<PAGE>
Domini Social Index Portfolio
Portfolio of Investments
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Basic Materials -- 0.6%
Air Products & Chemicals, Inc. .......................... 66,700 $ 2,226,113
Bemis Company, Inc. ..................................... 15,400 529,375
Cabot Corporation........................................ 19,400 620,800
Calgon Carbon Corporation................................ 11,200 85,400
Caraustar Industries, Inc. .............................. 7,500 101,250
Catalytica, Incorporated (b)............................. 9,500 108,656
Consolidated Papers, Inc. ............................... 26,400 1,032,900
Echo Bay Mines Ltd (b)................................... 40,700 38,156
Ecolab Inc. ............................................. 37,500 1,342,969
Fuller (H.B.) Company.................................... 4,100 158,363
IMCO Recycling Inc. ..................................... 4,500 21,938
Mead Corporation......................................... 29,700 753,638
Minerals Technologies Inc. .............................. 6,000 287,625
Nucor Corporation........................................ 24,550 926,763
Praxair, Inc. ........................................... 45,800 1,811,963
Ryerson Tull, Inc. ...................................... 7,200 63,450
Sigma-Aldrich Corporation................................ 24,600 670,350
Sonoco Products Company.................................. 28,745 540,765
Stillwater Mining Company (b)............................ 11,100 291,375
Westvaco Corporation..................................... 29,100 798,431
Worthington Industries, Inc. ............................ 24,900 263,006
--------------
12,673,286
--------------
Capital Goods -- 2.1%
American Power Conversion (b)............................ 56,400 1,434,675
Ault Incorporated (b).................................... 1,300 7,313
Avery Dennison Corporation............................... 32,600 1,768,550
Baldor Electric Company.................................. 9,800 180,075
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Capital Goods -- Continued
Brady Corporation....................................... 6,600 $ 200,888
CLARCOR Inc. ........................................... 7,050 147,609
Cooper Industries, Inc. ................................ 26,900 862,481
Cross (A.T.) Company (b)................................ 4,900 25,113
Crown Cork & Seal Company, Inc. ........................ 37,000 515,688
Cummins Engine Company, Inc. ........................... 12,000 384,000
Deere & Company......................................... 68,000 2,622,250
Dionex Corporation (b).................................. 6,400 166,400
Donaldson Co., Inc. (b)................................. 13,300 255,194
Emerson Electric Co. ................................... 124,100 7,577,856
Fastenal Company........................................ 11,000 679,250
Graco Inc. ............................................. 5,875 199,750
Granite Construction Incorporated....................... 7,850 189,381
Herman Miller, Inc. .................................... 22,800 715,350
HON Industries, Inc. ................................... 17,400 464,363
Hubbell Incorporated.................................... 18,060 435,698
Hunt Corporation........................................ 2,900 29,363
Hutchinson Technology Incorporated (b).................. 7,200 107,100
Illinois Tool Works Inc. ............................... 87,700 5,020,825
Ionics, Inc. (b)........................................ 4,700 143,938
Isco, Inc. (b).......................................... 1,600 6,800
Lawson Products, Inc.................................... 2,900 74,675
Leggett & Platt, Inc.................................... 56,800 994,000
Merix Corporation (b)................................... 1,900 95,000
Milacron Inc............................................ 10,300 148,063
Millipore Corporation................................... 13,300 836,238
Molex Incorporated...................................... 57,046 2,683,838
Moore Corporation....................................... 25,600 73,600
National Service Industries, Inc. ...................... 11,800 241,163
New England Business Service, Inc....................... 3,900 80,925
Nordson Corporation..................................... 4,700 265,550
</TABLE>
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Capital Goods -- Continued
Osmonics, Inc. (b).................................... 4,100 $ 36,388
Pitney Bowes Inc. .................................... 74,900 2,593,413
Sealed Air Corporation (b)............................ 24,200 1,219,075
Smith (A.O.) Corporation.............................. 6,800 109,650
Solectron Corporation (b)............................. 173,300 6,986,156
Spartan Motors, Inc. ................................. 3,400 12,538
Standard Register Company............................. 7,900 101,219
