The aim of the study is to explore whether responsible investment and Islamic (Shari'ah‐compliant) investment, which have many similarities in objectives but some differences in how they are implemented, hold any diversification benefits for investors across a variety of investment horizons. We adopt an advanced econometric estimation using MGARCH‐DCC and wavelet using daily returns data between January 1, 1997, and May 22, 2017. We find indications that responsible investment strategies can offer some hedging benefit to Islamic investors and vice versa. Moreover, the returns from this hedging strategy are higher for those addressing a shorter‐term rather than long‐term investment horizon. One exception was that we found diversification benefits for both short‐ and long‐term focused investors during the financial crisis, when the time‐varying correlation were near their lowest point.