These are fearful times. As the incomprehensible world of modern finance starts to come away from its moorings, fortunes patiently accumulated over the past year have been washed away. Investors are shunning risk and fleeing to safety. But what is safe? My humble suggestion: sin.

In the current environment, unethical investing is a smart move. More than £6 billion is known to be invested in ethical funds, which generally attempt to screen out companies that harm the environment, sell guns, push cigarettes or have a lax approach to their suppliers’ labour standards. Religious groups, some pension funds and many private individuals will invest only in companies listed on the FTSE4Good index.

I don’t want to belittle this, but it is worth pointing out that ethical investors are distorting the market. If more money goes to the good companies than is justified on economic grounds, the bad ones will be selling below their true value. Moreover, alcohol, tobacco and betting are pretty recession-proof. Addicts make loyal customers.

The evidence bears this out. The UK FTSE4Good index itself grew by a mediocre 64.8 per cent over the five years to June, compared with the FTSE all-share’s 77.5 per cent rise.

Meanwhile, the Sindex, compiled by Money Observer by removing the goody-goody stocks from the FTSE 100 and tracking what’s left, has done well. From 2001 to 2006 its value more than doubled.

So let’s say you have thrown your morality to the wind and want to dive into the murk of very bad stocks. How to go about building a portfolio? A good place to start is tobacco.

No matter how you dress it up, this is a vile business. Owning cigarette companies is morally dubious, but for dispassionate investors, fags remain the bees’ knees. Unlike technology or pharmaceuticals companies, shareholders’ money does not disappear into the bottomless pit of research and development. Cigarettes are cheap to make and sell at a huge mark-up. Big tobacco does not have to worry about market entrants, since the only thing that is healthy about their customers is their brand loyalty. According to Elroy Dimson, Paul Marsh and Mike Staunton of the London Business School, tobacco enjoyed by far the best returns of any sector from 2000 to 2006, both in the UK and internationally.

So British American Tobacco (BAT) is worth a look. Britain’s smoking bans are not a huge problem: BAT’s attention lies elsewhere, in the developing world. Earnings rose by 9 per cent in the first half of the year. Priced at 15.5 times earnings, it is not the cheapest stock, but its dividend yield is 4 per cent and its track record of consistent growth abroad provides an attractive margin of safety.

The next step is to add some nuclear power. British Energy is unloveable and its future uncertain, but there is plenty of upside risk. The market seems to think it is radioactive, pricing shares at less than five times earnings over the past year. Yet dividend yields are very high. These shares are a handy bunker.

My final suggestion is Persimmon, the homebuilder. Its exclusion from the FTSE4Good index is caused presumably by concerns that it is concreting over the countryside. In fact, completions are down, though profits are rising. The planning system is such a deadweight on construction that it blocks Persimmon’s smaller competitors from gaining a foothold. Irrational fears of a house price crash mean that it has a price-earnings ratio of eight despite a dividend yield above 4 per cent. With hopes rising that interest rates have peaked, Persimmon now looks good value.

Even when being evil, diversification is important and you should round off your portfolio of sin with a mining group and the odd arms manufacturer. Then sit back, watch the stock market turmoil unfold and find out whether sin is a nice little earner.

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