The practice of socially responsible investing (SRI) has evolved over the last decades. Originally being
a niche strategy followed by few investors, it now represents a significant part of the assets under management.
The question remains, however, whether SRI funds out- or under performs conventional funds.
After summarizing views from both sides of the SRI performance debate, we present four challenges that
are facing the further development of SRI. Given its ability to take into account the multiple dimensions
of social responsibility, we point to multi-criteria decision analysis (MCDA) as the methodological framework
that could help overcome these challenges. A first group of challenges calls for the development
of a general social performance indicator, which can score and classify mutual funds based on their social
performance. Another challenge requires a transparent tool for retail investors interested in SRI to
learn about their personal SRI preferences. Reviewing the three schools of available MCDA methods,
we present a concrete approach for future research in building such a social performance indicator and a
retail investor tool for SRI.