Current investment tips:
Sort out the current non customized ESG index of a shares, with a total of 29. According to the release structure, it can be roughly divided into: China Securities Department, wind Department, China Securities Department and others (Shenzhen Stock Exchange, Xinhua Finance and economics, MSCI, etc.). Specifically: (1) China Securities System: as the most authoritative index company of a shares, its ESG index is generally subject to secondary processing based on the existing mainstream broad-based (CSI 300, CSI 500 and CSI 800), which is expected to become the ESG benchmark with the most references for A-share institutional investors in the future.
(2) wind system: master the flow inlet and have data advantages. Therefore, based on the ESG scoring system developed by ourselves, it has issued “Wande A50 ESG leading” and “Wande all a ESG leading”. In addition, wind also worked with Harvest Fund to jointly layout the ESG index based on specific industries.
At present, the compilation methods of A-share ESG index can be roughly divided into three categories. (1) Only ESG factor is used as the screening standard:
Eliminate the lower ranked ones or select the top ranked ones in various fields by industry. (2) ESG + value & quality factor: such as CSI 300, CSI 500 and CSI 800 ESG value indexes released by CSI. (3) Use specific ESG information: for example, consider the individual scores of Listed Companies in E, s and g respectively, or eliminate individual stocks with ESG tail risk, such as China Securities ESG leading index. In addition, the compilation method of Climate Investment and financing index released by Huazheng index company is relatively special: its sample space is limited to specific industries such as new energy upgrading, power equipment, new energy vehicles, low-carbon buildings and so on. It should be pointed out that most of the ESG rating & sub item scores and other data used in the compilation of these indexes are independently evaluated by the publishing institutions, and their quantitative models and final results are not published.
Since 2021, A-share ESG Index & Fund has blowout. Since MSCI released the “MSCI China A-share international ESG general index” in 2018, the number of A-share ESG indexes released has increased year by year: 3 and 5 in 2019 and 20 respectively, and 16 in 2021. The same is true of ESG funds: at present, there are 16 open-ended equity ESG funds in the A-share market, of which more than half (9) were established in 2021 – the total scale of these 16 ESG funds was only 85 million in early 2019 and reached 6.877 billion by the end of 2021. Although it is still small compared with the overall scale of public funds, its development trend is undoubtedly exciting.
At the end of the previous report ESG: rating result disassembly + stock pool construction in this series, we screened two stock pools “ESG best 50” and “ESG increase 50” based on windesg rating. This paper makes a historical review according to this strategy to evaluate the value of ESG single factor screening to investment practice.
(1) the history of “ESG best 50” portfolio is traced back, and the volatility and return level are both good. From 2019 to now, it has outperformed the Shanghai Stock Exchange 50 and Shanghai Shenzhen 300 indexes and lost the gem index; But its fluctuation level is significantly better than the gem index.
(2) “ESG increased by 50” portfolio has a history of high volatility & low return. The index shows a strong beta, with great flexibility in the process of improving market risk appetite, but high volatility. Since the beginning of 2019, it has only slightly outperformed the Shanghai Stock Exchange 50 and Shanghai and Shenzhen 300 indexes, significantly outperformed the gem index, and the turnover rate of the portfolio is too high. Facts have proved that the effectiveness of this factor is low.
