UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number 811-5824
DOMINI SOCIAL INDEX PORTFOLIO
(Exact Name of Registrant as Specified in Charter)
536 Broadway, 7th Floor, New York, New York 10012
(Address of Principal Executive Offices)
Amy L. Domini
Domini Social Investments LLC
536 Broadway, 7th Floor
New York, New York 10012
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code: 212-217-1100
Date of Fiscal Year End: 7/31/03
Date of Reporting Period: 8/01/02 – 1/31/03
Item 1. Reports to Stockholders.
A copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) follows.
Domini Social Index Portfolio
Portfolio of Investments
January 31, 2003 (unaudited)
| | | | | | | | | | |
| Issuer | | Shares | | Value | ||||||
| Consumer Discretionary — 12.5% | ||||||||||
| American Greetings Corporation (a) | | 15,700 | | $ | 218,230 | |||||
| AOL Time Warner, Inc. (a) | | 1,097,200 | | 12,793,352 | ||||||
| AutoZone, Inc. (a) | | 24,900 | | 1,636,179 | ||||||
| Bandag, Inc. | | 2,400 | | 89,136 | ||||||
| Bassett Furniture Industries | | 3,000 | | 42,720 | ||||||
| Black & Decker Corp. | | 20,700 | | 758,448 | ||||||
| Bob Evans Farms, Inc. | | 9,300 | | 210,924 | ||||||
| CDW Computer Centers, Inc. (a) | | 21,700 | | 956,753 | ||||||
| Centex Corporation | | 15,800 | | 836,136 | ||||||
| Champion Enterprises, Inc. (a) | | 12,800 | | 37,760 | ||||||
| Charming Shoppes, Inc. (a) | | 29,400 | | 98,784 | ||||||
| Circuit City Stores, Inc. | | 54,100 | | 324,059 | ||||||
| Claire's Stores, Inc. | | 11,900 | | 278,698 | ||||||
| Comcast Corporation (a) | | 346,058 | | 9,215,525 | ||||||
| Cooper Tire and Rubber Company | | 18,800 | | 268,840 | ||||||
| Costco Wholesale Corporation (a) | | 116,530 | | 3,364,221 | ||||||
| Cross (A.T.) Company (a) | | 3,800 | | 20,140 | ||||||
| Dana Corporation | | 38,400 | | 413,568 | ||||||
| Darden Restaurants, Inc. | | 44,200 | | 959,140 | ||||||
| Delphi Automotive Systems Corporation | | 144,300 | | 1,229,436 | ||||||
| Dillard's, Inc. | | 20,700 | | 310,500 | ||||||
| Disney (Walt) Company | | 521,200 | | 9,121,000 | ||||||
| Dollar General Corporation | | 86,551 | | 974,564 | ||||||
| Dow Jones & Company | | 16,000 | | 645,760 | ||||||
| eBay Inc. (a) | | 79,200 | | 5,952,672 | ||||||
| Emmis Communications Corporation (a) | | 12,200 | | 267,668 | ||||||
| Family Dollar Stores Inc. | | 44,300 | | 1,334,316 | ||||||
| Fleetwood Enterprises, Inc. (a) | | 9,300 | | 46,407 | ||||||
| Foot Locker, Inc. | | 36,300 | | 366,630 | ||||||
| Gaiam, Inc. (a) | | 2,200 | | 16,588 | ||||||
| Gap, Inc. (The) | | 224,687 | | 3,287,171 | ||||||
| Harley-Davidson, Inc. | | 77,500 | | 3,237,950 | ||||||
| Harman International Industries, Inc. | | 8,360 | | 514,140 | ||||||
| Hartmarx Corporation (a) | | 8,500 | | 21,165 | ||||||
| Home Depot, Inc. | | 594,397 | | 12,422,897 | ||||||
| Ikon Office Solutions | | 38,800 | | 300,700 | ||||||
| KB Home | | 12,400 | | 554,404 | ||||||
| Lee Enterprises, Inc. | | 8,800 | | 299,728 | ||||||
| Leggett & Platt, Incorporated | | 50,300 | | 1,016,060 | ||||||
| Lillian Vernon Corporation | | 2,200 | | 9,350 | ||||||
| Limited, Inc. (The) | | 134,700 | | 1,695,873 | ||||||
| Liz Claiborne, Inc. | | 27,300 | | 784,056 | ||||||
| Lowe's Companies, Inc. | | 198,600 | | 6,788,148 | ||||||
| Luby's, Inc. (a) | | 5,800 | | 11,484 | ||||||
| Mattel, Inc. | | 110,285 | | 2,205,700 | ||||||
| May Department Stores Company | | 74,500 | | 1,527,250 | ||||||
| Maytag Corporation | | 20,100 | | 507,927 | ||||||
| McDonald's Corporation | | 325,700 | | 4,637,968 | ||||||
| McGraw-Hill Companies | | 49,500 | | 2,931,390 | ||||||
| Media General, Inc. | | 5,800 | | 316,100 | ||||||
| Men's Wearhouse, Inc. (a) | | 10,600 | | 148,506 | ||||||
| Meredith Corporation | | 10,200 | | 430,338 | ||||||
| Modine Manufacturing Company | | 8,700 | | 140,940 | ||||||
| New York Times Company | | 38,900 | | 1,899,876 | ||||||
| Newell Rubbermaid, Inc. | | 67,478 | | 1,879,262 | ||||||
| Nordstrom, Inc. | | 34,800 | | 627,792 | ||||||
| Omnicom Group, Inc. | | 48,200 | | 2,906,460 | ||||||
| Oneida Ltd. | | 4,300 | | 47,214 | ||||||
| Oshkosh B'Gosh, Inc. | | 2,700 | | 64,881 | ||||||
| Penney (J.C.) Company, Inc. | | 69,200 | | 1,341,788 | ||||||
| Pep Boys — Manny, Moe & Jack | | 14,000 | | 145,740 | ||||||
| Phillips-Van Heusen Corporation | | 7,200 | | 85,320 | ||||||
| Pixar (a) | | 13,000 | | 714,870 | ||||||
| Pulte Homes, Inc. | | 15,800 | | 789,684 | ||||||
| Radio One, Inc. (a) | | 5,800 | | 89,784 | ||||||
| RadioShack Corporation | | 43,500 | | 867,825 | ||||||
| Reebok International Ltd. (a) | | 15,200 | | 459,648 | ||||||
