Dear Shareholders:
The past six and 12 months have been extraordinary ones for investors, and
we are pleased to report that the Domini Social Equity Fund kept pace with broad
market averages. For the six months ending January 31, 1996 total return on the
Domini Social Equity Fund was 12.7%. For the twelve months ending December 31,
1995, it was 35.2%. Stock market returns broke records, and we were pleased that
our shareholders could benefit from the larger trends.
The Domini Social Equity Fund is now almost five years old, and it seems
like a good time to pause and reflect upon the ways in which the Domini Social
400 Index (DSI) differs from most widely used barometers of stock market
activity, such as the Standard & Poor's 500 (S&P). In constructing the DSI, we
hoped to not only run a cleaner fund, but also one that could serve as a measure
of corporate accountability.
The Domini Social Index originally integrated both the avoidance screens and
the newer screens -- those that seek to define appropriate roles for a
corporation in society. As time passed, increasing interest in companies that
are models of sustainability caused us to focus ever more attention on adding
these when openings on the DSI occur. Superimposed on these considerations are
the financial ones. An index is meant to reflect broad market conditions. This
leads us to study industries that responsible investors do not explicitly avoid
but which are controversial. As we seek out opportunities within them, we
constantly refine our corporate accountability standards.
This semiannual report will provide you, our shareholders, with a comparison
between the Domini Social Index and the S&P 500 that focuses not on the standard
financial or portfolio management benchmarks, but rather on the social
benchmarks we use in evaluating companies for consideration in our portfolio. We
hope you will enjoy reading it and thank you again for your ongoing support of
our efforts. This extraordinary year has provided us with an opportunity to
expand our impact in many ways, and we look forward to continuing to share our
successes with you throughout the years ahead.
Sincerely yours,
Amy L. Domini
<PAGE>
COMPARISON OF $10,000 INVESTMENT IN THE
DOMINI SOCIAL EQUITY FUND AND S&P 500+
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE TOTAL RETURN
<S> <C> <C>
Inception to
6 Months ended 1/31/96 1/31/96
12.70% 11.20%
S&P 500 DSE Fund*
Jun-91 10,000.00 10,000.00
Jul-91 10,465.79 10,506.86
Oct-91 10,695.04 10,591.34
Jan-92 11,224.49 11,274.24
Apr-92 11,475.69 11,274.24
Jul-92 11,824.04 11,808.06
Oct-92 11,758.93 12,074.97
Jan-93 12,410.18 12,898.03
Apr-93 12,545.51 12,629.09
Jul-93 12,867.96 12,990.28
Oct-93 13,512.97 13,650.62
Jan-94 14,014.65 13,954.30
Apr-94 13,200.25 13,210.07
Jul-94 13,517.18 13,371.61
Oct-94 14,015.07 13,856.65
Jan-95 14,060.28 13,981.05
Apr-95 15,481.08 15,213.35
Jul-95 17,018.19 16,728.92
Oct-95 17,729.67 17,416.10
Jan-96 19,504.92 18,857.65
Dollars (thousands)
Past performance is not predictive of future
performance.
</TABLE>
+ The performance information in this chart represents past performance. The
investment return and principal value of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their
original cost.
* The Fund began investing in the stocks comprising the Domini Social Index on
June 3, 1991.
2
<PAGE>
SOCIAL CHARACTERISTICS OF THE DOMINI SOCIAL INDEX
The following is an analysis of some similarities and differences between
the Domini Social 400 Index (DSI) and the Standard & Poor's 500 Index (S&P). The
DSI is a market-capitalization weighted index comprised of 400 common stocks;
the S&P, also market-capitalization weighted, is comprised of 500 stocks. As of
year-end 1995, the two indices had 253 stocks in common.
NOTABLE DIFFERENCES: NEGATIVE SCREENS
- - NO COMPANIES ON THE DSI ARE INVOLVED IN ALCOHOL, GAMBLING, OR TOBACCO WHEREAS
15 COMPANIES ON THE S&P ARE PRINCIPALLY INVOLVED IN THOSE INDUSTRIES. The most
common screen in socially responsible investing is a ban on alcohol, tobacco
and gambling. The differences between the two indices reflect this.
- - NO COMPANIES ON THE DSI HAVE OWNERSHIP OF NUCLEAR POWER PLANTS VERSUS 23 ON
THE S&P. This reflects our total exclusion of companies that own nuclear power
plants. Most electric utilities on the S&P own nuclear power plants; we favor
companies that produce and use other forms of energy.
- - NO COMPANIES ON THE DSI HAVE ANY MAJOR MILITARY INVOLVEMENT VERSUS 44 ON THE
S&P. This reflects our total exclusion of major military contractors. The S&P
includes many companies that are dependent on military contracting.
- - Taken as a whole, the traditional avoidance screens of socially responsible
investors lead to the fact that NO COMPANIES ON THE DSI REFLECT A SIGNIFICANT
INVESTMENT IN ALCOHOL, TOBACCO, GAMBLING, NUCLEAR POWER OR MAJOR MILITARY
CONTRACTS, WHEREAS 82 OF THE 500 S&P COMPANIES DO.
NOTABLE DIFFERENCES: POSITIVE SCREENS
- - SEVENTY-TWO (18.0%) DSI COMPANIES HAVE CASH PROFIT SHARING PROGRAMS IN PLACE
VERSUS 59 (11.8%) FOR THE S&P. This reflects our emphasis on worker
participation and cash profit sharing as an effective means of involving
workers in the daily life of their companies. HEWLETT-PACKARD COMPANY, for
example, has a cash profit-sharing plan that distributes 12% of pretax profits
to all employees twice yearly. Since 1950 HERMAN MILLER has had a Scanlon Plan
that allocates bonuses to workers on the basis of their performance in
comparison to set goals. In fiscal year 1994, bonuses totaled 6.6% of base
wages (up to a maximum of $42,903).
- - FIFTY-THREE (13.3%) DSI COMPANIES HAVE A PRODUCT QUALITY STRENGTH RATING
VERSUS 49 (9.8%) FOR THE S&P. This reflects the high priority we have placed
on product quality and quality management in selecting stocks. BOSTON
SCIENTIFIC is an acknowledged leader in the area of valvuloplasty, the use of
balloon catheters to open blocked heart valves. The company is known for
working closely with its customers, the doctors who will use the instruments,
and incorporating their suggestions about design and their experience with the
products in clinical trials. Team members also spend time in operating rooms
observing how products are used. FEDERAL EXPRESS virtually singlehandedly
created overnight delivery service as a product, with a reputation for
superior customer service. In December 1990, the company won the Malcolm
Baldrige National Quality Award. In a 1993 survey of CEOs and corporate
quality officers, Federal Express was the only service company rated among the
country's top ten in total quality management.
- - ONLY EIGHT (2.0%) DSI COMPANIES HAVE A NON-U.S. OPERATIONS CONCERN VERSUS 26
(5.2%) FOR THE S&P. More importantly, the DSI includes a number of companies
that receive a strength for their non-U.S. operations. THE GAP has a formal
set of guidelines relating to working conditions that its vendors in the U.S.
and abroad must sign. Gap quality inspectors evaluate working conditions at
foreign plants. At corporate headquarters it has a Business Sourcing Committee
that decides if there are countries in which the company will not do business.
The firm currently will not do
3
<PAGE>
business in Burma because of human rights abuses by the government of that
country. In 1993 INTEL CORPORATION allocated $1 million to twelve communities
in which it has operations, including its five overseas operations. In
Malaysia the grants went to financial aid for 250 children, in Japan for
equipment for the elderly, and in Israel for a drug abuse prevention program.
In the UK the grants were for computer education and equipment. At its Ireland
facility, the company restored the section of a river running through its
property to a better level for supporting fish.
- - TEN (2.5%) OF THE COMPANIES ON THE DSI HAVE A WOMAN OR MINORITY AS CEO VERSUS
FOUR (0.8%) FOR THE S&P. We hope to find companies with management teams and
employee populations that reflect the general marketplace. Within our own
borders and beyond, the world is becoming increasingly diverse, and companies
benefit from the differing perspectives of women and minorities. In creating
the DSI, we placed particular attention on finding companies run by women and
minorities. In April 1992, AUTODESK appointed Ms. Bartz, formerly of Sun
Microsystems, as chief executive officer. In February 1995, BEN & JERRY'S
HOMEMADE appointed Robert Holland, Jr., as its new chief executive officer.
