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: July 31
Date of Reporting Period: January 31, 2004
Item 1. Reports to Stockholders.
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 follows.
Domini Social Index Portfolio
Portfolio of Investments
January 31, 2004 (unaudited)
 | | | | | | | | |
| Issuer | | Shares | | Value | ||||
| Consumer Discretionary — 13.4% | ||||||||
| American Greetings Corporation (a) | | 15,700 | | $ | 329,386 | |||
| AutoZone, Inc. (a) | | 23,531 | | 1,984,134 | ||||
| Bandag, Inc. | | 2,400 | | 100,584 | ||||
| Bassett Furniture Industries | | 3,000 | | 64,800 | ||||
| Black & Decker Corp. | | 20,700 | | 1,060,875 | ||||
| Bob Evans Farms, Inc. | | 9,300 | | 293,229 | ||||
| Centex Corporation | | 16,900 | | 1,789,710 | ||||
| Champion Enterprises, Inc. (a) | | 12,800 | | 85,504 | ||||
| Charming Shoppes, Inc. (a) | | 29,400 | | 171,402 | ||||
| Circuit City Stores, Inc. | | 54,100 | | 578,870 | ||||
| Claire's Stores, Inc. | | 23,800 | | 435,540 | ||||
| Comcast Corporation (a) | | 362,558 | | 12,370,479 | ||||
| Cooper Tire and Rubber Company | | 18,800 | | 381,076 | ||||
| Dana Corporation | | 38,400 | | 798,720 | ||||
| Darden Restaurants, Inc. | | 44,200 | | 884,000 | ||||
| Delphi Automotive Systems Corporation | | 152,500 | | 1,613,450 | ||||
| Dillard's, Inc. | | 20,700 | | 351,072 | ||||
| Disney (Walt) Company (The) | | 547,800 | | 13,147,200 | ||||
| Dollar General Corporation | | 90,851 | | 2,018,709 | ||||
| Dow Jones & Company | | 16,000 | | 791,680 | ||||
| eBay Inc. (a) | | 172,686 | | 11,575,143 | ||||
| Emmis Communications Corporation (a) | | 12,200 | | 316,834 | ||||
| Family Dollar Stores Inc. | | 47,000 | | 1,628,080 | ||||
| Fleetwood Enterprises, Inc. (a) | | 9,300 | | 113,460 | ||||
| Foot Locker, Inc. | | 39,200 | | 969,808 | ||||
| Gaiam, Inc. (a) | | 2,200 | | 11,990 | ||||
| Gap Inc. | | 238,987 | | 4,440,378 | ||||
| Genuine Parts Company | | 45,700 | | 1,506,272 | ||||
| Harley-Davidson, Inc. | | 81,400 | | 4,154,656 | ||||
| Harman International Industries, Inc. | | 17,720 | | 1,315,356 | ||||
| Hartmarx Corporation (a) | | 8,500 | | 44,030 | ||||
| Home Depot, Inc. (The) | | 607,406 | | 21,544,691 | ||||
| Horton (D.R.), Inc. | | 63,600 | | 1,787,160 | ||||
| Interface, Inc. (a) | | 11,400 | | 88,122 | ||||
| Johnson Controls, Inc. | | 48,200 | | 2,836,570 | ||||
| KB Home | | 12,400 | | 837,496 | ||||
| Lee Enterprises, Inc. | | 8,800 | | 397,848 | ||||
| Leggett & Platt, Incorporated | | 51,200 | | 1,261,568 | ||||
| Limited Brands | | 137,000 | | 2,493,400 | ||||
| Liz Claiborne, Inc. | | 30,000 | | 1,073,100 | ||||
| Lowe's Companies, Inc. | | 210,200 | | 11,256,210 | ||||
| Luby's, Inc. (a) | | 5,800 | | 21,402 | ||||
| Mattel, Inc. | | 114,385 | | 2,163,020 | ||||
| May Department Stores Company | | 78,100 | | 2,569,490 | ||||
| Maytag Corporation | | 20,100 | | 575,664 | ||||
| McDonald's Corporation | | 340,500 | | 8,764,470 | ||||
| McGraw-Hill Companies | | 51,300 | | 3,848,526 | ||||
| Media General, Inc. | | 5,800 | | 372,940 | ||||
| Men's Wearhouse, Inc. (a) | | 10,600 | | 246,874 | ||||
| Meredith Corporation | | 10,200 | | 514,182 | ||||
| Modine Manufacturing Company | | 8,700 | | 232,899 | ||||
| New York Times Company | | 39,600 | | 1,924,560 | ||||
| Newell Rubbermaid, Inc. | | 74,078 | | 1,809,725 | ||||
| Nordstrom, Inc. | | 36,900 | | 1,450,170 | ||||
| Omnicom Group, Inc. | | 51,000 | | 4,202,400 | ||||
| Oneida Ltd. | | 4,300 | | 23,005 | ||||
| Oshkosh B'Gosh, Inc. | | 2,700 | | 58,050 | ||||
| Penney (J.C.) Company, Inc. | | 73,200 | | 1,916,376 | ||||
| Pep Boys — Manny, Moe & Jack | | 14,000 | | 308,560 | ||||
| Phillips-Van Heusen Corporation | | 7,200 | | 125,640 | ||||
| Pixar (a) | | 14,400 | | 957,600 | ||||
| Pulte Homes, Inc. | | 33,400 | | 1,440,876 | ||||
| Radio One, Inc. (a) | | 5,800 | | 106,778 | ||||
| RadioShack Corporation | | 44,300 | | 1,443,294 | ||||
| Reebok International Ltd. | | 15,800 | | 612,724 | ||||
| Ruby Tuesday, Inc. | | 16,700 | | 466,598 | ||||
| Russell Corporation | | 8,300 | | 146,163 | ||||
| Scholastic Corporation (a) | | 9,700 | | 311,370 | ||||
| Sears, Roebuck and Co. | | 68,500 | | 3,031,125 | ||||
