<PAGE>
ANNUAL REPORT
Green Century Balanced Fund
Green Century Equity Fund
July 31, 2000
[LOGO OF GREEN CENTURY FUNDS]
An Investment For Your Future.
29 Temple Place, Boston, Massachusetts 02111
For information on the Green Century Funds (R), call 1-800-93-GREEN. For
information on how to open an account and account services, call 1-800-221-
5519 9:00 am to 5:00 pm Eastern Time, Monday through Friday. For share price
and account information, call 1-800-221-5519, twenty-four hours a day.
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Dear Green Century Funds Shareholder:
Daily news reports citing deteriorating air quality and increased
incidence of childhood asthma, the ongoing battle over oil drilling in the
Arctic driven by our continued dependence on fossil fuels, and the
increasingly controversial use of genetically modified foods remind us how
vital it is that each and every one of us do our part to protect the
environment. Since the Funds' inception in 1991, Green Century has been
committed to offering environmentally conscious investors the opportunity to
seek solid financial returns while promoting greater corporate environmental
accountability. We are proud to report our progress toward these goals in the
past year.
Total assets under management in the two Green Century Funds
increased by over 110% in the past year while the number of Green Century
Funds investors grew by over 45%. Green Century welcomes our many new
investors and thanks our long-term shareholders for your continued commitment
to environmentally responsible investing.
The Green Century Balanced Fund remains a strong performer, with a
total return of 93.54% for the fiscal year ended July 31, 2000, making it the
top performing fund out of 442 balanced funds ranked by Morningstar for the
one year period./1/ The Green Century Equity Fund had a solid total return of
7.62% for the fiscal year ended July 31, 2000, exceeding the 4.08% return of
the average of the growth and income funds tracked by Morningstar for the same
period./2/ A fuller discussion of the returns of each of the Funds follows.*
The Green Century Balanced Fund's (the "Balanced Fund") total
return for its fiscal year ended July 31, 2000 was 93.54%, exceeding the
average total return of balanced funds tracked by Morningstar of 5.99% for the
same period. This favorable performance record is attributable to several
factors. In contrast to the long-favored securities of larger companies, small
to mid-capitalization growth stocks have become relatively attractive. The
high rates of growth realized by many of these issues have contributed to the
positive performance of the Balanced Fund. Second, "green" companies have
received increased recognition by the press and financial markets, boosting
the success of these stocks as well. Third,
*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 performance of the Green
Century Balanced Fund was achieved during unusually favorable market
conditions. A fund's performance, especially for short time periods, should
not be the sole factor in making an investment decision.
<PAGE>
the focus of the bond component of the portfolio has been on high-yield issues
which have positively contributed to performance. Finally, the healthcare and
emerging energy sectors have faired well in the recent market, areas in which
the Balanced Fund as of July 31, 2000, was 11.2% and 11.5% invested,
respectively.
As of July 31, 2000, the three- and five-year average annual total
returns of the Balanced Fund were 27.50% and 23.69%, respectively, as compared
to the three- and five-year Morningstar balanced fund average annual total
returns of 8.16% and 12.54% for the same time periods. Since inception on
March 18, 1992, the Balanced Fund's average annual total return was 15.56%.
(As of June 30, 2000, the one-, three-, five-year and since inception average
annual total returns of the Balanced Fund were 115.90%, 30.60%, 25.64% and
16.48%, respectively.)
The Balanced Fund invests primarily in the stocks and bonds of
select companies that have clean environmental records, many of which also
make positive environmental contributions. Included in the latter category are
companies that produce renewable energy products and those that offer
effective remedies for existing environmental problems. The Balanced Fund also
invests in those companies that have minimized their adverse impact on the
environment and those companies Green Century believes are "best in their
class" companies that are setting standards for environmental protection in
their industries.
Corning Incorporated and SLI Inc. are two examples of companies
held by the Balanced Fund that address specific environmental problems.
Corning has worked since the early 1970s to reduce air pollution by developing
more than 200 patents for emission control processes used in gasoline, diesel
and alternative-fuel vehicles. While air pollution generated by automobiles
remains a severe environmental problem, cars run 98% cleaner today than a few
decades ago, an achievement due in part to automotive catalytic converters
manufactured with Corning's parts which have become the standard for
converters worldwide./3/
SLI, Inc., a supplier of lighting systems to both the commercial
and consumer markets, is a leader in LED (Light Emitting Diodes) technology.
LEDs are the small green lights that glow when one turns on a computer,
cellular phone or other equipment. SLI is focusing its business on high
brightness LEDs that use only about 10 percent of the power consumed by older
LEDs and offer a dramatically greater lifespan. This is a new technology that
is expected to save enormous amounts of oil and nuclear energy./4/
The Green Century Equity Fund's total return for its fiscal year
ended July 31, 2000 was 7.62% as compared to the return of the Standard &
Poor's 500 Index (the "S&P 500(R) Index")/5/ of 8.98% but outpacing the 4.08%
average annual total return of the growth and income funds tracked by
Morningstar for the same period. In comparison to the S&P 500(R)Index, the
Equity Fund benefited from its overexposure to the semiconductor and computer
hardware industries; conversely, the Equity Fund suffered from its lack of
exposure to the drug and energy reserves industries and its overexposure to
the department store industry.
For the three-year period ended July 31, 2000, the average annual
total return for the Equity Fund was 16.65%, exceeding the average annual
total return of 16.04% for the S&P 500(R) Index and the 10.06% average annual
total return of growth and income funds tracked by Morningstar for the same
time period. The five-year average annual total return of the Equity Fund as
of July 31, 2000 was 22.63%, just slightly above the S&P 500(R) Index return
of 22.61% for the same period, but beating the Morningstar average annual
total return of growth and income funds of 17.07%. Since inception on June 3,
1991, the average annual total return for the Equity Fund was 17.22%. (As of
June 30, 2000, the one-, three-, five-year and since inception average annual
total returns of the Equity Fund were 6.53%, 20.75%, 23.86% and 17.65%,
respectively.)/6/
The Equity Fund invests primarily in a portfolio of the 400
companies that comprise the Domini 400 Social Index, a broadly diversified
portfolio that excludes companies with the worst
2
<PAGE>
environmental and social records. As of July 31, 2000, 98.8% of the net assets
of the Equity Fund were invested in the stocks of the 400 companies.
Founded by a partnership of non-profit environmental advocacy
organizations in 1991, the Green Century Funds are committed to promoting
greater corporate environmental responsibility. Critical to the Green Century
mission is advocating at companies held by the Funds for improvements in their
behavior regarding the environment. Past efforts have included calling upon
PepsiCo to institute more aggressive solid waste programs and upon ARCO to
cancel any future plans for drilling in the Arctic National Wildlife Refuge.
As Green Century looks to the coming year, we are developing plans to advocate
for the removal of genetically engineered ingredients in food sold by
producers and restaurants, for reductions in emissions which contribute to
global warming and other critical environmental issues.
Thank you for your investment in the Green Century Funds and for
joining us in our commitment to promoting greater corporate environmental
responsibility and accountability.
Respectfully,
Green Century Funds
/1/ The Morningstar balanced fund category consists of funds that seek both
income and capital appreciation by investing in a generally fixed combination
of stocks and bonds. These funds generally hold a minimum of 25% of their
assets in fixed-income securities at all times.
/2/ The Morningstar growth and income fund category consists of funds where
growth of capital and current income are near-equal objectives. Investments
are typically selected for both appreciation potential and dividend-paying
ability.
/3/ As of July 31, 2000, Corning comprised 8.49% of the net assets of the
Balanced Fund. References to specific investments should not be construed as a
recommendation of the securities by the Funds, the adviser or their
distributor.
/4/ As of July 31, 2000, SLI, Inc. comprised 2.94% of the net assets of the
Balanced Fund. References to specific investments should not be construed as a
recommendation of the securities by the Funds, the adviser or their
distributor.
/5/ The S&P 500(R) Index is an unmanaged index of 500 selected common stocks,
most of which are listed on the New York Stock Exchange. The S&P 500(R) Index
is heavily weighted toward stocks with large market capitalizations and
represents approximately two-thirds of the total market value of all domestic
stocks. It is not possible to invest directly in the S&P 500(R)Index.
/6/ The Green Century Equity Fund, which commenced investment operations in
September 1995, invests all of its assets in an existing separate registered
investment company which has the same investment objective as the Fund (the
"Index Portfolio"). Consistent with regulatory guidance, the 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.
This material must be preceded or accompanied by a current prospectus.
Distributor: Sunstone Distribution Services, LLC 9/00
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 Fund also
invests in the stocks of small and micro-capitalization companies; the Fund's
portfolio manager believes that the environmentally distinguished companies in
which the Fund seeks to invest tend to have smaller market capitalizations and
that investments in such companies may offer greater opportunities for growth
as well as greater risks for price fluctuations than larger, more established
companies. The fixed-income portion of the portfolio is comprised of debt of
investment and non-investment grade environmentally responsible companies.
