<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Basic Materials -- 1.3%
Air Products & Chemicals, Inc. .......................... 52,300 $ 1,748,781
Alcoa, Inc............................................... 84,600 5,065,425
Battle Mountain Gold Company (b)......................... 48,100 93,194
Bemis Company, Inc....................................... 12,000 444,000
Cabot Corporation........................................ 14,600 350,400
Calgon Carbon Corporation................................ 8,100 54,675
Caraustar Industries, Inc................................ 5,200 129,350
Catalytica, Incorporated (b)............................. 5,800 72,500
Consolidated Papers, Inc. ............................... 20,700 589,950
Cyprus Amax Minerals Company............................. 19,700 258,563
Echo Bay Mines Ltd.(b)................................... 25,000 32,811
Ecolab Inc............................................... 29,700 1,265,963
Fuller (H.B.) Company.................................... 3,100 215,450
IMCO Recycling Inc....................................... 3,100 54,056
Mead Corporation......................................... 22,900 938,900
Minerals Technologies Inc. .............................. 4,800 257,400
Nalco Chemical Company................................... 15,100 776,706
Nucor Corporation........................................ 19,950 967,575
Praxair, Inc. ........................................... 35,800 1,651,275
Ryerson Tull, Inc. ...................................... 6,400 136,800
Sigma-Aldrich Corporation................................ 23,100 776,738
Sonoco Products Company.................................. 23,345 625,938
Westvaco Corporation..................................... 22,900 674,119
Worthington Industries, Inc.............................. 20,400 298,350
------------
17,478,919
------------
Business & Professional
Services -- 0.1%
Avery Dennison Corporation............................... 26,000 1,595,750
Dionex Corporation (b)................................... 4,900 211,619
Isco, Inc. (b)........................................... 800 4,750
Wellman, Inc............................................. 7,000 113,312
------------
1,925,431
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Capital Goods -- 2.0%
Baldor Electric Company.................................. 7,500 $ 136,406
Case Corporation......................................... 17,000 809,625
Cooper Industries, Inc................................... 21,300 1,168,836
Cross (A.T.) Company (b)................................. 2,300 11,500
Crown Cork & Seal Company, Inc........................... 28,000 820,750
Cummins Engine Company, Inc.............................. 9,700 627,469
Deere & Company.......................................... 53,000 2,027,250
Emerson Electric Co...................................... 99,600 5,944,875
Graco Inc................................................ 4,675 144,341
Granite Construction Incorporated........................ 6,050 153,141
HON Industries, Inc...................................... 13,600 316,200
Hubbell Incorporated..................................... 14,460 596,475
Hunt Corporation......................................... 1,600 14,200
Illinois Tool Works Inc.................................. 57,100 4,243,244
Ionics, Inc. (b)......................................... 3,400 115,175
Lawson Products, Inc..................................... 2,300 54,625
Leggett & Platt, Inc..................................... 45,000 1,153,125
Milacron Inc............................................. 7,800 133,575
Herman Miller, Inc. ..................................... 17,800 467,250
Molex Incorporated....................................... 35,137 1,227,599
Moore Corporation........................................ 19,400 161,263
National Service Industries, Inc......................... 9,000 317,810
New England Business Service, Inc........................ 2,900 83,194
Pitney Bowes Inc......................................... 61,500 3,912,938
Raychem Corporation...................................... 17,700 674,813
Smith (A.O.) Corporation................................. 4,900 142,713
Standard Register Company................................ 6,200 180,188
Thomas & Betts Corporation............................... 12,600 570,150
Thomas Industries Inc.................................... 3,300 69,094
------------
26,277,824
------------
</TABLE>
17
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Consumer Cyclicals -- 12.0%
American Greetings Corporation........................... 15,000 $ 440,625
Angelica Corporation..................................... 1,300 16,656
Apogee Enterprises, Inc. ................................ 5,600 55,300
AutoZone, Inc. (b)....................................... 34,200 844,312
Bandag, Incorporated..................................... 4,900 164,456
Banta Corporation........................................ 6,050 148,981
Bassett Furniture Industries............................. 2,400 59,400
Black & Decker Corporation............................... 19,900 1,149,225
Block (H&R), Inc. ....................................... 22,100 1,207,212
Brown Shoe Company, Inc.................................. 3,800 75,762
Centex Corporation....................................... 13,600 458,150
