Research On Strategy Of Investment Index Based On ESG Evaluation System

With the development of ESG investment concept by academia and the industry,this new investment model has opened up a new direction and path for the development of corporate social responsibility in China,and is favored by more and more investors.In recent years,A series of social problems caused by the lack of social responsibility of listed enterprises in China have become more and more serious,which is reflected in the sharp fluctuations of a-share prices.Therefore,it has become a key issue for China to make enterprises assume their social responsibilities,and the concept of sustainable development combining environment,social responsibility and corporate governance will eventually become a future investment trend.At present,the application of domestic ESG investment concept is still in the preliminary stage,the establishment of the indicator system needs to be improved,and there are still many problems in the practical application that need in-depth study and practice.In recent years,the investment strategy of using replication index as asset allocation has developed rapidly.Among them,the passive index strategy is a passive index investment management,closely tracking the underlying index,tracking error to measure the investment portfolio and tracking the underlying index return close degree of investment strategy.In this paper,aiming at csi 300 index,through the optimization of ESG evaluation system,integrating the Smart Beta stock for stock selection,combining with Smart Beta strategy optimization combination weights,on the premise of guarantee risk as high yields of portfolio strategy,make the strategy can run in the back to win the csi 300 index class strategy.This article from the environment,social responsibility and corporate governance in the three elements,from the perspective of stakeholders,first of all,in these three elements respectively on the basis of literature study,choose some representative and maneuverability strong,Smart Beta factor,optimize the evaluation index system of enterprise ESG,stock selection model is set up.Then,the analytic hierarchy process(ahp)and the fuzzy comprehensive evaluation method were used to evaluate the ESG performance of the most representative listed companies in a-shares,from which sample stocks were selected and given A reasonable weight,the ESG 30 index was constructed and the index investment strategy was proposed.Finally,the ESG index constructed is compared with other relevant ESG indexes,and the ESG index fund constructed by the designed strategy and the same type of fund are analyzed for performance,so as to verify the conclusion,so as to provide a better reference for investment strategy formulation,and also provide a strong basis for enterprises to better fulfill their social responsibilities.On the basis of theoretical analysis and empirical analysis,this paper draws the following conclusions: first,the combination of ESG performance investment with Smart Beta factor can help investors to select stocks and improve the sense of responsibility of enterprises.Second,the index investment strategy based on ESG evaluation index system has certain advantages.