| Snap-On Incorporated | | 15,050 | | 468,808 | ||||
| Spartan Motors, Inc. | | 3,100 | | 30,845 | ||||
-1-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2004 (unaudited)
| | | | | | | | |
| Issuer | | Shares | | Value | ||||
| Consumer Discretionary (Continued) | ||||||||
| Stanley Works | | 23,200 | | $ | 878,816 | |||
| Staples, Inc. (a) | | 133,123 | | 3,542,403 | ||||
| Starbucks Corporation (a) | | 105,900 | | 3,892,884 | ||||
| Stride Rite Corporation | | 10,800 | | 118,584 | ||||
| Target Corporation | | 243,800 | | 9,254,648 | ||||
| Timberland Company (The) (a) | | 7,500 | | 373,650 | ||||
| Time Warner, Inc. (a) | | 1,161,500 | | 20,407,555 | ||||
| TJX Companies, Inc. | | 135,200 | | 3,108,248 | ||||
| Toys 'R' Us, Inc. (a) | | 55,820 | | 788,178 | ||||
| Tribune Company | | 84,056 | | 4,302,827 | ||||
| Tupperware Corporation | | 15,000 | | 264,750 | ||||
| Univision Communications, Inc. (a) | | 68,600 | | 2,426,382 | ||||
| Value Line, Inc. | | 2,600 | | 129,740 | ||||
| VF Corporation | | 28,600 | | 1,215,500 | ||||
| Visteon Corporation | | 34,000 | | 363,800 | ||||
| Washington Post Company | | 2,100 | | 1,775,571 | ||||
| Wendy's International, Inc. | | 29,800 | | 1,183,954 | ||||
| Whirlpool Corporation | | 18,500 | | 1,405,075 | ||||
| | 204,479,291 | ||||||
| Consumer Staples — 11.8% | ||||||||
| Alberto-Culver Company | | 15,200 | | 952,736 | ||||
| Albertson's, Inc. | | 99,000 | | 2,312,640 | ||||
| Avon Products, Inc. | | 62,900 | | 3,982,828 | ||||
| Campbell Soup Company | | 110,500 | | 2,909,465 | ||||
| Church & Dwight Co., Inc. | | 10,300 | | 410,455 | ||||
| Clorox Company | | 57,000 | | 2,786,160 | ||||
| Coca-Cola Company | | 656,100 | | 32,306,364 | ||||
| Colgate-Palmolive Company | | 143,200 | | 7,341,864 | ||||
| Costco Wholesale Corporation (a) | | 122,030 | | 4,524,872 | ||||
| CVS Corporation | | 105,200 | | 3,757,744 | ||||
| Estée Lauder Companies, Inc. (The) | | 32,300 | | 1,323,331 | ||||
| General Mills Incorporated | | 100,200 | | 4,552,086 | ||||
| Gillette Company | | 271,338 | | 9,836,003 | ||||
| Green Mountain Coffee, Inc. (a) | | 1,800 | | 36,900 | ||||
| Hain Celestial Group, Inc. (The) (a) | | 8,700 | | 196,707 | ||||
| Heinz (H.J.) Company | | 94,700 | | 3,350,486 | ||||
| Hershey Foods Corporation | | 27,000 | | 2,038,770 | ||||
| Kellogg Company | | 109,100 | | 4,125,071 | ||||
| Kimberly-Clark Corporation | | 135,464 | | 8,000,504 | ||||
| Kroger Company (a) | | 199,100 | | 3,689,323 | ||||
| Longs Drug Stores Corporation | | 9,900 | | 220,473 | ||||
| Nature's Sunshine Products, Inc. | | 4,200 | | 34,860 | ||||
| PepsiAmericas, Inc. (a) | | 39,000 | | 670,020 | ||||
| PepsiCo, Inc. | | 458,370 | | 21,662,566 | ||||
| Procter & Gamble Company | | 347,000 | | 35,074,760 | ||||
| Safeway Inc. (a) | | 119,300 | | 2,694,987 | ||||
| Smucker (J.M.) Company | | 12,905 | | 601,244 | ||||
| SUPERVALU, Inc. | | 36,900 | | 1,066,410 | ||||
| Sysco Corporation | | 173,900 | | 6,596,027 | ||||
| Tootsie Roll Industries, Inc. | | 9,368 | | 337,248 | ||||
| United Natural Foods, Inc. (a) | | 5,000 | | 199,150 | ||||
| Walgreen Company | | 274,300 | | 9,477,065 | ||||
| Whole Foods Market, Inc. | | 16,400 | | 1,106,508 | ||||
| Wild Oats Markets, Inc. (a) | | 6,550 | | 84,823 | ||||
| Wrigley (Wm.) Jr. Company | | 49,300 | | 2,774,110 | ||||
| | 181,034,560 | ||||||
| Energy — 1.0% | ||||||||
| Anadarko Petroleum Corporation | | 66,785 | | 3,332,572 | ||||
| Apache Corporation | | 87,024 | | 3,348,684 | ||||
| Cooper Cameron Corp. (a) | | 14,100 | | 587,970 | ||||
| Devon Energy Corporation | | 62,472 | | 3,527,169 | ||||
| EOG Resources, Inc. | | 31,200 | | 1,413,360 | ||||
| Helmerich & Payne, Inc. | | 13,000 | | 377,260 | ||||
| Noble Energy, Inc. | | 14,700 | | 649,740 | ||||
| Rowan Companies, Inc. (a) | | 24,200 | | 553,696 | ||||
| Sunoco, Inc. | | 21,100 | | 1,169,994 | ||||
| | 14,960,445 | ||||||
| Financials — 25.1% | ||||||||
| AFLAC, Inc. | | 137,600 | | 5,074,688 | ||||
| Allied Capital Corporation | | 33,100 | | 957,252 | ||||
| Ambac Financial Group, Inc. | | 28,800 | | 2,153,376 | ||||
| American Express Company | | 343,500 | | 17,807,040 | ||||
