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 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]