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 811-05823
DOMINI INVESTMENT TRUST
(Exact Name of Registrant as Specified in Charter)
180 Maiden Lane, Suite 1302, New York, New York 10038
(Address of Principal Executive Offices)
Carole M. Laible
Domini Impact Investments LLC
180 Maiden Lane, Suite 1302
New York, New York 10038
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code: 212-217-1100
Date of Fiscal Year End: July 31
Date of Reporting Period: July 31, 2021
| Item 1. | Reports to Stockholders. |
| (a) | A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 follows. |
| (b) | Not applicable |
Annual Report 2021
July 31, 2021
Domini Impact Equity FundSM
Domini International Opportunities FundSM
Domini Sustainable Solutions FundSM
Domini Impact International Equity FundSM
Domini Impact Bond FundSM
Thousands of starfish washed ashore.
A little girl began placing them back in the water
so they wouldn’t die.
“Don’t bother, dear,” her mother said,
“it won’t make a difference.”
The girl stopped for a moment and
looked at the starfish in her hand.
“It will make a difference to this one.”
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Sign up for Domini news and impact updates at domini.com/subscribe |
Dear Fellow Shareholder,
Thirty years. Jeepers. This year marks the 30th anniversary of the Domini Impact Equity Fund. Thirty years ago, we shared our passion for investing with purpose — a positive purpose for our future with you, our shareholders. Since the beginning of our voyage together, we’ve dedicated ourselves to spreading the word: if we are to live on a green planet and if we are to allow every human to thrive, investors must play an active role.
The idea makes sense. In fact it makes so much sense that last year, 33 percent of $51.4 trillion in total U.S assets under professional management were invested in sustainable, responsible, and impact investing strategies.1 As ever larger mutual fund complexes enter the impact investing space, we can’t help but smile; their entry is competition, yes — but more importantly, it’s the fulfillment of our vision. All investing should be “investing for good,” whether it’s through retirement plans, education plans, or via traditional brokerage accounts. Today, many view impact investing as a growing trend. But for us, it will always be a proud tradition.
Shareholders are powerful people in a capitalist society. Companies listen to us — and we, in turn, must continue to urge the best of them. We must realize that we’re more than owners of shares in a company — we’re influencers. What’s more? We’re essential. After all, financial asset managers are sophisticated, global, have seemingly limitless resources, near perfect information, and the capacity to respond instantaneously. How can a future that holds a thriving ecosystem and thriving individuals hope to evolve without the strength of asset managers acting in ethical and constructive ways? You, and other investors who care, help humanity flourish.
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Mutual funds remain one of the most popular ways to invest in the stock and bond markets, especially as part of employer-sponsored 401(k) plans and self-directed IRAs. Invest in the right mutual fund and you not only create a diversified portfolio, but you also become part of a community of individuals that together can help make a difference. You’re someone who cares not only about investment returns, but also about how those returns are made. Together we hold companies to certain standards and engage with them on issues that matter most. By doing so, we create positive outcomes for people, the planet, and portfolios.
Domini investors have spread the word for thirty years. Together we work to positively impact the current climate crisis, the novel coronavirus pandemic, and racial and gender inequality. If we can come together to build a better world — despite the world that 2020 gave us — then we can do anything.
So here’s to another thirty years of investing for good. Here’s to using our power as shareholders to shape the world we live in — a world that continues to need our attention. And here’s to the opportunity to be part of the solution as we seek the universal human dignity and ecological sustainability necessary for the future generations.
Thank you for joining us on this journey. Whether you’ve been with us for thirty years or thirty days, you inspire us to continue to harness the power of finance to create a better world.
|
Carole Laible CEO |
Amy Domini Founder and Chair |
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Amy Domini began her career as a stockbroker. She was fascinated when a client told her they wouldn’t invest in destructive mining operations. She listened when another told her they wouldn’t invest in tobacco companies. Or forestry operations. They wanted to invest in companies that helped society; companies that offered clean energy, paid fair wages, and cared about environmental sustainability and human rights. These clients were investors, they were shareholders, and they were Amy Domini’s original influencers. And they have lived up to their name, as their ethical ways of investing inspired Amy to join with Steve Lydenberg to launch the Domini 400 Social Index in 1990 — even though, as Amy has said, “Wall Street thought we were completely nuts. They didn’t think we could ever get the same kind of returns including ethical standards in our investment decisions and they didn’t think investors really cared.”
Shared values. Mutual fund.
Since Domini’s founding, Amy has inspired thousands of individual and institutional investors to join her on her quest for universal human dignity and ecological sustainability. She wrote or co-wrote five books, started a research company, launched mutual funds, and dedicated herself to advocating investing ethically, seeking positive planetary impact and universal human dignity. The Domini Impact Equity Fund, which launched in 1991, was the first socially and environmentally screened index fund in the world.
Fierce standards. Gentle caring.
Amy’s goals of universal human dignity and ecological sustainability led to one set of standards that would allow for their achievement: the Domini Impact Investment Standards. Universal to all of our products, these environmental and social standards have stood the test of time, continuing to help us identify long-term investments across both our equity and fixed-income strategies. Why? Because what gets counted counts. When ethical investors invest in low carbon footprint companies, other companies start paying attention to their own carbon footprint. When we boycott companies aiding warlords, companies reconsider aiding warlords for profit.
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“It all begins with seeing simple truths. It begins with the collective realization that the secret to making an impact is small. Together, we can each do something — and this, in the end, is everything.”
–Amy Domini
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Our Impact Investment Standards have two fundamental goals:
Universal Human Dignity
We seek investments that promote universal values of fairness, equality, justice, and respect for human rights.
In 2020, many of our investments worked to address structural barriers by directing capital and providing economic opportunity to historically underserved communities in the U.S. and around the world.
For example, we are invested in a bond issued by the MacArthur Foundation that funds organizations and initiatives that address the economic and social challenges resulting from the COVID-19 pandemic, particularly among communities of color.
Ecological Sustainability
We seek investments that promote long-term environmental sustainability, including climate change mitigation and adaptation.
Many of our investments support the Paris Agreement, including the generation and expansion of access to water and affordable renewable energy, green buildings, energy efficient and water efficient infrastructure, clean water, and climate mitigation and adaptation policies.
For example, we are invested in Consolidated Edison, a utility that owns and operates renewable energy infrastructure projects and is the second largest solar energy producer in North America.
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Proposing better: When a shareholder is at their best.
Shareholders have the power to put forward proposals. Shareholder proposals are when we make recommendations that a company or board of directors take action, and these proxy proposals have proven to be a highly effective corporate accountability tool. In fact, we’ve been driving corporations to do better since we made our first shareholder proposal in 1994. In 2020, we filed our 300th, continuing to hold companies accountable for their social and environmental impacts. We may be small, but we pack a punch.
The goal with shareholder proposals is to encourage companies to work with us and with our non-governmental organization (NGO) partners to make progress on an underlying issue such as human hardship at agricultural facilities or inappropriate waste treatment. Often, our proposals motivate companies to work together with our partnership and we reach an agreed upon advancement. In these cases, we are pleased to withdraw the proposals. If not, they are included in proxy statements and presented at corporate annual meetings, where they are put to a vote.
Last year we filed eight shareholder proposals with companies on topics related to climate policy, executive compensation, and drug pricing. We successfully withdrew seven of our proposals after reaching agreements with the companies. For example, we recommended that Tesla publish a Diversity, Equity, and Inclusion report — and they did. The results of our proposals do not always lead to success this immediate, but they almost always bring the conversation forward.
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Innovation and determination.
Innovation is also a key driver of influence. If there are no fixed-income funds that incorporate social and environmental standards, for example, sometimes the solution is to create one yourself. When it launched in 2000, the Domini Impact Bond Fund was one of the first of its kind. Today it continues to provide its shareholders the opportunity to help build healthy communities through an intermediate-term, investment-grade U.S. fixed-income portfolio combining Domini’s environmental and social research with a fundamental analytical approach to security selection. In 2020, the Domini Impact Bond Fund had $20.3 million invested in green, social, and sustainability bonds.
Fund something mutual.
In 2020, we continued on our innovation journey, creating new mutual funds that excite our investors and push the field forward. The launch of the both the Domini Sustainable Solutions Fund and the Domini International Opportunities Fund brought our fund family to five.
