Here is an interesting chart. The KLD Social Select ETF (ticker "KLD"), which launched last year, is so far performing exactly as it is supposed to. The benchmark it is based on, the KLD Select Social Index, is designed to closely mirror the performance of the Russell 1000, while maximizing exposure to companies with strong social and environmental records.
This chart shows that the KLD ETF has had performance virtually identical to an ETF designed to mirror the Russell 1000 (the iShares Russell 1000 Index, ticker "IWB").
The bad news, if you believe social responsibility pays, is that there's no outperformance so far. Over time the performance of this product will be an important test of whether markets fully understand the positive financial benefits of corporate social responsibility. So far, anyway, it looks like they do.