CFA协会全球行业标准总监David von EIFF：构建有效的ESG基金分类体系

David von EIFF提出了基于三大核心特征的ESG基金新分类框架：特征一，关注基金如何利用ESG数据来提升风险调整后收益，对于通过ESG洞察来实现财务表现最大化的基金至关重要；特征二，涉及投资者对系统性ESG问题的敞口，主要适用于管理环境或社会责任相关风险的基金；特征三，强调实现可衡量的环境或社会责任的明确计划。在实践应用中，特征一体现在纯粹将ESG因素作为额外数据来源的基金；特征二常见于设有具体政策限制气候变化或社会动荡风险敞口的基金；特征三则见于承诺实现具体环境或社会目标的基金。

今天，我将讨论一个在金融界越来越重要的议题——“构建更完善的ESG基金分类体系”。众所周知，在过去十年中，ESG（环境、社会和治理）基金发展非常迅猛，但由于其缺乏清晰的定义和框架，给投资者和监管机构带来了诸多挑战。接下来的十分钟里，我会向大家梳理当前ESG分类存在的主要问题，并介绍一个新的分类体系，帮助我们更清晰地理解这个快速增长的领域。

本报告将从基金类别的角度出发，探讨ESG基金的内涵，包括通过界定边界，将基金分为不同的组别。本报告研究的基金包括将ESG信息、问题和/或条件纳入考量的基金——无论是以何种方式、为何种目的、在何种程度上纳入考量。本报告侧重于界定组别和边界，而非讨论应如何命名这些组别。事实上，为避免陷入术语纷争，我们采用“特征1”和“组别A”等通用术语。我们可以分别确定组别边界和名称。本报告主要研究前者，即确定组别边界。

”环境、社会和治理”这一短语首次被缩写为“ESG”是在2004年一份名为《在乎者即赢家》的报告中。在报告中，联合国邀请20家金融机构共同发起了一项倡议。该报告指出，将环境、社会和治理问题纳入投资分析，不仅可为投资者带来更好的长期回报，还可为社会带来积极的外部效应。

“ESG”这一术语糅合了几个通常并列的概念，因此也常引发混淆与争议。在使用ESG作为基金名称或基金类别的描述时，这种混淆尤为严重。早在2010年，“ESG”一词就开始出现在基金名称和指数名称中；到2019年，市场上已成立了数百只ESG基金。然而，即便各方努力界定和阐明ESG基金的定义，目前大家仍然不清楚ESG基金究竟是什么。

我们从产品分类体系设计的角度来分析这一问题，这种视角有助于我们理解和分析现有的分类体系，并基于三大价值主张来设计一个新的分类体系，将ESG信息、问题和/或条件纳入考量。

当前，全球资产管理领域面临一个难题：“ESG基金”这一术语被广泛使用，但对该术语的定义却始终未能达成共识，因而导致产生了严重的混淆和误用现象。这个问题的核心在于：什么才算是ESG基金？根据我们的经验，人们对这一术语存在三种不同的理解：1. 主要进行ESG投资的基金；2. 对环境和社会有益的基金；3. 将ESG信息、问题和/或条件纳入考量的基金。

这种理解上的差异会引发一些问题。如果有人因为某只ESG基金投资了他们认为不应投资的公司或行业，而感到震惊或愤怒，这往往是因为他们将ESG基金视为一个专门指代那些对环境和社会有益的基金的特定术语。这再次引出了另一个定义问题：什么才算是对环境和社会“有益”？显然，大家各持己见。大家的看法甚至可能大相径庭。

在需要可靠识别ESG基金时——例如在基金分类和选择、学术研究和监管中——第一种观点中对ESG基金的定义缺乏实用性。因为定义模糊，不同的人在判断某只基金是否为ESG基金时，得出的结论往往不同。简而言之，第一种观点的问题在于边界不清。

