<PAGE>
[LOGO OF GREEN CENTURY FUNDS APPEARS HERE] ANNUAL REPORT
Green Century Balanced Fund
June 30, 1996
Green Century Equity Fund
July 31, 1996
An Investment For Your Future. 29 Temple Place, Boston, Massachusetts 02111
For information on the Green Century Funds (R), call 1-800-93-GREEN.
For information on opening an account, details on account services and
information about existing accounts, call 1-800-221-5519. For share price and
current yield information, call 1-800-882-8316 24 hours a day.
- --------------------------------------------------------------------------------
Dear Green Century Funds Shareholder:
Green Century concluded Fiscal 1996, our fifth fiscal year of
environmentally responsible investing, with continued confidence in our mission
and pride in our accomplishments. Both Green Century Funds produced strong
returns this year. Our Balanced Fund's performance was superior compared to
that of funds with a similar investment objective and the Equity Fund's
performance was consistently competitive. Assets in both funds grew in 1996.
Green Century persisted in our efforts to promote corporate environmental
responsibility both by investing in proactive companies seeking solutions to
environmental problems and by advocating for increased responsibility within
some of the companies the Funds hold. The Green Century Balanced Fund received
mention for its strong performance in Money magazine, the Wall Street Journal,
the San Francisco Chronicle, and the Washington Post, as well as other
publications.
INVESTMENT PERFORMANCE
The equity markets enjoyed strong returns during the first half of
calendar 1996 and both our funds participated in the rally. The Green Century
Balanced Fund's total return for its fiscal year ended June 30, 1996 was
21.98%, superior performance compared to the average balanced fund tracked by
Lipper Analytical Services, Inc. ("Lipper"), which returned 15.52% for the same
period. This performance resulted in Lipper ranking the Green Century Balanced
Fund 10th out of a universe of 247 balanced funds for the year. For the three
year period ended June 30, 1996, the Green Century Balanced Fund's average
annual total return was 10.49%, compared to 10.47% for the average balanced
fund tracked by Lipper for that period. Since inception on March 18, 1992, the
average annual total return was 7.78%.
The Balanced Fund's portfolio manager, Jack Robinson of Winslow
Management Company, positioned the equities portion of the portfolio in
performance driven, environmentally responsible companies early in the fiscal
year. He also moved the bond portion of the portfolio into a mix of US
Treasuries, high yield corporate, and convertible bonds this year.
Winslow's additions to the Balanced Fund's portfolio include many
environmentally innovative companies that are "part of the solution." Toronto-
based Philip Environmental recycles industrial waste into usable materials,
currently diverting 70% of materials collected from the waste stream. The
company's innovations include converting cable and wire waste into reusable
copper and plastic. Thermo Fibertek, a Massachusetts company, makes equipment
designed to turn office waste paper and old newspapers into fiber for producing
recycled paper. Fort Howard Corporation of Green Bay, Wisconsin produces Green
Forest, the leading brand of recycled tissue paper products. Australia-based
Memtec manufactures purification and separation systems for water supply
systems. Wholesome and Hearty Foods of Portland, Oregon manufactures the
Gardenburger and other meatless food products.
The Green Century Equity Fund's total return for its fiscal year
ended July 31, 1996 was 14.16%, just shy of the return for the Standard &
Poor's 500 Index (the "S&P 500") of 15.82% for the same
<PAGE>
period. In comparison to the S&P 500, the Equity Fund benefited from its
underexposure to the chemicals industry and its overexposure to the business
machine and beverages industries. The Fund suffered from its underexposure to
companies in the aerospace, international oil, and tobacco industries relative
to the S&P 500. The Equity Fund's 14.16% return for the year ended July 31
includes the effect of the mid-July fall, or correction, in the stock market.
For the three year period ended July 31, 1996, the average annual total return
for the Fund was 13.17%. The five year average annual total return was 12.89%.
Since inception on June 3, 1991, the average annual total return was 11.62%.*
An index fund, the Equity Fund invests primarily in a portfolio
invested in the stocks of the 400 socially and environmentally screened
companies which compose the Domini Social Index. As of July 31, 1996, 99.23%
of the net assets of the Fund were invested in the stocks of the 400
companies.
SHAREHOLDER ACTIVISM
While all the companies held in the portfolios of the Green Century
Funds must meet our standards for environmental corporate responsibility, some
of the firms in which we invest could increase their efforts to be better
corporate citizens. To that end, Green Century uses its power as a shareholder
to advocate for change. We sponsor shareholder resolutions and we support the
efforts of other environmentally and socially conscious investors to convince
corporate management that more can and should be done.
This May, Green Century Trustee Wendy Wendlandt presented a
resolution at the Time Warner shareholder meeting demanding that the company
report on when it will convert to chlorine free paper. As a user of 800 tons
of paper per week, Time's conversion to chlorine free paper could move the
entire paper industry to adjust to a safer bleaching process. The company had
promised in 1992 to make such a conversion "as soon as it is practical to do
so." We now demand to know when that will be. While our resolution did not win
a majority, we achieved a respectable 5.5% of the vote and helped spur Time
Warner president Gerald Levin to seek a dialogue with the proponents of the
resolution.
In a victory for community environmental activists, the Jessie Smith
Noyes Foundation and Green Century were able to withdraw the resolution we co-
filed with Intel this year because the company agreed to share information on
Intel's potential environmental and safety hazards with the public. Intel's
new Environmental, Health and Safety Policy is being monitored by the
resolution's proponents and community activists.
As the owner of a portfolio that owns the stocks of 400 companies,
the Equity Fund has opportunities to vote its shares on a myriad of
environmental and social issues. For example, the Equity Fund's holding in
PepsiCo voted to require the company to make all of its restaurants smokefree.
The Equity Fund's adviser also supported a shareholder resolution which
advocated that Equitable Resources report on the CERES Principles, a set of
comprehensive corporate environmental standards and disclosure requirements.
Thank you for your continuing confidence and investment in the Green
Century Funds.
With respect,
The Green Century Funds
* The Green Century Equity Fund, which commenced investment operations in
September, 1995, invests all of its assets in an existing separate registered
investment company which has the same investment objective as the Fund (the
"Index Portfolio"). Consistent with regulatory guidance, performance for the
period prior to the Fund's inception reflects the performance of the Index
Portfolio adjusted to reflect the deduction of the charges and expenses of the
Fund.
The performance data quoted represents past performance and is not a guarantee
of future results. Investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. Lipper Analytical Services, Inc. is a respected
mutual fund ranking service. The S&P 500 is an unmanaged index broadly
representative of the US stock market. This material must be proceeded or
accompanied by a current prospectus. Distributor: Signature Broker-Dealer
Services, Inc.
2
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
GREEN CENTURY BALANCED FUND
INVESTMENT OBJECTIVE--The Green Century Balanced Fund seeks growth and income
from a diversified portfolio of equity and fixed-income securities. The Fund
invests in the securities of environmentally responsible and environmentally
proactive companies.
PORTFOLIO ORIENTATION--The Fund is invested in equity and fixed income
securities of performance driven, environmentally responsible companies. Equity
holdings focus on growth companies that have earnings growth greater than that
of the overall market, a rate of growth that the Fund's portfolio manager
believes will ultimately generate superior stock performance. The fixed-income
portion of the portfolio is comprised of US Treasuries as well as debt of
investment and non-investment grade environmentally responsible companies.
ECONOMIC ENVIRONMENT--Interest rates began falling in April, 1995 and hit
their recent lows in January, 1996. During that period the Federal Reserve had
been easing the Federal Funds rate from 6.00% in July, 1995 to 5.25% in
January, 1996 where it currently stands. While the economy slowed, inflation
remained benign and corporate profits grew. The stock market reached new highs
in the second calendar quarter of 1996, followed by a correction at mid-year.
INVESTMENT STRATEGY AND PERFORMANCE--The Balanced Fund's investment advisers
believe that environmental responsibility and economic gain go hand in hand.
The premise of the Fund is that environmental responsibility enhances corporate
profitability, which in turn can produce superior shareholder returns.
The performance objective of the Fund is to be in the top quartile of all
balanced funds. In order to reach this goal, the Fund is positioned in
financially driven companies that are profitably selling ecologically
sustainable solutions. Environmentally sound companies frequently enjoy higher
profitability through lower costs and participation in growth markets. In
addition, this investment strategy helps to avoid companies at risk due to
exposure to environmental liability.
The Fund's total return for the fiscal year was 21.98%, compared to 15.52%
for the average balanced fund tracked by Lipper Analytical Services, Inc.
during the same time period. The Fund was ranked #10 out of a universe of 247
balanced funds by Lipper. The Fund's average annual total return since
inception on March 18, 1992, was 7.78%.
------------------------------
GROWTH OF A $10,000 INVESTMENT
------------------------------
<TABLE>
<CAPTION>
Green Micropal Micropal
Century S&P Balanced Environmental
Balanced 500 Index Index
-------- --- -------- -------------
<S> <C> <C> <C> <C>
3/31/92 $10,000 $10,000 $10,000 $10,000
6/30/92 10,015 10,190 10,120 9,083
6/30/93 10,385 11,576 11,526 9,298
6/30/94 9,987 11,738 11,651 8,843
6/30/95 11,486 14,794 13,463 10,483
6/30/96 14,010 18,637 15,544 12,732
</TABLE>
The S&P 500 Index is an unmanaged index of 500 stocks.
