Sauer, David A. "The Impact of Social-Responsibility Screens on Investment Performance: Evidence from the Domini 400 Social Index and Domini Equity Mutual Fund." Review of Financial Economics, Vol. 6, No. 2, 1997.

Compared returns of the Domini Social Index to those of the S&P 500 and CRSP Value-Weighted Market Index through 1994, including a little-analyzed backtest of the DSI starting in 1986. Found that the DSI would have underperformed both benchmarks on a risk-adjusted basis (Jensen's Alpha and Sharpe Index) for the 1/86 - 4/90 time period. However, when the backtest results were combined with the DSI's live performance for 5/90 - 12/94, aggregate risk-adjusted returns exceeded those of both unscreened benchmarks. The author presents similar evidence for a mutual fund based on the DSI.