Our Sustainable Solutions Fund invests in companies that make products or provide services that advance progress toward meeting key problematic areas facing society. Such issues as access to healthy food, capital for small businesses, education, affordable health care, or provision of clean energy, public transit, and affordable housing guide our purchase decisions. An equity fund, the Domini Sustainable Solutions Fund provides shareholders the chance to help address many of the world’s sustainability challenges through high-conviction exposure to solution-oriented companies around the world.
The new Domini International Opportunities Fund is also an equity fund. It provides shareholders core exposure to developed international stock markets through a diversified portfolio of mid-to-large-capitalization companies that demonstrate peer-relative environmental and social leadership, and opportunistic exposure to solution-oriented companies focused on themes such as a low-carbon future, building sustainable communities, health and well-being, among others.
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Through these two Funds, as well as the Domini Impact Equity Fund, we seek to invest in companies that support the following sustainability themes:
All of the above information is as of December 31, 2020. Eligibility decisions
and the composition of the Fund’s portfolio are subject to change.
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Independent firm. Independent research. Collective influence.
Independence is a key driver of impact — and influence. Domini is one the few independent impact investment firms left. Our research reflects our independence. Due to our impact investing standards, we’re constantly reassessing how to better capture risks and opportunities. Our proprietary key performance indicators (KPIs) ensure we’re vigilantly focused on the most pressing sustainability challenges in the context of a company’s business model and industry. Last year we refined and enhanced our KPIs to codify diversity metrics universally across all industries. We also updated KPIs for the financial sector to further address climate change and deforestation. Our independence provides us with an unique opportunity to pursue any area of debate and to seek solutions in highly innovative ways.
Projects, plans, and prosperity.
We believe that reforestation is key to mitigating climate change and preserving our planet. That is why we launched our Forest Project, to highlight this fact: forests matter. We can better understand the drivers of forest destruction, its impact on our investment decisions, and how to encourage ourselves, corporations, and governments to become forest value creators. Our core goal of ecological sustainability demands we share our leadership on this issue.
Our Racial Justice Action Plan demonstrates our commitment to the inherent dignity and the equal and inalienable rights of all members of the human family as the foundation of freedom, justice, and peace in the world. Our core goal of universal human dignity demands that we do all that we can to create true equity among all people.
We welcome you, our shareholders, friends, and questioning guests. We invite you to get to know us and to make our work better. And remember, with Domini even the smallest investment is part of something big, something important — working to build a better world.
Your values are talking. Domini is listening.
As a mutual fund manager, Domini is a shareholder — and proud 30-year-young influencer — of many companies. And if we’re one, so are you. Together, let’s grow communities, inspire companies, preserve the planet, and seek a world where shared prosperity is a way of life. As our shareholder, we hope you understand that your views impact ours. We want to hear from you and we’re listening.
Thank you for being part of our community.
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“Slowly, the numbers have proved me — and moved me. Last year, 33 percent of the $51.4 trillion in total U.S. assets under professional management were invested in sustainable, responsible, and impact investing strategies.1 Today, many view impact investing as a growing trend. But for me, it will always be a proud tradition.”
–Amy Domini
1. US SIF Foundation. (2020, November 16). US SIF Report on US Sustainable and Impact Investing Trends 2020. ussif.org. https://www.ussif.org/files/Trends%20Report%202020%20 Executive%20Summary.pdf.
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The holdings discussed above can be found in the portfolio of the Domini Impact Equity Fund, Domini International Opportunities Fund, Domini Sustainable Solutions Fund, Domini Impact International Equity Fund and Domini Impact Bond Fund, included herein. The composition of each portfolio is subject to change.
The Domini Funds are not bank deposits and are not insured. Investment return, principal value, and yield will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. You may lose money. See the prospectus for more information on risks.
The Domini Impact Equity Fund is subject to certain risks including impact investing, portfolio management, information, market, recent events, and mid- to large-cap companies risks. The Domini Impact International Equity Fund is subject to certain risks including foreign investing, emerging markets, geographic focus, country, currency, impact investing, and portfolio management risks. The Domini Sustainable Solutions Fund is subject to certain risks including sustainable investing, portfolio management, information, market, recent events, and mid- to large-cap companies and small-cap companies risks. The Domini International Opportunities Fund is subject to certain risks including foreign investing, geographic focus, country, currency, impact investing, and portfolio management risks. 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 may be heightened in connection with investments in emerging market countries.
The Domini Impact Bond Fund is subject to certain risks including impact investing, portfolio management, style risk, information, market, recent events, interest rate and credit risks. The value of your investment will fluctuate with changes in interest rates and could decline if an issuer’s credit rating falls, it goes bankrupt or it fails to pay, or otherwise defaults on payments of interest or principal. The Domini Impact Bond Fund currently holds a large percentage of its portfolio in mortgage-backed securities. During periods of falling interest rates, mortgage-backed securities may prepay the principal due, which may lower the Fund’s return by causing it to reinvest at lower interest rates. Some of the Domini Impact Bond Fund’s community development investments may be unrated and carry greater credit risks than its other investments. Potential risks related to the Bond Fund’s investments in derivatives include currency, leverage, liquidity, index, pricing and counterparty risk. TBA (To Be Announced) securities involve the risk that the security the Bond Fund buys will lose value prior to its delivery, that the security will not be issued, or the other party to the transaction will not meet its obligation, which can adversely affect the Fund’s returns. The reduction or withdrawal of historical financial market support activities by the U.S. Government and Federal Reserve, or other governments/central banks could negatively impact financial markets generally and increase market, liquidity and interest rate risks which could adversely affect the Fund’s returns.
The Adviser’s evaluation of environmental and social factors in its investment selections and the timing of the Subadviser’s implementation of the Adviser’s investment selections will affect the Fund’s exposure to certain issuers, industries, sectors, regions, and countries and may impact the relative financial performance of the Fund depending on whether such investments are in or out of favor. The value of your investment may decrease if the Adviser’s or Subadviser’s judgement about Fund investments does not produce the desired results. There is a risk that information used by the Adviser to evaluate environmental and social factors, may not be readily available or complete, which could negatively impact the Adviser’s ability to evaluate such factors and Fund performance. The market value of Fund investments will fluctuate and you may lose money.
There is a Public health crisis caused by the COVID-19 outbreak that may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The market prices of companies at different capitalization levels may vary due to market conditions and cycles. The value of your investment will be affected by the Fund’s exposure to mid-, large- and small-cap companies.
This report is not authorized for distribution to prospective investors of the Domini Funds referenced herein unless preceded or accompanied by a current prospectus for the relevant Fund. Nothing herein is to be considered a recommendation concerning the merits of any noted company, or an offer of sale or solicitation of an offer to buy shares of any Fund or company referenced herein. Such offering is only made by prospectus, which includes details as to the offering price and other material information. Carefully consider the Funds’ investment objectives, risk factors and charges and expenses before investing. This and other information can be found in the Funds’ prospectus, which may be obtained by calling 1-800-582-6757 or at domini.com. Engagement statistics are provided on a best effort basis.
DSIL Investment Services LLC (DSILD), Distributor, Member FINRA. Domini Impact Investments LLC (Domini) is the Funds’ investment manager. The Funds are subadvised by unaffiliated entities. 9/21
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Performance Commentary (Unaudited)
The Fund invests in a diversified portfolio of primarily mid- to large-cap U.S. equities. Domini makes all security selections and investment decisions, combining two unique strategies: “Core” and “Thematic Solutions.” Core seeks to provide diversified exposure to the U.S. equity market through a broad selection of companies that demonstrate strong environmental and social performance relative to their peers. Thematic Solutions seeks to provide opportunistic exposure to solution-oriented companies helping to address sustainability challenges, as determined by Domini’s environmental, social, and financial research and analysis. As of July 31, 2021, 87.5% of the Fund’s portfolio was allocated to its Core strategy and 12.5% was allocated to its Thematic Solutions strategy (excluding cash).
SSGA Funds Management, Inc., an SEC-registered investment adviser, serves as subadviser to the Fund, responsible for purchasing and selling securities to implement Domini’s investment instructions and for managing the Fund’s short-term investments. SSGA FM is unaffiliated with the Domini Funds, other than with respect to the provision of submanagement services.
Portfolio Performance:
The Domini Impact Equity Fund Investor shares returned 33.43% for the twelve-month period ended July 31, 2021, underperforming relative to the S&P 500 Index (the “benchmark”) return of 36.45%.
