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]

Core Insights - The report highlights that the ESG sentiment integration strategy has achieved an excess return of 3.52% as of March 6, 2026, outperforming the benchmark index [1] - The ESG screening strategy has also shown strong performance, with a 3.29% excess return compared to the CSI 300 index [1] ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, has increased by 2.22% as of March 6, 2026, while the CSI 300 index decreased by 1.07%, resulting in an excess return of 3.29% [5] - Over the last month, the total return for this strategy was 2%, with a maximum gain of 4% and a maximum loss of -1%, yielding a Sharpe ratio of 5.95 [8] ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, based on the report published on February 28, 2025, has risen by 2.45% as of March 6, 2026, compared to the CSI 300's decline of 1.07%, leading to an excess return of 3.52% [10] - The total return for the last month was 0.31%, with a maximum gain of 2% and a maximum loss of -2%, resulting in a Sharpe ratio of 0.34 [13]

Core Insights - The ESG screening strategy increased by 0.76% for the week ending February 27, 2026, outperforming the CSI 300 index, which decreased by 0.19%, resulting in an excess return of 0.95% [1][4] - The ESG sentiment integration strategy decreased by 0.98% for the same week, underperforming the CSI 300 index, leading to an excess return of -0.79% [1][9] ESG Screening Strategy (CSI 300) - The strategy utilizes the screening method presented in the report published on December 8, 2023, which incorporates ESG incremental risk information and the Markowitz portfolio theory [1][4] - Performance metrics include: - Total return for the latest month: 1% - Maximum gain: 2% - Maximum loss: -1% - Sharpe ratio: 2.29 [1][4][7] ESG Sentiment Integration Strategy (CSI 300) - This strategy is based on the ESG sentiment integration method detailed in the report published on February 28, 2025, which also considers ESG sentiment's incremental risk information alongside the Markowitz portfolio theory [1][9] - Performance metrics include: - Total return for the latest month: -1% - Maximum gain: 2% - Maximum loss: -2% - Sharpe ratio: -2.04 [1][9][12]

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]

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]

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]

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].

Core Insights - The ESG strategies experienced a slight pullback this week, with the ESG screening strategy (CSI 300) declining by 1.04%, underperforming the CSI 300 index which fell by 0.59%, resulting in an excess return of -0.45% [1][4] - The ESG sentiment integration strategy also saw a decline of 0.82%, again underperforming the CSI 300 benchmark, leading to an excess return of -0.23% [1][8] ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, evaluates the incremental risk information provided by ESG factors and incorporates Markowitz portfolio theory [1][4] - Performance metrics as of December 31, 2025: - Total return for the last month: -3% - Relative total return: -4% - Maximum gain: 1% - Maximum loss: -3% - Sharpe ratio: -6.52 [1][7] ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, derived from the report published on February 28, 2025, also assesses the incremental risk information from ESG sentiment while applying Markowitz portfolio theory [1][8] - Performance metrics as of December 31, 2025: - Total return for the last month: -4% - Relative total return: -6% - Maximum gain: 0.2% - Maximum loss: -4% - Sharpe ratio: -8.78 [1][11]

Core Insights - The ESG strategies experienced a pullback this week, with both the ESG screening strategy and the ESG sentiment integration strategy underperforming compared to the benchmark [1][4][8]. ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, showed a decline of 0.46% for the week ending December 26, 2025, compared to a 1.95% increase in the CSI 300, resulting in an excess return of -2.41% [4][7]. - Over the last month, the total return was -1%, with a relative total return of -4%. The maximum gain was 1%, and the maximum loss was -2%, with a Sharpe ratio of -2.72 [4][7]. Performance Statistics - Total Return: -1% (last month), 0% (last 3 months), 4% (last 6 months), 4% (last year), 4% (year-to-date), 74% (since inception) [7]. - Relative Total Return: -4% (last month), -2% (last 3 months), -15% (last 6 months), -13% (last year), -15% (year-to-date), 53% (since inception) [7]. - Maximum Drawdown: -2% (last month), -4% (last 3 months), -4% (last 6 months), -7% (last year), -7% (year-to-date), -8% (since inception) [7]. ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, based on the report published on February 28, 2025, declined by 0.90% for the week ending December 26, 2025, compared to the CSI 300's 1.95% increase, leading to an excess return of -2.85% [8][11]. - The total return for the last month was -4%, with a relative total return of -7%. The maximum gain was 0.2%, and the maximum loss was -4%, with a Sharpe ratio of -9.09 [8][11]. Performance Statistics - Total Return: -4% (last month), -2% (last 3 months), -2% (last 6 months), 4% (last year), 3% (year-to-date), 113% (since inception) [11]. - Relative Total Return: -7% (last month), -4% (last 3 months), -21% (last 6 months), -13% (last year), -15% (year-to-date), 93% (since inception) [11]. - Maximum Drawdown: -4% (last month), -6% (last 3 months), -6% (last 6 months), -6% (last year), -6% (year-to-date), -10% (since inception) [11].

Core Insights - The ESG strategies experienced a pullback this week, with the ESG screening strategy and the ESG sentiment integration strategy both showing negative performance relative to the benchmark [1][5][9]. ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, showed a decline of 0.80% as of November 28, 2025, compared to a 1.64% increase in the CSI 300 benchmark, resulting in an excess return of -2.44% [5][8]. - Over the last month, the total return was -0.4%, with a relative total return of 2%, a maximum gain of 2%, and a maximum loss of -3%. The Sharpe ratio was -0.97 [5][8]. Performance Statistics - Total Return: 0% (last month), -1% (last 3 months), 5% (last 6 months), 12% (last year), 5% (year-to-date), 75% (since inception) [8]. - Relative Total Return: 2% (last month), -2% (last 3 months), -13% (last 6 months), -3% (last year), -10% (year-to-date), 59% (since inception) [8]. - Maximum Drawdown: -3% (last month), -3% (last 3 months), -4% (last 6 months), -8% (last year), -7% (year-to-date), -8% (since inception) [8]. ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, based on the report published on February 28, 2025, declined by 0.88% as of November 28, 2025, compared to the CSI 300 benchmark's 1.64% increase, leading to an excess return of -2.52% [9][12]. - The total return for the last month was 1%, with a relative total return of 3%, a maximum gain of 2%, and a maximum loss of -1%. The Sharpe ratio was 1.79 [9][12]. Performance Statistics - Total Return: 1% (last month), 1% (last 3 months), 5% (last 6 months), 16% (last year), 8% (year-to-date), 123% (since inception) [12]. - Relative Total Return: 3% (last month), 1% (last 3 months), -13% (last 6 months), 1% (last year), -7% (year-to-date), 106% (since inception) [12]. - Maximum Drawdown: -1% (last month), -4% (last 3 months), -6% (last 6 months), -6% (last year), -6% (year-to-date), -10% (since inception) [12].