A 选项背后的原理是什么？Manager 是否有权限创立benchmark?

问题如下：

At the request of the asset owner, an asset manager has revised the equity portion of a client’s portfolio to exclude companies involved in the extraction and processing of fossil fuels. The fossil fuel sector makes up a significant portion of the economy and equity markets in the client’s country. In light of the revision, the manager should:

选项：

A.create a new custom benchmark. B.continue to use the current equity market benchmark for consistency purposes. C.adopt the ESG equity benchmark from a major market data provider, such as FTSE Russell.

解释：

A is correct. The manager should create a new custom benchmark reflecting the asset allocation of the revised equity portion of the portfolio. If a portfolio applies exclusionary screening to one sector of the economy and that sector is significant, there will be tracking error and active share relative to a broad market benchmark and, therefore, the current market benchmark is likely no longer suitable. An ESG benchmark from a major market provider may also not be suitable unless it is specifically constructed to exclude the same sector. It might be based on other ESG factors.