ESG策略周度报告：本周ESG舆情整合策略超额收益2%-20260210

Core Insights - The report indicates that the ESG sentiment integration strategy achieved an excess return of 2% for the week ending February 6, 2026, outperforming the benchmark [1] - The ESG screening strategy based on the Shanghai and Shenzhen 300 index showed a return of 0.94%, resulting in an excess return of 2.26% compared to the benchmark's decline of 1.32% [4] - The ESG sentiment integration strategy also reported a return of 0.68%, with an excess return of 2.00% against the benchmark [9] ESG Screening Strategy Performance - The ESG screening strategy (Shanghai and Shenzhen 300) recorded a total return of -1% over the last month, with a relative total return of 2% [4] - The maximum gain for this strategy was 2%, while the maximum loss was -4%, with a Sharpe ratio of -1.09 [7] - Historical performance data shows that since inception, the strategy has achieved a total return of 71% [7] ESG Sentiment Integration Strategy Performance - The ESG sentiment integration strategy (Shanghai and Shenzhen 300) had a total return of -2% over the last month, with a relative total return of 0% [9] - The maximum gain for this strategy was also 2%, with a maximum loss of -5%, and a Sharpe ratio of -1.9 [12] - Since inception, the strategy has achieved a total return of 107% [12]