The Micropal Balanced Fund Index is a time weighted index of the returns of
mutual funds that seek to achieve current income, growth of income and
principal, and principal preservation through investment in a portfolio composed
of bonds, stocks, and money market securities.
The Micropal Environmental Sector Index is a time weighted index of the returns
of mutual funds that seek investments primarily in the environmental services
sector of the economy.
-----------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------------
<TABLE>
<S> <C>
One year ended June 30, 1996.............................. 21.98%
----------------------------------------------------------------
Inception (March 18, 1992) to June 30, 1996............... 7.78%
</TABLE>
3
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
GREEN CENTURY EQUITY FUND
INVESTMENT OBJECTIVE--The Green Century Equity Fund seeks long-term total
return from a diversified portfolio of stocks which corresponds to the
performance of an index consisting of approximately 400 companies selected for
their positive contributions to environmental and social responsibility.
PORTFOLIO ORIENTATION--The Fund seeks to achieve its investment objective by
investing all its assets in the 400 companies which comprise the Domini Social
Index Portfolio (the "Index Portfolio"). Like other index funds, the Equity
Fund is not actively managed in the traditional investment sense, but rather
seeks to track the performance of a broad based index. The Equity Fund thus
provides an investor with the opportunity to be nearly fully invested at all
times in a broad and diverse portfolio of stocks.
In evaluating stocks for inclusion in the index, the Index Portfolio's
Adviser considers a company's environmental performance, employee relations,
corporate citizenship, and the quality of the company's products and its
attitudes with regard to consumer issues. Companies are excluded which, based
on data available, derive more than 2% of their gross revenues from the sale of
military weapons; derive any revenues from the manufacture of tobacco products
or alcoholic beverages; derive any revenues from gambling enterprises; own
directly or operate nuclear power plants or participate in businesses related
to the nuclear fuel cycle.
INVESTMENT STRATEGY AND PERFORMANCE--The Equity Fund's managers believe that
enterprises which exhibit a social awareness should be better prepared to meet
future societal needs for goods and services and may be less likely to incur
certain legal liabilities that may be charged when a product or service is
determined to be harmful. The Fund's managers also believe that such
enterprises should over the long term be able to provide investors with a
return that is competitive with enterprises that do not exhibit such social
awareness.
The Fund's total return for its fiscal year was 14.16%, compared to 15.82%
for the Standard & Poor's 500 Index (the "S&P 500"). The S&P 500 is an
unmanaged securities index. Its performance reflects reinvestment of dividends
and distributions but not management and other operating expenses, as does the
Fund's performance. For the five years ended July 31, 1996, the Equity Fund's
average annual total return was 12.89%, compared to 13.48% for the S&P 500. The
Fund's average annual total return since inception on June 3, 1991 was 11.62%.
------------------------------
GROWTH OF A $10,000 INVESTMENT
------------------------------
<TABLE>
<CAPTION>
Green
Century S&P
Balanced 500
-------- ---
<S> <C> <C>
6/03/91 $10,000 $10,000
7/31/91 9,994 9,987
7/31/92 11,144 11,262
7/31/93 12,169 12,243
7/31/94 12,433 12,873
7/31/95 15,452 16,230
7/31/96 17,639 18,796
</TABLE>
The S&P 500 Index is an unmanaged index of 500 stocks. Performance on the
accompanying graph for the S&P 500 commences on May 31, 1991.
-----------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------------
<TABLE>
<S> <C>
One year ended July 31, 1996.............................. 14.16%
----------------------------------------------------------------
Five years ended July 31, 1996............................ 12.89%
----------------------------------------------------------------
Inception (June 3, 1991) to July 31, 1996................. 11.62%
</TABLE>
4
<PAGE>
GREEN CENTURY BALANCED FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
COMMON STOCKS--70.2%
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
<S> <C> <C>
ENVIRONMENTAL PRODUCTS & SERVICES--24.0%
Caraustar Industries, Inc. .................................. 5,000 $ 132,500
Galileo Electro--Optics Corp. (b)............................ 15,000 360,000
Memtec LTD ADR (c)........................................... 7,500 275,625
Minerals Technologies, Inc. ................................. 6,000 205,500
Philip Environmental Inc. (b)................................ 35,000 275,625
Thermo Electron Corp. (b) ................................... 7,500 312,187
Thermo Fibertek Inc. (b)..................................... 15,000 253,125
Thermo Remediation Inc. ..................................... 12,800 160,000
----------
1,974,562
----------
TECHNOLOGY--12.7%
Banyan Systems Inc. (b)...................................... 10,000 72,500
Checkpoint Systems, Inc. (b)................................. 7,500 256,875
Intel Corp. ................................................. 100 7,344
MEMC Electronic Materials (b)................................ 7,000 271,250
Millipore Corp. ............................................. 4,000 167,500
Southwall Technologies Inc. (b).............................. 12,500 93,750
Teradyne Inc. (b)............................................ 10,000 172,500
----------
1,041,719
----------
COMMUNICATIONS--11.9%
Colonial Data Technologies (b)............................... 11,000 163,625
IntelCom Group, Inc. (b)..................................... 10,000 250,000
NEXTEL Communications
Inc. 'A' (b)................................................ 10,000 190,625
Nokia Corp. ADR (c).......................................... 10,000 370,000
Time Warner, Inc. ........................................... 100 3,925
----------
978,175
----------
FINANCIAL SERVICES--7.4%
American International
Group, Inc. ................................................ 750 73,969
Banco Latinoamericano de
Export 'E'.................................................. 4,000 225,000
PMI Group Inc. .............................................. 4,000 170,000
Sirrom Capital Corp. ........................................ 5,000 136,250
----------
605,219
----------
AGRICULTURE--4.3%
Ecogen Inc. (b).............................................. 11,400 54,150
Potash Corp. of Saskatchewan................................. 4,500 298,125
----------
352,275
----------
PERSONAL CARE PRODUCTS--3.0%
Gillette Company............................................. 4,000 249,500
----------
</TABLE>
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
<S> <C> <C>
FOOD & BEVERAGE--2.5%
PepsiCo, Inc. ............................................ 2,400 $ 84,900
Wholesome & Hearty Foods
Inc. (b)................................................. 15,000 116,250
----------
201,150
----------
ENERGY--2.2%
USX--Delhi Group.......................................... 15,000 183,750
----------
HEALTH CARE--2.2%
Vencor Inc. (b)........................................... 6,000 183,000
----------
Total Common Stocks (Cost $5,124,101)..................... 5,769,350
----------
CORPORATE BONDS AND NOTES--21.5%
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
ENERGY--4.3%
Midland Funding II, 11.75%, due 7/23/05................... $200,000 $ 211,500
Seagull Energy Corp. 8.625%, due 08/01/05................. 150,000 140,625
----------
352,125
----------
ENVIRONMENTAL SERVICES--3.6%
ICF Kaiser International 13.00%, due 12/31/03............. 200,000 191,000
Thermo Optek 5.00%, due 10/15/00, convertible (d)......... 100,000 106,000
----------
297,000
----------
CONSUMER PRODUCTS--2.4%
Fort Howard Corp. 10.00%, due 03/15/03.................... 200,000 201,000
----------
HEALTHCARE--2.4%
TheraTx Inc. 8.00%, due 02/01/02, convertible (d)......... 200,000 197,250
----------
FOOD & BEVERAGE--2.4%
Curtice--Burns Foods 12.25%, due 02/01/05................. 200,000 196,000
----------
MEDICAL LABORATORIES--2.3%
Unilab Corporation 11.00%, due 04/01/06................... 200,000 187,000
----------
PAPER PRODUCTS--2.2%
Repap Wisconsin 9.875%, due 05/01/06...................... 200,000 178,000
----------
</TABLE>
5
<PAGE>
GREEN CENTURY BALANCED FUND
PORTFOLIO OF INVESTMENTS--(CONCLUDED)
JUNE 30, 1996
<TABLE>
<CAPTION>
PRINCIPAL
DESCRIPTION AMOUNT VALUE
<S> <C> <C>
FINANCIAL SERVICES--1.9%
Pioneer Financial Services 6.50%, due 04/01/03,
convertible.............................................. $150,000 $ 153,000
----------
Total Corporate Bonds and Notes (Cost $1,785,232)................... 1,761,375
----------
U.S. TREASURY NOTES--3.6%
6.750%, due 5/31/97....................................... 140,000 141,225
6.875%, due 7/31/99....................................... 150,000 152,203
----------
Total U.S. Treasury Notes (Cost $298,460)........................... 293,428
----------
SHORT-TERM OBLIGATIONS--3.5%
REPURCHASE AGREEMENTS--3.5%
Salomon Brothers, 4.98%, dated 06/28/96, due 07/1/96, proceeds
$288,015 (collateralized by U.S. Treasury Notes with maturities
from 01/31/97 through 08/15/22, value $295,375).................... 287,895
----------
TOTAL INVESTMENTS (A)--98.8% (Cost $7,495,688)...................... 8,112,048
</TABLE>
<TABLE>
<S> <C> <C> <C>
WRITTEN OPTIONS--0.0%
<CAPTION>
NUMBER OF STRIKE
CONTRACTS PRICE
<S> <C> <C> <C>
Potash Corp. of Saskatchewan
Call option, 1/18/97 45 100 (2,531)
Other Assets Less Liabilities--1.2%.......... 105,674
----------
NET ASSETS--100%............................. $8,215,191
==========
</TABLE>
- -------
(a) The cost of securities for federal income tax purposes is $7,495,688
resulting in gross unrealized appreciation and depreciation of $1,013,736
and $397,376 respectively, or net unrealized appreciation of $616,360.
