Balancing Policy and Performance: A Dual-Perspective Analysis of ESG Investment Strategies in China’s Market via Industry Rotation and Risk Parity

DOI

10.2991/978-94-6239-777-4_58How to use a DOI?

Keywords

ESG Investing; Portfolio Optimisation; Risk Parity; Industry Rotation; China A-share Market

Abstract

This study asks how well ESG investment strategies really work in China’s policy-driven market, looking at two angles—industry rotation and risk parity. Using 21 A‑share stocks from 2019 to 2024 and applying the Markowitz and Single‑Index models, the analysis finds that ESG scores can serve as useful early policy signals, helping tilt portfolios toward favoured sectors and adding stability, but sticking too tightly to ESG rules may cause investors to miss obvious cyclical upswings. On the risk parity side, high‑ESG assets naturally support diversification and downside protection, yet simply splitting stocks into high‑ and low‑ESG buckets can hide serious risk concentrations within groups—new energy being a case in point—while a standard risk parity approach tends to underweight volatile, low‑ESG assets, creating its own trade‑offs. To navigate this double‑edged reality, this study proposes a multi‑part optimisation framework: refining ESG signals through industry calibration and dynamic thresholds, and improving risk parity by addressing intra‑group concentration and integrating downside risk metrics, offering asset managers a concrete way to chase strategic policy opportunities without losing control of risk.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Xuan Liu
PY  - 2026
DA  - 2026/09/30
TI  - Balancing Policy and Performance: A Dual-Perspective Analysis of ESG Investment Strategies in China’s Market via Industry Rotation and Risk Parity
BT  - Proceedings of the 2026 8th International Conference on Economic Management and Cultural Industry (ICEMCI 2026)
PB  - Atlantis Press
SP  - 549
EP  - 560
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-777-4_58
DO  - 10.2991/978-94-6239-777-4_58
ID  - Liu2026
ER  -