Economic Environment--A strong economy, rising earnings and peaking interest
rates are the basic ingredients for higher stock prices. While the tight labor
conditions and inflation may remain an open issue, the higher interest rates
are having an impact, generating a more positive outlook.
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 may produce competitive 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 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 year ended July 31, 2000 was 93.54%,
compared to 6.13% for the Lipper Balanced Fund Index during the same period.
For the five years ended July 31, 2000, the Balanced Fund's average annual
total return was 23.69%, compared to 13.28% for the Lipper Balanced Fund
Index. The Fund's average annual total return since inception on March 18,
1992 was 15.56%.
The S&P 500(R) Index is an unmanaged index of 500 stocks.
The Lipper Balanced Fund Index includes the 30 largest funds whose primary
objective is to conserve principal by maintaining at all times a balanced
portfolio of both stocks and bonds. Typically the stock/bond ratio ranges
around 60%/40%.
GROWTH OF A $10,000 INVESTMENT
[GRAPH]
Green Century S&P 500(R) Lipper Balanced
Balanced Fund Index Fund Index
3/18/92 10,000 10,000 10,000
6/30/92 9,855 10,053 10,107
6/30/93 10,219 11,424 11,558
6/30/94 9,827 11,584 11,652
6/30/95 11,302 14,604 13,459
6/30/96 13,786 18,401 15,453
6/30/97 15,883 24,786 18,640
6/30/98 17,969 32,261 22,072
7/31/98 16,523 31,918 21,813
7/31/99 17,338 38,366 24,157
7/31/00 33,557 41,810 25,637
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
<TABLE>
<S> <C>
One year ended July 31, 2000.................................... 93.54%
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Five years ended July 31, 2000.................................. 23.69%
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Inception (March 18, 1992) to July 31, 2000..................... 15.56%
</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
that meet certain environmental and social criteria.
In evaluating stocks for inclusion in the Index Portfolio, 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 are considered. 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
and environmental awareness.
The Fund's total return for its fiscal year was 7.62%, compared to 8.98% for
the Standard & Poor's 500(R) Index (the "S&P 500(R) Index"). For the five
years ended July 31, 2000, the Equity Fund's average annual total return was
22.63%, compared to 22.61% for the S&P 500(R) Index. The Fund's average annual
total return since inception on June 3, 1991 was 17.22%.
The S&P 500(R) Index is an unmanaged index of 500 stocks. Its performance
reflects reinvestment of dividends and distributions but not management and
other operating expenses, as does the Fund's performance. Performance on the
accompanying graph for the S&P 500(R) Index commences on May 31, 1991.
GROWTH OF A $10,000 INVESTMENT
[GRAPH]
Green Century S&P 500(R)
Equity Fund Index
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
7/31/98 32,752 34,362
7/31/99 39,813 41,304
7/31/00 42,846 45,011
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------
<TABLE>
<S> <C>
One year ended July 31, 2000.................................... 7.62%
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Five years ended July 31, 2000.................................. 22.63%
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Inception (June 3, 1991) to July 31, 2000....................... 17.22%
</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 charges and expenses of
the Fund.
5
<PAGE>
GREEN CENTURY BALANCED FUND
PORTFOLIO OF INVESTMENTS
July 31, 2000
COMMON STOCKS--65.9%
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Technology--17.5%
ADE Corp. (b)............................................... 75,000 $1,626,562
ANADIGICS, Inc. (b)......................................... 40,000 1,057,500
ATMI, Inc. (b).............................................. 24,000 618,000
Dot Hill Systems Corp. (b).................................. 70,000 647,500
Genus, Inc. (b)............................................. 42,500 284,219
Glenayre Technologies, Inc. (b)............................. 50,000 503,125
Intel Corp.................................................. 800 53,400
Oak Technology, Inc. (b).................................... 85,000 1,955,000
Project Software & Development, Inc. (b).................... 100,000 1,762,500
Veeco Instruments, Inc. (b)................................. 5,000 393,750
Wave Systems Corp., Class A (b)............................. 40,000 722,500
----------
9,624,056
----------
Alternative/Renewable Energy--11.5%
AstroPower, Inc. (b)........................................ 100,000 2,118,750
FuelCell Energy, Inc. (b)................................... 20,000 1,476,250
Valence Technology, Inc. (b)................................ 50,000 746,875
Vestas Wind Systems A/S (b)(c).............................. 40,000 1,739,736
York Research Corp. (b)..................................... 210,000 236,250
----------
6,317,861
----------
Healthcare--11.2%
Alkermes, Inc. (b).......................................... 20,000 662,500
NPS Pharmaceuticals, Inc. (b)............................... 77,000 2,175,250
NeoRx Corp. (b)............................................. 50,000 825,000
OSI Pharmaceuticals, Inc. (b)............................... 75,000 2,517,187
----------
6,179,937
----------
Telecommunications--9.7%
Corning Incorporated........................................ 20,000 4,678,750
Inter-Tel, Inc.............................................. 50,000 650,000
----------
5,328,750
----------
Internet Products & Services--8.0%
Ask Jeeves, Inc. (b)........................................ 20,000 362,500
CyberSource Corp. (b)....................................... 104,100 897,862
Netcentives, Inc. (b)....................................... 100,000 1,256,250
OneSource Information Services, Inc. (b).................... 50,000 528,125
S1 Corp. (b)................................................ 35,000 890,312
Safeguard Scientifics, Inc. (b)............................. 15,000 465,938
----------
4,400,987
----------
Consumer Durables--2.9%
SLI, Inc.................................................... 150,000 1,621,875
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Healthy Living--2.6%
NBTY, Inc. (b).......................................... 20,000 $ 127,500
United Natural Foods, Inc. (b).......................... 90,000 1,282,500
Whole Foods Market, Inc. (b)............................ 1,000 44,688
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1,454,688
-----------
Business Products & Services--1.3%
Caraustar Industries, Inc............................... 53,400 720,900
-----------
Financials--1.0%
American International Group, Inc....................... 421 36,895
Eaton Vance Corp........................................ 10,000 518,125
-----------
555,020
-----------
Consumer Non-Durables--0.2%
Thermo Trilogy Corp. (b)(d)(e).......................... 12,000 99,000
-----------
Communication--0.0%
Time Warner, Inc........................................ 200 15,338
-----------
Total Common Stocks (Cost $32,183,783).................. 36,318,412
-----------
CORPORATE BONDS & NOTES--25.0%
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
Telecommunications--16.2%
Amkor Technologies, Inc.
9.25%, due 5/1/06...................................... $1,000,000 $ 992,500
EchoStar DBS Corp.
9.375%, due 2/1/09..................................... 1,000,000 968,750
Level 3 Communications
9.125%, due 5/1/08..................................... 1,500,000 1,308,750
Nextel Communications
0%, due 2/15/08 (f).................................... 2,000,000 1,470,000
PSINet Inc.
11.50%, due 11/1/08.................................... 1,000,000 855,000
RCN Corp.
0%, due 10/15/07 (f)................................... 300,000 174,000
RCN Corp.
0%, due 2/15/08 (f).................................... 1,300,000 702,000
Sprint Spectrum L.P.
0%, due 8/15/06 (f).................................... 750,000 727,906
Verio Inc.
11.25%, due 12/1/08.................................... 300,000 343,500
Winstar Communications, Inc.
12.75%, due 4/15/10.................................... 1,500,000 1,391,250
-----------
8,933,656
-----------
</TABLE>
6
<PAGE>
GREEN CENTURY BALANCED FUND
PORTFOLIO OF INVESTMENTS--(concluded)
July 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
Alternative/Renewable Energy--5.8%
AES Corp.
8.50%, due 11/1/07...................................... $1,000,000 $ 942,500
AES Corp.
9.50%, due 6/1/09....................................... 1,000,000 1,011,250
Calpine Corp.
9.25%, due 2/1/04....................................... 1,000,000 998,750
Calpine Corp.
8.75%, due 7/15/07...................................... 250,000 245,000
-----------
3,197,500
-----------
Consumer Goods & Services--1.8%
Frank's Nursery & Crafts
10.25%, due 3/1/08...................................... 200,000 75,000
Kindercare Learning Centers
9.50%, due 2/15/09...................................... 250,000 231,250
Nebraska Book Company
8.75%, due 2/15/08...................................... 700,000 542,500
Nebraska Book Company
0%, due 2/15/09 (f)..................................... 300,000 152,250
-----------
1,001,000
-----------
Food & Beverage--1.0%
Homeland Stores, Inc.