Steelcase Inc. ....................................... 8,800 149,600
Thomas & Betts Corporation............................ 16,800 327,600
Thomas Industries Inc. ............................... 4,500 93,938
Toro Company.......................................... 3,700 111,463
Watts Industries, Inc. ............................... 7,600 90,250
Wellman, Inc. ........................................ 9,100 133,088
--------------
41,597,340
--------------
Communication Services -- 7.4%
AT&T Corp. ........................................... 1,086,980 33,628,444
BellSouth Corporation................................. 547,100 21,781,419
Citizens Communications Company (b)................... 76,267 1,277,472
SBC Communications Inc. .............................. 989,028 42,095,505
Sprint Corporation.................................... 254,900 9,080,813
Telephone and Data Systems, Inc. ..................... 17,600 1,960,200
Verizon Communications................................ 790,922 37,173,334
--------------
146,997,187
--------------
Consumer Cyclicals -- 7.1%
American Greetings Corporation........................ 18,700 317,900
Angelica Corporation.................................. 2,500 20,625
Apogee Enterprises, Inc. ............................. 8,000 34,000
AutoZone, Inc. (b).................................... 38,700 885,263
Bandag, Incorporated.................................. 6,000 155,250
Banta Corporation..................................... 7,250 140,016
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Consumer Cyclicals -- Continued
Bassett Furniture Industries............................ 3,400 $ 45,900
Black & Decker Corporation.............................. 24,800 922,250
Block (H&R), Inc. ...................................... 28,400 908,800
Brown Shoe Company, Inc. ............................... 5,300 75,194
Centex Corporation...................................... 17,200 411,725
Champion Enterprises, Inc. (b).......................... 13,700 74,494
Charming Shoppes, Inc. (b).............................. 29,200 164,250
Cintas Corporation...................................... 48,700 2,054,531
Circuit City Stores, Inc. .............................. 59,100 1,355,606
Claire's Stores, Inc. .................................. 14,800 249,750
Cooper Tire and Rubber Company.......................... 21,300 238,294
Costco Wholesale Corporation (b)........................ 129,930 4,230,846
Dana Corporation........................................ 44,000 1,009,250
Delphi Automotive Systems Corp ......................... 163,700 2,424,806
DeVry Inc. (b).......................................... 20,100 680,888
Dillard's, Inc. ........................................ 27,100 370,931
Dollar General Corporation.............................. 95,651 1,757,587
Donnelly Corporation.................................... 1,700 22,313
Dow Jones & Company..................................... 25,800 1,701,188
Enesco Group, Inc. ..................................... 3,900 24,863
Fedders Corporation..................................... 10,300 53,431
Federal-Mogul Corporation............................... 20,400 186,150
Fleetwood Enterprises, Inc. ............................ 9,500 122,906
Gap, Inc. (The)......................................... 247,387 8,859,547
Genuine Parts Company................................... 51,100 1,025,194
Handleman Company (b)................................... 8,200 107,113
Harcourt General........................................ 20,900 1,153,419
Harland (John H.) Company............................... 8,200 109,675
Harman International Industries, Inc. .................. 4,930 311,823
</TABLE>
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Consumer Cyclicals -- Continued
Hartmarx Corporation (b)................................ 8,500 $ 19,656
Hillenbrand Industries, Inc. ........................... 18,100 579,200
Home Depot, Inc. ....................................... 672,697 34,812,070
Huffy Corporation....................................... 2,900 20,481
IMS Health Incorporated................................. 86,400 1,560,600
Interface, Inc. ........................................ 15,000 76,875
Kaufman & Broad Home Corporation........................ 13,900 271,919
Kelly Services, Inc. ................................... 10,375 240,570
Kmart Corporation (b)................................... 139,100 973,700
Lands' End, Inc. (b).................................... 8,700 325,706
Lee Enterprises, Inc. .................................. 12,800 339,200
Lillian Vernon Corporation.............................. 2,600 28,600
Limited, Inc. (The)..................................... 124,900 2,552,644
Liz Claiborne, Inc. .................................... 15,800 616,200
Lowe's Companies, Inc. ................................. 111,200 4,691,250
Mattel, Inc. ........................................... 123,785 1,369,372
