UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number811-05823
DOMINI INVESTMENT TRUST
(Exact Name of Registrant as Specified in Charter)
180 Maiden Lane, Suite 1302, New York, New York 10038
(Address of Principal Executive Offices)
Carole M. Laible
Domini Impact Investments LLC
180 Maiden Lane, Suite 1302
New York, New York 10038
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code:212-217-1100
Date of Fiscal Year End: July 31
Date of Reporting Period: July 31, 2019
| Item 1. | Reports to Stockholders. |
A copy of the report transmitted to stockholders pursuant to Rule30e-1 under the Investment Company Act of 1940 follows.
ANNUAL REPORT 2019 July 31, 2019DOMINI IMPACT INTERNATIONAL EQUITY FUNDSM DOMINI IMPACT EQUITY FUNDSM DOMINI IMPACT BOND FUNDSM
INVESTING FOR IMPACT We are honored to work on your behalf to create a better future. In addition to our annual Impact Report, we provide quarterly updates to keep you informed on our most recent engagement work, exciting new initiatives, and highlights of interesting investments. Visit domini.com/impact sign up for e-delivery If you invest directly with Domini, you can avoid an annual fee of $15 by signing up for paperless E-Delivery of your statements, reports and tax forms- just log into your account, go to :Account options,” and select “e-delivery Option.” If you invest through a financial advisor, brokerage firm, or employer-sponsored retirement plan, why not ask your advisor or plan sponsor how to receive your documents electronically? It can reduce your carbon footprint, save trees, and unclutter your life, all with just a few strokes of your keyboard!
TABLE OF CONTENTS
INVESTINGFOR GOOD®
LETTER TO SHAREHOLDERS
Dear Fellow Shareholders,
Responsible investors know that the way you invest can make a difference that goes well beyond investing only in industries we feel supportive of; we make a difference by looking at the total impact of how we manage our overall portfolios. An important and often overlooked impact is the ability to support the fabric of a local society. Population wellness and happiness are strongly tied to the communities in which we live.
At Domini, we support institutions that are important to the health, safety, and support of its neighbors. Businesses that operate with amplified positive impact on their communities are often thought of as “anchor institutions.” At the core of their business, they serve people with the understanding that this will improve their business and its results. These entities not only provide jobs but often add value through health services, financial literacy, educational resources, counseling services, small business development, and economic development.
At Domini Impact Investments we have been reviewing theeco-system of communities and evaluating the components to keeping a location healthy. The benefits of many components are clear and plentiful. Public transit systems, libraries, hospitals, public schools, green spaces for recreation, and banks (as opposed to ATMs) represent some of the most obvious components.
Realtor.com and Redfin found, in separate studies, that real estate prices command up to a whopping 32% more than equivalent opportunities not convenient to public transit. Some of this is driven by millennial preferences — studies show 63% of millennials prefer to live in acar-free orcar-infrequent location, but much is driven simply by traditional commuter preference. What these figures argue is that public transit is not just a nice gift to people who cannot afford cars; it is valued highly by the affluent as well.
Hospitals matter and are disappearing from rural areas. We now have a phrase for it, “hospital deserts.” About 30 million Americans do not live within an hour’s travel of a trauma center, which means that accidental deaths are 50% higher in rural areas than urban ones. This is not only a failure of a civilized nation; it is the ripping away of an important anchor to a community. Hospitals employ roughly seven million Americans, and in many places, they are the single largest employer in the region (our largest private corporate employer, Walmart, has approximately 1.5 million employees in the United States). Thirteen states, including rural ones like Alaska and North Dakota along with densely populated ones like Massachusetts and Connecticut, depend on hospitals as the number one source of jobs for their citizens.
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INVESTINGFOR GOOD®
Public schools are perhaps our most beloved anchor institutions. Academic work indicates that a high-quality public-school system is the most influential aspect of housing costs. People want good schools, and good schools enrich a community. Public schools are also important sources of employment, currently employing approximately three and a half million teachers alone.
Green space also enhances value. One 2018 study shows that being within 100 meters of an urban green space increased real estate prices by roughly eight percent. America’s various parks and recreational properties generated $154 billion in economic activity in 2015 and generated over a million jobs. But no amount of economic value can adequately quantify the benefits to the quality of life that these facilities create.
While public transportation, many hospitals, public schools and parks are not in shareholders’ hands, most banks are. We at Domini recognize this is a different dynamic but also recognize the important role that financial institutions can play in keeping the other anchor institutions healthy. Further, as roughly two million Americans work for commercial banks, we recognize the role they play in keeping jobs local and in funding local institutions.
These comments have focused on the economic benefits of only the very largest community anchors, but many smaller ones, such as our public libraries and little leagues in various sports also play a key role. The focus on financial or economic benefit is not to suggest that only money matters, but rather, we argue that the figures demonstrate that our nation is willing to pay highly for these institutions. Our lives are enriched by them and we spend dearly to protect them.
In this annual report we review for you some of the findings from our study of the key role of anchor institutions. We thank you for your interest in our work and for your continued support of the concept that one can invest for good.
| | |
Carole Laible CEO | | 
Amy Domini Founder and Chair |
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INVESTINGFOR GOOD®
HOW ANCHOR INSTITUTIONS BUILD COMMUNITY WEALTH
As a long-term impact investor, we believe that a sustainable world is a prerequisite for sustainable returns. Domini seeks to understand the root causes of the most intractable challenges facing people and our planet and identify system-level solutions that enable a healthy planet and society to thrive. Our goal is to invest in companies and institutions that support the health of our environmental, societal and financial systems through our equity and fixed income portfolios.
Companies acting as anchor institutions can play a big role when it comes to building sustainable communities and disrupting the trend of growing inequality.We define anchor institutions as enterprises that have a large and rooted presence in a local area and are motivated to support their communities’ economic growth and well-being through programs, products and services, as well as their roles as employer and purchaser.
Safe, healthy and affordable products and services let consumers succeed with business. Targeted programs offered can complement products and services in a way that both supports communities and grows market share. While traditional functions like providing a living wage, health care, retirement savings and decent working conditions remain essential and core features of a responsible company, anchor institutions may go further, adding value in areas such as education, housing or green space to the communities in which they operate. Requiring these practices of their suppliers as well helps anchor institutions deepen their impact. Finally, these institutions can serve as magnets that attract like-minded institutions and can add to the intangible value of the community. These actions demonstrate how forward-thinking companies can become a pillar of building healthy, thriving communities within which to operate.When successful, anchor institutions create a virtuous cycle, accruing benefits to communities, the company, its investors and society at large.
Domini works to identify these companies and institutions through our proprietary research and standard setting processes, in which we weigh measures of successful anchor institutions in the context of robust, industry-specific key performance indicators. In addition to a quantitative assessment, this process paints a qualitative picture that is more than the sum of its parts: companies that handle specific and discrete issues in a responsible manner demonstrate a forward-looking culture of intentionality and responsibility which we consider reflective of quality management teams.
To help bring the concept of anchor institutions to life, the following are two examples: one is a publicly traded company we invest in our Domini Impact Equity Fund while the other is a nonprofit hospital that we provide capital to through our bond portfolio.
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INVESTINGFOR GOOD®
Banks as Anchor Institutions (Domini Impact Equity Fund)
Banks play a unique and essential role in our society. As demonstrated by the financial crisis of 2008, the risks banks can pose to communities and investors are all too clear; however, institutions also have the opportunity to create significant positive impacts in their communities in which they operate. Providing safe, affordable and high-quality products and services to underserved populations and small businesses is just one example of how this may be the case. Banks that fulfill the vital role of community economic development, we believe, will prosper in the long run as a stable financial system is built on a foundation of fairness and justice for all.
We considerScotiabank, amid-sized, Canadian publicly traded bank, to be a strong example. The bank diversified its consumer base into regions of Latin America where 50% of the population and 30% of the purchasing power is concentrated in the lower-income segment of the population, which was underserved by traditional banks.By understanding its community and recognizing gaps in the market’s service of the community’s needs, the bank generated a positive impact while increasing its market share and effectively managing its business.
The bank recognized that account fees act as a major barrier to serving lower-income customers.By eliminating those fees, the bank increased account openings and market share substantially. It also offers micro-lending products to clients that typically have variable and unstable incomes and therefore fall outside the traditional retail banking target market. It has enabled those individuals to start micro businesses while establishing a profitable new business segment within the company. A mobile banking service also supports access for populations without access to bank branches.
In addition to specific products, Scotiabank has invested considerably in financial literacy. In its home country, the bank provides immigrants withpre- and post-arrival support through free and cost-reduced financial services and financial literacy programs. It has also developed financial education workshops for families living in poverty abroad. Each of these efforts indicate thatScotiabank operates with intentionality and a deep cultural commitment to being a catalyst in the communities it serves and strengthens its business as a result.
Healthcare Systems as Anchor Institutions (Domini Impact Bond Fund)
Nonprofit healthcare systems can also fill the role of anchor institutions by providing affordable, broadly accessible, and quality health care as well as addressing a wider variety of unmet needs in underserved communities. The recent trend of consolidation in the healthcare space has led to a decline in local institutions and the loss of the associated local knowledge. However, some institutions continue to stand as an example of what is possible.
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INVESTINGFOR GOOD®
Boston Medical Center (“BMC”) is a “safety net hospital.” It has a mission to provide care to individuals regardless of their ability to pay, with a significant portion of its patients beinglow-income, uninsured, and elderly.The hospital has demonstrated an ability and willingness to look beyond the traditional bounds of healthcare in a way that will deliver better health outcomes and support the community in a holistic way.
BMC, for example, has identified housing and nutrition as major drivers of the success of its mission. A survey revealed that malnutrition is one of the biggest causes of chronic disease in its community. To address this, the hospital established a preventive food kitchen & pantry program. Physicians and nutritionists provide “prescriptions” for supplemental food that promotes physical health, prevents future illness, and facilitates recovery. The pantry provides food prescriptions to thousands of households each month, while the kitchen offers cooking demonstrations and other educational resources to support patients in their long-term health.
BMC is also one of the first hospitals in the country to recognize the social determinants of health1 and, in its particular case, the role that living conditions play in the health of its community. Given that knowledge, the hospital decided to direct its mandatory community investment of $6.5 million to affordable housing projects in its city, in partnership with local shelters and community development corporations. The initiative includes $1 million each for initiatives to help families fight evictions, create a housing stabilization program for people with complex medical issues, and to support a grocery store within one of its housing developments.
As a final note, the hospital has a best in class program to provide help navigating the health-system in a culturally competent manner, addressing the fact that one third of their patients arenon-English speakers. BMC provideson-site medical interpreters for more than a dozen languages and outreach programs to guide the most vulnerable patients through doctor visits and treatment programs. Counselors come from the communities they serve and receive special training to address patients’ specific needs. As in the example of Scotiabank,the collection of efforts made by BMC to understand, serve and support its community evinces a culture of intentionality that in turn provides efficiently delivered health care and enables healthy, sustainable communities.
1 The social determinants of health are the economic and social conditions that influence individual and group differences in health status. https://www.who.int/social_determinants/sdh_definition/en/
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INVESTINGFOR GOOD®
Both Scotiabank and the Boston Medical Center operate as multi-faceted parts of a community system rather than as a singular, isolated entity. They worked to understand their communities and the challenges they face. They intentionally filled gaps in the market to address those challenges. In doing so, they recognized and addressed the complexity and importance of the creation of community wealth. Companies depend on communities for multiple resources required for their business, such as an educated work force, financially-sound consumers, or roads and infrastructure. Companies that act as anchor institutions, building and supporting community development, allow the company, its investors, its communities and society at large to prosper together.
The holdings discussed above can be found in the portfolio of the Domini Impact Equity Fund and Domini Impact Bond Fund, included herein. The composition of each portfolio is subject to change.
The Domini Funds are not bank deposits and are not insured. You may lose money. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost.
An investment in the Domini Impact Equity Fund is subject to market, market sector, impact investing, and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards, limited public information, possible changes in taxation, and periods of illiquidity.
An investment in the Domini Impact Bond Fund is subject to credit, interest rate, liquidity, impact investing and market risks.
This report is not authorized for distribution to prospective investors of the Domini Funds referenced herein unless preceded or accompanied by a current prospectus for the relevant Fund.Nothing contained herein is to be considered a recommendation concerning the merits of any noted company or security, or an offer of sale or a solicitation of an offer to buy shares of any Fund or issuer referenced in this report. Such offering is only made by prospectus, which includes details as to the offering price and other material information. Carefully consider the Funds’ investment objectives, risk factors and charges and expenses before investing. This and other information can be found in the Funds’ prospectus, which may be obtained by calling1-800-762-6814 or at www.domini.com. DSIL Investment Services LLC, distributor, member FINRA. Domini Impact Investments LLC is each Fund’s investment manager. The Funds are subadvised by unaffiliated entities. 9/19
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DOMINI IMPACT INTERNATIONAL EQUITY FUND
Performance Commentary (Unaudited)
The Fund invests primarily inmid- tolarge-cap equities across Europe, theAsia-Pacific region, and throughout the rest of the world. It is managed through atwo-step process designed to capitalize on the strengths of Domini Impact Investments and Wellington Management Company, the Fund’s subadviser. Domini creates an approved list of companies based on its social, environmental and governance analysis, and Wellington seeks to add value and manage risk through a systematic and disciplined portfolio construction process.
Market Overview:
International equities, as measured by the MSCI EAFE Index (net)*, declined 2.60% over the trailing twelve-month period ended July 31, 2019. Throughout the period, global trade disputes, slowing global economic growth, and political uncertainties weighed on equity markets.
Intensifying trade war rhetoric between the U.S. and China contributed to growing market uncertainty during the summer of 2018. This disruption had an outsized impact on developing economies, particularly in China. Global equities experienced steep declines during the final months of 2018, as fears around slowing global growth led to a sharp correction and a large spike in volatility.
Nevertheless, stocks rebounded during the first quarter of 2019 and recovered a significant portion of their losses. Markets were buoyed by constructive dialogue on trade negotiations between the U.S. and China and a shift by many of the world’s major central banks toward loosening monetary policy. Still, sluggish economic indicators and growing geopolitical risks provided causes for concern. In April, the United Kingdom managed to avoid a hardno-deal Brexit after the European Union granted a flexible extension until October 31. After failing to secure a deal for the third time, Prime Minister Theresa May announced that she would resign as leader of Britain’s Conservative Party and was subsequently succeeded by the Boris Johnson, a key figure in thepro-Brexit movement.
An escalation in trade tensions between the U.S. and China temporarily disrupted the market’s recovery in May but eased by the end of the second quarter after the two countries agreed to resume negotiations at the Group of 20 (G20) summit. The U.S. announced that existing tariffs would remain in place but temporarily suspended tariffs on an additional $300 billion of Chinese goods.
Near the end of the period, monetary policy took center stage, as markets looked to the world’s central banks to help stimulate the slowing economy. In July, the U.S. Federal Reserve Bank lowered interest rates for the first time in 11 years. Meanwhile the European Central Bank gave strong hints that a new
8
round of quantitative easing could begin in September, and the Bank of Japan committed to keeping rates lower for longer.
Portfolio Performance:
The Domini Impact International Equity Fund Investor shares declined 6.81% for the12-month period ended July 31, 2019 versus MSCI EAFE Index (net) which declined 2.60%.
Security selection was the primary driver of underperformance relative to the MSCI EAFE Index. Weak selection within the consumer staples, industrials and information technology sectors hindered results. Within consumer staples, relative returns were most hurt by not owning Swiss food and beverage company Nestlé†, as well as overweight positions to British supermarkets Sainsbury’s and Morrisons. Strong security selection within the financials and real estate sectors partially offset these negative results.
From an allocation perspective, sector positioning relative to the MSCI EAFE Index slightly benefitted relative results during the period, driven by the Fund’s exclusion of the energy sector, which was the worst performing sector in the benchmark during the period.
From a regional perspective, poor security selection within the United Kingdom, Japan, and other developed markets in Europe detracted from relative results. Anout-of-benchmark allocation to emerging markets also detracted from relative performance, driven primarily by exposure to Taiwan and South Korea. This negative impact was partially offset by positive selection within developed Asia-Pacific markets outside Japan.
From a market capitalization standpoint, the Fund’s weak security selection withinmid-cap (between $2 billion and $10 billion) andlarge-cap (between $10 billion and $50 billion) stocks were the primary detractors from relative performance. The Fund’s underweight allocation tomega-cap stocks (greater than $50 billion) also detracted from relative results.
Over the period, the Fund benefitted overall from its exposure to the submanager’s quality (management behavior) theme and both its long-term and short-term momentum themes, most notably in Europe. Additional contributions to Fund performance resulted from an underweight position relative to the MSCI EAFE Index in European bank stocks (specifically not owning UBS†, HSBC and Danske Bank†) and an overweight position in European insurance stocks. Detractors from performance over the period included an underweight to Asian equities relative to the MSCI EAFE Index. Positive exposure to the submanager’s pure value themes in Japan and Europe was the largest detractor to performance.
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At a security level, the Fund’s relative results were most hurt by not owning Nestlé†. Other top detractors included Japanese automotive manufacturer Nissan and Sainsbury’s. Top contributors to relative performance included Australian iron ore company Fortescue Metals Group, German athletic apparel manufacturer Adidas, and bottling company Coca-Cola European Partners.
* MSCI EAFE Index (net) returns reflect reinvested dividends net of withholding taxes but reflect no deduction for fees, expenses or other taxes.
† Not approved for investment by Domini as of July 31, 2019.
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TEN LARGEST HOLDINGS (Unaudited)
| | | | | | | | | | |
| | | | |
| SECURITY DESCRIPTION | | % NET
ASSETS | | | SECURITY DESCRIPTION | | % NET
ASSETS | |
| | | | |
| Allianz SE | | | 2.5% | | | Sanofi | | | 2.0% | |
| | | | |
| adidas AG | | | 2.4% | | | Coca Cola European Partners PLC | | | 2.0% | |
| | | | |
| Novartis AG | | | 2.2% | | | Ferguson PLC | | | 1.9% | |
| | | | |
| Kering SA | | | 2.1% | | | Telefonica SA | | | 1.8% | |
| | | | |
| Nissan Motor Co Ltd | | | 2.1% | | | Unilever PLC | | | 1.8% | |
PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
11
PORTFOLIO HOLDINGS BY COUNTRY (% OF NET ASSETS) (Unaudited)
The holdings mentioned above are described in the Fund’s Portfolio of Investments as of 7/31/2019 included herein. The composition of the Fund’s portfolio is subject to change.
*Other countries include Italy 0.9%, China 0.8%, Finland 0.8%, Austria 0.7%, Turkey 0.6%, United States 0.5%, Thailand 0.4%, Hungary 0.2%, India 0.2%, Israel 0.2%, Malaysia 0.2%, Norway 0.1%, and Ireland 0.0%.
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| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Investor shares | | MSCI EAFE
(NET) |
| | | |
| As of 7/31/19 | | 1 Year | | -6.81% | | -2.60% |
| | | |
| | 5 Year | | 2.64% | | 2.39% |
| | | |
| | | 10 Year | | 6.41% | | 5.84% |
Comparison of $10,000 Investment in the Domini Impact International Equity Fund Investor Shares (DOMIX) and MSCI EAFE (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-582-6757 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled: 1.41% (gross/net).
The table and the graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, style and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
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| | | | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | | |
| | | Class A shares
(with 4.75%
maximum
Sales Charge) | | Class A shares
(without Sales
Charge) | | MSCI EAFE (NET) |
| | | | |
| As of 7/31/19 | | 1 Year | | -11.26% | | -6.83% | | -2.60% |
| | | | |
| | 5 Year | | 1.61% | | 2.61% | | 2.39% |
| | | | |
| | | 10 Year | | 5.90% | | 6.41% | | 5.84% |
Comparison of $10,000 Investment in the Domini Impact International Equity Fund Class A Shares (DOMAX) and MSCI EAFE (NET) (with 4.75% maximum sales charge) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-762-6814 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled: 1.47%/1.43% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class A share expenses to 1.43% through November 30, 2019, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, style and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
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| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Institutional shares | | MSCI EAFE (NET) |
| | | |
| As of 7/31/19 | | 1 Year | | -6.49% | | -2.60% |
| | | |
| | 5 Year | | 3.04% | | 2.39% |
| | | |
| | | 10 Year* | | 6.41% | | 5.84% |
Comparison of $500,000 Investment in the Domini Impact International Equity Fund Institutional Shares (DOMOX) and MSCI EAFE (NET)* (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-762-6814 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled: 1.02% (gross/net).
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, style and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
*Institutional shares were not offered prior to November 30, 2012. All performance information for time periods beginning prior to November 28, 2012 is the performance of the Investor shares. Unless otherwise noted, this performance has not been adjusted to reflect the lower expenses of the Institutional shares.
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| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Class Y shares | | MSCI EAFE (NET) |
| | | |
| As of 7/31/19 | | 1 Year | | -6.50% | | -2.60% |
| | | |
| | 5 Year* | | 2.64% | | 2.39% |
| | | |
| | | 10 Year* | | 6.41% | | 5.84% |
Comparison of $10,000 Investment in the Domini Impact International Equity Fund Class Y Shares (DOMYX) and MSCI EAFE (NET)* (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-762-6814 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled: 1.13% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class Y share expenses to 1.15%, through November 30, 2019, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, style and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
*Y Shares did not commence operations until July 23, 2018. All performance information for time periods beginning prior to July 23, 2018 is the performance of the Investor Shares. Unless otherwise noted, this performance has not been adjusted to reflect the lower expenses of the Institutional shares.
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DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIOOF INVESTMENTS
July 31, 2019
| | | | | | | | | | |
| COUNTRY/SECURITY | | INDUSTRY | | SHARES | | | VALUE | |
| Common Stock – 98.6% | | | | | | | | |
Australia – 4.6% | | | | | | | | | | |
Dexus | | Real Estate | | | 1,304,145 | | | $ | 11,756,326 | |
Fortescue Metals Group Ltd | | Materials | | | 3,209,959 | | | | 18,215,455 | |
Goodman Group | | Real Estate | | | 606,459 | | | | 6,181,874 | |
Harvey Norman Holdings Ltd | | Retailing | | | 1,254,240 | | | | 3,785,757 | |
Mirvac Group | | Real Estate | | | 7,232,452 | | | | 16,017,358 | |
| | | | | | | | | | |
| | | | | | | | | 55,956,770 | |
| | | | | | | | | | |
| | | | | | | | | | |
Austria – 0.7% | |
Raiffeisen Bank International AG | | Banks | | | 188,678 | | | | 4,450,380 | |
Verbund AG | | Utilities | | | 64,694 | | | | 3,631,207 | |
| | | | | | | | | | |
| | | | | | | | | 8,081,587 | |
| | | | | | | | | | |
| | | | | | | | | | |
Belgium – 1.9% | |
Ageas | | Insurance | | | 186,584 | | | | 10,074,938 | |
Colruyt SA | | Food & Staples Retailing | | | 134,210 | | | | 7,033,599 | |
UCB SA | | Pharma, Biotech & Life Sciences | | | 74,101 | | | | 5,811,536 | |
| | | | | | | | | | |
| | | | | | | | | 22,920,073 | |
| | | | | | | | | | |
| | | | | | | | | | |
Brazil – 1.4% | |
Banco do Brasil SA | | Banks | | | 413,813 | | | | 5,413,246 | |
Cia Brasileira de Distribuicao | | Food & Staples Retailing | | | 86,100 | | | | 2,140,716 | |
Cia de Transmissao de Energia Eletrica Paulista | | Utilities | | | 394,100 | | | | 2,534,743 | |
Cyrela Brazil Realty SA Empreendimentos e Participacoes | | Consumer Durables & Apparel | | | 388,777 | | | | 2,521,172 | |
IRB Brasil Resseguros S/A | | Insurance | | | 170,671 | | | | 4,309,186 | |
| | | | | | | | | | |
| | | | | | | | | 16,919,063 | |
| | | | | | | | | | |
| | | | | | | | | | |
China – 0.8% | |
Li Ning Co Ltd | | Consumer Durables & Apparel | | | 1,041,093 | | | | 2,566,797 | |
Ping An Insurance Group Co of China Ltd Cl H | | Insurance | | | 481,590 | | | | 5,676,109 | |
Tingyi Cayman Islands Holding Corp | | Food & Beverage | | | 1,140,917 | | | | 1,702,776 | |
| | | | | | | | | | |
| | | | | | | | | 9,945,682 | |
| | | | | | | | | | |
| | | | | | | | | | |
Denmark – 1.3% | |
DSV A/S | | Transportation | | | 53,720 | | | | 5,157,171 | |
GN Store Nord A/S | | Health Care Equipment & Services | | | 83,416 | | | | 3,979,964 | |
Novo Nordisk A/S Cl B | | Pharma, Biotech & Life Sciences | | | 28,377 | | | | 1,370,599 | |
Vestas Wind Systems A/S | | Capital Goods | | | 60,586 | | | | 5,000,802 | |
| | | | | | | | | | |
| | | | | | | | | 15,508,536 | |
| | | | | | | | | | |
| | | | | | | | | | |
17
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | | | |
| COUNTRY/SECURITY | | INDUSTRY | | SHARES | | | VALUE | |
Finland – 0.8% | |
Metso Oyj | | Capital Goods | | | 128,782 | | | $ | 4,977,093 | |
Valmet Oyj | | Capital Goods | | | 227,077 | | | | 4,434,768 | |
| | | | | | | | | | |
| | | | | | | | | 9,411,861 | |
| | | | | | | | | | |
| | | | | | | | | | |
France – 12.0% | |
Alstom SA | | Capital Goods | | | 128,431 | | | | 5,563,339 | |
AXA SA | | Insurance | | | 321,342 | | | | 8,140,831 | |
BNP Paribas SA | | Banks | | | 129,351 | | | | 6,088,624 | |
Capgemini SE | | Software & Services | | | 88,695 | | | | 11,326,197 | |
Carrefour SA | | Food & Staples Retailing | | | 375 | | | | 7,267 | |
CNP Assurances | | Insurance | | | 202,651 | | | | 4,212,640 | |
Credit Agricole SA | | Banks | | | 458,322 | | | | 5,487,388 | |
Edenred | | Commercial & Professional Services | | | 183,571 | | | | 9,265,134 | |
Eiffage SA | | Capital Goods | | | 136,709 | | | | 13,586,627 | |
Eutelsat Communications SA | | Media & Entertainment | | | 101,119 | | | | 1,944,231 | |
Kering SA | | Consumer Durables & Apparel | | | 49,391 | | | | 25,658,479 | |
Peugeot SA | | Automobiles & Components | | | 734,906 | | | | 17,446,253 | |
Publicis Groupe SA | | Media & Entertainment | | | 125,284 | | | | 6,217,978 | |
Sanofi | | Pharma, Biotech & Life Sciences | | | 293,489 | | | | 24,598,362 | |
Schneider Electric SE | | Capital Goods | | | 74,929 | | | | 6,501,950 | |
| | | | | | | | | | |
| | | | | | | | | 146,045,300 | |
| | | | | | | | | | |
| | | | | | | | | | |
Germany – 7.2% | |
adidas AG | | Consumer Durables & Apparel | | | 91,820 | | | | 29,436,176 | |
Allianz SE | | Insurance | | | 129,804 | | | | 30,289,783 | |
HeidelbergCement AG | | Materials | | | 181,913 | | | | 13,213,234 | |
Merck KGaA | | Pharma, Biotech & Life Sciences | | | 152,184 | | | | 15,611,558 | |
| | | | | | | | | | |
| | | | | | | | | 88,550,751 | |
| | | | | | | | | | |
| | | | | | | | | | |
Hong Kong – 2.1% | |
AIA Group Ltd | | Insurance | | | 343,928 | | | | 3,527,005 | |
CK Asset Holdings Ltd | | Real Estate | | | 351,814 | | | | 2,645,421 | |
Hongkong Land Holdings Ltd | | Real Estate | | | 697,620 | | | | 4,254,431 | |
Kerry Properties Ltd | | Real Estate | | | 533,679 | | | | 2,004,032 | |
Swire Pacific Ltd Cl A | | Real Estate | | | 424,317 | | | | 4,836,552 | |
Swire Properties Ltd | | Real Estate | | | 905,378 | | | | 3,269,331 | |
Wharf Holdings Ltd/The | | Real Estate | | | 1,372,526 | | | | 3,337,378 | |
Wheelock & Co Ltd | | Real Estate | | | 297,708 | | | | 1,873,484 | |
| | | | | | | | | | |
| | | | | | | | | 25,747,634 | |
| | | | | | | | | | |
| | | | | | | | | | |
Hungary – 0.2% | |
OTP Bank Nyrt | | Banks | | | 71,196 | | | | 2,986,012 | |
| | | | | | | | | | |
| | | | | | | | | 2,986,012 | |
| | | | | | | | | | |
| | | | | | | | | | |
18
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | | | |
| COUNTRY/SECURITY | | INDUSTRY | | SHARES | | | VALUE | |
India – 0.2% | |
Dr Reddy’s Laboratories Ltd | | Pharma, Biotech & Life Sciences | | | 81,629 | | | $ | 3,030,888 | |
| | | | | | | | | | |
| | | | | | | | | 3,030,888 | |
| | | | | | | | | | |
| | | | | | | | | | |
Ireland – 0.0% | |
Irish Bank Resolution Corp Ltd/Old (a) (c) | | Banks | | | 138,674 | | | | 0 | |
| | | | | | | | | | |
| | | | | | | | | 0 | |
| | | | | | | | | | |
| | | | | | | | | | |
Israel – 0.2% | |
Check Point Software Technologies Ltd (a) | | Software & Services | | | 20,093 | | | | 2,249,411 | |
| | | | | | | | | | |
| | | | | | | | | 2,249,411 | |
| | | | | | | | | | |
| | | | | | | | | | |
Italy – 0.9% | |
Buzzi Unicem SpA | | aterials | | | 338,751 | | | | 6,924,205 | |
CNH Industrial NV | | Capital Goods | | | 442,496 | | | | 4,506,394 | |
| | | | | | | | | | |
| | | | | | | | | 11,430,599 | |
| | | | | | | | | | |
| | | | | | | | | | |
Japan – 21.7% | |
Alfresa Holdings Corp | | Health Care Equipment & Services | | | 66,994 | | | | 1,618,421 | |
Brother Industries Ltd | | Technology Hardware & Equipment | | | 247,656 | | | | 4,393,545 | |
Central Japan Railway Co | | Transportation | | | 99,282 | | | | 19,996,450 | |
Dai Nippon Printing Co Ltd | | Commercial & Professional Services | | | 383,241 | | | | 8,054,224 | |
Fancl Corp | | Household & Personal Products | | | 304,386 | | | | 7,664,735 | |
FUJIFILM Holdings Corp | | Technology Hardware & Equipment | | | 225,704 | | | | 10,719,195 | |
GungHo Online Entertainment Inc | | Media & Entertainment | | | 125,931 | | | | 3,329,268 | |
Hachijuni Bank Ltd/The | | Banks | | | 1,028,321 | | | | 3,882,733 | |
Hoya Corp | | Health Care Equipment & Services | | | 66,769 | | | | 5,130,112 | |
K’s Holdings Corp | | Retailing | | | 540,872 | | | | 4,941,477 | |
Kose Corp | | Household & Personal Products | | | 73,323 | | | | 12,523,577 | |
KYORIN Holdings Inc | | Pharma, Biotech & Life Sciences | | | 69,497 | | | | 1,171,316 | |
Matsumotokiyoshi Holdings Co Ltd | | Food & Staples Retailing | | | 95,279 | | | | 3,177,822 | |
Medipal Holdings Corp | | Health Care Equipment & Services | | | 299,857 | | | | 6,382,082 | |
Mitsubishi Estate Co Ltd | | Real Estate | | | 213,505 | | | | 3,937,756 | |
Mitsubishi Gas Chemical Co Inc | | Materials | | | 532,252 | | | | 7,096,953 | |
Mitsui Fudosan Co Ltd | | Real Estate | | | 535,964 | | | | 12,122,908 | |
Mixi Inc | | Media & Entertainment | | | 99,201 | | | | 1,878,005 | |
MS&AD Insurance Group Holdings Inc | | Insurance | | | 351,341 | | | | 11,539,263 | |
Nikon Corp | | Consumer Durables & Apparel | | | 669,604 | | | | 9,058,693 | |
Nintendo Co Ltd | | Media & Entertainment | | | 39,377 | | | | 14,515,197 | |
19
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | | | |
| COUNTRY/SECURITY | | INDUSTRY | | SHARES | | | VALUE | |
Japan(Continued) | |
Nippon Electric Glass Co Ltd | | Technology Hardware & Equipment | | | 163,629 | | | $ | 3,666,537 | |
Nippon Telegraph & Telephone Corp | | Telecommunication Services | | | 76,436 | | | | 3,456,469 | |
Nissan Motor Co Ltd | | Automobiles & Components | | | 3,845,805 | | | | 25,046,935 | |
Nomura Real Estate Holdings Inc | | Real Estate | | | 63,243 | | | | 1,283,205 | |
NTN Corp | | Capital Goods | | | 5,300 | | | | 14,737 | |
Obic Co Ltd | | Software & Services | | | 34,124 | | | | 3,643,124 | |
ORIX Corp | | Diversified Financials | | | 1,334,040 | | | | 19,077,026 | |
Seino Holdings Co Ltd | | Transportation | | | 416,167 | | | | 5,193,891 | |
Shionogi & Co Ltd | | Pharma, Biotech & Life Sciences | | | 283,657 | | | | 15,735,771 | |
Sumitomo Dainippon Pharma Co Ltd | | Pharma, Biotech & Life Sciences | | | 337,864 | | | | 6,217,034 | |
Suzuken Co Ltd/Aichi Japan | | Health Care Equipment & Services | | | 75,672 | | | | 4,178,316 | |
Taiyo Yuden Co Ltd | | Technology Hardware & Equipment | | | 163,896 | | | | 3,248,292 | |
TIS Inc | | Software & Services | | | 112,540 | | | | 5,853,050 | |
Toppan Printing Co Ltd | | Commercial & Professional Services | | | 541,358 | | | | 8,816,586 | |
Toyo Seikan Group Holdings Ltd | | Materials | | | 348,727 | | | | 6,099,606 | |
| | | | | | | | | | |
| | | | | | | | | 264,664,311 | |
| | | | | | | | | | |
| | | | | | | | | | |
Malaysia – 0.2% | |
RHB Bank Bhd | | Banks | | | 1,763,548 | | | | 2,350,543 | |
| | | | | | | | | | |
| | | | | | | | | 2,350,543 | |
| | | | | | | | | | |
| | | | | | | | | | |
Netherlands – 6.3% | |
Aegon NV | | Insurance | | | 944,885 | | | | 4,683,239 | |
Coca-Cola European Partners PLC | | Food & Beverage | | | 435,560 | | | | 24,077,757 | |
Koninklijke Ahold Delhaize NV | | Food & Staples Retailing | | | 522,419 | | | | 11,934,251 | |
Koninklijke Philips NV | | Health Care Equipment & Services | | | 63,823 | | | | 3,011,286 | |
NN Group NV | | Insurance | | | 335,786 | | | | 12,688,764 | |
NXP Semiconductors NV | | Semiconductors,Semiconductor Eqpmt | | | 77,046 | | | | 7,965,786 | |
Wolters Kluwer NV | | Commercial & Professional Services | | | 170,776 | | | | 12,450,312 | |
| | | | | | | | | | |
| | | | | | | | | 76,811,395 | |
| | | | | | | | | | |
| | | | | | | | | | |
Norway – 0.1% | |
Orkla ASA | | Food & Beverage | | | 158,044 | | | | 1,355,666 | |
| | | | | | | | | | |
| | | | | | | | | 1,355,666 | |
| | | | | | | | | | |
| | | | | | | | | | |
20
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | | | |
| COUNTRY/SECURITY | | INDUSTRY | | SHARES | | | VALUE | |
Singapore – 3.0% | |
Ascendas Real Estate Investment Trust | | Real Estate | | | 1,948,053 | | | $ | 4,342,580 | |
CapitaLand Commercial Trust | | Real Estate | | | 1,065,755 | | | | 1,598,333 | |
CapitaLand Ltd | | Real Estate | | | 813,430 | | | | 2,139,678 | |
ComfortDelGro Corp Ltd | | Transportation | | | 3,132,723 | | | | 6,164,992 | |
United Overseas Bank Ltd | | Banks | | | 423,479 | | | | 8,101,158 | |
Yangzijiang Shipbuilding Holdings Ltd | | Capital Goods | | | 13,456,058 | | | | 13,931,658 | |
| | | | | | | | | | |
| | | | | | | | | 36,278,399 | |
| | | | | | | | | | |
| | | | | | | | | | |
South Korea – 1.5% | |
BNK Financial Group Inc | | Banks | | | 445,386 | | | | 2,627,252 | |
Industrial Bank of Korea | | Banks | | | 436,178 | | | | 4,831,350 | |
LG Electronics Inc | | Consumer Durables & Apparel | | | 27,377 | | | | 1,499,142 | |
LG Uplus Corp | | Telecommunication Services | | | 460,791 | | | | 5,046,086 | |
Woori Financial Group Inc | | Banks | | | 412,218 | | | | 4,553,829 | |
| | | | | | | | | | |
| | | | | | | | | 18,557,659 | |
| | | | | | | | | | |
| | | | | | | | | | |
Spain – 3.8% | |
Acciona SA | | Utilities | | | 38,496 | | | | 4,122,711 | |
Aena SME SA | | Transportation | | | 28,494 | | | | 5,195,315 | |
Banco Bilbao Vizcaya Argentaria SA | | Banks | | | 2,825,511 | | | | 14,469,847 | |
Banco Santander SA | | Banks | | | 2,078 | | | | 8,921 | |
Telefonica SA | | Telecommunication Services | | | 2,911,270 | | | | 22,322,710 | |
| | | | | | | | | | |
| | | | | | | | | 46,119,504 | |
| | | | | | | | | | |
| | | | | | | | | | |
Sweden – 3.9% | |
Essity AB Cl B | | Household & Personal Products | | | 207,065 | | | | 6,194,131 | |
Getinge AB Cl B | | Health Care Equipment & Services | | | 254,836 | | | | 3,765,666 | |
ICA Gruppen AB | | Food & Staples Retailing | | | 48,790 | | | | 2,182,877 | |
Industrivarden AB Cl C | | Diversified Financials | | | 284,690 | | | | 6,228,751 | |
Sandvik AB | | Capital Goods | | | 861,163 | | | | 13,308,870 | |
Telefonaktiebolaget LM Ericsson Cl B | | Technology Hardware & Equipment | | | 1,778,589 | | | | 15,671,824 | |
| | | | | | | | | | |
| | | | | | | | | 47,352,119 | |
| | | | | | | | | | |
| | | | | | | | | | |
Switzerland – 7.8% | |
Adecco Group AG | | Commercial & Professional Services | | | 142,280 | | | | 7,798,340 | |
Geberit AG | | Capital Goods | | | 9,471 | | | | 4,392,305 | |
Novartis AG | | Pharma, Biotech & Life Sciences | | | 292,554 | | | | 26,950,152 | |
Sonova Holding AG | | Health Care Equipment & Services | | | 54,979 | | | | 12,700,881 | |
Swiss Life Holding AG | | Insurance | | | 33,956 | | | | 16,484,279 | |
Swiss Re AG | | Insurance | | | 152,132 | | | | 14,799,684 | |
Swisscom AG | | Telecommunication Services | | | 25,039 | | | | 12,190,721 | |
| | | | | | | | | | |
| | | | | | | | | 95,316,362 | |
| | | | | | | | | | |
| | | | | | | | | | |
21
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | | | |
| COUNTRY/SECURITY | | INDUSTRY | | SHARES | | | VALUE | |
Taiwan – 2.0% | |
Asia Cement Corp | | Materials | | | 1,892,232 | | | $ | 2,530,841 | |
AU Optronics Corp | | Technology Hardware & Equipment | | | 13,639,926 | | | | 3,601,192 | |
Feng TAY Enterprise Co Ltd | | Consumer Durables & Apparel | | | 205,675 | | | | 1,367,751 | |
Lite-On Technology Corp | | Technology Hardware & Equipment | | | 3,811,152 | | | | 5,395,023 | |
Novatek Microelectronics Corp | | Semiconductors,Semiconductor Eqpmt | | | 1,050,862 | | | | 5,549,669 | |
Realtek Semiconductor Corp | | Semiconductors,Semiconductor Eqpmt | | | 232,089 | | | | 1,541,378 | |
United Microelectronics Corp | | Semiconductors,Semiconductor Eqpmt | | | 9,056,259 | | | | 4,020,947 | |
| | | | | | | | | | |
| | | | | | | | | 24,006,801 | |
| | | | | | | | | | |
| | | | | | | | | | |
Thailand – 0.4% | |
CP ALL PCL | | Food & Staples Retailing | | | 1,814,368 | | | | 5,037,941 | |
| | | | | | | | | | |
| | | | | | | | | 5,037,941 | |
| | | | | | | | | | |
| | | | | | | | | | |
Turkey – 0.6% | |
Turkiye Garanti Bankasi AS (a) | | Banks | | | 2,424,803 | | | | 4,279,585 | |
Turkiye Is Bankasi AS Cl C (a) | | Banks | | | 3,138,113 | | | | 3,506,082 | |
| | | | | | | | | | |
| | | | | | | | | 7,785,667 | |
| | | | | | | | | | |
| | | | | | | | | | |
United Kingdom – 12.5% | |
3i Group PLC | | Diversified Financials | | | 1,126,535 | | | | 15,284,318 | |
Antofagasta PLC | | Materials | | | 142,082 | | | | 1,614,094 | |
Auto Trader Group PLC | | Media & Entertainment | | | 1,918,226 | | | | 12,678,817 | |
Barratt Developments PLC | | Consumer Durables & Apparel | | | 898,508 | | | | 7,063,022 | |
Berkeley Group Holdings PLC | | Consumer Durables & Apparel | | | 260,024 | | | | 12,313,641 | |
Burberry Group PLC | | Consumer Durables & Apparel | | | 214,070 | | | | 5,943,251 | |
Ferguson PLC | | Capital Goods | | | 309,775 | | | | 23,209,488 | |
Halma PLC | | Technology Hardware & Equipment | | | 47,622 | | | | 1,157,943 | |
Hikma Pharmaceuticals PLC | | Pharma, Biotech & Life Sciences | | | 346,115 | | | | 7,774,622 | |
Micro Focus International PLC | | Software & Services | | | 596,038 | | | | 12,641,209 | |
Next PLC | | Retailing | | | 106,533 | | | | 7,895,694 | |
Rentokil Initial PLC | | Commercial & Professional Services | | | 603,233 | | | | 3,209,009 | |
Royal Mail PLC | | Transportation | | | 2,140,619 | | | | 5,496,408 | |
Sage Group PLC/The | | Software & Services | | | 370,567 | | | | 3,253,680 | |
Spirax-Sarco Engineering PLC | | Capital Goods | | | 21,548 | | | | 2,365,799 | |
22
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | | | |
| COUNTRY/SECURITY | | INDUSTRY | | SHARES | | | VALUE | |
United Kingdom(Continued) | |
Standard Chartered PLC | | Banks | | | 420,974 | | | $ | 3,488,279 | |
Travis Perkins PLC | | Capital Goods | | | 357,850 | | | | 5,964,938 | |
Unilever PLC | | Household & Personal Products | | | 357,294 | | | | 21,643,181 | |
| | | | | | | | | | |
| | | | | | | | | 152,997,393 | |
| | | | | | | | | | |
| | | | | | | | | | |
United States – 0.5% | |
Jazz Pharmaceuticals PLC (a) | | Pharma, Biotech & Life Sciences | | | 45,301 | | | | 6,314,053 | |
| | | | | | | | | | |
| | | | | | | | | 6,314,053 | |
| | | | | | | | | | |
| | |
| Total Investments – 98.6%(Cost $1,147,086,326) (b) | | | | | 1,203,731,980 | |
| | |
| Other Assets, less liabilities – 1.4% | | | | | 17,165,289 | |
| | | | | | | | | | |
| | |
| Net Assets – 100.0% | | | | | $1,220,897,269 | |
| | | | | | | | | | |
(a)Non-income producing security.
