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 811-5823

DOMINI SOCIAL INVESTMENT TRUST

(Exact Name of Registrant as Specified in Charter)

532 Broadway, 9 th Floor, New York, New York 10012

(Address of Principal Executive Offices)

Amy Domini Thornton

Domini Social Investments LLC

532 Broadway, 9 th 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, 2014


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.


SEMI-ANNUAL REPORT 2014    

 

JANUARY 31, 2014

(UNAUDITED)

  

  

 

LOGO

 

D OMINI S OCIAL E QUITY F UND ®

I NVESTOR S HARES , C LASS  A S HARES , I NSTITUTIONAL S HARES  & C LASS R S HARES

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND SM

I NVESTOR S HARES , C LASS  A S HARES  & I NSTITUTIONAL S HARES

D OMINI S OCIAL B OND F UND ®

I NVESTOR S HARES  & I NSTITUTIONAL S HARES

 

LOGO


 

 

KEEP IN TOUCH WITH DOMINI

A report like this comes twice a year, but your dollars work for change all year long. Stay connected with us on Facebook and Twitter:

 

LOGO    facebook.com/dominifunds

 

LOGO    twitter.com/dominifunds

 

 

SIGN UP FOR E-DELIVERY

If you invest directly with Domini, you can also avoid an annual fee of $15 by signing up for paperless E-Delivery of your statements and reports — 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

2    Letter from the President
   The Way You Invest Matters
4    Domini News
5    Celebrating Twenty Years of Shareholder Activism
   Fund Performance and Holdings
12    Domini Social Equity Fund
18    Domini International Social Equity Fund
28    Domini Social Bond Fund
35    Expense Example
   Financial Statements
37    Domini Social Equity Fund
37    Domini International Social Equity Fund
60    Domini Social Bond Fund
72    Proxy Voting Information
72    Quarterly Portfolio Schedule Information


 

T HE W AY Y OU I NVEST M ATTERS ®

 

LETTER FROM THE PRESIDENT

Dear Fellow Shareholders:

The six months ending January 31, 2014 witnessed strong stock returns in all developed markets, reminding us that the stock market is not a reflection of what is happening in the world at large, but a reflection of what is expected to happen to corporate earnings. I say this because, despite a number of highly dangerous events that marked the global stage during this period, Wall Street remained cheerful.

Here at home, the ‘just say no’ constituency in Congress forced a federal government shutdown, while the infamous computer glitches of the HealthCare.gov rollout sparked national discouragement.

Meanwhile, we witnessed more bloodshed in Egypt, a terrorist attack at a shopping mall in Kenya and a devastating typhoon in the Philippines. And in early September, we stood on the verge of military action in Syria. The ‘bright red line’ barring chemical weapons use had been crossed and more than 1,400 people, including many children, were killed. Weary as our citizenry is with war, many of us felt that there was no other option. And yet, war was averted and an international effort to destroy the stockpile began.

With all this going on, the U.S. and six other nations signed a preliminary deal with Iran to avert a nuclear weapons buildup. The events in Syria and Iran, along with Secretary of State Kerry’s determination to defuse the Israeli/Palestinian disputes, mark a hopeful shift in Middle East relations.

During this period of hope and fear, the looming threat of climate change was once again brought home. The Intergovernmental Panel on Climate Change released its latest report, “the most comprehensive and authoritative synthesis of scientific knowledge about global climate change ever generated,” according to John Holdren, a senior advisor to President Obama. Following the fourth warmest year on record, many of us suffered in the grip of the Polar Vortex, an ironic reminder that global warming will bring unexpected and unpredictable changes. Speaking in Indonesia, Secretary Kerry warned: “It will soon be too late for action to prevent the immense costs of doing nothing.”

In the end, investors attempt to read the economic future of the companies in which they invest, which can be influenced by disastrous war or weather. But at least for now, these trends are not dramatically curtailing growth, and a number of areas indicate pretty good news for the economy at large.

 

2


 

T HE W AY Y OU I NVEST M ATTERS ®

 

In January, according to the Bureau of Labor Statistics, unemployment rates dropped to 6.6%, the lowest level since October 2008. According to Calculated Risk, the Fed’s Household Debt Service Ratio, whether calculated with housing costs included or excluded, is at its lowest level in 30 years. We have also seen a continued gradual increase in housing prices. Housing expansion is a very important driver of the economy because when people buy houses they also buy furniture and appliances. While the recovery is not complete, the trend is comforting and greater discretionary spending is good for corporate growth. These are but a few of the reasons behind the stock market’s strength of late.

The period also included two opportunities to reflect on how far we have come and what we can achieve when we unite against suffering and injustice. On August 28, we commemorated the 50 th anniversary of the Reverend Dr. Martin Luther King, Jr.’s “I Have a Dream” speech. Though the struggle continued, that speech marked a turning of the tide for many Americans.

Then in December, the world paused to praise and to remember the great Nelson Mandela. In many ways, the passion I carry for the field of responsible investing was shaped by the period between 1971, when the board of General Motors was asked by the Episcopal Church to close its factories in South Africa, to 1994 when Mandela was elected President. During those years investors in America put pressure on South Africa’s government through a combination of divestment and shareholder activism. These actions helped to transform South Africa, and they also had a transformative effect here at home, galvanizing a new force for change — socially responsible investing. In this report, we mark the 20 th anniversary of the Domini Social Equity Fund’s first shareholder proposal.

In just six short months: The 50 th anniversary of the “I Have a Dream” speech celebrated by a black American President; Our first female Fed Chair; An intentional shutdown of the U.S. government; Dramatic reminders that the human race is altering our climate, placing all life at risk; and the passing of one of the twentieth century’s most inspirational leaders, whose life taught us that the impossible is possible.

This was a poignant period for me, and a time for reflection on what can and must be done to secure our children’s future. The civil rights era was a formative period, and the lessons learned in the struggle for freedom in South Africa and the remarkable gentle man who emerged from jail to lead that nation forward shaped my professional life.

As always, thank you for your commitment to responsible investing and for your investment with us.

Very truly yours,

 

LOGO

Amy Domini

amy@domini.com

 

3


 

T HE W AY Y OU I NVEST M ATTERS ®

 

DOMINI NEWS

Introducing the New Domini.com

This winter, Domini was proud to unveil our brand new website at www.Domini.com . With an improved layout and a new user-friendly interface, shareholders should find our new site simpler to use and full of helpful information.

The Domini Insights section of our new site features the new Domini Blog, a regular column written by CEO and Founder Amy Domini, and a multitude of articles and reports written and published by Domini staff to help educate investors, policymakers and the general public about the benefits of responsible investing and greater corporate social responsibility.

Visit our Responsible Investing section to learn more about how we choose our investments and how the Domini Funds are advancing human rights and environmental sustainability.

We hope you will take the time to visit our new website and explore how your investment in the Domini Funds is making a difference. We look forward to receiving your feedback.

De-militarizing Amazon.com

In November, we wrote a letter to Jeff Bezos, Founder and CEO of Amazon.com, raising concerns about the company’s participation in the militarization of the civilian firearms market after we discovered semi-automatic weapon accessories being sold on Amazon that could help gun owners increase the firepower of their weapons. Our letter was signed by 33 institutional investors managing $490 billion, and was covered by Reuters in December.

In a recent conversation with Amazon executives we learned that our letter was taken quite seriously. Most of the products we identified have been removed from Amazon.com and added to the company’s list of prohibited items. The third-party sellers have been notified that they may no longer offer these items for sale on Amazon. We will continue to engage Amazon to ensure that they are doing everything they can to avoid becoming a marketplace for assault weapons.

 

4


 

T HE W AY Y OU I NVEST M ATTERS ®

 

CELEBRATING TWENTY YEARS OF SHAREHOLDER ACTIVISM

At a Goldman Sachs * annual meeting, time was set aside for shareholders to ask questions. A man approached the microphone and announced that he was a guest, not a shareholder, and wondered if he could ask a question. “No,” CEO Lloyd Blankfein quickly responded, “only shareholders can ask questions.” In the corporate world, generally only shareholders have a voice. Shareholder activism provides us with the tools to open up this world to those that are affected by corporate activities.

For the past twenty years, your investment in the Domini Funds has enabled conversations with executives at some of the largest corporations in the world on a wide range of social and environmental issues. As a Domini Funds investor, you can take credit for helping to convince JPMorgan Chase * to hire its first Director of Environmental Affairs and to adopt comprehensive environmental policies. After a five year campaign, you helped convince Emerson Electric to ban discrimination against its gay and lesbian employees. You have helped convince numerous companies to measure their environmental impacts and to adopt strong protections for vulnerable workers in factories around the world.

Since our first shareholder resolution was submitted in 1993, Domini has filed more than 240 proposals at 95 different corporations. The use of social, environmental and governance standards to select investments, combined with a shareholder activism program to help move them further in the right direction, has proven to be a powerful vehicle for change.

Below we discuss some of the ways that the Domini Funds have helped change corporate practices over the past twenty years. Over the course of 2014 and beyond, we look forward to sharing more success stories about how your investments have worked for positive change.

 

W HAT IS A SHAREHOLDER RESOLUTION ?

Shareholder resolutions are proposals that are submitted and voted on by shareholders (i.e. the owners) of a corporation.

 

Corporations conduct annual meetings where shareholders elect the board of directors and vote on various governance matters. Shareholders may also place their own proposals on the ballot. These proposals may request that a company adopt labor rights protections for factory workers in its global supply chain, for example, or take specific steps to address climate change.

 

If a proposal is printed in the corporate proxy statement and is put to a vote, the proponent is given an opportunity to make a brief speech at the annual meeting, and the company has an opportunity to respond.

 

5


 

T HE W AY Y OU I NVEST M ATTERS ®

 

Getting on the Agenda

In 2009, we traveled to North Carolina to present our human rights proposal at the annual meeting for Nucor , the largest producer — and recycler — of steel in America. It was a small meeting, where the CEO referred to shareholders by name and pointed out former board members in the audience. It was clear that it was his show, and he used the meeting, which was broadcast live online, to promote Nucor and his leadership. But for the five minutes we had to present our proposal, attention turned from profit and loss to human rights. We spoke about Nucor’s purchases of Brazilian pig-iron, a product that has been linked to slavery and illegal deforestation, and questioned whether Nucor was doing enough to ensure that they were not purchasing the product of slave labor. Within six months, we reached agreement with management on a strong set of new human rights policies.

From time to time, we have offered affected stakeholders the opportunity to attend meetings as our representatives and to speak for themselves. In 2005, a resident of Canada’s Boreal region spoke as our representative at the L Brands annual meeting, the parent company of Victoria’s Secret, about the dramatic environmental impact of the company’s paper-purchasing policies. Company executives told us that her moving speech was a factor in their decision to adopt more responsible environmental practices.

Usually companies would prefer not to see these issues raised at their annual meetings, and they are often willing to negotiate to see if agreement can be reached to withdraw the proposal. In addition, shareholder support has risen substantially in recent years. While we once celebrated a 10% vote, votes of 20-30% are now common as many large investors have come around to our way of thinking.

A significant vote on a shareholder proposal can often be sufficient to move the needle. For example, when our proposal asking Verizon Communications to disclose its political contributions received a 33% vote, the company acceded to our request. After several years, AT&T finally agreed to match Verizon’s commitment when our proposal received a 39% vote at its 2012 annual meeting. We continue to press them to expand these disclosures.

The Importance of Transparency

Over the past twenty years, we have seen dramatic changes in how companies address working conditions in their global supply chains. In the late 1990s, it was still possible to hear company executives tell us that they had no responsibility for these factories, because they did not own them. Today, corporate executives ask for advice on how to solve intractable issues like excessive working hours and recurring safety violations. The old denials have largely fallen by the wayside.

 

6


 

T HE W AY Y OU I NVEST M ATTERS ®

 

How can we ensure that companies pay sufficient attention to working conditions in the factories and farms that produce their products? Quality public reporting can help to ensure accountability, by allowing investors and others to monitor corporate progress over time.

In 2002, we had good information that Gap was a leader in protecting the rights of workers in its global supply chain, but there was no publicly available data to allow us to evaluate these efforts. Our shareholder proposal changed all of that, resulting in an agreement by Gap to produce a transparent report discussing working conditions in its suppliers’ factories. That report was the first time an apparel company had publicly reported on these issues, and it received worldwide media attention. Soon, other companies, including Hewlett-Packard and Nike , began to report this information, building on Gap’s model.

Domini has been pleased to serve as a member of Gap’s “Public Reporting Working Group” (PRWG), advising the company on each of its subsequent reports, each of which includes a statement from the PRWG. The company has repeatedly told us that the process of preparing these reports has helped it to improve its performance and do a better job of protecting workers’ rights.

A Catalyst for Change

Just as our actions can have ripple effects throughout an industry, we also look for opportunities to catalyze progress at key companies. Over the past few years, Apple has been making unwelcome headlines for labor conditions at Foxconn*, a key Chinese supplier to the global electronics industry and the manufacturer of many Apple products.

But Apple was not in the headlines back in 2005 when we first wrote to Steve Jobs, asking how the company ensures that its supply chain is free of child labor and other abusive working conditions. Our shareholder proposal kept the issue on the table through detailed negotiations with Apple executives. We ultimately reached agreement when Apple adopted its first code of conduct applying labor and environmental standards to all factories manufacturing its products, including strong language we proposed on forced labor and union rights. This engagement led to an ongoing dialogue with the company that continues to this day.

The Walt Disney Company provides one case study of how corporations have changed over the past twenty years to embrace sustainability goals. Our engagement with the company began in 1996, in partnership with other investors affiliated with the Interfaith Center on Corporate Responsibility (ICCR), focusing on sweatshops. This dialogue led to the creation of the company’s International Labor Standards program and significant enhancements to the company’s factory monitoring. We even

 

7


 

T HE W AY Y OU I NVEST M ATTERS ®

 

visited Disney supplier factories to provide our feedback, as trust between the company and the shareholder coalition solidified. We have raised numerous issues with the company over the years and have witnessed dramatic changes. Disney now publishes a comprehensive sustainability report with clear social and environmental goals.

A Meeting of the Minds

The shareholder proposal is not an end in itself. It is an effective tool to promote dialogue, and dialogue is where the work really gets done. By 2003, overproduction and falling prices led to a crisis in the coffee market, leaving millions of farmers unable to feed, clothe and educate their families. Fair Trade certification guarantees farmers a minimum price for their coffee, protecting farmers from fluctuating market prices and allowing them to plan for the future.

At that time, Procter & Gamble was one of the world’s largest coffee roasters, and the owner of the Folgers brand (it has since spun off its coffee business). The company was not opposed to lending assistance to farmers, but it also was not convinced that Fair Trade was the right solution. It took a series of meetings to finally convince the company that Fair Trade made sense and was a necessary corrective to a clear market failure. After months of dialogue with an investor group co-led by Domini, Procter & Gamble offered its first line of Fair Trade Certified ® coffee.

Corporations may seem like large monolithic entities, but it often takes a human connection to make progress on these issues. Ultimately, we succeeded with Procter & Gamble — as we have with other companies — because a key executive was willing to seriously listen to our concerns with an open mind.

A Global Reach

As the world has changed over the past twenty years, so has Domini. We offered our first mutual fund investing in foreign companies in 2005. Today, the Domini International Social Equity Fund invests in companies based in Europe, the Pacific-Asia region and throughout the world, offering us new opportunities for engagement. Although it is generally not possible to file shareholder proposals outside of the United States, we have exercised influence through letter-writing, direct dialogue and proxy voting.

In 2006, our research uncovered a link between Toyota Motor * and the Burmese military regime, through a Toyota affiliate. Although we have never invested in Toyota, we took action nonetheless. Our three-year engagement, in partnership with Toyota shareholders, ultimately resulted in Toyota’s partner ending its relationship with the military regime. We

 

8


 

T HE W AY Y OU I NVEST M ATTERS ®

 

also regularly participate in investor dialogues with companies operating in conflict zones, including Syria and Sudan, although these companies are generally excluded from our Funds by our human rights standards.

We have always taken a strong stand on board diversity, voting against all-white, male boards. Japan ranks lowest in the world on board diversity, where only 1.1% of corporate directors are female. In response to this serious problem, each year for the past several years, the Domini International Social Equity Fund has voted against the board for virtually every Japanese company in its portfolio, and we have written letters to these companies to explain the reason for our vote.

Our Current Priorities

Currently, we are working to encourage companies to adopt more stringent policies to protect forests around the world, to disclose their political contributions, and to take greater responsibility for worker health and safety in Bangladesh. We are speaking with several energy companies about their efforts to reduce methane emissions in their operations, a potent greenhouse gas. We also submitted a brand new proposal to Google , asking for a policy to ensure that the company carefully considers the impact of its tax practices around the world on employees and communities. The company has been at the center of a global debate about corporate tax avoidance.

2014 SHAREHOLDER PROPOSALS
Shareholder proposals are generally submitted in the Fall, to be voted at corporate annual meetings in the Spring. Here is a look at the proposals filed by Domini this year:
Companies   Issues
Kraft Foods Group, Mondelēz International, PepsiCo   Forestry practices
Google   Corporate tax avoidance
AT&T, JetBlue Airways   Political contributions disclosure
Verizon Communications, United Parcel Service   Political lobbying disclosure
Chipotle Mexican Grill   Sustainability reporting
PNC Financial Services   Coal financing
Energen , Pioneer Natural Resources   Methane emissions
Domini is playing a supporting role in these engagements

 

9


 

T HE W AY Y OU I NVEST M ATTERS ®

 

It Takes a Village

We would be remiss if we failed to acknowledge that we frequently collaborate with other investors and NGOs in these efforts. Many of the achievements noted above were products of these important partnerships.

*  *  *

Archimedes, the ancient Greek scientist, once remarked, “Give me a lever and a place to stand and I will move the earth.” For the past twenty years, we have provided “a place to stand” for our mutual fund shareholders, finding as many ways as possible to amplify your voice on some of the most pressing challenges of our time. We thank you for your investment and look forward to another twenty years of transformative change.

 

*Companies marked with an asterisk are not currently eligible for investment by the Domini Funds.

The holdings discussed above can be found in the portfolios of the Domini Funds, included herein. The composition of the Funds’ portfolios is subject to change.

An investment in the Domini Social Equity Fund and the Domini International Social Equity Fund is subject to market risks such as sector concentration and style risk. Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing securities regulations and accounting standards, limited public information, possible changes in taxation, and periods of illiquidity. You may lose money.

The preceding should not be deemed an offer to sell or a solicitation of an offer to buy the stocks or bonds of any of the companies noted, or a recommendation concerning the merits of any of these companies as an investment.

This material must be preceded or accompanied by a current prospectus. DSIL Investment Services LLC, Distributor. 03/14

 

10


 

THIS PAGE INTENTIONALLY LEFT BLANK

 


D OMINI S OCIAL E QUITY F UND

Fund Performance and Holdings

The table and bar charts below provide information as of January 31, 2014 about the ten largest holdings of the Domini Social Equity Fund and its portfolio holdings by industry sector:

TEN LARGEST HOLDINGS (Unaudited)

 

       
SECURITY DESCRIPTION   % NET
ASSETS
     SECURITY DESCRIPTION   % NET
ASSETS
 
Microsoft Corp     4.2%       Fifth Third Bancorp     2.4%   
Eli Lilly & Co     3.1%       DIRECTV     2.3%   
Apache Corp     2.7%       Southwest Airlines Co     2.3%   
Oracle Corp     2.7%       Kroger Co/The     2.3%   
Celgene Corp     2.4%       Apple Inc     2.3%   

PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)

 

LOGO

The holdings mentioned above are described in the Domini Social Equity Fund’s Portfolio of Investments (as of 1/31/14), included herein. The composition of the Fund’s portfolio is subject to change.

 

12


DOMINI SOCIAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS (Unaudited)

            Investor
shares
  Class A shares
(with 4.75%
maximum
Sales Charge) 1
  Class A shares
(without Sales
Charge) 1
  Institutional
shares 2
  Class R
shares 3
  S&P 500
As of 1/31/14   1 Year   23.19%   17.45%   23.31%   23.73%   23.60%   21.52%
  5 Year   19.51%   18.45%   19.60%   20.06%   19.96%   19.19%
  10 Year   5.59%   5.08%   5.59%   5.59%   5.95%   6.83%
    Since
Inception
(6/3/91)
  8.37%   8.14%   8.37%   8.37%   8.53%   9.14%

Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-582-6757 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher. A 2.00% fee applies to sales/exchanges made less than 30 days after the settlement of purchase/exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the Fund’s prospectus for further information.

For the period reported in its current prospectus, during which net operating expenses were capped by the Fund’s Manager, the Fund’s gross annual operating expenses totaled 1.24% (Investor shares), 1.74% (Class A shares), 0.81% (Institutional shares), and 0.90% (Class R shares) of net assets representing each share class, respectively. Until 11/30/14, the Fund’s Manager has contractually agreed to limit certain ordinary expenses to 1.25% (Investor shares), 1.18% (Class A shares), 0.80% (Institutional shares) and 0.90% (Class R shares) of its average daily net assets representing each share class, respectively, absent an earlier modification by the Fund’s Board. The Fund’s total returns may have been lower without these limits.

The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Domini Social Equity 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. The Fund is subject to market risks such as sector concentration and style risk. You may lose money.

The Standard & Poor’s 500 (S&P 500) Index is an unmanaged index of common stocks. You cannot invest directly in an index.

 

 

1 Class A shares were not offered prior to November 28, 2008. All performance information for time periods beginning prior to November 28, 2008 is the performance of the Investor shares. This performance has not been adjusted to reflect the lower expenses of the Class A shares, but does, where noted, reflect an adjustment for the maximum applicable sales charge of 4.75%.

2 Institutional shares were not offered prior to November 28, 2008. All performance information for time periods beginning prior to November 28, 2008 is the performance of the Investor shares. This performance has not been adjusted to reflect the lower expenses of the Institutional shares.

3 Reflects the performance of the Investor shares prior to November 28, 2003, the date the Class R shares were first offered. This earlier performance has not been adjusted to take into account the lower expenses applicable to Class R shares.

 

13


D OMINI S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS

January 31, 2014 (Unaudited)

 

SECURITY   SHARES     VALUE  
   

Common Stocks – 99.3%

  

Consumer Discretionary – 15.6%

  

Amazon.com Inc (a)

    29      $ 10,402   

AutoZone Inc (a)

    29,800        14,752,788   

Best Buy Co Inc

    866        20,386   

Brinker International Inc

    51,300        2,480,868   

Buckle Inc/The

    43,100        1,910,192   

Chipotle Mexican Grill Inc (a)

    5,835        3,220,687   

Coach Inc

    345,633        16,552,364   

DIRECTV (a)

    299,900        20,822,056   

FUJIFILM Holdings Corp ADR

    92,900        2,707,106   

Fossil Group Inc (a)

    53,900        6,027,637   

Gap Inc/The

    400,045        15,233,714   

Home Depot Inc/The

    218        16,753   

JC Penney Co Inc (a)

    1,546        9,152   

Johnson Controls Inc

    283        13,052   

Kohl’s Corp

    349,900        17,715,437   

L Brands Inc

    219        11,467   

Lowe’s Cos Inc

    364        16,850   

Macy’s Inc

    48,700        2,590,840   

McDonald’s Corp

    101        9,511   

NIKE Inc Cl B

    188        13,696   

Nordstrom Inc

    51,400        2,952,930   

PetSmart Inc

    118,400        7,459,200   

priceline.com Inc (a)

    4,700        5,380,983   

Scholastic Corp

    316        10,425   

Scripps Networks Interactive Inc Cl A

    246,200        17,854,423   

Staples Inc

    666        8,765   

Starbucks Corp

    207        14,722   

TJX Cos Inc/The

    37,500        2,151,000   

Target Corp

    181        10,252   

Tiffany & Co

    152        12,645   

TripAdvisor Inc (a)

    28,200        2,176,758   

Walt Disney Co/The

    242        17,572   
   

 

 

 
      142,184,633   
   

 

 

 

Consumer Staples – 8.2%

  

Avon Products Inc

    374        5,569   

Coca-Cola Co/The

    292        11,043   

Costco Wholesale Corp

    120        13,483   

Delhaize Group SA ADR

    64,200        4,107,516   

Green Mountain Coffee Roasters Inc

    23,700        1,919,700   

JM Smucker Co/The

    179,200        17,273,088   
SECURITY   SHARES     VALUE  
   

Consumer Staples (Continued)

  

Kellogg Co

    224,200      $ 12,999,116   

Kimberly-Clark Corp

    21,641        2,366,876   

Koninklijke Ahold Sp Adr

    635,700        10,603,476   

Kraft Foods Group Inc

    223        11,674   

Kroger Co/The

    573,130        20,689,993   

Mondelez International Inc Cl A

    265        8,679   

PepsiCo Inc

    161        12,938   

Procter & Gamble Co / The

    155        11,876   

Safeway Inc

    148,900        4,651,636   

Whole Foods Market Inc

    248        12,960   
   

 

 

 
      74,699,623   
   

 

 

 

Energy – 6.1%

  

 

ARC Resources Ltd

    380        9,901   

Apache Corp

    305,191        24,494,630   

Concho Resources Inc (a)

    100        9,779   

EQT Corp

    115,500        10,719,555   

Ensco PLC Cl A

    90,400        4,553,448   

National Oilwell Varco Inc

    120        9,001   

Noble Energy Inc

    170        10,596   

Oil States International Inc (a)

    171,000        16,065,450   

Penn West Petroleum Ltd

    915        6,835   

Pioneer Natural Resources Co

    88        14,900   

Southwestern Energy Co (a)

    287        11,678   
   

 

 

 
      55,905,773   
   

 

 

 

Financials – 19.7%

  

American Express Co

    191        16,239   

Apollo Investment Corp

    976,300        8,239,972   

Brandywine Realty Trust

    164,600        2,345,550   

Discover Financial Services

    97,200        5,214,780   

Fifth Third Bancorp

    1,030,400        21,659,008   
 

 

14


D OMINI S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

SECURITY   SHARES     VALUE  
   

Financials (Continued)

  

Hartford Financial Services Group Inc/The

    610,600      $ 20,302,450   

ING Groep NV ADR (a)

    281,100        3,713,331   

KeyCorp

    333,200        4,251,632   

Kimco Realty Corp

    822,900        17,206,839   

Lincoln National Corp

    134,700        6,469,641   

MFA Financial Inc

    927,600        6,762,204   

MetLife Inc

    119,100        5,841,855   

PNC Financial Services Group Inc/The

    208,090        16,622,229   

Piedmont Office Realty Trust Inc Cl A

    792,200        13,205,974   

Prudential Financial Inc

    188,500        15,907,515   

Retail Properties of America Inc Cl A

    461,500        6,087,185   

State Street Corp

    70,700        4,733,365   

Symetra Financial Corp

    145,300        2,782,495   

US Bancorp/MN

    346        13,747   

Unum Group

    556,700        17,925,740   
   

 

 

 
      179,301,751   
   

 

 

 

Health Care – 10.8%

  

Becton Dickinson and Co

    128        13,839   

Biogen Idec Inc (a)

    12,300        3,845,472   

CareFusion Corp (a)

    428,700        17,478,099   

Celgene Corp (a)

    146,300        22,227,359   

Eli Lilly & Co

    521,300        28,155,413   

Gilead Sciences Inc (a)

    98,900        7,976,285   

Hospira Inc (a)

    56,100        2,468,961   

Mylan Inc/PA (a)

    146,800        6,666,188   

Shire PLC ADR

    62,500        9,351,250   
   

 

 

 
      98,182,866   
   

 

 

 

Industrials – 8.6%

  

3M Co

    122,315        15,679,560   

AGCO Corp

    161,200        8,596,796   

Brink’s Co/The

    98,900        3,129,196   

Cummins Inc

    83        10,539   

Deere & Co

    58,300        5,011,468   

Dun & Bradstreet Corp / The

    154,000        16,940,000   

Energizer Holdings Inc

    55,000        5,197,500   

First Solar Inc (a)

    358        18,108   

Herman Miller Inc

    422        11,829   
SECURITY   SHARES     VALUE  
   

Industrials (Continued)

  

Interface Inc

    692      $ 14,497   

JetBlue Airways Corp (a)

    1,688        14,787   

RR Donnelley & Sons Co

    629        11,618   

Rockwell Automation Inc

    25,100        2,882,484   

Southwest Airlines Co

    988,954        20,718,586   

United Parcel Service Inc Cl B

    131        12,475   
   

 

 

 
      78,249,443   
   

 

 

 

Information Technology – 19.1%

  

Advanced Micro Devices Inc (a)

    3,150        10,805   

Apple Inc

    40,990        20,519,594   

Applied Materials Inc

    762        12,817   

Cisco Systems Inc

    504        11,043   

EMC Corp/MA

    373        9,042   

F5 Networks Inc (a)

    31,800        3,402,600   

Google Inc Cl A (a)

    3,216        3,798,000   

Hewlett-Packard Co

    840        24,360   

Infosys Ltd ADR

    38,600        2,261,188   

Intel Corp

    90,341        2,216,968   

International Business Machines Corp

    72,452        12,800,819   

MasterCard Inc Cl A

    224,700        17,005,296   

Mentor Graphics Corp

    96,200        2,000,960   

Microsoft Corp

    1,006,239        38,086,145   

Motorola Solutions Inc

    201        12,824   

NVIDIA Corp

    793,500        12,457,950   

NetApp Inc

    125,300        5,305,202   

NeuStar Inc Cl A (a)

    46,300        1,569,107   

Oracle Corp

    662,800        24,457,319   

Power Integrations Inc

    260        15,400   

QUALCOMM Inc

    61,300        4,549,686   

SanDisk Corp

    76,400        5,313,620   

SunPower Corp (a)

    1,124        36,373   

Symantec Corp

    141,700        3,033,797   

Texas Instruments Inc

    300        12,720   

United Microelectronics Corp ADR

    2,529,500        5,109,590   
 

 

15


D OMINI S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

SECURITY   SHARES     VALUE  
   

Information Technology (Continued)

  

Western Digital Corp

    112,400      $ 9,685,508   

Xerox Corp

    1,209        13,118   

Yahoo! Inc (a)

    649        23,377   
   

 

 

 
      173,755,228   
   

 

 

 

Materials – 3.3%

  

Domtar Corp

    101,900        10,945,079   

International Paper Co

    302        14,417   

MeadWestvaco Corp

    329        11,867   

Nucor Corp

    230        11,121   

Packaging Corp of America

    106,000        6,847,600   

Sealed Air Corp

    414,100        12,915,779   
   

 

 

 
      30,745,863   
   

 

 

 

Telecommunication Services – 5.6%

  

AT&T Inc

    63,535        2,116,986   

CenturyLink Inc

    213,400        6,158,724   

Frontier Communications Corp

    1,720,800        8,087,760   

KT Corp ADR (a)

    718,200        10,162,530   

Rogers Communications Inc Cl B

    75,200        3,161,408   

TELUS Corp

    63,700        2,222,493   

Telecom Corp of New Zealand Ltd ADR

    321,100        3,027,973   

Verizon Communications Inc

    343,163        16,478,687   
   

 

 

 
      51,416,561   
   

 

 

 
SECURITY   SHARES     VALUE  
   

Utilities – 2.3%

  

Avista Corp

    83,300      $ 2,401,539   

Energen Corp

    262,087        18,534,793   
   

 

 

 
      20,936,332   
   

 

 

 

Total Common Stocks – 99.3% (Cost $757,491,189) (b)

    

    905,378,073   

Other Assets, less liabilities – 0.7%

   

    5,995,248   
   

 

 

 

Net Assets – 100.0%

  

  $ 911,373,321   
   

 

 

 
 

(a) Non-income producing security.

(b) The aggregate cost for federal income tax purposes is $758,258,805. The aggregate gross unrealized appreciation is $161,222,240 and the aggregate gross unrealized depreciation is $14,102,972, resulting in net unrealized appreciation of $147,119,268.

