目的:隨著社會責任事故的不斷發生,社會責任投資逐漸成為關注焦點。社會責任基金是社會責任投資的主力,文章研究其投資策略是否體現社會責任投資標準,并探索在五大發展的背景下我國社會責任投資的發展道路。方法:通過研究股票市場上全部的三只主動型社會責任基金,分析重倉股持股比例等公開數據,基于重倉股設計二級行業穩定比率,研究該比率的性質并計算各基金的穩定比率。構建價格加權型和市值加權型社會責任投資指數和構建基于優秀社會責任股票的投資組合選擇模型并通過參數二次規劃精確求解。將以上構建的指數和投資組合同這三只基金的回報率分別進行檢驗,進一步將這些基金和所屬基金公司內部的其他基金進行對比。結果:三只基金的二級行業穩定比率偏低,說明基金在不同二級行業換手較快;文章中構建的社會責任投資指數與構造的投資組合選擇模型的回報率基本顯著的優于這三只基金;同時這三只基金與所屬公司內部的普通基金(如大盤基金)沒有顯著差別。結論:中國的社會責任投資,尤其是社會責任基金尚不成熟,未能履行"社會責任"的選股標準。建議:現階段社會責任投資的發展仍需充分的理論指導,在國際國內最新的研究成果的指導下,可以踐行多目標投資組合選擇模型。希望,在五大發展的新形勢下,文章能為推動我國的社會責任投資發展做出貢獻。

Purpose: With the occurrence of socially responsible events,socially responsible investment( SRI) has generally become a focused issue. Socially responsible investment funds are the main force of SRI; the paper researches whether their investment strategies reflect the SRI criterion or not,and explores the development road of SRI under the background of five development strategies. Method:By researching all three active socially responsible funds in the stock market,the paper analyzes public data such as bulk- holding stocks,designs secondary industry stability ratio based on bulk- holding stocks,studies the nature of the ratio,and calculates the ratio of the three funds. The paper also builds price-weighted and market- value- weighted socially responsible investment indexes,builds portfolio selection model based on good socially responsible stocks,and uses parametric quadratic programming to obtain the precise solution. Then,the paper compares the indexes and portfolios above with the three funds and further compares the three funds with other funds from the same fund company. Result: the secondary industry stability ratios of the three funds are low,thus demonstrating that the three funds turnover quickly between different secondary industry. The returns of socially responsible investment indexes and portfolios built in the paper are significantly better than those of the three funds. At the same time,the three funds are not significantly different from normal funds( such as large-cap funds) from the same fund company. Conclusion: Socially responsible investment of China,especially socially responsible investment funds are not mature; they have not obeyed the"social responsibility"selection criteria. Proposal: At present,the development of social responsibility investment in China still needs adequate theoretical guidance. With the latest domestic and international research results,we can practice multi-objective portfolio selection model for social responsibility investment. We hope that under five development strategies,the paper can make contributions to promote the development of social responsibility investment in China.