(b) The aggregate cost for federal income tax purposes is $1,169,778,833. The aggregate gross unrealized appreciation is $95,905,599 and the aggregate gross unrealized depreciation is $61,952,452, resulting in net unrealized appreciation of $33,953,147.
(c) Securities for which there are no such quotations or valuations are valued at fair value as determined in good faith by or at the direction of the Fund’s Board of Trustees.
As of the date of this report, certain foreign securities were fair valued by an independent pricing service under the direction of the Board of Trustees or its delegates in accordance with the Trust’s Valuation and Pricing Policies and Procedures.
SEE NOTES TO FINANCIAL STATEMENTS
23
DOMINI IMPACT EQUITY FUND
Performance Commentary (Unaudited)
The Fund invests in a diversified portfolio of primarilymid- tolarge-cap U.S. equities. Domini selects securities combining two unique strategies: “U.S. Core” and “Thematic Solutions.” U.S. Core seeks to provide core stock market exposure through a diversified selection of companies that Domini has determined have strong social and environmental profiles. Thematic Solutions seeks to provide opportunistic exposure to companies that provide sustainability solutions in thematic-focused areas, as determined by Domini’s social, environmental and financial research and analysis. SSGA Funds Management, Inc. purchases and sells securities to implement Domini’s investment selections and manage the amount of assets to be held in short-term investments.
Prior to December 1, 2018, the Fund was subadvised by Wellington Management Company and managed through atwo-step process. Domini created an approved list of companies based on its social and environmental analysis, and Wellington sought to add value and manage risk through a systematic portfolio construction process.
Market Overview:
Despite heightened market volatility, U.S. equities remained generally upbeat throughout most of the twelve-month period ended July 31, 2019, and the S&P 500 Index ended the period with a 7.99% gain. Although the global outlook grew more uncertain amid prevailing trade tensions and signs of slowing growth, domestic equities were supported by resilient U.S. economic data, generally strong corporate earnings, and a reversal in monetary policy by the Federal Reserve Bank (Fed).
The market’s bullish sentiment had greatly faded by the time 2018 drew to a close. After rising by double-digit levels through the end of September, the S&P 500 saw its 2018 gains wiped out during the final three months of the year, falling about 20% from peak to trough. Growing fears over a prolonged trade war with China and the looming threat of Brexit combined with rising interest rates and lackluster third-quarter earnings to create a perfect storm that triggered a sharp selloff in October. False hopes of a trade truce between the U.S. and China and the Fed’s softening tone on further interest-rate increases briefly helped to steady the market in November before the selloff resumed in earnest in December, as the U.S. government entered its longest shutdown in history.
Nevertheless, the new year brought with it a renewed sense of optimism, and stocks rebounded as generally strong economic data and corporate earnings suggested that the U.S. economy remained on firm footing. As of July 31, the S&P 500 had gained over 20%year-to-date, more than recovering 2018 losses.
24
Fueled by last year’s tax cuts, corporations continued to repurchase stock in record quantities, and their forward guidance for 2019 was encouraging relative to the market’s subdued expectations coming into the year.
Throughout the period, the labor market remained a particularly bright spot in the economic landscape, with wages rising and unemployment dropping to a50-year low of 3.6% in April. Signs of weakness emerged by the end of the period, however. The housing market faced significant headwinds, and expansion in both the manufacturing and services sectors slowed. Political tensions at home and abroad continued to weigh on business and consumer confidence, and the U.S. and China failed to make meaningful progress on trade negotiations before the end of the period.
Amidst low inflation, ongoing trade uncertainty, and slowing global growth, the Fed officially reversed policy course in July, cutting benchmark rates for the first time since 2008. While the rate reduction should provide some near-term support for equity markets, many investors felt the25-basis-point reduction did not go far enough and continue to seek assurances of more accommodative policy to help sustain the economy amid the growing apprehension.
Portfolio Performance — Full Fiscal Year 2019:
The Domini Impact Equity Fund Investor shares returned 6.31% for the twelve-month period ended July 31, 2019, underperforming relative to the S&P 500 Index, which returned 7.99%. The strategy of this Fund was changed as of December 1, 2018 (see further performance commentary below).
Security selection was the primary driver of underperformance relative to the benchmark, with especially weak selection in the consumer discretionary and industrials sectors. Sector allocation, on the other hand, contributed positively to relative results for the period. This was driven primarily by the Fund’s exclusion of the energy sector, which was the worst performing sector for the benchmark over the period, and its overweight to information technology, which conversely was the best performing sector for the benchmark over the period.
From a market capitalization standpoint, the Fund’s overweight to small- andmid-cap stocks detracted from relative results for the period, as these stocks generally underperformed theirlarge-cap peers for the period.
At a company level, the top contributors to relative results for the period were pharmacy retailerWalgreens Boots Alliance,out-of-benchmark OLED manufacturerUniversal Display Corporation, pharmaceutical companyMerck, computer software companyMicrosoft, and graphics processing unit developerNvidia.
25
The top detractors from relative results were consulting firmRobert Half, luxury clothing companyRalph Lauren, electronic trading platformE-Trade, business IT services providerDXC Technology, and educational technology company2U.
Portfolio Performance — Since December 1, 2018:
Since the inception of its new investment strategy on December 1, 2018, the Fund’s Investor shares returned 10.10% as of July 31, 2019, outperforming relative to the S&P 500 Index, which returned 9.38% for the eight-month period.
Sector allocation was the primary driver of outperformance, primarily attributed to the Fund’s overweight to information technology and underweight to energy, which were the benchmark’s best and worst performing sectors for the period, respectively. Security selection contributed positively to relative results, with strong selection in health care offsetting weaker selection in consumer discretionary.
From a market capitalization standpoint, the Fund’s overweight to small- andmid-cap stocks detracted from relative results for the period, as these stocks generally underperformed theirlarge-cap peers for the period.
At a company level, the top contributors to relative results for the period were pharmacy retailerout-of-benchmark OLED manufacturerUniversal Display Corporation, computer software companyMicrosoft, consumer electronics companyApple,out-of-benchmark Australian software companyAtlassian, andout-of-benchmark Swiss pharmaceutical companyNovartis.
The top detractor from relative results was social media companyFacebook, which was not approved for investment by Domini as of July 31, 2019. Not holding the benchmark company hurt relative results. Other top detractors wereout-of-benchmark educational technology company2U; electronic trading platformE-Trade,out-of-benchmark electric vehicle manufacturerTesla, and insurance services providerPrudential Financial.
26
TEN LARGEST HOLDING (Unaudited)
| | | | | | | | | | |
| | | | |
| SECURITY DESCRIPTION | | % NET
ASSETS | | | SECURITY DESCRIPTION | | % NET
ASSETS | |
| | | | |
| Microsoft Corp | | | 5.9% | | | Procter & Gamble Co/The | | | 1.7% | |
| | | | |
| Apple Inc | | | 5.0% | | | Bank of America Corp | | | 1.5% | |
| | | | |
| Amazon.com Inc | | | 4.4% | | | Walt Disney Co/The | | | 1.5% | |
| | | | |
| Alphabet Inc Cl A | | | 4.2% | | | AT&T Inc | | | 1.4% | |
| | | | |
| Visa Inc Cl A | | | 1.8% | | | Mastercard Inc Cl A | | | 1.4% | |
PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)
The holdings mentioned above are described in the Domini Impact Equity Fund’s Portfolio of Investments as of 7/31/19, included herein. The composition of the Fund’s portfolio is subject to change.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
27
| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Investor shares | | S&P 500 |
| | | |
| As of 7/31/19 | | 1 Year | | 6.31% | | 7.99% |
| | | |
| | 5 Year | | 6.55% | | 11.34% |
| | | |
| | | 10 Year | | 11.24% | | 14.03% |
Comparison of $10,000 Investment in the Domini Impact Equity Fund Investor Shares (DSEFX) and S&P 500 (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc. as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-582-6757 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled 1.06% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary expenses in order to limit Investor share expenses to 1.09% through November 30, 2019, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and the graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, impact investing and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
28
| | | | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | | |
| | | Class A shares (with
4.75% maximum
Sales Charge) | | Class A shares
(without
Sales Charge) | | S&P 500 |
| | | | |
| As of 7/31/19 | | 1 Year | | 1.23% | | 6.28% | | 7.99% |
| | | | |
| | 5 Year | | 5.49% | | 6.52% | | 11.34% |
| | | | |
| | | 10 Year | | 10.70% | | 11.24% | | 14.03% |
Comparison of $10,000 Investment in the Domini Impact Equity Fund Class A Shares (DSEPX) and S&P 500 (with 4.75% maximum sales charge) (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc. as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-762-6814 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled 1.34% (gross)/1.09% (net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class A share expenses to 1.09% through November 30, 2019, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, impact investing and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
29
| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Institutional shares | | S&P 500 |
| | | |
| As of 7/31/19 | | 1 Year | | 6.69% | | 7.99% |
| | | |
| | 5 Year | | 6.92% | | 11.34% |
| | | |
| | | 10 Year | | 11.68% | | 14.03% |
Comparison of $500,000 Investment in the Domini Impact Equity Fund Institutional (DIEQX) Shares and S&P 500 (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc. as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-762-6814 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled 0.72% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Institutional share expenses to 0.74% through November 30, 2019, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, impact investing and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
30
| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Class R shares | | S&P 500 |
| | | |
| As of 7/31/19 | | 1 Year | | 6.62% | | 7.99% |
| | | |
| | 5 Year | | 6.86% | | 11.34% |
| | | |
| | | 10 Year | | 11.59% | | 14.03% |
Comparison of $10,000 Investment in the Domini Impact Equity Fund Class R Shares (DSFRX) and S&P 500 (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc. as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-762-6814 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled 0.80% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class R share expenses to 0.80% through November 30, 2019, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to market, market sector, impact investing and foreign investing risks. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing security regulations and accounting standards limited public information possible changes in taxation, and periods of illiquidity.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
31
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Common Stocks – 100.5% | | | | | | |
| Communication Services – 9.8% | | | | | | |
AT&T Inc | | | 317,485 | | | $ | 10,810,364 | |
Alphabet Inc Cl A (a) | | | 26,650 | | | | 32,465,030 | |
CenturyLink Inc | | | 45,400 | | | | 548,886 | |
Charter Communications Inc Cl A (a) | | | 7,158 | | | | 2,758,550 | |
Comcast Corp Cl A | | | 199,908 | | | | 8,630,028 | |
Electronic Arts Inc (a) | | | 12,818 | | | | 1,185,665 | |
Netflix Inc (a) | | | 18,945 | | | | 6,119,046 | |
New York Times Co/The Cl A | | | 6,000 | | | | 214,080 | |
Omnicom Group Inc | | | 9,500 | | | | 762,090 | |
Take-Two Interactive Software Inc (a) | | | 4,681 | | | | 573,516 | |
TELUS Corp | | | 27,697 | | | | 994,599 | |
Verizon Communications Inc | | | 183,096 | | | | 10,119,716 | |
| | | | | | | | |
| | | | | | | 75,181,570 | |
| | | | | | | | |
| | |
| Consumer Discretionary – 11.8% | | | | | | |
Advance Auto Parts Inc | | | 2,957 | | | | 445,442 | |
Amazon.com Inc (a) | | | 18,289 | | | | 34,141,539 | |
Best Buy Co Inc | | | 10,049 | | | | 769,050 | |
Booking Holdings Inc (a) | | | 1,931 | | | | 3,643,044 | |
CarMax Inc (a) | | | 7,200 | | | | 631,872 | |
Chipotle Mexican Grill Inc (a) | | | 1,223 | | | | 972,933 | |
Cie Generale des Etablissements Michelin SCA ADR | | | 38,750 | | | | 854,050 | |
eBay Inc | | | 36,800 | | | | 1,515,792 | |
Expedia Group Inc | | | 5,181 | | | | 687,726 | |
Fast Retailing Co Ltd ADR | | | 24,353 | | | | 1,465,564 | |
Gap Inc/The | | | 12,345 | | | | 240,728 | |
Garmin Ltd | | | 6,446 | | | | 506,591 | |
Genuine Parts Co | | | 6,674 | | | | 648,179 | |
Home Depot Inc/The | | | 48,951 | | | | 10,460,339 | |
Kohl’s Corp | | | 6,912 | | | | 372,280 | |
Lennar Corp Cl A | | | 12,000 | | | | 570,840 | |
Lowe’s Cos Inc | | | 35,541 | | | | 3,603,857 | |
Marriott International Inc/MD Cl A | | | 12,468 | | | | 1,733,800 | |
NIKE Inc Cl B | | | 55,549 | | | | 4,778,880 | |
NVR Inc (a) | | | 140 | | | | 468,180 | |
O’Reilly Automotive Inc (a) | | | 3,419 | | | | 1,301,818 | |
Sony Corp ADR | | | 55,855 | | | | 3,175,915 | |
Starbucks Corp | | | 52,367 | | | | 4,958,631 | |
Target Corp | | | 22,351 | | | | 1,931,126 | |
Tesla Inc (a) | | | 10,747 | | | | 2,596,583 | |
Tiffany & Co | | | 5,100 | | | | 478,992 | |
Toyota Motor Corp ADR | | | 51,248 | | | | 6,613,554 | |
Ulta Beauty Inc (a) | | | 2,598 | | | | 907,352 | |
| | | | | | | | |
| | | | | | | 90,474,657 | |
| | | | | | | | |
| | |
| Consumer Staples – 6.4% | | | | | | |
Beyond Meat Inc | | | 2,474 | | | | 486,166 | |
Campbell Soup Co | | | 7,991 | | | | 330,348 | |
32
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Consumer Staples(Continued) | | | | | | |
Church & Dwight Co Inc | | | 11,412 | | | $ | 860,921 | |
Clorox Co/The | | | 5,500 | | | | 894,300 | |
Colgate-Palmolive Co | | | 38,225 | | | | 2,742,262 | |
Costco Wholesale Corp | | | 19,177 | | | | 5,285,757 | |
Estee Lauder Cos Inc/The Cl A | | | 9,677 | | | | 1,782,407 | |
General Mills Inc | | | 26,199 | | | | 1,391,429 | |
JM Smucker Co/The | | | 4,746 | | | | 527,708 | |
Kimberly-Clark Corp | | | 15,318 | | | | 2,077,887 | |
Kraft Heinz Co/The | | | 26,723 | | | | 855,403 | |
Kroger Co/The | | | 37,211 | | | | 787,385 | |
Lamb Weston Holdings Inc | | | 6,400 | | | | 429,568 | |
Mondelez International Inc Cl A | | | 63,347 | | | | 3,388,431 | |
PepsiCo Inc | | | 62,131 | | | | 7,940,963 | |
Procter & Gamble Co/The | | | 109,725 | | | | 12,951,939 | |
Sysco Corp | | | 21,903 | | | | 1,501,889 | |
Unilever PLC ADR | | | 49,285 | | | | 2,963,014 | |
Walgreens Boots Alliance Inc | | | 34,148 | | | | 1,860,725 | |
| | | | | | | | |
| | | | | | | 49,058,502 | |
| | | | | | | | |
| | |
| Energy – 0.1% | | | | | | |
Legrand SA ADR | | | 56,600 | | | | 791,268 | |
| | | | | | | | |
| | | | | | | 791,268 | |
| | | | | | | | |
| | |
| Financials – 11.9% | | | | | | |
Aflac Inc | | | 33,015 | | | | 1,737,910 | |
Amalgamated Bank Cl A | | | 48,380 | | | | 830,201 | |
American Express Co | | | 28,148 | | | | 3,500,767 | |
BB&T Corp | | | 33,958 | | | | 1,749,856 | |
Bank of America Corp | | | 381,854 | | | | 11,715,280 | |
Bank of Montreal | | | 28,531 | | | | 2,134,404 | |
Bank of Nova Scotia/The | | | 54,666 | | | | 2,918,071 | |
BlackRock Inc | | | 4,800 | | | | 2,244,864 | |
CME Group Inc | | | 15,812 | | | | 3,074,169 | |
Capital One Financial Corp | | | 20,818 | | | | 1,924,000 | |
Chubb Ltd | | | 17,589 | | | | 2,688,303 | |
Cincinnati Financial Corp | | | 6,911 | | | | 741,758 | |
Citigroup Inc | | | 102,308 | | | | 7,280,237 | |
Comerica Inc | | | 6,654 | | | | 487,073 | |
DNB ASA ADR | | | 47,348 | | | | 841,847 | |
Discover Financial Services | | | 14,000 | | | | 1,256,360 | |
E*TRADE Financial Corp | | | 10,414 | | | | 508,099 | |
East West Bancorp Inc | | | 6,000 | | | | 288,060 | |
Everest Re Group Ltd | | | 1,700 | | | | 419,288 | |
Federal Agricultural Mortgage Corp Cl C | | | 23,560 | | | | 1,820,481 | |
Fifth Third Bancorp | | | 32,656 | | | | 969,557 | |
Franklin Resources Inc | | | 12,700 | | | | 414,401 | |
Hartford Financial Services Group Inc/The | | | 15,793 | | | | 910,151 | |
Huntington Bancshares Inc/OH | | | 43,800 | | | | 624,150 | |
Intercontinental Exchange Inc | | | 24,695 | | | | 2,169,703 | |
33
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Financials(Continued) | | | | | | |
Invesco Ltd | | | 21,003 | | | $ | 403,048 | |
KeyCorp | | | 42,900 | | | | 788,073 | |
MSCI Inc | | | 3,605 | | | | 819,200 | |
Marsh & McLennan Cos Inc | | | 22,830 | | | | 2,255,604 | |
Moody’s Corp | | | 7,114 | | | | 1,524,815 | |
Morgan Stanley | | | 56,934 | | | | 2,536,979 | |
Nasdaq Inc | | | 4,900 | | | | 472,213 | |
Northern Trust Corp | | | 8,900 | | | | 872,200 | |
PNC Financial Services Group Inc/The | | | 18,449 | | | | 2,636,362 | |
Principal Financial Group Inc | | | 11,800 | | | | 684,872 | |
Progressive Corp/The | | | 25,958 | | | | 2,102,079 | |
Prudential Financial Inc | | | 17,761 | | | | 1,799,367 | |
Raymond James Financial Inc | | | 5,400 | | | | 435,618 | |
Regions Financial Corp | | | 43,728 | | | | 696,587 | |
Reinsurance Group of America Inc | | | 2,600 | | | | 405,392 | |
S&P Global Inc | | | 10,998 | | | | 2,693,960 | |
SEI Investments Co | | | 5,900 | | | | 351,581 | |
Swiss Re AG ADR | | | 51,193 | | | | 1,235,799 | |
T Rowe Price Group Inc | | | 10,111 | | | | 1,146,486 | |
TD Ameritrade Holding Corp | | | 11,900 | | | | 608,090 | |
Toronto-Dominion Bank/The | | | 81,717 | | | | 4,775,540 | |
Travelers Cos Inc/The | | | 11,116 | | | | 1,629,828 | |
US Bancorp | | | 65,231 | | | | 3,727,952 | |
Voya Financial Inc | | | 6,100 | | | | 342,637 | |
Westpac Banking Corp ADR | | | 151,875 | | | | 2,981,306 | |
Zions Bancorp NA | | | 8,799 | | | | 396,571 | |
| | | | | | | | |
| | | | | | | 91,571,149 | |
| | | | | | | | |
| | |
| Health Care – 15.4% | | | | | | |
ABIOMED Inc (a) | | | 1,800 | | | | 501,408 | |
AbbVie Inc | | | 66,070 | | | | 4,401,583 | |
Agilent Technologies Inc | | | 13,600 | | | | 943,976 | |
Alcon Inc (a) | | | 21,862 | | | | 1,284,393 | |
Alexion Pharmaceuticals Inc (a) | | | 9,381 | | | | 1,062,773 | |
Align Technology Inc (a) | | | 3,200 | | | | 669,056 | |
Amgen Inc | | | 27,219 | | | | 5,078,521 | |
Becton Dickinson and Co | | | 12,026 | | | | 3,040,173 | |
Bio-Rad Laboratories Inc Cl A (a) | | | 900 | | | | 283,410 | |
Bio-Techne Corp | | | 1,600 | | | | 336,240 | |
BioMarin Pharmaceutical Inc (a) | | | 7,700 | | | | 610,764 | |
BioTelemetry Inc (a) | | | 45,284 | | | | 2,126,084 | |
Biogen Inc (a) | | | 8,481 | | | | 2,016,951 | |
Bristol-Myers Squibb Co | | | 73,091 | | | | 3,245,971 | |
Bruker Corp | | | 4,600 | | | | 220,110 | |
Celgene Corp (a) | | | 31,510 | | | | 2,894,509 | |
Cerner Corp | | | 13,723 | | | | 983,253 | |
Cooper Cos Inc/The | | | 2,100 | | | | 708,540 | |
DENTSPLY SIRONA Inc | | | 11,016 | | | | 599,821 | |
Danaher Corp | | | 28,415 | | | | 3,992,308 | |
34
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Health Care(Continued) | | | | | | |
DexCom Inc (a) | | | 22,495 | | | $ | 3,528,791 | |
Edwards Lifesciences Corp (a) | | | 9,048 | | | | 1,925,867 | |
Gilead Sciences Inc | | | 56,541 | | | | 3,704,566 | |
GlaxoSmithKline PLC ADR | | | 111,503 | | | | 4,602,844 | |
Haemonetics Corp (a) | | | 2,051 | | | | 250,386 | |
Henry Schein Inc | | | 6,300 | | | | 419,202 | |
Hill-Rom Holdings Inc | | | 2,800 | | | | 298,592 | |
Hologic Inc (a) | | | 60,881 | | | | 3,120,151 | |
IDEXX Laboratories Inc (a) | | | 3,619 | | | | 1,020,739 | |
Illumina Inc (a) | | | 6,549 | | | | 1,960,640 | |
Incyte Corp (a) | | | 7,600 | | | | 645,392 | |
Ionis Pharmaceuticals Inc (a) | | | 5,300 | | | | 349,058 | |
Koninklijke Philips NV | | | 40,721 | | | | 1,905,336 | |
Merck & Co Inc | | | 114,539 | | | | 9,505,592 | |
Mettler-Toledo International Inc (a) | | | 1,090 | | | | 824,858 | |
Nektar Therapeutics (a) | | | 7,100 | | | | 202,066 | |
Novartis AG ADR | | | 105,184 | | | | 9,632,751 | |
Novo Nordisk A/S ADR | | | 75,888 | | | | 3,636,553 | |
OraSure Technologies Inc (a) | | | 183,345 | | | | 1,530,931 | |
PerkinElmer Inc | | | 4,800 | | | | 413,376 | |
Perrigo Co PLC | | | 5,200 | | | | 280,852 | |
Pfizer Inc | | | 246,097 | | | | 9,558,407 | |
Quest Diagnostics Inc | | | 6,315 | | | | 644,635 | |
Regeneron Pharmaceuticals Inc (a) | | | 3,742 | | | | 1,140,412 | |
ResMed Inc | | | 6,146 | | | | 790,990 | |
STERIS PLC | | | 3,500 | | | | 521,010 | |
Sanofi ADR | | | 94,442 | | | | 3,938,231 | |
Seattle Genetics Inc (a) | | | 30,454 | | | | 2,305,672 | |
Stryker Corp | | | 13,738 | | | | 2,881,958 | |
Teladoc Health Inc (a) | | | 46,667 | | | | 3,184,556 | |
Thermo Fisher Scientific Inc | | | 17,654 | | | | 4,902,163 | |
Varian Medical Systems Inc (a) | | | 3,900 | | | | 457,743 | |
Veeva Systems Inc Cl A (a) | | | 5,506 | | | | 913,445 | |
Vertex Pharmaceuticals Inc (a) | | | 11,436 | | | | 1,905,466 | |
Waters Corp (a) | | | 2,963 | | | | 623,889 | |
| | | | | | | | |
| | | | | | | 118,526,964 | |
| | | | | | | | |
| | |
| Industrials – 7.8% | | | | | | |
3M Co | | | 25,684 | | | | 4,487,508 | |
AO Smith Corp | | | 5,800 | | | | 263,610 | |
Acuity Brands Inc | | | 14,843 | | | | 1,992,227 | |
Alaska Air Group Inc | | | 5,100 | | | | 323,136 | |
Allegion PLC | | | 3,900 | | | | 403,806 | |
Ameresco Inc Cl A (a) | | | 206,800 | | | | 2,946,900 | |
Assa Abloy AB ADR | | | 82,142 | | | | 938,062 | |
Brambles Ltd ADR | | | 32,500 | | | | 583,700 | |
Carlisle Cos Inc | | | 2,400 | | | | 346,104 | |
CH Robinson Worldwide Inc | | | 5,900 | | | | 494,007 | |
CoStar Group Inc (a) | | | 1,571 | | | | 966,793 | |
35
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Industrials(Continued) | | | | | | |
Copart Inc (a) | | | 8,800 | | | $ | 682,264 | |
Cummins Inc | | | 6,841 | | | | 1,121,924 | |
Dai Nippon Printing Co Ltd ADR | | | 22,500 | | | | 234,000 | |
Deere & Co | | | 14,145 | | | | 2,343,119 | |
Deutsche Post AG ADR | | | 43,937 | | | | 1,427,074 | |
Donaldson Co Inc | | | 5,200 | | | | 259,740 | |
Emerson Electric Co | | | 27,326 | | | | 1,772,911 | |
Expeditors International of Washington Inc | | | 7,200 | | | | 549,720 | |
Fastenal Co | | | 26,558 | | | | 817,986 | |
Flowserve Corp | | | 5,300 | | | | 265,159 | |
Fortune Brands Home & Security Inc | | | 5,800 | | | | 318,652 | |
Graco Inc | | | 6,800 | | | | 326,944 | |
HD Supply Holdings Inc (a) | | | 7,500 | | | | 303,825 | |
Hubbell Inc | | | 2,400 | | | | 311,712 | |
IAA Inc (a) | | | 5,500 | | | | 257,125 | |
IDEX Corp | | | 3,200 | | | | 538,304 | |
IHS Markit Ltd (a) | | | 16,494 | | | | 1,062,543 | |
Illinois Tool Works Inc | | | 12,852 | | | | 1,982,164 | |
Ingersoll-Rand PLC | | | 10,507 | | | | 1,299,296 | |
JB Hunt Transport Services Inc | | | 3,800 | | | | 389,006 | |
JetBlue Airways Corp (a) | | | 13,588 | | | | 261,297 | |
Johnson Controls International plc | | | 39,336 | | | | 1,669,420 | |
KAR Auction Services Inc | | | 5,500 | | | | 147,070 | |
Lennox International Inc | | | 1,600 | | | | 410,368 | |
Makita Corp ADR (a) | | | 10,500 | | | | 339,360 | |
Masco Corp | | | 12,400 | | | | 505,548 | |
Middleby Corp/The (a) | | | 2,400 | | | | 322,512 | |
Nidec Corp ADR | | | 45,128 | | | | 1,511,788 | |
Nielsen Holdings PLC | | | 15,500 | | | | 358,980 | |
Nordson Corp | | | 2,100 | | | | 297,486 | |
Owens Corning | | | 5,433 | | | | 315,114 | |
PACCAR Inc | | | 14,900 | | | | 1,045,086 | |
Pentair PLC | | | 7,300 | | | | 283,313 | |
Quanta Services Inc | | | 6,000 | | | | 224,520 | |
Robert Half International Inc | | | 4,751 | | | | 287,008 | |
Rockwell Automation Inc | | | 5,072 | | | | 815,476 | |
Roper Technologies Inc | | | 4,557 | | | | 1,657,153 | |
SKF AB ADR | | | 18,000 | | | | 295,020 | |
Sensata Technologies Holding PLC (a) | | | 7,100 | | | | 336,753 | |
Simpson Manufacturing Co Inc | | | 1,600 | | | | 98,816 | |
Snap-on Inc | | | 2,300 | | | | 351,003 | |
Stanley Black & Decker Inc | | | 6,754 | | | | 996,823 | |
Sunrun Inc (a) | | | 171,875 | | | | 3,274,219 | |
TPI Composites Inc (a) | | | 47,820 | | | | 1,222,757 | |
Thomson Reuters Corp | | | 7,300 | | | | 490,341 | |
Toro Co/The | | | 4,500 | | | | 327,690 | |
Trex Co Inc (a) | | | 2,300 | | | | 188,025 | |
United Parcel Service Inc Cl B | | | 31,193 | | | | 3,726,628 | |
United Rentals Inc (a) | | | 3,300 | | | | 417,615 | |
36
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Industrials(Continued) | | | | | | |
Vestas Wind Systems A/S ADR | | | 25,600 | | | $ | 702,464 | |
WW Grainger Inc | | | 2,070 | | | | 602,432 | |
Wabtec Corp | | | 7,091 | | | | 550,829 | |
Watts Water Technologies Inc Cl A | | | 16,932 | | | | 1,571,798 | |
Wolters Kluwer NV ADR | | | 48,114 | | | | 3,482,010 | |
Xylem Inc/NY | | | 7,700 | | | | 618,233 | |
| | | | | | | | |
| | | | | | | 59,714,276 | |
| | | | | | | | |
| | |
| Information Technology – 31.0% | | | | | | |
2U Inc (a) | | | 53,443 | | | | 684,070 | |
Adobe Inc (a) | | | 21,561 | | | | 6,443,720 | |
Advanced Micro Devices Inc (a) | | | 44,650 | | | | 1,359,593 | |
Apple Inc | | | 180,049 | | | | 38,357,639 | |
Applied Materials Inc | | | 41,602 | | | | 2,053,891 | |
Atlassian Corp PLC Cl A (a) | | | 32,683 | | | | 4,579,542 | |
Autodesk Inc (a) | | | 27,265 | | | | 4,257,975 | |
Automatic Data Processing Inc | | | 18,068 | | | | 3,008,683 | |
Blackbaud Inc | | | 18,414 | | | | 1,675,674 | |
Blackline Inc (a) | | | 46,065 | | | | 2,054,499 | |
Broadcom Inc | | | 17,036 | | | | 4,940,270 | |
Cadence Design Systems Inc (a) | | | 12,084 | | | | 893,128 | |
Cisco Systems Inc | | | 189,791 | | | | 10,514,421 | |
Cognizant Technology Solutions Corp Cl A | | | 24,723 | | | | 1,610,456 | |
Corning Inc | | | 33,817 | | | | 1,039,873 | |
Cree Inc (a) | | | 66,354 | | | | 4,125,892 | |
DXC Technology Co | | | 11,447 | | | | 638,399 | |
Fidelity National Information Services Inc | | | 14,432 | | | | 1,923,064 | |
First Solar Inc (a) | | | 64,767 | | | | 4,176,824 | |
Fiserv Inc (a) | | | 17,034 | | | | 1,795,895 | |
Intel Corp | | | 198,779 | | | | 10,048,278 | |
International Business Machines Corp | | | 39,231 | | | | 5,815,603 | |
Intuit Inc | | | 11,152 | | | | 3,092,561 | |
Itron Inc (a) | | | 45,441 | | | | 2,817,342 | |
KLA Corp | | | 6,910 | | | | 941,971 | |
Lam Research Corp | | | 6,500 | | | | 1,355,965 | |
Mastercard Inc Cl A | | | 39,526 | | | | 10,761,744 | |
Microsoft Corp | | | 335,061 | | | | 45,658,762 | |
Mitek Systems Inc | | | 202,162 | | | | 2,029,706 | |
NVIDIA Corp | | | 26,050 | | | | 4,395,156 | |
NetApp Inc | | | 10,508 | | | | 614,613 | |
Paychex Inc | | | 14,031 | | | | 1,165,275 | |
Pluralsight Inc Cl A (a) | | | 66,461 | | | | 2,039,688 | |
STMicroelectronics NV | | | 127,942 | | | | 2,334,942 | |
Salesforce.com Inc (a) | | | 32,678 | | | | 5,048,751 | |
Square Inc Cl A (a) | | | 58,898 | | | | 4,735,988 | |
SunPower Corp (a) | | | 168,690 | | | | 1,971,986 | |
Synopsys Inc (a) | | | 6,443 | | | | 855,373 | |
Texas Instruments Inc | | | 41,369 | | | | 5,171,539 | |
Universal Display Corp | | | 24,590 | | | | 5,190,457 | |
37
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Information Technology(Continued) | | | | | | |
VMware Inc Cl A | | | 3,675 | | | $ | 641,251 | |
Visa Inc Cl A | | | 76,703 | | | | 13,653,134 | |
WEX Inc (a) | | | 1,916 | | | | 417,822 | |
Walt Disney Co/The | | | 79,589 | | | | 11,382,023 | |
| | | | | | | | |
| | | | | | | 238,273,438 | |
| | | | | | | | |
| | |
| Materials – 2.0% | | | | | | |
Air Products & Chemicals Inc | | | 9,822 | | | | 2,242,068 | |
Avery Dennison Corp | | | 3,500 | | | | 402,045 | |
Ecolab Inc | | | 11,448 | | | | 2,309,405 | |
International Paper Co | | | 17,100 | | | | 750,861 | |
Linde PLC | | | 24,224 | | | | 4,633,567 | |
Nucor Corp | | | 12,992 | | | | 706,505 | |
PPG Industries Inc | | | 10,342 | | | | 1,214,047 | |
Sherwin-Williams Co/The | | | 3,664 | | | | 1,879,779 | |
Vulcan Materials Co | | | 6,144 | | | | 850,022 | |
Westrock Co | | | 10,985 | | | | 396,009 | |
| | | | | | | | |
| | | | | | | 15,384,308 | |
| | | | | | | | |
| | |
| Real Estate – 3.3% | | | | | | |
Alexandria Real Estate Equities Inc | | | 4,981 | | | | 729,019 | |
American Tower Corp | | | 19,715 | | | | 4,172,088 | |
Apartment Investment & Management Co Cl A | | | 6,203 | | | | 307,297 | |
Boston Properties Inc | | | 7,146 | | | | 950,061 | |
CBRE Group Inc Cl A (a) | | | 13,922 | | | | 738,005 | |
Crown Castle International Corp | | | 18,522 | | | | 2,468,242 | |
Digital Realty Trust Inc | | | 9,592 | | | | 1,096,941 | |
Duke Realty Corp | | | 15,500 | | | | 516,615 | |
Equinix Inc | | | 3,742 | | | | 1,878,858 | |
Extra Space Storage Inc | | | 5,300 | | | | 595,667 | |
Federal Realty Investment Trust | | | 3,100 | | | | 409,231 | |
Host Hotels & Resorts Inc | | | 31,322 | | | | 544,690 | |
Iron Mountain Inc | | | 12,200 | | | | 358,802 | |
Liberty Property Trust | | | 6,200 | | | | 324,260 | |
Mid-America Apartment Communities Inc | | | 4,900 | | | | 577,416 | |
Prologis Inc | | | 28,035 | | | | 2,259,901 | |
Public Storage | | | 6,677 | | | | 1,620,909 | |
Realty Income Corp | | | 14,121 | | | | 977,314 | |
Regency Centers Corp | | | 7,885 | | | | 525,930 | |
SBA Communications Corp (a) | | | 5,007 | | | | 1,228,768 | |
UDR Inc | | | 13,169 | | | | 606,564 | |
Ventas Inc | | | 15,663 | | | | 1,053,963 | |
Welltower Inc | | | 18,071 | | | | 1,502,062 | |
| | | | | | | | |
| | | | | | | 25,442,603 | |
| | | | | | | | |
| | |
| Utilities – 1.0% | | | | | | |
Alliant Energy Corp | | | 10,100 | | | | 500,354 | |
Avangrid Inc | | | 2,547 | | | | 128,751 | |
Consolidated Edison Inc | | | 14,861 | | | | 1,262,591 | |
38
DOMINI IMPACT EQUITY FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| SECURITY | | SHARES | | | VALUE | |
| Utilities(Continued) | | | | | | |
Eversource Energy | | | 14,158 | | | $ | 1,074,026 | |
National Grid PLC ADR | | | 30,482 | | | | 1,567,994 | |
Pattern Energy Group Inc Cl A | | | 3,600 | | | | 82,548 | |
Red Electrica Corp SA ADR | | | 37,300 | | | | 349,501 | |
SSE PLC ADR | | | 43,400 | | | | 588,070 | |
Terna Rete Elettrica Nazionale SpA ADR | | | 20,500 | | | | 371,255 | |
TerraForm Power Inc Cl A | | | 133,329 | | | | 2,054,600 | |
| | | | | | | | |
| | | | | | | 7,979,690 | |
| | | | | | | | |
| | |
| Total Investments – 100.5%(Cost $641,085,712) (b) | | | | | 772,398,425 | |
| | |
| Other Liabilities, less assets – (0.5%) | | | | | (3,483,580) | |
| | | | | | | | |
| | |
| Net Assets – 100.0% | | | | | $768,914,845 | |
| | | | | | | | |
(a)Non-income producing security.