| Ruby Tuesday, Inc. | | 16,700 | | 315,630 | ||||||
| Russell Corporation | | 8,300 | | 133,049 | ||||||
| ||||||||||
-1-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2003 (unaudited)
| | | | | | | | | | | |||
| Issuer | | Shares | | Value | |||||||||
| Consumer Discretionary (Continued) | |||||||||||||
| Scholastic Corporation (a) | | 9,700 | | 345,504 | |||||||||
| Sears, Roebuck and Co. | | 80,100 | | 2,118,645 | |||||||||
| Snap-On Incorporated | | 15,050 | | 383,775 | |||||||||
| SPX Corporation (a) | | 20,830 | | 772,793 | |||||||||
| Stanley Works | | 22,200 | | 590,964 | |||||||||
| Staples, Inc. (a) | | 120,300 | | 2,065,551 | |||||||||
| Starbucks Corporation (a) | | 98,300 | | 2,233,376 | |||||||||
| Stride Rite Corporation | | 10,800 | | 87,156 | |||||||||
| Target Corporation | | 231,500 | | 6,530,615 | |||||||||
| Timberland Company (The) (a) | | 7,500 | | 232,125 | |||||||||
| TJX Companies, Inc. | | 135,200 | | 2,482,272 | |||||||||
| Toys 'R' Us, Inc. (a) | | 54,220 | | 490,149 | |||||||||
| Tribune Company | | 77,450 | | 3,748,580 | |||||||||
| Tupperware Corporation | | 15,000 | | 231,900 | |||||||||
| Univision Communications, Inc. (a) | | 41,400 | | 1,091,304 | |||||||||
| VF Corporation | | 28,100 | | 989,963 | |||||||||
| Visteon Corporation | | 34,000 | | 233,580 | |||||||||
| Washington Post Company | | 2,000 | | 1,469,000 | |||||||||
| Wellman, Inc. | | 8,200 | | 100,860 | |||||||||
| Wendy's International, Inc. | | 29,800 | | 809,070 | |||||||||
| Whirlpool Corporation | | 17,600 | | 914,673 | |||||||||
| | 136,868,077 | |||||||||||
| | ||||||||||||
| Consumer Staples — 13.0% | |||||||||||||
| Alberto-Culver Company | | 8,400 | | 426,132 | |||||||||
| Albertson's, Inc. | | 101,100 | | 2,173,650 | |||||||||
| Avon Products, Inc. | | 60,300 | | 3,015,000 | |||||||||
| Campbell Soup Company | | 104,900 | | 2,514,453 | |||||||||
| Church & Dwight Co., Inc. | | 10,300 | | 298,700 | |||||||||
| Clorox Company | | 56,300 | | 2,151,786 | |||||||||
| Coca-Cola Company | | 634,100 | | 25,655,686 | |||||||||
| Colgate-Palmolive Company | | 137,400 | | 6,995,034 | |||||||||
| CVS Corporation | | 100,500 | | 2,273,310 | |||||||||
| Fleming Companies, Inc. | | 12,900 | | 47,085 | |||||||||
| General Mills Incorporated | | 94,300 | | 4,236,899 | |||||||||
| Gillette Company | | 269,600 | | 8,061,040 | |||||||||
| Green Mountain Coffee, Inc. (a) | | 1,800 | | 27,018 | |||||||||
| Hain Celestial Group, Inc. (The) (a) | | 8,700 | | 103,269 | |||||||||
| Heinz (H.J.) Company | | 89,900 | | 2,904,669 | |||||||||
| Hershey Foods Corporation | | 26,600 | | 1,715,700 | |||||||||
| Horizon Organic Holding Corporation (a) | | 2,600 | | 33,254 | |||||||||
| Kellogg Company | | 104,600 | | 3,493,640 | |||||||||
| Kimberly-Clark Corporation | | 131,964 | | 6,112,572 | |||||||||
| Kroger Company (a) | | 198,100 | | 2,989,329 | |||||||||
| Longs Drug Stores Corporation | | 9,900 | | 211,167 | |||||||||
| Nature's Sunshine Products, Inc. | | 4,200 | | 36,078 | |||||||||
| PepsiAmericas, Inc. | | 39,000 | | 501,150 | |||||||||
| PepsiCo, Inc. | | 441,570 | | 17,874,754 | |||||||||
| Procter & Gamble Company | | 332,400 | | 28,443,468 | |||||||||
| Safeway Inc. (a) | | 112,900 | | 2,675,730 | |||||||||
| Smucker (J.M.) Company | | 12,905 | | 516,200 | |||||||||
| SUPERVALU, Inc. | | 34,400 | | 511,872 | |||||||||
| Sysco Corporation | | 168,500 | | 4,948,845 | |||||||||
| Tootsie Roll Industries, Inc. | | 9,096 | | 257,417 | |||||||||
| United Natural Foods, Inc. (a) | | 5,000 | | 104,900 | |||||||||
| Walgreen Company | | 261,600 | | 7,586,400 | |||||||||
| Whole Foods Market, Inc. (a) | | 14,900 | | 757,218 | |||||||||
| Wild Oats Markets, Inc. (a) | | 6,550 | | 54,300 | |||||||||
| Wrigley (Wm.) Jr. Company | | 46,500 | | 2,581,679 | |||||||||
| | 142,289,404 | |||||||||||
| | ||||||||||||
| Energy — 1.0% | |||||||||||||
| Anadarko Petroleum Corporation | | 63,685 | | 2,936,515 | |||||||||
| Apache Corporation | | 36,440 | | 2,274,220 | |||||||||
| Cooper Cameron Corp. (a) | | 14,100 | | 683,427 | |||||||||
| Devon Energy Corporation | | 40,472 | | 1,833,382 | |||||||||
| EOG Resources, Inc. | | 29,800 | | 1,155,048 | |||||||||
| Equitable Resources, Inc. | | 16,100 | | 598,598 | |||||||||
| Helmerich & Payne, Inc. | | 13,000 | | 324,870 | |||||||||
| Noble Energy, Inc. | | 14,700 | | 524,790 | |||||||||
| Rowan Companies, Inc. | | 24,200 | | 499,246 | |||||||||
| Sunoco, Inc. | | 19,800 | | 620,136 | |||||||||
| | 11,450,232 | |||||||||||
| | ||||||||||||
| Financials — 25.3% | |||||||||||||
| AFLAC, Inc. | | 132,300 | | 4,285,197 | |||||||||
| American Express Company | | 335,800 | | 11,930,974 | |||||||||
