This may be a long rambling post, so here it goes:
"Ethical" funds or socially conscious funds under-perform the market in general. This is because they often leave out things like energy, conglomerates that include defense contracting, and alcohol. If you don't believe me, go pull up the ticker for the Vice Fund (VICEX). It invests in nothing BUT the companies left out of socially conscious funds (meaning they have an implied higher cost of capital because less people are willing to invest in them). It has outperformed the market even with its ridiculously high 1.64% fee ratio a year dragging on the fund. I won't invest with it due to those fees, but it continues to do better.
Socially conscious funds are also going to be more expensive than an index fund because your paying managers to make a "moral" decision. You can also make your own moral decisions (like, I actually think Sam Adams is a good company company, even if they make alcohol)
That being said, I am a strong believe in investing in an individual company with a well rounded mission that includes its shareholders, employees, clients/customers, and community. Here are some examples:
Starbucks: I really wish I had invested more in this when Howard Shultz came back. I sold the stock a while back because "it looked expensive", and am kicking myself in the rear.
Costco: Just an excellent company, excellent stock. Low employee turnover and constantly improving efficiency has been very good to me as a shareholder.
If investing in socially conscious companies is your goal, I would recommend doing long research and picking 5-10 individual companies, make sure your values align with their and you understand their business and how they make money. Then buy their stock when its a good value. If your not willing to do that, then just buy an index fund until you are.