<PAGE>
[LOGO OF GREEN CENTURY FUNDS APPEARS HERE]
ANNUAL REPORT
Green Century Balanced Fund
June 30, 1997
Green Century Equity Fund
July 31, 1997
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 information, call
1-800-882-8316 24 hours a day.
- --------------------------------------------------------------------------------
Dear Green Century Funds Shareholder:
Founded by non-profit environmental advocacy organizations in 1991,
the Green Century Funds are committed to growing the movement for corporate
environmental accountability and environmentally responsible investing. In this
our sixth Annual Report to our shareholders, we submit for your review an
account of our current statistics and progress toward our goals.
Buoyed by an exceptionally strong stock market, both Green Century
Funds produced solid returns last fiscal year. Our Equity Fund's performance
was superior compared to that of funds with a similar investment objective and
the Balanced Fund's performance was competitive for most of the year. Assets in
both funds grew in 1997 and the number of shareholder accounts more than
doubled in the last twelve months. We welcome our many new investors to Green
Century and thank our long-term shareholders for your continued commitment to
environmentally responsible investing.
Green Century invested new dollars in several proactive companies
developing new solutions to environmental problems. We also continued our
efforts to promote corporate environmental responsibility by advocating for
increased environmental stewardship within some of the companies the Funds
hold. Aiding in our efforts to inform environmentally conscious investors of
our work, the Green Century Funds received mention in articles on
environmentally and socially responsible investing in a variety of publications
including Mutual Funds Magazine, the Green Money Journal, Sky (the Delta
AirLines in flight magazine), Vegetarian Times magazine, the Los Angeles Times,
and the Louisville, KY Courier-Journal.
INVESTMENT PERFORMANCE
The Green Century Equity Fund's total return for its fiscal year
ended July 31, 1997 was 53.14%, exceeding the return for the Standard & Poor's
500 Index (the "S&P 500") of 52.14%, and well ahead of the return for the
average growth fund tracked by Lipper Analytical Services, Inc. ("Lipper") of
42.93% for the same period. In comparison to the S&P 500, the Equity Fund
benefitted from its underexposure to the tobacco and electric utility
industries and its overexposure to the beverages industry. Other factors aiding
the Fund were specific asset selection and systematic portfolio timing.
Conversely, the Fund suffered from its overexposure to the telephone industry
and underexposure to the international oil industry relative to the S&P 500. It
was also hurt by its overexposure to stocks with a growth bias and
underexposure to companies with substantial foreign income, again relative to
the S&P 500.
For the three year period ended July 31, 1997, the average annual
total return for the Fund was 29.52%, just shy of the 30.77% for the S&P 500
and again exceeding the 25.12% for the average growth fund tracked by Lipper.
The five year average annual total return was 19.36%, compared to 20.66% for
the
<PAGE>
S&P 500 and to 17.86% for the average growth fund tracked by Lipper. Since
inception on June 3, 1991, the average annual total return for the Green
Century Equity Fund was 17.49%.*
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, 1997, 98.49% of
the net assets of the Fund were invested in the stocks of the 400 companies.
The Green Century Balanced Fund's total return for its fiscal year
ended June 30, 1997 was 15.22%; the average balanced fund tracked by Lipper
returned 19.41% for the same period. After a strong Calendar Year 1996, the
Balanced Fund lost ground in the early months of Calendar Year 1997 to funds
focused in larger capitalization stocks, which surged during that period. Our
Balanced Fund then rebounded in the last two months of the fiscal year when
some of the small and intermediate size companies in which it invested
recovered.
For the three year period ended June 30, 1997, the Green Century
Balanced Fund's average annual total return was 17.36%, just exceeding the
17.14% for the average balanced fund tracked by Lipper for that period. For the
five year period ended June 30, 1997, our Balanced Fund's average annual total
return was 10.02%; the Lipper tracked average balanced fund returned 12.94% for
the same period. Since inception on March 18, 1992, the average annual total
return was 9.15%.
Green Century and the Balanced Fund's portfolio manager, Winslow
Management Company, believe that environmentally sensitive companies may enjoy
higher profitability than other companies, due in part to their reduction of
risk associated with environmental liabilities, as well as due to the possible
strategic advantages offered by environmentally responsible thinking, research,
planning and investment. Winslow's recent additions to the Balanced Fund's
portfolio include securities of environmentally responsible and performance
driven companies such as Waterlink, Inc. and Twinlab Corporation. Waterlink
designs and builds water treatment solutions for industrial and municipal
customers, a growing need due to economic development throughout the world and
the increasing scarcity of usable water. Twinlab's primary business is
preventative care; the company manufactures herbal supplements, vitamins, and
teas, which are sold through health food stores.**
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.
For two years, Green Century has worked with environmental
organizations and investors to persuade the management of Time Warner to
convert to totally chlorine-free paper for the company's publications,
including TIME Magazine. Because the paper bleaching process is a significant
producer of toxins, including carcinogenic dioxins, we have pushed for a
sounder environmental policy in paper purchasing at Time. In May, for the
second year, Time shareholders voted on a resolution, co-filed by the Green
Century Balanced Fund, to urge that Time report on the company's plans to
convert to totally chlorine-free paper. This year, unfortunately, our
resolution did not garner enough votes to allow us to re-introduce it next
year. Green Century will work with our co-filers and others on alternate
strategies.
In June, Thermo Electron shareholders voted whether the company
should endorse the CERES Principles, a set of comprehensive public standards
for both environmental performance and reporting. The resolution, co-filed by
the Green Century Balanced Fund and other concerned investors, did not carry
but won sufficient votes to allow us to re-file next year and to continue to
press the company to endorse the Principles.
Invested in a portfolio that owns the stocks of 400 companies, the
Equity Fund's portfolio has opportunities to vote its shares on many
environmental and social issues. Key among these in the past
2
<PAGE>
year was the movement to encourage corporations to endorse the CERES
Principles. The Equity Fund's adviser supported shareholder resolutions
advocating CERES endorsements at several companies last year, including
American Express Company and Kellogg Company.**
Thank you for your continuing confidence and investment in the Green
Century Funds.
With respect,
The Green Century Funds
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.
* The Green Century Equity Fund, which commenced investment operations in
September, 1995, invests all of its investable 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.
** As of June 30, 1997, the above named companies composed the following
percentages of the portfolio of the Balanced Fund: Waterlink, Inc. 1.77%;
Twinlab Corporation 3.27%; Time Warner 0.04%; and Thermo Electron Corporation
2.81%. As of July 31, 1997, the above named companies composed the following
percentages of the Index Portfolio in which the Equity Fund is invested:
American Express Company 1.02%; and Kellogg Company 0.49%. The holdings of the
Balanced Fund and the Index Portfolio may change due to ongoing management.
Lipper Analytical Services, Inc. is a respected mutual fund ranking service.
The S&P 500 is an unmanaged index of 500 selected common stocks, most of which
are listed on the New York Stock Exchange. The S&P 500 is heavily weighted
toward stocks with large market capitalizations and represents approximately
two-thirds of the total market value of all domestic common stocks.
This material must be proceeded or accompanied by a current prospectus.
Distributor: Sunstone Distribution Services, LLC. 8/97
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS
GREEN CENTURY BALANCED FUND
INVESTMENT OBJECTIVE--The Green Century Balanced Fund seeks capital 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 debt of investment and non-investment
grade environmentally responsible companies.
ECONOMIC ENVIRONMENT--Interest rates remained relatively strong throughout
1996, peaking in May 1997. The Federal Funds rate was also consistent, with one
change in March 1997. At that time the Federal Reserve raised the rate 0.25% as
a precautionary measure to offset inflation. Inflation, however, has remained
tame and the economy grew at a healthy pace. With a strong economy and
inflation in check, the economic environment has been conducive to robust stock
and bond markets.
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 and other companies with clean environmental records.
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 15.22%, compared to 19.41%
for the average balanced fund tracked by Lipper Analytical Services, Inc.
during the same period. For the five years ended June 30, 1997, the Balanced
Fund's average annual total return was 10.02%, compared to 12.94% for the
average balanced fund tracked by Lipper. The Fund's average annual total return
since inception on March 18, 1992 was 9.15%.
[GRAPH APPEARS HERE]
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Balanced Fund S&P 500 Micropal Balanced Fund Index Micropal Environmental Sector 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 11,580 11,526 9,298
6/30/94 9,987 11,742 11,651 8,843
6/30/95 11,486 14,804 13,463 10,483
6/30/96 14,010 18,653 15,544 12,732
6/30/97 16,142 25,125 18,508 14,368
</TABLE>
The S&P 500 Index is an unmanaged index of 500 stocks.
