NO.PZ2022120702000077
问题如下：
Caroline runs a portfolio, which screens out securities with low ESG scores from the benchmark index. She then reweights the portfolio with the remaining securities according to their market capitalisations. To address tracking error, she runs a portfolio optimisation programme.Has the tracking error issue been resolved?选项：
A.No, she should apply a strong ESG tilt to the portfolio. B.Yes, but the portfolio is now overweight securities that correlate with omitted securities. C.Yes, the removal of a small portion of securities from the benchmark will not impact relative performance in the long run. D.Yes, this strategy generally outperforms its benchmark when the excluded securities underperform.解释：
Caroline管理的投资组合是从基准指数中剔除ESG得分较低的证券之后，根据剩余证券的市值重新调整权重构建的，这样她管理的投资组合和基准指数就会有较大的跟踪误差。她想通过最优化的方式解决这个问题，例如设定一个最小化tracking error的限制。但是这样会给予与被剔除证券相似的证券更高的权重，例如股票A被剔除，股票B与A相似，最优化后会给予B更高的权重。
看到老师给其他同学解释D错误的原因——“但是，是不是剔除ESG得分低的股票，投资策略就一定会超过基准呢？这个是不一定的，因为并不是所有ESG得分低的股票，收益都低。很多行业，比如说石油化工，ESG得分低，但是股票本身的收益并不低。因此我们不能断定这个策略的业绩更加出色。”
我的问题是：D选项“Yes, this strategy generally outperforms its benchmark when the excluded securities underperform.”里面的outperform/underperform到底指的是分数表现好不好还是业绩表现好不好？按老师的意思，前者(this strategy outperform)指的是业绩表现好，后者(excluded securities underperform)指的是分数表现不好，所以这句话错误。但是为什么一句话里前后语境指的不一样呢？如果同一指向，this strategy outperform也只的是分数表现好，那这句话就没问题呀？