Mr. Holland, who is African American, was formerly a management consultant
with McKinsey & Co. LILLIAN VERNON founded the specialty catalog company which
bears her name and continues to serve as its CEO. In addition, the company
reports that 11 of its 25 highest-paid employees are women -- a notably high
percentage.
- - ONE HUNDRED AND SEVENTEEN (29.3%) OF THE COMPANIES ON THE DSI HAVE STRENGTHS
ON OVERALL PROMOTION OF WOMEN AND MINORITIES VERSUS 104 (20.8%) ON THE S&P. In
1995 HISPANIC magazine included JOHNSON & JOHNSON among the 100 companies
providing the greatest opportunities for Hispanics. The 1993 book, THE BEST
COMPANIES FOR MINORITIES, praised the firm's efforts, and reported that
minorities accounted for 6.6% of executives, 11.3% of upper management, and
11.6% of middle management. According to a 1994 WALL STREET JOURNAL article,
27.9% of the company's officials and managers are women. At CHUBB CORPORATION,
two women were recently promoted to senior line positions -- president of the
company's Chubb Life Insurance Company of America subsidiary and president of
Chubb Insurance Company of Canada. Managers at the firm receive incentives for
improving their record on promoting women. The company has a highly unusual
policy allowing high-potential women in staff positions to switch to line
positions without any reduction in salary. Its Management Sponsorship Program
is focused on women and serves as a career development opportunity.
- - OF THE 247 COMPANIES ON THE S&P BUT EXCLUDED FROM THE DSI, 130 (52.6%) HAVE
SOME ENVIRONMENTAL CONCERNS. OF THE 147 COMPANIES ON THE DSI BUT NOT ON THE
S&P, ONLY 14 (9.5%) HAVE ANY ENVIRONMENTAL CONCERNS. This substantial
difference reflects our commitment to environmental screening. THERMO
ELECTRON'S Beneficial Products and Services as well as its use of Alternative
Fuels gained it a place on the DSI. One of the company's many subsidiaries
specializes in remediation services for the cleanup of petroleum-contaminated
soil and waste fluids. Its technology permits petroleum contaminants to burn
off in soil heated to high temperatures. The company's Thermo Instrument
Systems subsidiary manufactures numerous analytical instruments that are used
in air pollution monitoring and environmental remediation. Thermo Fibertek
manufactures paper recycling equipment that uses advanced technology for
de-inking. Thermo Ecotek operates four power plants in California which use
agricultural waste for fuel and three waste wood-burning plants in New
England. Thermo Power Corporation (formerly Tecogen) has developed a family of
low-emission natural gas-powered engines for buses
4
<PAGE>
and delivery trucks. The company also manufactures CFC-free refrigeration
systems and irrigation pumps and innovative, propane-fueled lighting products.
CONSOLIDATED NATURAL GAS derives virtually all its revenues from natural gas,
a fuel with clear environmental advantages over oil and coal. Consolidated had
plans to spend $1.2 million in 1995 on the construction of 12 natural gas
vehicle (NGV) refueling stations in its service territory, and an additional
$3.3 million on 22 NGV refueling stations in 1996. It already has 40 NGV
refueling stations in service, 30 of which are on its own property. Its Hope
Gas subsidiary has been particularly active in the construction of NGV
refueling stations. The company has converted approximately half of its own
fleet of 2,200 vehicles to run on compressed natural gas.
- - OF THE 247 COMPANIES ON THE S&P BUT EXCLUDED FROM THE DSI, 85 (34.4%) HAVE
SOME PRODUCT CONCERNS. OF THE 147 COMPANIES ON THE DSI BUT NOT ON THE S&P,
ONLY NINE (6.1%) HAVE ANY PRODUCT CONCERNS. Companies with product liability
problems are diligently screened out, as we believe this issue is of
increasing fundamental concern for all social investors. Instead we focus on
companies with quality programs, strong research and development programs and
products that are particularly safe or useful. PROCTER & GAMBLE COMPANY has a
long tradition of product innovation. In 1995 P&G received the National
Technology Award from the U.S. government for its innovations in consumer
products. The 1994 book, WHAT AMERICA DOES RIGHT, noted that "On average, P&G
spends one-and-a-half to two times as much as other consumer-products
companies spend for R&D." As a matter of policy, RUBBERMAID'S Little Tikes
subsidiary produces no war- or violence-related toys. It also refuses to
advertise to children on television and resigned from the Toy Manufacturers of
America after this trade association took a stand in defense of such ads.
- - OF THE 247 COMPANIES ON THE S&P BUT EXCLUDED FROM THE DSI, 85 (34.4%) HAVE
SOME EMPLOYEE RELATIONS CONCERNS. THE 147 COMPANIES THAT ARE ON THE DSI BUT
NOT ON THE S&P, ONLY 32 (21.8%) HAVE ANY EMPLOYEE RELATIONS CONCERNS. We
exclude companies having major problems with union relations, safety,
substantial layoffs, and inadequate retirement benefits. Most of the DSI
companies that have an employee relations concern are young firms currently
with inadequate retirement benefits. KLD gives them a concern, although it
expects they will remedy this concern as they mature. An employee relations
program worthy of particular note is that of STARBUCKS CORPORATION. According
to the National Center for Employee Ownership, the company is reportedly the
first retail company to offer stock options to all employees including
part-time staff. Starbucks provides full benefits to all part-time employees
averaging at least 20 hours a week and having three months' tenure, an unusual
policy in the fast food industry. Starbucks received a 1994 Business
Enterprise Trust Award in recognition of this benefits program. Employee
turnover averages 60% per year, much lower than the fast food industry average
of 200% to 400% per year. Indicative of Starbucks' commitment to its
employees, the first of the company's five guiding principles is to "provide a
great work environment and treat each other with respect and dignity." It has
an employee suggestion program and holds quarterly meetings with store
personnel. All store, district and regional managers participate in incentive
bonus plans for meeting defined performance objectives. Employees with one
year's tenure of 1,000 hours are eligible for 401(k) matching contributions of
25% up to 4% of salary. All employees receive 24 hours of training in coffee
and customer service. Staff nominate their co-workers for Bravo Awards, which
recognize increased sales, savings or customer service quality. The company
also implements Manager of the Year and Quarter awards. The 1993 book, THE 100
BEST COMPANIES TO WORK FOR IN AMERICA, praised
5
<PAGE>
H.B. FULLER'S company-wide commitment to social responsibility. The firm has
an "employment security" policy for employees with more than two years of
service. When closing down a plant, it offers all employees a chance to
relocate. It reserves the right to lay off employees if the company loses
money in a given year, although it has never failed to make a profit.
NOTABLE SIMILARITIES
- - The few areas of similarity highlight the increasing commitment most companies
have to their communities. Like shareholders and employees, communities have a
stake in how a company does business. THE DSI AND THE S&P HAVE SUBSTANTIALLY
SIMILAR PROFILES WHEN IT COMES TO COMMUNITY STRENGTHS. A TOTAL OF 147 (36.8%)
COMPANIES ON THE DSI HAVE COMMUNITY STRENGTHS. SIMILARLY A TOTAL OF 189
(37.8%) COMPANIES ON THE S&P HAVE COMMUNITY STRENGTHS. Research shows that
strong community programs can thrive at both small and large companies. Since
78 of the S&P companies with community strengths are not in the DSI, it also
suggests that companies that fail other social screens may devote resources to
community issues as a way of diverting attention from possible controversies.
