<PAGE>
DEVCAP SHARED RETURN FUND
DRAFT SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
PRESIDENT'S LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
March 24, 2000
Dear Shareholder:
The semiannual report for the six months ended January 31, 2000, marks the
last reporting period that the social screening processes and the investment
portfolio of the DEVCAP Shared Return Fund (the "Fund") will conform to the
Domini 400 Social Index in the master-feeder structure that has been in effect
since October 19, 1995.
The Fund tracked the results of the Domini 400 Social Index over the six
month period ended January 31, 2000. During this period the Fund remained
faithful to the two primary objectives of corresponding to the performance of
the socially screened corporations comprising the Domini 400 Social Index and of
enabling our investors to contribute support to the economic development of
underprivileged people in developing countries. We believe that the Fund's
performance has continued to demonstrate that investing with a social conscience
can deliver a positive social message to corporate management without adversely
affecting the Fund's returns over time.
Our investment performance over the six months ended January 31, 2000
produced a return of 6.65%. In relation to the S&P 500(R) Index, the Fund
benefited from its increased exposure to the technology sector.
The market was very volatile during the past six months. Many of the
favorable fundamentals remain in place that have resulted in the Fund's very
strong performance history. The Federal Reserve has continued to raise interest
rates at a steady rate in an attempt to hold inflation in check. Increasing oil
prices, shortages in the workforce, some weaknesses in earnings reports in the
technology sector, and concerns that stock prices are overvalued have led us to
expect a moderation in the Fund's returns.
Shareholders in the Fund contributed approximately $380,000 from their 1999
investment returns to Development Capital Fund ("DEVCAP Non-Profit"), which
represents a 11.4% increase over contributions in 1998. DEVCAP Non-Profit is an
organization dedicated to fostering micro-enterprise efforts in developing
countries in an effort to improve the welfare of persons in those countries.
Catholic Relief Services became the sole owner of DEVCAP Non-Profit during 1999.
All of the contributions will be provided to Catholic Relief Services for use in
the Small Enterprise Programs in developing countries.
DEVCAP investors have contributed over $900,000 to DEVCAP Non-Profit since
the Fund's inception. Your contributions have thus far funded village banks in
Kenya, Bulgaria, El Salvador, Nicaragua, Senegal, Uganda, Cambodia and Vietnam.
Each spring we solicit new proposals from the more than 50 Country Program
Offices of Catholic Relief Services in order to place your contributions in
other needy areas. Small Enterprise Development remains a critical program
function within Catholic Relief Services as the world's most needy, without
discrimination, are offered an opportunity to become self-sufficient.
We are looking forward to expanding our association with the Small Enterprise
Development Program personnel of Catholic Relief Services so that we can expand
reporting on programs through our newsletter, GLOBAL DIVIDENDS. We are also
pleased to have assisted in funding a program to accredit Small Enterprise
lending institutions as a means to enhance their operational effectiveness and
allow the most efficient programs to successfully compete for increased capital
resources.
At our Shareholders' Meeting held on February 17, 2000, a majority of
shareholders voted in favor of all proposals relating to the modification and
restructur-
<PAGE>
ing of the Fund. We received shares of stock from the Domini Social Index
Portfolio in a redemption in kind transaction and our new investment manager,
Christian Brothers Investment Services, Inc. ("CBIS"), together with the new
sub-adviser to the Fund, RhumbLine Advisers, have initiated trading to migrate
our portfolio toward our newly-designed, socially screened portfolio.
Currently, the Fund conforms its social screens to those listed in the United
States Catholic Conference Bishops' Guidelines for Investments. In addition to
these guidelines, the Fund has carried forward an environmental screen and also
incorporated an exclusionary screen to eliminate investment in companies whose
main line of business is pornography. Prior exclusionary screens aimed at
gambling, alcoholic beverages and the nuclear power industry have been dropped.
In addition to applying exclusionary screens, the Fund will rely more heavily
upon the services of CBIS to actively exercise corporate social responsibility
in strategies that our ownership of securities makes possible, such as corporate
dialogue, proxy voting and shareholder resolutions. CBIS has a long history of
such socially responsible, active ownership and we enthusiastically look forward
to using their principled investment strategies to enhance the services that are
provided to our shareholders.
Our investment objective remains founded upon mechanisms designed to track
the results of S&P 500(R) Index by investing only in those S&P 500 stocks which
pass the Fund's exclusionary screens. A capitalization analysis weights
investment alternatives according to the relative capitalization proportions
within the S&P 500(R) Index.
We continue to caution our shareholders to expect periods of high volatility
in the market and to maintain a steady investment strategy. Care must be taken
not to invest money that may be needed to cover short-term needs. Those persons
liquidating holdings during a market downturn may suffer unnecessary losses if
the market rebounds or proceeds to new highs. We still believe that investing
through a mutual fund that is designed to track an index is an appropriate way
to spread investment risks and to enjoy the long-term benefits of our strong
economy.
Sincerely,
/s/ Joseph N. St. Clair
-----------------------
Joseph N. St. Clair
President
2
<PAGE>
[CHART APPEARS HERE]
COMPARISON OF $10,000 INVESTMENT IN THE
DEVCAP SHARED RETURN FUND(1) AND S&P 500(R) INDEX(2)
AVERAGE ANNUAL
TOTAL RETURN
-----------------------------------
1 Year ended
1/31/00 8.03%
5 Years ended
1/31/00 25.97%
Inception (6/3/91)/3/
to 1/31/00 17.57%
-----------------------------------
S&P DEVCAP
--- ------
6/30/91 10,000.00 10,000.00
7/31/91 10,466.00 10,498.53
10/30/91 10,676.29 10,556.57
1/31/92 11,205.80 11,205.11
4/30/92 11,458.52 11,177.12
7/31/92 11,805.90 11,678.43
10/31/92 11,741.28 11,912.80
1/31/93 12,393.02 12,693.70
4/30/93 12,516.21 12,397.75
7/31/93 12,837.36 12,720.76
10/31/93 13,494.98 13,334.55
1/31/94 13,988.49 13,597.40
4/30/94 13,181.28 12,839.45
7/31/94 13,497.89 12,964.12
10/31/94 14,015.45 13,401.20
1/31/95 14,060.13 13,487.83
4/30/95 15,483.09 14,646.36
7/31/95 17,022.99 16,072.30
10/31/95 17,721.69 16,697.44
1/31/96 19,497.84 17,998.76
4/30/96 20,160.15 18,556.47
7/31/96 19,841.33 18,100.17
10/31/96 21,991.27 20,043.69
1/31/97 24,634.56 22,562.85
4/30/97 25,227.57 23,239.40
7/31/97 30,188.80 27,433.99
10/31/97 29,055.93 26,317.69
1/31/98 31,267.38 28,850.25
4/30/98 35,593.97 32,354.95
7/31/98 36,012.51 33,150.70
10/31/98 35,444.68 32,624.10
1/31/99 41,421.82 39,606.49
4/30/99 43,356.80 39,912.15
7/31/99 43,287.65 40,113.90
10/31/99 44,543.70 41,121.88
1/31/2000 45,708.38 42,782.35
Past performance is not predictive of future performance.
(1) The DEVCAP Shared Return Fund performance prior to October 19, 1995
(commencement of investment operations) is the investment return of the
Domini Social Index Portfolio adjusted for the expenses of the Fund.
(2) The S&P 500 is an unmanaged index used to portray the pattern of common
stock movement based on the average performance of 500 widely held common
stocks and does not pay expenses.
(3) The Portfolio began investing in the stocks comprising the Domini 400 Social
Index on June 3, 1991. The above chart begins on June 30, 1991.
Past performance does not guarantee 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.
3
<PAGE>
DEVCAP SHARED RETURN FUND
STATEMENT OF ASSETS AND LIABILITIES
January 31, 2000 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investment in Domini Social Index Portfolio, at value (Note 1) $16,110,402
Receivable from affiliate (Note 2) 6,861
Prepaid expenses 9,482
Deferred organization expenses (Note 1) 7,865
-----------
Total Assets 16,134,610
-----------
LIABILITIES:
Accrued expenses 17,866
-----------
NET ASSETS $16,116,744
===========
NET ASSETS CONSIST OF:
Paid-in capital $10,867,262
Accumulated net realized gain from Portfolio 74,246
Net unrealized appreciation from Portfolio 5,175,236
-----------
NET ASSETS $16,116,744
===========
SHARES OUTSTANDING 646,053
===========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION
PRICE PER SHARE $24.95
===========
</TABLE>
See Notes to Financial Statements
4
<PAGE>
DEVCAP SHARED RETURN FUND
STATEMENT OF OPERATIONS
Six months ended January 31, 2000 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME FROM PORTFOLIO:
Investment income from Portfolio $ 74,544
Expenses from Portfolio (16,225)
----------
Net investment income from Portfolio 58,319
EXPENSES (Notes 1 and 2):
Professional fees $70,855
Transfer agent fees and expenses 23,070
Administration fees 16,880
Registration fees 11,414
Amortization of organization expenses (Note 1) 5,671
Fund accounting fees 4,719
Insurance 4,038
Printing 3,433
Other 907
-------
Total Expenses 140,987
----------
NET INVESTMENT LOSS (82,668)
----------
NET REALIZED AND UNREALIZED GAIN FROM PORTFOLIO
Net realized gain from Portfolio 20,476
Net change in unrealized appreciation from Portfolio 1,095,806
----------
Net realized and unrealized gain from Portfolio 1,116,282
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,033,614
==========
</TABLE>
See Notes to Financial Statements
5
<PAGE>
DEVCAP SHARED RETURN FUND
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the six For the
months ended year ended
January 31, 2000 July 31, 1999
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment loss $ (82,668) $ (115,227)
Net realized gain from Portfolio 20,476 219,391
Net change in unrealized appreciation from Portfolio 1,095,806 2,204,098
----------- -----------
Net increase in net assets resulting from operations 1,033,614 2,308,262
----------- -----------
Distributions to shareholders from net realized gain (62,096) (111,246)
----------- -----------
Capital Share Transactions:
Proceeds from sales of shares 641,561 2,649,040
Net asset value of shares issued in reinvestment of distributions 60,166 107,930
Payments for shares redeemed (222,729) (271,633)
Payment for shares redeemed for DEVCAPNon-Profit (Note 3) (380,104) (332,878)
----------- -----------
Net increase in net assets from capital share transactions 98,894 2,152,459
----------- -----------
Total increase in net assets 1,070,412 4,349,475
NET ASSETS:
Beginning of period 15,046,332 10,696,857
----------- -----------
End of period $16,116,744 $15,046,332
=========== ===========
Undistributed net investment (Income), end of period $ 0 $ 0
=========== ===========
OTHER INFORMATION:
Share Transactions:
Sold 26,928 119,601
Reinvested 2,295 4,947
Redeemed (9,051) (13,762)
Withdrawal of charitable contributions (Note 3) (14,947) (16,382)
----------- -----------
Net increase 5,225 94,404
=========== ===========
</TABLE>
See Notes to Financial Statements
6
<PAGE>
DEVCAP SHARED RETURN FUND
FINANCIAL HIGHLIGHTS (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
October 19, 1995
For the six For the year ended (commencement
months ended ------------------------------------------- of operations) to
January 31, 2000 July 31, 1999 July 31, 1998 July 31, 1997 July 31, 1996
---------------- ------------- ------------- ------------- ----------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $23.48 $19.58 $16.22 $10.71 $10.00
------ ------ ------ ------ ------
Income from investment operations:
Net investment loss (0.13) (0.18) (0.06) (0.03) (0.02)
Net realized and unrealized gain
on investments 1.70 4.28 3.44 5.55 0.73
------ ------ ------ ------ ------
Total income from investment operations 1.57 4.10 3.38 5.52 0.71
------ ------ ------ ------ ------
Less distributions from net realized gain (0.10) (0.20) (0.02) (0.01) --
------ ------ ------ ------ ------
Net Asset Value, end of period $24.95 $23.48 $19.58 $16.22 $10.71
====== ====== ====== ====== ======
Ratios/supplemental data
Total return 6.65%/1/ 21.03% 20.84% 51.57% 7.10%/1/
Net Assets, end of period (in 000's) $16,117 $15,046 $10,697 $5,326 $643
Ratio of expenses to average net assets/2/ 1.97%/3/ 1.97% 1.75% 1.75% 2.50%/3/
Ratio of net investment loss to average
net assets2 (1.04%)/3/ (0.92%) (0.51%) (0.21%) (0.54%)/3/
Portfolio turnover/4/ 2%/1/ 8% 5% 1% 5%/1/
</TABLE>
- ---------
/1/ Not annualized.