May Department Stores Company........................... 96,700 2,296,625
Maytag Corporation...................................... 22,700 768,963
McGraw-Hill Companies, Inc. ............................ 56,600 3,364,163
Media General, Inc. .................................... 7,100 355,000
Men's Wearhouse, Inc. (b)............................... 12,100 313,844
Meredith Corporation.................................... 14,600 464,463
Modine Manufacturing Company............................ 8,500 229,500
New York Times Company.................................. 49,400 2,034,663
Nordstrom, Inc. ........................................ 38,900 680,750
Omnicom Group Inc. ..................................... 51,700 4,394,500
Oshkosh B'Gosh, Inc. ................................... 3,800 60,325
Penney (J.C.) Company, Inc. ............................ 75,500 1,217,438
Pep Boys -- Manny, Moe & Jack........................... 15,400 89,513
Phillips-Van Heusen Corporation......................... 7,900 71,100
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Consumer Cyclicals -- Continued
Pulte Corporation (b)................................... 11,900 $ 272,956
Radio Shack Corporation................................. 54,300 3,061,163
Reebok International Ltd. (b)........................... 16,400 276,750
Rouse Company (The)..................................... 20,300 529,069
Russell Corporation..................................... 9,400 185,063
Scholastic Corporation (b).............................. 4,900 312,988
Sears, Roebuck and Co. ................................. 102,500 3,062,188
Service Corporation International....................... 78,700 201,669
Shaw Industries, Inc. .................................. 37,200 476,625
Sherwin-Williams Company (The).......................... 47,300 984,431
Skyline Corporation..................................... 2,500 50,469
Snap-On Incorporated.................................... 16,950 511,678
Springs Industries, Inc. ............................... 5,200 167,700
SPX Corporation (b)..................................... 9,115 1,305,154
Stanley Works (The)..................................... 25,300 662,544
Staples, Inc. (b)....................................... 140,800 1,944,800
Stride Rite Corporation................................. 12,500 74,219
Target Corporation...................................... 265,200 7,690,800
Tennant Company......................................... 2,600 106,113
Timberland Company (The) (b)............................ 11,600 380,625
TJX Companies, Inc. .................................... 87,200 1,460,600
Toys 'R' Us, Inc. (b)................................... 62,520 1,031,580
Tribune Company (b)..................................... 89,650 2,913,625
Univision Communications Inc. (b)....................... 29,900 3,715,075
Venator Group, Inc. (b)................................. 39,800 562,175
VF Corporation.......................................... 33,000 726,000
Walgreen Company........................................ 293,000 9,137,938
Washington Post Company................................. 2,700 1,296,000
Whirlpool Corporation................................... 21,100 911,256
--------------
141,035,921
--------------
Consumer Staples -- 14.9%
Alberto-Culver Company.................................. 16,100 489,038
Albertson's, Inc. ...................................... 123,200 3,719,100
Avon Products, Inc. .................................... 69,000 2,738,438
</TABLE>
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Consumer Staples -- Continued
Bergen Brunswig Corporation............................. 38,936 $ 340,690
Bestfoods............................................... 79,800 5,556,075
Bob Evans Farms, Inc. .................................. 10,700 171,200
Campbell Soup Company................................... 122,800 3,254,200
Church & Dwight Co., Inc. .............................. 11,000 193,875
Clorox Company.......................................... 68,200 2,817,513
Coca-Cola Company....................................... 719,600 44,120,475
Colgate-Palmolive Company............................... 167,700 9,338,794
Comcast Corporation (b)................................. 261,000 8,878,072
CVS Corporation......................................... 113,400 4,472,213
Darden Restaurants, Inc. ............................... 35,800 583,988
Deluxe Corporation...................................... 20,900 449,350
Disney, Walt Company (The).............................. 604,100 23,371,119
Donnelley (R.R.) & Sons Company......................... 35,200 783,200
Fleming Companies, Inc. ................................ 11,400 178,838
Fort James Corporation.................................. 59,800 1,827,638
General Mills Incorporated.............................. 84,700 2,911,563
Gillette Company........................................ 303,500 8,858,406
