2022年度中国资管行业ESG 投资发展研究报告（英）-深高金VIP专享VIP免费

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2023-04-18
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Shenzhen Finance Institute, The Chinese University of Hong Kong, Shenzhen

and Huaxia Wealth Management Co., Ltd.

Annual Report on ESG

Investing in China's Asset

Management Industry 2022

EDITORIAL BOARD

MEMBERS

EDITORS-IN-CHIEF

EDITORIAL

BOARD

EXECUTIVE

EDITOR

EDITORIAL MEMBERS

Yuan Zhihong

Xia Bin

Wang Wenxu Li Xiao

Wang Hankui

Qin DanXiong Wanfang Jiang Pingping

Yang Wenhao

Zhang Bohui

Human society is experiencing the double impact of changes unseen for centuries and a

severe pandemic. Complicated and changeable externalities, such as frequent extreme

climate events, fluxional financial markets, and an intensified energy crisis pose severe

challenges to global economic recovery. In this context, all sectors of the world must assume

the mission of creating opportunities during this crisis and turn a new page. The just concluded

27th United Nations Climate Change Conference reached a resolution to establish the "Loss

and Damage" Fund to help developing countries bear the immediate costs of climate-

induced events. The report to the 20th National Congress of the CPC also put forward new

requirements for "green and low-carbon development and actively yet prudently promoting

carbon peaking and carbon neutrality". The financial industry plays an important role in

addressing climate change and promoting low-carbon transition.

As an important pillar of sustainable finance development, ESG emphasizes the coordinated

development of the economy, environment, and society, which coincides with the policy

principle of "high-quality development" and "green development" in China. With the global

popularization of ESG, investment practices continuously improve, and funds grow in scale.

ESG investing has gradually become mainstream. According to a review article on ESG

published by Atz, Van Holt, Liu and Bruno in 2022, the number of research paper on ESG has

increased dramatically since 2015, indicating that ESG research is also developing rapidly

in the academic world. Despite the current dispute about whether ESG investing improves

earnings, there is a consensus that ESG demonstrated favorable abilities to withstand

downside risks during a socio-economic crisis.

As the national strategy, regulatory direction, industry consensus, and customer demand

gradually become clearer, this report was prepared to jointly promote the development of

ESG investing in China and to explore new opportunities in global ESG investing. It focuses

