An increase in globalization has led to a growing awareness of climate change, ethical values, and sustainable development. The fund industry has become more socially responsible, with fund managers developing new strategies to generate high returns and meet specific customer preferences. Therefore, changing values has contributed to an increased interest in ethical investing, resulting in a significant growth of ethically-oriented equity funds. To fill a knowledge gap, this study aims to describe whether there have been significant differences in risk-adjusted returns between conventional and ethical equity funds in the Swedish fund market. By applying Markowitz's portfolio theory and the efficient market hypothesis to three risk-adjusted performance measures, Sharpe's-, Treynor's-, and Jensen's Performance Measures, the study analyzes the return opportunities for conventional and ethical funds compared to market indices. The study showed no significant difference in risk-adjusted returns between ethical and conventional equity funds. However, both fund groups have, on average, performed worse than the market index. If the goal is to maximize returns and diversification, both ethical and conventional funds should be considered as part of the investment strategy, provided they meet the requirements for a well-diversified and efficient portfolio. The study's results are supported by previous research, and there is no reason to exclusively choose ethical or conventional funds if maximizing returns is the primary goal.