Past performance is not predictive of future performance.
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, 1997.............................. 15.22%
---------------------------------------------------------------------
Five years ended June 30, 1997............................ 10.02%
---------------------------------------------------------------------
Inception (March 18, 1992) to June 30, 1997............... 9.15%
---------------------------------------------------------------------
</TABLE>
4
<PAGE>
MANAGEMENT'S 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 which conform
to basic standards for environmental and social corporate responsibility.
PORTFOLIO ORIENTATION--The Fund seeks to achieve its investment objective by
investing all its investable assets in the Domini Social Index Portfolio (the
"Index Portfolio") which has the same investment objective as the Fund. 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
which meet certain environmental and social criteria.
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 53.14%, compared to 52.14%
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, 1997, the Equity Fund's
average annual total return was 19.36%, compared to 20.66% for the S&P 500. The
Fund's average annual total return since inception on June 3, 1991 was 17.49%.*
[GRAPH APPEARS HERE]
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Equity Fund S&P 500
<S> <C> <C>
6/3/91 $10,000 $10,000
7/31/91 9,987 9,987
7/31/92 11,137 11,264
7/31/93 12,162 12,249
7/31/94 12,425 12,880
7/31/95 15,442 16,243
7/31/96 17,628 18,934
7/31/97 26,996 28,807
</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.
Past performance is not predictive of future performance.
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------------------------------
<TABLE>
<S> <C>
One year ended July 31, 1997.............................. 53.14%
---------------------------------------------------------------------
Five years ended July 31, 1997*........................... 19.36%
---------------------------------------------------------------------
Inception (June 3, 1991) to July 31, 1997*................ 17.49%
---------------------------------------------------------------------
</TABLE>
* The Green Century Equity Fund, which commenced investment operations in
September, 1995, invests all of its investable 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.
5
<PAGE>
GREEN CENTURY BALANCED FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 1997
COMMON STOCKS--71.8%
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
TECHNOLOGY--15.3%
Checkpoint Systems, Inc. (b)............................... 25,000 $ 406,250
Inso Corp. (b)............................................. 15,000 308,437
Intel Corp................................................. 100 14,181
Metrika Systems Corp. (b).................................. 12,500 194,531
Orbital Sciences Corp. (b)................................. 15,000 238,125
System Software Associates, Inc. (b)....................... 38,000 289,750
Teradyne, Inc. (b)(e)...................................... 6,000 235,500
-----------
1,686,774
-----------
ENVIRONMENTAL PRODUCTS & SERVICES--14.2%
Caraustar Industries, Inc.................................. 5,000 173,125
Galileo Corp. (b).......................................... 45,000 286,875
Memtec LTD ADR (c)......................................... 12,000 324,000
Philip Services Corp. (b).................................. 7,500 119,063
Thermo Electron Corp. (b).................................. 9,000 309,375
Thermo Fibergen, Inc. (b).................................. 15,000 152,813
Waterlink, Inc. (b)........................................ 15,000 195,000
-----------
1,560,251
-----------
ENERGY--9.6%
Cairn Energy USA, Inc. (b)................................. 25,000 328,125
Calpine Corp. (b).......................................... 17,000 323,000
USX--Delhi Group........................................... 16,300 213,938
Western Gas Resources, Inc. ............................... 10,000 195,000
-----------
1,060,063
-----------
FOOD & BEVERAGE--7.7%
PepsiCo, Inc. ............................................. 100 3,756
Puro Water Group, Inc. (b)................................. 8,000 46,750
Twinlab Corp. (b).......................................... 15,000 360,000
Whole Foods Market, Inc. (b)............................... 7,500 248,438
Wild Oats Markets, Inc. (b)................................ 7,500 191,250
-----------
850,194
-----------
AGRICULTURE--5.6%
Delta & Pine Land Co. ..................................... 7,733 275,500
Potash Corp. of
Saskatchewan (e).......................................... 4,500 337,781
-----------
613,281
-----------
FINANCIAL SERVICES--5.4%
American International Group, Inc.......................... 1,500 224,062
Bank Plus Corp. (b)........................................ 5,000 54,375
Criimi Mae, Inc. .......................................... 20,000 320,000
-----------
598,437
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
HEALTH SERVICES & HOSPITAL SUPPLIES--5.0%
Healthplan Services Corp................................. 10,000 $ 188,750
Thermo Bioanalysis Corp. (b)............................. 7,500 114,375
Vencor, Inc. (b)......................................... 6,000 253,500
-----------
556,625
-----------
COMMUNICATIONS--4.7%
Nokia Corp. ADR (c)(e)................................... 5,000 368,750
Octel Communication Corp. (b)............................ 6,000 140,625
Time Warner, Inc......................................... 100 4,825
-----------
514,200
-----------
PHARMACEUTICALS--4.3%
Elan Corp. PLC ADR (b)(c)................................ 7,500 339,375
Pharmacopeia, Inc. (b)................................... 10,000 132,500
-----------
471,875
-----------
Total Common Stocks (Cost $6,692,611).............................. 7,911,700
-----------
CORPORATE BONDS AND NOTES--26.1%
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
COMMUNICATIONS--6.6%
Allbritton Comm
9.75%, due 11/30/07..................................... $200,000 $ 196,000
GST USA, Inc.
13.875%, due 12/15/05................................... 300,000 186,750
IXC Communications, Inc.
12.50%, due 10/01/05.................................... 200,000 228,000
Orion Network Systems, Inc.
0.00%, due 1/15/07...................................... 200,000 117,000
-----------
727,750
-----------
FOOD & BEVERAGE--6.4%
Curtice-Burns Foods
12.25%, due 2/01/05..................................... 200,000 222,500
Homeland Stores, Inc.
10.00%, due 8/01/03..................................... 250,000 241,250
Specialty Foods Corp.
10.25%, due 8/15/01..................................... 250,000 243,750
-----------
707,500
-----------
CONSUMER GOODS--5.0%
Brazos Sportswear, Inc.
10.50%, due 7/01/07..................................... 300,000 297,720
Collins & Aikman Floorcovering Corp.
10.00%, due 1/15/07 (d)................................. 250,000 250,000
-----------
547,720
-----------
</TABLE>
6
<PAGE>
GREEN CENTURY BALANCED FUND
PORTFOLIO OF INVESTMENTS--(CONCLUDED)
JUNE 30, 1997
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
EQUIPMENT--2.3%
Willcox & Gibbs, Inc.
12.25%, due 12/15/03.................................... $250,000 $ 255,312
-----------
ENERGY--2.1%
Midland Funding II,
11.75%, due 7/23/05..................................... 200,000 233,500
-----------
ENVIRONMENTAL SERVICES--1.9%
ICF Kaiser International
13.00%, due 12/31/03.................................... 200,000 207,000
-----------
PAPER PRODUCTS--1.8%
Repap Wisconsin
9.875%, due 5/01/06..................................... 200,000 203,000
-----------
Total Corporate Bonds and Notes
(Cost $2,802,553)................................................. 2,881,782
-----------
SHORT-TERM OBLIGATIONS--5.0%
REPURCHASE AGREEMENTS
Salomon Brothers, 5.50%, dated 06/30/97, due 07/01/97, proceeds
$553,386 (collateralized by U.S. Treasury securities with maturi-
ties from 11/15/16 through 08/15/20, value $563,705).............. 553,301
-----------
TOTAL INVESTMENTS (A)--102.9%
(Cost $10,048,465)................................................ 11,346,783
</TABLE>
<TABLE>
<S> <C> <C> <C>
WRITTEN OPTIONS--(0.4)%
<CAPTION>
NUMBER OF STRIKE
CONTRACTS PRICE VALUE
<S> <C> <C> <C>
Nokia Corp.
Call option, 7/19/97........................... 50 $ 70.00 $ (24,375)
Teradyne, Inc.
Call option, 7/19/97........................... 60 37.50 (19,125)
Potash Corp. of Saskatchewan
Call option, 1/17/98........................... 45 100.00 (7,031)
-----------
Total Written Options............................................. (50,531)
-----------
Other Liabilities Less Other Assets--(2.5)%....................... (274,110)
-----------
NET ASSETS--100%.................................................. $11,022,142
===========
</TABLE>
- -------
(a) The cost of securities for federal income tax purposes is $10,048,465,
resulting in gross unrealized appreciation and depreciation of $1,666,081
and $367,763 respectively, or net unrealized appreciation of $1,298,318.
