Names

Class

Before the DCT

After the DCT

Mean

Std dev

Sharpe

Mean

Std dev

Sharpe

SSE Energy Index

HC

−0.0003

0.0139

−0.0701

0.0011

0.0204***

0.1410

CNI Oil & Gas Index

HC

−0.0006

0.0125

−0.1134

0.0010

0.0174***

0.1383

CSI All Share Electric Utilities Index

HC

−0.0004

0.0111

−0.0811

0.0017

0.0267***

0.1533

CSI Coal & Consumable Fuels Index

HC

−0.0002

0.0181

−0.0400

0.0011

0.0218***

0.1945

CSI Steel Index

HC

−0.0004

0.0166

−0.0662

0.0011

0.0165***

0.1369

CSI China Mainland Low Carbon Economy Index

LC

0.0001

0.0146

−0.0007

0.0027*

0.0219***

0.3378

CSI New Energy Index

LC

4.00E−05

0.0171

−0.0062

0.0031*

0.0247***

0.3674

CNI ESG 300 Index

LC

0.0003

0.0133

0.0272

0.0003

0.0122

0.0421

CSI Atmospheric Protection Index

LC

−0.0006

0.0178

−0.0949

0.0003

0.0176*

0.0267

CSI Environmental Protection Industry Index

LC

−0.0002

0.0157

−0.0498

0.0024**

0.0206***

0.3112