| American International Group, Inc. | | 697,676 | | 48,453,598 | ||||
| AmSouth Bancorporation | | 92,900 | | 2,294,630 | ||||
| Aon Corporation | | 84,300 | | 2,071,251 | ||||
| Bank of America Corporation | | 397,600 | | 32,388,496 | ||||
| Bank One Corporation | | 298,685 | | 15,116,448 | ||||
-2-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2004 (unaudited)
| | | | | | | | |
| Issuer | | Shares | | Value | ||||
| Financials (Continued) | ||||||||
| Capital One Financial Corporation | | 62,000 | | $ | 4,406,960 | |||
| Cathay General Bancorp | | 6,495 | | 357,745 | ||||
| Charter One Financial, Inc. | | 59,410 | | 2,151,236 | ||||
| Chittenden Corporation | | 10,576 | | 345,306 | ||||
| Chubb Corporation | | 50,600 | | 3,617,394 | ||||
| Cincinnati Financial Corporation | | 42,285 | | 1,831,786 | ||||
| Comerica Incorporated | | 47,300 | | 2,701,303 | ||||
| Edwards (A.G.), Inc. | | 20,987 | | 798,555 | ||||
| Fannie Mae | | 259,465 | | 20,004,752 | ||||
| Fifth Third Bancorp | | 152,711 | | 8,825,169 | ||||
| First Tennessee National Corporation | | 33,000 | | 1,465,860 | ||||
| FirstFed Financial Corp. (a) | | 4,500 | | 192,420 | ||||
| Franklin Resources, Inc. | | 66,900 | | 3,864,813 | ||||
| Freddie Mac | | 185,500 | | 11,578,910 | ||||
| GATX Corporation | | 12,600 | | 284,760 | ||||
| Golden West Financial | | 40,300 | | 4,180,319 | ||||
| GreenPoint Financial Corporation | | 36,900 | | 1,460,502 | ||||
| Hartford Financial Services Group (The) | | 75,900 | | 4,883,406 | ||||
| Janus Capital Group Inc. | | 62,926 | | 1,055,898 | ||||
| Jefferson-Pilot Corporation | | 37,725 | | 1,936,802 | ||||
| KeyCorp | | 111,600 | | 3,469,644 | ||||
| Lincoln National Corporation | | 48,200 | | 2,128,030 | ||||
| Marsh & McLennan Companies, Inc. | | 141,100 | | 6,621,823 | ||||
| MBIA, Inc. | | 38,100 | | 2,400,300 | ||||
| MBNA Corporation | | 342,775 | | 9,241,214 | ||||
| Mellon Financial Corporation | | 116,000 | | 3,794,360 | ||||
| Merrill Lynch & Co., Inc. | | 251,760 | | 14,800,970 | ||||
| MGIC Investment Corporation | | 26,400 | | 1,820,016 | ||||
| Moody's Corporation | | 39,800 | | 2,542,822 | ||||
| Morgan (J.P.) Chase & Co. | | 544,692 | | 21,183,072 | ||||
| National City Corporation | | 163,800 | | 5,654,376 | ||||
| Northern Trust Corporation | | 59,500 | | 2,826,250 | ||||
| PNC Financial Services Group | | 73,900 | | 4,176,089 | ||||
| Progressive Corporation (The) | | 57,400 | | 4,744,110 | ||||
| Providian Financial Corporation (a) | | 76,000 | | 1,040,440 | ||||
| Rouse Company | | 24,600 | | 1,211,304 | ||||
| SAFECO Corporation | | 37,600 | | 1,636,728 | ||||
| Schwab (Charles) Corporation | | 360,900 | | 4,543,731 | ||||
| SLM Corporation | | 119,900 | | 4,604,160 | ||||
| St. Paul Companies, Inc. | | 61,264 | | 2,581,052 | ||||
| State Street Corporation | | 89,100 | | 4,798,035 | ||||
| SunTrust Banks, Inc. | | 75,700 | | 5,477,652 | ||||
| Synovus Financial Corporation | | 80,050 | | 2,009,255 | ||||
| U.S. Bancorp | | 515,321 | | 14,568,125 | ||||
| UnumProvident Corporation | | 80,900 | | 1,264,467 | ||||
| Wachovia Corporation | | 353,543 | | 16,347,828 | ||||
| Washington Mutual, Inc. | | 241,204 | | 10,685,337 | ||||
| Wells Fargo & Company | | 452,906 | | 26,001,333 | ||||
| Wesco Financial Corporation | | 1,900 | | 685,901 | ||||
| | 385,119,099 | ||||||
| Health Care — 11.8% | ||||||||
| Allergan, Inc. | | 35,305 | | 2,925,019 | ||||
| Amgen, Inc. (a) | | 344,400 | | 22,210,356 | ||||
| Bard (C.R.), Inc. | | 14,200 | | 1,337,640 | ||||
| Bausch & Lomb Incorporated | | 14,000 | | 752,500 | ||||
| Baxter International, Inc. | | 163,700 | | 4,771,855 | ||||
| Becton Dickinson and Company | | 67,500 | | 3,041,550 | ||||
| Biogen Idec Inc. (a) | | 87,250 | | 3,733,428 | ||||
| Biomet, Inc. | | 68,100 | | 2,632,746 | ||||
| Boston Scientific Corporation (a) | | 219,200 | | 8,941,168 | ||||
| CIGNA Corporation | | 37,800 | | 2,344,356 | ||||
| Cross Country Healthcare, Inc. (a) | | 8,600 | | 158,928 | ||||
| Forest Laboratories, Inc. (a) | | 98,200 | | 7,314,918 | ||||
| Guidant Corporation | | 82,838 | | 5,291,691 | ||||
| Hillenbrand Industries, Inc. | | 17,000 | | 1,062,500 | ||||
| Humana, Inc. (a) | | 42,900 | | 1,000,857 | ||||
