Many studies have examined the affordable housing sector from the welfare perspective, but no study has discussed the sector's investment perspective. Therefore, this study presents new evidence of the governance and downside protection relating to the affordable housing sector and contributes to the limited literature on the performance of socially responsible investments. First, we identified the specific risk management and corporate governance practices of the affordable housing sector in Australia by conducting focus-group discussions with industry experts. The sector's strong governance helps to attract responsible investors by reducing investment risk and guaranteeing environmental and social outcomes. Second, by analyzing the downside risk and risk-adjusted returns such as the Sortino ratio and excess return to value at risk, we show that investing in low-priced houses has more downside protection while still offering higher risk-adjusted returns, than high-priced houses and selected responsible investments in Australia. We also find that investing in low-priced houses can improve the portfolio performance of responsible investors. Therefore, we conclude that the affordable homeownership programs in Australia have the potential to attract responsible investments and so increase the supply of much-needed affordable houses.