It is very difficult to say whether investing in a certain group of companies that are "socially conscious" will outperform a group of stocks that may be described as "sin" stocks.  

The first issue is how does one define "sin" stocks?  Clearly what might be a sin for one person, is not a sin for another.  I may view alcohol as a sin, but not have the same feelings about cigarettes.  Another person may feel the exact opposite.  

The second issue is that at some point nearly every company could be considered a "sin" depending on the investor.  I may think plastic use is a sin because it is harming the environment.  Does that mean that any company that makes plastic goods or uses plastics is committing a "sin" and therefore is uninvestable by my criteria?  If so, that would eliminate a lot of potential stock purchases.  So at a certain point it becomes foolish because when we use a loaded word like "sin" we forget that each person on the planet defines that differently.

It makes more sense to take investing profits overall and use those funds to try to support a cause that one believes in because that is a lot simpler.  Based on the example described above, I could choose not to buy Coca-Cola stock (KO) because they ship product in some single use plastics.  Or I could invest in Coca-Cola and take my dividend payments to support recycling efforts and beach conservation.  I believe the latter is more effective to support a cause.  

Finally, many companies have global supply chains that it is very difficult to determine every component in the finished product so even if I had a specific issue or product I wanted to avoid, I may be boycotting the wrong companies.

For all these reasons, it seems like a very difficult strategy to succeed with given its numerous pitfalls and logistical challenges.