JP2018109936A - Portfolio constructing method using esg information - Google Patents

Abstract

PROBLEM TO BE SOLVED: To form a portfolio which effectively utilizes ESG information and financial information. SOLUTION: An ESG score value and a financial score value are calculated for each issue, and an investment target issue is determined from a combination of the ESG score value and the financial score value. Once the investment target stocks are determined, the comprehensive evaluation value of the investment target stocks is calculated, and the top stocks are selected as portfolio constituent stocks. Then, the investment weight is determined based on the ESG score value, and the portfolio is constructed. [Selection diagram] Fig. 2

Description

  The present invention relates to asset management based on company information, and more particularly to portfolio construction.

  Investment trusts, etc., select companies (brands) to be invested from listed companies, and build a portfolio of funds that are assets under management. The selection of these brands can be broadly divided into active and passive types. There is. In the case of active funds, managers select stocks based mainly on analysis of financial information. On the other hand, in the case of passive funds (index funds), management is performed in conjunction with an index such as an index based on a simple sum of stock prices (Nikkei average stock price, etc.) or an index based on the total market capitalization (TOPIX etc.). In this case, the weight of the selected stock, that is, the fund distribution ratio is determined using a market capitalization weight method, an equal weight method, or the like.

  On the other hand, there is also known a method of constructing a portfolio based on an index different from the market capitalization and the stock price simple average. It is generally called smart beta, defines an index based on accounting data such as company size (sales), cash flow, etc., and determines the weight of the stock according to the index (see Patent Documents 1, 2, and 3) .

Special table 2009-520300 Special table 2007-522562 Special table 2010-522375

  On the other hand, apart from the analysis based on financial information as described above in asset management, investment that considers non-financial information of the environment, society, and corporate governance (hereinafter referred to as ESG investment) In recent years, it has spread worldwide. It evaluates and uses how enthusiastic the company is with respect to the environment (E), society (S), and corporate governance (G). , Climate change (reducing carbon dioxide), reducing environmental impact (recycling), addressing social issues in the S field, employee measures, dealing with customers and suppliers, and complying with laws and regulations in the G field, explaining to shareholders Specific items such as responsibilities.

  Non-financial information on ESG (hereinafter referred to as ESG information) has started to be recognized as information that contributes to long-term returns and improves corporate value over the long term. Selection is required for social and policy reasons. However, ESG information announced by each company is not unified among companies, unlike financial information such as sales. Also, the correlation with financial information is not clear.

  Therefore, unlike a portfolio that uses a conventional index as a benchmark, it is difficult to verify the investment performance based on ESG information over a long period of time, and therefore, it is difficult to demonstrate its superiority over conventional investments. However, the reliability of excess profitability relative to the market average has fluctuated in ordinary active funds, and investment trusts based on passive funds have become mainstream.In addition to the significance of social contribution, The construction of a new portfolio that makes use of useful ESG information is required and has become an issue.

  The present invention provides a new portfolio that utilizes ESG information that cannot be grasped by ordinary financial information, which is the ESG of listed companies (over 1000 companies) that the applicant has investigated over the past 10 years. The information and score evaluation of the information can be accumulated by a computer, and can be realized by making it possible to perform past performance analysis such as a back test.

  According to the portfolio construction method of the present invention, an ESG evaluation value obtained from ESG-related information and a financial evaluation value obtained from corporate financial information are read from a memory by a computer, and are converted into a financial evaluation value and an ESG evaluation value by a computer. Based on this, a comprehensive evaluation value is calculated, a portfolio constituent stock is selected from the comprehensive evaluation value by a computer, and a portfolio is constructed. Such a method can be executed and programmed in any of computer hardware (calculation unit, selection unit and the like are configured by a processor), firmware, and software. The ESG evaluation value only needs to include an evaluation value related to at least one of E, S, and G. Although there are various methods for calculating the comprehensive evaluation value, for example, it is possible to calculate with a value obtained by adding the financial evaluation value and the ESG evaluation value.