| IMS Health, Inc. | | 63,313 | | 1,629,044 | ||||
| Invacare Corporation | | 7,700 | | 329,714 | ||||
| Invitrogen Corporation (a) | | 13,400 | | 1,031,800 | ||||
| Johnson & Johnson | | 794,170 | | 42,424,561 | ||||
| King Pharmaceuticals Inc. (a) | | 66,200 | | 1,104,216 | ||||
| Manor Care, Inc. | | 24,700 | | 881,790 | ||||
| McKesson HBOC, Inc. | | 77,020 | | 2,262,848 | ||||
| MedImmune, Inc. (a) | | 66,500 | | 1,562,750 | ||||
| Medtronic, Inc. | | 323,800 | | 15,937,436 | ||||
| Merck & Co., Inc. | | 595,600 | | 28,350,560 | ||||
| Millipore Corporation (a) | | 12,400 | | 644,180 | ||||
-3-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2004 (unaudited)
| | | | | | | | |
| Issuer | | Shares | | Value | ||||
| Health Care (Continued) | ||||||||
| Mylan Laboratories, Inc. | | 72,375 | | $ | 1,765,226 | |||
| Oxford Health Plans, Inc. | | 22,700 | | 1,094,140 | ||||
| St. Jude Medical, Inc. (a) | | 46,600 | | 3,348,210 | ||||
| Stryker Corporation | | 53,000 | | 4,703,220 | ||||
| Synovis Life Technologies, Inc. (a) | | 2,600 | | 42,094 | ||||
| Watson Pharmaceuticals (a) | | 29,200 | | 1,358,092 | ||||
| Zimmer Holdings, Inc. (a) | | 64,200 | | 4,911,300 | ||||
| | 180,900,693 | ||||||
| Industrials — 5.6% | ||||||||
| 3M Company | | 209,600 | | 16,577,264 | ||||
| Alaska Air Group, Inc. (a) | | 6,900 | | 191,820 | ||||
| American Power Conversion | | 53,600 | | 1,328,744 | ||||
| AMR Corporation (a) | | 44,400 | | 728,160 | ||||
| Angelica Corporation | | 2,200 | | 48,400 | ||||
| Apogee Enterprises, Inc. | | 7,400 | | 86,802 | ||||
| Ault, Inc. (a) | | 1,200 | | 4,056 | ||||
| Avery Dennison Corporation | | 30,100 | | 1,871,016 | ||||
| Baldor Electric Company | | 8,800 | | 204,688 | ||||
| Banta Corporation | | 6,550 | | 301,300 | ||||
| Brady Corporation | | 5,500 | | 208,285 | ||||
| Bright Horizons Family Solutions, Inc. (a) | | 3,200 | | 141,280 | ||||
| Cintas Corporation | | 45,000 | | 2,031,750 | ||||
| CLARCOR, Inc. | | 6,450 | | 279,608 | ||||
| Cooper Industries, Inc. | | 25,100 | | 1,413,130 | ||||
| CPI Corporation | | 2,100 | | 44,940 | ||||
| Cross (A.T.) Company (a) | | 3,800 | | 24,624 | ||||
| Cummins, Inc. | | 10,700 | | 542,811 | ||||
| Deere & Company | | 64,000 | | 4,006,400 | ||||
| Delta Air Lines, Inc. | | 32,000 | | 336,000 | ||||
| Deluxe Corporation | | 15,000 | | 605,850 | ||||
| DeVry, Inc. (a) | | 18,100 | | 536,303 | ||||
| Dionex Corporation (a) | | 5,600 | | 299,880 | ||||
| Donaldson Company, Inc. | | 11,300 | | 610,426 | ||||
| Donnelley (R.R.) & Sons Company | | 31,300 | | 978,125 | ||||
| Emerson Electric Company | | 113,000 | | 7,220,700 | ||||
| Fastenal Company | | 19,700 | | 947,176 | ||||
| FedEx Corporation | | 79,400 | | 5,342,032 | ||||
| Gerber Scientific, Inc. (a) | | 5,700 | | 45,087 | ||||
| Graco, Inc. | | 12,368 | | 509,933 | ||||
| Grainger (W.W.), Inc. | | 24,000 | | 1,155,360 | ||||
| Granite Construction Incorporated | | 10,625 | | 226,525 | ||||
| Harland (John H.) Company | | 7,600 | | 213,560 | ||||
| Herman Miller, Inc. | | 19,300 | | 465,902 | ||||
| HON Industries Inc. | | 15,200 | | 636,424 | ||||
| Hubbell Incorporated | | 12,660 | | 508,299 | ||||
| Ikon Office Solutions | | 38,800 | | 462,108 | ||||
| Illinois Tool Works, Inc. | | 82,500 | | 6,443,250 | ||||
| Ionics, Inc. (a) | | 4,500 | | 123,255 | ||||
| JetBlue Airways Corporation (a) | | 27,300 | | 620,529 | ||||
| Kansas City Southern Industries, Inc. (a) | | 15,700 | | 231,418 | ||||
| Kelly Services, Inc. | | 8,475 | | 246,623 | ||||
| Lawson Products, Inc. | | 2,500 | | 75,000 | ||||
| Lincoln Electric Holdings, Inc. | | 11,000 | | 272,140 | ||||
| Masco Corporation | | 122,600 | | 3,268,516 | ||||
| Milacron, Inc. | | 8,700 | | 33,321 | ||||
| New England Business Service, Inc. | | 3,400 | | 101,762 | ||||
| Nordson Corporation | | 8,600 | | 311,492 | ||||
| Norfolk Southern Corporation | | 103,200 | | 2,301,360 | ||||
| Pitney Bowes, Inc. | | 61,900 | | 2,511,902 | ||||
| Robert Half International, Inc. (a) | | 44,800 | | 1,052,352 | ||||
| Ryder System, Inc. | | 18,000 | | 662,400 | ||||
| Smith (A.O.) Corporation | | 5,200 | | 162,292 | ||||
| Southwest Airlines Co. | | 210,762 | | 3,150,892 | ||||