(b) Non-income producing security.
(c) Securities whose values are determined or significantly influenced by
trading on exchanges not in the United States or Canada. ADR after the name
of a foreign holding stands for American Depository Receipt representing
foreign securities on deposit with a domestic custodian bank.
(d) Securities that may be resold to "qualified institutional buyers" under
Rule 144a or securities offered pursuant to Section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
See Notes to Financial Statements
6
<PAGE>
GREEN CENTURY BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investments in securities, at value--
(cost $7,495,688) see accompanying portfolio........................ $8,112,048
Cash................................................................. 655
Receivables for:
Securities sold..................................................... 440,721
Interest and dividends.............................................. 70,121
Capital stock sold.................................................. 5,000
----------
Total assets...................................................... 8,628,545
----------
LIABILITIES:
Payable for securities purchased..................................... 393,443
Accrued expenses..................................................... 17,380
Written options (premiums received $8,302) (Note 1 and 3)............ 2,531
----------
Total liabilities................................................. 413,354
----------
NET ASSETS........................................................... $8,215,191
==========
NET ASSETS CONSIST OF:
Paid-in capital...................................................... $6,658,294
Accumulated net realized gain on investments and options written..... 934,151
Net unrealized appreciation on investments and options written....... 622,131
Accumulated undistributed net investment income...................... 615
----------
NET ASSETS........................................................... $8,215,191
==========
SHARES OUTSTANDING................................................... 615,960
NET ASSET VALUE, REDEMPTION PRICE
AND OFFERING PRICE PER SHARE: ($8,215,191 / 615,960)................ $ 13.34
==========
</TABLE>
GREEN CENTURY BALANCED FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest income..................................................... $ 199,172
Dividend income (net of foreign withholding tax of $842)............ 30,819
----------
Total investment income.......................................... 229,991
----------
EXPENSES (NOTE 2):
Administrative services fee......................................... 102,989
Investment advisory fee............................................. 51,494
Distribution fee.................................................... 17,165
Miscellaneous expenses.............................................. 241
----------
Total expenses................................................... 171,889
----------
NET INVESTMENT INCOME............................................... 58,102
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTE 1):
Net realized gain on investments and options written................ 1,045,400
Net increase in unrealized appreciation of investments and options
written............................................................ 271,529
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS..................... 1,316,929
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $1,375,031
==========
</TABLE>
See Notes to Financial Statements
7
<PAGE>
GREEN CENTURY BALANCED FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
JUNE 30, 1996 JUNE 30, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment income............................. $ 58,102 $ 29,855
Net realized gain (loss) on investments and op-
tions written.................................... 1,045,400 (2,054)
Net increase in unrealized appreciation (deprecia-
tion) of investments and options written......... 271,529 406,299
---------- ----------
Net increase in net assets resulting from opera-
tions............................................ 1,375,031 434,100
---------- ----------
Dividends to shareholders from net investment in-
come (Note 1): (58,633) (28,835)
Capital Share Transactions (Note 4):
Proceeds from sales of shares..................... 4,331,903 357,873
Reinvestment of dividends from net investment in-
come............................................. 50,833 27,917
Payments for shares redeemed...................... (774,466) (651,381)
---------- ----------
Net increase (decrease) in net assets resulting
from capital stock transactions.................. 3,608,270 (265,591)
---------- ----------
Total Increase in Net Assets....................... 4,924,668 139,674
NET ASSETS:
Beginning of period............................... 3,290,523 3,150,849
---------- ----------
End of period (including undistributed net invest-
ment income of $615 for the year ended June 30,
1996 and $1,146 for the year ended June 30,
1995)............................................ $8,215,191 $3,290,523
========== ==========
</TABLE>
GREEN CENTURY BALANCED FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE PERIOD
MARCH 18, 1992
FOR THE YEAR ENDED JUNE 30, (COMMENCEMENT
-------------------------------------- OF OPERATIONS)
1996 1995 1994 1993 TO JUNE 30, 1992
<S> <C> <C> <C> <C> <C>
Net Asset Value, begin-
ning of period......... $ 11.03 $ 9.68 $ 10.14 $ 9.84 $ 10.00
Income from investment
operations:
Net investment income... 0.095 0.100 0.072 0.061 0.019
Net realized and
unrealized gain (loss)
on investments......... 2.313 1.346 (0.459) 0.303 (0.164)
------- ------- -------- ------- --------
Total increase (de-
crease) from investment
operations............. 2.408 1.446 (0.387) 0.364 (0.145)
------- ------- -------- ------- --------
Less dividends (Note 1):
Dividends from net in-
vestment income........ (0.098) (0.096) (0.073) (0.064) (0.015)
-------- -------- -------- -------- --------
Net Asset Value, end of
period................. $ 13.34 $ 11.03 $ 9.68 $ 10.14 $ 9.84
======== ======== ======== ======== =======
Total return............ 21.98% 15.00% (3.83)% 3.69% (1.45)%(a)
Ratios/Supplemental da-
ta:
Net assets, end of pe-
riod (in 000's)........ $ 8,215 $ 3,291 $ 3,151 $ 2,821 $ 547
Ratio of expenses to av-
erage net assets....... 2.50% 2.50% 2.50% 2.50% 2.50%(b)
Ratio of net investment
income to average net
assets................. 0.85% 0.97% 0.74% 0.85% 1.13%(b)
Portfolio Turnover...... 136% 16% 14% 11% 2%
Average commission rate
paid per share......... $ 0.0628 -- -- -- --
</TABLE>
(a) Not annualized
(b) Annualized
See Notes to Financial Statements
8
<PAGE>
GREEN CENTURY EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
JULY 31,1996
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investment in Domini Social Index Portfolio, at value (Note 1)........ $880,013
Receivable for capital stock sold..................................... 410
--------
Total assets....................................................... 880,423
--------
<CAPTION>
LIABILITIES:
<S> <C>
Accrued expenses (Note 2)............................................. 696
--------
Total liabilities.................................................. 696
--------
NET ASSETS............................................................ $879,727
========
NET ASSETS CONSIST OF:
Paid-in capital....................................................... $875,742
Undistributed net investment income................................... 395
Accumulated net realized gain on investment........................... 2,672
Net unrealized appreciation on investment............................. 918
--------
NET ASSETS............................................................ $879,727
========
SHARES OUTSTANDING.................................................... 79,698
NET ASSET VALUE, REDEMPTION PRICE
AND OFFERING PRICE PER SHARE: ($879,727 / 79,698 shares)............. $ 11.04
========
</TABLE>
GREEN CENTURY EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD SEPTEMBER 13, 1995 (COMMENCEMENT OF OPERATIONS) TO JULY 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME FROM INDEX PORTFOLIO:
Investment income from Index Portfolio................................. $ 6,867
Expenses from Index Portfolio.......................................... (1,734)
-------
Net income from Index Portfolio..................................... 5,133
-------
EXPENSES:
Administrative services fee (Note 2)................................... 3,431
-------
NET INVESTMENT INCOME.................................................. 1,702
-------
REALIZED AND UNREALIZED GAIN ON INVESTMENT:
Net realized gain...................................................... 2,672
Net increase in unrealized appreciation................................ 918
-------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT......................... 3,590
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $ 5,292
=======
</TABLE>
See Notes to Financial Statements
9
<PAGE>
GREEN CENTURY EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 13, 1995
(COMMENCEMENT OF
OPERATIONS) TO
JULY 31, 1996
<S> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment income...................................... $ 1,702
Net realized gain on investment............................ 2,672
Net increase in unrealized appreciation.................... 918
--------
Net increase resulting from operations..................... 5,292
--------
Dividends to shareholders from net investment income........ (1,307)
--------
Capital Share Transactions:
Proceeds from sales of shares.............................. 927,413
Reinvestment of dividends from net investment income....... 1,143
Payments for shares redeemed............................... (52,814)
--------
Net increase resulting from capital share transactions..... 875,742
--------
Total Increase in Net Assets................................ 879,727
NET ASSETS:
Beginning of period........................................ 0
--------
End of period (including undistributed net investment in-
come of $395 for the year ended
July 31, 1996)............................................ $879,727
========
</TABLE>
GREEN CENTURY EQUITY FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 13, 1995
(COMMENCEMENT OF
OPERATIONS) TO
JULY 31, 1996
<S> <C>
Net Asset Value, beginning of period......................... $10.00
Income from investment operations:
Net investment income....................................... 0.02
Net realized and unrealized gain on investment.............. 1.04
-------
Total increase from investment operations................... 1.06
-------
Less dividends:
Dividends from net investment income........................ (0.02)
-------
Net Asset Value, end of period............................... $11.04
=======
Total return................................................. 10.64%(a)
Ratios/supplemental data
Net Assets, end of period (in 000's)........................ $880
Ratio of expenses to average net assets..................... 1.50%(b)
Ratio of net investment income to average net assets........ 0.49%(b)
</TABLE>
(a) Not annualized.
(b) Annualized.