/2/ Reflects the Fund's proportionate share of the Portfolio's expenses as well
as reimbursements by agents of the Fund. If the reimbursements had not been
in place, the ratios of expenses and net investment income to average net
assets would have been as follows:
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Ratio of expenses to average net assets 1.97%/3/ 1.97% 2.76% 5.93% 26.30%/3/
Ratio of net investment loss to average net assets (1.04%)/3/ (0.92%) (1.52%) (4.39%) (24.34%)/3/
</TABLE>
/3/ Annualized.
/4/ Represents portfolio turnover for the Index Portfolio.
See Notes to Financial Statements
7
<PAGE>
DEVCAP SHARED RETURN FUND
NOTES TO FINANCIAL STATEMENTS
For the six months ended January 31, 2000 (unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES. DEVCAP Shared Return Fund
(the "Fund") is a series of DEVCAP Trust which is registered as an open-end
management investment company under the Investment Company Act of 1940 (the
"Act").
The Fund invests substantially all of its assets in the Domini Social Index
Portfolio (the "Portfolio"), an open-end, diversified management investment
company having the same investment objective as the Fund. The value of such
investment reflects the Fund's proportionate interest in the net assets of the
Portfolio (approximately 0.98% at January 31, 2000). The financial statements of
the Portfolio are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements. The Fund became effective on
September 13, 1995, and commenced investment operations on October 19, 1995.
The presentation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent 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 Fund's significant accounting policies.
A. VALUATION OF INVESTMENTS. Valuation of securities by the Portfolio is
discussed in Note 1 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report.
B. INVESTMENT INCOME AND DIVIDENDS TO SHAREHOLDERS. The Fund earns income
daily, net of Portfolio expenses, on its investment in the Portfolio. Dividends
to shareholders are declared and paid annually from net investment income.
Distributions to shareholders of net realized capital gains, if any, are made
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. At January 31, 2000 a reclassification was recorded to increase
accumulated net investment income by $82,668, reduce accumulated net realized
gain by $4,737 and reduce paid-in capital by $77,931.
C. FEDERAL TAXES. The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income, including net realized
gains, if any, within the prescribed time periods. Accordingly, no provision for
federal income or excise tax is necessary.
D. DEFERRED ORGANIZATION EXPENSES. Organization costs are being amortized
on a straight-line basis over a five-year period. The amount paid by the Fund on
any redemption of the Fund's initial shares will be reduced by the pro rata
portion of any unamortized organization expenses which the number of the initial
shares redeemed bears to the total number of initial shares outstanding
immediately prior to such redemption. To the extent that the proceeds of the
redemptions are less than such pro rata portion of any unamortized organization
expenses, Development Capital Fund ("DEVCAP Non-Profit"), the Fund's sponsor,
has agreed to reimburse the Fund for such difference.
8
<PAGE>
DEVCAP SHARED RETURN FUND
NOTES TO FINANCIAL STATEMENTS -- CONT'D
For the six months ended January 31, 2000 (unaudited)
E. OTHER. All net investment income and realized and unrealized gains and
losses of the Portfolio are allocated pro rata among the Fund and other
investors in the Portfolio.
2. TRANSACTIONS WITH AFFILIATES.
A. DISTRIBUTION. The Trust has adopted a Distribution Plan (the "Plan")
in accordance with Rule 12b-1 under the Act. CBIS Financial Services, Inc.
("CBIS") acts as agent of the Fund and principal underwriter of shares of the
Fund ("Distributor") pursuant to the Plan. Under the Plan, the Fund may pay the
Distributor a fee not to exceed 0.25% per annum of the Fund's average daily net
assets in anticipation of, or in reimbursement for, expenses incurred in
connection with the sale of shares of the Fund.
Such expenses include payments to brokerdealers who advise shareholders
regarding the purchase, sale or retention of shares of the Fund, payments to
employees of the Distributor, advertising used for sales purposes, expenses of
preparing and printing sales literature and other distribution-related expenses.
No expenses were incurred by the Fund in connection with the Plan for the six
months ended January 31, 2000.
B. REIMBURSEMENT OF EXPENSES. Effective November 29, 1999, DEVCAP
Non-Profit has agreed to reimburse the Fund to the extent necessary to maintain
the Fund's total operating expenses (which include expenses of the Fund and
Portfolio) at an annual rate of 1.75% of the Fund's average daily net assets. A
similar previous agreement expired November 30, 1998.
3. CHARITABLE CONTRIBUTIONS. Shareholders contributed approximately $380,000 and
$341,000 to DEVCAP Non-Profit in December 1999 and 1998, respectively, as
described in the Fund's prospectus. Upon a shareholder's initial investment in
the Fund, the shareholder may choose to make an annual donation to DEVCAP
Non-Profit of zero percent, ten percent, twenty-five percent, fifty percent,
seventy-five percent, or all of the Annual Contribution Basis, as defined in the
Fund's registration statement, derived from the shareholder's investment in the
Fund. DEVCAP Non-Profit will direct these shareholder donations to non-profit
organizations (primarily Catholic Relief Services) working to improve the
welfare of underprivileged persons in developing countries.
4. INVESTMENT TRANSACTIONS. Additions and reductions in the fund's investment
in the Portfolio aggregated $641,561 and $602,833, respectively, for the six
months ended January 31, 2000. Approximately $380,000 of these reductions were
the withdrawal of the charitable contributions to DEVCAP Non-Profit.
5. RESULTS OF A SPECIAL MEETING OF SHAREHOLDERS. A special meeting of the
shareholders of the Fund was held on February 17, 2000. The matters voted on by
the shareholders of record as of January 6, 2000 and the results of the vote at
the shareholder meeting held February 17, 2000 were as follows:
For Against Abstain
--- ------- -------
1. Proposal to change the Fund's investment objective
496,830 15,411 3,992
2. Proposal to approve or disapprove an investment management agreement between
Christian Brothers Investment Services, Inc. and the Fund
497,977 10,986 5,941
9
<PAGE>
DEVCAP SHARED RETURN FUND
NOTES TO FINANCIAL STATEMENTS -- CONT'D
For the six months ended January 31, 2000 (unaudited)
For Against Abstain
--- ------- -------
3. Proposal to approve or disapprove a sub-advisory agreement between Christian
Brothers Investment Services, Inc. and RhumbLine Advisers
492,064 14,787 7,907
4. Proposal to amend the Fund's fundamental investment restrictions
495,474 9,490 9,650
5. Proposal to elect six Trustees of the Trust to serve until their successors
are duly elected and qualified
496,173 9,332 6,445
6. Proposal to ratify the selection of KPMG LLP as independent public
accountants of the Fund
507,393 2,928 4,986
As of the close of business on February 18, 2000, the Fund redeemed, in-kind,
its entire investment in the Portfolio. Effective February 22, 2000, Christian
Brothers Investment Services, Inc. and RhumbLine Advisers began managing the
assets of the Fund in accordance with its newly approved investment objective.