In 1992 THE TIMBERLAND COMPANY made a three-year, $1 million grant to City
Year, a Boston-based community service organization for young adults. City
Year has been widely praised as an "urban peace corps" that recruits young
people to work on human service projects with city agencies. In 1995
Timberland became the largest private contributor of funds to this
organization by pledging an additional $5 million over five years. Timberland
has also launched a line of apparel and accessories labeled "City Year Gear,"
and provides City Year members with a full line of clothing and footwear. The
profits are divided between City Year and the company stores for a community
service fund. In addition Timberland has taken the highly unusual step of
using City Year personnel to provide diversity training for Timberland's
employees. Timberland has a notably strong employee volunteer program. It
allows all full time and part time employees up to 32 hours annually to work
on community service projects, half of which are chosen by the company and
half by the employee. The firm stresses to all its employees that volunteerism
is part of the company culture through a number of means, including
publication of a company newsletter that focuses on its volunteer efforts. In
1992 the company initiated a worldwide ad campaign aimed at counteracting a
rising tide of racism, particularly in Germany. The campaign had as its slogan
"Give Racism The Boot." In 1994 GENERAL MILLS donated 2.5% ($18.8 million) of
trailing three-year pretax profit to charity, and provided in-kind donations
worth $5.6 million. The company has the largest cash giving program in KLD's
Packaged Food Industry classification on both an absolute and percentage
basis. The company's giving is innovative as well as generous. In 1994 the
company issued a request for proposals for projects benefiting the Latino
community and funded 11 grants totaling $1.2 million. The company gives grants
to a variety of programs, including Head Start programs in New Mexico and the
American Indian College Fund, that support Native Americans. In 1993 it made a
$1.4 million grant to alternative schools seeking to improve students'
academic achievement. General Mills' support for volunteerism includes a
program at corporate headquarters that links the skills of employees and
retirees with the needs of community groups. In 1993 the company funded an
$85,000 grant to study the impact of corporate volunteer programs.
- - WHILE THE DSI AND S&P DIFFER SIGNIFICANTLY IN THE AREA OF ENVIRONMENTAL
CONCERNS, THEY ARE QUITE SIMILAR IN REGARD TO ENVIRONMENTAL STRENGTHS. A TOTAL
OF 101 (25.3%) COMPANIES ON THE DSI HAVE SOME ENVIRONMENTAL STRENGTHS.
SIMILARLY, A TOTAL OF 129 (25.8%) COMPANIES ON THE S&P HAVE SUCH
6
<PAGE>
STRENGTHS. More and more companies are recognizing that environmental
liabilities are bad for the bottom line, while recycling, reusing and reducing
emissions are catching on as good for business. In 1993 MCDONALD'S joined an
alliance created by the Environmental Defense Fund with six companies to
demand more recycled content in their paper purchases. McDonald's is committed
to increase its purchases of other recycled materials. From 1990 to 1993, the
company has purchased $600 million in recycled goods. It gives preference to
recycled building materials for its restaurants. The firm has asked suppliers
to increase the recycled content of all shipping boxes to 35% and uses
recycled materials for its trayliners, napkins, drink holders, and carry-out
bags. It has also worked with suppliers to design the plastics they use for
recyclability. The company has purchased non-skid surfaces made from recycled
tires for the playgrounds at its restaurants. As of 1993, initiatives from the
company's joint venture with the EDF include cutting packaging volume by 70%,
recycling at least 80% of waste, testing reusable products, testing
composting, and increasing the use of unbleached paper products.
7
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996 (UNAUDITED)
(SHOWING PERCENTAGE OF INVESTMENTS TO NET ASSETS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- 98.4%
APPAREL -- 0.8%
Brown Group Inc...................................... 400 $ 5,500
Hartmax Corp.(b)..................................... 600 2,325
Lands' End Inc....................................... 800 11,700
Liz Claiborne, Inc................................... 2,400 66,900
Nike Inc. (Class B).................................. 4,400 306,900
Oshkosh B'Gosh, Inc.................................. 300 5,100
Phillips-Van Heusen Corp............................. 600 6,300
Reebok International Ltd............................. 2,500 67,500
Russell Corp......................................... 1,400 38,500
Stride Rite Corp..................................... 1,200 9,900
Timberland Co........................................ 250 4,719
VF Corp.............................................. 1,950 98,475
-----------
623,819
-----------
COMMERCIAL PRODUCTS & SERVICES -- 1.7%
Autodesk Inc......................................... 1,400 42,350
Banta Corp........................................... 700 29,575
Cintas Corp.......................................... 1,400 64,400
Deluxe Corp.......................................... 2,600 76,375
Donnelley, R.R. & Sons............................... 4,800 172,200
Harland (J.H.) Co.................................... 900 19,800
HON Industries Inc................................... 800 16,600
Kelly Services (Class A)............................. 1,475 42,775
Miller, (Herman) Inc................................. 800 25,600
Moore Corp., Ltd..................................... 3,300 65,175
National Education Corporation....................... 600 5,400
National Service Industries, Inc..................... 1,700 59,287
New England Business Services Inc.................... 300 5,325
Pitney Bowes Inc..................................... 4,900 221,725
Standard Register Co................................. 700 13,475
Xerox Corp........................................... 3,300 407,962
-----------
1,268,024
-----------
CONSTRUCTION -- 0.3%
Centex Corp. 900 29,025
Fleetwood Enterprises, Inc........................... 1,300 33,150
Graco Inc............................................ 500 13,875
Kaufman & Broad Home Corp............................ 800 12,800
Rouse Co............................................. 1,700 31,662
Sherwin-Williams Co.................................. 2,500 105,313
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
<S> <C> <C>
CONSTRUCTION -- CONTINUED
TJ International Inc................................. 400 $ 6,500
-----------
232,325
-----------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Avery Dennison Corp.................................. 1,700 90,738
ISCO Inc............................................. 200 1,850
Tennant Co........................................... 200 4,750
-----------
97,338
-----------
ENERGY -- 3.7%
Amoco Corp........................................... 15,600 1,097,850
Anadarko Petroleum Corp.............................. 1,800 90,900
Apache Corp.......................................... 2,300 61,812
Atlantic Richfield Co................................ 5,000 568,125
Consolidated Natural Gas Co.......................... 2,900 130,500
ENERGEN Corp......................................... 300 7,463
Enron Corp........................................... 8,100 299,700
Helmerich & Payne Inc................................ 900 28,350
Louisiana Land & Exploration Co...................... 1,200 51,600
Oryx Energy Company(b)............................... 3,100 40,688
Pennzoil Co.......................................... 1,600 65,000
Rowan Companies Inc.(b).............................. 2,700 29,363
Santa Fe Energy Resources Inc.(b).................... 2,500 24,062
Sun Company.......................................... 3,000 81,750
Williams Companies Inc. (The)........................ 3,100 146,088
-----------
2,723,251
-----------
FINANCIAL -- 11.2%
Ahmanson (H.F.) & Co................................. 4,100 98,400
American Express Co.................................. 15,200 699,200
Banc One Corp........................................ 12,823 485,671
Bank of Boston....................................... 3,600 164,700
BankAmerica Corp..................................... 11,500 774,813
Bankers Trust (N.Y.) Corp............................ 2,500 162,188
Barnett Banks Inc.................................... 3,100 181,350
Beneficial Corp...................................... 1,600 78,200
Block (H. & R.), Inc................................. 3,200 118,000
Cincinnati Financial Corp............................ 1,705 106,989
CoreStates Financial Corp............................ 4,300 172,000
Dime Bancorp Inc.(b)................................. 3,200 37,200
Edwards (A.G.), Inc.................................. 2,225 55,903
</TABLE>
8
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JANUARY 31, 1996 (UNAUDITED)
(SHOWING PERCENTAGE OF INVESTMENTS TO NET ASSETS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
FINANCIAL -- CONTINUED
<S> <C> <C>
Federal National Mortgage Association................ 34,500 $ 1,190,250
Fifth Third Bancorp.................................. 3,300 156,131
First Chicago Corp................................... 10,106 392,892
First Fed Financial Corp.(b)......................... 200 2,725
Golden West Financial Corp........................... 1,900 98,325
Great Western Financial Corp......................... 4,200 100,800
Household International Inc.......................... 3,050 197,869
Mellon Bank Corp..................................... 4,400 233,200
Merrill Lynch & Co., Inc............................. 5,500 312,812