Security selection was the primary driver of the Fund’s overall underperformance relative to the benchmark, particularly in Health Care, with weak performance from stocks such as Teladoc Health, a telemedicine services provider; Orasure Technologies, a rapid diagnostics provider; and Seagen, a cancer treatment developer. Overall, over- and under-exposures to specific sectors did not have a material impact on relative results.
The Fund’s overweight positions in the Thematic Solutions strategy’s low-carbon transition theme was additive to performance. Electric vehicle manufacturer Tesla was our single strongest position, as its stock appreciated +140.2%, and the company was added to the S&P 500 Index on December 21, 2020. Another top performer for the Fund was solar microinverter manufacturer Enphase Energy. Microinverter technology works to yield the power generated by solar panels independently. Using individual inverters on each panel rather than one inverter with string technology to multiple panels can offer advantages for multi-directional panels or shade.
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Following strong performance over the course of the 2020 calendar year, the Fund encountered a period of more challenging performance beginning in February of 2021 and persisting through much of the spring, as the strong U.S. economic recovery and inflation concerns drove a move away from many of the growth stocks that had helped drive much of the Fund’s earlier outperformance, in favor of cheaper and more value-oriented stocks. Although the Fund modestly lagged its benchmark for the fiscal year, we are confident in its investment approach and believe it can provide shareholders competitive returns over a full market cycle. The strong performance of the Fund since the inception of its current investment strategy, which will hit its three-year track record at the start of December, helps support the value of environmental and social standards in the investment decision-making process. By continuing to invest in well-managed companies that demonstrate strong environmental and social performance relative to their peers, coupled with opportunistic exposure to companies at the forefront of addressing critical sustainability challenges, we believe we can continue to create sustainable, long-term value for our shareholders, our planet, and our global community.
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TEN LARGEST HOLDING (Unaudited)
| SECURITY DESCRIPTION | % NET ASSETS |
SECURITY DESCRIPTION | % NET ASSETS |
|||||||
| Apple Inc | 7.4% | NVIDIA Corp | 1.5% | |||||||
| Microsoft Corp | 6.8% | Visa, Inc Class A | 1.3% | |||||||
| Alphabet, Inc Class A | 5.0% | Home Depot, Inc (The) | 1.1% | |||||||
| Amazon.com, Inc | 4.6% | Proctor & Gamble Co (The) | 1.1% | |||||||
| Tesla, Inc | 1.9% | Mastercard, Inc Class A | 1.1% | |||||||
PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)
The holdings mentioned above are described in the Fund’s Portfolio of Investments as of 7/31/2021, included herein. The composition of the Fund’s portfolio is subject to change.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
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| DOMINI IMPACT EQUITY FUND |
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| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Investor shares | S&P 500 | ||
| 1 Year | 33.43% | 36.45% | ||
| 5 Year | 16.84% | 17.35% | ||
| 10 Year | 12.95% | 15.35% | ||
Comparison of $10,000 Investment in the Domini Impact Equity Fund Investor Shares (DSEFX) and S&P 500 (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. 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 than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Investor share annual operating expenses totaled 1.09% (gross and net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor share expenses to 1.09% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and the graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including impact investing, portfolio management, information, market, recent events, and mid- to large-cap companies risks. You may lose money.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
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| DOMINI IMPACT EQUITY FUND |
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| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Class A shares (with 4.75% maximum Sales Charge) |
Class A shares (without Sales Charge) |
S&P 500 | |||
| 1 Year | 27.09% | 33.42% | 36.45% | |||
| 5 Year | 15.69% | 16.82% | 17.35% | |||
| 10 Year | 12.40% | 12.95% | 15.35% | |||
Comparison of $10,000 Investment in the Domini Impact Equity Fund Class A Shares (DSEPX) and S&P 500 (with 4.75% Maximum Sales Charge) (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Class A share annual operating expenses totaled 1.47% /1.09% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class A share expenses to 1.09% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including impact investing, portfolio management, information, market, recent events, and mid- to large-cap companies risks. You may lose money.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
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| DOMINI IMPACT EQUITY FUND |
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| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Institutional shares | S&P 500 | ||
| 1 Year | 33.89% | 36.45% | ||
| 5 Year | 17.26% | 17.35% | ||
| 10 Year | 13.37% | 15.35% | ||
Comparison of $500,000 Investment in the Domini Impact Equity Fund Institutional Shares (DIEQX) and S&P 500 (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Institutional share annual operating expenses totaled 0.74% (gross and net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Institutional share expenses to 0.74% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including impact investing, portfolio management, information, market, recent events, and mid- to large-cap companies risks. You may lose money.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
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| DOMINI IMPACT EQUITY FUND |
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| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Class Y shares | S&P 500 | ||
| 1 Year | 33.81% | 36.45% | ||
| 5 Year | 17.15% | 17.35% | ||
| 10 Year | 13.30% | 15.35% | ||
Comparison of $10,000 Investment in the Domini Impact Equity Fund Class Y Shares (DSFRX) and S&P 500 (Unaudited)
NOTE: The Fund’s current investment strategy commenced on December 1, 2018 with SSGA Funds Management, Inc as its subadviser. Performance information for periods prior to December 1, 2018 reflects the investment strategies employed during those periods.