(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.
(e) Securities pledged as collateral to cover outstanding call options written
at June 30, 1997.
See Notes to Financial Statements
7
<PAGE>
GREEN CENTURY BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $10,048,465)............................ $11,346,783
Receivables for:
Securities sold.................................................... 200,931
Interest and dividends............................................. 96,051
Capital stock sold................................................. 16,596
-----------
Total assets..................................................... 11,660,361
-----------
LIABILITIES:
Payable for securities purchased.................................... 565,376
Accrued expenses.................................................... 22,312
Written options (premiums received $27,847)(Notes 1 and 3).......... 50,531
-----------
Total liabilities................................................ 638,219
-----------
NET ASSETS.......................................................... $11,022,142
===========
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 9,135,437
Accumulated net realized gain on investments and options written.... 557,644
Net unrealized appreciation on investments and options written...... 1,275,634
Accumulated undistributed net investment income..................... 53,427
-----------
NET ASSETS.......................................................... $11,022,142
===========
SHARES OUTSTANDING.................................................. 814,559
===========
NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE PER SHARE...... $ 13.53
===========
</TABLE>
GREEN CENTURY BALANCED FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest income................................................... $ 270,252
Dividend income (net of foreign withholding tax of $834).......... 37,963
----------
Total investment income........................................ 308,215
----------
EXPENSES (NOTE 2):
Administrative services fee....................................... 134,417
Investment advisory fee........................................... 67,209
Distribution fee.................................................. 22,403
----------
Total expenses................................................. 224,029
----------
NET INVESTMENT INCOME............................................. 84,186
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1):
Net realized gain on:
Investments...................................................... 656,287
Options written.................................................. 45,662
----------
701,949
Net increase (decrease) in unrealized appreciation (depreciation)
of:
Investments...................................................... 681,958
Options written.................................................. (28,455)
----------
653,503
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS............ 1,355,452
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............. $1,439,638
==========
</TABLE>
See Notes to Financial Statements
8
<PAGE>
GREEN CENTURY BALANCED FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
JUNE 30, 1997 JUNE 30, 1996
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment income............................. $ 84,186 $ 58,102
Net realized gain on investments and options writ-
ten.............................................. 701,949 1,045,400
Net increase in unrealized appreciation of invest-
ments and options written........................ 653,503 271,529
----------- ----------
Net increase in net assets resulting from opera-
tions............................................ 1,439,638 1,375,031
----------- ----------
Dividends to shareholders (Note 1):
From net investment income........................ (67,661) (58,633)
From net realized gains........................... (1,042,169) --
----------- ----------
Total dividends and distributions.................. (1,109,830) (58,633)
----------- ----------
Capital share transactions (Note 4):
Proceeds from sales of shares..................... 2,238,592 4,331,903
Reinvestment of dividends and distributions....... 626,390 50,833
Payments for shares redeemed...................... (387,839) (774,466)
----------- ----------
Net increase in net assets resulting from capital
stock transactions............................... 2,477,143 3,608,270
----------- ----------
Total Increase in Net Assets....................... 2,806,951 4,924,668
NET ASSETS:
Beginning of Period............................... 8,215,191 3,290,523
----------- ----------
End of Period (including undistributed net invest-
ment income of $53,427 and $615 for the years
ended June 30, 1997, and June 30, 1996 respec-
tively).......................................... $11,022,142 $8,215,191
=========== ==========
</TABLE>
GREEN CENTURY BALANCED FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE PERIOD
MARCH 18, 1992
FOR THE YEARS ENDED JUNE 30, (COMMENCEMENT
----------------------------------------- OF OPERATIONS)
1997 1996 1995 1994 1993 TO JUNE 30, 1992
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, begin-
ning of period......... $ 13.34 $ 11.03 $ 9.68 $10.14 $ 9.84 $10.00
------- ------- ------ ------ ------ ------
Income from investment
operations:
Net investment income.. 0.12 0.10 0.10 0.07 0.06 0.02
Net realized and
unrealized gain (loss)
on investments........ 1.77 2.31 1.35 (0.46) 0.30 (0.16)
------- ------- ------ ------ ------ ------
Total increase (de-
crease) from investment
operations............. 1.89 2.41 1.45 (0.39) 0.36 (0.14)
------- ------- ------ ------ ------ ------
Less dividends:
Dividends from net in-
vestment income....... (0.10) (0.10) (0.10) (0.07) (0.06) (0.02)
Dividends from net re-
alized gains.......... (1.60) -- -- -- -- --
------- ------- ------ ------ ------ ------
Total decrease from div-
idends and distribu-
tions.................. (1.70) (0.10) (0.10) (0.07) (0.06) (0.02)
------- ------- ------ ------ ------ ------
Net Asset Value, end of
period................. $ 13.53 $ 13.34 $11.03 $ 9.68 $10.14 $ 9.84
======= ======= ====== ====== ====== ======
Total return............ 15.22% 21.98% 15.00% (3.83)% 3.69% (1.45)%(a)
Ratios/Supplemental da-
ta:
Net assets, end of pe-
riod (in 000's)....... $11,022 $ 8,215 $3,291 $3,151 $2,821 $ 547
Ratio of expenses to
average net assets.... 2.50% 2.50% 2.50% 2.50% 2.50% 2.50%(b)
Ratio of net investment
income to average net
assets................ 0.94% 0.85% 0.97% 0.74% 0.85% 1.13%(b)
Portfolio turnover..... 109% 136% 16% 14% 11% 2%
Average commission rate
paid per share........ $0.0646 $0.0628 -- -- -- --
</TABLE>
(a) Not annualized
(b) Annualized
See Notes to Financial Statements
9
<PAGE>
GREEN CENTURY EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
JULY 31,1997
<TABLE>
<S> <C>
ASSETS:
Investment in Domini Social Index Portfolio, at value (Note 1)...... $5,242,552
Receivable for capital stock sold................................... 37,722
----------
Total assets..................................................... 5,280,274
----------
LIABILITIES:
Accrued expenses (Note 2)........................................... 4,496
Payable for capital stock redeemed.................................. 600
----------
Total liabilities................................................ 5,096
----------
NET ASSETS.......................................................... $5,275,178
==========
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $4,203,791
Distributions in excess of net investment income.................... (2,240)
Accumulated net realized gain on investment......................... 8,086
Net unrealized appreciation on investment........................... 1,065,541
----------
NET ASSETS.......................................................... $5,275,178
==========
SHARES OUTSTANDING.................................................. 312,859
==========
NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE PER SHARE...... $ 16.86
==========
</TABLE>
GREEN CENTURY EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME FROM INDEX PORTFOLIO:
Investment income from Index Portfolio.............................. $ 34,105
Expenses from Index Portfolio....................................... (5,143)
----------
Net income from Index Portfolio.................................. 28,962
----------
EXPENSES:
Administrative services fee (Note 2)................................ 27,359
----------
NET INVESTMENT INCOME............................................... 1,603
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT:
Net realized gain on investment..................................... 6,238
Net increase in unrealized appreciation of investment............... 1,064,623
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT...................... 1,070,861
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $1,072,464
==========
</TABLE>
See Notes to Financial Statements
10
<PAGE>
GREEN CENTURY EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 13, 1995
FOR THE (COMMENCEMENT OF
YEAR ENDED OPERATIONS) TO
JULY 31, 1997 JULY 31, 1996
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment income........................ $ 1,603 $ 1,702
Net realized gain on investment.............. 6,238 2,672
Net increase in unrealized appreciation of
investment.................................. 1,064,623 918
---------- --------
Net increase in net assets resulting from op-
erations.................................... 1,072,464 5,292
---------- --------
Dividends to shareholders:
From net investment income................... (4,238) (1,307)
From net realized gains...................... (824) --
---------- --------
(5,062) (1,307)
---------- --------
Capital Share Transactions (Note 4):
Proceeds from sales of shares................ 3,530,696 927,413
Reinvestment of dividends and distributions.. 4,505 1,143
Payments for shares redeemed................. (207,152) (52,814)
---------- --------
Net increase in net assets resulting from
capital share transactions.................. 3,328,049 875,742
---------- --------
Total Increase in Net Assets.................. 4,395,451 879,727
NET ASSETS:
Beginning of period.......................... 879,727 0
---------- --------
End of period (including distributions in
excess of net investment income of $2,240
and undistributed net investment income of
$395 for the years ended July 31, 1997 and
July 31, 1996, respectively)................ $5,275,178 $879,727
========== ========
</TABLE>
GREEN CENTURY EQUITY FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 13, 1995
FOR THE (COMMENCEMENT OF
YEAR ENDED OPERATIONS) TO
JULY 31, 1997 JULY 31, 1996
<S> <C> <C>
Net Asset Value, beginning of period.......... $11.04 $10.00
------ ------
Income from investment operations:
Net investment income........................ 0.02 0.02
Net realized and unrealized gain on invest-
ment........................................ 5.84 1.04
------ ------
Total increase from investment operations.... 5.86 1.06
------ ------
Less dividends:
Dividends from net investment income......... (0.03) (0.02)
Dividends from net realized gains............ (0.01) --
------ ------
Total decrease from dividends and
distrubutions................................ (0.04) (0.02)
------ ------
Net Asset Value, end of period................ $16.86 $11.04
====== ======
Total return.................................. 53.14% 10.64%(a)
Ratios/supplemental data
Net Assets, end of period (in 000's)......... $5,275 $ 880
Ratio of expenses to average net assets...... 1.50% 1.50%(b)
Ratio of net investment income to average net
assets...................................... 0.07% 0.49%(b)
</TABLE>
(a) Not annualized.