Morgan (J.P.) & Co., Inc............................. 5,900 479,375
Norwest Corp......................................... 11,000 378,125
PNC Bank Corp........................................ 10,600 318,000
Piper Jaffray Inc.................................... 300 4,125
ReliaStar Financial Corp............................. 1,100 51,838
Schwab (Charles) Corp................................ 5,300 132,500
Student Loan Marketing Association................... 1,950 143,569
SunTrust Banks Inc................................... 3,500 241,938
Transamerica Corp.................................... 2,100 159,862
Value Line Inc....................................... 300 11,700
Vermont Financial Services Corp...................... 100 3,200
Wachovia Corp........................................ 5,300 237,175
Wells Fargo & Co..................................... 1,400 328,475
Wesco Financial Corp................................. 200 34,500
-----------
8,344,000
-----------
FOODS & BEVERAGES -- 10.2%
Archer-Daniels-Midland Co............................ 1 19
Ben & Jerry's (Class A)(b)........................... 100 1,625
CPC International Inc................................ 4,600 334,650
Campbell Soup Co..................................... 7,700 487,988
Coca-Cola Company.................................... 39,300 2,962,237
Fleming Cos. Inc..................................... 1,200 22,800
General Mills, Inc................................... 5,200 299,000
Heinz (H.J.) Company................................. 11,800 405,625
Hershey Foods Corp................................... 2,500 176,875
Kellogg Co........................................... 6,700 513,388
Odwalla Inc.......................................... 300 5,325
PepsiCo, Inc......................................... 24,700 1,472,737
Quaker Oats Co....................................... 4,100 140,937
Ralston Purina Group................................. 3,500 225,313
Smucker (J.M.) Co. (Class A)......................... 1,000 20,750
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
<S> <C> <C>
FOODS & BEVERAGES -- CONTINUED
Super Valu Inc....................................... 2,300 $ 71,300
Sysco Corp........................................... 5,700 182,400
TCBY Enterprises, Inc................................ 500 2,000
Tootsie Roll Industries, Inc......................... 618 24,109
Wrigley, (Wm.) Jr. Co................................ 3,600 214,200
-----------
7,563,278
-----------
HEALTH CARE -- 9.5%
Acuson Corp.(b)...................................... 1,000 14,875
Allergan Inc......................................... 1,900 63,175
Alza Corp.(b)........................................ 2,800 79,100
Angelica Corp........................................ 300 6,075
Apogee Enterprises, Inc.............................. 300 5,250
Becton Dickinson & Company........................... 2,000 172,750
Bergen Brunswig Corp. (Class A)...................... 1,245 32,837
Biomet Inc.(b)....................................... 3,800 71,250
Community Psychiatric Centers(b)..................... 1,000 11,500
Forest Laboratories, Inc.(b)......................... 1,500 81,000
Humana Inc.(b)....................................... 5,000 138,125
Johnson & Johnson.................................... 20,300 1,948,800
Manor Care Inc....................................... 2,100 82,425
Medtronic Inc........................................ 7,200 411,300
Merck & Co., Inc..................................... 38,700 2,718,675
Mylan Laboratories Inc............................... 3,600 68,400
Oxford Health Plans.................................. 1,100 75,900
Schering-Plough Corp................................. 11,400 617,025
St. Jude Medical Inc................................. 2,100 92,663
Stryker Corp......................................... 1,600 89,400
Sunrise Medical Inc.(b).............................. 600 11,325
US Healthcare Inc.................................... 4,900 237,650
United American Healthcare........................... 200 2,200
-----------
7,031,700
-----------
HOUSEHOLD GOODS -- 5.9%
Alberto Culver Co. (Class B)......................... 700 25,200
Avon Products, Inc................................... 2,100 165,900
Bassett Furniture Industries, Inc.................... 300 7,350
Church & Dwight Co., Inc............................. 900 17,437
Clorox Co............................................ 1,600 132,200
Colgate-Palmolive Co................................. 4,600 340,400
Handleman Co......................................... 700 4,463
</TABLE>
9
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JANUARY 31, 1996 (UNAUDITED)
(SHOWING PERCENTAGE OF INVESTMENTS TO NET ASSETS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
HOUSEHOLD GOODS -- CONTINUED
<S> <C> <C>
Harman International Industries, Inc................. 630 $ 24,176
Hasbro Inc........................................... 2,800 116,200
Huffy Corp........................................... 300 3,300
Kimberly-Clark Corp.................................. 8,732 704,018
Leggett & Platt Inc.................................. 2,500 60,000
Mattel, Inc.......................................... 6,969 224,750
Maytag Co............................................ 3,400 66,725
Newell Co............................................ 5,100 134,513
Oneida, Ltd.......................................... 200 3,100
Procter & Gamble Co.................................. 21,600 1,811,700
Rubbermaid Inc....................................... 5,200 147,550
Shaw Industries...................................... 4,700 59,337
Snap-On Tools Corp................................... 1,300 57,038
Springs Industries Inc. (Class A).................... 600 24,000
Stanhome, Inc........................................ 600 16,050
Stanley Works (The).................................. 1,400 72,100
Thomas Industries.................................... 200 4,275
Whirlpool Corp....................................... 2,300 125,062
-----------
4,346,844
-----------
INSURANCE -- 6.5%
Aetna Life & Casualty Co............................. 3,600 268,200
Alexander & Alexander Services Inc................... 1,400 27,125
American General Corp................................ 6,300 237,825
American International Group, Inc.................... 14,800 1,433,750
Chubb Corp........................................... 2,700 280,125
CIGNA Corp........................................... 2,350 278,769
General Re Corp...................................... 2,600 397,800
Hartford Steam Boiler................................ 600 31,350
Jefferson-Pilot Corp................................. 2,250 112,219
Lincoln National Corp................................ 3,200 169,200
Marsh & McLennan Companies, Inc...................... 2,300 209,300
Providian Corp....................................... 3,100 136,012
SAFECO Corp.......................................... 3,800 136,325
St. Paul Companies................................... 2,700 153,900
Torchmark Corp....................................... 2,200 104,225
Travelers Corp....................................... 9,909 651,517
UNUM Corp............................................ 2,300 141,450
USF&G Corp........................................... 3,400 54,400
USLIFE Corp.......................................... 1,125 36,141
-----------
4,859,633
-----------
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
<S> <C> <C>
MANUFACTURING -- 2.1%
Applied Materials, Inc.(b)........................... 5,900 $ 218,300
Briggs & Stratton Corp............................... 800 35,100
Boston Scientific Corp............................... 5,400 276,750
Cincinnati Milacron.................................. 900 21,487
Clarcor, Inc......................................... 300 6,188
Deere & Co........................................... 8,400 315,000
Dionex Corp.(b)...................................... 400 15,000
Fastenal Co.......................................... 1,200 40,650
Goulds Pumps, Inc.................................... 600 13,350
Hunt Manufacturing Co................................ 400 6,400
Illinois Tool Works Inc.............................. 3,600 220,950
James River Corp. of Virginia........................ 2,600 68,250
Lawson Products, Inc................................. 300 7,200
Millipore Corp....................................... 1,500 64,125
Nordson Corp......................................... 500 27,000
Thermo Electron Corp................................. 2,700 147,150
Watts Industries Inc. (Class A)...................... 1,000 17,375
Wellman Inc.......................................... 1,000 20,000
Zurn Industries Inc.................................. 400 8,950
-----------
1,529,225
-----------
MEDIA -- 5.5%
BET Holdings Inc.
(Class B)(b)........................................ 800 19,600
Capital Cities/ABC, Inc.............................. 4,600 591,675
Comcast Corp. (Class A).............................. 7,700 154,963
Disney (Walt) Company (The).......................... 16,300 1,047,275
Dow Jones & Co. Inc.................................. 3,300 129,112
Frontier Corp........................................ 5,000 148,750
Gannett Co., Inc..................................... 4,400 279,400
King World Productions
Inc.(b)............................................. 1,100 47,300
Knight-Ridder Inc.................................... 1,600 106,200
Lee Enterprises, Inc................................. 1,400 29,225
McGraw-Hill Inc...................................... 1,500 133,500
Media General Inc. (Class A)......................... 800 26,700
Meredith Corp........................................ 800 36,400
New York Times Co. (The) (Class A)................... 2,900 84,100
Scholastic Corp...................................... 500 36,500
Tele-Communications, Inc.
