Goodmacher (2006)

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."