本周 ESG 筛选策略上涨 0.76% ——ESG 策略周度报告（20260227） 2026 年 3 月 2 日 核心观点 分析师 马宗明 ：18600816533 ESG 策略周度报告 ：mazongming_yj@chinastock.com.cn 分析师登记编码：S0130524070001 研究助理 方嘉成 相关研究 1.【银河 ESG】厚积薄发，志存高远——ESG 投资策 略解析与优化构建 2.【银河 ESG】穿越市场周期变幻：ESG 舆情整合策 略新径 3.【银河 ESG】本周 ESG 舆情整合策略超额收益为 5.94%——ESG 策略周度报告（20250419） 4.【银河 ESG】本周 ESG 舆情整合策略超额收益为 0.79%——ESG 策略周度报告（20250425） 5.【银河 ESG】本周 ESG 评级下调数居多，策略有 所回撤——ESG 策略周度报告（20250430） 6. 【银河 ESG】本周 ESG 舆情整合策略绝对收益为 2.16%——ESG 策略周度报告（20250510） www.chinastock.com.cn 证券研究报告 请务必阅读正文最后的中国银河证券股份有限 ...

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 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].

Group 1 - The report indicates that the ESG screening strategy (CSI 300) has shown a total return of -2% for the latest month, with a relative total return of -5%, a maximum gain of 1%, and a maximum loss of -3% as of December 30, 2025 [3][6] - The ESG sentiment integration strategy (CSI 300) has reported a total return of -5% for the latest month, with a relative total return of -8%, a maximum gain of 0.16%, and a maximum loss of -5% as of December 30, 2025 [6][9] - The overall market performance in December showed a decline in both pure ESG strategies and ESG & central state-owned enterprise strategies, while the pure central state-owned enterprise strategy yielded positive returns [10][11] Group 2 - The cumulative return rates as of December 29, 2025, are as follows: ESG & central state-owned enterprises at 88.80%, central state-owned enterprises at 74.30%, ESG at 100.13%, and the entire A-share market at 31.52% [10][11] - The monthly performance for December indicates a decline of -2.20% for ESG & central state-owned enterprises, a slight increase of 0.27% for central state-owned enterprises, and a minor decline of -0.11% for the ESG sector [10][11] - The number and issuance of ESG funds have decreased during the month [10] Group 3 - Valuation metrics show that the price-to-earnings (P/E) ratio for the entire A-share market is at 22.28, while the P/E ratios for central state-owned enterprises and state-owned enterprises are at 10.07 and 10.41, respectively [15][16] - The average daily trading volume for the entire A-share market was 18,724 billion yuan, while central state-owned enterprises and state-owned enterprises had trading volumes of 591 billion yuan and 919 billion yuan, respectively [15][16] Group 4 - The national carbon market has seen a decrease in trading volume, with the closing price for carbon emission allowances at 72.87 yuan per ton, up from 59.65 yuan per ton previously [21][23] - The total trading volume for carbon emission allowances in December was 46.2182 million tons, down from 47.7532 million tons [21][23]

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]

Group 1 - The core viewpoint of the report highlights that the pure ESG strategy achieved an excess return of 5.01% in November 2025, indicating strong performance in the ESG investment space [1] - The ESG screening strategy (CSI 300) reported a total return of -0.4% for the latest month, with a relative total return of 2%, a maximum gain of 2%, and a maximum loss of -3% [3][6] - The ESG sentiment integration strategy (CSI 300) achieved a total return of 1% for the latest month, with a relative total return of 3%, a maximum gain of 2%, and a maximum loss of -1% [7][10] Group 2 - The market performance in November showed that the pure ESG strategy, ESG & SOE strategy, and pure SOE strategy all generated excess returns, with the pure ESG strategy yielding the highest returns [12] - As of December 1, 2025, the cumulative return for the ESG & SOE strategy was 93.93%, while the pure SOE strategy had a cumulative return of 75.30%, and the pure ESG strategy reached 101.42% [12] - The average daily trading volume for the CSI 300 was 19,145 billion CNY, indicating an increase compared to previous values [17] Group 3 - The valuation situation shows that the PE ratio for the CSI 300 is at a high level, with a PE ratio of 21.85, while the SOE PE ratio is 10.36 and the national enterprise PE ratio is 10.17 [17] - The average daily trading volume for SOEs was 657 billion CNY, reflecting an increase from previous periods [17] - The national carbon market saw an increase in both transaction volume and price, with the closing price for carbon emission allowances at 59.65 CNY/ton as of December 1, 2025 [23]

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]