(Class A)(b)........................................ 20,000 422,500
Times Mirror Co. (Class A)........................... 3,500 108,500
</TABLE>
10
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JANUARY 31, 1996 (UNAUDITED)
(SHOWING PERCENTAGE OF INVESTMENTS TO NET ASSETS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
MEDIA -- CONTINUED
<S> <C> <C>
Turner Broadcasting System Inc. (Class A)............ 5,000 $ 135,000
US West Media Group(b)............................... 14,900 314,762
Viacom Inc.(b)....................................... 2,500 100,000
Washington Post Co. (The) (Class B).................. 350 101,325
-----------
4,052,787
-----------
MISCELLANEOUS -- 1.9%
Alco Standard Corp................................... 3,700 145,225
Allwaste, Inc.(b).................................... 1,200 5,700
American Greetings Corp. (Class A)................... 2,450 66,762
Avnet, Inc........................................... 1,300 55,738
Bemis Co., Inc....................................... 1,800 50,850
CPI Corp............................................. 400 5,900
Cross, A.T. Co. (Class A)............................ 500 7,313
DeVRY Inc.(b)........................................ 400 10,900
Fedders Corp......................................... 600 3,600
Fuller (H.B.) Co..................................... 500 18,125
General Signal Corp.................................. 1,650 55,687
Groundwater Technology, Inc.......................... 200 2,650
Harcourt General Inc................................. 2,400 93,600
Hillenbrand Industries Inc........................... 2,400 79,800
Ionics Inc.(b)....................................... 400 16,050
Jostens Inc.......................................... 1,400 32,200
KENETECH Corp.(b).................................... 900 1,125
Marriott International Corp.......................... 3,900 167,213
Omnicom Group, Inc................................... 2,400 92,700
Polaroid Corporation................................. 1,350 60,581
Premier Industrial Corp.............................. 2,850 87,637
Sealed Air Corp.(b).................................. 1,400 41,125
Service Corp. International.......................... 3,900 169,163
Sonoco Products Co................................... 3,005 80,384
Toro Co. (The)....................................... 300 10,425
Whitman Corp......................................... 3,100 70,525
-----------
1,430,978
-----------
RESOURCE DEVELOPMENT -- 2.6%
Air Products & Chemicals, Inc........................ 3,500 186,812
Aluminum Co. of America.............................. 5,600 310,800
ARCO Chemical Company................................ 3,000 155,625
Battle Mountain Gold Co.............................. 2,400 25,500
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
<S> <C> <C>
RESOURCE DEVELOPMENT -- CONTINUED
Betz Laboratories, Inc............................... 1,000 $ 41,375
Cabot Corp........................................... 1,200 69,000
Calgon Carbon Corp................................... 1,200 13,350
Consolidated Papers Inc.............................. 1,600 87,200
Cyprus Amax Minerals Co.............................. 3,000 79,500
Echo Bay Mines Ltd................................... 3,900 50,213
Inland Steel Industries Inc.......................... 1,500 42,937
Mead Corp............................................ 1,600 88,400
Morton International Inc............................. 4,600 170,200
Nalco Chemical Co.................................... 2,300 70,437
Nucor Corp........................................... 2,700 156,938
Praxair Inc.......................................... 4,500 153,000
Sigma-Aldrich Corp................................... 1,500 78,750
Westvaco Corp........................................ 3,000 87,000
Worthington Industries, Inc.......................... 2,700 56,700
-----------
1,923,737
-----------
RETAIL -- 9.9%
Albertson's, Inc..................................... 8,000 273,000
American Stores Co................................... 4,900 127,400
Bob Evans Farms, Inc................................. 1,200 20,100
Charming Shoppes Inc................................. 2,500 6,875
Circuit City Stores Inc.............................. 3,100 79,825
Claire's Stores Inc.................................. 500 9,562
Dayton-Hudson Corp................................... 2,200 164,450
Dillard Department Stores............................ 3,500 101,500
Dollar General Corp.................................. 1,956 48,655
Egghead Inc.(b)...................................... 300 1,838
Gap, Inc. (The)...................................... 4,400 207,350
Giant Food Inc. (Class A)............................ 2,100 67,200
Gibson Greetings Inc................................. 500 7,750
Great Atlantic & Pacific Tea Co., Inc................ 1,200 28,200
Hannaford Brothers Co................................ 1,300 35,263
Hechinger Co. (Class A).............................. 800 4,600
Home Depot, Inc. (The)............................... 14,833 682,318
International Dairy Queen, Inc. (Class A)(b)......... 600 13,050
K-Mart Corp.......................................... 13,300 78,137
Kroger Co.(b)........................................ 4,000 139,000
Lillian Vernon Corp.................................. 200 2,700
Limited, Inc. (The).................................. 11,150 186,762
Longs Drug Stores, Inc............................... 700 31,675
Lowe's Companies, Inc................................ 4,900 152,513
Luby's Cafeterias, Inc............................... 1,000 21,000
</TABLE>
11
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JANUARY 31, 1996 (UNAUDITED)
(SHOWING PERCENTAGE OF INVESTMENTS TO NET ASSETS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
RETAIL -- CONTINUED
<S> <C> <C>
May Department Stores Co............................. 7,700 $ 342,650
McDonald's Corp...................................... 22,000 1,105,500
Melville Corp........................................ 3,200 91,200
Mercantile Stores Co., Inc........................... 1,200 56,550
Morrison Restaurants Inc............................. 1,000 16,000
Nordstrom Inc........................................ 2,700 105,975
Penney, J.C. Co., Inc................................ 6,850 335,650
Pep Boys -- Manny, Moe & Jack........................ 2,250 65,250
Petrie Stores Corp................................... 1,200 2,550
Price/Costco Inc.(b)................................. 5,865 91,641
Ryan's Family Steakhouse, Inc.(b).................... 1,300 9,100
Sears Roebuck & Co................................... 12,200 506,300
Skyline Corp......................................... 200 4,150
Specs Music Inc.(b).................................. 200 475
Starbucks Corp....................................... 2,000 33,500
TJX Companies Inc. (The)............................. 2,600 49,075
Tandy Corp........................................... 2,000 76,500
Toys 'R' Us, Inc.(b)................................. 8,770 194,036
Wal-Mart Stores, Inc................................. 71,900 1,464,963
Walgreen Co.......................................... 7,700 268,537
Whole Foods Market(b)................................ 300 4,462
Woolworth (F.W.) Co.................................. 4,000 45,000
-----------
7,359,787
-----------
TECHNOLOGIES -- 14.1%
Advanced Micro Devices, Inc.(b)...................... 4,100 81,487
Amdahl Corp.(b)...................................... 3,900 28,519
American Power Conversion Corp.(b)................... 2,900 25,194
Analog Devices, Inc.(b).............................. 3,600 81,000
Apple Computer, Inc.................................. 3,800 104,975
Automatic Data Processing, Inc....................... 8,900 354,888
Baldor Electric Co................................... 1,050 21,525
Borland International, Inc.(b)....................... 1,200 22,350
Caliber Systems Inc.................................. 1,100 41,800
Cisco Systems, Inc.(b)............................... 8,700 724,275
Compaq Computer Corp.(b)............................. 8,400 395,850
Computer Assoc. International Inc.................... 7,600 519,650
Cooper Industries Inc................................ 3,600 135,450
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
<S> <C> <C>
TECHNOLOGIES -- CONTINUED
DSC Communications
Corp.(b)............................................ 3,950 $ 115,044
Digital Equipment Corp.(b)........................... 4,800 347,400
Grainger, (W.W.) Inc................................. 1,600 107,800
Hewlett-Packard Co................................... 16,000 1,356,000
Hubbell Inc. (Class B)............................... 1,130 75,993
Intel Corp........................................... 25,700 1,419,522
International Business Machines Inc.................. 17,800 1,935,750
MCI Communications Corp.............................. 21,400 612,575
Micron Technology, Inc............................... 6,500 222,625
Molex, Inc........................................... 3,000 96,750
National Semiconductor Corp.......................... 4,200 72,450
Novell Inc.(b)....................................... 11,300 152,550
Perkin-Elmer Corp.................................... 1,400 66,150
Quarterdeck Corp.(b)................................. 1,000 16,000
Raychem Corp......................................... 1,400 93,625
Shared Medical Systems Corp.......................... 800 45,600
Solectron Corp.(b)................................... 1,500 69,000
Sprint Corp.......................................... 10,900 470,062
Stratus Computer Inc.(b)............................. 700 18,550
Sun Microsystems Inc.(b)............................. 5,900 271,400
Tandem Computers Inc.(b)............................. 3,400 31,875
Tektronix, Inc....................................... 1,000 45,750
Tellabs, Inc.(b)..................................... 2,800 123,200
Thomas & Betts Corp.................................. 600 47,175
Xilinx Inc.(b)....................................... 2,400 92,700
-----------
10,442,509
-----------
TRANSPORTATION -- 2.2%
AMR Corp.(b)......................................... 2,500 190,000
