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Assets under management involved in socially responsible investing almost trebled from 2007 to 2011 in Europe, led by pension funds. Such growth has encouraged the implementation of socially responsible activities by companies, which have improved their cleaner production methods in order to reduce greenhouse gas emissions, total water used, energy consumption and waste generated, among others. Integrating environmental, social and governance policies for cleaner production into the investment strategy of pension plans could increase their cost deriving from the screening process and/or increase the benefits, because socially responsible companies in which pension funds invest might achieve a better financial performance than traditional companies, which could in turn affect pension plans' financial performance. For this reason, the aim of this paper is two-fold: firstly, to examine the financial performance of Spanish pension plans compared to market benchmarks taking into account the category to which they belong, and the socially responsible business strategy implemented by the manager; and secondly, to analyze whether differences in financial performance exist between solidarity pension plans, ethical pension plans and traditional pension plans. To do this, we have a sample of 651 individual system pension plans. Using these sample data, we implement the robust random effects panel data methodology. The results show that ethical pension plans, which invest in companies that improve their cleaner production methods, achieve a similar financial performance to conventional pension plans, while solidarity pension plans significantly outperform conventional pension plans. [ABSTRACT FROM AUTHOR]