(b) The aggregate cost for federal income tax purposes is $643,588,527. The aggregate gross unrealized appreciation is $147,543,481 and the aggregate gross unrealized depreciation is $18,733,583, resulting in net unrealized appreciation of $128,809,898.
ADR — American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS
39
DOMINI IMPACT BOND FUND
Performance Commentary (Unaudited)
The Fund invests primarily in investment-grade fixed-income securities, including government, corporate, mortgage-backed and asset-backed securities, and U.S. dollar-denominated bonds issued bynon-U.S. entities. It is managed through atwo-step process designed to capitalize on the strengths of Domini Impact Investments and Wellington Management Company. Domini sets social and environmental guidelines and objectives for each asset class, and develops an approved universe of issuers and securities, and Wellington utilizes proprietary analytical tools to manage the portfolio.
Market Overview:
U.S. fixed-income markets largely generated positive total returns over the twelve-month period ended July 31, 2019, with U.S. Treasury yields declining following the Federal Reserve’s (Fed) pivot toward more accommodative monetary policy. The Bloomberg Barclays U.S. Aggregate (BBUSA) Bond Index returned 8.08% for the twelve months.
Early in the period, sovereign yields generally moved higher, driven by continued global growth momentum and rising inflation expectations. They declined later in the period, however, amid deteriorating global growth and dovish central bank policies. These declines helped drive positive returns across most major fixed-income markets. High-yield sectors generally outperformed, including investment-grade corporate credit, U.S.-dollar-denominated emerging-market debt, asset-backed securities, and high-yield credit. Credit spreads — the difference in yield between bonds with different credit qualities — remained fairly stable over the period, indicating that risk appetites among fixed-income investors remained largely unchanged. Generally solid U.S. economic data and strong corporate earnings offset concerns over the growth in corporate debt driven by a pickup inmergers-and-acquisitions activity.
Global economic momentum slowed over the last few months of the period but generally remained supportive. In the U.S., the labor market was strong, with unemployment hitting a50-year low. Gross domestic product (GDP) growth exceeded expectations in the second quarter of 2019 but declined from the prior quarter. Housing activity was mixed, and consumer confidence waned at the end of the period beneath the weight of escalating trade tensions. Eurozone manufacturing activity slipped into contractionary territory during the first quarter of 2019 due to sharp drops in output and new orders, and China’s economy grew at the slowest pace since the early 1990s during the second quarter, with the ongoing trade war taking a toll on manufacturing and services activity.
After continuing along a hawkish path for most of 2018, global monetary policy took a dovish pivot in 2019 amid more tepid economic data, trade policy uncertainty, and low inflation. The Fed cut rates in July for the first time since
40
2008, and the European Central Bank, the Bank of Japan, and the People’s Bank of China all pursued more accommodative policies.
Portfolio Performance:
The Domini Impact Bond Fund Investor shares returned 7.77% for the twelve-month period ended July 31, 2019, versus the BBUSA Bond Index return of 8.08%.
Throughout the period, the Fund remained underweight relative to the benchmark for investment-grade corporate credit in favor of high-yield credit and bank loans, where the submanager saw more attractive risk/reward profiles. These allocations contributed positively to relative results, particularly in the industrials sector. Positioning within investment-grade credit was also additive to performance, with an overweight to taxable municipals and positions within the banking and communication sectors positively impacting results.
The Fund’s positioning within mortgage- and asset-backed securities also contributed positively. An allocation to FNMA (“Fannie Mae”) Delegated Underwriting and Servicing (DUS) bonds, which help financelow- and verylow-income housing across the U.S., was particularly additive. Positioning within agency mortgage-backed securities (MBS) slightly benefited relative results overall, as a positive impact from collateralized mortgage obligations (CMOs) was mostly offset by a negative impact from positioning within agency passthrough securities, which serve as a contract to purchase an unspecified MBS pool at a future date.
During the period, the Fund’s submanager used derivatives to help with the implementation of the overall investment strategy and to hedge against certain risks and changes in market conditions. These included credit default swaps (CDS), interest rate swaps, consumer price index (CPI) swaps, and currency futures. The Fund’s positioning in CDS, used to manage risk exposures, detracted from relative performance. CPI swaps, used to position the Fund for rising inflation expectations, also detracted from relative results, as inflation expectations declined over the period. The Fund’s duration and yield-curve positioning also detracted, particularly during the second half of the period when yields declined.
As of the end of the period, the Fund remained positioned for rising inflation expectations, as the submanager continued to believe the market was underpricing inflation risks. The Fund was underweight to government bonds and investment-grade corporate bonds in favor of taxable municipals and high-quality securitized sectors, including CMBS and agency MBS. The Fund also maintained an allocation to high-yield corporate credit and bank loans and had select exposure to emerging-market corporate debt.
41
PORTFOLIO COMPOSITION (% OF NET ASSETS) (Unaudited)
During periods of rising interest rates, bond funds can lose value. Some of the Fund’s community development investments may be unrated and may carry greater risks than the Fund’s other holdings. The Fund currently holds a large percentage of its portfolio in mortgage-backed securities. During periods of falling interest rates these securities may prepay the principal due, which may lower the Fund’s return by causing it to reinvest at lower interest rates.
Investments in derivatives can be volatile. Potential risks include currency risk, leverage risk (the risk that small market movements may result in large changes in the value of an investment), liquidity risk, index risk, pricing risk, and counterparty risk (the risk that the counterparty may be unwilling or unable to honor its obligations). TBA (To Be Announced) securities involve the risk that the security the Fund buys will lose value prior to its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will not meet its obligation, which can adversely affect the Fund’s returns.
The reduction or withdrawal of historical financial market support activities by the U.S. Government and Federal Reserve, or other governments/central banks could negatively impact financial markets generally, and increase market, liquidity and interest rate risks which could adversely affect the Fund’s returns.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
42
| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Investor shares | | Bloomberg
Barclays
U.S. Aggregate
Index |
| | | |
| As of 7/31/19 | | 1 Year | | 7.77% | | 8.08% |
| | | |
| | 5 Year | | 2.80% | | 3.05% |
| | | |
| | | 10 Year | | 2.86% | | 3.75% |
Comparison of $10,000 Investment in the Domini Impact Bond Fund Investor Shares (DSBFX) and BBUSA (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-582-6757 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled: 1.14% (gross)/ 0.87% (net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor share expenses to 0.87% until November 30, 2019 absent an earlier modification approved by the Fund’s Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Domini Impact Bond Fund is not a bank deposit and is not insured. The Fund is subject to credit, interest rate, liquidity, impact investing and market risks. You may lose money.
TBA (To Be Announced) securities involve the risk that the security the Fund buys will lose value prior to its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will not meet its obligation, which can adversely affect the Fund’s returns.
The Bloomberg Barclays U.S. Aggregate Index is an index representing securities that are U.S. domestic, taxable, and dollar denominated and covering the U.S. investment grade fixed rate bond market, with index components for government and corporate securities and asset-backed securities. You cannot invest directly in an index.
43
| | | | | | |
| |
| AVERAGE ANNUAL TOTAL RETURNS (Unaudited) |
| | |
| | | Institutional shares | | Bloomberg
Barclays
U.S. Aggregate
Index |
| | | |
| As of 7/31/19 | | 1 Year | | 8.06% | | 8.08% |
| | | |
| | 5 Year | | 3.07% | | 3.05% |
| | | |
| | | 10 Year* | | 2.86% | | 3.75% |
Comparison of $500,000 Investment in the Domini Impact Bond Fund Institutional Shares (DSBIX) and BBUSA* (Unaudited)
Past performance is no guarantee of future results.The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call1-800-762-6814 or visit www.domini.com for performance information current to the most recentmonth-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated December 1, 2018, the Fund’s annual operating expenses totaled: 1.03% (gross)/ 0.57% (net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor and Institutional share expenses to 0.57% until November 30, 2019 absent an earlier modification approved by the Fund’s Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Domini Impact Bond Fund is not a bank deposit and is not insured. The Fund is subject to credit, interest rate, liquidity, impact investing and market risks. You may lose money.
TBA (To Be Announced) securities involve the risk that the security the Fund buys will lose value prior to its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will not meet its obligation, which can adversely affect the Fund’s returns.
The Bloomberg Barclays U.S. Aggregate Index is an index representing securities that are U.S. domestic, taxable, and dollar denominated and covering the U.S. investment grade fixed rate bond market, with index components for government and corporate securities and asset-backed securities. You cannot invest directly in an index.
* Institutional shares were not offered prior to 11/30/2011. All performance information for time periods beginning prior to 11/30/2011 is the performance of the Investor shares, which has not been adjusted to reflect the lower expenses of the Institutional shares.
44
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
| Long Term Investments – 107.7% | | | | | | |
| Mortgage Backed Securities – 60.3% | | | | | | |
Agency Collateralized Mortgage Obligations – 4.8% | | | | | | | | |
Fannie Mae Connecticut Avenue Securities | | | | | | | | |
1 mo. USD LIBOR + 3.55%, 5.816%, VR, 7/25/2029 | | | 120,000 | | | $ | 126,850 | |
1 mo. USD LIBOR + 4.35%, 6.616%, VR, 5/25/2029 | | | 229,380 | | | | 245,293 | |
FHMS KBF1 A, 1 mo. USD LIBOR + 0.39%, 2.788%, VR, 7/25/2024 | | | 748,000 | | | | 748,859 | |
FHMS KW06 A1, 3.800%, VR, 2/25/2027 (f) | | | 797,184 | | | | 853,304 | |
FHR 3768 CB, 3.500%, 12/15/2025 | | | 322,308 | | | | 331,157 | |
FHR 3800 CB, 3.500%, 2/15/2026 | | | 383,000 | | | | 402,305 | |
FHR 3806 L, 3.500%, 2/15/2026 | | | 847,000 | | | | 880,870 | |
FHR 3877 LM, 3.500%, 6/15/2026 | | | 780,000 | | | | 807,708 | |
FNR 2012 17 BC, 3.500%, 3/25/2027 | | | 368,000 | | | | 387,566 | |
FNR 2017 72 CD, 3.000%, 9/25/2047 | | | 175,269 | | | | 178,544 | |
FNR 2017 72 B, 3.000%, 9/25/2047 | | | 167,333 | | | | 170,456 | |
FNR 2018 72 BA, 3.500%, 7/25/2054 | | | 257,717 | | | | 264,961 | |
FREMF Mortgage Trust | | | | | | | | |
144A, 3.674%, VR, 11/25/2049 (d)(f) | | | 250,000 | | | | 256,337 | |
144A, 3.674%, VR, 11/25/2049 (d)(f) | | | 90,000 | | | | 90,244 | |
144A, 3.726%, VR, 10/25/2049 (d)(f) | | | 40,000 | | | | 39,885 | |
144A, 3.844%, VR, 10/25/2049 (d)(f) | | | 90,000 | | | | 93,379 | |
144A, 3.880%, VR, 2/25/2050 (d)(f) | | | 100,000 | | | | 102,863 | |
144A, 3.944%, VR, 9/25/2049 (d)(f) | | | 85,000 | | | | 88,911 | |
144A, 3.981%, VR, 5/25/2050 (d)(f) | | | 70,000 | | | | 73,533 | |
144A, 4.022%, VR, 11/25/2032 (d)(f) | | | 67,000 | | | | 64,754 | |
144A, 4.073%, VR, 7/25/2050 (d)(f) | | | 155,000 | | | | 163,537 | |
144A, 4.081%, VR, 10/25/2031 (d)(f) | | | 461,000 | | | | 454,915 | |
144A, 3.753%, VR, 11/25/2050 (d)(f) | | | 220,000 | | | | 226,164 | |
144A, 3.753%, VR, 11/25/2050 (d)(f) | | | 65,000 | | | | 64,087 | |
144A, 3.972%, VR, 7/25/2049 (d)(f) | | | 175,000 | | | | 181,523 | |
144A, 4.036%, VR, 7/25/2027 (d)(f) | | | 136,000 | | | | 143,072 | |
STACR 2018 HRP1 M2 144A, 4.054%, VR, 4/25/2043 (d)(f) | | | 96,048 | | | | 96,572 | |
| | | | | | | | |
| | | | | | | 7,537,649 | |
| | | | | | | | |
| | | | | | | | |
Commercial Mortgage Backed Securities – 5.0% | | | | | | | | |
BWAY Mortgage Trust 144A, 2.809%, 3/10/2033 (d) | | | 132,627 | | | | 134,351 | |
Commercial Mortgage Trust | | | | | | | | |
144A, 3.424%, 3/10/2031 (d) | | | 640,000 | | | | 664,529 | |
144A, 3.726%, 3/10/2031 (d) | | | 644,000 | | | | 674,904 | |
GS Mortgage Securities Trust 144A,
1 mo. USD LIBOR + 0.70%, 3.025%, VR, 7/15/2032 (d) | | | 395,000 | | | | 394,628 | |
Hudson Yards 144A, 2.835%, 8/10/2038 (d) | | | 1,000,000 | | | | 1,015,653 | |
JP Morgan Chase Commercial Mortgage 144A, 4.128%, 7/5/2031 (d) | | | 555,000 | | | | 591,692 | |
Madison Avenue Trust 144A, 3.188%, VR, 8/15/2034 (d)(f) | | | 729,000 | | | | 750,881 | |
Morgan Stanley BAML Trust | | | | | | | | |
3.526%, 12/15/2047 | | | 180,167 | | | | 189,357 | |
4.051%, 4/15/2047 | | | 300,000 | | | | 320,166 | |
4.259%, VR, 10/15/2046 (f) | | | 300,000 | | | | 321,453 | |
45
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
Commercial Mortgage Backed Securities(Continued) | | | | | | | | |
Morgan Stanley Capital I Trust 144A,
3.025%, VR, 11/15/2034 (d)(f) | | | 531,000 | | | $ | 531,420 | |
OBP Depositor LLC Trust 144A, 4.646%, 7/15/2045 (d) | | | 806,000 | | | | 812,709 | |
One Market Plaza Trust 144A, 3.614%, 2/10/2032 (d) | | | 710,000 | | | | 738,969 | |
Park Avenue Trust 144A, 3.508%, 6/5/2037 (d) | | | 712,000 | | | | 752,178 | |
| | | | | | | | |
| | | | | | | 7,892,890 | |
| | | | | | | | |
| | | | | | | | |
Federal Home Loan Mortgage Corporation – 4.6% | | | | | | | | |
849167, 2.867%, VR, 10/1/2043 (c)(f) | | | 235,204 | | | | 238,175 | |
A12413, 5.000%, 8/1/2033 (c) | | | 20,994 | | | | 22,932 | |
A37619, 4.500%, 9/1/2035 (c) | | | 161,490 | | | | 174,199 | |
A87874, 4.000%, 8/1/2039 (c) | | | 60,523 | | | | 64,215 | |
A89148, 4.000%, 10/1/2039 (c) | | | 94,543 | | | | 100,337 | |
A89384, 4.000%, 10/1/2039 (c) | | | 117,982 | | | | 125,175 | |
A89729, 4.000%, 11/1/2039 (c) | | | 53,642 | | | | 56,917 | |
A93101, 5.000%, 7/1/2040 (c) | | | 89,687 | | | | 98,041 | |
A93996, 4.500%, 9/1/2040 (c) | | | 42,560 | | | | 45,976 | |
A94362, 4.000%, 10/1/2040 (c) | | | 143,742 | | | | 152,530 | |
A94742, 4.000%, 11/1/2040 (c) | | | 24,605 | | | | 26,108 | |
A95084, 4.000%, 11/1/2040 (c) | | | 20,685 | | | | 22,025 | |
A95085, 4.000%, 11/1/2040 (c) | | | 181,006 | | | | 192,080 | |
A95796, 4.000%, 12/1/2040 (c) | | | 88,586 | | | | 94,003 | |
A97047, 4.500%, 2/1/2041 (c) | | | 87,208 | | | | 94,213 | |
G01779, 5.000%, 4/1/2035 (c) | | | 26,233 | | | | 28,846 | |
G01828, 4.500%, 4/1/2035 (c) | | | 124,054 | | | | 134,009 | |
G01837, 5.000%, 7/1/2035 (c) | | | 171,922 | | | | 189,020 | |
G01838, 5.000%, 7/1/2035 (c) | | | 29,535 | | | | 32,471 | |
G02424, 5.500%, 12/1/2036 (c) | | | 114,125 | | | | 127,804 | |
G04997, 5.000%, 1/1/2037 (c) | | | 105,434 | | | | 115,459 | |
G05052, 5.000%, 10/1/2033 (c) | | | 11,121 | | | | 12,078 | |
G06079, 6.000%, 7/1/2039 (c) | | | 98,730 | | | | 112,524 | |
G06990, 5.500%, 8/1/2040 (c) | | | 157,096 | | | | 173,887 | |
G08347, 4.500%, 6/1/2039 (c) | | | 273,195 | | | | 295,047 | |
G08499, 3.000%, 7/1/2042 (c) | | | 73,685 | | | | 75,152 | |
G08816, 3.500%, 6/1/2048 (c) | | | 2,810,259 | | | | 2,889,277 | |
G14599, 2.500%, 11/1/2027 (c) | | | 157,980 | | | | 159,327 | |
G30614, 3.500%, 12/1/2032 (c) | | | 263,453 | | | | 273,961 | |
J17791, 3.000%, 1/1/2027 (c) | | | 216,728 | | | | 221,476 | |
J20118, 2.500%, 8/1/2027 (c) | | | 57,719 | | | | 58,211 | |
Q00291, 5.000%, 4/1/2041 (c) | | | 72,778 | | | | 79,556 | |
Q01807, 4.500%, 7/1/2036 (c) | | | 114,399 | | | | 123,249 | |
Q06160, 4.000%, 2/1/2037 (c) | | | 58,786 | | | | 61,833 | |
Q17103, 4.000%, 6/1/2041 (c) | | | 12,801 | | | | 13,293 | |
Q33602, 3.000%, 5/1/2045 (c) | | | 509,748 | | | | 519,127 | |
Z40004, 6.000%, 8/1/2036 (c) | | | 17,314 | | | | 19,697 | |
| | | | | | | | |
| | | | | | | 7,222,230 | |
| | | | | | | | |
| | | | | | | | |
46
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
Federal National Mortgage Association – 38.3% | | | | | | | | |
190370, 6.000%, 6/1/2036 (c) | | | 80,688 | | | $ | 91,892 | |
745044, 4.500%, 8/1/2035 (c) | | | 36,644 | | | | 39,535 | |
745327, 6.000%, 3/1/2036 (c) | | | 230,667 | | | | 262,710 | |
889529, 6.000%, 3/1/2038 (c) | | | 36,846 | | | | 41,967 | |
890248, 6.000%, 8/1/2037 (c) | | | 20,938 | | | | 23,831 | |
930672, 4.500%, 3/1/2039 (c) | | | 135,179 | | | | 145,784 | |
932441, 4.000%, 1/1/2040 (c) | | | 441,471 | | | | 467,946 | |
995082, 5.500%, 8/1/2037 (c) | | | 72,647 | | | | 81,370 | |
995243, 4.500%, 8/1/2038 (c) | | | 96,183 | | | | 103,728 | |
AA9846, 4.000%, 8/1/2039 (c) | | | 60,751 | | | | 64,393 | |
AB1343, 4.500%, 8/1/2040 (c) | | | 128,720 | | | | 139,001 | |
AB1763, 4.000%, 11/1/2030 (c) | | | 25,656 | | | | 26,847 | |
AB4168, 3.500%, 1/1/2032 (c) | | | 239,030 | | | | 248,408 | |
AB6472, 2.000%, 10/1/2027 (c) | | | 207,009 | | | | 206,123 | |
AC1877, 4.500%, 9/1/2039 (c) | | | 56,999 | | | | 61,498 | |
AC2817, 4.000%, 10/1/2039 (c) | | | 37,056 | | | | 39,283 | |
AC5401, 5.000%, 10/1/2039 (c) | | | 5,986 | | | | 6,535 | |
AC9564, 4.500%, 2/1/2040 (c) | | | 55,732 | | | | 60,168 | |
AD1649, 4.000%, 3/1/2040 (c) | | | 65,061 | | | | 69,004 | |
AD8033, 4.000%, 8/1/2040 (c) | | | 22,289 | | | | 23,638 | |
AE0215, 4.000%, 12/1/2039 (c) | | | 54,710 | | | | 57,993 | |
AE0216, 4.000%, 8/1/2040 (c) | | | 124,721 | | | | 132,276 | |
AE0624, 4.000%, 11/1/2040 (c) | | | 52,214 | | | | 55,573 | |
AE0625, 4.000%, 12/1/2040 (c) | | | 75,314 | | | | 80,455 | |
AE4113, 4.000%, 10/1/2040 (c) | | | 40,310 | | | | 42,751 | |
AE4192, 4.000%, 10/1/2040 (c) | | | 202,439 | | | | 214,704 | |
AE5143, 4.000%, 11/1/2040 (c) | | | 31,034 | | | | 32,914 | |
AI7951, 4.500%, 8/1/2036 (c) | | | 44,105 | | | | 47,485 | |
AJ5974, 4.000%, 12/1/2036 (c) | | | 40,087 | | | | 42,521 | |
AL0005, 4.500%, 1/1/2041 (c) | | | 47,847 | | | | 51,664 | |
AL0049, 6.000%, 12/1/2035 (c) | | | 40,080 | | | | 45,505 | |
AL1627, 4.500%, 9/1/2041 (c) | | | 83,828 | | | | 90,516 | |
AM5197, 4.200%, 1/1/2030 (c) | | | 1,144,727 | | | | 1,285,723 | |
AM6266, 3.580%, 7/1/2030 (c) | | | 944,426 | | | | 1,014,910 | |
AM7507, 3.080%, 12/1/2024 (c) | | | 1,011,036 | | | | 1,050,552 | |
AM7598, 3.070%, 12/1/2024 | | | 1,347,900 | | | | 1,400,141 | |
AM7903, 3.380%, 1/1/2027 | | | 650,802 | | | | 692,383 | |
AM8148, 2.680%, 3/1/2027 | | | 976,813 | | | | 996,134 | |
AM8659, 2.880%, 4/1/2031 (c) | | | 1,226,362 | | | | 1,245,754 | |
AM9154, 3.180%, 6/1/2030 (c) | | | 1,022,239 | | | | 1,073,427 | |
AM9218, 3.390%, 9/1/2030 | | | 934,832 | | | | 992,321 | |
AN1410, 3.010%, 5/1/2028 | | | 453,058 | | | | 472,417 | |
AN1767, 2.980%, 6/1/2031 (c) | | | 945,775 | | | | 972,685 | |
AN1840, 2.450%, 6/1/2026 | | | 1,443,359 | | | | 1,454,369 | |
AN2787, 2.600%, 9/1/2028 (c) | | | 1,133,988 | | | | 1,144,911 | |
AN2791, 2.440%, 9/1/2026 | | | 1,087,654 | | | | 1,095,294 | |
AN3383, 2.550%, 11/1/2028 | | | 800,000 | | | | 802,297 | |
AN4301, 3.150%, 1/1/2027 (c) | | | 2,109,700 | | | | 2,217,947 | |
47
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
Federal National Mortgage Association(Continued) | | | | | | | | |
AN5557, 2.900%, 5/1/2027 | | | 1,446,639 | | | $ | 1,496,271 | |
AN6744, 2.940%, 9/1/2027 (c) | | | 1,480,739 | | | | 1,535,512 | |
AN7300, 3.290%, 11/1/2027 (c) | | | 1,206,105 | | | | 1,279,990 | |
AN7540, 2.910%, 11/1/2027 (c) | | | 1,500,000 | | | | 1,553,169 | |
AN8121, 3.160%, 1/1/2035 | | | 1,500,000 | | | | 1,543,616 | |
AN9459, 3.470%, 7/1/2028 | | | 788,079 | | | | 846,236 | |
AN9483, 3.430%, 6/1/2028 | | | 790,223 | | | | 842,521 | |
AP9592, 3.500%, 10/1/2032 (c) | | | 186,157 | | | | 193,466 | |
AR1524, 2.000%, 1/1/2028 (c) | | | 173,205 | | | | 172,462 | |
AS3608, 2.500%, 12/1/2043 (c) | | | 313,869 | | | | 311,454 | |
AS8449, 2.500%, 12/1/2031 (c) | | | 33,661 | | | | 33,869 | |
AW4685, 2.611%, VR, 5/1/2044 (c)(f) | | | 89,559 | | | | 90,643 | |
AY3370, 2.500%, 4/1/2045 (c) | | | 229,299 | | | | 226,611 | |
BC1171, 3.500%, 6/1/2046 (c) | | | 1,531,966 | | | | 1,581,832 | |
BD1153, 3.000%, 8/1/2046 (c) | | | 90,032 | | | | 91,375 | |
BD1165, 3.000%, 10/1/2046 (c) | | | 1,391,142 | | | | 1,411,872 | |
BE1416, 2.500%, 11/1/2031 (c) | | | 153,210 | | | | 154,147 | |
BE4435, 3.000%, 11/1/2046 (c) | | | 1,991,174 | | | | 2,025,941 | |
BE8063, 3.000%, 12/1/2046 (c) | | | 685,583 | | | | 697,502 | |
BJ6137, 3.500%, 1/1/2048 (c) | | | 1,433,062 | | | | 1,483,191 | |
BL1840, 3.620%, 3/1/2031 | | | 2,000,000 | | | | 2,180,026 | |
MA0639, 4.000%, 2/1/2041 (c) | | | 104,873 | | | | 111,235 | |
MA0919, 3.500%, 12/1/2031 (c) | | | 13,355 | | | | 13,877 | |
MA0949, 3.500%, 1/1/2032 (c) | | | 132,976 | | | | 138,182 | |
MA1630, 4.000%, 10/1/2033 (c) | | | 138,357 | | | | 145,940 | |
MA1931, 2.500%, 6/1/2024 (c) | | | 326,688 | | | | 328,662 | |
FNMA TBA 30 Yr, 3.500%, 9/25/2048 (b) | | | 6,616,000 | | | | 6,777,265 | |
FNMA TBA 30 Yr, 4.000%, 9/25/2048 (b) | | | 5,800,000 | | | | 6,004,206 | |
FNMA TBA 15 Yr, 3.000%, 8/25/2033 (b) | | | 3,600,000 | | | | 3,671,347 | |
FNMA TBA 15 Yr, 2.500%, 5/25/2034 (b) | | | 2,600,000 | | | | 2,615,037 | |
| | | | | | | | |
| | | | | | | 60,566,740 | |
| | | | | | | | |
| | | | | | | | |
Government National Mortgage Association – 7.6% | | | | | | | | |
GNMA II TBA 30 Yr, 3.500%, 10/20/2048 (b) | | | 5,300,000 | | | | 5,480,738 | |
GNMA II TBA 30 Yr, 3.000%, 4/20/2049 (b) | | | 1,700,000 | | | | 1,737,619 | |
GNMA II TBA 30 Yr, 3.000%, 4/20/2049 (b) | | | 1,600,000 | | | | 1,633,469 | |
GNMA II TBA 30 Yr, 4.000%, 10/20/2048 (b) | | | 1,100,000 | | | | 1,142,582 | |
GNMA II TBA 30 Yr, 4.000%, 10/20/2048 (b) | �� | | 1,100,000 | | | | 1,142,238 | |
GNMA II TBA 30 Yr, 4.500%, 10/20/2048 (b) | | | 900,000 | | | | 937,407 | |
| | | | | | | | |
| | | | | | | 12,074,053 | |
| | | | | | | | |
Total Mortgage Backed Securities
(Cost $93,717,495) | | | | | | | 95,293,562 | |
| | | | | | | | |
| | | | | | | | |
| Corporate Bonds and Notes – 27.6% | | | | | | |
Communications – 2.6% | | | | | | | | |
AT&T Inc | | | | | | | | |
3.950%, 1/15/2025 | | | 445,000 | | | | 470,184 | |
4.750%, 5/15/2046 | | | 715,000 | | | | 757,021 | |
48
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
Communications(Continued) | | | | | | | | |
CBS Corp, 2.900%, 1/15/2027 | | | 400,000 | | | $ | 390,283 | |
Charter Communications Operating LLC / Charter Communications Operating Capital senior secured note | | | | | | | | |
5.750%, 4/1/2048 | | | 225,000 | | | | 247,271 | |
6.484%, 10/23/2045 | | | 300,000 | | | | 354,667 | |
Cox Communications Inc | | | | | | | | |
144A, 3.150%, 8/15/2024 (d) | | | 165,000 | | | | 168,039 | |
144A, 3.850%, 2/1/2025 (d) | | | 10,000 | | | | 10,485 | |
144A, 4.800%, 2/1/2035 (d) | | | 250,000 | | | | 257,449 | |
Gray Television Inc 144A, 5.875%, 7/15/2026 (d) | | | 200,000 | | | | 208,000 | |
Verizon Communications Inc | | | | | | | | |
3.376%, 2/15/2025 | | | 57,000 | | | | 59,485 | |
3.875%, 2/8/2029 | | | 210,000 | | | | 226,364 | |
144A, 4.016%, 12/3/2029 (d) | | | 370,000 | | | | 401,682 | |
Vodafone Group PLC | | | | | | | | |
4.375%, 2/19/2043 | | | 400,000 | | | | 404,289 | |
6.150%, 2/27/2037 | | | 185,000 | | | | 227,138 | |
| | | | | | | | |
| | | | | | | 4,182,357 | |
| | | | | | | | |
| | | | | | | | |
Consumer Discretionary – 4.5% | | | | | | | | |
Alibaba Group Holding Ltd, 2.800%, 6/6/2023 | | | 200,000 | | | | 201,331 | |
Amazon.com Inc | | | | | | | | |
3.875 %, 8/22/2037 | | | 200,000 | | | | 221,813 | |
4.800%, 12/5/2034 | | | 325,000 | | | | 399,410 | |
Aptiv Corp, 4.150%, 3/15/2024 | | | 401,000 | | | | 421,243 | |
AutoNation Inc, 5.500%, 2/1/2020 | | | 500,000 | | | | 506,486 | |
Boston Medical Center Corp, 4.519%, 7/1/2026 | | | 705,000 | | | | 744,685 | |
eBay Inc, 3.600%, 6/5/2027 | | | 195,000 | | | | 200,552 | |
ERAC USA Finance LLC 144A, 3.850%, 11/15/2024 (d) | | | 500,000 | | | | 528,145 | |
Home Depot Inc/The, 5.950%, 4/1/2041 | | | 420,000 | | | | 575,133 | |
Lennar Corp, 4.125%, 1/15/2022 | | | 245,000 | | | | 251,125 | |
Marriott International Inc/MD, 2.875%, 3/1/2021 | | | 1,025,000 | | | | 1,030,305 | |
Northeastern University, 5.285%, 3/1/2032 | | | 100,000 | | | | 117,359 | |
O’Reilly Automotive Inc, 3.800%, 9/1/2022 | | | 155,000 | | | | 160,390 | |
Starbucks Corp | | | | | | | | |
3.750%, 12/1/2047 | | | 275,000 | | | | 271,712 | |
4.450%, 8/15/2049 | | | 750,000 | | | | 825,414 | |
Toll Brothers Finance Corp, 4.350%, 2/15/2028 | | | 600,000 | | | | 608,700 | |
| | | | | | | | |
| | | | | | | 7,063,803 | |
| | | | | | | | |
| | | | | | | | |
Consumer Staples – 0.3% | | | | | | | | |
JM Smucker Co/The, 4.250%, 3/15/2035 | | | 380,000 | | | | 395,590 | |
| | | | | | | | |
| | | | | | | 395,590 | |
| | | | | | | | |
| | | | | | | | |
Financials – 12.2% | | | | | | | | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.500%, 5/26/2022 | | | 775,000 | | | | 788,222 | |
49
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
Financials(Continued) | | | | | | | | |
AIA Group Ltd 144A, 4.500%, 3/16/2046 (d) | | | 325,000 | | | $ | 373,158 | |
Air Lease Corp, 3.625%, 12/1/2027 | | | 500,000 | | | | 506,332 | |
American International Group Inc, 3.900%, 4/1/2026 | | | 380,000 | | | | 401,215 | |
American Tower Corp | | | | | | | | |
3.375%, 5/15/2024 | | | 235,000 | | | | 241,769 | |
5.000%, 2/15/2024 | | | 362,000 | | | | 397,428 | |
Aon PLC, 4.750%, 5/15/2045 | | | 500,000 | | | | 572,934 | |
AXA SA subordinated note, 8.600%, 12/15/2030 | | | 400,000 | | | | 574,971 | |
Bank of America Corp, 3 mo. USD LIBOR + 1.30%, 3.124%, VR, 1/20/2023 | | | 1,275,000 | | | | 1,294,350 | |
BB&T Corp subordinated note, 3.875%, 3/19/2029 | | | 575,000 | | | | 614,562 | |
BNP Paribas SA 144A, 3.800%, 1/10/2024 (d) | | | 245,000 | | | | 254,808 | |
Boston Properties LP | | | | | | | | |
3.650%, 2/1/2026 | | | 430,000 | | | | 450,623 | |
4.500%, 12/1/2028 | | | 500,000 | | | | 560,973 | |
BPCE SA | | | | | | | | |
2.250%, 1/27/2020 | | | 500,000 | | | | 499,616 | |
144A, 3.000%, 5/22/2022 (d) | | | 250,000 | | | | 252,523 | |
144A, 4.875%, 4/1/2026 (d) | | | 500,000 | | | | 540,847 | |
Brandywine Operating Partnership LP, 4.550%, 10/1/2029 | | | 500,000 | | | | 532,797 | |
Capital One Financial Corp | | | | | | | | |
3.750%, 3/9/2027 | | | 80,000 | | | | 83,186 | |
3.750%, 7/28/2026 | | | 80,000 | | | | 82,029 | |
4.200%, 10/29/2025 | | | 155,000 | | | | 163,032 | |
Citigroup Inc, 3 mo. USD LIBOR + 0.95%, 3.352%, VR, 4/24/2025 | | | 475,000 | | | | 488,079 | |
Cooperatieve Rabobank UA | | | | | | | | |
3.950%, 11/9/2022 | | | 375,000 | | | | 389,054 | |
144A, 3.875%, 9/26/2023 (d) | | | 250,000 | | | | 262,983 | |
Credit Agricole SA/London 144A, 4.125%, 1/10/2027 (d) | | | 510,000 | | | | 544,447 | |
Crown Castle International Corp, 3.700%, 6/15/2026 | | | 300,000 | | | | 313,706 | |
