Bertrand and Lapointe (2013)

Bertrand, Philippe, and Vincent Lapointe.  “Socially Responsible Investment Performance: Impacts of Weighting by Capitalization.”  Working paper (CERGAM, IAE Aix-en-Provence and Euromed Management), June 2013.

From the authors' abstract:  "[W]e investigate the value added beta asset allocations for performance of socially responsible portfolios. From March 15, 2002 to May 1, 2012 we study four smart beta strategies, the Equally Weighted (EW), the Most Diversified Portfolio (MD), the Minimum Variance (MV) and the Equal Risk Contribution (ERC) and we use three universes of stocks, the EuroStoxx, the ASPI and the complement of ASPI universe. We find that the answer depends on which performance is selected. If we look at relative performance the answer is rather positive. We find that the size bias created by extra-financial filtering is amplified by CW allocation and penalizes the latter. However if we decompose risk-adjusted performance the answer is rather negative. We find that the CW and the ERC allocations have the largest extra-financial premium."