| American International Group, Inc. | | 667,476 | | 36,123,801 | |||||||||
| |||||||||||||
-2-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2003 (unaudited)
| | | | | | | | | | | |||
| Issuer | | Shares | | Value | |||||||||
| Financials (Continued) | |||||||||||||
| AmSouth Bancorporation | | 91,800 | | 1,880,982 | |||||||||
| Aon Corporation | | 79,700 | | 1,508,721 | |||||||||
| Bank of America Corporation | | 382,800 | | 26,815,140 | |||||||||
| Bank One Corporation | | 297,585 | | 10,864,828 | |||||||||
| Capital One Financial Corporation | | 56,000 | | 1,738,800 | |||||||||
| Cathay Bancorp, Inc. | | 4,700 | | 176,762 | |||||||||
| Charter One Financial, Inc. | | 58,410 | | 1,688,633 | |||||||||
| Chittenden Corporation | | 8,376 | | 216,101 | |||||||||
| Chubb Corporation | | 43,400 | | 2,331,448 | |||||||||
| Cincinnati Financial Corporation | | 41,585 | | 1,488,327 | |||||||||
| Comerica Incorporated | | 44,200 | | 1,790,100 | |||||||||
| Edwards (A.G.), Inc. | | 20,387 | | 582,457 | |||||||||
| Fannie Mae | | 253,800 | | 16,420,860 | |||||||||
| Fifth Third Bancorp | | 147,537 | | 7,871,099 | |||||||||
| First Tennessee National Corporation | | 32,400 | | 1,215,000 | |||||||||
| FirstFed Financial Corp. (a) | | 4,500 | | 130,095 | |||||||||
| Franklin Resources, Inc. | | 65,100 | | 2,170,434 | |||||||||
| Freddie Mac | | 177,300 | | 9,925,254 | |||||||||
| Golden West Financial | | 39,300 | | 2,889,729 | |||||||||
| GreenPoint Financial Corporation | | 25,200 | | 1,086,372 | |||||||||
| Hartford Financial Services Group (The) | | 65,100 | | 2,713,368 | |||||||||
| Janus Capital Group Inc. (a) | | 57,000 | | 723,330 | |||||||||
| Jefferson-Pilot Corporation | | 37,125 | | 1,429,313 | |||||||||
| KeyCorp | | 108,800 | | 2,616,640 | |||||||||
| Lincoln National Corporation | | 45,800 | | 1,477,050 | |||||||||
| Marsh & McLennan Companies, Inc. | | 137,500 | | 5,861,625 | |||||||||
| MBIA, Inc. | | 37,500 | | 1,536,750 | |||||||||
| MBNA Corporation | | 327,875 | | 5,518,136 | |||||||||
| Mellon Financial Corporation | | 110,400 | | 2,524,848 | |||||||||
| Merrill Lynch & Co., Inc. | | 219,900 | | 7,700,898 | |||||||||
| MGIC Investment Corporation | | 26,000 | | 1,121,380 | |||||||||
| Moody's Corporation | | 39,000 | | 1,633,320 | |||||||||
| Morgan (J.P.) Chase & Co. | | 509,560 | | 11,893,130 | |||||||||
| National City Corporation | | 156,700 | | 4,356,260 | |||||||||
| Northern Trust Corporation | | 55,900 | | 1,911,780 | |||||||||
| PNC Financial Services Group | | 72,800 | | 3,206,112 | |||||||||
| Progressive Corporation (The) | | 55,700 | | 2,692,538 | |||||||||
| Providian Financial Corporation (a) | | 74,200 | | 474,138 | |||||||||
| Rouse Company | | 22,500 | | 713,925 | |||||||||
| SAFECO Corporation | | 35,400 | | 1,269,090 | |||||||||
| Schwab (Charles) Corporation | | 344,500 | | 3,176,290 | |||||||||
| SLM Corporation | | 39,400 | | 4,185,462 | |||||||||
| St. Paul Companies, Inc. | | 57,264 | | 1,869,097 | |||||||||
| State Street Corporation | | 83,000 | | 3,285,970 | |||||||||
| SunTrust Banks, Inc. | | 72,700 | | 4,118,455 | |||||||||
| Synovus Financial Corporation | | 76,550 | | 1,479,712 | |||||||||
| U.S. Bancorp | | 489,021 | | 10,318,343 | |||||||||
| UnumProvident Corporation | | 62,200 | | 1,086,634 | |||||||||
| Value Line, Inc. | | 2,600 | | 119,938 | |||||||||
| Wachovia Corporation | | 347,600 | | 12,503,172 | |||||||||
| Washington Mutual, Inc. | | 241,404 | | 8,316,368 | |||||||||
| Wells Fargo & Company | | 432,600 | | 20,492,262 | |||||||||
| Wesco Financial Corporation | | 1,800 | | 540,000 | |||||||||
| | 277,996,448 | |||||||||||
| | ||||||||||||
| Health Care — 13.5% | |||||||||||||
| Allergan, Inc. | | 32,700 | | 1,983,909 | |||||||||
| Amgen, Inc. (a) | | 326,800 | | 16,653,728 | |||||||||
| Applera Corp.-Applied Biosystems Group | | 54,300 | | 952,965 | |||||||||
| Bard (C.R.), Inc. | | 13,400 | | 759,512 | |||||||||
| Bausch & Lomb Incorporated | | 14,000 | | 465,500 | |||||||||
| Baxter International, Inc. | | 152,200 | | 4,288,996 | |||||||||
| Becton Dickinson and Company | | 64,900 | | 2,128,720 | |||||||||
| Biogen, Inc. (a) | | 38,400 | | 1,468,800 | |||||||||
| Biomet, Inc. | | 67,100 | | 1,874,841 | |||||||||
| Boston Scientific Corporation (a) | | 104,300 | | 4,218,935 | |||||||||
| CIGNA Corporation | | 36,000 | | 1,572,120 | |||||||||
| Forest Laboratories, Inc. (a) | | 92,200 | | 4,771,350 | |||||||||
| Guidant Corporation (a) | | 78,200 | | 2,629,084 | |||||||||
| Hillenbrand Industries, Inc. | | 15,900 | | 813,285 | |||||||||
| Humana, Inc. (a) | | 42,900 | | 426,426 | |||||||||