(b) Annualized.
See Notes to Financial Statements
11
<PAGE>
GREEN CENTURY BALANCED FUND/JUNE 30, 1997
GREEN CENTURY EQUITY FUND/JULY 31, 1997
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 Equity
Fund accounts for its investment in the Index Portfolio as a partnership
investment and records its share of the Index Portfolio's income, expenses and
realized and unrealized gains and losses daily. The value of such investment
reflects the Fund's proportionate interest in the net assets of the Index
Portfolio (1.78% at July 31, 1997). 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 price 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.
12
<PAGE>
GREEN CENTURY BALANCED FUND
GREEN CENTURY EQUITY FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
(C) DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-
dividend date. The Funds declare and pay dividends of net investment
income semi-annually and distribute net realized capital gains, if any,
annually. 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. Accordingly, at June 30, 1997 for
the Balanced Fund, a reclassification was recorded to increase
undistributed net investment income and to reduce undistributed net
realized gain by $36,287.
(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, 1997, Green Century accrued fees of $37,023 to Winslow.
13
<PAGE>
GREEN CENTURY BALANCED FUND
GREEN CENTURY EQUITY FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
(C) ADMINISTRATOR: Green Century 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.
(D) SUBADMINISTRATOR: Pursuant to a Subadministrative Services Agreement
with the Administrator, Signature Broker-Dealer Services, Inc.
("Signature"), as Subadministrator, was 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, 1997, Green Century accrued fees of $13,442 to
Signature relating to services performed on behalf of the Balanced Fund,
and for the year ended July 31, 1997, Green Century accrued fees of
$2,811 to Signature relating to services performed on behalf of the
Equity Fund. Effective July 7, 1997, Sunstone Financial Group, Inc.
("Sunstone") replaced Signature as the Subadministrator of the Funds.
For the year ended July 31, 1997, Green Century accrued fees of $2,352
to Sunstone 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 provided that the Balanced Fund 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 activities. For the year ended June
30, 1997, the Balanced Fund accrued and paid $22,403 to Signature for
services provided pursuant to the Plan. Effective July 7, 1997, Sunstone
Distribution Services, LLC, an affiliate of Sunstone, replaced Signature
as the Distributor of the Balanced Fund.
NOTE 3--INVESTMENT TRANSACTIONS
The Balanced Fund's purchases and sales of securities, other than short-term
securities, aggregated $11,152,327 and $9,544,784, respectively for the year
ended June 30, 1997.
The Balanced Fund's activity in written options for the year ended June 30,
1997 was as follows:
<TABLE>
<CAPTION>
PREMIUM CONTRACTS
<S> <C> <C>
Options outstanding at June 30, 1996....................... $ 8,302 45
Options written............................................ 85,749 688
Options exercised.......................................... (11,099) (50)
Options expired............................................ (33,800) (368)
Options closed............................................. (21,305) (160)
-------- --------
Options outstanding at June 30, 1997....................... $ 27,847 155
======== ========
</TABLE>
Additions and reductions in the Equity Fund's investment in the Index
Portfolio aggregated $3,535,202 and $207,152 for the year ended July 31, 1997.
14
<PAGE>
GREEN CENTURY BALANCED FUND
GREEN CENTURY EQUITY FUND
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
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 FOR THE (COMMENCEMENT OF
YEAR ENDED YEAR ENDED YEAR ENDED OPERATIONS)
JUNE 30, 1997 JUNE 30, 1996 JULY 31, 1997 TO JULY 31, 1996
<S> <C> <C> <C> <C>
Shares sold............. 178,968 379,384 248,224 84,374
Reinvestment of divi-
dends.................. 50,015 4,436 329 101
Shares redeemed......... (30,384) (66,302) (15,392) (4,777)
------- ------- ------- ------
198,599 317,518 233,161 79,698
======= ======= ======= ======
</TABLE>
- --------------------------------------------------------------------------------
TAX INFORMATION--UNAUDITED
The federal tax status of distributions per share made to shareholders during
each Fund's fiscal year was as follows:
<TABLE>
<CAPTION>
NET
PAYMENT INVESTMENT SHORT-TERM LONG-TERM
DATE INCOME CAPITAL GAINS CAPITAL GAINS
<S> <C> <C> <C> <C>
Balanced Fund................... 12/30/96 $0.053 $1.088 $0.514
6/27/97 $0.041 -- --
Equity Fund..................... 12/30/96 $0.025 $0.002 $0.005
6/27/97 $0.005 -- --
</TABLE>
For the year ended June 30, 1997 for the Balanced Fund, and for the year
ended July 31, 1997 for the Equity Fund, 22% and 100%, respectively, of
dividends paid from net investment income (excluding short-term capital gains)
qualified for the 70% dividends received deduction available to corporate
shareholders.
15
<PAGE>
LOGO
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, 1997 and the accompanying statement of assets and liabilities of
the Green Century Equity Fund as of July 31, 1997, and the related statements
of operations for the respective years then ended and the related statements of
changes in net assets and financial highlights for each of the years in the
two-year period ended June 30, 1997 for the Green Century Balanced Fund and for
the year ended July 31, 1997 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 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 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 and financial highlights. Our procedures included
confirmation of securities owned by the Green Century Balanced Fund as of June
30, 1997 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as 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, 1997 and the Green Century Equity Fund
at July 31, 1997, the results of their operations for the respective years then
ended, changes in their net assets and financial highlights for the two-year
period ended June 30, 1997 for the Green Century Balanced Fund and for the year
ended July 31, 1997 and the period from September 13, 1995 to July 31, 1996 for
the Green Century Equity Fund in conformity with generally accepted accounting
principles.