Champion Enterprises, Inc. (b)........................... 10,600 145,087
Charming Shoppes, Inc. (b)............................... 20,500 137,094
Circuit City Stores, Inc. ............................... 45,800 2,164,050
Cintas Corporation....................................... 25,200 1,615,950
Claire's Stores, Inc..................................... 11,100 263,625
Cooper Tire and Rubber Company........................... 16,600 373,500
Costco Companies Inc. (b)................................ 50,115 3,746,096
Dana Corporation......................................... 37,600 1,569,800
Dayton Hudson Corporation................................ 101,300 6,552,844
Delphi Automotive Systems Corporation.................... 128,700 2,316,600
DeVry Inc. (b)........................................... 15,200 315,400
Dillard, Inc............................................. 24,500 754,906
Dollar General Corporation............................... 50,201 1,327,189
Dow Jones & Company...................................... 20,700 1,032,412
Egghead.com, Inc. (b).................................... 6,800 59,075
Enesco Group, Inc. ...................................... 3,400 72,675
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Consumer Cyclicals -- Continued
Fedders Corporation...................................... 6,400 $ 42,000
Federal-Mogul Corporation................................ 16,100 780,850
Fleetwood Enterprises, Inc. ............................. 7,700 177,581
Gap, Inc. (The).......................................... 196,687 9,195,117
Genuine Parts Company.................................... 40,600 1,261,137
Gibson Greetings, Inc. (b)............................... 2,300 11,500
Handleman Company (b).................................... 6,600 73,837
Harcourt General......................................... 16,300 756,931
Harland (John H.) Company................................ 6,500 130,812
Harman International Industries, Inc..................... 3,930 172,920
Hartmarx Corporation (b)................................. 5,500 24,063
Hasbro, Inc. ............................................ 44,725 1,162,850
Hillenbrand Industries, Inc.............................. 14,800 665,075
Home Depot, Inc. ........................................ 339,098 21,638,691
Huffy Corporation........................................ 2,500 28,125
IMS Health Incorporated.................................. 72,300 2,015,363
Interface, Inc........................................... 11,000 98,313
Jostens, Inc............................................. 7,400 149,850
Kmart Corporation (b).................................... 112,900 1,637,050
Kaufman & Broad Home Corporation......................... 10,500 218,531
Kelly Services, Inc. .................................... 7,975 245,730
Lands' End, Inc. (b)..................................... 6,700 303,594
Lee Enterprises, Inc. ................................... 9,700 295,244
Lillian Vernon Corporation............................... 1,500 21,375
Limited, Inc. (The)...................................... 49,600 2,266,100
Liz Claiborne, Inc. ..................................... 14,000 543,375
Lowe's Companies, Inc. .................................. 84,700 4,467,925
Marriott International, Inc. ............................ 56,900 1,995,056
Mattel, Inc.............................................. 95,085 2,234,498
</TABLE>
18
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Consumer Cyclicals -- Continued
May Department Stores Company............................ 77,300 $ 2,990,544
Maytag Corporation....................................... 20,200 1,406,425
McGraw-Hill Companies, Inc............................... 45,100 2,294,463
Media General, Inc....................................... 5,900 300,163
Men's Wearhouse, Inc. (b)................................ 8,800 218,900
Meredith Corporation..................................... 11,900 427,656
Modine Manufacturing Company............................. 6,500 208,203
New York Times Company................................... 40,100 1,576,431
Nordstrom, Inc........................................... 32,000 1,006,000
Omnicom Group Inc........................................ 40,800 2,891,700
Oshkosh B'Gosh, Inc...................................... 3,800 64,600
Penney (J.C.) Company, Inc............................... 60,100 2,629,375
Pep Boys -- Manny, Moe & Jack............................ 11,700 194,513
Phillips-Van Heusen Corporation.......................... 5,700 48,450
Reebok International Ltd. (b)............................ 12,300 149,138
Rouse Company (The)...................................... 15,800 384,138
Russell Corporation...................................... 7,300 140,069
SPX Corporation (b)...................................... 6,915 587,775
Scholastic Corporation (b)............................... 3,600 160,650
Sears, Roebuck and Co.................................... 86,800 3,515,400
Service Corporation International........................ 62,300 989,013
Shaw Industries, Inc. (b)................................ 32,300 680,319
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Consumer Cyclicals -- Continued
Sherwin-Williams Company (The)......................... 38,300 $ 1,034,100
Skyline Corporation.................................... 1,900 57,594
