Socially responsible (SR) mutual funds have grown rapidly worldwide in just over a decade. SR mutual funds have become a major market for the asset management industry, representing more than US$8 trillion in assets under management in the United States in 2016 (Social Investment Forum 2016). In this article, we address some important research issues that are not yet fully understood. What does SR screening contribute to SR mutual fund performance? How big are these contributions compared with those of traditional sources of performance-that is, market movements, asset allocation choices, and active management?In this article, we propose a new methodology that decomposes mutual fund performance to isolate the contribution of SR screening, allowing it to be compared with alternative sources of performance. Following the seminal work of Brinson, Hood, and Beebower (1986) and in line with Xiong, Ibbotson, Idzorek, and Chen (2010) and Aglietta, Brière, Rigot, and Signori (2012), we decomposed the total return of SR mutual funds into three components: the market return, the asset allocation policy return in excess of the market return, and the return from active portfolio management. The novelty of our approach is in adding a fourth component that measures the effect of SR screening on a fund's return variability, disentangling it from the effects of other sources of performance.The approach that we used in our study contrasts with previous studies on SR fund performance, which compared the average performance of a sample of SR funds with either a matched sample of conventional peers or a benchmark index (see, e.g., Hamilton, Joe, and Statman 1993;Statman 2000;Bauer, Koedijk, and Otten 2005;Kreander, Gray, Power, and Sinclair 2005;Gil-Bazo, Ruiz-Verdú, and Santos 2010;Renneboog, Ter Horst, and Zhang 2011). These studies concluded that the difference in average Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices.