The interest in social and environmental concerns has been increasing not only for people but also for organizations. Given these concerns, about social responsibility and corporate sustainability, measures were developed to assess the valuation of stocks of companies that invest in social and environmental responsibility. In this study the focus was on the Managerial Sustainability Index (ISE) of the stock exchange of São Paulo. The purpose is to determine whether the ISE average profitability was as equal as other important indexes of the BOVESPA, from January 2006 to September 2014. To achieve the proposed objective, performance measures were used, such as Omega and Sharpe Index, concluding that socially responsible investments do not have better returns than investments that do not adopt the same stance. On the other hand, an improvement in its performance can be noticed over the years, suggesting that awareness about social responsibility is increasing and already reflecting on the stock market.