DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JULY 31, 1997
COMMON STOCKS -- 99.1%
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
APPAREL -- 0.9%
Brown Group, Inc. ......................................... 1,400 $ 24,500
Hartmarx Corp. (b)......................................... 2,300 17,394
Liz Claiborne.............................................. 5,300 253,738
Nike, Inc. ................................................ 21,900 1,364,644
Osh Kosh B'Gosh............................................ 800 17,100
Phillips-Van Heusen Corp. ................................. 1,900 26,600
Reebok International Ltd. (b).............................. 4,100 211,663
Russell Corp. ............................................. 2,700 78,806
Springs Industries, Inc. .................................. 1,600 77,400
Stride Rite Corp. ......................................... 3,400 46,113
Timberland Co. (b)......................................... 600 38,775
V.F. Corp. ................................................ 4,800 430,800
------------
2,587,533
------------
BANKING -- 7.8%
Banc One Corp. ............................................ 43,695 2,452,382
BankAmerica Corp. ......................................... 53,900 4,069,250
BankBoston Corp. .......................................... 11,100 942,806
Bankers Trust New York Corp. .............................. 5,800 586,888
Barnett Banks, Inc. ....................................... 15,000 854,063
CoreStates Financial Corp. ................................ 15,600 962,325
Fifth Third Bancorp........................................ 12,050 761,409
First Chicago NBD Corp. ................................... 23,606 1,791,105
J P Morgan & Co. Inc. ..................................... 13,900 1,610,663
Mellon Bank Corp. ......................................... 19,500 983,531
Norwest Corp. ............................................. 28,200 1,778,363
PNC Bank Corp. ............................................ 24,300 1,111,725
SunTrust Banks, Inc. ...................................... 16,600 1,065,512
Vermont Financial Services Corp. .......................... 200 10,100
Wachovia Corp. ............................................ 12,200 786,900
Washington Mutual, Inc. ................................... 18,880 1,305,080
Wells Fargo & Co. ......................................... 6,700 1,842,081
------------
22,914,183
------------
COMMERCIAL PRODUCTS & SERVICES -- 1.7%
Avery Dennison Corp. ...................................... 7,900 348,588
Cintas Corp. .............................................. 3,400 222,700
DeVry Inc (b).............................................. 2,700 79,313
Deluxe Corp. .............................................. 6,200 206,538
HON Industries, Inc. ...................................... 2,300 137,425
Harland (John H.) Co. ..................................... 2,300 45,138
Herman Miller, Inc. ....................................... 3,600 178,650
Ikon Office Solutions Inc. ................................ 10,000 291,875
Kelly Services............................................. 2,775 83,944
Moore Corp. Ltd. .......................................... 6,300 136,631
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
COMMERCIAL PRODUCTS & SERVICES -- CONTINUED
National Service Industries................................. 3,600 $ 177,525
New England Business Services, Inc. ........................ 800 23,600
Pitney Bowes, Inc. ......................................... 11,000 826,375
Standard Register........................................... 2,000 64,750
Tennant Co. ................................................ 1,000 35,500
Xerox Corp. ................................................ 24,500 2,015,125
------------
4,873,677
------------
CONSTRUCTION -- 0.2%
Apogee Enterprises, Inc. ................................... 2,000 42,750
Centex Corp. ............................................... 2,400 133,800
Fleetwood Enterprises, Inc. ................................ 2,400 77,850
Granite Construction Inc. .................................. 1,100 22,825
Kaufman & Broad Home Corp. ................................. 2,700 57,713
Rouse Co. .................................................. 5,100 151,406
Skyline Corp. .............................................. 500 12,719
TJ International, Inc. ..................................... 3,500 85,750
------------
584,813
------------
ENERGY -- 3.0%
ARCO Chemical Co. .......................................... 7,400 334,850
Amoco Corp. ................................................ 37,400 3,515,600
Anadarko Petroleum Corp. ................................... 4,500 314,438
Apache Corp. ............................................... 6,800 239,700
Atlantic Richfield Co. ..................................... 24,400 1,825,426
Consolidated Natural Gas.................................... 7,000 405,125
Helmerich & Payne Inc. ..................................... 2,100 141,356
Louisiana Land & Exploration Co. ........................... 2,800 197,750
Monterey Resources Inc. .................................... 3,087 47,085
Oryx Energy Co. (b)......................................... 8,100 199,969
Pennzoil Co. ............................................... 3,300 257,813
Rowan Companies, Inc. (b)................................... 6,600 216,975
Santa Fe Energy Resources, Inc. (b)......................... 7,000 60,375
Sun Co., Inc. .............................................. 5,600 200,550
