This paper investigates a particular energy efficiency investment — cogeneration — in the industrial sector. Using data from the U.S. manufacturing sector, we find that discounted present value of realized savings is only half of the projected, based on the same upfront investment cost. We also find no robust evidence of significant rebound effects, where the manufacturers increase their production due to efficiency-induced decrease in end use energy cost. Empirically estimated private annual internal rate of return is less than 3%. Accounting for environmental benefits, the social rate of return is only around 5%. This is suggestive of a missing “efficiency gap” and that even in profit maximizing settings, returns based on ex ante projections and ex post evidence are significantly different for energy efficiency investments.