Snap-on Incorporated................................... 15,050 526,750
Springs Industries, Inc................................ 4,000 159,000
Stanley Works (The).................................... 20,300 567,131
Staples, Inc. (b)...................................... 106,100 3,063,638
Stride Rite Corporation................................ 9,700 88,513
TJ International, Inc.................................. 3,300 102,300
TJX Companies, Inc..................................... 73,300 2,423,481
Tandy Corporation...................................... 44,100 2,262,881
Tennant Company........................................ 1,700 58,225
Timberland Company (The) (b)........................... 2,400 195,150
Times Mirror Company................................... 16,500 994,125
Toro Company........................................... 2,700 95,850
Toys 'R' Us, Inc. (b).................................. 55,920 908,700
VF Corporation......................................... 27,000 1,066,500
Venator Group, Inc. (b)................................ 30,100 316,050
Wal-Mart Stores, Inc................................... 1,018,600 43,035,850
Washington Post Company................................ 2,300 1,299,500
Whirlpool Corporation.................................. 17,200 1,233,025
------------
162,032,163
------------
Consumer Staples -- 15.8%
Alberto-Culver Company................................. 12,500 319,531
Albertson's, Inc....................................... 95,900 4,765,031
Avon Products, Inc..................................... 59,600 2,711,800
Ben & Jerry's Homemade, Inc. (b)....................... 1,200 25,200
</TABLE>
19
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Consumer Staples -- Continued
Bergen Brunswig Corporation.............................. 30,736 $ 491,776
Bestfoods................................................ 63,800 3,110,250
Bob Evans Farms, Inc..................................... 9,000 190,407
CVS Corporation.......................................... 89,500 4,452,625
Campbell Soup Company.................................... 99,500 4,378,000
Church & Dwight Co., Inc................................. 4,300 188,931
Clorox Company........................................... 26,900 3,012,800
Coca-Cola Company........................................ 564,800 34,064,500
Colgate-Palmolive Company................................ 133,800 6,606,375
Comcast Corporation...................................... 169,500 6,525,750
Darden Restaurants, Inc. 29,800 650,012
Deluxe Corporation 17,900 671,250
Disney, Walt Company (The) (b)........................... 471,300 13,019,662
Donnelley (R.R.) & Sons Company.......................... 29,500 1,032,500
Fleming Companies, Inc. 8,000 96,500
Fort James Corporation................................... 50,400 1,839,600
General Mills Incorporated............................... 34,800 2,881,875
Gillette Company......................................... 253,900 11,123,994
Great Atlantic & Pacific Tea Company, Inc................ 8,500 293,781
Hannaford Bros. Co. 9,700 554,719
Heinz (H.J.) Company..................................... 82,000 3,864,250
Hershey Foods Corporation................................ 31,900 1,850,200
Kellogg Company.......................................... 92,400 3,216,675
Kimberly-Clark Corporation............................... 121,864 7,433,704
King World Productions, Inc. (b)......................... 16,200 564,975
Kroger Co. (b)........................................... 189,100 4,975,694
Longs Drug Stores Corporation............................ 8,600 296,162
Luby's, Inc.............................................. 4,600 68,137
McDonald's Corporation................................... 310,800 12,956,475
MediaOne Group, Inc. (b)................................. 138,600 10,031,175
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Consumer Staples -- Continued
Nature's Sunshine Products, Inc. 3,800 $ 35,625
Newell Rubbermaid Inc.................................... 64,378 2,784,348
Odwalla, Inc. (b) 500 3,500
Oneida Ltd............................................... 3,500 91,000
PepsiCo, Inc............................................. 338,100 13,228,162
Procter & Gamble Company................................. 304,100 27,521,050
Quaker Oats Company...................................... 30,800 2,096,325
Ralston Purina Company................................... 74,200 2,221,362
Ruby Tuesday, Inc........................................ 6,600 138,600
Ryan's Family Steakhouse, Inc. (b)....................... 8,400 89,775
Smucker (J.M.) Company................................... 6,500 157,219
Starbucks Corporation (b) 40,900 950,925
SUPERVALU Inc............................................ 27,300 621,075
SYSCO Corporation........................................ 75,400 2,464,638
TCBY Enterprises, Inc. .................................. 4,100 23,063
Tootsie Roll Industries, Inc............................. 7,420 256,918
Tupperware Corporation................................... 12,600 297,675
Viacom, Inc. (b)......................................... 32,100 1,346,194
Walgreen Company......................................... 229,200 6,489,225
Wendy's International, Inc. ............................. 28,200 819,563