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Class Y share annual operating expenses totaled 0.94%/0.80% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class Y share expenses to 0.80% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and assumes all dividend and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including impact investing, portfolio management, information, market, recent events, and mid- to large-cap companies risks. You may lose money.
The Standard & Poor’s 500 Index (S&P 500) is an unmanaged index of common stocks. Investors cannot invest directly in the S&P 500.
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DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Long Term Investments – 99.9% | ||||||||
| Common Stocks – 99.9% | ||||||||
| Communication Services – 11.1% | ||||||||
| Alphabet, Inc., Class A (a) |
20,550 | $ | 55,372,592 | |||||
| Altice USA, Inc., Class A (a) |
8,300 | 255,059 | ||||||
| AT&T, Inc. |
252,085 | 7,070,984 | ||||||
| Charter Communications, Inc., Class A (a) |
4,258 | 3,168,165 | ||||||
| Comcast Corp., Class A |
160,821 | 9,461,099 | ||||||
| Electronic Arts, Inc. |
10,418 | 1,499,775 | ||||||
| Lumen Technologies, Inc. |
37,600 | 468,872 | ||||||
| Match Group, Inc. (a) |
9,100 | 1,449,357 | ||||||
| Netflix, Inc. (a) |
15,338 | 7,938,489 | ||||||
| New York Times Co. (The), Class A |
94,536 | 4,138,786 | ||||||
| Omnicom Group, Inc. |
7,400 | 538,868 | ||||||
| Pinterest, Inc., Class A (a) |
19,300 | 1,136,770 | ||||||
| Roku, Inc. (a) |
4,000 | 1,713,240 | ||||||
| SoftBank Group Corp. ADR |
78,173 | 2,453,850 | ||||||
| Spotify Technology SA (a) |
4,200 | 960,414 | ||||||
| Take-Two Interactive Software, Inc. (a) |
3,981 | 690,385 | ||||||
| TELUS Corp. |
45,694 | 1,014,407 | ||||||
| T-Mobile US, Inc. (a) |
20,800 | 2,995,616 | ||||||
| Verizon Communications, Inc. |
140,895 | 7,859,123 | ||||||
| Walt Disney Co. (The) (a) |
64,093 | 11,281,650 | ||||||
| Zillow Group, Inc., Class A (a) |
7,100 | 760,623 | ||||||
|
|
|
|||||||
| 122,228,124 | ||||||||
|
|
|
|||||||
| Consumer Discretionary – 13.2% | ||||||||
| Advance Auto Parts, Inc. |
2,357 | 499,825 | ||||||
| Amazon.com, Inc. (a) |
15,319 | 50,975,351 | ||||||
| Aptiv PLC (a) |
9,500 | 1,585,075 | ||||||
| Best Buy Co., Inc. |
8,149 | 915,540 | ||||||
| Booking Holdings, Inc. (a) |
1,460 | 3,180,260 | ||||||
| BorgWarner, Inc. |
8,400 | 411,432 | ||||||
| Bright Horizons Family Solutions, Inc. (a) |
2,400 | 358,800 | ||||||
| Burlington Stores, Inc. (a) |
2,400 | 803,520 | ||||||
| Chegg, Inc. (a) |
59,148 | 5,242,287 | ||||||
| Chipotle Mexican Grill, Inc. (a) |
917 | 1,708,775 | ||||||
| Cie Generale des Etablissements Michelin SCA ADR |
28,750 | 939,550 | ||||||
| Dollar General Corp. |
8,300 | 1,930,912 | ||||||
| eBay, Inc. |
23,300 | 1,589,293 | ||||||
| Etsy, Inc. (a) |
4,300 | 789,093 | ||||||
| Garmin, Ltd. |
5,246 | 824,671 | ||||||
| Home Depot, Inc. (The) |
37,951 | 12,455,139 | ||||||
| Lowe’s Cos., Inc. |
25,141 | 4,844,419 | ||||||
| MercadoLibre, Inc. (a) |
1,700 | 2,666,790 | ||||||
| NIKE, Inc., Class B |
44,349 | 7,428,901 | ||||||
| NIO, Inc. ADR (a) |
47,200 | 2,108,896 | ||||||
| NVR, Inc. (a) |
120 | 626,712 | ||||||
| O’Reilly Automotive, Inc. (a) |
2,500 | 1,509,600 | ||||||
| Peloton Interactive, Inc., Class A (a) |
8,900 | 1,050,645 | ||||||
22
DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Consumer Discretionary (Continued) | ||||||||
| Sony Corp. ADR |
43,155 | $ | 4,501,067 | |||||
| Starbucks Corp. |
41,467 | 5,035,338 | ||||||
| Tapestry, Inc. (a) |
9,300 | 393,390 | ||||||
| Target Corp. |
17,451 | 4,555,584 | ||||||
| Tesla, Inc. (a) |
31,147 | 21,404,218 | ||||||
| TJX Cos., Inc. |
39,600 | 2,724,876 | ||||||
| Ulta Beauty, Inc. (a) |
1,898 | 637,348 | ||||||
| VF Corp. |
11,800 | 946,360 | ||||||
| Williams-Sonoma, Inc. |
2,600 | 394,420 | ||||||
|
|
|
|||||||
| 145,038,087 | ||||||||
|
|
|
|||||||
| Consumer Staples – 5.6% | ||||||||
| AppHarvest, Inc. (a) |
95,255 | 1,135,440 | ||||||
| Beyond Meat, Inc. (a) |
25,397 | 3,116,212 | ||||||
| Campbell Soup Co. |
7,991 | 349,367 | ||||||
| Church & Dwight Co., Inc. |
8,712 | 754,285 | ||||||
| Clorox Co. (The) |
4,400 | 795,916 | ||||||
| Colgate-Palmolive Co. |
29,525 | 2,347,237 | ||||||
| Costco Wholesale Corp. |
15,603 | 6,704,921 | ||||||
| Estee Lauder Cos., Inc. (The), Class A |
7,677 | 2,562,813 | ||||||
| General Mills, Inc. |
21,599 | 1,271,317 | ||||||
| JM Smucker Co. (The) |
3,746 | 491,138 | ||||||
| Keurig Dr Pepper, Inc. |
25,200 | 887,292 | ||||||
| Kimberly-Clark Corp. |
11,718 | 1,590,367 | ||||||
| Kraft Heinz Co. (The) |
22,123 | 851,072 | ||||||
| Kroger Co. (The) |
25,711 | 1,046,438 | ||||||
| Lamb Weston Holdings, Inc. |
4,900 | 327,173 | ||||||
| L’Oreal SA ADR |
37,500 | 3,430,500 | ||||||
| McCormick & Co., Inc. |
9,300 | 782,781 | ||||||
| Mondelez International, Inc., Class A |
49,847 | 3,153,321 | ||||||
| PepsiCo, Inc. |
48,731 | 7,648,330 | ||||||
| Procter & Gamble Co. (The) |
86,125 | 12,249,559 | ||||||
| SunOpta, Inc. (a) |
277,337 | 2,912,038 | ||||||
| Sysco Corp. |
17,303 | 1,283,883 | ||||||
| Unilever PLC ADR |
90,885 | 5,228,614 | ||||||
| Walgreens Boots Alliance, Inc. |
25,348 | 1,195,158 | ||||||
|
|
|
|||||||
| 62,115,172 | ||||||||
|
|
|
|||||||
| Financials – 9.2% | ||||||||
| Aflac, Inc. |
22,515 | 1,238,325 | ||||||
| AGNC Investment Corp. |
18,200 | 288,834 | ||||||
| Allstate Corp. |
10,200 | 1,326,510 | ||||||
| American Express Co. |
21,248 | 3,623,421 | ||||||
| Annaly Capital Management, Inc. |
47,900 | 406,671 | ||||||
| Aon PLC, Class A |
7,700 | 2,002,231 | ||||||
| Bank of America Corp. |
265,654 | 10,190,487 | ||||||
| Bank of Montreal |
22,731 | 2,266,281 | ||||||
| Bank of New York Mellon Corp. (The) |
28,800 | 1,478,304 | ||||||
| Bank of Nova Scotia (The) |
41,066 | 2,564,161 | ||||||
23
DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Financials (Continued) | ||||||||
| BlackRock, Inc. |
5,034 | $ | 4,365,334 | |||||
| Canadian Imperial Bank of Commerce |
15,400 | 1,790,096 | ||||||
| Capital One Financial Corp. |
15,718 | 2,541,600 | ||||||
| Cboe Global Markets, Inc. |
3,700 | 438,339 | ||||||
| Charles Schwab Corp. (The) |
53,078 | 3,606,650 | ||||||
| Chubb, Ltd. |
13,587 | 2,292,670 | ||||||
| Cincinnati Financial Corp. |
5,411 | 637,849 | ||||||
| Citigroup, Inc. |
72,708 | 4,916,515 | ||||||
| CME Group, Inc. |
12,298 | 2,608,775 | ||||||
| Comerica, Inc. |
4,654 | 319,544 | ||||||
| Discover Financial Services |
10,800 | 1,342,656 | ||||||
| DNB Bank ASA ADR (a) |
30,840 | 628,828 | ||||||
| East West Bancorp, Inc. |
4,800 | 341,520 | ||||||
| Equitable Holdings, Inc. |
15,300 | 472,311 | ||||||
| Everest Re Group, Ltd. |
1,500 | 379,245 | ||||||
| FactSet Research Systems, Inc. |
