The Vanguard Institute’s study of ESG funds (Is there a performance price for ESG investing?) find:

"Overall, our findings suggest that ESG funds have neither systematically higher nor systematically lower raw returns or risk than the broader market."

They concluded that ESG funds produce mixed risk and return results versus the broad market.

Digging into performance further, in their study, Sustainability or Performance? Ratings and Fund Managers’ Incentives (December 2021), Nickolay Gantchev, Mariassunta Giannetti, Rachel Li find:

Investors may believe that rating financial intermediaries based on how sustainably they manage their portfolios is an effective technique for enabling them to allocate capital in accordance with their social and environmental priorities. We demonstrate that a tradeoff between portfolio sustainability and performance develops if most investors care even more about performance, which subsequently decreases the usefulness of sustainability ratings. 

Evidence demonstrating that the majority of ESG ideas are not supported by shareholders, and in particular by institutional investors, is consistent with the conduct of mutual funds and their investors.

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