The increasing demand of investors for SRI, in the last 30 years, has stimulated the scientific community to study the impact of ESG criteria on investment financial performance. Theory suggests that if it was beneficial to invest in SRI, this advantage disappeared as soon as markets participants fully incorporated the information about SRI firms. More recent studies state that investors not only hold SRI because of their ethical beliefs but also because it reduces their downside risk. The aim of this dissertation is to analyse if different ESG dimensions impact SRI financial performance during different market conditions. For this purpose, it is constructed and assessed the performance of two distinct portfolios based on ASSET4 ESG scores. The monthly sample comprises US SRI companies from 2002 to 2017. Portfolio performance is assessed on the basis of the popular Carhart (1997) four-factor model and the recent Fama and French (2015) five-factor model. Several robustness checks, for alternative weighted scheme, screen approach, different cut-offs and the exclusion of financial firms, are implemented. Additionally, a dummy constructed based on NBER business cycles to account for different market conditions, is added to the models. The results suggest that if investors implement a Long-Short strategy based on the GOV or ESG dimensions (and SOC in the case of the five factor-model), they obtain negative abnormal returns. The results for earlier sub-periods show that ESG portfolios have, in fact, a neutral financial performance, however, the tendency seems to have changed in 2012 to a negative financial performance. Moreover, by including a dummy variable in the models it is shown that portfolio performance does not significantly change according to the state of the economy.