ESG策略周度报告：本周ESG舆情整合策略超额收益3.60%-20260323

Core Insights - The report highlights that the ESG sentiment integration strategy has achieved an excess return of 3.60% as of March 20, 2026, outperforming the benchmark index [1] - The ESG screening strategy has shown a decline of -1.37%, but still provided an excess return of 0.82% compared to the benchmark [5][10] ESG Screening Strategy Performance - The ESG screening strategy (CSI 300) reported a total return of 5% over the last month, with a relative total return of 7% and a maximum drawdown of -1% [5][8] - The Sharpe ratio for this strategy stands at 9.1, indicating strong risk-adjusted performance [8] ESG Sentiment Integration Strategy Performance - The ESG sentiment integration strategy (CSI 300) recorded a total return of 5% in the last month, with a relative total return of 7% and a maximum drawdown of -1% [10][12] - The Sharpe ratio for this strategy is 8.95, reflecting its effective risk management [10][12] Statistical Summary of ESG Strategies - The report provides detailed statistics for both strategies, including annualized average returns, maximum drawdowns, and volatility metrics, which indicate robust performance over various time frames [12][15] - The ESG screening strategy has an annualized average return of 80% since inception, while the sentiment integration strategy has an annualized average return of 93% [12][15]