Sustainable investing is the buzzword in the modern investment management. Tomorrow’s investors – millennials – are more committed to sustainability than any of the previous generations. So it is clear that sustainability issues – usually measured by the so-called ESG (Environmental, Social and Governance) metrics – need to be incorporated into the portfolio construction. But does a good ESG performance of a firm come at a cost of its financial performance? In other words, do firms that score highly in terms of ESG deliver lower returns than their peers?