<PAGE>
Domini Social Index Portfolio
Portfolio of Investments
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Basic Materials-- 1.1%
Air Products & Chemicals, Inc. ............. 57,800 $ 1,712,325
Alcoa, Inc. ................................ 92,400 6,439,125
Bemis Company, Inc. ........................ 13,100 413,469
Cabot Corporation .......................... 16,500 396,000
Calgon Carbon Corporation .................. 9,300 67,425
Caraustar Industries, Inc. ................. 6,400 123,600
Catalytica, Incorporated (b) ............... 9,300 133,106
Consolidated Papers, Inc. .................. 22,500 621,563
Echo Bay Mines Ltd. ........................ 33,400 43,838
Ecolab Inc. ................................ 32,400 1,140,075
Fuller (H.B.) Company ...................... 3,500 227,500
IMCO Recycling Inc. ........................ 3,800 43,225
Mead Corporation ........................... 25,700 957,325
Minerals Technologies Inc. ................. 5,100 230,138
Nucor Corporation .......................... 21,850 1,087,038
Praxair, Inc. .............................. 40,100 1,626,556
Ryerson Tull, Inc. ......................... 6,400 122,000
Sigma-Aldrich Corporation .................. 25,100 840,850
Sonoco Products Company..................... 25,345 506,900
Stillwater Mining Company (b) .............. 9,500 338,438
Westvaco Corporation ....................... 25,100 688,681
Worthington Industries, Inc. ............... 22,100 319,069
----------
18,078,246
----------
Capital Goods-- 2.1%
Ault Incorporated (b) ...................... 500 3,906
Avery Dennison Corporation ................. 28,400 1,924,100
Issuer Shares Value
- ------ ------ -----
Capital Goods-- Continued
Baldor Electric Company .................... 9,100 $ 155,269
Brady Corporation .......................... 5,800 164,938
CLARCOR Inc. ............................... 5,750 99,906
Cooper Industries, Inc. .................... 23,500 901,813
Cross (A.T.) Company (b) ................... 4,000 19,500
Crown Cork & Seal Company, Inc. ............ 30,200 613,438
Cummins Engine Company, Inc. ............... 10,400 397,800
Deere & Company ............................ 58,900 2,573,194
Dionex Corporation (b) ..................... 5,400 155,250
Emerson Electric Co. ....................... 109,600 6,034,850
Fastenal Company (b) ....................... 9,500 415,625
Graco Inc. ................................. 4,975 152,981
Granite Construction Incorporated .......... 6,550 130,591
Herman Miller, Inc. ........................ 19,800 431,888
HON Industries, Inc. ....................... 14,700 282,975
Hubbell Incorporated ....................... 16,160 419,150
Hunt Corporation ........................... 1,600 16,000
Hutchinson Technology Incorporated (b) ..... 5,700 92,625
Illinois Tool Works Inc. ................... 75,800 4,434,300
Ionics, Inc. (b) ........................... 3,900 115,538
Isco, Inc. (b) ............................. 800 4,300
Lawson Products, Inc. ...................... 2,300 52,900
Leggett & Platt, Inc. ...................... 49,500 891,000
Merix Corporation (b) ...................... 1,500 21,000
Milacron Inc. .............................. 8,600 103,738
Millipore Corporation ...................... 11,400 488,063
Molex Incorporated ......................... 39,537 2,011,445
Moore Corporation .......................... 21,100 122,644
National Service Industries, Inc. .......... 10,300 256,213
New England Business Service, Inc. ......... 3,300 64,969
-17-
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Capital Goods -- Continued
Nordson Corporation ........................ 4,200 $ 180,600
Osmonics, Inc. (b) ......................... 3,300 28,050
Pitney Bowes Inc. .......................... 66,900 3,278,100
Sealed Air Corporation (b) ................. 20,900 1,173,013