EXECUTIVE

SUMMARY

/110

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ShenzhenFinanceInstitute,TheChineseUniversityofHongKong,ShenzhenandHuaxiaWealthManagementCo.,Ltd.AnnualReportonESGInvestinginChina'sAssetManagementIndustry2022EDITORIALBOARDMEMBERSEDITORS-IN-CHIEFEDITORIALBOARDEXECUTIVEEDITOREDITORIALMEMBERSYuanZhihongXiaBinWangWenxuLiXiaoWangHankuiQinDanXiongWanfangJiangPingpingYangWenhaoZhangBohuiHumansocietyisexperiencingthedoubleimpactofchangesunseenforcenturiesandaseverepandemic.Complicatedandchangeableexternalities,suchasfrequentextremeclimateevents,fluxionalfinancialmarkets,andanintensifiedenergycrisisposeseverechallengestoglobaleconomicrecovery.Inthiscontext,allsectorsoftheworldmustassumethemissionofcreatingopportunitiesduringthiscrisisandturnanewpage.Thejustconcluded27thUnitedNationsClimateChangeConferencereachedaresolutiontoestablishthe"LossandDamage"Fundtohelpdevelopingcountriesbeartheimmediatecostsofclimate-inducedevents.Thereporttothe20thNationalCongressoftheCPCalsoputforwardnewrequirementsfor"greenandlow-carbondevelopmentandactivelyyetprudentlypromotingcarbonpeakingandcarbonneutrality".Thefinancialindustryplaysanimportantroleinaddressingclimatechangeandpromotinglow-carbontransition.Asanimportantpillarofsustainablefinancedevelopment,ESGemphasizesthecoordinateddevelopmentoftheeconomy,environment,andsociety,whichcoincideswiththepolicyprincipleof"high-qualitydevelopment"and"greendevelopment"inChina.WiththeglobalpopularizationofESG,investmentpracticescontinuouslyimprove,andfundsgrowinscale.ESGinvestinghasgraduallybecomemainstream.AccordingtoareviewarticleonESGpublishedbyAtz,VanHolt,LiuandBrunoin2022,thenumberofresearchpaperonESGhasincreaseddramaticallysince2015,indicatingthatESGresearchisalsodevelopingrapidlyintheacademicworld.DespitethecurrentdisputeaboutwhetherESGinvestingimprovesearnings,thereisaconsensusthatESGdemonstratedfavorableabilitiestowithstanddownsiderisksduringasocio-economiccrisis.Asthenationalstrategy,regulatorydirection,industryconsensus,andcustomerdemandgraduallybecomeclearer,thisreportwaspreparedtojointlypromotethedevelopmentofESGinvestinginChinaandtoexplorenewopportunitiesinglobalESGinvesting.ItfocusesEXECUTIVESUMMARYonglobalESGstandardsanddisclosurepractices,andpaysattentiontothedevelopmentofsustainableinvestmentandfinancing.ThroughtheresearchondomesticESGdataandtheempiricalanalysisofglobalESGratingsystems,weconductedaquestionnairesurveyonESGinvestinginChina'sassetmanagementindustryandanin-depthanalysisofESGdisclosure.WehopethisreportencouragesactorsoftheassetmanagementindustrytopracticeESGinvesting,promotetheestablishmentandimprovementofESGstandardsandratingsystems,andstrengthencorporateinformationdisclosure,thuscontributingtoChina'sgreenandlow-carbontransition,andsustainableandhigh-qualitydevelopment.AsanancientChinesesayinggoes,goodprinciplesshouldadapttochangingtimestoremainrelevant.Onlythejudgmentandchoicesuitedtotheneedsofthetimesarecorrect.ESGconformstothelawofChina'seconomicdevelopmentandtotop-levelpolicydesigndirections.Withhistoricalopportunitiesinthisnewera,ESGwillplayapositiveroleandreceivesignificantlong-termattention.Here,we'dliketoexpressourgratitudetoinstitutionsinvolvedinthesurveyofthisreportfortheirsupportandcooperation.Furthermore,we'dliketoacknowledgethehardworkofalltheexpertsandresearchersontheEditorialBoard!ZhangBohuiNovember2022inShenzhenIn2022,globalsustainabledevelopmenthasfacedmoreseriouschallenges.Extremeweatherevents,notablydrought,floodandsummerheat,havebroughtseriousthreatstoecologicalenvironment,socialorder,andpeople'slivesandhealth.ThetransmissionofCOVID-19variantsandgeopoliticalconflictshaveintensifiedtheriskofaglobaleconomicrecession,andchangesintheworldenergysupplyhaveaffectedglobalinvestmentforclimatechangetosomeextent.Environmental,SocialandGovernance(ESG)investinghasalsobeenquestioned,regardingtheauthenticityoftheinvestmentscale,differencesintheevaluationmethods,andshort-termconflictsbetweenthepracticeandrealworldsocialissues.Meanwhile,challengesareaccompaniedbynewopportunitiesforglobalsustainabledevelopment.First,despitethepressureofenergysecurityandeconomicrecoverythisyear,countriesstillhonortheircommitmentsundertheParisAgreement,andthetrendofgloballow-carbontransitionsremainsunchanged.Secondly,therehasbeensubstantialprogressintheglobalconvergenceofsustainabilitydisclosurestandards,highlightingtheimportanceofclimateissues.Inaddition,progresshasbeenmadebytheworld'smajoreconomiesoncommontaxonomyofgreeneconomicactivities,transitionfinanceframeworks,dataprocessingofESGfinancialproducts,anddevelopmentofcarbonmarkets.ThechallengesofsustainabledevelopmentandthedeficienciesinESGinvestmentarecontinuouslyimprovedandsolved.OnOctober27,theMinistryofEcologyandEnvironmentofthePeople'sRepublicofChinaissuedthe2022AnnualReportonChina'sClimateChangePoliciesandActions.Guidedbythespiritofthe20thNationalCongressoftheCPC,Chinahasimplementedanationalstrategytoactivelyaddressclimatechange,andhasincorporatedcarbonpeakandcarbonneutralityintotheoveralllayoutforecologicalcivilizationconstructionandthecountry'soveralleconomicEXECUTIVESUMMARYandsocialdevelopment.ThisstrategyshowstheworldChina'sresponsibilitytobuildacommunitywithasharedfutureformankind.Thereporttothe20thNationalCongressoftheCPCmadeanimportantclaimabouttheChinesepathtomodernization.Undertheessentialrequirementsofhigh-qualitydevelopment,commonprosperity,andharmonybetweenhumanityandnature,ESGhasbecomeanimportanttooltopromotethesustainabledevelopmentofthecountry.Forbusinesses,ESGprovideseffectivepracticedirectionandmeasurementforhigh-qualitydevelopment.Drivenbyrelevantnationalpolicies,businessesgraduallyintegrateESGintotheirdailyoperationsandestablishmodernenterprisesystemsinlinewithinternationalstandardsbycontinuouslyexploringChinesegovernancemodels.Forinvestors,withthecontinuousexpansionofESGassetsundermanagementandthegradualincreaseoftheeffectivenessofESGtopicsinevaluatingenterprisecompetitiveness,businesseswithbetterESGperformanceshavestrongercompetitiveadvantagesinthehigh-qualitydevelopmentstageofthenationaleconomy.Overall,ChinawilluseESGasalinkbetweenthefinancialsystemandtherealeconomy.Thisyear,thisreportwillcontinuetopresentthelatestprogressanddevelopmenttrendsofESGinvestmentinChina'sassetmanagementindustry.Thankyouforyoursupportandcooperationinwritingthisreport!ThankstotheexpertsandresearchersontheEditorialBoardfortheirhardwork!YuanZhihongNovember2022inBeijingI.ESGInvestmentDisclosurePractice1.1Disclosurepracticesofforeignassetmanagers1.1.1Europe1.1.2USA1.1.3Canada1.1.4Australia1.1.5Japan1.2DisclosurepracticesofChineseassetmanagers1.2.1MainlandChina1.2.2HongKong1.3DisclosurerecommendationsforassetmanagersII.DevelopmentofESGInvesting2.1DevelopmentofinternationalESGinvesting2.1.1UNPRIsignatories2.1.2GlobalESGFund2.2DevelopmentofdomesticESGinvestment2.2.1DomesticESGpublicfunds2.2.2DomesticcoreESGpublicfunds2.2.3DomesticESGindexes2.2.4DomesticESGbankwealthmanagementproducts2.2.5ESG-relatedresearchofdomesticsecuritiescompaniesIII.ESGDataandWeightDesign3.1ESGunderlyingdataclassification3.1.1Environmental(E)dimension3.1.2Social(S)dimension3.1.3Governance(G)dimension134568910111314161818202121232729303234343739CONTENTS3.2ComparativeresearchonweightdesignofESGratingindicators3.2.1Researchtopic3.2.2Researchapproach3.2.3Researchcontent3.2.4ConclusionsanddiscussionIV.EmpiricalResearchonESGRating4.1CorporateESGratingcorrelationandempiricalanalysis4.1.1OverviewandcorrelationofESGratingsofcompanies4.1.2EmpiricalanalysisofESGratingsandstockyield4.1.3EmpiricalanalysisofESGratingsandstockpricevolatility4.1.4EmpiricalanalysisofESGprimaryindicatorsandstockyield4.1.5EmpiricalanalysisofESGprimaryindicatorsandstockpricevolatility4.2FundESGratingcorrelationandempiricalanalysis4.2.1ESGratingmethodologyandcorrelationoffunds4.2.2EmpiricalanalysisofESGratingatfundlevelV.SurveyonESGInvestingintheChineseAssetManagementIndustry5.1Institutionalquestionnaire5.1.1Opinionsandunderstanding5.1.2Organizationalstructureandexternalresources5.1.3Strategyandanalysissystem5.1.4Productissuanceandperformance5.1.5Challengesanddirectionsforimprovement5.2Productquestionnaire5.2.1Clientportraitandstaffing5.2.2ESGstrategiesandratingsystems5.2.3EmphasisonESGandexcessreturnsAppendicesI.QuestionnairedesignmethodologyII.QuestionnairedistributionandcollectionReferences404041444850525254596166686871747777808587889090919396979797I.ESGInvestmentDisclosureinPracticeESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry20222ESGinvestmentdisclosurereferstotheprocessbywhichanassetmanagementinstitutionreportsinformationtousersaboutitsESGinvestmentmethodsandpracticeswithinagiventimeframe.Ontheonehand,thereisincreasingdemandfromclientsandstakeholdersforinformationrelatedtosustainabledevelopmentfromassetmanagers.Ontheotherhand,disclosureisanimportantwayforthelattertodemonstrateitsfudiciarydutytoclientsandotherstakeholders,improvecredibility,andguideinvestorsindecision-making.However,thereisnounifiedinternationalESGinvestmentdisclosureframework.ThissectionattemptstoproviderelevantdisclosuresuggestionsforChineseassetmanagersbysortingoutthedisclosurepracticesofassetmanagersinEurope,NorthAmerica,Canada,Australia,Japan,MainlandChina,andHongKong.Themainfindingsandconclusionsareasfollows:TheemphasesofdomesticandforeignESGinvestmentanddisclosurediffer.Foreigninstitutionsfocusmainlyonnetzero,racialandgenderequality,andlaborrights.Biodiversityhasalsobeengivenincreasingattentionwheresomeassetmanagersincludeitastheirprimaryfocusforshareholderengagement.Domesticinstitutionsfocusoncommonprosperity,ruralrevitalization,partyconstruction,andotherissuesmoresuitedtoChina'snationalconditions.Despitethesedifferences,bothdomesticandoverseasinstitutionsalignwiththeUnitedNationsSustainableDevelopmentGoals(SDG)toachieveSDGthroughESGinvestmentperformance.Allregionshavestrengthenedtheimportanceofclimatechange-relateddisclosures.Climatechangeisoneofthematerialissuesaddressedbyalmostallassetmanagers.SomeinstitutionshavenowpubliclysupportedtheTaskForceonClimate-RelatedFinancialDisclosure(TCFD)anddisclosedclimate-relatedinformationfollowingTCFDrecommendations.MostofthemprepareaseperateTCFDreport,someofthemaddressclimate-relatedinformationinsocialresponsibilityreports,andafewofthemdisclosewiththeirparentcompany.Onlyafewinstitutionscarryoutthird-partyassuranceofESGinvestmentprocessanddataonScope1,2,and3emissions.AsrequiredbyregulatorsintheUK,theUnitedStates,Canada,Australia,andChina,TCFDserveastheprimaryframeworkforclimate-relateddisclosure,andTCFDreportistheprimaryformofdisclosureglobally.Intermsofcontent,acompleteESGinvestmentdisclosureincludesbutisnotlimitedtoinvestmentoutcomes.Leadingdisclosurepracticesdistinguishtwotypesofdisclosedcontent:ESGinvestingmethodologyandpractice.AccordingtothedefinitionandprocessofESGinvesting,methodologycoverspoliciesandguidelinessuchasresponsibleinvestmentpolicy,stewardshippolicy,andenvironmentpolicy.Practicecoversinformationsuchasinvestmentoutcomes,listsanddetailsofshareholderengagement,votinghistory.Thedifferenceindisclosurequalityinvolvestheamountandfrequencyofdisclosure.Meanwhile,publicfundswillemphasizeonstewadshipperformanceintheirdisclosurescomparedwithotherassetmanagers.Intermsofform,anindependentlypreparedESGinvestmentreportisthemainformofpresentation.Throughtheirofficialwebsites,assetmanagersinEuropeandAmericapresentESGinvestmentmethodsandresultsinaResponsibleInvestmentReportoraStewardshipReport,andtheirtargetreadersareinvestmentpractitionersandclients.Inaddition,leadinginstitutionsalsopublishtheirESGinvestment-ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry20223relatedpoliciesontheirofficialwebsitesasseparatedocuments.Otherformsofdisclosureincludesustainabilityreportorsocialresponsibilityreport,withadditionalcontentcoveringthecompany'sownESGoperations.Atpresent,standardsfromtheSustainabilityAccountingStandardsBoard(SASB)andtheGlobalReportingInitiative(GRI)arecommonlyused.Intermsoffrequency,ESGinvestmentinformationisdisclosedatleastonceayear.BestpracticesshowthatESGinvestmentpoliciesareusuallyrevisedannuallyafterpublication,anddedicatedreportsareupdatedquarterly.Thebestpracticeofproxyvotingdisclosureispublishedasanonlineinquirysystemthedayafterthevote.InstitutionswithhigherdisclosurefrequenciescanpresentmoretimelyandtransparentESGinvestmentinformation.Currently,assetmanagersinEuropehavethebestdisclosurequality.InthecontextofmaturedevelopmentofESGinvestmentandmandatoryregulatoryrequirements,sustainabledevelopmentplaysanimportantroleinthemissionsofmostEuropeaninstitutions,alongwithmorecomprehensivedisclosures.EventhoughEuropeanassetmanagersgenerallypublishproxyvotingrecords,onlyafewnowdisclosethelogicalbasisbehindtheirvotes.InChina,ESGinvestingisstillinthedevelopmentphase.Therelevantregulatoryrequirementscurrentlyundergogradualstandardization,andtheawarenessofESGdisclosurealsograduallyformsinassetmanagementinstitutions.ThisreportsuggeststhatpublicdisclosureshouldstartwithESGinvestmentpoliciesintheformofdedicatedreportsduringtheinvestment.1.1DisclosurepracticesofforeignassetmanagersBasedonInvestment&PensionsEurope's2022ListofTopAssetManagersbyassetsundermanagementandrankingofleadingESGInvestorsfromMorningstarandShareAction,weselected15European,15American,3Canadian,3Australian,and3Japaneseinstitutionsassample.Table1ForeignAssetManagerResearchSampleRegionInstitutionEuropeAffirmativeInvestmentManagement,ImpaxAssetManagement,Robeco,StewartInvestors,AmundiAssetManagement,,BNPParibasAssetManagement,HSBCGlobalAssetManagement,JupiterAssetManagement,Legal&GeneralInvestmentManagement,Schroders,AXAInvestmentManagers,Comgest,NNInvestmentPartners,APGAssetManagement,AegonAssetManagementUSACalvert,Parnassus,FederatedHermes,NuveenAssetManagement,AllianceBernstein,WellingtonManagementCompany,BlackRock,Invesco,StateStreetGlobalAdvisors,CapitalGroup,J.P.MorganAssetManagement,BNYMellon,VanguardGroup,FidelityInternational,GoldmanSachsCanadaBMOGlobalAssetManagement,ManulifeInvestmentManagement,RBCGlobalAssetManagementAustraliaAustralianEthical,AltiusInvestmentManagement,MacquarieAssetManagementJapanAssetManagementOne,NomuraAssetManagement,NikkoAssetManagementESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry202241.1.1EuropeEuropehashadESGinvestingpracticesforalongtime,andhassoundpoliciestoimproveassetmanagers'disclosurequality.RecentlyissuedrelevantpoliciesincludetheShareholderRightsDirectiveII(2017Revision),whichstipulatesdisclosurerequirementsforengagementpoliciesandimplementation,andtheSustainableFinanceDisclosureRegulation(SFDR),whichbecameeffectiveinMarch2021andrequiredallassetmanagerstodiscloseESGconsiderationsintheirinvestmentdecisions.Intermsofenvironmentalinformationdisclosure,sinceApril2022,theUKbecomethefirstG20countrytopasslawsthatrequireassetmanagerstodiscloseenvironmentalinformationinlinewithTCFDrecommendations.Understrictregulations,theoveralldisclosuredepthandscopeofEuropeaninstitutionsarehigher.Amongthischapter'ssampleinstitutions,statisticsshowthatmostinstitutionsdiscloseinformationthroughdedicatedreports,suchasstewardshipreports.Theimportanceofclimatechangeincreased:12institutionsdisclosedclimateinformationinlinewithTCFDrecommendations,halfofthatinformationwaspresentedinsocialresponsibilityreportsorsustainabilityreports.10institutionsdisclosedvotingpoliciesorguidelinesandvotingresultstothepublic,5ofthemprovideddetailedexplanationsoftheirvotingrationale,andonlyonediscloseditsvotinginformationthedayafterthevote,othersdisclosetheirvotinginformationannually.Whilefocusingonclimatechange,someassetmangersalsoaddresspoliciesandsolutionsregardingbiodiversity.AsGRIsuggests,climateisamulti-dimensionaltopicthatrequirestobeaddressedwithissuessuchashumanrightsandbiodiversity.Amongbestpractices,Robecopublisheda100-pageSustainabilityReportthatisdividedintosixsectionsandhaveobtainedthird-partyassurance:companypresentation,annualoverview(results,financialinformation,andmaterialanalysis),approachtosustainability(strategies,governance,riskmanagement,SFDRcompliance),activeownership(stewardship,voting,engagement,andnegativescreening),sustainableinvestmentfocustopics(climate,biodiversity,humanrights,andSDG),andsustainablebusinessoperation.Amongotherthings,itsTCFDdisclosureisconductedasacross-referencetoindicateitslocationinotherpolicydocuments.Table2PublicDisclosuresofESGInvestingofSomeAssetManagersinEuropeRobecoBNPParibasAssetLegal&GeneralInvestmentManagementPrimaryassetclassundermanagementListedequityListedequityFixedincomeESGinvestmentRelevantpoliciesSustainabilitypolicy,sustainableriskpolicy,andexclusionpoliciesESGintegrationguidelines,Globalsustainabilitystrategy,industrypoliciesGlobalcorporategovernanceandresponsibleinvesmentprinciples,sustainabledevelopmentpoliciesNegativescreening√√√ESGintegration√√√Thematicinvestment√√√ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry20225Note:DatacollatedasofJune30,2022Source:PublicinformationRobecoBNPParibasAssetLegal&GeneralInvestmentManagementStewardshipRelevantpoliciesStewardshippolicies,votingpolicies,andengagementpoliciesStewardshippolicies,governanceandvotingpolicies-ProxyvotingrecordsNextdayAnnuallyMonthlyVotingdetailsOnlyforvotesagainst-OnlyforvotesagainstEngagement√√√ResponsetoclimatechangeRelevantpolicies2050netzeroroadmapBiodiversityroadmapClimatechangepolicy,biodiversitypolicyEnvironmentalinformationreportsBasedonTCFDrecommendationsinannualsustainabilityreport-TCFDreport(includingassuranceonScope1,2,and3emissions)FormofdisclosureDedicatedreportsAnnualstewardshipreport,quarterlyactiveownershipreportAnnualstewardshipreport,annualvotingreport,semi-annualsocialresponsibilityreportQuarterlyESGimpactreport,monthlyvotingreport,andannulactiveownershipreportComprehensivereportsAnnualsustainabilityreportAnnualsustainabilityreportSocialresponsibilityreportTable2PublicDisclosuresofESGInvestingofSomeAssetManagersinEurope（continued）1.1.2USATheUnitedStatesSecuritiesandExchangeCommission(SEC)issueditsproposedclimate-relateddisclosurepolicyinMarch2022,requiringcompaniestodiscloseclimate-relatedriskgovernanceinformationinlinewithTCFDrecommendationsintheirregistrationreportsandperiodicreports.MeanwhileinAugust2022,theAmericangovernmentpassedthelargestclimateinvestmentactinitshistory,indicatingafutureclimate-centeredESG-relateddisclosuretrends.Thedisclosurequalityofthe15Americanassetmanagersinthisstudysamplediffered,andthedisclosurescopewasnotrelatedtotheirassetsundermanagement(AUM).ComparedwithEuropeaninstitutions,fewerAmericaninstitutionsdisclosurepoliciesandoverviewreports.Only5institutionsdisclosedrelevantpoliciesaboutESGinvestingmethods,nineinstitutionsdisclosedproxyvotingpolicies,and3institutionsmentionedESGinvestingintheirsustainabilityreportsorsocialresponsibilityreports.Onthetopicofclimate,11institutionsdiscloseddedicatedclimatereportsorTCFDreportsbasedonTCFDreocmmendations,3ofwhichpublishedtheirfirstreportin2022,andonlyBlackRockassureditscarbonemissionsdatabyathirdparty.ItisworthmentioningthatNuveenAssetManagementdisclosedtheirproxyvotingrationaleformorethan300S&P500companiesofwhichithassharestostrengthentransparency.Itincludedcompanynames,industries,meetingdates,resolutions,categoriesofshareholderresolutions,managementvotingrecommendations,votinginstructions,votingprinciples,andreasonsforvoting.ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry20226Table3PublicDisclosuresofESGInvestingofSomeAssetManagersintheUnitedStatesBlackRockNuveenAssetManagementStateStreetGlobalAdvisorsPrimaryassetclassundermanagementFixedincomeFixedincomeListedequityESGinvestmentRelevantpoliciesESGinvestmentpoliciesPrinciplesforresponsibleinvestmentoftheparentcompanyPrinciplesforresponsibleinvestmentPositivescreening√-√Negativescreening√-√ESGintegration√√√Thematicinvestment√√√StewardshipRelevantpoliciesPrinciplesforglobalstewardshipPrinciplesforproxyvotingoftheparentcompanyGlobalandregionalvotingguidelinesHistoricalproxyvotingAnnuallyQuarterlyQuarterlyVotingdetailsMajorannualvotingVotingdetailsforS&P500-Engagement√√√ResponsetoclimatechangeRelevantpolicies--Climate-relateddisclosurerequirements,disclosurerequirementsforclimatetransformationplansEnvironmentalinformationreportsTCFDreport(includingtheassuranceofScopes1,2,and3emissions)-TCFDreportFormofdisclosureDedicatedreportsOverviewofglobalEngagementAnnualstewardshipreports,globalfixedincomeimpactreports,andannualrealestateESGreportsQuarterlystewardshipreports,andannualvotingoverviewreportsComprehensivereportsSustainabilityreport--Note:DatacollatedasofJune30,2022Source:PublicinformationInaddition,StateStreetGlobalAdvisorsfocusedonthelistsofengagemententerprisesandtopicsinresponsetoclimatechange.Italsopublisheditsdisclosurerequirementsandcarbondatameasurementmethodsforclimatetransformationschemesoftheinvestedenterprisesforalow-carbontransformation,andtheinformationitobtainsreflectsthewayitassessestheabilityofacompanytocopewithclimatechange.Unlikemostinstitutionswithaparentcompany,StateStreetGlobalAdvisorsseesdifferentrisksandopportunitiesinitsassetmanagementbusinessfromthoseofitsparentcompanyandhaspublishedaseparateTCFDreport.1.1.3CanadaInJanuary2021,theCapitalMarketsModernizationTaskForceinOntario,Canada,issuedtheCapitalMarketModernizationTaskForceFinalReportandrecommendedthatlistedcompaniesdisclosetheirmanagementinformationonclimate-relatedrisksthroughtheTCFDframework.InApril2022,theESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry20227Table4PublicDisclosuresofESGInvestmentofSomeAssetManagementInstitutionsinCanadaBMOGlobalAssetManagementManulifeInvestmentManagementRBCGlobalAssetManagementPrimaryassetclassundermanagementListedequity,fixedincomeListedequityFixedincomeESGinvestmentRelevantpoliciesESGpolicystatement-ResponsibleinvestmentmethodPositivescreening-√-Negativescreening√√√ESGintegration√√√Thematicinvestment√√√Impactinvestmentmethod--√StewardshipRelevantpoliciesStewardshipmethodandEngagementpoliciesProxyvotingpoliciesProxyvotingguidelinesHistoricalproxyvotingQuarterlyAnnuallyQuarterlyVotingdetails---Engagement√√√ResponsetoclimatechangeRelevantpolicies-ClimatechangestatementResponsetoclimatechangeEnvironmentalinformationreportsTCFDreports(nodataoncarbonemissions)TCFDreports(includingtheassuranceofScope1,2,and3emissions)TCFDreports(includingtheassuranceofScope1,2,and3emissions)FormofdisclosureDedicatedreportsStewardshipreports,responsibleinvestmentreviewStewardshipreportsImpactinvestmentreports,corporategovernance,andresponsibleinvestmentreportsComprehensivereports-ESGreport,sustainabilityreport-GovernmentofCanadaindicatedthatitplanstorequirefinancialinstitutionstodiscloseTCFDclimaterisk-relatedfinancialinformationbeginninginearly2024.InstituteforSustainableFinance(ISF)pointedoutthatnetzeroemissionisamajorconcernforCanadianassetmanagers.InthecontextofCOVID-19,socialtopicssuchasdiversity,equality,andinclusionalsobecamemoreimportant.ThreeinstitutionsinthisreportdisclosedtheirstewardshippoliciesandTCFDreports,buttheydidnotgivedetailedexplanationsonproxyvoting.ItisworthmentioningthatBMOGlobalAssetManagementwastheonlyinstitutioninthestudysamplethatdisclosedthewayitsupervisedexternalmanagers,anditsresponsibleinvestmentreviewreportsalsocitednumerouscasestojustifyitsESGinvestmentpractices.Inaddition,RBCGlobalAssetManagement,initsResponsibleInvestmentReport,notonlypresentedESGinvestingoutcomes,butalsoshareditsresearchrelatingESG.Note:DatacollatedasofJune30,2022Source:PublicinformationESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry20228Table5PublicDisclosuresofESGInvestmentofSomeAssetManagementInstitutionsinAustraliaAustralianEthicalAltiusInvestmentManagementMacquarieAssetManagementPrimaryassetclassundermanagementListedequityFixedincomeFixedincomeESGinvestmentRelevantpoliciesAustralianEthicalInvestment'sArticlesofAssociationandinvestmentpoliciesanditspositiononESGkeytopicsCashandfixed-interestsustainablepolicies-Positivescreening√--Negativescreening√√√ESGintegration-√√Thematicinvestment√--1.1.4AustraliaAfterreviewofrelevantpolicies,theAustralianSecuritiesandInvestmentCommissionissuedtheDisclosureGuidelinesontheCompanyAct1013DAin2011,whichstipulatedtheESGinformationrequiredfordisclosurebylistedcompaniesintheirinvestmentproducts.InNovember2021,theAustralianPrudentialRegulationAuthority(APRA),Australia'sfinancialsecurityregulator,issuedthePrudentialPracticeGuideCPG229ClimateChangeFinancialRisks,whichadvisesfinancialinstitutionstocarryoutclimateriskmanagementassoonaspossibleandprovideguidanceontheirclimate-relatedfinancialriskdisclosures.AccordingtoareportbytheResponsibleInvestmentAssociationAustralasia(RIAA)in2022,84%ofAustralianassetmanagerspublishedtheirESGinvestingpolicies,manyAustralianformulatedorupdatedtheirstewardshippoliciesin2021andimprovedtheirstewardshipdisclosure.Intermsoftopicsofconcern,climateremainsthemostcriticalissue,withgenderdiversityandwomenempowermentjumpingfromtenthtosixthplaceinimportancein2021.Ofthethreesampleinstitutions,AustralianEthicalwasoutstandinginMorningstar'sESGinvestingrankingsasitdisclosedinvestmentpolicies,detailedexplanationsonproxyvoting,stewardshipreports,andotherinformation.Inaddition,itisworthmentioningthatAustralianEthicalpublisheditspositionon39industrialandESGtopicsonitsofficialwebsite.Forexample,itproposeda2040carbonreductiontargetanda2030climateinvestmenttargetintermsofclimatechangeandproposedathresholdforinvestmentinfossilfuelindustries.MacquarieAssetManagementconductedadetailedanalysisofcasesinitssustainabilityreports,coveringthechallenges,interactivecontentandresults,andgainsfromthosecasesoftheinvestedenterprises.Macquarie'sclimateinformationwasdisclosedjointlywithMacquarieGroup.Unliketheaforementionedtwoinstitutions,AltiusInvestmentManagementrankedattheforefrontofMorningstar'sESGinvestmentrankings,butitmadefewerpublicdisclosureswithoutsigninguptotheUnitedNationsPrinciplesforResponsibleInvestment(UNPRI)oranyotherorganizations.ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry20229AustralianEthicalAltiusInvestmentManagementMacquarieAssetManagementStewardshipRelevantpoliciesProxyvotingpolicy--HistoricalproxyvotingAnnually-AnnuallyVotingdetailsOnlyonsomevotesagainst--Interactivepractices√-√ResponsetoclimatechangeRelevantpoliciesPositiononclimateactions--EnvironmentalinformationreportsTCFDreport(includingtheassuranceofScope1,2,and3emissions)--FormofdisclosureDedicatedreportsSemi-annualstewardshipoverview,annualSDGreports-AnnualstewardshipreportsComprehensivereportsAnnualsustainabilityreportQuarterlysustainabilityreportAnnualsustainabilityreportTable5PublicDisclosuresofESGInvestmentofSomeAssetManagementInstitutionsinAustralia（continued）Note:DatacollatedasofJune30,2022Source:Publicinformation1.1.5JapanTheGuidanceforCollaborativeValueCreationissuedbyJapanin2017requiresassetmanagerstofocusonincorporatingESGconsiderations,andtheStewardshipCoderevisedin2017requiresassetmanagerstoformulateanddisclosestewardshippolicies,votingpolicies,andstewardshipandvotingpractices.Inthiscontext,threeJapaneseinstitutionsinthisstudysampleillustratedtheimportanceofidentifying,considering,andaddressingESGtopicstofulfillfiduciaryduties,createadditionalinvestorvalue,andstrengthencapitalmanagementcapacitiesandalsodisclosedtherelevantpoliciesandreports.AccordingtothesurveyissuedbytheJapanSustainableInvestmentForum(JSIF)in2022,52JapaneseassetmanagerssurveyedformulatedESGinvestment-relatedpolicieswithintheircompanies,morethan94%ofwhichdisclosedsuchpoliciestothepublic.Intermsofshareholderengagement,thetopicsofmostconcerntotherespondentsarecarbonemissiondisclosures,TCFD-relatedactions,diversificationpromotionmeasures,boardeffectivenessevaluation,andsupplychainmanagement.SomeenterprisessaidthatcarbonemissionandTCFDwerethetopicsincludedintheinteractivecontentoverthepasttwoyears,whichindicatethatJapaneseenterpriseswillattachimportancetocopingwithclimatechangethisyear.Asanoutstandingcase,the2021SustainabilityReportofAssetManagementOnecontains16pagesofstatementsonthesubstantiveanalysismethodology.Whendiscussingitskeysubstantiveareas(i.e.,climatechange,biodiversityandenvironmentaldamage,humanrights,andhealthandwell-being),AssetManagementOnemadeastatementintermsoftheimportance,potentialpositiveimpact,risks&opportunitiesofrelatedinvestments,andinteractivecasesofstakeholders.DisclosuresinlinewiththeTCFDframeworkwereembeddedinthepresentationofclimatechangebyAssetManagementOne.Inaddition,whendisclosinginformationrelatedtostewardship,AssetManagementOneconductedaself-ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry202210assessmentofthepreviousyears'workandstewardshipwithinthereportingperiodandbrieflystatedthefutureworkarrangementusingthe"Plan,Do&Check,Action"framework.Table6PublicDisclosuresofESGInvestmentofSomeAssetManagementInstitutionsinJapanAssetManagementOneNomuraAssetManagementNikkoAssetManagementPrimaryassetclassundermanagementListedequityListedequityListedequityESGinvestmentRelevantpolicies-ESGstatements,basicpoliciesforresponsibleinvestmentmanagementFiduciaryandESGprinciples,responsibleinvestmentpoliciesNegativescreening√--ESGintegration√√√Thematicinvestment---StewardshipRelevantpoliciesProxyvotingpoliciesProxyvotingpoliciesInteractiveandstewardshippoliciesHistoricalproxyvotingQuarterlyQuarterlyQuarterlyVotingdetails--OnlyonnegativevotesEngagement√√√ResponsetoclimatechangeRelevantpolicies--StatementofpositiononclimatechangeEnvironmentalinformationreportsTCFDreportsTCFDreportsTCFDreportsFormofdisclosureDedicatedreportsStewardshipreportsProxyvotingreports,responsibleinvestmentreports-ComprehensivereportsSustainabilityreport-SustainabilityreportNote:DatacollatedasofJune30,2022Source:Publicinformation1.2DisclosurepracticesofChineseassetmanagersConsideringthestateofdevelopmentofESGinvestinginChina,fewerChineseassetmanagerswereincludedintheinternationalESGinvestmentrankings.Therefore,ChineseassetmanagersampleswereselectedfromUNPRIsignatories.InMainlandChina,73assetmanagersthatsignedUNPRIbeforetheendofJune2022wereselectedforthisreport,whichattemptedtosummarizethedisclosuretrendofChina'sESGinvestingmarket.InHongKong,thenumberTable7HongKongAssetManagerResearchSampleRegionHongKongInstitutionAsiaDebtManagementHongKongLtd.,OrchidAsiaHongKongManagementCo.,Ltd.,NewQuestCapitalPartners,ARCHCapitalManagementCo.,Ltd.,LongtouCapitalManage(HK)Co.,Limited,MBKPartners,KerogenCapital,MiraeAssetGlobalInvestments(HongKong)Ltd.,AIFCapital,AdvantagePartners,BrawnCapitalLimited,WelkinCapitalManagement,NexusPoint,AffinityEquityPartners,LinkRealEstateInvestmentTrust,AllardPartners,JKCapitalManagementLimited,CLSACapitalPartnersLimited,EssenceAssetManagement(HongKong)Limited,AvantFaireInvestmentManagementLimitedESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry202211Table8ESGInvestmentDisclosuresofUNPRISignatoriesinMainlandChinaPublicfundsPrivatefundsOthersTotalUNPRIsignatories21341873Thefollowinghasbeendisclosed:ESGinvestmentreports1--1ESGreports-213AnnualreportsorsocialresponsibilityreportsmentionningESGinvesting2-13ReportsinlinewithTCFDrecommendations----Targets,planning,androadmapofcarbonneutrality3--3ESGinvesting-relatedguidelinesorpolicies5117IntroductoryinformationonESGapartfromtheabove22-4Total1353-Note:Othersincludebankassetmanagementinstitutions,venturecapitalinstitutions,andcomprehensiveassetmanagementinstitutionsSource:PublicinformationofassetmanagersthatsignedUNPRIincreaseddramaticallysince2019,andinthisreport,20UNPRIsignatoriesbefore2019wereselectedassamples.1.2.1MainlandChinaThereisnocurrentmandatoryrequirementforESGinvestingdisclosureinChina.ThePeople'sBankofChinaissuedtheGuidelinesforFinancialInstitutionsEnvironmentalInformationDisclosureinJuly2021,whichstipulatedtheprinciples,forms,andcontentofthedisclosureandencouragedfinancialinstitutionstodiscloseenvironment-relatedinformationatleastannually.InJune2022,theChinaBankingandInsuranceRegulatoryCommissionissuedtheGuidelinesonGreenFinancefortheBankingandInsuranceIndustries,andsuggestedthatbankingandinsuranceinstitutionsshouldimplementgreenfinanceinvestmentpolicies,institutionalgovernanceframework,post-investmentmanagement,andsustainabledevelopmentofinstitutionswithinoneyear,publiclydisclosegreenfinancestrategies,policies,anddevelopment,andconductathird-partyauditverificationasappropriate.TheoverallESGinvestmentpracticeofassetmanagementinstitutionsinMainlandChinaisstillinitsinitialdevelopmentstage,withadditionalinvestmentdisclosurescomingsoon.Amongthe73UNPRIsignatories,ESGmethodologywasthemostpopulartypeofdisclosurecontent.Nearly10%ofassetmanagementinstitutionsdisclosedtheirresponsibleinvestmentpolicies,votingpolicies,orengagementpolicies,mostofwhichwerepublicfunds.WithdifferentformsofESGinvestingdisclosures,fewinstitutionsintroducedaspecificprocessandstrategyofESGinvesting.Currently,onlySouthernAssetManagementissuedindependentESGinvestingReportsandmadenearly70pagesofstatementsonitsESGinvestingmanagement,solutions,riskmanagementmethods,effectiveness,anditsownESGperformance.ThreeassetmanagersdisclosedESGinvestingmanagementandresultsandtheirownESGoperationsintheirESGreports.Threeassetmanagementinstitutionsdisclosedtherelevantcontentintheformofsocialresponsibilityreportsandannualreports.ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry202212Table9PublicDisclosuresofESGInvestmentofSomeAssetManagementInstitutionsinMainlandChinaSouthernAssetManagementOrientSecuritiesGuoyuanSecuritiesPrimaryassetclassundermanagementFixedincome--ESGinvestmentRelevantpolicies-ESGriskmanagementstatement,responsibleinvestmentstatementGuidelinesonresponsibleinvestmentPositivescreening√√√Negativescreening√√√ESGintegration√√√Thematicinvestment√√√StewardshipRelevantpolicies---HistoricalproxyvotingIntegrateddataandindividualcases--Votingdetails---Engagement---ResponsetoclimatechangeRelevantpoliciesCarbonneutralityactionplansofSouthernAssetManagementCarbonneutralitytargetsandactionplansofOrientSecurities-Environmentalinformationreports-DescriptionsinsocialresponsibilityreportsbasedontheTCFDframeworkDescriptionsinESGreportsbasedontheTCFDframeworkFormofdisclosureDedicatedreportsESGinvestmentreports--Comprehensivereports-SocialresponsibilityreportsAnnualESGreportsDuetodifferentunderstandingsofESGconceptsinChinaandabroad,ESGinformationdisclosuresbyassetmanagersinMainlandChinahaveChinesecharacteristics,includingafocusonthecorelocaltopicsofESG.Thekeytopicsonintra-companymanagementofSouthernAssetManagementincludepartyconstruction,intellectualpropertyprotection,andanti-moneylaundering.AsthefirstChineseassetmanagerthatjoinedUNPRI,JDCapitalhasincludedequityinvestmentdataforruralrevitalizationandcommonprosperity(boostingeconomicgrowthandsupportingsmallandmedium-sizedenterprises)initsannualreportssince2016.Onthetopicoftheenvironment,assetmanagersinMainlandChinaprimarilyusea"carbonpeakingandcarbonneutrality"startingpoint,butneedimproveddisclosureofclimategovernance.Atpresent,Aegon-industrialFundManagementCo.,Ltd.hasdisclosedthemostcomprehensivecontentonthistopic,includingawhitepaperoncarbonneutralitythatcontainsacarbonneutralitydeclaration,carbonneutralityplanning,andrealizationpath.NoneofthenineUNPRIsignatoriessupportingtheTCFDhasreleasedaseparateTCFDreport.TheResearchReportonClimatePerformanceofChineseAssetManagementInstitutions(2022)alsopointedoutthatassetmanagementinstitutionsneedtostrengthentheclimateriskmanagementstructureandmethodandriskimpactassessment.InthecontextofChina's"carbonneutrality"and"carbonpeaking",addressingclimatechangeandreducingcarbonemissionswillbeoneofthecorethemesoffutureESGinvestmentsanddisclosuresbyassetmanagementinstitutionsinMainlandChina.Note:DatacollatedasofJune30,2022Source:PublicinformationESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry2022131.2.2HongKongOntheregulationlevel,HongKongExchangesandClearingLimited(HKEX)revisedapreviouslyissuedESGReportingGuidein2019.ListedcompaniesemphasizedthedisclosureofESGresponsibilitiesoftheBoardofDirectorsbasedontheprincipleof"complyorexplain"anddisclosedclimate-relatedinformationinaccordancewithTCFD.InNovember2021,HKEXpointedout,intheReportingonTCFDrecommendations-GuidanceonClimateDisclosures,thatitintendstoforcelistedcompaniestomakeclimate-relatedinformationdisclosuresinlinewithTCFDrecommendationsby2025,anditalsoencouragestheimplementationofTCFDreportsassoonaspossible.Amongthe20assetmanagersinHongKongthatjoinedUNPRIbefore2019,mostareprivatefundsandprimarilydiscloseESG-relatedpoliciestothepublic.Nineassetmanagersdisclosedtheirresponsibleinvestmentpolicies,threeassetmanagersdisclosedtheirproxyvotingpolicies,andonediscloseditssustainabilityandresponsibleinvestmentreports.Inthiscontext,fiveinstitutionsprovidedaccesstotheUNPRIannualtransparencyreportontheirofficialwebsites.Intermsofenvironmentalinformationdisclosure,ofthethreeinstitutionsthatsupportTCFD,twodisclosedtheTCFDenvironmentaldisclosures,andthreedisclosedtheirenvironmentalorbiodiversitypolicies.Specifically,AsiaDebtManagementHongKongLtd.(ADMCapital)isthefirstfundcompanyinAsia(excludingJapan)tojointheUNPRI.Initssustainabilityreport,ADMCapitalprovideddetailedinformationonESGintegrationbasedonresponsibleinvestmentpolicies,teambuilding,andESGinvesting.Thisreporthasaseparateenvironmentalsectionshowingtheportfolio'scarbonfootprint,zero-emissionattitude,andinformationdisclosureinlinewithTCFDrecommendations.Inaddition,MiraeAssetGlobalInvestments(HongKong)Ltd.discloseditsESG-relatedresearchresourcesbyprovidingaweblinkattheendoftheresponsibleinvestmentreportthatincludedindustryresearchpublishedduringthereportingperiod,ESGfieldperspectives,ESGpresentations,andvideosofpreviousESGsummits.Table10PublicDisclosuresofESGInvestingofSomeAssetManagersinHongKongAsiaDebtManagementHongKongLtd.MiraeAssetGlobalInvestments(HongKong)Ltd.AdvantagePartnersPrimaryassetclassundermanagementFixedincomeListedequityPrivateequityESGinvestmentRelevantpoliciesESGpolicyResponsibleinvestmentpolicyESGpolicyPositivescreening-√-Negativescreening√√√ESGintegration√√√Thematicinvestment√--StewardshipRelevantpoliciesStewardshipandengagementpoliciesStewardshiprules,votingandengagementpolicies-Historicalproxyvoting-Semi-annualoverview-Votingdetails---Engagement√√-ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry202214Table11DisclosureContentRecommendationsforAssetManagers'ESGInvestmentReportTopicMethodologydisclosurecontentPracticedisclosurecontentCompanyoverview-Leader'sspeechInvolvementofexternalorganizationsAwardsESGinvestinggovernanceframeworkPostsettingandtrainingmechanismInternalresearchpapersExternalserviceprovidersAsiaDebtManagementHongKongLtd.MiraeAssetGlobalInvestments(HongKong)Ltd.AdvantagePartnersResponsetoclimatechangeRelevantpoliciesClimatechangestatement--EnvironmentalinformationreportsTCFDreportsTCFDreports-ReportingformDedicatedreports(Privatelyraisedbonds)annualsustainabilityreportsAnnualvotingreports,annualresponsibleinvestmentreports-Non-financialcomprehensivereports---Table10PublicDisclosuresofESGInvestingofSomeAssetManagersinHongKong（continued）Note:DatacollatedasofJune30,2022Source:Publicinformation1.3DisclosurerecommendationsforassetmanagersAccordingtothe2022GlobalESGStudyoftheCapitalGroup,54%oftheglobalassetmanagerssurveyedbelievethattransparentESGinvestment-relatedinformationeffectivelypreventsassetmanagersfrom"greenwashing".Therefore,makingactive,multi-dimensional,andaccurateESGinformationdisclosuresreflectthecompetitiveadvantagesofassetmanagersanddemonstratetheircommitmenttosustainabledevelopmentandESGinvestingresults.However,regardingESGinvestingofChineseassetmanagers,theBostonConsultingGrouppointedoutthatthelackofaunifiedstandardformeasuringanddisclosingtheperformanceofESGinvestmentsrepresentsasignificantchallenge.ThisreportattemptstoputforwardaframeworkforcompilingESGinvestmentreportssuitableforChineseassetmanagementinstitutions.AcomprehensiveESGinvestingdisclosurecontentcanbedividedintothreecategoriesreferringtointernationalleadingpracticesandUNPRIreportingstandards.Thefirstisacompanyoverview;thesecondisamethodologybasedonpoliciesandsystemdocuments;thethirdispracticeinformationfocusingonshowingpracticecontent,performance,andimpact.ThesethreecategoriescanbecentrallydemonstratedintheESGinvestingreport,andthespecificcontentofindividualsectionsweredisclosedindetailasseparatedocuments,e.g.,ESGinvestingpolicies.ESGInvestmentDisclosurePracticeAnnualReportonESGInvestinginChina'sAssetManagementIndustry202215TopicMethodologydisclosurecontentPracticedisclosurecontentESGinvestmentESGinvestingstrategyESGmaterialityanalysisandkeyissues-ESGinvestment-relatedpoliciesESGinvestingprocessESGinvestment-relatedproductsandservicesAchievementofsustainabilitygoalsStewardshipPositionsonshareholderengagementpolicyandkeytopicsShareholderengagement,engagementlistandtopics,andcasesProxyvotingpolicy,votingguidelines,andexpectationsforinvesteecompaniesProxyvotingrecordsandrationale,shareholderproposals,andcasesEnvironmentaltopicsClimatechangepolicyBiodiversitypolicyTCFDreportsTable11DisclosureContentRecommendationsforAssetManagers'ESGInvestmentReport(Continued)ChineseassetmanagersareadvisedtoactivelydisclosetheprogressofESGinvestment-relatedwork.IntheinitialstageofESGpracticeinChina,assetmanagerswereadvisedtofirstformulateanddiscloseESGinvestingstrategiesandpolicies(includinggovernancestructureandESGinvestmentprocess),thenprepareESGinvestingreportsbasedontheimplementationofESGinvesting,anddisclosethepracticeatleastannually.IfaninstitutionhasjoinedarelevantindustryorganizationsuchasUNPRI,itshouldpublishatransparencyreportsubmittedtotheorganizationonitsofficialwebsiteatthesametime.IfaninstitutionintendstodiscloseESGinvestmentinformationbyreleasingsocialresponsibilityorsustainabilityreports,theSASBorGRIframeworkmaybeused.ItshouldbenotedthatESGinvestmentdisclosureshouldfocusonspecificactionsandimpactsofinstitutions,usingspecificcasesandquantifiableindicatorstoavoidadisconnectbetweendisclosureandreality.Anewandinformativedisclosureframeworkwillbeintroduced.BasedontheTCFDframework,theInternationalSustainabilityStandardsBoard(ISSB)issuedExposureDraftIFRSS1—GeneralRequirementsforDisclosureofSustainability-relatedFinancialInformationandExposureDraftIFRSS2—Climate-relatedDisclosures.TheISSBalsoplanstointroduceESGdisclosurestandardsbytheendof2022,expectedtopromoteinternationalharmonizationonESGdisclosures.Additionally,accordingtotheWorldEconomicForum'sGlobalRisksReport2020,biodiversityisamongthetopfiverisksforthenextdecade.ByestablishingtheTCFDin2022,itmayprovideacommonriskmanagementanddisclosureframeworkforassetmanagementinstitutions.TheimportanceofsupportingTCFD,acceleratingtheestablishmentandimprovementofariskgovernancestructure,riskidentificationandmanagementandkeyindicatorshaveonceagainbeenemphasized.ThiswillalsohelplayagoodfoundationforsubsequentESG-relatedwork.II.DevelopmentofESGInvestingDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202217Fromaglobalperspective,thissectionsummarizestheinternationalsustainableinvestmentdevelopmentbasedontwofactors:UNPRIsignatoriesandglobalsustainablefunds.Domestically,ESGpublicfunds,ESGindexes,andESGwealthmanagementproductsofbanksareintroduced,andthestatusquoofESGresearchdevelopmentisanalyzedthroughinterviewswithsecuritiescompanies.Themainfindingsandconclusionsareasfollows:GlobalESGinvestorpracticeshaveseensignificantgrowth,primarilyinNorthAmericaandAsia-Pacific.Asofthebeginningof2021,morethan3,800institutionshadsignedtheUNPRI,andtheassetsundermanagement(AUM)ofthesignatoryinstitutionsamountedtoUSD121.3trillion.Comparedwithassetowners,assetmanagersandserviceproviderscontributedmoretotheincreaseofsignatoriesinrecentyears.Fromaregionalperformanceperspective,contributionsfromNorthAmericaandAsia-Pacifictoincrementalsignatoriescontinuedtogrow.NorthAmericaandAsia-Pacificcontributed28%and19%oftheincrementalsignatories,respectively,inthefirsthalfof2022.InMainlandChina,inadditiontoprivatefunds,assetmanagerssuchasinsuranceassetmanagementcompanies,bankwealthmanagementdepartments,andpublicfundshavealsojoinedtheUNPRIandbeguntopracticeESG.Asia(excludingJapan)ranksthirdintermsofthenumberofsustainablefunds,whichshowsapositivedevelopmenttrend.Thenumberofglobalsustainableinvestmentfundsreachedanall-timehighinQ32021.Duringthatsameperiod,newsustainablefundslaunchedinChinaledtoa69%increaseintheAUMofsustainablefundsinAsia(excludingJapan).Excludingsuspected"greenwashed"products,thenumberofglobalsustainableinvestmentfundsdeclinedto5,932inQ42021withassetsofUSD2,744.3billion.AdownwardtrendwasparticularlyevidentinEurope,whileotherregionsmaintainedtheirgrowth.AttheendofJune2022,theglobalcapitalinvestedinsustainableinvestmentfundsdecreasedduetogeopoliticalconflictsandglobalassetpricefluctuations,whilethescaleofsustainableinvestmentfundsinAsia(excludingJapan)remainedlargelystable,andmaintainsthirdplaceworldwide.MostdomesticESGpublicfundsareactiveandequityinvestmentfunds,andatrendthatrankscoreESGpublicfundsbydownsideriskandinformationratioweresuperiortothoseinthesamecategory.In2020,thescaleofESGpublicfundsgrewsignificantlyafterPresidentXiJinpingsolemnlyannouncedattheUnitedNationsGeneralAssemblythatChinawillstrivetoachievepeakofcarbonemissionsby2030andcarbonneutralityby2060.Intermsoffundtypes,activeandstockfundspredominateamongESGpublicfunds.Intermsofperformance,attheendofJune2022andcomparedwiththeperformanceoverthepreviouseighteenmonths,theproportionofcoreESGfundsrankedbydownsideriskandinformationratioexceededthemedianofthoseinthesamecategoryoverthepasttwotothreeyears.TheproportionofcoreESGfundswithaSharperatioabovetheperformancebenchmarkexceeded50%overthepasttwotothreeyears.ThelargescaleofChineseESGbankwealthmanagementproductsisanimportantforceinESGpractices.AttheendofJune2022,accordingtothelateststatisticsfromLhzhiping.com,atotalof276ESGbankwealthmanagementproductswerelaunchedinthedomesticmarket,raisingoverRMB150billion.IntermsofESGstrategy,ESGbankwealthmanagementproductsmainlyinvestedinindustrieslikegreenDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202218development,cleanenergy,energyconservation,environmentalprotection,consumptionupgrading,healthandmedicine,ruralrevitalization,inclusivefinance,andsupportforsmallandmicroenterprises,whichreflectedthethemeofgreenupgradesandpromotedhigh-qualityeconomicdevelopment.Intermsofassetallocation,65.7%ofESGbankwealthproductsarefixed-incomeassets,and33.5%aremixedassets.TheESGpracticeofbankfinancingsubsidiariesinbondinvestmentwillacceleratetheintegrationofdomesticfixedincomeESGinvestment.ChinesesecuritiescompanieshavejoinedtheESGecosystemandcontributetotheanalysisandprocessingofESGinformation.Securitiescompaniesareimportantserviceprovidersintheinvestmentmarket,andtheirparticipationintheanalysisandprocessingofESGinformationfacilitatesconsideringESGfactorsintheinvestmentprocess.FocusingonChina,someresearchespromoterelevantresearchduetotheimportanceshareholdersattachtogreenfinance;someconductESGperclientcommissions,indexconstruction,andESGmateriality-relatedresearchneeds.Intermsofresearchcontent,mostrelatedresearchesfocusonESGinvestingconceptsandmarketdevelopmenttrends,andindexandevaluationsystemconstruction.ESGandinformationdisclosure,asthebasisofESGratingandinvestmentapplication,isakeymarketconcern.RegardingthedevelopmentdirectionofESGresearch,somesecuritiescompaniesbelievethatmoreindustrieswillconsiderESG,whileothersfeelESGindexesmaybecomeimportantbenchmarksforperformancecomparisonandtrackingindexes.2.1DevelopmentofinternationalESGinvesting2.1.1UNPRIsignatoriesUNPRIisthemostinfluentialresponsibleinvestororganizationintheworld,committedtodevelopingamoresustainableglobalfinancialsystemandimplementingsixresponsibleinvestmentprinciplesintheinvestmentfield.BybecomingaUNPRIsignatory,anAssetOwner,AssetManager,orServiceProvidercommitstoconsiderESGfactorsininvestmentandownershipdecisionmaking.Therefore,UNPRIsignatoriesandAUMreflectglobalESGawarenessandfuturedevelopmenttrends.ThenumberofUNPRIsignatoriesandtheirAUMcontinuetogrow.Asofthebeginningof2021,morethan3,826institutionsFig.1NumberofUNPRISignatoriesandTheirAUMAUMofallsignatories(USDtrillion)(leftaxis)AUMofassetowners(USDtrillion)(leftaxis)Numberofallsignatories(rightaxis)Numberofassetownersignatories(rightaxis)1401201008060402004250400037503500325030002750250022502000175015001250100075050025002006200720082009201020112012201320142015201620172018201920202021Source:UNPRIDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry2022192016201720182019202020212022/6/3045531001352947448089184767092153216292126710121113794412112771231707938206323491586219Fig.2NumberofUNPRISignatoriesbyRegionArabcountriesNorthAmericaAfricaSouthAmerica&LatinAmericaEuropeAsia&PacificMiddleEastSource:UNPRIhadsignedtheUNPRI,anincreaseof788comparedto2020;theirAUMtoppedUSD121.3trillion,ayear-over-yearincreaseof17.3%.AnanalysisofUNPRIsignatorytypesshowsthatthenumberofassetownerssteadilyincreasedatacompoundannualgrowthrateof~22%.By2021,thenumberofassetownerssigningUNPRIincreasedfrom32in2006to609,andtheirAUMrosefromUSD2.0trillionin2006toUSD29.2trillion.Thenumberofsigningassetmanagersandserviceprovidersincreasedrapidly(compoundedannualgrowthrateof~36%),from31in2006to3,217in2021,andcontributedmoretothegrowthinthenumberofrecentsignatories.Asofearly2021,theAUMofassetmanagersandserviceproviderssigningtheUNPRIeclipsedUSD92.1trillion,accountingfor76%ofallsignatories.UNPRIsignatoriesprimarilycomefrommajoreconomiesinEurope,NorthAmerica,andAsia-Pacific.AsofJune30,2022,thecumulativenumberofsignatoriesfromthosethreeregionswere2,662,1,233,and703,whichaccountedfor53%,25%,and14%ofallsignatories,respectively.Fromanincrementalperspective,Europesawmorethan300newsignatoriesfrom2019to2021,consistentlycontributingmorethan50%oftheincreaseinsignatories.ThecontributionofNorthAmericaandAsia-Pacifictoincrementalsignatoriesalsocontinuedtogrow.NorthAmericaandAsia-Pacificcontributed28%and19%,respectively,inthefirsthalfof2022.Fig.3NumberandTypesofUNPRISignatoriesinChina111463224872222210111628511920122013201420152016201720182019202020212022/6/30ServiceprovidersAssetmanagersAssetownersSource:UNPRIDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202220AsofJune30,2022,atotalof188institutionsinChina(includingtheMainlandandHongKong)hadjoinedtheUNPRI,includingsevenassetowners,148assetmanagers,and33serviceproviders.ThenumberofMainlandsignatoriesexceeded100(102intotal),includingfourassetowners,74assetmanagers,and24serviceproviders.Inadditiontoprivatefunds,investmentinstitutionsinthecategoryofassetmanagerssuchasinsuranceassetmanagement,bankwealthmanagementdepartments,andpublicfundsbegantopayattentiontoESG.The74assetmanagersincludefourinsuranceassetmanagers(AllianzAssetManagement,ChinaLifeAssetManagement,CPIC,andTaikangAsset),twobankassetmanagers(HuaxiaWealthManagementandHengfengBankAssetManagementDepartment),22publicfunds,andthreeassetmanagersofsecuritiescompanies(FirstCapital,GreatWallSecurities,andGuoyuanSecurities).Ofthose,attheendof2021,ChinaPacificInsurance(Group)Co.,Ltd.(CPIC)joinedtheUNPRIasanassetownerandassetmanager,andrepresentsthethirddomesticinstitutionwithdualidentitiesintheorganizationafterTaikangAssetManagementCo.,Ltd.andTaikangInsuranceGroup.2.1.2GlobalESGFundInaglobalcontext,assetmanagersconstantlyredefinetheirexistingfundproductsinasustainabledirection.AftertheEUSFDR(March2021edition)cameintoeffect,inQ22021,manyEuropeaninstitutions,byamendinginvestmentobjectivesand/orinvestmentpolicies,changedapproximately1,800fundproductsfromSFDRArticle6non-sustainableproductstoArticle8or9sustainableproducts.Thus,thenumberofglobalsustainableinvestmentfundsreachedanall-timehighinQ32021,up51.9%fromQ2,with7,486fundsrepresentingUSD3,904,600millioninAUM.Duringthesameperiod,theAUMofsustainablefundsinAsia(excludingJapan)grewby69%,primarilyduetonewsustainablefundofferingsinChina.Thenumberofglobalsustainableinvestmentfundsdeclinedto5,932inQ42021withcoverageofUSD2,744,300million.ThedownwardtrendwasparticularlyevidentinEurope,whileotherregionsmaintainedtheirgrowth.AccordingtoaMorningstaranalysis,someoftheadjustedproductsdidnotexplaintheirenvironmentalandsocialperformanceindetailinaccordancewiththenatureofSFDRArticle8productsintheirmarketingandlegaldocuments,andsomeESGstrategiesproducednomaterialimpactoninvestmentresultsandweresuspectedof"greenwashing".Afterexcludingthosefunds,thenumberandAUMofEuropeansustainablefundsdecreasedby27.4%and35%,respectively,inQ42021.Since2022,moneyinvestedinsustainableinvestmentfundsdecreasedduetothecombinedimpactoftheRussia-Ukrainewar,risinginterestrate,andmarketvolatility.AttheendofJune2022,thenumberofglobalsustainableinvestmentfundsincreasedby13.1%comparedwithQ42021,whiletheAUMdecreasedby10.2%toUSD2,465,000million.Intermsofregionalcontribution,comparedwiththeall-timehighinQ32022,theAUMoffundsintheU.S.,Canada,Australia/NewZealand,andJapandeclinedby17%,12%,15%,and29%,respectively.SustainableinvestmentfundsinAsia(excludingJapan)remainedunchanged.DevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202221Fig.4AUMofSustainableInvestmentFundsbyRegion4500040000350003000025000200001500010000500002020Q12020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q12022Q2Europe(USD100million)USA(USD100million)Japan(USD100million)Australia/NewZealand(USD100million)Canada(USD100million)Asia(excludingJapan)(USD100million)Source:MorningstarTable12KeywordsThatDefineESGInvestmentsTypeofESGinvestmentKeywordsusedforscreeningCoreESGinvestmentsESG,responsibilityBroadESGinvestmentsEnvironmental:environmentalprotection,lowcarbon,carbonneutrality,green,beautifulChina,energysaving,ecological,climatechange,regenerationSocial:sustainabilityGovernance:corporategovernance2.2DevelopmentofdomesticESGinvestmentInthisreport,ESGinvestmentsaredividedintocoreESGinvestmentsandbroadESGinvestments.CoreESGinvestmentsrepresentthosemadeinfinancialproductswhoseproductname,investmentobjective,investmentphilosophy,investmentscope,orperformancebenchmarkcontainthekeywords"ESGandresponsibility".BroadESGinvestmentsrefertothosethatfocusonrelatedindustriesorthemesencouragedbytheESGconcept.Whether"environment","environmentalprotection","lowcarbon","carbonneutrality","green","beautifulChina","energysaving","ecological","climatechange","regeneration","sustainability","corporategovernance",orotherkeywordsareincludedintheproductname,investmentobjective,investmentphilosophy,investmentscope,orperformancebenchmarkcanbeusedasajudgmentcriterion.2.2.1DomesticESGpublicfundsSince2005,thenumber,share,andAUMofESGpublicfundshavegenerallyincreased.Domesticpublicfundswerescreenedaccordingtotheabovecriteria.Thereare374domesticESGpublicfundsasofJune30,2022,(includingcoreESGpublicfundsandESG-themedpublicfunds),withover241.9billionDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202222Basedonprimaryinvestmenttype,asofJune30,2022,theESGpublicfundsweremainlyhybridandstockfunds.Bothfundtypesaccountedfor65%and28%ofallESGpublicfunds,fundsharesaccountedfor69%and20%ofallESGsharesinpublicfunds.Thenetvalueaccountedfor68%and26%ofallESGpublicfunds.ESGpublicbondfundsaccountedforarelativelysmallshareofallESGpublicfunds,i.e.,lessthan10%,intermsofnumberoffunds,fundshares,orfundnetvalue.Fig.5EvolutioninShare,AUM,andNumberofESGPublicFundsSource:Wind5000450040003500300025002000150010005000120100806040200200520062007200820092010201120122013201420152016201720182019202020212022/6/30Netvalueoffunds(RMB100million)(leftaxis)Fundshares(100million)(leftaxis)Numberofnewfunds(Nr.)(rightaxis)Netvalueoffunds(RMB100million)Fundshares(100million)Numberoffunds(Nr.)Source:WindFig.6Number,ShareandAUMofDifferentTypesofESGPublicFunds(basedonprimaryinvestmenttype)2272281626691677243192191010493106BondfundHybridfundInternational(QDII)fundStockfundsharesandanetvalueofRMB392.5billion.Inaddition,ESGpublicfundsgainedsignificantgrowthafterPresidentXiJinpingdeclaredattheUnitedNationsGeneralAssemblyin2020thatChinawillstrivetoachievecarbonpeakemissionsby2030andcarbonneutralityby2060.Basedonsecondaryinvestmenttype,asofJune30,2022,stock-basedhybridfunds,commonstockfunds,andflexiblefundsaccountedforthemajorityofthe393ESGfunds;thenumberoffundswere185,47,and55,theshareswere145.1billion,32.6billion,and21.4billion,andthenetvalueswereRMB200.2billion,RMB82.3billion,andRMB65billion,respectively.ThenumberandAUMofotherfundtypesweresmall.DevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202223Netvalueoffunds(RMB100million)Fundshares(100million)Numberoffunds(Nr.)Source:WindFig.7Number,ShareandAUMofDifferentTypesofESGPublicFunds(basedonsecondaryinvestmenttype)2218233264716123200214511856502145587212218197167161718516557EnhancedindexfundCommonstockfundBond-basedhybridfundStock-basedhybridfundFlexiblefundHybridbondprimaryfundInternational(QDII)hybridfundInternational(QDII)stockfundPassiveindexbondfundPassiveindexfundFig.8Number,ShareandAUMofDifferentTypesofESGPublicFunds(ActiveandPassive)3571209130935432865ActivePassiveNetvalueoffunds(RMB100million)Fundshares(100million)Numberoffunds(Nr.)Source:WindFromtheperspectiveofactiveandpassivefunds,asofJune30,2022,activefundstakethelargestshareamongthe374ESGpublicfunds.The309activefundscover209.1billionfundshares,withanetvalueofRMB357.1billion.Incomparison,thereareonly65passivefundscovering32.8billionshares,withanetvalueofRMB357.1billion.2.2.2DomesticcoreESGpublicfundsIn2006,BankofChinaInvestmentManagementlaunchedthefirstcoreESGpublicfund"BOCSustainableGrowthMixed",andputforwardinitsinvestmentphilosophy:"tofocusoncompanieswithcorecompetitiveness,soundcorporategovernance,couragetoinnovateandsocialresponsibility".In2013,CaitongFundlaunchedthefirstpubliclyofferedfundwith"ESG"initsproductname,"CaitongCSIESG100IndexEnhanced",andtrackedtheCSICaitongChinaSustainableDevelopment100ECPIESGIndex.DevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202224Basedonprimaryinvestmenttype,asofJune30,2022,hybridfundsandstockfundsaccountformostESGpublicfunds,51%and37%respectively.Basedonfundsharesandfundnetvalue,hybridfundsandbondfundsaccountfor53%and32%ofthetotalfundshares,and61%and26%ofthetotalnetvalue.Netvalueoffunds(RMB100million)(leftaxis)Fundshares(100million)(leftaxis)Numberofnewfunds(Nr.)