| Invacare Corporation | | 7,700 | | 233,618 | |||||||||
| Invitrogen Corporation (a) | | 13,400 | | 394,764 | |||||||||
| Johnson & Johnson | | 760,070 | | 40,747,353 | |||||||||
| King Pharmaceuticals Inc. (a) | | 62,500 | | 917,500 | |||||||||
| Manor Care, Inc. (a) | | 25,000 | | 480,500 | |||||||||
| McKesson HBOC, Inc. | | 73,420 | | 2,087,331 | |||||||||
| |||||||||||||
-3-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2003 (unaudited)
| | | | | | | | | | | |||
| Issuer | | Shares | | Value | |||||||||
| Health Care (Continued) | |||||||||||||
| MedImmune, Inc. (a) | | 63,500 | | 1,891,665 | |||||||||
| Medtronic, Inc. | | 310,500 | | 13,947,660 | |||||||||
| Merck & Co., Inc. | | 574,500 | | 31,821,555 | |||||||||
| Mylan Laboratories, Inc. | | 47,550 | | 1,270,536 | |||||||||
| Oxford Health Plans, Inc. (a) | | 22,700 | | 799,721 | |||||||||
| Quintiles Transnational Corp. (a) | | 30,400 | | 386,384 | |||||||||
| St. Jude Medical, Inc. (a) | | 44,900 | | 1,956,293 | |||||||||
| Stryker Corporation (a) | | 50,700 | | 3,054,168 | |||||||||
| Watson Pharmaceuticals (a) | | 27,700 | | 838,756 | |||||||||
| Zimmer Holdings, Inc. (a) | | 49,300 | | 2,021,300 | |||||||||
| | 147,857,275 | |||||||||||
| | ||||||||||||
| Industrials — 7.0% | |||||||||||||
| 3M Company | | 99,700 | | 12,417,635 | |||||||||
| Airborne, Inc. | | 12,500 | | 192,375 | |||||||||
| Alaska Air Group, Inc. (a) | | 6,900 | | 136,413 | |||||||||
| American Power Conversion (a) | | 50,600 | | 787,336 | |||||||||
| AMR Corporation (a) | | 39,900 | | 115,710 | |||||||||
| Angelica Corporation | | 2,200 | | 42,680 | |||||||||
| Apogee Enterprises, Inc. | | 7,400 | | 68,672 | |||||||||
| AstroPower, Inc. (a) | | 5,700 | | 38,475 | |||||||||
| Ault, Inc. (a) | | 1,200 | | 2,292 | |||||||||
| Automatic Data Processing, Inc. | | 153,674 | | 5,327,878 | |||||||||
| Avery Dennison Corporation | | 28,400 | | 1,692,356 | |||||||||
| Baldor Electric Company | | 8,800 | | 168,432 | |||||||||
| Banta Corporation | | 6,550 | | 196,304 | |||||||||
| Block (H & R), Inc. | | 45,700 | | 1,731,573 | |||||||||
| Brady Corporation | | 5,500 | | 146,080 | |||||||||
| Bright Horizons Family Solutions, Inc. (a) | | 3,200 | | 85,440 | |||||||||
| Ceridian Corporation (a) | | 37,800 | | 542,052 | |||||||||
| Cintas Corporation | | 43,600 | | 1,800,680 | |||||||||
| CLARCOR, Inc. | | 6,450 | | 209,625 | |||||||||
| Cooper Industries, Inc. | | 23,900 | | 846,777 | |||||||||
| CPI Corporation | | 2,100 | | 29,379 | |||||||||
| Cummins, Inc. | | 10,700 | | 264,290 | |||||||||
| Deere & Company | | 61,000 | | 2,574,200 | |||||||||
| Delta Air Lines, Inc. | | 32,000 | | 292,480 | |||||||||
| Deluxe Corporation | | 16,000 | | 643,840 | |||||||||
| DeVry, Inc. (a) | | 18,100 | | 305,890 | |||||||||
| Dionex Corporation (a) | | 5,600 | | 174,664 | |||||||||
| Donaldson Company, Inc. | | 11,300 | | 383,635 | |||||||||
| Donnelley (R.R.) & Sons Company | | 29,300 | | 631,415 | |||||||||
| Ecolab, Inc. | | 33,500 | | 1,651,550 | |||||||||
| Emerson Electric Company | | 108,000 | | 5,068,440 | |||||||||
| Fastenal Company | | 19,700 | | 652,464 | |||||||||
| FedEx Corporation | | 76,300 | | 4,013,380 | |||||||||
| GATX Corporation | | 12,600 | | 240,282 | |||||||||
| Genuine Parts Company | | 44,900 | | 1,324,550 | |||||||||
| Graco, Inc. | | 12,368 | | 329,236 | |||||||||
| Grainger (W.W.), Inc. | | 23,600 | | 1,116,280 | |||||||||
| Granite Construction Incorporated | | 10,625 | | 161,500 | |||||||||
| Harland (John H.) Company | | 7,600 | | 167,580 | |||||||||
| Herman Miller, Inc. | | 19,300 | | 345,277 | |||||||||
| HON Industries Inc. | | 15,200 | | 393,984 | |||||||||
| Hubbell Incorporated | | 12,660 | | 399,423 | |||||||||
| Illinois Tool Works, Inc. | | 78,600 | | 4,780,452 | |||||||||
| IMCO Recycling, Inc. (a) | | 3,800 | | 21,508 | |||||||||
| IMS Health, Inc. | | 70,500 | | 1,187,925 | |||||||||
| Interface, Inc. | | 11,400 | | 31,350 | |||||||||
| Ionics, Inc. (a) | | 4,500 | | 101,880 | |||||||||
| Isco, Inc. | | 1,500 | | 12,630 | |||||||||
| Kansas City Southern Industries, Inc. (a) | | 15,700 | | 200,175 | |||||||||
| Kelly Services, Inc. | | 8,475 | | 177,128 | |||||||||
| Lawson Products, Inc. | | 2,500 | | 66,875 | |||||||||
| Lincoln Electric Holdings, Inc. | | 11,000 | | 244,420 | |||||||||
| Masco Corporation | | 126,100 | | 2,293,759 | |||||||||
| Merix Corporation (a) | | 3,750 | | 23,475 | |||||||||
| Milacron, Inc. | | 8,700 | | 43,413 | |||||||||
| Molex Incorporated | | 25,646 | | 538,310 | |||||||||
| National Service Industries, Inc. | | 2,875 | | 17,394 | |||||||||