Smith (A.O.) Corporation ................... 5,400 106,313
Solectron Corporation (b) .................. 73,900 5,366,988
Spartan Motors, Inc. ....................... 1,700 6,906
Standard Register Company .................. 6,700 103,850
Steelcase Inc. ............................. 5,700 64,838
Thomas & Betts Corporation ................. 14,600 444,388
Thomas Industries Inc. ..................... 3,800 70,775
Watts Industries, Inc. ..................... 6,300 95,288
----------
34,471,018
----------
Communication Services -- 9.2%
AT&T Corp. ................................. 805,877 42,510,012
Bell Atlantic Corporation .................. 391,622 24,256,088
BellSouth Corporation ...................... 474,700 22,340,569
Citizens Utilities Company ................. 65,367 968,249
SBC Communications Inc. ..................... 860,328 37,101,645
Sprint Corporation ......................... 219,800 14,218,313
Telephone and Data Systems, Inc. ........... 15,600 1,622,400
U S West, Inc. ............................. 127,441 8,474,826
-----------
151,492,102
-----------
Consumer Cyclicals -- 11.2%
American Greetings Corporation ............. 16,100 356,213
Angelica Corporation ....................... 2,100 19,425
Apogee Enterprises, Inc. ................... 6,700 30,988
AutoZone, Inc. (b) ......................... 36,800 966,000
Bandag, Incorporated ....................... 5,300 126,206
Banta Corporation .......................... 6,550 124,450
Bassett Furniture Industries ............... 2,900 38,425
Issuer Shares Value
- ------ ------ -----
Consumer Cyclicals -- Continued
Black & Decker Corporation ................. 21,900 $ 877,369
Block (H&R), Inc. .......................... 24,500 1,056,563
Brown Shoe Company, Inc. ................... 4,400 45,650
Centex Corporation ......................... 14,800 325,600
Champion Enterprises, Inc. (b).............. 11,600 89,175
Charming Shoppes, Inc. (b) ................. 25,300 172,356
Cintas Corporation ......................... 27,800 1,302,258
Circuit City Stores, Inc. .................. 51,300 1,975,050
Claire's Stores, Inc. ...................... 12,300 230,625
Cooper Tire and Rubber Company ............. 19,000 248,188
Costco Wholesale Corporation (b) ........... 111,930 5,477,574
Dana Corporation ........................... 41,100 965,850
Delphi Automotive Systems Corp. ............ 142,500 2,467,031
DeVry Inc. (b) ............................. 17,500 322,656
Dillard, Inc. .............................. 26,700 512,306
Dollar General Corporation ................. 67,101 1,425,896
Donnelly Corporation ....................... 1,400 18,463
Dow Jones & Company ........................ 22,600 1,401,200
Enesco Group, Inc. ......................... 3,400 33,363
Fedders Corporation ........................ 8,500 44,625
Federal-Mogul Corporation .................. 18,100 273,763
Fleetwood Enterprises, Inc. ................ 8,500 138,656
Gap, Inc. (The) ............................ 215,987 9,651,919
Genuine Parts Company ...................... 44,500 1,073,563
Gibson Greetings, Inc. (b) ................. 3,800 33,250
Handleman Company (b) ...................... 7,200 75,600
Harcourt General ........................... 17,900 716,000
Harland (John H.) Company .................. 7,200 120,600
-18-
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Consumer Cyclicals -- Continued
Harman International
Industries, Inc. .......................... 4,230 $ 246,926
Hartmarx Corporation (b) ................... 7,800 23,888
Hillenbrand Industries, Inc. ............... 16,500 561,000
Home Depot, Inc. ........................... 580,697 32,881,968
Huffy Corporation .......................... 2,500 14,219
IMS Health Incorporated .................... 77,300 1,734,419
Interface, Inc. ............................ 12,800 62,400
Jostens, Inc. .............................. 8,000 187,500
