Statman, Meir. "Socially Responsible Mutual Funds." Financial Analysts Journal, May/June 2000.
Reviews the performance of the Domini Social Index and a group of socially screened mutual funds:
The review of the Domini Social Index covers the May 1990-September 1998 time period and concludes that, using a modified form of the Sharpe ratio, that the DSI's risk-adjusted returns for this period were higher than those of the S&P 500. [Note that the original article erroneously reported that risk-adjusted returns for the Domini Index were below those of the S&P 500. The author subsequently published an Errata, and a corrected version of the article was posted on the AIMR website http://www.aimr.org/ - LK]
Also reviews the performance of 31 socially responsible equity mutual funds for the May 1990-September 1998 time period, evaluating performance using Jensen's alpha. "It turns out that while the performance of socially responsible mutual funds is poor relative to that of the S&P 500 and the Domini Social Index, it is better than the performance of conventional mutual funds of similar size."
Link (corrected published version): https://www.cfapubs.org/doi/10.2469/faj.v56.n3.2358