| New England Business Service, Inc. | | 3,400 | | 74,800 | |||||||||
| Nordson Corporation | | 8,600 | | 190,060 | |||||||||
| Norfolk Southern Corporation | | 100,300 | | 1,975,910 | |||||||||
| Osmonics, Inc. (a) | | 3,800 | | 65,208 | |||||||||
| Paychex, Inc. | | 96,200 | | 2,422,316 | |||||||||
| Pitney Bowes, Inc. | | 59,900 | | 1,949,146 | |||||||||
| Roadway Express, Inc. | | 5,000 | | 172,200 | |||||||||
| Robert Half International, Inc. (a) | | 44,800 | | 679,168 | |||||||||
| |||||||||||||
-4-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2003 (unaudited)
| | | | | | | | | | | |||
| Issuer | | Shares | | Value | |||||||||
| Industrials (Continued) | |||||||||||||
| Ryder System, Inc. | | 16,100 | | 362,733 | |||||||||
| Smith (A.O.) Corporation | | 5,200 | | 135,148 | |||||||||
| Southwest Airlines Co. | | 197,862 | | 2,582,099 | |||||||||
| Spartan Motors, Inc. | | 3,100 | | 34,503 | |||||||||
| Standard Register Company | | 6,000 | | 112,620 | |||||||||
| Steelcase, Inc. | | 9,900 | | 104,247 | |||||||||
| Tennant Company | | 2,300 | | 69,690 | |||||||||
| Thermo Electron Corporation (a) | | 43,300 | | 786,761 | |||||||||
| Thomas & Betts Corporation (a) | | 15,100 | | 254,888 | |||||||||
| Thomas Industries, Inc. | | 4,000 | | 99,000 | |||||||||
| Toro Company | | 3,200 | | 201,632 | |||||||||
| United Parcel Service, Inc. | | 120,100 | | 7,245,633 | |||||||||
| Watts Industries | | 4,700 | | 65,517 | |||||||||
| Yellow Corporation (a) | | 7,500 | | 175,214 | |||||||||
| | 77,211,711 | |||||||||||
| | ||||||||||||
| Information Technology — 18.6% | |||||||||||||
| 3Com Corporation (a) | | 91,500 | | 387,045 | |||||||||
| Adaptec, Inc. (a) | | 27,400 | | 162,208 | |||||||||
| ADC Telecommunications, Inc. (a) | | 206,300 | | 474,490 | |||||||||
| Advanced Micro Devices, Inc. (a) | | 88,300 | | 462,692 | |||||||||
| Advent Software, Inc. (a) | | 8,500 | | 118,235 | |||||||||
| Analog Devices, Inc. (a) | | 93,600 | | 2,239,848 | |||||||||
| Andrew Corporation (a) | | 25,500 | | 235,620 | |||||||||
| Apple Computer, Inc. (a) | | 92,700 | | 1,331,172 | |||||||||
| Applied Materials, Inc. (a) | | 422,200 | | 5,053,734 | |||||||||
| Arrow Electronics, Inc. (a) | | 25,900 | | 307,433 | |||||||||
| Autodesk, Inc. | | 29,200 | | 436,248 | |||||||||
| BMC Software, Inc. (a) | | 60,800 | | 1,071,904 | |||||||||
| Borland Software Corporation (a) | | 18,300 | | 190,320 | |||||||||
| Cisco Systems, Inc. (a) | | 1,848,000 | | 24,707,760 | |||||||||
| Compuware Corporation (a) | | 96,600 | | 338,100 | |||||||||
| Dell Computer Corporation (a) | | 662,100 | | 15,797,706 | |||||||||
| Electronic Arts Inc. (a) | | 35,700 | | 1,849,617 | |||||||||
| Electronic Data Systems Corporation | | 120,700 | | 2,045,865 | |||||||||
| EMC Corporation (a) | | 564,000 | | 4,342,800 | |||||||||
| Gerber Scientific, Inc. (a) | | 5,700 | | 32,718 | |||||||||
| Hewlett-Packard Company | | 780,010 | | 13,579,974 | |||||||||
| Hutchinson Technology Incorporated (a) | | 6,500 | | 148,265 | |||||||||
| Imation Corporation (a) | | 9,100 | | 325,234 | |||||||||
| Intel Corporation | | 1,704,800 | | 26,697,168 | |||||||||
| Lexmark International Group, Inc. (a) | | 32,500 | | 1,967,550 | |||||||||
| LSI Logic Corporation (a) | | 95,300 | | 420,273 | |||||||||
| Lucent Technologies, Inc. (a) | | 892,000 | | 1,659,120 | |||||||||
| Micron Technology, Inc. (a) | | 156,000 | | 1,280,760 | |||||||||
| Microsoft Corporation | | 1,368,300 | | 64,939,518 | |||||||||
| Millipore Corporation (a) | | 12,400 | | 400,644 | |||||||||
| National Semiconductor Corporation (a) | | 46,200 | | 609,840 | |||||||||
| Novell, Inc. (a) | | 93,600 | | 303,264 | |||||||||
| Palm, Inc. (a) | | 7,504 | | 116,387 | |||||||||
| PeopleSoft, Inc. (a) | | 80,300 | | 1,557,017 | |||||||||
| Plantronics, Inc. (a) | | 11,600 | | 165,068 | |||||||||
| QRS Corporation (a) | | 4,100 | | 21,984 | |||||||||
| Qualcomm, Inc. (a) | | 200,400 | | 7,547,064 | |||||||||
| Sapient Corporation (a) | | 32,800 | | 58,056 | |||||||||
| Scientific-Atlanta, Inc. | | 39,900 | | 442,890 | |||||||||
| Solectron Corporation (a) | | 213,800 | | 767,542 | |||||||||
| Sun Microsystems, Inc. (a) | | 797,800 | | 2,465,202 | |||||||||
| Symantec Corporation (a) | | 36,800 | | 1,717,824 | |||||||||
| Tektronix, Inc. (a) | | 22,600 | | 372,900 | |||||||||
| Tellabs, Inc. (a) | | 106,000 | | 825,740 | |||||||||
| Texas Instruments, Inc. | | 444,900 | | 7,073,910 | |||||||||
| Waters Corporation (a) | | 33,400 | | 769,870 | |||||||||
| Xerox Corporation (a) | | 186,300 | | 1,648,755 | |||||||||
| Xilinx, Inc. (a) | | 85,300 | | 1,688,087 | |||||||||
| Yahoo! Inc. (a) | | 151,300 | | 2,753,660 | |||||||||