Kaufman & Broad Home Corporation ........... 11,500 249,406
Kmart Corporation (b)....................... 123,500 1,034,313
Lands' End, Inc. (b) ....................... 7,600 261,725
Lee Enterprises, Inc. ...................... 11,200 297,500
Lillian Vernon Corporation ................. 2,200 25,575
Limited, Inc.(The) ......................... 54,200 1,663,263
Liz Claiborne, Inc. ........................ 14,800 500,425
Lowe's Companies, Inc. ..................... 96,400 4,301,850
Marriott International, Inc. ............... 62,700 1,947,619
Mattel, Inc. ............................... 105,285 1,098,912
May Department Stores Company .............. 84,300 2,623,838
Maytag Corporation ......................... 21,600 874,800
McGraw-Hill Companies, Inc. ................ 49,500 2,775,094
Media General, Inc. ........................ 6,700 348,819
Men's Wearhouse, Inc. (b) .................. 10,500 250,688
Meredith Corporation........................ 13,000 455,000
Modine Manufacturing Company ............... 7,100 175,725
New York Times Company ..................... 43,100 1,969,131
Nordstrom, Inc. ............................ 34,700 763,400
Omnicom Group Inc. ......................... 44,800 4,197,200
Oshkosh B'Gosh, Inc. ....................... 3,800 68,875
Penney (J.C.) Company, Inc. ................ 65,600 1,287,400
Issuer Shares Value
- ------ ------ -----
Consumer Cyclicals -- Continued
Pep Boys - Manny, Moe & Jack ............... 12,600 $ 91,350
Phillips-Van Heusen Corporation ............ 6,600 44,550
Reebok International Ltd. (b) .............. 13,400 98,825
Rouse Company (The) ........................ 18,000 400,500
Russell Corporation ........................ 7,900 118,006
Scholastic Corporation (b) ................. 4,100 264,450
Sears, Roebuck and Co. ..................... 95,300 2,948,344
Service Corporation International .......... 68,000 310,250
Shaw Industries, Inc. ...................... 33,000 447,563
Sherwin-Williams Company (The) ............. 41,800 736,725
Skyline Corporation ........................ 2,200 45,375
Snap-On Incorporated ....................... 16,250 436,719
Springs Industries, Inc. ................... 4,300 156,413
SPX Corporation (b) ........................ 7,715 570,910
Stanley Works (The) ........................ 22,600 567,825
Staples, Inc. (b) .......................... 117,100 2,788,444
Stride Rite Corporation .................... 11,200 67,900
Tandy Corporation .......................... 48,800 2,385,100
Target Corporation (b) ..................... 111,100 7,339,544
Tennant Company ............................ 2,100 68,250
Timberland Company (The) (b) ............... 5,200 192,400
Times Mirror Company ....................... 17,200 1,018,025
TJX Companies, Inc. ........................ 78,500 1,280,530
Toro Company ............................... 3,000 101,810
Toys `R' Us, Inc. (b) ...................... 61,220 631,330
Venator Group, Inc. (b) .................... 35,000 210,000
VF Corporation ............................. 29,500 765,155
Wal-Mart Stores, Inc. ...................... 1,122,300 61,445,925
Washington Post Company .................... 2,600 1,430,000
Wellman, Inc. .............................. 8,500 147,687
Whirlpool Corporation ...................... 18,600 1,083,450
-----------
183,813,089
-----------
-19-
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Consumer Staples -- 13.7%
Alberto-Culver Company ..................... 14,000 $ 343,875
Albertson's, Inc. .......................... 106,800 3,270,750
Avon Products, Inc. ........................ 64,400 2,048,725
Ben & Jerry's Homemade, Inc. (b) ........... 1,200 27,300
Bergen Brunswig Corporation ................ 33,536 220,080
Bestfoods .................................. 70,300 3,058,050
Bob Evans Farms, Inc. ...................... 10,400 165,100