See Notes to Financial Statements
10
<PAGE>
GREEN CENTURY BALANCED FUND/JUNE 30, 1996
GREEN CENTURY EQUITY FUND/JULY 31, 1996
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Green Century Funds (the "Trust") is a Massachusetts business trust which
offers two separate series, the Green Century Balanced Fund and the Green
Century Equity Fund. The Trust is registered under the Investment Company Act
of 1940, as amended (the "Act"), as an open-end management investment company.
The Trust accounts separately for the assets, liabilities and operations of
each series. The Balanced Fund commenced operations on March 18, 1992 and the
Equity Fund commenced operations on September 13, 1995.
The Equity Fund invests substantially all of its assets in the Domini Social
Index Portfolio (the "Index Portfolio"), an open-end, diversified management
investment company having the same investment objective as the Fund. The value
of such investment reflects the Fund's proportionate interest in the net assets
of the Index Portfolio (0.88% at July 31, 1996). The financial statements of
the Index Portfolio are included elsewhere in this report and should be read in
conjunction with the Equity Fund's financial statements.
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 Trust's significant accounting policies:
(A) BALANCED FUND INVESTMENT VALUATION: Equity securities listed on
national securities exchanges or reported through the NASDAQ system are
valued at last sale price. Unlisted securities or listed securities for
which last sale prices are not available are valued at the mean between
the closing bid and asked prices if such securities are listed on a
national exchange, and at the last quoted bid prices in the case of
securities not listed on a national exchange. Debt securities (other
than short-term obligations maturing in sixty days or less) are valued
on the basis of valuation furnished by a pricing service which takes
into account appropriate factors such as institution-size trading in
similar groups of securities, yield, quality, coupon rate, maturity,
type of issue, and other market data, without exclusive reliance on
quoted prices or exchange or over-the-counter prices, since such
valuations are believed to reflect more accurately the fair value of
the securities. Securities, if any, for which there are no such
valuations or quotations available are valued at fair value as
determined in good faith under guidelines established by the Trustees.
Short-term obligations maturing in sixty days or less are valued at
amortized cost, which approximates market value.
EQUITY FUND INVESTMENT VALUATION: Valuation of securities by the Index
Portfolio is discussed in Note 1 of the Index Portfolio's Notes to
Financial Statements which are included elsewhere in this report.
(B) BALANCED FUND SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities
transactions are recorded on a trade date basis. Realized gains and
losses from securities transactions are determined using the identified
cost basis. Interest income is recognized on the accrual basis and
dividend income is recorded on ex-dividend date.
EQUITY FUND SECURITIES TRANSACTIONS AND INVESTMENT INCOME: The Fund earns
income, net of Index Portfolio expenses, daily based on its investment
in the Index Portfolio.
(C) DISTRIBUTIONS: Distributions to shareholders are recorded on ex-
dividend date. The amount and character of income and net realized
gains to be distributed are determined in accordance with Federal
income tax rules and regulations, which may differ from generally
accepted accounting principles. These differences are attributable to
permanent book and tax accounting differences. The Funds declare and
pay dividends of net investment income semi-annually and distribute net
realized capital gains, if any, annually.
11
<PAGE>
GREEN CENTURY BALANCED FUND
GREEN CENTURY EQUITY FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
(D) BALANCED FUND OPTIONS WRITTEN: When the Balanced Fund writes a call
option or a put option, an amount equal to the premium received by the
Fund is recorded as a liability, the value of which is marked-to-market
daily. When a written option expires, the Balanced Fund realizes a gain
equal to the amount of the premium originally received. When the
Balanced Fund enters into a closing purchase transaction, the Fund
realizes a gain (or loss if the cost of the closing purchase
transaction exceeds the premium originally received when the option was
sold) without regard to any unrealized gain or loss on the underlying
security, and the liability related to such option is eliminated. When
a call option is exercised, the Fund realizes a gain or loss from the
sale of the underlying security and the proceeds from such sale are
increased by the premium originally received. When a put option is
exercised, the amount of the premium originally received will reduce
the cost of the security which the Fund purchased upon exercise.
The risk in writing a call option is that the Balanced Fund may forego
the opportunity for profit if the market price of the underlying
security increases and the option is exercised. The risk in writing a
put option is that the Fund may incur a loss if the market price of the
underlying security decreases and the option is exercised. There is also
the risk the Fund may not be able to enter into a closing transaction
because of an illiquid secondary market. In addition, the Fund could be
exposed to risks if the counterparties to the transaction are unable to
meet the terms of the contracts.
(E) FEDERAL TAXES: Each series of the Trust is treated as a separate entity
for Federal income tax purposes. Each Fund's policy is to comply with
the provisions of the Internal Revenue Code applicable to regulated
investment companies. Accordingly, no provisions for Federal income or
excise tax are necessary.
NOTE 2--TRANSACTIONS WITH AFFILIATES
(A) INVESTMENT ADVISER: Green Century Capital Management, Inc. ("Green
Century") is the adviser ("the Adviser") for the Balanced Fund and
oversees the portfolio management of the Balanced Fund on a day-to-day
basis. For these services, Green Century receives a fee, accrued daily
and paid monthly, at an annual rate equal to 0.75% of the Balanced
Fund's average daily net assets.
(B) SUBADVISER: Winslow Management Company ("Winslow"), a division of Eaton
Vance Management, is the subadviser for the Balanced Fund. For its
services, Winslow is paid a fee by the Adviser at an annual rate equal
to 0.40% of the average daily net assets of the Balanced Fund, subject
to an adjustment up or down of 0.20% annually. For the year ended June
30, 1996, Green Century accrued fees of $27,464 to Winslow.
(C) ADMINISTRATOR: Green Century Capital Management is the administrator
("the Administrator") of the Green Century Funds. Pursuant to the
Administrative Services Agreement, Green Century pays all the expenses
of each Fund other than the investment advisory fees, fees under the
Distribution Plan, interest, taxes, brokerage costs and other capital
expenses, expenses of non-interested trustees (including counsel fees)
and any extraordinary expenses. For these services, Green Century
receives a fee from the Balanced Fund at an annual rate equal to 1.50%
of the Fund's average daily net assets, and receives a fee from the
Equity Fund at a rate such that immediately following any payment to
the Administrator, the combined total operating expenses of the Fund
and the Index Portfolio (including investment advisory and distribution
fees and any amortization of organization expenses), on an annual
basis, do not exceed 1.50% of the Fund's average daily net assets.
12
<PAGE>
GREEN CENTURY BALANCED FUND
GREEN CENTURY EQUITY FUND
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
(D) SUBADMINISTRATOR: Pursuant to a Subadministrative Services Agreement
with the Administrator, Signature Broker-Dealer Services, Inc.
("Signature"), as Subadministrator, is responsible for conducting
certain day-to-day administration of the Trust subject to the
supervision and direction of the Administrator. Signature also pays the
salaries of officers of the Trust who are affiliated with Signature.
For the year ended June 30, 1996, Green Century accrued fees of $10,299
to Signature relating to services performed on behalf of the Balanced
Fund, and for the period from September 13, 1995 (commencement of
operations) to July 31, 1996, Green Century accrued fees of $518 to
Signature relating to services performed on behalf of the Equity Fund.
(E) DISTRIBUTION PLAN: The Trust has adopted a Distribution Plan (the
"Plan") with respect to the Balanced Fund in accordance with Rule 12b-1
under the Act. The Plan provides that the Balanced Fund will pay a fee
to Signature, as distributor of shares of the Balanced Fund, at an
annual rate not to exceed 0.25% of the Balanced Fund's average daily
net assets. The fee is reimbursement for, or in anticipation of,
expenses incurred for distribution-related activity. For the year ended
June 30, 1996, the Balanced Fund accrued and paid $17,165 to Signature
for services provided pursuant to the Plan.
NOTE 3--INVESTMENT TRANSACTIONS
The Balanced Fund's purchases and sales of securities, other than short-term
securities, aggregated $13,800,839 and $8,603,862, respectively for the year
ended June 30, 1996.
The Balanced Fund's activity in written options for the year ended June 30,
1996 was as follows:
<TABLE>
<CAPTION>
PREMIUM CONTRACTS
<S> <C> <C>
Options outstanding at June 30, 1995......................... $ 0 0
Options written.............................................. 52,810 580
Options exercised............................................ (11,137) (100)
Options expired.............................................. (18,899) (250)
Options closed............................................... (14,472) (185)
------- -------
Options outstanding at June 30, 1996......................... $ 8,302 45
======= =======
</TABLE>
Additions and reductions in the Equity Fund's investment in the Index
Portfolio aggregated $928,555 and $52,814 for the period from September 13,
1995 (commencement of operations) to July 31, 1996.