Great Atlantic & Pacific Tea Company, Inc............... 11,100 159,563
Heinz (H.J.) Company.................................... 102,400 4,089,600
Hershey Foods Corporation............................... 39,900 1,845,375
Horizon Organic Holding Corporation (b)................. 2,800 32,725
Kellogg Company......................................... 117,900 3,058,031
Kimberly-Clark Corporation.............................. 161,564 9,279,832
Kroger Co. (b).......................................... 242,800 5,022,925
Longs Drug Stores Corporation........................... 11,400 230,850
Luby's, Inc. ........................................... 6,500 52,813
McDonald's Corporation.................................. 388,500 12,237,750
Nature's Sunshine Products, Inc. ....................... 4,900 39,200
Newell Rubbermaid, Inc. ................................ 77,478 2,087,064
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Consumer Staples -- Continued
Odwalla, Inc. (b)..................................... 1,500 $ 10,688
Oneida Ltd. .......................................... 4,700 85,188
PepsiCo, Inc. ........................................ 419,000 19,195,438
Procter & Gamble Company.............................. 380,300 21,629,563
Quaker Oats Company................................... 38,100 2,562,225
Ralston Purina Company................................ 89,200 1,800,725
Ruby Tuesday, Inc. ................................... 17,800 219,163
Ryan's Family Steakhouse, Inc. (b).................... 9,400 85,775
Smucker (J.M.) Company................................ 8,200 147,600
Starbucks Corporation (b)............................. 53,400 2,002,500
SUPERVALU Inc. ....................................... 38,000 672,125
SYSCO Corporation..................................... 96,900 3,815,438
Tootsie Roll Industries, Inc.......................... 9,669 365,609
Tupperware Corporation................................ 16,700 324,606
Viacom, Inc. (b)...................................... 40,000 2,667,500
Wal-Mart Stores, Inc. ................................ 1,295,900 71,193,506
Wendy's International, Inc. .......................... 32,900 557,244
Whitman Corporation................................... 39,400 588,538
Whole Foods Market, Inc. (b).......................... 7,500 335,156
Wild Oats Markets, Inc. (b)........................... 6,650 67,331
Wrigley (Wm.) Jr. Company............................. 33,200 2,523,200
--------------
294,038,631
--------------
Energy -- 0.4%
Anadarko Petroleum Corporation........................ 100,685 4,814,002
Apache Corporation.................................... 33,100 1,646,725
Helmerich & Payne, Inc. .............................. 14,400 460,800
Rowan Companies, Inc. (b)............................. 27,100 684,275
</TABLE>
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Energy -- Continued
Santa Fe Snyder Corporation (b)......................... 52,700 $ 527,000
Sunoco, Inc. ........................................... 25,600 624,000
--------------
8,756,802
--------------
Financials -- 15.3%
Aetna, Inc. ............................................ 40,970 2,273,835
AFLAC Inc. ............................................. 77,200 4,009,575
American Express Company................................ 388,400 22,017,425
American General Corporation............................ 72,262 4,818,972
American International Group, Inc. ..................... 672,206 58,944,021
AmSouth Bancorporation (b).............................. 114,200 1,919,988
Bank One Corporation.................................... 333,485 10,608,992
Capital One Financial Corporation....................... 56,900 3,335,763
Chittenden Corporation.................................. 8,261 214,270
Chubb Corporation....................................... 50,900 3,766,600
CIGNA Corporation....................................... 47,300 4,724,088
Cincinnati Financial Corporation........................ 46,785 1,766,134
Comerica Incorporated (b)............................... 45,500 2,320,500
Dime Bancorp, Inc. ..................................... 32,300 520,838
Edwards (A.G.), Inc. ................................... 25,787 1,363,488
Fannie Mae.............................................. 292,900 14,608,388
Fifth Third Bancorp..................................... 135,138 5,582,868
First Tennessee National Corporation.................... 37,600 686,200
Firstar Corporation..................................... 282,000 5,569,500
FirstFed Financial
Corp. (b).............................................. 5,000 80,000
Freddie Mac............................................. 202,100 7,970,319
Golden West Financial................................... 46,000 2,116,000
Household International, Inc. .......................... 137,546 6,129,394
HSB Group, Inc. ........................................ 8,350 296,425