1,300 | 464,464 | ||||||
| Fifth Third Bancorp |
24,956 | 905,653 | ||||||
| First Republic Bank |
6,100 | 1,189,622 | ||||||
| Hartford Financial Services Group, Inc. (The) |
12,493 | 794,805 | ||||||
| Huntington Bancshares, Inc. |
34,900 | 491,392 | ||||||
| Intercontinental Exchange, Inc. |
19,495 | 2,336,086 | ||||||
| Invesco, Ltd. |
16,303 | 397,467 | ||||||
| KeyCorp |
34,000 | 668,440 | ||||||
| London Stock Exchange Group PLC ADR |
72,800 | 1,925,560 | ||||||
| Markel Corp. (a) |
490 | 591,023 | ||||||
| MarketAxess Holdings, Inc. |
1,300 | 617,721 | ||||||
| Marsh & McLennan Cos., Inc. |
17,730 | 2,610,210 | ||||||
| MetLife, Inc. |
23,700 | 1,367,490 | ||||||
| Moody’s Corp. |
5,714 | 2,148,464 | ||||||
| Morgan Stanley |
51,859 | 4,977,427 | ||||||
| MSCI, Inc. |
2,805 | 1,671,668 | ||||||
| Nasdaq, Inc. |
4,200 | 784,266 | ||||||
| Northern Trust Corp. |
7,000 | 789,950 | ||||||
| PNC Financial Services Group, Inc. (The) |
14,949 | 2,726,847 | ||||||
| Principal Financial Group, Inc. |
9,400 | 584,022 | ||||||
| Progressive Corp. (The) |
20,458 | 1,946,783 | ||||||
| Prudential Financial, Inc. |
13,961 | 1,400,009 | ||||||
| Raymond James Financial, Inc. |
4,300 | 556,764 | ||||||
| Regions Financial Corp. |
33,528 | 645,414 | ||||||
| S&P Global, Inc. |
8,598 | 3,686,134 | ||||||
| T Rowe Price Group, Inc. |
8,111 | 1,655,942 | ||||||
| Toronto-Dominion Bank (The) |
63,717 | 4,233,995 | ||||||
| Travelers Cos., Inc. (The) |
8,916 | 1,327,771 | ||||||
| Truist Financial Corp. |
47,802 | 2,601,863 | ||||||
| US Bancorp |
46,916 | 2,605,715 | ||||||
|
|
|
|||||||
| 100,770,124 | ||||||||
|
|
|
|||||||
| Health Care – 12.6% | ||||||||
| AbbVie, Inc. |
61,252 | 7,123,608 | ||||||
24
DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Health Care (Continued) | ||||||||
| ABIOMED, Inc. (a) |
1,600 | $ | 523,424 | |||||
| Agilent Technologies, Inc. |
10,800 | 1,654,884 | ||||||
| Alcon, Inc. |
17,362 | 1,263,954 | ||||||
| Align Technology, Inc. (a) |
2,600 | 1,809,080 | ||||||
| Alnylam Pharmaceuticals, Inc. (a) |
4,100 | 733,654 | ||||||
| Amgen, Inc. |
20,219 | 4,883,697 | ||||||
| Becton Dickinson and Co. |
10,151 | 2,596,118 | ||||||
| Biogen, Inc. (a) |
5,367 | 1,753,560 | ||||||
| BioMarin Pharmaceutical, Inc. (a) |
6,300 | 483,399 | ||||||
| Bio-Rad Laboratories, Inc., Class A (a) |
800 | 591,608 | ||||||
| Bio-Techne Corp. |
1,400 | 675,136 | ||||||
| Bristol-Myers Squibb Co. |
77,401 | 5,253,206 | ||||||
| Cerner Corp. |
10,723 | 862,022 | ||||||
| Cooper Cos., Inc. (The) |
1,700 | 717,009 | ||||||
| CSL, Ltd. ADR |
32,300 | 3,436,720 | ||||||
| Danaher Corp. |
22,315 | 6,638,489 | ||||||
| DENTSPLY SIRONA, Inc. |
7,516 | 496,357 | ||||||
| DexCom, Inc. (a) |
13,505 | 6,961,963 | ||||||
| Edwards Lifesciences Corp. (a) |
22,072 | 2,478,023 | ||||||
| Exact Sciences Corp. (a) |
20,548 | 2,215,896 | ||||||
| Gilead Sciences, Inc. |
44,646 | 3,048,875 | ||||||
| GlaxoSmithKline PLC ADR |
87,325 | 3,505,226 | ||||||
| Guardant Health, Inc. (a) |
3,300 | 362,340 | ||||||
| Henry Schein, Inc. (a) |
4,800 | 384,720 | ||||||
| Hologic, Inc. (a) |
81,726 | 6,132,719 | ||||||
| IDEXX Laboratories, Inc. (a) |
3,019 | 2,048,482 | ||||||
| Illumina, Inc. (a) |
5,049 | 2,503,042 | ||||||
| Incyte Corp. (a) |
6,500 | 502,775 | ||||||
| Inspire Medical Systems, Inc. (a) |
15,931 | 2,917,922 | ||||||
| Insulet Corp. (a) |
2,300 | 643,287 | ||||||
| Koninklijke Philips NV |
32,176 | 1,481,383 | ||||||
| Masimo Corp. (a) |
1,800 | 490,302 | ||||||
| Merck & Co., Inc. |
88,235 | 6,782,624 | ||||||
| Mettler-Toledo International, Inc. (a) |
790 | 1,164,231 | ||||||
| Moderna, Inc. (a) |
11,800 | 4,172,480 | ||||||
| Novo Nordisk A/S ADR |
56,678 | 5,248,383 | ||||||
| Organon & Co. (a) |
8,823 | 255,955 | ||||||
| PerkinElmer, Inc. |
3,900 | 710,697 | ||||||
| Pfizer, Inc. |
197,070 | 8,436,567 | ||||||
| Quest Diagnostics, Inc. |
4,615 | 654,407 | ||||||
| Regeneron Pharmaceuticals, Inc. (a) |
3,642 | 2,092,730 | ||||||
| ResMed, Inc. |
5,246 | 1,425,863 | ||||||
| Sanofi ADR |
77,316 | 3,986,413 | ||||||
| Seagen, Inc. (a) |
37,414 | 5,738,933 | ||||||
| STERIS PLC |
3,000 | 653,850 | ||||||
| Stryker Corp. |
11,528 | 3,123,396 | ||||||
| Teladoc Health, Inc. (a) |
27,065 | 4,017,799 | ||||||
| Teleflex, Inc. |
1,700 | 675,631 | ||||||
| Thermo Fisher Scientific, Inc. |
13,788 | 7,445,658 | ||||||
| Veeva Systems, Inc., Class A (a) |
4,806 | 1,599,004 | ||||||
25
DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Health Care (Continued) | ||||||||
| Vertex Pharmaceuticals, Inc. (a) |
9,243 | $ | 1,863,204 | |||||
| Waters Corp. (a) |
2,163 | 843,159 | ||||||
|
|
|
|||||||
| 138,063,864 | ||||||||
|
|
|
|||||||
| Industrials – 6.8% | ||||||||
| Allegion PLC |
3,100 | 423,460 | ||||||
| Ameresco, Inc., Class A (a) |
121,933 | 8,356,068 | ||||||
| AO Smith Corp. |
4,500 | 316,485 | ||||||
| Assa Abloy AB ADR |
66,242 | 1,061,197 | ||||||
| Brambles, Ltd. ADR |
25,600 | 440,576 | ||||||
| Carrier Global Corp. |
30,200 | 1,668,550 | ||||||
| CH Robinson Worldwide, Inc. |
4,700 | 419,099 | ||||||
| Cintas Corp. |
3,200 | 1,261,376 | ||||||
| Copart, Inc. (a) |
7,500 | 1,102,500 | ||||||
| CoStar Group, Inc. (a) |
13,710 | 1,218,134 | ||||||
| Cummins, Inc. |
5,141 | 1,193,226 | ||||||
| Deere & Co. |
10,045 | 3,632,172 | ||||||
| Deutsche Post AG ADR |
34,937 | 2,371,174 | ||||||
| Donaldson Co., Inc. |
4,000 | 264,760 | ||||||
| Emerson Electric Co. |
20,826 | 2,101,135 | ||||||
| Expeditors International of Washington, Inc. |
5,900 | 756,675 | ||||||
| Fastenal Co. |
20,158 | 1,104,054 | ||||||
| Fortune Brands Home & Security, Inc. |
4,800 | 467,856 | ||||||
| Generac Holdings, Inc. (a) |
2,100 | 880,656 | ||||||
| Graco, Inc. |
5,700 | 445,056 | ||||||
| Hubbell, Inc. |
1,800 | 360,828 | ||||||
| IAA, Inc. (a) |
5,500 | 332,640 | ||||||
| IDEX Corp. |
2,800 | 634,732 | ||||||
| IHS Markit, Ltd. |
12,194 | 1,424,747 | ||||||
| Illinois Tool Works, Inc. |
10,052 | 2,278,487 | ||||||
| Ingersoll Rand, Inc. (a) |
12,969 | 633,795 | ||||||
| JB Hunt Transport Services, Inc. |
3,100 | 522,195 | ||||||
| JetBlue Airways Corp. (a) |
10,288 | 152,160 | ||||||
| Johnson Controls International PLC |
25,536 | 1,823,781 | ||||||
| Lennox International, Inc. |
1,200 | 395,316 | ||||||
| Masco Corp. |
8,900 | 531,419 | ||||||
| Nidec Corp. ADR |
68,956 | 1,942,491 | ||||||
| Nordson Corp. |
1,800 | 407,034 | ||||||
| Old Dominion Freight Line, Inc. |
3,700 | 995,855 | ||||||
| Otis Worldwide Corp. |
14,900 | 1,334,295 | ||||||
| Owens Corning |
3,633 | 349,349 | ||||||
| PACCAR, Inc. |
12,000 | 995,880 | ||||||
| Pentair PLC |
5,500 | 405,185 | ||||||
| Plug Power, Inc. (a) |
19,000 | 518,320 | ||||||
| Rockwell Automation, Inc. |
3,972 | 1,221,072 | ||||||
| Roper Technologies, Inc. |