ADR — American Depository Receipt

 

SEE NOTES TO FINANCIAL STATEMENTS

 

16


 

THIS PAGE INTENTIONALLY LEFT BLANK

 


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

Fund Performance and Holdings

The table and bar charts below provide information as of January 31, 2014 about the ten largest holdings of the Domini International Social Equity Fund and its portfolio holdings by industry sector and country:

TEN LARGEST HOLDINGS (Unaudited)

 

       
SECURITY DESCRIPTION   % NET
ASSETS
     SECURITY DESCRIPTION   % NET
ASSETS
 
Shire PLC     2.2%       Merck KGaA     1.7%   
BT Group PLC     2.1%       Persimmon PLC     1.6%   
Next PLC     2.0%       J Sainsbury PLC     1.5%   
Deutsche Post AG     1.9%       TeliaSonera AB     1.5%   
FUJIFILM Holdings Corp     1.8%       AXA SA     1.5%   

PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)

 

LOGO

 

18


PORTFOLIO HOLDINGS BY COUNTRY (% OF NET ASSETS) (Unaudited)

 

LOGO

*Other countries include Denmark (0.9%), Russia (0.8%), South Korea (0.7%), Poland (0.6%), Ireland (0.6%), United States (0.5%), New Zealand (0.5%), Indonesia (0.2%), and Taiwan (0.1%).

The holdings mentioned above are described in the Domini International Social Equity Fund’s Portfolio of Investments (as of 1/31/14), included herein. The composition of the Fund’s portfolio is subject to change.

 

19


DOMINI INTERNATIONAL SOCIAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS (Unaudited)

      Investor
shares
  Class A shares
(with 4.75%
maximum
Sales Charge) 1
  Class A shares
(without Sales
Charge) 1
  Institutional
shares 2
  MSCI EAFE
As of 1/31/14   1 Year   15.30%   9.90%   15.38%   15.84%   12.39%
  5 Year   15.90%   14.84%   15.96%   15.90%   14.37%
    Since
Inception
(12/27/06)
  -0.01%   -0.69%   -0.01%   -0.01%   1.78%

Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-582-6757 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher. A 2.00% fee applies to sales/exchanges made less than 30 days after the settlement of purchase/exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the Fund’s prospectus for further information.

For the period reported in its current prospectus, during which net operating expenses were capped by the Fund’s Manager, the Fund’s gross annual operating expenses totaled 1.68% (Investor shares), 2.13% (Class A shares), and 1.25% (Institutional shares) of net assets representing each share class, respectively. Until 11/30/14, the Fund’s Manager has contractually agreed to limit certain ordinary expenses to 1.60% (Investor shares), 1.57% (Class A shares), and 1.27% (Institutional shares) of its average daily net assets representing each share class, respectively, absent an earlier modification by the Fund’s Board. The Fund’s total return may have been lower without this limit.

The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Domini International Social Equity 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. The Fund is subject to market risks such as sector concentration and style risk. You may lose money.

Investing internationally involves special risks, such as currency fluctuations, social and economic instability, differing securities regulations and accounting standards, limited public information, possible changes in taxation and periods of illiquidity. These risks are magnified in emerging markets.

The MSCI EAFE Index is an unmanaged index of common stocks. You cannot invest directly in an index.

 

 

1 Class A shares were not offered prior to November 28, 2008. All performance information for time periods beginning prior to November 28, 2008 is the performance of the Investor shares. This performance has not been adjusted to reflect the lower expenses of the Class A shares, but, where noted, does reflect an adjustment for the maximum applicable sales charges of 4.75%.

2 Institutional shares were not offered prior to November 30, 2012. All performance information for time periods beginning prior to November 30, 2012, is the performance of the Investor shares. This performance has not been adjusted to reflect the lower expenses of the Institutional shares.

 

20


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS

January 31, 2014 (Unaudited)

 

COUNTRY/SECURITY   INDUSTRY   SHARES     VALUE  

Common Stock – 96.0%

     

Australia – 5.0%

     

Arrium Ltd 

   Materials     1,574,522      $ 2,136,213   

Flight Centre Travel Group Ltd 

   Consumer Services     62,882        2,604,420   

GPT Group 

   Real Estate     164,311        517,534   

National Australia Bank Ltd 

   Banks     47,289        1,371,883   

REA Group Ltd 

   Media     84,482        2,996,333   

Sonic Healthcare Ltd 

   Health Care Equipment & Services     23,508        338,632   

Suncorp Group Ltd 

   Insurance     214,182        2,276,122   
     

 

 

 
            12,241,137   
     

 

 

 

Austria – 1.8%

     

EVN AG 

   Utilities     73,053        1,137,856   

Voestalpine AG 

   Materials     72,190        3,236,462   
     

 

 

 
        4,374,318   
     

 

 

 

Belgium – 1.4%

     

D’ieteren SA/NV 

   Retailing     21,575        1,034,326   

Delhaize Group SA 

   Food & Staples Retailing     9,520        612,511   

KBC Groep NV 

   Banks     30,705        1,815,914   
     

 

 

 
        3,462,751   
     

 

 

 

Brazil – 0.9%

     

Banco do Brasil SA 

   Banks     244,800        2,111,600   
     

 

 

 
        2,111,600   
     

 

 

 

China – 1.1%

     

Agile Property Holdings Ltd 

   Real Estate     1,174,000        1,076,509   

Beijing Capital International Airport Co Ltd Cl H 

   Transportation     492,000        374,475   

Byd Co Ltd Cl H (a) 

   Automobiles & Components     3,000        14,295   

Shimao Property Holdings Ltd 

   Real Estate     257,500        561,772   

SOHO China Ltd 

   Real Estate     1,017,000        812,049   
     

 

 

 
        2,839,100   
     

 

 

 

Denmark – 0.9%

     

Pandora A/S 

   Consumer Durables & Apparel     7,470        427,559   

Rockwool International A/S Cl B 

   Capital Goods     6,669        1,208,897   

Vestas Wind Systems A/S (a) 

   Capital Goods     21,245        698,804   
     

 

 

 
        2,335,260   
     

 

 

 

Finland – 1.4%

     

Neste Oil OYJ 

   Energy     171,045        3,056,282   

Nokia OYJ (a) 

   Technology Hardware & Equipment     74,549        517,243   
     

 

 

 
        3,573,525   
     

 

 

 

France – 9.5%

     

AXA SA 

   Insurance     140,793        3,702,396   

BNP Paribas SA 

   Banks     31,892        2,470,808   

 

21


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

COUNTRY/SECURITY   INDUSTRY   SHARES     VALUE  

France (Continued)

     

Cap Gemini SA 

   Software & Services     11,500      $ 784,256   

Carrefour SA 

   Food & Staples Retailing     11,010        379,429   

Ciments Francais SA 

   Materials     10,703        846,382   

CNP Assurances 

   Insurance     108,812        2,132,110   

Credit Agricole SA (a) 

   Banks     196,212        2,642,578   

Natixis 

   Banks     352,725        2,076,288   

Orange SA 

   Telecommunication Services     255,262        3,158,688   

Renault SA 

   Automobiles & Components     2,671        233,264   

SCOR SE 

   Insurance     52,494        1,703,227   

Societe Generale SA 

    Banks     57,581        3,267,549   
     

 

 

 
            23,396,975   
     

 

 

 

Germany – 7.7%

     

Allianz SE 

   Insurance     20,371        3,400,949   

Continental AG 

   Automobiles & Components     15,095        3,251,930   

Deutsche Post AG 

   Transportation     131,940        4,567,405   

HeidelbergCement AG 

   Materials     18,921        1,409,755   

Merck KGaA 

   Pharma, Biotech & Life Sciences     26,675        4,142,243   

Muenchener Rueckversicherungs AG 

   Insurance     6,942        1,433,735   

United Internet AG 

   Software & Services     20,996        917,945   
     

 

 

 
        19,123,962   
     

 

 

 

Hong Kong – 2.6%

     

Great Eagle Holdings Ltd 

   Real Estate     252,998        830,858   

Hysan Development Co Ltd 

   Real Estate     301,000        1,190,076   

Swire Pacific Ltd Cl A 

   Real Estate     82,000        886,024   

Wharf Holdings Ltd 

   Real Estate     239,000        1,631,336   

Wheelock & Co Ltd 

   Real Estate     470,471        1,908,592   
     

 

 

 
        6,446,886   
     

 

 

 

India – 1.7%

     

Dr Reddy’s Laboratories Ltd 

   Pharma, Biotech & Life Sciences     21,835        908,633   

Hero MotoCorp Ltd 

   Automobiles & Components     17,744        560,640   

Infosys Ltd ADR 

   Software & Services     38,100        2,231,898   

Wipro Ltd ADR 

   Software & Services     32,600        421,844   
     

 

 

 
        4,123,015   
     

 

 

 

Indonesia – 0.2%

     

Telekomunikasi Indonesia Persero Tbk PT 

   Telecommunication Services     2,092,500        389,880   
     

 

 

 
        389,880   
     

 

 

 

Ireland – 0.6%

     

Irish Bank Resolution Corp Ltd/Old (a)(c) 

   Banks     138,674        0   

Smurfit Kappa Group PLC 

   Materials     60,293        1,414,762   
     

 

 

 
        1,414,762   
     

 

 

 

 

22


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

COUNTRY/SECURITY   INDUSTRY   SHARES     VALUE  

Japan – 19.5%

     

Asahi Glass Co Ltd 

   Capital Goods     65,000      $ 372,849   

Central Japan Railway Co 

   Transportation     17,600        1,953,542   

Dai Nippon Printing Co Ltd 

   Commercial & Professional Services     351,000        3,527,724   

Daiichi Sankyo Co Ltd 

   Pharma, Biotech & Life Sciences     145,900        2,464,928   

Daiwa House Industry Co Ltd 

   Real Estate     128,000        2,464,990   

Fast Retailing Co Ltd 

   Retailing     48        17,937   

FUJIFILM Holdings Corp 

   Technology Hardware & Equipment     145,923        4,331,116   

Honda Motor Co Ltd 

   Automobiles & Components     19,760        754,284   

Ibiden Co Ltd 

   Technology Hardware & Equipment     92,100        1,717,647   

Kawasaki Kisen Kaisha Ltd 

   Transportation     774,000        1,844,212   

Konica Minolta Inc 

   Technology Hardware & Equipment     241,500        2,585,851   

MS&AD Insurance Group Holdings 

   Insurance     87,400        2,067,057   

Nippon Electric Glass Co Ltd 

   Technology Hardware & Equipment     379,000        1,731,764   

Nissan Motor Co Ltd 

   Automobiles & Components     55,800        484,218   

Nisshin Seifun Group Inc 

   Food & Beverage     204,150        2,053,811   

Nisshin Steel Holdings Co Ltd 

   Materials     72,800        785,214   

Nomura Holdings Inc 

   Diversified Financials     202,500        1,439,550   

NTN Corp (a) 

   Capital Goods     5,300        23,334   

ORIX Corp 

   Diversified Financials     87,000        1,356,376   

Otsuka Holdings Co Ltd 

   Pharma, Biotech & Life Sciences     104,400        3,220,497   

Ricoh Co Ltd 

   Technology Hardware & Equipment     61,000        652,557   

Rohm Co Ltd 

   Semiconductors & Semiconductor Equipment     11,600        589,185   

Seiko Epson Corp 

   Technology Hardware & Equipment     29,000        768,044   

Seino Holdings Co Ltd 

   Transportation     226,693        2,173,906   

Sony Corp 

   Consumer Durables & Apparel     90,100        1,436,511   

T&D Holdings Inc 

   Insurance     61,200        759,112   

Tokyo Gas Co Ltd 

   Utilities     79,000        396,607   

Toppan Printing Co Ltd 

   Commercial & Professional Services     389,451        2,886,944   

Toray Industries Inc 

   Materials     1,394        9,254   

Toyo Seikan Group Holdings Ltd 

   Materials     120,300        2,179,874   

Yamazaki Baking Co Ltd 

   Food & Beverage     89,000        967,799   
     

 

 

 
            48,016,694   
     

 

 

 

Netherlands – 4.4%

     

Aegon NV 

   Insurance     168,472        1,473,801   

ING Groep NV (a) 

   Diversified Financials     252,861        3,355,399   

Koninklijke Philips NV 

   Capital Goods     65,203        2,272,099   

Randstad Holding NV 

   Commercial & Professional Services     57,805        3,673,533   
     

 

 

 
        10,774,832   
     

 

 

 

New Zealand – 0.5%

     

Telecom Corp of New Zealand Ltd 

   Telecommunication Services     635,004        1,206,865   
     

 

 

 
        1,206,865   
     

 

 

 

Norway – 3.0%

     

DNB ASA 

   Banks     125,145        2,111,035   

Fred Olsen Energy ASA 

   Energy     60,254        2,171,721   

 

23


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

COUNTRY/SECURITY   INDUSTRY   SHARES     VALUE  

Norway (Continued)

     

Orkla ASA 

   Food & Beverage     306,148      $ 2,372,863   

Seadrill Ltd 

   Energy     18,569        664,555   
     

 

 

 
        7,320,174   
     

 

 

 

Poland – 0.6%

     

Polskie Gornictwo Naftowe i Gazownictwo SA 

   Energy     1,023,677        1,503,569   
     

 

 

 
        1,503,569   
     

 

 

 

Russia – 0.8%

     

VimpelCom Ltd ADR 

   Telecommunication Services     205,500        1,991,295   
     

 

 

 
        1,991,295   
     

 

 

 

South Africa – 1.4%

     

MTN Group Ltd 

   Telecommunication Services     192,778        3,408,772   

Sanlam Ltd 

   Insurance     2,531        10,807   
     

 

 

 
        3,419,579   
     

 

 

 

South Korea – 0.7%

     

KB Financial Group Inc 

   Banks     11,850        411,847   

KT Corp 

   Telecommunication Services     45,350        1,304,975   
     

 

 

 
        1,716,822   
     

 

 

 

Spain – 2.1%

     

Amadeus IT Holding SA Cl A 

   Software & Services     9,970        394,679   

Banco Santander SA 

   Banks     41,604        359,634   

Banco Santander SA Rights (a)(c) 

   Banks     82,345        16,554   

Bankinter SA 

   Banks     155,439        1,164,424   

Gamesa Corp Tecnologica SA (a) 

   Capital Goods     130,462        1,433,867   

Sacyr SA (a) 

   Capital Goods     365,027        1,864,178   
     

 

 

 
        5,233,336   
     

 

 

 

Sweden – 5.9%

     

Atlas Copco AB Cl A 

   Capital Goods     440        11,964   

Hennes & Mauritz AB Cl B 

   Retailing     277        11,950   

Holmen AB Cl B 

   Materials     13,940        482,327   

Investor AB Cl B 

   Diversified Financials     60,278        1,953,957   

Skandinaviska Enskilda Banken AB Cl A 

   Banks     115,521        1,492,939   

SKF AB Cl B 

   Capital Goods     385        10,216   

Svenska Cellulosa AB SCA Cl B 

   Household & Personal Products     91,321        2,601,718   

Telefonaktiebolaget LM Ericsson Cl B 

   Technology Hardware & Equipment     55,179        674,333   

TeliaSonera AB 

   Telecommunication Services     500,933        3,719,769   

Trelleborg AB Cl B 

   Capital Goods     181,457        3,625,703   
     

 

 

 
            14,584,876   
     

 

 

 

 

24


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

COUNTRY/SECURITY   INDUSTRY   SHARES     VALUE  

Switzerland – 5.4%

     

Aryzta AG 

   Food & Beverage     25,919      $ 2,041,982   

Baloise Holding AG 

   Insurance     17,225        2,063,615   

Lindt & Spruengli AG 

   Food & Beverage     161        723,536   

Novartis AG 

   Pharma, Biotech & Life Sciences     34,772        2,756,727   

OC Oerlikon Corp AG 

   Capital Goods     60,240        951,175   

Swiss Life Holding AG 

   Insurance     10,021        2,164,310   

Swiss Re AG 

   Insurance     32,279        2,794,317   
     

 

 

 
        13,495,662   
     

 

 

 

Taiwan – 0.1%

     

United Microelectronics Corp 

   Semiconductors & Semiconductor Equipment     804,000        327,730   
     

 

 

 
        327,730   
     

 

 

 

United Kingdom – 16.3%

     

3i Group PLC 

   Diversified Financials     405,603        2,489,041   

Associated British Foods PLC 

   Food & Beverage     36,944        1,648,429   

Barratt Developments PLC 

   Consumer Durables & Apparel     301,640        1,876,835   

Berendsen PLC 

   Commercial & Professional Services     106,439        1,618,077   

BG Group PLC 

   Energy     20,954        351,945   

BT Group PLC 

   Telecommunication Services     830,409        5,231,032   

Inchcape PLC 

   Retailing     82,192        790,209   

J Sainsbury PLC 

   Food & Staples Retailing     660,589        3,744,390   

Kingfisher PLC 

   Retailing     87,299        530,271   

Marks & Spencer Group PLC 

   Retailing     1,781        13,783   

Next PLC 

   Retailing     48,516        4,983,352   

Persimmon PLC 

   Consumer Durables & Apparel     180,380        3,892,330   

Shire PLC 

   Pharma, Biotech & Life Sciences     110,065        5,504,372   

Taylor Wimpey PLC 

   Consumer Durables & Apparel     882,584        1,627,442   

Travis Perkins PLC 

   Capital Goods     24,992        714,261   

Unilever PLC 

   Food & Beverage     36,936        1,419,831   

WM Morrison Supermarkets PLC 

   Food & Staples Retailing     934,905        3,685,991   
     

 

 

 
        40,121,591   
     

 

 

 

United States – 0.5%

     

Core Laboratories NV 

   Energy     7,200        1,288,224   
     

 

 

 
        1,288,224   
     

 

 

 

Total Common Stock
(Cost $207,357,036)

          236,834,420   
     

 

 

 

Preferred Stock – 1.9%

     

Brazil – 1.3%

     

AES Tiete SA 

   Utilities     32,800        255,704   

Cia Brasileira de Distribuicao Grupo Pao de Acucar 

   Food & Staples Retailing     61,700        2,379,544   

Cia Paranaense de Energia 

   Utilities     51,100        587,213   
     

 

 

 
        3,222,461   
     

 

 

 

 

25


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

COUNTRY/SECURITY   INDUSTRY   SHARES     VALUE  

Germany – 0.6%

     

Henkel AG & Co KGaA 

   Household & Personal Products     14,202      $ 1,539,447   
     

 

 

 
        1,539,447   
     

 

 

 

Total Preferred Stock (Cost $4,460,505)

      4,761,908   
     

 

 

 

Total Investments – 97.9% (Cost $211,817,541) (b)

        241,596,328   

Other Assets, less liabilities – 2.1%

      5,172,816   
     

 

 

 

Net Assets – 100.0%

      $   246,769,144   
     

 

 

 

 

 

(a) Non-income producing security.