10.00%, due 8/1/03...................................... 510,000 359,550
Sparkling Spring Water
11.50%, due 11/15/07.................................... 250,000 196,250
-----------
555,800
-----------
Environmental Services--0.2%
ICF Kaiser International
13.00%, due 12/31/03 (g)................................ 200,000 96,500
-----------
Total Corporate Bonds and Notes (Cost $14,853,180)....... 13,784,456
-----------
U.S. TREASURY NOTES--5.0%
U.S. Treasury Note
6.125%, due 12/31/01.................................... 500,000 497,969
U.S. Treasury Note
6.375%, due 1/31/02..................................... 1,000,000 999,688
U.S. Treasury Note
6.375%, due 6/30/02..................................... 1,250,000 1,251,172
-----------
Total U.S. Treasury Notes (Cost $2,748,511).............. 2,748,829
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
<S> <C> <C>
SHORT-TERM OBLIGATIONS--1.1%
Repurchase Agreements
Salomon Brothers, 5.65%, dated 7/31/00, due
8/1/00, proceeds $607,446 (collateralized by
U.S. Treasury securities with maturity at
11/15/12, value $619,498) (cost $607,351)..... $ 607,351
-----------
TOTAL INVESTMENTS (a)--97.0%
(Cost $50,392,825)............................ 53,459,048
Other Assets Less Liabilities--3.0%............ 1,622,326
-----------
NET ASSETS--100%............................... $55,081,374
===========
</TABLE>
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(a) The cost of investments for federal income tax purposes is $50,392,825,
resulting in gross unrealized appreciation and depreciation of $9,444,787
and $6,378,564, respectively, or net unrealized appreciation of
$3,066,223.
(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) Restricted Security. Purchased in a private placement transaction; resale
to the public may require registration or sale only to qualified
institutional buyers. Management has determined that its fair value at
July 31, 2000 is equal to cost.
(f) Step bond. Rate shown is currently in effect at July 31, 2000.
(g) At July 31, 2000, the security is in default. The cost of the security is
$188,000, representing 0.34% of net assets.
See Notes to Financial Statements
7
<PAGE>
GREEN CENTURY BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2000
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $50,392,825)........................... $53,459,048
Receivables for:
Capital stock sold................................................ 1,282,496
Securities sold................................................... 1,199,375
Interest and dividends............................................ 378,323
-----------
Total assets...................................................... 56,319,242
-----------
LIABILITIES:
Payable for securities purchased................................... 1,065,708
Accrued expenses................................................... 113,796
Payable for capital stock redeemed................................. 58,364
-----------
Total liabilities................................................. 1,237,868
-----------
NET ASSETS......................................................... $55,081,374
===========
NET ASSETS CONSIST OF:
Paid-in capital.................................................... $41,333,681
Accumulated net realized gain on investments....................... 10,663,868
Net unrealized appreciation on investments......................... 3,066,223
Accumulated undistributed net investment income.................... 17,602
-----------
NET ASSETS......................................................... $55,081,374
===========
SHARES OUTSTANDING................................................. 2,338,107
===========
NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE PER SHARE..... $ 23.56
===========
GREEN CENTURY BALANCED FUND
STATEMENT OF OPERATIONS
For the year ended July 31, 2000
INVESTMENT INCOME:
Interest income.................................................... $ 899,880
Dividend income.................................................... 62,222
Miscellaneous income............................................... 41,770
-----------
Total investment income........................................... 1,003,872
-----------
EXPENSES (Note 2):
Administrative services fee........................................ 497,991
Investment advisory fee............................................ 253,330
Distribution fee................................................... 84,443
-----------
Total expenses.................................................... 835,764
-----------
NET INVESTMENT INCOME.............................................. 168,108
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS (Note 1):
Net realized gain on investments................................... 12,097,000
Net increase in net unrealized appreciation of investments......... 1,608,881
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS.................... 13,705,881
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $13,873,989
===========
</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
JULY 31, 2000 JULY 31, 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment income............................. $ 168,108 $ 140,122
Net realized gain (loss) on investments and
options written.................................. 12,097,000 (1,400,197)
Net increase in unrealized net appreciation of
investments and options written.................. 1,608,881 1,939,922
------------ -----------
Net increase in net assets resulting from
operations....................................... 13,873,989 679,847
------------ -----------
Dividends and distributions to shareholders (Note
1):
From net investment income........................ (155,784) (137,787)
From net realized gains........................... -- (1,046,950)
------------ -----------
Total dividends and distributions.................. (155,784) (1,184,737)
------------ -----------
Capital share transactions (Note 4):
Proceeds from sales of shares..................... 48,461,250 3,191,755
Reinvestment of dividends and distributions....... 125,948 859,904
Payments for shares redeemed...................... (22,493,277) (3,489,320)
------------ -----------
Net increase in net assets resulting from capital
stock transactions............................... 26,093,921 562,339
------------ -----------
Total Increase in Net Assets....................... 39,812,126 57,449
NET ASSETS:
Beginning of Period................................ 15,269,248 15,211,799
------------ -----------
End of Period (including undistributed net
investment income of $17,602 and $5,312 for the
years ended July 31, 2000 and July 31, 1999,
respectively)..................................... $ 55,081,374 $15,269,248
============ ===========
</TABLE>
GREEN CENTURY BALANCED FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE FOR THE YEARS
FOR THE FOR THE ONE MONTH ENDED JUNE 30,
YEAR ENDED YEAR ENDED ENDED ------------------------
JULY 31, 2000 JULY 31, 1999 JULY 31, 1998 1998 1997 1996
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
beginning of period.... $ 12.21 $ 12.68 $ 13.79 $ 13.53 $ 13.34 $11.03
------- ------- ------- ------- ------- ------
Income from investment
operations:
Net investment income.. 0.07 0.11 -- 0.02 0.12 0.10
Net realized and
unrealized gain (loss)
on investments........ 11.35 0.40 (1.11) 1.68 1.77 2.31
------- ------- ------- ------- ------- ------
Total increase
(decrease) from
investment operations.. 11.42 0.51 (1.11) 1.70 1.89 2.41
------- ------- ------- ------- ------- ------
Less dividends and
distributions (Note 1):
Dividends from net
investment income..... (0.07) (0.11) -- (0.09) (0.10) (0.10)
Distributions from net
realized gains........ -- (0.87) -- (1.35) (1.60) --
------- ------- ------- ------- ------- ------
Total decrease from
dividends and
distributions.......... (0.07) (0.98) -- (1.44) (1.70) (0.10)
------- ------- ------- ------- ------- ------
Net Asset Value, end of
period................. $ 23.56 $ 12.21 $ 12.68 $ 13.79 $ 13.53 $13.34
======= ======= ======= ======= ======= ======
Total return............ 93.54% 4.93% (8.05)%(a) 13.13% 15.22% 21.98%
Ratios/Supplemental
data:
Net assets, end of
period (in 000's)..... $55,081 $15,269 $15,212 $16,286 $11,022 $8,215
Ratio of expenses to
average net assets.... 2.48% 2.50% 2.50%(b) 2.50% 2.50% 2.50%
Ratio of net investment
income to average net
assets................ 0.50% 1.00% 0.22%(b) 0.12% 0.94% 0.85%
Portfolio turnover..... 116% 91% 4%(a) 96% 109% 136%
</TABLE>
(a) Not annualized
(b) Annualized
See Notes to Financial Statements
9
<PAGE>
GREEN CENTURY EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2000
<TABLE>
<S> <C>
ASSETS:
Investment in Domini Social Index Portfolio, at value (Note 1)...... $40,450,293
Receivable for capital stock sold................................... 562,102
-----------
Total assets..................................................... 41,012,395
-----------
LIABILITIES:
Accrued expenses (Note 2)........................................... 44,055
Payable for capital stock purchased................................. 36,999
-----------
Total liabilities................................................ 81,054
-----------
NET ASSETS.......................................................... $40,931,341
===========
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $31,712,092
Accumulated net realized gain on investment......................... 1,202,150
Net unrealized appreciation on investment........................... 8,017,099
-----------
NET ASSETS.......................................................... $40,931,341
===========
SHARES OUTSTANDING.................................................. 1,549,252
===========
NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE PER SHARE...... $ 26.42
===========
</TABLE>
GREEN CENTURY EQUITY FUND
STATEMENT OF OPERATIONS
For the year ended July 31, 2000
<TABLE>
<S> <C>
INVESTMENT INCOME FROM INDEX PORTFOLIO:
Investment income from Index Portfolio............................. $ 329,251
Expenses from Index Portfolio...................................... (75,178)
----------
Net income from Index Portfolio................................. 254,073
----------
EXPENSES:
Administrative services fee (Note 2)............................... 469,339
----------
NET INVESTMENT LOSS................................................ (215,266)
