Analysis Of ESG Fund Investment Performance In China

The concept of ESG originated from ethical investment in the 16 th century and was explicitly proposed in the United Nations Global Compact Plan in 2004.ESG is a method of investment decision-making based on the performance of enterprises in environmental,social,and governance aspects.The purpose of ESG investment is to achieve investment returns while also enabling investors to pay attention to corporate social responsibility and environmental protection,and promote sustainable development of the enterprise.In China,ESG investment has also developed rapidly,and more and more investors are considering ESG factors in their investment decisions.The State owned Assets Supervision and Administration Commission(SASAC)released the "Work Plan for Improving the Quality of Listed Companies Controlled by Central Enterprises" in 2022,requiring central enterprise group companies to coordinate and promote the further improvement of ESG working mechanisms and improvement of ESG performance of listed companies controlled by central enterprises,striving to achieve "full coverage" of ESG reports by 2023,and play a leading and exemplary role in the capital market.To explore the difference in performance levels between ESG funds and traditional funds,this article selects 23 equity funds that have been established for three years from Wind ESG investment funds as research samples,and uses fund age and investment size as screening criteria to select corresponding non ESG investment funds as control groups.Compare its yield,Sharpe ratio,Treynor index and Jensen index.Linear regression was performed using the CAPM model,Fama French three factor model,Carhart four factor model,and Fama French five factor model,respectively.Independence t-tests were conducted to compare their mean values.Then divide ESG funds into two groups based on their ESG scores and compare their returns.In addition,the comprehensive performance of ESG funds was evaluated,and a correlation analysis was conducted between fund years and comprehensive scores.Through research,it has been found that:(1)ESG funds perform better than non ESG funds,indicating that ESG funds’ investment strategies are better able to cope with risks and uncertainties,and create more stable returns for investors.ESG funds can utilize ESG factors to help investors better identify risks,thereby reducing investment risks and improving returns.(2)There is no significant correlation between ESG fund scores and ESG fund returns.(3)There is no significant correlation between the duration of the fund and the comprehensive score of the fund.