Research On The Performance Level And Attribution Of Social Responsibility Investment Fund In China

As China’s capital market is becoming more and more mature and the financial sector is opening to the outside world,the new investment concept of social responsibility investment is attracting more and more attention from our society.It takes into account a series of non-financial indicators such as economic.social,environmental and corporate governance,which meet the requirements of sustainable development.By the end of 2019,there were 95 generalized social responsible investment funds in China,accounting for 2.47%of the total number of publicly offered funds.Total assets under management reached 48.594 billion yuan,accounting for 1.83%of total assets in the public fund market.Therefore,studying the performance level,screening strategies and holding positions of China’s SRI funds can help investors further enhance their understanding of SRI funds,and help them better control investment risks and obtain steady returns.The paper research the SRI fund from some aspects like the performance level,the attributions of the performance and position,etc.Firstly,This paper explained a series of concepts such as social responsibility investment,social responsibility investment fund and investment strategy.Then it introduces the stakeholder theory,sustainable development theory and a series of related theories to provide the theoretical basis for this paper.Then it introduces the definition and methods of the performance level of the research fund as well as the investment capacities of the fund managers and its corresponding indicators.Fund performance mainly measures the return indexes of the fund,while performance attributions mainly study the investment level of the fund manager.Fund performance is largely influenced by the investment ability of fund managers.Then the next part of this paper is the data selection and the sample analysis.As for the data selection,I selected all the SRI fund in a narrow sense,which were set up before April 2016.The investment strategies of those funds take full considerations the social environment and corporate governance,and a series of nontraditional financial indicators.The total weekly sample interval of the 16 SRI funds in a narrow sense is from April 2016 to January 2020.The paper uses the risk-adjusted indicators to evaluate the performance levels of the SRI funds and establishes some models,like single factor Jensen index,three factors Jensen index.Shape ratio and Treynor ratio to evaluate their performance level.When evaluating the attribution of fund performance,it focuses on the fund’s stock selection ability and timing ability,and introduces T-M quadratic regression model and H-M double beta excess return market model for empirical research.At last,through the research and analysis of China’s social responsibility investment fund’s selection strategy,shareholding situation,industry allocation and other situations,it further improves the performance attribution analysis of social responsibility investment fund.The results show that the performance level of China’s overall SRI funds is slightly higher than that of the selected benchmark index,but there are differences among individual funds.In addition,the relevant funds of stock selection ability is not significant,almost there is no market timing ability.In recent years,the fund screening strategy is becoming much better,the industry allocation is dominated by manufacturing and financial industry,and the companies’ social performance is relatively good.They have basically issued a series of social responsibility reports.However,due to the short time since the establishment of the emerging social responsibility investment fund,its performance cannot be evaluated now.Therefore,while further improving and developing the policies and provisions of social responsibility investment fund,we should further standardize the evaluation system of social responsibility investment and adopt some measures to guide the capital flow to social responsibility investment fund.Investors should change the investment concept,adhere to the long-term investment and value investment criteria,in order to effectively reduce the risk and obtain long-term returns.