在第二种观点中，对ESG基金的规范性看法存在问题。因为对于什么属于“有益”、如何评估基金的“益处”很难达成共识，并且标准制定流程与ESG基金本身还可能掺杂政治因素。简而言之，问题在于对道德的看法各不相同。

在第三种理解中，虽然不存在“边界模糊”或“道德定义”问题，但这种功能性视角存在的明显问题是同一类别内部存在显著差异——由于存在巨大差异，在识别特定类型的ESG基金上，该类别不具有实用性。

因此，这引出了一个问题：新的ESG基金分类体系的目标应当是什么？对投资者、投资公司和监管机构来说，这个目标应该基本一致。

互斥且完全穷尽的组别。换言之，每个层级上，每只基金都应该且仅归属于一个组别。

那么，我们应该如何优化ESG分类呢？我们建议重点关注三个关键特征。特征1是基金利用ESG数据提升风险调整后回报的流程。这对通过引入ESG视角来优化财务表现的基金尤为关键。特征2与控制投资者对系统性ESG问题风险敞口的政策有关——这个特征专门适用于那些希望管理大规模环境或社会挑战风险的基金。最后，特征3是制定在环境或社会影响等方面实现可衡量成果的清晰计划。通过重点关注这三个特征，我们可以构建出一个既全面又便于实际操作的分类体系。

然后，我们可以看看能通过特征1、2和3以哪些方式构建组别。第一种，也是最简单的一种方法是基于单一特征来区分。例如，将具有特征1的基金与不具有特征1的基金区分开。如果对三项特征都这样处理，就会形成三个非互斥的组别。

我们接下来看看这一框架如何应用于实践。纯粹使用ESG信息来提升财务表现的基金具备特征1——这些基金本质上将ESG视为额外的数据层。在拥有特定政策的基金中，特征2更为常见。这些政策旨在限制气候变化或社会动荡等系统性ESG问题所带来的风险敞口。最后，致力于实现具体环境或社会成果的基金——例如承诺推动在2030年前实现碳中和——则具备特征3。这个框架不仅阐明了这些基金的作用，还可帮助投资者将自身的财务和道德目标与合适的产品相匹配。

总之，ESG基金市场正处于转折点。随着投资者对透明度需求的增加，我们需要制定一个清晰、实用且适用于不同市场的分类体系。产品分类体系设计是一门帮助理解和分析现有分类体系的学科。它有助于设计更完善的分类体系，避免发生常见的问题，例如组别边界定义不清、引入主观视角和存在有关组别名称的争议。

以下是一些关键要点：

产品分类体系需经过精心设计。欧盟的《可持续金融披露条例》和美国拟发布的《强化披露规则》应：（1）消除那些导致或可能导致形成仅在实操中适用的基金分类体系的因素，或者（2）有意且全面引入产品分类体系设计原则。

产品分类体系设计需要对所分类的产品拥有深厚的技术知识，并且应定期更新，以适应产品及市场的变化。立法者和监管机构应仔细考虑其是否具备足够的技术知识和能力来开发与维护产品分类体系，并考虑独立的标准制定机构可在其中发挥的辅助作用。立法者和监管机构应仔细考虑其是否具备足够的技术知识和能力来开发与维护产品分类体系，并考虑独立的标准制定机构可在其中发挥的辅助作用。

要确保不同的评估者在进行分类时能够保持并长期保持一致，制定明确的指导方针、提供具体的示例和案例研究非常关键。分类过程与特征及组别定义同等重要。

英国的《可持续性披露要求（SDR）和投资标签》政策中设立的标签，对于构建产品分类体系非常有用，可以作为重要的参考依据。可持续性披露要求本身并非分类体系。英国的《可持续性披露要求（SDR）和投资标签》政策中设立的标签，对于构建产品分类体系非常有用，可以作为重要的参考依据。可持续性披露要求本身并非分类体系。

产品分类体系设计可能无法完全解决关于“ESG基金”定义的争议。尽管如此，这确实能促进更有效的讨论，它界定了不同的基金组别，当大家在表达自己认为哪些基金应被称为ESG基金、哪些不应被称为ESG基金的看法时，可将这些组别作为依据。