Discover Financial Services, 3.750%, 3/4/2025 | | | 325,000 | | | | 338,422 | |
Duke Realty LP | | | | | | | | |
3.625%, 4/15/2023 | | | 200,000 | | | | 206,734 | |
4.375%, 6/15/2022 | | | 250,000 | | | | 262,109 | |
Fifth Third Bancorp subordinated note, 8.250%, 3/1/2038 | | | 425,000 | | | | 641,389 | |
Huntington Bancshares Inc/OH, 3.150%, 3/14/2021 | | | 425,000 | | | | 429,618 | |
ING Groep NV | | | | | | | | |
3.950%, 3/29/2027 | | | 200,000 | | | | 212,745 | |
144A, 4.625%, 1/6/2026 (d) | | | 750,000 | | | | 821,882 | |
Kimco Realty Corp, 3.400%, 11/1/2022 | | | 160,000 | | | | 163,746 | |
Liberty Property LP, 3.250%, 10/1/2026 | | | 165,000 | | | | 166,142 | |
Marsh & McLennan Cos Inc, 3.300%, 3/14/2023 | | | 100,000 | | | | 102,762 | |
Morgan Stanley | | | | | | | | |
3.625%, 1/20/2027 | | | 335,000 | | | | 350,389 | |
3.950%, 4/23/2027 | | | 210,000 | | | | 220,049 | |
Nuveen Finance LLC 144A, 4.125%, 11/1/2024 (d) | | | 160,000 | | | | 171,406 | |
Regency Centers LP, 3.750%, 6/15/2024 | | | 300,000 | | | | 312,023 | |
Regions Financial Corp, 3.200%, 2/8/2021 | | | 500,000 | | | | 505,205 | |
50
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
Financials(Continued) | | | | | | | | |
Reinsurance Group of America Inc | | | | | | | | |
3.950%, 9/15/2026 | | | 250,000 | | | $ | 263,356 | |
4.700%, 9/15/2023 | | | 164,000 | | | | 176,566 | |
SBA Tower Trust 144A, 3.168%, 4/9/2047 (d) | | | 290,000 | | | | 292,091 | |
Standard Chartered PLC subordinated note 144A, 5.700%, 3/26/2044 (d) | | | 250,000 | | | | 295,676 | |
Total System Services Inc, 4.000%, 6/1/2023 | | | 375,000 | | | | 391,800 | |
Turkiye Sinai Kalkinma B 144A, 5.500%, 1/16/2023 (d) | | | 200,000 | | | | 187,223 | |
Unum Group, 3.000%, 5/15/2021 | | | 180,000 | | | | 181,053 | |
US Bancorp subordinated note, 3.600%, 9/11/2024 | | | 493,000 | | | | 517,753 | |
Ventas Realty LP, 3.500%, 2/1/2025 | | | 500,000 | | | | 518,729 | |
Welltower Inc, 5.250%, 1/15/2022 | | | 400,000 | | | | 424,388 | |
| | | | | | | | |
| | | | | | | 19,336,900 | |
| | | | | | | | |
| | | | | | | | |
Health Care – 3.0% | | | | | | | | |
Allina Health System, 4.805%, 11/15/2045 | | | 291,000 | | | | 350,869 | |
Amgen Inc, 3.200%, 11/2/2027 | | | 525,000 | | | | 539,108 | |
Biogen Inc, 5.200%, 9/15/2045 | | | 400,000 | | | | 457,253 | |
Celgene Corp, 3.875%, 8/15/2025 | | | 325,000 | | | | 345,896 | |
Children’s Hospital Corp/The, 4.115%, 1/1/2047 | | | 230,000 | | | | 258,973 | |
City of Hope senior secured note, 5.623%, 11/15/2043 | | | 250,000 | | | | 330,125 | |
Dignity Health | | | | | | | | |
4.500%, 11/1/2042 | | | 408,000 | | | | 416,879 | |
5.267%, 11/1/2064 | | | 250,000 | | | | 286,080 | |
Kaiser Foundation Hospitals, 3.150%, 5/1/2027 | | | 185,000 | | | | 191,148 | |
Memorial Sloan-Kettering Cancer Center | | | | | | | | |
4.125%, 7/1/2052 | | | 120,000 | | | | 135,857 | |
4.200%, 7/1/2055 | | | 10,000 | | | | 11,578 | |
New York and Presbyterian Hospital/The, 4.024%, 8/1/2045 | | | 215,000 | | | | 242,457 | |
Ochsner Clinic Foundation, 5.897%, 5/15/2045 | | | 400,000 | | | | 523,501 | |
Orlando Health Obligated Group, 4.416%, 10/1/2044 | | | 395,000 | | | | 442,813 | |
Thermo Fisher Scientific Inc, 4.150%, 2/1/2024 | | | 265,000 | | | | 283,514 | |
| | | | | | | | |
| | | | | | | 4,816,051 | |
| | | | | | | | |
| | | | | | | | |
Industrials – 1.7% | | | | | | | | |
Canadian Pacific Railway Co, 4.500%, 1/15/2022 | | | 400,000 | | | | 419,280 | |
CNH Industrial Capital LLC, 4.875%, 4/1/2021 | | | 750,000 | | | | 777,817 | |
Core & Main LP 144A, 6.125%, 8/15/2025 (d) | | | 45,000 | | | | 46,575 | |
Illinois Tool Works Inc, 4.875%, 9/15/2041 | | | 175,000 | | | | 215,195 | |
Keysight Technologies Inc, 4.550%, 10/30/2024 | | | 500,000 | | | | 533,303 | |
Ryder System Inc, 2.500%, 5/11/2020 | | | 145,000 | | | | 145,063 | |
United Rentals North America Inc, 4.625%, 7/15/2023 | | | 500,000 | | | | 512,985 | |
| | | | | | | | |
| | | | | | | 2,650,218 | |
| | | | | | | | |
| | | | | | | | |
Materials – 0.7% | | | | | | | | |
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc senior secured note 144A, 4.250%, 9/15/2022 (d) | | | 260,000 | | | | 264,680 | |
51
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
Materials(Continued) | | | | | | | | |
Klabin Austria GmbH 144A, 5.750%, 4/3/2029 (d) | | | 480,000 | | | $ | 507,005 | |
WRKCo Inc, 3.000%, 9/15/2024 | | | 375,000 | | | | 377,077 | |
| | | | | | | | |
| | | | | | | 1,148,762 | |
| | | | | | | | |
| | | | | | | | |
Technology – 0.9% | | | | | | | | |
Broadcom Corp / Broadcom Cayman Finance Ltd, 3.625%, 1/15/2024 | | | 355,000 | | | | 358,944 | |
Micron Technology Inc, 4.640%, 2/6/2024 | | | 260,000 | | | | 274,242 | |
Microsoft Corp, 3.700%, 8/8/2046 | | | 5,000 | | | | 5,428 | |
Pitney Bowes Inc, 3.875%, 9/15/2020 | | | 265,000 | | | | 265,000 | |
Xerox Corp, 5.625%, 12/15/2019 | | | 475,000 | | | | 481,650 | |
| | | | | | | | |
| | | | | | | 1,385,264 | |
| | | | | | | | |
| | | | | | | | |
Utilities – 1.7% | | | | | | | | |
Adani Green Energy UP Ltd / Prayatna Developers Pvt Ltd / Parampujya Solar Energy senior secured note 144A, 6.250%, 12/10/2024 (d) | | | 380,000 | | | | 390,992 | |
Aegea Finance Sarl 144A, 5.750%, 10/10/2024 (d) | | | 370,000 | | | | 386,191 | |
Consolidated Edison Co of New York Inc, 4.125%, 5/15/2049 | | | 750,000 | | | | 827,399 | |
Greenko Dutch BV senior secured note 144A,
5.250%, 7/24/2024 (d) | | | 545,000 | | | | 547,785 | |
Public Service Co of Colorado, 4.100%, 6/15/2048 | | | 420,000 | | | | 471,738 | |
| | | | | | | | |
| | | | | | | 2,624,105 | |
| | | | | | | | |
Total Corporate Bonds and Notes
(Cost $41,263,773) | | | | | | | 43,603,050 | |
| | | | | | | | |
| | | | | | | | |
| Municipal Bonds – 7.5% | | | | | | |
American Municipal Power Inc, 6.270%, 2/15/2050 | | | 490,000 | | | | 653,631 | |
Bay Area Toll Authority | | | | | | | | |
6.918%, 4/1/2040 | | | 125,000 | | | | 180,474 | |
7.043%, 4/1/2050 | | | 325,000 | | | | 526,685 | |
City of Chicago IL, 7.375%, 1/1/2033 | | | 112,000 | | | | 132,852 | |
City of Los Angeles Department of Airports,
3.887%, 5/15/2038 | | | 140,000 | | | | 150,101 | |
City of Philadelphia PA Water & Wastewater Revenue, 4.189%, 10/1/2037 | | | 665,000 | | | | 698,110 | |
Cook County Community High School District No 228 Bremen, 5.019%, 12/1/2041 (Insurer: AGM) | | | 435,000 | | | | 522,861 | |
County of Sacramento CA, 5.730%, VR, 8/15/2023 (Insurer: NATL) (f) | | | 340,000 | | | | 377,189 | |
County of San Bernardino CA, 6.020%, 8/1/2023 (Insurer: AGM) | | | 275,000 | | | | 299,657 | |
District of Columbia, 4.125%, 7/1/2027 (e) | | | 500,000 | | | | 523,020 | |
Indiana Finance Authority, 3.624%, 7/1/2036 | | | 235,000 | | | | 247,182 | |
Inland Valley Development Agency, 5.500%, 3/1/2033 (Insurer: AGM) | | | 70,000 | | | | 78,219 | |
52
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
| Municipal Bonds(Continued) | | | | | | |
Lancaster County Hospital Authority/PA | | | | | | | | |
5.000%, 7/1/2024 | | | 165,000 | | | $ | 179,261 | |
5.000%, 7/1/2025 | | | 135,000 | | | | 148,300 | |
Maryland Health & Higher Educational Facilities Authority | | | | | | | | |
3.968%, 7/1/2027 | | | 205,000 | | | | 222,737 | |
4.168%, 7/1/2029 | | | 40,000 | | | | 44,699 | |
Massachusetts Development Finance Agency, 4.000%, 10/1/2027 | | | 100,000 | | | | 108,766 | |
Massachusetts Health & Educational Facilities Authority, 6.432%, 10/1/2035 | | | 420,000 | | | | 547,617 | |
Michigan Finance Authority | | | | | | | | |
2.491%, 4/1/2020 | | | 250,000 | | | | 250,190 | |
2.741%, 4/1/2021 | | | 320,000 | | | | 322,758 | |
New Jersey Turnpike Authority | | | | | | | | |
7.102%, 1/1/2041 | | | 225,000 | | | | 345,089 | |
7.414%, 1/1/2040 | | | 200,000 | | | | 315,230 | |
New York Transportation Development Corp,
3.473%, 7/1/2028 | | | 500,000 | | | | 514,080 | |
Oklahoma Development Finance Authority | | | | | | | | |
4.650%, 8/15/2030 (Insurer: AGM) | | | 130,000 | | | | 150,718 | |
5.450%, 8/15/2028 | | | 770,000 | | | | 870,346 | |
Oregon Health & Science University, 5.000%, 7/1/2045 | | | 350,000 | | | | 438,631 | |
Pennsylvania Industrial Development Authority 144A, 3.556%, 7/1/2024 (d) | | | 505,000 | | | | 520,327 | |
Shelby County Health Educational & Housing Facilities Board | | | | | | | | |
4.000%, 9/1/2021 (e) | | | 250,000 | | | | 250,290 | |
4.000%, 9/1/2022 (e) | | | 250,000 | | | | 249,635 | |
State of California, 7.625%, 3/1/2040 | | | 525,000 | | | | 838,803 | |
State of Illinois | | | | | | | | |
3.860%, 4/1/2021 | | | 215,000 | | | | 218,008 | |
5.100%, 6/1/2033 | | | 335,000 | | | | 346,212 | |
Washington State Housing Finance Commission, 4.000%, 1/1/2024 | | | 600,000 | | | | 605,622 | |
| | | | | | | | |
Total Municipal Bonds
(Cost $11,178,630) | | | | | | | 11,877,300 | |
| | | | | | | | |
| | | | | | | | |
| U.S. Government Agencies – 5.8% | | | | | | |
Fannie Mae Notes, 5.625%, 7/15/2037 (c) | | | 3,086,000 | | | | 4,353,146 | |
Federal Farm Credit Bank, 2.780%, 11/2/2037 | | | 1,800,000 | | | | 1,800,556 | |
Federal Farm Credit Bank, 3.430%, 4/6/2045 | | | 1,000,000 | | | | 1,081,187 | |
Federal Farm Credit Bank, 3.510%, 6/11/2040 | | | 725,000 | | | | 800,177 | |
Federal Farm Credit Bank, 3.660%, 3/7/2044 | | | 974,000 | | | | 1,094,984 | |
| | | | | | | | |
Total U.S. Government Agencies
(Cost $8,609,699) | | | | | | | 9,130,050 | |
| | | | | | | | |
| | | | | | | | |
53
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
| Senior Floating Rate Interests – 3.7% | | | | | | |
Communications – 1.4% | | | | | | | | |
Altice France SA/France, 1 mo. USD LIBOR + 3.688%, 6.013%, 1/31/2026 | | | 478,326 | | | $ | 474,129 | |
Charter Communications Operating LLC term loan B, 3 mo. USD LIBOR + 2.000%, 4.330%, 4/30/2025 | | | 291,068 | | | | 292,086 | |
Go Daddy Operating Co LLC term loan B, 1 mo. USD LIBOR + 2.000%, 4.234%, 2/15/2024 | | | 188,365 | | | | 188,968 | |
Mission Broadcasting Inc term loan B, 1 mo. USD LIBOR + 2.250%, 4.652%, 1/17/2024 | | | 27,241 | | | | 27,156 | |
Nexstar Broadcasting Inc term loan B, 1 mo. USD LIBOR + 2.250%, 4.491%, 1/17/2024 | | | 136,748 | | | | 136,321 | |
Shutterfly Inc term loan B, 1 mo. USD LIBOR + 2.50%, 4.740%, 8/17/2024 | | | 101,091 | | | | 101,293 | |
Sprint Communications Inc term loan B, 1 mo. USD LIBOR + 2.50%, 4.750%, 2/2/2024 | | | 400,775 | | | | 400,104 | |
Univision Communications Inc, 1 mo. USD LIBOR + 2.750%, 4.984%, 3/15/2024 | | | 465,890 | | | | 457,227 | |
Zayo Group LLC, 1 mo. USD LIBOR + 2.250%, 4.484%, 1/19/2024 | | | 100,095 | | | | 100,212 | |
| | | | | | | | |
| | | | | | | 2,177,496 | |
| | | | | | | | |
| | | | | | | | |
Consumer Discretionary – 0.8% | | | | | | | | |
Adient US LLC term loan B, 5 mo. USD LIBOR + 4.250%, 6.889%, 5/6/2024 | | | 225,000 | | | | 216,938 | |
American Builders & Contractors Supply Co Inc term loan B, 1 mo. USD LIBOR + 2.000%, 4.234%, 10/31/2023 | | | 630,388 | | | | 627,827 | |
Crown Finance US Inc term loan, 1 mo. USD LIBOR + 2.250%, 4.484%, 2/28/2025 | | | 156,196 | | | | 155,884 | |
Harbor Freight Tools USA Inc, 1 mo. USD LIBOR + 2.50%, 4.734%, 8/18/2023 | | | 236,301 | | | | 232,805 | |
Wyndham Hotels & Resorts Inc term loan B, 1 mo. USD LIBOR + 1.750%, 3.984%, 5/30/2025 | | | 129,025 | | | | 129,495 | |
| | | | | | | | |
| | | | | | | 1,362,949 | |
| | | | | | | | |
| | | | | | | | |
Consumer Staples – 0.3% | | | | | | | | |
CHG PPC Parent LLC term loan B, 1 mo. USD LIBOR + 2.750%, 4.984%, 3/31/2025 | | | 99,000 | | | | 98,874 | |
Coty Inc term loan B, 1 mo. USD LIBOR + 2.250%, 4.610%, 4/7/2025 | | | 205,304 | | | | 198,118 | |
Diamond BC BV term loan, 2 mo. USD LIBOR + 3.000%, 5.258%, 9/6/2024 | | | 147,750 | | | | 134,391 | |
| | | | | | | | |
| | | | | | | 431,383 | |
| | | | | | | | |
| | | | | | | | |
Financials – 0.7% | | | | | | | | |
Blackhawk Network Holdings Inc term loan B, 1 mo. USD LIBOR + 3.000%, 5.234%, 6/15/2025 | | | 178,200 | | | | 178,107 | |
54
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
| Financials (Continued) | | | | | | |
Iron Mountain Inc term loan B, 1 mo. USD LIBOR + 1.750%, 3.984%, 1/2/2026 | | | 143,188 | | | $ | 141,215 | |
Nets Holding A/S term loan B, 3 mo. EURIBOR + 3.250%, 3.250%, 2/6/2025 | | | 176,389 | EUR | | | 195,795 | |
Russell Investments US Institutional Holdco Inc term loan, 1 mo. USD LIBOR + 3.250%, 5.484%, 6/1/2023 | | | 436,500 | | | | 433,954 | |
USI Inc/NY term loan B, 3 mo. USD LIBOR + 3.000%, 5.330%, 5/16/2024 | | | 171,938 | | | | 169,860 | |
| | | | | | | | |
| | | | | | | 1,118,931 | |
| | | | | | | | |
| | | | | | | | |
Materials – 0.0% | | | | | | | | |
CROWN Americas LLC term loan B, 1 mo. USD LIBOR + 2.000%, 4.369%, 4/3/2025 | | | 53,663 | | | | 53,998 | |
| | | | | | | | |
| | | | | | | 53,998 | |
| | | | | | | | |
| | | | | | | | |
Technology – 0.5% | | | | | | | | |
Finastra USA Inc term loan B, 1 mo. USD LIBOR + 3.500%, 5.734%, 6/13/2024 | | | 256,725 | | | | 252,425 | |
MA FinanceCo LLC term loan B, 1 mo. USD LIBOR + 2.500%, 4.7340%, 6/21/2024 | | | 28,980 | | | | 28,836 | |
ON Semiconductor Corp term loan B, 1 mo. USD LIBOR + 1.750%, 3.984%, 3/31/2023 | | | 166,460 | | | | 166,217 | |
Seattle SpinCo Inc term loan B, 1 mo. USD LIBOR + 2.50%, 4.734%, 6/21/2024 | | | 195,711 | | | | 194,732 | |
SS&C European Holdings Sarl term loan B, 1 mo. USD LIBOR + 2.250%, 4.484%, 4/16/2025 | | | 53,219 | | | | 53,260 | |
SS&C Technologies Inc term loan B, 1 mo. USD LIBOR + 2.250%, 4.484%, 4/16/2025 | | | 78,166 | | | | 78,227 | |
| | | | | | | | |
| | | | | | | 773,697 | |
| | | | | | | | |
Total Senior Floating Rate Interests
(Cost $5,969,686) | | | | | | | 5,918,454 | |
| | | | | | | | |
| | | | | | | | |
| Foreign Government & Agency Securities – 1.5% | | | | | | |
Hong Kong 144A, 2.500%, 5/28/2024 (d) | | | 750,000 | | | | 765,054 | |
Republic of Chile, 0.830%, 7/2/2031 | | | 1,370,000 | EUR | | | 1,561,585 | |
| | | | | | | | |
Total Foreign Government & Agency Securities
(Cost $2,307,474) | | | | | | | 2,326,639 | |
| | | | | | | | |
| | | | | | | | |
| Asset Backed Securities – 0.8% | | | | | | |
Carmax Auto Owner Trust | | | | | | | | |
1.900%, 4/15/2022 | | | 95,000 | | | | 94,491 | |
2.160%, 12/15/2021 | | | 135,000 | | | | 134,601 | |
2.200%, 6/15/2022 | | | 75,000 | | | | 74,730 | |
2.560%, 2/15/2022 | | | 260,000 | | | | 259,165 | |
2.700%, 10/16/2023 | | | 250,000 | | | | 249,869 | |
CNH Equipment Trust2016-C, 1.930%, 3/15/2024 | | | 20,000 | | | | 19,836 | |
SBA Tower Trust 144A, 3.869%, VR, 10/15/2049 (d)(f) | | | 500,000 | | | | 516,323 | |
| | | | | | | | |
Total Asset Backed Securities
(Cost $1,334,827) | | | | | | | 1,349,015 | |
| | | | | | | | |
55
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | |
| | | Principal
Amount* | | | Value | |
| Certificates of Deposit – 0.5% | | | | | | |
Self-Help Credit Union | | | | | | | | |
1.150%, 9/16/2019 | | | 250,000 | | | $ | 249,724 | |
2.200%, 6/25/2021 | | | 100,000 | | | | 100,284 | |
Self-Help Federal Credit Union, 2.500%, 6/27/2022 | | | 400,000 | | | | 404,435 | |
| | | | | | | | |
Total Certificates of Deposit
(Cost $750,000) | | | | | | | 754,443 | |
| | | | | | | | |
Total Long Term Investments
(Cost $165,131,584) | | | | | | | 170,252,513 | |
| | | | | | | | |
| | | | | | | | |
| Short Term Investments – 9.6% | | | | | | |
Foreign Government & Agency Securities – 2.0% | | | | | | | | |
Japan Treasury Discount Bill, 0.000%, 10/28/2019 | | | 350,000,000 | JPY | | | 3,224,524 | |
| | | | | | | | |
Total Foreign Government & Agency Securities
(Cost $3,222,192) | | | | | | | 3,224,524 | |
| | | | | | | | |
| | | | | | | | |
| U.S. Government Agency Obligations – 7.6% | | | | | | |
Federal Home Loan Discount Notes, 0.000%, 9/30/2019 | | | 7,000,000 | | | | 6,975,383 | |
Federal Home Loan Discount Notes, 0.000%, 8/23/2019 | | | 3,600,000 | | | | 3,595,402 | |
Federal Home Loan Discount Notes, 0.000%, 8/16/2019 | | | 1,500,000 | | | | 1,498,694 | |
| | | | | | | | |
Total U.S. Government Agency Obligations
(Cost $12,068,674) | | | | | | | 12,069,479 | |
| | | | | | | | |
Total Short Term Investments
(Cost $15,290,866) | | | | | | | 15,294,003 | |
| | | | | | | | |
| | |
| Total Investments – 117.3%(Cost $180,422,450) (a) | | | | | 185,546,516 | |
| | |
| Other Liabilities, less assets – (17.3)% | | | | | (27,426,336) | |
| | | | | | | | |
| | |
| Net Assets – 100.0% | | | | | $158,120,180 | |
| | | | | | | | |
* The principal amount is stated in U.S. dollars unless otherwise indicated.
(a) The aggregate cost for federal income purposes is $180,517,099. The aggregate gross unrealized appreciation is $5,405,557, and the aggregate gross unrealized depreciation is $376,140, resulting in net unrealized appreciation of $5,029,417.
(b) A portion or all of the security was purchased as a when issued or delayed delivery security.
(c) A portion or all of the security was segregated for collateral for when issued or delayed delivery securities.
(d) This security has been determined to be liquid under guidelines established by the Fund’s Board of Trustees.
(e) This security has been determined to be illiquid under guidelines established by the Fund’s Board of Trustees.
(f) Floating/Variable note with current rate and current maturity or next reset date shown. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
TBA — To Be Announced
VR — Variable interest rate. Rate shown is that on July 31, 2019.
144A — Security that may be sold to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. At July 31, 2019, the aggregate value of these securities was $18,717,466, representing 11.8% of net assets.
AGM — Assured Guaranty Municipal Corporation
NATL — National Public Finance Guarantee Corporation
EUR — Euro Dollar
JPY — Japanese Yen
56
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
At July 31, 2019, the Fund had the following forward currency contracts outstanding.
| | | | | | | | | | | | | | | | | | | | | | |
| Currency | | Counterparty | | Contract
Type | | | Settlement
Date | | | Quantity | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
Euro | | Goldman Sachs
International | | | Sell | | | | 8/30/2019 | | | | 181,000 | | | $ | 201,969 | | | $ | 194 | |
| | | | | | |
Euro | | Citibank N.A. | | | Sell | | | | 9/18/2019 | | | | 1,370,000 | | | | 1,531,076 | | | | (409 | ) |
| | | | | | |
Japanese Yen | | JP Morgan
Chase Bank
N.A. | | | Sell | | | | 10/28/2019 | | | | 350,000,000 | | | | 3,244,091 | | | | (232 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (447 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
At July 31, 2019, the Fund had the following future contracts outstanding.
| | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | Notional
Amount | | | Value | | | Expiration
Date | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | |
Euro Bund (Short) | | 14 | | | (1,400,000 | ) | | $ | (2,728,921 | ) | | | 9/6/2019 | | | $ | (27,715 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | $ | (27,715 | ) |
| | | | | | | | | | | | | | | | | | |
At July 31, 2019, the Fund had the following centrally cleared interest rate swap contracts outstanding.
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty/
Exchange | | Expiration
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
Pay Fixed rate 2.250% Receive Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/LCH | | | 9/21/2026 | | | $ | 2,262,000 | | | $ | (54,520 | ) | | $ | 82,954 | | | $ | (137,474 | ) |
| | | | | | |
Pay Fixed rate 2.500% Receive Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/LCH | | | 12/20/2027 | | | | 14,850,000 | | | | (665,487 | ) | | | 227,501 | | | | (892,988 | ) |
| | | | | | |
Receive Fixed rate 2.25% Pay Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/LCH | | | 12/20/2020 | | | | 10,505,000 | | | | 29,774 | | | | (15,898 | ) | | | 45,672 | |
57
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty/
Exchange | | Expiration
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
Receive Fixed rate 2.50% Pay Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/
LCH | | | 3/21/2048 | | | $ | 730,000 | | | $ | 50,230 | | | $ | (100,281 | ) | | $ | 150,511 | |
| | | | | | |
Receive Fixed rate 3.0625% Pay Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/
LCH | | | 9/27/2021 | | | | 6,000,000 | | | | 144,302 | | | | 82,983 | | | | 61,319 | |
| | | | | | |
Receive Fixed rate 2.590% Pay Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/
LCH | | | 2/5/2024 | | | | 9,940,000 | | | | 323,442 | | | | 165,616 | | | | 157,826 | |
| | | | | | |
Receive Fixed rate 1.880% Pay Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/
LCH | | | 7/29/2026 | | | | 5,030,000 | | | | (633 | ) | | | 3,431 | | | | (4,064 | ) |
| | | | | | |
Receive Fixed rate 2.410% Pay Floating rate 3 month USD BBA LIBOR | | Morgan
Stanley/
LCH | | | 04/21/2021 | | | | 7,980,000 | | | | 58,845 | | | | 56,620 | | | | 2,225 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | $ | 502,926 | | | $ | (616,973 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
At July 31, 2019, the Fund had the following OTC interest rate swap contracts outstanding.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Rate Type | | | | | | | | | | | | | | | | |
| Counterparty | | Payments
made
by the Fund | | Payments
received
by the Fund | | | Expiration
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized Appreciation
(Depreciation) | |
| | | | | | | |
Deutsche Bank AG | | 1.898% | | | USA-CPI-U | | | | 7/15/2024 | | | $ | 3,758,000 | | | $ | 50,478 | | | $ | - | | | $ | 50,478 | |
| | | | | | | |
Deutsche Bank AG | | 2.004% | | | USA-CPI-U | | | | 1/15/2023 | | | | 2,327,000 | | | | (16,047 | ) | | | 614 | | | | (16,661 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 614 | | | $ | 33,817 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS
58
DOMINI IMPACT BOND FUND
PORTFOLIOOF INVESTMENTS (continued)
July 31, 2019
At July 31, 2019, the Fund had the following centrally cleared credit default swap contracts outstanding.
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty/
Exchange | | Expiration
Date | | | Notional
Amount(h) | | | Value(i) | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
Buy Protection(g): | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
CDX-NAHY Series 32, Version 2, 5 Year Index, Fixed Rate 5.00% (j) | | Morgan
Stanley/ICE | | | 6/20/2024 | | | $ | 440,550 | | | $ | (33,206 | ) | | $ | (22,810 | ) | | $ | (10,396 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | $ | (22,810 | ) | | $ | (10,396 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
ICE — Intercontinental Exchange
LCH — London Clearing House
(g) If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller/ (pay to the buyer) of protection an amount equal to the notional amount of the swap and deliver/(take delivery) of the referenced obligation or underlying securities comprising the referenced index or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation of underlying securities comprising the referenced index.
(h) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(i) The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(j) Ratings of Moody’s/S&P — B1/B+
59
DOMINI FUNDS EXPENSE EXAMPLE (Unaudited)
As a shareholder of the Domini Funds, you incur two types of costs:
(1) Transaction costs such as redemption fees deducted from any redemption or exchange proceeds if you sell or exchange shares of the fund after holding them less than 30 days and sales charges (loads) on Class A shares and
(2) Ongoing costs, including management fees, distribution(12b-1) fees, and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested on February 1, 2019 and held through July 31, 2019.
Certain Account Fees
Some accounts are subject to recurring annual service fees and maintenance fees that are not included in the expenses shown in the table. If your account was subject to these fees, then the actual account values at the end of the period would be lower and the actual expense would be higher. You may avoid the annual service fee by choosing paperless electronic delivery of statements, prospectuses, shareholder reports and other materials.
Actual Expenses
The line of the table captioned ‘‘Actual Expenses’’ below provides information about actual account value and actual expenses. You may use the information in this line, together with the amount invested, to estimate the expenses that you paid over the period as follows:
(1) Divide your account value by $1,000.
(2) Multiply your result in step 1 by the number in the first line under the heading ‘‘Expenses Paid During Period’’ in the table.
The result equals the estimated expenses you paid on your account during the period.
Hypothetical Expenses
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s return. The hypothetical account values and expenses may not be used to estimate actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical example that appears in the shareholder reports of the other funds.
60
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | |
| | | | | |
| Fund Name | | Expenses | | Beginning
Account Value
as of 2/1/2019 | | Ending Account
Value as of
7/31/2019 | | Expenses Paid
During Period
2/1/2019 –
7/31/2019 |
Domini Impact International Equity Fund Investor Shares | | Actual Expenses | | $1,000.00 | | $1,013.50 | | $6.981 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,017.86 | | $6.991 |
Domini Impact International Equity Fund Class A Shares | | Actual Expenses | | $1,000.00 | | $1,014.40 | | $7.161 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,017.68 | | $7.171 |
Domini Impact International Equity Fund Institutional Shares | | Actual Expenses | | $1,000.00 | | $1,015.60 | | $5.001 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,019.83 | | $5.021 |
Domini Impact International Equity Fund Class Y Shares | | Actual Expenses | | $1,000.00 | | $1,015.30 | | $5.611 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,019.22 | | $5.631 |
Domini Impact
Equity Fund
Investor Shares | | Actual Expenses | | $1,000.00 | | $1,121.20 | | $5.572 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,019.54 | | $5.312 |
Domini Impact
Equity Fund
Class A Shares | | Actual Expenses | | $1,000.00 | | $1,120.70 | | $5.792 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,019.33 | | $5.522 |
Domini Impact
Equity Fund
Institutional Shares | | Actual Expenses | | $1,000.00 | | $1,122.80 | | $3.962 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,021.06 | | $3.772 |
Domini Impact
Equity Fund
Class R Shares | | Actual Expenses | | $1,000.00 | | $1,123.00 | | $4.282 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,020.77 | | $4.072 |
61
| | | | | | | | |
| | | | | |
| Fund Name | | Expenses | | Beginning
Account Value
as of 2/1/2019 | | Ending Account
Value as of
7/31/2019 | | Expenses Paid
During Period
2/1/2019 –
7/31/2019 |
Domini Impact
Bond Fund Investor Shares | | Actual Expenses | | $1,000.00 | | $1,056.60 | | $4.443 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,020.47 | | $4.363 |
Domini Impact Bond Fund Institutional Shares | | Actual Expenses | | $1,000.00 | | $1,058.50 | | $2.913 |
| | Hypothetical Expenses
(5% return before expenses) | | $1,000.00 | | $1,021.96 | | $2.863 |
1Expenses are equal to the Fund’s annualized expense ratio of 1.40% for Investor shares, or 1.43% for Class A shares, or 1.00% for Institutional shares, or 1.12% for Class Y shares, multiplied by average account value over the period, multiplied by 181, and divided by 365.
2Expenses are equal to the Fund’s annualized expense ratio of 1.06% for Investor shares, or 1.10% for Class A shares, or 0.75% for Institutional Class, or 0.81% for Class R shares, multiplied by average account value over the period, multiplied by 181, and divided by 365.
3Expenses are equal to the Fund’s annualized expense ratio of 0.87% for Investor Shares, or 0.57% for Institutional Class, multiplied by average account value over the period, multiplied by 181, and divided by 365.