[Signature]
Boston, Massachusetts
August 22, 1997
16
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JULY 31, 1997
COMMON STOCKS--99.1%
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
APPAREL--0.9%
Brown Group, Inc. ......................................... 1,400 $ 24,500
Hartmarx Corp. (b)......................................... 2,300 17,394
Liz Claiborne.............................................. 5,300 253,738
Nike, Inc. ................................................ 21,900 1,364,644
Osh Kosh B'Gosh............................................ 800 17,100
Phillips-Van Heusen Corp. ................................. 1,900 26,600
Reebok International Ltd. (b).............................. 4,100 211,663
Russell Corp. ............................................. 2,700 78,806
Springs Industries, Inc. .................................. 1,600 77,400
Stride Rite Corp. ......................................... 3,400 46,113
Timberland Co. (b)......................................... 600 38,775
V.F. Corp. ................................................ 4,800 430,800
------------
2,587,533
------------
BANKING--7.8%
Banc One Corp. ............................................ 43,695 2,452,382
BankAmerica Corp. ......................................... 53,900 4,069,250
BankBoston Corp. .......................................... 11,100 942,806
Bankers Trust New York Corp. .............................. 5,800 586,888
Barnett Banks, Inc. ....................................... 15,000 854,063
CoreStates Financial Corp. ................................ 15,600 962,325
Fifth Third Bancorp........................................ 12,050 761,409
First Chicago NBD Corp. ................................... 23,606 1,791,105
J P Morgan & Co. Inc. ..................................... 13,900 1,610,663
Mellon Bank Corp. ......................................... 19,500 983,531
Norwest Corp. ............................................. 28,200 1,778,363
PNC Bank Corp. ............................................ 24,300 1,111,725
SunTrust Banks, Inc. ...................................... 16,600 1,065,512
Vermont Financial Services Corp. .......................... 200 10,100
Wachovia Corp. ............................................ 12,200 786,900
Washington Mutual, Inc. ................................... 18,880 1,305,080
Wells Fargo & Co. ......................................... 6,700 1,842,081
------------
22,914,183
------------
COMMERCIAL PRODUCTS & SERVICES--1.7%
Avery Dennison Corp. ...................................... 7,900 348,588
Cintas Corp. .............................................. 3,400 222,700
DeVry Inc (b).............................................. 2,700 79,313
Deluxe Corp. .............................................. 6,200 206,538
HON Industries, Inc. ...................................... 2,300 137,425
Harland (John H.) Co. ..................................... 2,300 45,138
Herman Miller, Inc. ....................................... 3,600 178,650
Ikon Office Solutions Inc. ................................ 10,000 291,875
Kelly Services............................................. 2,775 83,944
Moore Corp. Ltd. .......................................... 6,300 136,631
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
COMMERCIAL PRODUCTS & SERVICES--CONTINUED
National Service Industries................................. 3,600 $ 177,525
New England Business Services, Inc. ........................ 800 23,600
Pitney Bowes, Inc. ......................................... 11,000 826,375
Standard Register........................................... 2,000 64,750
Tennant Co. ................................................ 1,000 35,500
Xerox Corp. ................................................ 24,500 2,015,125
------------
4,873,677
------------
CONSTRUCTION--0.2%
Apogee Enterprises, Inc. ................................... 2,000 42,750
Centex Corp. ............................................... 2,400 133,800
Fleetwood Enterprises, Inc. ................................ 2,400 77,850
Granite Construction Inc. .................................. 1,100 22,825
Kaufman & Broad Home Corp. ................................. 2,700 57,713
Rouse Co. .................................................. 5,100 151,406
Skyline Corp. .............................................. 500 12,719
TJ International, Inc. ..................................... 3,500 85,750
------------
584,813
------------
ENERGY--3.0%
ARCO Chemical Co. .......................................... 7,400 334,850
Amoco Corp. ................................................ 37,400 3,515,600
Anadarko Petroleum Corp. ................................... 4,500 314,438
Apache Corp. ............................................... 6,800 239,700
Atlantic Richfield Co. ..................................... 24,400 1,825,426
Consolidated Natural Gas.................................... 7,000 405,125
Helmerich & Payne Inc. ..................................... 2,100 141,356
Louisiana Land & Exploration Co. ........................... 2,800 197,750
Monterey Resources Inc. .................................... 3,087 47,085
Oryx Energy Co. (b)......................................... 8,100 199,969
Pennzoil Co. ............................................... 3,300 257,813
Rowan Companies, Inc. (b)................................... 6,600 216,975
Santa Fe Energy Resources, Inc. (b)......................... 7,000 60,375
Sun Co., Inc. .............................................. 5,600 200,550
Western Atlas, Inc. (b)..................................... 4,100 326,206
Williams Companies, Inc .................................... 12,000 549,000
------------
8,832,218
------------
FINANCIAL SERVICES--5.7%
A.G. Edwards, Inc .......................................... 4,825 203,856
Ahmanson (H. F.) & Company.................................. 7,600 404,225
American Express Co......................................... 35,700 2,989,875
Beneficial Corp. ........................................... 4,000 290,000
Block (H. & R.), Inc. ...................................... 8,000 306,500
</TABLE>
17
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1997
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
FINANCIAL SERVICES--CONTINUED
Dime Bancorp, Inc. ........................................ 8,000 $ 160,500
Federal Home Loan Mortgage Corporation..................... 52,600 1,896,888
Federal National Mort Association.......................... 80,800 3,822,850
First Fed Financial Corp. (b).............................. 600 20,700
Golden West Financial Corp. ............................... 4,300 361,738
Household International Inc. .............................. 8,100 1,048,950
MBIA, Inc. ................................................ 3,200 377,600
MBNA, Corp. ............................................... 25,300 1,138,500
Merrill Lynch & Co., Inc. ................................. 25,000 1,760,937
Piper Jaffrey Inc. ........................................ 1,500 32,156
Schwab (Charles) & Co., Inc. .............................. 13,200 617,925
Student Loan Marketing Association......................... 4,300 644,731
Transamerica Corp. ........................................ 5,000 504,375
Value Line, Inc. .......................................... 500 20,250
Wesco Financial Corp. ..................................... 400 116,000
------------
16,718,556
------------
FOODS & BEVERAGES--9.3%
Ben & Jerry's (b).......................................... 700 9,013
CPC International, Inc. ................................... 10,900 1,045,718
Campbell Soup Co. ......................................... 35,100 1,820,813
Coca-Cola Co. ............................................. 188,500 13,053,625
Fleming Companies, Inc. ................................... 2,500 39,844
General Mills, Inc. ....................................... 12,200 843,325
Heinz (H. J.) Co. ......................................... 27,800 1,284,013
Hershey Foods Corp. ....................................... 11,600 640,900
Kellogg Co. ............................................... 15,700 1,442,438
Natures Sunshine Products, Inc. ........................... 1,100 22,550
Odwalla, Inc. (b).......................................... 1,300 13,163
Pepsico, Inc. ............................................. 116,500 4,463,406
Quaker Oats Co. ........................................... 10,500 537,469
Ralston-Purina Group....................................... 8,100 731,025
SUPERVALUE, Inc. .......................................... 4,600 186,300
Smucker (J.M.) Co. ........................................ 2,100 50,663
Sysco Corp. ............................................... 13,200 492,525
Tootsie Roll Industries, Inc. ............................. 1,779 87,188
Wrigley (Wm) Jr. Co. ...................................... 8,800 677,050
------------
27,441,028
------------
HEALTH CARE--8.3%
ALZA Corp. (b)............................................. 6,400 206,800
Acuson Corp. (b)........................................... 2,000 52,625
Allergan, Inc. ............................................ 4,800 153,300
Angelica Corp. ............................................ 800 15,400
Becton Dickinson & Co. .................................... 9,300 498,713
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
HEALTH CARE--CONTINUED
Bergen Brunswig Corp. ..................................... 3,618 $ 107,636
Biomet, Inc. .............................................. 8,400 167,475
Boston Scientific Corp. (b)................................ 14,700 1,054,725
Forest Laboratories, Inc. (b).............................. 2,900 131,950
Humana, Inc. (b)........................................... 12,300 299,813
Johnson & Johnson.......................................... 101,300 6,312,256
Manor Care, Inc. .......................................... 4,700 155,100
Marquette Medical Systems, Inc.--Class A (b)............... 1,500 38,625
Medtronic, Inc. ........................................... 18,000 1,570,500
Merck & Co., Inc. ......................................... 91,700 9,531,069
Mylan Labs, Inc. .......................................... 9,700 163,688
Oxford Health Plans, Inc. (b).............................. 5,900 495,969
Schering-Plough Corp. ..................................... 55,400 3,022,763
St. Jude Medical, Inc. (b)................................. 6,900 281,606
Stryker Corp. ............................................. 7,400 288,600
Sunrise Medical, Inc. (b).................................. 1,500 22,500
United American Healthcare Corp. (b)....................... 300 2,063
------------
24,573,176
------------
HOUSEHOLD GOODS--5.0%
Alberto Culver Co.--Class B................................ 4,300 120,669
Avon Products, Inc. ....................................... 10,000 725,625
Bassett Furniture Industries, Inc. ........................ 900 27,000