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT:
Net realized gain on investment allocated from Index Portfolio..... 1,153,641
Net increase in net unrealized appreciation of investment allocated
from Index Portfolio.............................................. 1,429,087
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT..................... 2,582,728
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $2,367,462
==========
</TABLE>
See Notes to Financial Statements
10
<PAGE>
GREEN CENTURY EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
JULY 31, JULY 31,
2000 1999
<S> <C> <C>
INCREASE IN NET ASSETS:
From Operations:
Net investment loss................................. $ (215,266) $ (99,179)
Net realized gain on investment allocated from Index
Portfolio.......................................... 1,153,641 369,045
Net increase in net unrealized appreciation of
investment allocated from Index Portfolio.......... 1,429,087 3,767,345
----------- -----------
Net increase in net assets resulting from
operations......................................... 2,367,462 4,037,211
----------- -----------
Dividends and distributions to shareholders:
From net realized gains............................. (103,620) (179,708)
----------- -----------
Total dividends and distributions................... (103,620) (179,708)
----------- -----------
Capital Share Transactions (Note 4):
Proceeds from sales of shares....................... 15,345,676 13,046,220
Reinvestment of dividends and distributions......... 99,832 174,395
Payments for shares redeemed........................ (6,541,849) (2,789,855)
----------- -----------
Net increase in net assets resulting from capital
share transactions................................. 8,903,659 10,430,760
----------- -----------
Total Increase in Net Assets......................... 11,167,501 14,288,263
NET ASSETS:
Beginning of period................................. 29,763,840 15,475,577
----------- -----------
End of period....................................... $40,931,341 $29,763,840
=========== ===========
</TABLE>
GREEN CENTURY EQUITY FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 13, 1995
FOR THE YEARS (COMMENCEMENT OF
ENDED JULY 31, OPERATIONS) TO
------------------------------------ JULY 31, 1996
2000 1999 1998 1997
<S> <C> <C> <C> <C> <C>
Net Asset Value,
beginning of period.... $ 24.62 $ 20.44 $ 16.86 $11.04 $10.00
------- ------- ------- ------ ------
Income from investment
operations:
Net investment income
(loss)................ (0.14) (0.08) (0.03) 0.02 0.02
Net realized and
unrealized gain on
investment............ 2.02 4.47 3.62 5.84 1.04
------- ------- ------- ------ ------
Total increase from
investment operations. 1.88 4.39 3.59 5.86 1.06
------- ------- ------- ------ ------
Less dividends and
distributions:
Dividends from net
investment income..... -- -- -- (0.03) (0.02)
Distributions from net
realized gains........ (0.08) (0.21) (0.01) (0.01) --
------- ------- ------- ------ ------
Total decrease from
dividends and
distributions.......... (0.08) (0.21) (0.01) (0.04) (0.02)
------- ------- ------- ------ ------
Net Asset Value, end of
period................. $ 26.42 $ 24.62 $ 20.44 $16.86 $11.04
======= ======= ======= ====== ======
Total return............ 7.62% 21.56% 21.32% 53.14% 10.64%(a)
Ratios/Supplemental
data:
Net Assets, end of
period (in 000's)..... $40,931 $29,764 $15,476 $5,275 $ 880
Ratio of expenses to
average net assets.... 1.50% 1.50% 1.50% 1.50% 1.50%(b)
Ratio of net investment
income (loss) to
average net assets.... (0.59)% (0.46)% (0.26)% 0.07% 0.49%(b)
Portfolio turnover (c). 9% 8% 5% 1% n/a
</TABLE>
(a) Not annualized.
(b) Annualized.
(c) Represents portfolio turnover for the Index Portfolio.
See Notes to Financial Statements
11
<PAGE>
GREEN CENTURY BALANCED FUND
GREEN CENTURY EQUITY FUND
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 (the "Balanced
Fund") and the Green Century Equity Fund (the "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 (2.05% at July 31, 2000). 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 accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ from
those estimates. The following is a summary of the 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, if any, 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 July 31, 2000 for the Equity Fund, a reclassification
was recorded to increase undistributed net investment income by
$215,266, reduce undistributed net realized gain by $22,236 and reduce
paid-in capital by $193,030. A reclassification was recorded to reduce
undistributed net income by $34 and increase undistributed net realized
gain by $34 for the Balanced Fund for the period ended July 31, 2000.
(D) 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
Adams, Harkness & Hill, Inc., 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 July 31, 2000 Green Century accrued fees of $176,513 to
Winslow.
(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 a rate such that immediately following
any payment to the Administrator, total operating expenses, on an
annual basis, are limited to 2.50% of the Fund's average daily net
assets up to $30 million, 2.25% of the Fund's average daily net assets
from $30 million to $100 million, and 1.75% of the Fund's average daily
net assets in excess of $100 million, 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, Sunstone Financial Group, Inc. ("Sunstone"), as
Subadministrator, is responsible for conducting certain day-to-day
administration of the Trust subject to the supervision and direction of
the Administrator. For the year ended July 31, 2000, Green Century
accrued fees of $59,110 and $63,524 to Sunstone related to services
performed on behalf of the Balanced Fund and the Equity Fund,
respectively.
13
<PAGE>
GREEN CENTURY BALANCED FUND
GREEN CENTURY EQUITY FUND
NOTES TO FINANCIAL STATEMENTS--(continued)
(E) Distribution Plan: The Trust has adopted a Distribution Plan (the
"Plan") with respect to the Balanced Fund in accordance with Rule 12b-1
under the Act. The Plan provides that the Balanced Fund pay a fee to
Sunstone Distribution Services, LLC, 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 July 31, 2000, the Balanced Fund accrued and paid
$84,443 to Sunstone Distribution Services, LLC for services provided
pursuant to the plan.
NOTE 3--Investment Transactions
The Balanced Fund's cost of purchases and proceeds from sales of securities,
other than short-term securities, aggregated $61,105,442 and $37,375,005,
respectively, for the year ended July 31, 2000.
Additions and reductions in the Equity Fund's investment in the Index
Portfolio aggregated $15,445,508 and $6,541,849 for the year ended July 31,
2000.
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 FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2000 JULY 31, 1999 JULY 31, 2000 JULY 31, 1999
<S> <C> <C> <C> <C>
Shares sold............. 2,013,731 284,115 584,808 572,365
Reinvestment of
dividends.............. 5,121 77,885 3,617 7,585
Shares redeemed......... (931,730) (310,445) (248,006) (128,076)
--------- -------- -------- --------
1,087,122 51,555 340,419 451,874
========= ======== ======== ========
</TABLE>
-------------------------------------------------------------------------------
TAX INFORMATION--UNAUDITED
The federal tax status of distributions per share made to shareholders on
December 29, 1999 was as follows:
<TABLE>
<CAPTION>
NET 20%
INVESTMENT SHORT-TERM LONG-TERM
INCOME CAPITAL GAINS CAPITAL GAINS
---------- ------------- -------------
<S> <C> <C> <C>
Balanced Fund............................ $0.0042 NONE NONE
Equity Fund.............................. NONE NONE $0.0784
</TABLE>
For the Balanced Fund for the year ended July 31, 2000, 2.1% of dividends
paid from net investment income and short-term capital gains qualified for the
70% dividends received deduction available to corporate shareholders.
For the year ended July 31, 2000, the Equity Fund did not pay any dividends
from net investment income or short-term capital gains that would qualify for
the 70% dividends received deduction available to corporate shareholders.
14
<PAGE>
[LOGO OF KPMG]
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders
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 July 31, 2000, the related statement of operations for the year then ended,
and statements of changes in net assets for the two year period then ended and
financial highlights for the two year period then ended, the one-month period
ended July 31, 1998, and each of the years in the three-year period ended June
30, 1998. These financial statements and financial highlights are the
responsibility of the Fund'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 auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements and financial
highlights. Our procedures included confirmation of securities owned as of July
31, 2000 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the 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 as of July 31, 2000, the results of its operations,
changes in its net assets and financial highlights for the years or periods
described above, in conformity with accounting principles generally accepted in
the United States of America.
/s/ KPMG LLP
Boston, Massachusetts
September 15, 2000
15
<PAGE>
[LOGO OF KPMG]
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders
Green Century Funds
We have audited the accompanying statement of assets and liabilities of the
Green Century Equity Fund as of July 31, 2000, and the related statement of
operations for the year then ended, and statements of changes in net assets
for each of the years in the two-year period then ended, and the financial
highlights for each of the years in the four-year period then ended, and for
the period from September 13, 1995 (commencement of operations) to July 31,
1996. These financial statements and financial highlights are the
responsibility of the Fund'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 auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. 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 Equity Fund as of July 31, 2000, the results of its
operations, changes in its net assets and financial highlights for each of the
years or periods referred to above in conformity with accounting principles
generally accepted in the United States of America.
