This is absolutely not true, as Sustainalytics demonstrates in this article that appeared in ThinkAdvisor magazine. Socially responsible investing (SRI) has evolved into ESG investing which is more relevant, I think. ESG stands for Environmental, Social and Governance (that is, corporate governance). An ESG screen is proven to reduce future volatility.
(this link works for me but let me know if it doesn’t for you)
Your Constructive Comments are Welcome!