Why…
SRI tends to be about the “latest and greatest” out there. Companies retain all earnings to grow… i.e. solar power/clean energy stocks compared to boring old regulated utilities that are all about coal-fired generation and are all about that 4.5% dividend yield.
I know that doesn’t necessarily explain it, but it gives a pretty good example that attempts to drive home the reasoning.
It’s good ethical companies are growing (if the subject statement is true)
A lot of non-SRI industries fall in the value/non-cyclical space: Alcohol, Firearms, Cigarettes, Defense, etc…
Big diversified companies with complex firm structures have often some (indirect) exposure (subsidiaries) to non-SRI industries. Hence, you invest in smaller companies where you are definitely sure that they are not invested in non-SRI industries.