Business and Society

Further evidence: no significant performance cost to social screening

February 7, 2008 | 1 min read

Building on earlier work by Guerard1, the authors of “Socially Responsible Investment Screening: Strong Evidence of No Significant Cost for Actively Managed Portfolios” lengthen the time horizon and add new quantitative models. Using KLD data and a proprietary quantitative model, the authors constructed screened and unscreened portfolios with similar risk characteristics for the 1984–1997 time period from a universe of approximately 300 stocks. Screened portfolio performance was virtually identical to that of unscreened portfolios.

For the full time period, an unscreened portfolio of the companies ranked in the top quartile by the quantitative model had a monthly Sharpe ratio of 0.28. Portfolios screened for defense, environment, nuclear, and a combination of all screens also had a Sharpe ratio of 0.28. 

This study received an Honorable Mention in the 2001 Moskowitz Prize competition (awarded by the Center for Responsible Business at the Haas School of Business, in cooperation with the Social Investment Forum, the Moskowitz Prize promotes the concept, practice, and growth of socially responsible investing).

An earlier version of this paper was presented at the third annual “Making a Profit While Making a Difference” conference in New York in June 1999.


1Guerard, John B. “Is There a Cost to Being Socially Responsible in Investing?” Journal of Investing, Summer 1997.

This article was previously published on, February 7, 2008.

This article may be reproduced according to our terms of use with attribution (and link, if online) to To be cited as: “Further evidence: no significant performance cost to social screening”, Bernell K. Stone, John B. Guerard Jr., Mustafa N. Gultekin and Greg Adams,, February 7, 2008.

Read more

Research Paper

Knowledge area's

Grow at TIAS

At TIAS we believe in Life Long Development, continuous personal, professional and network development during and after your studies. With more knowledge, better skills and a broader network, you will be able to create more impact and be successful.

More about learning at TIAS » 

Brochure TIAS School for Business & Society

Get to know TIAS: The business school for tomorrow's leaders.