When does the Japan Empowering Women Index outperform its parent and the ESG Select Leaders Indexes?

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) using data from April 2013 to October 2020. Without regime switching, our benchmark analysis suggests that none of the indexes 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 ever. Our results indicate 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.