Whitman Corporation...................................... 20,400 388,875
Whole Foods Market, Inc. (b)............................. 5,700 250,800
Wild Oats Markets, Inc. (b).............................. 2,700 98,213
Wrigley (Wm.) Jr. Company................................ 26,500 2,111,719
------------
212,750,165
------------
</TABLE>
20
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Financial Services -- 15.8%
Aetna, Inc. ............................................. 32,170 $ 2,637,940
American Express Company................................. 103,100 13,583,425
American General Corporation............................. 57,462 4,446,122
American International Group, Inc. ...................... 283,550 32,927,244
Bank One Corporation..................................... 270,285 14,747,425
BankBoston Corporation................................... 67,700 3,177,669
CIGNA Corporation........................................ 46,600 4,109,537
Capital One Financial Corporation........................ 45,000 2,086,875
Chittenden Corporation................................... 6,061 168,950
Chubb Corporation........................................ 40,300 2,410,444
Cincinnati Financial Corporation......................... 37,385 1,406,611
Dime Bancorp, Inc. ...................................... 24,800 499,100
Edwards (A.G.), Inc. .................................... 20,987 579,765
Freddie Mac.............................................. 159,100 9,128,362
Fannie Mae............................................... 234,600 16,187,400
Fifth Third Bancorp...................................... 61,525 4,002,970
First Tennessee National Corporation..................... 29,400 1,076,775
Firstar Corporation...................................... 152,000 3,961,500
FirstFed Financial Corp. (b)............................. 4,000 64,000
Golden West Financial.................................... 12,700 1,218,406
HSB Group, Inc. ......................................... 6,350 258,365
Household International, Inc. ........................... 109,346 4,695,044
Jefferson-Pilot Corporation.............................. 24,050 1,757,153
Lincoln National Corporation............................. 45,700 2,285,000
MBIA Inc. ............................................... 22,700 1,299,575
MBNA Corporation......................................... 182,950 5,214,075
MGIC Investment Corporation.............................. 24,800 1,222,950
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Financial Services -- Continued
Marsh & McLennan Companies, Inc. ........................ 60,050 $ 4,563,800
Mellon Bank Corporation.................................. 118,900 4,012,875
Merrill Lynch & Co., Inc. ............................... 84,200 5,730,863
Morgan (J.P.) & Co. Incorporated......................... 40,600 5,191,725
PNC Bank Corp. .......................................... 69,300 3,664,238
Providian Financial Corporation.......................... 32,600 2,966,600
ReliaStar Financial Corp. ............................... 20,300 921,113
SLM Holding Corporation.................................. 37,300 1,697,150
SAFECO Corporation....................................... 31,200 1,187,550
St. Paul Companies, Inc. (The)........................... 51,564 1,604,930
Schwab (Charles) Corporation............................. 186,900 8,235,281
SunTrust Banks, Inc. .................................... 73,600 4,747,200
Synovus Financial Corp. ................................. 62,050 1,136,291
Torchmark Corporation.................................... 30,100 989,538
U.S. Bancorp............................................. 165,900 5,163,638
UnumProvident Corp. ..................................... 54,500 2,820,375
Value Line, Inc. ........................................ 2,100 83,738
Wachovia Corporation..................................... 46,200 3,606,488
Washington Mutual, Inc. ................................. 135,702 4,656,275
Wells Fargo & Company.................................... 378,300 14,753,700
Wesco Financial Corporation.............................. 1,600 491,200
------------
213,377,250
------------
Healthcare -- 8.2%
Acuson Corporation 5,800 101,137
ADAC Laboratories (b).................................... 3,600 25,425
Allergan, Inc. .......................................... 15,100 1,426,950
ALZA Corporation (b)..................................... 23,100 1,123,237
Becton Dickinson and Company............................. 56,600 1,552,962
Biomet, Inc.............................................. 25,700 934,838
</TABLE>
21
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Healthcare -- Continued
Boston Scientific Corporation (b)........................ 90,200 $ 3,658,738
Forest Laboratories, Inc. (b)............................ 18,900 968,625
Guidant Corporation (b).................................. 69,200 4,052,525
Humana Inc. (b).......................................... 38,400 417,600
Johnson & Johnson........................................ 307,900 28,365,288
Mallinckrodt Inc......................................... 16,300 552,163
McKesson HBOC, Inc....................................... 63,220 1,963,771
Medtronic, Inc........................................... 133,700 9,634,756
Merck & Co., Inc......................................... 540,300 36,571,556
