ESG策略周度报告：本周ESG筛选策略超额收益0.12%-20260126

Core Insights - The ESG screening strategy achieved an excess return of 0.12% for the week ending January 23, 2026, with a total return of -2% over the last month, compared to a relative total return of -3% [1][4][7] - The ESG sentiment integration strategy underperformed, with a weekly decline of 0.86% and a total return of -3% for the last month, resulting in a relative total return of -5% [1][8][11] ESG Screening Strategy (CSI 300) - The strategy utilizes insights from the report published on December 8, 2023, which integrates ESG factors with Markowitz portfolio theory [1][4] - Weekly performance: down 0.50% against the CSI 300's decline of 0.62%, yielding an excess return of 0.12% [1][4] - Monthly performance metrics include a total return of -2%, maximum gain of 2%, maximum loss of -3%, and a Sharpe ratio of -2.44 [1][4][7] ESG Sentiment Integration Strategy (CSI 300) - This strategy is based on the report released on February 28, 2025, which also combines ESG sentiment with Markowitz portfolio theory [1][8] - Weekly performance: down 0.86% compared to the CSI 300's -0.62%, resulting in an excess return of -0.24% [1][8] - Monthly performance metrics show a total return of -3%, maximum gain of 1%, maximum loss of -4%, and a Sharpe ratio of -3.98 [1][8][11] Performance Statistics - For the ESG screening strategy, the annualized average return since inception is 19%, with a maximum drawdown of -8% and a tracking error of 1% [7] - The ESG sentiment integration strategy has an annualized average return of 27% since inception, with a maximum drawdown of -10% and a tracking error of 1% [11]