Core Insights - The ESG strategies experienced a slight pullback this week, with the ESG screening strategy (CSI 300) declining by 0.35%, underperforming the CSI 300 benchmark which rose by 0.08%, resulting in an excess return of -0.43% [1][4] - The ESG sentiment integration strategy (CSI 300) also saw a decrease of 0.12%, compared to the benchmark's 0.08%, leading to an excess return of -0.20% [1][8] ESG Screening Strategy (CSI 300) - The strategy, based on the report published on December 8, 2023, evaluates ESG-related incremental risk information and incorporates Markowitz portfolio theory [1][4] - Performance metrics as of January 30, 2026: - Total return for the last month: -1% - Relative total return: -3% - Maximum gain: 2% - Maximum loss: -4% - Sharpe ratio: -1.45 [1][7] ESG Sentiment Integration Strategy (CSI 300) - This strategy, detailed in the report from February 28, 2025, also considers ESG sentiment's incremental risk information alongside Markowitz portfolio theory [1][8] - Performance metrics as of January 30, 2026: - Total return for the last month: -3% - Relative total return: -4% - Maximum gain: 2% - Maximum loss: -4% - Sharpe ratio: -2.44 [1][11]
ESG策略周度报告：本周ESG策略小幅回撤-20260202
Yin He Zheng Quan·2026-02-02 05:51