ESG与央国企月度报告：11月纯ESG策略超额收益5.01%-20251208

Group 1 - The core viewpoint of the report highlights that the pure ESG strategy achieved an excess return of 5.01% in November 2025, indicating strong performance in the ESG investment space [1] - The ESG screening strategy (CSI 300) reported a total return of -0.4% for the latest month, with a relative total return of 2%, a maximum gain of 2%, and a maximum loss of -3% [3][6] - The ESG sentiment integration strategy (CSI 300) achieved a total return of 1% for the latest month, with a relative total return of 3%, a maximum gain of 2%, and a maximum loss of -1% [7][10] Group 2 - The market performance in November showed that the pure ESG strategy, ESG & SOE strategy, and pure SOE strategy all generated excess returns, with the pure ESG strategy yielding the highest returns [12] - As of December 1, 2025, the cumulative return for the ESG & SOE strategy was 93.93%, while the pure SOE strategy had a cumulative return of 75.30%, and the pure ESG strategy reached 101.42% [12] - The average daily trading volume for the CSI 300 was 19,145 billion CNY, indicating an increase compared to previous values [17] Group 3 - The valuation situation shows that the PE ratio for the CSI 300 is at a high level, with a PE ratio of 21.85, while the SOE PE ratio is 10.36 and the national enterprise PE ratio is 10.17 [17] - The average daily trading volume for SOEs was 657 billion CNY, reflecting an increase from previous periods [17] - The national carbon market saw an increase in both transaction volume and price, with the closing price for carbon emission allowances at 59.65 CNY/ton as of December 1, 2025 [23]