The onset of the pandemic COVID-19 caused negative fluctuations in the economic and social spheres, thereby determining the need to study alternative approaches to achieve sustainable results and adapt to current realities. The ongoing studies assess the behavior of real investments (RI) as sustainable, thereby believing that the economic downturn caused by COVID-19 does not have a significant impact, but it is impossible to assert this in terms of exchange-traded ETF investment funds, due to the lack of research and estimates. Using ANOVA and multivariate regression models, one can estimate the differences and relationship between exchange-traded fund earnings and their rating (ESG) during the current COVID-19-related financial market crisis. The study shows that even stable exchange-traded investment funds (ETFs), are not protected from financial losses during a severe market downturn.