>I suppose there must be a reason why we don't.

Because you're asking your portfolio manager to make you a custom index fund. The whole point of an index fund is to spread risk among lots of companies and sell fragments of that risk to lots of people. You can make your own custom index fund, it's called buying a share of every stock other than the ones you don't want.

You could slap together a script that tracks the current ratios of a given index fund, then maintain a blacklist of baddies, and automatically buy at the new ratio using something like alpaca.markets api for buying. You'd get all the expertise of whoever designs your index of choice but your custom little changes for removing companies you want to ethically avoid.

Buy a normal fund, short the parts you don't like in equal proportion.

Complexity. Indexes are easy to manage.

You could short them to the same weighted percentage that they exist in the index but that's of course not completely simple and you have to pay fees for the shorted stock. If O&G had a convenient ETF (I don't know if there is or not, I imagine there is), you could short that rather than individual companies.

Shorting Facebook would be... interesting for your returns.

People want ESG, but turns out they want returns too.

You could try a tool like Passiv(https://getpassiv.com/) and build your own index fund.

You should go talk to the guy who manages your money about something called a SMA.... it's a little bit more of a legal headache and incurs more fees.

Something like M1 Finance 'pies' could work, but still looks a lot like 'managing a whole bunch of individual stocks'