62
STATEMENTS OF ASSETS AND LIABILITIES
July 31, 2019
| | | | | | | | |
| | | Domini Impact
International
Equity Fund | | | Domini Impact
Equity Fund | |
ASSETS | | | | | | | | |
Investments, at value (cost $1,147,086,326, and $641,085,712, respectively) | | $ | 1,203,731,980 | | | $ | 772,398,425 | |
Cash | | | 12,569,977 | | | | 1,480,563 | |
Foreign currency, at value (cost $640,784, and $45,718, respectively) | | | 640,784 | | | | 45,737 | |
Receivable for securities sold | | | 1,355,102 | | | | - | |
Receivable for capital shares | | | 2,674,076 | | | | 209,465 | |
Dividend receivable | | | 2,724,007 | | | | 736,466 | |
Tax reclaim receivable | | | 2,258,027 | | | | 73,880 | |
| | | | | | | | |
Total assets | | | 1,225,953,953 | | | | 774,944,536 | |
| | | | | | | | |
LIABILITIES | | | | | | | | |
Payable for securities purchased | | | 1,000,247 | | | | - | |
Payable for capital shares | | | 1,532,743 | | | | 5,223,572 | |
Management /Sponsorship fee payable | | | 941,569 | | | | 430,537 | |
Distribution fee payable | | | 99,913 | | | | 137,775 | |
Other accrued expenses | | | 940,285 | | | | 234,450 | |
Foreign tax payable | | | 541,927 | | | | 3,357 | |
| | | | | | | | |
Total liabilities | | | 5,056,684 | | | | 6,029,691 | |
| | | | | | | | |
NET ASSETS | | $ | 1,220,897,269 | | | $ | 768,914,845 | |
| | | | | | | | |
NET ASSETS CONSIST OF | | | | | | | | |
Paid-in capital | | $ | 1,258,596,769 | | | $ | 624,399,327 | |
Total distributable earnings (loss) | | | (37,699,500) | | | | 144,515,518 | |
| | | | | | | | |
NET ASSETS | | $ | 1,220,897,269 | | | $ | 768,914,845 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS
63
STATEMENTS OF ASSETS AND LIABILITIES(continued)
July 31, 2019
| | | | | | | | |
| | | Domini Impact
International
Equity Fund | | | Domini Impact
Equity Fund | |
NET ASSET VALUE PER SHARE | | | | | | | | |
| | |
Investor Shares | | | | | | | | |
Net assets | | $ | 431,806,166 | | | $ | 643,148,947 | |
| | | | | | | | |
Outstanding shares of beneficial interest | | | 55,777,558 | | | | 28,612,081 | |
| | | | | | | | |
Net asset value and offering price per share* | | $ | 7.74 | | | $ | 22.48 | |
| | | | | | | | |
| | |
Class A Shares | | | | | | | | |
Net assets | | $ | 27,112,978 | | | $ | 6,964,364 | |
| | | | | | | | |
Outstanding shares of beneficial interest | | | 3,299,246 | | | | 310,023 | |
| | | | | | | | |
Net asset value* | | $ | 8.22 | | | $ | 22.46 | |
| | | | | | | | |
Maximum offering price per share (net asset value per share /(1-4.75%)) | | $ | 8.63 | | | $ | 23.58 | |
| | | | | | | | |
| | |
Institutional shares | | | | | | | | |
Net assets | | $ | 523,999,868 | | | $ | 98,825,812 | |
| | | | | | | | |
Outstanding shares of beneficial interest | | | 68,125,913 | | | | 4,410,280 | |
| | | | | | | | |
Net asset value and offering price per share* | | $ | 7.69 | | | $ | 22.41 | |
| | | | | | | | |
| | |
Class R shares | | | | | | | | |
Net assets | | | | | | $ | 19,975,722 | |
| | | | | | | | |
Outstanding shares of beneficial interest | | | | | | | 891,072 | |
| | | | | | | | |
Net asset value and offering price per share* | | | | | | $ | 22.42 | |
| | | | | | | | |
| | |
Class Y shares | | | | | | | | |
Net assets | | $ | 237,978,257 | | | | | |
| | | | | | | | |
Outstanding shares of beneficial interest | | | 30,909,994 | | | | | |
| | | | | | | | |
Net asset value and offering price per share* | | $ | 7.70 | | | | | |
| | | | | | | | |
* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
64
STATEMENTS OF OPERATIONS
For the Year Ended July 31, 2019
| | | | | | | | |
| | | Domini Impact
International
Equity Fund | | | Domini Impact
Equity Fund | |
INCOME | | | | | | | | |
Dividends (net of foreign taxes $4,271,082, and $250,884, respectively) | | $ | 41,952,358 | | | $ | 15,344,487 | |
Interest income | | | 83,272 | | | | 42,262 | |
| | | | | | | | |
Investment Income | | | 42,035,630 | | | | 15,386,749 | |
| | | | | | | | |
EXPENSES | | | | | | | | |
Management /Sponsorship fees | | | 11,265,290 | | | | 5,020,450 | |
Distribution fees – Investor shares | | | 1,265,790 | | | | 1,566,399 | |
Distribution fees – Class A shares | | | 118,281 | | | | 17,016 | |
Transfer agent fees – Investor shares | | | 734,516 | | | | 593,715 | |
Transfer agent fees – Class A shares | | | 89,059 | | | | 8,592 | |
Transfer agent fees – Institutional shares | | | 19,417 | | | | 4,137 | |
Transfer agent fees – Class R shares | | | - | | | | 2,637 | |
Transfer agent fees – Class Y shares | | | 169,646 | | | | - | |
Custody and Accounting fees | | | 954,039 | | | | 180,516 | |
Registration fees – Investor shares | | | 65,955 | | | | 27,479 | |
Registration fees – Class A shares | | | 22,229 | | | | 20,219 | |
Registration fees – Institutional shares | | | 59,350 | | | | 22,874 | |
Registration fees – Class R shares | | | - | | | | 20,227 | |
Registration fees – Class Y shares | | | 45,118 | | | | - | |
Shareholder Communication fees | | | 138,363 | | | | 57,456 | |
Professional fees | | | 95,488 | | | | 171,910 | |
Trustees fees | | | 81,802 | | | | 46,143 | |
Shareholder Service fees – Investor shares | | | 49,648 | | | | 51,317 | |
Shareholder Service fees – Class A shares | | | 9,856 | | | | 677 | |
Shareholder Service fees – Institutional shares | | | 1,208 | | | | 148 | |
Shareholder Service fees – Class R shares | | | - | | | | 117 | |
Shareholder Service fees – Class Y shares | | | 17 | | | | - | |
Miscellaneous | | | 110,861 | | | | 72,801 | |
| | | | | | | | |
Total expenses | | | 15,295,933 | | | | 7,884,830 | |
Fees waived and expenses reimbursed | | | - | | | | (158,683) | |
Transfer agent credits | | | (3,987) | | | | (3,437) | |
| | | | | | | | |
Net expenses | | | 15,291,946 | | | | 7,722,710 | |
| | | | | | | | |
NET INVESTMENT INCOME (LOSS) | | | 26,743,684 | | | | 7,664,039 | |
| | | | | | | | |
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY | | | | | | | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | |
Investments | | | (103,097,100) | | | | 23,813,875 | |
Foreign currency | | | (225,349) | | | | (6,930) | |
| | | | | | | | |
Net realized gain (loss) | | | (103,322,449) | | | | 23,806,945 | |
| | | | | | | | |
NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | |
Investments | | | (24,031,658) | | | | 11,825,906 | |
Translation of assets and liabilities in foreign currencies | | | 7,146 | | | | 19 | |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | (24,024,512) | | | | 11,825,925 | |
| | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | (127,346,961) | | | | 35,632,870 | |
| | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (100,603,277) | | | $ | 43,296,909 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS
65
DOMINI IMPACT INTERNATIONAL EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended
July 31, 2019 | | | Year Ended
July 31, 2018 | |
INCREASE IN NET ASSETS | | | | | | | | |
FROM OPERATIONS | | | | | | | | |
Net investment income (loss) | | $ | 26,743,684 | | | $ | 25,244,382 | |
Net realized gain (loss) | | | (103,322,449) | | | | 55,062,417 | |
Net change in unrealized appreciation (depreciation) | | | (24,024,512) | | | | (61,775,696) | |
| | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | (100,603,277) | | | | 18,531,103 | |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor shares | | | (24,163,150) | | | | (16,514,392) | |
Class A shares | | | (1,460,369) | | | | (2,135,355) | |
Institutional shares | | | (29,162,105) | | | | (15,242,059) | |
Class Y shares | | | (7,093,471) | | | | - | |
| | | | | | | | |
Net Decrease in Net Assets from Distributions | | | (61,879,095) | | | | (33,891,806) | |
| | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Proceeds from sale of shares | | | 676,424,309 | | | | 794,630,243 | |
Net asset value of shares issued in reinvestment of distributions and dividends | | | 46,072,573 | | | | 22,168,564 | |
Payments for shares redeemed | | | (753,471,348) | | | | (451,631,004) | |
Redemption fees | | | 5,202 | | | | 15,600 | |
| | | | | | | | |
Net Increase (Decrease) in Net Assets from Capital Share Transactions | | | (30,969,264) | | | | 365,183,403 | |
| | | | | | | | |
Total Increase (Decrease) in Net Assets | | | (193,451,636) | | | | 349,822,700 | |
| | | | | | | | |
NET ASSETS | | | | | | | | |
Beginning of period | | $ | 1,414,348,905 | | | $ | 1,064,526,205 | |
| | | | | | | | |
End of period | | $ | 1,220,897,269 | | | $ | 1,414,348,905 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS
66
DOMINI IMPACT EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended
July 31, 2019 | | | Year Ended
July 31, 2018 | |
INCREASE IN NET ASSETS | | | | | | | | |
FROM OPERATIONS | | | | | | | | |
Net investment income (loss) | | $ | 7,664,039 | | | $ | 10,392,597 | |
Net realized gain (loss) | | | 23,806,945 | | | | 91,205,733 | |
Net change in unrealized appreciation (depreciation) | | | 11,825,925 | | | | (17,065,787) | |
| | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 43,296,909 | | | | 84,532,543 | |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor shares | | | (71,979,925) | | | | (38,419,518) | |
Class A shares | | | (768,457) | | | | (2,900,734) | |
Institutional shares | | | (13,430,821) | | | | (15,960,858) | |
Class R shares | | | (2,084,463) | | | | (9,142,009) | |
| | | | | | | | |
Net Decrease in Net Assets from Distributions | | | (88,263,666) | | | | (66,423,119) | |
| | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Proceeds from sale of shares | | | 31,531,132 | | | | 41,060,836 | |
Net asset value of shares issued in reinvestment of distributions and dividends | | | 82,374,138 | | | | 64,190,173 | |
Payments for shares redeemed | | | (115,143,001) | | | | (169,946,588) | |
Redemption fees | | | 1,250 | | | | 6,670 | |
| | | | | | | | |
Net Increase (Decrease) in Net Assets from Capital Share Transactions | | | (1,236,481) | | | | (64,688,909) | |
| | | | | | | | |
Total Increase (Decrease) in Net Assets | | | (46,203,238) | | | | (46,579,485) | |
| | | | | | | | |
NET ASSETS | | | | | | | | |
Beginning of period | | $ | 815,118,083 | | | $ | 861,697,568 | |
| | | | | | | | |
End of period | | $ | 768,914,845 | | | $ | 815,118,083 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS
67
DOMINI IMPACT INTERNATIONAL EQUITY FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $8.72 | | | | $8.76 | | | | $7.38 | | | | $8.05 | | | | $8.26 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.15 | | | | 0.16 | | | | 0.15 | | | | 0.12 | | | | 0.13 | |
Net realized and unrealized gain (loss) on investments | | | (0.77) | | | | 0.02 | | | | 1.35 | | | | (0.53) | | | | 0.20 | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | (0.62) | | | | 0.18 | | | | 1.50 | | | | (0.41) | | | | 0.33 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and/or distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.13) | | | | (0.22) | | | | (0.12) | | | | (0.07) | | | | (0.11) | |
Distributions to shareholders from net realized gain | | | (0.23) | | | | - | | | | - | | | | (0.19) | | | | (0.43) | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.36) | | | | (0.22) | | | | (0.12) | | | | (0.26) | | | | (0.54) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds4 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $7.74 | | | | $8.72 | | | | $8.76 | | | | $7.38 | | | | $8.05 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | -6.81% | | | | 2.08% | | | | 20.61% | | | | -5.12% | | | | 4.65% | |
Portfolio turnover | | | 77% | | | | 68% | | | | 73% | | | | 89% | | | | 88% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $432 | | | | $612 | | | | $595 | | | | $385 | | | | $320 | |
Ratio of expenses to average net assets | | | 1.41% | 3 | | | 1.41% | | | | 1.46% | | | | 1.52% | | | | 1.59% | |
Ratio of gross expenses to average net assets | | | 1.41% | | | | 1.41% | | | | 1.46% | | | | 1.52% | | | | 1.59% | |
Ratio of net investment income (loss) to average net assets | | | 1.70% | | | | 1.81% | | | | 2.06% | | | | 1.59% | | | | 1.32% | |
1 Amount represents less than 0.005 per share.
2 Not annualized for periods less than one year.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.41% for the year ended July 31, 2019.
4 Based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS
68
DOMINI IMPACT INTERNATIONAL EQUITY FUND — CLASS A SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $9.18 | | | | $9.21 | | | | $7.76 | | | | $8.45 | | | | $8.64 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.34 | | | | 0.15 | | | | 0.14 | | | | 0.11 | | | | 0.14 | |
Net realized and unrealized gain (loss) on investments | | | (0.99) | | | | 0.04 | | | | 1.43 | | | | (0.54) | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | (0.65) | | | | 0.19 | | | | 1.57 | | | | (0.43) | | | | 0.35 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and/or distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.08) | | | | (0.22) | | | | (0.12) | | | | (0.07) | | | | (0.11) | |
Distributions to shareholders from net realized gain | | | (0.23) | | | | - | | | | - | | | | (0.19) | | | | (0.43) | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.31) | | | | (0.22) | | | | (0.12) | | | | (0.26) | | | | (0.54) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $8.22 | | | | $9.18 | | | | $9.21 | | | | $7.76 | | | | $8.45 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | -6.83% | | | | 2.00% | | | | 20.44% | | | | -5.07% | | | | 4.71% | |
Portfolio turnover | | | 77% | | | | 68% | | | | 73% | | | | 89% | | | | 88% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $27 | | | | $81 | | | | $85 | | | | $55 | | | | $51 | |
Ratio of expenses to average net assets | | | 1.43% | 4 | | | 1.47% | | | | 1.52% | 3 | | | 1.53% | 3 | | | 1.57% | 3 |
Ratio of gross expenses to average net assets | | | 1.43% | | | | 1.47% | | | | 1.53% | | | | 1.59% | | | | 1.68% | |
Ratio of net investment income (loss) to average net assets | | | 1.41% | | | | 1.63% | | | | 1.99% | | | | 1.47% | | | | 1.46% | |
1 Amount represents less than 0.005 per share.
2 Total return does not reflect sales commissions and is not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager, and the Distributor of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.43% for the year ended July 31, 2019.
5 Based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS
69
DOMINI IMPACT INTERNATIONAL EQUITY FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $8.70 | | | | $8.74 | | | | $7.39 | | | | $8.07 | | | | $8.28 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.18 | | | | 0.18 | | | | 0.19 | | | | 0.15 | | | | 0.16 | |
Net realized and unrealized gain (loss) on investments | | | (0.78) | | | | 0.05 | | | | 1.32 | | | | (0.54) | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | (0.60) | | | | 0.23 | | | | 1.51 | | | | (0.39) | | | | 0.37 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and/or distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.18) | | | | (0.27) | | | | (0.16) | | | | (0.10) | | | | (0.15) | |
Distributions to shareholders from net realized gain | | | (0.23) | | | | - | | | | - | | | | (0.19) | | | | (0.43) | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.41) | | | | (0.27) | | | | (0.16) | | | | (0.29) | | | | (0.58) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $7.69 | | | | $8.70 | | | | $8.74 | | | | $7.39 | | | | $8.07 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | -6.49% | | | | 2.58% | | | | 20.80% | | | | -4.74% | | | | 5.24% | |
Portfolio turnover | | | 77% | | | | 68% | | | | 73% | | | | 89% | | | | 88% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $524 | | | | $580 | | | | $384 | | | | $167 | | | | $61 | |
Ratio of expenses to average net assets | | | 1.01% | 4 | | | 1.02% | | | | 1.07% | | | | 1.10% | | | | 1.15% | 3 |
Ratio of gross expenses to average net assets | | | 1.01% | | | | 1.02% | | | | 1.07% | | | | 1.10% | | | | 1.15% | |
Ratio of net investment income (loss) to average net assets | | | 2.30% | | | | 2.22% | | | | 2.82% | | | | 2.22% | | | | 1.78% | |
1 Amount represents less than 0.005 per share.
2 Not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.01% for the year ended July 31, 2019.
5 Based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS
70
DOMINI IMPACT INTERNATIONAL EQUITY FUND — CLASS Y SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | |
| | | Year Ended
July 31, 2019 | | | For the Period
July 23, 2018
(commencement of
operations) through
July 31, 2018 | |
For a share outstanding for the period: | | | | | | | | |
Net asset value, beginning of period | | | $8.71 | | | | $8.56 | |
| | | | | | | | |
Income from investment operations: | | | | | | | | |
Net investment income (loss) | | | 0.23 | | | | - | |
Net realized and unrealized gain (loss) on investments | | | (0.83) | | | | 0.15 | |
| | | | | | | | |
Total income (loss) from investment operations | | | (0.60) | | | | 0.15 | |
| | | | | | | | |
Less dividends and/or distributions: | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.18) | | | | - | |
Distributions to shareholders from net realized gain | | | (0.23) | | | | - | |
| | | | | | | | |
Total distributions | | | (0.41) | | | | - | |
| | | | | | | | |
Redemption fee proceeds | | | - | | | | - | |
| | | | | | | | |
Net asset value, end of period | | | $7.70 | | | | $8.71 | |
| | | | | | | | |
Total return1 | | | -6.50% | | | | 1.75% | |
Portfolio turnover | | | 77% | | | | 68% | |
Ratios/supplemental data (annualized): | | | | | | | | |
Net assets, end of period (in millions) | | | $238 | | | | $142 | |
Ratio of expenses to average net assets | | | 1.13% | 2 | | | 1.13% | |
Ratio of gross expenses to average net assets | | | 1.13% | | | | 1.13% | |
Ratio of net investment income (loss) to average net assets | | | 2.81% | | | | 0.32% | |
1 Not annualized for periods less than one year.
2 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.13% for the year ended July 31, 2019.
SEE NOTES TO FINANCIAL STATEMENTS
71
DOMINI IMPACT EQUITY FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017^ | | | 2016^ | | | 2015^ | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $24.18 | | | | $23.18 | ^ | | | $20.76 | | | | $22.70 | | | | $23.42 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.18 | | | | 0.27 | 5 | | | 0.21 | 5 | | | 0.45 | | | | 0.26 | 5 |
Net realized and unrealized gain (loss) on investments | | | 0.81 | | | | 2.09 | 5 | | | 2.69 | | | | (1.04) | | | | 0.93 | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | 0.99 | | | | 2.36 | | | | 2.90 | | | | (0.59) | | | | 1.19 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.21) | | | | (0.17) | ^ | | | (0.12) | | | | (0.24) | | | | (0.18) | |
Distributions to shareholders from net realized gain | | | (2.48) | | | | (1.19) | ^ | | | (0.36) | | | | (1.10) | | | | (1.73) | |
Tax return of capital5 | | | - | | | | - | | | | - | | | | (0.01) | | | | - | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (2.69) | | | | (1.36) | | | | (0.48) | | | | (1.35) | | | | (1.91) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $22.48 | | | | $24.18 | | | | $23.18 | | | | $20.76 | | | | $22.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | 6.31% | | | | 10.32% | | | | 14.07% | | | | -2.47% | | | | 5.21% | |
Portfolio turnover | | | 95% | | | | 78% | | | | 85% | | | | 91% | | | | 103% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $643 | | | | $669 | | | | $675 | | | | $656 | | | | $752 | |
Ratio of expenses to average net assets | | | 1.07% | 3,4 | | | 1.10% | | | | 1.14% | | | | 1.14% | | | | 1.16% | |
Ratio of gross expenses to average net assets | | | 1.09% | | | | 1.10% | | | | 1.14% | | | | 1.14% | | | | 1.16% | |
Ratio of net investment income (loss) to average net assets | | | 0.96% | | | | 1.15% | | | | 0.94% | | | | 2.06% | | | | 1.10% | |
1 Amount represents less than 0.005 per share.
2 Not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager, the Sponsor, and the Distributor of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.07% for the year ended July 31, 2019.
5 Based on average shares outstanding.
^ All per share amounts and net asset values have been adjusted as a result of the 1.9988601 for 1 share split on January 26, 2018 ( see Note 4).
SEE NOTES TO FINANCIAL STATEMENTS
72
DOMINI IMPACT EQUITY FUND — CLASS A SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017^ | | | 2016^ | | | 2015^ | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $24.17 | | | | $33.41 | ^ | | | $34.01 | | | | $48.90 | | | | $64.35 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.23 | | | | 0.31 | 5 | | | 0.32 | 5 | | | 1.53 | | | | 0.56 | 5 |
Net realized and unrealized gain (loss) on investments | | | 0.75 | | | | 2.84 | 5 | | | 4.14 | | | | (3.19) | | | | 2.45 | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | 0.98 | | | | 3.15 | | | | 4.46 | | | | (1.66) | | | | 3.01 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and/or distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.21) | | | | (1.35) | ^ | | | (1.72) | | | | (3.02) | | | | (2.41) | |
Distributions to shareholders from net realized gain | | | (2.48) | | | | (11.04) | ^ | | | (3.34) | | | | (10.21) | | | | (16.05) | |
Tax return of capital5 | | | - | | | | - | | | | - | | | | (0.00) | 1 | | | - | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (2.69) | | | | (12.39) | | | | (5.06) | | | | (13.23) | | | | (18.46) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $22.46 | | | | $24.17 | | | | $33.41 | | | | $34.01 | | | | $48.90 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | 6.28% | | | | 10.36% | | | | 13.97% | | | | -2.61% | | | | 5.19% | |
Portfolio turnover | | | 95% | | | | 78% | | | | 85% | | | | 91% | | | | 103% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $7 | | | | $7 | | | | $8 | | | | $8 | | | | $11 | |
Ratio of expenses to average net assets | | | 1.09% | 3,4 | | | 1.12% | 3 | | | 1.16% | 3 | | | 1.18% | 3 | | | 1.18% | 3 |
Ratio of gross expenses to average net assets | | | 1.43% | | | | 1.38% | | | | 1.46% | | | | 1.41% | | | | 1.39% | |
Ratio of net investment income (loss) to average net assets | | | 0.95% | | | | 1.14% | | | | 0.92% | | | | 2.00% | | | | 1.06% | |
1 Amount represents less than 0.005 per share.
2 Total return does not reflect sales commissions and is not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager, the Sponsor, and the Distributor of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.09% for the year ended July 31, 2019.
5 Based on average shares outstanding.
^ All per share amounts and net asset values have been adjusted as a result of the 0.2155310 for 1 reverse share split on January 26, 2018 ( see Note 4).
SEE NOTES TO FINANCIAL STATEMENTS
73
DOMINI IMPACT EQUITY FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $24.18 | | | | $24.46 | | | | $22.40 | | | | $25.95 | | | | $28.49 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.08 | | | | 0.37 | | | | 0.31 | 5 | | | 0.55 | | | | 0.40 | 5 |
Net realized and unrealized gain (loss) on investments | | | 0.98 | | | | 2.17 | | | | 2.87 | | | | (1.20) | | | | 1.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | 1.06 | | | | 2.54 | | | | 3.18 | | | | (0.65) | | | | 1.51 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and/or distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.35) | | | | (0.44) | | | | (0.40) | | | | (0.70) | | | | (0.59) | |
Distributions to shareholders from net realized gain | | | (2.48) | | | | (2.38) | | | | (0.72) | | | | (2.20) | | | | (3.46) | |
Tax return of capital5 | | | - | | | | - | | | | - | | | | (0.00) | 1 | | | - | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (2.83) | | | | (2.82) | | | | (1.12) | | | | (2.90) | | | | (4.05) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $22.41 | | | | $24.18 | | | | $24.46 | | | | $22.40 | | | | $25.95 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | 6.69% | | | | 10.68% | | | | 14.51% | | | | -2.14% | | | | 5.56% | |
Portfolio turnover | | | 95% | | | | 78% | | | | 85% | | | | 91% | | | | 103% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $99 | | | | $120 | | | | $157 | | | | $205 | | | | $237 | |
Ratio of expenses to average net assets | | | 0.74% | 3,4 | | | 0.74% | 3 | | | 0.79% | | | | 0.80% | 3 | | | 0.80% | 3 |
Ratio of gross expenses to average net assets | | | 0.76% | | | | 0.76% | | | | 0.79% | | | | 0.81% | | | | 0.80% | |
Ratio of net investment income (loss) to average net assets | | | 1.31% | | | | 1.52% | | | | 1.31% | | | | 2.40% | | | | 1.47% | |
1 Amount represents less than 0.005 per share.
2 Not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager, and the Sponsor of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.74% for the year ended July 31, 2019.
5 Based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS
74
DOMINI IMPACT EQUITY FUND — CLASS R SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017^ | | | 2016^ | | | 2015^ | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $24.18 | | | | $37.86 | ^ | | | $39.86 | | | | $60.43 | | | | $82.35 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 3.04 | | | | 0.41 | 5 | | | 0.51 | 5 | | | 3.15 | | | | 0.96 | 5 |
Net realized and unrealized gain (loss) on investments | | | (2.00) | | | | 3.21 | 5 | | | 4.69 | | | | (5.08) | | | | 3.15 | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | 1.04 | | | | 3.62 | | | | 5.20 | | | | (1.93) | | | | 4.11 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and/or distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.32) | | | | (2.00) | ^ | | | (2.57) | | | | (4.50) | | | | (3.79) | |
Distributions to shareholders from net realized gain | | | (2.48) | | | | (15.30) | ^ | | | (4.63) | | | | (14.14) | | | | (22.24) | |
Tax return of capital5 | | | - | | | | - | | | | - | | | | (0.00) | 1 | | | - | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (2.80) | | | | (17.30) | | | | (7.20) | | | | (18.64) | | | | (26.03) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $22.42 | | | | $24.18 | | | | $37.86 | | | | $39.86 | | | | $60.43 | |
| | | | | | | | | | | | | | | �� | | | | | |
Total return2 | | | 6.62% | | | | 10.71% | | | | 14.20% | | | | -2.22% | | | | 5.55% | |
Portfolio turnover | | | 95% | | | | 78% | | | | 85% | | | | 91% | | | | 103% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $20 | | | | $18 | | | | $21 | | | | $44 | | | | $55 | |
Ratio of expenses to average net assets | | | 0.80% | 3,4 | | | 0.80% | 3 | | | 0.83% | 3 | | | 0.82% | | | | 0.85% | |
Ratio of gross expenses to average net assets | | | 0.88% | | | | 0.84% | | | | 0.85% | | | | 0.82% | | | | 0.85% | |
Ratio of net investment income (loss) to average net assets | | | 1.23% | | | | 1.46% | | | | 1.28% | | | | 2.39% | | | | 1.41% | |
1 Amount represents less than 0.005 per share.
2 Not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager, and the Sponsor, of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.80% for the year ended July 31, 2019.
5 Based on average shares outstanding.
^ All per share amounts and net asset values have been adjusted as a result of the 0.1555580 for 1 reverse share split on January 26, 2018 ( see Note 4).
SEE NOTES TO FINANCIAL STATEMENTS
75
DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
July 31, 2019
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Domini Investment Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as anopen-end management investment company. The Domini Investment Trust comprises three separate series: Domini Impact International Equity Fund, Domini Impact Equity Fund, and Domini Impact Bond Fund (each the “Fund,” collectively the “Funds”). The financial statements of the Domini Impact Bond Fund are included on page 93 of this report. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946 “Financial Services — Investment Companies”. The Domini Impact International Equity Fund offers Investor shares, Class A shares, Institutional shares and Class Y shares. Class A, Institutional and Class Y shares of the Domini Impact International Equity Fund were not offered prior to November 28, 2008, November 30, 2012, and June 15, 2018 respectively. The Domini Impact Equity Fund offers Investor shares, Class A shares, Institutional shares and Class R shares. Class R shares of the Domini Impact Equity Fund commenced on November 28, 2003. Class A and Institutional shares of the Domini Impact Equity Fund commenced on November 28, 2008. The Investor shares, Institutional shares, Class R shares and Class Y shares are sold at their offering price, which is net asset value. The Class A shares are sold with afront-end sales charge (load) of up to 4.75%. The Institutional shares may only be purchased by or for the benefit of investors that meet the minimum investment requirements, and fall within the following categories: endowments, foundations, religious organizations and other nonprofit entities, individuals, retirement plan sponsors, family office clients, certain corporate or similar institutions, or omnibus accounts maintained by financial intermediaries and that are approved by the Fund’s Distributor. Class R shares are generally available only to certain eligible retirement plans and endowments, foundations, religious organizations, and othertax-exempt entities that are approved by the Fund’s Distributor. Class Y shares may only be purchased through omnibus accounts held on the books of the Fund for financial intermediaries that have been approved by the Funds’ distributor. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets, and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and registration fees, directly attributable to that class. Class R, Institutional and Class Y shares are not subject to distribution and service fees.
76
DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure 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 Funds’ significant accounting policies.
(A) Valuation of Investments. Securities listed or traded on national securities exchanges are valued at the last sale price reported by the security’s primary exchange or, if there have been no sales that day, at the mean of the current bid and ask price that represents the current value of the security. Securities listed on the NASDAQ National Market System are valued using the NASDAQ Official Closing Price (the “NOCP”). If an NOCP is not available for a security listed on the NASDAQ National Market System, the security will be valued at the last sale price or, if there have been no sales that day, at the mean of the current bid and ask price. Securities for which market quotations are not readily available or as a result of an event occurring after the close of the foreign market but before pricing the Funds are valued at fair value as determined in good faith under procedures established by and under the supervision of the Funds’ Board of Trustees. Securities that are primarily traded on foreign exchanges generally are valued at the closing price of such securities on their respective exchanges, except that if the Trusts’ manager or submanager, as applicable, is of the opinion that such price would result in an inappropriate value for a security, including as a result of an occurrence subsequent to the time a value was so established, then the fair value of those securities may be determined by consideration of other factors (including the use of an independent pricing service) by or under the direction of the Board of Trustees or its delegates.
The Funds follow a fair value hierarchy that distinguishes between (a) market participant assumptions developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (b) the Fund’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). These inputs are used in determining the value of the Funds’ investments and are summarized in the following fair value hierarchy:
Level 1 — quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, and evaluated quotation obtained from pricing services)
77
DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used by the Domini Impact International Equity Fund, as of July 31, 2019, in valuing the Fund’s assets carried at fair value:
| | | | | | | | | | | | | | | | |
| | | Level 1 -
Quoted Prices | | | Level 2 -
Other
Significant
Observable
Inputs | | | Level 3 -
Significant
Unobservable
Inputs | | | Total | |
| | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | - | | | $ | 69,064,284 | | | $ | - | | | $ | 69,064,284 | |
Consumer Discretionary | | | 2,521,175 | | | | 154,023,067 | | | | - | | | | 156,544,242 | |
Consumer Staples | | | 26,218,472 | | | | 80,457,823 | | | | - | | | | 106,676,295 | |
Financials | | | 9,722,431 | | | | 233,818,613 | | | | - | | | | 243,541,044 | |
Health Care | | | 6,314,053 | | | | 149,038,567 | | | | - | | | | 155,352,620 | |
Industrials | | | - | | | | 219,071,797 | | | | - | | | | 219,071,797 | |
Information Technology | | | 10,215,197 | | | | 95,682,805 | | | | - | | | | 105,898,002 | |
Materials | | | - | | | | 55,694,388 | | | | - | | | | 55,694,388 | |
Real Estate | | | - | | | | 81,600,648 | | | | - | | | | 81,600,648 | |
Utilities | | | 2,534,742 | | | | 7,753,918 | | | | - | | | | 10,288,660 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 57,526,070 | | | $ | 1,146,205,910 | | | $ | - | | | $ | 1,203,731,980 | |
| | | | | | | | | | | | | | | | |
The following is a summary of the inputs used by the Domini Impact Equity Fund, as of July 31, 2019, in valuing the Fund’s assets carried at fair value:
| | | | | | | | | | | | | | | | |
| | | Level 1 -
Quoted Prices | | | Level 2 -
Other
Significant
Observable
Inputs | | | Level 3 -
Significant
Unobservable
Inputs | | | Total | |
| | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Telecommunication Services | | $ | 75,181,570 | | | $ | - | | | $ | - | | | $ | 75,181,570 | |
Consumer Discretionary | | | 90,474,657 | | | | - | | | | - | | | | 90,474,657 | |
Consumer Staples | | | 49,058,502 | | | | - | | | | - | | | | 49,058,502 | |
Energy | | | 791,268 | | | | - | | | | - | | | | 791,268 | |
Financials | | | 91,571,149 | | | | - | | | | - | | | | 91,571,149 | |
Health Care | | | 118,526,964 | | | | - | | | | - | | | | 118,526,964 | |
Industrials | | | 59,714,276 | | | | - | | | | - | | | | 59,714,276 | |
Information Technology | | | 238,273,438 | | | | - | | | | - | | | | 238,273,438 | |
Materials | | | 15,384,308 | | | | - | | | | - | | | | 15,384,308 | |
Real Estate | | | 25,442,603 | | | | - | | | | - | | | | 25,442,603 | |
Utilities | | | 7,979,690 | | | | - | | | | - | | | | 7,979,690 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 772,398,425 | | | $ | - | | | $ | - | | | $ | 772,398,425 | |
| | | | | | | | | | | | | | | | |
78
DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
(B) Foreign Currency Translation. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities, and income and expense items denominated in foreign currencies, are translated into U.S. dollar amounts on the respective dates of such transactions. Occasionally, events impact the availability or reliability of foreign exchange rates used to convert the U.S. dollar equivalent value. If such an event occurs, the foreign exchange rate will be valued at fair value using procedures established and approved by the Board of Trustees. The Funds do not separately report the effect of fluctuations in foreign exchange rates from changes in market prices on securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in fair value of assets and liabilities other than investments in securities held at the end of the reporting period, resulting from changes in exchange rates.
(C) Foreign Currency Contracts. When the Funds purchase or sell foreign securities, they enter into foreign exchange contracts to minimize foreign exchange risk from the trade date to the settlement date of the transactions. A foreign exchange contract is an agreement between two parties to exchange different currencies at an agreed-upon exchange rate on a specified date. The Domini Impact Equity Fund had no open foreign currency spot contracts and the Domini Impact International Equity Fund had $1,000,247 outstanding as of July 31, 2019.
(D) Investment Transactions, Investment Income and Dividends to Shareholders. Investment transactions are accounted for on trade date. Realized gains and losses from security transactions are determined on the basis of identified cost. Interest income is recorded on an accrual basis. Dividend income, net of any applicable withholding tax, is recorded on theex-dividend date or for certain foreign securities, when the information becomes available to the Funds. The Funds earn income daily, net of Fund expenses. Dividends to shareholders of the Domini Impact International Equity Fund are usually declared and paid semiannually from net investment income. Dividends to shareholders of the Domini Impact Equity Fund are usually declared and paid quarterly from net investment income. Distributions to shareholders of realized capital gains, if any, are made annually. Distributions are determined in
79
DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
conformity with income tax regulations, which may differ from generally accepted accounting principles. Reclassifications have been made to the Funds’ components of net assets to reflect income and gains available for distribution (or available capital loss carryovers, as applicable) under income tax regulations.
Effective for the year ended July 31, 2019, it is no longer required to present certain line items in the Statements of Changes in Net Assets. The prior period amounts affected by this change are shown below as they were in the prior year Statements of Changes in Net Assets.
For the year ended July 31, 2018, distributions to shareholders were as follows:
| | | | | | | | |
| | | Domini Impact
International
Equity Fund | | | Domini Impact
Equity Fund | |
| | | | | | | | |
Dividends to shareholders from net investment income: | | | | | | | | |
Investor Shares | | $ | 16,514,392 | | | $ | 4,746,471 | |
Class A Shares | | | 2,135,355 | | | | 325,093 | |
Institutional Shares | | | 15,242,059 | | | | 2,441,449 | |
Class R Shares | | | - | | | | 1,091,049 | |
Distributions to shareholders from net realized gain: | | | | | | | | |
Investor Shares | | | - | | | | 33,673,047 | |
Class A Shares | | | - | | | | 2,575,641 | |
Institutional Shares | | | - | | | | 13,519,409 | |
Class R Shares | | | - | | | | 8,050,960 | |
| | | | | | | | |
| | $ | 33,891,806 | | | $ | 66,423,119 | |
| | | | | | | | |
Undistributed net investment income | | $ | 9,133,608 | | | $ | 654,903 | |
| | | | | | | | |
(E) Federal Taxes. Each 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 deemed necessary. As of July 31, 2019, tax years 2016 through 2019 remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America, the Commonwealth of Massachusetts, and New York State.
(F) Redemption Fees. Redemptions and exchanges of Fund shares held less than 30 days may be subject to the Funds’ redemption fee, which is 2% of the amount redeemed. The fee is imposed to offset transaction costs and other expenses associated with short-term investing. The fee may be waived in certain circumstances at the discretion of the Funds. Such fees are retained by the Funds and are recorded as an adjustment topaid-in capital.
80
DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
(G) Other. Income, expenses (other than those attributable to a specific class), gains, and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
(H) Transfer Agent Credits. Per the arrangement with the Funds’ transfer agent, BNY Mellon Investment Servicing (U.S.) Inc., the Funds have arrangements whereby they may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees. For financial reporting purposes, the Funds include earnings credits as an expense offset in the Statement of Operations. For the year ended July 31, 2019, transfer agent fees of the Funds, under these arrangements, were reduced as follows:
| | | | |
| |
Domini Impact International Equity Fund Investor shares | | $ | 3,260 | |
| |
Domini Impact International Equity Fund Class A shares | | | 639 | |
| |
Domini Impact International Equity Fund Institutional shares | | | 87 | |
| |
Domini Impact International Equity Fund Class Y shares | | | 1 | |
| |
Domini Impact Equity Fund Investor shares | | | 3,370 | |
| |
Domini Impact Equity Fund Class A shares | | | 44 | |
| |
Domini Impact Equity Fund Class Institutional shares | | | 11 | |
| |
Domini Impact Equity Fund Class R shares | | | 12 | |
(I) Indemnification. The Funds’ organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
2. TRANSACTIONS WITH AFFILIATES
(A) Manager/Sponsor. The Funds have retained Domini Impact Investments LLC (Domini) to serve as investment manager and administrator. Domini is registered as an investment adviser under the Investment Advisers Act of 1940. The services provided by Domini 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 Funds. For its services under the Management
81
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NOTES TO FINANCIAL STATEMENTS(continued)
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Agreements, Domini receives from each Fund a fee accrued daily and paid monthly at the annual rate below of the respective Funds’ average daily net assets before any fee waivers:
| | |
| Domini Impact International Equity Fund | | 1.00% of the first $250 million of net assets managed, |
| (prior to May 1, 2017) | | 0.94% of the next $250 million of net assets managed, and |
| | 0.88% of net assets managed in excess of $500 million |
| | |
| (effective May 1, 2017) | | 0.97% of the first $250 million of net assets managed, |
| | 0.92% of the next $250 million of net assets managed, and |
| | 0.855% of the next $500 million of net assets managed |
| | 0.83% of net assets managed in excess of $1 billion |
| | |
Domini Impact Equity Fund (prior to May 1, 2017) | | 0.30% of the first $2 billion of net assets managed, |
| | 0.29% of the next $1 billion of net assets managed, and |
| | 0.28% of net assets managed in excess of $3 billion |
| | |
| (May 1, 2017 to November 30, 2018) | | 0.245% of the first $250 million of net assets managed, |
| | 0.24% of the next $250 million of net assets managed, and |
| | 0.235% of the next $500 million of net assets managed |
| | 0.23% of net assets managed in excess of $1 billion |
| | |
| (effective December 1, 2018) | | 0.20% of the first $2 billion of net assets managed, |
| | 0.19% of the next $1 billion of net assets managed, and |
| | 0.18% of net assets managed in excess of $3 billion |
Pursuant to a Sponsorship Agreement (with respect to the Domini Impact Equity Fund) Domini provides the Funds with the administrative personnel and services necessary to operate the Funds. In addition to general administrative services and facilities for the Funds similar to those provided by Domini under the Management Agreements, Domini answers questions from the general public and the media regarding the securities holdings of the Funds. For these services and facilities, Domini receives fees accrued daily and paid monthly from the Funds at the annual rate below of the respective Funds’ average daily net assets before any fee waivers:
| | |
| Domini Impact Equity Fund | | 0.45% of the first $2 billion of net assets managed, |
| | 0.44% of the next $1 billion of net assets managed, and |
| | 0.43% of net assets managed in excess of $3 billion |
Effective July 23, 2018, Domini agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses of the International Fund (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 1.15% of the average daily net assets of the Class Y shares of the Fund through November 30, 2019, absent an earlier modification by Fund’s Board. Effective June 15, 2018, Domini agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes,
82
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NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
and other extraordinary expenses), at no greater than 1.43% of the average daily net assets of the Class A shares of the Fund through November 30, 2019, absent an earlier modification by Fund’s Board. For the period from November 30, 2017 through June 14, 2018, Domini agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 1.51% of the average daily net assets of the Class A shares of the International Fund, absent an earlier modification by the Board of Trustees which oversee the Funds. For periods prior to November 30, 2017, Domini contractually agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 1.60%, 1.57%, and 1.27% of the average daily net assets of the Investor, Class A, and Institutional shares of the International Fund, respectively, absent an earlier modification by the Board of Trustees which oversee the Fund.