Campbell Soup Company ...................... 107,900 3,392,106
Church & Dwight Co., Inc. .................. 9,800 216,213
Clorox Company ............................. 59,600 2,845,900
Coca-Cola Company .......................... 622,900 35,777,819
Colgate-Palmolive Company .................. 146,900 8,703,825
Comcast Corporation (b) .................... 218,800 10,064,800
CVS Corporation ............................ 98,800 3,451,825
Darden Restaurants, Inc. ................... 32,800 520,700
Deluxe Corporation ......................... 18,400 492,200
Disney,Walt Company (The) .................. 520,100 18,886,131
Donnelley (R.R.) & Sons Company............. 31,500 691,031
Fleming Companies, Inc. .................... 8,900 89,000
Fort James Corporation ..................... 54,700 1,463,225
General Mills Incorporated ................. 76,600 2,388,963
Gillette Company ........................... 270,500 10,177,563
Great Atlantic & Pacific Tea Company, Inc. . 9,700 267,963
Hannaford Bros. Co. ........................ 10,700 750,338
Heinz (H.J.) Company ....................... 90,400 3,361,750
Hershey Foods Corporation .................. 34,900 1,483,250
Kellogg Company ............................ 102,200 2,478,350
Kelly Services, Inc. ....................... 9,075 229,144
Issuer Shares Value
- ------ ------ -----
Consumer Staples -- Continued
Kimberly-Clark Corporation ................. 137,264 $ 8,501,789
Kroger Co. (b) ............................. 209,800 3,645,275
Longs Drug Stores Corporation .............. 9,400 202,100
Luby's, Inc. ............................... 5,400 59,063
McDonald's Corporation ..................... 341,500 12,699,531
MediaOne Group, Inc.(b) .................... 154,300 12,266,850
Nature's Sunshine Products, Inc. ........... 3,800 33,250
Newell Rubbermaid Inc. ..................... 71,178 2,135,340
Odwalla, Inc. (b) .......................... 500 3,531
Oneida Ltd. ................................ 4,000 84,500
PepsiCo, Inc. .............................. 367,100 12,527,288
Procter & Gamble Company ................... 331,400 33,429,975
Quaker Oats Company ........................ 33,700 2,000,938
Ralston Purina Company ..................... 81,600 2,289,900
Ruby Tuesday, Inc. ......................... 7,400 138,750
Ryan's Family Steakhouse, Inc. (b) ......... 8,400 75,075
Smucker (J.M.) Company ..................... 7,000 122,500
Starbucks Corporation (b) .................. 45,600 1,459,200
SUPERVALU Inc. ............................. 34,600 622,800
SYSCO Corporation .......................... 83,100 2,955,244
TCBY Enterprises, Inc. ..................... 4,100 13,837
Tootsie Roll Industries, Inc. .............. 8,320 262,080
Tupperware Corporation ..................... 13,800 225,113
Viacom, Inc. (b) ........................... 34,900 1,947,854
Walgreen Company ........................... 253,100 6,991,887
Wendy's International, Inc. ................ 30,000 564,375
Whitman Corporation ........................ 35,500 445,968
Whole Foods Market, Inc. (b) ............... 6,400 294,400
-20-
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Consumer Staples -- Continued
Wild Oats Markets, Inc.(b) ................. 5,550 $ 91,575
Wrigley (Wm.) Jr. Company .................. 29,200 2,277,600
-----------
225,233,564
-----------
Energy -- 0.6%
Anadarko Petroleum Corporation ............. 32,200 1,056,563
Atlantic Richfield Company ................. 81,400 6,267,800
Helmerich & Payne, Inc. .................... 12,500 293,750
Rowan Companies, Inc.(b) ................... 20,800 471,900
Santa Fe Snyder Corporation (b) ............ 45,500 332,719
Sunoco, Inc................................. 22,500 518,906
Union Pacific Resources Group, Inc.......... 63,000 693,000
---------
9,634,638
---------
Financials -- 13.9%
