2022年度中国资管行业ESG 投资发展研究报告（英）-深高金.pdf

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 27 th 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 20 th 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 on global ESG standards and disclosure practices, and pays attention to the development of sustainable investment and financing. Through the research on domestic ESG data and the empirical analysis of global ESG rating systems, we conducted a questionnaire survey on ESG investing in China s asset management industry and an in-depth analysis of ESG disclosure. We hope this report encourages actors of the asset management industry to practice ESG investing, promote the establishment and improvement of ESG standards and rating systems, and strengthen corporate information disclosure, thus contributing to China s green and low-carbon transition, and sustainable and high-quality development. As an ancient Chinese saying goes, good principles should adapt to changing times to remain relevant. Only the judgment and choice suited to the needs of the times are correct. ESG conforms to the law of China s economic development and to top-level policy design directions. With historical opportunities in this new era, ESG will play a positive role and receive significant long-term attention. Here, we d like to express our gratitude to institutions involved in the survey of this report for their support and cooperation. Furthermore, we d like to acknowledge the hard work of all the experts and researchers on the Editorial Board! Zhang Bohui November 2022 in Shenzhen In 2022, global sustainable development has faced more serious challenges. Extreme weather events, notably drought, flood and summer heat, have brought serious threats to ecological environment, social order, and people s lives and health. The transmission of COVID-19 variants and geopolitical conflicts have intensified the risk of a global economic recession, and changes in the world energy supply have affected global investment for climate change to some extent. Environmental, Social and Governance (ESG) investing has also been questioned, regarding the authenticity of the investment scale, differences in the evaluation methods, and short-term conflicts between the practice and real world social issues. Meanwhile, challenges are accompanied by new opportunities for global sustainable development. First, despite the pressure of energy security and economic recovery this year, countries still honor their commitments under the Paris Agreement, and the trend of global low-carbon transitions remains unchanged. Secondly, there has been substantial progress in the global convergence of sustainability disclosure standards, highlighting the importance of climate issues. In addition, progress has been made by the world s major economies on common taxonomy of green economic activities, transition finance frameworks, data processing of ESG financial products, and development of carbon markets. The challenges of sustainable development and the deficiencies in ESG investment are continuously improved and solved. On October 27, the Ministry of Ecology and Environment of the People s Republic of China issued the 2022 Annual Report on China s Climate Change Policies and Actions. Guided by the spirit of the 20 th National Congress of the CPC, China has implemented a national strategy to actively address climate change, and has incorporated carbon peak and carbon neutrality into the overall layout for ecological civilization construction and the country s overall economic EXECUTIVE SUMMARY and social development. This strategy shows the world China s responsibility to build a community with a shared future for mankind. The report to the 20 th National Congress of the CPC made an important claim about the Chinese path to modernization. Under the essential requirements of high-quality development, common prosperity, and harmony between humanity and nature, ESG has become an important tool to promote the sustainable development of the country. For businesses, ESG provides effective practice direction and measurement for high-quality development. Driven by relevant national policies, businesses gradually integrate ESG into their daily operations and establish modern enterprise systems in line with international standards by continuously exploring Chinese governance models. For investors, with the continuous expansion of ESG assets under management and the gradual increase of the effectiveness of ESG topics in evaluating enterprise competitiveness, businesses with better ESG performances have stronger competitive advantages in the high-quality development stage of the national economy. Overall, China will use ESG as a link between the financial system and the real economy. This year, this report will continue to present the latest progress and development trends of ESG investment in China s asset management industry. Thank you for your support and cooperation in writing this report! Thanks to the experts and researchers on the Editorial Board for their hard work! Yuan Zhihong November 2022 in Beijing I.ESG Investment Disclosure Practice 1.1 Disclosure practices of foreign asset managers 1.1.1 Europe 1.1.2 USA 1.1.3 Canada 1.1.4 Australia 1.1.5 Japan 1.2 Disclosure practices of Chinese asset managers 1.2.1 Mainland China 1.2.2 Hong Kong 1.3 Disclosure recommendations for asset managers II.Development of ESG Investing 2.1 Development of international ESG investing 2.1.1 UN PRI signatories 2.1.2 Global ESG Fund 2.2 Development of domestic ESG investment 2.2.1 Domestic ESG public funds 2.2.2 Domestic core ESG public funds 2.2.3 Domestic ESG indexes 2.2.4 Domestic ESG bank wealth management products 2.2.5 ESG-related research of domestic securities companies III. ESG Data and Weight Design 3.1 ESG underlying data classification 3.1.1 Environmental (E) dimension 3.1.2 Social (S) dimension 3.1.3 Governance (G) dimension 1 3 4 5 6 8 9 10 11 13 14 16 18 18 20 21 21 23 27 29 30 32 34 34 37 39 CONTENTS 3.2 Comparative research on weight design of ESG rating indicators 3.2.1 Research topic 3.2.2 Research approach 3.2.3 Research content 3.2.4 Conclusions and discussion IV. Empirical Research on ESG Rating 4.1 Corporate ESG rating correlation and empirical analysis 4.1.1 Overview and correlation of ESG ratings of companies 4.1.2 