In view of the divergence of existing research results on the relationship between ESG and investment returns, this paper constructs an S-score metric, which comprehensively measures corporate sustainability performance. It further tests the applicability of a sustainability-based investment strategy using this metric in China's A-share market. Using Shanghai and Shenzhen A-shares from May 2016 to April 2024 as the research sample, the S-score is constructed across five dimensions: Profitability, Growth Opportunities, Investment Efficiency, Risk Mitigation, and ESG Performance. The S-score is calculated using Z-score standardization and entropy weighted. Strategy effectiveness was tested through univariate grouping, bivariate grouping, and Fama-Macbeth regression, further examining strategy performance under varying market conditions, holding periods, and information environments. The study finds that the S-score demonstrates significant discriminative power for cross-sectional stock returns. The hedge portfolio based on this metric achieved an annualized excess return of 7.943% after adjusting for the China three-factor (CH-3) model. Its predictive power remains robust after controlling for variables such as market capitalization and book-to-market ratio, delivering significant positive returns across bull and bear markets, extreme pandemic conditions, and holding periods of up to eight years. From a behavioral finance perspective, this paper reveals that explanations such as the gradual diffusion of information and investors' limited attention span help elucidate the profitability of the S-score strategy. The findings demonstrate the effectiveness of Sustainable Investing strategies in China's A-share market, indicating that ESG-integrated factor investing can optimize resource allocation. This research contributes empirical evidence on Sustainable Investing in emerging markets, providing insights for policy formulation and practical implementation while supporting the virtuous cycle between Sustainable Investing and long-termism.