Jefferson-Pilot Corporation............................. 29,850 1,820,850
KeyCorp................................................. 126,400 2,219,900
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Financials -- Continued
Lincoln National Corporation............................ 55,700 $ 2,429,913
Marsh & McLennan Companies, Inc. ....................... 78,350 9,558,700
MBIA Inc. .............................................. 28,600 1,592,663
MBNA Corporation........................................ 233,150 7,781,381
Mellon Financial Corp. ................................. 142,800 5,381,775
Merrill Lynch & Co., Inc. ............................. 112,800 14,579,400
MGIC Investment Corporation............................. 30,800 1,749,825
Morgan (J.P.) & Co. Incorporated........................ 47,200 6,301,200
National City Corporation............................... 176,300 3,129,325
Northern Trust Corporation.............................. 64,600 4,836,925
PNC Financial Services Group............................ 84,400 4,293,850
Progressive Corporation (The)........................... 21,200 1,425,700
Providian Financial Corporation......................... 41,400 4,220,213
ReliaStar Financial Corp. .............................. 25,900 1,377,556
SAFECO Corporation...................................... 36,900 851,006
Schwab (Charles) Corporation............................ 395,900 14,301,888
SLM Holding Corporation................................. 45,500 1,959,344
St. Paul Companies, Inc. (The).......................... 61,664 2,740,194
Stilwell Financial, Inc. (b)............................ 64,800 2,855,250
SunTrust Banks, Inc. ................................... 87,900 4,208,213
Synovus Financial Corp. ................................ 82,150 1,478,700
Torchmark Corporation................................... 37,100 922,863
U.S. Bancorp............................................ 218,600 4,194,388
UnumProvident Corp. .................................... 69,900 1,607,700
Value Line, Inc. ....................................... 2,900 113,100
Wachovia Corporation.................................... 58,900 3,239,500
Washington Mutual, Inc. ................................ 159,302 5,117,577
</TABLE>
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Financials -- Continued
Wells Fargo & Company................................... 468,500 $ 19,354,906
Wesco Financial Corporation............................. 2,100 474,600
--------------
301,761,988
--------------
Healthcare -- 7.7%
Acuson Corporation (b).................................. 8,000 98,500
ADAC Laboratories (b)................................... 6,000 118,875
Allergan, Inc. ......................................... 37,700 2,523,544
ALZA Corporation (b).................................... 29,700 1,923,075
Becton Dickinson and Company............................ 73,400 1,853,350
Biomet, Inc. ........................................... 34,400 1,539,400
Boston Scientific Corporation (b)....................... 118,500 1,962,656
Forest Laboratories, Inc. (b)........................... 24,600 2,632,200
Guidant Corporation (b)................................. 89,100 5,023,013
Humana Inc. (b)......................................... 48,500 354,656
Johnson & Johnson....................................... 404,400 37,634,475
Mallinckrodt Inc. ...................................... 19,400 887,550
Manor Care, Inc. (b).................................... 29,600 292,300
McKesson HBOC, Inc. .................................... 81,920 1,991,680
Medtronic, Inc. ........................................ 348,000 17,769,750
Merck & Co., Inc. ...................................... 668,600 47,930,263
Mylan Laboratories, Inc. ............................... 37,400 794,750
Oxford Health Plans, Inc. (b)........................... 23,800 569,713
PE Corp-Celera Gen (b).................................. 16,600 1,442,125
Quintiles Transnational Corp. (b)....................... 33,300 522,394
Schering-Plough Corporation............................. 425,700 18,384,919
St. Jude Medical, Inc. (b).............................. 24,400 1,006,500
Stryker Corporation..................................... 56,700 2,434,556
Sunrise Medical Inc. (b)................................ 6,400 30,000
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Healthcare -- Continued
United American Healthcare Corporation (b)............ 2,000 $ 1,125
Watson Pharmaceuticals, Inc. (b)...................... 28,100 1,552,525
--------------
151,273,894
--------------
Technology -- 41.2%
3Com Corporation (b).................................. 102,000 1,383,375
Adaptec, Inc. (b)..................................... 30,100 744,975
ADC Telecommunications, Inc. (b)...................... 196,200 8,228,138
Advanced Micro Devices, Inc. (b)...................... 44,500 3,201,219
America Online........................................ 668,000 35,612,750