Black & Decker Corp. ...................................... 7,400 311,725
Church & Dwight Co., Inc. ................................. 4,400 130,625
Clorox Co. ................................................ 3,900 544,538
Colgate-Palmolive Co. ..................................... 22,300 1,689,225
Fedders Corp. ............................................. 2,700 16,369
Handleman Co. (b).......................................... 2,500 16,094
Harman International Industries............................ 1,230 48,893
Hasbro Inc. ............................................... 9,850 302,272
Huffy Corp. ............................................... 700 10,325
Leggett & Platt, Inc. ..................................... 7,000 317,625
Mattel, Inc. .............................................. 22,085 767,454
Maytag Corp. .............................................. 7,400 215,988
Newell Co. ................................................ 12,100 507,444
Oneida Ltd. ............................................... 800 23,600
Procter & Gamble Co. ...................................... 51,300 7,804,012
Rubbermaid, Inc. .......................................... 11,300 294,506
Shaw Industries............................................ 10,000 106,875
Snap-On Inc. .............................................. 4,450 183,563
Stanhome, Inc. ............................................ 1,100 36,231
Stanley Works.............................................. 6,700 303,594
Thomas Industries Inc. .................................... 800 23,700
Whirlpool Corp. ........................................... 5,700 285,000
------------
14,812,952
------------
</TABLE>
18
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1997
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
INSURANCE--6.6%
Aetna, Inc. ................................................ 11,370 $ 1,295,469
American General Corp. ..................................... 18,162 967,127
American International Group................................ 52,400 5,580,600
Chubb Corp. ................................................ 13,200 930,600
Cigna Corp. ................................................ 5,600 1,117,200
Cincinnati Financial Corp. ................................. 3,995 330,087
General Re Corp. ........................................... 6,100 1,274,138
Hartford Steam Boiler, Inc. ................................ 1,600 89,200
Jefferson Pilot Corp. ...................................... 5,500 390,844
Lincoln National Corp. ..................................... 7,800 554,775
Marsh & McLennan Companies, Inc. ........................... 12,500 967,969
Providian Financial Corp. .................................. 7,100 278,231
ReliaStar Financial Corp. .................................. 2,800 214,725
SAFECO Corp. ............................................... 9,800 469,175
St. Paul Cos. .............................................. 6,300 494,156
Torchmark Corp. ............................................ 5,200 414,050
Travelers, Inc. ............................................ 48,500 3,488,969
UNUM Corp. ................................................. 10,700 476,150
USF&G Corp. ................................................ 8,400 206,325
------------
19,539,790
------------
MEDIA--3.4%
Disney (Walt) Co. .......................................... 51,400 4,153,763
BET Holdings, Inc.--Class A (b)............................. 900 36,000
Banta Corp. ................................................ 2,350 64,919
Comcast Corp. .............................................. 26,500 601,219
Dow Jones & Co., Inc. ...................................... 7,300 315,269
Harcourt General Inc. ...................................... 5,200 245,700
King World Productions Inc. ................................ 2,700 109,013
Lee Enterprises, Inc. ...................................... 3,500 89,688
McGraw-Hill Companies....................................... 7,800 528,938
Media General, Inc.--Class A................................ 1,900 67,450
Meredith Corp. ............................................. 3,900 107,981
New York Times Co. ......................................... 7,300 366,825
R.R. Donnelley & Sons....................................... 11,100 446,081
Scholastic Corp. (b)........................................ 2,200 77,550
Tele-Communications, Inc.--Series A (b)..................... 50,100 857,962
Times Mirror Co.--Class A................................... 7,500 409,687
U S West Media Group........................................ 45,900 1,012,669
Viacom Inc.--Class A (b).................................... 4,900 149,756
Washington Post Co. ........................................ 800 331,000
------------
9,971,470
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
MISCELLANEOUS--1.8%
Cross (A.T.)................................................ 900 $ 7,988
American Greetings Corp. ................................... 5,800 194,300
Avnet, Inc. ................................................ 3,400 223,763
Bemis Co. .................................................. 3,900 179,156
CPI Corp. .................................................. 600 12,225
Case Corp. ................................................. 5,600 349,650
Deere & Co. ................................................ 19,200 1,092,000
General Signal.............................................. 4,000 196,750
Gibson Greetings Inc. (b)................................... 900 20,363
Hillenbrand Industries Inc. ................................ 5,300 243,138
Hunt Manufacturing, Inc. ................................... 600 12,713
Ionics, Inc. (b)............................................ 1,400 59,325
Jostens Inc. ............................................... 2,600 67,113
Marriott International, Inc. ............................... 9,600 660,000
Omnicom Group............................................... 6,200 432,838
Polaroid Corp. ............................................. 3,400 202,300
Sealed Air Corp. (b)........................................ 3,400 159,375
Service Corp. International................................. 18,100 615,400
Sonoco Products Co. ........................................ 6,805 226,692
Toro Co. ................................................... 800 29,200
Whitman Corp. .............................................. 7,700 194,425
------------
5,178,714
------------
MISCELLANEOUS MANUFACTURING--2.2%
Applied Materials, Inc. (b)................................. 13,700 1,258,687
CLARCOR Inc. ............................................... 900 23,344
Cincinnati Milacron......................................... 2,800 78,400
Crown Cork & Seal, Inc. .................................... 9,800 495,513
Dionex, Corp. (b)........................................... 800 36,500
Fastenal Co. ............................................... 2,700 151,031
Gerber Scientific Inc. ..................................... 1,700 35,913
Graco Inc. ................................................. 1,450 47,759
Illinois Tool Works Inc. ................................... 18,800 975,250
Isco, Inc. ................................................. 300 2,438
James River Corp. .......................................... 6,300 259,481
Kimberly-Clark Corp. ....................................... 42,564 2,157,463
Lawson Prods, Inc. ......................................... 800 21,000
Millipore Corp. ............................................ 3,300 145,819
Nordson Corp. .............................................. 1,500 91,500
Philip Services (b)......................................... 1,527 22,722
Thermo Electron Corp. ...................................... 11,330 387,344
WH Brady Co.--Class A....................................... 1,400 41,475
Watts Industries Inc.--Class A.............................. 1,900 47,975
Wellman, Inc. .............................................. 2,200 50,050
Zurn Industries, Inc. ...................................... 700 20,694
------------
6,350,358
------------
</TABLE>
19
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1997
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
RESOURCE DEVELOPMENT--1.9%
Air Products & Chemicals.................................... 8,300 $ 731,956
Aluminum Company Of America................................. 13,100 1,159,350
Battle Mountain Gold Co. ................................... 17,300 96,231
BetzDearborn Inc............................................ 2,000 131,000
Cabot Corp. ................................................ 5,200 147,225
Calgon Carbon Corp. ........................................ 2,700 36,450
Consolidated Papers, Inc. .................................. 3,400 202,725
Cyprus Amax Minerals Co. ................................... 7,000 177,625
Echo Bay Mines Ltd (b)...................................... 10,600 53,000
Fuller H. B. Co. ........................................... 1,300 67,113
Inland Steell Industries, Inc. ............................. 3,600 82,575
Mead Corp. ................................................. 3,700 266,400
Morton International Inc.--new.............................. 10,700 357,781
Nalco Chemical.............................................. 4,900 199,981
Nucor Corp. ................................................ 6,650 412,716
Praxair, Inc. .............................................. 11,900 655,987
Sigma-Aldrich Corp. ........................................ 7,800 270,075
Westvaco Corp. ............................................. 7,900 264,156
Worthington Industries...................................... 7,300 144,632
------------
5,456,978
------------
RETAIL--9.6%
Albertson's, Inc. .......................................... 18,900 700,481
American Stores Co. ........................................ 20,900 527,725
Bob Evans Farms............................................. 3,000 49,875
CVS Corp. .................................................. 12,600 716,625
Charming Shoppes Inc. (b)................................... 7,900 46,413
Circuit City Stores......................................... 7,500 271,875
Claire's Stores Inc. ....................................... 3,200 68,800
Costco Companies Inc. (b)................................... 15,915 602,781
Dayton-Hudson Corp. ........................................ 16,400 1,059,850
Dillards Inc. Class A Stock................................. 8,600 325,188
Dollar General.............................................. 6,659 292,996
Egghead Inc. (b)............................................ 1,500 9,563
Gap, Inc. (The)............................................. 20,600 915,413
Giant Food Inc. ............................................ 4,400 147,675
Great Atlantic & Pacific Tea Co. ........................... 2,900 79,569
Hannaford Brothers Co. ..................................... 3,000 102,375
Hechinger Co.--Class A (b).................................. 3,000 7,875
