Risk, Return and Impact: Understanding Diversification and Performance Within an Impact Investing Portfolio

Jed Emerson of Impact Assets discusses capital allocation, "finance first" vs. "impact first", and various vectors of risk... including "conformance risk", that is, having portfolio assets that are outside what might be typically held.  Then, on the flip side of the coin, Emerson addresses returns, including this:  ​

"What has been most interesting to observe over the past five years in particular is the number of impact investors coming to the table saying, “My measure of ‘return’ is not what the market may deem as an appropriate financial return, but rather a defined level of financial performance integrated with measurable social and environmental value creation. I AM the market and I will determine what appropriate rate of return I should seek.” 

Lastly, Emerson presents work by Brian Dunn (at the time with Aquillian Investments) graphing the "efficient frontier" in three dimensions, adding "impact" the the traditional risk and return vectors.  15 page pdf.