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 [now known as the MSCI KLD 400] 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 ratio) 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.