Some of the pension's holdings are invested in the Russell 3000 index, which tracks 3,000 companies including coal producers Peabody Coal and Arch Coal and tobacco giant Philip Morris, according to the employees' research note.  Others are invested in funds tied to Morgan Stanley's MSCI index, which includes major fossil fuel companies like ExxonMobil, according to that note.  MSCI and other indexes offer portfolios that screen out companies in industries with perceived ethical problems.  Some of these funds have performed as well or better than the bank's current investments. The MSCI's two Fossil Fuels Exclusion Indexes have outperformed the main MSCI index for the past three years, according to annual performance fact sheets.  Read MoreWorld Bank money funds 'trail of misery,'  In its statement to Reuters, the bank said were it to consider such funds it "would have to be convinced of their superior return and risk properties in order to make the investment consistent with fiduciary responsibilities."  In a blog post on the bank's in-house Web site last October some employees argued that the bank's target of 3.5 percent annual real returns could be met through socially responsible investments, and raised concerns that the bank's pension investments contradict its public mission.  Bank employees have investment choices within their plans, but none offer ethical alternatives, they said.  In response, Madelyn Antoncic, treasurer of the World Bank, posted that "things aren't always black and white." She cited the case of a bio-medical subsidiary of tobacco company Reynolds American Inc. which is working to develop a vaccine for the Ebola virus from modified tobacco leaves.  Antoncic, who oversees more than $140 billion in World Bank assets as well as the pension fund, said that 60 percent of the plan's equity holdings are in separately managed accounts.  Read MoreChina's new 'World Bank' gains support despite warnings  Several other large pension funds have shifted toward more ethical investments.  Norway's $850 billion Government Pension Global Fund, the world's largest sovereign wealth fund, announced in February that it had moved out of companies connected to Alberta's oil sands and gold miners. And the $53 billion staff pension fund of the United Nations invested in two low-carbon funds by BlackRock and State Street last December.  "Just two years ago, investments that met ESG principles were the domain of smaller funds; now interest has spread to the largest pension schemes in the world," said Kevin Bourne, a managing director of ESG at the FTSE Group.
World Bank invests part of its $18.8 bn staff pension fund in companies in industries, holdings that clash with the institution's own calls.