RESUMEN
Sustainable investing is perceived as a confusing black-box by many researchers, practitioners, and investors. Terminology, metrics, approaches, disclosure standards are quickly evolving, while the empirical evidence provides a growing number of mixed results. In this paper, we examine the composition, performance, and the risk-return profile of reference sustainable indices for the asset management industry, distinguishing between ethical and socially-responsible, faith-based, ESG and climate ones. Our findings reveal consistent investment trends across various sustainable indices, impacting their overall performance. Specifically, our analysis highlights a prevalent inclination towards large and growth-oriented companies, as well as a persistent focus on technology, financials, and commodity sectors. These results provide valuable insights for investors, asset managers, and index providers regarding the potential misalignment between an investment vehicle's labeling and its actual composition, and the implications this discrepancy might have on investors' expectations.