ESG策略周度报告：本周ESG策略小幅回撤-20260105

Core Insights - The ESG strategies experienced a slight pullback this week, with the ESG screening strategy (CSI 300) declining by 1.04%, underperforming the CSI 300 index which fell by 0.59%, resulting in an excess return of -0.45% [1][4] - The ESG sentiment integration strategy also saw a decline of 0.82%, again underperforming the CSI 300 benchmark, leading to an excess return of -0.23% [1][8] ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, evaluates the incremental risk information provided by ESG factors and incorporates Markowitz portfolio theory [1][4] - Performance metrics as of December 31, 2025: - Total return for the last month: -3% - Relative total return: -4% - Maximum gain: 1% - Maximum loss: -3% - Sharpe ratio: -6.52 [1][7] ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, derived from the report published on February 28, 2025, also assesses the incremental risk information from ESG sentiment while applying Markowitz portfolio theory [1][8] - Performance metrics as of December 31, 2025: - Total return for the last month: -4% - Relative total return: -6% - Maximum gain: 0.2% - Maximum loss: -4% - Sharpe ratio: -8.78 [1][11]