Fund ESG evaluation method
By calculating the ESG score and tail risk level of the stocks held by the fund and adjusting the rating, the problem of difficulty in obtaining ESG ratings in the existing technology is solved, the timeliness and coverage of the fund ESG evaluation is achieved, and the credibility of investment decisions is enhanced. .
Patent Information
- Application Number
- CN202411187222.9
- Authority / Receiving Office
- CN · China
- Patent Type
- Applications(China)
- Current Assignee / Owner
- Filing Date
- 2024-08-28
- Publication Date
- 2025-01-14
AI Technical Summary
The lack of effective methods in the prior art to quickly and accurately obtain the ESG rating and ESG performance of the fund, making it difficult for fund managers, channel parties and users to monitor and evaluate the sustainability of the fund.
By calculating the ESG score and tail risk level of the stocks held by the fund, and adjusting the ratings in combination with risk warnings, a set of fund ESG evaluation methods are provided, including weighted calculation of ESG score and tail risk exposure level, and setting a one-to-five-star rating based on the results.
It realizes the timeliness and coverage of fund ESG evaluation, provides convenient data acquisition methods, enhances the monitoring ability of fund managers and the credibility of investment decisions, and is suitable for various fund types, including ETF-linked funds.
Smart Images
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Abstract
Description
Technical Field
[0001] The present invention relates to the technical field of fund evaluation system, and specifically to a fund ESG evaluation method. Background Art
[0002] ESG stands for Environmental, Social and Governance (ESG), which includes three aspects: a company's impact on the environment, its responsibility to society, and its internal governance. It is used by companies to regulate and monitor their own behavior. It is also the basis for investors to measure the sustainability of the companies or assets they invest in. It is also one of the important strategies used internationally for institutional investors' decision-making principles.
[0003] Under the influence of the above background, the number and scale of ESG funds began to grow significantly. In terms of ESG investment, fund managers, channels and users need to use fund ESG ratings. Fund managers need to use ESG ratings and ESG-related data as screening criteria for investment research and monitor the ESG performance of funds. Fund sales channels and buyers also need to know the ESG rating and ESG performance of each fund in addition to risk and return, but there is no similar technical solution in the existing technology.
[0004] Based on the above reasons, the present invention designs a fund ESG evaluation method. By calculating the fund's E / S / G scores and combining them with the rating adjustment after risk warning, all parties involved in the fund can quickly and accurately obtain ESG performance and provide a basis for investment. Summary of the invention
[0005] The purpose of the present invention is to overcome the shortcomings of the prior art and provide a fund ESG evaluation method. By calculating the fund's E / S / G scores and combining them with the rating adjustment after risk warning, all parties involved in the fund can quickly and accurately obtain ESG performance and provide a basis for investment.
[0006] In order to achieve the above object, the present invention provides a fund ESG evaluation method, comprising the following steps: S1, based on the disclosed holdings and the market value of holdings disclosed by the fund products, combined with the ESG evaluation system, first obtain the ESG score of each stock in the fund holdings, and then based on the position ratio of the stock, weighted calculation to obtain the comprehensive ESG score of the fund. The calculation formula is as follows; The evaluation formula of the ESG evaluation system in S1 is: ; Among them, Equity refers to stocks; Bond refers to bonds; Fund refers to funds; W refers to the weight of a single stock, bond or fund; ESG refers to the ESG score of a single stock, bond or fund.
[0007] S2, based on the disclosed holdings and the market value of holdings of fund products, combined with the tail risk level in the ESG evaluation system, first obtains the ESG tail risk level of each stock in the fund's holdings, and then, based on the stock's position ratio, weighted calculation is performed to obtain the tail risk exposure level of the fund's holdings. The risk exposure in S2 includes the ratio of severe warnings and warnings.
[0008] ; Among them, Equity refers to stocks; Bond refers to bonds; Fund refers to funds; W refers to the weight of a single stock, bond or fund; ESG Tail Risk refers to the ESG tail risk level of a single stock, bond or fund.
[0009] S3, combining the score of S1 and the result of S2, when the proportion of holdings with warnings and severe warnings in the tail risk exposure of fund products ESG is greater than 5%, the fund's ESG rating will be downgraded by one level, with the lowest being one star; S4: The rating of the ETF feeder fund shall be adjusted to the rating of the on-exchange ETF fund corresponding to the feeder fund; S5, based on the total score of E, S, and G in S1, is set to a standard score of 1 to 100. The higher the score, the better the ESG performance of the fund product; S6: Set a one to five-star rating for the fund based on the proportion of holdings with warnings and severe warnings in the tail risk exposure in S3.
[0010] Compared with the prior art, the present invention has the following beneficial effects: Strong timeliness: Fund managers can calculate the ESG evaluation of the funds they manage based on all their holdings data and ESG ratings, which makes it easier for them to monitor the ESG performance of fund products and provide a basis for external publicity, thereby increasing credibility.
[0011] Full coverage of public funds: Benefiting from a wealth of ESG rating products, the ESG performance of all types of funds except money market funds can be calculated, and can be traced back further to facilitate historical comparison.
[0012] Flexible evaluation method: The score is adjusted appropriately according to the risk exposure of the holdings to ensure that the fund score can represent the ESG level to the greatest extent.