Mylan Laboratories, Inc.................................. 28,700 652,925
Oxford Health Plans, Inc. (b)............................ 17,800 318,175
St. Jude Medical, Inc. (b)............................... 19,300 717,719
Schering-Plough Corporation.............................. 336,900 16,508,100
Stryker Corporation (b).................................. 22,000 1,342,000
Sunrise Medical Inc. (b)................................. 3,500 23,188
United American Healthcare Corporation (b)............... 800 1,000
------------
110,912,678
------------
Industrial, Construction & Housing -- 0.6%
American Power Conversion (b)............................ 43,200 896,400
Ault Incorporated (b).................................... 500 2,750
Brady Corporation........................................ 4,700 164,500
CLARCOR Inc.............................................. 5,250 103,358
Fastenal Company......................................... 8,700 514,388
Hutchinson Technology Incorporated (b)................... 5,100 134,194
Merix Corporation (b).................................... 600 4,725
Millipore Corporation.................................... 10,100 411,575
Nordson Corporation...................................... 3,700 212,750
Osmonics, Inc. (b)....................................... 2,100 21,263
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Industrial, Construction & Housing -- Continued
Sealed Air Corporation (b)............................... 19,100 $ 1,227,175
Solectron Corporation (b)................................ 57,500 3,705,156
Spartan Motors, Inc...................................... 1,700 10,625
Watts Industries, Inc.................................... 5,600 100,100
------------
7,508,959
------------
Natural Resources -- 0.8%
Anadarko Petroleum Corporation........................... 27,200 1,038,700
Apache Corporation....................................... 25,200 1,069,425
Atlantic Richfield Company............................... 73,700 6,637,606
Helmerich & Payne, Inc................................... 11,000 281,188
PennzEnergy Company...................................... 10,700 175,881
Rowan Companies, Inc. (b)................................ 18,500 348,031
Santa Fe Snyder Corporation (b).......................... 37,100 343,175
Sunoco, Inc.............................................. 20,700 631,350
------------
10,525,356
------------
Printing, Publishing & Telecommunications -- 3.8%
AT&T Corp................................................ 728,377 37,830,081
Citizens Utilities Company (b)........................... 59,467 706,171
Frontier Corporation..................................... 39,500 2,189,781
Sprint Corporation....................................... 198,000 10,234,125
------------
50,960,158
------------
Technology -- 29.6%
Adaptec, Inc. (b)........................................ 23,600 917,450
Advanced Micro Devices, Inc. (b)......................... 32,600 560,313
Analog Devices, Inc. (b)................................. 36,600 1,578,375
Apple Computer, Inc. (b)................................. 36,300 2,021,456
Applied Materials, Inc. (b).............................. 85,400 6,143,462
</TABLE>
22
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Technology -- Continued
Arrow Electronics, Inc. (b)............................ 21,000 $ 447,562
Autodesk, Inc.......................................... 13,100 347,150
Automatic Data Processing, Inc......................... 141,574 5,671,808
Avnet, Inc............................................. 7,700 377,300
BMC Software, Inc. (b)................................. 53,700 2,893,087
CPI Corp............................................... 2,000 67,375
Ceridian Corporation (b)............................... 32,500 910,000
Cisco Systems, Inc. (b)................................ 731,100 45,419,587
Compaq Computer Corporation............................ 389,088 9,338,112
Computer Associates International, Inc................. 122,800 5,633,450
Compuware Corporation (b).............................. 83,800 2,325,450
Dell Computer Corporation (b).......................... 580,500 23,727,937
EMC Corporation (b).................................... 231,700 14,032,331
Gerber Scientific Inc.................................. 4,700 113,094
Grainger (W.W.), Inc................................... 21,300 1,006,425
Hewlett-Packard Company................................ 232,300 24,318,906
Ikon Office Solutions, Inc............................. 33,100 436,506
Inprise Corporation (b)................................ 10,400 45,826
Intel Corporation...................................... 759,400 52,398,600
LSI Logic Corporation (b).............................. 32,700 1,645,218
Lucent Technologies, Inc............................... 695,800 45,270,487
Microsoft Corporation.................................. 1,168,200 100,246,163
Micron Technology, Inc. (b)............................ 57,100 3,547,338
National Semiconductor Corporation (b)................. 37,900 938,025
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Technology -- Continued
Novell, Inc. (b)......................................... 76,600 $ 1,972,450
PE Corp-PE Biosystems Group (b).......................... 5,650 149,725
PeopleSoft, Inc. (b)..................................... 55,100 750,738