10
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Basic Materials--1.1%
Air Products & Chemicals, Inc. 57,800 $ 1,712,325
Alcoa, Inc. ................ 92,400 6,439,125
Bemis Company, Inc. ........ 13,100 413,469
Cabot Corporation........... 16,500 396,000
Calgon Carbon Corporation... 9,300 67,425
Caraustar Industries, Inc. . 6,400 123,600
Catalytica, Incorporated (b) 9,300 133,106
Consolidated Papers, Inc. .. 22,500 621,563
Echo Bay Mines Ltd.......... 33,400 43,838
Ecolab Inc. ................ 32,400 1,140,075
Fuller (H.B.) Company....... 3,500 227,500
IMCO Recycling Inc. ........ 3,800 43,225
Mead Corporation............ 25,700 957,325
Minerals Technologies Inc. . 5,100 230,138
Nucor Corporation........... 21,850 1,087,038
Praxair, Inc. .............. 40,100 1,626,556
Ryerson Tull, Inc. ......... 6,400 122,000
Sigma-Aldrich Corporation... 25,100 840,850
Sonoco Products Company..... 25,345 506,900
Stillwater Mining Company (b) 9,500 338,438
Westvaco Corporation........ 25,100 688,681
Worthington Industries, Inc. 22,100 319,069
--------------
18,078,246
--------------
Capital Goods--2.1%
Ault Incorporated (b)....... 500 3,906
Avery Dennison Corporation.. 28,400 1,924,100
Baldor Electric Company..... 9,100 155,269
Brady Corporation........... 5,800 164,938
CLARCOR Inc. ............... 5,750 99,906
Cooper Industries, Inc. .... 23,500 901,813
Cross (A.T.) Company (b).... 4,000 19,500
Crown Cork & Seal
Company, Inc. ............ 30,200 613,438
Cummins Engine Company, Inc. 10,400 397,800
Deere & Company............. 58,900 2,573,194
Dionex Corporation (b)...... 5,400 155,250
Emerson Electric Co......... 109,600 6,034,850
Fastenal Company (b)........ 9,500 415,625
Graco Inc................... 4,975 152,981
Granite Construction Incorporated 6,550 130,591
Herman Miller, Inc.......... 19,800 431,888
HON Industries, Inc......... 14,700 282,975
Hubbell Incorporated........ 16,160 419,150
Hunt Corporation............ 1,600 16,000
Issuer Shares Value
- ------ ------ -----
Capital Goods--Continued
Hutchinson Technology
Incorporated (b).......... 5,700 $ 92,625
Illinois Tool Works Inc..... 75,800 4,434,300
Ionics, Inc. (b)............ 3,900 115,538
Isco, Inc. (b).............. 800 4,300
Lawson Products, Inc........ 2,300 52,900
Leggett & Platt, Inc........ 49,500 891,000
Merix Corporation (b)....... 1,500 21,000
Milacron Inc................ 8,600 103,738
Millipore Corporation....... 11,400 488,063
Molex Incorporated.......... 39,537 2,011,445
Moore Corporation........... 21,100 122,644
National Service Industries, Inc. 10,300 256,213
New England Business
Service, Inc.............. 3,300 64,969
Nordson Corporation......... 4,200 180,600
Osmonics, Inc. (b).......... 3,300 28,050
Pitney Bowes Inc. .......... 66,900 3,278,100
Sealed Air Corporation (b).. 20,900 1,173,013
Smith (A.O.) Corporation.... 5,400 106,313
Solectron Corporation (b)... 73,900 5,366,988
Spartan Motors, Inc. ....... 1,700 6,906
Standard Register Company... 6,700 103,850
Steelcase Inc. ............. 5,700 64,838
Thomas & Betts Corporation.. 14,600 444,388
Thomas Industries Inc. ..... 3,800 70,775
Watts Industries, Inc. ..... 6,300 95,288
--------------
34,471,018
--------------
Communication Services--9.2%
AT&T Corp................... 805,877 42,510,012
Bell Atlantic Corporation... 391,622 24,256,088
BellSouth Corporation....... 474,700 22,340,569
Citizens Utilities Company.. 65,367 968,249
SBC Communications Inc. .... 860,328 37,101,645
Sprint Corporation.......... 219,800 14,218,313
Telephone and Data Systems, Inc. 15,600 1,622,400
U S West, Inc............... 127,441 8,474,826
--------------
151,492,102
--------------
Consumer Cyclicals--11.2%
American Greetings Corporation 16,100 356,213
Angelica Corporation........ 2,100 19,425
Apogee Enterprises, Inc..... 6,700 30,988
AutoZone, Inc. (b).......... 36,800 966,000
Bandag, Incorporated........ 5,300 126,206
Banta Corporation........... 6,550 124,450
11
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Consumer Cyclicals--Continued
Bassett Furniture Industries 2,900 $ 38,425
Black & Decker Corporation.. 21,900 877,369
Block (H&R), Inc. .......... 24,500 1,056,563
Brown Shoe Company, Inc..... 4,400 45,650
Centex Corporation.......... 14,800 325,600
Champion Enterprises, Inc. (b) 11,600 89,175
Charming Shoppes, Inc. (b).. 25,300 172,356
Cintas Corporation.......... 27,800 1,302,258
Circuit City Stores, Inc. .. 51,300 1,975,050
Claire's Stores, Inc. ...... 12,300 230,625
Cooper Tire and Rubber Company 19,000 248,188
Costco Wholesale Corporation (b) 111,930 5,477,574
Dana Corporation............ 41,100 965,850
Delphi Automotive Systems Corp 142,500 2,467,031
DeVry Inc. (b).............. 17,500 322,656
Dillard, Inc. .............. 26,700 512,306
Dollar General Corporation.. 67,101 1,425,896
Donnelly Corporation........ 1,400 18,463
Dow Jones & Company......... 22,600 1,401,200
Enesco Group, Inc. ......... 3,400 33,363
Fedders Corporation......... 8,500 44,625
Federal-Mogul Corporation... 18,100 273,763
Fleetwood Enterprises, Inc.. 8,500 138,656
Gap, Inc. (The)............. 215,987 9,651,919
