Chong, James, Monica Her, and G. Michael Phillips. "When It's 'Good', It's Good; When It's 'Bad', It's Better." Working Paper, May 2005.

Compares returns for the Domini Social Equity Fund and the S&P 500 for the 6/4/91 - 9/24/04 time period, and finds that the Domini underperformed on both a nominal and risk-adjusted basis (not surprising, giving that the Domini Fund has fees and the index does not). In additional to traditional risk-adjustment metrics such as Jensen's alpha and Sharpe ratio, the authors introduce conditional risk measures using an ARCH model.

Also, for the 9/17/02-9/24/04 time period, the authors compare the Domini Social Equity Fund and the S&P 500 with the Vice Fund, which focuses it investments in aerospace/defense, alcoholic beverages, tobacco, and gambling. Over this time period both the Domini and Vice Fund outperformed the market after fees, but the magnitude of the Vice Fund's outperformance was greater.

The ARCH analysis suggests that the risks of all three investment vehicles are lower than standard risk metrics would suggest, and that the Sharpe ratios are therefore higher.