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]

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]