An ESG mandate fulfills the noble goal of aligning investors’ portfolios with their personal values and beliefs. But new research affirms what financial theory predicts: Those investors will incur a penalty in terms of risk-adjusted performance.

Over the past decade, there has been a dramatic increase in ESG (environmental, social, governance) investing strategies. In their “2018 Report on U.S. Sustainable, Responsible and Impact Investing Trends,” the US SIF Foundation found that assets denoted as socially responsible products “grew from $8.7 trillion at the start of 2016 to $12.0 trillion at the start of 2018, a 38% increase. This represents 26% of the total U.S. assets under professional management.

ESG strategies allow investors to express their social views through their investments. This helps explain why a recent survey by FTSE Russell showed that of the nearly half (46%) of global asset owners that have an allocation to smart beta, 41% of those using it anticipate applying ESG considerations.