In this chapter we analyze the performance of a Korean SRI index, the Dow Jones Sustainability Korea Index (DJSIK), with regard to its financial performance compared to conventional indexes over a span of ten years using daily returns from January 2006 to December 2015. These years include the period of the implementation of Korea’s Green New Deal that was initiated in 2009. Our analysis suggests that DJSIK performed equally to the market benchmark. Generally, the performance and persistence of the SRI index was relatively stable and no different from most of the conventional Korean portfoliosWe found, however that the Korean Green New Deal has a positive impact on the performance of socially responsible investments (SRIs) in Korea. Based on the assessment of downside risks, we conclude that the DJSIK has a lower sensitivity with regard to market returns during bearish conditions. Furthermore, our results suggest that neither negative nor positive shocks have stronger impacts on the volatility of the DJSIK than on conventional indexes.