ESG深度报告：ESG股票基金的发展历程与绩效表现

Core Insights - The report highlights the steady growth of ESG stock funds in China, with the net value reaching 630.6 billion yuan by the end of 2024, indicating a significant increase in market interest and investment in ESG strategies [1][11][31] - ESG strategy funds have seen rapid growth, particularly in the fourth quarter of 2024, where the net value surged by 275 billion yuan, reflecting a shift in investor preference towards more strategic ESG investments [2][52] - The report identifies a preference among ESG stock funds for large-cap and high-growth stocks, which have yielded considerable positive premiums and excess returns [4][66] Development of ESG Stock Funds - The number of ESG public funds in China reached 665 by the end of 2024, with a management scale of nearly 833.1 billion yuan, surpassing the proportions seen in mature markets like the US and Japan [11][12] - The growth rate of ESG funds has accelerated significantly since the introduction of the "dual carbon" goals in September 2020, with an annualized growth rate of 36% and 29% for quantity and net value, respectively, from Q2 2020 to Q4 2024 [11][12] - Environmental protection funds have historically dominated the ESG fund landscape, but ESG strategy funds have recently overtaken them in terms of growth and scale [11][41] Performance Analysis of ESG Stock Funds - ESG stock funds have shown a consistent preference for large-cap and high-growth stocks, which has contributed to their performance advantages [4][66] - The report employs a factor model to analyze the performance of ESG stock funds, indicating that both active and passive ESG funds favor large-cap stocks, with passive funds showing a stronger preference [3][66] - The performance of active ESG funds has outperformed passive funds primarily due to excess returns, while both types exhibit similar preferences for high-growth stocks [3][66] Thematic Development of ESG Funds - The report categorizes ESG funds into various themes, noting that environmental protection and ESG strategy funds have seen the most significant growth, with environmental protection funds leading until recently [2][41] - By the end of 2024, the number of environmental protection funds was 224, while ESG strategy funds reached 195, indicating a shift in focus towards more strategic ESG investments [41][52] - Social responsibility and corporate governance funds have lagged in growth compared to environmental and ESG strategy funds, with their numbers remaining relatively low [42][53]