女性活躍推進ファンドは軒並みアンダーパフォーム

When the Japan Empowering Women Index
Outperforms its Parent and the ESG Select Leaders
Indexes?∗
Kohei Aono† Tatsuyoshi Okimoto‡
August 2021
Abstract
This paper examines and compares the performance of the Japan Empowering
Women Index (WIN), Japan ESG Select Leaders Index (SLI), and their parent, the
Japanese Investable Market Index (IMI). Without regime switching, our benchmark
analysis suggests that none of the index outperforms the market on average. We also
investigate the possible regime-dependent performance of each index to identify the
periods when WIN outperforms the market, the IMI, and the SLI, if any. Our results
indicate a regime-dependent performance of the WIN and IMI and regime-independent
performance of the SLI. For example, when the market performance of the previous
month is relatively poor, the WIN tends to outperform the market, while the IMI tends
to underperform. Our results also show that, when the market volatility of the previous
month is relatively small, the WIN outperforms the market. However, the WIN and
IMI tend to underperform the market under the high market volatility regime.