NOTE 4--CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Balanced Fund and the Equity Fund were as
follows:
<TABLE>
<CAPTION>
BALANCED FUND EQUITY FUND
--------------------------- ------------------
FOR THE PERIOD
SEPTEMBER 13, 1995
FOR THE FOR THE (COMMENCEMENT OF
YEAR ENDED YEAR ENDED OPERATIONS)
JUNE 30, 1996 JUNE 30, 1995 TO JULY 31, 1996
<S> <C> <C> <C>
Shares sold...................... 379,384 35,170 84,374
Reinvestment of dividends........ 4,436 2,696 101
Shares redeemed.................. (66,302) (64,908) (4,777)
------- ------- ------
317,518 (27,042) 79,698
======= ======= ======
</TABLE>
13
<PAGE>
ARTWORK (KPMG LOGO) ENCLOSED
INDEPENDENT AUDITORS' REPORT
The Board of Trustees The Green Century Funds:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of the Green Century Balanced Fund as
of June 30, 1996 and the accompanying statement of assets and liabilities of
the Green Century Equity Fund as of July 31, 1996, and the related statements
of operations, changes in net assets and financial highlights for the year
ended June 30, 1996 for the Green Century Balanced Fund and for the period from
September 13, 1995 (commencement of operations) to July 31, 1996 for the Green
Century Equity Fund. These financial statements and financial highlights are
the responsibility of the Funds' management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits. The Green Century Balanced Fund's statement of changes in net assets
for the year ended June 30, 1995 and financial highlights for each of the years
or periods in the four-year period ended June 30, 1995 were audited by other
auditors whose report thereon, dual-dated July 14, 1995 and August 3, 1995,
expressed an unqualified opinion on that statement and those financial
highlights.
We conducted our audits in accordance with generally accepted auditing
standards. 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 also includes examining,
on a test basis, evidence supporting the amounts and disclosures in the
financial statements. Our procedures included confirmation of securities owned
by the Green Century Balanced Fund as of June 30, 1996 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 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
Green Century Balanced Fund at June 30, 1996 and the Green Century Equity Fund
at July 31, 1996, the results of their operations, changes in their net assets
and financial highlights for the year ended June 30, 1996 for the Green Century
Balanced Fund and for the period from September 13, 1995 to July 31, 1996 for
the Green Century Equity Fund in conformity with generally accepted accounting
principles.
(ART)
Boston, Massachusetts
August 23, 1996
14
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JULY 31, 1996
COMMON STOCKS--99.2%
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
<S> <C> <C>
APPAREL--1.1%
Brown Group Inc............................................ 400 $ 5,450
Hartmarx Corp. (b)......................................... 600 2,925
Lands' End Inc............................................. 1,700 34,425
Liz Claiborne, Inc......................................... 3,200 104,400
Nike Inc. (Class B)........................................ 6,000 617,250
Oshkosh B'Gosh, Inc. (Class A)............................. 300 4,725
Phillips-Van Heusen Corp................................... 600 6,450
Reebok International Ltd................................... 3,200 112,000
Russell Corp. ............................................. 1,600 53,600
Stride Rite Corp........................................... 1,900 13,775
Timberland Co. (b)......................................... 550 9,900
VF Corp. .................................................. 2,700 150,862
------------
1,115,762
------------
COMMERCIAL PRODUCTS & SERVICES--1.8%
Autodesk Inc............................................... 2,100 48,431
Banta Corp................................................. 1,250 27,188
Cintas Corp................................................ 1,900 96,900
Deluxe Corp. .............................................. 3,500 129,063
Donnelley, (R.R.) & Sons................................... 6,200 199,950
Harland (J.H.) Co.......................................... 1,300 31,525
HON Industries Inc......................................... 1,300 39,000
Kelly Services (Class A)................................... 1,775 49,700
Miller, (Herman) Inc....................................... 800 25,650
Moore Corp., Ltd........................................... 4,300 74,712
National Education Corp. (b)............................... 1,300 19,662
National Service Industries, Inc........................... 1,900 72,437
New England Business Services Inc.......................... 300 5,137
Pitney Bowes Inc........................................... 6,400 310,400
Standard Register Co. ..................................... 1,200 32,400
Xerox Corp. ............................................... 13,400 675,025
------------
1,837,180
------------
CONSTRUCTION--0.3%
Centex Corp. .............................................. 1,500 43,500
Fleetwood Enterprises, Inc. ............................... 1,500 45,563
Graco Inc. ................................................ 950 17,931
Kaufman & Broad Home Corp.................................. 1,700 20,188
Rouse Co. ................................................. 1,900 47,500
Sherwin-Williams Co. ...................................... 3,600 162,900
TJ International Inc....................................... 400 6,400
------------
343,982
------------
CONSUMER PRODUCTS & SERVICES--0.1%
Avery Dennison Corp........................................ 2,200 113,850
ISCO Inc................................................... 200 1,875
Tennant Co. ............................................... 200 5,200
------------
120,925
------------
ENERGY--3.7%
Amoco Corp. ............................................... 20,800 $ 1,391,000
Anadarko Petroleum Corp. .................................. 2,600 132,925
Apache Corp................................................ 3,800 107,825
Atlantic Richfield Co...................................... 6,700 777,200
Consolidated Natural Gas Co................................ 3,900 196,463
ENERGEN Corp............................................... 300 6,788
Enron Corp. ............................................... 10,800 425,250
Helmerich & Payne Inc...................................... 900 31,500
Louisiana Land & Exploration Co............................ 1,300 70,200
Oryx Energy Co. (b)........................................ 4,400 69,300
Pennzoil Co................................................ 2,200 108,075
Rowan Companies Inc. (b)................................... 4,000 57,500
Santa Fe Energy Resources Inc. (b)......................... 3,700 42,087
Sun Co. ................................................... 3,400 87,975
Williams Companies Inc. ................................... 4,500 206,437
------------
3,710,525
------------
FINANCIAL--12.8%
Ahmanson (H.F.) & Co....................................... 4,600 116,150
American Express Co........................................ 19,900 870,625
Banc One Corp.............................................. 18,595 643,852
Bank of Boston............................................. 6,400 339,200
BankAmerica Corp. ......................................... 15,300 1,220,175
Bankers Trust (N.Y.) Corp.................................. 3,300 237,188
Barnett Banks Inc.......................................... 4,100 251,638
Beneficial Corp............................................ 2,100 113,400
Block (H. & R.), Inc....................................... 4,600 120,175
Cincinnati Financial Corp. ................................ 2,195 122,371
CoreStates Financial Corp.................................. 9,200 361,100
Dime Bancorp Inc. (b)...................................... 4,500 55,688
Edwards (A.G.), Inc........................................ 2,525 69,122
Federal Home Loan Mortgage Corp. .......................... 7,300 615,025
Federal National Mortgage Association...................... 45,900 1,457,325
Fifth Third Bancorp........................................ 4,300 222,525
First Chicago Corp......................................... 13,506 519,981
First Fed Financial Corp. (b).............................. 200 3,500
Golden West Financial Corp................................. 2,400 133,200
Great Western Financial Corp. ............................. 5,400 128,250
Household International Inc................................ 4,000 298,000
MBNA Corp. ................................................ 9,300 259,238
Mellon Bank Corp........................................... 5,800 305,950
Merrill Lynch & Co., Inc. ................................. 7,200 434,700
Morgan (J.P.) & Co., Inc................................... 7,900 679,400
Norwest Corp............................................... 15,500 550,250
Piper Jaffray Inc.......................................... 600 7,125
PNC Bank Corp.............................................. 14,400 419,400
ReliaStar Financial Corp................................... 1,500 62,812
Schwab (Charles) Corp...................................... 7,200 173,700
</TABLE>
15
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1996
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
<S> <C> <C>
FINANCIAL--CONTINUED
Student Loan Marketing Association........................ 2,500 $ 182,500
SunTrust Banks Inc........................................ 9,700 356,475
Transamerica Corp. ....................................... 2,800 193,550
Value Line Inc............................................ 300 9,975
Vermont Financial Services Corp........................... 100 3,150
Wachovia Corp............................................. 6,900 305,325
Wells Fargo & Co.......................................... 3,950 919,856
Wesco Financial Corp...................................... 300 49,350
------------
12,811,246
------------
FOODS & BEVERAGES--10.9%
Ben & Jerry's (Class A) (b)............................... 100 1,600
CPC International Inc..................................... 6,000 401,250
Campbell Soup Co.......................................... 10,400 705,900
Coca-Cola Co. ............................................ 104,600 4,903,125
Fleming Cos. Inc.......................................... 1,300 19,663
General Mills, Inc........................................ 6,700 363,475
Heinz (H.J.) Co........................................... 15,300 506,813
Hershey Foods Corp........................................ 3,300 270,600
Kellogg Co................................................ 8,800 657,800
Odwalla Inc. (b).......................................... 300 5,175
PepsiCo, Inc.............................................. 65,600 2,074,600
Quaker Oats Co............................................ 5,500 176,000
Ralston Purina Group...................................... 4,600 288,650
Smucker (J.M.) Co. (Class A).............................. 1,100 19,525
Super Valu Inc. .......................................... 3,100 86,412
Sysco Corp................................................ 7,400 214,600
TCBY Enterprises, Inc. ................................... 500 2,062
Tootsie Roll Industries, Inc.............................. 1,145 40,361
Wrigley, (Wm.) Jr. Co..................................... 4,900 252,962
------------
10,990,573
------------
HEALTH CARE--8.5%
Acuson Corp. (b).......................................... 1,100 14,575
Allergan Inc.............................................. 2,600 105,950
