Previous research suggests that sustainable companies, as measured by ESG metrics, efficiently use their assets, thus leading to lower risks and potentially positive alpha. This analysis considers whether high-ESG stocks imply superior company performance during times of market stress or volatility. The empirical work examines stocks in the Dow Jones Sustainability North America Composite Index and finds little support for sustainable companies exhibiting lower risk, as measured by beta, or higher alpha during periods when the market declines. Further examination of individual stocks does not support lower tail risk. One explanation for the findings is that markets are efficient and already price ESG ratings. Still another possibility is that ESG ratings from other agencies may better identify measures of risk and company resilience.