Index Factsheet

MSCI Japan ESG Select Leaders Index (JPY)MSCIジャパンESGセレクト・リーダーズ指数は、MSCIジャパンIMI指数を親指数とする。本指数は、E（環境）S（社会）G（ガバナンス）に優れた企業のパフォーマンスを表すようデザインされている。本指数は、親指数における各業種の中から相対的にESG評価の高い企業をその業種の時価総額50%をカバーするよう構築される。それにより、高ESG銘柄を選抜することで業種への偏りが発生しないよう工夫されている。

CUMULATIVE INDEX PERFORMANCE — GROSS RETURNS (JPY)(MAY 2018 – MAY 2022)

ANNUAL PERFORMANCE (%)
MSCI Japan ESG
Select Leaders

Year

2021
2020
2019

MSCI Japan ESG Select Leaders
MSCI Japan IMIMSCI Japan IMI

13.33
10.58
21.79

13.00
7.85
18.88

150
129.28121.95
10050May 18

Sep 18

Jan 19May 19

Sep 19Jan 20May 20

Sep 20Jan 21May 21

Sep 21

Jan 22May 22

FUNDAMENTALS (MAY 31, 2022)

INDEX PERFORMANCE — GROSS RETURNS (%) (MAY 31, 2022)
ANNUALIZED

1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr MaySince
31, 2018

MSCI Japan ESG SelectLeaders

0.71

3.21

3.67

-3.40

12.34

nana

MSCI Japan IMI

0.79

2.74

1.59

-3.12

10.90

nana

Div Yld (%)

P/EP/E Fwd

P/BV

6.63

2.32

14.24

13.51

1.47

5.08

2.44

13.59

12.70

1.24

INDEX RISK AND RETURN CHARACTERISTICS (MAY 31, 2018 – MAY 31, 2022)
ANNUALIZED STD DEV (%) 2Beta

MSCI Japan ESG SelectLeaders

0.97

2.35

MSCI Japan IMI

1.00

0.00

1Last 12 months

2SHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since
May 31,
2018

8.50

14.74

na

na

0.87

na

na

0.50

28.02

2020-02-06—2020-03-16

2.03

14.95

na

na

0.77

na

na

0.40

29.49

2018-10-02—2020-03-16

Tracking TurnoverError (%) (%) 1

Based on monthly gross returns data3(%)

Period YYYY-MM-DD

Based on JBA TIBOR 1M from Sep 1 2021 & on ICE LIBOR 1M prior that date

The MSCI Japan ESG Select Leaders Index was launched on Jul 03, 2017. Data prior to the launch date is back-tested test (i.e. calculations of how the index might have performed
over that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actualor back-tested -- is no indication or guarantee of future performance.

MSCI Japan ESG Select Leaders Index (JPY) | msci.com

MAY 31, 2022

Index Factsheet

INDEX CHARACTERISTICS
Number ofConstituents

MSCI Japan ESG
Select Leaders

TOP 10 CONSTITUENTSMSCI Japan IMI222Index
Wt. (%)

1,127

TOYOTA MOTOR CORPSONY GROUP CORPKEYENCE CORP
TOKYO ELECTRONKDDI
HITACHISHIN-ETSU CHEMICAL CORECRUIT HOLDINGS CO
NINTENDO CO
DAIICHI SANKYO CO
Total

Weight (%)

LargestSmallest
Average
Median

7.98
0.02
0.45
0.16

4.31
0.00
0.09
0.02

7.98
5.41
3.56
3.12
2.56
2.31
2.30
2.28
2.25
2.12
33.89

ParentIndex
Wt. (%)

4.31
2.93
1.92
1.69
1.39
1.25
1.24
1.23
1.21
1.15
18.31

SectorCons Discr
Cons Discr
Info Tech
Info Tech
Comm Srvcs
Industrials
Materials
Industrials
Comm Srvcs
Health Care

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURNMSCI FACTOR BOX
UNDERWEIGHTMSCI FaCS
NEUTRAL

VALUE
Relatively Inexpensive Stocks

OVERWEIGHTLOW SIZE
Smaller Companies
MOMENTUM
Rising Stocks
QUALITY
Sound Balance Sheet Stocks
YIELD
Cash Flow Paid Out
LOW VOLATILITY
Lower Risk Stocks<-1.50MSCI Japan ESG Select Leaders

MSCI FaCS provides absolute factor exposuresrelative to abroad global index - MSCI ACWI IMI.

+1.5<
MSCI Japan IMI

Neutral factor exposure (FaCS = 0) represents
MSCI ACWI IMI.

SECTOR WEIGHTS
8.29%

8.38%

6.09%

8.96%

5.83%
4.53%
14.41%

1.25%
1.18%
20.7%

20.39%

Consumer Discretionary 20.7%

Industrials 20.39%

Financials 8.96%

Communication Services 8.38%

Materials 6.09%

Consumer Staples 5.83%

Information Technology 14.41%
Health Care 8.29%

Real Estate 4.53%

Utilities 1.25%

Energy 1.18%

MSCI Japan ESG Select Leaders Index (JPY) | msci.com

MAY 31, 2022

Index Factsheet

INDEX FRAMEWORK

親指数の中からESG格付けの高い銘柄を選ぶことで、本指数は様々なESGリスクへの耐性を高めている。既存採用銘柄は ESG格付けがB以上であれば採用され続け、非採用銘柄はBB 以上が求められる。また、本指数ではESG不祥事スコアも利用されており、深刻な不祥事が発生している企業は採用されない。既存採用銘柄はESG不祥事スコア1以上あれば採用され、非採用銘柄は3以上求められる。指数は、親指数の各業種の時価総額50%をカバーするよう構築され、四半期ごとに親指数の見直しに合わせてレビューされる。
当要約は、概要説明を目的として提供されており、当指数およびメソドロジーのすべての重要な要素を包括しているわけではありません。メソド
ロジーはこちらをご参照ください。 Index methodology - MSCI.

当ファクトシートは、英語版を翻訳したものです。英語を正文とし、英文と日本文の間に何らかの疑義、論争を生じた場合は、英語の文章が優先されるものとします。

MSCI FACTOR BOX AND FaCS FRAMEWORK (Please refer to complete description of the MSCI FaCS methodology here)
MSCI FaCS is a standard method for evaluating and reporting the Factor characteristics of equity portfolios. MSCI FaCS consistsof Factor Groups (e.g. Value, Size, Momentum, Quality, Yield, and Volatility) that have been extensively documented in academic
literature and validated by MSCI Research as key drivers of risk and return in equity portfolios. These Factor Groups areconstructed by aggregating 16 factors (e.g. Book-to-Price, Earnings/Dividend Yields, LT Reversal, Leverage, Earnings Variability/Quality, Beta) from the latest Barra global equity factor risk model, GEMLT, designed to make fund comparisons transparent andintuitive for use. The MSCI Factor Box, which is powered by MSCI FaCS, provides a visualization designed to easily compare
absolute exposures of funds/indexes and their benchmarks along 6 Factor Groups that have historically demonstrated excess
market returns over the long run.

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MSCI Japan ESG Select Leaders Index (JPY) | msci.com