In this paper, we examine the performance of sustainable stock indices. Our primary
objective is to investigate whether these indices exhibit a performance difference before
and after their inception. According to previous literature we expect an outperformance
in the pre-inception period and/or a subsequent performance decline after inception for
certain categories of indices. In our empirical analysis, we distinguish between different
ESG labelled and sustainability related indices and we perform several performance
tests. Our results show a pattern of outperformance in the pre-inception period for all
index categories. This outperformance is then followed by a performance decline in the
period after inception by some certain types of categorized indices i.e. Smart-Beta-ESG
and Thematic-ESG Indices. Index performance might not be an appropriate indication
of actual performance, hence investor should act with caution when selecting and
comparing the performance of certain sustainable indices or ETFs.