Alza Corp. (b)............................................ 3,800 94,050
Angelica Corp............................................. 300 6,563
Apogee Enterprises, Inc................................... 700 22,750
Becton Dickinson & Co..................................... 2,700 201,488
Bergen Brunswig Corp. (Class A)........................... 1,895 49,270
Biomet Inc. (b)........................................... 5,300 81,488
Community Psychiatric Centers (b)......................... 2,000 16,000
Forest Laboratories, Inc. (b)............................. 1,700 58,013
Humana Inc. (b)........................................... 6,800 113,900
Johnson & Johnson......................................... 55,600 2,654,900
Manor Care Inc............................................ 2,800 92,400
Medtronic Inc............................................. 9,700 459,537
Merck & Co., Inc. ........................................ 51,000 3,276,750
Mylan Laboratories Inc.................................... 4,700 70,500
Oxford Health Plans (b)................................... 3,300 113,850
Schering-Plough Corp...................................... 15,400 848,925
St. Jude Medical Inc. (b)................................. 3,300 110,962
Stryker Corp.............................................. 4,300 105,686
Sunrise Medical Inc. (b).................................. 600 9,225
United American Healthcare (b)............................ 200 2,050
------------
8,508,832
------------
HOUSEHOLD GOODS--6.0%
Alberto Culver Co. (Class B).............................. 1,200 51,750
Avon Products, Inc. ...................................... 5,600 246,400
Bassett Furniture Industries, Inc. ....................... 300 6,600
Church & Dwight Co., Inc.................................. 900 18,675
Clorox Co................................................. 2,100 190,838
Colgate-Palmolive Co...................................... 6,200 486,700
Handleman Co. (b)......................................... 700 3,238
Harman International Industries, Inc...................... 830 37,246
Hasbro Inc................................................ 3,500 125,563
Huffy Corp. .............................................. 300 3,525
Kimberly-Clark Corp. ..................................... 11,832 899,232
Leggett & Platt Inc....................................... 3,600 93,600
Mattel, Inc. ............................................. 11,585 286,729
Maytag Co................................................. 4,500 90,000
Newell Co. ............................................... 6,700 215,237
Oneida, Ltd............................................... 200 3,100
Procter & Gamble Co. ..................................... 28,600 2,556,125
Rubbermaid Inc. .......................................... 6,400 184,000
Shaw Industries........................................... 5,300 72,875
Snap-On Tools Corp........................................ 1,900 84,312
Springs Industries Inc. (Class A)......................... 800 36,500
Stanhome, Inc............................................. 600 15,750
Stanley Works............................................. 3,900 111,150
Thomas Industries......................................... 200 3,475
Whirlpool Corp. .......................................... 3,200 157,600
------------
5,980,220
------------
INSURANCE--6.1%
Aetna Inc. ............................................... 6,570 381,885
Alexander & Alexander Services Inc........................ 1,600 26,400
American General Corp..................................... 8,900 309,275
American International Group, Inc......................... 19,800 1,863,675
Chubb Corp................................................ 7,100 296,425
CIGNA Corp................................................ 3,200 340,800
General Re Corp........................................... 3,300 484,275
Hartford Steam Boiler..................................... 800 34,900
Jefferson-Pilot Corp...................................... 3,100 162,750
Lincoln National Corp. ................................... 4,200 179,025
Marsh & McLennan Companies, Inc........................... 3,100 280,937
Providian Corp............................................ 3,800 150,575
SAFECO Corp............................................... 5,300 182,519
St. Paul Companies........................................ 3,400 175,950
</TABLE>
16
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1996
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
<S> <C> <C>
INSURANCE--CONTINUED
Torchmark Corp............................................. 3,300 $ 140,662
Travelers Corp. ........................................... 19,764 835,008
UNUM Corp.................................................. 3,000 183,000
USF&G Corp................................................. 5,400 85,725
USLIFE Corp................................................ 1,425 42,394
------------
6,156,180
------------
MANUFACTURING--2.1%
Applied Materials, Inc. (b)................................ 7,700 183,838
Boston Scientific Corp. (b)................................ 7,400 353,350
Brady (W.H.) (Class A)..................................... 700 15,225
Briggs & Stratton Corp..................................... 1,200 45,150
Case Corp.................................................. 3,000 132,750
Cincinnati Milacron........................................ 1,400 27,650
Clarcor, Inc. ............................................. 300 5,888
Deere & Co. ............................................... 11,100 396,825
Dionex Corp. (b)........................................... 400 13,900
Fastenal Co. .............................................. 1,700 73,100
Gerber Scientific.......................................... 800 11,800
Goulds Pumps, Inc. ........................................ 1,200 26,700
Hunt Manufacturing Co...................................... 400 5,250
Illinois Tool Works Inc.................................... 5,000 321,875
James River Corp. of Virginia.............................. 3,600 90,900
Lawson Products, Inc....................................... 300 6,675
Marquette Electronics (Class A) (b)........................ 1,500 27,750
Millipore Corp. ........................................... 1,700 58,012
Nordson Corp............................................... 800 40,400
Thermo Electron Corp. (b).................................. 6,000 224,250
Watts Industries Inc. (Class A)............................ 1,100 17,737
Wellman Inc. .............................................. 1,600 31,200
Zurn Industries Inc........................................ 400 8,150
------------
2,118,375
------------
MEDIA--3.9%
BET Holdings Inc. (Class A) (b)............................ 800 19,600
Comcast Corp. (Class A).................................... 9,600 135,600
Disney (Walt) Co. ......................................... 28,400 1,579,750
Dow Jones & Co. Inc........................................ 4,100 160,413
Edmark Corp. (b)........................................... 500 8,125
Frontier Corp. ............................................ 6,700 188,438
King World Productions Inc. (b)............................ 1,600 57,400
Lee Enterprises, Inc....................................... 1,600 31,800
McGraw-Hill Inc. .......................................... 4,100 159,900
Media General Inc. (Class A)............................... 1,300 37,212
Meredith Corp. ............................................ 1,200 48,750
New York Times Co. (Class A)............................... 4,300 125,237
Scholastic Corp. (b)....................................... 700 45,675
Tele-Communications, Inc.
(Class A) (b)............................................. 26,900 383,325
Times Mirror Co. (Class A)................................. 4,300 177,912
Turner Broadcasting System Inc.
(Class A)................................................. 5,700 146,775
US West Media Group (b).................................... 19,000 327,750
Viacom Inc. (Class A) (b).................................. 3,300 113,025
Washington Post Co. (Class B).............................. 450 140,175
------------
3,886,862
------------
MISCELLANEOUS--2.0%
Alco Standard Corp. ....................................... 5,700 249,375
Allwaste, Inc. (b)......................................... 1,300 5,688
American Greetings Corp. (Class A)......................... 3,500 84,875
Avnet, Inc................................................. 1,800 78,525
Bemis Co., Inc............................................. 2,000 65,250
CPI Corp. ................................................. 400 5,750
Cross, (A.T.) Co. (Class A)................................ 500 6,688
DeVRY Inc. (b)............................................. 1,100 47,988
Fedders Corp. ............................................. 1,300 7,475
Fuller (H.B.) Co. ......................................... 500 17,375
General Signal Corp. ...................................... 2,200 86,075
Harcourt General Inc. ..................................... 3,000 143,625
Hillenbrand Industries Inc. ............................... 3,200 107,200
Ionics Inc. (b)............................................ 800 33,400
Jostens Inc. .............................................. 1,600 30,600
KENETECH Corp. (b)......................................... 900 253
Marriott International Corp. .............................. 5,300 272,287
Omnicom Group, Inc. ....................................... 3,000 121,500
Polaroid Corp.............................................. 1,800 76,050
Sealed Air Corp. (b)....................................... 1,600 55,600
Service Corp. International................................ 5,000 275,625
Sonoco Products Co......................................... 4,005 118,147
Toro Co.................................................... 800 24,300
Whitman Corp. ............................................. 4,600 102,925
------------
2,016,576
------------
RESOURCE DEVELOPMENT--2.5%
Air Products & Chemicals, Inc.............................. 4,800 256,200
Aluminum Co. of America.................................... 7,200 417,600
ARCO Chemical Co........................................... 4,000 199,000
Battle Mountain Gold Co.................................... 10,700 97,638
Betz Laboratories, Inc..................................... 1,100 49,913
Cabot Corp. ............................................... 3,300 82,913
Calgon Carbon Corp......................................... 1,300 15,275
Consolidated Papers Inc. .................................. 1,800 90,450
Cyprus Amax Minerals Co.................................... 4,000 86,000
Echo Bay Mines Ltd. ....................................... 5,400 55,350
Inland Steel Industries Inc................................ 2,300 39,963
Mead Corp.................................................. 2,100 114,975
Morton International Inc................................... 6,100 219,600
Nalco Chemical Co.......................................... 3,200 96,000
Nucor Corp................................................. 3,600 168,750
</TABLE>
17
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1996
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
<S> <C> <C>
RESOURCE DEVELOPMENT--CONTINUED
Praxair Inc................................................ 6,500 $ 249,437
Sigma-Aldrich Corp. ....................................... 2,000 105,000
Westvaco Corp.............................................. 4,500 127,687
Worthington Industries, Inc. .............................. 3,800 72,200
------------
2,543,951
------------
RETAIL--10.9%
