

TOPIX

S&P/JPX Carbon
Efficient Index

Annualized Return <TR, JPX>
(Return of the last year)

11.14%(9.58%)

11.12%(9.68%)

350

Annualized Volatility

16.65%

16.61%

300

Risk-Adjusted Return

0.67

0.67

Annualized Excess Return<TR, JPX>--0.02%

Annualized Tracking Error

-

0.55%

Information Ratio

-

-0.03

Average Annual Turnover at
Rebalancing <one-way>

-

7.95%

Carbon-to-Revenue Footprint *212.26160.18（2009/3/31＝100）
TOPIX

S&P/JPX Carbon Efficient Index
S&P/JPXカーボン・エフィシェント指数
250

200

150

100

Carbon-to-Revenue Footprint
Reduction

24.5%

Note: Performance is shown by TR※パフォーマンスはグロス・トータルリターン
50
09/3

10/3

11/3

12/3

13/3

14/3

15/3

16/3

17/3

18/3

Note: Carbon‐to‐Revenue Footprint is tonnes carbon emissions per
Source: Created by GPIF based on information from S&P Dow Jones
Copyright © 2018 Government Pension Investment Fund All rights reserved.

16

Carbon Efficient Index Performance〜S&P Global Ex-Japan LargeMidCap Carbon Efficient Index〜
 While maintaining roughly the same Risk/Return profile as the parent index, S&P Global ExJapan LargeMidCap Index, this index decreased their Carbon-to-Revenue footprint by 40.9%
Mar.31, 2009 to Aug.31, 2018
(USD)

S&P Global
Ex‐Japan
LargeMidCap

S&P/JPX
CarbonEfficient Index

Annualized Return <TR, USD>
(Return of the last year)

14.02%(12.02%)14.03%(12.43%)400

Annualized Volatility

14.07%

14.08%

350

Risk-Adjusted Return

1.00

1.00

（2009/3/31＝100）
S&P
グローバル大中型株指数（除く日本）
S&P
Global Ex-Japan LargeMidCap
S&P
グローバル大中型株カーボン・エフィシェント指数（除く日本）
S&P
Global Ex-Japan LargeMidCap Carbon Efficient Index

300

Annualized Excess Return<TR, USD>-

Annualized Tracking Error

-

0.54%

Information Ratio

-

0.02

Average Annual Turnover at
Rebalancing <one-way>-

10.32%

0.01%
250

As of Aug.31, 2018
Carbon-to-Revenue Footprint *

200
150
100

297.01

Note: Performance is shown by TR※パフォーマンスはグロス・トータルリターン

175.5450

Carbon-to-Revenue Footprint
Reduction

40.9%

09/3

10/3

11/3

12/3

13/3

14/3

15/3

16/3

17/3

18/3

Note: Carbon‐to‐Revenue Footprint is tonnes carbon emissions per
Source: Created by GPIF based on information from S&P Dow Jones
Copyright © 2018 Government Pension Investment Fund All rights reserved.

17

(Reference)
About S&P Dow Jones Indices and Trucost

S&P Dow Jones Indices
Trucost• In September 2011, S&P Indices and Dow
Jones Indexes announced the merger tobecome S&P Dow Jones Indices, and thecompany was officially established in June2012 after completion of paper works.
• As a world leading independent index
provider, S&P Dow Jones Indices areproviding services global markets including
the United States and Japan.

• Trucost was established in 2000 tomeasure the environmental performanceof companies. Today, Trucost quantifies
complete environmental performance
profiles for over 14,000 companies
representing 99% of global market
capitalization, and it’s research overage is
expanding.
• Trucost became a part of S&P Global in
October 2016, and continuously providing
companies’ environmental data globally
including S&P Dow Jones Indices for their
ESG related business.
Copyright © 2018 Government Pension Investment Fund All rights reserved.

18

(References)
List of ESG indices GPIF selected
FTSE
Blossom
Japan Index

Concept

MSCI Japan ESG Select MSCI Japan
Empowering Women
Leaders Index
Index (Win)S&P/JPX
CarbonEfficient
Index

S&P Global Ex‐
Japan Large
Mid Carbon
Efficient Index

・Calculate gender diversity ・Based on carbon data provided by Trucost, one of thescores based on various pioneers of environmental research companies, S&P
information disclosed
Dow Jones Indices, a leading independent provider,
・FTSE's ESG index series.
under "the Act on
develops the index methodologies.
・Integrated index
・Utilize the globally
constituted by MSCI's ESG Promotion of Women's・Based on carbon data provided by Trucost, one of theestblished FTSE4Good
Participation andpioneers of environmental research companies, S&P
research. Reflect various
Index ESG rating
ESG risks comprehensively Advancement in the
Dow Jones Indices, a leading independent provider,methodology.
into the market portfolio.
Workplace". Constitutedevelops the index methodologies.
・Integrated index byindex including companies The indices are designed to increase index weights of・Include stocks withscreening constituents with
with the high score fromthe companies within the industry which have low
relatively high ESG ratinghigh ESG rating, andeach industry.
Carbon to Revenue Footprints (annual greenhouse gas
among industry.
industry neutral weighting.
(GHG) emissions divided by annual revenues) and・The first index to selectstocks from various
actively disclose information of carbon emissions.
perspectives in this field.

Subject

Domestic equities

Domestic equities

Domestic equities

Universe

FTSE JAPAN INDX
(509 stocks)

Market cap top 500 in
MSCI Japan IMIMarket cap top 500 in
MSCI Japan IMI# ofConstituents

149

252

208

AUM

526.6 billion JPY

622.9 billion JPY

388.4 billion JPY

Domestic equities

Foreign equities

TOPIX(2103 stocks)

S&P Global Large Mid
Index (ex.JP)(2584 stocks)

1694

2162

1.2 trillion JPY in total

Copyright © 2018 Government Pension Investment Fund All rights reserved.

19