不理解

问题如下：

Which of the following most likely has the highest ESG score? A sovereign debt portfolio that:

选项：

A.has a neutral weighting to emerging market debt and US treasuries. B.is overweight emerging market debt and underweight US treasuries. C.is underweight emerging market debt and overweight US treasuries.

解释：

A. Incorrect because an emerging markets debt portfolio will benefit from a higher ESG score if it is underweight (not neutrally weighted) with emerging markets and overweight (not neutrally weighted) with defensive positions, like US treasuries or German bunds.

B. Incorrect because an emerging markets debt portfolio will benefit from a higher ESG score if it is underweight (not overweight) with emerging markets and overweight (not underweight) with defensive positions, like US treasuries or German bunds.

C. Correct because sovereign debt is just as susceptible to distortion effects based on ESG ratings. These will be most notable in strategies that trade in both developed and emerging economies; ESG ratings and indicators like those of the World Bank tend to be structurally lower for emerging countries relative to developed economies, which enjoy higher standards of transparency, rule of law, regulatory authority and anti-corruption. For instance, an emerging markets debt portfolio will benefit from a higher ESG score if it is underweight with emerging markets and overweight with defensive positions, like US treasuries or German bunds.