  Alternatively, a computer extracts both stocks with relatively high financial evaluation values and ESG evaluation values as investment target stocks, and the computer uses the overall evaluation values of the investment target stocks to determine portfolio constituent stocks from the top stocks. Can be selected. For example, a stock having a financial evaluation value and an ESG evaluation value equal to or greater than a predetermined value (for example, a median value, an average value, etc.) determined for each may be extracted as an investment target brand. Furthermore, the portfolio can be constructed by determining the weights of the portfolio constituent stocks according to the ESG evaluation value by the computer.

  An information processing apparatus according to another aspect of the present invention calculates a comprehensive evaluation value based on an ESG evaluation value obtained from ESG-related information in non-financial information of a target company and a financial evaluation value obtained from financial information Calculating means for selecting, portfolio selecting means for selecting a portfolio constituent brand based on the obtained overall evaluation value, and portfolio forming means for forming a portfolio based on the selected investment target brand.

  Furthermore, the portfolio construction method according to another aspect of the present invention is based on the ESG evaluation value obtained from the ESG related information and the financial evaluation value obtained from the financial information of the company by the computer, or based on one evaluation value. A portfolio constituent stock is selected, the weight of the portfolio constituent stock is determined by a computer according to the ESG evaluation value, and a portfolio is constructed. Such a method can be executed and programmed in any of computer hardware (calculation unit, selection unit and the like are configured by a processor), firmware, and software.

  According to the present invention, it is possible to form a portfolio that effectively utilizes both ESG related information / financial information.

It is a block diagram of a portfolio management system. It is the flowchart which showed the portfolio construction process. It is the figure which showed how to obtain | require an ESG score and a financial score. It is a figure which shows the ESG score value and the financial score value as a horizontal axis, and has plotted the ESG score value of each brand | stock and the financial score value on the two-dimensional coordinate. It is the graph which showed the change of the ESG score of the selection brand (portfolio construction brand) according to the year. It is the figure which showed the graph showing the fluctuation | variation of an ESG score and topics. It is the figure which showed the graph showing the fluctuation | variation of an ESG score and JPX400.

  Hereinafter, the asset management system according to the present embodiment will be described with reference to the drawings.

  FIG. 1 is a block diagram of a portfolio management system. Here, the portfolio management system is a computer system constructed by an investment trust consignment company or the like, and is network-connected to an asset management system for trading stocks in the market.

  The server 100 is connected to the personal computer 10 through a network, and an asset manager (hereinafter also referred to as a user) such as a fund manager operates the personal computer 10 to operate the server 100. For example, when a user logs in on a WEB screen created by the WEB function of the server, processing related to portfolio construction can be performed.

  Here, the server 100 functions as a computer system that constructs and manages a portfolio, and can execute arithmetic processing, storage processing, transmission / reception processing, and the like related to the portfolio. The server 100 includes a control unit 120, a storage unit 140, and a calculation unit 160, and a program related to operation control of the entire server is stored in a non-volatile memory (not shown) such as a ROM.

  The database 200 stores data related to company ESG-related information, which will be described later, and data related to company financial information. Here, the ESG related information data is prepared and provided by an investment advisory company (investment advisory company) 500, for example, an investment advisory company specialized in SRI (socially responsible investment). Here, the financial information data is created and provided by the fund management company 550 to which the user belongs. Note that ESG related information and financial information can also be created by banks, insurance companies, securities companies, think tanks, research companies, and the like.

  When a predetermined operation is performed by the user, the control unit 120 of the server 100 reads ESG related information and financial information from the database 200 and temporarily stores them in the storage unit 140. Then, based on the read ESG related information and financial information data, the calculation unit 160 selects a brand and weights the selected brand to form a portfolio. Thereby, the allocation of assets under management is determined. The asset management system 600 performs asset management based on portfolio data sent from the server 100.

