In recent years, attention toward Environmental, Social and Governance (ESG) issues has become increasingly important in the investment decision-making process, prompting interest of investors, companies, regulators and researchers on the possible relationships between financial performances and sustainable variables. With the aim to increase our understanding of these relationships, we use a graphical modeling approach on the MSCI and Bloomberg sustainable dataset for years from 2017 to 2021. Our analysis shows that companies with a higher level of compliance with ESG standards have lower assets' volatility than others and are not penalized in terms of returns. Furthermore, the increasing level of mandatory disclosure within the European area, induced by the current regulation, has reduced the strength of the positive relationship between Disclosure Score and ESG Score. Moreover, the negative relationship between ESG Score and volatility remains consistent across temporal and geographic areas.