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拡大するパッシブ運用、アクティブリターンをパッシブに享受

 拡大するパッシブ運用、アクティブリターンをパッシブに享受

S&P ダウ・ジョーンズ・インデックス
グローバル・リサーチ&プロダクトデザイン アジア太平洋ヘッド
マネージング・ディレクター プリセラ・ルック

Transcript

  1. 拡大するパッシブ運用: ~アクティブリターンをパッシブに享受する~ Copyright © 2019 by S&P Global. All rights

    reserved. S&P ダウ・ジョーンズ・インデックス グローバル・リサーチ&プロダクトデザイン アジア太平洋ヘッド マネージング・ディレクター プリセラ・ルック 第11回 ETF コンファレンス 2019年4月2日-3日 / 東京
  2. 伝統的なベータETF及びスマートベータ ETF Source: ETFGI data sourced from ETF/ETP sponsors, exchanges,

    regulatory filings, Thomos Reuters/Lipper, Bloomberg, publicly available sources and data generated in-house. Note: active equity ETFs/ETPs are excluded as they do not track a specific index. Data as of 31st January, 2019. Table is provided for illustrative purposes. 2019年1月末現在、世界には1,322のスマートベータ ETF/ETPがあり、その資産総額 は6,800億ドルに上っている 3 時価総額(ベータ) スマートベータ その他 時価総額(ベータ) スマートベータ その他 アクティブ運用 資産額(百万ドル) 3,095,227 679,865 155,149 27,310 5年間の年平均成長率 20.9% 33.1% 31.9% 52.9% 年初来の変化率 3.3% 12.1% 9.9% 20.0% 商品の数 3,033 1,322 171 312 アクティブ運用
  3. ファクター戦略のパフォーマンス 4 0 5000 10000 15000 20000 25000 30000 35000

    40000 12/95 12/96 12/97 12/98 12/99 12/00 12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 S&P 500 S&P 500 Buyback FCF Index S&P 500 Low Volatility High Dividend Index S&P 500 Pure Value S&P Momentum United States LargeMidCap Index 累積リターン(米ドル) Source: S&P Dow Jones Indices. Data based on USD total return index levels from 31st July, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance. S&P 500 S&P 500バイバックFCF指数 S&P 500 高配当低ボラティリティ指数 S&P 500 ピュア・バリュー S&P モメンタム米国中大型株指数
  4. ファクター・パフォーマンスの循環 5 2004 2005 2006 2007 2008 2009 2010 2011

    2012 2013 2014 2015 2016 2017 2018 Value Mom LVHD Mom LVHD Value Value LVHD Value BB FCF BB FCF LVHD LVHD Mom Mom 26.1% 15.3% 26.4% 8.1% -24.1% 55.2% 23.1% 16.0% 25.6% 54.2% 22.5% 5.6% 22.7% 28.6% 1.1% LVHD Value BB FCF BB FCF BB FCF BB FCF BB FCF BB FCF BB FCF Value LVHD Mom Value BB FCF Mkt 19.9% 13.4% 25.6% 5.9% -27.4% 50.9% 22.0% 10.1% 18.2% 48.1% 20.2% 4.1% 19.6% 23.8% -4.4% BB FCF BB FCF Value Mkt Mkt LVHD Mom Mkt Mom Mkt Mkt Mkt BB FCF Mkt LVHD 18.8% 9.5% 20.0% 5.5% -37.0% 41.8% 21.4% 2.1% 18.1% 32.4% 13.7% 1.4% 13.7% 21.8% -5.9% Mom Mkt Mkt LVHD Mom Mkt LVHD Mom Mkt Mom Value BB FCF Mkt Value BB FCF 16.4% 4.9% 15.8% -2.2% -37.7% 26.5% 19.0% 0.4% 16.0% 32.0% 12.7% -4.5% 12.0% 17.7% -9.5% Mkt LVHD Mom Value Value Mom Mkt Value LVHD LVHD Mom Value Mom LVHD Value 10.9% 3.0% 9.8% -3.7% -47.9% 16.9% 15.1% -0.8% 6.7% 21.2% 11.6% -8.1% 5.3% 12.3% -12.0% Source: S&P Dow Jones Indices. Data based on USD total return index levels from 31st July, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance.
  5. 景気サイクル全体にわたるファクターのローテーション S&P 景気循環ファクター・ローテーター指数は、米国株式へのエクスポージャーを提 供することを目指しており、景気循環のそれぞれの局面に最も適したファクター指数 に投資するローテーション戦略をとっている。この指数は以下の3つのステップで構築 されている: 6 景気サイクルの識別 毎月初めに、シカゴ連銀 全米活動指数(CFNAI)

