绿色证券投资基金的投资价值研究 ——以汇丰晋信低碳股票型基金为例

LZUFE-KMS > 金融学院

作者	骆彦佳
姓名汉语拼音	Luo Yanjia
学号	2020000005031
培养单位	兰州财经大学
电话	18793122935
电子邮件	764372342@qq.com
入学年份	2020-9
学位类别	专业硕士
培养级别	硕士研究生
一级学科名称	金融
学科代码	0251
授予学位	金融硕士
第一导师姓名	程贵
第一导师姓名汉语拼音	Cheng Gui
第一导师单位	兰州财经大学
第一导师职称	教授
题名	绿色证券投资基金的投资价值研究 ——以汇丰晋信低碳股票型基金为例
英文题名	Research on investment value of Green Securities Investment Fund ——take HSBC Jinxin low-carbon equity fund as an example
关键词	绿色证券投资基金绩效评价选股择时能力绿色因子
外文关键词	Green equity investment fund；Performance evaluation； Stock selection and timing ability；Green factor
摘要	摘要在全球经济朝着绿色低碳转型发展的浪潮中，我国的绿色转型发展进程也在不断加快。我国在“十四五”期间明确了绿色金融改革和发展的总体目标，绿色金融的发展势头越来越强劲。绿色证券投资基金是一种主要投资于绿色项目和绿色企业的新兴绿色金融工具，兼顾经济效益与环境效益，在政府政策的引导下，绿色证券投资基金近年来发展迅速。但由于绿色证券投资基金在我国的发展起步较晚，投资者们对其认识不够深刻，业绩评价体系不够完善，因此，本文对绿色证券投资基金的投资价值评估及其业绩归因分析有重要意义。本文首先综述了国内外绿色证券投资基金业绩评价及评估方法的相关研究，对相关理论进行了阐述，并介绍了其在国内外的发展现状及局限；其次，选取了有代表性的汇丰晋信低碳先锋股票型证券投资基金（以下简称为汇丰晋信低碳股票型基金）作为案例，通过投资策略和财务指标分析了其管理效果；最后，选取了 16 支绿色证券投资基金，基于 2019 年至 2022 年的年度数据，运用单因子收益评估指标中的夏普指数、特雷诺指数、信息比率分析了基金的风险调整后收益，运用加入绿色因子的 TM-FF 四因素模型，利用月度数据分析了基金的选股能力、择时能力、投资风格和绿色溢价。通过横向及纵向的比较，对绿色证券投资基金的投资价值进行总结，并基于利益相关者理论对不同主体提出相应建议。分析结果表明：（1）我国绿色证券投资基金的数量和市值在近四年呈上升趋势，收益率表现亮眼。（ 2）绿色证券投资基金实施主动型自上而下和自下而上相结合的选股策略，以及综合考虑基本面和股票预期价值的择时策略，能更好地避免“风格漂移”。（ 3）绿色基金的单因子收益和经济效益总体表现良好，但系统性风险较大。（ 4）加入绿色因子后的四因素模型对于我国绿色证券投资基金的业绩评价及业绩归因有较强的适用性。根据汇丰晋信低碳股票型基金投资运行管理的经验并总结其不足之处，本文分别从以下三个方面提出相应建议：一是投资者应当转变投资理念、注意分散投资风险；二是基金管理者应当注重对投资标的的风险控制、稳定基金的投资风格、提升自身的选股择时能力；三是监管者应当引导资源的有效配置、建立更完善的绿色金融政策体系、强化相关主体的信息披露义务。关键词：绿色证券投资基金绩效评价选股择时能力绿色因子
英文摘要	Abstract In the wave of global economic development towards green and low-carbon transformation, China's green transformation development process is also accelerating. During the 14th Five-Year Plan, the overall goal of green financial reform and development was clarified, and the development of green finance is gaining momentum. Green Portfolio Investment Fund (GPIF) is an emerging green financial instrument that mainly invests in green projects and green enterprises, taking into account both economic and environmental benefits, and under the guidance of government policies, GPIF has developed rapidly in recent years. However, since the development of green portfolio investment funds in China started late, investors do not have a deep understanding of them and the performance evaluation system is not perfect, therefore, this paper has an important significance to the investment value assessment of green portfolio investment funds and their performance attribution analysis. This paper firstly reviews the relevant studies on the performance evaluation and assessment methods of green portfolio investment funds at home and abroad, explains the relevant theories, and introduces its development status and limitations at home and abroad; secondly, the representative HSBC Jinxin Low Carbon Pioneer Equity Fund (hereinafter referred to as HSBC Jinxin Low Carbon Equity Fund) is selected as a case study, and its management is analyzed through investment strategies and financial indicators effect; finally, 16 green securities investment funds were selected, and based on the monthly data from the third quarter of 2019 to the third quarter of 2022, the risk-adjusted returns of the funds were analyzed using the Sharpe index, Traynor index, and information ratio in the single-factor return assessment index, and the four-factor TM-FF model with the addition of green factors was used to analyze the fund's stock selection ability, timing ability, investment style, and green premium. Through horizontal and vertical comparisons, the investment value of green securities investment funds is summarized, and corresponding suggestions are made to different subjects based on stakeholder theory. The analysis results show that (1) the number and market value of green portfolio investment funds in China have shown an upward trend in the past four years, and the return rate has been bright. (2) The implementation of active top-down and bottom-up stock selection strategies and timing strategies that take into account fundamentals and expected stock values in green equity investment funds can better avoid "style drift". (3) The single-factor return and economic efficiency of the Green Fund are generally good, but the systematic risk is higher. (4) The four-factor model with the addition of the green factor is more applicable to the performance evaluation and performance attribution of green equity funds in China. Based on the experience of investment operation and management of HSBC Jinxin Low Carbon Equity Fund and summarizing its shortcomings, this paper puts forward corresponding suggestions in the following three aspects: first, second, investors should change their investment philosophy and pay attention to diversification of investment risks; fund managers should focus on risk control of investment targets, stabilize the investment style of the fund and improve their own stock selection and timing ability; third, regulators should make effective resource Third, regulators should allocate resources effectively, establish a better green financial policy system, and strengthen the information disclosure obligations of relevant entities. Keywords: Green equity investment fund；Performance evaluation； Stock selection and timing ability；Green factor
学位类型	硕士
答辩日期	2023-06-03
学位授予地点	甘肃省兰州市
语种	中文
论文总页数	73
参考文献总数	55
馆藏号	0005094
保密级别	公开
中图分类号	F83/519
文献类型	学位论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/33847
专题	金融学院
推荐引用方式 GB/T 7714	骆彦佳. 绿色证券投资基金的投资价值研究 ——以汇丰晋信低碳股票型基金为例[D]. 甘肃省兰州市. 兰州财经大学,2023.

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