ESG策略周度报告：本周ESG策略有所回撤-20251229
Yin He Zheng Quan·2025-12-29 04:31

Core Insights - The ESG strategies experienced a pullback this week, with both the ESG screening strategy and the ESG sentiment integration strategy underperforming compared 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 0.46% for the week ending December 26, 2025, compared to a 1.95% increase in the CSI 300, resulting in an excess return of -2.41% [4][7]. - Over the last month, the total return was -1%, with a relative total return of -4%. The maximum gain was 1%, and the maximum loss was -2%, with a Sharpe ratio of -2.72 [4][7]. Performance Statistics - Total Return: -1% (last month), 0% (last 3 months), 4% (last 6 months), 4% (last year), 4% (year-to-date), 74% (since inception) [7]. - Relative Total Return: -4% (last month), -2% (last 3 months), -15% (last 6 months), -13% (last year), -15% (year-to-date), 53% (since inception) [7]. - Maximum Drawdown: -2% (last month), -4% (last 3 months), -4% (last 6 months), -7% (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 0.90% for the week ending December 26, 2025, compared to the CSI 300's 1.95% increase, leading to an excess return of -2.85% [8][11]. - The total return for the last month was -4%, with a relative total return of -7%. The maximum gain was 0.2%, and the maximum loss was -4%, with a Sharpe ratio of -9.09 [8][11]. Performance Statistics - Total Return: -4% (last month), -2% (last 3 months), -2% (last 6 months), 4% (last year), 3% (year-to-date), 113% (since inception) [11]. - Relative Total Return: -7% (last month), -4% (last 3 months), -21% (last 6 months), -13% (last year), -15% (year-to-date), 93% (since inception) [11]. - Maximum Drawdown: -4% (last month), -6% (last 3 months), -6% (last 6 months), -6% (last year), -6% (year-to-date), -10% (since inception) [11].