Home Depot Inc ............................................. 55,449 2,765,519
International Dairy Queen, Inc. (b)......................... 1,800 44,550
Kmart Corp. (b)............................................. 36,800 437,000
Kroger Co. (b).............................................. 19,200 567,600
Land's End, Inc. (b)........................................ 2,200 65,175
Lillian Vernon Corp. ....................................... 1,000 16,750
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
RETAIL--(CONTINUED)
Longs Drugstores Corp. .................................... 2,900 $ 78,119
Lowe's Companies, Inc. .................................... 13,100 492,888
Luby's Cafeterias, Inc. ................................... 1,800 35,438
May Department Stores...................................... 17,900 1,000,163
McDonald's Corp. .......................................... 52,500 2,821,875
Mercantile Stores Company, Inc. ........................... 2,600 174,688
Nordstrom, Inc ............................................ 5,800 328,788
Penney (J.C.) Company, Inc. ............................... 18,600 1,088,100
Ruby Tuesday, Inc. ........................................ 1,400 35,613
Ryans Family Steakhouse (b)................................ 3,600 31,050
Sears Roebuck.............................................. 29,600 1,874,050
Sherwin Williams Co. ...................................... 13,000 416,813
Spec's Music, Inc. (b)..................................... 200 125
Starbucks Corp. (b)........................................ 6,100 249,719
TCBY Enterprises, Inc. .................................... 1,900 13,063
TJX Cos., Inc. ............................................ 11,800 352,525
Tandy Corp. ............................................... 4,300 255,581
The Limited, Inc. ......................................... 20,400 455,175
The Pep Boys............................................... 4,400 146,300
Toys 'R' Us, Inc. (b)...................................... 21,520 733,025
Wal-Mart Stores, Inc. ..................................... 172,400 6,475,775
Walgreen Co. .............................................. 18,600 1,050,900
Wholefoods Market, Inc. (b)................................ 3,300 113,850
Woolworth Corp. (b)........................................ 10,200 288,788
------------
28,334,084
------------
TECHNOLOGY--22.5%
3 Com Corp. (b)............................................ 25,100 1,372,656
AT & T Corp. .............................................. 123,700 4,553,706
Advanced Micro Devices (b)................................. 10,800 378,675
Amdahl Corp. (b)........................................... 9,300 109,856
American Power Conversion Corp. (b)........................ 6,900 171,638
Analog Devices (b)......................................... 12,100 380,394
Apple Computer, Inc. (b)................................... 9,600 168,000
Autodesk, Inc. ............................................ 3,500 148,313
Automatic Data Processing, Inc. ........................... 22,200 1,098,900
Baldor Electric Co. ....................................... 1,900 59,375
Borland International Inc. (b)............................. 2,400 19,800
Broderbund Software, Inc. (b).............................. 1,400 30,363
Cisco Systems, Inc. (b).................................... 50,400 4,009,950
Compaq Computer (b)........................................ 51,900 2,964,788
Computer Associates Intl Inc. ............................. 27,400 1,864,913
Cooper Industries, Inc. ................................... 9,000 500,063
DSC Communications (b)..................................... 8,900 262,550
Digital Equipment Corp. (b)................................ 11,600 477,775
Grainger (W.W.), Inc. ..................................... 3,900 374,400
</TABLE>
20
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1997
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
TECHNOLOGY--CONTINUED
Hewlett-Packard Company.................................... 77,200 $ 5,408,825
Hubbell Inc.--Class B...................................... 5,160 245,423
Hutchinson Technology Inc. (b)............................. 1,200 36,975
Intel Corp. ............................................... 124,600 11,439,838
International Business Machines............................ 75,500 7,984,125
MCI Communications Corp. .................................. 52,000 1,836,250
Merix Corp. (b)............................................ 300 5,250
Micron Technology, Inc. ................................... 15,900 774,131
Microsoft Corp. (b)........................................ 91,100 12,890,650
Molex Inc. ................................................ 9,650 375,747
National Semiconductor Corp. (b)........................... 10,700 337,050
Novell Inc. (b)............................................ 26,200 198,546
Perkin-Elmer Corp. ........................................ 3,300 269,363
Quarterdeck Corp. (b)...................................... 2,900 8,338
Raychem Corp. ............................................. 3,100 300,700
Shared Medical Systems Corp. .............................. 1,900 102,600
Solectron Corp. (b)........................................ 4,300 339,163
Sprint Corp. .............................................. 32,500 1,608,750
Stratus Computer, Inc. (b)................................. 1,900 103,550
Sun Microsystems, Inc. (b)................................. 27,900 1,274,681
Tandem Computers, Inc. (b)................................. 8,800 258,500
Tektronix, Inc. ........................................... 2,500 154,375
Tellabs, Inc. (b).......................................... 13,600 814,300
Thomas & Betts Corp. ...................................... 4,200 239,925
Xilinx, Inc. (b)........................................... 5,600 265,300
------------
66,218,470
------------
TRANSPORTATION--1.8%
AMR Corp. (b).............................................. 6,800 731,425
Airborne Freight Corp. .................................... 1,700 83,406
Alaska Air Group, Inc. (b)................................. 800 23,650
CSX Corp. ................................................. 16,400 1,012,700
Consolidated Freightways Corp. (b)......................... 1,700 25,819
Delta Air Lines, Inc. ..................................... 5,300 471,038
Federal Express Corp. (b).................................. 8,700 561,694
GATX Corp. ................................................ 1,700 104,656
Norfolk Southern Corp. .................................... 9,500 1,052,125
Roadway Express Inc. ...................................... 1,600 36,625
Ryder System............................................... 5,600 200,550
Southern New England Telecommunication Corp. .............. 4,900 194,775
Southwest Airlines, Inc. .................................. 11,000 321,062
UAL Corp. (b).............................................. 4,500 369,281
Yellow Corp. (b)........................................... 2,000 54,000
------------
5,242,806
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
UTILITIES--6.9%
AGLResources Inc. .......................................... 4,100 $ 85,844
American Water Works Co. ................................... 5,900 127,956
Ameritech Corp. ............................................ 41,800 2,818,888
Bell Atlantic Corp. ........................................ 33,300 2,416,331
BellSouth Corp. ............................................ 75,500 3,576,813
Brooklyn Union Gas Co. ..................................... 3,900 117,244
CalEnergy, Inc. (b)......................................... 4,800 193,500
Citizens Utilities--Class A (b)............................. 13,966 117,846
Connecticut Energy Corp. ................................... 700 15,969
Eastern Enterprises......................................... 1,600 57,300
El Paso Natural Gas Co. .................................... 4,600 265,938
Energen Corp. .............................................. 1,100 39,875
Enron Corp. ................................................ 23,100 876,356
Equitable Resources, Inc. .................................. 2,400 71,550
Frontier Corp. ............................................. 12,400 255,750
Idaho Power Co. ............................................ 2,700 87,581
LG&E Energy Corp. .......................................... 4,700 102,519
MCN Corp. .................................................. 5,800 183,788
NICOR, Inc. ................................................ 3,900 142,838
NYNXCorp. .................................................. 33,200 1,840,525
Northwestern Public Service Co. ............................ 1,500 28,125
Oge Energy Corp. ........................................... 3,100 141,825
Oneok Inc. ................................................. 2,000 70,000
Pacific Enterprises......................................... 6,300 210,656
Peoples Energy Corp. ....................................... 2,400 92,100
Potomac Electric Power...................................... 9,000 200,813
Public Service Co. of Colorado.............................. 4,800 199,800
SBC Communications, Inc. ................................... 69,459 4,111,093
Sonat, Inc. ................................................ 6,500 324,188
Telephone and Data Systems, Inc. ........................... 4,400 168,850
U S West, Inc. (b).......................................... 36,100 1,319,906
Washington Gas Light........................................ 3,300 85,800
------------
20,347,567
------------
VEHICLE COMPONENTS--0.5%
Cooper Tire & Rubber Co. ................................... 5,700 142,144
Cummins Engine Co., Inc. ................................... 2,900 227,650
Dana Corp. ................................................. 8,000 363,500
Federal-Mogul Corp. ........................................ 2,400 84,900
Genuine Parts............................................... 13,600 443,700
Modine Mfg Co. ............................................. 2,100 65,625
SPX Corp. (b)............................................... 800 41,600
</TABLE>
21
<PAGE>
PORTFOLIO OF INVESTMENTS
JULY 31, 1997
COMMON STOCKS--CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
VEHICLE COMPONENTS--CONTINUED
Smith (A.O.) Corp. ........................................ 1,200 $ 42,975
Spartan Motors, Inc. ...................................... 700 6,213
------------
1,418,307
------------
Total Common Stock (cost $200,235,272) (a)........................ 291,396,680
Other Assets Less Liabilities--0.9%............................... 962,290
------------
NET ASSETS--100.0%................................................ $292,358,970
============
</TABLE>
- -------
(a) The aggregate cost for federal income tax purposes is $200,235,272, the
aggregate gross unrealized appreciation is $92,193,207, and the aggregate
gross unrealized depreciation is $1,031,799, resulting in net unrealized
appreciation of $91,161,408.
