Examines the impact on investment returns of stated non‐financial criteria by utilizing information on UK “ethical” unit trusts. Over a limited period of observation there was weak evidence of some overperformance on a risk‐adjusted basis by “ethical” unit trusts. Suggests arguments that might intuitively explain overperformance or underperformance. There is clear evidence that the “ethical” trusts have UK investment portfolios more skewed towards companies with low market capitalization than the market as a whole. Associated with this, they tend to be invested in low dividend yield companies. The degree of international diversification varies and a suitable international benchmark may be needed to separate out any “ethical” effect.