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Purpose

The main goal of this paper is better understand the risk/return trade-off of investing in socially responsible investment funds (SRIF) and green investment funds (GIF).

Design/methodology/approach

To achieve our aim a green investment fund portfolio, a socially responsible investment portfolio and a conventional fund (CF) portfolio from the United States of America (USA) were selected to compare the efficiency of these three different portfolios, by using Value-Based Data Envelopment Analysis (DEA) methodology.

Findings

The results point out that SRIF and GIF are more efficient than CF. For five years, the CFs have not outperformed the GIF.

Originality/value

The results suggest that there is a growing awareness on the part of investors that sustainable companies are the companies that will allow a better quality of life and a more sustainable environment. It seems that somehow managers and investors are aware that the market will compensate them for thinking about a cleaner and more equitable world.

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