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].

Core Insights - The ESG sentiment integration strategy achieved an excess return of 4.13% compared to the benchmark index, with a total return of 2% over the last month [1][9] - The ESG screening strategy underperformed with a decline of 1.64%, but still outperformed the benchmark by 2.13% [1][5] ESG Screening Strategy (CSI 300) - The strategy, based on the report published on December 8, 2023, considers incremental risk information provided by ESG factors and incorporates Markowitz portfolio theory [1][5] - Performance metrics include a total return of -0.2% over the last month, a maximum gain of 2%, and a maximum loss of -2%, with a Sharpe ratio of -0.44 [1][8] ESG Sentiment Integration Strategy (CSI 300) - This strategy, detailed in the report from February 28, 2025, also utilizes ESG sentiment data and Markowitz portfolio theory [1][9] - The strategy's performance shows a total return of 2% over the last month, with a maximum gain of 2% and a maximum loss of -1%, achieving a Sharpe ratio of 3.44 [1][12]

Group 1 - The report indicates that the ESG strategy for central state-owned enterprises (SOEs) achieved an excess return of 5.09% in October 2025, highlighting the effectiveness of integrating ESG factors into investment strategies [1] - The ESG screening strategy based on the CSI 300 index reported a total return of 2% for the month ending October 31, 2025, with a maximum drawdown of -1% and a Sharpe ratio of 3.33 [3][6] - The ESG sentiment integration strategy also performed well, yielding a total return of 3% for the same period, with a maximum drawdown of -1% and a Sharpe ratio of 4.81 [7][8] Group 2 - The cumulative return for the ESG & central SOE strategy reached 89.78% since January 3, 2023, while the cumulative return for the central SOE strategy was 72.79% and for the ESG strategy was 95.40% [11] - In October 2025, the ESG & central SOE strategy had a monthly return of 5.59%, while the central SOE sector saw a return of 7.78% and the ESG sector returned 5.57% [11] - The report notes a decline in the number and issuance of ESG funds during the month, indicating a potential shift in market sentiment [11] Group 3 - Valuation metrics show that the price-to-earnings (P/E) ratio for the Wind All A index is at 22.39, while the P/E ratios for central SOEs and state-owned enterprises are 10.36 and 10.17, respectively [16] - The average daily trading volume for the Wind All A index was 21,521 billion yuan, while central SOEs had a trading volume of 933 billion yuan [16] - The national carbon market saw an increase in trading volume, with a total of 40.03 million tons traded in October 2025, although the closing price per ton decreased to 51.25 yuan [22]

Core Insights - The report indicates a pullback in the ESG strategy for central state-owned enterprises (SOEs) in September 2025, with various strategies experiencing declines in returns [1][10][11]. Group 1: ESG Strategy Monthly Observation - The ESG screening strategy (CSI 300) reported a total return of -2% for the month ending September 26, 2025, with a relative total return of -3%, a maximum gain of 1%, and a maximum loss of -3% [3][6]. - The ESG sentiment integration strategy (CSI 300) showed a total return of -1% for the same period, with a relative total return of -3%, a maximum gain of 2%, and a maximum loss of -4% [7][8]. Group 2: Market Performance - As of September 26, 2025, the cumulative return for the ESG & SOE strategy was 80.98%, while the SOE strategy alone had a cumulative return of 59.70%, and the ESG strategy had a cumulative return of 86.46% [11]. - The monthly performance for September showed a decline of -2.08% for the ESG & SOE strategy, -3.78% for the SOE sector, and -2.38% for the ESG sector, contrasting with a 1.17% increase for the entire A-share market [11]. Group 3: Valuation Situation - The price-to-earnings (P/E) ratio for the Wind All A index is at 22.12, while the P/E ratios for central SOEs and state-owned enterprises are 9.75 and 9.56, respectively [15]. - The price-to-book (P/B) ratio for the Wind All A index is 1.80, with central SOEs at 0.99 and state-owned enterprises at 1.09 [15]. Group 4: Carbon Market Trends - The national carbon market saw an increase in trading volume, with a total of 27.36 million tons traded in September 2025, while the closing price for carbon emission allowances dropped to 59.16 yuan per ton from 69.30 yuan per ton [19].