Polaroid Corporation..................................... 9,600 220,800
QRS Corporation (b)...................................... 2,700 146,138
Scientific-Atlanta, Inc.................................. 17,100 624,150
Shared Medical Systems Corporation....................... 5,900 353,263
Sun Microsystems, Inc. (b)............................... 177,100 12,020,663
Symantec Corporation (b)................................. 12,100 366,025
Tektronix, Inc........................................... 10,200 323,213
Tellabs, Inc. (b)........................................ 89,600 5,516,000
Texas Instruments Incorporated........................... 89,700 12,916,800
3Com Corporation (b)..................................... 82,600 1,992,725
Xilinx, Inc. (b)......................................... 33,000 2,058,375
Xerox Corporation........................................ 151,400 7,380,750
------------
399,170,608
------------
Transportation -- 1.1%
AMR Corporation.......................................... 40,200 2,607,975
Airborne Freight Corporation............................. 10,700 266,831
Alaska Air Group, Inc. (b)............................... 5,800 257,375
Consolidated Freightways Corporation (b)................. 4,700 49,644
Delta Air Lines, Inc. ................................... 32,000 1,908,000
FDX Holding Corporation (b).............................. 67,800 3,038,288
GATX Corporation......................................... 11,300 450,587
Norfolk Southern Corporation............................. 86,600 2,533,050
Roadway Express, Inc..................................... 4,300 93,794
Ryder System, Inc. ...................................... 15,700 369,931
Southwest Airlines Co.................................... 114,775 2,123,338
</TABLE>
23
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS--(Continued)
July 31, 1999
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Transportation -- Continued
UAL Corporation (b)...................................... 11,900 $ 754,906
Yellow Corporation (b)................................... 5,400 92,475
------------
14,546,194
------------
Utilities -- 8.8%
AGL Resources Inc........................................ 12,600 237,825
American Water Works, Inc................................ 21,400 640,662
Ameritech Corporation.................................... 251,500 18,422,375
Aquarion Company......................................... 2,250 78,750
Bell Atlantic Corporation................................ 355,322 22,651,777
BellSouth Corporation.................................... 433,500 20,808,000
Cleco Corporation........................................ 4,700 150,988
Cascade Natural Gas Corporation.......................... 2,000 35,875
Connecticut Energy Corporation........................... 2,200 84,150
Consolidated Natural Gas Company......................... 21,800 1,365,225
Eastern Enterprises...................................... 5,000 194,687
El Paso Energy Corporation............................... 27,800 995,587
Energen Corporation...................................... 6,200 116,250
Enron Corp. ............................................. 80,700 6,874,631
Equitable Resources, Inc. ............................... 7,600 281,675
IDACORP Inc.............................................. 8,200 253,687
KeySpan Corporation...................................... 32,700 907,425
LG&E Energy Corp......................................... 29,700 642,263
MCN Energy Group, Inc. .................................. 18,300 390,019
New Century Energies, Inc................................ 25,900 898,406
NICOR Inc................................................ 10,400 401,700
Northwest Natural Gas Company............................ 5,200 137,150
Northwestern Corporation................................. 4,800 120,000
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
- ------ ------ -----
<S> <C> <C>
Utilities -- Continued
OGE Energy Corp........................................ 17,800 $ 421,638
Peoples Energy Corporation............................. 7,900 290,819
Potomac Electric Power Company......................... 27,100 777,431
Questar Corporation.................................... 18,100 340,506
SBC Communications Inc................................. 449,458 25,703,380
Sonat Inc.............................................. 25,200 886,725
Telephone and Data Systems, Inc........................ 13,700 1,018,938
Union Pacific Resources Group, Inc..................... 56,800 1,011,750
U S West, Inc.......................................... 114,941 6,587,556
Washington Gas Light Company........................... 10,100 281,538
Williams Companies, Inc................................ 98,700 4,151,641
--------------
118,161,029
--------------
Total Investments (a)
-- 99.9%..................................................... $1,345,626,734
Other Assets, less liabilities -- 0.1%......................... 1,778,047
--------------
Net Assets -- 100.0%........................................... $1,347,404,781
==============
</TABLE>
- -----------
(a) The aggregate cost for book and federal income tax purposes is
$1,006,703,336, the aggregate gross unrealized appreciation is
$357,620,142, and the aggregate gross unrealized depreciation is
$18,696,744, resulting in net unrealized appreciation of $338,923,398.