Western Atlas, Inc. (b)..................................... 4,100 326,206
Williams Companies, Inc .................................... 12,000 549,000
------------
8,832,218
------------
FINANCIAL SERVICES -- 5.7%
A.G. Edwards, Inc .......................................... 4,825 203,856
Ahmanson (H. F.) & Company.................................. 7,600 404,225
American Express Co......................................... 35,700 2,989,875
Beneficial Corp. ........................................... 4,000 290,000
Block (H. & R.), Inc. ...................................... 8,000 306,500
</TABLE>
1
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JULY 31, 1997
COMMON STOCKS -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
FINANCIAL SERVICES -- CONTINUED
Dime Bancorp, Inc. ........................................ 8,000 $ 160,500
Federal Home Loan Mortgage Corporation..................... 52,600 1,896,888
Federal National Mortgage
Association............................................... 80,800 3,822,850
First Fed Financial Corp. (b).............................. 600 20,700
Golden West Financial Corp. ............................... 4,300 361,738
Household International Inc. .............................. 8,100 1,048,950
MBIA, Inc. ................................................ 3,200 377,600
MBNA, Corp. ............................................... 25,300 1,138,500
Merrill Lynch & Co., Inc. ................................. 25,000 1,760,937
Piper Jaffrey Inc. ........................................ 1,500 32,156
Schwab (Charles) & Co., Inc. .............................. 13,200 617,925
Student Loan Marketing Association......................... 4,300 644,731
Transamerica Corp. ........................................ 5,000 504,375
Value Line, Inc. .......................................... 500 20,250
Wesco Financial Corp. ..................................... 400 116,000
------------
16,718,556
------------
FOODS & BEVERAGES -- 9.3%
Ben & Jerry's (b).......................................... 700 9,013
CPC International, Inc. ................................... 10,900 1,045,718
Campbell Soup Co. ......................................... 35,100 1,820,813
Coca-Cola Co. ............................................. 188,500 13,053,625
Fleming Companies, Inc. ................................... 2,500 39,844
General Mills, Inc. ....................................... 12,200 843,325
Heinz (H. J.) Co. ......................................... 27,800 1,284,013
Hershey Foods Corp. ....................................... 11,600 640,900
Kellogg Co. ............................................... 15,700 1,442,438
Natures Sunshine Products, Inc. ........................... 1,100 22,550
Odwalla, Inc. (b).......................................... 1,300 13,163
Pepsico, Inc. ............................................. 116,500 4,463,406
Quaker Oats Co. ........................................... 10,500 537,469
Ralston-Purina Group....................................... 8,100 731,025
SUPERVALUE, Inc. .......................................... 4,600 186,300
Smucker (J.M.) Co. ........................................ 2,100 50,663
Sysco Corp. ............................................... 13,200 492,525
Tootsie Roll Industries, Inc. ............................. 1,779 87,188
Wrigley (Wm) Jr. Co. ...................................... 8,800 677,050
------------
27,441,028
------------
HEALTH CARE -- 8.3%
ALZA Corp. (b)............................................. 6,400 206,800
Acuson Corp. (b)........................................... 2,000 52,625
Allergan, Inc. ............................................ 4,800 153,300
Angelica Corp. ............................................ 800 15,400
Becton Dickinson & Co. .................................... 9,300 498,713
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
HEALTH CARE -- CONTINUED
Bergen Brunswig Corp. ..................................... 3,618 $ 107,636
Biomet, Inc. .............................................. 8,400 167,475
Boston Scientific Corp. (b)................................ 14,700 1,054,725
Forest Laboratories, Inc. (b).............................. 2,900 131,950
Humana, Inc. (b)........................................... 12,300 299,813
Johnson & Johnson.......................................... 101,300 6,312,256
Manor Care, Inc. .......................................... 4,700 155,100
Marquette Medical Systems, Inc. --Class A (b).............. 1,500 38,625
Medtronic, Inc. ........................................... 18,000 1,570,500
Merck & Co., Inc. ......................................... 91,700 9,531,069
Mylan Labs, Inc. .......................................... 9,700 163,688
Oxford Health Plans, Inc. (b).............................. 5,900 495,969
Schering-Plough Corp. ..................................... 55,400 3,022,763
St. Jude Medical, Inc. (b)................................. 6,900 281,606
Stryker Corp. ............................................. 7,400 288,600
Sunrise Medical, Inc. (b).................................. 1,500 22,500
United American Healthcare Corp. (b)....................... 300 2,063
------------
24,573,176
------------
HOUSEHOLD GOODS -- 5.0%
Alberto Culver Co. -- Class B.............................. 4,300 120,669
Avon Products, Inc. ....................................... 10,000 725,625
Bassett Furniture Industries, Inc. ........................ 900 27,000
Black & Decker Corp. ...................................... 7,400 311,725
