| In the financial market,social responsibility investment,as a new type of investment,encourages the idea of long-term investment,which has been widely concerned in recent years.Unlike traditional investments that seek only shareholder profit maximization,socially responsible investing emphasizes the balance between economic,social,and environmental benefits.ESG investment is the evolution of Social Responsibility Investment,which brings the non-financial factors of corporate environment,society and corporate governance into the portfolio selection process.Although ESG investment has become one of the mainstream investment strategies in the Western investment market,the relevant theoretical research and practice in China is still at the initial stage.After the research,we find that the existing ESG funds have some problems,such as small quantity,short establishment time,small scale and single investment strategy,so this thesis uses the domestic and foreign research experience for reference to optimize the ESG active equity funds.In the design of the fund in this thesis the author combines the concept of Carbon Peak,carbon neutralization,builds multi-factor ESG model for stock selection,under the premise of strict control of portfolio risk,gives consideration to both social value and commercial value,strives to achieve long-term stable appreciation of fund assets.Referring to the situation of the related funds,the product elements of the fund designed in this thesis are determined.The Stock Pool in this thesis is composed of 800 index stocks of CSRC,taking into account the large,medium and small-sized market-value stocks,the factor pool is composed of 25 factors such as growth factor,valuation factor,fluctuation factor and so on.After data processing,IC value,IC-IR value,IC-mean value test and correlation analysis of factors,finally,a multi-factor stock selection model is constructed by selecting seven factors: p/e ratio,net profit growth rate,net asset yields,logarithmic circulation market value,cash recovery rate,standard deviation of turnover rate and ESG factor.The results show that the annualized return of the fund products is 22.88%,which is much higher than the CSI 300 Index.Compared with the existing funds,we can see that the fund products designed in this thesis perform well in all aspects,and can achieve a higher rate of return while ensuring a smaller volatility and risk.This thesis draws the following conclusions through theoretical and empirical research: Firstly,adding ESG factor into the multi-factor stock selection model can improve the stock selection ability of the model.Secondly,with the CSRC 800 index components as the Stock Pool of the fund design,you can get a good return.Thirdly,together with ESG fund design and Carbon Peak,carbon-neutral concept,in the context of the national policy,investors can get more long-term stable investment returns. |
