DiBartolomeo, Dan and Lloyd Kurtz. "Managing Risk Exposures of Socially Screened Accounts." Northfield Working Paper, 1999.

Reviews the performance of the Domini Social Index May 1990 - March 1999 using a fundamental factor model. This model finds that the DSI's industry exposures explain much of its relative performance, and has a non-significant residual, suggesting the absence of a social factor. Using an APT optimization model, the authors find that the risk profile of the DSI can be matched prospectively to that of the S&P 500. A backtest of the risk-matched social portfolio indicated returns of 1.49% per month for the period under review, similar to the S&P's 1.55% per month.

The paper is available here.