PurposeThe 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/approachTo 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.FindingsThe results point out that SRIF and GIF are more efficient than CF. For five years, the CFs have not outperformed the GIF.Originality/valueThe 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.