Analog Devices, Inc. (b).............................. 102,900 6,881,438
Apple Computer, Inc. (b).............................. 94,600 4,806,863
Applied Materials, Inc. (b)........................... 234,800 17,815,450
Arrow Electronics, Inc. (b)........................... 27,900 922,444
AstroPower, Inc. (b).................................. 3,300 69,919
Autodesk, Inc. ....................................... 16,900 365,463
Automatic Data Processing, Inc. ...................... 182,374 9,038,911
Avnet, Inc. .......................................... 12,800 728,800
BMC Software, Inc. (b)................................ 71,000 1,340,125
Ceridian Corporation (b).............................. 41,900 953,225
Cisco Systems, Inc. (b)............................... 2,022,500 132,347,344
Compaq Computer Corporation........................... 493,688 13,854,120
Computer Associates International, Inc................ 171,100 4,245,419
Compuware Corporation (b)............................. 104,200 833,600
CPI Corp. ............................................ 2,500 62,031
</TABLE>
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Technology -- Continued
Dell Computer Corporation (b)......................... 748,700 $ 32,896,006
EMC Corporation (b)................................... 630,900 53,705,363
Gerber Scientific Inc. ............................... 6,400 64,000
Grainger (W.W.), Inc. ................................ 27,200 863,600
Hewlett-Packard Company............................... 290,800 31,751,725
Ikon Office Solutions, Inc. .......................... 43,200 175,500
Inprise Corporation (b)............................... 17,800 97,900
Intel Corporation..................................... 1,947,400 129,988,950
Lexmark International Group, Inc. (b)................. 37,600 1,694,350
LSI Logic Corporation (b)............................. 89,300 3,025,038
Lucent Technologies, Inc. ............................ 946,800 41,422,500
Micron Technology, Inc. (b)........................... 161,300 13,145,950
Microsoft Corporation (b)............................. 1,530,000 106,813,125
National Semiconductor Corporation (b)................ 51,300 1,856,419
Novell, Inc. (b)...................................... 95,200 916,300
Palm, Inc. (b)........................................ 151,287 5,900,204
Paychex, Inc. ........................................ 108,000 4,941,000
PeopleSoft, Inc. (b).................................. 80,200 1,749,363
Polaroid Corporation.................................. 13,000 235,625
QRS Corporation (b)................................... 4,400 80,850
Qualcomm, Inc. (b).................................... 215,500 13,994,031
Sanmina Corporation (b)............................... 43,100 4,002,913
Scientific-Atlanta, Inc. ............................. 46,300 3,565,100
Sun Microsystems, Inc. (b)............................ 461,200 48,627,775
Symantec Corporation (b).............................. 17,200 881,500
Tektronix, Inc. ...................................... 13,900 854,850
Tellabs, Inc. (b)..................................... 119,100 7,741,500
Texas Instruments Incorporated........................ 475,800 27,923,513
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Technology -- Continued
Xerox Corporation....................................... 193,700 $ 2,881,288
Xilinx, Inc. (b)........................................ 93,400 7,010,838
Yahoo! Inc. (b)......................................... 158,000 20,332,625
--------------
812,575,310
--------------
Transportation -- 0.7%
Airborne Freight Corporation............................ 14,200 219,213
Alaska Air Group, Inc. (b).............................. 7,600 208,525
AMR Corporation (b)..................................... 43,300 1,431,606
Consolidated Freightways Corporation (b)................ 6,200 27,319
Delta Air Lines, Inc. .................................. 35,600 1,911,275
Fed Ex Holding Corporation (b).......................... 84,300 3,340,388
GATX Corporation........................................ 13,800 551,137
Kansas City Southern Industries, Inc. (b)............... 32,200 223,388
Norfolk Southern Corporation............................ 111,400 2,074,825
Roadway Express, Inc. .................................. 5,600 133,000
Ryder System, Inc. ..................................... 17,200 359,050
Southwest Airlines Co. ................................. 144,275 3,408,497
UAL Corporation......................................... 14,400 779,400
Yellow Corporation (b).................................. 7,300 117,256
--------------
14,784,879
--------------
Utilities -- 1.7%
AGL Resources Inc. ..................................... 15,700 283,581
American Water Works, Inc. ............................. 28,300 686,275
Cascade Natural Gas Corporation......................... 3,200 52,800
Cleco Corporation....................................... 6,500 239,687
