The purpose of this study is to examine the financial performance of an online gambling portfolio. The performance of the online gambling portfolio is compared to both the market and a socially responsible portfolio. Additionally, the financial performance is examined during the Great Recession, a period which includes significant financial instability. Financial performance measures designed for periods of negative average returns are utilized. Unconditional and conditional financial performance measures indicate that the online gaming portfolio underperforms the market portfolio. Additionally, the results indicate that relative to the socially responsible portfolio, the online gambling portfolio underperforms as well. Moreover, the results of the modified Sharpe ratios indicate a significant difference compared to the traditional measures. The rankings of all three portfolios changes significantly, with the online gambling portfolio performing the worst out of the three. Finally, the Jobson and Korkie tests showed no significant difference between the traditional performance measures, but this result could be due to the lack of power of the test. This empirical investigation provides insight into the financial performance of online gambling stocks in the UK.