TXviking wrote: I also have some non-fiscal considerations (certain companies I won't invest in for example.)
Personally, I have no objection to investing in unethical companies in principle. I don't exactly seek them out under the theory they'll be more profitable, either.
It can be hard to find a practical solution to avoiding unethical companies. For example:
1. What's ethical or unethical? Obesity is a major public health problem. Are soda companies unethical? I rarely drink soda, but it's an unhealthy habit for other people. The health effects of alcohol are mixed and debatable, but I don't think anyone needs soda more than they need tobacco. Still, soda companies rarely make the "sin list".
2. There are good and bad companies in most industries. In a world that needs basic materials, a mining company with an environmental record that's better than its competition would in my eyes be ethical, but others might disagree.
3. How clean does a company's hands have to be? Any large industrial pollutes. Big tech companies like to talk about their solar panels, but they dodge taxes and sell customer information. Pharmaceutical companies charge Medicare a fortune, and then shift the profits to offshore havens - doubly harming American taxpayers.
By the time you invest in what's left, you're not going to be very diversified, or necessarily making much money. It can also take up a lot of time.
What I actually do invest in is index ETFs and a few individual companies. I've been investing for several years, though, and proved to myself I have a strong stomach for volatility in 2008.