| SPX Corporation (a) | | 20,830 | | 1,181,894 | ||||
| Standard Register Company | | 6,000 | | 110,400 | ||||
| Steelcase, Inc. | | 9,900 | | 134,937 | ||||
| Tennant Company | | 2,300 | | 92,667 | ||||
| Thomas & Betts Corporation (a) | | 15,100 | | 313,023 | ||||
| Thomas Industries, Inc. | | 4,000 | | 135,960 | ||||
| Toro Company | | 6,400 | | 304,640 | ||||
| Trex Company, Inc. (a) | | 3,700 | | 143,375 | ||||
| United Parcel Service, Inc. | | 146,633 | | 10,450,534 | ||||
| Valassis Communications Inc. (a) | | 13,600 | | 416,159 | ||||
| Yellow Roadway Corporation (a) | | 12,480 | | 392,483 | ||||
| | 86,379,344 | ||||||
-4-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2004 (unaudited)
| | | | | | | | |
| Issuer | | Shares | | Value | ||||
| Information Technology — 23.1% | ||||||||
| 3Com Corporation (a) | | 103,000 | | $ | 793,100 | |||
| Adaptec, Inc. (a) | | 27,400 | | 256,738 | ||||
| ADC Telecommunications, Inc. (a) | | 206,300 | | 722,050 | ||||
| Advanced Micro Devices, Inc. (a) | | 93,300 | | 1,386,438 | ||||
| Advent Software, Inc. (a) | | 8,500 | | 160,225 | ||||
| Analog Devices, Inc. | | 97,700 | | 4,674,945 | ||||
| Andrew Corporation (a) | | 43,800 | | 750,732 | ||||
| Apple Computer, Inc. (a) | | 94,600 | | 2,134,176 | ||||
| Applied Materials, Inc. (a) | | 446,000 | | 9,704,960 | ||||
| Arrow Electronics, Inc. (a) | | 25,900 | | 693,084 | ||||
| Autodesk, Inc. | | 29,200 | | 746,060 | ||||
| Automatic Data Processing, Inc. | | 159,674 | | 6,826,064 | ||||
| BMC Software, Inc. (a) | | 60,800 | | 1,209,920 | ||||
| Borland Software Corporation (a) | | 21,100 | | 217,541 | ||||
| CDW Corporation | | 22,400 | | 1,521,856 | ||||
| Ceridian Corporation (a) | | 39,000 | | 801,840 | ||||
| Cisco Systems, Inc. (a) | | 1,846,830 | | 47,352,721 | ||||
| Coherent, Inc. (a) | | 7,700 | | 235,543 | ||||
| Compuware Corporation (a) | | 99,400 | | 798,182 | ||||
| Dell Inc. (a) | | 686,300 | | 22,970,461 | ||||
| Electronic Arts Inc. (a) | | 79,200 | | 3,711,312 | ||||
| Electronic Data Systems Corporation | | 128,100 | | 3,069,276 | ||||
| EMC Corporation (a) | | 644,100 | | 9,043,164 | ||||
| Entegris, Inc. (a) | | 19,000 | | 242,440 | ||||
| Hewlett-Packard Company | | 814,110 | | 19,367,677 | ||||
| Hutchinson Technology Incorporated (a) | | 6,500 | | 191,945 | ||||
| Imation Corporation | | 9,100 | | 333,515 | ||||
| Intel Corporation | | 1,747,400 | | 53,470,440 | ||||
| Isco, Inc. | | 1,500 | | 13,410 | ||||
| Lexmark International Group, Inc. (a) | | 34,600 | | 2,867,994 | ||||
| LSI Logic Corporation (a) | | 104,200 | | 1,072,218 | ||||
| Lucent Technologies, Inc. (a) | | 1,119,492 | | 5,015,324 | ||||
| Merix Corporation (a) | | 3,750 | | 101,813 | ||||
| Micron Technology, Inc. (a) | | 163,900 | | 2,640,429 | ||||
| Microsoft Corporation | | 2,892,000 | | 79,963,800 | ||||
| Molex Incorporated | | 27,646 | | 960,422 | ||||
| National Semiconductor Corporation (a) | | 49,700 | | 1,910,965 | ||||
| Novell, Inc. (a) | | 101,400 | | 1,287,780 | ||||
| palmOne, Inc. (a) | | 13,904 | | 143,211 | ||||
| Paychex, Inc. | | 101,400 | | 3,800,472 | ||||
| PeopleSoft, Inc. (a) | | 100,200 | | 2,159,310 | ||||
| Plantronics Inc. (a) | | 11,600 | | 464,580 | ||||
| QRS Corporation (a) | | 4,100 | | 38,786 | ||||
| Qualcomm, Inc. | | 213,800 | | 12,490,196 | ||||
| Red Hat, Inc. (a) | | 47,200 | | 898,216 | ||||
| Sapient Corporation (a) | | 32,800 | | 201,392 | ||||
| Scientific-Atlanta, Inc. | | 39,900 | | 1,350,216 | ||||
| Solectron Corporation (a) | | 224,300 | | 1,592,530 | ||||
| Sun Microsystems, Inc. (a) | | 869,600 | | 4,617,576 | ||||
| Symantec Corporation (a) | | 83,200 | | 3,228,160 | ||||
| Tektronix, Inc. | | 22,600 | | 702,182 | ||||
| Tellabs, Inc. (a) | | 114,100 | | 1,129,590 | ||||
| Texas Instruments, Inc. | | 463,700 | | 14,536,995 | ||||
| Thermo Electron Corporation (a) | | 43,800 | | 1,220,706 | ||||
| Waters Corporation (a) | | 33,400 | | 1,266,194 | ||||
| Xerox Corporation (a) | | 209,200 | | 3,062,688 | ||||
| Xilinx, Inc. (a) | | 92,000 | | 3,855,720 | ||||
| Yahoo! Inc. (a) | | 176,630 | | 8,275,115 | ||||
| | 354,254,395 | ||||||
| Materials — 1.4% | ||||||||
