2022 年 3 月 30 日

GPIF、FTSE Blossom Japan Sector Relative Index を日本株 ESG 新規インデックスとして採用

  • FTSE Russell、FTSE Blossom Japan Index Seriesを拡張して、新たにFTSE Blossom Japan Sector Relative Indexの提供を開始
  • 世界最大の年金基金である年金積立金管理運用独立行政法人(GPIF)は、FTSE Blossom Japan Sector Relative Indexを最新のESGパッシブファンドのベンチマークとして採用
  • ESG投資に対する投資家の需要がほぼ全世界に広がる中、新しいインデックスは日本市場におけるESGインテグレーションを促進

インデックス、データおよびアナリティクスの世界有数のプロバイダーであるFTSE Russellは、本日、年金積立金管理運用独立行政法人(GPIF)が、新規に開発されたFTSE Blossom Japan Sector Relative Indexを、最新のESGパッシブファンドのベンチマークとして採用したと、発表しました。GPIFは、約199兆円の運用資産(2021年12月末現在)*を有する世界最大の年金基金です。

今回の採用は、GPIFが2017年に選定したFTSE Blossom Japan Indexをベンチマークとするパッシブファンドの運用残高が約1兆4,900億円(2021年3月末現在)と拡大している実績に基づくものです。FTSE Blossom Japan Sector Relative Indexに追随するパッシブファンドには当初約7,600億円の資産が配分されます(新規配分に加えて、他の ESG 指数に基づくパッシブ運用からの配分も含む)。

新規FTSE Blossom Japan Sector Relative Indexは、各セクター毎にESG Ratingsが高い企業を選定するため、従来の産業分類よりも詳細な評価が可能となります。このインデックスは、FTSE ESG Ratingsを利用して企業のサステナビリティ・パフォーマンスと実践の向上を促進し、ESGの成果の向上を支援することで、日本市場におけるESGインテグレーションを促進します。

ESGに対する投資家の需要は、ほぼ全世界で見られるようになっています。FTSE Russell の2021年の調査では世界中のアセット・オーナーがサステナブル投資をどのように認識し、検討し、そして利用しているかを分析していますが、世界のアセット・オーナーの84%以上が2021年時点でサステナブル投資への配慮を実施または評価していると回答しており、2018年の半分強(53%)から増加したことが明らかになりました。

FTSE RussellはESGに配慮した投資手法のインテグレーションとスチュワードシップの次の段階を導くインデックスを開発することで引き続き需要に応えてまいります。

 インデックスの主な特徴:

  • 新たにセクター内での相対的なESG評価による選択方法を適用
    各セクター毎でESG Ratingsが高い企業を選定し、セクターニュートラルなウエート配分を通じてセクター・バイアスを最小化することで、日本の株式市場をより正確に反映させ、トラッキングエラーを低減
  • 企業へのエンゲージメントを改善
    日本市場における企業開示と透明性を拡大し、企業エンゲージメントと投資スチュワードシップを推進・改善
  • 低炭素経済移行のための気候変動をサポート
    Transition Pathway Initiative (TPI)の経営品質スコア(Management Quality Score)を使って、企業による気候リスクと機会に対するマネジメントの質を考慮し、気候移行への取り組みをサポートしつつ、炭素集約度の高い企業を排除

FTSE Blossom Japan Sector Relative Index は、FTSE Blossom Japan Index Series の拡張版の一部であり、既存の国際的なESG基準を考慮し、国連のSDGsとの整合性をサポートするFTSE Russell の ESG Ratingsのデータ・モデルを使用して構築されています。本インデックスは、ESGに配慮した分散投資戦略に組み入れることができます。また、伝統的な時価総額加重型ベンチマークのインデックス特性から大きく逸脱するものではありません。セクター・バイアスを最小化するため、FTSE All Cap Japan Indexのウエートと一致するよう、セクター・ニュートラル・ウエート・アプローチを使用して設計されています。

FTSE RussellはGPIFの指数選定プロセスを経て選定されました。

FTSE RussellのCEO(最高経営責任者) Arne Staal アーナ・スタール: 「GPIF と再び協力し、強力なスチュワードシップの実践と市場基準を推進することができて大変光栄に思います。日本市場ではサステナブル投資が引き続き取り入れられる中、FTSE Blossom Japan Sector Relative Indexは、企業のESGの透明性とパフォーマンスを向上させるための新しく強力なツールを提供します」

より詳細な情報は、FTSE Blossom Japan Index series page のページでご覧いただけます。

Silke Marsh
Director, Communications, APAC
silke.marsh@lseg.com
+65 97934140

Yasue Aoi
newsroom@lseg.com
+81 80 7303 1641

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