Airborne Freight Corp................................ 600 15,975
Alaska Air Group, Inc.(b)............................ 300 5,925
CSX Corp............................................. 6,700 310,712
Conrail Inc.......................................... 2,700 191,025
Consolidated Freightways, Inc........................ 1,500 34,500
Delta Air Lines, Inc................................. 1,600 109,400
Federal Express Corp.(b)............................. 1,900 144,637
GATX Corp............................................ 600 27,750
Norfolk Southern Corp................................ 4,100 323,387
Roadway Services..................................... 550 6,050
Ryder System, Inc.................................... 2,700 63,113
</TABLE>
12
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JANUARY 31, 1996 (UNAUDITED)
(SHOWING PERCENTAGE OF INVESTMENTS TO NET ASSETS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
TRANSPORTATION -- CONTINUED
<S> <C> <C>
Southwest Airlines Inc............................... 4,800 $ 124,800
UAL Corp.(b)......................................... 450 72,450
Yellow Corp.......................................... 600 7,200
-----------
1,626,924
-----------
UTILITIES -- 9.6%
American Water Works Co., Inc........................ 1,200 45,750
Ameritech Corp....................................... 17,300 1,040,163
Atlanta Gas & Light Co............................... 2,000 40,500
Bell Atlantic Corp................................... 13,700 943,587
BellSouth Corp....................................... 31,100 1,333,413
Brooklyn Union Gas Company (The)..................... 1,650 46,200
California Energy Co., Inc.(b)....................... 1,700 34,000
Citizens Utilities Co. (Class A)(b).................. 7,287 88,357
Connecticut Energy Corp.............................. 200 4,200
Eastern Enterprises.................................. 900 31,050
El Paso Natural Gas Co............................... 1,000 32,375
Equitable Resources Inc.............................. 1,200 34,050
Idaho Power Co....................................... 1,400 43,050
LG & E Energy Corp................................... 1,100 47,437
MCN Corp............................................. 2,100 51,712
NICOR Inc............................................ 1,900 51,775
Noram Energy Corp.................................... 4,300 37,625
Northwestern Public Service Co....................... 200 5,850
NYNEX................................................ 13,500 723,938
Oklahoma Gas & Electric Co........................... 1,200 50,400
ONEOK Inc............................................ 700 14,612
Pacific Enterprises.................................. 2,500 69,375
Pacific Telesis Group................................ 13,300 392,350
Peoples Energy Corp.................................. 1,200 39,150
Potomac Electric Power Co............................ 3,600 97,200
Public Service Co. of Colorado....................... 2,100 75,600
SBC Telecommunications............................... 19,200 1,087,200
Southern New England Telecom......................... 2,000 80,000
Telephone & Data Systems............................. 1,800 73,125
US West Communications Group......................... 14,700 516,338
<CAPTION>
ISSUER SHARES VALUE
---------------------------------------------------------- ------- -----------
<S> <C> <C>
UTILITIES -- CONTINUED
Washington Gas Light Co.............................. 1,200 $ 26,250
-----------
7,156,632
-----------
VEHICLE COMPONENTS -- 0.6%
Cooper Tire & Rubber Co.............................. 2,550 63,112
Cummins Engine Inc................................... 1,450 56,006
Dana Corp............................................ 3,100 101,913
Federal-Mogul Corp................................... 1,100 21,312
Genuine Parts........................................ 3,800 169,100
Modine Manufacturing Co.............................. 800 20,200
SPX Corp............................................. 200 2,950
Smith, A.O........................................... 600 15,075
Spartan Motors Inc.(b)............................... 300 2,887
-----------
452,555
-----------
Total Common Stocks (Cost, $56,214,285)....................
73,065,346
-----------
PREFERRED STOCK -- 0.6%
FEDERAL SPONSORED CREDIT -- 0.6%
Federal Home Loan Mortgage Corp...................... 5,600 479,500
-----------
Total Preferred Stocks (Cost, $309,353)....................
479,500
-----------
TOTAL INVESTMENTS -- 99.0%
(COST, $56,523,638)(A)......................................... 73,544,846
OTHER ASSETS, LESS LIABILITIES --
1.0%.......................................................... 740,826
-----------
NET ASSETS -- 100.0%........................................... $74,285,672
-----------
-----------
</TABLE>
- ------------
(a)The aggregate cost for federal income tax purposes is $56,523,638, the
aggregate gross unrealized appreciation is $18,591,743, and the aggregate
gross unrealized depreciation is $1,570,535, resulting in net unrealized
appreciation of $17,021,208.
(b)Non-income producing security.
See Notes to Financial Statements
13
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments at value (Cost $56,523,638) (Note 1).......................... $73,544,846
Cash...................................................................... 991,492
Dividends receivable...................................................... 132,636
Deferred organization expenses (Note 1)................................... 3,435
-----------
Total Assets.......................................................... 74,672,409
-----------
LIABILITIES:
Expense payment fee payable (Note 2)...................................... 104
Payable for securities purchased.......................................... 386,633
-----------
Total Liabilities..................................................... 386,737
-----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS...................... $74,285,672
-----------
-----------
NET ASSETS CONSIST OF:
Paid-in capital........................................................... $74,285,672
-----------
-----------
</TABLE>
See Notes to Financial Statements
14
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JANUARY 31, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.................................................................. $ 640,453
EXPENSES (NOTES 1 AND 2):
Expense payment fee........................................... $ 156,838
Amortization of organization expenses......................... 5,222
-----------
Total Expenses............................................ 162,060
----------
NET INVESTMENT INCOME.......................................................... 478,393
NET REALIZED GAIN ON INVESTMENTS (NOTE 3):
Proceeds from sales........................................... 1,935,525
Cost of securities sold....................................... 1,600,204
-----------
Net realized gain on investments....................................... 335,321
NET UNREALIZED APPRECIATION OF INVESTMENTS:
Beginning of period........................................... 9,759,028
End of period................................................. 17,021,208
-----------
Net change in unrealized appreciation.................................. 7,262,180
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................... $8,075,894
----------
----------
</TABLE>
See Notes to Financial Statements
15
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JANUARY 31,1996 YEAR ENDED
(UNAUDITED) JULY 31, 1995
----------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income..................................................... $ 478,393 $ 734,456
Net realized gain on investments.......................................... 335,321 405,427
Net change in unrealized appreciation..................................... 7,262,180 8,729,434
----------------- -------------
Net Increase in Net Assets Resulting from Operations.................. 8,075,894 9,869,317
----------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Additions................................................................. 13,013,750 14,888,452
Reductions................................................................ (806,760) (2,076,641)
----------------- -------------
Net increase in Net Assets from Transactions in Investors'
Beneficial Interests................................................. 12,206,990 12,811,811
----------------- -------------
Total Increase in Net Assets...................................... 20,282,884 22,681,128
NET ASSETS:
Beginning of period....................................................... 54,002,788 31,321,660
----------------- -------------
End of period............................................................. $ 74,285,672 $54,002,788
----------------- -------------
----------------- -------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
JANUARY 31, YEAR ENDED JULY 31, FOR THE PERIOD
1996 ----------------------------------------- AUGUST 10, 1990***(D)
(UNAUDITED) 1995 1994 1993 1992 TO JULY 31, 1991
--------------- -------- -------- -------- ----------- ---------------------
<S> <C> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS:
Net investment income to average net
assets.................................... 1.48%(b) 1.85%(a) 2.13%(a) 1.88%(a) 1.99%(a)(b) 1.85%(a)(b)
Expenses to average net assets............. 0.50%(b) 0.43%(a) 0.29%(a) 0.29%(a) 0.29%(a)(b) 0.29%(a)(b)
Portfolio turnover rate.................... 3% 6% 8% 4% 3%
</TABLE>
- --------------------------------------------------------------------------------
(a) Reflects a voluntary waiver of fees by the Administrator and Adviser. Due to
the limitations set forth in the Expense Payment Agreement, had the
Administrator and Adviser not waived their fees, the ratios of net
investment income and expenses to average net assets as stated would not
have changed for the periods ended July 31, 1993, 1992 and 1991. For the
years ended July 31, 1995 and 1994, the ratios of net investment income and
expenses to average net assets would have been 1.75% and 0.53% and 2.00% and
0.42%, respectively. (See Note 2.)