Genuine Parts Company....... 44,500 1,073,563
Gibson Greetings, Inc. (b).. 3,800 33,250
Handleman Company (b)....... 7,200 75,600
Harcourt General............ 17,900 716,000
Harland (John H.) Company... 7,200 120,600
Harman International
Industries, Inc. ......... 4,230 246,926
Hartmarx Corporation (b).... 7,800 23,888
Hillenbrand Industries, Inc. 16,500 561,000
Home Depot, Inc. ........... 580,697 32,881,968
Huffy Corporation........... 2,500 14,219
IMS Health Incorporated .... 77,300 1,734,419
Interface, Inc. ............ 12,800 62,400
Jostens, Inc. .............. 8,000 187,500
Kaufman & Broad Home
Corporation............... 11,500 249,406
Kmart Corporation (b)....... 123,500 1,034,313
Lands' End, Inc. (b)........ 7,600 261,725
Lee Enterprises, Inc. ...... 11,200 297,500
Lillian Vernon Corporation.. 2,200 25,575
Limited, Inc. (The)......... 54,200 1,663,263
Liz Claiborne, Inc. ........ 14,800 500,425
Lowe's Companies, Inc. ..... 96,400 4,301,850
Issuer Shares Value
- ------ ------ -----
Consumer Cyclicals--Continued
Marriott International, Inc. 62,700 $ 1,947,619
Mattel, Inc................. 105,285 1,098,912
May Department Stores Company 84,300 2,623,838
Maytag Corporation.......... 21,600 874,800
McGraw-Hill Companies, Inc.. 49,500 2,775,094
Media General, Inc.......... 6,700 348,819
Men's Wearhouse, Inc. (b)... 10,500 250,688
Meredith Corporation........ 13,000 455,000
Modine Manufacturing Company 7,100 175,725
New York Times Company...... 43,100 1,969,131
Nordstrom, Inc. ............ 34,700 763,400
Omnicom Group Inc. ......... 44,800 4,197,200
Oshkosh B'Gosh, Inc. ....... 3,800 68,875
Penney (J.C.) Company, Inc.. 65,600 1,287,400
Pep Boys - Manny, Moe & Jack 12,600 91,350
Phillips-Van Heusen Corporation 6,600 44,550
Reebok International Ltd. (b) 13,400 98,825
Rouse Company (The)......... 18,000 400,500
Russell Corporation......... 7,900 118,006
Scholastic Corporation (b).. 4,100 264,450
Sears, Roebuck and Co. ..... 95,300 2,948,344
Service Corporation International 68,000 310,250
Shaw Industries, Inc. ...... 33,000 447,563
Sherwin-Williams Company (The) 41,800 736,725
Skyline Corporation......... 2,200 45,375
Snap-On Incorporated........ 16,250 436,719
Springs Industries, Inc. ... 4,300 156,413
SPX Corporation (b)......... 7,715 570,910
Stanley Works (The)......... 22,600 567,825
Staples, Inc. (b)........... 117,100 2,788,444
Stride Rite Corporation..... 11,200 67,900
Tandy Corporation........... 48,800 2,385,100
Target Corporation (b)...... 111,100 7,339,544
Tennant Company............. 2,100 68,250
Timberland Company (The) (b) 5,200 192,400
Times Mirror Company........ 17,200 1,018,025
TJX Companies, Inc. ........ 78,500 1,280,530
Toro Company................ 3,000 101,810
Toys `R' Us, Inc. (b)....... 61,220 631,330
Venator Group, Inc. (b)..... 35,000 210,000
VF Corporation.............. 29,500 765,155
Wal-Mart Stores, Inc. ...... 1,122,300 61,445,925
Washington Post Company..... 2,600 1,430,000
Wellman, Inc. .............. 8,500 147,687
Whirlpool Corporation....... 18,600 1,083,450
--------------
183,813,089
--------------
12
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Consumer Staples--13.7%
Alberto-Culver Company...... 14,000 $ 343,875
Albertson's, Inc. .......... 106,800 3,270,750
Avon Products, Inc. ........ 64,400 2,048,725
Ben & Jerry's Homemade, Inc. (b) 1,200 27,300
Bergen Brunswig Corporation. 33,536 220,080
Bestfoods................... 70,300 3,058,050
Bob Evans Farms, Inc. ...... 10,400 165,100
Campbell Soup Company....... 107,900 3,392,106
Church & Dwight Co., Inc.... 9,800 216,213
Clorox Company.............. 59,600 2,845,900
Coca-Cola Company........... 622,900 35,777,819
Colgate-Palmolive Company... 146,900 8,703,825
Comcast Corporation (b)..... 218,800 10,064,800
CVS Corporation............. 98,800 3,451,825
Darden Restaurants, Inc. ... 32,800 520,700
Deluxe Corporation.......... 18,400 492,200
Disney, Walt Company (The).. 520,100 18,886,131
Donnelley (R.R.) & Sons
Company................... 31,500 691,031
Fleming Companies, Inc. .... 8,900 89,000
Fort James Corporation...... 54,700 1,463,225
General Mills Incorporated.. 76,600 2,388,963
Gillette Company............ 270,500 10,177,563
Great Atlantic & Pacific Tea
Company, Inc. ............ 9,700 267,963
Hannaford Bros. Co. ........ 10,700 750,338
Heinz (H.J.) Company........ 90,400 3,361,750
Hershey Foods Corporation... 34,900 1,483,250
Kellogg Company............. 102,200 2,478,350
Kelly Services, Inc. ....... 9,075 229,144
Kimberly-Clark Corporation.. 137,264 8,501,789
Kroger Co. (b).............. 209,800 3,645,275
Longs Drug Stores Corporation 9,400 202,100
Luby's, Inc. ............... 5,400 59,063
McDonald's Corporation...... 341,500 12,699,531
MediaOne Group, Inc. (b).... 154,300 12,266,850
Nature's Sunshine Products, Inc. 3,800 33,250
Newell Rubbermaid Inc. ..... 71,178 2,135,340
Odwalla, Inc. (b)........... 500 3,531
Oneida Ltd.................. 4,000 84,500
PepsiCo, Inc. .............. 367,100 12,527,288
Procter & Gamble Company.... 331,400 33,429,975
Quaker Oats Company......... 33,700 2,000,938