(b) The aggregate cost for federal income tax purposes is $213,903,369. The aggregate gross unrealized appreciation is $35,399,527 and the aggregate gross unrealized depreciation is $7,706,568, resulting in net unrealized appreciation of $27,692,959.

(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.

ADR — American Depository Receipt

 

SEE NOTES TO FINANCIAL STATEMENTS

 

26


 

THIS PAGE INTENTIONALLY LEFT BLANK

 


D OMINI S OCIAL B OND F UND

Fund Performance and Holdings

The bar chart below provides information as of January 31, 2014 about the percentage of the Domini Social Bond Fund’s portfolio holdings invested in various types of debt obligations:

PORTFOLIO COMPOSITION (% OF NET ASSETS) (Unaudited)

 

LOGO

 

28


DOMINI SOCIAL BOND FUND

AVERAGE ANNUAL TOTAL RETURNS (Unaudited)

       Investor
shares
   Institutional
shares 1
   Barclays Capital
Intermediate
Aggregate
Index
As of 1/31/14   1 Year    -0.39%    -0.09%    0.50%
  5 Year    3.48%    3.48%    4.46%
  10 Year    3.66%    3.66%    4.35%
    Since
Inception (6/1/00)
   4.76%    4.76%    5.49%

Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-582-6757 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher. A 2.00% fee applies to sales/exchanges made less than 30 days after the settlement of purchase/exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the Fund’s prospectus for further information.

For the period reported in its current prospectus, during which net operating expenses were capped by the Fund’s Manager, the Fund’s gross annual operating expenses totaled 1.24% (Investor shares) and 0.97% (Institutional shares) of net assets representing each share class, respectively. Until 11/30/14, the Fund’s Manager has contractually agreed to limit certain ordinary expenses to 0.95% (Investor shares) and 0.65% (Institutional shares) of its average daily net assets representing each share class, respectively, absent an earlier modification by the Fund’s Board. The Fund’s total returns would have been lower without these limits.

The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Domini Social Bond 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 Domini Social Bond Fund is not insured and is subject to market risks, interest rate risks and credit risks. During periods of rising interest rates, bond funds can lose value. The Fund’s community development investments may be unrated and may carry greater risk 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.

The Barclays Capital Intermediate Aggregate (BCIA) Index is an unmanaged index of intermediate-duration fixed-income securities. You cannot invest directly in an index.

 

 

1 Institutional shares were not offered prior to November 30, 2011. All performance information for time periods beginning prior to November 30, 2011, is the performance of the Investor shares. This performance has not been adjusted to reflect the lower expenses of the Institutional shares.

 

29


D OMINI S OCIAL B OND F UND

P ORTFOLIO OF I NVESTMENTS

January 31, 2014 (Unaudited)

 

     Principal
Amount
     Value
(Note 1)
 

U.S. Government Agency Obligations – 39.6%

     

Freddie Mac:

     

0.500%, 5/13/2016

   $ 3,475,000       $ 3,480,876   

0.875%, 3/7/2018

     5,250,000         5,156,876   

1.250%, 5/12/2017

     2,775,000         2,807,642   

1.750%, 9/10/2015

     19,396,000         19,862,881   

2.375%, 1/13/2022

     17,625,000         17,243,331   

U.S. Small Business Administration:

     

2013-10B1, 3.644%, 9/10/2023

     1,500,000         1,556,793   
     

 

 

 

Total U.S. Government Agency Obligations
(Cost $49,708,664)

        50,108,399   
     

 

 

 

U.S. Government Agency Mortgage Securities – 39.1%

     

Fannie Mae:

     

190370, 6.000%, 6/1/2036

     329,688         366,996   

471235, 3.120%, 5/1/2022

     1,251,262         1,277,053   

745044, 4.500%, 8/1/2035

     125,524         135,129   

745327, 6.000%, 3/1/2036

     885,708         990,145   

889529, 6.000%, 3/1/2038

     176,394         196,079   

890248, 6.000%, 8/1/2037

     67,800         75,945   

890547, 4.000%, 11/1/2036

     404,257         424,369   

932441, 4.000%, 1/1/2040

     1,092,085         1,145,818   

932871, 3.000%, 1/1/2026

     1,684,519         1,741,720   

995082, 5.500%, 8/1/2037

     274,621         303,144   

AB1343, 4.500%, 8/1/2040

     329,399         355,650   

AB1763, 4.000%, 11/1/2030

     72,689         77,404   

AB2694, 4.500%, 4/1/2041

     170,416         184,987   

AB3274, 4.500%, 7/1/2041

     671,787         722,545   

AB4168, 3.500%, 1/1/2032

     669,134         695,723   

AB6472, 2.000%, 10/1/2027

     355,648         348,054   

AB6480, 2.500%, 10/1/2027

     307,937         310,076   

AB6644, 2.500%, 10/1/2027

     1,031,663         1,038,830   

AB7142, 2.500%, 12/1/2027

     137,634         138,590   

AB7158, 2.500%, 12/1/2027

     192,325         193,662   

AB7691, 3.500%, 1/1/2033

     234,730         244,126   

AB7707, 2.000%, 1/1/2028

     166,340         163,048   

AB7795, 2.500%, 2/1/2028

     1,913,960         1,922,510   

AB8428, 3.500%, 2/1/2033

     464,117         482,687   

AC5445, 5.000%, 11/1/2039

     204,743         225,102   

AC9564, 4.500%, 2/1/2040

     137,815         148,542   

AI7951, 4.500%, 8/1/2036

     150,091         161,387   

AL0005, 4.500%, 1/1/2041

     155,613         167,271   

AL0049, 6.000%, 12/1/2035

     200,096         224,316   

AL1627, 4.500%, 9/1/2041

     486,104         522,133   

AL2716, 2.000%, 12/1/2027

     167,407         164,094   

AL3041, 2.000%, 2/1/2028

     45,671         44,767   

AL3274, 3.000%, 5/1/2027

     309,413         320,308   

AL4042, 2.000%, 8/1/2028

     2,006,235         1,966,529   

AM0463, 2.720%, 9/1/2022

     489,526         483,529   

AM3110, 2.470%, 10/1/2019

     1,335,576         1,357,552   

AM3278, 2.850%, 5/1/2023

     749,011         730,060   

 

30


D OMINI S OCIAL B OND F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

     Principal
Amount
     Value
(Note 1)
 

U.S. Government Agency Mortgage Securities (Continued)

     

AM3951, 3.220%, 7/1/2023

   $ 107,232       $ 108,375   

AM4253, 3.220%, 9/1/2020

     1,856,188         1,930,616   

AM4796, 3.300%, 12/1/2023

     784,556         792,755   

AM5146, 3.470%, 1/1/2024

     504,000         514,334   

AO3244, 3.500%, 8/1/2032

     228,758         237,855   

AP6368, 3.500%, 9/1/2032

     222,280         231,117   

AP9592, 3.500%, 10/1/2032

     461,943         480,307   

AP9623, 2.000%, 10/1/2027

     174,995         171,531   

AQ4497, 2.500%, 11/1/2027

     107,601         108,349   

AQ9956, 2.000%, 1/1/2028

     77,726         76,188   

AR1524, 2.000%, 1/1/2028

     480,464         470,956   

AR3040, 2.000%, 1/1/2028

     324,889         318,459   

AR6707, 2.000%, 2/1/2028

     46,257         45,342   

AR6867, 2.000%, 2/1/2028

     998,365         978,607   

AS0001, 2.000%, 7/1/2028

     513,681         503,515   

AS0338, 2.000%, 8/1/2028

     340,760         334,016   

FNR 2011-89 BT, 3.500%, 9/25/2026

     500,000         501,453   

FNR 2012-17 BC, 3.500%, 3/25/2027

     368,000         371,369   

MA0199, 4.000%, 10/1/2029

     68,525         72,652   

MA0481, 4.500%, 8/1/2030

     672,523         725,978   

MA0587, 4.000%, 12/1/2030

     229,314         244,113   

MA0804, 4.000%, 7/1/2031

     186,588         198,521   

MA0949, 3.500%, 1/1/2032

     795,576         827,094   

MA0976, 3.500%, 2/1/2032

     238,512         247,961   

MA1107, 3.500%, 7/1/2032

     58,380         60,702   

Freddie Mac:

     

A12413, 5.000%, 8/1/2033

     74,853         81,839   

A37619, 4.500%, 9/1/2035

     519,169         557,166   

A87874, 4.000%, 8/1/2039

     141,609         148,222   

A89148, 4.000%, 10/1/2039

     225,537         236,220   

A93996, 4.500%, 9/1/2040

     142,560         152,949   

A97047, 4.500%, 2/1/2041

     159,052         170,667   

D99439, 3.500%, 6/1/2032

     168,408         174,674   

E04075, 2.500%, 8/1/2027

     590,368         593,518   

FHR 3768 CB, 3.500%, 12/15/2025

     343,000         352,329   

FHR 3800 CB, 3.500%, 2/15/2026

     383,000         393,330   

FHR 3806 L, 3.500%, 2/15/2026

     847,000         862,972   

FHR 3877 LM, 3.500%, 6/15/2026

     780,000         796,382   

G01779, 5.000%, 4/1/2035

     94,598         103,409   

G01828, 4.500%, 4/1/2035

     423,468         455,211   

G01837, 5.000%, 7/1/2035

     637,565         696,720   

G01838, 5.000%, 7/1/2035

     72,603         79,380   

G02424, 5.500%, 12/1/2036

     520,047         569,482   

G04997, 5.000%, 1/1/2037

     414,991         452,579   

G05052, 5.000%, 10/1/2033

     46,350         50,615   

G06079, 6.000%, 7/1/2039

     417,591         461,477   

G06990, 5.500%, 8/1/2040

     570,862         625,127   

G08347, 4.500%, 6/1/2039

     745,448         801,255   

G08353, 4.500%, 7/1/2039

     655,151         702,635   

G08372, 4.500%, 11/1/2039

     354,693         380,435   

G14599, 2.500%, 11/1/2027

     444,301         446,662   

 

31


D OMINI S OCIAL B OND F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

     Principal
Amount
     Value
(Note 1)
 

U.S. Government Agency Mortgage Securities (Continued)

     

G18469, 2.000%, 6/1/2028

   $ 113,336       $ 110,971   

G30614, 3.500%, 12/1/2032

     667,748         691,904   

J14244, 3.000%, 1/1/2026

     295,623         305,365   

J14245, 3.000%, 1/1/2026

     162,170         167,540   

J17791, 3.000%, 1/1/2027

     645,705         666,537   

J19620, 2.500%, 7/1/2027

     76,291         76,807   

J19638, 2.500%, 7/1/2027

     91,815         92,436   

J20118, 2.500%, 8/1/2027

     346,341         348,684   

J20729, 2.500%, 10/1/2027

     293,024         294,646   

J21439, 2.500%, 12/1/2027

     1,341,559         1,349,869   

J22831, 2.500%, 3/1/2028

     545,261         548,142   

J22836, 2.500%, 3/1/2028

     645,278         648,679   

J22862, 2.000%, 3/1/2028

     55,125         53,975   

J22899, 2.000%, 3/1/2028

     199,535         195,371   

J23427, 2.500%, 4/1/2028

     343,010         344,985   

J23429, 2.500%, 4/1/2028

     280,881         282,370   

J23430, 2.500%, 4/1/2028

     388,763         390,818   

J24561, 2.500%, 6/1/2028

     1,005,845         1,012,359   

Q00291, 5.000%, 4/1/2041

     273,547         298,893   

Q01807, 4.500%, 7/1/2036

     265,338         284,877   

Z40004, 6.000%, 8/1/2036

     83,488         91,980   

Ginnie Mae CMO:

     

2006-9 B, 5.210%, VR, 3/16/2037

     196,751         203,941   
     

 

 

 

Total U.S. Government Agency Mortgage Securities
(Cost $48,986,579)

        49,408,449   
     

 

 

 

Corporate Obligations – 15.5%

     

3M Company, 1.375%, 9/29/2016

     1,171,000         1,190,950   

Agilent Technologies, Inc., 3.875%, 7/15/2023

     530,000         519,072   

American Express Credit, 2.375%, 3/24/2017

     1,171,000         1,210,457   

American Tower Corp., 3.500%, 1/31/2023

     281,000         266,588   

American Tower Corp., 5.000%, 2/15/2024

     437,000         460,944   

Analog Devices, 3.000%, 4/15/2016

     333,000         347,161   

AT+T Inc, 2.375%, 11/27/2018

     500,000         504,614   

Best Buy Co. Inc., 5.000%, 8/1/2018

     723,000         746,498   

BNP Paribas, 2.400%, 12/12/2018

     374,000         375,161   

CC Holdings GS V LLC/CRO, 3.849%, 4/15/2023

     568,000         547,817   

Cisco Systems Inc., 5.500%, 2/22/2016

     388,000         426,335   

Digital Realty Trust LP, 5.875%, 2/1/2020

     1,000,000         1,101,118   

ENSCO Plc, 4.700%, 3/15/2021

     1,597,000         1,721,800   

Fifth Third Bank, 1.450%, 2/28/2018

     374,000         369,156   

Howard Hughes Medical Inc., 3.500%, 9/1/2023

     252,000         255,464   

Intel Corp, 1.950%, 10/1/2016

     1,171,000         1,205,851   

INTEL Corp, 2.700%, 12/15/2022

     328,000         311,018   

John Deere Capital Corporation, 1.250%, 12/2/2014

     1,000,000         1,007,648   

Key Bank NA, 1.650%, 2/1/2018

     250,000         249,216   

Morgan Stanley, 5.000%, 11/24/2025

     528,000         536,879   

Morgan Stanley, 2.500%, 1/24/2019

     452,000         451,334   

Mylan Inc. 144A, 1.800%, 6/24/2016 (c)

     122,000         124,253   

Oracle Corp, 1.200%, 10/15/2017

     65,000         64,777   

 

32


D OMINI S OCIAL B OND F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

     Principal
Amount
     Value
(Note 1)
 

Corporate Obligations (Continued)

     

Oracle Corp., 2.375%, 1/15/2019

   $ 105,000       $ 107,085   

PACCAR Financial Corp, 1.550%, 9/29/2014

     1,000,000         1,008,598   

Perrigo Co. Ltd. 144A, 4.000%, 11/15/2023 (c)

