This paper studies the assets of investment funds made up only of companies that use ESG criteria and thus validate how profitability is impacted on these portfolios in the long term. An analysis was made of the measurement and evaluation standards used by the MSCI in ESG portfolios to take the criteria of these assets as a starting point. One of the main contributions of this work was the creation of a local ESG index using data provided by COLCAP and MSCI COLCAP. A sensitivity exercise was carried out to validate the best way to create the ESG portfolio and taking into account different scenarios. It was shown that companies that implement ESG criteria present superior average returns compared to companies without such criteria in the long term. These results represent an analysis tool for investors who want to receive higher returns from the Colombian market, without the need to build an individual portfolio.