Church & Dwight Co., Inc. ................................. 4,400 130,625
Clorox Co. ................................................ 3,900 544,538
Colgate-Palmolive Co. ..................................... 22,300 1,689,225
Fedders Corp. ............................................. 2,700 16,369
Handleman Co. (b).......................................... 2,500 16,094
Harman International Industries............................ 1,230 48,893
Hasbro Inc. ............................................... 9,850 302,272
Huffy Corp. ............................................... 700 10,325
Leggett & Platt, Inc. ..................................... 7,000 317,625
Mattel, Inc. .............................................. 22,085 767,454
Maytag Corp. .............................................. 7,400 215,988
Newell Co. ................................................ 12,100 507,444
Oneida Ltd. ............................................... 800 23,600
Procter & Gamble Co. ...................................... 51,300 7,804,012
Rubbermaid, Inc. .......................................... 11,300 294,506
Shaw Industries............................................ 10,000 106,875
Snap-On Inc. .............................................. 4,450 183,563
Stanhome, Inc. ............................................ 1,100 36,231
Stanley Works.............................................. 6,700 303,594
Thomas Industries Inc. .................................... 800 23,700
Whirlpool Corp. ........................................... 5,700 285,000
------------
14,812,952
------------
</TABLE>
2
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JULY 31, 1997
COMMON STOCKS -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
INSURANCE -- 6.6%
Aetna, Inc. ................................................ 11,370 $ 1,295,469
American General Corp. ..................................... 18,162 967,127
American International Group................................ 52,400 5,580,600
Chubb Corp. ................................................ 13,200 930,600
Cigna Corp. ................................................ 5,600 1,117,200
Cincinnati Financial Corp. ................................. 3,995 330,087
General Re Corp. ........................................... 6,100 1,274,138
Hartford Steam Boiler, Inc. ................................ 1,600 89,200
Jefferson Pilot Corp. ...................................... 5,500 390,844
Lincoln National Corp. ..................................... 7,800 554,775
Marsh & McLennan Companies, Inc. ........................... 12,500 967,969
Providian Financial Corp. .................................. 7,100 278,231
ReliaStar Financial Corp. .................................. 2,800 214,725
SAFECO Corp. ............................................... 9,800 469,175
St. Paul Cos. .............................................. 6,300 494,156
Torchmark Corp. ............................................ 5,200 414,050
Travelers, Inc. ............................................ 48,500 3,488,969
UNUM Corp. ................................................. 10,700 476,150
USF&G Corp. ................................................ 8,400 206,325
------------
19,539,790
------------
MEDIA -- 3.4%
Disney (Walt) Co. .......................................... 51,400 4,153,763
BET Holdings, Inc. -- Class A (b)........................... 900 36,000
Banta Corp. ................................................ 2,350 64,919
Comcast Corp. .............................................. 26,500 601,219
Dow Jones & Co., Inc. ...................................... 7,300 315,269
Harcourt General Inc. ...................................... 5,200 245,700
King World Productions Inc. ................................ 2,700 109,013
Lee Enterprises, Inc. ...................................... 3,500 89,688
McGraw-Hill Companies....................................... 7,800 528,938
Media General, Inc.--Class A................................ 1,900 67,450
Meredith Corp. ............................................. 3,900 107,981
New York Times Co. ......................................... 7,300 366,825
R.R. Donnelley & Sons....................................... 11,100 446,081
Scholastic Corp. (b)........................................ 2,200 77,550
Tele-Communications, Inc. --
Series A (b)............................................... 50,100 857,962
Times Mirror Co. -- Class A................................. 7,500 409,687
U S West Media Group........................................ 45,900 1,012,669
Viacom Inc. -- Class A (b).................................. 4,900 149,756
Washington Post Co. ........................................ 800 331,000
------------
9,971,470
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
MISCELLANEOUS -- 1.8%
Cross (A.T.)................................................ 900 $ 7,988
American Greetings Corp. ................................... 5,800 194,300
Avnet, Inc. ................................................ 3,400 223,763
Bemis Co. .................................................. 3,900 179,156
CPI Corp. .................................................. 600 12,225
Case Corp. ................................................. 5,600 349,650
Deere & Co. ................................................ 19,200 1,092,000
General Signal.............................................. 4,000 196,750
Gibson Greetings Inc. (b)................................... 900 20,363