Aetna, Inc ................................. 39,070 2,080,478
AFLAC Inc. ................................. 67,100 2,914,656
American Express Company ................... 112,900 18,607,331
American General Corporation ............... 62,362 3,831,365
American International Group, Inc........... 390,437 40,654,253
Bank One Corporation ....................... 289,285 8,624,310
Capital One Financial Corporation .......... 49,700 2,037,700
Chittenden Corporation ..................... 6,761 191,421
Chubb Corporation
44,400 2,497,500
CIGNA Corporation .......................... 48,600 3,487,050
Cincinnati Financial Corporation ........... 41,085 1,181,194
Dime Bancorp, Inc........................... 28,400 401,150
Edwards (A.G.), Inc......................... 23,387 774,694
Fannie Mae ................................. 258,500 15,493,844
Fifth Third Bancorp ........................ 77,825 5,165,634
Issuer Shares Value
- ------ ------ -----
Financials -- Continued
First Tennessee National Corporation ....... 32,900 $ 859,513
Firstar Corporation ........................ 247,200 5,901,900
FirstFed Financial Corp.(b) ................ 4,000 52,250
Freddie Mac ................................ 175,300 8,797,869
Golden West Financial ...................... 40,600 1,195,163
Household International, Inc. .............. 118,546 4,178,747
HSB Group, Inc. ............................ 7,350 202,584
Jefferson-Pilot Corporation ................ 26,450 1,553,938
Lincoln National Corporation ............... 49,300 1,821,019
Marsh & McLennan Companies, Inc. ........... 67,250 6,321,500
MBIA Inc. .................................. 25,100 1,256,569
MBNA Corporation ........................... 202,250 5,106,813
Mellon Financial Corp. ..................... 128,300 4,402,294
Merrill Lynch & Co., Inc. .................. 93,500 8,111,125
MGIC Investment Corporation ................ 27,000 1,257,188
Morgan (J.P.) & Co. Incorporated ........... 43,700 5,366,906
National City Corporation .................. 155,500 3,362,688
Northern Trust Corporation ................. 56,100 3,387,038
PNC Bank Corp. ............................. 74,800 3,590,400
Progressive Corporation (The) .............. 18,300 1,139,175
Providian Financial Corporation ............ 35,800 3,020,625
ReliaStar Financial Corp. .................. 22,400 665,000
SAFECO Corporation ......................... 32,500 796,250
Schwab (Charles) Corporation ............... 206,800 7,457,724
SLM Holding Corporation .................... 40,100 1,561,393
St.Paul Companies, Inc. (The) .............. 57,364 1,731,675
-21-
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Financials -- Continued
SunTrust Banks, Inc. ....................... 80,700 $ 4,806,694
Synovus Financial Corp. .................... 69,950 1,329,050
Torchmark Corporation ...................... 32,900 828,669
U.S. Bancorp................................ 183,500 4,071,405
UnumProvident Corp.......................... 60,500 1,618,375
Value Line, Inc. ........................... 2,400 88,200
Wachovia Corporation ....................... 51,100 3,273,594
Washington Mutual, Inc...................... 145,602 3,694,650
Wells Fargo & Company ...................... 414,200 16,568,000
Wesco Financial Corporation ................ 1,800 477,000
-----------
227,795,563
-----------
Healthcare -- 7.7%
Acuson Corporation (b) ..................... 6,400 86,400
ADAC Laboratories (b) ...................... 4,900 64,313
Allergan, Inc. ............................. 33,200 1,892,400
ALZA Corporation (b) ....................... 25,500 910,031
Becton Dickinson and Company ............... 63,100 1,652,431
Biomet, Inc. ............................... 28,500 1,134,656
Boston Scientific Corporation (b) .......... 104,600 2,170,450
Forest Laboratories, Inc. (b) .............. 21,100 1,424,250
Guidant Corporation (b) .................... 77,500 4,078,438