(b) Non-income producing security.
24
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments at value (Cost $1,006,703,336).................... $1,345,626,734
Cash.......................................................... 7,020,013
Receivable for securities sold................................ 1,738,780
Dividends receivable.......................................... 1,282,406
--------------
Total assets................................................. 1,355,667,933
--------------
LIABILITIES:
Payable for securities purchased.............................. 8,037,683
Accrued expenses (Note 2)..................................... 225,469
--------------
Total liabilities............................................ 8,263,152
--------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS........ $1,347,404,781
==============
</TABLE>
See Notes to Financial Statements
25
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF OPERATIONS
Year ended July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of
$440).......................................... $ 9,845,270
------------
EXPENSES:
Management fee (Note 2).......................... 1,901,529
Professional fees................................ 65,407
Custody fees (Note 3)............................ 367,440
Trustee fees..................................... 5,000
Miscellaneous.................................... 2,356
------------
Total expenses................................... 2,341,732
Fees paid indirectly........................... (345,517)
Expenses paid and fee waived by manager........ (109,912)
------------
Net expenses................................... 1,886,303
------------
NET INVESTMENT INCOME.............................. 7,958,967
Net realized gain on investments
Proceeds from sales.............................. $ 86,482,202
Cost of securities sold.......................... 70,606,930
------------
Net realized gain on investments............... 15,875,272
Net changes in unrealized appreciation of
investments
Beginning of year................................ $175,720,768
End of year...................................... 338,923,398
------------
Net change in unrealized appreciation.......... 163,202,630
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $187,036,869
============
</TABLE>
See Notes to Financial Statements
26
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended Year Ended
July 31, 1999 July 31, 1998
-------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From Operations:
Net investment income........................... $ 7,958,967 $ 4,628,319
Net realized gain on investments................ 15,875,272 4,836,426
Net change in unrealized appreciation of
investments.................................... 163,202,630 84,559,360
-------------- ------------
Net Increase in Net Assets Resulting from
Operations.................................... 187,036,869 94,024,105
-------------- ------------
Transactions in Investors' Beneficial Interest:
Additions....................................... 531,746,685 267,044,708
Reductions...................................... (13,614,408) (11,192,148)
-------------- ------------
Net Increase in Net Assets from Transactions
in Investors' Beneficial Interests............ 518,132,277 255,852,560
-------------- ------------
Total Increase in Net Assets................ 705,169,146 349,876,665
NET ASSETS:
Beginning of year............................... 642,235,635 292,358,970
-------------- ------------
End of year..................................... $1,347,404,781 $642,235,635
============== ============
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended July 31,
--------------------------------------------------------------------------------
1999 1998 1997 1996 1995
---------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS
Net Assets (000's)...... $1,347,405 $642,236 $292,359 $100,401 $54,003
Ratio of net investment
income to average net
assets................. 0.84%(/1/) 1.05%(/2/) 1.34% 1.48%(/4/) 1.85%(/5/)
Ratio of expenses to
average net assets..... 0.24%(/1/)(/3/) 0.24%(/2/)(/3/) 0.29%(/3/) 0.59%(/3/)(/4/) 0.43%(/5/)
Portfolio turnover
rate................... 8% 5% 1% 5% 6%
</TABLE>
- -------------------------------------------------------------------------------
(/1/) Reflects a voluntary expense reimbursement and fee waiver of 0.01% by
the Manager. Had the manager not waived their fee and reimbursed
expenses, the annualized ratios of net investment income and expense to
average net assets for the year ended July 31, 1999 would have been
0.83% and 0.25%, respectively.
