中国社会责任共同基金的金融业绩

论文摘要

在金融投资领域里,社会责任投资在今天逐渐成为一项迅速发展的趋势,并在业内各界引发各种研究热潮。然而在中国,该领域尚未被研究与探索。本文通过使用中国大陆、香港及台湾共49余个社会责任共同基金的数据,将前人对该伦理基金性能的研究进行扩展及补充。我们运用共同基金性能评估分析的传统工具,例如JENSEN的单因素模型,FAMA和FRENCH的三因素模型,和夏普及特雷诺比率,对该基金在2005到2010年期间的月收益进行分析研究。在对香港及台湾的伦理基金市场进行研究之前,我们还针对中国大陆的社会责任基金及相对应的传统基金样本,在性能及成效上进行比较。我们的研究发现,中国这两种取决于选定准则的社会责任投资基金,在市场上或者表现超越市场,或者表现平平,但都已经远远胜过其他类似的传统基金。与此同时,我们还发现,该社会责任基金的经理人市场在把握时间的能力方面与传统基金几乎不相上下,甚至更胜一筹。回归模型的结果表明,大部分香港社会责任投资基金并没有显示出明显的高于或低于市场的成效;然而,台湾基金却表现偏弱,并与市场走向相反,尽管幅度较为轻微。在比较上述三种投资基金过去两年的表现时,我们发现香港与大陆基金的夏普比率及特雷诺比率的排名呈现上升的趋势,相反,台湾基金却有下滑迹象。尽管如此,我们仍然发现这三类基金趋向于相同的风险级别范围。

论文目录

• 摘要
• Abstract
• Chapter 1 Introduction
• 1.1 Presentation
• 1.2 Research topic
• 1.3 Methodology
• 1.4 Plan of the thesis
• Chapter 2 Socially Responsible Funds
• 2.1 Research Background
• 2.1.1 Definition
• 2.1.2 A Brief History and Explanation of SRI
• 2.1.3 Strategies used for SRI
• 2.2 SRI in the World
• 2.2.1 Global Context
• 2.2.2 Possible reasons behind the fast growth of SRI market
• 2.3 SRI In Mainland China
• 2.3.1 SRI mutual funds in China
• 2.3.2 China’s first series of environment themed closed‐ended funds
• 2.3.3 China’s first environmental industry fund
• 2.3.4 A SRI Hedge Fund In Hong‐Kong investing in China
• 2.3.5 The first social index in China
• 2.3.6 A growing number of future SRI funds
• 2.4 SRI In Hong‐Kong
• 2.5 SRI In Taiwan
• Chapter 3 Literature Review
• Chapter 4 Methodology
• 4.1 Modelling Mean Returns with Jensen’s alpha
• 4.2 Evaluating the Fund Manager’s Market Timing Capability: the Treynor‐Mazuy Mode
• 4.3 Modelling Mean Returns with a multi‐factor model : Fama and French
• 4.3.1 Formation of the Six Portfolio at Time t
• 4.4 Modelling the Variability of Returns: GARCH（1, 1）
• 4.5 Ranking of Mutual Funds based on risk‐adjusted performance
• 4.5.1 The Treynor Index
• 4.5.2 The Sharpe Ratio
• 4.5.3 The Spearman Rank Correlation Coefficient and the t‐value
• Chapter 5 Data
• 5.1 Mainland China
• 5.1.1 The SRI Funds in China
• 5.1.2 Benchmarks
• 5.1.3 Construction of the six Fama‐and‐French Portfolios for each year
• 5.2 Greater China
• 5.2.1 Taiwan and Hong‐Kong SRI funds
• 5.2.2 Risk‐free Rates in Hong‐Kong and Taiwan
• 5.2.3 Market Returns in Hong‐Kong and Taiwan
• 5.2.4 Survivorship Bias
• Chapter 6 Results
• 6.1 Mainland China
• 6.1.1 Modelling Mean Returns with Jensen’s Alpha
• 6.1.2 Multi‐factor Model: Fama and French Results
• 6.1.3 Ranking of Mutual Funds Based on Risk‐Adjusted Performance
• 6.1.4 Treynor‐Mazuy regression results
• 6.1.5 Modelling variability of returns: GARCH（1,1） results
• 6.2 Greater China: Comparison with SRI funds in Hong‐Kong and Taiwan
• 6.2.1 Jensen CAPM Results
• 6.2.2 The Persistence Of Differences In Performance
• Chapter 7 Conclusion and future work
• 7.1 Conclusion on the results of this research
• 7.2 Future work
• References
• Acknowledgements
• Resume