Humana Inc. (b) ............................ 41,900 335,200
Johnson & Johnson .......................... 350,700 30,182,119
Mallinckrodt Inc. .......................... 17,600 507,100
Manor Care, Inc. (b) ....................... 25,600 340,800
McKesson HBOC, Inc ......................... 71,020 1,460,349
Medtronic,Inc .............................. 301,500 13,793,625
Merck & Co., Inc ........................... 589,500 46,459,969
Mylan Laboratories, Inc. ................... 32,600 867,975
Oxford Health Plans, Inc. (b) .............. 20,600 292,263
Schering-Plough Corporation ................ 370,500 16,302,000
St. Jude Medical, Inc. (b) ................. 21,000 521,063
Issuer Shares Value
- ------ ------ -----
Healthcare -- Continued
Stryker Corporation ........................ 24,500 $ 1,543,500
Sunrise Medical Inc. (b) ................... 5,300 25,175
United American Healthcare Corporation (b) . 800 1,000
Watson Pharmaceuticals, Inc. (b) ........... 24,200 975,561
-----------
127,021,068
-----------
Industrial, Construction & Housing -- 0.1%
American Power Conversion (b) .............. 48,200 1,330,021
---------
1,330,021
---------
Natural Resources -- 0.1%
Apache Corporation ......................... 28,800 1,051,200
---------
1,051,200
---------
Technology -- 36.8%
3Com Corporation (b) ....................... 88,100 4,471,075
Adaptec, Inc. (b) .......................... 25,600 1,340,800
ADC Telecommunications, Inc. (b) ........... 37,700 2,485,844
Advanced Micro Devices, Inc. (b) ........... 36,800 1,334,000
Analog Devices, Inc. (b) ................... 44,000 4,114,000
Apple Computer, Inc. (b) ................... 40,600 4,212,250
Applied Materials, Inc. (b) ................ 95,400 13,093,650
Arrow Electronics, Inc. (b) ................ 23,900 501,900
Autodesk, Inc. ............................. 15,300 467,606
Automatic Data Processing, Inc. ............ 157,674 7,479,660
Avnet, Inc ................................. 10,400 558,350
BMC Software, Inc. (b) ..................... 61,100 2,314,163
Ceridian Corporation (b) ................... 36,200 579,200
Cisco Systems, Inc. ........................ 825,000 90,337,500
Compaq Computer Corporation ................ 428,788 11,738,072
Computer Associates International, Inc. ... 135,900 9,334,631
-22-
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Technology -- Continued
Compuware Corporation (b) .................. 90,300 $ 1,913,231
CPI Corp. .................................. 2,400 53,550
Dell Computer Corporation (b) .............. 640,800 24,710,850
EMC Corporation (b) ........................ 256,600 27,327,900
Gerber Scientific Inc. ..................... 5,300 98,713
Grainger (W.W.), Inc. ...................... 23,400 1,121,738
Hewlett-Packard Company .................... 257,000 27,820,250
Ikon Office Solutions, Inc. ................ 37,600 303,150
Inprise Corporation (b) .................... 14,600 178,850
Intel Corporation .......................... 842,600 83,364,738
Lexmark International Group, Inc. (b) ...... 32,200 3,034,850
LSI Logic Corporation (b) .................. 37,500 3,065,625
Lucent Technologies, Inc. .................. 790,200 43,658,550
Micron Technology, Inc. (b) ................ 68,100 4,234,969
Microsoft Corporation (b) .................. 1,301,400 127,374,525
National Semiconductor Corporation (b) ..... 43,300 2,273,250
Novell, Inc. (b) ........................... 84,000 2,803,500
Paychex, Inc. .............................. 62,200 2,740,688
PE Corp-PE Biosystems Group (b) ............ 6,550 1,319,416
PeopleSoft, Inc. (b) ....................... 67,700 1,523,250
Polaroid Corporation ....................... 10,600 251,750
QRS Corporation (b) ........................ 3,400 245,650
Qualcomm Inc. (b) .......................... 166,400 21,132,800