     280,000         283,524   

PNC Bank NA, 1.125%, 1/27/2017

     411,000         411,694   

Praxair Inc., 4.625%, 3/30/2015

     647,000         678,138   

Reinsurance Group of America, 4.700%, 9/15/2023

     125,000         128,791   

Softbank Corp 144A, 4.500%, 4/15/2020 (c)

     286,000         282,783   

Thermo Fisher Scientific, 4.150%, 2/1/2024

     202,000         205,774   

Time Warner Inc., 3.400%, 6/15/2022

     600,000         596,493   

TSMC Global Ltd 144A, 1.625%, 4/3/2018 (c)

     266,000         257,143   

US Bank NA Cincinnati, 1.100%, 1/30/2017

     339,000         340,402   

Verizon Communications, 5.150%, 9/15/2023

     1,251,000         1,362,646   
     

 

 

 

Total Corporate Obligations
(Cost $19,142,810)

        19,657,182   
     

 

 

 

Corporate Mortgage Securities – 1.1%

     

CRFCM 2004-1A A 144A, 5.500%, VR, 4/25/2035 (d)

     510,707         526,741   

OBP Depositor LLC Trust 144A, 4.646%, 7/15/2045 (c)

     806,000         887,464   
     

 

 

 

Total Corporate Mortgage Securities
(Cost $1,427,373)

        1,414,205   
     

 

 

 

Certificates of Deposit – 2.5%

     

BANK2, 0.850%, 11/4/2014 (a)

     250,000         250,000   

Central Bank of Kansas City, 0.300%, 5/30/2014 (a)

     250,000         250,000   

City First Bank of D.C., 0.600%, 2/5/2014 (a)

     250,000         250,000   

Community Capital Bank of Virginia, 0.400%, 2/4/2014 (a)

     250,000         250,000   

Eastern Bank, 0.100%, 12/20/2014 (a)

     250,000         250,000   

Hope Federal Credit Union, 0.850%, 2/4/2014 (a)

     250,000         250,000   

Latino Community Credit Union, 0.500%, 6/10/2014 (a)

     250,000         250,000   

Liberty Bank and Trust Company, 0.150%, 12/13/2014 (a)

     200,000         200,000   

New Resource Bank, 0.300%, 4/5/2014 (a)

     250,000         250,000   

Promerica Bank, 0.500%, 2/8/2014 (a)

     200,000         200,000   

Southern Bancorp, 0.350%, 6/20/2014 (a)

     250,000         250,000   

Self Help Credit Union, 0.550%, 12/12/2014 (a)

     250,000         250,000   

Self Help Federal Credit Union, 0.550%, 12/22/2014 (a)

     250,000         250,000   
     

 

 

 

Total Certificates of Deposit
(Cost $3,150,000)

        3,150,000   
     

 

 

 

 

33


D OMINI S OCIAL B OND F UND

P ORTFOLIO OF I NVESTMENTS (continued)

January 31, 2014 (Unaudited)

 

     Principal
Amount
     Value
(Note 1)
 

Cash Equivalents – 0.6%

     

Money Market Demand Accounts:

     

Bank2 Money Market Account, 0.550%, 2/15/2014 (a)

   $ 100,526       $ 100,526   

Latino Community Credit Union, 0.500%, 2/15/2014 (a)

     102,383         102,383   

Opportunities Credit Union, 0.300%, 2/15/2014 (a)

     100,932         100,932   

Self-Help Federal Credit Union, 0.420%, 2/15/2014 (a)

     100,498         100,498   

Self-Help Money Market Demand, 0.420%, 2/15/2014 (a)

     102,422         102,422   

Southern Bancorp Money Market, 0.180%, 2/15/2014 (a)

     251,219         251,219   
     

 

 

 

Total Cash Equivalents
(Cost $757,980)

        757,980   
     

 

 

 

Total Investments – 98.4% (Cost $123,173,406) (b)

        124,496,215   

Other Assets, less liabilities – 1.6%

        2,032,749   
     

 

 

 

Net Assets – 100.0%

      $ 126,528,964   
     

 

 

 

(a) Securities (other than short-term obligations with remaining maturities of less than 60 days) 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.

(b) The aggregate cost for book and federal income purposes is $123,663,285. The aggregate gross unrealized appreciation is $1,185,109, and the aggregate gross unrealized depreciation is $352,179, resulting in net unrealized appreciation of $832,930.

(c) This security has been determined to be liquid under guidelines established by the Fund’s Board of Trustees.

(d) This security has been determined to be illiquid under guidelines established by the Fund’s Board of Trustees.

VR — Variable interest rate. Rate shown is that on January 31, 2014.

144A — Security that may be sold to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. This security has been determined to be liquid under guidelines established by the Fund’s Board of Trustees.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

34


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 August 1, 2013, and held through January 31, 2014.

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.

 

35


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 8/1/2013
  Ending Account
Value as of
1/31/2014
  Expenses Paid
During Period
8/1/2013 –
1/31/2014
Domini Social Equity Fund Investor Shares   Actual Expenses   $1,000.00   $1,073.40   $6.29 1
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,019.14   $6.12 1
Domini Social Equity Fund Class A Shares   Actual Expenses   $1,000.00   $1,074.50   $6.17 1
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,019.26   $6.00 1
Domini Social Equity Fund Institutional Shares   Actual Expenses   $1,000.00   $1,076.10   $4.19 1
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,021.17   $4.07 1
Domini Social Equity Fund Class R Shares   Actual Expenses   $1,000.00   $1,075.80   $4.71 1
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,020.67   $4.58 1

Domini International Social Equity Fund

Investor Shares

  Actual Expenses   $1,000.00   $1,073.90   $8.35 2
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,017.15   $8.13 2

Domini International Social Equity Fund

Class A Shares

  Actual Expenses   $1,000.00   $1,073.90   $8.20 2
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,017.30   $7.97 2

Domini International Social Equity Fund

Institutional Shares

  Actual Expenses   $1,000.00   $1,077.00   $6.18 2
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,019.25   $6.01 2
Domini Social Bond Fund Investor Shares   Actual Expenses   $1,000.00   $1,014.00   $4.83 3
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,020.41   $4.84 3
Domini Social Bond Fund Institutional Shares   Actual Expenses   $1,000.00   $1,015.50   $3.30 3
  Hypothetical Expenses
(5% return before expenses)
  $1,000.00   $1,021.93   $3.31 3

1 Expenses are equal to the Fund’s annualized expense ratio of 1.20% for Investor shares, or 1.18% for Class A shares, or 0.80% for Institutional Class, or 0.90% for Class R shares, multiplied by average account value over the period, multiplied by 184, and divided by 365.

2 Expenses are equal to the Fund’s annualized expense ratio of 1.60% for Investor shares, or 1.57% for Class A shares, or 1.18% for Institutional shares, multiplied by average account value over the period, multiplied by 184, and divided by 365.

3 Expenses are equal to the Fund’s annualized expense ratio of 0.95% for Investor Shares, or 0.65% for Institutional Class, multiplied by average account value over the period, multiplied by 184, and divided by 365.

 

36


STATEMENTS OF ASSETS AND LIABILITIES

January 31, 2014 (Unaudited)

 

     Domini Social
Equity Fund
     Domini
International
Social Equity
Fund
 

ASSETS

     

Investments at value (cost $757,491,189, and $211,817,541, respectively)

   $     905,378,073       $     241,596,328   

Cash

     6,974,978         5,243,939   

Foreign currency, at value (cost $0, and $370, respectively)

     -         370   

Receivable for securities sold

     -         778,394   

Receivable for capital shares

     289,641         879,997   

Dividend receivable

     572,904         196,724   

Tax reclaim receivable

     2,356         108,500   
  

 

 

    

 

 

 

Total assets

     913,217,952         248,804,252   
  

 

 

    

 

 

 

LIABILITIES

     

Payable for securities purchased

     -         1,557,717   

Payable for capital shares

     739,185         105,901   

Management /Sponsorship fee payable

     593,792         212,815   

Distribution fee payable

     142,188         44,713   

Other accrued expenses

     369,208         88,234   

Foreign tax payable

     258         25,728   
  

 

 

    

 

 

 

Total liabilities

     1,844,631         2,035,108   
  

 

 

    

 

 

 

NET ASSETS

   $ 911,373,321       $ 246,769,144   
  

 

 

    

 

 

 

NET ASSETS CONSIST OF

     

Paid-in capital

   $ 758,271,669       $ 217,434,397   

Undistributed net investment income (loss)

     2,676,152         (6,078,128)   

Accumulated net realized gain (loss)

     2,538,689         5,636,393   

Net unrealized appreciation (depreciation)

     147,886,811         29,776,482   
  

 

 

    

 

 

 

NET ASSETS

   $ 911,373,321       $ 246,769,144   
  

 

 

    

 

 

 

NET ASSET VALUE PER SHARE

     

Investor Shares

     

Net assets

   $ 654,586,519       $ 187,155,022   
  

 

 

    

 

 

 

Outstanding shares of beneficial interest

     15,557,986         23,863,662   
  

 

 

    

 

 

 

Net asset value and offering price per share*

   $ 42.07       $ 7.84   
  

 

 

    

 

 

 

Class A Shares

     

Net assets

   $ 6,245,810       $ 24,040,976   
  

 

 

    

 

 

 

Outstanding shares of beneficial interest

     493,127         2,930,388   
  

 

 

    

 

 

 

Net asset value*

   $ 12.67       $ 8.20   
  

 

 

    

 

 

 

Maximum offering price per share (net asset value per share /
(1-4.75%))

   $ 13.30       $ 8.61   
  

 

 

    

 

 

 

Institutional shares

     

Net assets

   $ 217,886,466       $ 35,573,146   
  

 

 

    

 

 

 

Outstanding shares of beneficial interest

     8,475,813         4,532,107   
  

 

 

    

 

 

 

Net asset value and offering price per share*

   $ 25.71       $ 7.85   
  

 

 

    

 

 

 

Class R shares

     

Net assets

   $ 32,654,526      
  

 

 

    

 

 

 

Outstanding shares of beneficial interest

     2,786,868      
  

 

 

    

 

 

 

Net asset value and offering price per share*

   $ 11.72      
  

 

 

    

 

 

 

* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

37


STATEMENTS OF OPERATIONS

For the Six Months Ended January 31, 2014 (Unaudited)

 

     Domini Social
Equity Fund
     Domini
International
Social Equity
Fund
 

INCOME

     

Dividends (net of foreign taxes $62,495, and $164,465, respectively)

   $ 7,652,777       $ 2,117,784   
  

 

 

    

 

 

 

Investment Income

     7,652,777         2,117,784   
  

 

 

    

 

 

 

EXPENSES

     

Management /Sponsorship fees

     3,398,789         1,162,451   

Distribution fees – Investor shares

     815,078         224,492   

Distribution fees – Class A shares

     7,259         23,564   

Transfer agent fees – Investor shares

     420,417         172,882   

Transfer agent fees – Class A shares

     4,975         29,201   

Transfer agent fees – Institutional shares

     2,039         6,005   

Transfer agent fees – Class R shares

     940         -   

Registration fees – Investor shares

     58,103         21,708   

Registration fees – Class A shares

     13,187         18,735   

Registration fees – Institutional shares

     14,285         367   

Registration fees – Class R shares

     15,936         -   

Custody and Accounting fees

     86,282         130,173   

Miscellaneous

     55,273         15,896   

Shareholder Communication fees

     37,309         14,304   

Shareholder Service fees – Investor shares

     33,782         10,732   

Shareholder Service fees – Class A shares

     480         3,354   

Shareholder Service fees – Institutional shares

     77         10   

Shareholder Service fees – Class R shares

     107         -   

Trustees fees

     22,902         7,239   

Professional fees

     9,413         8,932   
  

 

 

    

 

 

 

Total expenses

     4,996,633         1,850,045   

Fees waived and expenses reimbursed

     (31,953)         (66,112)   
  

 

 

    

 

 

 

Net expenses

     4,964,680         1,783,933   
  

 

 

    

 

 

 

NET INVESTMENT INCOME (LOSS)

     2,688,097         333,851   
  

 

 

    

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY

     

NET REALIZED GAIN (LOSS) FROM:

     

Investments

     70,333,403         12,300,726   

Foreign Currency

     8,706         33,796   
  

 

 

    

 

 

 

Net realized gain (loss)

     70,342,109         12,334,522   

NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:

     

Investments

     (9,834,236)         2,568,625   

Translation of assets and liabilities in foreign currencies

     (73)         (2,871)   
  

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation)

     (9,834,309)         2,565,754   
  

 

 

    

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS)

     60,507,800         14,900,276   
  

 

 

    

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $     63,195,897       $     15,234,127   
  

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS

 

38


D OMINI S OCIAL E QUITY F UND

STATEMENTS OF CHANGES IN NET ASSETS

 

     Six Months
Ended
January 31, 2014
(Unaudited)
    Year Ended
July 31, 2013
 

INCREASE IN NET ASSETS

    

FROM OPERATIONS

    

Net investment income (loss)

   $ 2,688,097      $ 8,749,824   

Net realized gain (loss)

     70,342,109        113,438,543   

Net change in unrealized appreciation (depreciation)

     (9,834,309     33,156,924   
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     63,195,897        155,345,291   
  

 

 

   

 

 

 

DISTRIBUTIONS AND/OR DIVIDENDS

    

Dividends to shareholders from net investment income:

    

Investor shares

     (454,861     (3,810,358

Class A shares

     (21,830     (160,635

Institutional shares

     (430,261     (4,095,883

Class R shares

     (120,865     (1,000,392

Distributions to shareholders from net realized gain:

    

Investor shares

     -        -   

Class A shares

     -        -   

Institutional shares

     -        -   

Class R shares

     -        -   

Tax return of capital distribution

     -        -   
  

 

 

   

 

 

 

Net Decrease in Net Assets from Distributions and/or Dividends

     (1,027,817     (9,067,268
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

    

Proceeds from sale of shares

     49,744,034        92,296,604   

Net asset value of shares issued in reinvestment of distributions and dividends

     982,216        8,790,242   

Payments for shares redeemed

     (75,217,885     (130,878,503

Redemption fees

     10,864        6,203   
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets from Capital Share Transactions

     (24,480,771     (29,785,454
  

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     37,687,309        116,492,569   
  

 

 

   

 

 

 

NET ASSETS

    

Beginning of period

   $ 873,686,012      $ 757,193,443   
  

 

 

   

 

 

 

End of period

   $ 911,373,321      $ 873,686,012   
  

 

 

   

 

 

 

Undistributed net investment income (loss)

   $ 2,676,152      $ 1,015,872   
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS

 

39


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

STATEMENTS OF CHANGES IN NET ASSETS

 

     Six Months
Ended
January 31, 2014
(Unaudited)
    Year Ended
July 31, 2013
 

INCREASE IN NET ASSETS

    

FROM OPERATIONS

    

Net investment income (loss)

   $ 333,851      $ 2,931,468   

Net realized gain (loss)

     12,334,522        13,227,215   

Net change in unrealized appreciation (depreciation)

     2,565,754        24,143,371   
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     15,234,127        40,302,054   
  

 

 

   

 

 

 

DISTRIBUTIONS AND/OR DIVIDENDS

    

Dividends to shareholders from net investment income:

    

Investor shares

     (5,652,570     (1,211,612

Class A shares

     (606,614     (108,546

Institutional shares

     (1,135,764     (255,115

Class R shares

     -        -   

Distributions to shareholders from net realized gain:

    

Investor shares

     (3,360,560     -   

Class A shares

     (368,244     -   

Institutional shares

     (668,266     -   

Class R shares

     -        -   

Tax return of capital distribution

     -        -   
  

 

 

   

 

 

 

Net Decrease in Net Assets from Distributions and/or Dividends

     (11,792,018     (1,575,273
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

    

Proceeds from sale of shares

     58,113,207        75,530,023   

Net asset value of shares issued in reinvestment of distributions and dividends

     9,054,596        1,076,056   

Payments for shares redeemed

     (21,986,161     (49,777,366

Redemption fees

     5,434        1,162   
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets from Capital Share Transactions

     45,187,076        26,829,875   
  

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     48,629,185        65,556,656   
  

 

 

   

 

 

 

NET ASSETS

    

Beginning of period

   $ 198,139,959      $ 132,583,303   
  

 

 

   

 

 

 

End of period

   $ 246,769,144      $ 198,139,959   
  

 

 

   

 

 

 

Undistributed net investment income (loss)

