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The objective of this paper is to investigate the notion of “doing well while doing good” through examining the performance of Islamic, sustainability, and Islamic sustainability equity indices and comparing against the global equity market benchmark. Specifically, we address three key issues that are of concern to most investors: (i) how different are the global portfolio's efficient frontiers that comprise the four types of equities?; (ii) what are the driving factors behind these index performance differences?; and (iii) do the performance and volatilities of these four indices vary across time-periods and regimes? Overall, our findings reveal that investors do not have to pay a price for investing in Islamic or sustainable equity indices. In fact, combining Islamic and sustainability investing strategies are more rewarding, particularly during the economic boom, bullish equity markets and subprime crisis periods. Policy implications …