Non-financial performance measures, such as Environmental, Social, and Governance (“ESG”) measures, are potentially leading indicators of firms’ financial performance. Investor interest in ESG and its relation with future stock returns has increased recently. We draw on the prior academic literature in corporate governance and ESG to construct new corporate governance and ESG metrics. We then compare the return predictability of the new metrics to that of off-the-shelf metrics from a leading ratings provider. The new governance and ESG metrics, in contrast to the off-the-shelf metrics, yield statistically and economically significant alpha in a global investable universe.