Hillenbrand Industries Inc. ................................ 5,300 243,138
Hunt Manufacturing, Inc. ................................... 600 12,713
Ionics, Inc. (b)............................................ 1,400 59,325
Jostens Inc. ............................................... 2,600 67,113
Marriott International, Inc. ............................... 9,600 660,000
Omnicom Group............................................... 6,200 432,838
Polaroid Corp. ............................................. 3,400 202,300
Sealed Air Corp. (b)........................................ 3,400 159,375
Service Corp. International................................. 18,100 615,400
Sonoco Products Co. ........................................ 6,805 226,692
Toro Co. ................................................... 800 29,200
Whitman Corp. .............................................. 7,700 194,425
------------
5,178,714
------------
MISCELLANEOUS MANUFACTURING -- 2.2%
Applied Materials, Inc. (b)................................. 13,700 1,258,687
CLARCOR Inc. ............................................... 900 23,344
Cincinnati Milacron......................................... 2,800 78,400
Crown Cork & Seal, Inc. .................................... 9,800 495,513
Dionex, Corp. (b)........................................... 800 36,500
Fastenal Co. ............................................... 2,700 151,031
Gerber Scientific Inc. ..................................... 1,700 35,913
Graco Inc. ................................................. 1,450 47,759
Illinois Tool Works Inc. ................................... 18,800 975,250
Isco, Inc. ................................................. 300 2,438
James River Corp. .......................................... 6,300 259,481
Kimberly-Clark Corp. ....................................... 42,564 2,157,463
Lawson Prods, Inc. ......................................... 800 21,000
Millipore Corp. ............................................ 3,300 145,819
Nordson Corp. .............................................. 1,500 91,500
Philip Services (b)......................................... 1,527 22,722
Thermo Electron Corp. ...................................... 11,330 387,344
WH Brady Co. -- Class A..................................... 1,400 41,475
Watts Industries Inc. -- Class A............................ 1,900 47,975
Wellman, Inc. .............................................. 2,200 50,050
Zurn Industries, Inc. ...................................... 700 20,694
------------
6,350,358
------------
</TABLE>
3
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JULY 31, 1997
COMMON STOCKS -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
RESOURCE DEVELOPMENT -- 1.9%
Air Products & Chemicals.................................... 8,300 $ 731,956
Aluminum Company Of America................................. 13,100 1,159,350
Battle Mountain Gold Co. ................................... 17,300 96,231
BetzDearborn Inc............................................ 2,000 131,000
Cabot Corp. ................................................ 5,200 147,225
Calgon Carbon Corp. ........................................ 2,700 36,450
Consolidated Papers, Inc. .................................. 3,400 202,725
Cyprus Amax Minerals Co. ................................... 7,000 177,625
Echo Bay Mines Ltd (b)...................................... 10,600 53,000
Fuller H. B. Co. ........................................... 1,300 67,113
Inland Steell Industries, Inc. ............................. 3,600 82,575
Mead Corp. ................................................. 3,700 266,400
Morton International Inc. -- New............................ 10,700 357,781
Nalco Chemical.............................................. 4,900 199,981
Nucor Corp. ................................................ 6,650 412,716
Praxair, Inc. .............................................. 11,900 655,987
Sigma-Aldrich Corp. ........................................ 7,800 270,075
Westvaco Corp. ............................................. 7,900 264,156
Worthington Industries...................................... 7,300 144,632
------------
5,456,978
------------
RETAIL -- 9.6%
Albertson's, Inc. .......................................... 18,900 700,481
American Stores Co. ........................................ 20,900 527,725
Bob Evans Farms............................................. 3,000 49,875
CVS Corp. .................................................. 12,600 716,625
Charming Shoppes Inc. (b)................................... 7,900 46,413
Circuit City Stores......................................... 7,500 271,875
Claire's Stores Inc. ....................................... 3,200 68,800
Costco Companies Inc. (b)................................... 15,915 602,781
Dayton-Hudson Corp. ........................................ 16,400 1,059,850
Dillards Inc. -- Class A Stock.............................. 8,600 325,188
Dollar General.............................................. 6,659 292,996
Egghead Inc. (b)............................................ 1,500 9,563
Gap, Inc. (The)............................................. 20,600 915,413
Giant Food Inc. ............................................ 4,400 147,675
Great Atlantic & Pacific Tea Co. ........................... 2,900 79,569
Hannaford Brothers Co. ..................................... 3,000 102,375
Hechinger Co. -- Class A (b)................................ 3,000 7,875
