We analyse time-varying risk spillover and dependence to assess the systemic risk benefits of ethical, sustainable, and green investments. Our data comprise sustainable investments from ethical, environmental, social and governance (ESG), and green bonds. We investigate the link to major asset classes, including equity, commodity, and currency markets. We find evidence of close connection between the major asset classes and sustainable assets, except green bonds. We also explore the improvement in hedging efficiency from combining ethical and ESG investments with commodities and currencies over investment horizons. Our analysis based on systemic risk measures indicates that there is evidence of lower time-scale systemic risk connectedness in the case of commodities and currencies combined with ethical and ESG assets. These findings have significant implications for portfolio managers, policymakers, and market participants.