Because the authors do not have access to the proprietary Domini 400
index information, the primary index on SRI, Yahoo Finance was used to obtain returns of an exchanged trade fund, DSI, which mimics the performance of the Domini 400
To wit, Green Century offers both an Equity Fund, which tracks the MSCI KLD 400 Social Index (an index of 400 socially responsible stock holdings small and large, formerly known as the Domini 400
Social Index) as well as a Balanced Fund comprised of not only stocks but also bonds in order to lessen volatility.
The database reports social, environmental, and governance performance indicators for S&P 500, Domini 400
Social, and Russell 1000 (starting in 2001) companies from 1991 to 2002.
I was fortunate recently to spend an hour by telephone with Amy Domini, founder of both the eponymous Domini 400
Social Index and Domini Social Investments (the investment advisor for the four investment vehicles in the Domini family--Domini Social Equity Fund (DSEFX), Domini International Equity Fund (DOMIX), Domini Social Bond Fund (DSBFX), and Domini Money Market Account, and author (with Peter Kinder) in 1984 of one of the first books on the subject, Ethical Investing, and asked her to explain what it means to approach investing with social and environmental values in mind.
The Domini 400
Social Index (DS400) is an interesting SRI alternative to the Standard & Poor's 500 Index (S&P 500).
"The Impact of Social-Responsibility Screens on Investment Performance: Evidence from the Domini 400
Social Index and Domini Equity Mutual Fund." Review of Financial Economics 6 (2): 137-149.
firms in the Russell 1000, the S&P 500, and KLD's Domini 400
Its universe is a bit different: the Fortune 1000, Russell 3000 (new this year) and Domini 400
, a small-cap index.
For instance, one of the best known socially screened funds, the Domini 400
Social Index, has beaten its benchmark, the S&P 500 Index, for almost the entire life of the fund." Over 10 years, while the S&P 500 gained 8.54 percent, the Domini 400
gained 9.13 percent.
From 1990 to 1998 the Domini 400
Social Index--a benchmark that measures the impact of social screening on financial performance--returned 18.54% vs.
The Domini 400
index of socially responsible companies has outpaced the S&P 500 over the past 10 years, gaining 13.82 percent annually versus the S&P's 12.78 percent.
Things began looking up in the second quarter of 2001, however, with the Domini 400
Index growing by 5.17 percent compared to the S&P's 5.85 percent.