Sanmina Corporation (b) .................... 14,700 1,561,875
Scientific-Atlanta, Inc. ................... 19,800 1,525,838
Shared Medical Systems Corporation ......... 6,700 296,475
Sun Microsystems, Inc. (b) ................. 394,000 30,953,625
Symantec Corporation (b) ................... 14,500 725,906
Issuer Shares Value
- ------ ------ -----
Technology -- Continued
Tektronix, Inc. ............................ 11,700 $ 474,581
Tellabs, Inc. (b) .......................... 101,500 5,481,000
Texas Instruments Incorporated ............. 202,300 21,823,113
Xerox Corporation .......................... 167,500 3,496,560
Xilinx, Inc. (b) ........................... 80,400 3,678,300
-----------
604,931,767
-----------
Transportation -- 0.8%
Airborne Freight Corporation ............... 12,300 238,313
Alaska Air Group, Inc. (b) ................. 6,700 213,563
AMR Corporation (b) ........................ 40,900 2,200,931
Consolidated Freightways Corporation (b) ... 4,700 27,319
Delta Air Lines, Inc. ...................... 34,600 1,602,413
FDX Holding Corporation (b) ................ 75,300 2,979,056
GATX Corporation ........................... 12,400 356,500
Norfolk Southern Corporation ............... 96,000 1,632,000
Roadway Express, Inc. ...................... 4,700 108,100
Ryder System, Inc. ......................... 16,800 370,650
Southwest Airlines Co. ..................... 127,175 2,026,852
UAL Corporation (b) ........................ 13,400 765,475
Yellow Corporation (b) ..................... 6,000 91,500
----------
12,612,672
----------
Utilities -- 8.77%
AGL Resources Inc. ......................... 14,400 246,600
American Water Works, Inc. ................. 24,000 582,000
Cascade Natural Gas Corporation ............ 2,600 38,513
Cleco Corporation .......................... 5,500 184,938
Connecticut Energy Corporation ............. 2,500 103,594
Eastern Enterprises (b) .................... 6,800 388,875
El Paso Energy Corporation ................. 57,600 1,857,600
Energen Corporation ........................ 6,900 119,025
Enron Corp. ................................ 180,500 12,172,469
-23-
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Utilities-- Continued
Equitable Resources,
Inc........................................ 8,100 $ 279,450
IDACORP Inc................................. 9,500 318,844
KeySpan Corporation......................... 33,700 789,844
LG&E Energy Corp. .......................... 32,200 547,400
MCN Energy Group,Inc........................ 21,300 548,475
National Fuel Gas Company .................. 9,700 432,256
New Century Energies, Inc. ................. 28,900 836,290
NICOR Inc. ................................. 11,800 404,150
Northwest Natural Gas Company .............. 5,800 118,900
Northwestern Corporation.................... 5,300 117,263
OGE Energy Corp............................. 19,400 394,060
Issuer Shares Value
- ------ ------ -----
Utilities-- Continued
Peoples Energy
Corporation................................ 8,900 278,125
Potomac Electric Power Company.............. 29,600 714,100
Questar Corporation......................... 20,600 315,425
Washington Gas Light Company................ 11,600 291,450
Williams Companies, Inc..................... 109,600 4,247,000
----------
26,326,646
----------
Total Investments (a)
98.8% ...................................... $1,623,791,594
Other Assets, less liabilities--1.2% ....... 20,324,234
----------
Net Assets--100.0% ..................................... $1,644,115,828
===== ==============
- ----------
(a) The aggregate cost for book and federal income tax purposes is
$1,184,250,167, the aggregate gross unrealized appreciation is $506,503,389
and the aggregate gross unrealized depreciation is $66,960,960, resulting
in net unrealized appreciation of $439,541,427.
(b) Non-income producing security.