(rightaxis)Source:WindFig.9AUM,Share,andNumberofCoreESGPublicFunds20062007200820092010201120122013201420152016201720182019202020212022/6/303025201510508007006005004003002001000ThenumberofreleasedcoreESGpublicfundshasincreasedsignificantlysince2020.InApril2022,theCSRCencouragedpublicfundstopracticetheconceptofresponsibleinvestmentandguidedtheindustrytosummarizethelawsofESGinvesting,vigorouslydevelopgreenfinance,andimprovetheenvironmentalperformanceofinvestmentactivitiesinitsOpinionsonAcceleratingthePromotionofHigh-QualityDevelopmentoftheIndustryofpublicfundstopromotethereleaseofESGfunds.AsofJune30,2022,81coreESGpublicfundswerescreenedusingkeywords"ESGandresponsibleinvestment"includedintheproductname,investmentobjectives,investmentphilosophy,investmentscope,orperformancebenchmark.Thesecorefundscovermorethan55.6billionsharesandatotalfundvalueofRMB70.4billion.Theinvestmentobjectives,investmentphilosophy,andinvestmentscopeof13funds,amongthe81coreESGfunds,mentiontheuseofESG-relatedfactorsforevaluation;57fundsdonotexplicitlymentionthatbutarerelatedtotheESGconceptorsustainability,andninefundsrelatetotheESGthemeorindustry.Fig.10Number,ShareandAUMofDifferentTypesofCoreESGPublicFunds(basedonprimaryinvestmenttype)Netvalueoffunds(RMB100million)Fundshares(100million)Numberoffunds(Nr.)Source:Wind1851781043129741878130BondfundHybridfundStockfundDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202225Fig.11Number,ShareandAUMofDifferentTypesofCoreESGPublicFunds(basedonsecondaryinvestmenttype)Netvalueoffunds(RMB100million)Fundshares(100million)Numberoffunds(Nr.)Source:WindMedium&long-termpurebondfundsEnhancedindexfundCommonstockfundStock-basedhybridfundFlexiblefundHybridbondprimaryfundPassiveindexbondfundPassiveindexfund1010222129271240228740291011671616565316872Fig.12Number,ShareandAUMofDifferentTypesofCoreESGPublicFunds(ActiveandPassive)4793415722521524ActivePassiveNetvalueoffunds(RMB100million)Fundshares(100million)Numberoffunds(Nr.)Source:WindBasedonsecondaryinvestmenttype,asofJune30,2022,stock-basedhybridfundsandpassiveindexbondfundsaccountedformostofthe81ESGfunds(40and6,respectively),withsharesbeing28.7billionand16.1billion,netvaluesbeingRMB40.2billionandRMB16.7billion,respectively.ThenumberandAUMofotherfundtypesaresmall.Fromtheperspectiveofactiveandpassivefunds,asofJune30,2022,activefundstakethelargestshareamongthe81ESGpublicfunds.The57activefundsencompass34.1billionfundshares,withanetvalueofRMB47.9billion.Incomparison,only24passivefundsinvolve21.5billionshares,withanetvalueofRMB22.5billion.DevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202226InordertoinvestigatetheperformanceofcoreESGfunds,theresearchteamstudiedtheirdownsideriskrankingpercentile,informationratiorankingpercentile,annualizedrateofreturnversusperformancebenchmarkrange,andannualizedSharperatioversusperformancebenchmarkrangeasofJune30,2022.Verheyden,Eccles,andFeiner(2016)designedaseriesofteststocompareportfoliosscreenedbyESGstandardswiththosenotscreenedbyESGstandards.TheyfoundanESGscreeningstrategyreducedthereturnrateonlyslightlybutreducedtherisk,andhadlittlenegativeinfluenceonportfoliodiversity.SpeakingoftheactualperformanceofcoreESGactivelymanagedfunds,thedownsideriskrankshowsthepercentageofsuchfundsoutperformingthemedianoverthepasttwoandthreeyearsexceeds70%.Theinformationratiorankshowsthepercentageofsuchfundsoutperformingthemedianoverthepasteighteenmonthsexceeds50%,andthelasttwotothreeyearssoarsto98%.Intermsoftherateofreturnvsperformancebenchmark,nocoreESGactivelymanagedfundshaverealizedarateofreturnsignificantlyhigherthan0;intermsoftheSharperatiovsperformancebenchmark,51%ofcoreESGactivelymanagedfundsinthelasttwoandthelastthreeyears,respectivelyhaverealizedaSharperatiosignificantlyhigherthan0.Table13RankofCoreESGActivelyManagedFundsandPerformancevsBenchmarkRankingcriteriaTimerangeLastsixmonthsLastyearLasttwoyearsLastthreeyearsRankbydownsideriskNumberoffundsoutperformingthemedian20224146ProportionoffundsoutperformingthemedianofallcoreESGactivelymanagedpublicfunds35%39%72%81%RankbyinformationratioNumberoffundsoutperformingthemedian29355656ProportionoffundsoutperformingthemedianofallcoreESGactivelymanagedpublicfunds51%61%98%98%Annualizedrateofreturnvsbenchmark(fundrateofreturn-benchmarkrateofreturn)Numberoffundsoutperforming012171110Proportionoffundsoutperforming0ofallcoreESGactivelymanagedpublicfunds21%30%19%18%AnnualizedSharperatiovsbenchmark(fundSharperatio-benchmarkSharperatio)Numberoffundsoutperforming017202929Proportionoffundsoutperforming0ofallcoreESGactivelymanagedpublicfunds30%35%51%51%Source:WindSpeakingofcoreESGpassivelymanagedfunds,thedownsideriskrankshowsthepercentageofsuchfundsthatoutperformedthemedianoverthepastone,two,andthreeyears(butnotthepastsixmonths)exceeded70%.Theinformationratiorankshowsthat50%ofsuchfundsoutperformedthemedian.InDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202227Source:WindTable14RankofCoreESGPassivelyManagedFundsandPerformancevsBenchmarkRankingcriteriaTimerangeLastsixmonthsLastyearLasttwoyearsLastthreeyearsRankbydownsideriskNumberoffundsoutperformingthemedian11172021ProportionoffundsoutperformingthemedianofallcoreESGpassivelymanagedpublicfunds48%74%87%91%RankbyinformationratioNumberoffundsoutperformingthemedian13181821ProportionoffundsoutperformingthemedianofallcoreESGpassivelymanagedpublicfunds57%78%78%91%Annualizedrateofreturnvsbenchmark(fundrateofreturn-benchmarkrateofreturn)Numberoffundsoutperforming0161063Proportionoffundsoutperforming0ofallcoreESGpassivelymanagedpublicfunds70%43%26%13%AnnualizedSharperatiovsbenchmark(fundSharperatio-benchmarkSharperatio)Numberoffundsoutperforming010101414Proportionoffundsoutperforming0ofallcoreESGpassivelymanagedpublicfunds43%43%61%61%Fig.13LaunchTrendsofCoreandBroadESGIndexesSource:Wind2010201120122013201420152016201720182019202020212022180160140120100806040200CoreESGindexesBroadESGindexes2.2.3DomesticESGindexesAccordingtoESGdevelopmentinoverseasmarkets,ESGpassivefundsrepresentanimportanttrendforfutureinvestmentdevelopment,andESG-relatedindexesprovideanecessaryangletoobservetermsoftherateofreturnvsperformancebenchmark,70%ofthecoreESGpassivelymanagedfundsrealizedarateofreturnabove0intermsoftheSharperatiovsperformancebenchmark,61%ofcoreESGpassivelymanagedfundsinthelasttwoandthelastthreeyears,respectivelyhaverealizedaSharperatioabovethemedian0.DevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202228Table15MajorCoreandBroadESGIndexIssuersIssuerCoreESGindexesBroadESGindexesChinaSecuritiesIndexCo.,Ltd.98121ChinaCentralDepository&ClearingCo.,Ltd.78144ShenzhenSecuritiesInformationCo.,Ltd.639WindInformationCo.,Ltd.2022HangSengIndexServicesLimited2016NationalInter-BankFundingCenter15ShenzhenStockExchange48ShenYin&WanGuoIndex6ShanghaiStockExchange8MSCIindex165Sino-SecuritiesIndexInformationService(Shanghai)Co.,Ltd.145ChangjiangSecuritiesCo.,Ltd.12ChinaInternationalCapitalCorporationLimited6SinolinkSecuritiesCo.,Ltd.4XinhuaFinance4Others1413thecapitalmarket'sattentiontoESG.ThisresearchteamsummarizedthenumberofESGindiciesbysearchingwhetherthenameofanindexincludedESGinvestmentasdefinedbytheresearchteam.AsofJune30,2022,therewere698ESGindexesinthemarket,including274coreESGindexesand424broadESGindexes.BothcoreESGindexesandbroadESGindexesgrewsignificantlyin2021.AmongthecoreESGindexes,stockandbondindexesaccountedfor58%and39%,respectively.AmongthebroadESGindexes,"green"indexesaccountedforupto59%,followedby"carbonneutrality"and"environmentalprotection"-relatedindexesat13%and7%,respectively.Theindexesscreenedby"green"and"carbonneutrality"weremainlybond-typeindexes,with85%and46%ofthebondindexesinthetwocategories,respectively.Fromtheperspectiveofissuers,ChinaSecuritiesIndexCo.,Ltd.(CSI)andChinaCentralDepository&ClearingCo.,Ltd.(CCDC)werethemainstays.Inaddition,WindInformationCo.,Ltd.(Wind)andHangSengIndexServicesLimited(HSI)publishmorecoreESGindexes.ShenzhenSecuritiesInformationCo.,Ltd.,WindInformationCo.,Ltd.,HangSengIndexServicesLimited,andNationalInterbankFundingCenterpublishmorebroadESGindexes.Source:WindDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202229Totalfundsraised(RMB100million)Numberofproductslaunched(Nr.)Source:Lhzhiping.com（basedonlaunchyear）2112136065697109Fig.14NumberofChineseBankESGWealthManagementProductsLaunchedandSizeofFundsRaisedfrom2019to2022212812019202020212022/6/302.2.4DomesticESGbankwealthmanagementproductsAsofJune2022,accordingtothelateststatisticsfromLhzhiping.com,276ESGbankwealthmanagementproductswerelauncheddomesticallyandraisedoverRMB150billion.Amongthem,199areexistingproducts.Inthefirsthalfof2022,81ESG-relatedwealthmanagementproductswereinexistenceandonsale,1.53timesthoseascomparedtothesameperiodin2021,whichraisedapproximatelyRMB21.2billion,up6.5%YoY.Excludingundisclosedproducts,productswithmorethanRMB1billionAUMaccountedforonly3.6%.Intermsofmarketshare,asofJune30,2022,HuaxiaBankanditswealthmanagementsubsidiary(HuaxiaWealthManagementCo.,Ltd.)werethefirstassetmanagementinstitutionstopracticeESGandprovideESGwealthmanagementproducts,andlaunchedatotalof73ESGbankwealthmanagementproducts,raisingoverRMB43.7billion.Secondly,AgriculturalBankofChinaWealthManagementCo.,Ltd.launchedatotalof44ESGbankwealthmanagementproductsthatraisednearlyRMB48.5billion.Intermsofthenatureofthewealthmanagers,mostESGbankwealthmanagementproductsareofferedbywealthmanagementsubsidiariesofjoint-stockbanks,whichtake42.9%ofthemarketshareofbankwealthmanagementproducts,followedbystate-ownedbankwealthmanagement(32.4%marketshare0.Sincetheendof2021,foreignbanksbegantodistributeoverseasESGwealthmanagementproductsintheChinesemarket.Amongthem,StandardCharteredBankandBlackRocklaunchedtheirfirstwealthmanagementproductsinChinawithETFasthemainunderlyingasset,whileCitibankhadtheonlyESGwealthmanagementproductinUSDinChina.IntermsofESGstrategy,accordingtothefinancialproductprospectusesofeachbank,ESGwealthmanagementproductsmainlyinvestinindustriessuchasgreendevelopment,cleanenergy,energyconservation,environmentalprotection,consumptionupgrading,healthandmedicine,ruralrevitalization,inclusivefinance,andsupportforsmallandmicroenterprisestopracticetheirESGinvestmentphilosophy,whichreflectsthethemeofgreenupgradingandpromotinghigh-qualityeconomicDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202230development.Specifically,ChinesebankshaveexploredESGwealthmanagementproductsinactive,passive,andFOFinvestments;positivescreening,negativeexclusionandESGintegrationarethemostusedstrategies.InFOFinvestment,theESGconceptisreflectedintheselectionofESG-themedfundsandmanagers.However,theapplicationofESGinvestingstrategiesbyvariousinstitutionsisrarelydisclosedinproductprospectuses.Intermsofassetallocation,65.7%ofESGbankwealthmanagementproductsarefixed-incomeassets,and33.5%aremixedassets.Theproductscomeintheformoflowtomediumriskpublicofferings.Intermsofsalesregions,asofJune30,2022,excludingundisclosedproducts,individualclientsmakeupmostofexistingESGwealthmanagementproductsales(58.1%),andonly35existingandon-saleproductsofruralcommercialbanksandurbancommercialbanksaresoldonlyinspecificprovinces.Otherinstitutionssellnationwide.2.2.5ESG-relatedresearchofdomesticsecuritiescompaniesSecuritiescompaniesareimportantserviceprovidersintheinvestmentmarket,theirparticipationintheanalysisandprocessingofESGinformationhelpsaccountforESGfactorsandplaysanimportantroleintheESGecosystem.Bysearchingresearchreportswith"ESG"inthetitle,ourresearchteamfound296market-widereportsasofJune30,2022.Accordingtotheyearofreportrelease,thenumberofESG-relatedresearchreportshasnearlydoubledsince2021(119),and106reportswerereleasedasofJune30,2022.ReportsgenerallyclassifyESG-relatedresearchpapersintosixtypes.Amongthem,"ESGinvestingoverviewandtracking"focusesonESGinvesingandmarketdevelopmenttrendswith146relatedresearchreportsthataccountfornearlyhalfofallreports.Secondly,thereportsrelatedto"ESGstrategiesandindexes"and"ESGdataandevaluationsystem"accountfor15%and14%,respectively,whichindicatesthemarketfocusesontheconstructionofindexesandevaluationsystems."ESGandinformationdisclosure",asthebasisofESGratingandinvestmentapplication,isstillakeymarketconcern,andcontributes~8%ofthereports.Reportsrelatedto"SubstantivediscussionofESG"accountfor~4%,andthespecificcontentofsuchreportsindicatesthemarkethasnotyetreachedaconsensusonwhetherESGwillgenerateexcessreturnsorhowtogenerateexcessreturns.Table16DistributionofTopicsinESG-relatedResearchReportsReportcontentNumberofreportsPercentageofreportsESGinvestmentoverviewandtracking14649%ESGstrategiesandindexes4315%ESGdataandevaluationsystem4214%ESGanalysisofspecificindustriesorcompanies289%ESGandinformationdisclosure248%ESGmaterialitydiscussion134%Source:hibor.com.cnDevelopmentofESGInvestingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202231TheresearchteamconductedinterviewswithsixsecuritiescompaniestounderstandtheneedsandprioritiesofsecuritiescompaniestoconductESGresearchandtheirviewsonthefuturedevelopmentofESG.Themainconclusionsareasfollows.ThesecuritiescompaniesconductESGresearchbasedonshareholders'needs,brandbuildingneeds,andclients'needs.Someresearchespromoterelevantresearchduetotheimportanceshareholdersattachtogreenfinance;someconductESGresearchduetoaclient'scommission,indexconstruction,andESGmateriality-relatedresearchneeds.ClientswithdemandforESGresearchweremainlypublicfundsandprivatefundsinitially,andmorerecently,drivenbydomesticregulatorypolicies,socialsecurityfunds,insuranceassetmanagementcompanies,andbankwealthmanagementsubsidiarieshaveallpaidmoreattentiontoESG.Thestaffatsecuritiescompaniesisclassifiedaseitherfull-timeorpart-time.Amongthem,mostofthefull-timeanalystshaveaneducationbackgroundorexperienceinclimateorenvironmentalstudies,ESGdata,orratingexperience.Part-timeanalystsmainlyincludequantitativeanalysts,macroanalysts,andstrategyanalysts,possiblybecauseESGintegrationrequiresconsiderationofESGfactorsfrommacro,meso,andmicroperspectives,aswellasquantificationandindustryfundamentals.Therefore,itisnecessarytoincorporateESGconsiderationsinmultipleaspects,suchasmacroanalysis,strategy,industry,andquantification.ManysecuritiescompanieshavecooperatedwithESGdataproviders.Theindicatorminingmethodsofdifferentdataprovidersvarylargely.Therefore,somesecuritiescompaniesdevelopedtheirownESGevaluationsystemsbasedondatafromdifferentESGdatasuppliers.SincethecorrelationbetweenESGinactiveinvestmentandthetraditionallogicoftheindustrycontinuestoevolve,securitiescompaniesarebetteratminingkeyESGtopicsbasedontheirunderstandingoftheindustry.ItisworthmentioningthatsecuritiescompaniescurrentlypaylessattentiontoESGscoringonthemicrolevel,possiblybecausetheprinciplesofESGmethodologyarestillbeingexplored,andnomaturemethodologyhasemerged.ThesecuritiescompaniesholddifferentviewsonfuturedirectionsofESGresearch.SomesecuritiescompaniesbelievethatESGwillnotberestrainedtothenewenergytrack,andmoretrackswillseefutureconsiderationinESG-relatedwork.SomebelievethatESGindexeswillbecomeimportantperformancebenchmarksandtrackingindicatorsinthefuture;however,somefeelthatpromotingESGrequiresasocialconsensusonESGissues.III.ESGDataandWeightDesignWiththeparticipationofDongLanfeng,WanXinandWangBofromYinhuaFundManagementCo.,Ltd.inthischapter.ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202233Therecentandcontinuousin-depthdisseminationofESGinvestinginChinaincreasedthesizeandapplicationmaturityofESGinvestments.Inthiscontext,wewillexaminethematerialityofESGevaluationattheESGdatalevelbasedontheESGinfrastructure.ThroughtheclassificationanddisplayofESGunderlyingdataandthecaseanalysisofESGratingindicators,thecurrentstatusofdomesticESGunderlyingdataisshown,ideasontheuseofESGdataareprovided,andstronglysupportESGevaluation.Inthefirstsubsection,bylabelingESGdatacollectedfrompublicsourcesanddrawingondomesticandinternationalESGdisclosureguidelines,weclassifiedESGunderlyingdataoftheenviornmental(E)dimensionintofivemajorcategories,13sub-categoriesandatotalof39datacategories.Thesocial(S)dimensioncontainedthreemajorcategories,tensub-categories,and40categoriesintotal.Thegovernance(G)dimensionwasbrokeintotwomajorcategoriesandninesub-categories(totalof29).Inaddition,theresearchteamhadthefollowingfindings:Thankstothecontinuousadvocacyofrelevantnationalpolicies,thedegreeofdomesticESGinformationreleasematchedthecoverageofunderlyingdatacollection.InthecontextofcontinuedstandardizationofdomesticESGdisclosure,therearesignsofconvergenceinthequalityandbreadthofdatafromdomesticprofessionalESGdataproviders.Thisconvergencewasprimarilyduetopublicavailability,lessfrequentdisclosureofESGunderlyingdata,andthematurityofdatacollectiontechnologyusage.Drivenbytheimpetusofnationalpoliciesandmarketparticipantsfromtwodirections,domesticESGdatawillenteraneraofrefineddevelopment.ThisreportbelievesthatimprovedoveralldatarichnessandcomparabilityofqualitativedatawillrefinedomesticESGunderlyingdatawithtwofeatures:(1)differencesindomesticESGdataserviceswillbemoreclearlyreflectedinstructureddata;and(2)duetothedifferentcollectionandcalculationmethods,thecarbonemissiondataatthedomesticenterpriselevelwillbepresentedintwodifferenttypesofdata:modelestimationsandactualenterpriseoutput.Inthesecondsubsection,30representativestocksofCITIC'sprimaryindustryweretakenassamples,andfourratingagencieswereselected(Wind,MioTech,QuantData,andRefinitiv).ThisreportinvestigatedtheinitialdifferencesinindicatordesignamongmultipleESGratingagencies,andquantitativelycomparedthedegreeofdivergenceamongtheratingagenciesintheweightdesignoftheprimaryandsecondaryindicatorsandthedegreeofdivergenceintheweightdesignamongdifferentindustrieswithineachratingagency.Themainconclusionsareasfollows:Fromtheperspectiveofprimaryweights(Environmental,Social,andGovernance),therewasnomajordivergenceintheabsolutesenseintheweightdesignofdifferentratingagenciesforthesamestockanditsrepresentativeindustry,whilearelativedivergenceremains.Formorethanhalfthestocksandtheindustriestheyrepresent,thedivergenceintheweightsoftwoormoreindicatorsforthesamestockanditsrepresentativeindustrygivenbydifferentratingagenciesexceededthedivergenceintheaverageweightsfordifferentstocksandtheindustriestheyrepresentgivenbyratingagencies.Secondly,intermsofthedifferentiationofindividualstocksandtheindustriestheyrepresentwithintheESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202234sameratingagency,therewasnoabsolutedifferentiationintheweightdesignofthefourratingagenciesforindustries.Relativelyspeaking,thegreaterdifferentiationofweightsamongdifferentindustrieswasobservedbetweenMioTechandRefinitiv.FromtheperspectiveofsecondaryEnvironmentalandSocial(E&S)indicators,thedivergenceinthedesignofindicatorsandweightsforthesamestockanditsrepresentativeindustrywidenedsignificantlyamongtheagenciesinbothabsoluteandrelativesenses.ThedegreeofdivergenceintheweightsofthesecondaryE&Sindicatorssignificantlysurpassedtheprimaryweights;divergenceinthedesignandweightsofE&Sindicatorsbetterexplainsthedifferencesamongratingagencies.Intermsofthedegreeofdifferentiationbetweenindividualstocksandtheindustriestheyrepresentwithinthesameratingagency,theabsolutedegreeofdifferentiationinthedesignofE&Ssecondaryindicatorweightsamongindustriesissmallamongallfourratingagencies.However,arelativelylargedegreeofdifferentiationwasobservedamongthreecompanies:MioTech,Refinitiv,andWind.Finally,theunderlyingdatashowsthatstate-ownedenterprises(SOEs)areleadinginESGdisclosure.In2021,about48%ofSOEsdisclosedtheirESGreports,socialresponsibilityreportsandthelike,higherthan30%,theaveragelevelofallA-sharelistedcompanies.TheleadingESGpracticesofSOEswillbringsignificantincrementalinformationfortheirvaluejudgmentandprovideguidancefortheirinvestment.Inthefuture,theresearchteamwillfocusonthedefinitionandmeasurementofESGevaluationindicators,paycloseattentiontotheESGdataandevaluationsystemofSOEs,andexplorethechangesinthebenefitsbroughtbytheESGpracticesofSOEs.3.1ESGunderlyingdataclassificationTheclassificationofESGunderlyingdataisthebasisforexaminingESGmateriality.Abottom-upapproachwasadoptedtoorganizethecontentofthissectionbasedonunderlyingESGdataavailablewithinHuaxiaWealthManagement,supplementedbyESGdatainformationobtainedfromcorporate'spublicdisclosurereports,governmentwebsites,mediawebsites,andotherpublicchannelsthroughmanualcollection/algorithmicoperation.Basedonthis,wefirstlabeledthemassiveESGdataaccordingtoitsnatureandthenpresentedtheunderlyingdatainaclassifiedmannerwithreferencestodomesticandinternationalESGdisclosureguidelines.Inviewofthedispersionofdatagranularity,onlygeneralESGunderlyingdataobtainedasofJune30,2022wasclassified,andESGdatawithanindustrynaturewasnotincluded.3.1.1Environmental(E)dimensionAccordingtothedifferentdatatypes,environmental(E)dimensiondatawereclassifiedintofivecategories.Thefirstcategoryisresourceconsumptiondata,whichreferstodataontheconsumptionofvariousnaturalresources,primaryandsecondaryenergy,materials,andotherresourcesduringbusinessESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202235Table17ResourceConsumptionDataTable18PollutantDischargeDataDatacategoryDatatypeExistingdatatypeDatasourceResourceconsumptiondataEnergy1.EnergymanagementpolicyandobjectivesCorporate'spublicdisclosurereport2.Consumptionsavingthroughenergymanagement3.Energyconsumption/costWaterresource1.Waterresourcemanagementpolicyandobjective2.Consumptionsavingthroughwaterresourcemanagement3.Waterresourcesconsumption/recovery/costs4.TypeofwatersourceMaterialresources1.Materialresourcemanagementpolicyandobjectives2.Consumptionsavingthroughmaterialresourcemanagement3.Materialresourceconsumption/costsOthernaturalresourcessuchasland1.Managementpolicyandobjectivesrelatedtoland,wetlands,forests,andothernaturalresourcesaffectedbybusinessofenterprises2.Consumptionsavingthroughmanagementofothernaturalresources3.Consumption/costofothernaturalresourcesDatacategoryDatatypeExistingdatatypeDatasourcePollutantdischargedataWastewater1.WastewaterdischargemanagementpolicyCorporate'spublicdisclosurereports;governmentwebsites,publicnewsmediawebsites2.Wastewaterdischargereduction3.WastewaterdischargeSolidwaste1.Solidwastedischargemanagementpolicy2.Solidwastedischargereduction3.SolidwastedischargeWastegas1.Wastegasemissionmanagementpolicy2.Wastegasemissionreduction3.WastegasemissionThesecondcategoryisdataonthedischargeofpollutantsproducedduringbusinessdevelopments,andincludewastewater,solidwaste,andwastegas.Accordingtodatadisclosureandtheworkstepsinvolvedinpollutantdischargeofenterprises,thedataweremainlyclassifiedintothreetypes:pollutantdischargemanagementpolicy,pollutantdischargereduction,pollutantdischargevolume.development.Basedondatadisclosureandtheinteractiverelationshipbetweenenterprisesandresources,thedataweremainlyclassifiedintothreetypes:resourceconsumptionmanagementpolicy,resourceconsumption,andresourceconservationandconsumption.Thethirdcategoryisdataonclimatechange,whichincludesdataongreenhousegasemissionsandmethodsusedtorespondtoclimatechangeformedduringbusinessdevelopmentunderthetopicofESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202236climatechange.Thedataareclassifiedasabove.Accordingtothestatusquoofdatadisclosure,thecurrentGHGemissiondatamainlyfocusontheCO2equivalentof1&2&3inthestatisticalscope,whilethedataofCH4,N2O,andotherGHGsreceivelittleattention.Methodsusedtorespondtoclimatechangerelatestotheexternalevaluationresultsorbusinessevaluationanalysisandgoalsetting/achievementofenterprisestoaddressthechallengesandopportunitiesbroughtbyclimatechange.Thefourthcategoryisenvironmentalmanagementdata,includingvarioustypesofdatarelatedtoenvironmentalprotectionduringbusinessdevelopment,andthatdataaregenerallydispersed.Thefifthcategoryisgreenfinancingdata,whichreferstodatarelatedtogreenandlow-carbonfinancingactivitiesthroughthefinancialmarket.Table19DataonClimateChangeResponseDatacategoryDatatypeExistingdatatypeDatasourceDataonclimatechangeresponseGHGemission1.GHGemissionreductionmanagementmeasuresCorporate'spublicdisclosurereports;carbonmeasurementmethodsandcalculations2.Project/businessGHGemissionreduction3.GHGemission/intensityMethodsusedtorespondtoclimatechange1.Whetheritsupportstheinitiativesofclimate-relatedinternationalorganizations/hasclimate-relatedratingsCorporate'spublicdisclosurereports;officialwebsitesofrelevantinternationalorganizations2.SpecificcontentofdisclosureregardingclimatechangerisksandopportunitiesTable20EnvironmentalManagementDataDatacategoryDatatypeExistingdatatypeDatasourceEnvironmentalmanagementdataEnvironmentalviolationsandpenalties1.Number/amountofenvironmentalpenaltiesCorporate'spublicdisclosurereports;governmentwebsites,publicnewsmediawebsites2.Numberofnegativeenvironmentalincidentsandviolations/severityEnvironmentalmanagementsystemsandplans1.Environmentalprotection-relatedsystemsandmeasures2.Environmentalprotection-relatedemergencyplansPositiveenvironmentalmeasures1.Environment-relatedcertification2.Amountofinvestmentinenvironmentalprotection3.Environmentalprotectioninnovationinbusinessprocess4.Environmentalprotectioninnovationattheproductlevel5.Numberofactivitiestoprotecttheenvironment6.ActivityresultsTable21GreenFinancingDataDatacategoryDatatypeExistingdatatypeDatasourceGreenfinancingdataGreenfinancingcapacity1.Types/numberofgreenfinancingtransactionsCorporate'spublicdisclosurereports;websitesrelatedtonationalpublictradingandregistrationandsettlement2.AmountofgreenfinancingESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202237Table22EmployeeResponsibilityDataDatacategoryDatatypeExistingdatatypeDatasourceEmployeeresponsibilitydataEmployeetreatment1.EmployeeremunerationpolicyCorporate'spublicdisclosurereports;publicnewsmediawebsites2.Dailywelfarepoliciesforemployees,including:(2.1)Leave/maternitypolicy(2.2)Workinghourspolicy(2.3)Policiesforemployeestoparticipateintradeunionsandotherorganizations(2.4)Employeesuggestionandfeedback/satisfactionsurveymechanism(2.5)Policyonpromotingfemaleemployment3.Numberofregular/temporaryemployees4.Numberofminorityemployees5.Numberofemployeesrecruited/dismissed6.ViolationsoflaborrightsundertheLaborLawofthePeople'sRepublicofChina7.NegativemassincidentsinvolvingemployeeprotestsCareerdevelopmentofemployees1.Employeetraining/promotion/incentives/equalemploymentpolicyCorporate'spublicdisclosurereport2.Companydiversityandinclusionpolicy3.Trainingtimepercapita4.Percapitarevenue/profitgenerated5.NumberofsharesheldbyemployeesEmployeehealthandsafety1.Safetyandhealth-relatedmanagementpolicyandobjectiveCorporate'spublicdisclosurereports;governmentwebsites,publicnewsmediawebsites2.Implementationofsafetyandhealth-relatedmanagementpolicyandobjective3.Safetymanagementsystemcertification4.Amountinvestedinsafetyandhealth5.Numberofsafetyaccidents6.Numberofinjuries/deathsinsafetyaccidents3.1.2Social(S)dimensionAccordingtothedifferentdatatypes,social(S)dimensiondatasortintothreecategories.Thefirstcategoryisemployeeresponsibilitydataformedbasedontherightsandobligationsofemployees(workerswhoestablishalaborrelationshipwiththeenterprise)duringbusinessdevelopmentofanenterprise.Thedatadisclosurecontentandthelaborrelationshipbetweenemployeesandenterprisesbreaksdownintothreedifferenttypes:employeetreatment,employeecareerdevelopment,andemployeehealthandsafety.ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202238Thesecondcategoryisthedatarelatedtoproductresponsibilitygeneratedinpracticingsocialresponsibility.Datadisclosureandtheproductliabilityscopebreaksdowninto:productqualityandsafety,productinnovation,andconsumer-sideandsupplier-sideproductliabilities.Thethirdcategoryisthedataoncommunityandregionalresponsibilitiesundertakenbyenterpriseswhilepracticingsocialresponsibility.Datadisclosureandthecontentofcommunityandregionalresponsibilitiessortedthedataintothreetypes:communitydevelopment,publicwelfareandcharity,andnationalstrategicplanning.Table23ProductLiabilityDataDatacategoryDatatypeExistingdatatypeDatasourceProductliabilitydataProductqualityandsafety1.ProductqualityandsafetymanagementsystemandmeasuresCorporate'spublicdisclosurereports;governmentwebsites,publicnewsmediawebsites2.Productqualitysystemcertification3.Datainformationsecuritymanagementsystemandmeasures4.Productqualityanddatainformationsecurityviolations/negativeincidentsProductinnovation1.ProductR&Dinnovationmanagementsystem2.NumberofproductR&Dandinnovationpersonnel/investmentamount3.ProductR&Dinnovationawards4.Numberofintellectualpropertyrights/patentsforproductR&DConsumerrights1.Consumermanagementpolicyandsystem2.Numberofconsumercomplaints/processedincidents3.Consumersatisfactionresults4.ConsumerprivacymanagementSupplychainmanagement1.Suppliermanagementpolicyandsystem2.ESGandotherstandardcertificationspassedbysuppliers3.Numberofsuppliers/scaleofbusiness4.ESGnegativeincidents/violationsofsuppliersTable24SocialResponsibilityDataDatacategoryDatatypeExistingdatatypeDatasourceSocialresponsibilitydataCommunitydevelopment1.Types/numberofprojectstopromotecommunitydevelopmentCorporate'spublicdisclosurereports;publicnewsmediawebsites2.AmountofinvestmentstopromotecommunitydevelopmentPublicwelfareandcharity1.Numberandamountofcharitabledonations2.Number/workhoursofemployeesinvolvedinpublicwelfareprojectsNationalstrategicplanning1.Responsetonationalstrategiessuchastargetedpovertyalleviationandruralrevitalization2.ResultsofresponsetonationalstrategiessuchastargetedpovertyalleviationandruralrevitalizationESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202239Table25GovernanceStructureDataDatacategoryDatatypeExistingdatatypeDatasourceGovernancestructuredataShareholders'meeting1.MajorshareholdersandtheirshareholdingratiosCorporate'spublicdisclosurereports;relevantgovernmentwebsites2.Operatingmechanismofshareholders'meetingandkeydecisionsBoardofdirectors,boardofsupervisors,andseniormanagement1.Basicinformationandoperationofdirectors,supervisors,andseniormanagementmembers,mainlyincluding(1.1)Number/resume/professionalskills/averageage/proportionofwomen/averagetermofoffice/additionalpost/numberofmeetings/remunerationofdirectors,supervisorsandseniormanagementmembers(1.2)Turnoverrate/averagemeetingattendancerateofdirectors,supervisors,andseniormanagementmembers(1.3)IndependenceofchairmanandCEO(1.4)Stabilityoftheactualcompanyleader2.Fortheboardofdirectors,additionaldatamainlyinclude:(2.1)Percentageofindependentdirectors(2.2)Establishmentandworkprogressofcommitteesundertheboardofdirectors(2.3)Proportionofindependentdirectors/numberofmeetings/averageattendanceofeachcommitteeundertheboardofdirectorsTable26GovernanceMechanismDataDatacategoryDatatypeExistingdatatypeDatasourceGovernancemechanismdataRiskmanagement1.RiskmanagementsystemCorporate'spublicdisclosurereports;governmentwebsites,publicnewsmediawebsites2.Referencestandardofriskmanagementsystem3.ESGriskmanagement/climateriskmanagement4.Taxmanagement/amount3.1.3Governance(G)dimensionAccordingtothedifferentdatatypes,thegovernance(G)dimensiondatasortedintotwocategories.Thefirstcategoryisgovernancestructuredata.Fromtheperspectiveofcorporategovernanceinanarrowsense,basedonthehierarchyoftheownershipofanenterprise,itcoversthedatarelatedtothemaincorporatestructureandtherationalityofthestructureinvolvedincorporategovernance.Thesecondcategoryisgovernancemechanismdata.Fromtheperspectiveofcorporategovernanceinanarrowsense,basedonanenterprise'smainstructureandrightsandresponsibilities,itcoversdatarelatedtotheenterprise'sgovernanceperformance.Themaincorporategovernanceperformanceanddatadisclosuresortsthedataintoseventypes:riskmanagement,internalcontrolandaudit,informationdisclosure,executiveincentives,businessethics,stakeholders,andESGgovernance.ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry2022403.2ComparativeresearchonweightdesignofESGratingindicators3.2.1ResearchtopicDrivenbyESGinvestingtrends,ESGrating-relatedproductsandservicesdevelopedrapidlyviaafast-growingnumberofESGratingagenciesathomeandabroad.BasedontheirownunderstandingofESGandthecharacteristicsoftheindustry,ratingagencieshavesetESGratingindicatorsandunderlyingreferencedatafordifferentindustrieswithreferencetodifferentESGguidelines.In2021,ourresearchteamfoundthattheESGratingsofeightratingagenciesfordomesticcompaniesgenerallydiffered.IndicatorsandweightedsettingsareimportantsourcesofdifferencesinESGratingframeworks.Inthissubsection,weinvestigatethedivergenceinprimaryandsecondaryESGDatacategoryDatatypeExistingdatatypeDatasourceGovernancemechanismdataRiskmanagement5.MajorriskincidentsofenterprisesCorporate'spublicdisclosurereports;governmentwebsites,publicnewsmediawebsites6.AmountofmajorrisklossesofenterprisesInternalcontrolandaudit1.Internalcontrol/audit-relatedsystemandprocedures2.Reporting-relatedsystemandprocedures3.Violationsoflawsandregulationsofenterprises4.NumberofpenaltiesforviolationsoflawsandregulationsInformationdisclosure1.Informationdisclosuremanagementsystem2.Typesofinformationdisclosure3.Timeliness/effectivenessofinformationdisclosure4.ObjectionraisedinexternalauditofinformationdisclosureExecutiveincentives1.Executiveequityincentive/performanceplan2.Proportionofexecutiveequityincentives3.DegreeoflinkagebetweenexecutiveincentivesandESGBusinessethics1.Businessethicsmanagementsystem2.LengthofbusinessethicstrainingStakeholders1.Stakeholdermanagementsystem2.StakeholdercommunicationESGgovernance1.ESGgovernancestructure2.ESGparticipantorganizations3.ReferencestandardofESGreport4.Independentthird-partyreviewofESGreportTable26GovernanceMechanismData（continued）ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202241MaterialESGissuesareofprimaryconcerntoinvestorsMaterialESGissuesvarybyindustryIndustryclassification,selectionandweightingofindustry-specificmaterialESGissueswillsignificantlyimpactESGscoresandrankings.Attheindustrylevel:analyzeandcomparetheimpactofindustryclassificationtomaterialissuesandweightsFig.15ResearchApproachindicatorsandratingagencyweights,exploretherelationshipbetweenthedivergenceinESGratingsofdifferentratingagenciesandtheirprimaryandsecondaryESGindicatorandweightdesigns,anddiscusstherelativeandabsolutedivergencesinindicatordesigntakingrepresentativecompaniesintheindustryasexamples.3.2.2ResearchapproachAsinvestorspayattentiontoESGtopicsthathavesignificantimpactsonenterprises(i.e.,materialESGtopics),thedefinitionofmaterialESGtopicswillbeinfluencedbythecharacteristicsanddevelopmentstagesoftheindustry.Therefore,industryclassification,industryselection,andweightingofimportantESGissueswillsignificantlyaffectESGscoresandranks.Whendesigningtheresearchapproach,tofacilitatetheobservationoftheindustrycharacteristicinfluenceontheESGratingframework,theteamchosesamplecompaniesandtheindustriestheyrepresenttoanalyzetheinfluenceofindustryclassificationonmaterialtopicsandweights,andconductedahorizontalandverticalcomparativestudyontheprimaryandsecondaryweightsandindicatorsdesignoffourratingagencies.Ahorizontalcomparisonreferstoacomparisonoftheindicatorcharacteristicsandweightdesignofvariousratingagenciesforthesamecompany(arepresentativecompanyinthatindustry),whileaverticalcomparisonmeansacomparisonoftheindicatorcharacteristicsandweightdesignofthesameratingagencyforallsamplecompanies.Inthestudyofsecondaryindicatordesign,bydrawingontheresearchapproachofJamesMcGlinchandWitoldHenisz(2021),weconcludedtherewasatransmissionmechanismofmutualinfluencebetweentheselectionofmaterialissuessuchasE&Sstrategyandmanagementsystem,E&Sperformanceorresults,andnegativeincidentsofenterprisesandweightsetting.TheconstructionofanE&Sstrategyandmanagementsystemaffectscompanies'E&Sperformanceorresults,suchasnegativeincidents,whilecompanies'E&Sperformanceorresultsandnegativeincidentscanbeusedasfeedbacktoaffectcompanies'E&Sstrategyandmanagement.ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202242E&Smanagementpoliciesandsystems,etc.E&SstrategyandmanagementsystemSelectionofmaterialissuesandweightsettingE&Sperformance/resultsNegativeincidentsWaste,GHGemissions,etc.Employeesatisfaction,numberofsafeproductiondays,etc.IncidentsanddatasupplementsreflectESGperformance,andfrequencyreflectsstakeholders'concerns(materiality)CompaniesFig.16Companies'E&SImpactTransmissionMechanismToselectESGratingagencies,thisreportscreenedESGratingagencieswithhighawarenessintheA-sharemarketusingthefollowingthreecriteria:(1)Theratingagenciesmustadopta"passive"ratingmethod.Passiveratingimpliesthatcompanies'activedisclosureandpublicinformationareusedasthemainunderlyingdata,whichbetterreflectstheobjectivityofratingresearchandmeetstheneedsofthisresearch.Therefore,thismethodismorecommoninthemarket.Incontrast,activeratingagenciesformerlyreliedonquestionnairesfilledoutbycompaniestocollectESGdata,thoughthisapproachseeslittleuseandcomplicatescomparisonsbetweenagencies.(2)Theratingagenciesneedtohavesamplescompletelycoveringlarge-capChineseA-sharecompaniesandbewillingtoauthorizeaccesstorelevantdata.(3)Theratingagencies'ratingframeworksrequirestabilitywithoutsignificantchangesinratingmethodologyduringthereportingperiod.Basedontheabovecriteria,fourratingagencieswereselectedforthisreport(inrandomorder):Wind,QuantData,MioTech,andRefinitiv.Theindustryclassificationforacompanyaffectsthesettingofprimaryindicatorsandweightsandtheselectionofmaterialtopicsforsecondary/tertiaryindicatorsbyratingagencies.Therefore,overseasratingagenciesgenerallyuseGICSindustryclassificationdirectlyormapitbacktoGICSindustryclassificationafterratingbasedontheirownindustrymethods,whiledomesticratingagenciesgenerallyusetheirself-definedindustryclassificationorcompositeindustryclassification.TheCITIC'sprimaryindustryclassification,whichishighlyrecognizedintheA-sharemarket,wasselectedforthisreporttodeterminetheindustriesfromwhichthesamplesweretaken,andtheindustryclassificationsofdifferentratingagenciesareattachedforcomparison.Aftertheindustryclassificationwasdetermined,30companieswiththehighestfreefloatmarketcapitalizationinCITIC'sprimaryindustryasofJune30,2022wereselectedasresearchsamples.ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202243Table27SampleCompaniesandTheirIndustryClassificationsbyDifferentRatingAgenciesSamplecompanyCITIClevelindustryclassificationWind'sindustryclassificationMioTech'sindustryclassificationQuantData'sindustryclassificationRefinitiv'sindustryclassificationSFHoldingTransportationAirFreightandLogisticsIIIIndustrialTransportation100%TransportationCourier,PostalService,AirFreight&LandLogisticsFocusMediaMediaMediaIIIMedia&Entertainment100%Media&EntertainmentAdvertising&MarketingMuyuanAgriculture,Forestry,Husbandry&FisheryFoodAgricultureandBreeding100%Food,Beverage&TobaccoFishery&AgricultureMindrayPharmaceuticalsHealthcareEquipment&SuppliesMedicalDevices100%HealthcareEquipment&ServicesAdvancedMedicalEquipment&TechnologyYonghuiSuperstoresCommercialTrading&RetailRetailingofFoodandStapleGoodsⅢRetail100%RetailingofFoodandStapleGoodsFoodRetailandDistributionAECCAviationPowerNationalDefenseandMilitaryAerospace&DefenseIIIAerospace&Defense100%CapitalGoodsAerospace&DefenseWanhuaChemicalBasicChemicalChemicalChemical100%RawMaterialsBulkChemicalsMideaGroupHouseholdAppliancesHouseholdDurablesHouseholdAppliances100%ConsumerDurables&ApparelHouseholdAppliances,Tools&HousewaresConchCementBuildingMaterialsBuildingMaterialsIIIBuildingMaterials100%RawMaterialsBuildingMaterialsChinaStateConstructionConstructionConstruction&EngineeringIIIConstruction&Engineering83%,RealEstateDevelopment17%CapitalGoodsConstruction&EngineeringVankeARealEstateRealEstateManagement&DevelopmentRealEstateDevelopment100%RealEstateRealEstateLeasing,Development&OperationZijinMiningNon-ferrousMetalsMetals,Nonmetals&MiningPreciousMetals&Minerals71%,IndustrialMetals&Minerals29%RawMaterialsGoldSanyHeavyIndustryMachineryMachineryIndustrialMachinery100%CapitalGoodsHeavyMachineryandVehiclesBYDAutomobileAutomobileAutomotive58%,ElectronicComponents&Equipment42%Automobile&AutoPartsAutomobile&TruckManufacturersChinaDutyFreeGroupConsumerServicesHotels,Restaurants&LeisureIIIRetail100%RetailAirportOperators&ServicesChinaShenhuaCoalOil,Gas&FuelsforConsumptionCoal79%,ConventionalPower21%EnergyCoalYangtzePowerElectricity&UtilitiesElectricityIIIRenewablePower100%UtilitiesElectricity&UtilitiesCATLPowerEquipment&NewEnergyElectricalEquipmentAutoParts88%,ElectricalEquipment12%CapitalGoodsElectricalComponents&EquipmentSMICElectronicsSemiconductorProducts&SemiconductorEquipmentSemiconductor100%SemiconductorProducts&EquipmentSemiconductorESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202244SamplecompanyCITIClevelindustryclassificationWind'sindustryclassificationMioTech'sindustryclassificationQuantData'sindustryclassificationRefinitiv'sindustryclassificationPetroChinaPetroleum&PetrochemicalOil,Gas&FuelsforConsumptionOil&GasRefining&Marketing72%,Oil&GasExploration&Production16%,IntegratedOil&Gas12%EnergyIntegratedOil&GasHualiGroupTextiles&ApparelTextiles,Apparel&LuxuryPersonalProducts100%ConsumerDurables&ApparelShoesEastmoneyComputerCapitalMarketInvestmentServices100%IntegratedFinanceInvestmentBanking&BrokerageServicesOppeinHomeGroupLightManufacturingHouseholdDurablesFurniture87%,HouseholdProducts13%ConsumerDurables&ApparelConsumerDurables&ApparelChinaMobileCommunicationsDiversifiedTelecomServicesCommunicationsServices91%,Retail9%TelecomServicesIntegratedTelecomServicesBaosteelSteelMetals,Nonmetals&MiningSteel100%RawMaterialsSteelIndustrialandCommercialBankofChinaBankCommercialBankBank100%BankBankChinaLifeInsuranceNon-bankingFinanceInsuranceIIIInsurance100%InsuranceLife&HealthInsuranceKweichouMoutaiFood&BeverageBeveragesAlcoholicBeverages100%Food,Beverage&TobaccoDistilleries&WineriesCOFCOCapitalIntegratedFinanceCapitalMarketInsurance79%,InvestmentServices21%IntegratedFinanceLife&HealthInsuranceChinaBaoanIntegratedServicesIntegratedServicesIIIChemical57%,Pharmaceutical32%,RealEstateDevelopment11%CapitalGoodsSpecialtyChemicalsTable27SampleCompaniesandTheirIndustryClassificationsbyDifferentRatingAgencies（continued）3.2.3Researchcontent3.2.3.1WeightsofprimaryindicatorsUndertheidealsituationthattheratingcriteriaofESGratingagenciesarebasicallyconsistent,andassumingthatthedifferencesinindicatorweightsamongdifferentstocksmainlyresultfromthedifferencesinindustrycharacteristics,thedivergenceinE,S,andGweightsofdifferentratingagenciesforthesamestockshouldnotbegreaterthanthedivergenceinE,S,andGweightsacrossindustries.Inthisreport,thedivergenceinweightswasmeasuredbycomparingtheresultsofstandarddeviationsamongdifferentsamples,and"greatdivergenceordifferentiationintheweightsESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202245oftheprimaryindicators"wasdefinedinabsoluteandrelativelevels.Theformulasforcalculatingthestandarddeviationoftheprimaryweightswithingroups(acrossratingagencies)andbetweengroups(acrossindustries)areasfollows:Intheresearchontheprimaryindicatorweights,absolutedivergenceandrelativedivergenceweredefinedasfollows:ifoneormoreoftheweightsofastock'sprimaryindicators(Environmental,Social,andGovernance)haveoneormorestandarddeviationsgreaterthan10%withinthegroups,theratingagencieshadasignificantabsolutedivergenceonthestock'sprimaryweights.Incomparingthestandarddeviationwithintheprimaryweightgroupandtheaverageweightoftheprimaryindicators(i.e.,thestandarddeviationbetweengroups),ifoneormoreoftheweightsofastock'sprimaryindicator(Environmental,SocialandGovernance)havetwoormorestandarddeviationswithingroupsgreaterthantheaverageweightofthestockamonggroups,thisindicatesagreaterrelativedivergence.TheresultsofexaminingthedivergenceoftheprimaryweightsforindividualstocksamongtheratingagenciesareshowninTable28.ThestandarddeviationioftheEweightwithingroupsThestandarddeviationjoftheEweightamonggroups（Eweightofsampleiinagencyj-AverageEweightofsampleiacrossagencies）2（Eweightofsampleiinagencyj-AverageEweightofallsamplestocksinagencyj）2m-1n-1==SandGweretreatedinthesamewaySandGweretreatedinthesameway,,Note:i=1,2,...30denotesthestocks;j=1,2,3,4denotesthefourratingagencies:Wind,MioTech,QuantData,andRefinitivTable28DivergenceinthedesignoftheprimaryweightsfordifferentstocksbyfourratingagenciesNumberofstocksProportionStocknameWithsmallabsolutedivergence2893.33%StocksotherthanAECCAviationPowerandChinaDutyFreeGroupWithsmallrelativedivergence1240.00%VankeAZijinMiningBaosteelCATLFocusMediaMindrayConchCementChinaStateConstructionSanyHeavyIndustryBYDChinaShenhuaEastmoneyESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202246Bycomparingthestandarddeviationsbetweengroupsofeachratingagency,theabsolutedifferentiationofthefourratingagenciesinthedesignoftheprimaryindicatorweightsfordifferentstocksissmall,agreaterdifferentiationwasfoundbetweenMioTechandRefinitiv.Fromthespecificdesignperspective,intermsof"environmental"indicators,RefinitivandMioTechhaveagreaterdifferentiationamongindustries.Intermsof"social"indicators,Refinitiv,Wind,andMioTechclearlydifferentiatedamongindustries.Intermsof"governance"indicators,MioTechshowsobviousdistinctionfromothersamongindustries.Table29DifferentiationDegreeofPrimaryIndicatorWeightsamongRatingAgenciesforStocksofDifferentIndustriesIndicatorWindMioTechQuantDataRefinitivAverageweightStandarddeviationofweightamonggroupsof"environmental"indicators8.39%11.44%7.21%9.62%8.23%Standarddeviationofweightamonggroupsof"social"indicators7.61%7.34%2.18%5.96%4.44%Standarddeviationofweightamonggroupsof"governance"indicators4.11%9.64%5.56%5.98%5.27%3.2.3.2WeightsofsecondaryE&SindicatorsUndertheidealsituationthatratingagenciesuseconsistentcriteria,anydivergenceintheweightsofsecondaryindicatorsindifferentratingagenciesforthesamestockdoesnotexceedthedivergenceintheaverageweightsofthesecondaryindicatorsacrossindustries.SincetheindicatorsanddisclosuresofGarerelativelystandardizedandthedivergenceintheweightsofdifferentagenciesissmall,thisreportfocusesonthesecondaryindicatorsoftheEandSdimensions.Tocomparetheweightsofsecondarytopicsofvariousratingagencies,theresearchteamfirstscreenedthematerialtopicswithweightsgreaterthan5%amongtheE&Stopics,thenclassifiedthesetopicsundertwosecondarytopics:"E&Sstrategyandmanagement",and"OperationalE&Sperformance".Theweightsofthetwosecondarytopicsweretotaledtoobtaintheweightsofeachratingagency.Theresearchmethodapproximatedthatoftheprimaryweights.Theweightdivergencesofthesecondaryindicatorsweremeasuredbycalculatingthestandarddeviationamongthesamples,and"greatdivergenceordifferentiationintheweightsoftheprimaryindicators"weredefinedinabsoluteandrelativelevels.Theformulasareasfollows:ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202247Table30DivergenceintheDesignoftheSecondaryWeightsforDifferentStocksbyFourRatingAgenciesNumberofstocksProportionStocknameWithsmallabsolutedivergence620%OppeinHomeGroupConchCementSanyHeavyIndustryBYDCATLHualiGroupWithsmallrelativedivergence13.33%OppeinHomeGroupStandarddeviationiofasecondaryindicatorofthesampleswithingroupsStandarddeviationjofasecondaryindicatorofthesamplesamonggroupsWeightofasecondaryindicatorofsampleiinagencyj-AverageweightofthesecondaryindicatorsofsampleiacrossagenciesWeightofasecondaryindicatorofsampleiinagencyj-Averageweightofthesecondaryindicatorsofallsamplestocksinagencyjm-1n-1==Note:i=1,2,...30denotesthestocks;j=1,2,3,4denotesthefourratingagencies:Wind,MioTech,QuantData,andRefinitivIntheresearchontheweightsofthesecondaryindicators,absolutedivergenceandrelativedivergenceweredefinedasfollows:agreatabsolutedivergenceoccurredifoneormoresecondaryindicators("E&Sstrategyandmanagement","OperationalE&Sperformance",and"sumofE&SstrategyandmanagementandOperationalE&Sperformance")hadastandarddeviationgreaterthan10%withintheweightgroup.Similarly,iftwoormoresecondaryindicatorshadastandarddeviationwithintheweightgroupgreaterthanthestandarddeviationoftheaverageweightsofthesecondaryindicatorsamongtheweightgroupsofdifferentagenciesforindividualstocks,itindicatesagreatrelativedivergence.TheresultsofexaminingthedivergenceinsecondaryE&SweightsanddesignsamongtheratingagenciesforindividualstocksareshowninTable30.Subsequently,theteamusedthestandarddeviationofthesecondaryindicatorweightsofthesameratingagencyamongthegroupsfordifferentstockstomeasuretheindustrydifferentiationwithintheagency.TheabsolutedivergenceintheweightsoftheE&Ssecondaryindicatorsamongthefourratingagencieswassmall;arelativelylargedifferentiationdegreewasobservedamongthreecompanies:MioTech,Refinitiv,andWind.Fromaspecificdesignperspective,intermsof"E&Sstrategyandmanagement",MioTechandRefinitivhadagreaterdifferentiationamongindustries.Intermsof"operationalE&Sperformance"indicators,Refinitiv,Wind,andMioTechareclearlydifferentiatedamongindustries,andintermsofthesumof"strategyandmanagementandoperationalE&Sperformance"indicators,MioTechclearlydifferentiateditselffromotherindustries.22ESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202248Table31DifferentiationofSecondaryIndicatorWeightsofRatingAgenciesamongDifferentIndustriesIndicatorWindMioTechQuantDataRefinitivAverageweightStandarddeviationofweightamonggroupsof"strategyandmanagement"indicators7.33%9.48%3.93%9.17%4.71%Standarddeviationofweightamonggroupsof"operationalE&Sperformance"indicators8.91%8.83%2.12%9.06%4.87%Standarddeviationofweightamonggroupsof"sumofstrategyandmanagementandoperationalE&Sperformance"indicators4.09%15.34%5.56%8.37%6.16%3.2.4ConclusionsanddiscussionThissubsectiongivestheconclusionsbasedontheresearchontheweightsofcompanyevaluationindicatorsofthefourselectedratingagenciesandindustryrepresentativesbelow.Regardingprimaryindicators(Environmental,SocialandGovernance),therewerenomajordivergencesbetweentheweightingdesignsofdifferentratingagenciesforthesamestockandthesectorsitrepresentsbasedonstandarddeviationswithingroups,andindividualsamplestockswithsmallabsolutedivergences(withastandarddeviationwithingroupsoflessthan10%)amongratingagenciesaccountedfor93.33%.Secondly,iftherewererelativedivergencesamongratingagencies,andfor60%ofindividualstocksandthesectorstheyrepresent,thedivergenceintheweightingofdifferentratingagenciestothesamestockandtheprimaryindicatorsofsectorsitrepresents(standarddeviationwithingroups)exceededthatintheweightingofdifferentratingagenciestodifferentstocksandthesectorstheyrepresentafterbeingaveraged(standarddeviationbetweengroupsoftheweightingaverageofdifferentstocks).Thegreaterrelativedivergenceintheweightsfordifferentstocksandtheindustriestheyrepresentwithinthegroupindicatestheratingagencieshaveclearerjudgmentontheweightsoftheprimaryindicatorsfordifferentstocksandtheindustriestheyrepresent,oronthedegreeofinfluenceofESGmaterialtopicsofeachindustry.Finally,intermsofthedifferentiationofindividualstocksandtheindustriestheyrepresentwithinthesameratingagency,therewasnoabsolutedifferentiationintheweightdesignofthefourratingagenciesforindustries,thoughinarelativesense,greaterdifferentiationofweightsamongdifferentindustrieswasobservedbetweenMioTechandRefinitiv.Specifically,intermsofthesecondaryE&Sindicators("E&Sstrategy&management","operationalE&Sperformance",and"sumofE&Sstrategy&managementandoperationalE&Sperformance"),thedivergenceintheindicatorandweightdesignforthesamestockanditsrepresentativeindustrywidenedsignificantlyamongtheagenciesinbothabsoluteandrelativesenses.SamplestockswithESGDataandWeightDesignAnnualReportonESGInvestinginChina'sAssetManagementIndustry202249largeabsolutedivergencesaccountfor~80%;therewasagreaterrelativedivergenceforalmostall(96.67%)samplestocks.Inotherwords,thedivergenceintheweightingofdifferentratingagenciestothesamestockorthesecondaryindicatorsofsectorsitrepresents(standarddeviationwithingroups)surpassedtheweightedaverageofdifferentstocksandthesectorstheyrepresent(standarddeviationbetweengroupsoftheweightingaverageofdifferentstocks).Intermsofthedegreeofdifferentiationbetweenindividualstocksandtheindustriestheyrepresentwithinthesameratingagency,theabsolutedegreeofdifferentiationinthedesignofE&Ssecondaryindicatorweightsamongindustrieswassmallamongallfourratingagencies.Arelativelylargedegreeofdifferentiationwasseenamongthreecompanies:MioTech,Refinitiv,andWind.Thefollowingtwoissuesareproposedandshouldbefurtherinvestigatedinfutureresearch:First,onlytheindicatordesignandweightsratherthanthescoreswerediscussed,causesintheratingsdifferenceshavebeeninitiallystudied.Inthefuture,researchersmayneedtostartfromtherelationshipbetweenindicatorscoresandweightstostudywhethertheratingagencieshavedifferentperceptionsofESGduetothedifferencesinthecompleteavailabilityoftheirowndataandmeasurementmethodsthatleadtodifferentweightsofprimaryandsecondaryindicators.Secondly,theteamadoptedCITICprimaryindustrytoselectsamplestocksandusedthemtostudythedesignandweightsoftheprimaryindustryindicatorstheyrepresent.Thismethodmaynotfullyreflectamoredetailedindustryclassificationintheratingagencies'methodology.Futureresearchshouldextendedtomoresecondaryindustriesandmoresamplestockstoavoidthetwotypesofproblemsbelow:1.Theratingsdifferencesmaynotcomefromagencyassignmentsonly,butalsofromthedifferentclassificationsofthesamestockintodifferentindustrysegmentsundertheclassificationsystemsofdifferentagencies;2.Consideringthatcompanieswithdiversifiedoperationscannotbeevaluatedusingasinglesystemofmaterialindustryindicators,morestockswillaidfutureresearch.IV.EmpiricalResearchonESGRatingEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202251Comparedwiththe2021Report,ESGratingdataofRankinsandQuantDatawereaddedtothisyear'sreport,whichcollectedESGratingdatafromeightdomesticandoverseasagenciesondomesticlistedcompanies.OverseasESGratingsinvolveFTSERussellandRefinitiv,anddomesticESGratinginvolvesSino-Securities,MioTech,Rankins,SynTaoGreenFinance,Wind,andQuantData.ThissectioncoverstheguidingeffectoftheESGevaluationsystemoninvestmentfromanempiricalpointofviewviaregressionanalysisofESGratings,ESGprimaryindicators,ESGfundratings,yield,andvolatility.Themainconclusionsareasfollows:MostESGratingsmaypredictstockyieldandstockpricevolatilityoverthenextyear,butdonoteffectivelypredictthemarket-adjustedstockreturnrate.Speakingofstockyield,theESGratingsoffiveagencies(Refinitiv,QuantData,SynTaoGreenFinance,Wind,andSino-Securities)hadsignificantpositivecorrelationswiththenextyear'sstockyield,andtheESGratingofRankinshadsignificantnegativecorrelationswiththesame.However,ESGratingshavenosignificantpredictiveeffectonmarket-adjustedstockyield,andonlytheregressionresultsoftheESGratingsofRankinsandthemarket-adjustedstockyieldweresignificantlypositive.TheregressionresultsofQuantDatahadsignificantnegativecorrelationswiththenextyear'smarket-adjustedstockyield.Regardingpricevolatility,datafromsomeratingagenciesshowthat,toacertainextent,higherESGratingscorrespondtolowerstockpricevolatility.Specifically,theESGratingsoffouragencies(QuantData,Sino-Securities,MioTech,andWind)andthenextyear'sstockpricevolatilitywerenegativelysignificant,whiletheESGratingsofotheragencieshadnosignificantexplanationforthenextyear'sstockpricevolatility.TheESGratingchange(currentESGratingsminuspreviousESGratings)ofsomeagenciesrelatedpositivelytothenextyear'sstockyieldandrelatednegativelytothenextyear'sstockpricevolatility.Specifically,theregressionresultsoftheESGratingchangeofthreeagencies(QuantData,MioTech,andWind)andthenextyear'sstockyieldwerepositivelysignificant,whiletheregressionresultsoftwoagencies(RankinsandSynTaoGreenFinance)werenegative.However,regardingthemarket-adjustedstockyield,theregressionresultofESGratingchangefromtwoagencies(WindandRankins)waspositive.AdditionalattemptstopredictstockpricevolatilityusingESGratingchangeyieldedregressionresultsoftheESGratingchangefromthreeagencies(QuantData,MioTech,andWind)andthenextyear'sstockyieldwerenegativelysignificantatthe1%confidencelevel.TheregressionresultsoftheESGratingchangeoftheremaining5agenciesandthenextyear'sstockpricevolatilitywerenotsignificant.ESGprimaryindicatorshavedifferentiatedeffectonstockyieldandoftenhaveasignificantnegativecorrelationwithstockpricevolatility.Regardingthestockyield,theenvironmentalandsocialindicatorsoffouragencies(Refinitiv,Rankins,QuantData,andWind)andgovernanceindicatorsEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202252offouragencies(Refinitiv,Rankins,QuantData,andWind),relatedpositivelytothenextyear'sstockyield.Inaddition,theenvironmentalandsocialindicatorsoftwoagencies(SynTaoGreenFinanceandSino-Securities)andgovernanceindicatorsofoneagency(SynTaoGreenFinance)relatednegativelytothesame.Regardingthemarket-adjustedstockyield,theenvironmentalindicatorsoftwoagencies(Sino-SecuritiesandRankins),socialindicatorsof0agencies,andgovernanceindicatorsof2agencies(Sino-SecuritiesandRankins)relatedpositivelytothenextyear'smarket-adjustedstockyield.Theenvironmentalindicatorsofthreeagencies(QuantData,SynTaoGreenFinance,andWind),socialindicatorsof3agencies(QuantData,Sino-Securities,andWind),andgovernanceindicatorsof2agencies(QuantData,Wind)relatednegativelytothesame.Regardingstockpricevolatility,theenvironmentalindicatorsoffouragencies(Rankins,QuantData,SynTaoGreenFinance,andSino-Securities),socialindicatorsofthreeagencies(Rankins,QuantData,andSino-Securities),andgovernanceindicatorsoffouragencies(Rankins,QuantData,SynTaoGreenFinance,andSino-Securities)relatednegativelytothenextyear'sstockpricevolatility.Moreover,theenvironmentalindicatorsof0agenciesandsocialandgovernanceindicatorsof1agency(Wind)relatedpositivelytothenextyear'sstockpricevolatility.ESGfundratingshaveaweakabilitytopredictthefundyieldandvolatilityforthenextyear.AccordingtotheempiricalresearchonthepredictionofthefundyieldandvolatilityforthenextyearbyESGfundratings,theESGfundingratingsofthreeagencies(Rankins,Sino-Securities,andMioTech)positivelycorrelatedwiththenextyear'sfundyieldoffundproducts.TheESGfundingratingsofthreeagencies(Refinitiv,FTSERussell,andWind)negativelycorrelatedwiththesame.TheESGfundratingsoftwoagencies(RefinitivandFTSERussell)negativelycorrelatedwiththenextyear'svolatilityoffundproducts,andtheESGfundratingsoffiveagencies(Rankins,QuantData,SynTaoGreenFinance,Sino-Securities,andMioTech)positivelycorrelatedwiththesame.4.1CorporateESGratingcorrelationandempiricalanalysis4.1.1OverviewandcorrelationofESGratingsofcompaniesSomeratingagencies,astheydidlastyear,didnotgradecompanies,butdividedthemintodifferentgrades,e.g.,C-AAA.Tofacilitatesubsequentcalculations,assignedratingsvaluesfromhightolowinthisreportwerebasedondifferentgrades.Forexample,GradeAAAcorrespondstoninepoints,andGradeCcorrespondstoonepoint.DescriptivestatisticsofESGratingsofdomesticallylistedcompaniesareshowninTable32.EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202253Table32ESGRatingsofListedCompaniesbyAgenciesRatingagenciesNumberofratedcompaniesAverageStandarddeviationMinMedianMaxFTSERussell8171.3320.5570.3001.2003.800Refinitiv5700.3580.2530.0250.2830.938Sino-Securities4,5254.1091.2451.0004.0007.000MioTech4,2560.3640.1050.1540.3370.847Rankins55228.33711.6347.08326.56970.000SynTaoGreenFinance1,0664.5371.0322.0004.0008.000Wind4,6796.0430.8502.6606.0009.040QuantData4,26055.9217.35133.68055.23587.760Basedon2021ESGratingsissuedbyratingagencies,thisreportprovidesacorrelationanalysisregardingESGratingsgivenbyeightdomesticandoverseasagencies(Table33).Thecorrelationbetweentheratingsofthetwoagencieswasbetween0.084and0.674,withthelowestcorrelationof0.084betweenSino-SecuritiesandFTSERussell;MioTechandWind,SynTaoGreenFinancehadthehighestratingcorrelationof0.674.Comparativelyspeaking,thecorrelationbetweenSino-Securitiesandotherratingswasrelativelylow,andthecorrelationbetweenthedataofanyratingcompanywasbelow0.4.ThecorrelationbetweenQuantData,FTSERussell,andRankinswasalsobelow0.4.ThedifferenceamongESGratingshasalwaysbeengivenalotofattention.TheresearchonESGratingdataofsevenratingagencies(Refinitiv,Morningstar,Inrate,Bloomberg,FTSERussell,MSCI,andMSCIIVA)conductedbyGibsonBrandonetal.(2021)showedthattheaveragepairingcorrelationamongEGSratingsofsevenagencieswas0.45.Theresultsoftheresearchonthedifferenceamongcorporatesocialresponsibility(CSR)ratingsofsixthird-partyagenciesconductedbyChatterjietal.(2016)showedthatthedifferenceismainlyduetotworeasons:lackofacommontheoryandcomparability.Theformermeansnoideaofthecommondefinitionofcorporatesocialresponsibilitieshasbeenagreeduponamongratingagencies;thelattermeansdifferentagenciesusedifferentmethodstoquantifyingthesameindicators.ThreesourcesofthedifferenceamongESGratingsweredefinedbyBergetal.