Ralston Purina Company...... 81,600 2,289,900
Issuer Shares Value
- ------ ------ -----
Consumer Staples--Continued
Ruby Tuesday, Inc. ......... 7,400 $ 138,750
Ryan's Family Steakhouse, Inc. (b) 8,400 75,075
Smucker (J.M.) Company...... 7,000 122,500
Starbucks Corporation (b)... 45,600 1,459,200
SUPERVALU Inc. ............. 34,600 622,800
SYSCO Corporation........... 83,100 2,955,244
TCBY Enterprises, Inc. ..... 4,100 13,837
Tootsie Roll Industries, Inc. 8,320 262,080
Tupperware Corporation...... 13,800 225,113
Viacom, Inc. (b)............ 34,900 1,947,854
Walgreen Company............ 253,100 6,991,887
Wendy's International, Inc. 30,000 564,375
Whitman Corporation......... 35,500 445,968
Whole Foods Market, Inc. (b) 6,400 294,400
Wild Oats Markets, Inc. (b). 5,550 91,575
Wrigley (Wm.) Jr. Company... 29,200 2,277,600
--------------
225,233,564
--------------
Energy--0.6%
Anadarko Petroleum Corporation 32,200 1,056,563
Atlantic Richfield Company.. 81,400 6,267,800
Helmerich & Payne, Inc. .... 12,500 293,750
Rowan Companies, Inc. (b)... 20,800 471,900
Santa Fe Snyder Corporation (b) 45,500 332,719
Sunoco, Inc. ............... 22,500 518,906
Union Pacific Resources
Group, Inc. .............. 63,000 693,000
--------------
9,634,638
--------------
Financials--13.9%
Aetna, Inc. ................ 39,070 2,080,478
AFLAC Inc. ................. 67,100 2,914,656
American Express Company.... 112,900 18,607,331
American General Corporation 62,362 3,831,365
American International
Group, Inc. .............. 390,437 40,654,253
Bank One Corporation........ 289,285 8,624,310
Capital One Financial Corporation 49,700 2,037,700
Chittenden Corporation...... 6,761 191,421
Chubb Corporation........... 44,400 2,497,500
CIGNA Corporation........... 48,600 3,487,050
Cincinnati Financial Corporation 41,085 1,181,194
Dime Bancorp, Inc. ......... 28,400 401,150
Edwards (A.G.), Inc. ....... 23,387 774,694
Fannie Mae.................. 258,500 15,493,844
Fifth Third Bancorp......... 77,825 5,165,634
13
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
Issuer Shares
- ------ ------
Financials--Continued
First Tennessee National
Corporation............... 32,900 $ 859,513
Firstar Corporation......... 247,200 5,901,900
FirstFed Financial Corp. (b) 4,000 52,250
Freddie Mac................. 175,300 8,797,869
Golden West Financial....... 40,600 1,195,163
Household International, Inc. 118,546 4,178,747
HSB Group, Inc. ............ 7,350 202,584
Jefferson-Pilot Corporation. 26,450 1,553,938
Lincoln National Corporation 49,300 1,821,019
Marsh & McLennan
Companies, Inc. .......... 67,250 6,321,500
MBIA Inc. .................. 25,100 1,256,569
MBNA Corporation............ 202,250 5,106,813
Mellon Financial Corp. ..... 128,300 4,402,294
Merrill Lynch & Co., Inc.... 93,500 8,111,125
MGIC Investment Corporation. 27,000 1,257,188
Morgan (J.P.) & Co. Incorporated 43,700 5,366,906
National City Corporation... 155,500 3,362,688
Northern Trust Corporation.. 56,100 3,387,038
PNC Bank Corp. ............. 74,800 3,590,400
Progressive Corporation (The) 18,300 1,139,175
Providian Financial Corporation 35,800 3,020,625
ReliaStar Financial Corp. .. 22,400 665,000
SAFECO Corporation.......... 32,500 796,250
Schwab (Charles) Corporation 206,800 7,457,724
SLM Holding Corporation..... 40,100 1,561,393
St. Paul Companies, Inc. (The) 57,364 1,731,675
SunTrust Banks, Inc. ....... 80,700 4,806,694
Synovus Financial Corp. .... 69,950 1,329,050
Torchmark Corporation....... 32,900 828,669
U.S. Bancorp................ 183,500 4,071,405
UnumProvident Corp. ........ 60,500 1,618,375
Value Line, Inc. ........... 2,400 88,200
Wachovia Corporation........ 51,100 3,273,594
Washington Mutual, Inc. .... 145,602 3,694,650
Wells Fargo & Company....... 414,200 16,568,000
Wesco Financial Corporation. 1,800 477,000
--------------
227,795,563
--------------
Healthcare--7.7%
Acuson Corporation (b)...... 6,400 86,400
ADAC Laboratories (b)....... 4,900 64,313
Allergan, Inc. ............. 33,200 1,892,400
ALZA Corporation (b)........ 25,500 910,031
Becton Dickinson and Company 63,100 1,652,431
Issuer Shares Value
- ------ ------ -----
Healthcare--Continued
Biomet, Inc. ............... 28,500 $ 1,134,656
Boston Scientific Corporation (b) 104,60 2,170,450
Forest Laboratories, Inc. (b) 21,100 1,424,250
Guidant Corporation (b)..... 77,500 4,078,438
Humana Inc. (b)............. 41,900 335,200
Johnson & Johnson........... 350,700 30,182,119
Mallinckrodt Inc. .......... 17,600 507,100
Manor Care, Inc. (b)........ 25,600 340,800
McKesson HBOC, Inc. ........ 71,020 1,460,349
Medtronic, Inc. ............ 301,500 13,793,625
Merck & Co., Inc............ 589,500 46,459,969
Mylan Laboratories, Inc..... 32,600 867,975
Oxford Health Plans, Inc. (b) 20,600 292,263
Schering-Plough Corporation. 370,500 16,302,000
St. Jude Medical, Inc. (b).. 21,000 521,063
Stryker Corporation......... 24,500 1,543,500
Sunrise Medical Inc. (b).... 5,300 25,175
United American Healthcare
Corporation (b)............. 800 1,000
Watson Pharmaceuticals, Inc. (b) 24,200 975,561
--------------
127,021,068
--------------
Industrial, Construction & Housing--0.1
