Brazilian funds were analyzed, based on their ESG classification in Globes by Morningstar Direct, to evaluate the profitability of these types of assets in relation to conventional funds. CAPM, Carhart, Fama-French 3 and 5 Factors pricing models, simple and multiple regressions with Brazilian and global politicaleconomic uncertainty indices, as well as oil price and volatility indices were used. To identify moments of high and low volatility, the Markovian Change Regression was used and, as a robustness test, the Quantile Regression, to identify moments of stress and calm in the market. Based on the results, the 5 Globes funds proved to be less resilient and with worse returns, when compared to the 1 Globe funds. This result is in line with many studies that indicate that ESG funds may not necessarily be considered good investments, due to high liquidity or greenwashing.