/s/ KPMG LLP
Boston Massachusetts
September 15, 2000
16
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
July 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Basic Materials--0.6%
Air Products & Chemicals, Inc. ........................... 66,700 $ 2,226,113
Bemis Company, Inc. ...................................... 15,400 529,375
Cabot Corporation......................................... 19,400 620,800
Calgon Carbon Corporation................................. 11,200 85,400
Caraustar Industries, Inc. ............................... 7,500 101,250
Catalytica, Incorporated (b).............................. 9,500 108,656
Consolidated Papers, Inc. ................................ 26,400 1,032,900
Echo Bay Mines Ltd (b).................................... 40,700 38,156
Ecolab Inc. .............................................. 37,500 1,342,969
Fuller (H.B.) Company..................................... 4,100 158,363
IMCO Recycling Inc. ...................................... 4,500 21,938
Mead Corporation.......................................... 29,700 753,638
Minerals Technologies Inc. ............................... 6,000 287,625
Nucor Corporation......................................... 24,550 926,763
Praxair, Inc. ............................................ 45,800 1,811,963
Ryerson Tull, Inc. ....................................... 7,200 63,450
Sigma-Aldrich Corporation................................. 24,600 670,350
Sonoco Products Company................................... 28,745 540,765
Stillwater Mining Company (b)............................. 11,100 291,375
Westvaco Corporation...................................... 29,100 798,431
Worthington Industries, Inc. ............................. 24,900 263,006
------------
12,673,286
------------
Capital Goods--2.1%
American Power Conversion (b)............................. 56,400 1,434,675
Ault Incorporated (b)..................................... 1,300 7,313
Avery Dennison Corporation................................ 32,600 1,768,550
Baldor Electric Company................................... 9,800 180,075
Brady Corporation......................................... 6,600 200,888
CLARCOR Inc. ............................................. 7,050 147,609
Cooper Industries, Inc. .................................. 26,900 862,481
Cross (A.T.) Company (b).................................. 4,900 25,113
Crown Cork & Seal Company, Inc. .......................... 37,000 515,688
Cummins Engine Company, Inc. ............................. 12,000 384,000
Deere & Company........................................... 68,000 2,622,250
Dionex Corporation (b).................................... 6,400 166,400
Donaldson Co., Inc. (b)................................... 13,300 255,194
Emerson Electric Co. ..................................... 124,100 7,577,856
Fastenal Company.......................................... 11,000 679,250
Graco Inc. ............................................... 5,875 199,750
Granite Construction Incorporated......................... 7,850 189,381
Herman Miller, Inc. ...................................... 22,800 715,350
HON Industries, Inc. ..................................... 17,400 464,363
Hubbell Incorporated...................................... 18,060 435,698
Hunt Corporation.......................................... 2,900 29,363
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Capital Goods--(continued)
Hutchinson Technology Incorporated (b).................. 7,200 $ 107,100
Illinois Tool Works Inc. ............................... 87,700 5,020,825
Ionics, Inc. (b)........................................ 4,700 143,938
Isco, Inc. (b).......................................... 1,600 6,800
Lawson Products, Inc.................................... 2,900 74,675
Leggett & Platt, Inc.................................... 56,800 994,000
Merix Corporation (b)................................... 1,900 95,000
Milacron Inc............................................ 10,300 148,063
Millipore Corporation................................... 13,300 836,238
Molex Incorporated...................................... 57,046 2,683,838
Moore Corporation....................................... 25,600 73,600
National Service Industries, Inc. ...................... 11,800 241,163
New England Business Service, Inc....................... 3,900 80,925
Nordson Corporation..................................... 4,700 265,550
Osmonics, Inc. (b)...................................... 4,100 36,388
Pitney Bowes Inc. ...................................... 74,900 2,593,413
Sealed Air Corporation (b).............................. 24,200 1,219,075
Smith (A.O.) Corporation................................ 6,800 109,650
Solectron Corporation (b)............................... 173,300 6,986,156
Spartan Motors, Inc. ................................... 3,400 12,538
Standard Register Company............................... 7,900 101,219
Steelcase Inc. ......................................... 8,800 149,600
Thomas & Betts Corporation.............................. 16,800 327,600
Thomas Industries Inc. ................................. 4,500 93,938
Toro Company............................................ 3,700 111,463
Watts Industries, Inc. ................................. 7,600 90,250
Wellman, Inc. .......................................... 9,100 133,088
------------
41,597,340
------------
Communication Services--7.4%
AT&T Corp. ............................................. 1,086,980 33,628,444
BellSouth Corporation................................... 547,100 21,781,419
Citizens Communications Company (b)..................... 76,267 1,277,472
SBC Communications Inc. ................................ 989,028 42,095,505
Sprint Corporation...................................... 254,900 9,080,813
Telephone and Data Systems, Inc. ....................... 17,600 1,960,200
Verizon Communications.................................. 790,922 37,173,334
------------
146,997,187
------------
Consumer Cyclicals--7.1%
American Greetings Corporation.......................... 18,700 317,900
Angelica Corporation.................................... 2,500 20,625
Apogee Enterprises, Inc. ............................... 8,000 34,000
AutoZone, Inc. (b)...................................... 38,700 885,263
</TABLE>
17
<PAGE>
PORTFOLIO OF INVESTMENTS--(continued)
July 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Consumer Cyclicals--(continued)
Bandag, Incorporated...................................... 6,000 $ 155,250
Banta Corporation......................................... 7,250 140,016
Bassett Furniture Industries.............................. 3,400 45,900
Black & Decker Corporation................................ 24,800 922,250
Block (H&R), Inc. ........................................ 28,400 908,800
Brown Shoe Company, Inc. ................................. 5,300 75,194
Centex Corporation........................................ 17,200 411,725
Champion Enterprises, Inc. (b)............................ 13,700 74,494
Charming Shoppes, Inc. (b)................................ 29,200 164,250
Cintas Corporation........................................ 48,700 2,054,531
Circuit City Stores, Inc. ................................ 59,100 1,355,606
Claire's Stores, Inc. .................................... 14,800 249,750
Cooper Tire and Rubber Company............................ 21,300 238,294
Costco Wholesale Corporation (b).......................... 129,930 4,230,846
Dana Corporation.......................................... 44,000 1,009,250
Delphi Automotive Systems Corp ........................... 163,700 2,424,806
DeVry Inc. (b)............................................ 20,100 680,888
Dillard's, Inc. .......................................... 27,100 370,931
Dollar General Corporation................................ 95,651 1,757,587
Donnelly Corporation...................................... 1,700 22,313
Dow Jones & Company....................................... 25,800 1,701,188
Enesco Group, Inc. ....................................... 3,900 24,863
Fedders Corporation....................................... 10,300 53,431
Federal-Mogul Corporation................................. 20,400 186,150
Fleetwood Enterprises, Inc. .............................. 9,500 122,906
Gap, Inc. (The)........................................... 247,387 8,859,547
Genuine Parts Company..................................... 51,100 1,025,194
Handleman Company (b)..................................... 8,200 107,113
Harcourt General.......................................... 20,900 1,153,419
Harland (John H.) Company................................. 8,200 109,675
Harman International Industries, Inc. .................... 4,930 311,823
Hartmarx Corporation (b).................................. 8,500 19,656
Hillenbrand Industries, Inc. ............................. 18,100 579,200
Home Depot, Inc. ......................................... 672,697 34,812,070
Huffy Corporation......................................... 2,900 20,481
IMS Health Incorporated................................... 86,400 1,560,600
Interface, Inc. .......................................... 15,000 76,875
Kaufman & Broad Home Corporation.......................... 13,900 271,919
Kelly Services, Inc. ..................................... 10,375 240,570
Kmart Corporation (b)..................................... 139,100 973,700
Lands' End, Inc. (b)...................................... 8,700 325,706
Lee Enterprises, Inc. .................................... 12,800 339,200
Lillian Vernon Corporation................................ 2,600 28,600
Limited, Inc. (The)....................................... 124,900 2,552,644
Liz Claiborne, Inc. ...................................... 15,800 616,200
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Consumer Cyclicals--(continued)
Lowe's Companies, Inc. ................................... 111,200 $ 4,691,250
Mattel, Inc. ............................................. 123,785 1,369,372
May Department Stores Company............................. 96,700 2,296,625
Maytag Corporation........................................ 22,700 768,963
McGraw-Hill Companies, Inc. .............................. 56,600 3,364,163
Media General, Inc. ...................................... 7,100 355,000
Men's Wearhouse, Inc. (b)................................. 12,100 313,844
Meredith Corporation...................................... 14,600 464,463
Modine Manufacturing Company.............................. 8,500 229,500
New York Times Company.................................... 49,400 2,034,663