| Air Products & Chemicals, Inc. | | 61,400 | | 3,064,474 | ||||
| Airgas, Inc. | | 18,500 | | 419,765 | ||||
| Bemis Company, Inc. | | 13,700 | | 664,039 | ||||
| Cabot Corporation | | 16,000 | | 503,680 | ||||
| Calgon Carbon Corporation | | 10,100 | | 69,892 | ||||
| Caraustar Industries, Inc. (a) | | 7,200 | | 100,800 | ||||
| Crown Holdings, Inc. (a) | | 41,600 | | 348,608 | ||||
| Ecolab, Inc. | | 68,200 | | 1,852,994 | ||||
| Engelhard Corporation | | 33,200 | | 941,884 | ||||
| Fuller (H.B.) Company | | 7,300 | | 204,400 | ||||
| IMCO Recycling, Inc. (a) | | 3,800 | | 32,148 | ||||
| Lubrizol Corporation | | 13,300 | | 422,275 | ||||
| MeadWestvaco Corp. | | 52,612 | | 1,418,946 | ||||
| Minerals Technologies, Inc. | | 5,300 | | 280,529 | ||||
| Nucor Corporation | | 21,250 | | 1,196,588 | ||||
| Praxair, Inc. | | 87,800 | | 3,108,998 | ||||
| Rock-Tenn Company | | 9,000 | | 137,610 | ||||
-5-
Domini Social Index Portfolio / Portfolio of Investments (Continued)
January 31, 2004 (unaudited)
| | | | | | | | | ||||
| Issuer | | Shares | | Value | ||||||||
| Materials (Continued) | ||||||||||||
| Rohm & Haas Company | | 60,087 | | $ | 2,359,616 | |||||||
| Sealed Air Corporation (a) | | 23,000 | | 1,145,170 | ||||||||
| Sigma-Aldrich Corporation | | 18,600 | | 1,089,774 | ||||||||
| Sonoco Products Company | | 24,745 | | 583,487 | ||||||||
| Valspar Corporation | | 13,100 | | 648,450 | ||||||||
| Wausau-Mosinee Paper Corporation | | 15,700 | | 199,547 | ||||||||
| Wellman, Inc. | | 8,200 | | 65,026 | ||||||||
| Worthington Industries, Inc. | | 22,200 | | 362,526 | ||||||||
| | 21,221,226 | ||||||||||
| Telecommunication Services — 5.4% | ||||||||||||
| AT&T Corporation | | 210,116 | | 4,088,857 | ||||||||
| AT&T Wireless Services, Inc. (a) | | 722,887 | | 7,987,901 | ||||||||
| BellSouth Corporation | | 493,700 | | 14,430,851 | ||||||||
| Citizens Communications Company (a) | | 77,367 | | 907,515 | ||||||||
| SBC Communications, Inc. | | 886,328 | | 22,601,364 | ||||||||
| Sprint Corp. — FON Group | | 242,700 | | 4,225,407 | ||||||||
| Telephone and Data Systems, Inc. | | 13,500 | | 894,780 | ||||||||
| Verizon Communications | | 739,122 | | 27,244,038 | ||||||||
| | 82,380,713 | ||||||||||
| Utilities — 0.9% | ||||||||||||
| AGL Resources, Inc. | | 16,600 | | 487,376 | ||||||||
| Cascade Natural Gas Corporation | | 2,900 | | 63,423 | ||||||||
| Cleco Corporation | | 12,200 | | 221,674 | ||||||||
| Energen Corporation | | 8,900 | | 382,700 | ||||||||
| Equitable Resources, Inc. | | 16,100 | | 706,629 | ||||||||
| IDACORP, Inc. | | 9,700 | | 298,760 | ||||||||
| KeySpan Corporation | | 42,800 | | 1,560,916 | ||||||||
| Kinder Morgan, Inc. | | 33,100 | | 1,952,900 | ||||||||
| MGE Energy, Inc. | | 4,400 | | 137,852 | ||||||||
| National Fuel Gas Company | | 20,500 | | 514,550 | ||||||||
| NICOR, Inc. | | 11,400 | | 377,910 | ||||||||
| NiSource, Inc. | | 69,047 | | 1,449,987 | ||||||||
| Northwest Natural Gas Company | | 6,500 | | 200,200 | ||||||||
| OGE Energy Corporation | | 22,900 | | 559,447 | ||||||||
| Peoples Energy Corporation | | 9,200 | | 390,632 | ||||||||
| Pepco Holdings, Inc. | | 44,400 | | 893,772 | ||||||||
| Questar Corporation | | 23,100 | | 811,503 | ||||||||
| Southern Union Company (a) | | 19,244 | | 345,622 | ||||||||
| WGL Holdings | | 12,600 | | 352,170 | ||||||||
| Williams Companies, Inc. | | 140,900 | | 1,428,726 | ||||||||
| | 13,136,749 | ||||||||||
| Total Investments — 99.5% | | | ||||||||||
| (cost$1,430,283,664)(b) | | | $ | 1,523,866,515 | ||||||||
| Other Assets, less liabilities — 0.5% | | | 7,842,659 | |||||||||
| Net Assets — 100.0% | | | $ | 1,531,709,174 | ||||||||
| |
| (a) | Non–income producing security. |
| |
| (b) | The aggregate cost for federal income tax purposes is $1,415,780,488, the aggregate gross unrealized appreciation is $281,615,775, and the aggregate gross unrealized depreciation is $173,529,748, resulting in net unrealized appreciation of $108,086,027. |
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, 2004 (unaudited)
| | | | |
| ASSETS: | ||||
| Investments at value (Cost $1,430,283,664) | | $ | 1,523,866,515 | |
| Cash | | 6,329,698 | ||
| Dividends receivable | | 1,863,257 | ||
