Investors want their assets to be a force for good, or at least to do no harm. Approaches range from avoiding companies or sectors deemed to fail on ethical grounds through to active engagement with companies. Exclusionary screening is the most prevalent approach to ESG investing, and may focus on individual stocks or entire sectors. In this article, the authors take two perspectives. First, they report on the returns since 1900 from tobacco and alcoholic beverage companies. They show that the returns from these “sin stocks” have substantially beaten the market in both the USA and UK, and they evaluate explanations for this. Second, the authors extend their analysis to other large-scale exclusions such as those demanded by climate activists, Sharia-complaint investors, or dharmic investors. In a historical analysis of the return and risk impact from such screens, the authors find that, while divestment may exert downward pressure on stock prices, the impact of protracted and sustained exclusions is on average small.