American Power Conversion (b) 48,200 1,330,021
--------------
1,330,021
--------------
Natural Resources--0.1%
Apache Corporation.......... 28,800 1,051,200
--------------
1,051,200
--------------
Technology--36.8%
3Com Corporation (b)........ 88,100 4,471,075
Adaptec, Inc. (b)........... 25,600 1,340,800
ADC Telecommunications, Inc. (b) 37,700 2,485,844
Advanced Micro Devices, Inc. (b) 36,800 1,334,000
Analog Devices, Inc. (b).... 44,000 4,114,000
Apple Computer, Inc. (b).... 40,600 4,212,250
Applied Materials, Inc. (b). 95,400 13,093,650
Arrow Electronics, Inc. (b). 23,900 501,900
Autodesk, Inc. ............. 15,300 467,606
Automatic Data Processing, Inc. 157,674 7,479,660
Avnet, Inc. ................ 10,400 558,350
BMC Software, Inc. (b)...... 61,100 2,314,163
Ceridian Corporation (b).... 36,200 579,200
Cisco Systems, Inc. ........ 825,000 90,337,500
Compaq Computer Corporation. 428,788 11,738,072
14
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
Issuer Shares Value
- ------ ------ -----
Technology--Continued
Computer Associates
International, Inc. ...... 135,900 $ 9,334,631
Compuware Corporation (b)... 90,300 1,913,231
CPI Corp. .................. 2,400 53,550
Dell Computer Corporation (b) 640,800 24,710,850
EMC Corporation (b)......... 256,600 27,327,900
Gerber Scientific Inc. ..... 5,300 98,713
Grainger (W.W.), Inc. ...... 23,400 1,121,738
Hewlett-Packard Company..... 257,000 27,820,250
Ikon Office Solutions, Inc. 37,600 303,150
Inprise Corporation (b)..... 14,600 178,850
Intel Corporation........... 842,600 83,364,738
Lexmark International Group,
Inc. (b).................. 32,200 3,034,850
LSI Logic Corporation (b)... 37,500 3,065,625
Lucent Technologies, Inc. .. 790,200 43,658,550
Micron Technology, Inc. (b). 68,100 4,234,969
Microsoft Corporation (b)... 1,301,400 127,374,525
National Semiconductor
Corporation (b)........... 43,300 2,273,250
Novell, Inc. (b)............ 84,000 2,803,500
Paychex, Inc. .............. 62,200 2,740,688
PE Corp-PE Biosystems Group (b) 6,550 1,319,416
PeopleSoft, Inc.(b)......... 67,700 1,523,250
Polaroid Corporation........ 10,600 251,750
QRS Corporation (b)......... 3,400 245,650
Qualcomm Inc. (b)........... 166,400 21,132,800
Sanmina Corporation (b)..... 14,700 1,561,875
Scientific-Atlanta, Inc. ... 19,800 1,525,838
Shared Medical Systems
Corporation............... 6,700 296,475
Sun Microsystems, Inc. (b).. 394,000 30,953,625
Symantec Corporation (b).... 14,500 725,906
Tektronix, Inc. ............ 11,700 474,581
Tellabs, Inc. (b)........... 101,500 5,481,000
Texas Instruments Incorporated 202,300 21,823,113
Xerox Corporation........... 167,500 3,496,560
Xilinx, Inc. (b)............ 80,400 3,678,300
--------------
604,931,767
--------------
Transportation--0.8%
Airborne Freight Corporation 12,300 238,313
Alaska Air Group, Inc. (b).. 6,700 213,563
AMR Corporation (b)......... 40,900 2,200,931
Consolidated Freightways
Corporation (b)........... 4,700 27,319
Delta Air Lines, Inc. ...... 34,600 1,602,413
Issuer Shares Value
- ------ ------ -----
Transportation--Continued
FDX Holding Corporation (b). 75,300 $ 2,979,056
GATX Corporation............ 12,400 356,500
Norfolk Southern Corporation 96,000 1,632,000
Roadway Express, Inc. ...... 4,700 108,100
Ryder System, Inc. ......... 16,800 370,650
Southwest Airlines Co. ..... 127,175 2,026,852
UAL Corporation (b)......... 13,400 765,475
Yellow Corporation (b)...... 6,000 91,500
--------------
12,612,672
--------------
Utilities--8.77%
AGL Resources Inc. ......... 14,400 246,600
American Water Works, Inc. . 24,000 582,000
Cascade Natural Gas Corporation 2,600 38,513
Cleco Corporation........... 5,500 184,938
Connecticut Energy Corporation 2,500 103,594
Eastern Enterprises (b)..... 6,800 388,875
El Paso Energy Corporation.. 57,600 1,857,600
Energen Corporation......... 6,900 119,025
Enron Corp. ................ 180,500 12,172,469
Equitable Resources, Inc. .. 8,100 279,450
IDACORP Inc. ............... 9,500 318,844
KeySpan Corporation......... 33,700 789,844
LG&E Energy Corp. .......... 32,200 547,400
MCN Energy Group, Inc. ..... 21,300 548,475
National Fuel Gas Company... 9,700 432,256
New Century Energies, Inc. . 28,900 836,290
NICOR Inc. ................. 11,800 404,150
Northwest Natural Gas Company 5,800 118,900
Northwestern Corporation.... 5,300 117,263
OGE Energy Corp. ........... 19,400 394,060
Peoples Energy Corporation.. 8,900 278,125
Potomac Electric Power Company 29,600 714,100
Questar Corporation......... 20,600 315,425
Washington Gas Light Company 11,600 291,450
Williams Companies, Inc. ... 109,600 4,247,000
--------------
26,326,646
--------------
TOTAL INVESTMENTS (A)--98.8% $1,623,791,594
Other Assets, less liabilities--1.2% 20,324,234
--------------
NET ASSETS--100.0%......... $1,644,115,828
- ---------
(a) The aggregate cost for book and federal income tax purposes is
$1,184,250,167, the aggregate gross unrealized appreciation is $506,503,389
and the aggregate gross unrealized depreciation is $66,960,960, resulting in
net unrealized appreciation of $439,541,427.
(b) Non-income producing security.
