The growing interest in applying sustainability criteria to investment observed throughout the industrial world has resulted in the creation of numerous sustainability funds. The Dow Jones Sustainability Group Index DJSGI., which is probably the best-known sustainability index, was presented by Ivo Knoepfel in Issue 8/1 of Corporate Environmental Strategy. In his article, the methodology underlying the DJSGI is said to have had a consistent framework. However, in a recent study we have highlighted some of the major elements upon which the DJSGI is based1, and have found evidence to suggest that there might be other factors, unrelated to sustainability, contributing to the apparently superior market performance of the DJSGI, and which may bring its framework consistency into question 2. This , response attempts to illuminate some of these factors.