One can not look at the financial services sector without hearing about environmental, social and governance, or ESG. ESG strategies are now part of nearly all public and private investment portfolios, but what does this really mean? Is the right data being used for the right application? Can favorable ESG and financial performance co-exist? Lately, what constitutes ESG has come under fire, and with good reason. If we focus on the 'E' component, most investment strategies tend to focus on greenhouse gas emissions as their proxy for environmental performance. We argue that a new investment paradigm is needed, which should integrate a wider range of differentiated data to lead to financial, material and environmental sustainability.