Index Insights | Sustainable Investment – Equity

注目が続く日本のESG投資
Blossom Japan インデックスシリーズの堅調
March 2023
AUTHORS
Atsuhito Mori
Head of Sustainable
Investment Japan
atsuhito.mori@lseg.com
Ken Hirose
Head of Japan, Index
Investments Group
ken.hirose@lseg.com
Johnny Chen
Senior Research Analyst
johnny.chen@lseg.com
Written in collaboration
with SGX

Index Insights | Sustainable Investment – Equity

四半期分析
日本のサステナブル投資市場の発展に呼応して、開示強化とESGスコアの一貫性を求める声が高まっています。金融庁は昨年12月に「ESG評価機関・データ評価機関に係る行動規範」を公表しました。
これは「コンプライ・オア・エクスプレイン」の手法によって規範の諸原則・指針の実施を呼びかけるものです。
本レポートでは日本におけるサステナブルファイナンスの最新情勢と、FTSEラッセルの代表的な日本株ESG指数であるFTSE Blossom Japanインデックスシリーズの四半期パフォーマンス、そして
SGX FTSE Blossom Japanインデックス先物市場の発展状況をレビューします。
今四半期のハイライトは以下の通りです：–

FTSE Blossom Japanインデックスシリーズは引き続き伝統的な時価総額指数をアウトパフォーム–

長期分析ではESGを含む非伝統的ファクターが主なアウトパフォーム要因、ただし足元は
主にマクロ要因（サイズ）が寄与している状況–

SGX FTSE Blossom Japanインデックス先物は健全な建玉水準を維持、ロールオーバー時の健全な流動性を引き続き提供

FTSE Russell

2Index Insights | Sustainable Investment – Equity

更なる開示が求められる日本のESG
投資
日本では、省庁主導でESG投資の定義やガイドラインを定める動きが加速しています。 まず、日本の金融庁は、方法論とプロセスが透明ではなく、企業の ESG スコアが ESG 評価機関ごとに異なることがわかりにくいという声に応えて、2022年12 月に「ESG評価・データ提供機関に係る行動規範」（以下、行動規範という）を公表しました。
「指針」と「考え方」を含む 6つの原則を含むこの行動規範は、法令等に基づき一律に対応を求める
ものではなく、各機関に、規範の趣旨に賛同しこれを受け入れる旨の表明（公表）を呼びかけ、受入れ機関においては、規範の諸原則・指針を実施するか、実施しない場合には、それぞれの原則・指針
を実施しない理由を説明するいわゆる「コンプライ・オア・エクスプレイン」の手法によっており、更にどちらの場合においても読み手が理解できるようわかりやすい説明が必要となります。
FTSE Blossom Japan Index シリーズをはじめさまざまなサステナブル投資指数に統合されている
FTSE ESG スコアを提供する FTSE Russell は、この行動規範の作成プロセスとパブリックコメントに関与し、公表後の2023 年 2 月に、この行動規範を受け入れ遵守することを表明しました。
また、金融庁は、2022 年 12 月にESG投信に関する「金融商品取引業者等向けの総合的な監督指針」の一部改正（案）を公表した（2023 年 2 月 28 日現在（案））。 ESGを名称や投資戦略に取り入れたファンドが国内外で増加しており、運用実態が見合っていないのではないかとの懸念（グリーンウォッシング問題）が世界的に指摘されています。こうした背景から、金融庁は、ESG を運用資産選定の重要な要素として位置付けている日本の公募投資信託（以下、ESG 投資信託）について、以下のことが必要であると提言しました。
–

ESGを投資対象選定の主要な要素とする–交付目論見書の「ファンドの目的・特色」に、その旨を記載しているもの

例えば、運用会社等のアセットマネージャーは、ポートフォリオ内の ESG 資産の目標と実際の割合、
および選択された ESG テーマの詳細と、その統合と方法論による投資プロセスを開示する必要があります。
日本におけるこうしたESGに関する規制と内容や手法に関する開示強化の動きは、日本で提供される
ESG 投資に対し、透明性のある方法論に基づく定量的な ESG スコアを使用したパッシブ投資の必要性と需要をさらに高めると予想されます。

1

Please see The Code of Conduct for ESG Evaluation and Data Providers
Securing Quality, Human Resources Development, Ensuring Independence and Managing Conflicts of Interest, Ensuring Transparency,
Confidentiality, Communication with Companies.
3
Please see Draft of Revised Comprehensive Guidelines for Supervision of Financial Instruments Business Operators, etc.
2

FTSE Russell

3

Index Insights | Sustainable Investment – Equity

FTSE Blossom Japan インデックスシ
リーズは引き続き伝統的市場指数をア
ウトパフォーム
2022年第4四半期、FTSEラッセルのフラッグシップ日本株ESG指数であるFTSE Blossom Japan
インデックスシリーズは引き続き堅調なパフォーマンスを示しました。
図表１：指数パフォーマンス（トータルリターン、円ベース）
200
190
180
170
160
150
140
130
120
110
100

FTSE Blossom Japan Index

FTSE Blossom Japan Sector Relative Index

Dec-22

Sep-22Jun-22Mar-22

Dec-21

Sep-21

Jun-21

Mar-21

Dec-20

Sep-20Jun-20Mar-20Dec-19Sep-19Jun-19Mar-19Dec-18

Sep-18Jun-18Mar-18Dec-17

Sep-17

Jun-17Mar-17

Dec-16

Sep-1690

FTSE Japan All Cap Index

Source: FTSE Russell. Data based on Total Return in JPY, as of December 30, 2022.
Past performance is no guarantee of future results. Please see end for important legal disclosures.

