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We investigate the performance of US socially responsible funds that employ different stock selection criteria: religious, social and ‘irresponsible’ criteria. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM model that defines different states of the market endogenously. The ‘irresponsible’ fund outperforms in low volatility regimes, but underperforms in high volatility regimes. Furthermore, the risk of the ‘irresponsible’ fund is higher in low volatility regimes and lower in high volatility regimes. Socially responsible funds do not adjust risk according to market conditions. These findings suggest that socially responsible companies might provide better investments during periods of crisis.

Investing in Mutual Funds: Does it Pay to Be a Sinner or a Saint in Times of Crisis?