Home Depot Inc ............................................. 55,449 2,765,519
International Dairy Queen, Inc. (b)......................... 1,800 44,550
Kmart Corp. (b)............................................. 36,800 437,000
Kroger Co. (b).............................................. 19,200 567,600
Land's End, Inc. (b)........................................ 2,200 65,175
Lillian Vernon Corp. ....................................... 1,000 16,750
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
RETAIL -- (CONTINUED)
Longs Drugstores Corp. .................................... 2,900 $ 78,119
Lowe's Companies, Inc. .................................... 13,100 492,888
Luby's Cafeterias, Inc. ................................... 1,800 35,438
May Department Stores Co................................... 17,900 1,000,163
McDonald's Corp. .......................................... 52,500 2,821,875
Mercantile Stores Company, Inc. ........................... 2,600 174,688
Nordstrom, Inc ............................................ 5,800 328,788
Penney (J.C.) Company, Inc. ............................... 18,600 1,088,100
Ruby Tuesday, Inc. ........................................ 1,400 35,613
Ryans Family Steakhouse (b)................................ 3,600 31,050
Sears Roebuck.............................................. 29,600 1,874,050
Sherwin Williams Co. ...................................... 13,000 416,813
Spec's Music, Inc. (b)..................................... 200 125
Starbucks Corp. (b)........................................ 6,100 249,719
TCBY Enterprises, Inc. .................................... 1,900 13,063
TJX Cos., Inc. ............................................ 11,800 352,525
Tandy Corp. ............................................... 4,300 255,581
The Limited, Inc. ......................................... 20,400 455,175
The Pep Boys............................................... 4,400 146,300
Toys 'R' Us, Inc. (b)...................................... 21,520 733,025
Wal-Mart Stores, Inc. ..................................... 172,400 6,475,775
Walgreen Co. .............................................. 18,600 1,050,900
Wholefoods Market, Inc. (b)................................ 3,300 113,850
Woolworth Corp. (b)........................................ 10,200 288,788
------------
28,334,084
------------
TECHNOLOGY -- 22.5%
3 Com Corp. (b)............................................ 25,100 1,372,656
AT & T Corp. .............................................. 123,700 4,553,706
Advanced Micro Devices (b)................................. 10,800 378,675
Amdahl Corp. (b)........................................... 9,300 109,856
American Power Conversion Corp. (b)........................ 6,900 171,638
Analog Devices (b)......................................... 12,100 380,394
Apple Computer, Inc. (b)................................... 9,600 168,000
Autodesk, Inc. ............................................ 3,500 148,313
Automatic Data Processing, Inc. ........................... 22,200 1,098,900
Baldor Electric Co. ....................................... 1,900 59,375
Borland International Inc. (b)............................. 2,400 19,800
Broderbund Software, Inc. (b).............................. 1,400 30,363
Cisco Systems, Inc. (b).................................... 50,400 4,009,950
Compaq Computer (b)........................................ 51,900 2,964,788
Computer Associates International ......................... 27,400 1,864,913
Cooper Industries, Inc. ................................... 9,000 500,063
DSC Communications (b)..................................... 8,900 262,550
Digital Equipment Corp. (b)................................ 11,600 477,775
Grainger (W.W.), Inc. ..................................... 3,900 374,400
</TABLE>
4
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JULY 31, 1997
COMMON STOCKS -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
TECHNOLOGY -- CONTINUED
Hewlett-Packard Company.................................... 77,200 $ 5,408,825
Hubbell Inc.--Class B...................................... 5,160 245,423
Hutchinson Technology Inc. (b)............................. 1,200 36,975
Intel Corp. ............................................... 124,600 11,439,838
International Business Machines............................ 75,500 7,984,125
MCI Communications Corp. .................................. 52,000 1,836,250
Merix Corp. (b)............................................ 300 5,250
Micron Technology, Inc. ................................... 15,900 774,131
Microsoft Corp. (b)........................................ 91,100 12,890,650
Molex Inc. ................................................ 9,650 375,747
National Semiconductor Corp. (b)........................... 10,700 337,050
Novell Inc. (b)............................................ 26,200 198,546
Perkin-Elmer Corp. ........................................ 3,300 269,363
Quarterdeck Corp. (b)...................................... 2,900 8,338
Raychem Corp. ............................................. 3,100 300,700
Shared Medical Systems Corp. .............................. 1,900 102,600
Solectron Corp. (b)........................................ 4,300 339,163
Sprint Corp. .............................................. 32,500 1,608,750
Stratus Computer, Inc. (b)................................. 1,900 103,550
Sun Microsystems, Inc. (b)................................. 27,900 1,274,681
Tandem Computers, Inc. (b)................................. 8,800 258,500