    の3ヶ月の平均と変化を 用いて、景気サイクルの どの段階にあるかを判断 する ファクター・ローテーション 4つのファクター指数の 中から1つの株式ファク ター指数を選択し、景気 サイクルの各局面に最も 適した運用を行う ターゲット・ボラティリティ 選択された株式ファク ター指数の上にリスク・コ ントロール・オーバーレイ を適用し、日次ベースで 6%のボラティリティ・ター ゲットを維持する Source: S&P Dow Jones Indices LLC. Table is provided for illustrative purposes. ^ 1 2 3
  6. 景気サイクルの識別 8 Source: Federal Reserve Bank of Chicago. Chart is

    provided for illustrative purposes. シカゴ連銀全米活動指数(CFNAI)  米国の経済活動に関する85の指標を組み合わせた加重平均指数である  2001年から公表されている。Evans、Liu、Pham-Kanter (2001)において初めて紹 介された  CFNAIの3ヶ月移動平均は、景気後退の予測指標として使用されることが多く、比 較的信頼性が高い 雇用 生産 / 所得 消費 / 住宅 販売 / 在庫 85の経済指標 シカゴ連銀全米活動指数(CFNAI)
  7. 景気サイクルにおける4つの局面 CFNAIの3ヶ月平均 > 0 景気サイクルの識別 9 CFNAI の3ヶ月の変化率 > 0

    CFNAI 3ヶ月の変化率 < 0 CFNAIの3ヶ月平均 < 0 減速 拡大 縮小 回復 Source: S&P Dow Jones Indices LLC. Table is provided for illustrative purposes. ^
  8. 景気サイクルにおける4つの局面 景気サイクル全体にわたるファクター・ローテーション 11 クオリティ バランスシートが健 全な銘柄を購入す る 高配当、 低ボラティリ ティ

    バリュー “割安な” 銘柄を購入 する モメンタム “最近の勝ち 組”を購入す る 減速 拡大 縮小 回復 Source: S&P Dow Jones Indices LLC. Table is provided for illustrative purposes. ^
  9. • 月次ベースで、4つのファクター指数の中から1つの株式ファクター指数を選択し、景気 サイクルの各局面に最も適した運用を行う 12 高配当、 低ボラティリ ティ バリュー モメンタム クオリティ

    S&P 500 高配当低ボラティリティ指数 S&P 500 ピュアバリュー指数 S&P モメンタム米国中大型株指数 S&P 500 バイバック・フリーキャッ シュフロー指数 縮小 回復 拡大 減速 Source: S&P Dow Jones Indices LLC. Table is provided for illustrative purposes. ^ 4つのファクター戦略の間でローテーション
  10. S&P 景気循環ファクター・ローテーター指数 (株式のみ) 13 0 10000 20000 30000 40000 50000

    60000 12/95 12/96 12/97 12/98 12/99 12/00 12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 S&P 500 S&P Economic Cycle Factor Rotator (Equity Only) Index Equal-Weighted Index of Four Factors S&P 500 Buyback FCF Index S&P 500 Low Volatility High Dividend Index S&P 500 Pure Value S&P Momentum United States LargeMidCap Index 累積リターン(米ドル) S&P 景気循環ファク ター・ローテーター指数 (株式のみ) 4つのファクターの 均等加重指数 Source: S&P Dow Jones Indices. Data based on USD total return index levels from 31st July, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance. S&P 500 S&P 500 景気循環ファクター・ローテーター(株式のみ)指数 4つのファクターの均等加重指数 S&P 500 バイバックFCF指数 S&P 500 高配当低ボラティリティ指数 S&P 500 ピュア・バリュー指数 S&P モメンタム米国中大型株指数
  11. S&P 景気循環ファクター・ローテーター指数 (株式のみ) 14 Source: S&P Dow Jones Indices. Data

