Sustainability practices by business are being priced and reflected in its market return. Hence the index constituting those companies based on its Environmental, Social and Governance parameters are of interest for researchers to analyse such index performance. The present study investigates the performance of such three Indian indices i.e., SandP BSE GREENEX, SandP BSE 100 ESG, and SandP BSE CARBONEX which are based on better ESG risk managing stocks. For this purpose, the study analyses the return behaviour of index and calculates Value at Risk to predict the return for post covid time. The results indicate that even with a turbulent market, ESG index performance is found to be comparatively stable. VaR prediction confirms the robustness of tested VaR models for prediction. Lastly, this study concludes that including sustainable activities into business practices not only attracts more profit but also makes financial market and economy stable.