I. Introduction Socially responsible investing (SRI) is an investment strategy that incorporates social, environmental and ethical considerations into the investment decision-making process. According to Renneboog et al. (2008a), “Investors in SRI funds explicitly pursue two types of objectives: the rational economic objective of wealth maximization and social responsibility”. That is, investors pursuing an SRI strategy attempt to “do well by doing good.” The introduction of non-financial screening criteria into investment decision-making raises the question of whether investors should give up financial performance to invest according to social values. Answering this question is the key contribution of this study. The concept of ethical investing has been practiced since the 17th century, when Quakers refused to profit from the arms and slave trade in North America (Renneboog et al., 2008b). However, recent trends suggest that SRI is increasingly moving into the mainstream of the investment universe following the rise of ethical consumerism and a greater focus on corporate social responsibility (CSR). According to the Social Investment Forum, as of the end of 2011 approximately $3.74 trillion in U.S.-domiciled assets were invested in mutual funds employing SRI strategies, representing 11.3% of total assets under management. This figure represents a 22% increase since the end of 2009 and a 486% increase since 1995, when the size of the US SRI market was first measured (SIF, 2012). The screening criteria used for SRI have evolved along with investors' social concerns. expanded. Early SRI strategies focused on negative screening: excluding specific companies or sectors from the SRI portfolio on the basis of social... middle of paper...RI, while funds managed by firms not specializing in SRI underperformed conventional ones . mutual investment funds. This suggests that investors need to take management company characteristics into account when evaluating SRI investment opportunities. Alternatively, Rennboog et al. (2008) found that SRI mutual funds in many European, North American, and Asia-Pacific countries strongly underperformed domestic benchmark portfolios (-2.2% to -6.5% annually) when using the model four-factor to measure risk-adjusted returns; However, when the alphas of SRI mutual funds were compared to those of matched conventional funds, there was no statistically significant evidence that SRI mutual funds underperformed in most countries. The exceptions are SRI mutual funds in France, Ireland, Sweden and Japan, which showed statistically negative alpha compared to conventional mutual funds..