(/2/) Reflects a waiver of 0.01% of fees by the Manager due to limitations set
forth in the Management Agreement. Had the Manager not waived their
fees, the ratios of net investment income and expenses to average net
assets for the year ended July 31, 1998 would have been 1.04% and 0.25%,
respectively.
(/3/) Ratio of expenses to average net assets for the years ended July 31,
1999, 1998, 1997 and 1996 include indirectly paid expenses. Excluding
indirectly paid expenses, the expense ratios would have been 0.20%,
0.20%, 0.25% and 0.50% for the years ended July 31, 1999, 1998, 1997 and
1996, respectively.
(/4/) Had the Expense Payment Agreement and Sponsor Arrangement not been in
place, the ratios of net investment income and expense for the years
ended July 31, 1996 would have been 1.14% and 0.85% respectively.
(/5/) 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
investment income and expenses to average net assets for the year ended
July 31, 1995 would have been 1.75% and 0.53% respectively.
See Notes to Financial Statements
27
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
July 31, 1999
- -------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES. Domini Social Index Port-
folio (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 port-
folio as closely as is practicable with the Domini 400 Social Index (the "In-
dex"), which is a common stock index developed and maintained by Kinder,
Lydenberg, Domini & Co., Inc. ("KLD"). 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 Au-
gust 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 state-
ments and the reported amounts of revenues and expenses during the reporting
period. Actual results could differ from those estimates. The following 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 reported on the ex-dividend date.
(C) Federal Taxes: The Index Portfolio will be treated as a partnership for
U.S. federal income tax purposes and is therefore not subject to U.S. federal
income tax. As such, each investor in the Index Portfolio will be taxed on its
share of the Index Portfolio's ordinary income and capital gains. It is in-
tended that the Portfolio will be managed in such a way that an investor will
be able to satisfy the requirements of the Internal Revenue Code applicable to
regulated investment companies.
(D) 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) Manager. Domini Social Investments LLC ("DSIL" or the "Manager") is reg-
istered as an investment adviser under the Investment Advisers
28
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS--(Continued)
July 31, 1999
- -------------------------------------------------------------------------------
Act of 1940. The services provided by the Manager consist of investment super-
visory services, overall operational support and administrative services. The
administrative services include the provision of general office facilities and
supervising the overall administration of the Index Portfolio. For its serv-
ices under the Management Agreement, the Manager receives from the Index Port-
folio a fee accrued daily and paid monthly at an annual rate equal to 0.20%.
Currently, DSIL is waiving its fee to the extent necessary to keep aggregate
annual operating expenses of the Index Portfolio (excluding brokerage fees and
commissions, interest, taxes and other extraordinary expenses) at no greater
than 0.20% of the average daily net assets of the Index Portfolio. This fee
waiver is voluntary and may be reduced or terminated at any time.
(B) Submanager. Mellon Equity provides investment submanagement services to
the Index Portfolio on a day-to-day basis pursuant to a Submanagement Agree-
ment with DSIL. Mellon Equity does not determine the composition of the Domini
Social Index.
3. INVESTMENT TRANSACTIONS. Cost of purchases and sales of investments, other
than U.S. Government securities and short-term obligations, for the year ended
July 31, 1999 aggregated $609,803,880 and $86,482,202, respectively. Custody
fees of the Portfolio were reduced by $345,517 which was compensation for
uninvested cash left on deposit with the custodian.
29
<PAGE>
[LOGO OF KPMG Peat Marwick LLP]
Independent Auditors' Report
The Board of Trustees and Investors
Domini Social Index Portfolio:
We have audited the accompanying statement of assets and liabilities, in-
cluding the portfolio of investments, of Domini Social Index Portfolio as of
July 31, 1999, the related statement of operations for the year then ended,
and the statements of changes in net assets for each of the years in the two-
year period then ended, and the financial highlights for each of the years in
the five-year period then ended. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our responsi-
bility is to express an opinion on these financial statements and financial
highlights 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. Our procedures included confirmation of securities owned as of
July 31, 1999 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 evaluating the overall financial statement pre-
sentation. We believe that our audits provide a reasonable basis for our opin-
ion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Domini Social Index Portfolio as of July 31, 1999, the results of its opera-
tions for the year then ended, 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 ac-
cepted accounting principles.
/s/ KPMG LLP
Boston, Massachusetts
August 25, 1999
30