3,757 | 1,845,964 | ||||||
| Schneider Electric SE ADR |
93,400 | 3,129,834 | ||||||
| Siemens AG ADR |
56,636 | 4,423,555 | ||||||
| Snap-on, Inc. |
2,000 | 435,960 | ||||||
26
DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Industrials (Continued) | ||||||||
| Stanley Black & Decker, Inc. |
5,654 | $ | 1,114,121 | |||||
| Sunrun, Inc. (a) |
84,621 | 4,482,374 | ||||||
| Thomson Reuters Corp. |
5,800 | 614,742 | ||||||
| Toro Co. (The) |
3,700 | 420,838 | ||||||
| Trane Technologies PLC |
8,407 | 1,711,749 | ||||||
| Trex Co., Inc. (a) |
4,000 | 388,400 | ||||||
| United Parcel Service, Inc., Class B |
25,693 | 4,916,612 | ||||||
| United Rentals, Inc. (a) |
2,600 | 856,830 | ||||||
| Vestas Wind Systems A/S ADR |
98,600 | 1,213,273 | ||||||
| Westinghouse Air Brake Technologies Corp. |
6,191 | 525,430 | ||||||
| WW Grainger, Inc. |
1,570 | 697,991 | ||||||
| Xylem, Inc. |
6,300 | 792,855 | ||||||
|
|
|
|||||||
| 74,314,318 | ||||||||
|
|
|
|||||||
| Information Technology – 36.5% | ||||||||
| Accenture PLC, Class A |
22,400 | 7,116,032 | ||||||
| Adobe, Inc. (a) |
16,861 | 10,481,303 | ||||||
| Advanced Micro Devices, Inc. (a) |
43,150 | 4,582,098 | ||||||
| Apple, Inc. |
557,796 | 81,360,125 | ||||||
| Applied Materials, Inc. |
32,002 | 4,478,040 | ||||||
| ASML Holding NV |
14,400 | 11,041,056 | ||||||
| Autodesk, Inc. (a) |
21,712 | 6,972,375 | ||||||
| Automatic Data Processing, Inc. |
15,168 | 3,179,668 | ||||||
| Broadcom, Inc. |
13,813 | 6,704,830 | ||||||
| Cadence Design Systems, Inc. (a) |
9,784 | 1,444,608 | ||||||
| Cisco Systems, Inc. |
137,291 | 7,601,803 | ||||||
| Crowdstrike Holdings, Inc., Class A (a) |
6,600 | 1,673,826 | ||||||
| Dell Technologies, Inc., Class C (a) |
8,900 | 859,918 | ||||||
| DocuSign, Inc. (a) |
20,008 | 5,963,184 | ||||||
| Enphase Energy, Inc. (a) |
55,717 | 10,563,943 | ||||||
| First Solar, Inc. (a) |
2,900 | 249,516 | ||||||
| Fiserv, Inc. (a) |
21,200 | 2,440,332 | ||||||
| Infineon Technologies AG ADR |
43,500 | 1,665,180 | ||||||
| Intel Corp. |
142,379 | 7,648,600 | ||||||
| International Business Machines Corp. |
31,866 | 4,491,831 | ||||||
| Intuit, Inc. |
9,422 | 4,993,377 | ||||||
| KLA Corp. |
5,310 | 1,848,730 | ||||||
| Lam Research Corp. |
5,000 | 3,187,050 | ||||||
| Mastercard, Inc., Class A |
30,652 | 11,829,833 | ||||||
| Maxim Integrated Products, Inc. |
9,700 | 969,127 | ||||||
| Micron Technology, Inc. (a) |
39,900 | 3,095,442 | ||||||
| Microsoft Corp. |
262,161 | 74,692,291 | ||||||
| NetApp, Inc. |
7,708 | 613,480 | ||||||
| NortonLifeLock, Inc. |
20,300 | 503,846 | ||||||
| NVIDIA Corp. |
84,308 | 16,439,217 | ||||||
| Palo Alto Networks, Inc. (a) |
14,728 | 5,877,208 | ||||||
| Paychex, Inc. |
11,331 | 1,289,694 | ||||||
| Paycom Software, Inc. (a) |
1,700 | 680,000 | ||||||
| PayPal Holdings, Inc. (a) |
41,400 | 11,406,942 | ||||||
27
DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Information Technology (Continued) | ||||||||
| QUALCOMM, Inc. |
39,700 | $ | 5,947,060 | |||||
| salesforce.com, Inc. (a) |
31,334 | 7,580,635 | ||||||
| ServiceNow, Inc. (a) |
6,900 | 4,056,441 | ||||||
| Shopify, Inc., Class A (a) |
4,000 | 5,999,720 | ||||||
| Snowflake, Inc., Class A (a) |
8,600 | 2,285,192 | ||||||
| Splunk, Inc. (a) |
5,900 | 837,682 | ||||||
| Square, Inc., Class A (a) |
35,787 | 8,848,694 | ||||||
| STMicroelectronics NV, Class Y |
122,912 | 5,072,578 | ||||||
| Synopsys, Inc. (a) |
5,443 | 1,567,530 | ||||||
| Texas Instruments, Inc. |
32,552 | 6,205,062 | ||||||
| Twilio, Inc., Class A (a) |
5,600 | 2,092,104 | ||||||
| Ultra Clean Holdings, Inc. (a) |
52,716 | 2,847,191 | ||||||
| Universal Display Corp. |
22,786 | 5,343,089 | ||||||
| Visa, Inc., Class A |
59,400 | 14,635,566 | ||||||
| VMware, Inc., Class A (a) |
2,775 | 426,628 | ||||||
| WEX, Inc. (a) |
1,516 | 287,631 | ||||||
| Workday, Inc., Class A (a) |
6,500 | 1,523,600 | ||||||
| Zoom Video Communications, Inc., Class A (a) |
19,064 | 7,208,098 | ||||||
|
|
|
|||||||
| 400,709,006 | ||||||||
|
|
|
|||||||
| Materials – 1.7% | ||||||||
| Air Products and Chemicals, Inc. |
7,759 | 2,258,102 | ||||||
| AptarGroup, Inc. |
2,500 | 322,300 | ||||||
| Avery Dennison Corp. |
2,900 | 610,972 | ||||||
| Ecolab, Inc. |
8,848 | 1,953,904 | ||||||
| International Paper Co. |
13,700 | 791,312 | ||||||
| Linde PLC |
18,330 | 5,634,458 | ||||||
| Novozymes A/S ADR |
6,937 | 543,861 | ||||||
| Nucor Corp. |
10,492 | 1,091,378 | ||||||
| PPG Industries, Inc. |
8,342 | 1,364,084 | ||||||
| Sherwin-Williams Co. (The) |
8,392 | 2,442,324 | ||||||
| Steel Dynamics, Inc. |
7,800 | 502,710 | ||||||
| Vulcan Materials Co. |
4,644 | 835,873 | ||||||
| Westrock Co. |
8,885 | 437,231 | ||||||
|
|
|
|||||||
| 18,788,509 | ||||||||
|
|
|
|||||||
| Real Estate – 2.7% | ||||||||
| Alexandria Real Estate Equities, Inc. |
4,786 | 963,613 | ||||||
| American Tower Corp. |
16,009 | 4,527,345 | ||||||
| Boston Properties, Inc. |
4,946 | 580,562 | ||||||
| CBRE Group, Inc., Class A (a) |
11,322 | 1,092,120 | ||||||
| Crown Castle International Corp. |
15,322 | 2,958,525 | ||||||
| Digital Realty Trust, Inc. |
9,892 | 1,524,951 | ||||||
| Duke Realty Corp. |
12,900 | 656,352 | ||||||
| Equinix, Inc. |
3,131 | 2,568,704 | ||||||
| Equity LifeStyle Properties, Inc. |
5,700 | 477,660 | ||||||
| Essex Property Trust, Inc. |
2,300 | 754,630 | ||||||
| Extra Space Storage, Inc. |
4,500 | 783,630 | ||||||
| Federal Realty Investment Trust |
2,500 | 293,825 | ||||||
28
DOMINI IMPACT EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Real Estate (Continued) | ||||||||
| Host Hotels & Resorts, Inc. (a) |
23,922 | $ | 381,077 | |||||
| Kilroy Realty Corp. |
4,600 | 318,642 | ||||||
| Mid-America Apartment Communities, Inc. |
4,000 | 772,400 | ||||||
| Prologis, Inc. |
26,195 | 3,354,008 | ||||||
| Public Storage |
5,277 | 1,648,957 | ||||||
| Realty Income Corp. |
13,121 | 922,275 | ||||||
| SBA Communications Corp. |
3,907 | 1,332,248 | ||||||
| Simon Property Group, Inc. |
11,400 | 1,442,328 | ||||||
| UDR, Inc. |
10,169 | 559,193 | ||||||
| Ventas, Inc. |
13,063 | 780,906 | ||||||
| WP Carey, Inc. |
6,300 | 508,347 | ||||||
|
|
|
|||||||
| 29,202,298 | ||||||||
|
|
|
|||||||
| Utilities – 0.5% | ||||||||
| Alliant Energy Corp. |
8,600 | 503,358 | ||||||
| Consolidated Edison, Inc. |
12,061 | 889,740 | ||||||
| Eversource Energy |
12,058 | 1,040,244 | ||||||
| Fortis, Inc. |
16,900 | 766,246 | ||||||
| National Grid PLC ADR |
25,119 | 1,615,654 | ||||||
| SSE PLC ADR |
36,700 | 734,367 | ||||||
|
|
|
|||||||
| 5,549,609 | ||||||||
|
|
|
|||||||
| Total Investments – 99.9% (Cost $610,526,494) (b) | 1,096,779,111 | |||||||
| Other Assets, less liabilities – 0.1% | 1,564,580 | |||||||
|
|
|
|||||||
| Net Assets – 100.0% | $1,098,343,691 | |||||||
|
|
|
|||||||
(a) Non-income producing security.