15
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
January 31, 2000 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS:
Investments at value (Cost $1,184,250,167) $ 1,623,791,594
Cash 17,711,370
Receivable for securities sold 1,611,720
Dividends receivable 1,335,971
----------------
Total assets 1,644,450,655
----------------
LIABILITIES:
Accrued expenses (Note 2) 334,827
----------------
Total liabilities 334,827
----------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS $ 1,644,115,828
================
</TABLE>
STATEMENT OF OPERATIONS
Six Months Ended January 31, 2000 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $304) $ 7,028,645
EXPENSES
Management fee (Note 2) $ 1,504,680
Professional fees 52,157
Custody fees (Note 3) 165,296
Trustee fees 9,308
Miscellaneous 2,365
------------
Total expenses 1,733,806
Fees paid indirectly (152,700)
Expenses paid and fee waived by manager (47,176)
------------
Net expenses 1,533,930
------------
NET INVESTMENT INCOME 5,494,715
NET REALIZED GAIN ON INVESTMENTS
Proceeds from sales $ 26,354,461
Cost of securities sold 24,419,372
------------
Net realized gain on investments 1,935,089
NET CHANGES IN UNREALIZED APPRECIATION OF INVESTMENTS
Beginning of period $338,923,398
End of period 439,541,427
------------
Net change in unrealized appreciation 100,618,029
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $108,047,833
============
</TABLE>
See Notes to Financial Statements
16
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six months ended
January 31, 2000 Year ended
(unaudited) July 31, 1999
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From Operations:
Net investment income $ 5,494,715 $ 7,958,967
Net realized gain on investments 1,935,089 15,875,272
Net change in unrealized apprecation of investments 100,618,029 163,202,630
-------------- --------------
Net Increase in Net Assets Resulting from Operations 108,047,833 187,036,869
-------------- --------------
Transactions in Investors' Beneficial Interest:
Additions 294,103,369 531,746,685
Reductions (105,440,155) (13,614,408)
-------------- --------------
Net Increase in Net Assets from Transactions
in Investors' Beneficial Interests 188,663,214 518,132,277
-------------- --------------
Total Increase in Net Assets 296,711,047 705,169,146
NET ASSETS:
Beginning of period 1,347,404,781 642,235,635
-------------- --------------
End of period $1,644,115,828 $1,347,404,781
============== ==============
</TABLE>
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Six Months Ended Year Ended July 31,
January 31, 2000 ----------------------------------------------------------------
(unaudited) 1999 1998 1997 1996
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Assets (000's) $1,644,116 $1,347,405 $642,236 $292,359 $100,401
Ratio of net investment income to
average net assets 0.73%(1) 0.84%(1) 1.05%(2) 1.34% 1.48%(4)
Ratio of expenses to average net assets 0.22%(1)(3) 0.24%(1)(3) 0.24%(2)(3) 0.29%(3) 0.59%(3)(4)
Portfolio turnover rate 2% 8% 5% 1% 5%
</TABLE>
- ---------
(1)Reflects a voluntary expense reimbursement and fee waiver of 0.01% by the
Manager. Had the manager not waived their fee and reimbursed expenses, the
annualized ratios of net investment income and expense to average net assets
for the six months ended January 31, 2000 would have been 0.72% and 0.23%,
respectively, and for the year ended July 31, 1999 would have been 0.83% and
0.25%, respectively.
(2)Reflects a waiver of 0.01% of fees by the Manager due to limitations set
forth in the Management Agreement. Had the Manager not waived their fees, the
ratios of net investment income and expenses to average net assets for the
year ended July 31, 1998 would have been 1.04% and 0.25%, respectively.
(3)Ratio of expenses to average net assets for the years ended July 31, 1999,
1998, 1997 and 1996 include indirectly paid expenses. Excluding indirectly
paid expenses, the expense ratios would have been 0.20% for the six months
ended January 31, 2000 and 0.20%, 0.20%, 0.25% and 0.50% for the years ended
July 31, 1999, 1998, 1997 and 1996, respectively.
(4)Had the Expense Payment Agreement and Sponsor Arrangement not been in place,
the ratios of net investment income and expense for the years ended July 31,
1996 would have been 1.14% and 0.85% respectively.
See Notes to Financial Statements
17
<PAGE>
DOMINI SOCIAL INDEX PORTFOLIO
NOTES TO FINANCIALS
January 31, 2000 (unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES.
Domini Social Index Portfolio (the "Index Portfolio") is registered under the
Investment Company Act of 1940 (the "Act") as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York on June 7, 1989. The Index Portfolio intends to correlate
its investment portfolio as closely as is practicable with the Domini 400 Social
Index (the "Index"), which is a common stock index developed and maintained by
Kinder, Lydenberg, Domini & Co., Inc. ("KLD"). The Declaration of Trust permits
the Trustees to issue an unlimited number of beneficial interests in the Index
Portfolio. The Index Portfolio commenced operations upon effectiveness on August
10, 1990 and began investment operations on June 3, 1991.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates. The following is a summary of
the Index Portfolio's significant accounting policies.
(A) VALUATION OF INVESTMENTS: The Index Portfolio values securities at the
last reported sale price, or at the last reported bid price if no sales are
reported.
(B) DIVIDEND INCOME: Dividend income is reported on the ex-dividend date.
(C) FEDERAL TAXES: The Index Portfolio will be treated as a partnership for
U.S. federal income tax purposes and is therefore not subject to U.S. federal
income tax. As such, each investor in the Index Portfolio will be taxed on its
share of the Index Portfolio's ordinary income and capital gains. It is intended
that the Portfolio will be managed in such a way that an investor will be able
to satisfy the requirements of the Internal Revenue Code applicable to regulated
investment companies.
(D) OTHER: Investment transactions are accounted for on the trade date. Gains
and losses are determined on the basis of identified cost.
2. TRANSACTIONS WITH AFFILIATES.
(A) MANAGER. Domini Social Investments LLC ("DSIL" or the "Manager") is
registered as an investment adviser under the Investment Advisers Act of 1940.
The services provided by the Manager consist of investment supervisory services,
overall operational support and administrative services. The administrative
services include the provision of general office facilities and supervising the
overall administration of the Index Portfolio. For its services under the
Management Agreement, the Manager receives from the Index Portfolio a fee
accrued daily and paid monthly at an annual rate equal to 0.20%. Until December,
1999 DSIL was waiving its fee to the extent necessary to keep the aggregate
annual operating expenses of the Index Portfolio (excluding brokerage fees and
commissions, interest, taxes, and other extraordinary expenses) at no greater
than 0.20% of the average daily net assets of the Index Portfolio. For the six
months ended January 31, 2000, DSIL waived fees totalling $47,177.
(B) SUBMANAGER. Mellon Equity provides investment submanagement services to
the Index Portfolio on a day-to-day basis pursuant to a Submanagement Agreement
with DSIL. Mellon Equity does not determine the composition of the Domini Social
Index.
18
<PAGE>
3. INVESTMENT TRANSACTIONS.
Cost of purchases and sales of investments, other than U.S. Government
securities and short-term obligations, for the six months ended January 31, 2000
aggregated $189,841,588 and $26,354,461, respectively. Custody fees of the
Portfolio were reduced by $152,700 which was compensation for uninvested cash
left on deposit with the custodian.
19
<PAGE>
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Shared Return Fund
SEMI-ANNUAL REPORT
JANUARY 31, 2000
[LOGO] DEVCAP
DEVELOPMENT CAPITAL
Globally Responsible Investments
