Some investors consider more than their own financial returns, considering investment’s environmental sustainability and social responsibility, as well as corporate governance. Each of such ‘ESG’ investing strategies have now been shown to actually enhance returns: https://www.db.com/newsroom_news/2016/ghp/esg-and-financial-performance-aggregated-evidence-from-more-than-200-empirical-studies-en-11363.htm
Furthermore, the risk of total loss of capital in ESG investing has been shown to be quite comparable to money otherwise invested: https://insight.factset.com/the-hidden-risks-of-csr-esg-and-sri-investing.