| | 203,909,081 | |||||||||||
| | ||||||||||||
| Materials — 1.3% | |||||||||||||
| Air Products & Chemicals, Inc. | | 57,600 | | 2,387,520 | |||||||||
| Bemis Company, Inc. | | 13,700 | | 597,594 | |||||||||
| Cabot Corporation | | 16,000 | | 404,160 | |||||||||
| Calgon Carbon Corporation | | 10,100 | | 60,600 | |||||||||
| Caraustar Industries, Inc. (a) | | 7,200 | | 54,648 | |||||||||
| Crown Cork & Seal Company, Inc. (a) | | 41,600 | | 288,288 | |||||||||
| Engelhard Corporation | | 33,200 | | 687,572 | |||||||||
| Fuller (H.B.) Company | | 7,300 | | 185,055 | |||||||||
| Lubrizol Corporation | | 13,300 | | 395,409 | |||||||||
| |||||||||||||
-5-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2003 (unaudited)
| | | | | | | | | | |
| Issuer | | Shares | | Value | ||||||
| Materials (Continued) | ||||||||||
| MeadWestvaco Corp. | | 51,112 | | 1,229,244 | ||||||
| Minerals Technologies, Inc. | | 5,300 | | 210,145 | ||||||
| Nucor Corporation | | 20,150 | | 804,187 | ||||||
| Praxair, Inc. | | 40,700 | | 2,219,778 | ||||||
| Rock-Tenn Company | | 9,000 | | 123,570 | ||||||
| Rohm & Haas Company | | 55,600 | | 1,715,260 | ||||||
| Sealed Air Corporation (a) | | 21,700 | | 818,524 | ||||||
| Sigma-Aldrich Corporation | | 18,600 | | 834,582 | ||||||
| Sonoco Products Company | | 24,745 | | 519,150 | ||||||
| Stillwater Mining Company (a) | | 11,200 | | 47,936 | ||||||
| Trex Company, Inc. (a) | | 3,700 | | 118,400 | ||||||
| Worthington Industries, Inc. | | 22,200 | | 336,773 | ||||||
| | 14,038,395 | ||||||||
| | |||||||||
| Telecommunication Services — 6.4% | ||||||||||
| AT&T Corporation | | 197,316 | | 3,843,715 | ||||||
| AT&T Wireless Services, Inc. (a) | | 694,587 | | 4,216,143 | ||||||
| BellSouth Corporation | | 474,900 | | 10,818,222 | ||||||
| Citizens Communications Company (a) | | 72,767 | | 712,389 | ||||||
| SBC Communications, Inc. | | 849,128 | | 20,752,688 | ||||||
| Sprint Corporation | | 228,800 | | 2,777,632 | ||||||
| Telephone and Data Systems, Inc. | | 13,500 | | 579,150 | ||||||
| Verizon Communications | | 697,922 | | 26,716,455 | ||||||
| | 70,416,394 | ||||||||
| | |||||||||
| Utilities — 0.8% | ||||||||||
| AGL Resources, Inc. | | 14,400 | | 329,040 | ||||||
| Cascade Natural Gas Corporation | | 2,900 | | 55,535 | ||||||
| Cleco Corporation | | 12,200 | | 164,700 | ||||||
| Energen Corporation | | 8,900 | | 270,293 | ||||||
| IDACORP, Inc. | | 9,700 | | 217,765 | ||||||
| KeySpan Corporation | | 36,700 | | 1,247,800 | ||||||
| Kinder Morgan, Inc. | | 31,500 | | 1,420,965 | ||||||
| MGE Energy, Inc. | | 4,400 | | 119,020 | ||||||
| Mirant Corporation (a) | | 103,600 | | 182,336 | ||||||
| National Fuel Gas Company | | 20,500 | | 421,890 | ||||||
| NICOR, Inc. | | 11,400 | | 358,530 | ||||||
| NISource, Inc. | | 61,500 | | 1,092,855 | ||||||
| Northwest Natural Gas Company | | 6,500 | | 169,130 | ||||||
| Northwestern Corporation | | 7,100 | | 37,275 | ||||||
| OGE Energy Corporation | | 20,200 | | 345,218 | ||||||
| Peoples Energy Corporation | | 9,200 | | 338,652 | ||||||
| Pepco Holdings, Inc. | | 42,100 | | 789,375 | ||||||
| Questar Corporation | | 21,200 | | 583,000 | ||||||
| Southern Union Company (a) | | 14,233 | | 204,955 | ||||||
| WGL Holdings | | 12,600 | | 319,158 | ||||||
| Williams Companies, Inc. | | 134,200 | | 434,808 | ||||||
| | 9,102,300 | ||||||||
| Total Investments — 99.4% | ||||||||||
| (cost $1,400,636,263) (b) | | | $ | 1,091,139,317 | ||||||
| Other Assets, less liabilities — 0.6% | | | 6,903,182 | |||||||
| Net Assets — 100.0% | | | $ | 1,098,042,499 | ||||||
| ||||||||||
| |
| |
|
| (a) | Non–income producing security. |
| (b) | The aggregate cost for federal income tax purposes is $1,423,675,834, the aggregate gross unrealized appreciation is $88,732,834, and the aggregate gross unrealized depreciation is $421,269,351, resulting in net unrealized depreciation of $332,536,517. |
| Copyright in the Domini 400 Social IndexSM is owned by KLD Research & Analytics, Inc., and the Index is reproduced here by permission. No portion of the Index may be reproduced or distributed by any means or in any medium without the express written consent of the copyright owner. |
See Notes to Financial Statements
-6-
Domini Social Index Portfolio
Statement of Assets and Liabilities
January 31, 2003 (unaudited)
| | | | | | |
| ASSETS: | ||||||
| Investments at value (Cost $1,400,636,263) | | $ | 1,091,139,317 | |||
| Cash | | 5,512,815 | ||||
| Dividends receivable | | 1,615,452 | ||||
| Total assets | | 1,098,267,584 | ||||
| LIABILITIES: | ||||||
| Accrued expenses (Note 2) | | 225,085 | ||||
| Total liabilities | | 225,085 | ||||
| NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS | | $ | 1,098,042,499 | |||
| ||||||
See Notes to Financial Statements
-7-
Domini Social Index Portfolio
Statement of Operations
Six Months Ended January 31, 2003 (unaudited)
| | | | | | | | | | |
| INVESTMENT INCOME | ||||||||||
| Dividends | | | $ | 8,998,035 | ||||||
| EXPENSES | ||||||||||
| Management fee (Note 2) | | $ | 1,222,333 | |||||||
| Trustees fees | | 23,500 | ||||||||
| Professional fees | | 61,356 | ||||||||
| Custody fees (Note 3) | | 148,092 | ||||||||
| Miscellaneous | | 3,540 | ||||||||
| Total expenses | | 1,458,821 | ||||||||
| Fees paid indirectly (Note 3) | | (27,107 | ) | |||||||
| Expenses paid and fee waived by manager (Note 2) | | (120,000 | ) | |||||||
| Net expenses | | | 1,311,714 | |||||||
| NET INVESTMENT INCOME | | | 7,686,321 | |||||||
| Net realized loss on investments | ||||||||||
| Proceeds from sales | | $ | 123,679,433 | |||||||
| Cost of securities sold | | (226,960,791 | ) | |||||||
| Net realized loss on investments | | | (103,281,358 | ) | ||||||
| Net changes in unrealized depreciation of investments | ||||||||||
| Beginning of period | | $ | (347,525,759 | ) | ||||||
| End of period | | (309,496,946 | ) | |||||||
| Net change in unrealized depreciation | | | 38,028,813 | |||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | (57,566,224 | ) | |||||
| ||||||||||
See Notes to Financial Statements
-8-
Domini Social Index Portfolio
Statements of Changes in Net Assets
| | | | | | | | | | |
| Six Months Ended January 31, 2003 (unaudited) | | Year Ended July 31, 2002 | |||||||
| DECREASE IN NET ASSETS | ||||||||||
| From Operations: | ||||||||||
| Net investment income | | $ | 7,686,321 | | $ | 15,910,596 | ||||
| Net realized loss on investments | | (103,281,358 | ) | | (142,946,751 | ) | ||||
| Net change in unrealized depreciation of investments | | 38,028,813 | | (261,123,037 | ) | |||||
| Net Decrease in Net Assets Resulting from Operations | | (57,566,224 | ) | | (388,159,192 | ) | ||||
| Transactions in Investors' Beneficial Interest: | ||||||||||
| Additions | | 125,062,345 | | 309,789,675 | ||||||
| Reductions | | (208,780,601 | ) | | (411,308,581 | ) | ||||
| Net Decrease in Net Assets from Transactions in Investors' Beneficial Interests | | (83,718,256 | ) | | (101,518,906 | ) | ||||
| Total Decrease in Net Assets | | (141,284,480 | ) | | (489,678,098 | ) | ||||
| NET ASSETS: | ||||||||||
| Beginning of period | | 1,239,326,979 | | 1,729,005,077 | ||||||
| End of period | | $ | 1,098,042,499 | | $ | 1,239,326,979 | ||||
| ||||||||||
See Notes to Financial Statements
-9-
Domini Social Index Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | |||||||||||||||||||||||
| Six Months Ended January 31, 2003 (unaudited) | | Year Ended July 31, | ||||||||||||||||||||||||||||||||||||||||||||||
| 2002 | | 2001 | | 2000 | | 1999 | | 1998 | ||||||||||||||||||||||||||||||||||||||||
| Net assets (in millions) | | $ | 1,098 | | $ | 1,239 | | $ | 1,729 | | $ | 1,974 | | $ | 1,347 | | $ | 642 | |||||||||||||||||||||||||||||||
| Ratio of net investment income to average net assets (annualized) | | 1.29 | %(1) | | 1.02 | % | | 0.78 | % | | 0.70 | %(1) | | 0.84 | %(1) | | 1.05 | %(2) | |||||||||||||||||||||||||||||||
| Ratio of expenses to average net assets (annualized) | | 0.22 | %(1)(3) | | 0.22 | %(3) | | 0.22 | %(3) | | 0.24 | %(1)(3) | | 0.24 | %(1)(3) | | 0.24 | %(2)(3) | |||||||||||||||||||||||||||||||
| Portfolio turnover rate | | 4 | % | | 13 | % | | 19 | % | | 9 | % | | 8 | % | | 5 | % | |||||||||||||||||||||||||||||||
| |||||||||||||||||||||||||||||||||||||||||||||||||
| |||||||||||||||||||||||||||||||||||||||||||||||||
| |||||||||||||||||||||||||||||||||||||||||||||||||
| (1) | Reflects an expense reimbursement and fee waiver by the Manager of 0.02%, 0.002%, and 0.01% for the six months ended January 31, 2003, and the years ended July 31, 2000 and 1999, respectively. Had the Manager not waived its fee and reimbursed expenses, the ratios of net investment income and expenses to average net assets for the six months ended January 31, 2003, would have been 1.27% and 0.24%, respectively, and for the year ended July 31, 2000, would have been 0.70% and 0.24%, respectively, and for the year ended July 31, 1999, would have been 0.83% and 0.25%, respectively. |
| (2) | Reflects a waiver of 0.01% of fees by the Manager due to limitations set forth in the Management Agreement. Had the Manager not waived its fees, the ratios of net investment income and expenses to average net assets for the year ended July 31, 1998, would have been 1.04% and 0.25%, respectively. |
