ESG策略周度报告：本周ESG策略有所回撤-20250922

Core Insights - The ESG strategies experienced a pullback this week, with both the ESG screening strategy and the ESG sentiment integration strategy underperforming relative to the benchmark [1][4][8]. ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, showed a decline of 1.61% as of September 19, 2025, compared to a decline of 0.44% in the CSI 300 benchmark, resulting in an excess return of -1.16% [4][7]. - Over the last month, the total return was -2%, with a relative total return of -7%, a maximum gain of 1%, and a maximum loss of -4%. The Sharpe ratio was -2.74 [4][7]. Performance Statistics - Total Return: -2% (last month), 4% (last 3 months), 9% (last 6 months), 29% (last year), 4% (year-to-date), 74% (since inception) [7]. - Relative Total Return: -7% (last month), -13% (last 3 months), -6% (last 6 months), -12% (last year), -10% (year-to-date), 58% (since inception) [7]. - Maximum Drawdown: -4% (last month), -4% (last 3 months), -4% (last 6 months), -8% (last year), -7% (year-to-date), -8% (since inception) [7]. ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, based on the report published on February 28, 2025, declined by 2.03% as of September 19, 2025, compared to the CSI 300 benchmark's decline of 0.44%, leading to an excess return of -1.58% [8][9]. - The total return for the last month was -3%, with a relative total return of -8%, a maximum gain of 2%, and a maximum loss of -4%. The Sharpe ratio was -2.69 [8][9]. Performance Statistics - Total Return: -3% (last month), -1% (last 3 months), 7% (last 6 months), 42% (last year), 5% (year-to-date), 116% (since inception) [9]. - Relative Total Return: -8% (last month), -18% (last 3 months), -8% (last 6 months), 1% (last year), -10% (year-to-date), 100% (since inception) [9]. - Maximum Drawdown: -4% (last month), -5% (last 3 months), -5% (last 6 months), -7% (last year), -6% (year-to-date), -10% (since inception) [9].