Evan McMullin on building a new conservative movement

This is a rush transcript from "Your World," October 19, 2016. This copy may not be in its final form and may be updated.

NEIL CAVUTO, HOST: All right, you know, we show a lot of polls here. But this one raised a lot of eyebrows when we were first getting hints of what's going on in Utah, as safe a Republican lock as you can have. I think it was one of the biggest romps that Mitt Romney enjoyed four years ago.

It's a Mormon state largely, that influence of the population. That's one thing. But you see what's going on here? Donald Trump is in the fight of his life here. But look who's grabbing the third spot, not all that far from Hillary Clinton for the second spot.

This is a name I think you're going to have to try to remember, Evan McMullin, independent presidential candidate. His best numbers are in Utah. It would make sense, a graduate of Brigham Young, of course a Mormon in his own right, but that cannot just alone explain his run-up here.

Evan, it's good to have you back.

EVAN MCMULLIN, I-PRESIDENTIAL CANDIDATE: Great to be with you, Neil.  Thanks for having me.

CAVUTO: What do you make of this? Because some people thought you were going to be kind of a flash in the pan. I guess, by that math, you have gotten a little flashier. You're picking up steam. You're not losing it.

What do you think's going on? It just can't be the Mormon connection. It can't be roots to the state connection. What is it?

MCMULLIN: No, it's -- people keep talking about Utah as a red state or as a Republican state.

I would describe it as a truly conservative state, and I would say it's a conservative state that's dedicated to the foundational principles of this nation, the idea that we are all created equal, both men and women and people of all races, and we're dedicated to the cause of individual liberty.

Donald Trump doesn't exhibit or respect those values. I don't think Hillary Clinton does either. But with respect to Donald Trump, you see him losing Georgia and just a couple of percentage points away from losing Texas. And I think this should be a lesson to all Republicans and conservatives that, when we abandon our principles, it doesn't end well.

CAVUTO: All right, but, Evan, we should preface here, he's not losing Texas and Georgia. He's taken a solid red state, and he still leads, but not by much, to your point.

MCMULLIN: Depending on the poll.

CAVUTO: He still does lead in Utah, but not by much, to your point.

So, let me ask you about that, whether you agree -- I have a feeling I know the answer -- with the Trump folks who say you're a spoiler and handing the state to Hillary Clinton and your presence on a number of ballots across the country will do just that. You say what?

MCMULLIN: Well, look, we're up by 4 percentage points now in Utah. The Emerson poll just came out. We have had momentum now for a number of weeks. And our trajectory is upward-sloping.

So, we feel very good about what we have accomplished here, but there's more to be done. We're humbled by the support that we have in this state and in the broader Mountain West and elsewhere in the country.

That's who -- we're building a new conservative movement, and we have a goal in this election to do as well as we can. But we are building a new conservative movement that I think is necessary in this country in order to get this country back on track.

CAVUTO: Is Mitt Romney working on your behalf?

MCMULLIN: No.

I mean, he's -- we have gotten advice from his team, and we have rented his e-mailing list. But he has not endorsed, as you know. But that's OK. I have a lot of respect for the governor.

(CROSSTALK)

CAVUTO: Have you chatted with Governor Romney?

MCMULLIN: I will let Governor Romney describe any kind of connection he has to me. I need to do that out of respect for the governor.

But I got to tell you, Neil, we have got...

CAVUTO: Because I know he's not a big fan of Donald Trump. I know he's not a big fan of Donald Trump, and I know he's not a fan of Hillary Clinton.

So, maybe, in your state, in Utah, he would have a vested interest in seeing you do well.

MCMULLIN: I would think so.

But, Neil, we're up by four now, and we have the support of people here, voters. They're the ones that are fueling our campaign, both financially in terms of the votes and online engagement and all of that. This is a grassroots campaign, and we're happy about that, and we're proud of that support.

CAVUTO: When you look at what's going on the landscape here, high negatives for Donald Trump, high negatives for Hillary Clinton, she has certainly the edge in the polls, it owes more to Donald Trump falling than Hillary Clinton rising, of course.

Who do you think if, in the event it's between those two in the end, you could be more comfortable with as president, if it's not you?

MCMULLIN: Well, look, they're both awful.

We find ourselves in a leadership crisis in this country, and both Hillary Clinton and Donald Trump personify that. We have got to do better in this country. We have got to be more civically engaged. We can no longer depend on the two major parties to give us good choices in terms of nominees, as they both show.

We have got to be more proactive about looking for people who we actually want to see in office and then promoting them and supporting them into office. If we continue to make that decision, Neil, that you're describing, the lesser-of-two-evils decision, we will never get the leadership we need. And that's why we find ourselves in this situation in the first place.

We have been accepting that for way too long.

CAVUTO: All right, Evan McMullin.

Thank you very much, Evan. Very good having you.

MCMULLIN: Thank you.

CAVUTO: All right.

Content and Programming Copyright 2016 Fox News Network, LLC. ALL RIGHTS RESERVED. Copyright 2016 CQ-Roll Call, Inc. All materials herein are protected by United States copyright law and may not be reproduced, distributed, transmitted, displayed, published or broadcast without the prior written permission of CQ-Roll Call. You may not alter or remove any trademark, copyright or other notice from copies of the content.