(2020)bydecomposingthesourcesofthedifferenceamongESGratingsanddividingtheESGratingsamongsixsuppliers.Firstofall,ratingagenciesuseddifferentunderlyingindicators,whichtheycalled"rangedifference";secondly,themeasurementofthesameindicatorsbyESGratingagencieswasdifferent,whichtheycalled"measurementdifference";finally,theyemphasizedthe"weightdifference",asratingagenciesassigneddifferentweightstodifferentindicatorswhengeneratingcomprehensiveESGratings.Theauthorfoundthatmostofthedifferencescanbetracedtodifferencesinscopeandmeasurement,whileweightdifferencesappeartoplayasmallrole.EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202254Table33CorrelationsBetweenESGRatingsofListedCompaniesin2021byAgenciesFTSERussellRefinitivSino-SecuritiesMioTechRankinsSynTaoGreenFinanceWindQuantData1.0000.5020.0840.5890.5790.5180.4900.3591.0000.2720.6130.5750.5750.5350.5051.0000.2610.2190.3210.2560.3771.0000.5320.6740.6740.5621.0000.5510.5170.3611.0000.6140.5661.0000.4781.000FTSERussellRefinitivSino-SecuritiesMioTechRankinsSynTaoGreenFinanceWindQuantDataRating4.1.2EmpiricalanalysisofESGratingsandstockyieldThissectionattemptstostudythepredictiveeffectofESGratingsofdifferentlistedcompaniesandthechangesinESGratingsonthenextyear'sstockyield.AsthisstudyrequirestheregressionofyearsofESGratingdata,thisreportrespectivelyadoptsavailableESGratingsofeightagenciesasexplanatoryvariables,includingFTSERussell(samplerange:2018-2021),Refinitiv(samplerange:2018-2021),Sino-Securities(samplerange:2009-2021),MioTech(samplerange:2017-2021),Rankins(samplerange:2010-2021),SynTaoGreenFinance(samplerange:2015-2021),Wind(samplerange:2017-2022),andQuantData(samplerange:2019-2021),andthestockyieldandvolatilityofA-sharelistedcompaniesfrom2008-2021asexplainedvariables,andprocessedthesamplesasfollows:(1)removingobservationsofnetassetswithnegativevalue;(2)removingobservationsfromthefinancialindustry;(3)removingallobservationswithmissingvariablesinvolvedintheregression.Tocontroltheinfluenceofextremevaluesonempiricaltestresults,allcontinuousvariablesinvolvedintheregressionwerewinsorizedattheupperandlower1%quantiles.AllfinancialdatausedforregressioncamefromCSMAR,WIND,andWRDS.ToobservewhethertheESGratingofalistedcompanypredictsthenextyear'sstockyield,thefollowingregressionmodelswereused:Stock_returni,t+1=α1+β1ESGi,t+γ1∑Controlsi,t+Industry/MonthlyFE+εi,t+1（1）Stock_returni,t+1=α2+β2ESGRatingChangesi,t+γ2∑Controlsi,t+Industry/MonthlyFE+εi,t+1（2）EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202255Table34VariableDefinitionsofCorporateRegressionModelNameofvariablesDefinitionsStockyieldMonthlyreturnsMarket-adjustedyieldMonthlystockyieldminustheannualreturnofcompositemarketconsideringreinvestmentofcashdividendinA-sharecompositemarket(calculatedbyequalweightaveragemethod)StockpricevolatilityStandarddeviationofmonthlystockyieldsofacompanyinthepastyeardividedbytheaveragestockpriceESGratingsESGscoresgivenbyRefinitiv,FTSERussell,SynTaoGreenFinance,Sino-Securities,Rankins,MioTech,QuantDataandWindESGratingchangesCurrent-yearESGratingsofRefinitiv,FTSERussell,SynTaoGreenFinance,Sino-Securities,Rankins,MioTech,QuantDataandWindminuspreviousESGratings,i.e.,ESG(t)-ESG(t-1)E-environmentalratingsEnvironmentalindicatorsofRefinitiv,Rankins,QuantData,SynTaoGreenFinance,Sino-SecuritiesandWindS-socialratingsSocialindicatorsofRefinitiv,Rankins,QuantData,SynTaoGreenFinance,Sino-SecuritiesandWindG-corporategovernanceindicatorsCorporategovernanceindicatorsofRefinitiv,Rankins,QuantData,SynTaoGreenFinance,Sino-SecuritiesandWindEnterprisesizelnTAattheendofthecompany'speriodLeverageratioTheratiooftotalassetstoequitycapitalinthebalancesheetReturnonassetsTheratioofnetprofitstototalassetsBook-to-marketShareholderinterests/company'smarketvalueEnterprisevalueThesumofthemarketvalueofequityandthebookvalueoftotalliabilitiesdividedbythebookvalueoftotalassetsCashholding(Monetaryfunds+short-terminvestment)/totalassetsDualityThisvalueistakenas1iftheCEOservesastheChairmanatthesametime,orthevalueistakenas0ShareratioofthelargestshareholderThepercentageofthenumberofsharesheldbythelargestshareholdertothetotalnumberofsharesIntheabovemodels,Stock_returni,t+1representsthemonthlystockyieldofindividualstocks;ESGi,trepresentstheESGratingofalistedcompany;ESGRatingChangesi,trepresentsthecurrent-yearESGratingsminuspreviousESGratings.Thisreportfocusedonthecoefficients,whichrepresentsthemarginalinfluenceoftheESGratingofalistedcompanyorchangesinratingsonitsstockyieldforthenextyear.Controlledvariablesrefertoaseriesofenterprise-levelcharacteristicsthatmayaffectthestockyield,includingtheenterprisescale,leverageratio,returnonassets,book-to-market,enterprisevalue,cashholding,duality,andshareratioofthelargestshareholder.Inaddition,thisreportalsocontrolledtheIndustryFEandMonthFEofcompanies,andthespecificvariabledefinitionsareshowninTable34.Theregressionresults(Table35-A)showthattheESGratingsofmostagenciescanpredictthestockyieldforthenextyear.Specifically,theregressionresultsoftheESGratingsofRefinitiv,QuantData,SynTaoGreenFinance,Sino-Securities,andWindandthenextyear'sstockyieldwereEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202256positiveatthesignificancelevelof1%,whiletheregressionresultsoftheESGratingsofRankinsandthestockyieldwerenegativeatthesamesignificancelevel.TheregressionresultsofFTSERussellandMioTechwerenotsignificant.Ferriani&Natoli(2021)foundthatduringCOVID-19,companieswithhigherESGratingshadbetterperformance,andtheirresearchresultsshowedthatinvestorsstronglypreferredfundswithlowESGrisksduringCOVID-19.TheESGratingchangeswereusedfurthertopredictstockyield,andthoseresults(Table35-B)showedthatonlytheregressionresultsofESGratingchangesofQuantDataandWindwerepositiveatthesignificancelevelof1%,andtheregressionresultsofESGratingchangesofMioTechwerealsopositiveatthesignificancelevelof10%.Meanwhile,theESGratingchangesofRankinsandSynTaoGreenFinancewiththenextyear'sstockyieldwerenegativeatthesignificancelevelof1%,andtheregressionresultsofESGratingchangesoftheremainingthreeagencies(Refinitiv,FTSERussell,Sino-Securities)withthenextyear'sstockyieldwerenotsignificant.AccordingtotheresultsoftheempiricalanalysisconductedbyShanaev&Ghimire(2022)usingMSCIratingsandtakinglistedAmericancompaniesassamples,thestockyieldwassignificantlynegativeastheESGratingswasdowngraded;onthecontrary,theriseintheESGratingsdidnotbringahigherstockyield.Table35ESGRatingandStockYieldExplainedvariablesStockyieldTableAFixedeffectsmodel:ESGratingandstockyieldExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindCorporateESGrating1.3010.174-1.1421.4590.0300.145-0.0130.030(4.17)(1.26)(-5.19)(4.71)(12.57)(2.59)(-0.35)(5.93)Enterprisesize0.3890.6320.7000.7040.2740.5460.8930.648(4.11)(6.87)(26.79)(23.40)(7.04)(7.86)(27.91)(16.63)Asset-liabilityratio2.2500.6890.9020.5031.6341.9030.3750.443(3.94)(1.36)(5.94)(3.04)(5.42)(4.15)(2.09)(2.14)Returnonassets10.7018.2858.2416.5637.86811.2456.8096.592(5.05)(4.13)(14.37)(11.98)(6.53)(6.62)(11.84)(9.28)Book-to-market-3.933-4.415-6.415-3.853-4.114-4.070-4.365-4.244(-7.95)(-9.70)(-31.99)(-17.89)(-13.29)(-10.56)(-19.12)(-16.28)Enterprisevalue0.3270.3240.2430.3690.3720.2750.3740.351(4.86)(5.00)(6.30)(7.76)(6.45)(4.25)(7.70)(7.26)Cashholding-3.261-5.725-6.346-1.853-4.898-3.257-1.973-3.528(-1.80)(-3.01)(-11.36)(-2.97)(-4.27)(-2.07)(-2.87)(-4.29)EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202257Note:Table34showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.ExplainedvariablesStockyieldTableAFixedeffectsmodel:ESGratingandstockyieldExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindDuality-0.005-0.001-0.002-0.0010.004-0.003-0.003-0.005(-0.68)(-0.13)(-0.61)(-0.48)(0.92)(-0.36)(-0.83)(-1.37)Shareratioofthelargestshareholder-0.014-0.009-0.005-0.007-0.009-0.004-0.009-0.008(-3.34)(-2.25)(-3.58)(-4.59)(-3.64)(-1.15)(-5.06)(-3.81)MonthFEControlledControlledControlledControlledControlledControlledControlledControlledIndustryFEControlledControlledControlledControlledControlledControlledControlledControlledAdj.R20.0560.0830.0450.0760.0420.0510.0710.080Samplesize20,16719,557262,825135,33668,65429,289114,46787,919TableBFixedeffectsmodel:ESGratingchangesandstockyieldExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindESGratingchanges-0.0970.575-4.3449.613-0.0520.5580.4930.237(-0.04)(0.54)(-3.54)(4.42)(-2.81)(1.21)(1.65)(6.27)ControlledvariablesControlledControlledControlledControlledControlledControlledControlledControlledAdj.R20.0580.0860.0450.0660.0410.0520.0710.081Samplesize19,61418,87225,6445131,44466,78028,160110,98884,613Table35ESGRatingandStockYield（continued）ThisreportexploredwhethertheESGratingagencyresultscanpredictthemarket-adjustedstockyieldforthenextyear,andthefollowingmodelswereused:Intheabovemodels,Adjusted_Stock_returni,t+1representsthestockyieldofthemonthlystockyieldminustheannualreturnofcompositemarket(calculatedbyequalweightaveragemethod)consideringreinvestmentAdjusted_Stock_returni,t+1=α1+β1ESGi,t+γ1∑Controlsi,t+Industry/MonthlyFE+εi,t+1（3）Adjusted_Stock_returni,t+1=α2+β2ESGRatingChangesi,t+γ2∑Controlsi,t+Industry/MonthlyFE+εi,t+1（4）EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202258Table36ESGRatingandMarket-adjustedStockYieldExplainedvariablesMarket-adjustedstockyieldTableAFixedeffectsmodel:ESGratingandmarket-adjustedstockyieldExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindCorporateESGrating0.0830.7590.045-0.0000.0001.385-3.376-0.174(0.28)(0.62)(2.87)(-3.65)(1.54)(0.27)(-1.04)(-0.39)Enterprisesize0.0040.0040.0020.0060.0010.0050.0070.005(4.29)(5.26)(10.80)(23.10)(3.30)(7.14)(25.75)(16.00)Returnonassets0.0260.0150.0120.0040.0170.0210.0040.003(4.87)(3.34)(10.92)(2.87)(7.60)(5.04)(2.32)(1.78)Book-to-market0.1260.1050.0930.0710.0970.1170.0720.069(7.01)(6.40)(23.27)(16.41)(10.15)(7.75)(15.97)(12.95)Enterprisevalue-0.039-0.040-0.028-0.029-0.027-0.036-0.032-0.031(-9.47)(-10.84)(-19.67)(-15.95)(-11.57)(-10.44)(-16.70)(-14.38)Cashholding0.0020.0020.0020.0030.0020.0020.0030.003(3.48)(2.99)(6.44)(6.41)(3.27)(3.58)(6.49)(6.37)Duality-0.018-0.030-0.016-0.001-0.007-0.0130.000-0.010(-1.19)(-2.07)(-4.21)(-0.27)(-0.99)(-0.98)(0.03)(-1.67)ofcashdividendinA-sharecompositemarket;ESGi,trepresentstheESGratingsoflistedcompanies;ESGRatingChangesi,trepresentsthecurrent-yearESGratingsminusthelastyear'sESGratings.Theresults(Table36-A)showthatESGratingsofmostagenciescannotpredictthemarket-adjustedstockyieldforthenextyear.OnlytheregressionresultsfromRankinsESGratingswiththemarket-adjustedstockyieldwerepositiveatthesignificancelevelof1%,whiletheregressionresultsoftheESGratingsofQuantDataandthemarket-adjustedstockyieldwerenegativeatthesignificancelevelof1%.Theregressionresultsofotherratingswerenotsignificant.AccordingtothesimilaranalysisonAsianmarketsconductedbyYenetal.(2019)basedonASSET4ESGratings,theresultsshowedthat"sociallyresponsibleinvestment"(SRI)portfoliosoutperformedonlyinJapananddidnotgainanyexcessreturninemergingAsianmarkets.ESGratingchangeswereusedfurthertopredictstockyield.ShowninTable36-B,theregressionresultsofESGratingchangesofRankinsandWindandthenextyear'smarket-adjustedstockyieldwerepositiveatsignificancelevelsof10%and1%,respectively,andtheregressionresultsofESGratingchangesoftheremainingsixagenciesandthenextyear'smarket-adjustedstockyieldwerenotsignificant.EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202259ExplainedvariablesMarket-adjustedstockyieldTableAFixedeffectsmodel:ESGratingandmarket-adjustedstockyieldExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindShareratioofthelargestshareholder-0.000-0.0000.000-0.000-0.000-0.000-0.000-0.000(-0.91)(-0.12)(0.05)(-0.49)(-0.06)(-0.43)(-0.76)(-1.40)MonthFE-0.000-0.000-0.000-0.000-0.000-0.000-0.000-0.000IndustryFE(-3.31)(-1.77)(-3.37)(-2.60)(-3.43)(-2.01)(-3.25)(-1.62)Adj.R20.3440.3290.3020.4120.3240.4200.2920.280SamplesizeControlledControlledControlledControlledControlledControlledControlledControlledEnterprisesize0.3290.3020.4120.3240.4200.2920.2800.29920,19119,55764,94964,86368,65429,289112,25487,919TableBFixedeffectsmodel:ESGratingchangesandmarket-adjustedstockyieldExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindESGratingchanges0.8318.9210.174-0.0000.00029.18743.52718.308(0.40)(0.82)(1.92)(-0.24)(0.83)(0.67)(1.45)(4.67)ControlledvariablesControlledControlledControlledControlledControlledControlledControlledControlledAdj.R20.3280.3130.4180.2870.4260.2970.2850.306Samplesize84,61318,872256,445131,44466,78028,160110,98884,613Table36ESGRatingandMarket-adjustedStockYield（continued）Note:Table34showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.4.1.3EmpiricalanalysisofESGratingsandstockpricevolatilityStockpricevolatilityisanimportantindicatortomeasureriskininvestmentanalysis.ThisreportexploredthecorrelationbetweenESGratingsandESGratingchangesandthenextyear'sstockpricevolatilitybychangingthestockyieldintheabovemodeltothestockpricevolatilityinthefollowingmodel,underwhichtheESGratingsfromeightagencieswereusedforanalysis.TheregressionresultsareshowninTable37-A.ToobservewhethertheESGratingofalistedcompanypredictsthenextyear'sstockyield,thefollowingregressionmodelswereused:Stock_volatilityi,t+1=α1+β1ESGi,t+γ1∑Controlsi,t+Industry/MonthlyFE+εi,t+1（5）Stock_volatilityi,t+1=α2+β2ESGRatingChangesi,t+γ2∑Controlsi,t+Industry/MonthlyFE+εi,t+1（6）EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202260ExplainedvariablesStockpricevolatilityTableAFixedeffectsmodel:ESGratingandstockpricevolatilityExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindESGrating-0.3860.0480.074-0.1010.004-0.363-7.186-0.452(-0.43)(0.13)(0.08)(-7.51)(0.02)(-6.80)(-6.92)(-4.04)Enterprisesize-0.941-0.990-1.013-0.537-1.204-1.077-0.978-1.073(-3.92)(-5.37)(-8.46)(-5.55)(-7.54)(-15.22)(-12.00)(-12.37)Asset-liabilityratio10.2137.3706.5384.6487.3214.2445.2645.434(6.79)(6.07)(9.40)(8.08)(6.61)(10.51)(10.59)(9.87)Returnonassets2.350-10.888-7.901-5.150-2.345-2.848-2.370-1.716(0.48)(-2.85)(-3.52)(-3.39)(-0.65)(-2.92)(-1.92)(-1.33)Book-to-market-10.780-10.503-9.743-10.167-8.164-7.796-8.948-8.693(-9.86)(-10.62)(-13.42)(-17.42)(-9.73)(-22.97)(-18.20)(-15.54)Enterprisevalue-0.283-0.296-0.280-0.171-0.212-0.084-0.210-0.068(-2.10)(-2.17)(-2.12)(-1.71)(-2.42)(-3.55)(-2.67)(-0.69)Table37ESGRatingandStockPriceVolatilityIntheabovemodels,Stock_volatilityi,t+1representsthestandarddeviationofmonthlystockyieldsinthepastyeardividedbyaveragestockprice;ESGi,trepresentstheESGratingsofalistedcompany;ESGRatingChangesi,trepresentsthecurrent-yearESGratingsminusthelastyear'sESGratings.Ingeneral,ahigherESGratingcorrespondstolowerstockpricevolatility.Specifically(Table35-A),theESGratingsofQuantData,Sino-Securities,MioTech,andWindandstockpricevolatilityhadnegativecorrelationsatthesignificancelevelof1%,whiletheESGratingsoftheotheragencieshavenosignificantexplanationforstockpricevolatility.ThisisrelativelyconsistentwiththeconcusionsoftheresearchconductedbyEccles,Loannou,andSerafeim(2014),thatis,companieswithbetterESGconditionsarelessvulnerabletosystemicriskshocks.ESGratingchangeswereusedinthisreporttopredictstockpricevolatility.AsseeninTable37-B,theregressionresultsofESGratingchangesofQuantData,MioTech,andWindwiththenextyear'sstockpricevolatilityhadnegativecorrelationsatthesignificancelevelof1%,andtheregressionresultsofESGratingchangesoftheremainingfiveagenciesandthenextyear'sstockpricevolatilitywerenotsignificant.EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202261ExplainedvariablesStockpricevolatilityTableAFixedeffectsmodel:ESGratingandstockpricevolatilityExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindCashholding1.0163.519-2.437-3.8875.090-3.475-0.874-2.108(0.28)(1.18)(-1.31)(-2.43)(1.66)(-3.49)(-0.64)(-1.37)Duality0.0130.011-0.002-0.004-0.000-0.013-0.008-0.011(0.58)(0.57)(-0.18)(-0.37)(-0.01)(-1.81)(-0.83)(-1.03)Shareratioofthelargestshareholder-0.023-0.025-0.019-0.013-0.030-0.005-0.013-0.010(-2.09)(-2.22)(-3.16)(-2.25)(-2.94)(-1.24)(-2.40)(-1.71)MonthFEControlledControlledControlledControlledControlledControlledControlledControlledIndustryFEControlledControlledControlledControlledControlledControlledControlledControlledAdj.R20.5060.4360.5910.3090.4980.3270.3440.245Samplesize13,64311,28849,77963,89017,658197,10299,98185,440TableBFixedeffectsmodel:ESGratingchangesandstockpricevolatilityExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindESGratingchanges0.205-0.7930.908-0.0550.151-0.066-6.107-0.379(0.19)(-0.93)(0.85)(-3.72)(0.73)(-1.26)(-5.85)(-3.05)ControlledvariablesControlledControlledControlledControlledControlledControlledControlledControlledAdj.R20.5640.4540.6110.3140.5040.3050.3600.242Samplesize8,5594,68836,66447,06710,636150,43774,71364,598Table37ESGRatingandStockPriceVolatility（continued）Note:Table34showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.4.1.4EmpiricalanalysisofESGprimaryindicatorsandstockyieldStockpricevolatilityisanimportantindicatortomeasureriskininvestmentanalysis.ThisreportexploredthecorrelationbetweenESGratingsandESGratingchangesandthenextyear'sstockpricevolatilitybychangingthestockyieldintheabovemodeltothestockpricevolatilityinthefollowingmodel,underwhichtheESGratingsfromeightagencieswereusedforanalysis.TheregressionresultsareshowninTable37-A.ToobservewhethertheESGratingofalistedcompanypredictsthenextyear'sstockyield,thefollowingregressionmodelswereused:EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202262Stock_returni,t+1=α1+β1Ei,t+γ1∑Controlsi,t+Industry/MonthlyFE+εi,t+1（7）Stock_returni,t+1=α2+β2Si,t+γ2∑Controlsi,t+Industry/MonthlyFE+εi,t+1（8）Stock_returni,t+1=α3+β3Gi,t+γ3∑Controlsi,t+Industry/MonthlyFE+εi,t+1（9）Intheabovemodels,Stock_returni,t+1representsthemonthlyreturnonsharepriceofalistedcompany;Ei,t,Si,t,andGi,trepresentE,S,andGscoresofalistedcompany.AccordingtotheresearchconductedbyChangetal.(2020)throughtheESGindicatorsystem,theenvironment(E)variablecanpredictthestockyieldintheshortterm,whilesocial(S)andgovernance(G)variablescanpredictthestockyieldinthelongterm.Theresearchonprimaryindicatorsofsixratingagenciesbasedontheabovemodelsfoundthat:FromtheperspectiveoftheEratings(Table38-A),theregressionresultsofRefinitivandRankinsandthenextyear'sstockyieldwerepositiveatthe5%significancelevel,andtheregressionresultsofQuantDataandWindwerealsopositiveatthesignificancelevelof1%.However,theregressionresultsofSynTaoGreenFinanceandSino-Securitieswithstockyieldwerenegativeatthe1%significancelevel.FromtheperspectiveoftheSratings(Table38-B),theregressionresultsofQuantDataandWindwiththenextyear'sstockyieldwerepositiveatthe10%significancelevel,andtheregressionresultsofRefinitivandRankinswerealsopositiveatthesignificancelevelof1%.However,theregressionresultsofSynTaoGreenFinanceandSino-Securitieswiththenextyear'sstockyieldwerenegativeatthe1%significancelevel.FromtheperspectiveoftheGratings(Table38-C),theregressionresultsofSino-Securitiesandthenextyear'sstockyieldwerepositiveatthe10%significancelevel,andtheregressionresultsofRefinitiv,Rankins,andWindwerealsopositiveatthesignificancelevelof1%.However,theregressionresultsofSynTaoGreenFinancewiththenextyear'sstockyieldwerenegativeatthe5%significancelevel.ExplainedvariablesStockyieldTableAFixedeffectsmodel:EratingandstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindE(environmental)rating6.6255.5651.916-3.469-1.3723.337(2.13)(2.05)(5.94)(-5.34)(-7.54)(9.57)Table38ESGPrimaryIndicatorsandStockYieldEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202263Note:Table34showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.ExplainedvariablesStockyieldTableAFixedeffectsmodel:EratingandstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindEnterprisesize0.4810.8060.7320.6210.7000.733(5.52)(24.98)(19.98)(14.59)(26.95)(21.15)Asset-liabilityratio2.0950.4540.3770.4340.9810.395(3.68)(2.55)(1.82)(1.71)(6.48)(1.92)Returnonassets10.8036.7246.7605.9598.2306.880(5.12)(11.68)(9.54)(7.34)(14.39)(9.64)Book-to-market-4.020-4.173-4.329-3.622-6.410-4.242(-8.19)(-18.36)(-16.52)(-13.00)(-32.00)(-16.33)Enterprisevalue0.3290.3830.3460.2670.2450.344(4.83)(7.95)(7.12)(5.27)(6.34)(7.15)Cashholding-3.195-1.879-3.639-0.554-6.362-3.544(-1.75)(-2.74)(-4.41)(-0.64)(-11.40)(-4.30)Duality-0.004-0.003-0.006-0.006-0.002-0.005(-0.49)(-0.90)(-1.44)(-1.26)(-0.64)(-1.38)Shareratioofthelargestshareholder-0.014-0.009-0.007-0.009-0.006-0.007(-3.18)(-5.00)(-3.43)(-3.43)(-4.19)(-3.49)MonthFEControlledControlledControlledControlledControlledControlledIndustryFEControlledControlledControlledControlledControlledControlledAdj.R20.0560.0710.0800.1180.0450.080Samplesize20155114537879195637126305287280TableBFixedeffectsmodel:SratingandstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindS(social)rating1.2060.1760.539-2.687-1.6590.033(3.28)(6.97)(1.68)(-3.13)(-7.54)(1.95)ControlledvariablesControlledControlledControlledControlledControlledControlledAdj.R216331114537879195638326305287280Samplesize16998124545933586194322487786918TableCFixedeffectsmodel:GratingandstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindG(governance)rating1.2409.5000.713-1.5830.6460.334(3.34)(2.89)(1.39)(-2.44)(1.96)(9.57)ControlledvariablesControlledControlledControlledControlledControlledControlledAdj.R20.0560.0710.0800.1180.0450.081Samplesize20155115005879195638326305287280Table38ESGPrimaryIndicatorsandStockYield（continued）EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202264Further,theprimaryindicators(E,S,andG)ofratingagenciesandthenextyear'smarket-adjustedstockyieldwereusedforregressionanalysistodeterminewhetherESGsecondaryindicatorsarepredictiveofnextyear'smarket-adjustedstockyieldusingregressionequations(10)-(12).Table39showstheregressionresults.Intheabovemodels,Market-adjusted_Stock_returni,t+1representsthestockyieldofthemonthlystockyieldminustheannualreturnofcompositemarket(calculatedbyequalweightaveragemethod)consideringreinvestmentofcashdividendinA-sharecompositemarket;Ei,t,Si,t,andGi,trepresentE,S,andGscoresofalistedcompany.FromtheperspectiveoftheEratings(Table39-A),theregressionresultsofRankinsandSino-Securitiesandthenextyear'smarket-adjustedstockyieldwerepositiveatthe10%and5%significancelevels,respectively.TheregressionresultsofQuantData,SynTaoGreenFinance,andWindwithnextyear'smarket-adjustedstockyieldwerenegativeatsignificancelevelsof1%,1%,and5%,respectively.FromtheperspectiveoftheSratings(Table39-B),theregressionresultsofQuantDataandSino-Securitiesandthenextyear'smarket-adjustedstockyieldwerenegativeatthe1%significancelevel,andtheregressionresultsofWindandthenextyear'smarket-adjustedstockyieldwerealsonegativeatthe10%significancelevel.Theregressionresultsoftheremainingagenciesandthenextyear'smarket-adjustedstockyieldwerenotsignificant.FromtheperspectiveoftheGratings(Table39-B),similartotheEratingresults,theregressionresultsofRankinsandSino-Securitieswithnextyear'smarket-adjustedstockyieldwerepositiveatthe1%significancelevel,andtheregressionresultsofQuantDataandWindwiththenextyear'smarket-adjustedstockyieldwerealsonegativeat1%and5%significancelevels,respectively.TheGratingsofRefinitivandSynTaoGreenFinancedidnotcorrelatewiththenextyear'smarket-adjustedstockyield.Market-adjusted_Stock_returni,t+1=α1+β1Ei,t+γ1∑Controlsi,t+Industry/MonthlyFE+εi,t+1（10）Market-adjusted_Stock_returni,t+1=α2+β2Si,t+γ2∑Controlsi,t+Industry/MonthlyFE+εi,t+1（11）Market-adjusted_Stock_returni,t+1=α3+β3Gi,t+γ3∑Controlsi,t+Industry/MonthlyFE+εi,t+1（12）EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202265ExplainedvariablesMarket-adjustedstockyieldTableAFixedeffectsmodel:Eratingandmarket-adjustedstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindE(environmental)rating0.4480.541-0.010-3.3060.756-0.353(1.21)(1.66)(-2.91)(-4.42)(2.17)(-2.17)Enterprisesize0.1430.6880.4960.5590.3970.423(1.36)(18.00)(13.57)(11.97)(15.16)(12.22)Asset-liabilityratio3.0521.5561.7962.4842.7171.786(4.21)(7.47)(8.24)(8.94)(16.33)(8.10)Returnonassets5.1415.7348.0838.4983.9888.257(2.34)(10.12)(13.66)(9.93)(7.27)(13.74)Book-to-market-6.224-6.362-4.645-5.476-6.683-4.490(-12.06)(-23.27)(-18.52)(-17.30)(-31.92)(-17.83)Enterprisevalue0.1780.2930.2430.2530.3780.232(2.44)(5.37)(5.05)(4.69)(8.55)(4.75)Cashholding0.7670.164-0.032-0.6601.406-0.913(0.43)(0.24)(-0.04)(-0.69)(2.66)(-1.25)Duality0.0150.0010.0020.0080.0030.002(1.51)(0.18)(0.51)(1.48)(1.07)(0.46)Shareratioofthelargestshareholder-0.013-0.011-0.013-0.0150.002-0.012(-2.67)(-5.59)(-6.04)(-5.37)(0.97)(-5.88)MonthFEControlledControlledControlledControlledControlledControlledIndustryFEControlledControlledControlledControlledControlledControlledAdj.R20.0490.0610.0670.0960.0420.071Samplesize2087512454593358619328750690719TableBFixedeffectsmodel:Sratingandmarket-adjustedstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindS(social)rating0.2400.221-1.379-0.847-0.018-0.031(0.71)(0.72)(-4.19)(-0.90)(-7.58)(-1.69)ControlledvariablesControlledControlledControlledControlledControlledControlledAdj.R20.0760.0610.0670.0970.0330.068Samplesize16998124545933586194322487786918Table39ESGPrimaryIndicatorsandMarket-adjustedStockYieldEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202266Table39ESGPrimaryIndicatorsandMarket-adjustedStockYield（continued）Note:Table34showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.4.1.5EmpiricalanalysisofESGprimaryindicatorsandstockpricevolatilityTheprimaryindicators(E,S,andG)ofratingagenciesandstockpricevolatilitywereusedforregressionanalysistodeterminewhetherprimaryESGindicatorsarepredictiveofnextyear'sstockpricevolatilityusingregressionequations(13)-(15).Table40showstheregressionresults.Intheabovemodels,Stock_volatilityi,t+1representsthestandarddeviationofmonthlystockyieldsinthepastyeardividedbyaveragestockprice;Ei,t,Si,t,andGi,trepresentE,S,andGscoresofalistedcompany.Ingeneral,theempiricalregressionresultsofESGratingsubitemsandstockpricevolatilitywereconsistentwiththoseoftheratingitemsandthestockpricevolatilityintheprevioussection.HighersubitemESGratingscorrespondtolowerstockpricevolatilityoverthenextyear.FromanEratingperspective(Table40-A),higherEratingscorrespondtolowerstockpricevolatilityoverthenextyear.Specifically,theregressionresultsofRankins,QuantData,SynTaoGreenFinance,andSino-Securitiesandthenextyear'sstockpricevolatilityhadnegativecorrelationsatthe1%significancelevel,whiletheregressionresultsofRefinitivandWinddidnotcorrelatewiththenextyear'sstockpricevolatility.Stock_volatilityi,t+1=α1+β1Ei,t+γ1∑Controlsi,t+Industry/MonthlyFE+εi,t+1（13）Stock_volatilityi,t+1=α2+β2Si,t+γ2∑Controlsi,t+Industry/MonthlyFE+εi,t+1（14）Stock_volatilityi,t+1=α3+β3Gi,t+γ3∑Controlsi,t+Industry/MonthlyFE+εi,t+1（15）ExplainedvariablesMarket-adjustedstockyieldTableCFixedeffectsmodel:Gratingandmarket-adjustedstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindG(governance)rating0.0480.123-1.8600.5781.724-0.090(0.12)(3.23)(-3.37)(0.83)(4.99)(-2.40)ControlledvariablesControlledControlledControlledControlledControlledControlledAdj.R20.0490.0610.0670.0960.0420.071Samplesize20875124545933586194328750690719EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202267ExplainedvariablesStockpricevolatilityTableAFixedeffectsmodel:EratingandstockpricevolatilityExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindE(environmental)rating-1.228-0.665-2.389-4.841-3.784-0.056(-1.45)(-6.28)(-3.15)(-2.82)(-5.25)(-1.08)Enterprisesize-0.867-0.878-0.787-0.653-1.085-1.585(-3.80)(-9.83)(-8.57)(-5.91)(-16.60)(-14.07)Asset-liabilityratio10.3875.0135.0104.1084.3453.557(6.95)(9.47)(8.62)(5.69)(12.10)(5.22)Returnonassets1.561-3.801-5.643-4.046-5.2348.784(0.32)(-2.87)(-3.66)(-1.79)(-4.83)(4.81)Book-to-market-10.885-8.997-10.085-10.867-8.019-6.396(-9.80)(-15.62)(-17.02)(-15.59)(-18.37)(-8.04)Enterprisevalue-0.287-0.091-0.161-0.293-0.121-0.176(-2.11)(-0.79)(-1.57)(-2.64)(-1.53)(-1.09)Cashholding1.296-2.247-3.792-4.848-3.692-4.994(0.35)(-1.50)(-2.32)(-2.13)(-3.89)(-2.24)Duality0.014-0.007-0.004-0.007-0.0050.003(0.67)(-0.66)(-0.33)(-0.48)(-0.75)(0.22)Shareratioofthelargestshareholder-0.024-0.012-0.015-0.019-0.0050.005(-2.13)(-2.11)(-2.44)(-2.47)(-1.16)(0.70)MonthFEControlledControlledControlledControlledControlledControlledIndustryFEControlledControlledControlledControlledControlledControlledTable40ESGPrimaryIndicatorsandStockPriceVolatilityFromtheperspectiveoftheSratings(Table40-B),higherSratingscorrespondtolowerstockpricevolatilityoverthenextyear.Specifically,theregressionresultsofRankins,QuantData,andSino-Securitiesandstockpricevolatilitywerenegativeatthe1%significancelevel,whiletheregressionresultsoftheSratingsofWindandthestockpricevolatilitywerepositiveatthe1%significancelevel.Theremainingregressionresultsofthestockpricevolatilityratingswerenotsignificant.FromtheperspectiveoftheGratings(Table40-C),higherGratingscorrespondtolowerstockpricevolatilityoverthenextyear.Specifically,theregressionresultsofRankins,QuantData,SynTaoGreenFinance,andSino-Securitiesandthenextyear'sstockpricevolatilitywerenegativeatthe1%significancelevel,whiletheregressionresultsofWindandthestockyieldwerepositiveatthe5%significancelevel.TheregressionresultsofRefinitivdidnotcorrelatewiththestockpricevolatility.EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202268inwhich,wirepresentstheweightofCompanyiinthefundportfolio;nrepresentsthenumberofcompaniesinthefundportfolio,and=1.ThedescriptivestatisticsoffundESGratingresultscalculatedusingESGratingsoflistedcompaniesgivenbyeightESGrantingagenciesExplainedvariablesStockpricevolatilityTableAFixedeffectsmodel:EratingandstockpricevolatilityExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindAdj.R20.4950.2870.3000.2970.5260.212Samplesize1341585484638903686319728035591TableBFixedeffectsmodel:Sratingandmarket-adjustedstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindS(social)rating-0.460-0.665-3.205-2.586-1.9060.206(-0.46)(-6.28)(-3.75)(-1.15)(-3.77)(3.58)ControlledvariablesControlledControlledControlledControlledControlledControlledAdj.R20.5060.2870.3000.2970.5260.212Samplesize1364085484638903686319728035591TableCFixedeffectsmodel:Gratingandmarket-adjustedstockyieldExplanatoryvariablesRefinitivRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesWindG(governance)rating-0.586-0.665-15.648-8.780-5.3960.236(-0.58)(-6.28)(-12.03)(-4.84)(-7.17)(2.02)ControlledvariablesControlledControlledControlledControlledControlledControlledAdj.R20.5060.2870.3050.2980.5260.212Samplesize1363485484638903686319728035591Table40ESGPrimaryIndicatorsandStockPriceVolatility（continued）Note:Table34showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.4.2FundESGratingcorrelationandempiricalanalysis4.2.1ESGratingmethodologyandcorrelationoffundsThisreportisbasedontheESGscoresoflistedcompaniesgivenbyvariousratingagencies,andtheweightedESGscores(asdefinedbelow)werecalculatedaccordingtotheannualpositiondatadisclosedbyfundproducts:ESGfund=wiESGi,tEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202269Basedonthe2021ESGratingdataissuedbyvariousratingagencies,thisreportprovidesacorrelationanalysisregardingESGfundratingsgivenbyeightdomesticandoverseasagencies(Table42).Thecorrelationbetweentheratingsofthetwoagencieswasbetween0.1600-0.854.Thelowestcorrelationwas0.160betweenRankinsandQuantData,andthehighestcorrelationwas0.854betweenSino-SecuritiesandQuantData.Thecorrelationbetweenanytwooftheabove-mentionedagenciesvariedbasedontheinconsistentresultsoftheESGratingsoflistedcompaniesandthecoveredlistedcompaniesandpositions.RatingagenciesNumberofratedcompaniesAverageStandarddeviationMinMedianMaxFTSERussell1,2501.2520.2660.6571.2052.245Refinitiv5450.3700.0670.1630.3700.608Sino-Securities3,62367.7406.19649.06268.79381.221MioTech3,58239.9746.62519.77039.17260.832Rankins30930.6727.53018.32228.15653.754SynTaoGreenFinance3,59245.5954.83433.29945.78059.429Wind3,637595.21562.099412.014598.210744.789QuantData3,57354.4206.08536.24754.39270.969Table41ESGRatingsofFundsbyAgenciesin2021Table42CorrelationsBetweenFundESGRatingsin2021byAgenciesRatingagenciesMSCIRefinitivSino-SecuritiesMioTechRankinsSynTaoGreenFinanceWindQuantData1.0000.8090.3990.5390.8410.6910.4970.3551.0000.3540.6450.6180.6750.5270.4701.0000.6870.3470.7570.7160.8541.0000.2720.8080.7300.7951.0000.4600.1990.1601.0000.7550.7621.0000.7911.000(FTSERussell,Refinitiv,Sino-Securities,MioTech,Rankins,SynTaoGreenFinance,Wind,andQuantData)areshowninTable41.Inthereportfor2021,theESGratingaverageoftheindustriesinvolvedbylistedcompanieswithoutratingswasusedasanalternativescoretoobtainfundscores.Thisyearwenolongerusedthisindustryaveragealternativemethodtoensurefairness,andonlyconductedESGevaluationsonstock-basedfundswithESGscoresthatholdmorethan67%ofpositions.Asvariousratingagenciescoverdifferentnumbersofstocks,thenumberandscopeoffundsthatcangiveESGevaluationisalsodifferent.MSCIRefinitivSino-SecuritiesMioTechRankinsSynTaoGreenFinanceWindQuantDataEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202270Thetop50positionsbasedonESGratingsofeachratingagencyarematchedwithESGpublicfundsbytheresearchteamtoverifywhetherthefundsscoredaccordingtothepositionscoincidedwiththeESGfundsselectedaccordingtothekeywordsinChapter3;thefundsthatmetthetwoscreeningmethodsarelistedinTable43.Table43ESGFundsThatRankinTop50byFundESGRatingRatingagenciesFundcodeShortnameoffundsRefinitiv510010.OFBOCOMSchrodersSSE180GovernanceETF510090.OFCCBSSESocialResponsibilityETF515090.OFBoseraSustainability100ETF516830.OFFullgoalCSI300ESGBenchmarkETF561900.OFCMFCSI300ESGBenchmarkETFSino-Securities516830.OFFullgoalCSI300ESGBenchmarkETF510090.OFCCBSSESocialResponsibilityETF159790.OFChinaAssetManagementCSIMainlandChinaLow-carbonEconomyThemeETF561900.OFCMFCSI300ESGBenchmarkETFMioTech515090.OFBoseraSustainability100ETF516830.OFFullgoalCSI300ESGBenchmarkETF510010.OFBOCOMSchrodersSSE180GovernanceETF561900.OFCMFCSI300ESGBenchmarkETF510090.OFCCBSSESocialResponsibilityETF516720.OFAXASPDBInvestmentManagersCSIESG120StrategyETFQuantData516830.OFFullgoalCSI300ESGBenchmarkETF516720.OFAXASPDBInvestmentManagersCSIESG120StrategyETF510010.OFBOCOMSchrodersSSE180GovernanceETF510090.OFCCBSSESocialResponsibilityETF515090.OFBoseraSustainability100ETF561900.OFCMFCSI300ESGBenchmarkETFSynTaoGreenFinance515090.OFBoseraSustainability100ETF516830.OFFullgoalCSI300ESGBenchmarkETF159790.OFChinaAssetManagementCSIMainlandChinaLow-carbonEconomyThemeETF510090.OFCCBSSESocialResponsibilityETF510010.OFBOCOMSchrodersSSE180GovernanceETF159885.OFPenghuaFundCSIMainlandChinaLow-carbonEconomyETF516070.OFEFundCSIMainlandChinaLow-carbonEconomyETFEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202271RatingagenciesFundcodeShortnameoffundsSynTaoGreenFinance560560.OFTaikangFundsCSIMainlandChinaLow-carbonEconomyThemeETF516160.OFSouthernAssetManagementCSINewEnergyETF561900.OFCMFCSI300ESGBenchmarkETF512580.OFGFFundManagementCSIEnvironmentalProtectionIndustryETFWind515090.OFBoseraSustainability100ETF516830.OFFullgoalCSI300ESGBenchmarkETF510090.OFCCBSSESocialResponsibilityETF561900.OFCMFCSI300ESGBenchmarkETF510010.OFBOCOMSchrodersSSE180GovernanceETF516720.OFAXASPDBInvestmentManagersCSIESG120StrategyETFFTSERussell515090.OFBoseraSustainability100ETF510010.OFBOCOMSchrodersSSE180GovernanceETFTable43ESGFundsThatRankinTop50byFundESGRating（continued）4.2.2EmpiricalanalysisofESGratingatthefundleveToobservewhethertheESGratingsoffundproductspredictthenextyear'syield,thisreportusedregressionmodel(16)forstudy:inwhich,Fund_returni,t+1isthemonthlyyieldoffunds;ESGfund,i,taretheESGratingsoffundproductscalculatedbyeightESGevaluationsystemsofRefinitiv,FTSERussell,SynTaoGreenFinance,Sino-Securities,MioTech,Rankins,QuantData,andWind.Controlledvariablesincluderiskfactorandturnoverrate,andFEandmonthFEoffundproductswerealsocontrolled.Table44showsspecificvariabledefinitions.Fund_returni,t+1=α+βESGfund,i,t+∑γControlsi,t+Fund/MonthlyFE+εi,t+1（16）NameDescriptionFundyieldMonthlyendingreturnFundvolatilityStandarddeviationofmonthlyreturnFundESGratingWeightedcalculationbasedonESGratingsofcompaniesbyagenciesandfundpositionsRiskfactorThevolatilityoftheinvestmentportfoliorelativetotheoverallmarketFundturnoverrateTotalquantityofstockspurchased+totalquantityofstockssold/averagedailysizeofthefundwithinthestatisticalperiodTable44DefinitionsofVariablesofFundRegressionModelEmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202272Table45showstheregressionresults.TheESGfundratingsofRankins,Sino-Securities,andMioTechhadsignificantpositivecorrelationswiththenextyear'sfundyieldoffundproducts,whiletheESGfundratingsofRefinitiv,FTSERussell,andWindhadnegativecorrelationswiththenextyear'sfundyieldatthe1%significancelevel.TheregressionresultsoftheESGfundratingsofQuantDataandSynTaoGreenFinanceandthefundyieldwereinsignificant.AccordingtotheresearchconductedbyFolger-Larondeetal.