Are Climate Change Champions favorable to investors? This is the first study of portfolio performance of a fourth generation SRI screening strategy based on United Nations Global Compact firms who are Climate Change Champions. The operational changes made by UNGC firms are real and disproves the notion that UNGC firms are merely green-washing. We find that after firms join UNGC, there is a positive effect on long term portfolio performance. UNGC firms have lower volatility and so less risk than their competitors. We find an apparent mispricing of lower risk in market returns as standard asset pricing models may not be pricing investors’ aversion to climate change risk and preference for firms actively combating climate change. This lends support to Fama and Frenchs’ theory that says that these “tastes” are valid factors to provide a more complete asset pricing model. Our study encourages investment in UNGC-CCC firms as we find there is no underperformance penalty against a conventional portfolio because the lower return reflects lower risk. Thus, our evidence suggests that “doing good for society is also good for business.”

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