Tektronix, Inc. ........................................... 2,500 154,375
Tellabs, Inc. (b).......................................... 13,600 814,300
Thomas & Betts Corp. ...................................... 4,200 239,925
Xilinx, Inc. (b)........................................... 5,600 265,300
------------
66,218,470
------------
TRANSPORTATION -- 1.8%
AMR Corp. (b).............................................. 6,800 731,425
Airborne Freight Corp. .................................... 1,700 83,406
Alaska Air Group, Inc. (b)................................. 800 23,650
CSX Corp. ................................................. 16,400 1,012,700
Consolidated Freightways Corp. (b)......................... 1,700 25,819
Delta Air Lines, Inc. ..................................... 5,300 471,038
Federal Express Corp. (b).................................. 8,700 561,694
GATX Corp. ................................................ 1,700 104,656
Norfolk Southern Corp. .................................... 9,500 1,052,125
Roadway Express Inc. ...................................... 1,600 36,625
Ryder System............................................... 5,600 200,550
Southern New England Telecommunication Corp. .............. 4,900 194,775
Southwest Airlines, Inc. .................................. 11,000 321,062
UAL Corp. (b).............................................. 4,500 369,281
Yellow Corp. (b)........................................... 2,000 54,000
------------
5,242,806
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
UTILITIES -- 6.9%
AGLResources Inc. .......................................... 4,100 $ 85,844
American Water Works Co. ................................... 5,900 127,956
Ameritech Corp. ............................................ 41,800 2,818,888
Bell Atlantic Corp. ........................................ 33,300 2,416,331
BellSouth Corp. ............................................ 75,500 3,576,813
Brooklyn Union Gas Co. ..................................... 3,900 117,244
CalEnergy, Inc. (b)......................................... 4,800 193,500
Citizens Utilities--Class A (b)............................. 13,966 117,846
Connecticut Energy Corp. ................................... 700 15,969
Eastern Enterprises......................................... 1,600 57,300
El Paso Natural Gas Co. .................................... 4,600 265,938
Energen Corp. .............................................. 1,100 39,875
Enron Corp. ................................................ 23,100 876,356
Equitable Resources, Inc. .................................. 2,400 71,550
Frontier Corp. ............................................. 12,400 255,750
Idaho Power Co. ............................................ 2,700 87,581
LG&E Energy Corp. .......................................... 4,700 102,519
MCN Corp. .................................................. 5,800 183,788
NICOR, Inc. ................................................ 3,900 142,838
NYNEXCorp. ................................................. 33,200 1,840,525
Northwestern Public Service Co. ............................ 1,500 28,125
OGE Energy Corp. ........................................... 3,100 141,825
Oneok Inc. ................................................. 2,000 70,000
Pacific Enterprises......................................... 6,300 210,656
Peoples Energy Corp. ....................................... 2,400 92,100
Potomac Electric Power...................................... 9,000 200,813
Public Service Co. of Colorado.............................. 4,800 199,800
SBC Communications, Inc. ................................... 69,459 4,111,093
Sonat, Inc. ................................................ 6,500 324,188
Telephone and Data Systems, Inc. ........................... 4,400 168,850
U S West, Inc. (b).......................................... 36,100 1,319,906
Washington Gas Light........................................ 3,300 85,800
------------
20,347,567
------------
VEHICLE COMPONENTS -- 0.5%
Cooper Tire & Rubber Co. ................................... 5,700 142,144
Cummins Engine Co., Inc. ................................... 2,900 227,650
Dana Corp. ................................................. 8,000 363,500
Federal-Mogul Corp. ........................................ 2,400 84,900
Genuine Parts............................................... 13,600 443,700
Modine Mfg Co. ............................................. 2,100 65,625
SPX Corp. (b)............................................... 800 41,600
</TABLE>
5
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- CONTINUED
JULY 31, 1997
COMMON STOCKS -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
VEHICLE COMPONENTS -- CONTINUED
Smith (A.O.) Corp. ........................................ 1,200 $ 42,975
Spartan Motors, Inc. ...................................... 700 6,213
------------
1,418,307
------------
Total Common Stock (cost $200,235,272) (a)........................ 291,396,680
Other Assets Less Liabilities -- 0.9%............................. 962,290
------------
NET ASSETS -- 100.0%.............................................. $292,358,970
============
</TABLE>
- --------
(a) The aggregate cost for federal income tax purposes is $200,235,272, the ag-
gregate gross unrealized appreciation is $92,193,207, and the aggregate
gross unrealized depreciation is $1,031,799, resulting in net unrealized
appreciation of $91,161,408.
(b) Non-income producing security.
