Abstract: ESG-themed indices serve as benchmarks for evaluating the performance of companies that align with sustainable practices. The growing prominence of environmental, social, and governance (ESG) considerations in investment strategies has raised concerns about the financial competitiveness of ESG indices compared to the conventional benchmarks. This study provides an empirical assessment of the performance efficiency of ESG-themed indices in India by comparing leading indices, including the Nifty 100 ESG Index and the Nifty 100 Enhanced ESG Index. The Nifty 100 has been used as a conventional benchmark. Daily data for one year were analysed using three established risk-adjusted performance measures, namely Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha. To evaluate the return efficiency among select indices, paired sample t-tests were applied. Findings suggest that ESG indices in India underperformed relative to the Nifty 100 in terms of total risk–return efficiency and excess return generation. Again, in the case of systematic risk, the ESG indices remained comparable with the Nifty 100. In conclusion, ESG indices are nuanced in function and are gaining attention from socially responsible investors tremendously, and, hence, the study contributes to the emerging body of literature on ESG performance in developing markets and offers practical implications for investors, fund managers, and policymakers seeking to align sustainable finance with financial performance objectives. Keywords: ESG indices, Nifty 100, Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Performance Efficiency, Sustainable Finance.
KAKALI BHATTACHARYA (Fri,) studied this question.