| Total assets | | 1,532,059,470 | ||
| LIABILITIES: | ||||
| Management fee payable (Note 2) | | 258,335 | ||
| Other accrued expenses | | 91,961 | ||
| Total liabilities | | 350,296 | ||
| NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS | | $ | 1,531,709,174 |
See Notes to Financial Statements
-7-
Domini Social Index Portfolio
Statement of Operations
Six Months Ended January 31, 2004 (unaudited)
| | | | | | | | |
| INVESTMENT INCOME | ||||||||
| Dividends | | | $ | 10,929,402 | ||||
| EXPENSES | ||||||||
| Management fee (Note 2) | | $ | 1,415,419 | |||||
| Custody fees (Note 3) | | 129,781 | ||||||
| Professional fees | | 86,722 | ||||||
| Trustees fees | | 29,241 | ||||||
| Miscellaneous | | 59,889 | ||||||
| Total expenses | | 1,721,052 | ||||||
| Fees paid indirectly (Note 3) | | (23,949 | ) | |||||
| Net expenses | | | 1,697,103 | |||||
| NET INVESTMENT INCOME | | | 9,232,299 | |||||
| Net realized loss on investments | ||||||||
| Proceeds from sales | | $ | 42,372,053 | |||||
| Cost of securities sold | | (61,771,049 | ) | | ||||
| Net realized loss on investments | | | (19,398,996 | ) | ||||
| Net changes in unrealized appreciation/(depreciation) of investments | ||||||||
| Beginning of period | | $ | (104,903,844 | ) | ||||
| End of period | | 93,582,851 | ||||||
| Net change in unrealized appreciation | | | 198,486,695 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | 188,319,998 |
See Notes to Financial Statements
-8-
Domini Social Index Portfolio
Statements of Changes in Net Assets
| | | | | | | | |
| Six Months Ended January 31, 2004 (unaudited) | | Year Ended July 31, 2003 | |||||
| INCREASE IN NET ASSETS | ||||||||
| From Operations: | ||||||||
| Net investment income | | $ | 9,232,299 | | $ | 15,767,885 | ||
| Net realized loss on investments | | (19,398,996 | ) | | (118,701,110 | ) | ||
| Net change in unrealized appreciation of investments | | 198,486,695 | | 242,621,915 | ||||
| Net Increase in Net Assets Resulting from Operations | | 188,319,998 | | 139,688,690 | ||||
| Transactions in Investors' Beneficial Interest: | ||||||||
| Additions | | 175,456,204 | | 249,027,799 | ||||
| Reductions | | (150,409,685 | ) | | (309,700,811 | ) | ||
| Net Increase/(Decrease) in Net Assets from Transactions in Investors' Beneficial Interests | | 25,046,519 | | (60,673,012 | ) | |||
| Total Increase in Net Assets | | 213,366,517 | | 79,015,678 | ||||
| NET ASSETS: | ||||||||
| Beginning of period | | 1,318,342,657 | | 1,239,326,979 | ||||
| End of period | | $ | 1,531,709,174 | | $ | 1,318,342,657 | ||
See Notes to Financial Statements
-9-
Domini Social Index Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended January 31, 2004 (unaudited) | | Year Ended July 31, | ||||||||||||||||||||||
| 2003 | | 2002 | | 2001 | | 2000 | | 1999 | ||||||||||||||||
| Net assets (in millions) | | $ | 1,532 | | $ | 1,318 | | $ | 1,239 | | $ | 1,729 | | $ | 1,974 | | $ | 1,347 | |||||||
| Total return | | 14.17 | % | | 12.13 | % | | (22.71 | )% | | (17.28 | )% | | 8.94 | % | | 23.15 | % | |||||||
| Ratio of net investment income to average net assets (annualized) | | 1.30 | % | | 1.32 | % | | 1.02 | % | | 0.78 | % | | 0.70 | % | | 0.84 | % | |||||||
| Ratio of expenses to average net assets (annualized) | | 0.24 | %(2) | | 0.23 | %(1)(2) | | 0.22 | %(2) | | 0.22 | %(2) | | 0.24 | %(1)(2) | | 0.24 | %(1)(2) | |||||||
| Portfolio turnover rate | | 3 | % | | 8 | % | | 13 | % | | 19 | % | | 9 | % | | 8 | % | |||||||
| |
| (1) | Reflects an expense reimbursement and fee waiver by the Manager of 0.01%, 0.002%, and 0.01% for the years ended July 31, 2003, 2000, and 1999, respectively. Had the Manager not waived its fee and reimbursed expenses, the ratio of expenses to average net assets would have been 0.24%, 0.24%, and 0.25%, for the years ended July 31, 2003, 2000, and 1999, respectively. |
| |
| (2) | Ratio of expenses to average net assets for the six months ended January 31, 2004, and for the years ended July 31, 2003, 2002, 2001, 2000, and 1999, include indirectly paid expenses. Excluding indirectly paid expenses, the expense ratios would have been 0.24%, 0.23%, 0.22%, 0.21%, 0.21%, and 0.20%, for the six months ended January 31, 2004, and for the years ended July 31, 2003, 2002, 2001, 2000, and 1999, respectively. |
