Purpose Companies having good “Environmental, Social, and Governance” (ESG) score do not have to face any sort of lawful and reputational risk which can create negative effect on financial performance of the companies thereby they could help investors to evade the company which are at risk. Through this study the impact of sustainability score in Mutual fund’s return volatility is analysed which would be helpful for the Investors. A company having good ESG score may bring in the investors as the company is being protected from the forthcoming risks such as pollution, low governance and so on. Design/Methodology/Approach—The overall effect of Mutual funds of companies based on sustainability rating is analysed in this paper. A sample of 64 Mutual Funds and the rating given by Morningstar in the year April 2023 is examined. The period of research is for one year, the researcher through this paper, analysed the situation whether the mutual fund companies are resilient to the COVID crisis which the economy faced. A cross sectional regression analysis is done with the data, as cross-sectional regression is primarily meant for an event-based study basically for one year. Findings—The outcome indicated that the Mutual Funds of companies with social risk score, governance risk score and higher sustainability score depicted high return volatility. The result could be beneficial for investors, business, and stakeholder at large. A high return volatile market implies the potential ability of stocks to yield well in the stock market on a long run. Research limitations/implications—This research focussed on mutual funds by analysing the ESG scores and the return volatility of Mutual funds. In this study explanatory research is done as it delivers added information about the observed object and its relation with the environment. This paper focussed on Mutual funds of 64 companies due to limitations of data of few companies. Practical Implications—The sustainable investments are on the trajectory of resilience and ESG scores has proven to be lens which can aid business leaders to come up with greater number of novel ventures. The findings can be considered by investors to invest in high ESG score companies which could gain investors with high return in terms of both value and profit, whereas it also paves the way for the companies with low ESG scores to consider the trajectory to raise the ESG scores in terms of the resources where ever lagging behind. Social Implications—It is high time for the Mutual fund companies to take into consideration that what they gain from the society as profits whether they are returning it back to the society in terms of ethical practices which need to be followed. It is unethical, if the companies are not taking any steps to gain sustainability even after much deliberations on climate change and sustainable goals. Through this paper the mutual fund companies with low ESG score are walking on thin ice. Originality/Value—There are lot of research studies available on Exchange traded funds and their ESG impacts. This research is the pioneer to expand the study in order to find out the impact of mutual fund performance towards sustainable Investments. And this paper comes out with an event-based study as it tells whether Mutual fund companies are resilient enough immediately during the post COVID time period, which in turn is pioneer research.