  FIG. 2 is a flowchart showing portfolio creation processing executed in the server 100. Portfolios can be created according to the timing of financial reporting, such as quarterly, semi-annual, and yearly.

  The control unit 120 of the server 100 reads ESG related information and financial information data from the database 200 (S101, S102). Specifically, the ESG score and financial score data created based on the company's ESG-related information and financial information are read. The ESG score and the financial score are created every predetermined period (for example, every six months, every year) and stored in the database 200. Here, the latest ESG score and financial score data are read out.

  The ESG score is a value obtained by quantifying and evaluating ESG-related activities and organizational structures in non-financial information of a company, and indicates how much the requirements of each field of ESG are satisfied. On the other hand, the financial score is a value obtained by evaluating the operational efficiency, the retained earnings for the future, and the soundness of cash flow in the financial information of the company. Here, ESG score and financial score data relating to a part of the TSE first-listed stock (for example, 1000 companies) are stored.

  FIG. 3 is a diagram showing a process for calculating an ESG score and a financial score. Hereinafter, the ESG score and the financial score will be described.

  ESG-related information is corporate information included in non-financial information published by companies (for example, those that have made their shares public), and corporate approaches to the environment (E), society (S), and corporate governance (G). , Including actual efforts. In addition, ESG-related information includes information disclosed by the company itself, information disclosed through interviews with independent organizations that provide investment advice and research, and company information provided by the news media.

  A plurality of items are listed for the environment (E), society (G), and corporate governance (S). For example, in the environment (E), low-carbon society, resource efficiency, water resources protection items, in the society (S), balance support (work and family balance support), diversity promotion, women's achievements, and corporate governance ( In G), information disclosure, governance system, and legal compliance items are defined respectively.

  Investment target companies show policies, attitudes, and actual approaches (approaches) to these items in sales reports and CSR reports, but the contents displayed vary depending on the company, and sales and net income Unlike financial information such as, many are treated as qualitative information. Also, the amount of carbon dioxide reduction may not be disclosed so that it can be directly compared with other companies. Therefore, in this embodiment, each item of ESG-related information is scored and quantified so that it can be compared between companies, and an overall ESG score is obtained for each company.

  For example, in the item of a low-carbon society in the environment (E), the comparison value of the previous year is compared between companies and scored with respect to the carbon dioxide emission disclosed in the non-financial information. In addition, in the item of active women in society (G), a questionnaire survey including questions regarding the registration and utilization of women is conducted in advance, and scoring evaluation is performed based on the contents of the answers. In the questionnaire survey, step-wise answer items with different scores are prepared in advance, and companies can select the corresponding items from among them and rank them by score.

  Here, many items (here, 150, 450, and 200 items) are set for the environment (E), society (S), and corporate governance (G). In each of the environment (E), society (S), and corporate governance (G), calculate the total score for each item as a score value, and add the three (E, S, G) score values together , Get ESG score for each company. However, if a negative evaluation occurs in response to information from the report, etc., the ESG score value is corrected by re-evaluating and subtracting the score value.

  On the other hand, the financial score is scored by evaluating the contents related to profitability, growth potential and soundness in the financial information announced by the company. Specifically, profitability is evaluated based on ROA (Return On Asset) and ROA change rate, growth potential is evaluated based on retained earnings, and soundness is evaluated based on Accrual. The profitability, growth potential, and soundness scores can be obtained by normalization using a conventional statistical method. And the financial score value for every company is calculated by adding together the obtained three score values.

  When the ESG score value and the financial score value are read from the database 200, a brand to be an investment target (hereinafter referred to as an investment target brand) is determined (S103). That is, a group of stocks constituting a universe suitable for building a portfolio based on ESG information is extracted. Specifically, the ESG score value and the financial score value are normalized, and 100 points are set as the highest points, and the stocks that fall within a predetermined area on the two-dimensional graph are determined as investment subject stocks.

