A growing attention of Australian superannuation funds invested in socially responsible investments (SRI). Existing studies show that SRI funds perform similarly to non-SRI funds. However, these studies have mainly focused on a comparison of returns. This study examines the sensitivity of Australian superannuation SRI funds to movements, in terms of the extent, speed and duration, in equity market and SRI sectors of Australia and the US. We perform the analysis by taking into account the different market conditions through the application of Markov regime switching approach. Our results reveal that the Australian superannuation SRI funds are driven by the US and Australian equity markets, with the US market being the dominant influence. Similarly, Roca and Wong (forthcoming) reached the same conclusions with regards to Australian superannuation non-SRI funds. Thus, Australian superannuation SRI funds are also driven in the same way by the US and Australian equity markets. We have, however, additionally found that Australian superannuation SRI funds are also driven by the SRI sector - in the US but not in Australia. This implies that the US SRI sector is also a source of systematic risk for Australian superannuation SRI funds.