FTSE Blossom JapanインデックスとFTSE Blossom Sector Relativeインデックスはいずれも伝統的な時価総額指数であるFTSE Japan All Capインデックスをアウトパフォーム。アウトパフォーム幅はそれぞれ+87bpと+36bpでした（図表２） 。

FTSE Russell

4Index Insights | Sustainable Investment – Equity

図表２：FTSE Blossom Japanインデックスシリーズのパフォーマンス要因分析
FTSE Blossom Japan インデックス
Quarterly change (2022/10-12)

2015/12–2022/12

Interaction

Total
contribution

Industry
allocationStockselection

-18.8

0.8

-20.7

-11.2

-0.1

-0.2

-0.9

-19.4

24.6

0.4

22.9

Industry
allocationStockselection

Technology-2.6

Telecommunications-0.6

Health care

-2.0

2015/12–2022/9
Industry
allocationStockselection

Interaction

Total
contribution

Interaction

Total
contribution

21.6

0.5

10.9

-8.6

40.4

-0.3

31.6

21.9

-5.1

-2.6

-18.7

22.0

-5.0

-1.7

-13.4

45.4

-0.5

31.4

-11.4

20.8

-0.9

8.5

Financials

0.1

29.1

0.5

29.7

-4.4

142.1

19.9

157.7

-4.4

113.1

19.4

128.0

Real estate

-2.6

-38.1

-2.1

-42.9

-25.8

-93.7

-43.1

-162.7

-23.2

-55.5

-41.0

-119.8Consumer
discretionary

0.1

27.0

0.0

27.1

7.9

276.6

9.1

293.7

7.9

249.6

9.1

266.5

Consumer staples

-0.4

-6.8

-0.1

-7.3

18.4

37.2

-6.4

49.2

18.7

44.0

-6.3

56.5

Industrials

0.4

63.2

-1.3

62.2

28.2

52.9

-40.8

40.3

27.8

-10.3

-39.4

-21.9

Basic materials

-0.7

15.8

-0.4

14.6

-7.0

153.7

-3.3

143.3

-6.3

138.0

-3.0

128.7

Energy

0.1

0.5

0.0

0.6

2.7

9.2

1.0

13.0

2.6

8.7

1.0

12.3

Utilities

-0.6

2.1

-0.2

1.2

-14.8

83.1

-2.8

65.5

-14.2

81.0

-2.5

64.2

Total Return (Local)

-9.0

98.3

-2.6

86.7

-38.8

750.1

-71.6

639.7

-29.9

651.8

-68.9

553.0

FTSE Blossom Japan Sector Relative インデックス
Quarterly change (2022/10-12)

2015/12–2022/12

2015/12–2022/9

Total
IndustryStockcontribution allocation selection Interaction

Total
IndustryStockcontribution allocation selection Interaction

Industry
allocationStockselection

Interaction

Total
contribution

Technology

-0.4

-18.4

0.0

-18.8

4.1

-23.5

-1.3

-20.7

4.5

-5.1

-1.3

-1.9

Telecommunications

-0.5

-3.2

0.0

-3.6

-14.1

-71.5

0.9

-84.7

-13.6

-68.3

0.9

-81.0

Health care

-0.5

5.9

0.2

5.6

-3.3

72.2

5.2

74.2

-2.8

66.3

5.1

68.5

Financials

0.4

18.8

0.0

19.2

-3.0

92.4

-1.5

87.9

-3.4

73.6

-1.5

68.7

Real estate

-1.6

-28.9

-0.8

-31.3

0.7

-49.0

-5.8

-54.0

2.4

-20.1

-4.9

-22.7

Consumer
discretionary

-0.3

27.6

0.0

27.4

2.3

180.2

-0.1

182.4

2.5

152.6

-0.1

155.0

Consumer staples

-0.5

-0.2

-0.1

-0.8

3.1

47.4

-2.3

48.2

3.6

47.7

-2.2

49.0

Industrials

-1.0

31.4

-0.5

29.9

-7.2

232.4

2.6

227.7

-6.2

201.0

3.0

197.9

Basic materials

0.2

5.8

0.0

5.9

2.9

22.3

-0.4

24.7

2.7

16.5

-0.4

18.8

Energy

0.1

0.0

0.0

0.1

4.5

-4.8

-1.1

-1.3

4.4

-4.8

-1.0

-1.4

Utilities

0.4

2.1

-0.1

2.4

4.3

1.0

-0.3

5.0

3.9

-1.1

-0.2

2.6

Total Return (Local)

-3.7

41.0

-1.3

35.9

-5.8

499.3

-4.1

489.5

-2.0

458.4

-2.8

453.5

Source: FTSE Russell. Data as of December 30, 2022.
Past performance is no guarantee of future results. Please see end for important legal disclosures.