测试 与 改进

将 颗粒度 增加到 特征 2中

我们承认，特征2的许多变体——相应地，也包括任何具有特征2的基金组别——可能看上去非常不同（即缺乏同质性）。我们也意识到，许多投资者希望能够对以下问题进行更精细的区分：基金所拥有（或应遵守的）的政策类型、这些政策针对哪些系统性ESG问题，以及对于这些ESG问题的风险敞口和影响，这些政策能实现怎样的控制。

Today, I'll be discussing a topic that is increasingly important in the world of finance—'Building a Better ESG Fund Classification System.' As we all know, the growth of ESG (Environmental, Social, and Governance) funds has been significant over the past decade, but the lack of clear definitions and frameworks has created challenges for both investors and regulators. In the next 10 minutes, I’ll walk you through the key issues with current ESG classifications and offer a new system that can help bring clarity to this growing space.

This paper explores the meaning of ESG funds through the lens of fund classification, which involves sorting funds into groups defined by boundaries. The funds of interest in this paper include those funds that take ESG information, issues, and/or conditions into account—in any way, for any purpose, and to any extent. The focus is on defining groups and boundaries rather than debating which words should be used to refer to those groups. In fact, we use generic references such as “Feature 1” and “Group A” to avoid the traps of terminology. Decisions about a group’s boundaries and decisions about a group’s name can be separated; the scope of this paper is the former.

The phrase “environmental, social, and governance,” made into the acronym “ESG,” first appeared in a 2004 publication titled “Who Cares Wins,” a joint initiative undertaken by 20 financial institutions at the invitation of the United Nations. The report argues that the integration of environmental, social, and governance issues into investment analysis could result in better long-term returns for investors and produce a positive externality for society.

The term ESG fuses concepts that are typically juxtaposed. It is no wonder, then, that it often results in confusion and debate. Nowhere is the confusion greater than where ESG is used in the name of a fund or as a categorical description for certain types of funds. The term began appearing in fund names and indexes as early as 2010, and by 2019, hundreds of ESG funds had been created. It remains unclear, however, what exactly an ESG fund is, despite efforts to define and clarify the meaning.

We look at the problem through the lens of product classification system design, which allows us to understand and analyze existing classification systems and design a novel classification system based on three value propositions for taking into account ESG information, issues, and/or conditions.

Globally, asset management has a vexing problem: widespread use of the phrase “ESG funds” with little agreement about what that term means, resulting in significant confusion and miscommunication. At the core of the problem is What makes a fund an ESG fund? Based on our experience, people seem to interpret the term in one of three ways:

A Fund That Predominantly Makes ESG Investments

A Fund That Is Good for the Environment and Society

A Fund That Takes ESG Information, Issues, and/or Conditions into Account

And these differences can lead to issues. When someone expresses shock or outrage that an ESG fund is invested in a certain company or industry that they find objectionable, it is likely that person understands ESG funds as a special term that should be used only to refer to funds that are good for the environment and society. Once again, we run into another definitional question: What is “good” for the environment and society? Naturally, opinions vary. Sometimes, they are even diametrically opposed

In the first view, is insufficient for practical applications where there is a need to reliably identify an ESG fund—such as in the context of fund classification and selection, academic research, and regulation. However, The ambiguity in the definition makes it likely that different people will come to different conclusions when trying to determine if a particular fund is an ESG fund. In short, the problem is fuzzy boundaries.

In the second view, the normative view of ESG funds is problematic because of the practical difficulties of gaining consensus about what is “good” and how to evaluate the “goodness” of a fund, as well as the risk that the standard-setting process and ESG funds themselves become embroiled in politics. In short, the problem is differing views of morality.

In the third view, we do not suffer from the “fuzzy boundaries problem” or the “morality definition problem, but the problem with this functional view of ESG funds is large in-category variation—that is, there is so much variation that the category is not useful for identifying particular kinds of ESG funds.

