Investing in alternative investments can offer good opportunities for investors seeking to earn better risk-adjusted returns from stock markets, because traditional stocks and bonds markets are highly exploited, with relatively few diversification benefits. This research examines two emerging alternative investments: socially responsible investment (SRI) and commodity futures. The SRI market, which has grown dramatically since the 1990s, now has 1 out of 6 dollars under professional management in the US allocated to the SRI market. This popularity is due to its stable performance and to investors having a higher level of socially responsible awareness. Investments related to commodity futures have attracted investors’ attention because of their portfolio diversification benefits and their inflation hedging effects. The total value of commodity investments increased from US$15 billion to more than US$200 billion in just five years, from 2003 to 2008. However, the amount of literature on alternative investments is relatively small compared to that on conventional markets such as stocks and bonds. The overall objective of this research is to investigate the potential benefits of including SRI and commodity futures investments in traditional portfolios made up of stocks and bonds. This research contributes to the literature by proposing an innovative combination of approaches that compare the different investment strategies used in SRI and commodity futures markets. Three empirical studies are carried out in the research: Study 1, on SRI; Study 2, on commodity futures; and Study 3, on combining SRI and commodity futures in a portfolio of stocks and bonds.