Eastern Enterprises..................................... 7,800 488,475
El Paso Energy Corporation.............................. 67,200 3,250,800
Energen Corporation..................................... 8,700 195,750
Enron Corp. ............................................ 212,800 15,667,400
Equitable Resources, Inc. .............................. 9,500 494,594
IDACORP Inc. ........................................... 10,900 403,300
</TABLE>
<PAGE>
Domini Social Index Portfolio / Portfolio of Investments--(Continued)
July 31, 2000
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Utilities -- Continued
KeySpan Corporation...................................... 38,700 $ 1,228,725
LG&E Energy Corp. ....................................... 37,500 909,375
MCN Energy Group, Inc. .................................. 24,800 536,300
National Fuel Gas Company................................ 11,300 557,231
NICOR Inc. .............................................. 13,400 464,813
Northwest Natural Gas Company............................ 7,300 168,813
Northwestern Corporation................................. 6,700 154,100
OGE Energy Corp. ........................................ 22,500 427,500
Peoples Energy Corporation............................... 10,200 323,213
Potomac Electric Power Company........................... 34,300 846,781
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
------ ------ -----
<S> <C> <C>
Utilities -- Continued
Questar Corporation..................................... 23,100 $ 450,450
Southern Union
Company (b)............................................ 14,300 246,674
Washington Gas Light Company............................ 13,400 329,931
Williams Companies, Inc. ............................... 128,400 5,360,705
--------------
33,767,274
--------------
Total Investments (a) 99.3%............................. 1,959,262,503
Other Assets, less liabilities -- 0.7%.................. 14,359,213
--------------
Net Assets -- 100.0%.................................... $1,973,621,716
==============
</TABLE>
-----------
(a) The aggregate cost for book and federal income tax purposes is
$1,567,009,801, the aggregate gross unrealized appreciation is $512,603,748
and the aggregate gross unrealized depreciation is $120,351,041, resulting
in net unrealized appreciation of $392,252,702.
(b) Non-income producing security.
<PAGE>
Domini Social Index Portfolio
Statement of Assets and Liabilities
July 31, 2000
<TABLE>
<S> <C>
ASSETS:
Investments at value (Cost $1,567,009,801).................... $1,959,262,503
Cash.......................................................... 12,185,653
Receivable for securities sold................................ 5,365,340
Dividends receivable.......................................... 1,357,917
--------------
Total assets................................................. 1,978,171,413
--------------
LIABILITIES:
Accrued expenses (Note 2)..................................... 348,400
Payable for securities purchased.............................. 4,201,297
--------------
Total liabilities............................................ 4,549,697
--------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS........ $1,973,621,716
==============
</TABLE>
See Notes to Financial Statements
<PAGE>
Domini Social Index Portfolio
Statement of Operations
Year Ended July 31, 2000
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of
$617).......................................... $ 14,883,532
EXPENSES
Management fee (Note 2).......................... $ 3,282,473
Custody fees (Note 3)............................ 485,655
Professional fees................................ 55,654
Miscellaneous.................................... 45,148
Trustee fees..................................... 17,600
------------
Total expenses................................... 3,886,530
Fees paid indirectly (Note 3)................... (462,942)
Expenses paid and fee waived by manager
(Note 2)...................................... (24,857)
------------
Net expenses..................................... 3,398,731
------------
NET INVESTMENT INCOME.............................. 11,484,801
Net realized gain on investments
Proceeds from sales.............................. $142,028,419
Cost of securities sold.......................... 89,680,985
------------
Net realized gain on investments................ 52,347,434
Net changes in unrealized appreciation
of investments
Beginning of period.............................. $338,923,398
End of period.................................... 392,252,702
------------
Net change in unrealized appreciation........... 53,329,304
------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $117,161,539
============
</TABLE>
See Notes to Financial Statements
<PAGE>
Domini Social Index Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Year Ended Year Ended
July 31, 2000 July 31, 1999
