An increasing proportion of Australian superannuation funds are being placed 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. Hence, we examine the sensitivity of Australian superannuation SRI funds to the movements, in terms of the extent, speed and duration, in the 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 Australian superannuation SRI funds, just like their non-SRI counterparts, as reported in Roca and Wong (forthcoming), are driven mainly by the US equity market and to a certain extent, by the Australian equity market. In addition, we found that the US (but not the Australian) SRI sector affects Australian superannuation SRI funds. This implies that the US SRI sector is also a source of systematic risk for Australian superannuation SRI funds.