ESG策略周度报告：本周ESG整合策略有所回撤-20250901

Core Insights - The ESG strategies experienced a pullback this week, with the ESG sentiment integration strategy showing an excess return of -4.15% compared to the benchmark [1][2][9] ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, showed a decline of 1.17% this week, underperforming the CSI 300 index which rose by 2.71%, resulting in an excess return of -3.88% [2][5] - Over the last month, the total return for this strategy was 2%, with a relative total return of -8%, a maximum gain of 4%, and a maximum loss of -2% [5][8] - The Sharpe ratio for the strategy stands at 2.99, indicating a relatively high risk-adjusted return [8] ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, based on the report published on February 28, 2025, experienced a decline of 1.44% this week, compared to the CSI 300's increase of 2.71%, leading to an excess return of -4.15% [2][9] - The total return for the last month was 0.14%, with a relative total return of -10%, a maximum gain of 3%, and a maximum loss of -3% [9][11] - The Sharpe ratio for this strategy is 0.02, suggesting a low risk-adjusted return [11]