   $ (6,078,128   $ 982,969   
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS

 

40


D OMINI S OCIAL E QUITY F UND — I NVESTOR S HARES

FINANCIAL HIGHLIGHTS

 

   

Six Months
Ended
January 31, 2014

(Unaudited)

    Year Ended July 31,  
      2013     2012     2011     2010     2009  

For a share outstanding for the period:

           

Net asset value, beginning of period

    $39.22        $32.66        $31.56        $26.00        $22.83        $28.19   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

           

Net investment income (loss)

    0.12        0.37        0.36        0.27        0.22        0.28   

Net realized and unrealized gain (loss) on investments

    2.76        6.43        0.95        5.44        3.09        (5.32)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    2.88        6.80        1.31        5.71        3.31        (5.04)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less dividends and distributions:

           

Dividends to shareholders from net investment income

    (0.03)        (0.24)        (0.21)        (0.15)        (0.14)        (0.22)   

Distributions to shareholders from net realized gain

    -        -        -        -        -        -   

Tax return of capital 5

    -        -        -        -        -        (0.10)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.03)        (0.24)        (0.21)        (0.15)        (0.14)        (0.32)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Redemption fee proceeds 5

    0.00 1       0.00 1       0.00 1       0.00 1       0.00 1       0.00 1  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $42.07        $39.22        $32.66        $31.56        $26.00        $22.83   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return 2

    7.34%        20.87%        4.15%        22.01%        14.51%        -17.48%   

Portfolio turnover

    45%        97%        94%        87%        95%        82%   

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $655        $625        $546        $561        $562        $550   

Ratio of expenses to average net assets 3

    1.20%        1.24% 4       1.25% 4       1.23% 4       1.23% 4       1.18% 4  

Ratio of net investment income (loss) to average net assets

    0.49%        0.96%        1.06%        0.72%        0.77%        1.27%   

 

 

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. Had the Manager, the Sponsor, and the Distributor not waived their fees or reimbursed expenses, the ratio of expenses to average net assets would have been 1.20% for the six months ended January 31, 2014 and 1.24%, 1.26%, 1.23%, 1.29%, and 1.31%, for the years ended July 31, 2013, 2012, 2011, 2010, and 2009, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 1.24%, 1.25%, 1.23%, 1.23% and 1.18% for the years ended July 31, 2013, 2012, 2011, 2010 and 2009, respectively.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

41


D OMINI S OCIAL E QUITY F UND — C LASS  A S HARES

FINANCIAL HIGHLIGHTS

 

   

Six Months
Ended
January 31,
2014

(Unaudited)

    Year Ended July 31,     For the Period
November 28, 2008
(commencement
of operations)
through July 31,
2009
 
      2013     2012     2011     2010    

For a share outstanding for the period:

           

Net asset value, beginning of period

    $11.84        $10.16        $10.12        $8.51        $7.63        $6.57   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

           

Net investment income (loss)

    0.10        0.22        0.37        0.07        0.10        0.06   

Net realized and unrealized gain (loss) on investments

    0.78        1.86        0.05        1.80        1.01        1.21   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    0.88        2.08        0.42        1.87        1.11        1.27   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.05)        (0.40)        (0.38)        (0.26)        (0.23)        (0.15)   

Distributions to shareholders from net realized gain

    -        -        -        -        -        -   

Tax return of capital 5

    -        -        -        -        -        (0.06)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.05)        (0.40)        (0.38)        (0.26)        (0.23)        (0.21)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Redemption fee proceeds 5

    -        -        -        -        -        -   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $12.67        $11.84        $10.16        $10.12        $8.51        $7.63   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return 2

    7.45%        20.88%        4.20%        22.16%        14.47%        20.66%   

Portfolio turnover

    45%        97%        94%        87%        95%        82%   

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $6        $5        $4        $2        $2        $1   

Ratio of expenses to average net assets 3

    1.18%        1.18% 4       1.18% 4       1.18% 4       1.18% 4       1.18% 4  

Ratio of net investment income (loss) to average net assets

    0.51%        1.02%        1.09%        0.76%        0.81%        1.13%   

 

 

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. Had the Manager, the Sponsor, and the Distributor not waived their fees or reimbursed expenses, the ratio of expenses to average net assets would have been 1.71% for the six months ended January 31, 2014 and 1.74%, 2.09%, 2.54%, 2.56%, and 3.31%, for the years ended July 31, 2013, 2012, 2011, 2010, and 2009, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 1.18%, 1.18%, 1.18%, 1.18% and 1.18% for the years ended July 31, 2013, 2012, 2011, 2010 and 2009, respectively.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

42


D OMINI S OCIAL E QUITY F UND — I NSTITUTIONAL S HARES

FINANCIAL HIGHLIGHTS

 

   

Six Months
Ended
January 31,
2014

(Unaudited)

    Year Ended July 31,     For the Period
November 28, 2008
(commencement
of operations)
through July 31,
2009
 
      2013     2012     2011     2010    

For a share outstanding for the period:

           

Net asset value, beginning of period

    $23.94        $20.12        $19.65        $16.26        $14.35        $12.13   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

           

Net investment income (loss)

    0.09        0.29        0.33        0.23        0.21        0.13   

Net realized and unrealized gain (loss) on investments

    1.73        3.96        0.57        3.42        1.96        2.31   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    1.82        4.25        0.90        3.65        2.17        2.44   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.05)        (0.43)        (0.43)        (0.26)        (0.26)        (0.15)   

Distributions to shareholders from net realized gain

    -        -        -        -        -        -   

Tax return of capital 5

    -        -        -        -        -        (0.07)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.05)        (0.43)        (0.43)        (0.26)        (0.26)        (0.22)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Redemption fee proceeds 5

    0.00 1       0.00 1       -        -        -        -   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $25.71        $23.94        $20.12        $19.65        $16.26        $14.35   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return 2

    7.61%        21.36%        4.62%        22.55%        15.08%        20.93%   

Portfolio turnover

    45%        97%        94%        87%        95%        82%   

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $218        $216        $182        $143        $103        $84   

Ratio of expenses to average net assets 3

    0.80%        0.80% 4       0.80% 4       0.80% 4       0.75% 4       0.65% 4  

Ratio of net investment income (loss) to average net assets

    0.89%        1.41%        1.49%        1.17%        1.24%        1.66%   

 

 

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. Had the Manager and the Sponsor not waived their fees or reimbursed expenses, the ratio of expenses to average net assets would have been 0.81% for the six months ended January 31, 2014 and 0.81%, 0.83%, 0.82%, 0.83%, and 0.80%, for the years ended July 31, 2013, 2012, 2011, 2010, and 2009, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 0.80%, 0.80%, 0.80%, 0.75% and 0.65% for the years ended July 31, 2103, 2012, 2011, 2010 and 2009, respectively.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

43


D OMINI S OCIAL E QUITY F UND — C LASS R S HARES

FINANCIAL HIGHLIGHTS

 

   

Six Months
Ended
January 31,
2014

(Unaudited)

    Year Ended July 31,  
      2013     2012     2011     2010     2009  

For a share outstanding for the period:

           

Net asset value, beginning of period

    $10.94        $9.41        $9.40        $7.91        $7.09        $9.37   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

           

Net investment income (loss)

    0.26        (0.03)        1.16        (1.15)        (0.11)        (0.05)   

Net realized and unrealized gain (loss) on investments

    0.57        1.98        (0.74)        2.90        1.18        (1.74)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    0.83        1.95        0.42        1.75        1.07        (1.79)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.05)        (0.42)        (0.41)        (0.26)        (0.25)        (0.33)   

Distributions to shareholders from net realized gain

    -        -        -        -        -        -   

Tax return of capital 5

    -        -        -        -        -        (0.16)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.05)        (0.42)        (0.41)        (0.26)        (0.25)        (0.49)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Redemption fee proceeds 5

    0.00 1       0.00 1       0.00 1       0.00 1       0.00 1       0.00 1  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $11.72        $10.94        $9.41        $9.40        $7.91        $7.09   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return 2

    7.58%        21.21%        4.58%        22.29%        15.05%        -17.23%   

Portfolio turnover

    45%        97%        94%        87%        95%        82%   

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $33        $28        $26        $16        $28        $30   

Ratio of expenses to average net assets  3

    0.90%        0.90% 4       0.90% 4       0.85% 4       0.85% 4       0.85% 4  

Ratio of net investment income (loss) to average net assets

    0.78%        1.31%        1.38%        1.16%        1.16%        1.62%   

 

 

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. Had the Manager, and the Sponsor, not waived their fees or reimbursed expenses, the ratio of expenses to average net assets would have been 0.90% for the six months ended January 31, 2014 and 0.90%, 0.91%, 0.85%, 0.92%, and 0.97%, for the years ended July 31, 2013, 2012, 2011, 2010, and 2009, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 0.90%, 0.90%, 0.85%, 0.85% and 0.85% for the years ended July 31, 2013, 2012, 2011, 2010 and 2009, respectively.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

44


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND — I NVESTOR S HARES

FINANCIAL HIGHLIGHTS

 

   

Six Months
Ended
January 31,
2014

(Unaudited)

    Year Ended July 31,  
      2013     2012     2011     2010     2009  

For a share outstanding for the period:

           

Net asset value, beginning of period

    $7.67        $5.98        $7.43        $6.24        $6.05        $8.29   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

           

Net investment income (loss)

    0.02        0.11        0.09        0.13        0.12        0.11   

Net realized and unrealized gain (loss) on investments

    0.55        1.64        (1.04)        1.18        0.20        (2.25)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    0.57        1.75        (0.95)        1.31        0.32        (2.14)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.25)        (0.06)        (0.28)        (0.12)        (0.13)        (0.10)   

Distributions to shareholders from net realized gain

    (0.15)        -        (0.20)        -        -        -   

Tax return of capital 5

    -        -        (0.02)        -        -        -   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.40)        (0.06)        (0.50)        (0.12)        (0.13)        (0.10)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Redemption fee proceeds 5

    0.00 1       0.00 1       0.00 1       0.00 1       0.00 1       0.00 1  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $7.84        $7.67        $5.98        $7.43        $6.24        $6.05   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return 2

    7.39%        29.26%        -12.38%        21.10%        5.34%        -25.72%   

Portfolio turnover

    40%        87%        110%        84%        85%        85%   

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $187        $160        $127        $137        $111        $27   

Ratio of expenses to average net assets  3

    1.60%        1.60% 4       1.60% 4       1.60% 4       1.69% 4       1.60% 4  

Ratio of net investment income (loss) to average net assets

    0.25%        1.70%        1.64%        1.75%        1.73%        2.18%   

 

 

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. Had the Manager, and the Distributor not waived their fees or reimbursed expenses, the ratio of expenses to average net assets would have been 1.63% for the six months ended January 31, 2014 and 1.68%, 1.74%, 1.70%, 2.03%, and 2.63%, for the years ended July 31, 2013, 2012, 2011, 2010, and 2009, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 1.60%, 1.60%, 1.60%, 1.70% and 1.60% for the years ended July 31, 2013, 2012, 2011, 2010 and 2009, respectively.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

45


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND — C LASS  A S HARES

FINANCIAL HIGHLIGHTS

 

   

Six Months
Ended
January 31,
2014
(Unaudited)

          Year Ended July 31,           For the Period
November 28, 2008
(commencement
of operations)
through July 31,
2009
 
      2013     2012     2011     2010    

For a share outstanding for the period:

           

Net asset value, beginning of period

    $8.00        $6.24        $7.73        $6.50        $6.30        $5.13   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

           

Net investment income (loss)

    0.02        0.12        0.14        0.14        0.14        0.08   

Net realized and unrealized gain (loss) on investments

    0.58        1.71        (1.12)        1.22        0.20        1.17   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    0.60        1.83        (0.98)        1.36        0.34        1.25   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.25)        (0.07)        (0.29)        (0.13)        (0.14)        (0.08)   

Distributions to shareholders from net realized gain

    (0.15)        -        (0.20)        -        -        -   

Tax return of capital 5

    -        -        (0.02)        -        -        -   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.40)        (0.07)        (0.51)        (0.13)        (0.14)        (0.08)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Redemption fee proceeds 5

    -        -        -        -        -        -   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $8.20        $8.00        $6.24        $7.73        $6.50        $6.30   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return 2

    7.39%        29.30%        -12.26%        21.05%        5.35%        24.45%   

Portfolio turnover

    40%        87%        110%        84%        85%        85%   

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $24        $13        $6        $4        $3        $1   

Ratio of expenses to average net assets 3

    1.57%        1.57% 4       1.57% 4       1.57% 4       1.62% 4       1.57% 4  

Ratio of net investment income (loss) to average net assets

    0.12%        1.91%        1.85%        1.82%        2.03%        2.31%   

 

 

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. Had the Manager, and the Distributor not waived their fees or reimbursed expenses, the ratio of expenses to average net assets would have been 1.96% for the six months ended January 31, 2014 and 2.13%, 2.33%, 2.42%, 3.58%, and 6.86%, for the years ended July 31, 2013, 2012, 2011, 2010, and 2009, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 1.57%, 1.57%, 1.57%, 1.63% and 1.58% for the years ended July 31, 2013, 2012, 2011, 2010 and 2009, respectively.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

46


D OMINI I NTERNATIONAL S OCIAL E QUITY F UND — I NSTITUTIONAL S HARES

FINANCIAL HIGHLIGHTS

 

     Six Months Ended
January 31, 2014
(Unaudited)
     For the Period
November 30, 2012
(commencement of
operations) through
July 31, 2013
 

For a share outstanding for the period:

     

Net asset value, beginning of period

     $7.66         $6.59   
  

 

 

    

 

 

 

Income from investment operations:

     

Net investment income (loss)

     0.01         0.11   

Net realized and unrealized gain (loss) on investments

     0.59         1.04   
  

 

 

    

 

 

 

Total income from investment operations

     0.60         1.15   
  

 

 

    

 

 

 

Less dividends and/or distributions:

     

Dividends to shareholders from net investment income

     (0.26)         (0.08)   

Distributions to shareholders from net realized gain

     (0.15)         -   

Tax return of capital 5

     -         -   
  

 

 

    

 

 

 

Total distributions

     (0.41)         (0.08)   
  

 

 

    

 

 

 

Redemption fee proceeds 5

     -         -   
  

 

 

    

 

 

 

Net asset value, end of period

     $7.85         $7.66   
  

 

 

    

 

 

 

Total return 2

     7.70%         17.50%   

Portfolio turnover

     40%         87%   

Ratios/supplemental data (annualized):

     

Net assets, end of period (in millions)

     $36         $25   

Ratio of expenses to average net assets 3

     1.18%         1.25% 4  

Ratio of net investment income (loss) to average net assets

     0.60%         2.40%   

 

 

2 Not annualized for periods less than one year.

3 Reflects a waiver of fees by the Manager of the Fund. Had the Manager not waived their fees or reimbursed expenses, the ratio of expenses to average net assets would have been 1.18% for the six months ended January 31, 2014 and 1.25% for the period ended July 31, 2013.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 1.25% for the period ended July 31, 2013.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

47


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS

January 31, 2014 (Unaudited)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

The Domini Social Investment Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as an open-end management investment company. The Domini Social Investment Trust comprises three separate series: Domini Social Equity Fund, Domini International Social Equity Fund (formerly, Domini European PacAsia Social Equity Fund), and Domini Social Bond Fund (each the “Fund,” collectively the “Funds”). The financial statements of the Domini Social Bond Fund are included on page 60 of this report. The Domini Social Equity Fund offers Investor shares, Class A shares, Institutional shares and Class R shares. The Domini International Social Equity Fund offers Investor shares, Class A shares and Institutional Shares. Institutional shares of the Domini International Social Equity Fund were not offered prior to November 30, 2012. The Investor shares, Institutional shares and Class R shares are sold at their offering price, which is net asset value. The Class A shares are sold with a front-end sales charge (load) of up to 4.75%. Class R shares are generally available only to certain eligible retirement plans and endowments, foundations, religious organizations, and other tax-exempt entities that are approved by the Fund’s 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 shares are not subject to distribution and service fees. Institutional shares are not subject to distribution fees.

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

 

48


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

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)

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.

