Over the last two decades, there has been an increased attention to and awareness of corporate environmental, social, and governance (ESG) responsibilities. The asset allocation process has changed accordingly to consider these ESG responsibilities, and it has largely been recognized that private and institutional investors are sensitive to ESG factors when deciding on firms in which to invest. In addition to ESG factors, other key stock-related factors to which investors generally pay attention are risk-adjusted indicators, such as the Sharpe ratio ($SR$) and the Sortino index ($SI$), as well as tail risk measures, such as the Value-at-Risk ($VaR$) and the Expected Shortfall ($ES$). Overall, the $SR$, $SI$, $VaR$, and $ES$ can provide a guide for investors concerning the risk market performance of a stock under investigation. In this context, the research question that arises is the following: are firms’ performances sensitive to ESG rates? The present contribution aims to answer this question. In particular, the $SR$, $SI$, $VaR$, and $ES$ measures of a set of listed firms are calculated and evaluated. Among these, there are firms with low ESG grades and some with high ESG grades according to two ESG rate providers. The list of stocks under consideration consists of the first 25 constituents (by weight) of the S&P500 index in the period from 2020 and 2022. The empirical findings indicate that risk market performance does not properly depend on high or low ESG rates.