See Notes to Financial Statements
-10-
Domini Social Index Portfolio
Notes to Financial Statements
January 31, 2004 (unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Domini Social Index Portfolio is registered under the Investment Company Act of 1940 as a 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 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. 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. 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, 2004 (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 (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 Portfolio. For its services under the Management Agreement, Domini receives from the Portfolio a fee accrued daily and paid monthly at an annual rate equal to 0.20%.
(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 Domini. 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
For the six months ended January 31, 2004, cost of purchases and proceeds from sales of investments, other than U.S. government securities and short-term obligations, aggregated $76,161,052 and $42,372,053, respectively. For the six months ended January 31, 2004, custody fees of the Portfolio were reduced by $23,949, which was compensation for uninvested cash left on deposit with the custodian.
-12-
Proxy Voting Information
The Domini Funds' Proxy Voting Policies and Procedures are available, free of charge, by calling 1-800-762-6814, by visiting www.domini.com/shareholder-advocacy/Proxy-Voting/index.htm, or by visiting the EDGAR database on the Securities and Exchange Commission's website at 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. After August 31, 2004, an annual record of all proxy votes cast for the Funds during the most recent 12-month period ended June 30 can be obtained, free of charge, at www.domini.com, and on the EDGAR database on the Securities and Exchange Commission's website at www.sec.gov.
-13-
| |
| Item 2. | Code of Ethics. |
(a) Not applicable to a semi-annual report.
(c) Not applicable.
(d) Not applicable.
| |
| Item 3. | Audit Committee Financial Expert. |
Not applicable to a semi-annual report.
| |
| Item 4. | Principal Accountant Fees and Services. |
Not applicable to a semi-annual report.
| |
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable to the registrant.
| |
| Item 6. | Schedule of Investments. |
Not applicable at this time.
| |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable to the registrant.
| |
| Item 8. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable to the registrant.
| |
| Item 9. | Submission of Matters to a Vote of Security Holders. |
The registrant does not have formal procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. The Board's Nominating Committee will consider nominees recommended by shareholders, who may write the registrant's Secretary, Elizabeth L. Belanger, 536 Broadway, 7th Floor, New York, New York 10012-3915, to deliver a recommendation to the Board's Nominating Committee.
Item 10. Controls and Procedures.
(a) Within 90 days prior to the filing of this report on Form N-CSR, Amy L. Domini, the registrant's President and Principal Executive Officer, and Carole M. Laible, the registrant's Treasurer and Principal Financial Officer, reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) of the Investment Company Act of 1940) and evaluated their effectiveness. Based on their evaluation, Ms. Domini and Ms. Laible determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in this report on Form N-CSR is recorded, processed, summarized, and reported within the time periods required by the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 11. Exhibits.
(a)(1) Not applicable to a semi-annual report.
(a)(2) Separate certifications required by Rule 30a-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.
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 1, 2004
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 (Principal Executive Officer) |
Date: April 1, 2004
| |
| By: | /s/ Carole M. Laible Carole M. Laible Treasurer (Principal Financial Officer) |
Date: April 1, 2004