A huge interest has emerged, in the mutual fund industry, in socially responsible investing (SRI). Central to this development is whether SRI funds underperform conventional funds. Using a novel approach, we decompose mutual fund portfolios into socially responsible (green) and non-socially responsible (brown) components. We find that, in comparison to the non-socially responsible component, the socially responsible part exhibits a lower raw return, lower risk-adjusted return, lower Sharpe ratio, and similar degree of performance reversal. The magnitudes of these underperformances are, however, small and align with SRI having a limited negative impact on fund performance yet offering some diversification benefits.