Environmental, social, and governance (ESG) pillars have been extensively applied by capital market participants in their investment decision-making processes. While the proponents opine that the performance of ESG portfolios outperforms the market in terms of optimal risk-return trade-off, the opponents argue otherwise, which supports the Efficient Market Hypothesis (EMH) theory. In this paper, we construct three variations of Shariah-compliant ESG portfolios, specifically equally diversified stocks (SC ESG 1/N), optimized unconstrained (SC ESG-U), and optimized constrained (SC ESG-C), using ESG scores from the Refinitiv ESG database. Furthermore, the performance of these portfolios is compared against the benchmark market index, the FTSE Bursa Malaysia KLCI (KLCI), by utilizing various risk-adjusted performance metrics for robustness. Using weekly data from January 2016 to December 2022, we find that the optimized SC ESG portfolios generate higher returns and better return-to-risk ratios compared to the market index and the naïve portfolio. Additionally, drawdowns across all portfolios were not homogenous for most of the study period, with the maximum drawdown observed in recent years due to various local and global situations. However, the SC ESG-C portfolio exhibits the most robust risk control, with relatively shallow drawdowns and quicker recoveries. Our findings offer both theoretical and practical implications. The results challenge the EMH, as the market index underperforms the SC ESG portfolios. At the same time, both Muslim and ESG-oriented investors can achieve potential benefits without significantly compromising returns through portfolio optimization strategies. Nevertheless, caution must be exercised when interpreting the empirical results and making inferences, given the relatively small sample size.