(2020),sociallyresponsibleinvestmentoffundsdidnotperformbetterinadownmarket.TheresearchconductedbyKim&Yoon(2021)alsofoundthatUNPRIsignatoriesdidnotincreasetheweightedaverageESGscoresoffunds,andthereturnstheyearnhavefallen.TheresearchbyRaghunandan&Rajgopal(2022)foundthatESGfunds(i)gainlowerreturnsonshares,but(ii)chargehigheradministrativefees.TheresearchbyHalbritterandDorfleitner(2015)showedthatthescaleanddirectionofexcessreturnsofESGportfoliosdependslargelyonratingproviders,indicatinggreatdifferencesamongESGratingsandthenecessityforstrongercoordination.Similarly,aregressionanalysiswasconductedbasedonthecalculatedfundESGratingsandfundvolatility(seeEquation17),withresultsshowninTable46.Inthisequation,Fund_volatilityi,t+1representsthestandarddeviationofthemonthlyyield.TheESGfundratingsofRefinitivandFTSERussellhadnegativecorrelationswiththenextyear'svolatilityoffundproductsatthe1%significancelevel,whiletheESGfundratingsofRankins,QuantData,SynTaoGreenFinance,Sino-Securities,andMioTechhadpositivecorrelationswiththenextyear'svolatilityoffundproductsatthe1%significancelevel.TheESGfundratingsofWinddidnotsignificantlycorrelatewithfundvolatility.ExplainedvariablesFundyieldExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindFundESGrating-3.381-3.0844.600-3.6936.5813.7308.846-2.447(-9.87)(-2.82)(14.51)(-0.16)(0.73)(10.74)(4.29)(-3.84)Riskfactor-6.0484.7985.063-9.40615.57012.8743.77512.467(-4.03)(2.74)(7.19)(-4.04)(12.09)(17.68)(6.08)(10.93)Fundturnoverrate0.0310.0070.077-0.084-0.0220.0560.0520.059(1.62)(0.18)(5.01)(-2.09)(-0.47)(4.19)(3.95)(1.83)Samplesize227901825511145811540329508504012745742670Adj.R20.6000.4460.5930.4950.4440.5550.5840.439Table45ESGFundRatingandFundYieldNote:Table44showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.Fund_volatilityi,t+1=α+βESGfund,i,t+∑γControlsi,t+Fund/MonthlyFE+εi,t+1（17）EmpiricalResearchonESGRatingAnnualReportonESGInvestinginChina'sAssetManagementIndustry202273Table46ESGFundRatingandFundVolatilityExplainedvariablesFundvolatilityExplanatoryvariablesRefinitivFTSERussellRankinsQuantDataSynTaoGreenFinanceSino-SecuritiesMioTechWindFundESGrating-2.583-4.4217.6998.2234.6119.0281.487-0.018(-10.28)(-6.33)(32.72)(5.86)(7.36)(33.88)(9.52)(-0.04)Riskfactor4.6602.3946.5583.3242.3385.0576.1732.948(42.37)(21.34)(125.43)(23.24)(26.15)(90.49)(131.31)(37.39)Fundturnoverrate0.0090.0160.0110.0080.0230.0130.0080.024(6.53)(6.13)(10.06)(3.34)(6.82)(12.83)(8.34)(10.55)Samplesize227901825511145811540329508504012745742670Adj.R20.7780.7230.7240.7910.6530.7400.7420.660Note:Table44showsallvariabledefinitions;samplesizerepresentsthenumberofobservations.Adj.R2istheAdjustedRSquare.T-statisticsadjustedaccordingtoaggregationeffectatcorporateandannuallevelsarereportedinbrackets.,,andindicatethesignificanceatthe10%,5%,and1%levels,respectively.V.SurveyonESGInvestingintheChineseAssetManagementIndustrySurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202275TounderstandthelatestdevelopmentsofESGinvestmentinChina'sassetmanagementindustryinacomprehensivemannerandpromotedevelopmentofESGresearch,theresearchteaminitiatedasurveyonESGResponsibleInvestmentintheChineseMarketanddesignedtwoquestionnaires.OnewasaproductversionforcompaniesthathavereleasedESG-relatedproducts,and42questionnaireswerecollected.TheotherwasaninstitutionalversionnotexclusiveforcompaniesthathavereleasedESG-relatedproducts,and146questionnaireswerecollected.Themainfindingsandconclusionsofthisyear'squestionnairesareasfollows:DomesticassetmanagerscontinuetodeepentheirunderstandingofESGconcepts,graduallyposestrictrequirementsonthedefinitionofESGincorporationintoinvestmentpractices,anddriveESGinvestmentdowntoareasonablelevel.Inthissurvey,moreinstitutionschose"unfamiliar"regardingESGor"willconsiderinfiveyears"in2022thanin2021.MostinstitutionsbelievethatESGis"significanttosomeextent"toimproveperformancesofinvesteesandtheirowninvestment,whiletheproportionofrespondentswhobelieveESGtobe"verysignificant"decreasedslightly.IntermsofthetimerequiredforESGinvestmenttoachieveoutstandingperformance,theproportionofrespondentswhochose"noexcellentperformancewillbeachieved","7to10years"and"above10years"increased,whiletheproportionofthosewhochose"1to3years"and"3to5years"decreased,whichindicatedthatassetmanagersnowbelieveitwilltakelongerforESGproductstogainincomefrominvestment.Variousinstitutions'attitudestowardsESGseemstoreturntoareasonablelevel."Socialresponsibility","improvementofbrandimageandreputation"and"diversificationanddifferentiationofproductofferings"werethetopthreemajormotivationsforinstitutionstoinvestinESG.Comparedto2021,"socialresponsibility","improvementofbrandimageandreputation"insteadof"reduceinvestmentrisk"and"improvelong-termreturns"becamethetoptwomotivationsforrespondentstoadoptanESGstrategy,whichmaybeduetothefactthatdomesticinstitutionshavenotyetgainedsignificantexcessreturnsfromESGinvestment.However,ChinahaspromotedESGfromtoptobottom,arousingtheattentionofassetmanagerstoESGconcepts.Meanwhile,thisalsoindicatesthatdomesticinstitutionsbegintopayattentiontothelong-termpotentialbrandearningsbroughtbyESG,whichreflecttheupgradeanddevelopmentofESGinvestinginChina.AssetmanagerspayattentiontoESGexchangeandR&Dofstrategies,andthird-partyserviceinstitutionsappearthemainsupportforcesforESGefforts.IntermsofESGinvestmentactions,thetopicmostmentionedin2022was"attendrelatedmeetingsorganizedbyathirdparty",whichreflecttheincreasedattentionanddiscussiononESGfromallpartiesinthemarket.Ontheotherhand,astheChinaSecuritiesRegulatoryCommission(CSRC)explicitlyencouragesfundmanagerstodevelopESGproducts,49institutionschoseanewoptionof"developESG-relatedstrategiesorproducts"thisyear,whichaccountedforaround13%.Intermsoftheorganizationalstructure,comparedwith2021,theproportionofrespondentswhochosetheoptionof"equippedwithfull-timeESGresearchorinvestmentpersonnel"decreased,whiletheproportionofrespondentswhochosetheoptionof"hireathird-partyconsultants"increasedfrom1%to7%,whichindicatedthatsomeinstitutionsoutsourcedESGeffortstocontrolcosts.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202276Thematicinvestmentstrategyinsteadofnegativescreeningbecamethemostpopularstrategychoice,andshareholderengagementstrategygraduallyincreased.NearlyhalfoftherespondentsimplementedanESGstrategy.Inthecontextofcarbonpeakingandcarbonneutrality,green/sustainabilitybecamethemostpopularstrategictheme;negativescreeningrankedsecond,andtherehasbeenamarkedincreaseintheconsiderationofESGby"riskmanagementdepartment"ofassetmanagers.Thenumberofinstitutionsincreasedfrom10to26.ESGintegrationstrategyjumpedtothirdplace,conformingtothegrowingtrendofglobalESGstrategies.Inparticular,thescaleofshareholderengagementstrategyalsorose,andtheengagementbetweentheassetmanagersandinvestedcompaniesincreasedsignificantly.Withthegradualmaturityofshareholderactivism,thisstrategywillbecomeanimportantchannelforinstitutionstoimprovetheabilityofsystemicESGinvestment.LocalizationandspecializationofESGratingsystemsaretrending.TherearestillfewinstitutionsthathaveestablishedorareestablishingESGindicatorsystems,perhapsduetothelowrecognitionofESGinvestingatpresent,orcostconsiderationsofpurchasingdatasourcesandlaborcosts.However,itisworthnotingthatnearly70institutionsareindependentlyconsideringestablishingESGindicatorsystems,thenumberofinstitutionsthatignoredESGindicatorsystemsdeclinedyear-over-year.Inaddition,morethanhalfoftherespondentsgenerallyrecognizeESGratingsgivenbythird-partyinstitutionsinChinaandabroad,buttherecognitionofESGratingsgivenbydomesticinstitutionsexceedsthatgivenbyoverseasinstitutionsduetodifferencesinratingindicatorsathomeandabroad.AssetmanagersbelievetheESGassessmentframeworkprovidedbydomesticinstitutionsbetterreflectstheESGlevelinlinewithnationalprioritiesandismorerelevantfordomesticinvestment.Intermsofspecificindicators,comparedwithlastyear,theproportionofinstitutionsthatthinkcorporategovernanceisstillthemostinfluentialfactoroncorporateperformanceandbusinessperformanceamongthethreedimensionsofESGincreasedfrom62%to73%.Theimportanceofenvironmentalandsocialdimensionsdeclined,with14%and12%ofinstitutionsthisyearacknowledgingtheimportanceofenvironmentalandsocialdimensionstotheperformanceofinvestees.InstitutionshaveapositiveattitudetowardsESGinvestmenttogenerateexcessreturnsbutbelieveitrequiresanextendedtimeframe.OftheinstitutionsthatreleasedESGproducts,only10%believethatESGinvestmentscannotbringexcessreturns,whilemostinstitutionsbelievethatESGinvestmentsoccasionallyoroftenbringexcessreturns.Specifically,17institutionsbelievethatGdimensionindicatorswillbringexcessproductreturns,suchasthefrequencyofmanagerreplacement,employeecompensation,executiveincentives,andinformationdisclosurequality.SeveninstitutionsbelievethatEdimensionindicatorswillbringexcessreturnsvialeadinggreentechnology,greenphotovoltaic,low-carbonenvironmentalprotection,carbonemission,pollutiondischargeperformance,andothermaterialindicators.SixinstitutionsbelievethatallESGindicatorscandeliverAlpha.RegardingthetimewhenESGwillgainexplosiverecognition,comparedwith2021,theproportionof"inthenext5to10years"increasedfrom20%to40%;"withinthenext2years"decreasedfrom16%to10%;and"inthenext2to5years"decreasedfrom54%to48%.AsinstitutionsputESGconceptsintopractice,theygraduallyrealizethatittakeslong-termeffortstointegrateESGintotheprocessofresearchandinvestmentandtogainbenefits.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202277UnfamiliarHeardofInterestedwithoutpracticeVeryinterestedwithoutpracticeVeryinterestedandwillpracticePracticedFig.17Institutions'KnowledgeofESGInvesting20202021202212%5%11%30%9%22%14%13%29%12%11%23%21%36%24%13%9%6%5.1InstitutionalquestionnaireAtotalof146institutionsparticipatedinthisyear'squestionnaireforinstitutions,whichincluded138publicfunds,sevenassetmanagementdepartmentsofsecuritiescompanies/assetmanagementsubsidiaries,andoneinsuranceinstitution.Furthermore,thissurveycoverednearly90%ofthefundmanagementcompaniespublishedontheCSRC'sofficialwebsite.Comparedwith226institutions(including118publicfunds)in2020and159institutions(including122publicfunds)in2021,thisyear'sdatabetterreflectsthegeneralopinionsandevaluationofChina'spublicfundsonESGresponsibleinvestment.5.1.1OpinionsandunderstandingIn2022,theproportionofinstitutionsthat"practiced"ESGinvestingincreasedfrom6%to21%,reflectingthedeepeningunderstandingofESGinvestmentinthedomesticassetmanagementmarketandtheincreasingpracticeofESGconcepts.Accordingly,thenumberofinstitutionsthathearoforthatfeelinterestedwithoutpractice(includingtheoptionsof"heardof","interestedwithoutpractice","veryinterestedwithoutpractice"and"veryinterestedandwillpractice")accountedfor68%ofthetotalnumberofrespondents;thiswasdownsignificantlyfrom81%in2020.Thepercentageofinstitutionschoosing"unfamiliar"in2022wasslightlyhigherthanin2021.HSBC'sGlobalESGSentimentSurvey2022revealedthatmanyrespondentswereunsureoftheircompany'sapproachtoESG.TheresearchteaminferredthelackofaclearlydefinedframeworkforESGmayleadtouncertaintyabouttheunderstandingandpracticeofESGamongdomesticinstitutions,whichresultedinfluctuationsinthepercentageof"unfamiliar"institutions.AccordingtotheGlobalESGSurvey2021ofBNPParibas(BNP),22%ofglobalrespondentsincludedESGfactorsinatleast75%oftheirportfolios.Inthissurvey,thepercentageofinstitutionsthatchose"notyetconsidered"decreasedfrom21%in2020to18%.Thepercentageofthosethat"willconsiderinfiveyears"increasedsignificantlyfrom39%in2020to47%in2022.Itisworthnotingthat,comparedto2021,moreinstitutionschose"willconsiderinfiveyears"in2022than"lessthantwoyears","two-fiveyears",and"morethanfiveyears".ApossiblereasonmaybethatsomeinstitutionsbelievethereisstillalongwaytogofromconsideringESGtoincorporatingESGinvestmentpractices,whichrequireactiveexplorationandcontinuousoptimization.Asofthissurvey,51domesticinstitutionsincludedESGfactorsintotheirSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202278Similartoprevioussurveyresults,thevastmajorityofinstitutionsbelievetheESGconceptis"tosomeextentsignificant"forimprovingthelong-termperformanceofinvesteecompanies,accountingfor53%ofthetotalrespondentsandupfrom47%in2021.Thepercentageofthosethatchose"verysignificant"decreasedslightlyfrom47%in2021to36%.Comparedwith2021,fewerrespondentschose"notsure",whichindicatedtheytendtohavecleareropinions,andthepercentageofthosethatchose"beskeptical"(upfrom4%to7%)or"littlesignificance"(upfrom0%to3%)increased.However,bypracticingtheESGconcept,listedcompaniesshowedtheirconcernsforenvironmentalandsocialimpactsandimprovementoftheirinternalgovernancesystem,conformingtothecurrenttrendof"carbonpeakingandcarbonneutralitygoals"and"commonprosperity".Therefore,itisbeneficialtotheirlong-termsustainabledevelopment.Theproportionofinstitutionswithpositiveviewsisabsolutelydominant.202020212022investmentdecision-making(includingthosethatchose"lessthantwoyears"and"two-fiveyears",and"morethanfiveyears"),whichaccountedfor35%oftherespondentsthisyear.4%10%7%9%23%11%27%29%17%39%19%47%21%19%18%FormorethanfiveyearsFortwotofiveyearsForlessthantwoyearsWillconsiderwithinfiveyearsNotyetconsideredFig.18Institutions'ConsiderationofESGFactorsInInvestmentDecision-making202020212022Fig.19OpinionsofInstitutionsonESGFactors'EffectonImprovingLong-termPerformanceofListedCompanies43%47%36%46%47%53%5%4%7%4%3%1%1%0%3%VerysignificantTosomeextentsignificantBeskepticalNotsureLittlesignificanceSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry20227920%28%23%65%59%63%8%11%8%6%3%3%1%0%3%VerysignificantTosomeextentsignificantBeskepticalNotsureLittlesignificanceFig.20OpinionsofInstitutionsonESGFactors'EffectonImprovingTheirOwnInvestmentPerformance202020212022Regardingimprovementofinstitutionalinvestmentperformance,mostrespondentsthinktheESGconceptis"tosomeextentsignificant",accountingfor63%;meanwhile,thepercentageofthosewhobelieveitis"verysignificant"decreasedslightly23%.Comparedwith2021,somerespondentswhowere"beskeptical"nowconsiderESG"littlesignificance".WhetherESGinvestmentscanbringexcessbenefitshaslongbeenacontroversialtopic.Atzetal.publishedtheirlatestliteraturereviewin2022.Afterexamining1,141papersand27meta-reviews(basedon~1,400basicstudies)publishedfrom2015to2020,theauthorsconcludedthefinancialperformanceofESGinvestmentsdidnotdifferfromtraditionalinvestmentsonaverage,withonlyone-thirdofstudiesshowingthatESGinvestmentsoutperformedtraditionalinvestments.ManydomesticsecuritiescompanieshavealsocarriedoutresearchonwhetherESGimprovedreturns,butthedatasupportednoconclusionsasyet.TheESGinvestmentpracticeinChinahasjuststarted,andwhetheritbringsexcessreturnsbeyondbenchmarksandthemarketisunclear.Thesurveyresultssuggestthatwestillholdacautiousbutpositiveattitude.AccordingtotheHSBC'sGlobalESGSentimentSurvey2022resultscovering528financialinstitutions,attractingcapitaldrivesESGinclusion,followedbypeer-pressure,whileperformanceisoneoftheleastimportantconsiderations.However,thissurveyshowedthat"attractcapitalinflows"and"pressurefrompeers"werenotthemainmotivatorsfordomesticassetmanagementinstitutionstomakeESGinvestments.Comparedwith2021,"socialresponsibility","improvebrandimageandreputation"insteadof"reduceinvestmentrisk"and"improvelong-termreturn"tiedwith"diversifyanddifferentiateproductofferings"becamethemajormotivators,whichmaybeduetothefactthatdomesticinstitutionshavenotyetseensignificantexcessreturnsfromESGinvestments.However,ChinahaspromotedtheESGconceptfromtoptobottom,arousingtheattentionofassetmanagementinstitutions.Furthermore,thisalsoindicatedthatdomesticinstitutionsbegantopayattentiontothelong-termpotentialbrandearningsbroughtbyESG.Inaddition,thesurveyshowsthatmanyinstitutionspracticetheESGconceptfor"reduceinvestmentrisk"and"improvelong-termreturn".Thismaybeduetothelong-termnetvaluemanagementSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202280Fig.21Main(orPossible)MotivationsforESGInvestments(multiplechoice)PercentageAbsolutenumberNote:The2021questionnairewasoptimizedbyaddingtheoptions"respondtointernationalclientrequests"and"attractcapitalinflows".ofpublicfundsinChina,whichindicatesinvestorsaremoreconcernedaboutwhetherpubliclyofferedproductscanbringexcessreturns.10%8%6%6%5%3%3%14%12%12%11%10%1058989817872594843362422EnhancesocialresponsibilityImprovebrandimageandreputationDiversifyanddifferentiateproductofferingImprovelong-termreturnsReduceinvestmentriskFollowregulatorytrendRespondetodomesticclientrequestsPressurefrompeersAttractcapitalinflowsRespondtointernationalclientrequestsRespondtoshareholders'requestsFollowcorporateculture,boardofdirectors/executivesinstruction5.1.2OrganizationalstructureandexternalresourcesAtpresent,institutionsrollouttheirworkintheESGfieldinanall-aroundway.Specifically,theESGconceptisprevalentinthedomesticassetmanagementmarket,andallmarketpartiespaymoreattentiontoESGwithincreasinginterest.ESG-relatedconferencesprovidemoreopportunitiesformarketparticipantstocommunicateandlearnfromeachother.Comparedwith2021,whenonly17%ofinstitutionschoseto"attendESG-themedconferences/participateinsell-sideroadshows",thisoptionhasbecomeanimportantwayfor27%ofinstitutionstocarryouttheirESGworkin2022.Toachievehigh-quality,green,andsustainableeconomicdevelopment,allpartiesinthemarketarediscussingthedirectionandprospectofESGdevelopment.Thesell-side,buy-side,andregulatorscontinuouslyexchangeideas,layingafirmfoundationforESGdevelopment.Inaddition,institutionsalsofocuson"providetrainingonESGrisksandopportunitiesforemployees","developESG-relatedstrategiesorproducts",and"purchaseESGdataorESGratings".CSRCissuedseveralpoliciesthisyeartoencourageandpromotethedevelopmentofESGfundinvestment,includingthe"CircularonInstitutionRegulation"releasedinMayofthisyear,whichSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202281103%63%49%44%33%32%26%22%14%Fig.22Institutions'workandachievementsinESGInvestment(multiplechoice)AttendESG-themedconferences/participateinsell-sideroadshowsProvidetrainingonESGrisksandopportunitiesforemployeesDevelopESG-relatedstrategiesorproductsPurchaseESGdataorESGratingsNorelevantneedandnotyetconcernedabountthetopicEngagethird-partyadvisorstooptimizeinternalESGstrategiesDevelopeESGinvestmentnorms,systemsorguidelinesCarryoutroadshowsonESG-relatedtopicsEstablishESG-relatedassessments,incentives,andpunishmentsmeasuresNote:The2022questionnairewasoptimizedbyaddingtheoptionsof"developESG-relatedstrategiesorproducts","developESGinvestmentnorms,systemsorguidelines",and"carryoutroadshowsonESG-relatedtopics".Fig.23TargetedArrangementsforESGInvestmentsintheOrganizationalStructureHaveestablishedanindependentESGteamordepartmentHaveequippedwithfull-timeESGresearchorinvestmentpersonnelHavenofull-timeESGstaff,butpart-timeHaveengagedathird-partyconsultantsNospecialarrangements7%19%28%1%45%8%9%27%7%50%20212022explicitlyencouragesfundmanagerstodevelopESGproducts.Thus,theoptionof"developESG-relatedstrategiesorproducts"wasaddedthisyear,and49institutionschoseit,whichaccountedfor~13%.NotmanyinstitutionscurrentlyconductESGworkthroughmeasuressuchas"engagethirdpartyconsultantstooptimizeinternalESGpolicy/strategy","developESGinvestmentnormsorsystemsorguidelines",and"establishESG-relatedassessment,incentivesandpunishmentmeasures",whichrequiresimprovement.ThisindicatesthereisroomforimprovementintheESGmechanismandecosystemconstruction,andmorestandardizedandsustainableESGinvestmentpracticesareyettobedeveloped.Intermsoforganizationalstructure,althoughtheestablishmentofanESGteamrequireshumanresourcecostsandothercompanyresources,largeleadinginstitutionsaremakingattemptsandtakingaction.Atpresent,ESG-relatedworkismainlycarriedoutbyfull-timeorpart-timestaff.About27%oftheinstitutions"havenofull-timeESGstaff,butpart-time",around9%"haveequippedwithfull-timeESGresearchorinvestmentpersonnel",and8%"haveestablishedanindependentESGteamordepartment".Comparedto2021,theproportionofrespondentswho"haveequippedwithfull-timeESGresearchorinvestmentpersonnel"decreased,whiletheproportionofrespondentswho"haveengagedathird-partyconsultants"hasincreasedfrom1%to7%,indicatingthatsomeinstitutionsoutsourcedESGeffortstocontrolcosts.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202282Fig.24DepartmentsLeadingtheExerciseofESGInvestmentStrategies20212022Note:The2022questionnairewasoptimizedbyaddingtheoption"boardofdirectors".20212022Fig.25DepartmentsImplementingESGStrategiesinInvestmentDecision-making(multiplechoice)NospecialarrangementsESGdepartmentInvestmentdepartmentResearchdepartmentMarketingdepartmentRiskmanagementdepartmentScienceandtechnologydepartmentOtherdepartments28%10%25%22%2%4%8%1%24%2%26%26%6%10%4%1%21%11%22%0%46%10%3%23%2%62%OtherdepartmentheadsHeadofESGdepartmentSeniormanagementBoardofdirectorsNospecialarrangementsAsforthedepartmentsorrolesthattaketheleadinformulatingESGstrategies,34institutionshavetheirESGstrategiesformulatedandimplementedbyseniormanagement.ThissquareswiththeunderstandingthatimplementationofESGrequiresinternalconsensus.ImplementationofESGworkrequiresinstitutionstoinputresourcesbyoutsourcingdataorconsultingservices,whichlowersshort-termprofits.Therefore,theeffortsofhigh-levelemployeestopromoteESGstrategiescancreateasynergyamongalldepartmentsofinstitutionstopromotetheESGpractice.However,moreinstitutionschose"nospecialarrangements"thanin2021,possiblybecausetheyareintheESGexplorationstageorhavenotyetstartedESG-relatedwork.AccordingtotheGSIA,ESGintegrationhasreplacednegativescreeningasthemostpopularsustainableinvestmentstrategy.ESGintegrationmeansESGincorporationintoallaspectsoftheexistinginvestmentprocess.Therefore,itisimportantforalldepartments,includinginvestmentdepartment,researchdepartment,andriskmanagementdepartment,toconsiderESGfactors.Comparedwith2021,therewasasignificantincreaseinESGconsiderationbythe"riskmanagementdepartment"ofrespondents,(from10to26).GuosenSecuritiesmentionedin"HowESGAffectsInvestmentPerformance"that,"ESGcanbeconsideredasariskassessmentmodelforcompanies".ExistingESGdatafocusesonminingqualitativeindicatorsincorporateoperationssuchascorporatepenaltiesandexecutivechanges,whichisofpositivesignificanceforavoiding"blackswan"eventsintheinvestmentprocess.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202283TherearestillfewinstitutionsthathaveestablishedorareestablishingESGindicatorsystems,perhapsduetothelowrecognitionofESGinvestmentatpresent,orcostconsiderationsregardingpurchasingdatasourcesandlaborcosts.However,itisworthnotingthat70institutions,accountingfor48%ofthetotalnumberofrespondents,areconsideringestablishingESGindicatorsystemsindependentlyinthefuture.ThenumberofinstitutionsthatdonotfactorESGindicatorsystemsdeclinedyear-on-year.AssetmanagementinstitutionshaveincorporatedtheirowninvestmentmethodologiesandinvestmentpreferencesintotheirESGindicatorsystems.ComprehensivelyconsideringtheimportanceofESGtopicsindifferentindustriesbasedontheuniquenationalconditionsofthecountrycanbetterpracticethelocalizedESGconceptinChina.WithESGdevelopment,moreinstitutionswillestablishtheirownESGindicatorsystemstoserveESGinvestmentsandpracticesinthefuture.IntermsofESGdatasupportandsources,therespondentschoseabalancedpreferenceforpreferreddatasources,withnoabsolutedominantoption.Thetopthreechoiceswere"governmentorserviceagencydata","third-partyrating,rankingorindexes",and"third-partydataproviders",accountingfor17%,17%,and16%,respectively.Theleastpreferredsourcewas"NGOreport",whichaccountedfor9%.Fromthebeginningof2022,therehasbeenasignificantincreaseinthenumberofinstitutionsthathaveacquireddatasourcesthroughdirectcorporateengagement,andacertainpercentageofinstitutionshaveadoptedactiveownershipasoneoftheirESGpracticestrategies.AccordingtotheresearchofKruegeretal.