Performance Evaluation Research Of Green Publice Funds In China

As an important part of green financial system,green fund has developed rapidly in recent years.Green funds need to balance social,environmental and financial goals,so it is not only necessary to realize profit creation,but also to consider ecological environmental factors,that is,to coordinate capital profitability and environmental sustainability.The Green Public Fund is a securities investment fund that raises funds to public investors in an open manner and uses the green environmental protection industry as its main investment scope.For the majority of investors,it is very important to find funds that can balance investment value and social benefits among many products.Fund performance evaluation is to use the various indicators to rank the fund,so as to choose the best fund.For a green public fund with “double goals”,a single indicator can be evaluated intuitively and clearly.The comprehensive performance evaluation can comprehensively consider multiple dimensions on the basis of a single indicator,giving each indicator weight and giving a green public fund with a comprehensive score ranking.This paper firstly empirically analyzes the performance of China's green public fund through risk-adjusted income model,stock selection time ability model and Fama-French three-factor model,and then introduces a new dimension into the performance evaluation.From the perspectives of fund risk adjustment income,fund manager's stock selection ability,fund investment style and fund social responsibility,12 indicators were selected by principal component analysis method to construct a comprehensive evaluation system for green public fund performance in China.The system ranks the sample funds.The conclusions of this paper are as follows:(1)Most green public funds cannot obtain returns beyond the market benchmark portfolio.(2)The sample fund manager's stock picking ability is lacking,and only a few managers have certain timing ability.(3)Green public funds prefer to invest in small cap stocks and growth stocks.(4)Inthe comprehensive evaluation system of green public fund performance through principal component analysis,the most important impact on the performance of China's green public fund is the fund's risk and return indicators,followed by social responsibility,investment style and average income.