Core Insights - The ESG strategies experienced a pullback this week, with both the ESG screening strategy and the ESG sentiment integration strategy 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, showed a decline of 1.61% as of September 19, 2025, compared to a decline of 0.44% in the CSI 300 benchmark, resulting in an excess return of -1.16% [4][7]. - Over the last month, the total return was -2%, with a relative total return of -7%, a maximum gain of 1%, and a maximum loss of -4%. The Sharpe ratio was -2.74 [4][7]. Performance Statistics - Total Return: -2% (last month), 4% (last 3 months), 9% (last 6 months), 29% (last year), 4% (year-to-date), 74% (since inception) [7]. - Relative Total Return: -7% (last month), -13% (last 3 months), -6% (last 6 months), -12% (last year), -10% (year-to-date), 58% (since inception) [7]. - Maximum Drawdown: -4% (last month), -4% (last 3 months), -4% (last 6 months), -8% (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 2.03% as of September 19, 2025, compared to the CSI 300 benchmark's decline of 0.44%, leading to an excess return of -1.58% [8][9]. - The total return for the last month was -3%, with a relative total return of -8%, a maximum gain of 2%, and a maximum loss of -4%. The Sharpe ratio was -2.69 [8][9]. Performance Statistics - Total Return: -3% (last month), -1% (last 3 months), 7% (last 6 months), 42% (last year), 5% (year-to-date), 116% (since inception) [9]. - Relative Total Return: -8% (last month), -18% (last 3 months), -8% (last 6 months), 1% (last year), -10% (year-to-date), 100% (since inception) [9]. - Maximum Drawdown: -4% (last month), -5% (last 3 months), -5% (last 6 months), -7% (last year), -6% (year-to-date), -10% (since inception) [9].

Core Insights - The ESG strategies experienced a pullback this week, with the ESG sentiment integration strategy showing an excess return of -4.15% compared to the benchmark [1][2][9] ESG Screening Strategy (CSI 300) - The ESG screening strategy, based on the report published on December 8, 2023, showed a decline of 1.17% this week, underperforming the CSI 300 index which rose by 2.71%, resulting in an excess return of -3.88% [2][5] - Over the last month, the total return for this strategy was 2%, with a relative total return of -8%, a maximum gain of 4%, and a maximum loss of -2% [5][8] - The Sharpe ratio for the strategy stands at 2.99, indicating a relatively high risk-adjusted return [8] ESG Sentiment Integration Strategy (CSI 300) - The ESG sentiment integration strategy, based on the report published on February 28, 2025, experienced a decline of 1.44% this week, compared to the CSI 300's increase of 2.71%, leading to an excess return of -4.15% [2][9] - The total return for the last month was 0.14%, with a relative total return of -10%, a maximum gain of 3%, and a maximum loss of -3% [9][11] - The Sharpe ratio for this strategy is 0.02, suggesting a low risk-adjusted return [11]

Core Insights - The ESG screening strategy achieved an absolute return of 0.12% for the week ending August 15, 2025, underperforming the CSI 300 index, which rose by 2.37%, resulting in an excess return of -2.25% [2][5][9] - The ESG sentiment integration strategy experienced a decline of -2.18% for the same week, compared to the CSI 300's performance, leading to an excess return of -4.55% [2][9] ESG Screening Strategy Performance - The ESG screening strategy's total return for the latest month was 2%, with a relative total return of -3% [2][5] - The maximum gain recorded was 4%, while the maximum loss was -2% [2][5] - The Sharpe ratio for the strategy stood at 1.85, indicating a favorable risk-adjusted return [2][5] ESG Sentiment Integration Strategy Performance - The ESG sentiment integration strategy reported a total return of -4% over the last month, with a relative total return of -8% [2][9] - The maximum gain for this strategy was 2%, and the maximum loss was -4% [2][9] - The Sharpe ratio for the sentiment integration strategy was -4.31, suggesting a negative risk-adjusted return [2][9] Historical Performance Metrics - For the ESG screening strategy, annualized average returns were 21% with an annualized average excess return of -25% [7] - The strategy's maximum drawdown was -8%, and the annualized volatility was 11% [7] - The ESG sentiment integration strategy had an annualized average return of -32% and an annualized average excess return of -59% [11] - The maximum drawdown for this strategy was -10%, with an annualized volatility of 17% [11]