Maux and Le Saout (2014)

Maux, Julien Le and Erwan Le Saout. "The Performance of Sustainability Indexes." Finance India. April 1, 2004.

Reviews the performance of the FTSE4Good and Dow Jones Sustainability indexes vs. a variety of benchmarks, notably the MSCI, S&P 500, and FTSE 100 for the 1997-2002 time period. The authors also conduct subperiod analysis of the 1997- Q1:2000 and Q2:2000 - 2002 time periods to compare performance in rising and falling markets.

Wilcoxon tests of monthly Sharpe and Treynor ratios show no statistically significant differences in performance in all comparisons. The authors conclude that "a simple performance comparison shows that the frequently voiced hypothesis of a systematic return disadvantage of socially responsible investment is clearly not supported by the present study."