See Notes to Financial Statements
6
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JULY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments at value (Cost $200,235,272) (Note 1) $291,396,680
Cash 3,566,465
Dividends receivable 378,347
------------
Total assets 295,341,492
------------
LIABILITIES:
Payable for securities purchased 2,932,971
Expense payment fee payable (Note 2) 49,551
------------
Total liabilities 2,982,522
------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS $292,358,970
============
NET ASSETS CONSIST OF:
Paid-in capital $292,358,970
============
</TABLE>
See Notes to Financial Statements
7
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of
$536) $ 2,657,798
EXPENSES (NOTES 1 AND 2):
Expense payment and sponsorship fees 417,522
Custody fees offset by compensating balances 70,377
-----------
Total expenses 487,899
Fees paid indirectly (70,377)
-----------
Net expenses 417,522
-----------
NET INVESTMENT INCOME 2,240,276
NET REALIZED GAIN ON INVESTMENTS (NOTE 3):
Proceeds from sales $ 2,468,457
Cost of securities sold 2,035,040
-----------
Net realized gain on investments 433,417
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS:
Beginning of year 16,620,535
End of year 91,161,408
-----------
Net change in unrealized appreciation of
investments 74,540,873
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $77,214,566
===========
</TABLE>
See Notes to Financial Statements
8
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
JULY 31, 1997 JULY 31, 1996
------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations:
Net investment income $ 2,240,276 $ 1,132,780
Net realized gain on investments 433,417 697,337
Net change in unrealized appreciation of
investments 74,540,873 6,861,507
------------ ------------
Net increase in net assets resulting from
operations 77,214,566 8,691,624
------------ ------------
Transactions in Investors' Beneficial Interest:
Additions 137,135,556 52,533,365
Reductions (22,391,710) (14,827,219)
------------ ------------
Net increase in net assets from transactions in
investors' beneficial interests 114,743,846 37,706,146
------------ ------------
Total Increase in Net Assets 191,958,412 46,397,770
NET ASSETS:
Beginning of year 100,400,558 54,002,788
------------ ------------
End of year $292,358,970 $100,400,558
============ ============
</TABLE>
See Notes to Financial Statements
9
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR ENDED JULY 31,
-----------------------------------------------------------------
1997 1996 1995 1994 1993
------ ------ ----- ----- -----
<S> <C> <C> <C> <C> <C>
Ratio of net investment
income to average net
assets 1.34%(/1/) 1.48%(/1/) 1.85%(/2/) 2.13%(/2/) 1.88%
Ratio of total expenses
to average net assets 0.29%(/1/)(/3/) 0.59%(/1/)(/3/) 0.43%(/2/) 0.29%(/2/) 0.29%
Portfolio turnover 1% 5% 6% 8% 4%
Average commission rate
paid per share $ 0.05 $ 0.05 -- -- --
</TABLE>
- --------
(/1/)Had the Expense Payment Agreement and Sponsor Arrangement not been in
place, the ratios of net investment income and total expenses to average
net assets for the years ended July 31, 1997 and July 31, 1996 would have
been 1.34% and 0.25% and 1.14% and 0.85%, respectively.
(/2/)Reflects a voluntary waiver of fees by the Administrator and Adviser due
to the limitations set forth in the Expense Reimbursement Agreement. Had
the Administrator and Adviser not waived their fees, the ratios of net in-
vestment income and expenses to average net assets for the years ended
July 31, 1995 and 1994 would have been 1.75% and 0.53% and 2.00% and
0.42%, respectively.
(/3/)Ratioof total expenses to average net assets for the years ended July 31,
1997 and 1996 include indirectly paid expenses. Excluding indirectly paid
expenses, the expense ratios would have been 0.25% and 0.50% for the years
ended July 31, 1997 and 1996, respectively.
See Notes to Financial Statements
10
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS [-- CONTINUED]
JULY 31, 1997
NOTE 1 -- ORGANIZATION AND 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 400 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 preparation of financial statements in conformity with generally ac-
cepted accounting principles requires management to make estimates and assump-
tions that affect the reported amounts of assets and liabilities and disclo-
sure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the re-
porting period. Actual results could differ from those estimates. The follow-
ing is a summary of the Index Portfolio's significant accounting policies.
(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 appli-
cable provisions of the Internal Revenue Code. Accordingly, no provision for
Federal taxes is deemed necessary.
(D) OTHER: Investment transactions are accounted for on the trade date.
Gains and losses are determined on the basis of identified cost.
NOTE 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 con-
sist of the determination of the stocks to be included in the Index and evalu-
ating, in accordance with KLD's criteria, debt securities which may be pur-
chased by the Index Portfolio. For its services under the Investment Advisory
Agreement, KLD receives from the Index Portfolio a fee accrued daily at an an-
nual rate equal to 0.025% of the Index Portfolio's average daily net assets.
