Research On The Feasibility Of Green ETF Investment Based On Risk-adjusted Return Evaluation

With the increasingly deterioration of environment causing more and more unbearable impacts on human economy and society,the importance and sensitivity of green sustainable development are increasing day by day around the world.To realize the transformation of the green economy,the first problem is to solve the investment and financing problems of green projects.Green finance,which pursues long-term value growth and balances environmental and economic benefits,has attracted people’s attention worldwide and has become an emerging area of the financial industry.Green finance is aimed at the sustainable development of the environment and society,and is expected to produce positive environmental benefits,a series of financial institutional arrangements that guide social capital to the field of green development.As an important tool for green finance,the green fund uses a systematic green investment strategy to target listed companies or projects which directly engage in environmental protection industries can generate environmental benefits,reduce environmental costs and risks.It is an investment practice that balances environmental protection and profitability.Compared with traditional funds,the most prominent feature of green funds is that they place more emphasis on the survival of human society and the interests of the environment,use environmental protection and the effective use of resources as an important indicator of the effectiveness of investment activities.However,can green funds achieve investment goals while considering environmental benefit targets? The research results of foreign scholars show regional differences and time differences.Domestic scholars have also reached different conclusions on the research of green index funds and green stock funds,but the research objects did not involve green ETF(Exchange Traded Fund,trading open index securities investment fund,hereinafter referred to as ETF).In the context of China’s overall development strategy transformation,green finance is of great significance for implementing the new development concept,deepening the supply-side structural reform,and effectively improving the efficiency of financial services in the real economy.China has become the world’s largest green financial market,but due to the late development of green funds in China,there are only 44 green stock indexes and 6 green ETFs so far,which is far behind foreign capital markets.The green fund is the most important channel for participating in green investment.The feasibility of green investment is verified by studying the development level of the green investment target and whether the green fund can achieve financial performance beyond the market in China’s capital market.Improve green investment practices and support economic transformation have a significant positive effect.On the basis of sorting out the existing theory of index investment funds,this paper selects 3 green ETF funds with the establishment more than 2 years among all 6 green ETF funds as the research object,chose the investment target of the green ETF fund-3 green stock indexes as a benchmark,and based on the establishment period and fund size as the selection criteria,3 traditional index funds and partial stock funds similar to green ETFs were selected as a control combination,from September 25,2009 to 2019 December 31,2014 is the research interval.Based on the characteristics of the green ETF investment target-the volatility of green stock returns,using the GARCH family model,based on the traditional three major risk-adjusted return indicators,the green ETF fund is compared with the market benchmark and comparison portfolio.Financial performance,to explore whether green ETF funds can achieve financial returns beyond the market,to draw a conclusion that green investment is feasible.The conclusion of the study is that in China ’s capital market,the investment target of green ETF funds-green stock index returns has the characteristics of sharp peaks and volatility aggregation.The asymmetric environmental protection index and the SSE 180 corporate governance index are asymmetric.The significant effect shows that the fluctuation law can be grasped by the model.In addition,the risk aversion capabilities of green ETF funds are generally superior to stock funds.At the same time,the direct returns and risk-adjusted returns of SSE 180 Corporate Governance ETFs can surpass traditional index funds,so the fund has investment feasibility.According to the research conclusions of this article,the following suggestions are proposed to further promote the development of green finance in China: first,actively promote the development of green stock indexes and improve the basis of the green financial market;secondly,further innovate and develop financial instruments such as green funds to meet market investment needs;and finally promote domestic Green investment practices such as pensions,social security funds,and enterprise annuities promote the development of green investment funds.