Kurtz and DiBartolomeo (1996)
Kurtz, Lloyd, and Dan DiBartolomeo. “Socially Screened Portfolios: An Attribution Analysis of Relative Performance.” Journal of Investing, Fall 1996.
Reviews performance of the Domini Social Index (now known at the MSCI KLD 400 Index) from December 1989 - September 1993 (including four months of backtest data) using both a fundamental factor model and an APT model. The fundamental factor model analysis finds that the DSI's performance was consistent with its factor exposures. The APT model suggests that the DSI had a high degree of oil price sensitivity.