Research On The Construction Of Pension Target-Date Fund Based On ESG

In recent years,sustainable investment concept and pension finance have attracted wide attention in the financial field,and ESG investment and pension target date fund have become popular research objects.As a product of the concept of sustainable investment,ESG investment mainly focuses on the long-term risk and long-term value of investment,and has long-term,robust and risk-resistant investment attributes,which are highly compatible with pension investment attributes.As a personal pension investment product,the pension target-date fund is mainly aimed at improving the investment income of personal pension and enhancing the ability of personal pension to guarantee the pension.At present,China’s pension target-date fund has a good development trend,but there is still a large room for improvement in fund yield and other aspects.Based on this,from the perspective of portfolio construction,this paper introduces ESG investment strategy,uses multi-factor analysis method to screen the investment objects of pension target date fund,and simulates pension target date fund investment portfolio through risk parity strategy,and conducts comparative analysis of fund investment portfolio performance evaluation.This paper explores whether ESG investment strategy can effectively improve the performance of pension target-date funds and whether it can be applied in the field of pension investment in China.In this paper,through the analysis of the data collection and processing,based on the same fund market pension target-date funds performance,compared simulation portfolio A which was build by ESG investment strategy selection with simulation portfolio B which was build without ESG investment strategy and have an analysis,using historical data to test the funds portfolio of annualized yield,volatility and sharpe ratio,And based on this comparative analysis of performance.The research results of this paper show that during the retesting period from January 1,2019 to December 31,2021,the annualized return rate of portfolio A is slightly lower than that of portfolio B,but its performance in terms of volatility and Sharpe ratio is better than that of portfolio B,indicating that ESG investment strategy fails to effectively improve the return capacity of pension target date fund.However,it can effectively improve the risk-return capability of pension target date funds.