 

49


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

The following is a summary of the inputs used by the Domini Social Equity Fund, as of January 31, 2014, 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

           

Consumer Discretionary

   $ 142,184,633       $ -       $ -       $ 142,184,633   

Consumer Staples

     74,699,623         -         -         74,699,623   

Energy

     55,905,773         -         -         55,905,773   

Financials

     179,301,751         -         -         179,301,751   

Health Care

     98,182,866         -         -         98,182,866   

Industrials

     78,249,443         -         -         78,249,443   

Information Technology

     173,755,228         -         -         173,755,228   

Materials

     30,745,863         -         -         30,745,863   

Telecommunication Services

     51,416,561         -         -         51,416,561   

Utilities

     20,936,332         -         -         20,936,332   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 905,378,073       $ -       $ -       $ 905,378,073   
  

 

 

    

 

 

    

 

 

    

 

 

 

The following is a summary of the inputs used by the Domini International Social Equity Fund, as of January 31, 2014, 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

           

Consumer Discretionary

   $ 28,871,225       $ -       $ -       $ 28,871,225   

Consumer Staples

     17,277,708         -         -         17,277,708   

Energy

     9,036,295         -         -         9,036,295   

Financials

     67,234,760         -         16,554         67,251,314   

Health Care

     19,336,032         -         -         19,336,032   

Industrials

     36,371,720         -         -         36,371,720   

Information Technology

     21,642,426         -         -         21,642,426   

Materials

     15,101,961         -         -         15,101,961   

Telecommunication Services

     20,411,276         -         -         20,411,276   

Utilities

     1,534,463         -         -         1,534,463   

Preferred Stocks

           

Consumer Staples

     3,918,991         -         -         3,918,991   

Utilities

     842,917         -         -         842,917   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 241,579,774       $ -       $ 16,554       $ 241,596,328   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

50


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

 

     Domini
International
Social Equity
Fund
 
  

Investments in Securities

  

Balance as of July 31, 2013

   $ 9,315   

Realized gain (loss)

     -   

Change in unrealized appreciation (depreciation)

     (32)   

Purchases

     -   

Sales

     -   

Transfers in and/or out of Level Three

     7,271   
  

 

 

 

Balance as of January 31, 2014

   $ 16,554   
  

 

 

 

The change in unrealized appreciation (depreciation) included in earnings relating to securities still held at January 31, 2014:

   $ (578
  

 

 

 

Transfers from Level 1 to Level 3 included securities valued at $239,880 that were transferred as a result of quoted prices in active markets not being readily available. Transfers out of Level 3 into Level 1 included securities valued at $232,609 because market values were readily available from a pricing agent for which fair value factors were previously applied.

(B) Repurchase Agreements. The Funds may enter into repurchase agreements with selected banks or broker-dealers. Each repurchase agreement is recorded at cost, which approximates fair value. The Funds require that collateral, represented by securities (primarily U.S. government agency securities), in a repurchase transaction be maintained in a segregated account with a custodian bank in a manner sufficient to enable each Fund to obtain those securities in the event of a default of the counterparty. In the event of default or bankruptcy by another party to the repurchase agreement, retention of the collateral may be subject to legal proceedings.

(C) 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.

 

51


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

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.

(D) 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. There were no open contracts at January 31, 2014.

(E) Investment Transactions, Investment Income and Dividends to Shareholders. The Funds earn income daily, net of Fund expenses. Dividends to shareholders of the Domini International Social Equity Fund are usually declared and paid semiannually from net investment income. Dividends to shareholders of the Domini Social 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 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.

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 the ex-dividend date or for certain foreign securities, when the information becomes available to the Funds.

(F) 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.

 

52


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

As of January 31, 2014, tax years 2010 through 2013 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.

(G) 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. Such fees are retained by the Funds and are recorded as an adjustment to paid-in capital.

(H) 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.

(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 Social Investments LLC (Domini) to serve as investment manager and administrator. Domini is registered as an investment advisor 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 Agreements, Domini receives from each Fund a fee accrued daily and paid

 

53


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

monthly at the annual rate below of the respective Funds’ average daily net assets before any fee waivers:

 

Domini Social Equity Fund    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
  
Domini International Social Equity Fund    1.00% of the first $250 million of net assets managed,
   0.94% of the next $250 million of net assets managed, and
   0.88% of net assets managed in excess of $500 million

Pursuant to a Sponsorship Agreement (with respect to the Domini Social 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 Social 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 November 30, 2013, Domini reduced its fees and reimbursed expenses, not including reorganization related expenses, to the extent necessary to keep the aggregate annual operating expenses of the Domini Social Equity Fund at no greater than 1.25%, 1.18%, 0.80%, and 0.90% of the average daily net assets representing Investor shares, Class A shares, Institutional shares and Class R shares, respectively. For the periods prior to November 30, 2013, similar arrangements were in effect. The waivers currently in effect are contractual and in effect until November 30, 2014, absent an earlier modification by the Board of Trustees which oversees the Funds. Effective November 30, 2013, Domini reduced its fees and reimbursed expenses to the extent necessary to keep the aggregate annual operating expenses, not including reorganization expenses, of the Domini International Social Equity Fund no greater than 1.60%, 1.57% and 1.27% of the average daily net assets representing Investor shares, Class A shares and Institutional Shares, respectively. For the period prior to November 30, 2013, similar arrangements were in effect. The waivers currently in effect are contractual and in effect until November 30, 2014, absent an earlier modification by the Board of Trustees which oversees the Funds.

 

54


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

For the six months ended January 31, 2014, Domini waived fees and reimbursed expenses as follows:

 

     FEES WAIVED      EXPENSES REIMBURSED  
     

Domini Social Equity Fund

   $ -       $ 24,137   

Domini International Social Equity Fund

     -         10,001   

(B) Submanager. Wellington Management Company, LLP (Wellington) provides investment submanagement services to the Funds on a day-to-day basis pursuant to Submanagement Agreements with Domini.

(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 Rule 12b-1 under the Act. DSIL Investment Services LLC, a wholly owned subsidiary of Domini (DSILD), 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 DSILD 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. For the six months ended January 31, 2014, fees waived were as follows:

 

     FEES WAIVED  
  

Domini Social Equity Fund Investor shares

   $ -   

Domini Social Equity Fund Class A shares

     7,259   

Domini International Social Equity Fund Investor shares

     29,193   

Domini International Social Equity Fund Class A shares

     23,564   

DSIL Investment Services, LLC, (DSIL) the Funds’ Distributor, has received commissions related to the sales of fund shares. For the six months ended January 31, 2014, DSIL received $3,936, and $3,648 from the Domini Social Equity Fund Class A Shares, and the Domini International Social 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 Social Equity Fund, and Domini International Social Equity Fund and their shareholders, which services were previously provided by BNY Mellon 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

 

55


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

at an annual rate of $4.00 per active account. For the six months ended January 31, 2014, Domini waived fees as follows:

 

     FEES WAIVED  
  

Domini Social Equity Fund Investor shares

   $ -   

Domini Social Equity Fund Class A shares

     480   

Domini Social Equity Fund Institutional shares

     77   

Domini Social Equity Fund Class R shares

     -   

Domini International Social Equity Fund Investor shares

     -   

Domini International Social Equity Fund Class A shares

     3,354   

Domini International Social Equity Fund Institutional shares

     -   

3. INVESTMENT TRANSACTIONS

For the six months ended January 31, 2014, cost of purchase and proceeds from sales of investments other than short-term obligations were as follows:

 

     PURCHASE      SALES  

Domini Social Equity Fund

   $ 401,849,010       $ 424,608,360   

Domini International Social Equity Fund

     121,858,115         89,442,432   

 

56


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

4. SUMMARY OF SHARE TRANSACTIONS

 

     Six Months Ended
January 31, 2014
     Year Ended
July 31, 2013
 
     Shares      Amount      Shares      Amount  

Domini Social Equity Fund

           

Investor Shares

           

Shares sold

     561,592       $ 23,288,978         1,326,785       $ 46,366,600   

Shares issued in reinvestment of dividends and distributions

     10,728         434,585         101,248         3,640,475   

Shares redeemed

     (948,481)         (38,931,381)         (2,208,468)         (76,970,213)   

Redemption fees

     -         8,412         -         4,157   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

         (376,161)       $ (15,199,406)         (780,435)       $ (26,958,981)   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class A Shares

           

Shares sold

     92,801       $ 1,158,413         145,158       $ 1,563,507   

Shares issued in reinvestment of dividends and distributions

     1,596         19,453         13,183         142,636   

Shares redeemed

     (40,944)         (505,192)         (68,720)         (730,533)   

Redemption fees

     -         -         -         -   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     53,453       $ 672,674         89,621       $ 975,610   
  

 

 

    

 

 

    

 

 

    

 

 

 

Institutional Shares

           

Shares sold

     818,887       $ 20,589,229         1,782,287       $ 37,433,238   

Shares issued in reinvestment of dividends and distributions

     16,499         407,701         185,550         4,008,573   

Shares redeemed

     (1,375,565)         (33,969,012)         (1,980,983)         (43,254,480)   

Redemption fees

     -         2,323         -         1,902   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     (540,179)       $ (12,969,759)         (13,146)       $ (1,810,767)   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class R Shares

           

Shares sold

     401,988       $ 4,707,414         685,285       $ 6,933,259   

Shares issued in reinvestment of dividends and distributions

     10,690         120,477         100,200         998,558   

Shares redeemed

     (157,370)         (1,812,300)         (1,028,170)         (9,923,277)   

Redemption fees

     -         129         -         144   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     255,308       $ 3,015,720         (242,685)       $ (1,991,316)   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

           

Shares sold

     1,875,268       $ 49,744,034         3,939,515       $ 92,296,604   

Shares issued in reinvestment of dividends and distributions

     39,513         982,216         400,181         8,790,242   

Shares redeemed

         (2,522,360)         (75,217,885)         (5,286,341)         (130,878,503)   

Redemption fees

     -         10,864         -         6,203   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     (607,579)       $ (24,480,771)         (946,645)       $ (29,785,454)   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

57


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

     Six Months Ended
January 31, 2014
     Year Ended
July 31, 2013
 
     Shares      Amount      Shares      Amount  

Domini International Social Equity Fund

           

Investor Shares

           

Shares sold

     4,466,940       $ 36,222,137         6,500,207       $ 46,141,404   

Shares issued in reinvestment of dividends and distributions

     896,604         7,128,001         129,361         975,385   

Shares redeemed

         (2,352,709)         (19,045,064)         (6,993,286)         (47,524,063)   

Redemption fees

     -         4,119         -         1,162   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     3,010,835       $ 24,309,193         (363,718)       $ (406,112)   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class A Shares

           

Shares sold

     1,307,742       $ 11,048,891         1,006,185       $ 7,478,207   

Shares issued in reinvestment of dividends and distributions

     109,531         911,302         12,770         100,495   

Shares redeemed

     (157,956)         (1,328,591)         (270,928)         (2,036,729)   

Redemption fees

     -         1,094         -         -   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     1,259,317       $ 10,632,696         748,027       $ 5,541,973   
  

 

 

    

 

 

    

 

 

    

 

 

 

Institutional Shares

           

Shares sold

     1,352,695       $ 10,842,179         3,280,861       $ 21,910,412   

Shares issued in reinvestment of dividends and distributions

     127,710         1,015,293         23         176   

Shares redeemed

     (199,346)         (1,612,506)         (29,836)         (216,574)   

Redemption fees

     -         221         -         -   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     1,281,059       $ 10,245,187         3,251,048       $ 21,694,014   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

           

Shares sold

     7,127,377       $ 58,113,207         10,787,253       $ 75,530,023   

Shares issued in reinvestment of dividends and distributions

     1,133,845         9,054,596         142,154         1,076,056   

Shares redeemed

         (2,710,011)         (21,986,161)         (7,294,050)         (49,777,366)   

Redemption fees

     -         5,434         -         1,162   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     5,551,211       $ 45,187,076         3,635,357       $ 26,829,875   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

58


D OMINI S OCIAL E QUITY F UND

D OMINI I NTERNATIONAL S OCIAL E QUITY F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

5. NEW ACCOUNTING PRONOUNCEMENTS

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standard Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities . ASU 2011-11, which amends FASB ASC Topic 210, Balance Sheet , creates new disclosure requirements which require entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013.

As of January 31, 2014, management of the Funds has concluded, that no additional financial statement disclosure is necessary as a result of adopting this ASU.

 

59


D OMINI S OCIAL B OND F UND

STATEMENT OF ASSETS AND LIABILITIES

January 31, 2014 (Unaudited)

 

 

ASSETS:

  

Investments at value (cost $123,173,406)

   $     124,496,215   

Cash

     2,910,053   

Interest receivable

     551,574   

Receivable for capital shares

     374,920   
  

 

 

 

Total assets

     128,332,762   
  

 

 

 

LIABILITIES:

  

Payable for securities purchased

     1,367,995   

Payable for capital shares

     314,899   

Management fee payable

     69,180   

Distribution fee payable

     15,499   

Other accrued expenses

     18,493   

Dividend payable

     17,732   
  

 

 

 

Total liabilities

     1,803,798   
  

 

 

 

NET ASSETS

   $ 126,528,964   
  

 

 

 

NET ASSETS CONSIST OF:

  

Paid-in capital

   $ 125,895,701   

Undistributed net investment loss

     (15,043

Accumulated net realized loss from investments

     (674,503

Net unrealized appreciation from investments

     1,322,809   
  

 

 

 
   $ 126,528,964   
  

 

 

 

NET ASSET VALUE PER SHARE

  

Investor Shares

  

Net assets

   $ 122,403,453   
  

 

 

 

Outstanding shares of beneficial interest

     10,935,083   
  

 

 

 

Net asset value and offering price per share*

   $ 11.19   
  

 

 

 

Institutional Shares

  

Net assets

   $ 4,125,511   
  

 

 

 

Outstanding shares of beneficial interest

     368,830   
  

 

 

 

Net asset value and offering price per share*

   $ 11.19   
  

 

 

 

* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

60


D OMINI S OCIAL B OND F UND

STATEMENT OF OPERATIONS

For the Six Months Ended January 31, 2014 (Unaudited)

 

 

INCOME:

  

Interest income

   $     1,468,901   
  

 

 

 

EXPENSES:

  

Management fee

     251,720   

Administrative fee

     157,325   

Distribution fees – Investor shares

     153,056   

Transfer agent fees – Investor shares

     102,910   

Transfer agent fees – Institutional shares

     151   

Accounting and custody fees

     45,534   

Professional fees

     5,318   

Registration – Investor shares

     10,002   

Registration – Institutional shares

     3,402   

Shareholding servicing fees – Investor shares

     7,644   

Shareholding servicing fees – Institutional shares

     20   

Shareholder communications

     8,408   

Trustees fees

     11,730   

Miscellaneous

     3,475   
  

 

 

 

Total expenses

     760,695   

Fees waived and expense reimbursed

     (167,440
  

 

 

 

Net expenses

     593,255   
  

 

 

 

NET INVESTMENT INCOME

     875,646   
  

 

 

 

NET REALIZED AND UNREALIZED GAIN/(LOSS):

  

Net realized gain (loss) on investments

     (417,533

Net change in unrealized appreciation (depreciation) on investments

     1,245,658   
  

 

 

 

Net realized and unrealized gain (loss) from investments

     828,125   
  

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 1,703,771   
  

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS

 

61


D OMINI S OCIAL B OND F UND

STATEMENTS OF CHANGES IN NET ASSETS

 

     For the
Six Months Ended
January 31, 2014
(Unaudited)
     Year Ended
July 31, 2013
 

INCREASE IN NET ASSETS:

     

FROM OPERATIONS:

     

Net investment income (loss)

   $ 875,646       $ 1,889,638   

Net realized gain (loss) on investments

     (417,533)         320,270   

Net change in unrealized appreciation (depreciation) on investments

     1,245,658         (4,984,143)   
  

 

 

    

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     1,703,771         (2,774,235)   
  

 

 

    

 

 

 

DISTRIBUTIONS AND DIVIDENDS:

     

Dividends to shareholders from net investment income:

     

Investor shares

     (846,854)         (1,834,174)   

Institutional shares

     (28,792)         (55,464)   

Distributions to shareholders from net realized gain:

     

Investor shares

     (397,247)         (1,248,847)   

Institutional shares

     (11,082)         (15,147)   
  

 

 

    

 

 

 

Net Decrease in Net Assets from Distributions and Dividends

     (1,283,975)         (3,153,632)   
  

 

 

    

 

 

 

CAPITAL SHARE TRANSACTIONS:

     