Empirical analysis of ESG ratings and stock yield 4.1.3 Empirical analysis of ESG ratings and stock price volatility 4.1.4 Empirical analysis of ESG primary indicators and stock yield 4.1.5 Empirical analysis of ESG primary indicators and stock price volatility 4.2 Fund ESG rating correlation and empirical analysis 4.2.1 ESG rating methodology and correlation of funds 4.2.2 Empirical analysis of ESG rating at fund level V. Survey on ESG Investing in the Chinese Asset Management Industry 5.1 Institutional questionnaire 5.1.1 Opinions and understanding 5.1.2 Organizational structure and external resources 5.1.3 Strategy and analysis system 5.1.4 Product issuance and performance 5.1.5 Challenges and directions for improvement 5.2 Product questionnaire 5.2.1 Client portrait and staffing 5.2.2 ESG strategies and rating systems 5.2.3 Emphasis on ESG and excess returns Appendices I. Questionnaire design methodology II. Questionnaire distribution and collection References 40 40 41 44 48 50 52 52 54 59 61 66 68 68 71 74 77 77 80 85 87 88 90 90 91 93 96 97 97 97 I. ESG Investment Disclosure in Practice ESG Investment Disclosure Practice Annual Report on ESG Investing in China s Asset Management Industry 2022 | 2 ESG investment disclosure refers to the process by which an asset management institution reports information to users about its ESG investment methods and practices within a given timeframe. On the one hand, there is increasing demand from clients and stakeholders for information related to sustainable development from asset managers. On the other hand, disclosure is an important way for the latter to demonstrate its fudiciary duty to clients and other stakeholders, improve credibility, and guide investors in decision-making. However, there is no unified international ESG investment disclosure framework. This section attempts to provide relevant disclosure suggestions for Chinese asset managers by sorting out the disclosure practices of asset managers in Europe, North America, Canada, Australia, Japan, Mainland China, and Hong Kong. The main findings and conclusions are as follows: The emphases of domestic and foreign ESG investment and disclosure differ. Foreign institutions focus mainly on net zero, racial and gender equality, and labor rights. Biodiversity has also been given increasing attention where some asset managers include it as their primary focus for shareholder engagement. Domestic institutions focus on common prosperity, rural revitalization, party construction, and other issues more suited to China s national conditions. Despite these differences, both domestic and overseas institutions align with the United Nations Sustainable Development Goals (SDG) to achieve SDG through ESG investment performance. All regions have strengthened the importance of climate change-related disclosures. Climate change is one of the material issues addressed by almost all asset managers. Some institutions have now publicly supported the Task Force on Climate-Related Financial Disclosure (TCFD) and disclosed climate-related information following TCFD recommendations. Most of them prepare a seperate TCFD report, some of them address climate-related information in social responsibility reports, and a few of them disclose with their parent company. Only a few institutions carry out third-party assurance of ESG investment process and data on Scope 1, 2, and 3 emissions. As required by regulators in the UK, the United States, Canada, Australia, and China, TCFD serve as the primary framework for climate-related disclosure, and TCFD report is the primary form of disclosure globally. In terms of content, a complete ESG investment disclosure includes but is not limited to investment outcomes. Leading disclosure practices distinguish two types of disclosed content: ESG investing methodology and practice. According to the definition and process of ESG investing, methodology covers policies and guidelines such as responsible investment policy, stewardship policy, and environment policy. Practice covers information such as investment outcomes, lists and details of shareholder engagement, voting history. The difference in disclosure quality involves the amount and frequency of disclosure. Meanwhile, public funds will emphasize on stewadship performance in their disclosures compared with other asset managers. In terms of form, an independently prepared ESG investment report is the main form of presentation. Through their official websites, asset managers in Europe and America present ESG investment methods and results in a Responsible Investment Report or a Stewardship Report, and their target readers are investment practitioners and clients. In addition, leading institutions also publish their ESG investment- ESG Investment Disclosure Practice Annual Report on ESG Investing in China s Asset Management Industry 2022 | 3 related policies on their official websites as separate documents. Other forms of disclosure include sustainability report or social responsibility report, with additional content covering the company s own ESG operations. At present, standards from the Sustainability Accounting Standards Board (SASB) and the Global Reporting Initiative (GRI) are commonly used. In terms of frequency, ESG investment information is disclosed at least once a year. Best practices show that ESG investment policies are usually revised annually after publication, and dedicated reports are updated quarterly. The best practice of proxy voting disclosure is published as an online inquiry system the day after the vote. Institutions with higher disclosure frequencies can present more timely and transparent ESG investment information. Currently, asset managers in Europe have the best disclosure quality. In the context of mature development of ESG investment and mandatory regulatory requirements, sustainable development plays an important role in the missions of most European institutions, along with more comprehensive disclosures. Even though European asset managers generally publish proxy voting records, only a few now disclose the logical basis behind their votes. In China, ESG investing is still in the development phase. The relevant regulatory requirements currently undergo gradual standardization, and the awareness of ESG disclosure also gradually forms in asset management inst