Abstract: Impact investors argue, controversially, that imperfect capital market integration presents an opportunity to invest to achieve social goals while also obtaining attractive financial returns. This proposition is put to the test using detailed cash flow data on every equity investment made by one impact investor across 130 emerging market and developing economies over six decades. We find private equity returns in these economies are comparable to the S&P 500, at least until 2010. Outperformance declines as banking systems deepen and countries relax capital controls. These results are consistent with a core thesis of impact investing that some eligible markets do not receive sufficient investment capital, and that impact investors’ performance may not persist unless they create or identify new markets that lack access to capital.