自《巴黎氣候協定》以來，ESG資產規模不斷攀升。隨著ESG基金需求持續 上升，相關的投資策略也日益多元化。本研究旨在探討ESG投資策略對投資績效 的影響，研究樣本涵蓋2009年1月至2024年7月的歐洲ESG基金，資料來源為 某國際知名資料庫。本研究依據資料庫的定義，將ESG投資策略區分為三大類， 並著重於比較傳統與進階ESG投資策略在績效上的差異。為了考量投資人的風險 趨避特性，本研究採用基於效用函數的隨機優越（Stochastic Dominance）方法 進行分析，以更準確地識別符合投資人偏好的策略。 實證結果顯示，傳統ESG投資策略雖具有較高波動性，但能夠實現顯著的超 額報酬。在納入投資人風險偏好因素後發現，隨著ESG策略的進階與複雜化，投 資人的偏好排序亦會相應後移。此外，無論採用何種績效衡量指標，研究結果均 一致顯示，傳統ESG投資策略在整體表現上優於其他兩種進階策略。;Since the signing of the Paris Agreement， the scale of ESG assets has been continuously expanding. With the growing demand for ESG funds， related investment strategies have also become increasingly diversified. This study aims to examine the impact of ESG investment strategies on investment performance. The sample consists of European ESG funds covering the period from January 2009 to July 2024， with data obtained from one of well-known database. Based on the definitions provided by the database， ESG investment strategies are categorized into three main types. The study focuses on comparing the performance differences between traditional and advanced ESG investment strategies. To account for investors′ risk aversion， this research adopts the Stochastic Dominance approach based on utility functions， allowing for a more accurate identification of strategies that align with investor preferences. Empirical results show that while traditional ESG investment strategies exhibit higher volatility， they can generate significant excess returns. After incorporating investor risk preferences， the findings indicate that as ESG strategies become more advanced and complex， investor preference rankings tend to decline accordingly. Moreover， regardless of the performance metrics employ， the results consistently demonstrate that traditional ESG investment strategies outperform the other two more advanced approaches in overall performance.