(b) Annualized.
(c) Not annualized.
(d) Commencement of operations.
See Notes to Financial Statements
16
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JANUARY 31, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES. Domini Social Index Portfolio (the "Index
Portfolio") is registered under the Investment Company Act of 1940 (the "Act")
as a no-load, diversified, open-end management investment company which was
organized as a trust under the laws of the State of New York on June 7, 1989.
The Index Portfolio intends to correlate its investment portfolio as closely as
is practicable with the Domini Social Index (the "Index"), which is a common
stock index developed and maintained by Kinder, Lydenberg, Domini & Co., Inc.
("KLD"), the Index Portfolio's Adviser. The Declaration of Trust permits the
Trustees to issue an unlimited number of beneficial interests in the Index
Portfolio. The Index Portfolio commenced operations upon effectiveness on August
10, 1990 and began investment operations on June 3, 1991. The following is a
summary of the significant accounting policies of the Index Portfolio:
A. VALUATION OF INVESTMENTS. The Index Portfolio values securities at the
last reported sale price, or at the last reported bid price if no sales are
reported.
B. DIVIDEND INCOME. Dividend income is recorded on the ex-dividend date.
C. FEDERAL TAXES. The Index Portfolio's policy is to comply with the
applicable provisions of the Internal Revenue Code. Accordingly, no provision
for Federal taxes is necessary.
D. DEFERRED ORGANIZATION EXPENSE. Expenses incurred by the Index Portfolio
in connection with its organization are being amortized by the Index Portfolio
on a straight-line basis over a five-year period.
E. OTHER. Investment transactions are accounted for on the trade date.
Gains and losses are determined on the basis of identified cost.
2. TRANSACTIONS WITH AFFILIATES.
A. INVESTMENT ADVISORY FEES. The Index Portfolio has retained KLD as the
Investment Adviser of the Index Portfolio. The services provided by KLD consist
of the determination of the stocks to be included in the Index and evaluating,
in accordance with KLD's criteria, debt securities which may be purchased by the
Index Portfolio. For its services under the Investment Advisory Agreement, KLD
receives from the Index Portfolio a fee accrued daily at an annual rate equal to
0.05% of the Index Portfolio's average daily net assets.
B. INVESTMENT MANAGEMENT FEES. The Index Portfolio has retained Mellon
Equity Associates ("MEA") as the Investment Manager of the Index Portfolio. MEA
does not determine the composition of the Index. Under the Management Agreement,
the Index Portfolio pays MEA an investment management fee equal on an annual
basis to the following percentages of the Index Portfolio's average daily net
assets for its then-current fiscal year: 0.10% of assets up to $50 million;
0.30% of assets between $50 million and $100 million; 0.20% of assets between
$100 million and $500 million; and 0.15% of assets over $500 million.
C. ADMINISTRATION FEES. The Index Portfolio has retained Signature
Broker-Dealer Services, Inc. ("Signature") to serve as Administrator of the
Index Portfolio. Certain officers of Signature serve as officers and trustee to
the Index Portfolio. Under the Administrative Services Agreement, Signature
provides management and administrative services necessary for the operations of
the Index Portfolio, furnishes office space and facilities required for
conducting the business of the Index Portfolio and pays the compensation of the
Index Portfolio's officers and Trustee affiliated with Signature. For these
services, Signature receives from the Index Portfolio a fee accrued daily at an
annual rate equal to 0.05% of the Index Portfolio's average daily net assets.
D. REIMBURSEMENT OF EXPENSES. The Administrator has agreed to pay certain
expenses of the Index Portfolio subject to an expense payment fee. To accomplish
such payment, the Administrator will receive an expense payment fee from the
Index Portfolio such that after such payment the aggregate expenses of the Index
Portfolio will not exceed 0.50% of the average daily net assets of the Index
Portfolio. The expense payment fee agreement will terminate on the earlier of
December 31, 1999, or the date on which the cumulative payment fee equals the
cumulative payments of expenses made by the Administrator. For the six months
ended January 31, 1996, the Administrator incurred approximately $56,590 in
expenses on behalf of the Index Portfolio.
3. INVESTMENT TRANSACTIONS. Purchase and sales of investments, other than U.S.
Government securities and short-term obligations, aggregated $14,086,023 and
$1,600,204, respectively.
17
<PAGE>
DOMINI SOCIAL EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investment in Domini Social Index Portfolio, at
value (Note 1).................................... $73,728,207
Receivable for fund shares sold.................... 246,192
Deferred organization expenses (Note 1)............ 5,183
-----------
Total Assets................................... 73,979,582
-----------
LIABILITIES:
Expense payment fee payable (Note 2)............... 29,572
-----------
Total Liabilities.............................. 29,572
-----------
NET ASSETS............................................. $73,950,010
-----------
-----------
NET ASSETS CONSIST OF:
Paid-in capital.................................... $56,662,290
Undistributed net investment income................ 58,761
Accumulated net realized gain on investment........ 233,628
Net unrealized appreciation of investment.......... 16,995,331
-----------
NET ASSETS............................................. $73,950,010
-----------
-----------
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE ($73,950,010/4,459,880
SHARES).............................................. $16.58
</TABLE>
See Notes to Financial Statements
18
<PAGE>
DOMINI SOCIAL EQUITY FUND
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JANUARY 31, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME FROM PORTFOLIO:
Investment income from Portfolio............................................ $ 638,657
Expenses from Portfolio..................................................... (161,588)
----------
Net Income from Portfolio............................................... 477,069
EXPENSES (NOTES 1 AND 2):
Expense payment fee.............................................. 147,195
Amortization of organization expenses............................ 7,925
---------
Total Expenses............................................... 155,120
----------
NET INVESTMENT INCOME........................................................... 321,949
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM PORTFOLIO:
Net realized gain from Portfolio............................................ 333,761
Net change in unrealized appreciation from Portfolio........................ 7,237,199
----------
Net realized and unrealized gain from Portfolio............................. 7,570,960
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $7,892,909
----------
----------
</TABLE>
See Notes to Financial Statements
19
<PAGE>
DOMINI SOCIAL EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JANUARY 31, 1996 YEAR ENDED
(UNAUDITED) JULY 31, 1995
---------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income................................... $ 321,949 $ 547,376
Net realized gain from Portfolio........................ 333,761 405,386
Net change in unrealized appreciation from Portfolio.... 7,237,199 8,728,561
---------------- -------------
Net Increase in Net Assets from Operations............ 7,892,909 9,681,323
---------------- -------------
FROM DISTRIBUTIONS AND DIVIDENDS:
Dividends to shareholders from net investment income.... (302,257) (596,572)
Distributions to shareholders from net realized gain.... (349,085) (224,400)
---------------- -------------
Net Decrease in Net Assets from Distributions and
Dividends............................................ (651,342) (820,972)
---------------- -------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares........................... 13,649,220 18,000,269
Net asset value of shares issued in reinvestment of
dividends and distributions............................ 512,390 607,013
Payments for shares redeemed............................ (2,090,703) (4,199,386)
---------------- -------------
Net Increase in Net Assets from Capital Share
Transactions......................................... 12,070,907 14,407,896
---------------- -------------
Total Increase in Net Assets........................ 19,312,474 23,268,247
NET ASSETS:
Beginning of period..................................... 54,637,536 31,369,289
---------------- -------------
End of period (including undistributed net investment
income of $58,761 and $39,069, respectively)........... $73,950,010 $ 54,637,536
---------------- -------------
---------------- -------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold.................................................... 880,942 1,368,854
Issued in reinvestment of dividends and distributions... 32,246 47,501
Redeemed................................................ (133,048) (322,273)
---------------- -------------
Net increase............................................ 780,140 1,094,082
---------------- -------------
---------------- -------------
</TABLE>
See Notes to Financial Statements
20
<PAGE>
DOMINI SOCIAL EQUITY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED JULY 31, FOR THE PERIOD
JANUARY 31, 1996 ---------------------------------------------- AUGUST 10, 1990
(UNAUDITED) 1995 1994 1993 1992 TO JULY 31, 1991
---------------- -------- -------- -------- ------- -----------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning of
period....................... $14.85 $12.13 $12.00 $11.06 $9.95 $10.00
---------- ------ ------ ------ ------ -----------
Income from investment
operations:
Net investment income..... 0.083 0.172 0.175 0.137 0.117 0.018
Net realized and
unrealized gain (loss) on
investments.............. 1.800 2.825 0.178(d) 0.968 1.106 (0.068)(d)
---------- ------ ------ ------ ------ -----------
Total income from investment
operations................... 1.883 2.997 0.353 1.105 1.223 (0.050)
---------- ------ ------ ------ ------ -----------
Less distributions and
dividends:
Dividends to shareholders
from net investment
income................... (0.071) (0.195) (0.150) (0.150) (0.113) --
Distributions to
shareholders from net
realized gain............ (0.082) (0.082) (0.073) (0.015) -- --
---------- ------ ------ ------ ------ -----------
Total distributions........... (0.153) (0.277) (0.223) (0.165) (0.113) --
---------- ------ ------ ------ ------ -----------
Net asset value, end of
period....................... $16.58 $14.85 $12.13 $12.00 $11.06 $9.95
---------- ------ ------ ------ ------ -----------
---------- ------ ------ ------ ------ -----------
Ratios/supplemental data
Total return.............. 12.72% 25.10% 2.90% 10.00% 12.30% (0.50)%
Net assets, end of period
(in 000's)............... $73,950 $54,638 $31,369 $17,229 $7,174 $1,740
Ratio of expenses to
average net assets....... 0.98%(b) 0.90%(a) 0.75%(a) 0.75%(a) 0.75%(a) 0.75%(b)
Ratio of net investment
income to average net
assets................... 0.99%(b) 1.38%(a) 1.67%(a) 1.41%(a) 1.53%(a) 1.49%(b)
</TABLE>
- --------------------------------------------------------------------------------
(a)Includes the Fund's share of Domini Social Index Portfolio's expenses as well
as a waiver of fees and a reimbursement of expenses by the Administrator. Due
to the limitations set forth in the Expense Reimbursement Agreement, had the
Administrator not waived its fee, the ratios of net investment income and
expenses to average net assets for the years ended July 31, 1995, 1994, 1993
and 1992 would have been 1.13% and 1.15%, 1.39% and 1.03%, 1.26% and 0.90%,
1.53% and 0.75%, respectively. (See Note 2.)