FTSE Russell

5Index Insights | Sustainable Investment – Equity

前回レポート 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 でもご紹介しましたが、Blossom Japanインデックスシリーズの伝統的な時価総額指数に対する設定来のアウトパフォームは業
種選択効果の影響は限定的であり、主に個別銘柄の選択効果に起因しています。この傾向は2022年第4四半期においても継続しており、FTSE Blossom Japanインデックスで+98bp、FTSE Blossom Japan
Sector Relativeインデックスで+41bpと個別銘柄選択効果がそれぞれ寄与しました。
次に図表3では、Blossom Japanインデックスシリーズのパフォーマンスのファクター分析を行っています。この結果を見ると、2022年第4四半期ではサイズファクターが効いていたことが分かります。
Fedによる金融引き締め政策についてペースダウンの期待が高まる等、当該期間においてはマクロ要因
が市場に大きく影響したことが背景にあると考えられますが、この点は伝統的なファクターでは説明ができない部分、残差ファクター（ESG要因も含む）について若干のマイナスとなったことにも表れていると考えられます。一方、短期的な分析とは対照的に設定来の長期分析では引き続きESG要因を含む残差ファクターがFTSE Blossom Japanインデックスシリーズのパフォーマンスのほとんどを説明しています。
図表３：ファクター分析
FTSE Blossom Japan インデックス

Industry

Value

Quality

Volatility

Size

Momentum

Residual

Total excess
in JPY

31/05/2015 to 30/09/2022-100.8

102.6

-84.2

-241.6

369.2

120.4

382.6

548.1

31/05/2015 to 30/12/2022-106.0

133.8

-67.5

-271.8

461.9

132.6

351.8

634.9

-5.1

31.2

16.7

-30.1

92.7

12.2

-30.8

86.7

PeriodQuarterly change

FTSE Blossom Japan Sector Relative インデックス
Industry

Value

Quality

Volatility

Size

Momentum

Residual

Total excess
in JPY

31/05/2015 to 30/09/2022

1.1

58.9

-122.2-122.4

3.4

177.1

430.4

426.4

31/05/2015 to 30/12/2022

0.4

83.5

-115.9-123.6

33.9

183.9

399.4

461.6

Quarterly change

-0.7

24.6

6.3

-1.2

30.5

6.7

-31.0

35.2

PeriodSource: FTSE Russell. Data based on December 30, 2022.
Past performance is no guarantee of future results. Please see end for important legal disclosures.

FTSE Russell

6Index Insights | Sustainable Investment – Equity

次の限月へのロールオーバー
SGX FTSE Blossom Japan Index先物は今後もFTSE Blossom Japan Indexユーザーにとっての主要なデリバティブソリューション
です。図4が示す通り、建玉は6,800万ドル（1,139枚）以上で安定しており、健全な建玉1を有する、唯一の日本株原資産のESG先物になっています。4
図4. 四半期末の建玉（枚）
1,400

1,139

1,200
1,000
800
600
400
200
0
Mar'21

Jun'21

Sep'21

Dec'21

Mar'22Jun'22

Sep'22

Dec'22

Mar'22*

Source: SGX. Data as of March 10, 2023.
Past performance is no guarantee of future results. Please see end for important legal disclosures.

ロールオーバー時の流動性は先物の投資家にとって重要です。 直近の2023年の3月-6月のロールオー
バーでは、1回の取引で 2,200万米ドル (365枚)が立会外で約定し、SGX FTSE Blossom Japan Index
先物が、大きなサイズでも取引できる流動性があることを示しました。
オンラインでロールオーバーをする投資家は、最終取引日の15日前 (LTD-15) からカレンダースプレ
ッドの板が確認でき、スプレッドは最小で0.1インデックスポイント (~6 bps)、最良気配には100万米ドルを超える金額が、最終取引日の5日前から提示されています。さらに重要なのは、電子取引でのロールコストはかなり低く、図5が示す様に、実際のスプレッドは理論価格と（買い持ちの投資家にとって）同じかそれよりも狭くなっています。複数のマーケットメーカーが市場に参加していることで、板はより厚みを増しており、当該先物の取引参加者に価格発見と効率的なロールオーバーの執行の機会を提供しています。

4

FIA Jan 2023 data.

FTSE Russell

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Index Insights | Sustainable Investment – Equity

図5. 2023年3月‐6月のロールコスト
1.8-1.15%

1.3-1.20%

1.0
0.8-1.25%

0.5

最良気配 ($M)

ロールスプレッド1.5

0.3-1.30%-

Theoretical Spread (LHS)

Actual Spread (LHS)

TOB size (RHS)

Source: SGX. Roll spreads are calculated as a percentage of the day’s average March – June 2023 spreads to volumeweighted average index level. A more negative (positive) actual spread compared to the theoretical spread means rollinga long futures position at a discount (premium) to fair value.

FTSE Russell

8Index Insights | Sustainable Investment – Equity

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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.