五大发展下社会责任基金的深度分析和展望研究

Deep Analysis and Outlook about Socially Responsible Funds under Five Development Strategies

目的:随着社会责任事故的不断发生,社会责任投资逐渐成为关注焦点。社会责任基金是社会责任投资的主力,文章研究其投资策略是否体现社会责任投资标准,并探索在五大发展的背景下我国社会责任投资的发展道路。方法:通过研究股票市场上全部的三只主动型社会责任基金,分析重仓股持股比例等公开数据,基于重仓股设计二级行业稳定比率,研究该比率的性质并计算各基金的稳定比率。构建价格加权型和市值加权型社会责任投资指数和构建基于优秀社会责任股票的投资组合选择模型并通过参数二次规划精确求解。将以上构建的指数和投资组合同这三只基金的回报率分别进行检验,进一步将这些基金和所属基金公司内部的其他基金进行对比。结果:三只基金的二级行业稳定比率偏低,说明基金在不同二级行业换手较快;文章中构建的社会责任投资指数与构造的投资组合选择模型的回报率基本显著的优于这三只基金;同时这三只基金与所属公司内部的普通基金(如大盘基金)没有显著差别。结论:中国的社会责任投资,尤其是社会责任基金尚不成熟,未能履行"社会责任"的选股标准。建议:现阶段社会责任投资的发展仍需充分的理论指导,在国际国内最新的研究成果的指导下,可以践行多目标投资组合选择模型。希望,在五大发展的新形势下,文章能为推动我国的社会责任投资发展做出贡献。

Purpose: With the occurrence of socially responsible events,socially responsible investment( SRI) has generally become a focused issue. Socially responsible investment funds are the main force of SRI; the paper researches whether their investment strategies reflect the SRI criterion or not,and explores the development road of SRI under the background of five development strategies. Method:By researching all three active socially responsible funds in the stock market,the paper analyzes public data such as bulk- holding stocks,designs secondary industry stability ratio based on bulk- holding stocks,studies the nature of the ratio,and calculates the ratio of the three funds. The paper also builds price-weighted and market- value- weighted socially responsible investment indexes,builds portfolio selection model based on good socially responsible stocks,and uses parametric quadratic programming to obtain the precise solution. Then,the paper compares the indexes and portfolios above with the three funds and further compares the three funds with other funds from the same fund company. Result: the secondary industry stability ratios of the three funds are low,thus demonstrating that the three funds turnover quickly between different secondary industry. The returns of socially responsible investment indexes and portfolios built in the paper are significantly better than those of the three funds. At the same time,the three funds are not significantly different from normal funds( such as large-cap funds) from the same fund company. Conclusion: Socially responsible investment of China,especially socially responsible investment funds are not mature; they have not obeyed the'social responsibility'selection criteria. Proposal: At present,the development of social responsibility investment in China still needs adequate theoretical guidance. With the latest domestic and international research results,we can practice multi-objective portfolio selection model for social responsibility investment. We hope that under five development strategies,the paper can make contributions to promote the development of social responsibility investment in China.