(b) Annualized.
(c) Not Annualized.
(d) After effect of transaction in capital stock.
See Notes to Financial Statements
21
<PAGE>
DOMINI SOCIAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
JANUARY 31, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES. Domini Social Equity Fund (the "Fund"),
formerly the Domini Social Index Trust is a Massachusetts business trust
registered under the Investment Company Act of 1940 (the "Act"), as an open-end
management investment company. The Fund invests substantially all of its assets
in the Domini Social Index Portfolio (the "Portfolio"), an open-end, diversified
management investment company having the same investment objective as the Fund.
The value of such investment reflects the Fund's proportionate interest in the
net assets of the Portfolio (99.2496% at January 31, 1996). The financial
statements of the Portfolio are included elsewhere in this report and should be
read in conjunction with the Fund's financial statements. The Fund commenced
operations upon effectiveness on August 10, 1990 and began investment operations
on June 3, 1991. The following is a summary of the significant accounting
policies of the Fund:
A. VALUATION OF INVESTMENTS. Valuation of securities by the Portfolio is
discussed in Note 1 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report.
B. INVESTMENT INCOME AND DIVIDENDS TO SHAREHOLDERS. The Fund earns income
daily, net of Portfolio expenses, on its investment in the Portfolio. Dividends
to shareholders are declared and paid semiannually from net investment income.
Distributions to shareholders of realized capital gains, if any, are made
annually.
C. FEDERAL TAXES. The Fund's policy is to comply with the provisions of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income, including net realized
gains, if any, within the prescribed time periods. Accordingly, no provision for
federal income or excise tax is necessary.
D. DEFERRED ORGANIZATION EXPENSES. Organizational costs are being
amortized on a straight-line basis over a five-year period. The amount paid by
the Fund on any redemption of the Fund's initial shares will be reduced by the
pro rata portion of any unamortized organization expenses which the number of
the initial shares redeemed bears to the total number of initial shares
outstanding immediately prior to such redemption. To the extent that the
proceeds of the redemptions are less than such pro rata portion of any
unamortized organization expenses, Signature Broker-Dealer Services, Inc.
("Signature"), the Administrator and Distributor of the Fund, has agreed to
reimburse the Fund for such difference.
E. OTHER. All net investment income of the Portfolio is allocated pro rata
among the Fund and the other investors in the Portfolio.
2. TRANSACTIONS WITH AFFILIATES.
A. ADMINISTRATION. The Fund has retained Signature to serve as
Administrator and Distributor. Signature provides administrative services
necessary for the operations of the Fund, furnishes office space and facilities
required for conducting the business of the Fund and pays the compensation of
the Fund's officers and Trustee affiliated with Signature. For its services
under the Administrative Services Agreement, Signature receives from the Fund a
fee accrued daily at an annual rate equal to 0.15% of the Fund's average daily
net assets. The Portfolio has entered into a similar agreement with Signature at
a rate of 0.05%.
B. DISTRIBUTION. The Trustees have adopted a Distribution Plan (the
"Plan") in accordance with Rule 12b-1 under the Act. Signature acts as agent of
the Fund and principal underwriter of shares of the Fund pursuant to the Plan.
Under the Plan, Signature may receive a fee from the Fund at an annual rate not
to exceed 0.25% of the Fund's average daily net assets in anticipation of, or as
reimbursement for, costs and expenses incurred in connection with the sale of
shares of the Fund.
C. REIMBURSEMENT OF EXPENSES. The Administrator has agreed to pay certain
expenses of the Fund and the Portfolio subject to an expense payment fee. To
accomplish such payment, the Administrator may either receive an expense payment
fee from the Fund and the Portfolio or may pay the Fund and the Portfolio
directly for expenses incurred such that after such payment the aggregate
expense for the Fund and the Portfolio will not exceed 0.98% of the average
daily net assets of the Fund. For the period August 1, 1994 through December 31,
1994, the aggregate expenses of the Fund were limited to 0.75% of the average
daily net assets of the Fund. The expense payment fee agreement will terminate
on the earlier of December 31, 1999, or the date on which the cumulative
reimbursement fee equals the cumulative payments of such reimbursable expenses
made by the Administrator. For the six months ended January 31, 1996, the
Administrator incurred approximately $99,415 in expenses on behalf of the Fund.
3. INVESTMENT TRANSACTIONS. Additions and reductions in the Fund's investment
in the Portfolio aggregated $13,649,220 and $2,884,830, respectively.
22
<PAGE>
PORTFOLIO INVESTMENT ADVISER
Kinder, Lydenberg, Domini & Co., Inc.
129 Mt. Auburn Street
Cambridge, MA 02138
(617) 547-7479
PORTFOLIO INVESTMENT MANAGER
Mellon Equity Associates
500 Grant Street, Suite 3700
Pittsburgh, PA 15258
ADMINISTRATOR AND DISTRIBUTOR
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
(800) 762-6814
CUSTODIAN
Investors Bank & Trust Company
89 South Street
Boston, MA 02111
TRANSFER AGENT
Fundamental Shareholder Services, Inc.
90 Washington Street
New York, NY 10006
(800) 782-4165
AUDITORS
KPMG Peat Marwick LLP
99 High Street
Boston, MA 02110
LEGAL COUNSEL
Bingham, Dana & Gould
150 Federal Street
Boston, MA 02110
SEMIANNUAL
REPORT
JANUARY 31, 1996
THOUSANDS OF STARFISH
HAD WASHED ASHORE.
A LITTLE GIRL BEGAN THROWING THEM
IN THE WATER SO THEY WOULDN'T DIE.
"DON'T BOTHER, DEAR" HER MOTHER SAID,
"IT WON'T REALLY MAKE ANY
DIFFERENCE." THE GIRL STOPPED
FOR A MOMENT AND LOOKED AT
THE STARFISH IN HER HAND.
"IT WILL MAKE A DIFFERENCE
TO THIS ONE."
*
RECYCLED LOGO Printed on Recycled Paper
INVESTING FOR GOOD-SM-
- --------------------------------------------------------------------------------
THE DOMINI SOCIAL EQUITY FUND
