Given that the energy, materials and utilities sectors are responsible for most of the CO2 emissions attributable to quoted companies, why not simply exclude these sectors from the investment portfolio? Excluding these sectors from the portfolio would omit around 11% of the MSCI© US and 14% of the MSCI© World, based on February, 2019 data. This type of approach is commonly used by several low-carbon Exchange Traded Funds, as it offers a simple and effective way to reduce portfolio CO2 emissions. However, the Exclusion approach leads, by definition, to severe sector biases. These in turn lead to adverse portfolio behaviours in certain markets, and to higher tracking error.