    based on USD total return index levels from 31st July, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance. 116% 83% 112% 108% 105% 124% 100% 80% 54% 103% 98% 84% 81% 100% 120% 90% 60% 30% 0% 30% 60% 90% 120% 150% S&P 500 Buyback FCF Index S&P 500 Low Volatility High Dividend Index S&P 500 Pure Value Index S&P Momentum U.S. LargeMidCap Index Equal-Weighted Index of Four Factors S&P Economic Rotator (Equity Only) Index S&P 500 ダウンサイド・キャプチャー・レシオ (市場の下落局面におけるS&P 500の平均下落率に対する各指数の相対平均下落率 ) アップサイド・キャプチャー・レシオ (市場の上昇局面におけるS&P 500の平均上昇率に対する各指数の相対平均上昇率 ) S&P 500 バイバック・フ リーキャッシュ フロー指数 S&P 500 高配当 低ボラティリティ 指数 S&P 500 ピュアバリュー 指数 S&P モメンタム 米国中大型株 指数 4つのファクター の均等加重指数 S&P 500 景気 循環ファクター・ ローテーター指数 (株式のみ) S&P 500
  12. S&P 景気循環ファクター・ローテーター指数 (株式のみ) 15 16.5% 12.3% 11.0% 11.2% 13.1% 18.2%

    9.1% 0.0% 5.0% 10.0% 15.0% 20.0% S&P 500 Buyback FCF Index (0.96) S&P 500 Low Volatility High Dividend Index (0.93) S&P 500 Pure Value (0.55) S&P Momentum U.S. LargeMidCap Index (0.64) Equal-Weighted Index of Four Factors (0.89) S&P Econ. Cyc. Factor Rotator (Eqty. Only) (0.92) S&P 500 (0.62) 年率リターン 17.2% 13.3% 19.8% 17.5% 14.8% 19.8% 14.8% 0.0% 10.0% 20.0% 30.0% 年率ボラティリティ 指数(リスク調整後リターン) Source: S&P Dow Jones Indices. Data based on USD total return index levels from 31st July, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance. S&P 500 景気循環ファクター・ロー テーター指数(株式のみ)(0.92) S&P 500(0.62) 4つのファクター の均等加重指数(0.89) S&P モメンタム 米国中大型株指数(0.64) S&P 500 ピュアバリュー 指数(0.55) S&P 500 高配当低ボラ ティリティ指数(0.93) S&P 500 バイバック・フリー キャッシュフロー指数(0.96)
  13. ターゲット・ボラティリティ - リスク・コントロール・オーバーレイ 17 Source: S&P Dow Jones Indices LLC.

    Table is provided for illustrative purposes. ^On a daily basis, the Index identifies all possible portfolios of the bond and the equity constituents that have recently realized volatility equal to the target. If no portfolio is eligible, the Index will choose the portfolio with historical volatility closet to the target volatility and then deleverages the portfolio as necessary in order to achieve the target volatility. 選択されたファクター 指数 米5年債先物指数 分散 共分散 マトリックス 選択されたファ クターのウェイ ト(W) 米5年債先物指 数のウェイト (1–W) 基本指数 ウェイト配分 • 日次ベースで6%のボラティリティ・ターゲットを維持するために、選択された株式 ファクターに6%のリスク・コントロール・オーバーレイを適用する • ヒストリカル実現ボラティリティと、資産構成間の相関に基づいて、株式ファクター 部分と米5年債先物指数との間でウェイト配分を調整する
  14. S&P 景気循環ファクター・ローテーター指数 18 S&P 景気循環 ファクター・ロー テーター指数 4つのファク ターの均等 加重指数

    500 1,500 2,500 3,500 4,500 5,500 8/95 8/96 8/97 8/98 8/99 8/00 8/01 8/02 8/03 8/04 8/05 8/06 8/07 8/08 8/09 8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 累積リターン(米ドル) S&P 500 (Risk Control 7%) S&P 500 (Risk Control 5%) S&P Economic Cycle Factor Rotator Equal Weighted Index of Four Factors Buyback FCF (Risk Control 6%) Low Vol High Div (Risk Control 6%) Pure Value (Risk Control 6%) Momentum (Risk Control 6%) Source: S&P Dow Jones Indices. Data based on USD risk control excess return index levels from 31st July, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance. S&P 500(リスク・コントロール7%) S&P 500(リスク・コントロール5%) S&P 500 景気循環ファクター・ローテーター 4つのファクターの均等加重指数 バイバックFCF(リスク・コントロール6%) 高配当低ボラティリティ(リスク・コントロール6%) ピュア・バリュー(リスク・コントロール6%) モメンタム(リスク・コントロール6%)
  15. S&P 景気循環ファクター・ローテーター指数 19 指数(リスク調整後リターン) 6.4% 5.6% 4.7% 4.9% 5.4% 7.0%

