Schroeder (2003)

Schroeder, Michael. "Socially Responsible Investments in Germany, Switzerland, and the United States." Centre for European Economic Research (ZEW) Discussion Paper No. 03-10, March 2003.

Uses a variety of models to review the historical performance and risk-return characteristics of 46 socially screened mutual funds and eight social indexes from the U.S., Germany and Switzerland. Finds that social fund performance (as measured by Jensen's alpha) has been similar to the performance of unscreened funds. Using returns-based style analysis, finds that German and Swiss funds tend to hold smaller-capitalization assets, while U.S. funds have a greater concentration of blue chip stocks. The American funds also tend to have a greater concentration in the technology sector.

Concludes that "overall, socially screened assets have no clear disadvantage concerning their performance compared to conventional assets."