This paper provides the first experiment on a multi-grade labelling scheme within the European Socially Responsible Investment (SRI) market. Specifically, we develop an innovative fuzzy c-means clustering approach to group SRI funds according to their green performance. Our central result shows that a four-grade labelling scheme adequately captures the heterogeneity in funds’ green performance. We also find that adopting this scheme allows investors to perceive the green performance of SRI funds as a reliable signal of their future financial performance. Moreover, we report an indirect flow effect due to environmental sustainability because the positive association of SRI funds’ green performance with flows is mainly driven by expenses, financial performance, and risk considerations. Provided that this scheme provides two consistent and convergent signals on SRI funds’ green and financial performance, it increases the relevance of SRI labels for investors and fund managers in Europe, where label proliferation is conducive to divergent sustainability signals.