Many investors have shifted their asset allocations to account for Environmental, Social, and Governance (ESG) issues. While we welcome this shift from an ethical perspective, the financial and non-financial benefits of ESG investing as well as best practices for portfolio construction are subjects of heated debate. We look at aspects of the debate through a series of practical examples. First, we illustrate the trade-off between risk control and unwanted exposures in energy and “vice” stock exclusions, which have exhibited inconsistent performance at a ten-year horizon. Next, we show how recent underperformance of a gender lens portfolio has been confounded by technology stocks. Finally, we explore how ESG score disparities lead to important differences in portfolios constructed with these scores. In aggregate, our examples point to the inherent complexity of ESG investing, which will benefit from better data, transparency, customization, and an acknowledgment that doing good does not necessarily lead to doing well. An important theme throughout this paper is that everything should be made as simple as possible, but no simpler.