An Empirical Study On The Performance Evaluation Of China’s Green Investment Funds

Under the new normal economic situation,China will gradually realize the transformation from high-quantity economic growth to high-quality economic growth.As an important investment mode of green finance,green investment funds play a vital role in promoting enterprise transformation and supporting the development of green economy.At present,China’s green investment funds are developing rapidly,and it is urgent to establish a sound evaluation system.Therefore,constructing a suitable performance evaluation system for green investment funds has important theoretical and practical significance for the development of green investment funds.Based on the performance evaluation of traditional funds,,this paper constructs a performance evaluation model suitable for green investment funds.On the basis of the four-factor Carhart model,a five-factor model of green factors is introduced to explore the green risk premium of green investment funds.In addition,in order to make a comprehensive analysis of the performance of green investment funds,this paper also adopts multiple indicators and models such as direct risk-return indicators and single-factor risk adjustment indicators,and attempts to analyze the performance of green investment funds from various angles.The problem that this paper tries to solve is the applicability and reliability of the five-factor Carhart model and the traditional fund evaluation method for the performance evaluation of green investment funds.At the same time,it explores whether the green investment fund has higher excess returns than the traditional fund,that is,the green premium.Through empirical analysis of the performance of China’s green investment funds,this paper finds that the empirical results of the five-factor Carhart model show that the overall income of green investment funds is significantly larger than the market benchmark.The risk-adjusted indicators,namely the Treynor Index,Sharp Index,Jensen Index and M2 Index,are all greater than zero,indicating that the performance of green investment funds is stronger than the risk-free rate of return,market benchmarks and the expected rate of return of investors.The results of the absolute return indicator analysis show that the overall performance of the green investment fund is slightly stronger than the market and the comparison group of traditional funds.Explain that green investment funds have a certain green premiumincome,and the market is more recognized for green enterprises.The study also found that the performance of high-efficiency green investment funds is not better than the low-efficiency green investment funds,indicating that the market can not distinguish the green technology efficiency differences of green enterprises;whether the overall green investment fund or single fund performance evaluation results come It can be seen that the applicability and reliability of the five-factor model are relatively strong;the absolute return risk index and the single factor model index show certain applicability to the performance evaluation of green investment funds.Finally,based on the empirical conclusions,this paper proposes countermeasures to improve the performance of green investment funds from four levels: green investors,green enterprises,green investment fund managers and government.