This paper aims at checking corporate performance in particular regions, based on stock market indices, specifically, searching for positive relationship of stock market performance and corporate sustainability. To obtain the comparable results, the data on stock market index were taken from the Dow Jones index family (based on the Bloomberg information platform), which should ensure the uniformity of index construction, review, maintenance and calculation. Theoretically, the differences between indices can arise for several reasons: different financial results of the sustainable and non-sustainable corporations, perceived competitive future advantages of sustainable corporations over non-sustainable enterprises, and the differences in the structure of indices. This paper specifically analyses the third reason. Hypothesis about different market performance of sustainable enterprises versus non-sustainable (or sustainability-neutral) enterprises is being raised and tested. Differences of indexes integrating sustainable and sustainability neutral enterprises, caused by differences in compositions of the sectors’ and countries’ weights, are being taken into account and mathematically equalized, and insights about sustainable enterprises market performance formulated. The obtained conclusion reveals how enterprise sustainability affects financial market performance.