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Just like 'conventional' investing, socially responsible investing provides returns all-over the map. However, serious, unbiased studies do show that in general, returns on socially responsible investment portfolios as as good, and sometimes better, than with most regular portfolios. See Ethical Investing Research/Studies
Best wishes, Ron Robins
PS I've been following socially responsible investing for about forty years and the link above is to a page on my website. My website focuses on global news, research and services related to the subject.