Effective December 1, 2018, Domini agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses of the Equity Fund (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 1.09%, 0.74% and 0.80% of the average daily net assets of the Investor shares, Institutional shares and Class R shares of the Fund, respectively. This agreement will continue until November 30, 2019, absent an earlier modification by the Board of Trustees which oversee the Funds. For the period from June 15, 2018 through November 30, 2019, Domini contractually agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 1.09% of the average daily net assets of the Class A shares of the Equity Fund, respectively, absent an earlier modification by the Board of Trustees which oversee the Fund. For the period from November 30, 2017, through June 14, 2018, Domini contractually agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest taxes, and other extraordinary expenses), at no greater than 1.12% of the average daily net assets of the Class A shares of the Equity Fund, absent an earlier modification of the Board of Trustees which oversee the Fund. For the period from November 30, 2017 through November 30, 2018, Domini contractually agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 0.74% of the average
83
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NOTES TO FINANCIAL STATEMENTS(continued)
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daily net assets of the Institutional shares of the Equity Fund, respectively, absent an earlier modification by the Board of Trustees which oversee the Fund. For periods prior to November 30, 2017, Domini contractually agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 1.25%, 1.18%, 0.80%, and 0.90% of the average daily net assets of the Investor, Class A, Institutional, and Class R shares of the Equity Fund, respectively, absent an earlier modification by the Board of Trustees which oversee the Fund.
For the year ended July 31, 2019, Domini waived fees and reimbursed expenses as follows:
| | | | | | | | |
| | | FEES WAIVED | | | EXPENSES REIMBURSED | |
| | | | | | | | |
Domini Impact International Equity Fund | | $ | - | | | $ | - | |
Domini Impact Equity Fund | | | - | | | | 141,667 | |
Fees waived and/or expenses reimbursed under the Expense Limitation Agreement are only recoverable by Domini and/or its affiliates in the current fiscal year to the extent actual Fund expenses are less than the contractual expense cap during such year.
As of July 31, 2019, Domini owned less than 1% of any class of the outstanding shares of each Fund.
(B) Submanager. Wellington Management Company LLP (Wellington), a Delaware limited liability partnership, provides investment submanagement services to the Domini Impact International Fund on aday-to-day basis pursuant to a Submanagement Agreement with Domini. SSGA Funds Management, Inc. (“SSGA”) provides investment submanagement services to the Domini Impact Equity Fund on aday-to-day basis pursuant to a submanagement Agreement with Domini. Prior to December 1, 2018, Wellington provided investment submanagement services to the Domini Impact Equity Fund.
(C) Distributor. The Board of Trustees of the Funds has adopted a Distribution Plan with respect to the Funds’ Investor shares and Class A shares in accordance with Rule12b-1 under the Act. DSIL Investment Services LLC, a wholly owned subsidiary of Domini (DSIL), acts as agent of the Funds in connection with the offering of Investor shares of the Funds pursuant to a Distribution Agreement. Under the Distribution Plan, the Funds pay expenses incurred in connection with the sale of Investor shares and Class A shares and pay DSIL a distribution fee at an aggregate annual rate not to exceed 0.25% of the average daily net assets representing the Investor shares and Class A shares.
84
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DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
For the year ended July 31, 2019, fees waived were as follows:
| | | | |
| | | FEES WAIVED | |
| | | | |
Domini Impact International Equity Fund Investor shares | | $ | - | |
Domini Impact International Equity Fund Class A shares | | | - | |
Domini Impact Equity Fund Investor shares | | | - | |
Domini Impact Equity Fund Class A shares | | | 17,016 | |
DSIL, the Funds’ Distributor, has received commissions related to the sales of fund shares. For the year ended July 31, 2019, DSIL received $6,693, and $2,567 from the Domini Impact International Equity Fund Class A Shares, and the Domini Impact Equity Fund Class A shares, respectively.
(D) Shareholder Service Agent. The Trust has retained Domini to provide certain shareholder services with respect to the Domini Impact Equity Fund, and Domini Impact International Equity Fund and their shareholders, which services were previously provided by BNY Asset Servicing (“BNY”) or another fulfillment and mail service provider and are supplemental to services currently provided by BNY, pursuant to a transfer agency agreement between each Fund and BNY. For these services, Domini receives fees from each Fund paid monthly at an annual rate of $4.00 per active account. For the year ended July 31, 2019, there were no fees waived.
(E) Trustees and Officers. For the year ended July 31, 2019, each of the Independent Trustees received an annual retainer for serving as a Trustee of the Trust of $23,000. The Lead Independent Trustee and Chair of the Audit Committee receive an additional chairperson fee of $5,000. Each Independent Trustee also receives $2,000 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at anin-person meeting by telephone). In addition, each Trustee receives reimbursement for reasonable expenses incurred in attending meetings. These expenses are allocated on apro-rata basis to each shares class of a Fund according to their respective net assets.
As of July 31, 2019, all Trustees and officers of the Trust as a group owned less than 1% of each Fund’s outstanding shares.
3. INVESTMENT TRANSACTIONS
For the year ended July 31, 2019, cost of purchase and proceeds from sales of investments other than short-term obligations were as follows:
| | | | | | | | |
| | | PURCHASE | | | SALES | �� |
| | | | | | | | |
Domini Impact International Equity Fund | | $ | 972,235,189 | | | $ | 1,054,968,744 | |
Domini Impact Equity Fund | | | 713,983,020 | | | | 786,117,984 | |
85
DOMINI IMPACT INTERNATIONAL EQUITY FUND
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NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
4. SHARES OF BENEFICIAL INTEREST
At July 31, 2019, there was an unlimited number of shares authorized ($0.00001 par value). Transactions in the Funds’ shares were as follows:
| | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| | | | | | | | | | | | | | | | |
| | |
Domini Impact International Equity Fund | | | | | | | | | |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 24,303,904 | | | $ | 190,673,932 | | | | 39,894,020 | | | $ | 356,832,367 | |
Shares issued in reinvestment of dividends and distributions | | | 3,091,753 | | | | 22,137,191 | | | | 1,413,528 | | | | 12,462,152 | |
Shares redeemed | | | (41,786,713) | | | | (323,770,731) | | | | (39,056,074) | | | | (341,831,670) | |
Redemption fees | | | - | | | | 805 | | | | - | | | | 11,010 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (14,391,056) | | | $ | (110,958,803) | | | | 2,251,474 | | | $ | 27,473,859 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 967,602 | | | $ | 8,251,715 | | | | 3,331,819 | | | $ | 31,380,030 | |
Shares issued in reinvestment of dividends and distributions | | | 177,655 | | | | 1,348,666 | | | | 221,769 | | | | 2,059,863 | |
Shares redeemed | | | (6,684,078) | | | | (53,663,751) | | | | (3,990,387) | | | | (37,650,332) | |
Redemption fees | | | - | | | | 124 | | | | - | | | | 2,370 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (5,538,821) | | | $ | (44,063,246) | | | | (436,799) | | | $ | (4,208,069) | |
| | | | | | | | | | | | | | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 33,570,307 | | | $ | 259,151,456 | | | | 29,935,225 | | | $ | 266,559,969 | |
Shares issued in reinvestment of dividends and distributions | | | 3,069,246 | | | | 21,899,374 | | | | 870,749 | | | | 7,646,549 | |
Shares redeemed | | | (35,175,817) | | | | (270,160,153) | | | | (8,085,636) | | | | (71,451,343) | |
Redemption fees | | | - | | | | 4,273 | | | | - | | | | 2,220 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 1,463,736 | | | $ | 10,894,950 | | | | 22,720,338 | | | $ | 202,757,395 | |
| | | | | | | | | | | | | | | | |
| | | | |
Class Y Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 28,384,340 | | | $ | 218,347,206 | | | | 16,332,872 | | | $ | 139,857,877 | |
Shares issued in reinvestment of dividends and distributions | | | 89,854 | | | | 687,342 | | | | - | | | | - | |
Shares redeemed | | | (13,816,929) | | | | (105,876,713) | | | | (80,143) | | | | (697,659) | |
Redemption fees | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 14,657,265 | | | $ | 113,157,835 | | | | 16,252,729 | | | $ | 139,160,218 | |
| | | | | | | | | | | | | | | | |
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NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
| | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| | | | |
Total | | | | | | | | | | | | | | | | |
Shares sold | | | 87,226,153 | | | $ | 676,424,309 | | | | 89,493,936 | | | $ | 794,630,243 | |
Shares issued in reinvestment of dividends and distributions | | | 6,428,508 | | | | 46,072,573 | | | | 2,506,046 | | | | 22,168,564 | |
Shares redeemed | | | (97,463,537) | | | | (753,471,348) | | | | (51,212,240) | | | | (451,631,004) | |
Redemption fees | | | - | | | | 5,202 | | | | - | | | | 15,600 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (3,808,876) | | | $ | (30,969,264) | | | | 40,787,742 | | | $ | 365,183,403 | |
| | | | | | | | | | | | | | | | |
As approved by the Board of Trustees, the Domini Impact Equity Fund Investor Shares effected a 1.9988601 for 1 share split and the Domini Impact Equity Fund Class A Shares and Domini Impact Equity Fund R Shares effected a 0.2155310 for 1 and 0.1555580 for 1 reverse share split, respectively on January 26, 2018. The net asset value of each share class increased or decreased proportionately at that time.
| | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| | | | | | | | | | | | | | | | |
| | |
Domini Impact Equity Fund | | | | | | | | | |
| | | | |
Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 879,355 | | | $ | 19,126,285 | | | | 917,893 | | | $ | 29,370,549 | |
Shares issued in reinvestment of dividends and distributions | | | 3,661,035 | | | | 69,217,851 | | | | 838,545 | | | | 36,957,120 | |
Shares redeemed | | | (3,591,902) | | | | (78,754,646) | | | | (3,320,197) | | | | (101,150,879) | |
Redemption fees | | | - | | | | 445 | | | | - | | | | 5,862 | |
Share increase from 1.9988601 for 1 share split | | | - | | | | - | | | | 14,659,938 | | | | - | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 948,488 | | | $ | 9,589,935 | | | | 13,096,179 | | | $ | (34,817,348) | |
| | | | | | | | | | | | | | | | |
| | | | |
Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 42,283 | | | $ | 898,425 | | | | 58,766 | | | $ | 629,074 | |
Shares issued in reinvestment of dividends and distributions | | | 31,521 | | | | 597,049 | | | | 545,022 | | | | 2,812,219 | |
Shares redeemed | | | (72,624) | | | | (1,633,260) | | | | (261,738) | | | | (2,366,902) | |
Redemption fees | | | - | | | | 681 | | | | - | | | | - | |
Share decrease from 0.2155310 for 1 reverse share split | | | - | | | | - | | | | (1,212,001) | | | | - | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 1,180 | | | $ | (137,105) | | | | (869,951) | | | $ | 1,074,391 | |
| | | | | | | | | | | | | | | | |
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DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
| | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 352,336 | | | $ | 7,669,099 | | | | 399,455 | | | $ | 9,760,419 | |
Shares issued in reinvestment of dividends and distributions | | | 555,983 | | | | 10,479,770 | | | | 646,168 | | | | 15,326,138 | |
Shares redeemed | | | (1,475,974) | | | | (31,469,527) | | | | (2,497,382) | | | | (60,543,234) | |
Redemption fees | | | - | | | | 119 | | | | - | | | | 802 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (567,655) | | | $ | (13,320,539) | | | | (1,451,759) | | | $ | (35,455,875) | |
| | | | | | | | | | | | | | | | |
| | | | |
Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 172,370 | | | $ | 3,837,323 | | | | 155,216 | | | $ | 1,300,794 | |
Shares issued in reinvestment of dividends and distributions | | | 110,110 | | | | 2,079,468 | | | | 2,439,012 | | | | 9,094,696 | |
Shares redeemed | | | (154,772) | | | | (3,285,568) | | | | (537,937) | | | | (5,885,573) | |
Redemption fees | | | - | | | | 5 | | | | - | | | | 6 | |
Share decrease from 0.1555580 for 1 reverse share split | | | - | | | | - | | | | (4,865,777) | | | | - | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 127,708 | | | $ | 2,631,228 | | | | (2,809,486) | | | $ | 4,509,923 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | | | | | | | | | | | | | | | |
Shares sold | | | 1,446,344 | | | $ | 31,531,132 | | | | 1,531,330 | | | $ | 41,060,836 | |
Shares issued in reinvestment of dividends and distributions | | | 4,358,649 | | | | 82,374,138 | | | | 4,468,747 | | | | 64,190,173 | |
Shares redeemed | | | (5,295,272) | | | | (115,143,001) | | | | (6,617,254) | | | | (169,946,588) | |
Redemption fees | | | - | | | | 1,250 | | | | - | | | | 6,670 | |
Share increase from share split | | | - | | | | - | | | | 8,582,160 | | | | - | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 509,721 | | | $ | (1,236,481) | | | | 7,964,983 | | | $ | (64,688,909) | |
| | | | | | | | | | | | | | | | |
5. FEDERAL TAX STATUS
The tax basis of the components of net assets for the Funds at July 31, 2019, is as follows:
| | | | | | | | |
| | | Domini Impact
International
Equity Fund | | | Domini
Impact Equity
Fund | |
Undistributed ordinary income | | $ | 34,293,912 | | | $ | 385,594 | |
Undistributed capital gains | | | - | | | | 15,320,007 | |
Unrealized appreciation/(depreciation) | | | 33,899,831 | | | | 128,809,917 | |
Capital losses, other losses and other temporary differences | | | (105,893,243) | | | | - | |
| | | | | | | | |
Distributable net earnings/(deficit) | | $ | (37,699,500) | | | $ | 144,515,518 | |
| | | | | | | | |
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DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
The difference between components of Distributable Earnings on a tax basis and the amounts reflected in the statement of assets and liabilities is primarily due to differences in book and tax policies. For the year ended July 31, 2019, the Funds made the following reclassifications to the components of net assets to align financial reporting with tax reporting:
| | | | | | | | |
| | | Domini Impact
International
Equity Fund | | | Domini
Impact Equity
Fund | |
Undistributed net investment income (loss) | | $ | 1,574,618 | | | $ | (59,718) | |
Accumulated net realized gain (loss) | | | (1,574,615) | | | | 59,718 | |
Paid in capital | | | (3) | | | | - | |
To the extent that the Funds realize net capital gains in the future, those gains may be offset by any unused net capital loss carryforwards. The Funds are permitted to carry forward a net capital loss from any taxable year that began on or before December 22, 2010 for eight years following the year of the loss. The Funds are permitted to carry forward net capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited time period. Carryforwards of losses from taxable years that began after December 22, 2010, along with any other capital losses deferred and treated as recognized in any such year, are required to be utilized prior to carryforwards of losses incurred in taxable years that began on or before December 22, 2010. As a result of this ordering rule, carryforwards of losses from taxable years that began on or before December 22, 2010 may be more likely to expire unused. Losses from taxable years that begin after December 22, 2010 that are carried forward will retain their character as either short-term or long-term capital losses. As of July 31, 2019, the Domini Impact International Fund had ashort-term capital loss carryover of $69,035,664 and long-term capital loss carryover of $36,857,579.
For federal income tax purposes, dividends paid were characterized as follows:
| | | | | | | | | | | | | | | | |
| | | Domini Impact International
Equity Fund | | | Domini Impact Equity Fund | |
| | | Year Ended July 31, | | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2019 | | | 2018 | |
| | | | | | | | | | | | | | | | |
Ordinary income | | $ | 25,106,722 | | | $ | 33,891,806 | | | $ | 21,310,037 | | | $ | 12,405,096 | |
Long-term capital gain | | | 36,772,373 | | | | - | | | | 66,953,629 | | | | 54,018,023 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 61,879,095 | | | $ | 33,891,806 | | | $ | 88,263,666 | | | $ | 66,423,119 | |
| | | | | | | | | | | | | | | | |
The Funds are subject to the provisions of Accounting Standards Codification ASC 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or
89
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DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
expected to be taken in a tax return. The Funds did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for taxes on income, capital gains or unrealized appreciation on securities held or for excise tax on income and capital gains.
6. SUBSEQUENT EVENTS
Effective August 1, 2019, each of the Independent Trustees receives an annual retainer for serving as a Trustee of the Trust of $28,000. Each Independent Trustee also receives $2,000 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at anin-person meeting by telephone).
7. OTHER RISKS
The Funds’ risks include, but are not limited to, some or all of the risks discussed below:
Foreign Investing and Emerging Markets Risk:Investments in foreign regions may be more volatile and less liquid than U.S. investments due to adverse political, social, and economic developments, such as nationalization or expropriation of assets, confiscatory taxation, terrorism and political or financial instability; regulatory differences, such as accounting, auditing, and financial reporting standards and practices; natural disasters; and the degree of government oversight and supervision. With respect to the Domini Impact International Equity Fund, these risks may be heightened in connection with investments in emerging-market countries.
Liquidity Risk: The Funds may make investments that are illiquid or that become illiquid after purchase. The liquidity and value of investments can deteriorate rapidly, and they may become difficult to purchase or sell, or may be illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. Markets may become illiquid when, for instance, there are few, if any, interested buyers or sellers or when dealers are unwilling or unable to make markets for certain securities. Due to limitations on investments in illiquid securities, the Funds may be unable to achieve its desired level of exposure to certain sectors. If the Funds are forced to sell an illiquid investment to meet redemption requests or other cash needs, the Funds may be forced to sell such securities at a loss.
Market Risk: Securities markets may be volatile, and the market prices of the Funds’ securities may decline. Securities fluctuate in price based on changes in
90
DOMINI IMPACT INTERNATIONAL EQUITY FUND
DOMINI IMPACT EQUITY FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Funds fall, the value of an investment in the Funds will decline.
Market Sector Risk: The Funds may hold a large percentage of securities in a single market sector (e.g., financials). To the extent the Funds hold a large percentage of securities in a single sector, their performance will be tied closely to and affected by the performance of that sector, and the Funds will be subject to a greater degree to any market price movements, regulator or technological change, economic conditions or other developments or risks affecting such market sector than a fund without the same focus.
91
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
Domini Investment Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Domini Impact Equity Fund and Domini Impact International Equity Fund (collectively, the Funds), each a series of the Domini Investment Trust, including the portfolios of investments, as of July 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in thetwo-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in thefive-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the years in thetwo-year period then ended, and the financial highlights for each of the years or periods in thefive-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2019, by correspondence with custodians and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Domini investment companies since 1993.
Boston, Massachusetts
September 26, 2019
92
DOMINI IMPACT BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2019
| | | | |
ASSETS: | | | | |
Investments at value (cost $180,422,450) | | $ | 185,546,516 | |
Cash | | | 2,438,527 | |
Foreign currency (cost $9,486) | | | 9,459 | |
Receivable for securities sold | | | 2,895,781 | |
Interest receivable | | | 835,633 | |
Collateral on certain derivative contracts | | | 527,320 | |
Premium received swap contracts | | | 480,116 | |
Receivable for variation margin swaps | | | 753,151 | |
Receivable for capital shares | | | 123,240 | |
Cash held at other banks (cost $50,276) | | | 50,225 | |
Unrealized appreciation on OTC swap contracts | | | 50,478 | |
Premium received for OTC swap contracts | | | 614 | |
Unrealized appreciation on forward currency contracts | | | 194 | |
| | | | |
Total assets | | | 193,711,254 | |
| | | | |
LIABILITIES: | | | | |
Payable for securities purchased | | | 33,930,580 | |
Payable for capital shares | | | 85,355 | |
Payable for variation margin swaps | | | 1,188,042 | |
Cash due to broker (cost $154,398) | | | 154,400 | |
Management fee payable | | | 76,122 | |
Distribution fee payable | | | 27,278 | |
Other accrued expenses | | | 30,703 | |
Dividend payable | | | 53,381 | |
Payable for variation margin futures | | | 27,701 | |
Unrealized depreciation on OTC swap contracts | | | 16,661 | |
Unrealized depreciation on forward currency contracts | | | 641 | |
Foreign tax payable | | | 210 | |
| | | | |
Total liabilities | | | 35,591,074 | |
| | | | |
NET ASSETS | | $ | 158,120,180 | |
| | | | |
NET ASSETS CONSIST OF: | | | | |
Paid-in capital | | $ | 154,595,750 | |
Total distributable earnings (loss) | | | 3,524,430 | |
| | | | |
| | $ | 158,120,180 | |
| | | | |
NET ASSET VALUE PER SHARE | | | | |
| |
Investor Shares | | | | |
Net assets | | $ | 120,991,759 | |
| | | | |
Outstanding shares of beneficial interest | | | 10,561,062 | |
| | | | |
Net asset value and offering price per share* | | $ | 11.46 | |
| | | | |
| |
Institutional Shares | | | | |
Net assets | | $ | 37,128,421 | |
| | | | |
Outstanding shares of beneficial interest | | | 3,263,116 | |
| | | | |
Net asset value and offering price per share* | | $ | 11.38 | |
| | | | |
* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
93
DOMINI IMPACT BOND FUND
STATEMENT OF OPERATIONS
For the Year Ended July 31, 2019
| | | | |
INCOME: | | | | |
Interest income (net of foreign taxes $210) | | $ | 4,990,872 | |
| | | | |
EXPENSES: | | | | |
Management fee | | | 470,066 | |
Administrative fee | | | 365,132 | |
Distribution fees – Investor shares | | | 309,132 | |
Transfer agent fees – Investor shares | | | 224,783 | |
Transfer agent fees – Institutional shares | | | 2,931 | |
Accounting and custody fees | | | 128,715 | |
Professional fees | | | 64,168 | |
Registration – Investor shares | | | 20,150 | |
Registration – Institutional shares | | | 21,266 | |
Shareholder communications | | | 20,732 | |
Miscellaneous | | | 16,806 | |
Trustees fees | | | 16,182 | |
Shareholder Service fees – Investor shares | | | 12,419 | |
Shareholder Service fees – Institutional shares | | | 62 | |
| | | | |
Total expenses | | | 1,672,544 | |
Fees waived and expense reimbursed | | | (465,316) | |
Transfer agent credits | | | (821) | |
| | | | |
Net expenses | | | 1,206,407 | |
| | | | |
NET INVESTMENT INCOME | | | 3,784,465 | |
| | | | |
REALIZED AND UNREALIZED GAINS (LOSSES) | | | | |
NET REALIZED GAIN (LOSS) FROM: | | | | |
Investments | | | (103,695) | |
Swap contracts | | | 228,083 | |
Futures contracts | | | (43,951) | |
Foreign currency | | | (26,474) | |
Forward contracts | | | 97,212 | |
Options | | | (124,053) | |
| | | | |
Net realized gain (loss) | | | 27,122 | |
| | | | |
NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | |
Investments | | | 8,546,097 | |
Swap contracts | | | (1,741,728) | |
Futures contracts | | | (20,182) | |
Forward contracts | | | 38,046 | |
Options | | | (1,427) | |
Translation of assets and liabilities in foreign currencies | | | (1,798) | |
| | | | |
Net change in unrealized appreciation (depreciation) | | | 6,819,008 | |
| | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | 6,846,130 | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 10,630,595 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS
94
DOMINI IMPACT BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended
July 31, 2019 | | | Year Ended
July 31, 2018 | |
INCREASE IN NET ASSETS | | | | | | | | |
OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 3,784,465 | | | $ | 3,697,413 | |
Net realized gain (loss) on investments | | | 27,122 | | | | (647,623) | |
Net change in unrealized appreciation (depreciation) on investments | | | 6,819,008 | | | | (4,142,783) | |
| | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | 10,630,595 | | | | (1,092,993) | |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Investor shares | | | (3,063,693) | | | | (3,516,123) | |
Institutional shares | | | (678,202) | | | | (238,435) | |
Tax return of capital distribution: | | | | | | | | |
Investor shares | | | (212,844) | | | | - | |
Institutional shares | | | (65,315) | | | | - | |
| | | | | | | | |
Net Decrease in Net Assets from Distributions | | | (4,020,054) | | | | (3,754,558) | |
| | | | | | | | |
CAPITAL SHARE TRANSACTIONS: | | | | | | | | |
Proceeds from sale of shares | | | 51,634,024 | | | | 44,398,448 | |
Net asset value of shares issued in reinvestment of distributions and dividends | | | 3,641,521 | | | | 3,554,681 | |
Payment for shares redeemed | | | (60,280,384) | | | | (35,687,603) | |
Redemption fee | | | 1,618 | | | | 1,846 | |
| | | | | | | | |
Net Increase (Decrease) in Net Assets from Capital Share Transactions | | | (5,003,221) | | | | 12,267,372 | |
| | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 1,607,320 | | | | 7,419,821 | |
NET ASSETS: | | | | | | | | |
Beginning of period | | $ | 156,512,860 | | | $ | 149,093,039 | |
| | | | | | | | |
End of period | | $ | 158,120,180 | | | $ | 156,512,860 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS
95
DOMINI IMPACT BOND FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $10.92 | | | | $11.26 | | | | $11.60 | | | | $11.16 | | | | $11.24 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.28 | | | | 0.26 | | | | 0.23 | | | | 0.24 | | | | 0.17 | |
Net realized and unrealized gain (loss) on investments | | | 0.55 | | | | (0.33) | | | | (0.29) | | | | 0.50 | | | | (0.07) | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | 0.83 | | | | (0.07) | | | | (0.06) | | | | 0.74 | | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.27) | | | | (0.26) | | | | (0.23) | | | | (0.24) | | | | (0.17) | |
Distributions to shareholders from net realized gain | | | - | | | | (0.01) | | | | (0.05) | | | | (0.06) | | | | (0.01) | |
Tax return of capital5 | | | (0.02) | 1 | | | - | | | | (0.00) | 1 | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.29) | | | | (0.27) | | | | (0.28) | | | | (0.30) | | | | (0.18) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.46 | | | | $10.92 | | | | $11.26 | | | | $11.60 | | | | $11.16 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | 7.77% | | | | -0.74% | | | | -0.32% | | | | 6.73% | | | | 0.89% | |
Portfolio turnover | | | 319% | | | | 326% | | | | 386% | | | | 297% | | | | 348% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $121 | | | | $144 | | | | $143 | | | | $144 | | | | $129 | |
Ratio of expenses to average net assets | | | 0.87% | 3,4 | | | 0.87% | 3 | | | 0.93% | 3 | | | 0.93% | 3 | | | 0.95% | 3 |
Ratio of gross expenses to average net assets | | | 1.20% | | | | 1.14% | | | | 1.16% | | | | 1.19% | | | | 1.24% | |
Ratio of net investment income to average net assets | | | 2.55% | | | | 2.37% | | | | 2.06% | | | | 2.13% | | | | 1.52% | |
1 Amount represents less than $0.005 per share.
2 Not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager and the Distributor of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.87% for the year ended July 31, 2019.
5 Based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS
96
DOMINI IMPACT BOND FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
For a share outstanding for the period: | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $10.89 | | | | $11.23 | | | | $11.57 | | | | $11.14 | | | | $11.23 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.33 | | | | 0.30 | | | | 0.27 | | | | 0.27 | | | | 0.20 | |
Net realized and unrealized gain (loss) on investments | | | 0.53 | | | | (0.34) | | | | (0.29) | | | | 0.49 | | | | (0.09) | |
| | | | | | | | | | | | | | | | | | | | |
Total income (loss) from investment operations | | | 0.86 | | | | (0.04) | | | | (0.02) | | | | 0.76 | | | | 0.11 | |
| | | | | | | | | | | | | | | | | | | | |
Less dividends and distributions: | | | | | | | | | | | | | | | | | | | | |
Dividends to shareholders from net investment income | | | (0.34) | | | | (0.29) | | | | (0.27) | | | | (0.27) | | | | (0.20) | |
Distributions to shareholders from net realized gain | | | - | | | | (0.01) | | | | (0.05) | | | | (0.06) | | | | (0.01) | |
Tax return of capital5 | | | (0.03) | 1 | | | - | | | | (0.00) | 1 | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.37) | | | | (0.30) | | | | (0.32) | | | | (0.33) | | | | (0.21) | |
| | | | | | | | | | | | | | | | | | | | |
Redemption fee proceeds5 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.38 | | | | $10.89 | | | | $11.23 | | | | $11.57 | | | | $11.14 | |
| | | | | | | | | | | | | | | | | | | | |
Total return2 | | | 8.06% | | | | -0.36% | | | | -0.13% | | | | 6.96% | | | | 1.10% | |
Portfolio turnover | | | 319% | | | | 326% | | | | 386% | | | | 297% | | | | 348% | |
Ratios/supplemental data (annualized): | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in millions) | | | $37 | | | | $13 | | | | $6 | | | | $3 | | | | $2 | |
Ratio of expenses to average net assets | | | 0.57% | 3,4 | | | 0.57% | 3 | | | 0.62% | 3 | | | 0.63% | 3 | | | 0.65% | 3 |
Ratio of gross expenses to average net assets | | | 0.84% | | | | 1.03% | | | | 1.02% | | | | 1.22% | | | | 1.07% | |
Ratio of net investment income to average net assets | | | 2.84% | | | | 2.67% | | | | 2.38% | | | | 2.46% | | | | 1.79% | |
1 Amount represents less than $0.005 per share.
2 Not annualized for periods less than one year.
3 Reflects a waiver of fees by the Manager of the Fund.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.57% for the year ended July 31, 2019.
5 Based on average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS
97
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS
July 31, 2019
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Domini Impact Bond Fund (the “Fund”) is a series of the Domini Investment Trust. The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as anopen-end management investment company. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946 “Financial Services — Investment Companies”. The Fund offers Investor Shares, Institutional Shares and Class Y shares. Institutional shares and Class Y shares were not offered prior to November 30, 2011, and June 15, 2018, respectively. As of July 31, 2019, the Class Y shares of the Bond Fund had not yet commenced operations. Each class of shares is sold at its offering price, which is net asset value. The Institutional shares may only be purchased by or for the benefit of investors that meet the minimum investment requirements, and fall within the following categories: endowments, foundations, religious organizations and other nonprofit entities, individuals, retirement plan sponsors, family office clients, certain corporate or similar institutions, or omnibus accounts maintained by financial intermediaries and that are approved by the Fund’s Distributor. Class Y shares may only be purchased through omnibus accounts held on the books of the Fund for financial intermediaries that have been approved by the Funds’ distributor. Each class of shares has identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets, and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and registration fees, directly attributable to that class. Institutional shares are not subject to distribution fees. The Fund seeks to provide its shareholders with a high level of current income and total return by investing in bonds and other debt instruments that are consistent with the Fund’s social and environmental standards and the submanager’s security selection approach.
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure 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.
98
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
(A) Valuation of Investments.Bonds and other fixed-income securities (other than obligations with maturities of 60 days or less) are valued on the basis of valuations furnished by an independent pricing service, use of which has been approved by the Board of Trustees of the Fund. In making such valuations, the pricing service utilizes both dealer-supplied valuations and electronic data processing techniques that take into account appropriate factors such asinstitutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data, without exclusive reliance upon quoted prices or exchange orover-the-counter prices, since such valuations are believed to reflect more accurately the fair value of such securities. Short-term obligations of sufficient credit quality (maturing in 60 days or less) are valued at amortized cost, which constitutes fair value as determined by the Board of Trustees of the Fund. Securities (other than short-term obligations with remaining maturities of 60 days or less) for which there are no such quotations or valuations are valued at fair value as determined in good faith by or at the direction of the Fund’s Board of Trustees. The Fund follows a fair value hierarchy that distinguishes between (a) market participant assumptions developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (b) the Fund’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). These inputs are used in determining the value of the Fund’s investments and are summarized in the following fair value hierarchy:
Level 1 — quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, and evaluated quotation obtained from pricing services)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
99
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
The following is a summary of the inputs used, as of July 31, 2019, in valuing the Fund’s assets carried at fair value:
| | | | | | | | | | | | | | | | |
| | | Level 1 -
Quoted Prices | | | Level 2 -
Other
Significant
Observable
Inputs | | | Level 3 -
Significant
Unobservable
Inputs | | | Total | |
| | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments in Securities: | | | | | | | | | | | | | | | | |
Mortgage Backed Securities | | $ | - | | | $ | 95,293,562 | | | $ | - | | | $ | 95,293,562 | |
Corporate Bonds and Notes | | | - | | | | 43,603,050 | | | | - | | | | 43,603,050 | |
Municipal Bonds | | | - | | | | 11,877,300 | | | | - | | | | 11,877,300 | |
U.S. Government Agencies | | | - | | | | 9,130,050 | | | | - | | | | 9,130,050 | |
Senior Floating Rate Interests | | | - | | | | 5,918,454 | | | | - | | | | 5,918,454 | |
Foreign Government & Agencies | | | - | | | | 2,326,639 | | | | - | | | | 2,326,639 | |
Asset Backed Securities | | | - | | | | 1,349,015 | | | | - | | | | 1,349,015 | |
Certificates of Deposit | | | - | | | | 754,443 | | | | - | | | | 754,443 | |
| | | | | | | | | | | | | | | | |
Total Long-Term Securities | | $ | - | | | $ | 170,252,513 | | | $ | - | | | $ | 170,252,513 | |
| | | | | | | | | | | | | | | | |
| | | | |
Short Term Investments in Securities: | | | | | | | | | | | | | | | | |
Foreign Government & Agencies | | | - | | | | 3,224,524 | | | | - | | | | 3,224,524 | |
U.S. Government Agencies | | | - | | | | 12,069,479 | | | | - | | | | 12,069,479 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Securities | | $ | - | | | $ | 15,294,003 | | | $ | - | | | $ | 15,294,003 | |
| | | | | | | | | | | | | | | | |
Total Investment in Securities | | $ | - | | | $ | 185,546,516 | | | $ | - | | | $ | 185,546,516 | |
| | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Swap Contracts | | $ | - | | | | 803,629 | | | $ | - | | | | 803,629 | |
Forward Currency Contracts | | | - | | | | 194 | | | | - | | | | 194 | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | $ | - | | | $ | 803,823 | | | $ | - | | | $ | 803,823 | |
| | | | | | | | | | | | | | | | |
100
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
| | | | | | | | | | | | | | | | |
| | | Level 1 -
Quoted Prices | | | Level 2 -
Other
Significant
Observable
Inputs | | | Level 3 -
Significant
Unobservable
Inputs | | | Total | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | $ | - | | | $ | 641 | | | $ | - | | | $ | 641 | |
Futures Contracts | | | - | | | | 27,715 | | | | - | | | | 27,715 | |
Swap Contracts | | | - | | | | 1,204,703 | | | | - | | | | 1,204,703 | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | $ | - | | | $ | 1,233,059 | | | $ | - | | | $ | 1,233,059 | |
| | | | | | | | | | | | | | | | |
(B) Foreign Currency Translation. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities, and income and expense items denominated in foreign currencies, are translated into U.S. dollar amounts on the respective dates of such transactions. Occasionally, events impact the availability or reliability of foreign exchange rates used to convert the U.S. dollar equivalent value. If such an event occurs, the foreign exchange rate will be valued at fair value using procedures established and approved by the Board of Trustees. The Funds do not separately report the effect of fluctuations in foreign exchange rates from changes in market prices on securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts received or paid. Net unrealized foreign exchange gains and losses arise from changes in fair value of assets and liabilities other than investments in securities held at the end of the reporting period, resulting from changes in exchange rates.
(C) Foreign Currency Contracts. When the Funds purchase or sell foreign securities they enter into foreign exchange contracts to minimize foreign exchange risk from the trade date to the settlement date of the transactions. A foreign exchange contract is an agreement between two parties to exchange different currencies at an agreed-upon exchange rate on a specified date. The Fund had no outstanding open foreign currency spot contracts as of July 31, 2019.
101
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
(D) Securities Purchased on a When-Issued or Delayed Delivery Basis. The Fund may invest in when-issued or delayed delivery securities where the price of the security is fixed at the time of the commitment, but delivery and payment take place beyond customary settlement time. These securities are subject to market fluctuation, and no interest accrues on the security to the purchaser during this period. The payment obligation and the interest rate that will be received on the securities are each fixed at the time the purchaser enters into the commitment. Purchasing obligations on a when-issued or delayed delivery basis is a form of leveraging and can involve a risk that the yields available in the market when the delivery takes place may be higher than those obtained in the transaction, which could result in an unrealized loss at the time of delivery. The Fund establishes a segregated account consisting of liquid securities equal to the amount of the commitments to purchase securities on such basis.
(E) TBA Purchase and Forward Sale Commitments. The Fund may enter into TBA commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves and involve a risk of loss if the value of the security to be purchase or sold declines or increases prior to the settlement date, which is in addition to the risk of decline in the value of the Fund’s other assets.
(F) Derivative Financial Instruments. The Fund may invest in derivatives in order to hedge market risks, or to seek to increase the Fund’s income or gain. Derivatives in certain circumstances may require that the Fund segregate cash or other liquid assets to the extent the Fund’s obligations are not otherwise covered through ownership of the underlying security, financial instrument, or currency. Derivatives involve special risks, including possible default by the other party to the transaction, illiquidity, and the risk that the use of derivatives could result in greater losses than if it had not been used. Some derivative transactions, including options, swaps, forward contracts, and options on foreign currencies, are entered into directly by the counterparties or through financial institutions acting as market makers (OTC derivatives), rather than being traded on exchanges or in markets registered with the Commodity Futures Trading Commission or the SEC.