Albertson's, Inc........................................... 10,700 438,700
American Stores Co......................................... 6,400 238,400
Bob Evans Farms, Inc....................................... 1,900 26,600
Charming Shoppes Inc. (b).................................. 3,700 23,819
Circuit City Stores Inc.................................... 3,900 122,850
Claire's Stores Inc. ...................................... 1,600 45,800
Dayton-Hudson Corp......................................... 9,300 281,325
Dillard Department Stores.................................. 4,800 150,600
Dollar General Corp........................................ 3,308 85,582
Egghead Inc. (b)........................................... 300 2,775
Gap, Inc. ................................................. 12,000 357,000
Giant Food Inc. (Class A).................................. 2,300 77,338
Gibson Greetings Inc. (b).................................. 500 6,000
Great Atlantic & Pacific Tea Co., Inc. .................... 1,700 46,963
Hannaford Brothers Co. .................................... 2,000 63,000
Hechinger Co. (Class A).................................... 800 2,800
Home Depot, Inc. .......................................... 20,033 1,011,667
International Dairy Queen, Inc. (Class A) (b).............. 1,300 26,000
K-Mart Corp. (b)........................................... 20,600 206,000
Kroger Co. (b)............................................. 5,400 203,850
Lillian Vernon Corp. ...................................... 200 2,450
Limited, Inc............................................... 13,000 250,250
Longs Drug Stores, Inc..................................... 700 27,125
Lowe's Companies, Inc...................................... 7,200 234,900
Luby's Cafeterias, Inc..................................... 1,100 26,675
May Department Stores Co................................... 10,500 471,187
McDonald's Corp............................................ 29,200 1,354,150
Melville Corp. ............................................ 4,500 176,062
Mercantile Stores Co., Inc. ............................... 1,600 78,400
Morrison Restaurants Inc................................... 0 4
Nordstrom Inc. ............................................ 3,400 141,100
Penney, (J.C.) Co., Inc. .................................. 9,300 462,675
Pep Boys................................................... 2,400 72,600
Price/Costco Inc. (b)...................................... 8,315 170,457
Ruby Tuesday............................................... 500 9,875
Ryan's Family Steakhouse, Inc. (b)......................... 2,400 18,300
Sears Roebuck & Co. ....................................... 16,200 664,200
Skyline Corp............................................... 400 9,700
Specs Music Inc. (b)....................................... 200 300
Starbucks Corp. (b)........................................ 3,400 88,400
Tandy Corp................................................. 2,600 109,850
TJX Companies Inc. ........................................ 2,900 87,362
Toys 'R' Us, Inc. (b)...................................... 11,620 306,477
Wal-Mart Stores, Inc....................................... 96,400 2,313,600
Walgreen Co................................................ 10,000 317,500
Whole Foods Market (b)..................................... 800 25,100
Woolworth (F.W.) Co. (b)................................... 5,500 105,875
------------
10,941,643
------------
TECHNOLOGIES--14.8%
Advanced Micro Devices, Inc. (b)........................... 5,300 64,263
Amdahl Corp. (b)........................................... 5,300 52,338
American Power Conversion
Corp. (b)................................................. 4,200 49,350
Analog Devices, Inc. (b)................................... 4,600 96,025
Apple Computer, Inc. (b)................................... 5,600 123,200
Automatic Data Processing, Inc............................. 12,100 479,463
Baldor Electric Co. ....................................... 1,200 23,850
Borland International, Inc. (b)............................ 1,300 9,750
Cisco Systems, Inc. (b).................................... 26,700 1,381,725
Compaq Computer Corp. (b).................................. 11,300 618,675
Computer Assoc. International Inc.......................... 15,300 778,388
Cooper Industries Inc...................................... 4,400 173,250
Digital Equipment Corp. (b)................................ 6,200 219,325
DSC Communications Corp. (b)............................... 5,000 150,000
Grainger, (W.W.) Inc....................................... 2,100 147,525
Hewlett-Packard Co. ....................................... 42,900 1,887,600
Hubbell Inc. (Class B)..................................... 1,430 98,134
Intel Corp................................................. 34,500 2,591,813
International Business Machines Inc........................ 22,500 2,427,188
MCI Communications Corp. .................................. 28,700 706,737
Micron Technology, Inc..................................... 8,300 155,625
Molex, Inc. ............................................... 4,500 132,750
National Semiconductor Corp. (b)........................... 5,700 80,512
Novell Inc. (b)............................................ 14,300 152,831
Perkin-Elmer Corp.......................................... 2,000 104,500
Quarterdeck Corp. (b)...................................... 1,100 7,150
Raychem Corp. ............................................. 1,800 119,025
Shared Medical Systems Corp. .............................. 1,000 55,000
Solectron Corp. (b)........................................ 2,100 66,150
Sprint Corp. .............................................. 18,400 673,900
Stratus Computer Inc. (b).................................. 1,100 20,212
Sun Microsystems Inc. (b).................................. 7,900 431,537
Tandem Computers Inc. (b).................................. 4,600 48,300
Tektronix, Inc. ........................................... 1,400 53,550
Tellabs, Inc. (b).......................................... 3,800 227,050
Thomas & Betts Corp........................................ 1,700 62,050
3Com Corp. (b)............................................. 6,900 271,688
360 (Degrees) Communications (b)........................... 1 23
Xilinx Inc. (b)............................................ 3,300 106,837
------------
14,847,289
------------
</TABLE>
18
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1996
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
<S> <C> <C>
TRANSPORTATION--2.3%
AMR Corp. (b).............................................. 3,800 $ 299,725
Airborne Freight Corp. .................................... 1,200 25,650
Alaska Air Group, Inc. (b)................................. 600 14,400
CSX Corp................................................... 8,900 429,425
Conrail Inc. ...................... ....................... 3,400 222,700
Consolidated Freightways, Inc.............................. 1,700 33,363
Delta Air Lines, Inc....................................... 3,200 223,600
Federal Express Corp. (b).................................. 2,300 178,825
GATX Corp.................................................. 900 40,500
Norfolk Southern Corp...................................... 5,300 428,637
Roadway Services........................................... 750 10,969
Ryder System, Inc. ........................................ 3,700 98,512
Southwest Airlines Inc..................................... 6,000 148,500
UAL Corp. (b).............................................. 2,400 122,400
Yellow Corp. (b)........................................... 1,300 16,575
------------
2,293,781
------------
UTILITIES--8.8%
AGL Resources Inc. ........................................ 2,200 40,150
American Water Works Co., Inc. ............................ 3,600 71,550
Ameritech Corp............................................. 23,100 1,282,050
Bell Atlantic Corp. ....................................... 18,400 1,087,900
BellSouth Corp............................................. 42,000 1,722,000
Brooklyn Union Gas Company................................. 2,300 57,500
California Energy Co., Inc. (b)............................ 2,500 65,625
Citizens Utilities Co. (Class A)(b)........................ 8,431 92,745
Connecticut Energy Corp.................................... 200 3,900
Eastern Enterprises........................................ 900 28,913
El Paso Natural Gas Co..................................... 1,500 58,500
Equitable Resources Inc.................................... 1,300 32,988
Idaho Power Co............................................. 1,600 47,800
LG & E Energy Corp......................................... 3,000 67,125
MCN Corp................................................... 3,200 75,200
NICOR Inc.................................................. 2,100 59,587
Noram Energy Corp.......................................... 5,800 63,075
Northwestern Public Service Co. ........................... 200 5,475
NYNEX ..................................................... 18,100 812,237
Oklahoma Gas & Electric Co. ............................... 1,700 66,725
ONEOK Inc.................................................. 1,200 31,650
Pacific Enterprises........................................ 3,400 99,875
Pacific Telesis Group...................................... 17,600 591,800
Peoples Energy Corp........................................ 1,300 40,462
Potomac Electric Power Co.................................. 5,000 120,625
Public Service Co. of Colorado............................. 2,900 102,587
SBC Telecommunications..................................... 25,500 1,246,312
Southern New England Telecom............................... 3,200 122,800
Telephone & Data Systems................................... 2,700 104,287
US West Communications Group............................... 19,700 598,387
Washington Gas Light Co.................................... 2,000 41,750
------------
8,841,580
------------
VEHICLE COMPONENTS--0.6%
Cooper Tire & Rubber Co.................................... 3,600 67,950
Cummins Engine Inc......................................... 1,600 59,800
Dana Corp.................................................. 4,400 122,650
Federal-Mogul Corp......................................... 1,200 20,250
Genuine Parts.............................................. 5,000 211,875
Modine Manufacturing Co. .................................. 1,600 42,000
SPX Corp................................................... 400 9,950
Smith, (A.O.).............................................. 1,200 26,700
Spartan Motors Inc. (b).................................... 300 1,987
------------
563,162
------------
Total Common Stocks (Cost, $83,008,100)........................... 99,628,644
------------
PREFERRED STOCK--0.0%
Aetna Inc. 6.25% convertible............................... 1 56
------------
Total Preferred Stocks (Cost, $65)................................ 56
------------
TOTAL INVESTMENTS--99.2%
(Cost, $83,008,165) (a).......................................... 99,628,700
Other Assets Less Liabilities--0.8%............................... 771,858
------------
NET ASSETS--100.0%................................................ $100,400,558
============
</TABLE>
- -------
(a) The aggregate cost for federal income tax purposes is $83,008,165, the
aggregate gross unrealized appreciation is $18,466,003, and the aggregate
gross unrealized depreciation is $1,845,468, resulting in net unrealized
appreciation of $16,620,535.
(b) Non-income producing security.
