Garz, Hendriz, Claudia Volk, and Martin Gilles. "More gain than pain - SRI: Sustainability pays off." WestLB Panmure, November 2002a.

Analyzes the risk/return profile of the DJ STOXX Sustainability Index for the January 1999-October 2002 time period. "A deviation analysis shows that the portfolio has a large-cap, high-beta and contrarian bias." Concludes that even after adjusting for these and other factors, "it was possible to increase the average total return of the investment styles studied (or the negative reduced) by using an additional sustainability filter." Estimates risk-adjusted excess return (after adjusting for style, size, and market impacts) at an annualized 2.1%. However, the authors acknowledge the possibility of "classic ex-post selection bias" as the DJ STOXX Sustainability Index was only introduced in 2001.