ESG策略周度报告（20260116）：本周ESG策略超额收益均有所回撤-20260119

Core Insights - The report indicates a pullback in ESG strategy excess returns this week, with both ESG screening and sentiment integration strategies 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, experienced a decline of 1.87% as of January 16, 2026, compared to a drop of 0.57% in the CSI 300 benchmark, resulting in an excess return of -1.30% [4][7]. - Over the last month, the total return for this strategy was -2%, with a relative total return of -6%, a maximum gain of 2%, and a maximum loss of -2%. The Sharpe ratio stood at -2.59 [7]. ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, derived from the report published on February 28, 2025, saw a decrease of 2.20% as of January 16, 2026, against the CSI 300 benchmark's decline of 0.57%, leading to an excess return of -1.63% [8][11]. - In the latest month, this strategy recorded a total return of -3% and a relative total return of -7%, with a maximum gain of 1% and a maximum loss of -3%. The Sharpe ratio was -4.97 [11].