(G) Option Contracts. The Fund may purchase or write option contracts primarily to manage and/or gain exposure to interest rate, foreign exchange rate and credit risk. An option is a contract entitling the holder to purchase or sell a specific number of shares or units of an asset or notional amount of a swap (swaption), at a specified price. Options purchased are recorded as an asset while options written are recorded as a liability. Upon exercise of an option, the acquisition cost or sales proceeds of the underlying investment is adjusted by
102
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
any premium received or paid. Upon expiration of an option, any premium received or paid is recorded as a realized gain or loss. Upon closing an option other than through expiration or exercise, the difference between the premium and the cost to close the position is recorded as a realized gain or loss. The Fund had no purchased option contracts outstanding as of July 31, 2019.
(H) Futures Contracts. The Fund may purchase and sell futures contracts based on various securities, securities indexes, and other financial instruments and indexes. The Fund intends to use futures contracts for hedging purposes. Futures contracts provide for the future sale by one party and purchase by another party of a specified amount of a specified security or financial instrument at a specified future time and at a specified price. When the Fund purchases or sells a futures contract, the Fund must allocate certain of its assets as an initial deposit on the contract. The futures contract is marked to market daily thereafter, and the Fund may be required to pay or entitled to receive additional “variation margin,” based on decrease or increase in the value of the futures contract. Future contracts outstanding at July 31, 2019 are listed in the Fund’s Portfolio of Investments.
(I) Forward Currency Contracts. The Fund may enter into forward currency contracts with counterparties to hedge the value of portfolio securities denominated in particular currencies against fluctuations in relative value or to generate income or gain. These contracts are used to hedge foreign exchange risk and to gain exposure on currency. The U.S. dollar value of forward currency contracts is determined using current forward exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The Fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Fund is unable to enter into a closing position. Risk may exceed amounts recognized on the Statement of Assets and Liabilities. Forward currency contracts outstanding at July 31, 2019 are listed in the Fund’s Portfolio of Investments.
(J) Interest Rate Swap Contracts. The Fund may enter into interest rate swap contracts to hedge interest rate risk. An interest rate swap is an agreement between the Fund and a counterparty to exchange cash flows based on the difference between two interest rates, applied to a notional amount. Interest rate swap contracts are marked to market daily based upon quotations from an
103
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
independent pricing service or market maker. Any change on an OTC interest rate swap is recorded as an unrealized gain or loss on the Statement of Assets and Liabilities. Daily fluctuations in the value of centrally cleared interest rate swaps are settled though a central clearing agent and are recorded in variation margin on the Statement of Assets and Liabilities and recorded as unrealized gain or loss. OTC and centrally cleared interest rate swap contracts outstanding at July 31, 2019, are listed in the Fund’s Portfolio of Investments.
(K) Credit Default Swap Contracts. The Fund may enter into credit default swap contracts primarily to manage and/or gain exposure to credit risk. A credit default swap is an agreement between the fund and a counterparty whereby the buyer of the contract receives credit protection and the seller of the contract guarantees the credit worthiness of a referenced debt obligation. These agreements may be privately negotiated in theover-the-counter market (“OTC credit default swaps”) or may be executed in a multilateral trade facility platform, such as a registered exchange (“centrally cleared credit default swaps”). The underlying referenced debt obligation may be a single issuer of corporate or sovereign debt, a credit index, or a tranche of a credit index. In the event of a default of the underlying referenced debt obligation, the buyer is entitled to receive the notional amount of the credit default swap contract from the seller in exchange for the referenced debt obligation, a net settlement amount equal to the notional amount of the credit default swap less the recovery value of the referenced debt obligation, or other agreed upon amount. For centrally cleared credit default swaps, required initial margins are pledged by the fund, and the daily change in fair value is accounted for as a variation margin payable or receivable on the Statements of Assets and Liabilities. Over the term of the contract, the buyer pays the seller a periodic stream of payments, provided that no event of default has occurred. Such periodic payments are accrued daily as an unrealized appreciation or depreciation until the payments are made, at which time they are realized. Payments received or paid to initiate a credit default swap contract are reflected on the Statements of Assets and Liabilities and represent compensating factors between stated terms of the credit default swap agreement and prevailing market conditions (credit spreads and other relevant factors). These upfront payments are amortized over the term of the contract as a realized gain or loss on the Statements of Operations. OTC and centrally cleared credit default swap contracts outstanding at July 31, 2019 are listed in the Fund’s Portfolio of Investments.
(L) Master Agreements. The Fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts (Master Agreements) with certain
104
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s portfolio. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified in the Fund’s portfolio. Collateral can be in the form of cash or other marketable securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the counterparty include certain deteriorations in the credit quality of the counterparty. Termination events applicable to the Fund include failure of the Fund to maintain certain net asset levels and/or limit the decline in net assets over various periods of time. In the event of default or early termination, the ISDA Master Agreement gives thenon-defaulting party the right to net andclose-out all transactions traded, whether or not arising under the ISDA agreement, to one net amount payable by one counterparty to the other. However, absent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. Early termination by the counterparty may result in an immediate payment by the Fund of any net liability owed to that counterparty under the ISDA agreement.
In a centrally cleared swap, while the Fund enters into an agreement with a clearing broker to execute contracts with a counterparty, the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s exposure to counterparty risk. The Fund is still exposed to the counterparty risk through the clearing broker and clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin requirements and required segregation of customer balances.
(M) Investment Transactions, Investment Income, and Dividends to Shareholders. Investment transactions are accounted for on trade date. Realized gains and losses from security transactions are determined on the basis of identified cost. Interest income is recorded on an accrual basis. The Fund earns income daily, net of Fund expenses. Dividends to shareholders are usually
105
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
declared daily and paid monthly from net investment income. Distributions to shareholders of realized capital gains, if any, are made annually. Distributions are determined in conformity with income tax regulations, which may differ from generally accepted accounting principles. Reclassifications have been made to the Fund’s components of net assets to reflect income and gains available for distribution (or available capital loss carryovers, as applicable) under income tax regulations.
Effective for the year ended July 31, 2019, it is no longer required to present certain line items in the Statements of Changes in Net Assets. The prior period amounts affected by this change are shown below as they were in the prior year Statements of Changes in Net Assets.
For the year ended July 31, 2018, distributions to shareholders were as follows:
| | | | |
Distributions from net investment income: | | | | |
Investor Shares | | $ | 3,430,176 | |
Institutional Shares | | | 234,362 | |
Distributions from net realized gain: | | | | |
Investor Shares | | | 85,947 | |
Institutional Shares | | | 4,073 | |
| | | | |
| | $ | 3,754,558 | |
| | | | |
Undistributed net investment income | | $ | 10,839 | |
| | | | |
(N) 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 deemed necessary. As of July 31, 2019, tax years 2016 through 2019 remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America, the Commonwealth of Massachusetts, and New York State.
(O) Redemption Fees. Redemptions and exchanges of Fund shares held less than 30 days may be subject to the Fund’s redemption fee, which is 2% of the amount redeemed. The fee is imposed to offset transaction costs and other expenses associated with short-term investing. The fee may be waived in certain circumstances at the discretion of the Fund. Such fees are retained by the Fund and are recorded as an adjustment topaid-in capital.
(P) Other.Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based upon the
106
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
(Q) Earnings Credits.Per the arrangement with the Fund’s transfer agent, BNY Mellon Investment Servicing (U.S.) Inc., the Fund has arrangements whereby the Fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees. For financial reporting purposes, the Fund includes net earnings credits as an expense offset in the Statement of Operations. For the year ended July 31, 2019, Transfer Agency fees of the Fund, under these arrangements, were reduced as follows:
| | | | |
Domini Impact Bond Fund Investor shares | | $ | 816 | |
Domini Impact Bond Fund Institutional shares | | | 5 | |
(R) Indemnification. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
2. TRANSACTIONS WITH AFFILIATES
(A) Manager/Administrator. The Fund has retained Domini Impact Investments LLC (Domini) to serve as investment manager and administrator. The services provided by Domini consist of investment supervisory services, overall operational support, and administrative services, including the provision of general office facilities and supervising the overall administration of the Fund. For its services under the Management Agreement, Domini receives from the Fund a fee accrued daily and paid monthly at the annual rate below of the Fund’s average daily net assets before any fee waivers:
| | |
| (prior to May 1, 2017) | | 0.40% of the first $500 million of net assets managed, |
| | 0.38% of the next $500 million of net assets managed, and |
| | 0.35% of net assets managed in excess of $1 billion |
| | |
| (effective May 1, 2017) | | 0.33% of the first $50 million of net assets managed, |
| | 0.32% of the next $50 million of net assets managed, and |
| | 0.315% of net assets managed in excess of $100 million |
For its services under the Administration Agreement, Domini receives from the Fund a fee accrued daily and paid monthly at an annual rate equal to 0.25% of the Fund’s average daily net assets.
107
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
Upon commencement of operations, Domini has agreed to reduce its fees and reimburse expenses to keep aggregate annual operating expenses (excluding brokerage fees and commission, interest, taxes, and other extraordinary expenses), at no greater than 0.65% of the average daily net assets of the Class Y shares of the Bond Fund, until November 30, 2019, absent an earlier modification by the Fund’s Board. Effective December 1, 2018, Domini agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 0.87% and 0.57% of the average daily net assets of the Investor and Institutional shares of the Bond Fund, respectively. This agreement will continue until November 30, 2019, absent an earlier modification by the Board of Trustees which oversee the Funds. For periods prior to December 1, 2018, Domini contractually agreed to reduce its fees and reimburse expenses to keep the aggregate annual operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), at no greater than 0.95% and 0.65% of the average daily net assets of the Investor and Institutional shares of the Bond Fund, respectively. For the year ended July 31, 2019, Domini reimbursed expenses totaling $337,025.
Fees waived and/or expenses reimbursed under the Expense Limitation Agreement are only recoverable by Domini and/or its affiliates in the current fiscal year to the extent actual Fund expenses are less than the contractual expense cap during such year.
As of July 31, 2019, Domini owned less than 1% of any class of the outstanding Shares of the Fund.
(B) Submanager.Wellington Management Company LLP (Wellington), a Delaware limited liability partnership, provides investment management services to the Fund on aday-to-day basis pursuant to a submanagement agreement with Domini. Prior to January 7, 2015, Seix Investment Advisors LLC (“Seix”), a wholly owned subsidiary of RidgeWorth LLC (formerly known as RidgeWorth Capital Management, Inc.), and its predecessors, provided investment submanagement services to the Fund.
(C) Distributor.The Board of Trustees of the Fund has adopted a Distribution Plan in accordance with Rule12b-1 under the Act. DSIL Investment Services LLC, a wholly owned subsidiary of Domini (DSIL), acts as agent of the Fund in connection with the offering of shares of the Fund pursuant to a Distribution Agreement. Under the Distribution Plan, the Fund pays expenses incurred in connection with the sale of Investor shares and pays DSIL a distribution fee at
108
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
an aggregate annual rate not to exceed 0.25% of the average daily net assets representing the Investor shares. For the year ended July 31, 2019, fees waived by the Investor shares totaled $128,229.
(D) Shareholder Service Agent.The Trust has retained Domini to provide certain shareholder services to the Fund and its shareholders, which services were previously provided by BNY Asset Servicing (“BNY”) or another fulfillment and mail service provider and are supplemental to services currently provided by BNY, pursuant to a transfer agency agreement between the Fund and BNY. For these services, Domini receives a fee from the Fund paid monthly at an annual rate of $4.00 per active account. For the year ended July 31, 2019, Domini waived fees as follows:
| | | | |
| | | FEES WAIVED | |
Domini Impact Bond Fund Investor shares | | $ | - | |
Domini Impact Bond Fund Institutional shares | | | 62 | |
(E) Trustees and Officers.For the year end July 31, 2019, each of the Independent Trustees received an annual retainer for serving as a Trustee of the Trust of $23,000. The Lead Independent Trustee and Chair of the Audit Committee receive an additional chairperson fee of $5,000. Each Independent Trustee also receives $2,500 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at anin-person meeting by telephone). In addition, each Trustee receives reimbursement for reasonable expenses incurred in attending meetings. These expenses are allocated on apro-rata basis to each shares class of a Fund according to their respective net assets.
As of July 31, 2019, all Trustees and officers of the Trust as a group owned less than 1% of the Fund’s outstanding shares.
3. INVESTMENT TRANSACTIONS
For the year ended July 31, 2019, cost of purchase and proceeds from sales of investments other than short-term obligations were as follows:
| | | | | | | | |
| | | PURCHASES | | | SALES | |
U.S. Government Securities | | $ | 322,057,493 | | | $ | 319,278,049 | |
Investments in Securities | | | 189,419,547 | | | | 186,603,177 | |
109
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
4. SUMMARY OF SHARE TRANSACTIONS
| | | | | | | | | | | | | | | | |
| | | Year Ended July 31, | |
| | | 2019 | | | 2018 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Investor Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,920,264 | | | $ | 21,154,970 | | | | 3,190,767 | | | $ | 35,441,465 | |
Shares issued in reinvestment of dividends and distributions | | | 284,558 | | | | 3,141,224 | | | | 305,407 | | | | 3,390,770 | |
Shares redeemed | | | (4,830,641) | | | | (52,541,300) | | | | (2,968,962) | | | | (32,849,386) | |
Redemption fees | | | | | | | 1,403 | | | | - | | | | 1,022 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (2,625,819) | | | $ | (28,243,703) | | | | 527,212 | | | $ | 5,983,871 | |
| | | | | | | | | | | | | | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,776,997 | | | $ | 30,479,054 | | | | 814,633 | | | $ | 8,956,983 | |
Shares issued in reinvestment of dividends and distributions | | | 45,513 | | | | 500,297 | | | | 14,878 | | | | 163,911 | |
Shares redeemed | | | (711,155) | | | | (7,739,084) | | | | (255,924) | | | | (2,838,217) | |
Redemption fees | | | | | | | 215 | | | | - | | | | 824 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 2,111,355 | | | $ | 23,240,482 | | | | 573,587 | | | $ | 6,283,501 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | | | | | | | | | | | | | | | |
Shares sold | | | 4,697,261 | | | $ | 51,634,024 | | | | 4,005,400 | | | $ | 44,398,448 | |
Shares issued in reinvestment of dividends and distributions | | | 330,071 | | | | 3,641,521 | | | | 320,285 | | | | 3,554,681 | |
Shares redeemed | | | (5,541,796) | | | | (60,280,384) | | | | (3,224,886) | | | | (35,687,603) | |
Redemption fees | | | - | | | | 1,618 | | | | - | | | | 1,846 | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (514,464) | | | $ | (5,003,221) | | | | 1,100,799 | | | $ | 12,267,372 | |
| | | | | | | | | | | | | | | | |
110
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
5. SUMMARY OF DERIVATIVE ACTIVITY
At July 31, 2019, the Fund’s investments in derivative contracts are reflected on the Statement of Assets and Liabilities as follows:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
Derivative Contracts Not
Accounted for as
Hedging Instruments | | Statement of Assets
and Liabilities
Location | | Fair Value | | | Statement of Assets
and Liabilities
Location | | Fair Value | |
Interest rate contracts | | Receivable for Variation Margin swaps / Unrealized appreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | | $ | 803,629 | | | Payable for Variation Margin swaps / Unrealized depreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | | $ | 1,194,307 | |
| | | | | | | | | | | | |
Credit contracts | | Variation Margin / Net assets consist of - Total distributable earnings | | | - | | | Variation Margin / Net assets consist of - Total distributable earnings | | | 10,396 | |
| | | | | | | | | | | | |
Foreign exchange contracts | | Unrealized appreciation on forward currency contracts /Net assets consist of - Total distributable earnings | | | 194 | | | Unrealized depreciation on forward currency contracts / Net assets consist of - Total distributable earnings | | | 641 | |
| | | | | | | | | | | | |
Future contracts | | Receivable for variation margin futures / Net assets consist of - Total distributable earnings | | | - | | | Payable for variation margin futures / Net assets consist of - Total distributable earnings | | | 27,701 | |
| | | | | | | | | | | | |
Total | | $ | 803,823 | | | | | $ | 1,233,045 | |
| | | | | | | | | | | | |
111
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
For the year ended July 31, 2019, the effect of derivative contracts on the Fund’s Statement of Operations was as follows:
| | | | | | | | | | |
Derivative Contracts Not
Accounted for as Hedging
Instruments | | Statement of Operations
Location | | Realized
Gain
(Loss) | | | Change in Unrealized
Appreciation
(Depreciation) | |
Interest rate contracts | | Net realized gain (loss) from swap contracts/ Net change in unrealized appreciation (depreciation) from swap contracts | | $ | 300,443 | | | $ | (1,737,179 | ) |
| | | | | | | | | | |
Credit contracts | | Net realized gain (loss) from swap contracts/ Net change in unrealized appreciation (depreciation) from swap contracts | | | (72,360 | ) | | | (4,549 | ) |
| | | | | | | | | | |
Foreign exchange contracts | | Net realized gain (loss) from forward contracts/ Net change in unrealized appreciation (depreciation) from forward contracts | | | 97,212 | | | | 38,046 | |
| | | | | | | | | | |
Futures contracts | | Net realized gain (loss) from futures contracts/ Net change in unrealized appreciation (depreciation) from futures contracts | | | (43,951 | ) | | | (20,182 | ) |
| | | | | | | | | | |
Options purchases | | Net realized gain (loss) from options contracts/ Net change in unrealized appreciation (depreciation) from options | | | (124,053 | ) | | | (1,427 | ) |
| | | | | | | | | | |
Total | | $ | 157,291 | | | $ | (1,725,291 | ) |
| | | | | | | | | | |
112
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
6. OFFSETTING OF FINANCIAL AND DERIVATIVE ASSETS AND LIABILITIES
The following table summarizes any derivatives, at the end of the reporting period, that are subject to a master netting agreement or similar agreement. For financial reporting purposes, the Fund does not offset assets and liabilities that are subject to the master netting agreements in the Statement of Assets and Liabilities.
| | | | | | | | | | | | | | | | |
| | | Credit
Suisse
International | | | Deutsche
Bank AG | | | Morgan
Stanley | | | Total | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Cash held at other banks | | $ | 50,225 | | | $ | - | | | $ | - | | | $ | 50,225 | |
Unrealized appreciation on OTC swap contracts* | | | - | | | | 50,478 | | | | - | | | | 50,478 | |
Receivable for variation margin swaps | | | - | | | | - | | | | 753,151 | | | | 753,151 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Assets | | $ | 50,225 | | | $ | 50,478 | | | $ | 753,151 | | | $ | 853,854 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Cash due to broker | | | 14 | | | | - | | | | 154,386 | | | | 154,400 | |
Unrealized depreciation on OTC swap contracts* | | | - | | | | 16,661 | | | | - | | | | 16,661 | |
Payable for variation margin swaps | | | - | | | | - | | | | 1,188,042 | | | | 1,188,042 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Liabilities | | $ | 14 | | | $ | 16,661 | | | $ | 1,342,428 | | | $ | 1,359,103 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Derivative Net Assets | | $ | 50,211 | | | $ | 33,817 | | | $ | (589,277) | | | $ | (505,249) | |
Total collateral received (pledged) | | | - | | | | - | | | | 527,320 | | | | 527,320 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net Amount | | $ | 50,211 | | | $ | 33,817 | | | $ | (61,957) | | | $ | 22,071 | |
| | | | | | | | | | | | | | | | |
* Excludes premiums if any. Included in unrealized appreciation/depreciation on OTC swap contracts on the Statement of Assets and Liabilities.
7. SUMMARY OF DERIVATIVE ACTIVITY
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows based on an average of the holdings at the end of each fiscal quarter:
| | | | |
Futures contracts (notional) | | | 1,975,000 | |
Forward currency contracts (contract amount) | | $ | 1,724,941 | |
OTC interest rate swap contracts (notional) | | $ | 6,327,250 | |
Centrally cleared interest rate swap contracts (notional) | | $ | 46,850,750 | |
Centrally cleared credit default contracts (notional) | | $ | 2,135,278 | |
Options (notional) | | $ | 4,992,500 | |
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DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
8. FEDERAL TAX STATUS
The tax basis of the components of net assets at July 31, 2019 is as follows:
| | | | |
Capital losses, other losses and other temporary differences | | $ | (921,744 | ) |
Unrealized appreciation (depreciation) | | | 4,446,174 | |
| | | | |
Distributable net earnings (deficit) | | $ | 3,524,430 | |
| | | | |
The difference between components of Distributable Earnings on a tax basis and the amounts reflected in the statement of assets and liabilities are primarily due to differences in book and tax policies.
For the year ended July 31, 2019, the Fund reclassified $177,035 from undistributed net investment income to accumulated net realized gain (loss) to align financial reporting and tax reporting.
During the period November 1, 2018 through July 31, 2019, the Domini Impact Bond Fund had net ordinary losses of $164,171. These losses are deferred and will be recognized on August 1, 2019, for tax purposes.
To the extent that the Fund realizes net capital gains in the future, those gains may be offset by any unused net capital loss carryforwards. The Fund is permitted to carry forward a net capital loss from any taxable year that began on or before December 22, 2010 for eight years following the year of the loss. The Fund is permitted to carry forward net capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited time period. Carryforwards of losses from taxable years that began after December 22, 2010, along with any other capital losses deferred and treated as recognized in any such year, are required to be utilized prior to carryforwards of losses incurred in taxable years that began on or before December 22, 2010. As a result of this ordering rule, carryforwards of losses from taxable years that began on or before December 22, 2010 may be more likely to expire unused. Losses from taxable years that begin after December 22, 2010 that are carried forward will retain their character as either short-term or long-term capital losses. As of July 31, 2019, the Fund had a short-term capital loss carryover of $174,847 and long-term capital loss carryover of $612,428.
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DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
For federal income tax purposes, dividends paid were characterized as follows:
| | | | | | | | |
| | | Year Ended | |
| | | 2019 | | | 2018 | |
| | | | | | | | |
Ordinary income | | $ | 3,741,895 | | | $ | 3,664,538 | |
Long-term capital gain | | | - | | | | 90,020 | |
Return of capital | | | 278,159 | | | | - | |
| | | | | | | | |
Total | | $ | 4,020,054 | | | $ | 3,754,558 | |
| | | | | | | | |
The Fund is subject to the provisions of Accounting Standards Codification ASC 740Income Taxes(ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for taxes on income, capital gains or unrealized appreciation on securities held or for excise tax on income and capital gains.
9. SUBSEQUENT EVENTS
Effective August 1, 2019, each of the Independent Trustees receives an annual retainer for serving as a Trustee of the Trust of $28,000. Each Independent Trustee also receives $2,000 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at anin-person meeting by telephone).
10. OTHER RISKS
The Fund’s risks include, but are not limited to, some or all of the risks discussed below:
Bond Obligations Risk: The Fund’s holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Fund for redemption before it matures and the Fund may not be able to reinvest at the same level and therefore would earn less income.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Fund. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Fund. The Fund’s use of derivatives may also increase the amount of taxes payable by
115
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
shareholders. Other risks arise from the potential inability to terminate or close out of derivatives positions. A liquid secondary market may not always exist for the Fund’s derivatives positions. Generally, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Fund.
Floating and Variable Rate Loans Risk:Floating rate loans and similar investments may be volatile, illiquid or less liquid than other investments and difficult to value. The value of loan collateral can decline, be difficult to liquidate, or insufficient to meet the issuer’s obligations. To the extent that sale proceeds of loans are not available, the Fund may sell securities that have shorter settlement periods or may access other sources of liquidity to meet redemption requests.
Foreign Investing Risk:Investments in foreign regions may be more volatile and less liquid than U.S. investments due to adverse political, social, and economic developments, such as nationalization or expropriation of assets, confiscatory taxation, terrorism and political or financial instability; regulatory differences, such as accounting, auditing, and financial reporting standards and practices; natural disasters; and the degree of government oversight and supervision.
Interest Rate Risk: The value of your investment will fluctuate with changes in interest rates. If interest rates rise, the price of a fixed-income security declines and will generally reduce the value of the Fund’s share price. A rise in rates tends to have a greater impact on securities with longer maturities or higher durations. However, calculations of maturity and duration may be based on estimates and may not reliably predict a security’s price sensitivity to changes in interest rates. Recent U.S. interest rates have been historically low but have begun to rise, so the Fund faces a heightened risk that interest rates may continue to rise. A general rise in interest rates could adversely affect the price and liquidity of fixed income securities and could also result in increased redemptions from the Fund.
Liquidity Risk: The Fund may make investments that are illiquid or that become illiquid after purchase. The liquidity and value of investments can deteriorate rapidly, and they may become difficult to purchase or sell, or may be illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. Markets may become illiquid when, for instance, there are few, if any, interested buyers or sellers or when dealers are unwilling or unable to make markets for certain securities. Due to limitations on investments in illiquid securities, the Fund may be unable to achieve its desired level of
116
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS(continued)
July 31, 2019
exposure to certain sectors. If the Fund is forced to sell an illiquid investment to meet redemption requests or other cash needs, the Fund may be forced to sell such securities at a loss.
Market and Credit Risk: Securities markets may be volatile, and the market prices of the Fund’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Fund fall, the value of an investment in the Fund will decline. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
To Be Announced (TBA) Securities Risk: TBA securities involve the risk that the security the Fund buys will lose value prior to its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will not meet its obligation. If this occurs, the Fund could lose both the investment opportunity for the assets it set aside to pay for the security and any gain in the security’s price.
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Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
Domini Investment Trust:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Domini Impact Bond Fund (the Fund), a series of the Domini Investment Trust, including the portfolio of investments, as of July 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in thetwo-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in thefive-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in thetwo-year period then ended, and the financial highlights for each of the years in thefive-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
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 are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2019, by correspondence with custodians, brokers and agent banks. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Domini investment companies since 1993.
Boston, Massachusetts
September 26, 2019
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THE DOMINI FUNDS
TAX INFORMATION (UNAUDITED)
FOR THE YEAR ENDED JULY 31, 2019
The amount of long-term capital gains paid for the year ended July 31, 2019 was as follows:
| | | | |
| |
Domini Impact International Equity Fund | | $ | 36,772,373 | |
| |
Domini Impact Equity Fund | | | 66,953,629 | |
| |
Domini Impact Bond Fund | | | - | |
For dividends paid from net investment income during the year ended July 31, 2019, the Funds designated the following as Qualified Dividend Income:
| | | | |
| |
Domini Impact International Equity Fund | | $ | 37,876,870 | |
| |
Domini Impact Equity Fund | | | 14,386,290 | |
Of the ordinary distributions made by the Domini Impact Bond Fund during the fiscal year ended July 31, 2019, 42% has been derived from investments in US Government and Agency Obligations. All or a portion of the distributions from this income may be exempt from taxation at the state level. Consult your tax advisor for state specific information.
For corporate shareholders, 100% of dividends paid from net investment income for the Domini Impact Equity Fund were eligible for the corporate dividends received deduction.
| | | | | | | | | | | | | | | | |
| | | Foreign Tax Paid | | | Foreign Source Income | |
| | | TOTAL | | | PER SHARE | | | TOTAL | | | PER SHARE | |
| | | | |
Domini Impact International Equity Fund | | $ | 4,267,313 | | | $ | 0.03 | | | $ | 46,223,422 | | | $ | 0.29 | |
The foreign taxes paid or withheld per share represent taxes incurred by the Funds on interest and dividends received by the Fund from foreign sources. Foreign taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments. Consult your tax advisor regarding the appropriate treatment of foreign taxes paid.
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APPROVAL OF CONTINUANCE OF MANAGEMENT AND SUBMANAGEMENT AGREEMENTS (UNAUDITED)
Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”) requires that each mutual fund’s board of trustees, including a majority of those trustees who are not “interested persons” of the mutual fund, as defined in the 1940 Act (the “Independent Trustees”), annually review and consider the fund’s investment management and submanagement agreements. At its meeting held on April 25, 2019, the Board of Trustees (“Board” or “Trustees”) of the Domini Investment Trust (the Trust”), including a majority of the Independent Trustees, voted to approve the continuance of: (i) the Amended and Restated Management Agreement with Domini Impact Investments LLC (“Domini”) for the Domini Impact Equity Fund (“Equity Fund”) and Domini Impact International Equity Fund (“International Fund”) and the Amended and Restated Management Agreement with respect to the Domini Impact Bond Fund (the “Bond Fund”)(each a “Management Agreement” and collectively, the “Management Agreements”) with Domini Impact Investments LLC (“Domini” or the “Adviser”), and (ii) the Amended and Restated Submanagement Agreement between Domini and Wellington Management Company LLP (“Wellington Management” or “Subadviser”) with respect to the International Fund and the Amended and Restated Submanagement Agreement between Domini and Wellington Management with respect to the Bond Fund (each a “Submanagement Agreement” and collectively, the “Submanagement Agreements” and with the Management Agreements, the “Agreements”). The Equity Fund, International Fund and Bond Fund are each referred to as a “Fund” and collectively, the “Funds.”
Prior to the April 25, 2019, meeting, the Board requested, received, and reviewed written responses from Domini and Wellington Management to questions posed to them on behalf of the Independent Trustees and supporting materials relating to those questions and responses. The Board considered both written and verbal information furnished to the Board at its meetings throughout the year, as well as information specifically prepared in connection with the approval of the continuation of the Agreements at the Board’s meeting on April 25, 2019. Information provided to the Board at its meetings throughout the year included, among other things, reports on each Fund’s performance, legal and compliance matters, sales and marketing activity, shareholder services, and the other service provided to the Funds by Wellington Management and Domini and their affiliates.
The Board considered the Management Agreements and the Submanagement Agreements separately in the course of its review. In doing so, the Board noted the respective roles of the Adviser and Subadviser in providing services to the Funds.
Throughout the process, the Board had the opportunity to ask questions of and request additional information from Domini and Wellington Management. The
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Board was assisted by legal counsel for the Trust and the Independent Trustees were also separately assisted by independent legal counsel throughout the process. The Independent Trustees also received memoranda from counsel to the Trust discussing the legal standards for their consideration of the Agreements. The Independent Trustees were advised by and met in executive sessions with their independent legal counsel at which no representatives of management were present to discuss the proposed continuation of the Agreements, including prior to the April 25, 2019, meeting.
In connection with the Board’s consideration of the renewal of the Agreements with respect to each of the Funds, the Board received written materials in advance of the meeting, which included information regarding: (i) the nature, extent, and quality of services provided to the Funds by Domini and by Wellington Management; (ii) a description of Domini and Wellington Management’s investment management and other personnel and their background and experience; (iii) an overview of Domini’s and Wellington Management’s operations and financial condition; (iv) a comparison of each Funds’ advisory fee and overall expenses with those of comparable mutual funds selected by Strategic Insight, a third party provider of mutual fund data; (v) performance information for comparable mutual funds and for comparatively managed accounts, if any; (vi) the level of profitability from Domini and Wellington Management’s relationships with the Funds; (vii) a description of Domini’s and Wellington’s brokerage practices (including any soft dollar arrangements); and (viii) Domini’s and Wellington Management’s compliance policies and procedures, including policies and procedures for personal securities transactions and with respect to cybersecurity, business continuity and disaster recovery.
In reaching their determination to approve the continuance of the Management Agreements and Submanagement Agreements with respect to each Fund, the Trustees reviewed and evaluated information and a variety of factors that they believed relevant and appropriate through the exercise of their reasonable business judgment. The Trustees’ determination to continue each of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation or approval of such Agreements, as applicable.
APPROVAL OF THE MANAGEMENT AGREEMENTS
The primary factors and the conclusions regarding the Management Agreements with respect to each Fund are described below. The Board did not identify any particular information or factor that wasall-important or controlling, and each Trustee may have weighted certain factors differently. The Board noted that the evaluation process with respect to Domini and the Management Agreements is an ongoing one. In evaluating the Management Agreements, the Trustees also took into account their knowledge of Domini, its services and the Funds resulting from their meetings and other information and
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interactions in past years. The Board also considered other factors (including conditions and trends prevailing generally in the economy, the securities markets and the industry).
Nature, Quality, and Extent of Services Provided. The Trustees reviewed information and materials provided by Domini related to the Management Agreement with respect to each Fund, including each Management Agreement, Domini’s Form ADV, a description of the firm and its organizational and management structure, its operational history and its legal and regulatory history, the manner in which investment decisions are made and executed, the financial condition of Domini and its ability to provide the services required under the Management Agreements, an overview of the personnel that perform services for the Funds, and Domini’s compliance policies and procedures. The Board also considered Domini’s risk management processes and its policies and procedures with respect to cybersecurity, business continuity and disaster recovery.
The Trustees reviewed the terms of the Management Agreements and considered that, pursuant to each Management Agreement, Domini, subject to the direction of the Board, is responsible for providing advice and guidance with respect to each Fund and for managing the investment of the assets of each Fund, including by engaging and overseeing the activities of each Fund’s submanager. It was noted that, with respect to the Equity Fund, Domini applies its social and environmental standards to select such Fund’s investments and that SSGA Funds Management, Inc. (“SSgA”), the Fund’s submanager, purchases and sells securities to implement Domini’s selections and for managing the amount of the Fund’s assets to be held in short-term investments. It was noted that, with respect to the International Equity Fund and the Bond Fund, Domini applies its social and environmental standards to a universe of securities provided by Wellington Management Company LLP (“Wellington Management”), such Funds’ submanager, and that Wellington Management provides theday-to-day portfolio management of such Funds, including making purchases and sales of socially screened portfolio securities consistent with each such Fund’s investment objective and policies.
The Trustees considered the scope and the quality of the services provided by Domini to each Fund under the respective Management Agreement. They considered the professional experience, tenure, and qualifications of the investment management team and the other senior personnel at Domini who are responsible for the management of the Funds, including the oversight of each Fund’s submanager. They also considered Domini’s capabilities and experience in the development and application of social and environmental investment standards and its reputation and leadership in the socially responsible investment community. The Trustees considered the information they had received from Domini concerning the professional experience of its research team. They noted that the senior members of Domini’s research team
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had years of experience in the development and application of social and environmental investment standards. The terms of each Management Agreement were also reviewed by the Trustees. It was noted that no change to services was proposed. In addition, they considered Domini’s compliance record. The Trustees also noted that, on a regular basis, it receives information from the Trust’s Chief Compliance Officer (CCO) regarding Domini’s compliance policies and procedures, including its Code of Ethics. The Trustees also took into account that the scope of services provided by Domini and the undertakings required of Domini in connection with those services, including maintaining and monitoring its own and the Funds’ compliance programs, had expanded over time as a result of regulatory, market and other developments. In this regard, they considered Domini’s preparation with respect to the reporting modernization and liquidity risk management requirements required by new SEC regulations. They also considered the quality of Domini’s compliance oversight program with respect to the Funds’ service providers, including each Fund’s submanager. They also considered both the investment advisory services and the nature, quality and extent of the administrative and othernon-advisory services, including shareholder servicing and distribution support services that are provided to the Funds and its shareholders by Domini and its affiliates. The Board also considered the significant risks assumed by Domini in connection with the services provided to the Funds, including entrepreneurial risk and ongoing risks including investment, operational, enterprise, litigation, regulatory and compliance risks with respect to the Funds.
The Trustees noted that Domini administers each Fund’s business and other affairs pursuant to the Management Agreements, and with respect to the Equity Fund, also pursuant to a Sponsorship Agreement, and with respect to the Bond Fund, also pursuant to an Administration Agreement. It was noted that, among other things, Domini provides each Fund with office space, administrative services and personnel as are necessary for operations, and that Domini pays all of the compensation of the officers and the Trustees who are not Independent Trustees. The Trustees considered the quality of the administrative services Domini provided to each Fund, including Domini’s role in coordinating and monitoring the activities of service providers. They noted that they were satisfied with the quality of the management and administrative services provided by Domini to each Fund, particularly Domini’s oversight of each Fund’s submanager and development and application of social and environmental investment standards.
Based on the foregoing, the Trustees concluded that they were satisfied with the nature, quality and extent of services provided by Domini to each Fund under the respective Management Agreement.
Performance Information. The Trustees considered the investment performance of each of the Funds. They considered whether the Funds had operated within their respective investment objectives, as well as their compliance with their
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investment restrictions. Among other performance data considered, the Trustees reviewed the net investment performance of each of the Funds based on data provided to them by Domini for various time periods, including for the1-,3-,5- and10-year periods ended December 31, 2018. The Trustees compared these investment returns to the returns of each Fund’s respective benchmark index for the same periods. The Trustees also compared each Fund’s Investor shares’ net investment returns for the1-,3-,5-, and10-year periods as of February 28, 2019, to the performance of a peer group of socially responsible (SRI) funds andnon-SRI Funds as identified by Strategic Insight, an independent third-party data provider.
The Board noted that while it found the data provided by the third-party data provider generally useful, the Board recognized the data’s limitations, including in particular that the data may vary depending on the end date selected and that the results of the performance comparisons may vary depending on the selection of the performance peer group. The Board also took into account management’s discussion of the Morningstar categories in which the Funds were placed, including any differences between each Fund’s investment strategy and the strategy of the funds in that Fund’s respective category, as well as compared to the peer group selected by the independent third-party data provider.
Among other performance data considered, the Trustees took into account the following:
Equity Fund
The Trustees considered that, based on data provided by Strategic Insight, the Equity Fund’s Investor shares had positive net investment performance for all periods ended February 28, 2019, and had underperformed relative to the applicable SRI andnon-SRI peer groups for the1-,3-,5- and10- year periods ended February 28, 2019, compared to the group’s average and median performance for the same period. The Trustees also noted that the Fund’s net investment returns underperformed relative to the Fund’s benchmark for1-,3-,5- and10-year periods ended December 31, 2018.
