Goodmacher, Chris. "The Effects of Ethical Screens on Socially Responsible Fund Performance." Working Paper, Oxford University, 2006.

Compares the monthly returns of 17 socially screened U.S. mutual funds. with a matched group of unscreened funds for the March 1997 - March 2006 time period. Funds were matched by category (Morningstar style classification), start date, and asset size. The social funds selected represented a diverse group of screening strategies, including the Amana Islamic funds and the Aquinas Funds, which invest according to Catholic Principles.

Finds that "the mean raw [excess] returns for the group of SRI funds are actually superior to those of the group of non-SRI funds," although this difference was not statistically significant.

On a risk-adjusted basis, both the SRI funds and non-SRI funds had negative Jensen's alphas (using the S&P 500 as the benchmark). The SRI funds performed slightly better, although the difference again was not statistically significant.

The non-SRI funds had higher Sharpe and Treynor ratios than the SRI funds, however.

Concludes that "if anything is remarkable, it is how little a difference the ethical restriction seems to make on a fund's performance. None of the characteristics of category, inception date, or asset size appear to make any difference in determining how an SRI fund does compared to its non-ethical peer."