Nordstrom, Inc. .......................................... 38,900 680,750
Omnicom Group Inc. ....................................... 51,700 4,394,500
Oshkosh B'Gosh, Inc. ..................................... 3,800 60,325
Penney (J.C.) Company, Inc. .............................. 75,500 1,217,438
Pep Boys--Manny, Moe & Jack............................... 15,400 89,513
Phillips-Van Heusen Corporation........................... 7,900 71,100
Pulte Corporation (b)..................................... 11,900 272,956
Radio Shack Corporation................................... 54,300 3,061,163
Reebok International Ltd. (b)............................. 16,400 276,750
Rouse Company (The)....................................... 20,300 529,069
Russell Corporation....................................... 9,400 185,063
Scholastic Corporation (b)................................ 4,900 312,988
Sears, Roebuck and Co. ................................... 102,500 3,062,188
Service Corporation International......................... 78,700 201,669
Shaw Industries, Inc. .................................... 37,200 476,625
Sherwin-Williams Company (The)............................ 47,300 984,431
Skyline Corporation....................................... 2,500 50,469
Snap-On Incorporated...................................... 16,950 511,678
Springs Industries, Inc. ................................. 5,200 167,700
SPX Corporation (b)....................................... 9,115 1,305,154
Stanley Works (The)....................................... 25,300 662,544
Staples, Inc. (b)......................................... 140,800 1,944,800
Stride Rite Corporation................................... 12,500 74,219
Target Corporation........................................ 265,200 7,690,800
Tennant Company........................................... 2,600 106,113
Timberland Company (The) (b).............................. 11,600 380,625
TJX Companies, Inc. ...................................... 87,200 1,460,600
Toys 'R' Us, Inc. (b)..................................... 62,520 1,031,580
Tribune Company (b)....................................... 89,650 2,913,625
Univision Communications Inc. (b)......................... 29,900 3,715,075
Venator Group, Inc. (b)................................... 39,800 562,175
VF Corporation............................................ 33,000 726,000
Walgreen Company.......................................... 293,000 9,137,938
</TABLE>
18
<PAGE>
PORTFOLIO OF INVESTMENTS--(continued)
July 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Consumer Cyclicals--(continued)
Washington Post Company................................... 2,700 $ 1,296,000
Whirlpool Corporation..................................... 21,100 911,256
------------
141,035,921
------------
Consumer Staples--14.9%
Alberto-Culver Company.................................... 16,100 489,038
Albertson's, Inc. ........................................ 123,200 3,719,100
Avon Products, Inc. ...................................... 69,000 2,738,438
Bergen Brunswig Corporation............................... 38,936 340,690
Bestfoods................................................. 79,800 5,556,075
Bob Evans Farms, Inc. .................................... 10,700 171,200
Campbell Soup Company..................................... 122,800 3,254,200
Church & Dwight Co., Inc. ................................ 11,000 193,875
Clorox Company............................................ 68,200 2,817,513
Coca-Cola Company......................................... 719,600 44,120,475
Colgate-Palmolive Company................................. 167,700 9,338,794
Comcast Corporation (b)................................... 261,000 8,878,072
CVS Corporation........................................... 113,400 4,472,213
Darden Restaurants, Inc. ................................. 35,800 583,988
Deluxe Corporation........................................ 20,900 449,350
Disney, Walt Company (The)................................ 604,100 23,371,119
Donnelley (R.R.) & Sons Company........................... 35,200 783,200
Fleming Companies, Inc. .................................. 11,400 178,838
Fort James Corporation.................................... 59,800 1,827,638
General Mills Incorporated................................ 84,700 2,911,563
Gillette Company.......................................... 303,500 8,858,406
Great Atlantic & Pacific Tea Company, Inc................. 11,100 159,563
Heinz (H.J.) Company...................................... 102,400 4,089,600
Hershey Foods Corporation................................. 39,900 1,845,375
Horizon Organic Holding Corporation (b)................... 2,800 32,725
Kellogg Company........................................... 117,900 3,058,031
Kimberly-Clark Corporation................................ 161,564 9,279,832
Kroger Co. (b)............................................ 242,800 5,022,925
Longs Drug Stores Corporation............................. 11,400 230,850
Luby's, Inc. ............................................. 6,500 52,813
McDonald's Corporation.................................... 388,500 12,237,750
Nature's Sunshine Products, Inc. ......................... 4,900 39,200
Newell Rubbermaid, Inc. .................................. 77,478 2,087,064
Odwalla, Inc. (b)......................................... 1,500 10,688
Oneida Ltd. .............................................. 4,700 85,188
PepsiCo, Inc. ............................................ 419,000 19,195,438
Procter & Gamble Company.................................. 380,300 21,629,563
Quaker Oats Company....................................... 38,100 2,562,225
Ralston Purina Company.................................... 89,200 1,800,725
Ruby Tuesday, Inc. ....................................... 17,800 219,163
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Consumer Staples--(continued)
Ryan's Family Steakhouse, Inc. (b)...................... 9,400 $ 85,775
Smucker (J.M.) Company.................................. 8,200 147,600
Starbucks Corporation (b)............................... 53,400 2,002,500
SUPERVALU Inc. ......................................... 38,000 672,125
SYSCO Corporation....................................... 96,900 3,815,438
Tootsie Roll Industries, Inc............................ 9,669 365,609
Tupperware Corporation.................................. 16,700 324,606
Viacom, Inc. (b)........................................ 40,000 2,667,500
Wal-Mart Stores, Inc. .................................. 1,295,900 71,193,506
Wendy's International, Inc. ............................ 32,900 557,244
Whitman Corporation..................................... 39,400 588,538
Whole Foods Market, Inc. (b)............................ 7,500 335,156
Wild Oats Markets, Inc. (b)............................. 6,650 67,331
Wrigley (Wm.) Jr. Company............................... 33,200 2,523,200
------------
294,038,631
------------
Energy--0.4%
Anadarko Petroleum Corporation.......................... 100,685 4,814,002
Apache Corporation...................................... 33,100 1,646,725
Helmerich & Payne, Inc. ................................ 14,400 460,800
Rowan Companies, Inc. (b)............................... 27,100 684,275
Santa Fe Snyder Corporation (b)......................... 52,700 527,000
Sunoco, Inc. ........................................... 25,600 624,000
------------
8,756,802
------------
Financials--15.3%
Aetna, Inc. ............................................ 40,970 2,273,835
AFLAC Inc. ............................................. 77,200 4,009,575
American Express Company................................ 388,400 22,017,425
American General Corporation............................ 72,262 4,818,972
American International Group, Inc. ..................... 672,206 58,944,021
AmSouth Bancorporation (b).............................. 114,200 1,919,988
Bank One Corporation.................................... 333,485 10,608,992
Capital One Financial Corporation....................... 56,900 3,335,763
Chittenden Corporation.................................. 8,261 214,270
Chubb Corporation....................................... 50,900 3,766,600
CIGNA Corporation....................................... 47,300 4,724,088
Cincinnati Financial Corporation........................ 46,785 1,766,134
Comerica Incorporated (b)............................... 45,500 2,320,500
Dime Bancorp, Inc. ..................................... 32,300 520,838
Edwards (A.G.), Inc. ................................... 25,787 1,363,488
Fannie Mae.............................................. 292,900 14,608,388
Fifth Third Bancorp..................................... 135,138 5,582,868
First Tennessee National Corporation.................... 37,600 686,200
</TABLE>
19
<PAGE>
PORTFOLIO OF INVESTMENTS--(continued)
July 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Financials--(continued)
Firstar Corporation....................................... 282,000 $ 5,569,500
FirstFed Financial Corp. (b).............................. 5,000 80,000
Freddie Mac............................................... 202,100 7,970,319
Golden West Financial..................................... 46,000 2,116,000
Household International, Inc. ............................ 137,546 6,129,394
HSB Group, Inc. .......................................... 8,350 296,425
Jefferson-Pilot Corporation............................... 29,850 1,820,850
KeyCorp................................................... 126,400 2,219,900
Lincoln National Corporation.............................. 55,700 2,429,913
Marsh & McLennan Companies, Inc. ......................... 78,350 9,558,700
MBIA Inc. ................................................ 28,600 1,592,663
MBNA Corporation.......................................... 233,150 7,781,381
Mellon Financial Corp. ................................... 142,800 5,381,775
Merrill Lynch & Co., Inc. ............................... 112,800 14,579,400
MGIC Investment Corporation............................... 30,800 1,749,825
Morgan (J.P.) & Co. Incorporated.......................... 47,200 6,301,200
National City Corporation................................. 176,300 3,129,325
Northern Trust Corporation................................ 64,600 4,836,925
PNC Financial Services Group.............................. 84,400 4,293,850
Progressive Corporation (The)............................. 21,200 1,425,700
Providian Financial Corporation........................... 41,400 4,220,213
ReliaStar Financial Corp. ................................ 25,900 1,377,556
