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In recent years, the environmental, social, and governance (ESG) has increasingly proven its influence on stocks\u2019 returns, resulting in the evolvement from a two-dimensional (i.e., risks versus returns) into a multi-dimensional setting (e.g., risks versus returns versus ESG). This study is the first to examine this setting in the global energy sector using a (slacks-based measures, SBM) ESG-SR double-frontier double-bootstrap (ESG-SR DFDB) by studying the determinants of the overall ESG-SR efficiency for 334 energy firms from 45 countries in 2019. We show that only around 11% of our sampled firms perform well in the multi-dimensional ESG-SR efficient frontier. The 2019 average (in)efficiency of the global energy sector was 2.273, given an efficient level of 1.000. Besides the differences in the firm\u2019s input\/output utilization (regarding their E, S, G, and SR values), we found that the firm- (e.g., market capitalization and board characteristics) and country-level characteristics (e.g., the rule of law) have positive impacts on their ESG-SR performance. Such findings, therefore, are essential not only to the (responsible) investors but also to managers and policymakers in those firms\/countries.<\/jats:p>","DOI":"10.1007\/s10479-023-05506-z","type":"journal-article","created":{"date-parts":[[2023,7,24]],"date-time":"2023-07-24T13:02:31Z","timestamp":1690203751000},"page":"717-741","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":18,"title":["The trade-off frontier for ESG and Sharpe ratio: a bootstrapped double-frontier data envelopment analysis"],"prefix":"10.1007","volume":"347","author":[{"given":"Sabri","family":"Boubaker","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tu D. 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