Proceeds from sale of shares

     13,793,276         34,305,140   

Net asset value of shares issued in reinvestment of distributions and dividends

     1,161,659         2,913,277   

Payment for shares redeemed

     (22,523,637)         (36,442,282)   

Redemption fee

     5,976         1,764   
  

 

 

    

 

 

 

Net Increase in Net Assets from Capital Share Transactions

     (7,562,726)         777,899   
  

 

 

    

 

 

 

Total Increase (Decrease) in Net Assets

     (7,142,930)         (5,149,968)   
  

 

 

    

 

 

 

NET ASSETS:

     

Beginning of period

   $ 133,671,894       $ 138,821,862   
  

 

 

    

 

 

 

End of period

   $ 126,528,964       $ 133,671,894   
  

 

 

    

 

 

 

Undistributed net investment income (loss)

   $ (15,043)       $ (15,043)   
  

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS

 

62


D OMINI S OCIAL B OND F UND — I NVESTOR S HARES

FINANCIAL HIGHLIGHTS

 

    For the
Six Months
Ended
January 31, 2014
(unaudited)
    Year Ended July 31,  
      2013     2012     2011     2010     2009  

For a share outstanding for the period:

           

Net asset value, beginning of period

    $11.15        $11.64        $11.61        $11.76        $11.36        $10.79   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

           

Net investment income (loss)

    0.08        0.16        0.21        0.28        0.33        0.40   

Net realized and unrealized gain (loss) on investments

    0.08        (0.38)        0.34        0.06        0.40        0.57   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    0.16        (0.22)        0.55        0.34        0.73        0.97   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less dividends and distributions:

           

Dividends to shareholders from net investment income

    (0.08)        (0.16)        (0.21)        (0.28)        (0.33)        (0.40)   

Distributions to shareholders from net realized gain

    (0.04)        (0.11)        (0.31)        (0.21)        -        -   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total dividends and distributions

    (0.12)        (0.27)        (0.52)        (0.49)        (0.33)        (0.40)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Redemption fee proceeds 5

    0.00 1       0.00 1       0.00 1       0.00 1       0.00 1       0.00 1  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $11.19        $11.15        $11.64        $11.61        $11.76        $11.36   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return 2

    1.39%        -2.01%        4.80%        2.94%        6.49%        9.15%   

Portfolio turnover

    59%        129%        126%        151%        66%        33%   

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $122        $130        $138        $121        $112        $90   

Ratio of expenses to average net assets  3

    0.95%        0.95% 4       0.95% 4       0.95% 4       0.95% 4       0.95% 4  

Ratio of net investment income to average net assets

    1.38%        1.35%        1.76%        2.39%        2.82%        3.60%   

 

 

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 due to a contractual fee waiver. Had the Manager and the Distributor not waived their fees and reimbursed expenses, the ratio of expenses to average net assets would have been 1.21% for the six months ended January 31, 2014 and 1.24%, 1.28%, 1.29%, 1.33%, and 1.37%, for the years ended July 31, 2013, 2012, 2011, 2010, and 2009, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 0.95%, 0.95%, 0.96%, 0.95% and 0.95%, for the years ended July 31, 2013, 2012, 2011, 2010 and 2009, respectively.

5 Based on average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

63


D OMINI S OCIAL B OND F UND — I NSTITUTIONAL S HARES

FINANCIAL HIGHLIGHTS

 

    For the
Six Months
Ended
January 31, 2014
(Unaudited)
    For the
Year Ended
July 31, 2013
    For the period
November 30, 2011
(commencement of
operations) through
July 31, 2012
 

For a share outstanding for the period:

     

Net asset value, beginning of period

    $11.15        $11.64        $11.74   
 

 

 

   

 

 

   

 

 

 

Income from investment operations:

     

Net investment income (loss)

    0.09        0.19        0.15   

Net realized and unrealized gain (loss) on investments

    0.08        (0.38)        0.21   
 

 

 

   

 

 

   

 

 

 

Total income from investment operations

    0.17        (0.19)        0.36   
 

 

 

   

 

 

   

 

 

 

Less dividends and distributions:

     

Dividends to shareholders from net investment income

    (0.09)        (0.19)        (0.15)   

Distributions to shareholders from net realized gain

    (0.04)        (0.11)        (0.31)   
 

 

 

   

 

 

   

 

 

 

Total dividends and distributions

    (0.13)        (0.30)        (0.46)   
 

 

 

   

 

 

   

 

 

 

Redemption fee proceeds

    -        -        -   
 

 

 

   

 

 

   

 

 

 

Net asset value, end of period

    $11.19        $11.15        $11.64   
 

 

 

   

 

 

   

 

 

 

Total return 2

    1.55%        -1.72%        3.17%   

Portfolio turnover

    59%        129%        126%   

Ratios/supplemental data (annualized):

     

Net assets, end of period (in millions)

    $4        $3        $1   

Ratio of expenses to average net assets 3

    0.65%        0.65% 4       0.65% 4  

Ratio of net investment income to average net assets

    1.69%        1.54%        1.88%   

 

 

2 Not annualized for periods less than one year.

3 Reflects a waiver of fees by the Manager due to a contractual fee waiver. Had the Manager not waived its fee and reimbursed expenses, the ratio of expenses to average net assets would have been 1.00% for the six months ended January 31, 2014 and 0.97% and 3.99% for the years ended July 31, 2013 and 2012, respectively.

4 Ratio of expenses to average net assets includes indirectly paid expenses. Excluding indirectly paid expenses the ratio of expenses to average net assets would have been 0.65% and 0.65% for the years ended July 31, 2013 and 2012, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS

 

64


D OMINI S OCIAL B OND F UND

NOTES TO FINANCIAL STATEMENTS

January 31, 2014 (Unaudited)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

The Domini Social Bond Fund (the “Fund”) is a series of the Domini Social Investment Trust. The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as an open-end management investment company. The Fund offers Investor Shares and Institutional Shares. Institutional shares were not offered prior to November 30, 2011. 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, 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. Both 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. 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.

(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 as institutional-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 or over-the-counter

 

65


D OMINI S OCIAL B OND F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

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 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)

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, as of January 31, 2014, 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  
           

U.S. Government Agency Obligations

   $ —         $ 50,108,399       $ —         $ 50,108,399   

U.S. Government Agency Mortgage Securities.

     —           49,408,449         —           49,408,449   

Corporate Obligations.

     —           19,657,182         —           19,657,182   

Corporate Mortgage Securities

     —           1,414,205         —           1,414,205   

Certificates of Deposit.

     —           3,150,000         —           3,150,000   

Cash Equivalents

     —           757,980         —           757,980   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ 124,496,215       $ —         $ 124,496,215   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

66


D OMINI S OCIAL B OND F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

The investment types categorized above were valued using indicative broker quotes and are therefore considered Level 3 inputs. Quantitative unobservable inputs used by the brokers are often proprietary and not provided to the Fund, and therefore the disclosure that would address these inputs is not included above.

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

 

Investments in Securities

  

Balance as of July 31, 2013

   $       1,912,352   

Realized Gain (loss)

     -   

Change in unrealized appreciation (depreciation)

     36,328   

Purchases

     2,707,725   

Sales

     (963,679

Transfers in and/or out of Level Three

     (3,692,726
  

 

 

 

Balance as of January 31, 2014

   $ -   
  

 

 

 

The change in unrealized appreciation (depreciation) included in earnings relating to securities still held at January 31, 2014

   $ -   
  

 

 

 

Transfers from Level 2 to Level 3 included securities valued at $963,679 that were transferred as a result of quoted prices in active markets not being readily available. Transfers out of Level 3 into Level 2 included securities valued at $4,656,405 because market values were readily available from a pricing agent for which fair value factors were previously applied.

(B) Repurchase Agreements. The Fund may enter into repurchase agreements with selected banks or broker-dealers. Each repurchase agreement is recorded at cost, which approximates fair value. The Fund requires that collateral, represented by securities (primarily U.S. government agency securities) in a repurchase transaction, be maintained in a segregated account with a custodian bank in a manner sufficient to enable the Fund to obtain those securities in the event of a default of the counterparty. In the event of default or bankruptcy by another party to the repurchase agreement, retention of the collateral may be subject to legal proceedings.

(C) Investment Transactions, Investment Income, and Dividends to Shareholders. The Fund earns income daily, net of Fund expenses. Dividends to shareholders are usually 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.

 

67


D OMINI S OCIAL B OND F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

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.

(D) 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 January 31, 2014, tax years 2010 through 2013 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.

(E) 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. Such fees are retained by the Fund and are recorded as an adjustment to paid-in capital.

(F) 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.

(G) 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.

 

68


D OMINI S OCIAL B OND F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

2. TRANSACTIONS WITH AFFILIATES

(A) Manager/Administrator. The Fund has retained Domini Social 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 an annual rate equal to 0.40% of the first $500 million of the Fund’s net assets managed, 0.38% of the next $500 million of the Fund’s net assets managed, and 0.35% of net assets managed in excess of $1 billion. 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. For the period from November 30, 2013, until November 30, 2014, Domini is waiving its fee and reimbursing expenses to the extent necessary to keep the aggregate annual operating expenses of the Fund (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses), net of waivers and reimbursements, at no greater than 0.95% and 0.65% of the average daily net assets representing Investor shares and Institutional shares, respectively. A similar fee waiver arrangement was in effect in prior periods. For the six months ended January 31, 2014, Domini reimbursed expenses totaling $77,723.

(B) Submanager. Seix Investment Advisors LLC (“Seix”), a wholly owned subsidiary of RidgeWorth Capital Management, Inc. (“RidgeWorth”) (formerly known as Trusco Capital Management, Inc.) provides investment submanagement services to the Fund on a day-to-day basis pursuant to a Submanagement Agreement with Domini. Prior to April 25, 2008, the submanager’s predecessor, Seix Investment Advisors, Inc., the former fixed income division of RidgeWorth, provided investment submanagement services to the Fund. RidgeWorth is a wholly owned subsidiary of Sun-Trust Banks, Inc. Seix Advisors was spun off into Seix inconnection with a corporate reorganization of RidgeWorth.

(C) Distributor. The Board of Trustees of the Fund has adopted a Distribution Plan in accordance with Rule 12b-1 under the Act. DSIL Investment Services LLC, a wholly owned subsidiary of Domini (DSILD), 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 DSILD a distribution fee at an aggregate annual rate not to exceed 0.25% of the average daily net assets representing the Investor shares. For the six months ended January 31, 2014, fees waived by the Investor shares totaled $89,697.

 

69


D OMINI S OCIAL B OND F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

( 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 Mellon 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 a fee from the Fund paid monthly at an annual rate of $4.00 per active account. For the six months ended January 31, 2014, Domini waived fees as follows:

 

     FEES WAIVED  
  

Domini Social Bond Fund Investor shares

   $ -   

Domini Social Bond Fund Institutional shares

     20   

3. INVESTMENT TRANSACTIONS

For the six months ended January 31, 2014, cost of purchase and proceeds from sales of investments other than short-term obligations were as follows:

 

     PURCHASES      SALES  

Government Securities

   $ 64,783,895       $ 64,146,010   

Corporate Obligations

     8,759,507         13,212,155   

Municipal Obligations

     242,500         248,069   

 

70


D OMINI S OCIAL B OND F UND

NOTES TO FINANCIAL STATEMENTS (continued)

January 31, 2014 (Unaudited)

 

4. SUMMARY OF SHARE TRANSACTIONS

 

     For the Six Months Ended
January 31, 2014
     Year Ended
July 31, 2013
 
     Shares      Amount      Shares      Amount  

Investor Shares

           

Shares sold

     1,116,905       $ 12,444,444         2,156,020       $ 24,671,279   

Shares issued in reinvestment of dividends and distributions

     104,232         1,161,647         252,364         2,893,839   

Shares redeemed

     (1,972,795)         (21,950,544)         (2,605,244)         (29,803,241)   

Redemption fees

     -         5,976         -         1,764   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     (751,658)       $ (8,338,477)         (196,860)       $ (2,236,359)   
  

 

 

    

 

 

    

 

 

    

 

 

 

Institutional Shares

           

Shares sold

     121,690       $ 1,348,832         841,872       $ 9,633,861   

Shares issued in reinvestment of dividends and distributions

     1         12         1,702         19,438   

Shares redeemed

     (51,574)         (573,093)         (588,390)         (6,639,041)   

Redemption fees

     -         -         -         -   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     70,117       $ 775,751         255,184       $ 3,014,258   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

           

Shares sold

     1,238,595       $ 13,793,276         2,997,892       $ 34,305,140   

Shares issued in reinvestment of dividends and distributions

     104,233         1,161,659         254,066         2,913,277   

Shares redeemed

     (2,024,369)         (22,523,637)         (3,193,634)         (36,442,282)   

Redemption fees

     -         5,976         -         1,764   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease)

     (681,541)       $ (7,562,726)         58,324       $ 777,899   
  

 

 

    

 

 

    

 

 

    

 

 

 

5. NEW ACCOUNTING PRONOUNCEMENTS

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standard Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities . ASU 2011-11, which amends FASB ASC Topic 210, Balance Sheet , creates new disclosure requirements which require entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013.

As of January 31, 2014, management of the Fund has concluded, that no additional financial statement disclosure is necessary as a result of adopting this ASU.

 

71


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 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 (SEC) website at http://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 recent 12-month period ended June 30 can be obtained, free of charge, at www.domini.com , and on the EDGAR database on the SEC’s website at http://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 Form N-Q. The Domini Funds’ Forms N-Q are available on the EDGAR database on the SEC’s website at http://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 calling 1-800-SEC-0330. The information on Form N-Q is also available to be viewed at www.domini.com .

 

72


DOMINI FUNDS

P.O. Box 9785

Providence, RI 02940-9785

1-800-582-6757

www.domini.com

Investment Manager, Sponsor, and Distributor:

Domini Social Investments LLC (Investment Manager and Sponsor)

DSIL Investment Services LLC (Distributor)

532 Broadway, 9th Floor

New York, NY 10012

Investment Submanagers:

Domini Social Equity Fund

Domini International Social Equity Fund

Wellington Management Company, LLP

280 Congress Street

Boston, MA 02210

Domini Social Bond Fund

Seix Investment Advisors LLC

10 Mountain View Road, Suite C-200

Upper Saddle River, NJ 07458

Transfer Agent:

BNY Mellon Asset Servicing

760 Moore Road

King of Prussia, PA 19406

Custodian:

State Street Bank and Trust Company

200 Clarendon Street

Boston, MA 02116

Independent Registered Public Accounting Firm:

KPMG LLP

Two Financial Center

60 South Street

Boston, MA 02111

Legal Counsel:

Bingham McCutchen LLP

One Federal Street

Boston, MA 02110


LOGO

 

LOGO

 

 

LOGO    facebook.com/dominifunds

LOGO    twitter.com/dominifunds

 

Domini Social Equity Fund

Investor Shares: CUSIP 257132100 | DSEFX

Class A Shares: CUSIP 257132860 | DSEPX

Institutional Shares: CUSIP 257132852 | DIEQX

Class R Shares: CUSIP 257132308 | DSFRX

 

  

Domini International Social Equity Fund

Investor Shares: CUSIP 257132704 | DOMIX

Class A Shares: CUSIP 257132886 | DOMAX

Institutional Shares: CUSIP 257132811 | DOMOX

 

Domini Social Bond Fund

Investor Shares: CUSIP 257132209 | DSBFX

Institutional Shares: CUSIP 257132829 | DSBIX

Printed on elemental chlorine free paper from well-managed forests, containing 10% post consumer waste.

 

LOGO


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.

 

(a)   The Schedule of Investments is included as part of the report to stockholders filed under Item 1.

 

(b)   Not applicable.

Item 7.  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8.  Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9.  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the registrant.

Item 10.  Submission of Matters to a Vote of Security Holders.

There have been 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 Form N-CSR, Amy L. Thornton, 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. Thornton 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 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. 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.

(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, Rule 13a-14b or Rule 15d-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 SOCIAL INVESTMENT TRUST
By:  

/s/ Amy L. Thornton

  Amy L. Thornton
  President

Date: April 3, 2014

 

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. Thornton

  Amy L. Thornton
  President (Principal Executive Officer)

Date: April 3, 2014

 

By:  

/s/ Carole M. Laible

  Carole M. Laible
  Treasurer (Principal Financial Officer)

Date: April 3, 2014