(b) Non-income producing security.
See Notes to Financial Statements
22
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JULY 31, 1997
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments at value (Cost $200,235,272) (Note 1)................. $291,396,680
Cash.............................................................. 3,566,465
Dividends receivable.............................................. 378,347
------------
Total assets................................................... 295,341,492
------------
LIABILITIES:
Payable for securities purchased.................................. 2,932,971
Expense payment fee payable (Note 2).............................. 49,551
------------
Total liabilities.............................................. 2,982,522
------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS.......... $292,358,970
============
NET ASSETS CONSIST OF:
Paid-in capital................................................... $292,358,970
============
</TABLE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 1997
<TABLE>
<S> <C> <C>
INVESTMENT
INCOME:
Dividends (net of foreign
withholding tax of
$536)................... $2,657,798
EXPENSES
(NOTES 1 AND
2):
Expense payment and spon-
sorship fees............ 417,522
Custody fees offset by
compensating balances... 70,377
-----------
Total expenses........... 487,899
Fees paid indirectly.. (70,377)
-----------
Net expenses.......... 417,522
-----------
NET INVESTMENT INCOME.... 2,240,276
NET REALIZED
GAIN ON IN-
VESTMENTS
(NOTE 3):
Proceeds from
sales....... $2,468,457
Cost of secu-
rities sold. 2,035,040
-----------
Net realized gain on
investments.......... 433,417
NET CHANGE IN
UNREALIZED
APPRECIATION
OF INVEST-
MENTS:
Beginning of
year........ 16,620,535
End of year.. 91,161,408
-----------
Net change in
unrealized apprecia-
tion of investments.. 74,540,873
-----------
NET INCREASE IN NET AS-
SETS RESULTING FROM OP-
ERATIONS................ $72,214,566
===========
</TABLE>
See Notes to Financial Statements
23
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
JULY 31, 1997 JULY 31, 1996
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations:
Net investment income............................. $ 2,240,276 $ 1,132,780
Net realized gain on investments.................. 433,417 697,337
Net change in unrealized appreciation of invest-
ments............................................ 74,540,873 6,861,507
------------ ------------
Net increase in net assets resulting from opera-
tions............................................ 77,214,566 8,691,624
------------ ------------
Transactions in Investors' Beneficial Interest:
Additions......................................... 137,135,556 52,533,365
Reductions........................................ (22,391,710) (14,827,219)
------------ ------------
Net increase in net assets from transactions in
investors' beneficial interests.................. 114,743,846 37,706,146
------------ ------------
Total Increase in Net Assets....................... 191,958,412 46,397,770
NET ASSETS:
Beginning of year................................. 100,400,558 54,002,788
------------ ------------
End of year....................................... $292,358,970 $100,400,558
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED JULY 31,
-------------------------------------------------
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
Ratio of net investment in-
come to average net assets.. 1.34%(1) 1.48%(1) 1.85%(2) 2.13%(2) 1.88%
Ratio of total expenses to
average net assets.......... 0.29%(1)(3) 0.59%(1)(3) 0.43%(2) 0.29%(2) 0.29%
Portfolio turnover........... 1% 5% 6% 8% 4%
Average commission rate paid
per share................... $0.05 $0.05 -- -- --
</TABLE>
(1) Had the Expense Payment Agreement and Sponsor Arrangement not been in
place, the ratios of net investment income and total expenses to average
net assets for the years ended July 31, 1997 and July 31, 1996 would have
been 1.34% and 0.25% and 1.14% and 0.85% respectively.
(2) Reflects a voluntary waiver of fees by the Administrator and Adviser due to
the limitations set forth in the Expense Reimbursement Agreement. Had the
Administrator and Adviser not waived their fees, the ratios of net
investment income and expenses to average net assets for the years ended
July 31, 1995 and 1994 would have been 1.75% and 0.53% and 2.00% and 0.42%
respectively.
(3) Ratio of total expenses to average net assets for the years ended July 31,
1997 and 1996 include indirectly paid expenses. Excluding indirectly paid
expenses, the expense ratios would have been 0.25% and 0.50% for the years
ended July 31, 1997 and 1996, respectively.
See Notes to Financial Statements
24
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JULY 31, 1997
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Domini Social Index Portfolio (the "Index Portfolio") is registered under the
Investment Company Act of 1940 (the "Act") as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York on June 7, 1989. The Index Portfolio intends to correlate
its investment portfolio as closely as is practicable with the Domini 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) 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 0.025% of the Index Portfolio's average daily net assets. Prior to
October 4, 1996, KLD received an investment advisory fee accrued daily at an
annual rate equal to 0.050% of the Index Portfolio's average daily net assets.
(B) INVESTMENT MANAGEMENT FEES: The Index Portfolio has retained Mellon 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 0.10% of the Index Portfolio's average daily net assets. Prior to October 4,
1996 MEA received a fee based on the following percentages of the Index
Portfolio's average daily net assets; 0.10% of assets up to $50 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) SPONSOR FEES: Pursuant to a Sponsorship Agreement dated November 6, 1996,
KLD agreed to pay all of the ordinary operating expenses of the Index Portfolio
except the sponsorship fee and excluding brokerage fees and commissions,
interest, taxes and extraordinary expenses. Under this arrangement, KLD
receives sponsorship fees from the Index Portfolio at an annual rate equal to
0.20% of the average daily net assets of the Index Portfolio. From October 4,
1996 to November 5, 1996 the Administrator, Signature Broker-Dealer Services,
Inc. ("Signature"), received expense payment fees from the Index Portfolio at
an annual rate equal to 0.20% of the average daily net assets of the Index
Portfolio, and prior to October 4, 1996, at an annual rate equal to 0.50% of
the average daily net assets of the Index Portfolio. The Sponsorship
Arrangement will terminate on December 31, 1999. For the year ended July 31,
1997, the Sponsor and Administrator incurred approximately $370,950 in expenses
on behalf of the Index Portfolio.
(D) ADMINISTRATION FEES: Pursuant to an Administrative Services Agreement
between KLD and Signature, Signature serves as Administrator of the Index
Portfolio. Certain officers of Signature serve as officers and trustees to the
Index Portfolio. Under the Administrative Services Agreement, Signature
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 trustees affiliated with Signature. For these
services Signature receives from KLD a fee accrued daily at an annual rate
equal to 0.025% of the Index Portfolio's average daily net assets.
NOTE 3--INVESTMENT TRANSACTIONS
Purchase and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $119,258,928 and $2,468,458, respectively.
Custody fees of the Portfolio were reduced by $70,377 which was compensation
for uninvested cash left on deposit with the custodian. Cash balances could
have been employed to earn additional income for the Portfolio.
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NOTE 4--MANAGEMENT RESTRUCTURING
On June 30, 1997, the Board of Trustees (the "Board") of the Index Portfolio
voted to approve certain management changes (the "Management Restructuring") in
order to provide for a more centralized management structure. The Management
Restructuring includes the Index Portfolio, subject to shareholder approval,
entering into a new management agreement with Domini Social Investments LLC to
provide investment supervisory and administrative services and a new
submanagement agreement with MEA to manage the investments of the Index
Portfolio on a day to day basis.
In connection with the Management Restructuring, the Board has also approved
the termination of the existing Sponsorship Agreement with KLD, including the
expense payment arrangements.
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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
(the "Portfolio") as of July 31, 1997, and the related statement of operations
for the year then ended, statements of changes in net assets for each of the
years in the two-year period then ended and financial highlights for each of
the years in the five-year period then ended. These financial statements and
financial 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 and financial highlights. Our procedures included
confirmation of securities owned by the Portfolio as of July 31, 1997 by
correspondence with the custodian and brokers. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as 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, 1997, 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.
[Signature]
Boston, Massachusetts
August 22, 1997
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[LOGO OF GREEN CENTURY FUNDS APPEARS HERE]
Annual Report
Balanced
Fund
June 30, 1997
Equity
Fund
July 31, 1997
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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
Sunstone Financial Group, Inc.
(Subadministrator)
Sunstone Distribution Services,
LLC (Distributor)
207 East Buffalo Street
Milwaukee, WI 53202
TRANSFER AGENT AND CUSTODIAN
Investors Bank & Trust Company
200 Clarendon Street
Boston, MA 02116
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
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[LOGO OF GREEN CENTURY FUNDS APPEARS HERE]
