An important correction/update to my last post.
Upon further analysis, I found that the low-emission portfolio’s overweight to companies with bottom-decile ESG scores was the result of including companies with no ESG scores. The above chart has been updated to only include holdings with an ESG rating. As you can see, the result is that the low-emission portfolio scores very similarly to its benchmark. This illustrates that investors need not sacrifice ESG qualities to materially reduce emissions exposure. On the other hand, the portfolio still has benchmark-like ESG scores, rather than broad improvement. Thus, I believe the main point that investors must prioritize what exposures they want (it may be impossible to target a portfolio with high ESG scores, low emissions, gender diversity, and low tracking error) still remains the same.