-------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From Operations:
Net investment income....................... $ 11,484,801 $ 7,958,967
Net realized gain on investments............ 52,347,434 15,875,272
Net change in unrealized appreciation of
investments............................... 53,329,304 163,202,630
-------------- --------------
Net Increase in Net Assets Resulting from
Operations............................... 117,161,539 187,036,869
-------------- --------------
Transactions in Investors' Beneficial
Interest:
Additions................................... 774,293,376 531,746,685
Reductions.................................. (265,237,980) (13,614,408)
-------------- --------------
Net Increase in Net Assets from
Transactions in Investors' Beneficial
Interests................................ 509,055,396 518,132,277
-------------- --------------
Total Increase in Net Assets............. 626,216,935 705,169,146
NET ASSETS:
Beginning of period......................... 1,347,404,781 642,235,635
-------------- --------------
End of period............................... $1,973,621,716 $1,347,404,781
============== ==============
-------------------------------------------------------------------------------
</TABLE>
Financial Highlights
<TABLE>
<CAPTION>
Year Ended July 31,
---------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Assets (000's)...... $1,973,622 $1,347,405 $642,236 $292,359 $100,401
Ratio of net investment
income to average net
assets................ 0.70%(/1/) 0.84%(/1/) 1.05%(/2/) 1.34% 1.48%(/4/)
Ratio of expenses to
average net assets.... 0.24%(/1/)(/3/) 0.24%(/1/)(/3/) 0.24%(/2/)(/3/) 0.29%(/3/) 0.59%(/3/)(/4/)
Portfolio turnover
rate.................. 9% 8% 5% 1% 5%
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
(/1/)Reflects a voluntary expense reimbursement and fee waiver of 0.002% 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 as-
sets would have been 0.70% and 0.24, for the year ended July 31, 2000 re-
spectively, and would have been 0.83% and 0.25%, for the year ended July
31, 1999 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%, respective-
ly.
(/3/)Ratio of expenses to average net assets for the years ended July 31, 2000,
1999, 1998, 1997 and 1996 include indirectly paid expenses. Excluding in-
directly paid expenses, the expense ratios would have been 0.21%, 0.20%,
0.20%, 0.25% and 0.50% for the years ended July 31, 2000, 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 year ended
July 31,1996 would have been 1.14% and 0.85% respectively.
See Notes to Financial Statements
<PAGE>
Domini Social Index Portfolio
Notes to Financial Statements
July 31, 2000
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 effective on
August 10, 1990 and began investment operations on June 3, 1991.
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America 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 provided by independent pricing services, or at
the last reported bid price if no sales are reported. In the absence of readily
available market quotations, securities are valued at fair value determined in
accordance with procedures adopted by the Board of Trustees.
(B) Dividend Income: Dividend income is recorded 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.
<PAGE>
Domini Social Index Portfolio / Notes to Financial Statements--(Continued)
July 31, 2000
(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
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 year ended July 31, 2000, DSIL waived fees totalling $24,857.
(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 proceeds from sales of investments, other than U.S.
Government securities and short-term obligations, for the year ended July 31,
2000 aggregated $634,201,236 and $142,028,419, respectively. Custody fees of
the Portfolio were reduced by $462,942 which was compensation for uninvested
cash left on deposit with the custodian.
<PAGE>
[LOGO OF KPMG]
Independent Auditors' Report
The Board of Trustees and Investors
Domini Social Index Portfolio:
We have audited the accompanying statement of assets and liabilities, includ-
ing the portfolio of investments, of the Domini Social Index Portfolio as of
July 31, 2000, and the related statement of operations for the year then end-
ed, 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 auditing standards generally ac-
cepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the finan-
cial 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, 2000 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 over-
all financial statement presentation. We believe that our audits 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, 2000, the results of its opera-
tions 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 accounting
principles generally accepted in the United States of America.
KPMG LLP
Boston, Massachusetts
September 15, 2000