[0013] Easy data acquisition: ESG ratings of stocks and bonds can be quickly obtained through API, FTP, website, etc. DETAILED DESCRIPTION
[0014] The present invention will now be further described.
[0015] The present invention provides a fund ESG evaluation method, comprising the following steps: S1, based on the disclosed holdings and the market value of holdings disclosed by the fund products, combined with the ESG evaluation system, first calculate the ES and G scores of each stock in the fund holdings, and then based on the stock position ratio, weighted calculation to obtain the fund's comprehensive ESG score. The calculation formula is: Among them, Equity refers to stocks; Bond refers to bonds; Fund refers to funds; W refers to the weight of a single stock, bond or fund; ESG refers to the ESG score of a single stock, bond or fund; S2, based on the disclosed holdings and the market value of holdings disclosed by the fund products, combined with the tail risk level in the ESG evaluation system, first obtain the ESG tail risk level of each stock in the fund holdings, and then based on the stock position ratio, weighted calculation is performed to obtain the fund holding tail risk exposure level. The calculation formula is: ; Among them, Equity refers to stocks; Bond refers to bonds; Fund refers to funds; W refers to the weight of a single stock, bond or fund; ESG Tail Risk refers to the ESG tail risk level of a single stock, bond or fund; the risk exposure in S2 includes the proportion of serious warnings and warnings.
[0016] S3, combining the score of S1 and the result of S2, when the proportion of holdings with warnings and severe warnings in the tail risk exposure of fund products ESG is greater than 5%, the fund's ESG rating will be downgraded by one level, with the lowest being one star; S4: The rating of the ETF feeder fund shall be adjusted to the rating of the on-exchange ETF fund corresponding to the feeder fund; S5, based on the total score of E, S, and G in S1, is set to a standard score of 1 to 100. The higher the score, the better the ESG performance of the fund product; S6: Set a one to five-star rating for the fund based on the proportion of holdings with warnings and severe warnings in the tail risk exposure in S3.
[0017] Taking the 2023 fund ESG rating as an example, we will introduce in detail the process of rating generation.
[0018] Basic data preparation: Download the holdings and holding ratio data of all existing funds (excluding money market funds) as of December 31, 2023, and the ESG rating data of Huazheng stocks and bonds For funds with stock or bond holdings data, first obtain the Huazheng ESG score of each stock or bond in the holdings, and then multiply the ESG score of each stock or bond by the holding ratio according to the formula in S1 to obtain the comprehensive ESG score of the fund.
[0019] The above are only preferred embodiments of the present invention, which are only used to help understand the method and core ideas of the present application. The protection scope of the present invention is not limited to the above embodiments. All technical solutions under the concept of the present invention belong to the protection scope of the present invention. It should be pointed out that for ordinary technicians in this technical field, some improvements and modifications without departing from the principle of the present invention should also be regarded as the protection scope of the present invention.
[0020] The present invention solves the shortcomings of the prior art in that, against the backdrop of the increasing use of ESG as a measure of investment strategy both internationally and domestically, fund managers, channel parties, users and other parties lack the ESG rating and ESG performance of each fund. By calculating the fund's E, S, G evaluation points and the rating in tail risk exposure, the ESG evaluation score of the target fund can be quickly and accurately obtained, providing convenience for investors, managers and users in the ESG evaluation of the target fund, better serving the fund market and keeping pace with the international standards.
Claims
1. A fund ESG evaluation method, characterized in that: The following steps are involved: S1, based on the disclosed holdings and the market value of holdings disclosed by the fund products, combined with the ESG evaluation system, first calculate the ES and G scores of each stock in the fund holdings, and then based on the stock position ratio, weighted calculation to obtain the fund's comprehensive ESG score. The calculation formula is: ； Among them, Equity refers to stocks; Bond refers to bonds; Fund refers to funds; W refers to the weight of a single stock, bond or fund; ESG refers to the ESG score of a single stock, bond or fund; S2, based on the disclosed holdings and the market value of holdings disclosed by the fund products, combined with the tail risk level in the ESG evaluation system, first obtain the ESG tail risk level of each stock in the fund holdings, and then based on the stock position ratio, weighted calculation is performed to obtain the fund holding tail risk exposure level. The calculation formula is: ； Among them, Equity refers to stocks; Bond refers to bonds; Fund refers to funds; W refers to the weight of a single stock, bond or fund; ESG Tail Risk refers to the ESG tail risk level of a single stock, bond or fund; S3: Combining the score of S1 and the result of S2, when the proportion of the holdings with warnings and severe warnings in the tail risk exposure of the fund product ESG is greater than 5%, the fund ESG rating will be downgraded by one level, with the lowest being one star; S4: The rating of the ETF feeder fund shall be adjusted to the rating of the on-exchange ETF fund corresponding to the feeder fund; S5: The total score of E, S, and G in S1 is set as a standard score of 1 to 100. The higher the score, the better the ESG performance of the fund product. S6: Set a one to five star rating for the fund based on the proportion of holdings with warnings and severe warnings in the tail risk exposure described in S3.
2. The fund ESG evaluation method according to claim 1, characterized in that: The risk exposure situation in S2 includes the proportion of serious warnings and warnings.