The changing nature of corporations with intangibles driving a greater proportion of enterprise value is a key reason for ESG being an increasingly important data point. ESG has varied impact on return and risk across different asset classes. The use of ESG data started in equities and given the asymmetric return emphasis between equities and bonds (upside capture for equities and preventing downside risk in bonds), is rapidly becoming important in different parts of fixed income given its predictive value over and above the information in credit ratings. This research analyzes recent empirical studies to document the predictive ability of ESG across asset classes (equity, different parts of fixed income, credit, and real assets), how and why it can be used in security selection and asset allocation to design optimal risk-adjusted portfolios.