ESG策略周度报告-20250818

Core Insights - The ESG screening strategy achieved an absolute return of 0.12% for the week ending August 15, 2025, underperforming the CSI 300 index, which rose by 2.37%, resulting in an excess return of -2.25% [2][5][9] - The ESG sentiment integration strategy experienced a decline of -2.18% for the same week, compared to the CSI 300's performance, leading to an excess return of -4.55% [2][9] ESG Screening Strategy Performance - The ESG screening strategy's total return for the latest month was 2%, with a relative total return of -3% [2][5] - The maximum gain recorded was 4%, while the maximum loss was -2% [2][5] - The Sharpe ratio for the strategy stood at 1.85, indicating a favorable risk-adjusted return [2][5] ESG Sentiment Integration Strategy Performance - The ESG sentiment integration strategy reported a total return of -4% over the last month, with a relative total return of -8% [2][9] - The maximum gain for this strategy was 2%, and the maximum loss was -4% [2][9] - The Sharpe ratio for the sentiment integration strategy was -4.31, suggesting a negative risk-adjusted return [2][9] Historical Performance Metrics - For the ESG screening strategy, annualized average returns were 21% with an annualized average excess return of -25% [7] - The strategy's maximum drawdown was -8%, and the annualized volatility was 11% [7] - The ESG sentiment integration strategy had an annualized average return of -32% and an annualized average excess return of -59% [11] - The maximum drawdown for this strategy was -10%, with an annualized volatility of 17% [11]