This thesis investigates the risk adjusted return for ESG and Conventional funds in the energy sector during 2018-2023, by comparing them against the MSCI World Index as a benchmark. The methodology employed follows previously established approaches utilized in previous studies, employing the CAPM and analyzing risk adjusted return using Sharpe and Treynor ratios. The pooled regression without fixed effects, displayed a negative significant value for the sustainability dummy variable. The panel data regression with fixed effects, a dummy variable for sustainability and the market excess return, resulted in insignificant values for all variables except market excess return. The results from the performance measurements determined that the Conventional funds had performed a better risk-adjusted return. Consequently, the findings collected in this thesis suggests that Conventional funds in the energy sector have outperformed ESG funds in the energy sector.