An increasing proportion of Australian superannuation funds are being placed in socially responsible investments (SRI). However, there is no clarity yet in the literature as regards the risk and return characteristics of these investments. In this paper, we examine the sensitivity of Australian SRI funds to movements in the Australian and US equity markets and SRI sectors under different states of the markets through the application of Markov regime switching analysis. We find that, just like their non- SRI counterparts, Australian superannuation SRI funds are mostly driven by the US equity market and to a lesser extent by the Australian equity market and are also not successful in timing the market. Further, we find that the US, but not the Australian, SRI sector is a source of systematic risk for Australian superannuation SRI funds.