More and more, ETF issues believe that investors, particularly the coveted millennial demographic, want to invest with a conscience and embrace socially responsible investing (SRI) strategies. This has led to the rise of funds based on environmental, social and governance (ESG) principles.While the stream of new product launches in the SRI and ESG spaces remains steady, issuers of these funds are also tackling a major issuer for investors: whether or not investing responsibly means sacrificing returns.As has been noted over the course of ESG and SRI ETFs' evolution and growth, many advisors and investors need and want more education about what exactly constitutes an ESG or SRI fund. While elements of SRI vary among index providers, some of the primary hallmarks of legacy socially responsible funds include the exclusion of alcohol stocks, casino operator, gun makers and tobacco makers.InvestorPlace - Stock Market News, Stock Advice & Trading Tips * 15 Stocks That May Be Hurt by This Year's Big IPOs In other words, finding tobacco-free funds is not hard these days. Of course there are risks with tobacco-free funds. While controversial, tobacco stocks do offer upside potential and many come with steady dividend growth and tempting yields. But for investors that want to invest smoke-free, here are some tobacco-free funds to consider. Xtrackers MSCI USA ESG Leaders Equity ETF (USSG)Source: Via Microsoft Expense ratio: 0.10% per year, or $10 on a $10,000 investment. Aside from being a tobacco-free fund, the Xtrackers MSCI USA ESG Leaders Equity ETF (NYSEARCA:USSG) is noteworthy for some other reasons. With its annual fee of 0.10%, this is one of the least expensive ESG ETFs in the U.S.And it must be noted that this tobacco-free fund debuted on March 7, and is already home to more than $865 million in assets under management. That means a string of superlatives are tied to USSG, including its status as one of the largest ESG ETFs, one of the most successful new ETF launches since the start of 2018 and the fund's position as possibly becoming a $1 billion ETF in one of the shortest times in industry history.USSG allocates just 7.21% of its weight to the consumer staples sector, the sector where tobacco stocks reside. The bulk of the fund's consumer staples holdings are consumer products and food and beverage companies. 30% of this tobacco-free fund is allocated to the information technology sector. iShares MSCI USA ESG Select ETF (SUSA)Source: Shutterstock Expense ratio: 0.25% per year, or $25 on a $10,000 investment. The iShares MSCI USA ESG Select ETF (NYSEARCA:SUSA) is one of the ESG ETFs that is larger than the aforementioned USSG and this iShares fund has credibility as a tobacco-free fund.Like USSG, SUSA follows an index constructed by MSCI and the bulk of that index provider's ESG benchmarks exclude tobacco companies. Although this tobacco-free fund is home to just 131 stocks, SUSA has an ESG coverage ratio of 99.30%, according to issuer data. * 5 Undervalued Stocks to Invest In The technology and healthcare sectors combine for nearly 38% of the ETF's weight. SUSA, which is more than 14 years old, is higher by nearly 14% this year. Nuveen ESG Mid-Cap Growth ETF (NUMG) Source: Shutterstock Expense ratio: 0.40% per year, or $40 on a $10,000 investment. As its name implies, the Nuveen ESG Mid-Cap Growth ETF (CBOE:NUMG) is a mid-cap growth ETF. With the growth and mid-cap qualifiers in place, it is easy for NUMG to be a tobacco-free ETF because most of the major tobacco stocks in the U.S. are large-cap names and those companies are rarely considered growth names. NUMG could be one of the tobacco-free funds on the screens of younger investors."Demand is particularly prevalent among the younger generation as 84% of millennials say they would be likely to put all of their investment holdings in responsible investments and 93% of millennial investors show a preference for investments to deliver competitive returns while promoting positive social and environmental outcomes," ETF Trends reports, citing Nuveen data.There is something to NUMG's methodology. Over the past year, the tobacco-free fund is up 5.32% while the S&P MidCap 400 Index is lower by 2.26%. Global X Conscious Companies ETF (KRMA) Expense ratio: 0.43% per year, or $43 on a $10,000 investment.Source: (C)iStock.com/milkdam The Global X Conscious Companies ETF (NASDAQ:KRMA) holds just 160 stocks, making avoiding tobacco a somewhat easy task. While this is a tobacco-free fund, KRMA isn't a sin-free fund as some its holdings are makers of junk food and soda. KRMA, which is nearly three years old, tracks the Concinnity Conscious Companies Index. The fund "applies a wide range of sources that focus on measuring positive outcomes, including fundamental financial ratios to assess for operational efficiency and other long-term value creation indicators," according to Global X. * 7 Winning High-Yield Dividend Stocks With Payouts Over 5% Beyond responsible investing, KRMA offers another benefit: its annualized volatility is less than that of the S&P 500. ClearBridge Large Cap Growth ESG ETF (LRGE)Expense ratio: 0.59% per year, or $59 on a $10,000 investment.Source: Shutterstock The ClearBridge Large Cap Growth ESG ETF (NASDAQ:LRGE) is an actively managed fund that looks to include companies with similar market capitalizations of those in the Russell 1000 Growth Index. LRGE "favor companies that promote best practices when it comes to the environment, social issues and corporate governance," according to the isuser. LRGE is a tobacco-free fund. The fund's weight to consumer staples stocks is just 4.08% and almost half of that goes to Costco Wholesale Corp. (NASDAQ:COST)."LRGE ranks in the 87th percentile within its peer group and in the 59th percentile within the global universe of all funds in MSCI ESG Fund Metrics coverage," according to ETF.com.Todd Shriber does not own any of the aforementioned securities. More From InvestorPlace * 2 Toxic Pot Stocks You Should Avoid * 7 Dividend Stocks to Buy Today * 7 ETFs to Buy to Ride the Longevity Economy * 7 Winning High-Yield Dividend Stocks With Payouts Over 5% Compare Brokers The post No Smoking Zone: 5 Tobacco-Free Funds for ESG Investors appeared first on InvestorPlace.