Sustainable and Responsible Investments (SRI) are booming in the US and Europe. In German-speaking countries,
Switzerland is a leading force for SRI with an overall 2010 market volume of about US21 billion, while Austria’s is relatively small with US$3 billion. In this paper, we give a timely review on German-speaking countries’ attributes, responsible investment, and its legislation, whilst analyzing the financial performance and characteristics of socially responsible investments in the respective country’s stock markets. We focus on passive equity investments to obtain a most undistorted view on the performance and style of SRI strategies. The paper investigates two socially responsible investment strategies which are present in German-speaking countries: SRI in general and green investing in particular. First, both strategies do not have a performance which is different from conventional benchmarks controlling for well known characteristics. This inference is robust to five alternative asset pricing models using unconditional and conditional calendar-time factor regressions. Second, both socially responsible investment strategies have a higher systematic risk than their benchmark. Third, characteristics even beyond a size tilt are important in explaining responsible investment indices’ performance attribution like a momentum or an investment anomaly (both with negative coefficients). [math mode missing closing $]