The Trustees took into account Domini’s discussion of the Fund’s performance relative to its peers and benchmark, and the actions taken to address the Fund’s performance, including the changes to the Fund’s investment strategy and submanager that took effect December 1, 2018. The Board also noted Domini’s discussion of the Fund’s more recent improved performance. The Trustees concluded that the performance of the Fund was being addressed and that they had continued confidence in Domini’s overall capability to manage the Equity Fund but would continue to monitor performance.
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International Fund
The Trustees considered that, based on data provided by Strategic Insight, the International Fund’s Investor shares had positive net investment returns for all periods ended February 28, 2019, except the1-year period. The Trustees considered that the International Fund’s Investor shares had outperformed the applicable SRI peer group average and median for the3-,5- and10-year periods and underperformed the SRI peer group average and median for the1-year period, while outperforming thenon-SRI peer group’s average and median performance for the5- and10-year periods and underperforming thenon-SRI peer group’s average and median for the1-year period. The Trustees also noted that the International Fund had outperformed relative to the Fund’s benchmark for the5- and10-year periods ended December 31, 2018 and had underperformed for the1- and3-year periods.
The Trustees considered Domini’s and Wellington Management’s discussion of the Fund’s performance over various periods, including the performance of its quantitative model, the impact of current market conditions on the Fund’s investment style and took into account management’s discussion of the Fund’s strong performance over the longer term. The Trustees concluded that they had continued confidence in Domini’s overall capability to manage the International Fund.
Bond Fund
The Trustees considered that, based on data provided by Strategic Insight, the Bond Fund’s Investor shares had outperformed the applicable SRI andnon-SRI peer groups compared to each group’s median performance for the1-3-, and5-year periods, as well as the SRI peer group’s average performance for the1- and3-year period. The Trustees considered that, based on data provided by Strategic Insight, the Bond Fund’s Investor shares had underperformed the average and median of the SRI andnon-SRI peer groups for the10-year period, and the average of the SRI peer group for the5-year period. The Trustees also noted that the Bond Fund had outperformed relative to the Fund’s benchmark for the3-year period ended December 31, 2018 and underperformed for the1-, 5-, and10-year periods.
The Trustees considered Domini’s discussion of the Fund’s performance, including its strong performance over the more recent periods relative to the funds in its peer group and the impact of the performance of the Bond Fund for periods prior to the change in the Fund’s submanager to Wellington Management and the change in the Fund’s benchmark to the Barclays U.S. Aggregate Bond Index in January 2015 on the longer term periods. The Trustees concluded that they had continued confidence in Domini’s overall capability to manage the Bond Fund.
Fees and Other Expenses. The Trustees considered the management fees paid by each Fund to Domini, the submanagement fees paid by Domini to each
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Fund’s submanager with respect to each Fund, the portion of the fees retained by Domini, and Domini’s contractual expense limitation arrangement with respect to each Fund. It was noted that the management fee for each Fund was lowered in 2017. It was noted that the management fee for the Equity Fund had been lowered further in connection with the changes to the Fund’s investment strategy and submanager that took effect December 1, 2018. The Trustees also considered the sponsorship fee rate paid by the Equity Fund to Domini under the Sponsorship Agreement and the administrative fee paid by the Bond Fund to Domini under the Administration Agreement and the services provided under each such agreement. The Board took into account management’s discussion of the Funds’ expenses, including the differences between the amount of those expenses and the expenses borne by the funds in the Funds’ respective expense peer groups, as well as the impact of the size of the Domini fund complex on expenses relative to those of the other funds in each Fund’s respective peer group. The Board also noted management’s discussion of the management fee structure with respect to each Fund and considered that Domini was waiving and/or reimbursing expenses for each of the Funds.
The Trustees also considered the information provided to them by Strategic Insight including data relating to the level of the each Fund’s management fee (aggregate of any sponsorship or administrative fee, as applicable) versus the aggregate management fee (which includes advisory and administrative fees) for the relevant Strategic Insight peer groups of SRI andnon-SRI funds and compared each Fund’s total expense ratio, after giving effect to contractual fee waiver arrangements, to the total expense ratio of those peers. The Trustees also considered that Domini (and not the Funds) pays each Fund’s submanager from its advisory fee.
Among other expense data considered, the Trustees took into account the following:
Equity Fund
Based on the information provided by Strategic Insight, the Trustees noted that the aggregate management fees for the Equity Fund’s Investor shares, after giving effect to Domini’s contractual fee waiver arrangement and management fee reduction effective December 1, 2018, were above the median aggregate management fees of its SRI andnon-SRI peer group net of applicable waivers. They also considered that the total expense ratio of the Equity Fund’s Investor shares, after giving effect to the applicable contractual expense waivers, was above the median total expense ratio of the SRI andnon-SRI peer groups after waivers.
International Fund
Based on the information provided by Strategic Insight, the Trustees considered that the aggregate management fees for the International Fund’s Investor shares
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were above the median aggregate management fees of the SRI andnon-SRI peer groups net of applicable waivers. They also noted that the total expense ratio of the International Fund’s Investor shares, after giving effect to waiver arrangements, was above the median total expense ratio of the SRI andnon-SRI peer groups.
Bond Fund
Based on the information provided by Strategic Insight, the Trustees considered that the aggregate management fees for the Bond Fund’s Investor shares, after giving effect to Domini’s contractual fee waiver arrangement were above the median aggregate management fees of the relevant SRI andnon-SRI peer groups, after waivers. They also noted that the total expense ratio of the Bond Fund’s Investor shares, after giving effect to applicable contractual expense waivers, was above the median total expense ratio of the SRI andnon-SRI peer groups, after waivers.
Based on the foregoing, the Trustees concluded that management fees payable by each of the Funds were fair and reasonable in relation to the nature and quality of services provided and supported approval of the continuance of the Management Agreements.
Costs of Services Provided and Profitability.The Trustees reviewed information provided to them by Domini concerning the costs borne by and profitability of Domini in respect of its management relationship with each Fund and sponsorship relationship with the Equity Fund and administrative relationship with the Bond Fund for the 2018 calendar year, along with a description of the methodology used by Domini in preparing the profitability information. The Trustees also reviewed the financial results realized by Domini in connection with the operations of each Fund for December 31, 2018. The Trustees also noted that Domini paid the submanagement fees for each of the Funds out of the management fees that it received from each Fund. The Trustees also considered that Domini had entered into expense limitation arrangements with respect to the Funds. The Board also took into account the risks that Domini assumes as Adviser including entrepreneurial, operational, reputational, litigation and regulatory risk. The Trustees concluded that they were satisfied that the level of profitability of Domini and its affiliates with respect to the services provided to each Fund was not excessive in view of the nature, quality and extent of services provided.
Economies of Scale.The Trustees also considered whether economies of scale would be realized by Domini as each Fund’s assets increased and the extent to which such economies of scale were reflected in the fees charged with respect to each Fund under the Management Agreements. The Trustees noted that there were breakpoints in the fee schedules with respect to each Fund. The Trustees concluded that breakpoints were an effective way to share economies of scale and that this was a positive factor in support of the approval of the continuance of the Management Agreements.
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Other Benefits. The Trustees considered the other benefits that Domini and its affiliates receive from their relationship with each Fund. The Trustees also considered the fees payable to Domini under the Sponsorship Agreement and Administration Agreement. The Trustees considered that Domini’s profitability would be lower if the benefits described above were not received. The Trustees considered the brokerage practices of Domini and noted that, based on information provided to them, Domini does not currently receive the benefits of soft dollar commissions with respect to the Funds. The Trustees also considered the intangible benefits that may accrue to Domini and its affiliates by virtue of their relationship with the Funds. The Trustees concluded that the benefits received by Domini and its affiliates, as outlined above, were reasonable in the context of the relationship between Domini and each of the Funds, and supported the approval of the continuance of the Management Agreements.
APPROVAL OF THE SUBMANAGEMENT AGREEMENTS
The primary factors and the conclusions regarding the Submanagement Agreements with respect to the International Fund and the Bond Fund (each for this section, “a Fund” and collectively, the “Funds”) are described below. The Trustees did not identify any particular information or factor that wasall-important or controlling, and each Trustee may have weighted certain factors differently. The Trustees noted that the evaluation process with respect to Wellington Management and the Submanagement Agreements is an ongoing one. In evaluating the Submanagement Agreements, the Trustees took into account their knowledge of Wellington Management, its services and the Funds resulting from their meetings and other information and interactions in past years. The Trustees also took into account the recommendations and performance evaluations of Domini with respect to Wellington Management and considered other factors (including conditions and trends prevailing generally in the economy, the securities markets and the industry).
Nature, Quality, and Extent of Services Provided. The Trustees reviewed information and materials provided by Wellington Management related to the Submanagement Agreement with respect to the International and Bond Funds, including the Submanagement Agreement, Wellington Management’s Form ADV, a description of the firm and its organizational and management structure, its operational history and its legal and regulatory history, the manner in which investment decisions are made and executed, the financial condition of Wellington Management and its ability to provide the services required under the Submanagement Agreements, an overview of the personnel that perform services for the Funds, and Wellington Management’s compliance policies and procedures. The Board also considered Wellington Management’s risk management processes and its policies and procedures with respect to cybersecurity, business continuity and disaster recovery.
The Trustees reviewed the terms of each Submanagement Agreement and considered the scope and quality of the services provided by Wellington
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Management to each Fund under the respective Submanagement Agreement. The Trustees noted that pursuant to each Submanagement Agreement, Domini, subject to the direction of the Board, is responsible for providing advice and guidance with respect to each Fund and for managing the investment of the assets of each Fund, which it does by engaging and overseeing the activities of Wellington Management. It was noted that Domini applies its social and environmental standards to a universe of securities provided by Wellington Management with respect to each Fund and that Wellington Management provides theday-to-day portfolio management of each Fund, including making purchases and sales of securities consistent with each Fund’s investment objective and policies and Domini’s social and environmental standards.
The Trustees then considered the professional experience, tenure, and qualifications of the portfolio management team of each Fund and the other senior personnel at Wellington Management. They also reviewed Wellington Management’s compliance record. The Trustees also noted that, on a regular basis, it receives information from the Trust’s Chief Compliance Officer (CCO) regarding Wellington Management’s compliance policies and procedures, including its Code of Ethics. They noted Wellington Management’s preparations with respect to the liquidity risk management reporting requirements required by new SEC regulations. The Trustees noted that there were no material changes to the team providing services to the Fund. The Trustees also received information with respect to Wellington Management’s brokerage policies and practices, including with respect to best execution and soft dollars. The terms of the Submanagement Agreements were also reviewed by the Trustees.
Based on the foregoing, the Trustees concluded that they were satisfied with the nature, quality and extent of services provided by Wellington Management to each Fund under the applicable Submanagement Agreement.
Performance Information. As noted above, the Trustees reviewed the investment performance (gross and net of all fees and expenses) of the International and Bond Funds over various periods based on data provided to them by Wellington Management and by Domini. This information was compared to performance information with respect to each Fund’s applicable benchmark. The Trustees also compared each Fund’s Investor shares’ net investment returns for the1-,3-,5-, and10-year periods as of February 28, 2019, to the performance of a peer group of socially responsible (SRI) funds andnon-SRI Funds as identified by Strategic Insight, an independent third-party data provider. The Trustees also took into account Domini’s evaluation of Wellington Management’s performance with respect to each Fund.
Fees and Other Expenses. The Trustees then considered the submanagement fees paid by Domini to Wellington Management under the Submanagement Agreement with respect to each Fund. The Trustees noted that each
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Submanagement Agreement had been negotiated at arms-length between Domini and Wellington Management. It was noted that the submanagement and management fees with respect to each Fund were lowered in 2017. The Trustees noted Wellington Management’s representation that it does not manage any other client portfolios that have similar investment objectives and strategies to the Funds because of the unique investment approach applied to each of the Funds (combining proprietary analysis from Domini and Wellington Management). The Trustees also noted Wellington Management’s representation that the submanagement fees Wellington Management receives, considering the nature and quality of service provided with respect to each Fund, are competitive with the fees Wellington Management receives for providing services to similarly sized client funds. The Trustees also compared Wellington Management’s fee with respect to each Fund against the other Funds and took into account the different investment strategies of each Fund. The Trustees also noted the comparativesub-advisory fee information, as available, in the report provided by Strategic Insight with respect to each Fund. The Trustees noted that, with respect to each Fund, Domini (and not the applicable Fund) pays Wellington Management from its management fee and that they had reviewed the management fee and comparative fee information in connection with their consideration of the Management Agreement with respect to each Fund.
The Trustees determined, based on the nature and quality of the services provided by Wellington Management, and in light of the preceding factors, that the fees paid by Domini to Wellington Management with respect to each Fund were fair and reasonable in relation to the nature and quality of services provided and supported approval of the continuance of the Submanagement Agreement with respect to each Fund.
Costs of Services Provided and Profitability. The Trustees reviewed Wellington Management’s audited statement of financial position as of December 31, 2018. The Trustees also reviewed apro-forma income statement for the year ended December 31, 2018 provided by Wellington Management, which identified the revenues generated by the Funds as a separate item and reflected assumptions and estimates regarding operating expenses. Based on the information provided, the Trustees concluded that they were satisfied that Wellington Management’s level of profitability with respect to services provided to that Fund was not excessive. However, the Board also took into account that the Submanagement Agreements were negotiated on an arms-length basis and that Domini paid the cost of the submanagement fees paid to Wellington Management and not the Funds and that, therefore, the costs of the services provided and the profitability realized by Wellington Management was not a material factor in the Board’s consideration.
Economies of Scale. The Trustees also considered whether economies of scale would be realized by Wellington Management as the assets in each Fund
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increased and the extent to which economies of scale were reflected in the fee schedule for that Fund under each Submanagement Agreement. The Trustees noted that the submanagement fees are paid by Domini and not the Fund. However, the Trustees noted the breakpoints in fees payable under the Submanagement Agreement with respect to each Fund, as well as breakpoints in the fees payable to Domini under the Management Agreement for each Fund, and concluded that such breakpoints were an effective way to share economies of scale with shareholders as the assets in each Fund grew and supported the approval of the applicable Submanagement Agreement.
Other Benefits.The Trustees considered the other benefits that Wellington Management and its affiliates received from their relationship with the Funds. They noted in particular that none of Wellington Management or any of its affiliates provided any other services to the Funds. The Trustees also considered the brokerage practices of Wellington Management including its use of soft dollar arrangements. In addition, the Trustees considered the intangible benefits that accrued to Wellington Management and its affiliates by virtue of their relationship with the Funds.
The Trustees concluded that the benefits received by Wellington Management and its affiliates were reasonable in the context of the relationship between Wellington Management and each Fund and supported the approval of the Submanagement Agreement with respect to each Fund.
* * * * * *
Based on the Board’s evaluation of all factors that the Board deemed to be material, including those factors described above, the Board, including the Independent Trustees, concluded that renewal of the Management Agreements and the Submanagement Agreements would be in the best interest of the respective Fund and its shareholders. Accordingly, the Board, and the Independent Trustees voting separately, approved the Management Agreements and Submanagement Agreements respectively for an additionalone-year period.
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TRUSTEES AND OFFICERS
The following table presents information about each Trustee and each Officer of the Domini Investment Trust (the “Trust”) as of July 31, 2019. Asterisks indicate that those Trustees and Officers are “interested persons” (as defined in the Investment Company Act of 1940) of the Trust. Each Trustee and each Officer of the Trust noted as an interested person is interested by virtue of his or her position with Domini Impact Investments LLC as described below. Unless otherwise indicated below, the address of each Trustee and each Officer is 180 Maiden Lane, Suite 1302, New York, NY 10038. Neither the Funds nor the Trust holds annual shareholder meetings for the purpose of electing Trustees, and Trustees are not elected for fixed terms. This means that each Trustee will be elected to hold office until his or her successor is elected or until he or she retires, resigns, dies, or is removed from office. No Trustee or Officer is a director of a public company or a registered investment company other than, with respect to the Trustees, the Domini Funds.
| | | | |
INTERESTED TRUSTEE AND OFFICER |
Name, Age,
Position(s) Held,
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years and
Other Directorships Held | | Number of Funds
in the Domini
Family of Funds
Overseen by
Trustee |
| | |
Amy L. Domini* (69) Chair and Trustee, of the Trust since 1990 | | Portfolio Manager, Domini Impact Equity Fund (since 2018), Chairperson (since 2016), CIO (2010-2014), CEO (2002-2015), Member (since 1997), and Manager (since 1997), Domini Impact Investments LLC; Manager (1998 to 2017) and Registered Principal (2003-2017), DSIL Investment Services LLC; Manager, Domini Holdings LLC (holding company) (since 2002); President (1990-2017), Domini Investment Trust; CEO and CIO (2013-2015), NIA Global Solutions (a former division of Domini Impact Investments); Trustee,New England Quarterly (periodical) (since 1998); Private Trustee, Loring, Wolcott & Coolidge Office (fiduciary) (since 1987); Partner (since 1994), Loring, Wolcott & Coolidge Fiduciary Advisors, LLP (investment advisor); Manager (since 2010), Loring, Wolcott & Coolidge Trust, LLC (trust company); Trustee, Church Investment Group (2010-2014); Board Member (since 2016), Cambridge Public Library Foundation (nonprofit). | | 3 |
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| | | | |
DISINTERESTED TRUSTEES |
Name, Age,
Position(s) Held,
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years and
Other Directorships Held | | Number of Funds in the Domini Family of Funds Overseen by Trustee |
| | |
Kirsten S. Moy (72) Trustee of the Trust since 1999 | | Senior Fellow (since 2014), Director, Scale Initiatives (2010-2014), The Aspen Institute (research and education); Visiting Scholar (2016-2018) and Board Member (2009-2015), Low Income Investment Fund (housing and community revitalization nonprofit); Board Member, Community Development Finance (asset buildingnon-profit) (since 2012), Visiting Scholar, Federal Reserve Bank of San Francisco (2016 to 2018). | | 3 |
| | |
Gregory A. Ratliff (59) Trustee of the Trust since 1999 | | Vice President, Rockefeller Philanthropy Advisors (philanthropy) (since 2019); Vice President, ACT, Inc. (education testing) (2017-2019); Lead Senior Program Officer, Gates Foundation (philanthropy) (2007-2017). | | 3 |
| | |
John L. Shields (66) Trustee of the Trust since 2004 | | President, Advisor Guidance, Inc. (management consulting firm) (2006 to 2014; since 2018); Managing Director, CFGI, LLC (management consulting firm) (2016-2018); Director, Navigant Consulting, Inc. (management consulting firm) (2014-2016); Director, EverQuote, Inc. (technology company) (since 2018); Director, Cogo Labs, Inc. (technology company) (since 2008); Director, Vestmark, Inc. (software company) (since 2015). | | 3 |
OFFICERS |
Name, Age,
Position(s) Held,
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years and
Other Directorships Held | | Number of Funds in the Domini Family of Funds Overseen by Trustee |
| | |
Megan L. Dunphy* (49) Chief Legal Officer since 2014, Vice President since 2013, Secretary of the Trust since 2005 | | General Counsel (since 2014), Managing Director (2015-2017), Deputy General Counsel (2009-2014), Member (since 2017), Domini Impact Investments LLC; Chief Legal Officer (since 2014), Vice President (since 2013) and Secretary (since 2005), Domini Funds. | | N/A |
| | |
Carole M. Laible* (55)
President of the Trust since 2017 | | Portfolio Manager, Domini Impact Equity Fund (since 2018), CEO and Manager (since 2016), President (2005-2015), Member (since 2006), Chief Operating Officer (2013-2015), Nia Global Solutions (a former division of Domini Impact Investments LLC), Domini Impact Investments LLC; President and CEO (since 2002), Chief Compliance Officer (2001-2014), Chief Financial Officer, Secretary, and Treasurer (since 1998), Registered Principal (since 1998), DSIL Investment Services LLC; Manager (since 2016), Domini Holdings LLC (holding company); Treasurer (1997-2015), Vice President (2007-2017), President (since 2017), Domini Funds. | | N/A |
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| | | | |
OFFICERS (continued) |
Name, Age,
Position(s) Held,
and Length of
Time Served | | Principal Occupation(s) During Past 5 Years and
Other Directorships Held | | Number of Funds in the Domini Family of Funds Overseen by Trustee |
| | |
Douglas Lowe* (63) Assistant Secretary of the Trust since 2007 | | Senior Call Center Manager (since 2019); Senior Compliance Manager and Counsel (2006-2019), Domini Impact Investments LLC; Assistant Secretary, Domini Funds (since 2007), Registered Operations Professional, DSIL Investment Services LLC (since 2012). | | N/A |
| | |
Meaghan O’Rourke-Alexander* (39) Assistant Secretary of the Trust since 2007 | | Compliance Officer (since 2012), Domini Impact Investments LLC; Assistant Secretary, Domini Funds (since 2007). | | N/A |
| | |
Christina Povall* (49) Treasurer (since 2017) and Vice President of the Trust since 2013 | | Chief Financial Officer (since 2014), Managing Director (2014-2017), Director of Finance (2004-2014), Member (since 2017), Domini Impact Investments LLC; Treasurer (since 2017), Assistant Treasurer (2007-2017) and Vice President (since 2013), Domini Funds; Registered Operations Professional, DSIL Investment Services LLC (since 2012). | | N/A |
| | |
Maurizio Tallini* (45) Chief Compliance Officer of the Trust since 2005
Vice President of the Trust since 2007 | | Chief Compliance Officer (since 2005), Chief Operating Officer (2011-2017), Member (since 2007), Domini Impact Investments LLC; Vice President (since 2007), Chief Compliance Officer (since 2005), Domini Funds; Chief Compliance Officer (since 2015), Registered Principal (since 2014) Registered Representative (2012-2015), DSIL Investment Services, LLC. | | N/A |
The Funds’ Statement of Additional Information includes additional information about the Trustees and is available without charge, upon request, by calling the following toll-free number:1-800-582-6757.
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PROXY VOTING INFORMATION
The Domini Funds have established Proxy Voting Policies and Procedures that the Funds use to determine how to vote proxies relating to portfolio securities. The Domini Funds’ Proxy Voting Policies and Procedures are available, free of charge, by calling1-800-762-6814, by visitingwww.domini.com/domini-funds/proxy-voting, or by visiting the EDGAR database on the Securities and Exchange Commission’s (SEC) website athttp://www.sec.gov. All proxy votes cast for the Domini Funds are posted to Domini’s website on an ongoing basis over the course of the year. An annual record of all proxy votes cast for the Funds during the most recent12-month period ended June 30 can be obtained, free of charge, atwww.domini.com, and on the EDGAR database on the SEC’s website athttp://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE INFORMATION
The Domini Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-Q. The Domini Funds’ FormsN-Q are available on the EDGAR database on the SEC’s website athttp://www.sec.gov. These Forms may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information about the operation of the Public Reference Room may be obtained by calling1-800-SEC-0330. The information on FormN-Q is also available to be viewed atwww.domini.com.
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DOMINI FUNDS
P.O. Box 9785
Providence, RI 02940-9785
1-800-582-6757
www.domini.com
Investment Manager, Sponsor, and Distributor:
Domini Impact Investments LLC (Investment Manager and Sponsor)
DSIL Investment Services LLC (Distributor)
180 Maiden Lane, Suite 1302
New York, NY 10038-4925
Investment Submanagers:
Domini Impact Equity Fund
SSGA Funds Management, Inc.
1 Iron Street
Boston, MA 02210
Domini Impact International Equity Fund
Domini Impact Bond Fund
Wellington Management Company LLP
280 Congress Street
Boston, MA 02210
Transfer Agent:
BNY Mellon Asset Servicing
760 Moore Road
King of Prussia, PA 19406
Custodian:
State Street Bank and Trust Company
1 Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm:
KPMG LLP
Two Financial Center
60 South Street
Boston, MA 02111
Legal Counsel:
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Presorted Standard U.S.Postage PAID Lancaster, PA Permit No.1793 Domini Funds P.O. Box 9785 | Providence, RI 02940 1-800-582-6757 | www.domini.com | @DominiFunds Domini Impact International Equity FundSM Investor Shares: CUSIP 257132704 I DOMIX Class A Shares: CUSIP 257132886 I DOMAX Institutional Shares: CUSIP 257132811 I DOMOX Class Y Shares: CUSIP 257132787 I DOMYX Domini Impact Equity FundSM Investor Shares: CUSIP 257132100 I DSEFX Class A Shares: CUSIP 257132860 I DSEPX Institutional Shares: CUSIP 257132852 I DIEQX Class R Shares: CUSIP 257132308 I DSFRX SM Domini Impact Bond Fund Investor Shares: CUSIP 257132209 I DSBFX Institutional Shares: CUSIP 257132829 I DSBIX Class Y Shares: CUSIP 257132795 I DSBYX
(a) As of the end of the period covered by this report on FormN-CSR, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, and principal accounting officer.
| (f) | Registrant is filing its code of ethics with this report. |
| Item 3. | Audit Committee Financial Expert. |
John L. Shields, a member of the Audit Committee, has been determined by the Board of Trustees of the registrant in its reasonable business judgment to meet the definition of “audit committee financial expert” as such term is defined in the instructions to FormN-CSR. In addition, Mr. Shields is an “independent” member of the Audit Committee as defined in the instructions to FormN-CSR.
| Item 4. | Principal Accountant Fees and Services. |
(a)Audit Fees
For the fiscal years ended July 31, 2019, and July 31, 2018, the aggregate audit fees billed to the registrant by KPMG LLP (“KPMG”) for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, are shown in the table below:
| | | | | | | | |
Fund | | 2019 | | | 2018 | |
Domini Impact Equity Fund | | $ | 40,000 | | | $ | 44,000 | |
Domini Impact Bond Fund | | $ | 33,500 | | | $ | 41,000 | |
Domini Impact International Equity Fund | | $ | 33,500 | | | $ | 37,500 | |
(b)Audit-Related Fees
There were no audit-related fees billed by KPMG for services rendered for assurance and related services to the registrant that were reasonably related to the performance of the audit or review of the registrant’s financial statements, but not reported as audit fees, for the fiscal years ended July 31, 2019, and July 31, 2018.
There were no audit-related fees billed by KPMG for the fiscal years ended July 31, 2019, and July 31, 2018 that were required to be approved by the registrant’s Audit Committee for services rendered on behalf of Domini Impact Investments LLC and entities controlling, controlled by, or under common control with Domini Impact Investments LLC (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the registrant (“Service Providers”).
(c)Tax Fees
In each of the fiscal years ended July 31, 2019, and July 31, 2018, the aggregate tax fees billed by KPMG for professional services rendered for tax compliance, tax advice, and tax planning for the registrant are shown in the table below:
| | | | | | | | |
Fund | | 2019 | | | 2018 | |
Domini Impact Equity Fund | | $ | 7,000 | | | $ | 7,000 | |
Domini Impact Bond Fund | | $ | 7,000 | | | $ | 7,000 | |
Domini Impact International Equity Fund | | $ | 7,000 | | | $ | 7,000 | |
There were no tax fees billed by KPMG for the fiscal years ended July 31, 2019, and July 31, 2018 that were required to be approved by the registrant’s Audit Committee for services rendered on behalf of the registrant’s Service Providers.
(d)All Other Fees
There were no other fees billed by KPMG for the fiscal years ended July 31, 2019 and July 31, 2018 for othernon-audit services rendered to the registrant.
There were no other fees billed by KPMG for the fiscal years ended July 31, 2019, and July 31, 2019 that were required to be approved by the registrant’s Audit Committee for othernon-audit services rendered on behalf of the registrant’s Service Providers.
(e)(1)Audit Committee Preapproval Policy: The Registrant’s Audit Committee Preapproval Policy is set forth below:
| 1. | Statement of Principles |
The Audit Committee is required to preapprove audit andnon-audit services performed for each series of the Domini Investment Trust, (each such series a “Fund” and collectively, the “Funds”) by the independent registered public accountant in order to assure that the provision of such services does not impair the accountant’s independence. The Audit Committee also is required to preapprovenon-audit services performed by the Funds’ independent registered public
accountant for the Funds’ investment adviser, and certain of the adviser’s affiliates that provide ongoing services to the Funds, if the services to be provided by the accountant relate directly to the operations and financial reporting of the Funds. The preapproval of these services also is intended to assure that the provision of the services does not impair the accountant’s independence.
Unless a type of service to be provided by the independent registered public accountant has received preapproval, it will require separate preapproval by the Audit Committee. Also, any proposed services exceeding preapproved cost levels will require separate preapproval by the Audit Committee. When considering services for preapproval the Audit Committee will take into account such matters as it deems appropriate or advisable, including applicable rules regarding auditor independence.
The appendices to this Policy describe the Audit, Audit-related, Tax and All Other services for the Funds, that have the preapproval of the Audit Committee. The term of any preapproval is 12 months from the date of preapproval, unless the Audit Committee specifically provides for a different period. The Audit Committee will periodically revise the list of preapproved services based on subsequent determinations.
Notwithstanding any provision of this Policy, the Audit Committee is not required to preapprove services for which preapproval is not required by applicable law, including de minimis and grandfathered services.
The Audit Committee may delegate preapproval authority to one or more of its members. The member or members to whom such authority is delegated shall report any preapproval decisions to the Audit Committee at its next scheduled meeting. By adopting this Policy the Audit Committee does not delegate to management the Audit Committee’s responsibilities to preapprove services performed by the independent auditor.
The annual Audit services engagement terms and fees for the Funds will be subject to the preapproval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope or other matters.
In addition to the annual Audit services engagement approved by the Audit Committee, the Audit Committee may grant preapproval for other Audit services, which are those services that only the independent registered public accountant reasonably can provide. The Audit Committee has preapproved the Audit services listed in Appendix A. All Audit services not listed in Appendix A must be separately preapproved by the Audit Committee.
Audit-related services are assurance and related services for the Funds that are reasonably related to the performance of the audit or review of the Funds’ financial statements or that are traditionally performed by the independent registered public accountant. The Audit Committee believes that the provision of Audit-related services does not impair the independence of the accountant, and has preapproved the Audit-related services listed in Appendix B. All Audit-related services not listed in Appendix B must be separately preapproved by the Audit Committee.
The Audit Committee believes that the independent registered public accountant can provide Tax services to the Funds such as tax compliance, tax planning and tax advice without impairing the accountant’s independence. However, the Audit Committee will not permit the retention of the independent registered public accountant in connection with a transaction initially recommended by the independent registered public accountant, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has preapproved the Tax services listed in Appendix C. All Tax services not listed in Appendix C must be separately preapproved by the Audit Committee.
The Audit Committee may grant preapproval to those permissiblenon-audit services for the Funds classified as All Other services that it believes are routine and recurring services, and would not impair the independence of the accountant. The Audit Committee has preapproved the All Other services listed in Appendix D. Permissible All Other services not listed in Appendix D must be separately preapproved by the Audit Committee.
A list of the SEC’s prohibitednon-audit services is attached to this policy as Exhibit 1. The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of these services and the applicability of exceptions to certain of the prohibitions.
Preapproval fee levels for all services to be provided by the independent registered public accountant to the Funds, and applicablenon-audit services to be provided by the accountant to the Funds’ investment adviser and its affiliates, will be established periodically by the Audit Committee. Any proposed services exceeding these levels will require specific preapproval by the Audit Committee.
| 8. | Supporting Documentation |
With respect to each service that is separately preapproved, the independent auditor will provide detailedback-up documentation, which will be provided to the Audit Committee, regarding the specific services to be provided.
Requests or applications to provide services that require separate approval by the Audit Committee will be submitted to the Audit Committee by both the independent registered public accountant and the Funds’ treasurer, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.
Management will promptly report to the Chair of the Audit Committee any violation of this Policy of which it becomes aware.
Appendix A — Audit Committee Preapproval Policy
Preapproved Audit Services
for
October 25, 2018 through October 31, 2019
| | |
Service | | Fee Range |
| Statutory audits or financial audits (including tax services associated withnon-audit services) | | As presented to Audit Committee in a separate engagement letter1 |
| |
| Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters | | Not to exceed $9,000 per filing |
Appendix B — Audit Committee Preapproval Policy
Preapproved Audit-Related Services
for
October 25, 2018 through October 31, 2019
| | |
Service | | Fee Range |
| Consultations by Fund management with respect to the accounting or disclosure treatment of securities, transactions or events and/or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies | | Not to exceed $5,000 per occurrence during thePre-Approval Period |
| | |
| Review of Funds’ semi-annual financial statements | | Not to exceed $2,000 per set of financial statements per fund |
| |
| Regulatory compliance assistance | | Not to exceed $5,000 per quarter |
| |
| Training Courses | | Not to exceed $5,000 per course |
Appendix C — Audit Committee Preapproval Policy
Preapproved Tax Services
for
October 25, 2018 through October 31, 2019
| | |
| Service | | Fee Range |
| Review of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions. | | As presented to Audit Committee in a separate engagement letter1 |
| |
| Tax assistance and advice regarding statutory, regulatory or administrative developments | | Not to exceed $5,000 for the Funds’ or for the Funds’ investment adviser during thePre-Approval period |
| |
| Assistance with custom tax audits and related matters | | Not to exceed $15,000 per Fund during thePre-Approval Period |
| |
| Tax Training Courses | | Not to exceed $5,000 per course during thePre-Approval Period |
| |
| M & A tax due diligence services associated with Fund mergers including: review of the target fund’s historical tax filings, review of the target fund’s tax audit examination history, and hold discussions with target management and external tax advisors. Advice regarding the target fund’s overall tax posture and historical and future tax exposures. | | Not to exceed $8,000 per merger during thePre-Approval Period |
| |
| Tax services related to the preparation of annual PFIC statements and annual Form 5471 (Controlled Foreign Corporation for structured finance vehicles) | | Not to exceed $20,000 during thePre-Approval Period |
Appendix D — Audit Committee Preapproval Policy
Preapproved All Other Services
for
October 25, 2018 through October 31, 2019
| | |
Service | | Fee Range |
| With respect to any service set forth in Appendices A, B, or C, and any other permitted services not listed herein, the Audit Committee Chair is delegatedpre-approval authority. | | Not to exceed $20,000 per service, or $75,000 per annum in the aggregate for all such services. |
| |
| No other services for thePre-Approval Period have been specifically preapproved by the Audit Committee. | | N/A |
Exhibit 1 – Audit Committee Preapproval Policy
ProhibitedNon-Audit Services
| | • | | Bookkeeping or other services related to the accounting records or financial statements of the audit client |
| | • | | Financial information systems design and implementation |
| | • | | Appraisal or valuation services, fairness opinions orcontribution-in-kind reports |
| | • | | Internal audit outsourcing services |
| | • | | Broker-dealer, investment adviser or investment banking services |
| | • | | Expert services unrelated to the audit |
1 For new funds launched during thePre-Approval Period, the fee rangespre-approved will be the same as those for existing funds,pro-rated in accordance with inception dates as provided in the auditors’ proposal or any engagement letter covering the period at issue. Fees in the engagement letter will be controlling.
(e)(2) None, or 0%, of the services relating to the audit-related fees, tax fees, and all other fees paid by the registrant disclosed above were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X (which permits audit committee approval after the start of the engagement with respect to services other than audit review or attest services, if certain conditions are satisfied).
(f) According to KPMG for the fiscal year ended July 31, 2019, the percentage of hours spent on the audit of the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than KPMG’s full-time, permanent employees is as follows:
| | | | |
Fund | | 2019 | |
Domini Social Equity Fund | | | 0 | % |
Domini Social Bond Fund | | | 0 | % |
Domini International Social Equity Fund | | | 0 | % |
(g) There were nonon-audit services rendered to the registrant’s Service Providers for the fiscal years ended July 31, 2019 and July 31, 2018.
The aggregatenon-audit fees billed by KPMG for services rendered to the registrant for the fiscal year ended July 31, 2019 was $ 21,000. These fees related to the 2018 Tax Fees described in Item 4 (c). The aggregatenon-audit fees billed by KPMG for services rendered to the registrant for the fiscal year ended July 31, 2018, were $21,000. These fees related to the 2018 Tax Fees described in Item 4 (c).
(h) Not applicable.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable to the registrant.
| Item 6. | Schedule of Investments. |
| (a) | The Schedule of Investments is included as part of the report to stockholders filed under Item 1. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable to the registrant.
| Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable to the registrant.
| Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable to the registrant.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There were no material changes to the procedures by which shareholders may submit recommendations for nominees to the registrant’s Board of Trustees.
| Item 11. | Controls and Procedures. |
(a) Within 90 days prior to the filing of this report on FormN-CSR, Carole M. Laible, the registrant’s President and Principal Executive Officer, and Christina Povall, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) of the Investment Company Act of 1940) and evaluated their effectiveness. Based on their evaluation, Ms. Laible and Ms. Povall determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in this report on FormN-CSR is recorded, processed, summarized, and reported within the time periods required by the Securities and Exchange Commission’s rules and forms, including ensuring that information required to be disclosed in this report on FormN-CSR is accumulated and communicated to the registrant’s management, including the Ms. Laible and Ms. Povall, as appropriate to allow timely decisions regarding required disclosures.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable to the registrant.
(a)(1) The Code of Ethics referred to in Item 2 is filed herewith.
(a)(2) Separate certifications required by Rule30a-2(a) under the Investment Company Act of 1940 for each principal executive officer and principal financial officer of the registrant are filed herewith.
(a)(3) Not applicable to the registrant.
(b) A single certification required by Rule30a-2(b) under the Investment Company Act of 1940, Rule13a-14b or Rule15d-14(b) under the Securities Exchange Act of 1934, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the chief executive officer and the chief financial officer of the registrant is filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
DOMINI INVESTMENT TRUST
| | |
| By: | | /s/ Carole M. Laible |
| | Carole M. Laible |
| | President (Principal Executive Officer) |
|
Date: October 9, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Carole M. Laible |
| | Carole M. Laible |
| | President (Principal Executive Officer) |
|
Date: October 9, 2019 |
| |
| By: | | /s/ Christina Povall |
| | Christina Povall |
| | Treasurer (Principal Financial Officer) |
|
Date: October 9, 2019 |
