ESG策略周度报告本周ESG筛选策略超额收益为0.68%

           ESG筛选策略（沪深300)沪深300超额收益 80% 70% 60% 50% 40% 30% 20% 10% 0% -10% -20% -30% ESG舆情整合策略（沪深300)沪深300超额收益 140% 120% 100% 80% 60% 40% 20% 0% -20% -40% ()= (260/) (()+1)−1 − 𝐴𝑙𝑝ℎ�=−𝐵𝑒𝑡�⋅ 𝐶𝑜𝑣(𝑟𝑎,𝑟𝑚) 𝐵𝑒𝑡�=σ2 � 𝑟�𝑟� − 𝐽𝑒𝑛𝑠𝑒�=(𝑅�−𝑅𝑓)−𝐵𝑒𝑡�×(𝑅�−𝑅𝑓) 𝑅�𝑅�𝑅�𝐵𝑒𝑡� 𝑅2 ∑(𝑦̂�−𝑦̅)2 𝑅2= ∑(𝑦�−𝑦̅)2 𝑦̂�𝑦�𝑦̅ (𝑅�−𝑅𝑓) 𝑆ℎ𝑎𝑟𝑝�=σ � 𝑅�𝑅�σ� − − (𝑅�−𝑅𝑓) 𝑇𝑟𝑒𝑦𝑛𝑜�= 𝑅� 𝑅� ∑𝑅� � � 𝑅� √∑[(𝑅�−�𝑖)] �−1 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡�=√52× ∑�2