Otten, Bauer, and Koedijk (2002)

Otten, Rogér, Rob Bauer, and Kees Koedijk. “International Evidence on Ethical Mutual Fund Performance and Investment Style.” Working paper (Maastricht University), 2002.

From the authors’ abstract:

Using an international database containing 103 German, UK and US ethical mutual funds we review and extend previous research on ethical mutual fund performance… After controlling for investment style, we find little evidence of significant differences in risk-adjusted returns between ethical and conventional funds for the 1990-2001 period. Introducing time-variation in betas however leads to a significant under-performance of domestic US funds and a significant out-performance of UK ethical funds, relative to their conventional peers. Finally, we differentiate previous results by documenting a learning effect. After a period of strong under-performance, older ethical funds finally are catching up, while younger funds continue to under-perform both the index and conventional peers. 

LK comment:  This study won the 2002 Moskowitz Prize.

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=297882