(b) The aggregate cost for federal income tax purposes is $613,630,479. The aggregate gross unrealized appreciation is $495,799,518 and the aggregate gross unrealized depreciation is $12,650,886, resulting in net unrealized appreciation of $483,148,632.
Abbreviations
ADR — American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS
29
DOMINI INTERNATIONAL OPPORTUNITIES FUND
The Fund invests in a diversified portfolio of primarily mid- to large-cap international equities. Domini makes all security selections and investment decisions, combining two unique strategies: “Core” and “Thematic Solutions.” Core seeks to provide diversified exposure to developed international equity markets through a broad selection of companies that demonstrate strong environmental and social performance relative to their peers. Thematic Solutions seeks to provide opportunistic exposure to solution-oriented companies helping to address sustainability challenges, as determined by Domini’s environmental, social, and financial research and analysis. As of July 31, 2021, 89.9% of the Fund’s portfolio was allocated to its Core strategy and 10.1% was allocated to its Thematic Solutions strategy (excluding cash).
SSGA Funds Management, Inc., an SEC-registered investment adviser, serves as subadviser to the Fund, responsible for purchasing and selling securities to implement Domini’s investment instructions and for managing the Fund’s short-term investments. SSGA FM is unaffiliated with the Domini Funds, other than with respect to the provision of submanagement services.
Portfolio Performance:
As of July 31, 2021, the Domini International Opportunities Fund Investor shares returned 11.31% since inception on November 30, 2020, underperforming the MSCI EAFE Index (net) (the “benchmark”)* return of 13.30% for the same period. Security selection was the primary driver of the Fund’s overall underperformance relative to the benchmark. Security selection was weaker in the Financials, Communication Services, and Consumer Staples sectors, which offset stronger selection in Consumer Discretionary. Sector allocation contributed positively to relative results, primarily attributable to the Fund’s overweight to Information Technology.
From a geographic perspective, allocation was the primary driver of underperformance relative to the benchmark, largely attributable to the Fund’s overweight to the United States. Currency headwinds in Europe also detracted from relative results. Security selection was strong in Europe, which was partially offset by weaker selection in the Asia-Pacific region. In Europe, security selection was strong in the Netherlands and Sweden, which was more than enough to overcome weaker selection in Norway, while in the Asia-Pacific region, strong selection in China was overcome by weaker selection in Japan and Australia.
The top contributor to the Fund’s relative results was its overweight position in Dutch semiconductor manufacturer ASML Holding (+69.6%), which was the Fund’s largest position as of July 31. The largest detractors from relative results were its non-benchmark position in India’s HDFC Bank (-12.9% over the period held) and its overweight position in Japanese pharmaceutical company Daiichi Sankyo (-43.4%) Although the market’s risk avoidance posture during
30
the early months of 2021 have weighed on the Fund’s short-term results since its inception on November 30, 2020, we remain confident that continuing to invest in well-managed companies that demonstrate strong environmental and social performance relative to their peers, coupled with opportunistic exposure to companies at the forefront of addressing critical sustainability challenges, can create sustainable, long-term value for our shareholders, our planet, and our global community.
* MSCI EAFE Index (net) returns reflect reinvested dividends net of withholding taxes but reflect no deduction for fees, expenses, or other taxes.
31
TEN LARGEST HOLDINGS (Unaudited)
| SECURITY DESCRIPTION | % NET ASSETS |
SECURITY DESCRIPTION | % NET ASSETS |
|||||||
| ASML Holding NV | 3.8% | SAP SE | 1.8% | |||||||
| Toyota Motor Corp | 2.5% | AIA Group, LTD | 1.8% | |||||||
| Linde PLC | 2.0% | Sony Corp | 1.6% | |||||||
| Novo Nordisk A/S Class B | 1.8% | Siemens AG | 1.5% | |||||||
| Unilever PLC | 1.8% | Toronto-Dominion Bank | 1.4% | |||||||
PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
32
PORTFOLIO HOLDINGS BY COUNTRY (% OF NET ASSETS) (Unaudited)
The holdings mentioned above are described in the Fund’s Portfolio of Investments as of 7/31/2021, included herein. The composition of the Fund’s portfolio is subject to change.
*Other countries include India 0.9%, Argentina 0.9%, Italy 0.8%, Belgium 0.5%, Austria 0.4%, Singapore 0.4%, New Zealand 0.3%, South Africa 0.2%, Hungary 0.1%, South Korea 0.1%, and Poland 0.0%.
33
| DOMINI INTERNATIONAL OPPORTUNITIES FUND |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Investor shares | MSCI EAFE (net) | ||
| 1 Year | N/A | N/A | ||
| 5 Year | N/A | N/A | ||
| 10 Year | N/A | N/A | ||
| Since Inception (11/30/2020) | 11.31% | 13.30% | ||
Comparison of $10,000 Investment in the Domini International Opportunities Fund Investor Shares (RISEX) and MSCI EAFE (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. 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 than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Investor share annual operating expenses totaled 1.78%/1.40% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor share expenses to 1.40% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including, foreign investing, geographic focus, country, currency, impact investing, recent events and market risks. 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 Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
34
| DOMINI INTERNATIONAL OPPORTUNITIES FUND |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Institutional shares | MSCI EAFE (net) | ||
| 1 Year | N/A | N/A | ||
| 5 Year | N/A | N/A | ||
| 10 Year | N/A | N/A | ||
| Since Inception (11/30/2020) | 11.44% | 13.30% | ||
Comparison of $500,000 Investment in the Domini International Opportunities Fund Institutional Shares (LEADX) and MSCI EAFE (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Institutional share annual operating expenses totaled 1.53%/1.15% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Institutional share expenses to 1.15% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including, foreign investing, geographic focus, country, currency, impact investing, recent events and market risks. 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 Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
35
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Common Stocks – 99.5% | ||||||||||
| Argentina – 0.9% |
||||||||||
| MercadoLibre, Inc. (a) |
Retailing | 154 | $ | 241,580 | ||||||
|
|
|
|||||||||
| 241,580 | ||||||||||
|
|
|
|||||||||
| Australia – 3.2% |
||||||||||
| APA Group |
Utilities | 3,768 | 26,483 | |||||||
| ASX, Ltd. |
Diversified Financials | 612 | 34,726 | |||||||
