Narumi, a 27-year-old Japanese woman, has just won JPY 2 million at the Lottery and now wonders where to invest the JPY 1 million she wanted to save. Narumi considers herself as not being familiar with financial matters and has always put her savings in cash deposits at her bank. However, after winning at the lottery, she now considers to invest. A fund named "CAM ESG Japan" offered by an asset management boutique called Capital Asset Management (CAM) caught her attention: in addition to usual financial criteria, this fund is said to be Responsible, integrating Environmental, Social and Governance (ESG) factors into its investment decisions. This fund seemed quite innovative. She also noticed the fund outperformed most of the indices and comparable funds (+21,4% in 2017 vs.+9,7% for the NIKKEI 225) with a lower risk (12,1% in 2017 vs.13,9% for the NIKKEI 225). However, past performance is no guarantee of future results and amidst the enthusiasm for sustainable investing, a certain amount outright skepticism endures both for academics and practitioners. The blur definition of Responsible Investment raises the question of “Greenwashing” and often justifies higher management fees. Investors are often concerned about performance of ESG investing because it, arguably, tolerate higher risk and below market return in exchange for a positive extra-financial return. Moreover, Responsible Investing often uses negative screening, excluding sin stocks among others, which makes impossible for an ESG portfolio to be more diversified than a conventional universe, since the former is a subset of the latter. And this raises the possibility that ESG screening could entail an increase in risk through a loss of diversification and therefore lead to a non-optimal portfolio. Should Narumi invest in this CAM ESG Japan Fund or prefer a more traditional fund or index?