SAFECO Corporation........................................ 36,900 851,006
Schwab (Charles) Corporation.............................. 395,900 14,301,888
SLM Holding Corporation................................... 45,500 1,959,344
St. Paul Companies, Inc. (The)............................ 61,664 2,740,194
Stilwell Financial, Inc. (b).............................. 64,800 2,855,250
SunTrust Banks, Inc. ..................................... 87,900 4,208,213
Synovus Financial Corp. .................................. 82,150 1,478,700
Torchmark Corporation..................................... 37,100 922,863
U.S. Bancorp.............................................. 218,600 4,194,388
UnumProvident Corp. ...................................... 69,900 1,607,700
Value Line, Inc. ......................................... 2,900 113,100
Wachovia Corporation...................................... 58,900 3,239,500
Washington Mutual, Inc. .................................. 159,302 5,117,577
Wells Fargo & Company..................................... 468,500 19,354,906
Wesco Financial Corporation............................... 2,100 474,600
------------
301,761,988
------------
Healthcare--7.7%
Acuson Corporation (b).................................... 8,000 98,500
ADAC Laboratories (b)..................................... 6,000 118,875
Allergan, Inc. ........................................... 37,700 2,523,544
ALZA Corporation (b)...................................... 29,700 1,923,075
Becton Dickinson and Company.............................. 73,400 1,853,350
Biomet, Inc. ............................................. 34,400 1,539,400
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Healthcare--(continued)
Boston Scientific Corporation (b)....................... 118,500 $ 1,962,656
Forest Laboratories, Inc. (b)........................... 24,600 2,632,200
Guidant Corporation (b)................................. 89,100 5,023,013
Humana Inc. (b)......................................... 48,500 354,656
Johnson & Johnson....................................... 404,400 37,634,475
Mallinckrodt Inc. ...................................... 19,400 887,550
Manor Care, Inc. (b).................................... 29,600 292,300
McKesson HBOC, Inc. .................................... 81,920 1,991,680
Medtronic, Inc. ........................................ 348,000 17,769,750
Merck & Co., Inc. ...................................... 668,600 47,930,263
Mylan Laboratories, Inc. ............................... 37,400 794,750
Oxford Health Plans, Inc. (b)........................... 23,800 569,713
PE Corp-Celera Gen (b).................................. 16,600 1,442,125
Quintiles Transnational Corp. (b)....................... 33,300 522,394
Schering-Plough Corporation............................. 425,700 18,384,919
St. Jude Medical, Inc. (b).............................. 24,400 1,006,500
Stryker Corporation..................................... 56,700 2,434,556
Sunrise Medical Inc. (b)................................ 6,400 30,000
United American Healthcare Corporation (b).............. 2,000 1,125
Watson Pharmaceuticals, Inc. (b)........................ 28,100 1,552,525
------------
151,273,894
------------
Technology--41.2%
3Com Corporation (b).................................... 102,000 1,383,375
Adaptec, Inc. (b)....................................... 30,100 744,975
ADC Telecommunications, Inc. (b)........................ 196,200 8,228,138
Advanced Micro Devices, Inc. (b)........................ 44,500 3,201,219
America Online.......................................... 668,000 35,612,750
Analog Devices, Inc. (b)................................ 102,900 6,881,438
Apple Computer, Inc. (b)................................ 94,600 4,806,863
Applied Materials, Inc. (b)............................. 234,800 17,815,450
Arrow Electronics, Inc. (b)............................. 27,900 922,444
AstroPower, Inc. (b).................................... 3,300 69,919
Autodesk, Inc. ......................................... 16,900 365,463
Automatic Data Processing, Inc. ........................ 182,374 9,038,911
Avnet, Inc. ............................................ 12,800 728,800
BMC Software, Inc. (b).................................. 71,000 1,340,125
Ceridian Corporation (b)................................ 41,900 953,225
Cisco Systems, Inc. (b)................................. 2,022,500 132,347,344
Compaq Computer Corporation............................. 493,688 13,854,120
Computer Associates International, Inc.................. 171,100 4,245,419
Compuware Corporation (b)............................... 104,200 833,600
CPI Corp. .............................................. 2,500 62,031
Dell Computer Corporation (b)........................... 748,700 32,896,006
EMC Corporation (b)..................................... 630,900 53,705,363
Gerber Scientific Inc. ................................. 6,400 64,000
</TABLE>
20
<PAGE>
PORTFOLIO OF INVESTMENTS--(concluded)
July 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Technology--(continued)
Grainger (W.W.), Inc. .................................. 27,200 $ 863,600
Hewlett-Packard Company................................. 290,800 31,751,725
Ikon Office Solutions, Inc. ............................ 43,200 175,500
Inprise Corporation (b)................................. 17,800 97,900
Intel Corporation....................................... 1,947,400 129,988,950
Lexmark International Group,
Inc. (b)............................................... 37,600 1,694,350
LSI Logic Corporation (b)............................... 89,300 3,025,038
Lucent Technologies, Inc. .............................. 946,800 41,422,500
Micron Technology, Inc. (b)............................. 161,300 13,145,950
Microsoft Corporation (b)............................... 1,530,000 106,813,125
National Semiconductor Corporation (b).................. 51,300 1,856,419
Novell, Inc. (b)........................................ 95,200 916,300
Palm, Inc. (b).......................................... 151,287 5,900,204
Paychex, Inc. .......................................... 108,000 4,941,000
PeopleSoft, Inc. (b).................................... 80,200 1,749,363
Polaroid Corporation.................................... 13,000 235,625
QRS Corporation (b)..................................... 4,400 80,850
Qualcomm, Inc. (b)...................................... 215,500 13,994,031
Sanmina Corporation (b)................................. 43,100 4,002,913
Scientific-Atlanta, Inc. ............................... 46,300 3,565,100
Sun Microsystems, Inc. (b).............................. 461,200 48,627,775
Symantec Corporation (b)................................ 17,200 881,500
Tektronix, Inc. ........................................ 13,900 854,850
Tellabs, Inc. (b)....................................... 119,100 7,741,500
Texas Instruments Incorporated.......................... 475,800 27,923,513
Xerox Corporation....................................... 193,700 2,881,288
Xilinx, Inc. (b)........................................ 93,400 7,010,838
Yahoo! Inc. (b)......................................... 158,000 20,332,625
------------
812,575,310
------------
Transportation--0.7%
Airborne Freight Corporation............................ 14,200 219,213
Alaska Air Group, Inc. (b).............................. 7,600 208,525
AMR Corporation (b)..................................... 43,300 1,431,606
Consolidated Freightways Corporation (b)................ 6,200 27,319
Delta Air Lines, Inc. .................................. 35,600 1,911,275
Fed Ex Holding Corporation (b).......................... 84,300 3,340,388
GATX Corporation........................................ 13,800 551,137
Kansas City Southern Industries, Inc. (b)............... 32,200 223,388
Norfolk Southern Corporation............................ 111,400 2,074,825
Roadway Express, Inc. .................................. 5,600 133,000
Ryder System, Inc. ..................................... 17,200 359,050
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C> <C>
Transportation--(continued)
Southwest Airlines Co. ............................... 144,275 $ 3,408,497
UAL Corporation....................................... 14,400 779,400
Yellow Corporation (b)................................ 7,300 117,256
--------------
14,784,879
--------------
Utilities--1.7%
AGL Resources Inc. ................................... 15,700 283,581
American Water Works, Inc. ........................... 28,300 686,275
Cascade Natural Gas Corporation....................... 3,200 52,800
Cleco Corporation..................................... 6,500 239,687
Eastern Enterprises................................... 7,800 488,475
El Paso Energy Corporation............................ 67,200 3,250,800
Energen Corporation................................... 8,700 195,750
Enron Corp. .......................................... 212,800 15,667,400
Equitable Resources, Inc. ............................ 9,500 494,594
IDACORP Inc. ......................................... 10,900 403,300
KeySpan Corporation................................... 38,700 1,228,725
LG&E Energy Corp. .................................... 37,500 909,375
MCN Energy Group, Inc. ............................... 24,800 536,300
National Fuel Gas Company............................. 11,300 557,231
NICOR Inc. ........................................... 13,400 464,813
Northwest Natural Gas Company......................... 7,300 168,813
Northwestern Corporation.............................. 6,700 154,100
OGE Energy Corp. ..................................... 22,500 427,500
Peoples Energy Corporation............................ 10,200 323,213
Potomac Electric Power Company........................ 34,300 846,781
Questar Corporation................................... 23,100 450,450
Southern UnionCompany (b)............................. 14,300 246,674
Washington Gas Light Company.......................... 13,400 329,931
Williams Companies, Inc. ............................. 128,400 5,360,705
--------------
33,767,274
--------------
TOTAL INVESTMENTS (a)--99.3%.................................. 1,959,262,503
Other Assets, less liabilities--0.7%.......................... 14,359,213
--------------
NET ASSETS--100.0%............................................ $1,973,621,716
==============
</TABLE>
-------
(a) The aggregate cost for book and federal income tax purposes is
$1,567,545,271, the aggregate gross unrealized appreciation is
$512,603,748 and the aggregate gross unrealized depreciation is
$120,886,511, resulting in net unrealized appreciation of $391,717,237.
