DiBartolomeo and Kurtz (1999)

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

Reviews the performance of the Domini Social Index for the May 1990 - March 1999 time periodusing 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.

Link:  http://www.northinfo.com/documents/63.pdf