Many of the largest Russian companies are evaluated by international financial institutions or rating agencies in terms of their influence on ESG factors that take into account environmental issues, interaction with society and corporate governance. Such ratings can have various names, most often referred to as ESG ratings. The inherent subjectivity of the assessments, along with the lack of generally recognized standards and transparency of the methodology, cause concern both from the assessed companies and from investors and regulators. ESG ratings of Russian rating agencies are at an early stage of their development, which is reflected in a small number of evaluated companies. The purpose of the study is to study the main methodological problems in the compilation of ESG ratings identified by the academic and business community with a focus on studying the issue of choosing weights when constructing a summary indicator. The information base of the study is the data published by the rating agency RAEX, which is positioned as the largest agency in the field of non-credit ratings. A comparative analysis of the rating agency’s weight selection methods with nonparametric methods, such as methods of shell analysis, determination of preferences based on similarity with the ideal solution and calculation of the geometric mean is carried out. Based on the results of the study of the initial data of the rating agency, it can be concluded that most companies have low ratings for the environmental component and high ratings for the corporate governance component, while none of the companies has a benchmark rating. The main methodological problem in the selection of weights is the subjective nature of the weights used by the rating agency. Correlation analysis of the studied non-parametric methods showed a high correlation with each other and with the initial ratings of the rating agency, however, at the level of some individual companies, the ratings may differ depending on the chosen method.