(2020),long-term,larger,ESG-orientedinvestorsbelievethatabetterapproachtoclimateriskisriskmanagementandactiveengagementratherthandivestment.BNP'sESGsurveyofoverseasinvestorsalsoindicatedtheincreasingroleofcorporateengagement.Overseasinvestors'contactwithinvesteecompanieswasnotlimitedtoproxyvotingbutalsoincludedmeetingswithcompaniestopositivelyinfluenceESGperformanceofinvesteecompanies.Inaddition,theproportionofsell-sideresearchasapreferreddatasourcealsoincreased.Asnotedinthisreport,asofJune30,2022,therewere296reportsincluding"ESG"intheirtitles.Inthefirsthalfof2022,106researchreportswerepublished.Thisisapositivesignthattheincreaseinsell-sidereportsreflectsthemarket'sinterest,attention,anddemandforESG.Intermsofcompanyreport,accordingtotheChinaSustainableInvestmentReview2021releasedbySynTaoGreenFinance,from2021toOctober27,2022,22%30%28%21%48%25%16%10%No,itwillbeestablishedinthefutureNoYes,thesystemisbeingestablishedYes,thesystemhasbeenestablished20212022Fig.26InstitutionsThatHaveEstablishedTheirOwnSystemofESGInvestmentIssuesSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202284MorethanhalfofrespondentsbelievetheESGratingsprovidedbydomesticandforeignthird-partyinstitutionscanbeusedasareferenceformakinginvestmentdecisions,whileESGratingsprovidedbydomesticinstitutionsaremorewidelyrecognizedthanthoseprovidedbyforeigninstitutions.ApossibleexplanationmaybethattheunderstandingoftheChinesemarketbyforeignratingagenciesneedsimprovement,andtheESGassessmentframeworkprovidedbydomesticagenciesbetterreflectstheESGlevelinChinaandismoremeaningfulasareferencefordomesticinvestment.atotalof1,139A-sharelistedcompaniesreleased1,1502020corporatesocialresponsibility(CSR)reports.Thatnumberaccountedfor24.9%ofalllistedcompanies.AstheoveralldisclosureofA-shareCSRreportshasincreasedsignificantly,thetransparencyofESGinformationdisclosurewillbecomeinevitable,whichwillenrichtheESGdatasourcesofcompanies.However,Chinahasnotyetformedmarket-wide,unifiedESGdisclosureguidelines,andalongroadaheadtoimproveitsowndatasystem.17%Third-partyrating,rankingorindexes16%Third-partydataproviders9%NGOreport14%Companyreport12%Sell-sideresearch17%Governmentorserviceagencydata15%DirectcorporateengagementFig.27PreferredDataSourceforESGStrategy(multiplechoice)Note:The2022questionnairewasoptimizedbyremovingtheoptionsof"regulatorydocuments"and"alternativedata"andincludingtheirpreviousyears'datain"others".1%3%5%3%19%16%23%16%51%62%NotacceptedHighlyacceptedNotsureBeskepticalGenerallyacceptedFig.28Institutions'AttitudesTowardDomesticandForeignESGRatingsForeignratingsDomesticratingsSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry2022855.1.3StrategyandanalysissystemAnESGstrategysystemisawaytopracticetheESGconcept.Intermsofinvestmentstrategy,nearlyhalfoftherespondents(59),haveimplementedESGstrategiesintheirinvestments.Amongthem,green/sustainablethematicinvestment,23%percent,havereplacednegativescreening(22%)tobecomethemostpopularstrategicchoicein2022,whileESGintegrationhasleapfroggedtothird(21%).Inaddition,12%and11%ofinstitutionschoseshareholderengagementandpositivescreening,respectively,whilenorm-basedscreeningandimpactinvestmentwerechosenby9%and2%respectively.HSBCpointedtoESGintegrationasthemostpopularstrategyasAUMincreases.InChina,ESGintegrationhasgainedmorerecognitionsince2020,conformingtoglobalESGstrategydevelopment.ThepopularizationoftheESGsustainabilityconceptshowsthatanincreasingnumberofdomesticinstitutionshavesystematicallyincorporatedfactorssuchasenvironmentalprotection,socialresponsibility,andcorporategovernanceintotheirtraditionalfinancialandvaluationanalysisprocess,andgraduallydevelopedmatureESGinvestmentframeworksandsoundevaluationindexsystems,narrowingthegapwithmatureforeignmarkets.Inaddition,thepopularityofshareholderengagementhasincreasedovertime.Moreandmoreinstitutionswillfullyexerciseshareholders'rightsandfacilitatetheinvesteeseffortstoattachimportancetoESGtopicsbyattendingshareholders'meetingsandcommunicatingwiththeboardofdirectorsormanagement.Inthefuture,withthedisseminationoftheconceptofimpactinvestment,thisstrategywillbecomeanimportantchannelforinstitutionstoimprovetheabilityofsystemicESGinvestment.Fig.29ESGStrategyImplementationin2020-2022(multiplechoice)202020212022Others,suchasimpactinvestmentNorm-basedscreeningShareholderengagementESGintegrationGreen/sustainablethematicinvestmentPositivescreeningNegativescreening1%5%2%6%9%9%9%10%12%8%14%21%18%18%23%24%19%11%34%26%22%Accordingtothesurvey,respondentsbelievethecorporategovernancedimensionstillhasthegreatestimpactoncorporateperformanceandoperationalperformanceamongthethreeESGdimensions.Comparedwithlastyear,thepercentageofinstitutionsholdingthisviewincreasedfrom62%to73%;theimportanceofenvironmentalandsocialdimensionsdeclined,with14%and12%ofinstitutionsthisyearacknowledgingtheimportanceofenvironmentalandsocialdimensionstoinvesteesperformance.TheGfactorreflectsthelevelofcorporategovernance,andalsoincorporateethicsandconcernforlong-terminterests.LinWei,HeadofESGatKPMGinChina,pointedoutthatcorporategovernanceisthecoreandstrategiccornerstoneofESG,andthatonlybystrengtheningcorporategovernancecanwefundamentallySurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202286promotethecontinuousimprovementofenvironmentalandsocialbenefitsandachievelong-termstabilityandprosperity.Regardingthemoreimportanttopicsundereachprimaryindicator,thesurveyshowedthat:intheenvironmentaldimension,"resourceconsumptionperformance:energy,water,materialresources,andlandconsumption","environmentalriskeventandresponse:violationsandpenalties,etc.",and"climatechangeresponsesystemanddata:physicalandtransitionrisks"arethethreedimensionsthatinstitutionsbelieveshouldreceivefocus.Inthesocialdimension,"productresponsibility:productqualityandsafety,productinnovation,etc.","marketresponsibility:anti-monopoly,patentprotection,etc.",and"stakeholderresponsibility:consumerrights,supplychainmanagement,debtormanagement,etc."rankasthetopthree.Inthegovernancedimension,"internalcontrolandaudit:performancemanipulation,financialfraud,corruption,etc.","riskmanagement:managementsystem,legalproceedings,ESGrisk/climateriskmanagement,etc.",and"informationdisclosure:managementsystem,timelinessandeffectiveness,etc."werethetopthree,andconsideredbyinstitutionsasimportantindicatorsformeasuringinvesteevalues.AccordingtotheHSBCESGSentimentSurvey2022,amongenvironmentalfactors,decarbonizationisaprominentenvironmentalissuethatrespondentsintendtofocusoninthenext12months;intermsofsocialfactors,humanrights,genderdiversity,employment,anddataprivacyweremajorconcerns.Ingovernance,corporatecultureandboardefficiencywerepriorities.Webelievethatnationalconditionsdifferacrossnations,andinstitutionalinvestorsshouldfullyconsiderthedifferencesbetweendifferenteconomiesandbuildlocalizedESGsystems,conducivetoESGdevelopmentoverall.62%73%17%12%21%14%G(corporategovernancefactorsandrelatedissues)S(socialfactorsandrelatedissues)E(environmentalfactorsandrelatedissues)Fig.30FactorswiththeGreatestImpactonPerformanceofInvestees20212022Fig.31RankingofInstitutions'DegreeofConcernofEnvironmentalFactors(multiplechoice)21%19%17%15%15%13%Resourceconsumptionperformance:energy,water,materialresources,andlandconsumptionEnvironmentalriskeventandresponse:violationsandpenalties,etc.Greenbusiness/technology:theproportionofgreenbusiness,greenR&Dinvestment,etc.Climatechangeresponsesystemanddata:physicalandtransitionrisksPollutantdischargeperformance:wastewater,solidwaste,andwastegasConstructionofenvironmentalmanagementsystem:enterpriseenvironmentalperformancemonitoring,stafftrainingofenvironmentalprotection,etc.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202287Fig.34ProportionofESG-themedProductsinInvestments68%12%6%3%12%0-10%10-20%20-30%30-50%Morethan50%26%22%21%18%13%Fig.32RankingofInstitutions'DegreeofConcernofSocialFactors(multiplechoice)Productresponsibility:productqualityandsafety,productinnovation,etc.Marketresponsibility:anti-monopoly,patentprotection,etc.Stakeholderresponsibilities:consumerrights,supplychainmanagement,debtormanagement,etc.Socialresponsibility:communitydevelopment,publicwelfare,nationalstrategicplanning,socialatmosphere,etc.Employeeresponsibility:employeeremuneration,careerdevelopment,healthandsafety,etc.16%15%14%13%12%12%10%9%Fig.33RankingofInstitutions'DegreeofConcernofGovernanceFactors(multiplechoice)Internalcontrolandaudit:performancemanipulation,financialfraud,corruption,etc.Riskmanagement:managementsystem,legalproceedings,ESGrisk/climateriskmanagement,etc.Informationdisclosure:managementsystem,timelinessandeffectiveness,etc.Boardofdirectors:decision-makingindependence,independentdirectors,etc.Seniormanagement:frequencyofchanges,incentives,etc.ESGgovernance:governancestructure,independentthird-partyassurance,etc.Shareholders:changeofcontrol,dividends,reinvestment,etc.Boardofsupervisors:whetheritperformssupervisoryfunctions5.1.4ProductissuanceandperformanceESG-themedproductscurrentlyaccountforalimitedshareofthetotalAUMinthedomesticmarket,andthereissignificantroomforgrowthcomparedwiththeglobalsustainableproductpenetrationrateof36%in2020accordingtotheGSIA.Amongthe146respondents,50haveissuedESGorsustainability-relatedthemedproducts(34%).IntermsoftheESGproportionorsustainability-themedproductstotheAUM,80%ofinstitutionshavetheirsustainableinvestmentproductproportioninthe"0-10%"or"10-20%"range.Lookingahead,44%(64)ofinstitutionsbelievethatESGinvestmentsorsustainability-relatedthemedproductswillgrowinthenextSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202288Fig.35EstimatedProportionofESG-themedProductsinInvestmentsintheNext2Years39%33%19%6%3%0-10%10-20%20-30%30-50%Morethan50%twoyears,with25institutionstargeting"0-10%"fortheirproportionofESG-themedproductsintotalinvestmentsoverthenexttwoyears,and21expecttoincreasetheirpercentageto"10-20%",and12consider"20-30%".Justlikelastyear,themajorityoffundsbelievethatESGproductsneed3-5yearstoachievesuperiorperformance,whilsttheperformanceassessmenttermofmostfundcompaniesis1to3years.ThemismatchbetweentheperformancemanifestationcycleandtheperformanceassessmentcyclemayhinderESGproductdevelopment.ThewaytheassessmentmechanismbalancesthetimerequiredforESGproductstoperformandthefundmanager'sinvestmentperformanceevaluationcycleisanecessaryconsiderationtoconstructanESGecosystem.Intermsofchanges,theproportionofrespondentswhochose"nosuperiorperformancewillbeachieved","7to10years"and"above10years"increased,whiletheproportionofthosewhochose"1to3years"and"3to5years"decreased,whichindicatedthatinstitutionalinvestorsnowbelieveitwilltakelongerforESGproductstobringrealinvestmentreturns.1%5%6%3%28%27%50%40%11%11%4%7%1%8%Nosuperiorperformancewillbeachieved6monthsto1year1to3years3to5years5to7years7to10yearsAbove10yearsFig.36TimeRequiredforESGProductstoAchieveSuperiorInvestmentPerformance202120225.1.5ChallengesanddirectionsforimprovementThemainchallengeforresponsibleESGinvesting,consistentwithlastyear'ssurveyresults,isthat"ESG-relatedinformationisdifficulttoobtainandtheinformationisincompleteandhaslowcredibility".Accordingtothesurvey,14%ofinstitutionsbelievethe"lackofstandardizedESGdisclosurerules"makesitmorechallengingtocarryoutESGinvestment.Atthemarketlevel,12%oftheinstitutionsbelievethat"thevaluetobegainedfrompracticingESGisuncertainorinsignificantandthemotivationisinsufficient".Atthesametime,"lackofstandardindustryindicatorstomeasureESGinvestmentperformance"and"themarketacceptanceofESGresponsibleinvestmentislow"arealsoimportantbarriershinderinginstitutionsfrominvestinginESG.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202289Moreover,"promoteandencourageESGresponsibleinvestmentfromtoptobottomandprovidepreferentialpoliciesbyregulators"isconsideredthemosteffectivewaytourgeinstitutionstopracticeESGinvesting.Inaddition,"improvethequalityofcorporateinformationdisclosureandincreasetheavailabilityofdatapoints"and"providelong-termincentivesforthosewhomakeinvestmentdecisions"areasimportantfactors.Currently,sinceESGinvestinginChinaisstillinthedevelopmentalstage,activeparticipationofallpartiesisstillneededtoformulatestandardsintermsofaregulatorysystem,informationquality,andresultsevaluationtoregulateandpromotethehealthyindustrydevelopment.Inaddition,ESGinvestingneedsbetterpromotion,andmanyfundmanagersbelievethatESGinvestmentshaveinsufficientclientdemandandlowsocialawareness.Therefore,itisnecessaryforacademiaandtheindustrytoworktogethertopromoteinvestoreducation,popularizetheESGinvestingconcept,andtrainmorerelevantprofessionals.Fig.38MostEffectiveWaystoPromoteInstitutions'ESGInvestment(multiplechoice)14%12%11%9%9%9%8%8%8%7%6%PromoteandencourageESGinvestmentfromtoptobottomandprovidepreferentialpoliciesbyregulatorsStrengtheninvestoreducationonESGresponsibleinvestmentImprovethequalityofcorporateinformationdisclosureandincreasetheavailabilityofdatapointsExtendingtheevaluationperiodforinvestmentperformanceAcademicresearchprovidesevidencethatESGintegrationhelpstoimprovefinancialperformanceProvidelong-termincentivesforthosewhomakeinvestmendecisionstEstablishaninvestmentmodelthatexplicitlyincorporateESGfactorsSuperiorperformanceofinvestmentsthatintegrateESGfactorsMorecustomerdemandsEnhancegreaterconsistencyamongESGdataratingprovidersThesupplyofESGtalentFig.37MajorChallengesforInstitutionstoPracticeESGInvesting(multiplechoice)15.8%14.4%12%11%10.4%9.1%7.7%7.2%6.9%5.6%ESG-relatedinformationisdifficulttoobtainandtheinformationisincompleteandhaslowcredibilityLackofstandardizedESGdisclosurerulesThevaluetobegainedfrompracticingESGisuncertainorinsignificantandthemotivationisinsufficientInsufficientunderstandingofESG,lackofsupportfromexecutives,andlackofcorrespondingresourceLackofstandardindustryindicatorstomeasureESGinvestmentperformanceThecostofanalysisdata/toolsThemarketacceptanceofESGresponsibleinvestmentislowAvailabilityofhigh-qualityskilledmanagersand/orqualitystrategiesTheinvestmentstrategyfocusestoomuchonshort-terminvestmentperformanceConflictsAmongthird-partyESGratings/scoresSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202290DomesticinvestmentinstitutionsBankwealthmanagementcompaniesInternationalinvestmentinstitutionsDomesticassetownersInternationalassetownersFig.39MajorClientTypesofESGProducts20212022Note:The2022questionnairewasoptimizedbyremovingtheoptionsof"sovereignwealthfunds"and"insuranceassetmanagementinstitutions",whicharethereforeexcludedfromtheanalysis.5.2ProductquestionnaireThisyear'sproductversionquestionnairewasdesignedforassetmanagementinstitutionsthatofferedESG-themedfundsforexplorationindepthfromtheperspectivesofclientportrait,emphasisonESG,selectionofESGfundmanagers,verificationofESGratingresultsbythird-partyagencies,decision-makingprocessforincorporatingESGfactorsintoinvestmentanalysis,andtheexcessreturnofESGinvestment.Atotalof42professionalversionsofquestionnaireswererecoveredthisyearfromvarioustypesofassetmanagerssuchasstate-ownedinstitutions,privateinstitutions,andsino-foreignjointventures.Thepositionsofrespondentsincludefundmanagers,salesmanagers,ESGresearchers,senioranalysts,vicepresidents,andothercoreroles.5.2.1ClientportraitandstaffingAmongtheinstitutionsparticipatinginthe2022survey,18respondents(43%)indicatedtheydevelopedESG-relatedproductsinresponsetorequestsfromdedicatedESG-relatedaccountsorclientsundermanagement.Furthermore,50%oftheseinstitutionsindicatedtheirprimaryESGclientsourcesweredomesticassetmanagementinstitutions,and17%reliedmoreonforeigninstitutions,asignificantincreasefrom44%and3%in2021,whiletheproportionsofdomesticandinternationalassetownersdeclinedcomparedto2021.Comparedwithassetowners,assetmanagersupheldasenseofsocialresponsibility.TheyunderstoodandlearnedtheESGconceptfasterandquicklyseizedESGinvestmentopportunitiestobecomemainstaysforthedevelopmentofESGinvesting.Ontheotherhand,asdomesticsocialsecurityfundsandmoreassetmanagersattachimportanceto,recognizeandpracticetheESGconcept,thedemandforESGproductsfromlocalinvestorshasincreasedsignificantly.Comparedwith44%in2021,halfoftherespondentsthisyearwilldirectbuy-side'sattentiontotheESGconceptduringtheroadshow.ThedisseminationandintroductionofESGissignificantforinstitutionalmarketingandwillhelppotentialclientgroupssuchasbanks,insuranceinstitutions,andoverseasinstitutionspracticingtheESGtorecognizeESGproducts.44%6%3%38%9%50%6%17%22%6%SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202291YesNoFig.40WhetherhaveDirectedBuy-side'sAttentiontoESGConceptDuringRoadshow30%Richinvestmentexperienceinavarietyofindustries18%Investmentstyleisvalueorientedandgrowthoriented33%HaveinvestmentexperiencerelatedtoESG8%Haveexperienceinquantitativeinvestment11%NospecialrequirementsFig.41SelectionCriteriaofESGFundsforInvestmentManagers2021202256%44%50%50%RegardingfundmanagersofESGproducts.Inthisyear'ssurvey,33%oftherespondentschosefundmanagerswho"haveinvestmentexperiencerelatedtoESG",30%chosethosewhohave"richinvestmentexperienceinavarietyofindustries",18%chosethose"investmentstyleisvalueorientedandgrowthoriented",11%hadnospecialrequirementsforfundmanagers,8%preferredthose"haveexperienceinquantitativeinvestment",sothattheycanbetterhandlemassivealternativedata,backtestingandmodelbuildinginESGinvestments,andfocusonquantitativefactorsandexcessreturnsinwork.Inaddition,itisworthmentioningthatmoremainstreampublicfundsnowrecruitfreshgraduatestoexploretheESGindustry.Inthefuture,asthesupplyofESGtalentsincreases,morefundmanagerswithprofessionalESGinvestmentanalysiscapabilitieswillcontributetothestandardizationandproductinnovationofESGfunds.5.2.2ESGstrategiesandratingsystemsSurveyresultsindicatethatmostinstitutionsthatissueESGproductsstillapplytheESGstrategyofnegativescreening,toscreenoutindustriesorcompaniesthatdonotmeritinvestmentorhavelowESGratingsinthethreeESGdimensions.SomeinstitutionsregularlyeliminatecompanieswithlowESGratingsforadynamicadjustmentofthestockpool.Sincethebeginningof2022,morethan40%ofinstitutionshavesetupaninvestmentexclusionlistbasedonESGstrategies,anincreaseof~12%comparedtolastyear.Amongthethreedimensions(E,S,andG),institutionsplacemoreimportanceoncorporategovernanceandsetabottomlinetobaninvestmentsincompanieswithfinancialfraud,SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202292executivepunishment,andchaoticgovernance.Forenvironmentalandsocialdimensions,institutionsassesswhethertheindustryinwhichacompanyoperatesalignswiththedirectionofnationaldevelopmentandwhetherithasanegativeimpactonsociety.Forexample,companiesproducingtobaccoandwhitephosphorusweapons,withhighcarbonemissions,maybeincludedintheprohibitedinvestmentlist.ESGintegrationalsoplaysanimportantrole,meaningESGissystematicallyconsideredthroughouttheinvestmentanalysisandinvestmentdecision-makingprocess.Inparticular,duringthepre-investmentstage,institutionsbuildESGunderlyingdatathatincludeESGcoreindicators.Uponinvestment,theyuseself-developedESGinvestmentmodelstoformcompanyESGassessments,andinthepost-investmentstage,theyconductback-testingdiscussionsandinteractwithinvesteecompanies.ActiveownershipisalsooneofthemostimportantstrategiesforinstitutionstoimplementESGinvesting.62%oftherespondentshaveactivelyengagedindialoguesonESGtopicsinthecommunicationwiththeinvesteecompanies,whileonly19%oftherespondentsdidsolastyear.InstitutionsfocusonthecorporategovernanceofinvesteecompaniesandtheirachievementsinESGeffortsandencouragelistedcompaniestoactivelydiscloseESG-relatedinformationthroughexecutivecommunicationsandotherchannels.Forexample,pollutiondischargeinquiriesofachemicalcompanyisadirectcommunication.Fig.42InvestmentExclusionListBasedonESGStrategies2021202272%28%40%60%YesNoWiththegradualimprovementoftheESGinvestmentsystem,anincreasingnumberofthird-partyESGratingagenciesplayanactivemarketrole.Surveyresultsshowthat64%ofinstitutionswillnotverifytheESGratingresultsprovidedbythirdparties.Theremaining36%verifyESGresultsprovidedbythirdpartiesbyapplyingvariousmethods,includingfactoranalysis,quantitativebacktracking,cross-validationofmultipledatasources,andcomparisonandverificationwiththeirowndata.Comparedwith2021surveyresults,thepercentageofinstitutionsverifyingthird-partyESGratingresultsincreasedsignificantly,whichreflectstheimprovementofdomesticassetmanagementinstitutionsintheevaluationofESG-relateddata.Verifyingthird-partyratingsisareasonableapproach.Duringtheinterviews,someinstitutionspointedoutthelackofauniformorobjectivestandardforESGratings,whichimpliedacertainextentofsubjectivejudgment.Thedifferencesinkeytopicsandempowermentmethodsaffectthematerialityofindustrytopics,whichdirectlyaffectESGratings.Therefore,itisreasonableforinstitutionstobecautiousaboutESGratingsystemsofthird-partyagencies.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202293Fig.44WaystoVerifyESGRatings36%22%21%21%QuantitativebacktrackingCross-verificationofmultipledatasourcesVerificationwithowndataOtherFig.43VerificationofThird-partyESGRatings2021202277%23%36%64%YesNo5.2.3EmphasisonESGandexcessreturnsThesurveyresultsshowedthat33%ofinstitutionsin2022believedtheypaidmoreattentiontoESG,mainlyduetothealignmentofESGinvestmentwiththecountry'sdevelopmentprospect(31%),thegradualimprovementofESGsystemconstructioninChina(13%),thegradualriseofindustryregulatoryneeds,andincreasingsocialattention.SomeinstitutionsbelievethatESGinvestmentrepresentsthefutureofmainstreamdevelopment.Inparticular,afterChinaannounceditscarbonpeakingandcarbonneutralitygoals,thenationalstrategy,regulatorydirection,industryconsensus,andclientdemand,clearlyformedamajordrivingforceforESGinvesting.Inaddition,thereporttothe20thNationalCongressoftheCPCin2022clearlyindicatedthatweshouldacceleratetheconstructionofanewdevelopmentpatternandstrivetopromotehigh-qualitydevelopment.ESGinvestingcoincideswithChina'scorespiritssuchas"sustainabledevelopment","high-qualitydevelopment",and"greendevelopment",thusadaptingtothefuturedevelopmenttrendofChina'seconomy.Fig.45SignificantChangesintheRecognitiononESGandSustainableInvestment2021202268%32%33%67%YesNoSurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202294Nearly90%oftherespondentsbelievethatESGinvestingisalong-termeffort.Comparedto2021,institutionsnowbelievethatESGinvestmentwilltakelongertogainexplosiverecognition.Theproportionofrespondentswhochose"inthenext5to10years"increasedfrom20%to40%;only10%ofchose"withinthenext2years",adecreasefrom16%.Thosewhochose"inthenext2to5years"accountedfor48%,downfrom54%.ThisshowsthatasinstitutionstrulypracticeESG,theygraduallyrealizethatittakespersistenteffortstoincorporateESGintotheinvestmentresearchprocesstogainbenefits.Fig.46TimeWhenESGInvestmentsWillGainExplosiveRecognition16%54%20%9%202110%48%40%2%2022Withinthenext2yearsInthenext2to5yearsInthenext5to10yearsNoexplosiverecognitionwouldbegainedNote:The2022questionnairewasoptimizedbyremovingtheoption"after10years",whichisincludedin"noexplosiverecognitionwouldbegained"intheanalysis.ThequestionnaireconcludedwithasurveyontheinvestmentreturnsofESGfunds.Theresultsshowthatonly10%ofinstitutionsbelievedthatESGinvestmentscannotbringexcessreturns,52%holdtheideathatESGinvestmentsoccasionallyproduceexcessreturns,andtheremaining38%areconfidentthatESGstrategiescanoftendeliverexcessreturns.Comparedwiththe2021survey,institutionsaremoreoptimisticabouttheprospectsofESGinvestments.Onepossibleexplanationmaybethathigh-qualitysubjectsscreenedwiththeESGconceptarerisk-resilientinthefaceofhighvolatilityinfinancialmarkets,whichhelpinstitutionsobtainexcessreturns.Intheexplorationofexcessreturns,17institutionspointedtoindicatorsintheGdimensionsuchasthefrequencyofmanagerreplacement,executiveincentives,andcreditapprovalquality.SeveninstitutionsfocusedonEdimensionindicators,suchasleadinggreentechnology,low-carbonenvironmentalprotection,andpollutantdischargeperformance,whilesixinstitutionschoseindicatorsinallthreedimensions.FiveinstitutionsmentionedthoseindimensionsEandG,andonlyoneinstitutionpickedtheSandGindicators.Ingeneral,althoughdifferentinstitutionsholddifferentviewsonthesourceofAlphaofESGstrategy,mostofthemaffirmtheavailabilityofexcessreturnsfromESGinvestments,whichalsodemonstratesthesignificanceofpracticingESGconcepts.However,theEdimensionislessrecognizedthantheGdimension;theSdimensiondataismoredifficulttoobtain,andtheindicatorsaredifficulttoanalyzeandintegrateduetoalackofstandardization.Thus,itischallengingtoguideinvestmentpracticeswiththatconceptinaneffectivemanner.SurveyonESGInvestingintheChineseAssetManagementIndustryAnnualReportonESGInvestinginChina'sAssetManagementIndustry202295Fig.47ViewsonWhetherESGStrategiesCanBringAlpha23%38%39%10%52%38%CanoccasionallydeliversignificantlypositiveAlphaCanoftendeliversignificantlypositiveAlphaCanneverdeliverAlpha20212022AppendicesAppendixAnnualReportonESGInvestinginChina'sAssetManagementIndustry202297I.QuestionnairedesignmethodologyBasedontheresearchondomesticandabroadenterprisesocialresponsibility,responsibleinvestment,ESG,andotherrelatedacademicliterature,aswellasareviewofChineseandforeignorganizations'reportsonESGquestionnaires,theresearchteamdevelopedandformulatedthefirstdraftofthequestionnaire.Followingthecommonpracticeforacademicliterature,weappliedaniterativeprocesstodevelopthefinaldraftofthequestionnaire.Wesoughtfeedbackonthefirstdraftofthequestionnairefromfouracademicresearchersinfinance,agroupofinstitutionalinvestorsandfinancialmarketorganizations,andconductedthreeroundsofquestionnairebetatesting,andobtainedfeedbackthroughin-depthinterviews.Weadjustedthequestionnairebasedonfeedbackfromeachround,reducingbiascausedbythequestionnaire,andoptimizingthewordingandquestionformulationtoensureclarity.II.QuestionnairedistributionandcollectionThequestionnairedistributionstartedonJuly1,2022andendedonAugust31,2022.ThedistributionchannelsincludedontheonehandWeChatofficialaccount,wherewesentinvitationstodomesticpublicfundmanagers,securitiescompanies'capitalmanagementdepartments/capitalmanagementsubsidiaries,andotherinstitutionsthroughwenjuan.com,Ontheotherhand,questionsweredistributedviae-mail/WeChatbyHuaxiaWealthManagementCo.,Ltd.andtheShenzhenFinanceInstitutetopublicfundsassetmanagementinstitutions,andsecuritiesmanagementinstitutionswhichappearonCSRC'swebsiteandotherinformation.Andrew,T.(2022).Morningstar:QuarterofSFDRArticle8fundsdonotmeetESGcriteria.ETFStream.Atz,U.,VanHolt,T.,Liu,Z.Z.,&Bruno,C.C.,(2022).Doessustainabilitygeneratebetterfinancialperformance?Review,meta-analysis,andpropositions.JournalofSustainableFinance&Investment,1-24.BCG,(2022).ESGInvestmentinChina2.0,October2022.BNPPARIBAS,(2021).TheESGGlobalSurvey2021:ThePathtoESG:NoTurningBackForAssetOwnersandManagers.CapitalGroup,(2022).ESGGlobalStudy2022.Chatterji,A.K.,R.Durand,D.I.Levine,S.Touboul.(2016).DoRatingsofFirmsConverge?ImplicationsforManagers,InvestorsandStrategyResearchers.StrategicManagementJournal37(8)1597–614.ChenJ.M.(2021).No.3ofESGSeries:Theroadtosustainableinvestment:Investingin"vision"or"value"?ChangjiangSecurities.ChinaEnterpriseReformandDevelopmentSociety,(2022).GuidanceforEnterpriseESGDisclosure,T/CERDS2-2022.Eccles,R.G.,Ioannou,I.&Serafeim,G.(2014).Theimpactofcorporatesustainabilityonorganizationalprocessesandperformance.Managementscience,60(11),2835-2857.Ferriani,F.&Natoli,F.(2021).ESGrisksintimesofCovid-19.AppliedEconomicsLetters,28(18),1537-1541.Folger-Laronde,Z.,Pashang,S.,Feor,L.,&ElAlfy,A.(2022).ESGratingsandfinancialperformanceofexchange-tradedfundsduringtheCOVID-19pandemic.JournalofSustainableFinance&Investment,12(2),490-496.References[1][2][3][4][5][6][7][8][9][10][11]AppendixAnnualReportonESGInvestinginChina'sAssetManagementIndustry202298GibsonBrandon,R.,Krueger,P.,&Schmidt,P.S.(2021).ESGratingdisagreementandstockreturns.FinancialAnalystsJournal,77(4),104-127.GRI,(2022).ResponsetoRulestoEnhanceandStandardizeClimate-RelatedDisclosuresforInvestors.Halbritter,G.&Dorfleitner,G.(2015).Thewagesofsocialresponsibility—wherearethey?AcriticalreviewofESGinvesting.ReviewofFinancialEconomics,26,25–35.HSBCBank,(2022).HSBC'sfirstglobalESGsentimentsurvey.HuaxiaWealthManagement&ShenzhenFinanceInstitute,(2021).2021DevelopmentResearchReportonESGInvestmentinChina'sAssetManagementIndustry.InstituteforSustainableFinance,(2021).ChangingGears:SustainableFinanceProgressInCanada.JSIF,(2022).SustainableInvestmentSurvey2021.Kim,S.&Yoon,A.(2021).Analyzingactivemanagers'commitmenttoESG:EvidencefromUnitedNationsUNPRIprinciplesforresponsibleinvestment.Managementscience,forthcoming.Krueger,P.,Sautner,Z.,&Starks,L.T.(2020).Theimportanceofclimaterisksforinstitutionalinvestors.TheReviewofFinancialStudies,33(3),1067-1111.LiS.J.,MouY.L.,ZhuQ.(2018).ESGinvestment:Thekeytoexcessreturns,GuotaiJunanSecurities.LiaoL.(2018).EmbraceESGandstayawayfrom"blackswans"–GF'sOverseasStrategy:ESGInvestmentTopics,GFSecurities.LuH.C.,YangM.D.,WangS.(2021).EastandWesthavedifferentdefinitionsofESGwhilegreenfinanceisanintersection–oneofA-shareESGreportseries,SWSResearch.McGlinch,J.&Witold,H.(2021),ReexaminingtheWin-Win:RelationalCapital,StakeholderIssueSalience,andtheContingentBenefitsofValueBasedEnvironmental,SocialandGovernance(ESG)Strategies.WorkingPaper.Morningstar,(2021).TheMorningstarESGCommitmentLevel?Oursecondassessmentof140strategiesand31assetmanagers.MorningstarManagerResearch,(2022).GlobalSustainableFundFlows:Q12022inReview.MorningstarManagerResearch,(2022).SFDRArticle8andArticle9Funds2021inReview.Raghunandan,A.&Rajgopal,S.(2022).DoESGfundsmakestakeholder-friendlyinvestments?.ReviewofAccountingStudies,27(3),822-863.RenT.&MaiY.X.(2021).ESGfactorinvestmentincorporatebondsandcreditriskwarning,ChinaMerchantsSecurities.RenT.&MaiY.X.(2021).OpentheESGinvestmentblackbox:Whatisbehindtheexcessreturns?ChinaMerchantsSecurities.RIAA,(2022).ResponsibleInvestmentBenchmarkReport2022Australia.Shanaev,S.&Ghimire,B.(2022).WhenESGmeetsAAA:TheeffectofESGratingchangesonstockreturns.FinanceResearchLetters,46,102302.ShareAction,(2020).PointofNoReturns:Arankingofassetmanagers'approachestoresponsibleinvestment.SynTaoGreenFinance,(2022).ChinaSustainableInvestmentReview2021.Verheyden,T.,Eccles,R.G.&Feiner,A.(2016).ESGforall?TheimpactofESGscreeningonreturn,risk,anddiversification.JournalofAppliedCorporateFinance,28(2),47-55.WangY.Q.,ZhouL.J.,(2020).RiskwarningfunctionofESGincreditbonddefault,Sino-SecuritiesIndex.Yen,M.-F.,Shiu,Y.-M.&Wang,C.-F.(2019).Sociallyresponsibleinvestmentreturnsandnews:EvidencefromAsia.CorporateSocialResponsibilityandEnvironmentalManagement,26,1565–1578.ZhangX.W.(2022).HowESGaffectsinvestmentperformance,GuosenSecurities.[12][13][14][15][16][17][18][19][20][21][22][23][24][25][26][27][28][29][30][31][32][33][34][35][36][37][38]AppendixAnnualReportonESGInvestinginChina'sAssetManagementIndustry202299AuthorThisreportisco-authoredbyShenzhenFinanceInstitute,CUHK-SZandHuaxiaWealthManagementCo.,Ltd.ShenzhenFinanceInstitute,CUHK-SZ,foundedin2017byShenzhenMunicipalGovernmentwiththesupportoftheChineseUniversityofHongKong,Shenzhen,iscommittedtobecominganinternationallyinfluentialinnovativetalenttrainingbaseandaninternationalhigh-levelresearchplatformandprovidingexcellenttalentsfortheconstructionofGuangdong-HongKong-MacaoGreaterBayAreaandnationalcentersfortechnologyinnovation.ThemembersoftheeditorialboardofShenzhenFinanceInstitute,CUHK-SZforthisreportincludetheChiefEditorZhangBohuiandmajorparticipantsYangWenhao,JiangPingping,XiongWanfangandLiJiawei.HuaxiaWealthManagementCo.,Ltd.,formerlyknownasHuaxiaBankAssetManagementDepartment,startedexploringtheESGfieldin2018.InSeptember2020,HuaxiaWealthManagementCo.,Ltd.officiallybecameoneoftheUNPRIsignatoriessinceitsincorporation.In2021,HuaxiaWealthManagementCo.,Ltd.conductedESGassessmentwithrespecttoshares,bonds,funds,andotherdimensions,achievingcomprehensiveintegrationofESG.AsofNovember2021,HuaxiaWealthManagementCo.,Ltd.hasissuedandmanagedESGwealthmanagementproductsofmorethanRMB20billion.ThemembersoftheeditorialboardofHuaxiaWealthManagementCo.,Ltd.forthisreportincludetheChiefEditorYuanZhihong,ExecutiveEditorXiaBinandmajorparticipantsWangHankui,LiXiao,QinDan,andWangWenxu.Inaddition,wewouldliketothankDongLanFeng,WanXinandWangBofromYinhuaFundManagementCo.,Ltd.fortheirresearchsupportfor"ComparativeresearchonweightdesignofESGratingindicators"ofthisreport.Wealsoappreciatethefollowingindividualsfortheirresearchsupportfor"EmpiricalResearchonESGRating"：ChenHuan,LiuShibo,XuJialu,XiaoYujieandWangYufeng.AppendixAnnualReportonESGInvestinginChina'sAssetManagementIndustry2022100CopyrightStatementThisresearchreportwaspreparedbyShenzhenFinanceInstitute,CUHK-SZandHuaxiaWealthManagementCo.,Ltd.Theinformationcitedhereinisobtainedfrompubliclyavailablesources,andtheaccuracyandcompletenessoftheinformationcontainedhereinarenotguaranteedasthewaystounderstandandhandleitmaydiffer.Theinformationcontainedhereinisforreferenceonlyandtherelevantcontentsandopinionsdonotconstituteanyinvestmentadvice.Thecontentsofthisreportareprotectedbycopyrightandmaynotbereproduced,copiedorpublishedinanyformbyanyinstitutionorindividualwithoutpriorwrittenconsent.Forfairuseofthecontentshereof,pleasecredittoShenzhenFinanceInstitute,CUHK-SZandHuaxiaWealthManagementCo.,Ltd.Noquotation,deletionormodificationcontrarytotheoriginalintenthereofisallowed.ShenzhenFinanceInstitute,CUHK-SZandHuaxiaWealthManagementCo.,Ltd.reservetherighttoholdanyinstitutionorindividualresponsibleforinfringement.AppendixAnnualReportonESGInvestinginChina'sAssetManagementIndustry2022101SpecialAcknowledgmentWewouldliketoexpressourgratitudetothefollowingindividualsfortheirconsultationandadviceduringthepreparationofthisreport:ZhangDachuan,LiuXiangfeng,TuJiayu,ZhangBei,LiuQing,ZhouXiaoxiao,XuHuating,andXuChang.Wewouldliketoexpressourgratitudetothefollowingcompanies(presentedinalphabeticalorder)fortheirconsultationandadviceduringthepreparationofthisreport:BeijingQuantDataTechnologyCo.,Ltd.,ChinaPacificInsurance(Group)Co.,Ltd.,ChinaInternationalCapitalCorporationLimited,ChinaSecuritiesIndexCo.,Ltd.,REFINITIV,WindInformationCo.,Ltd.,YinhuaFundManagementCo.,Ltd.andYingtouInformationTechnology(Shanghai)Co.,Ltd..Contacts:hxlcqindan@hxb.com.cn/fintech@cuhk.edu.cnThisreportisofficiallyissuedinDecember2022.Usedforindustrialexchangesonly,notforanycommercialpurpose

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