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论文编号：	11872
作者编号：	2120182996
上传时间：	2020/6/23 10:53:39
中文题目：	基于责任投资的ESG理念QDII基金的构建及绩效检测研究
英文题目：	Research on the ESG QDII Fund Construction and Performance Testing Based on Responsible Investment
指导老师：	齐岳
中文关键字：	QDII基金；ESG理念；责任投资；投资组合
英文关键字：	QDII fund; ESG; responsible investment; investment portfolio
中文摘要：	近年来，随着我国金融市场的快速进步与发展，产品不断丰富且体量不断增大，QDII基金凭借着多元化的国际分散配置与便利顺畅的境外投资渠道，且便于投资者参与，快速成为了市场中首选的跨境投资工具。同时，由于国际资本市场对责任投资的关注持续增加，ESG投资逐步变成了海外主流策略之一。而中国的ESG理念起步较晚且主要凭借对监管机构和相关自律组织引导的依赖来实现自身发展，整体ESG发展尚处于初级阶段。本文基于当前国内金融对外开放持续加深的背景、国内投资者的资产配置需求以及国内ESG投资探索现状，对QDII基金、ESG责任投资、投资组合的国内外相关文献进行系统性梳理与总结，并基于此提出利用模拟法滚动构建责任型ESG理念QDII基金的设想。本文参照BlackRcok公司推出的MSCI USA Leaders基金进行成分股选取，随后从责任投资角度分别探究了等权重、最小方差、风险收益择时、风险平价以及最大夏普比率策略下的ESG理念QDII基金在观测期间的月收益率表现，并以道琼斯指数、标普500指数以及纳斯达克指数这三种市场指数作为参照进行对比。同时又通过CPAM模型、FF-3模型、FF-5模型探究了不同策略下构建的ESG理念QDII基金的风险暴露情况，进而为ESG理念应用于QDII基金中的可行性与收益性的研究提供经验数据。 在构建ESG理念QDII基金的可行性与绩效分析方面，研究结论包括如下内容：首先，单从预期投资收益率进行考量，构建ESG理念的QDII基金能够为投资者提供更好的收益，且可通过在不同时期采取不同策略进行成分股权重配置，进而得到总优于三大指数投资收益率的QDII基金投资组合。其次，虽然策略之间在风险收益方面存在差异，但是较三大指数的风险收益而言，仍然可以构造出在保证风险无明显差别的基础上具有更优投资收益的ESG理念QDII基金，进而也在一定程度上证明了ESG责任投资的益处。最后，通过对月收益率均值与方差进行对比，发现不同策略下的ESG理念QDII基金较三大指数而言，基本具有高均值和低方差的特征，且基本具有更高的确定性等价收益率与更好的夏普比率表现。综上，构建ESG理念的QDII基金能够取得较好的表现，符合市场投资理念的发展趋势。 在探究ESG理念QDII基金的风险暴露情况方面，研究结论包括如下内容：首先，五种策略都与市场整体运行趋势相关，但在CAPM模型、FF-3模型、FF-5模型中不总显著存在超额收益情况。其次，五种策略都在市场因子R_MT上暴露的风险最大，在其他市值因子、账面市值比因子、盈利因子以及投资因子上的风险暴露情况存在差异，即在成长股、绩优股、稳健股等方面出现不同的选择偏好。最后，除市场因子R_MT外，其余同一因子在不同模型下对不同策略的ESG理念QDII基金的收益解释情况存在正负性与显著性的变动，因此可认为CAPM模型、FF-3模型、FF-5模型都没有全部包含ESG理念QDII基金的全部风险敞口因子。 综合来看，提高QDII基金和ESG理念的市场认知并实现有效融合能取得较好的效益，亦是未来市场发展趋势。社会各界应积极努力以促进QDII基金的发展，为投资者提供更为丰富的海外资产配置渠道，且在当前绿色治理的背景下促进公司自身的ESG治理水平建设，进而起到稳定国内金融市场的正向作用。
英文摘要：	Great progress has been made in the development of China's financial market, with its volume continuously expanding and its products constantly enriching, and a multi-level investment and financing system has basically formed. QDII fund has become the preferred cross-border investment tools for most investors due to their lower participation threshold, unimpeded overseas investment channels and rich global layout. As international capital markets continue to increase their focus on responsible investment, ESG has gradually become a mainstream investment strategy overseas. The ESG concept in China started late and relied on the guidance of regulatory agencies and relevant self-regulatory organizations to achieve its own development. The overall ESG development is still in its infancy. Based on the background of the current deepening of domestic financial opening up, the asset allocation needs of domestic investors and the current state of domestic ESG investment exploration, this paper systematically summarizes relevant domestic and foreign literature on QDII fund, ESG responsible investment and investment portfolios, and this paper proposes the idea of using the simulation method to build a responsible ESG QDII fund on a rolling basis. This paper refers to the selection of constituent stocks by referring to the MSCI USA Leaders fund launched by BlackRcok. Then, from the perspective of responsible investment, the monthly return performance of the ESG QDII fund under the equal weighted, minimum-variance, reward to risk timing, risk parity, and maximum sharpe ratio strategies during the observation period were explored, and the Dow Jones index, the S & P 500 index and the NASDAQ index are used for comparison. At the same time, through the CPAM model, FF-3 model and FF-5 model, the risk exposure situation of the ESG QDII fund constructed under different strategies was explored, so as to provide experience for the feasibility and profitability research of the ESG concept applied to the QDII fund. In terms of the feasibility and performance analysis of constructing the ESG QDII fund, the research conclusions include the following: First, considering only the expected investment return rate, constructing the ESG QDII fund is beneficial and can bring better returns, and through different strategies in different periods to re-allocate constituent equity, and then get a QDII fund portfolio that is always better than the three major index returns. Second, although there are differences in risk and return between strategies, compared to the risk and return of the three major indexes, it is still possible to construct an ESG QDII fund with better investment returns on the basis of ensuring that there is no significant difference in risk. To some extent the benefits of ESG responsible investment have been demonstrated. Third, by comparing the average monthly return rate with the variance, the ESG QDII fund under different strategies basically have high mean and low variance characteristics compared to the three major indexes, and basically have higher deterministic equivalent returns and better Sharpe ratio. In summary, the QDII fund with the ESG concept can achieve better performance, which is in line with the development trend of market investment concepts. In investigating the risk exposure of the ESG QDII fund, the research conclusions include the following: First, the five strategies are related to the overall market trend, but they do not always exist significantly in excess income situation with the CAPM model, FF-3 model, and FF-5 model. Second, all five strategies are exposed to the greatest risk on the market factor. There are differences in risk exposure on other market capitalization factor, book-to-market value ratio factor, profitability factor, and investment factor, that is, different selection preferences appear in growth stocks, outstanding stocks, and stable stocks. Third, in addition to the market factor, the rest of the same factor has different positive and negative changes in the interpretation of the ESG QDII fund's returns under different models. Therefore, none of the CAPM model, FF-3 model, FF-5 include all the risk exposure factors of the ESG QDII fund. On the whole, improving market awareness of the QDII fund and ESG concepts and achieving effective integration can achieve better results, which is also the future market development trend. All sectors of society should actively work to promote the development of QDII fund, provide investors with more abundant overseas asset allocation channels, and promote the company's own ESG governance level construction in the context of current green governance, and then stabilize the domestic capital market.
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