| (3) | Ratio of expenses to average net assets for the six months ended January 31, 2003, and the years ended July 31, 2002, 2001, 2000, 1999, and 1998, include indirectly paid expenses. Excluding indirectly paid expenses, the expense ratios would have been 0.22%, 0.22%, 0.21%, 0.21%, 0.20%, and 0.20% for the six months ended January 31, 2003, and the years ended July 31, 2002, 2001, 2000, 1999, and 1998, respectively. |
See Notes to Financial Statements
-10-
Domini Social Index Portfolio
Notes to Financial Statements
January 31, 2003 (unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Domini Social Index Portfolio is registered under the Investment Company Act of 1940 as a no-load, diversified, open-end management investment company that was organized as a trust under the laws of the State of New York on June 7, 1989. The Portfolio intends to correlate its investment portfolio as closely as is practicable with the Domini 400 Social Index,SM which is a common stock index developed and maintained by KLD Research & Analytics, Inc. The Declaration of Trust permits the Trustees to issue an unlimited number of beneficial interests in the Portfolio. The Portfolio commenced operations effective on August 10, 1990, and began investment operations on June 3, 1991.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of the Portfolio's significant accounting policies.
(A) Valuation of Investments. The Portfolio values securities listed or traded on national securities exchanges or reported by the NASDAQ National Market reporting system at the last sale price or, if there have been no sales that day, at the mean of the current bid and ask price which represents the current value of the security. Portfolio 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 Portfolio's Board of Trustees.
(B) Dividend Income. Dividend income is recorded on the ex-dividend date.
-11-
Domini Social Index Portfolio / Notes to Financial Statements (Continued)
January 31, 2003 (unaudited)
(C) Federal Taxes. The Portfolio will be treated as a partnership for U.S. federal income tax purposes and is therefore not subject to U.S. federal income tax. As such, each investor in the Portfolio will be taxed on its share of the Portfolio's ordinary income and capital gains. It is intended that the Portfolio will be managed in such a way that an investor will be able to satisfy the requirements of the Internal Revenue Code applicable to regulated investment companies.
(D) Other. Investment transactions are accounted for on the trade date. Gains and losses are determined on the basis of identified cost.
2. TRANSACTIONS WITH AFFILIATES
(A) Manager. Domini Social Investments LLC (DSIL) is registered as an investment adviser under the Investment Advisers Act of 1940. The services provided by DSIL 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 Portfolio. For its services under the Management Agreement, DSIL receives from the Portfolio a fee accrued daily and paid monthly at an annual rate equal to 0.20%. For the six months ended January 31, 2003, DSIL waived fees totalling $120,000.
(B) Submanager. SSgA Funds Management, Inc. (SSgA) provides investment submanagement services to the Portfolio on a day-to-day basis pursuant to a Submanagement Agreement with DSIL. SSgA does not determine the composition of the Domini 400 Social Index.SM The Index's composition is determined by KLD Research & Analytics, Inc.
3. INVESTMENT TRANSACTIONS
Cost of purchases and proceeds from sales of investments, other than U.S. government securities and short-term obligations, for the six months ended January 31, 2003, aggregated $48,288,922 and $226,960,791, respectively. Custody fees of the Portfolio were reduced by $27,107, which was compensation for uninvested cash left on deposit with the custodian.
-12-
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accounting Fees and Services.
Not applicable.
Items 5-6. [Reserved]
Item 7. Disclosure of Proxy Voting Policies and Procedures of Closed-End Management Investment Companies.
Not applicable.
Item 8. [Reserved]
Item 9. Controls and Procedures.
(a) Not applicable.
(b) Not applicable.
Item 10. Exhibits.
(a) Code of Ethics. Not applicable.
(b) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 are 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 SOCIAL INDEX PORTFOLIO | |
| By: | /s/ Amy L. Domini |
| Amy L. Domini | |
| President | |
Date: April 4, 2003
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/ Amy L. Domini |
| Amy L. Domini | |
| President | |
| Date: April 4, 2003 | |
| By: | /s/ Carole M. Laible |
| Carole M. Laible | |
| Treasurer | |
| Date: April 4, 2003 | |