近年来ESG投资在全球范围内迅速扩张，这与可持续发展理念的深入人心密不可分。在此背景下，ESG基金在中国金融市场也日益受到关注。然而，ESG基金在中国仍处于起步阶段，其中纯ESG基金更是于近五年才在中国兴起。如何将ESG投资理念融入到ESG基金中去，纯ESG基金采取怎样的投资策略并取得良好的绩效表现是当前不容忽视的问题。因此，研究纯ESG基金的投资策略、绩效表现，以及两者之间的关系对我国ESG基金的发展至关重要。

首先，本文在国内外相关研究的基础上阐述了我国ESG基金的发展现状和其投资策略的特征。然后，本文选择了具有代表性和研究可行性的易方达ESG责任投资基金为案例基金，在明确其投资策略的基础上，定性分析了其选股策略和择时策略。其次，本文分别采用季度的绝对收益指标和风险调整后的指标对案例基金的总体绩效表现进行了初步的统计性分析。再次，本文利用H-P滤波法和波峰波谷理论将样本期间依照不同的市场行情划分为四个时间区间，在此基础上利用TM-FF3模型对不同市场行情下案例基金选股、择时策略的有效性进行检验，并对样本ESG基金的选股能力和择时能力进行了实证分析；然后，本文通过主成分分析法对9个投入指标进行了实证分析，最终得到分别代表基金风险水平、投资风格、管理能力和成本费用的四个投入指标，并以复权单位净值增长率和詹森指数为产出指标，通过DEA-BCC模型对不同市场行情下案例基金和样本ESG基金的相对绩效水平进行分析，为深入分析投资策略与基金绩效间的关系，本文分别从基金规模、选股策略和投资风格三个层面对ESG基金的相对绩效水平展开分析；同时，利用DEA-Malmquist指数模型对案例基金及样本ESG基金的绩效表现在不同时段的动态波动情况进行分析。最后，本文在文献分析和理论分析的基础上运用模糊集定性比较方法对ESG基金绩效的影响因素进行组态分析，并从投资策略的角度对ESG基金的绩效改善路方式进行探索。

实证结果显示，（1）TM-FF3模型显示，案例基金的选股策略缺乏应对市场环境变化的效果，而择时策略随着基金成立时间的增长而愈发有效；虽然不同市场行情下样本ESG基金的选股能力并没有明显的规律，但使用ESG整合策略的ESG基金在面临市场行情变动时具备更稳定的良好表现。（2）通过DEA模型得出的相对绩效结果显示，技术效率对综合效率的贡献度相较规模效率而言更大，即基金经理的管理能力是影响基金绩效表现的重要因素；对综合绩效结果分层次进行统计性分析发现，中型基金的综合效率值在所有市场行情下均高于小型基金和大型基金；当市场行情稳定时，对ESG投资策略使用更深入的ESG基金具有更好的绩效表现。（3）DEA-Malmquist指数模型结果显示案例基金在市场表现良好时，能够获得高于同类基金的平均超额收；而在市场下行时，应对风险的能力较差综合绩效表现不佳。（4）本文通过fsQCA方法分析出五种绩效改善的路径，根据核心条件又可以归为ESG评分驱动型、佣金比率驱动型和选股能力驱动型三种类型，组态结果显示我国ESG基金要注重ESG投资策略在选股时的运用，着力提高基金的选股能力。

通过以上研究，本文期望以投资策略为切入点，为易方达ESG责任投资基金和我国ESG基金基金绩效改善提出针对性建议，并为金融监管部门提供ESG基金管理相关的参考建议。

In recent years, ESG investment has expanded rapidly around the world, which is inseparable from the concept of sustainable development. In this context, ESG funds have also attracted increasing attention in China's financial market. However, ESG funds are still in their infancy in China, and pure ESG funds have only emerged in China in the past five years. How to integrate ESG investment concepts into ESG funds, and what kind of investment strategies pure ESG funds adopt and achieve good performance are the problems that cannot be ignored at present. Therefore, research on the investment strategy, performance and the relationship between pure ESG funds is very important for the development of ESG funds in China.

First of all, this thesis expounds the development status of ESG funds in China and the characteristics of their investment strategies on the basis of relevant research at home and abroad. Then, this thesis selects the representative and feasible ESG Responsible investment fund of E-fund as the case fund, and qualitatively analyzes its stock selection strategy and timing strategy on the basis of clarifying its investment strategy. Secondly, this thesis uses quarterly absolute return index and risk-adjusted index to conduct a preliminary statistical analysis of the overall performance of the case fund. Thirdly, this thesis uses H-P filtering method and peak and trough theory to divide the sample period into four time intervals according to different market conditions. On this basis, the Fama-French three-factor model is used to carry out empirical analysis on the stock selection ability and timing ability of case funds and sample ESG funds under different market conditions. Then, this thesis makes an empirical analysis of 9 input indicators through the principal component analysis method, and finally obtains four input indicators representing the risk level, investment style, management ability and cost of the fund respectively, and takes the growth rate of the equity unit and the Jensen index as the output indicators. The DEA-BCC model is used to analyze the relative performance of case funds and sample ESG funds under different market conditions. In order to deeply analyze the relationship between investment strategy and fund performance, this thesis analyzes the relative performance of ESG funds from three aspects: fund size, stock selection strategy and investment style. At the same time, the DEA-Malmquist index model is used to analyze the dynamic fluctuations of the performance of the case fund and the sample ESG fund in different periods. Finally, on the basis of literature analysis and theoretical analysis, this thesis uses fuzzy set qualitative comparison method to analyze the configuration of factors affecting the performance of ESG funds, and analyzes the performance improvement path of ESG funds from the perspective of investment strategy.

The empirical results show that (1) the TM-FF3 model shows that the stock selection strategy of the case fund lacks the effect of coping with the change of market environment, while the timing strategy becomes more effective with the growth of the fund establishment time; Although there is no obvious rule in the stock selection ability of sample ESG funds under different market conditions, ESG funds using ESG integration strategy have more stable and good performance in the face of market fluctuations. (2) The relative performance results obtained by DEA model show that technical efficiency contributes more to comprehensive efficiency than scale efficiency, that is, the management ability of fund managers is an important factor affecting fund performance; The statistical analysis of the comprehensive performance results shows that the comprehensive efficiency of medium-sized funds is higher than that of small funds and large funds under all market conditions. When markets are stable, ESG funds that use ESG strategies more intensively perform better. (3) The results of DEA-Malmquist index model show that when the market performance of the case fund is good, the average excess income of the case fund is higher than that of similar funds; When the market is down, the ability to deal with risks is poor, and the comprehensive performance is poor. (4) This thesis analyzes five performance improvement paths through the fsQCA method, which can be classified into three types according to the core conditions: ESG score-driven, commission ratio driven and stock selection ability driven. The configuration results show that China's ESG funds should pay attention to the application of ESG investment strategies in stock selection, and strive to improve the fund's stock selection ability.

Through the above research, this thesis is expected to take the investment strategy as the starting point, put forward targeted suggestions for the performance improvement of ESG Responsible investment fund of E-fund and ESG fund in China, and provide reference suggestions related to ESG fund management for financial regulatory authorities.

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