So this begs the question of what should the objectives of a New ESG Fund Classification be? And these are probably the same for investors, investment companies and regulators.

Mutually exclusive, completely exhaustive groups. In other words, each fund will be in one group, and only one group, at each hierarchical level.

So, how do we improve ESG classifications? We propose focusing on three key features. Feature 1 is about a fund's process for using ESG data to improve risk-adjusted returns. This is critical for funds that aim to maximize financial performance through ESG insights. Feature 2 involves policies that control investors' exposure to systemic ESG issues—this feature is designed for funds that want to manage risks tied to large-scale environmental or social challenges. Lastly, Feature 3 is about having a clear plan to achieve measurable outcomes in areas like environmental or social impact. By focusing on these three features, we can create a classification system that is both comprehensive and easy to apply.

We can then lookat various ways that we can create groups using Features 1, 2, and 3. The first and perhaps simplest way is to make a distinction based on any single feature—for example, distinguishing funds that have Feature 1 from funds that do not have Feature 1. If we do this for all three features, we get three non-mutually exclusive groups.

Let’s talk about how this framework applies in practice. Feature 1 can be seen in funds that use ESG information purely to improve financial performance—essentially, they treat ESG factors as an additional layer of data. Feature 2 is more common in funds that have specific policies to limit exposure to risks like climate change or social unrest, which are systemic ESG issues. Finally, Feature 3 is found in funds that aim to achieve concrete environmental or social outcomes—such as committing to carbon neutrality by 2030. This framework not only clarifies what these funds do, but also helps investors match their financial and ethical goals with the right products.

In conclusion, the ESG fund market is at a turning point. With more investors demanding transparency, we need a classification system that is clear, practical, and useful across different markets. Product classification system design is a discipline that is useful for understanding and analyzing existing classification systems. It is also useful for designing better classification systems that avoid common problems, such as poorly defined group boundaries, the introduction of subjective views, and debates about group names.

In terms of some key take aways:

Product classification systems should be intentionally designed. The Sustainable Finance Disclosure Regulation in the EU and the proposed Enhanced Disclosures Rule in the United States should either (1) eliminate the elements that have resulted in, or are likely to result in, de facto fund classification systems, or alternatively (2) intentionally and fully incorporate product classification system design principles.

Product classification system design requires significant technical knowledge about the products in the classification universe, and classification systems need to be updated regularly to adapt to changes in products and the marketplace. Legislators and regulators should carefully consider whether they have the technical knowledge and capacity to develop and maintain product classification systems and the complementary role that independent standard setters may play. e. Legislators and regulators should carefully consider whether they have the technical knowledge and capacity to develop and maintain product classification systems and the complementary role that independent standard setters may play.

Guidelines, examples, and case studies are critical for achieving consistent classification across evaluators and over time. The classification process should be given as much attention as feature and group definitions.

The labels established in the Sustainability Disclosure Requirements and Investment Labels (SDR) in the UK are highly useful as inputs into a product classification system. SDR is not a classification system in and of itself, The labels established in the Sustainability Disclosure Requirements and Investment Labels (SDR) in the UK are highly useful as inputs into a product classification system. SDR is not a classification system in and of itself.

Product classification system design may not fully resolve the debate about what the term “ESG fund” means. Nonetheless, it does allow for better debate by defining groups of funds that people can refer to when articulating their position on what sorts of funds they believe should and should not be referred to as ESG funds

Testing and Refinement

Adding Granularity to Feature 2

We acknowledge that many variants of Feature 2—and, therefore, any group of funds that have Feature 2—may appear rather diverse (i.e., not very homogeneous). We recognize that many investors likely want a more granular distinction as to what sorts of policies a fund has (or is subject to), what sorts of systemic ESG issues are addressed in those policies, and what sort of control the policies provide with respect to exposure and contribution to those ESG issues.