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Investors are increasingly interested in sustainable investment products and integrating sustainability risk and opportunities into their investment process. This study examines the relationship between financial performance and sustainability ratings using ESG data from three major score providers - MSCI, Refinitiv, and Sustainalytics - and uses an Aggregate ESG Score on a sample of 953 European-listed firms. By creating portfolios, the study finds mixed results on the effects of ESG ratings on financial performance. The value-weighted portfolio showed a positive relationship, with the high ESG portfolio exhibiting a tendency towards higher unexpected excess returns compared to its low ESG counterpart. It also showed a higher risk-adjusted return evidenced by the Sharpe ratio metric and a higher cumulative excess return. On the other hand, results converged towards the low ESG portfolio when using an equally weighted approach. The study also confirmed the divergence across raters and finds that the agreement among raters on a firm's ESG score might reveal significant excess returns as evidenced in the matching strategy of the robustness test.