  FIG. 4 is a diagram showing a graph in which the ESG score value and the financial score value of each brand are plotted on two-dimensional coordinates with the ESG score value as the vertical axis and the financial score value as the horizontal axis. In the present embodiment, a brand having a relatively high ESG score value and financial score value is selected as a universe constituent brand. Here, stocks belonging to the area R in which both the ESG score value and the financial score value are 50 or more, that is, the median value (half the highest score) or more are extracted as investment subject stocks. Therefore, a biased issue whose either ESG score value or financial score value is relatively high and the other is low is excluded from the investment subject issue.

  When the investment target brand is determined, a comprehensive evaluation value of each investment target brand is calculated (S104). Here, the total evaluation value is obtained by adding the normalized ESG score value and the financial score value. This comprehensive evaluation value is a score value (sustainable investment score) representing sustainable growth of the company, and is expressed as a score value obtained by simply averaging the ESG score value and the financial score value. Alternatively, it may be expressed as a percentile position.

  When the comprehensive evaluation value of the investment subject issue is obtained, the issues constituting the portfolio are selected in descending order of the score value among the investment issue issues belonging to the area R (S105). Here, the top 100 companies with high overall evaluation values are selected. When a portfolio constituent stock is selected, the stock weight, that is, the fund constituent ratio is determined based on the ESG score value (S106).

  Specifically, the composition ratio of the fund is determined in accordance with the relative ratio of the ESG score values of the portfolio constituent issues (the ESG score value of each issue with respect to the sum of the ESG score values). The stock with a higher ESG score value among the portfolio constituent stocks has a higher fund distribution ratio, and more funds are collected for companies with a high ESG score.

  Such portfolio construction processing is performed at regular intervals (for example, half a year). Since ESG score values and financial score values of each issue vary depending on the time, investment issues (universe) and portfolio components also change accordingly, and the weight (fund distribution ratio) also varies depending on the ESG score value. fluctuate.

  FIG. 5 is a graph showing changes in ESG scores of selected brands (portfolio construction brands) by year. Here, the portfolio model of the present embodiment is applied including the past ESG scores, and the values obtained by adding the ESG scores of all the selected brands are graphed. The ESG score of the selected brands (top 100 companies) will improve in the long run and continue to improve. Therefore, as the ESG fund size and the number of funds increase, more funds are collected for companies with high ESG scores.

  FIG. 6 is a graph showing the ESG score and the topic variation. FIG. 7 is a graph showing the ESG score and the variation of JPX400. Here, the scores are normalized so that they can be compared and obtained by simulation. As shown in FIGS. 6 and 7, the ESG score exceeds the index incorporating the TOPIX representing the market capitalization index and the ROE. Therefore, it is clear that the portfolio model of this embodiment using the ESG score obtains excellent operational performance.

  As described above, according to the present embodiment, the ESG score value and the financial score value are calculated for each brand, and the investment brand (universe) is determined from the combination (two-dimensional graph) of the ESG score value and the financial score value. When the investment target issue is determined, a comprehensive evaluation value (ESG score value + financial score value) of the investment issue issue is calculated, and the upper issue is selected as a portfolio component issue. Then, an investment weight is determined based on the ESG score value, and a portfolio is constructed. By constructing a portfolio that combines ESG scores and financial scores in this way, it is possible to construct a portfolio that is suitable for recent markets where ESG investment is required.

  In the case of active funds that take into account conventional ESG-related information, even if financial scores and ESG scores are provided, it is difficult to build a portfolio that matches ESG scores because fund managers differ in the way of stock selection and investment weight. there were. However, according to the present embodiment, it is possible to construct a portfolio by eliminating the personality of the fund manager only by providing the ESG score and the financial score, and avoiding operations based on the experience value, preference, etc. of the fund manager can do.

  In particular, the ESG score data stored in the database 200 is a score value obtained by detailed and objective analysis and quantification of qualitative characteristics of a company, and corporate value information not included in financial information is a numerical value. Appears. Therefore, selecting a stock with a high overall evaluation value that combines the financial score and the ESG score means selecting a company that can continuously increase corporate value in the future, Excellent performance can be achieved while managing the fund from a medium- to long-term perspective. A portfolio that realizes such performance becomes possible only by using ESG data that is accumulated by a research company or the like and structured in data.