Prior to October 4, 1996, KLD received an investment advisory fee accrued
daily at an annual rate equal to 0.050% of the Index Portfolio's average daily
net assets.
(B) INVESTMENT MANAGEMENT FEES: The Index Portfolio has retained Mellon Eq-
uity Associates ("MEA") as the Investment Manager of the Index Portfolio. MEA
does not determine the composition of the Index. Under the Management Agree-
ment, the Index Portfolio pays MEA an investment management fee equal on an
annual basis to 0.10% of the Index Portfolio's average daily net assets. Prior
to October 4, 1996 MEA received a fee based on the following percentages of
the Index Portfolio's average daily net assets; 0.10% of assets up to $50 mil-
lion; 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) SPONSOR FEES: Pursuant to a Sponsorship Agreement dated November 6,
1996, KLD agreed to pay all of the ordinary operating expenses of the Index
Portfolio except the sponsorship fee and excluding brokerage fees and commis-
sions, interest, taxes and extraordinary expenses. Under this arrangement,
11
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
JULY 31, 1997
KLD receives sponsorship fees from the Index Portfolio at an annual rate equal
to 0.20% of the average daily net assets of the Index Portfolio. From October
4, 1996 to November 5, 1996 the Administrator, Signature Broker-Dealer Servic-
es, Inc. ("Signature"), received expense payment fees from the Index Portfolio
at an annual rate equal to 0.20% of the average daily net assets of the Index
Portfolio, and prior to October 4, 1996, at an annual rate equal to 0.50% of
the average daily net assets of the Index Portfolio. The Sponsorship Arrange-
ment is scheduled to terminate on December 31, 1999. For the year ended
July 31, 1997, the Sponsor and Administrator incurred approximately $370,950
in expenses on behalf of the Index Portfolio.
(D) ADMINISTRATION FEES: Pursuant to an Administrative Services Agreement
between KLD and Signature, Signature serves as Administrator of the Index
Portfolio. Certain officers of Signature serve as officers and trustees to the
Index Portfolio. Under the Administrative Services Agreement, Signature pro-
vides management and administrative services necessary for the operations of
the Index Portfolio, furnishes office space and facilities required for con-
ducting the business of the Index Portfolio and pays the compensation of the
Index Portfolio's officers and trustees affiliated with Signature. For these
services Signature receives from KLD a fee accrued daily at an annual rate
equal to 0.025% of the Index Portfolio's average daily net assets.
NOTE 3 -- INVESTMENT TRANSACTIONS
Purchase and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $119,258,928 and $2,468,458, respectively.
Custody fees of the Portfolio were reduced by $70,377 which was compensation
for uninvested cash left on deposit with the custodian. Cash balances could
have been employed to earn additional income for the Portfolio.
NOTE 4 -- MANAGEMENT RESTRUCTURING
On June 30, 1997, the Board of Trustees (the "Board") of the Index Portfolio
voted to approve certain management changes (the "Management Restructuring")
in order to provide for a more centralized management structure. The Manage-
ment Restructuring includes the Index Portfolio, subject to shareholder ap-
proval, entering into a new management agreement with Domini Social Invest-
ments LLC to provide investment supervisory and administrative services and a
new submanagement agreement with MEA to manage the investments of the Index
Portfolio on a day to day basis.
In connection with the Management Restructuring, the Board has also approved
the termination of the existing Sponsorship Agreement with KLD, including the
expense payment arrangements.
12
<PAGE>
[LOGO] KPMG PEAT MARWICK LLP
INDEPENDENT AUDITORS' REPORT
The Board of Trustees
Domini Social Index Portfolio:
We have audited the accompanying statement of assets and liabilities, in-
cluding the portfolio of investments, of the Domini Social Index Portfolio as
of July 31, 1997, and the related statement of operations for the year then
ended, statements of changes in net assets for each of the years in the two-
year period then ended and financial highlights for each of the years in the
five-year period then ended. These financial statements and financial high-
lights are the responsibility of the Portfolio's management. Our responsibil-
ity is to express an opinion on these financial statements and financial high-
lights based on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned by the Portfolio as of July 31, 1997 by correspondence with
the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as eval-
uating the overall financial statement presentation. We believe that our au-
dits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
the Domini Social Index Portfolio as of July 31, 1997, the results of its op-
erations for the year then ended, the changes in its net assets for each of
the years in the two-year period then ended and financial highlights for each
of the years in the five-year period then ended in conformity with generally
accepted accounting principles.
/s/ KPMG Peat Marwick LLP
Boston, Massachusetts
August 22, 1997
30