-24-
<PAGE>
Domini Social Index Portfolio
Statement of Assets and Liabilities
January 31, 2000 (unaudited)
ASSETS:
Investments at value (Cost $1,184,250,167) ............... $1,623,791,594
Cash ..................................................... 17,711,370
Receivable for securities sold ........................... 1,611,720
Dividends receivable ..................................... 1,335,971
-------------
Total assets ........................................... 1,644,450,655
-------------
LIABILITIES:
Accrued expenses (Note 2) ................................ 334,827
-------
Total liabilities .......................................... 334,827
-------
NET ASSETS APPLICABLE TO INVESTORS'
BENEFICIAL INTERESTS ..................................... $1,644,115,828
==============
See Notes to Financial Statements
-25-
<PAGE>
Domini Social Index Portfolio
Statement of Operations
Six Months Ended January 31, 2000 (unaudited)
INVESTMENT INCOME
Dividends (net of foreign withholding
tax of $304) ................................... $7,028,645
EXPENSES
Management fee (Note 2) ......................... $1,504,680
Professional fees ............................... 52,157
Custody fees (Note 3) ........................... 165,296
Trustee fees .................................... 9,308
Miscellaneous ................................... 2,365
-----
Total expenses .................................. 1,733,806
Fees paid indirectly ........................... (152,700)
Expenses paid and fee waived by manager ........ (47,176)
--------- ---------
Net expenses ................................... 1,533,930
---------
NET INVESTMENT INCOME ............................ 5,494,715
Net realized gain on investments
Proceeds from sales ............................. $26,354,461
Cost of securities sold ......................... 24,419,372
Net realized gain on investments ............... 1,935,089
Net changes in unrealized appreciation
of investments
Beginning of period ............................. $338,923,398
End of period ................................... 439,541,427
-----------
Net change in unrealized appreciation .......... 100,618,029
-----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ....................... $108,047,833
============
See Notes to Financial Statements
-26-
<PAGE>
Domini Social Index Portfolio
Statement of Changes in Net Assets
Six Months Ended
January 31,2000 Year Ended
(unaudited) July 31,1999
----------- ------------
INCREASE (DECREASE) IN NET ASSETS
From Operations:
Net investment income ....................... $ 5,494,715 $ 7,958,967
Net realized gain on investments ............ 1,935,089 15,875,272
Net change in unrealized apprecation of
investments ................................ 100,618,029 163,202,630
-------------- --------------
Net Increase in Net Assets Resulting from
Operations ........................ 108,047,833 187,036,869
-------------- --------------
Transactions in Investors' Beneficial
Interest:
Additions ................................... 294,103,369 531,746,685
Reductions .................................. (105,440,155) (13,614,408)
-------------- --------------
Net Increase in Net Assets from Transactions
in Investors' Beneficial Interests .... 188,663,214 518,132,277
-------------- --------------
Total Increase in Net Assets ............. 296,711,047 705,169,146
NET ASSETS:
Beginning of period ......................... 1,347,404,781 642,235,635
-------------- --------------
End of period ............................... $1,644,115,828 $1,347,404,781
============== ==============
================================================================================
Financial Highlights
<TABLE>
<CAPTION>
Six Months Ended Year Ended July 31,
January 31,2000 --------------------------------------------------------------------
(unaudited) 1999 1998 1997 1996
----------- -------------- ----------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Assets (000's) ........... $ 1,644,116 $ 1,347,405 $ 642,236 $292,359 $100,401
Ratio of net investment income
to average net assets ..... 0.73%(1) 0.84%(1) 1.05%(2) 1.34% 1.48%(4)
Ratio of expenses to average
net assets................. 0.22%(1)(3) 0.24%(1)(3) 0.24%(2)(3) 0.29%(3) 0.59%(3)(4)
Portfolio turnover rate ...... 2% 8% 5% 1% 5%
</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 six months ended January 31, 2000 would have been 0.72%
and 0.23%, respectively, and 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% for
the six months ended January 31, 2000 and 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.
See Notes to Financial Statements
-27-
<PAGE>
Domini Social Index Portfolio
Notes to Financial Statements
January 31, 2000 (unaudited)
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 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 accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements 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
intended 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.
-28-
<PAGE>
Domini Social Index Portfolio / Notes to Financial Statements--(Continued)
January 31, 2000 (unaudited)
2.TRANSACTIONS WITH AFFILIATES.
(A) Manager. Domini Social Investments LLC ("DSIL"or the "Manager") is
registered as an investment adviser under the Investment Advisers Act of
1940. The services provided by the Manager consist of investment supervisory
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 services
under the Management Agreement, the Manager receives from the Index Portfolio a
fee accrued daily and paid monthly at an annual rate equal to 0.20%. Until
December, 1999 DSIL was waiving its fee to the extent necessary to keep the
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. For
the six months ended January 31, 2000, DSIL waived fees totalling $47,177.
(B) Submanager. Mellon Equity provides investment submanagement services
to the Index Portfolio on a day-to-day basis pursuant to a Submanagement
Agreement 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 six months ended January 31, 2000 aggregated
$189,841,588 and $26,354,461, respectively. Custody fees of the Portfolio were
reduced by $152,700 which was compensation for uninvested cash left on deposit
with the custodian.
-29-