    2.5% 3.3% 0.0% 2.0% 4.0% 6.0% 8.0% Buyback FCF, Risk Control 6% (1.13) Low Vol High Div, Risk Control 6% (0.97) Pure Value, Risk Control 6% (0.79) Momentum, Risk Control 6% (0.89) Equal Weighted Index of Four Factors (1.05) S&P Economic Cycle Factor Rotator (1.20) S&P 500, Risk Control 5% (0.56) S&P 500, Risk Control 7% (0.54) 年率リターン 5.7% 5.8% 6.0% 5.4% 5.2% 5.8% 4.4% 6.1% 0.0% 2.0% 4.0% 6.0% 8.0% 年率ボラティリティ Source: S&P Dow Jones Indices. Data based on USD risk control excess return index levels from 31st July, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance. S&P 500、リスク・コントロール7% (0.54) S&P 500 景気循環ファクター・ ローテーター(1.20) 4つのファクターの均等加重指数 (1.05) S&P 500、リスク・コントロール5% (0.56) モメンタム、リスク・コントロール6% (0.89) ピュア・バリュー、リスク・コントロール6% (0.79) 高配当低ボラティリティ、 リスク・コントロール6%(0.97) バイバックFCF、リスク・コントロール6% (1.13)
  16. S&P 景気循環ファクター・ローテーター指数 20 配分の推移とS&P 500のパフォーマンス 0 100 200 300 400

    500 600 700 800 900 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 12/95 12/96 12/97 12/98 12/99 12/00 12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 配分の推移と S&P 500のパフォーマンス Momentum Value Buyback Low Vol High Div Bond S&P 500 (TR) ウェイト S&P 500 Source: S&P Dow Jones Indices. Data from 31st December, 1995 to 28th February, 2019. Past performance is no guarantee of future results. Table is provided for illustrative purposes and reflects hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance.
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    LLC, a part of S&P Global. All rights reserved. Standard & Poor’s ®, S&P 500 ® and S&P ® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”), a subsidiary of S&P Global. Dow Jones ® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). Trademarks have been licensed to S&P Dow Jones Indices LLC. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices LLC, Dow Jones, S&P or their respective affiliates (collectively “S&P Dow Jones Indices”) do not have the necessary licenses. All information provided by S&P Dow Jones Indices is impersonal and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results. 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  18. Performance Disclosure The S&P Economic Cycle Factor Rotator Index was

    launched on August 16, 2016. All information presented prior to an index’s Launch Date is hypothetical (back-tested), not actual performance. The back-test calculations are based on the same methodology that was in effect on the index Launch Date. Complete index methodology details are available at www.spdji.com. S&P Dow Jones Indices defines various dates to assist our clients in providing transparency. The First Value Date is the first day for which there is a calculated value (either live or back- tested) for a given index. The Base Date is the date at which the Index is set at a fixed value for calculation purposes. The Launch Date designates the date upon which the values of an index are first considered live: index values provided for any date or time period prior to the index’s Launch Date are considered back-tested. S&P Dow Jones Indices defines the Launch Date as the date by which the values of an index are known to have been released to the public, for example via the company’s public website or its datafeed to external parties. For Dow Jones-branded indices introduced prior to May 31, 2013, the Launch Date (which prior to May 31, 2013, was termed “Date of introduction”) is set at a date upon which no further changes were permitted to be made to the index methodology, but that may have been prior to the Index’s public release date. Past performance of the Index is not an indication of future results. Prospective application of the methodology used to construct the Index may not result in performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the Index. Please refer to the methodology paper for the Index, available at www.spdji.com for more details about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations. Another limitation of using back-tested information is that the back-tested calculation is generally prepared with the benefit of hindsight. Back-tested information reflects the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors related to the equities, fixed income, or commodities markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance. The Index returns shown do not represent the results of actual trading of investable assets/securities. S&P Dow Jones Indices LLC maintains the Index and calculates the Index levels and performance shown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase the securities underlying the Index or investment funds that are intended to track the performance of the Index. The imposition of these fees and charges would cause actual and back-tested performance of the securities/fund to be lower than the Index performance shown. As a simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US $10,000) and an actual asset-based fee of 1.5% was imposed at the end of the period on the investment plus accrued interest (or US $1,650), the net return would be 8.35% (or US $8,350) for the year. Over a three year period, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US $5,375, and a cumulative net return of 27.2% (or US $27,200).