  That is, since the ESG score data is stored in the database 200 as the ESG evaluation value of each issue (company) obtained through a long-term (over 10 years) survey, the fund manager can select E, It becomes possible to extract the scores of S and G retrospectively. The financial score is similarly structured in data, and the financial score can be extracted for an arbitrary brand. Therefore, fund managers can use both data-structured ESG scores and financial scores to perform backtesting and other simulations to freely verify portfolio models and modify models. The above portfolio can be applied to asset management.

  In the present embodiment, the asset weight is determined according to the ESG score for the selected brand. Since the currently used market capitalization weight is not adopted, it is possible to prevent the funds from concentrating on an expensive stock price. On the other hand, the stock with a higher ESG score has a larger fund distribution ratio, so that it is possible to collect more funds to a company that shows a continuous improvement in ESG score.

  Furthermore, in this embodiment, the investment target brand is determined from the combination of the ESG score and the financial score. By narrowing down the candidate brands in advance before the selection of the top brands, companies with relatively high evaluation in both financial and ESG aspects can be targeted for investment. The area for determining the investment target brand is not limited to the area R shown in FIG. 3, and the investment target brand may be determined by defining other areas (for example, an average value or more). Furthermore, it is not necessary to set the area to which the investment brands belong.

  The ESG score may be obtained by a method different from the calculation method as shown in FIG. Further, regarding the financial score, a financial index other than the financial content shown in FIG. 3 may be added or replaced to calculate the financial score.

  It is also possible to configure the portfolio management system by a computer other than the server 10, and it is also possible to separately configure the processors that respectively execute the steps S103 to S106. It is also possible to execute the portfolio construction process not by hardware but by firmware and software. In this case, a computer-readable program may be stored in advance in a memory in the computer and executed.

10 Computer (information processing device)
100 servers 200 databases

Claims (7)

ESG evaluation values obtained from information on the environment, society, and governance (hereinafter referred to as ESG-related information) and non-financial information on companies, and financial evaluation obtained from company financial information Value is read from the memory by the computer,
The computer calculates a comprehensive evaluation value based on the financial evaluation value and the ESG evaluation value,
A portfolio construction method characterized in that a portfolio is constructed by selecting portfolio constituent stocks from comprehensive evaluation values by a computer.   2. The portfolio construction method according to claim 1, wherein the portfolio is constructed by determining weights of portfolio constituent stocks according to the ESG evaluation value by a computer. The computer extracts stocks with relatively high financial and ESG values as investment targets,
3. The portfolio construction method according to claim 1, wherein portfolio constituent brands are selected by a computer based on a comprehensive evaluation value of the brands to be invested.   4. The portfolio construction method according to claim 3, wherein a brand having a financial evaluation value and an ESG evaluation value each having a predetermined value or more is extracted as an investment target brand by a computer.   5. The portfolio construction method according to claim 1, wherein the comprehensive evaluation value is a value obtained by adding the financial evaluation value and the ESG evaluation value. ESG evaluation values obtained from information on the environment, society, and governance (hereinafter referred to as ESG-related information) in the non-financial information of the target company, and financial evaluation values obtained from financial information A calculation means for calculating a comprehensive evaluation value based on
A selection means for selecting portfolio constituent stocks based on the obtained overall evaluation value;
An information processing apparatus comprising: portfolio forming means for forming a portfolio based on the selected investment brands. From ESG evaluation values and / or corporate financial information obtained from information on the environment, society, and corporate governance (hereinafter referred to as ESG-related information) among non-financial information of a company by computer. Based on the financial evaluation value obtained, select portfolio components,
A portfolio construction method characterized in that a portfolio is constructed by setting weights of portfolio constituent stocks according to ESG evaluation values by a computer.

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