(b) Non-income producing security.
See Notes to Financial Statements
21
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2000
<TABLE>
<S> <C>
ASSETS:
Investments at value (Cost $1,567,009,801)...................... $1,959,262,503
Cash............................................................ 12,185,653
Receivable for securities sold.................................. 5,365,340
Dividends receivable............................................ 1,357,917
--------------
Total assets................................................. 1,978,171,413
--------------
LIABILITIES:
Accrued expenses (Note 2)....................................... 348,400
Payable for securities purchased................................ 4,201,297
--------------
Total liabilities............................................ 4,549,697
--------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS........ $1,973,621,716
==============
</TABLE>
STATEMENT OF OPERATIONS
For the year ended July 31, 2000
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $617).. $ 14,883,532
EXPENSES
Management fee (Note 2)............................. 3,282,473
Custody fees (Note 3)............................... 485,655
Professional fees................................... 55,654
Miscellaneous....................................... 45,148
Trustee fees........................................ 17,600
------------
Total expenses...................................... 3,886,530
Fees paid indirectly (Note 3)...................... (462,942)
Expenses paid and fee waived by manager (Note 2)... (24,857)
------------
Net expenses..................................... 3,398,731
------------
NET INVESTMENT INCOME............................... 11,484,801
NET REALIZED GAIN ON INVESTMENTS
Proceeds from sales................................. $142,028,419
Cost of securities sold............................. 89,680,985
------------
Net realized gain on investments.................... 52,347,434
------------
NET CHANGES IN UNREALIZED APPRECIATION
OF INVESTMENTS
Beginning of period................................ $338,923,398
End of period...................................... 392,252,702
------------
Net change in unrealized appreciation............ 53,329,304
------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS.................................... $117,161,539
============
</TABLE>
See Notes to Financial Statements
22
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
JULY 31, 2000 JULY 31, 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From Operations:
Net investment income......................... $ 11,484,801 $ 7,958,967
Net realized gain on investments.............. 52,347,434 15,875,272
Net change in unrealized appreciation of
investments.................................. 53,329,304 163,202,630
-------------- --------------
Net Increase in Net Assets Resulting from
Operations................................... 117,161,539 187,036,869
-------------- --------------
Transactions in Investors' Beneficial Interest:
Additions..................................... 774,293,376 531,746,685
Reductions.................................... (265,237,980) (13,614,408)
-------------- --------------
Net Increase in Net Assets from Transactions
in Investors' Beneficial Interests........... 509,055,396 518,132,277
-------------- --------------
Total Increase in Net Assets................... 626,216,935 705,169,146
NET ASSETS:
Beginning of period........................... 1,347,404,781 642,235,635
-------------- --------------
End of period................................. $1,973,621,716 $1,347,404,781
============== ==============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------------------------------
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
Net Assets (000's)...... $1,973,622 $1,347,405 $642,236 $292,359 $100,401
Ratio of net investment
income to average net
assets................. 0.70%(1) 0.84%(1) 1.05%(2) 1.34% 1.48%(4)
Ratio of expenses to
average net assets..... 0.24%(1)(3) 0.24%(1)(3) 0.24%(2)(3) 0.29%(3) 0.59%(3)(4)
Portfolio turnover
rate................... 9% 8% 5% 1% 5%
</TABLE>
(1) Reflects a voluntary expense reimbursement and fee waiver of 0.002% by the
Manager. Had the manager not waived their fee and reimbursed expenses, the
annualized ratios of net investment income and expense to average net
assets would have been 0.70% and 0.24%, for the year ended July 31, 2000
respectively, and would have been 0.83% and 0.25%, for the year ended July
31, 1999 respectively.
(2) Reflects a waiver of 0.01% of fees by the Manager due to limitations set
forth in the Management Agreement. Had the Manager not waived their fees,
the ratios of net investment income and expenses to average net assets for
the year ended July 31, 1998 would have been 1.04% and 0.25%,
respectively.
(3) Ratio of expenses to average net assets for the years ended July 31, 2000,
1999, 1998, 1997 and 1996 include indirectly paid expenses. Excluding
indirectly paid expenses, the expense ratios would have been 0.21%, 0.20%,
0.20%, 0.25% and 0.50% for the years ended July 31, 2000, 1999, 1998, 1997
and 1996, respectively.
(4) Had the Expense Payment Agreement and Sponsor Arrangement not been in
place, the ratios of net investment income and expense for the year ended
July 31, 1996 would have been 1.14% and 0.85% respectively.
See Notes to Financial Statements
23
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO/July 31, 2000
NOTES TO FINANCIAL STATEMENTS
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 400 Social Index (the "Index"), which is a common stock index developed
and maintained by Kinder, Lydenberg, Domini & Co., Inc. ("KLD"). The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Index Portfolio. The Index Portfolio commenced
operations effective on August 10, 1990 and began investment operations on
June 3, 1991.
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ from
those estimates. The following is a summary of the Index Portfolio's
significant accounting policies.
(A) Valuation of Investments: The Index Portfolio values securities at the
last reported sale price provided by independent pricing services, or
at the last reported bid price if no sales are reported. In the absence
of readily available market quotations, securities are valued at fair
value determined in accordance with procedures adopted by the Board of
Trustees.
(B) Dividend Income: Dividend income is recorded on the ex-dividend date.
(C) Federal Taxes: The Index Portfolio will be treated as a partnership for
U.S. federal income tax purposes and is therefore not subject to U.S.
federal income tax. As such, each investor in the Index Portfolio will
be taxed on its share of the Index Portfolio's ordinary income and
capital gains. It is intended that the Portfolio will be managed in
such a way that an investor will be able to satisfy the requirements of
the Internal Revenue Code applicable to regulated investment companies.
(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) Manager. Domini Social Investments LLC ("DSIL"or the "Manager") is
registered as an investment adviser under the Investment Advisers Act
of 1940. The services provided by the Manager consist of investment
supervisory services, overall operational support and administrative
services. The administrative services include the provision of general
office facilities and supervising the overall administration of the
Index Portfolio. For its services under the Management Agreement, the
Manager receives from the Index Portfolio a fee accrued daily and paid
monthly at an annual rate equal to 0.20%. Until December, 1999 DSIL was
waiving its fee to the extent necessary to keep the aggregate annual
operating expenses of the Index Portfolio (excluding brokerage fees and
commissions, interest, taxes, and other extraordinary expenses) at no
greater than 0.20% of the average daily net assets of the Index
Portfolio. For the year ended July 31, 2000, DSIL waived fees totalling
$24,857.
(B) Submanager. Mellon Equity provides investment submanagement services to
the Index Portfolio on a day-to-day basis pursuant to a Submanagement
Agreement with DSIL. Mellon Equity does not determine the composition
of the Domini Social Index.
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DOMINI SOCIAL INDEX PORTFOLIO/July 31, 2000
NOTES TO FINANCIAL STATEMENTS--(continued)
NOTE 3--Investment Transactions.
Cost of purchases and proceeds from sales of investments, other than U.S.
Government securities and short-term obligations, for the year ended July 31,
2000 aggregated $634,201,236 and $142,028,419, respectively. Custody fees of
the Portfolio were reduced by $462,942 which was compensation for uninvested
cash left on deposit with the custodian.
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INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Investors
Domini Social Index Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of the Domini Social Index Portfolio as
of July 31, 2000, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the years in the
two-year period then ended, and the financial highlights for each of the years
in the five-year period then ended. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of July 31, 2000 by correspondence
with the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the 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 as of July 31, 2000, 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 accounting
principles generally accepted in the United States of America.
/s/ KPMG LLP
Boston, Massachusetts
September 15, 2000
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YOUR NOTES
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Annual Report
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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
60 State Street
Boston, MA 02109
INVESTMENT MANAGER (Index Portfolio)
Domini Social Investments LLC
11 West 25th Street
New York, NY 10010
INVESTMENT SUBMANAGER (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)
803 West Michigan Street
Milwaukee, WI 53233
CUSTODIAN
Investors Bank & Trust Company
200 Clarendon Street
Boston, MA 02116
TRANSFER AGENT
Unified Fund Services, Inc.
431 North Pennsylvania Street
Indianapolis, IN 46204-1806
COUNSEL TO GREEN CENTURY CAPITAL MANAGEMENT, INC.
Goulston & Storrs
400 Atlantic Avenue
Boston, MA 02110
INDEPENDENT AUDITORS
KPMG LLP
99 High Street
Boston, MA 02110
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July 31, 2000
Balanced Fund
Equity Fund