See Notes to Financial Statements
19
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JULY 31, 1996
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments at value (Cost $83,008,165) (Note 1).................. $ 99,628,700
Cash.............................................................. 1,313,323
Dividends receivable.............................................. 175,702
------------
Total assets................................................... 101,117,725
------------
LIABILITIES:
Payable for securities purchased.................................. 675,937
Expense payment fee payable (Note 2).............................. 41,230
------------
Total liabilities.............................................. 717,167
------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.......... $100,400,558
============
NET ASSETS CONSIST OF:
Paid-in capital................................................... $100,400,558
============
</TABLE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $268)................ $1,514,033
EXPENSES (NOTES 1 AND 2):
Expense payment fee.................................... $ 372,596
Amortization of organization expenses.................. 8,657
----------
Total expenses................................................. 381,253
----------
NET INVESTMENT INCOME............................................. 1,132,780
NET REALIZED GAIN ON INVESTMENTS (NOTE 3):
Proceeds from sales.................................... 3,459,916
Cost of securities sold................................ 2,762,579
----------
Net realized gain on investments............................... 697,337
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENTS:
Beginning of year...................................... 9,759,028
End of year............................................ 16,620,535
----------
Net change in unrealized appreciation of investments........... 6,861,507
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............. $8,691,624
==========
</TABLE>
See Notes to Financial Statements
20
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
JULY 31, 1996 JULY 31, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment income............................. $ 1,132,780 $ 734,456
Net realized gain on investments.................. 697,337 405,427
Net change in unrealized appreciation of invest-
ments............................................ 6,861,507 8,729,434
------------ -----------
Net increase resulting from operations............ 8,691,624 9,869,317
------------ -----------
Transactions in Investors' Beneficial Interests:
Additions......................................... 52,533,365 14,888,452
Reductions........................................ (14,827,219) (2,076,641)
------------ -----------
Net increase from transactions in investors' bene-
ficial interests................................. 37,706,146 12,811,811
------------ -----------
Total Increase in Net Assets....................... 46,397,770 22,681,128
NET ASSETS:
Beginning of year................................. 54,002,788 31,321,660
------------ -----------
End of year....................................... $100,400,558 $54,002,788
============ ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED JULY 31,
------------------------------------------
1996 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C>
Ratio of net investment income to
average net assets.............. 1.48%(a) 1.85%(b) 2.13%(b) 1.88%(b) 1.99%(b)
Ratio of expenses to average net
assets.......................... 0.50%(a) 0.43%(b) 0.29%(b) 0.29%(b) 0.29%(b)
Portfolio Turnover............... 5% 6% 8% 4% 3%
Average commission rate paid per
share........................... $0.0496 -- -- -- --
</TABLE>
(a) Had the Expense Payment Agreement not been in place, the ratios of net
investment income and expenses for the year ended July 31, 1996 would have
been 1.14% and 0.85%, respectively.
(b) Reflects a voluntary waiver of fees by the Administrator and Adviser. Due
to limitations set forth in the Expense Payment Agreement, had the
Administrator and Adviser not waived their fees, the ratios of net
investment income and expenses to average net assets as stated would not
have changed for the periods ended July 31, 1993 and 1992. For the years
ended July 31, 1995 and 1994, the ratios of net investment income and
expenses to average net assets would have been 1.75% and 0.53% and 2.00%
and 0.42%, respectively. (See Note 2.)
See Notes to Financial Statements
21
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JULY 31, 1996
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Domini Social Index Portfolio (the "Index Portfolio") is registered under the
Investment Company Act of 1940 (the "Act") as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York on June 7, 1989. The Index Portfolio intends to correlate
its investment portfolio as closely as is practicable with the Domini Social
Index (the "Index"), which is a common stock index developed and maintained by
Kinder, Lydenberg, Domini & Co., Inc. ("KLD"), the Index Portfolio's Adviser.
The Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Index Portfolio. The Index Portfolio commenced
operations upon effectiveness on August 10, 1990 and began investment
operations on June 3, 1991.
The preparation of financial statements in conformity with generally 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 recorded on the ex-dividend date.
(C) FEDERAL TAXES: The Index Portfolio's policy is to comply with the
applicable provisions of the Internal Revenue Code. Accordingly, no provision
for Federal taxes is deemed necessary.
(D) DEFERRED ORGANIZATION EXPENSE: Expenses incurred by the Index Portfolio in
connection with its organization are being amortized by the Index Portfolio on
a straight-line basis over a five-year period.
(E) OTHER: Investment transactions are accounted for on the trade date. Gains
and losses are determined on the basis of identified cost.
NOTE 2--TRANSACTIONS WITH AFFILIATES
(A) INVESTMENT ADVISORY FEES: The Index Portfolio has retained KLD as the
Investment Adviser of the Index Portfolio. The services provided by KLD consist
of the determination of the stocks to be included in the Index and evaluating,
in accordance with KLD's criteria, debt securities which may be purchased by
the Index Portfolio. For its services under the Investment Advisory Agreement,
KLD receives from the Index Portfolio a fee accrued daily at an annual rate
equal to 0.05% of the Index Portfolio's average daily net assets.
(B) INVESTMENT MANAGEMENT FEES: The Index Portfolio has retained Mellon Equity
Associates ("MEA") as the Investment Manager of the Index Portfolio. MEA does
not determine the composition of the Index. Under the Management Agreement, the
Index Portfolio pays MEA an investment management fee equal on an annual basis
to the following percentages of the Index Portfolio's average daily net assets
for its then-current fiscal year: 0.10% of assets up to $50 million; 0.30% of
assets between $50 million and $100 million; 0.20% of assets between $100
million and $500 million; and 0.15% of assets over $500 million.
(C) ADMINISTRATION FEES: The Index Portfolio has retained Signature Broker-
Dealer Services, Inc. ("Signature") to serve as Administrator of the Index
Portfolio. Certain officers of Signature serve as officers and trustee to the
Index Portfolio. Under the Administrative Services Agreement, Signature
provides management and administrative services necessary for the operations of
the Index Portfolio, furnishes office space and facilities required for
conducting the business of the Index Portfolio and pays the compensation of the
Index Portfolio's officers and Trustee affiliated with Signature. For these
services, Signature receives from the Index Portfolio a fee accrued daily at an
annual rate equal to 0.05% of the Index Portfolio's average daily net assets.
(D) EXPENSE PAYMENT FEES: The Administrator has agreed to pay all of the
operating expenses of the Index Portfolio, including advisory, management and
administration fees, subject to an Expense Payment Arrangement. Under this
arrangement, the Administrator receives expense payment fees from the Index
Portfolio at an annual rate equal to 0.50% of the average daily net assets of
the Index Portfolio. The Expense Payment Arrangement will terminate on December
31, 1999. For the year ended July 31, 1996, the Administrator incurred
approximately $264,025 in expenses on behalf of the Index Portfolio.
NOTE 3--INVESTMENT TRANSACTIONS
Purchase and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $41,791,647 and $3,387,873, respectively.
22
<PAGE>
ARTWORK (KPMG LOGO) ENCLOSED
INDEPENDENT AUDITORS' REPORT
The Board of Trustees Domini Social Index Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of the Domini Social Index Portfolio as
of July 31, 1996, and the related statement of operations for the year then
ended, statements of changes in net assets for each of the years in the two-
year period then ended and financial highlights for each of the years in the
five-year period then ended. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility 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
standards. 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 also includes examining,
on a test basis, evidence supporting the amounts and disclosures in the
financial statements. Our procedures included confirmation of securities owned
by the Portfolio as of July 31, 1996 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 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 at July 31, 1996, the results of its operations
for the year then ended, the changes in its net assets for each of the years in
the two-year period then ended and financial highlights for each of the years
in the five-year period then ended in conformity with generally accepted
accounting principles.
(ART)
Boston, Massachusetts
August 23, 1996
23
<PAGE>
- ------------------------------------------------------------------------
INVESTMENT ADVISER (BALANCED FUND) AND ADMINISTRATOR
Green Century Capital Management, Inc.
29 Temple Place
Boston, MA 02111
1-800-93-GREEN
INVESTMENT SUBADVISER (BALANCED FUND)
Winslow Management Company
24 Federal Street
Boston, MA 02110
INVESTMENT ADVISER (INDEX PORTFOLIO)
Kinder, Lydenberg, Domini & Co., Inc.
129 Mt. Auburn Street
Cambridge, MA 02138
PORTFOLIO INVESTMENT MANAGER (INDEX PORTFOLIO)
Mellon Equity Associates
500 Grant Street, Suite 3700
Pittsburgh, PA 15258-0001
COUNSEL TO INDEPENDENT TRUSTEES OF THE FUNDS
Debevoise & Plimpton
555 13th Street, N.W.
Washington, DC 20004
SUBADMINISTRATOR AND DISTRIBUTOR
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
TRANSFER AGENT AND CUSTODIAN
Investors Bank & Trust Company
89 South Street
Boston, MA 02111
COUNSEL TO GREEN CENTURY CAPITAL MANAGEMENT, INC.
Goulston & Storrs
400 Atlantic Avenue
Boston, MA 02110
INDEPENDENT AUDITORS
KPMG Peat Marwick LLP
99 High Street
Boston, MA 02110
- ------------------------------------------------------------------------
[LOGO OF GREEN CENTURY FUNDS APPEARS HERE]
An investment for your future.
Printed on recycled paper with soy-based ink.
- ------------------------------------------------------------------------
Annual Report
- ------------------------------------------------------------------------
[LOGO OF GREEN CENTURY FUNDS APPEARS HERE]
Balanced
Fund
June 30, 1996
- ------------------------------------------------------------------------
Equity
Fund
July 31, 1996