| Brambles, Ltd. |
Commercial & Professional Services | 4,635 | 39,748 | |||||||
| Cochlear, Ltd. |
Health Care Equipment & Services | 588 | 106,554 | |||||||
| CSL, Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 1,448 | 308,770 | |||||||
| Dexus |
Real Estate | 3,429 | 25,945 | |||||||
| Fortescue Metals Group, Ltd. |
Materials | 5,601 | 102,512 | |||||||
| GPT Group (The) |
Real Estate | 6,114 | 20,998 | |||||||
| Insurance Australia Group, Ltd. |
Insurance | 7,867 | 28,101 | |||||||
| Magellan Financial Group, Ltd. |
Diversified Financials | 455 | 16,443 | |||||||
| Mirvac Group |
Real Estate | 12,544 | 26,372 | |||||||
| Stockland |
Real Estate | 7,595 | 24,603 | |||||||
| Transurban Group |
Transportation | 8,734 | 92,275 | |||||||
|
|
|
|||||||||
| 853,530 | ||||||||||
|
|
|
|||||||||
| Austria – 0.4% |
||||||||||
| Erste Group Bank AG |
Banks | 942 | 36,489 | |||||||
| Mondi PLC |
Materials | 1,548 | 42,927 | |||||||
| Verbund AG |
Utilities | 211 | 19,456 | |||||||
|
|
|
|||||||||
| 98,872 | ||||||||||
|
|
|
|||||||||
| Belgium – 0.5% |
||||||||||
| Elia Group SA |
Utilities | 92 | 10,870 | |||||||
| KBC Group NV |
Banks | 895 | 72,040 | |||||||
| Umicore SA |
Materials | 623 | 38,653 | |||||||
|
|
|
|||||||||
| 121,563 | ||||||||||
|
|
|
|||||||||
| Canada – 2.2% |
||||||||||
| Fortis, Inc. |
Utilities | 1,513 | 68,575 | |||||||
| Saputo, Inc. |
Food, Beverage & Tobacco | 900 | 25,954 | |||||||
| SunOpta, Inc. (a) |
Food, Beverage & Tobacco | 9,364 | 98,322 | |||||||
| Toronto-Dominion Bank (The) |
Banks | 5,696 | 378,486 | |||||||
|
|
|
|||||||||
| 571,337 | ||||||||||
|
|
|
|||||||||
| China – 1.4% |
||||||||||
| BYD Co., Ltd., Class H |
Automobiles & Components | 5,433 | 167,924 | |||||||
| NIO, Inc. ADR (a) |
Automobiles & Components | 4,400 | 196,592 | |||||||
|
|
|
|||||||||
| 364,516 | ||||||||||
|
|
|
|||||||||
36
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Denmark – 4.1% |
||||||||||
| Ambu A/S, Class B |
Health Care Equipment & Services | 691 | $ | 25,557 | ||||||
| Chr Hansen Holding A/S |
Materials | 328 | 29,491 | |||||||
| DSV PANALPINA A/S |
Transportation | 708 | 172,533 | |||||||
| Genmab A/S (a) |
Pharmaceuticals, Biotechnology & Life Sciences | 206 | 93,079 | |||||||
| GN Store Nord A/S |
Health Care Equipment & Services | 413 | 36,182 | |||||||
| Novo Nordisk A/S, Class B |
Pharmaceuticals, Biotechnology & Life Sciences | 5,272 | 487,888 | |||||||
| Novozymes A/S, Class B |
Materials | 650 | 51,052 | |||||||
| Orsted A/S |
Utilities | 571 | 84,665 | |||||||
| Vestas Wind Systems A/S |
Capital Goods | 3,115 | 114,829 | |||||||
|
|
|
|||||||||
| 1,095,276 | ||||||||||
|
|
|
|||||||||
| Finland – 1.4% |
||||||||||
| Elisa Oyj |
Telecommunication Services | 455 | 29,232 | |||||||
| Kesko OYJ, Class B |
Food & Staples Retailing | 1,194 | 51,158 | |||||||
| Kone OYJ, Class B |
Capital Goods | 1,158 | 95,877 | |||||||
| Nordea Bank Abp |
Banks | 10,185 | 119,330 | |||||||
| Sampo OYJ, Class A |
Insurance | 1,344 | 64,660 | |||||||
|
|
|
|||||||||
| 360,257 | ||||||||||
|
|
|
|||||||||
| France – 8.6% |
||||||||||
| Adevinta ASA (a) |
Media & Entertainment | 882 | 16,958 | |||||||
| Aeroports de Paris (a) |
Transportation | 105 | 12,723 | |||||||
| Air Liquide SA |
Materials | 1,512 | 262,850 | |||||||
| BNP Paribas SA |
Banks | 3,640 | 221,880 | |||||||
| Capgemini SE |
Software & Services | 506 | 109,332 | |||||||
| Carrefour SA |
Food & Staples Retailing | 1,990 | 36,949 | |||||||
| Cie Generale des Etablissements Michelin SCA |
Automobiles & Components | 520 | 84,906 | |||||||
| Credit Agricole SA |
Banks | 4,123 | 57,467 | |||||||
| Edenred |
Software & Services | 797 | 46,285 | |||||||
| Eiffage SA |
Capital Goods | 254 | 25,884 | |||||||
| Gecina SA |
Real Estate | 164 | 25,999 | |||||||
| Hermes International |
Consumer Durables & Apparel | 106 | 161,989 | |||||||
| Kering SA |
Consumer Durables & Apparel | 234 | 209,851 | |||||||
| Legrand SA |
Capital Goods | 839 | 94,516 | |||||||
| L’Oreal SA |
Household & Personal Products | 678 | 310,063 | |||||||
| Orange SA |
Telecommunication Services | 6,370 | 70,865 | |||||||
| Sanofi |
Pharmaceuticals, Biotechnology & Life Sciences | 3,499 | 360,516 | |||||||
| Sartorius Stedim Biotech |
Pharmaceuticals, Biotechnology & Life Sciences | 76 | 43,367 | |||||||
| Unibail-Rodamco-Westfield (a) |
Real Estate | 366 | 30,453 | |||||||
| Valeo |
Automobiles & Components | 619 | 17,892 | |||||||
| Worldline SA (a) |
Software & Services | 724 | 67,741 | |||||||
|
|
|
|||||||||
| 2,268,486 | ||||||||||
|
|
|
|||||||||
37
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Germany – 10.2% |
||||||||||
| adidas AG |
Consumer Durables & Apparel | 579 | $ | 210,070 | ||||||
| Beiersdorf AG |
Household & Personal Products | 312 | 37,043 | |||||||
| Deutsche Boerse AG |
Diversified Financials | 586 | 97,745 | |||||||
| Deutsche Post AG |
Transportation | 3,134 | 212,314 | |||||||
| Encavis AG |
Utilities | 5,039 | 92,185 | |||||||
| Henkel AG & Co. KGaA |
Household & Personal Products | 961 | 87,346 | |||||||
| Infineon Technologies AG |
Semiconductors & Semiconductor Equipment | 3,836 | 146,534 | |||||||
| KION Group AG |
Capital Goods | 247 | 26,220 | |||||||
| Knorr-Bremse AG |
Capital Goods | 210 | 23,771 | |||||||
| LEG Immobilien SE |
Real Estate | 233 | 36,811 | |||||||
| Merck KGaA |
Pharmaceuticals, Biotechnology & Life Sciences | 411 | 84,101 | |||||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
Insurance | 637 | 171,813 | |||||||
| Nordex SE (a) |
Capital Goods | 6,803 | 130,789 | |||||||
| Puma SE |
Consumer Durables & Apparel | 292 | 35,806 | |||||||
| SAP SE |
Software & Services | 3,242 | 465,087 | |||||||
| Sartorius AG, Pfd Shs |
Health Care Equipment & Services | 116 | 70,143 | |||||||
| Siemens AG |
Capital Goods | 2,600 | 405,532 | |||||||
| Siemens Energy AG (a) |
Capital Goods | 1,282 | 34,863 | |||||||
| Siemens Healthineers AG (b) |
Health Care Equipment & Services | 886 | 58,473 | |||||||
| Symrise AG |
Materials | 396 | 58,368 | |||||||
| Vonovia SE |
Real Estate | 1,843 | 122,658 | |||||||
| Zalando SE (a) |
Retailing | 695 | 77,194 | |||||||
|
|
|
|||||||||
| 2,684,866 | ||||||||||
|
|
|
|||||||||
| Hong Kong – 3.0% |
||||||||||
| AIA Group, Ltd. |
Insurance | 38,812 | 464,412 | |||||||
| Hong Kong Exchanges & Clearing, Ltd. |
Diversified Financials | 4,113 | 262,859 | |||||||
| Techtronic Industries Co., Ltd. |
Capital Goods | 4,427 | 78,943 | |||||||
|
|
|
|||||||||
| 806,214 | ||||||||||
|
|
|
|||||||||
| Hungary – 0.1% |
||||||||||
| OTP Bank Nyrt (a) |
Banks | 702 | 37,954 | |||||||
|
|
|
|||||||||
| 37,954 | ||||||||||
|
|
|
|||||||||
| India – 0.9% |
||||||||||
| HDFC Bank, Ltd. ADR |
Banks | 3,552 | 250,665 | |||||||
|
|
|
|||||||||
| 250,665 | ||||||||||
|
|
|
|||||||||
| Ireland – 1.1% |
||||||||||
| CRH PLC |
Materials | 2,507 | 125,423 | |||||||
38
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Ireland (Continued) |
||||||||||
| Kerry Group PLC, Class A |
Food, Beverage & Tobacco | 493 | $ | 73,075 | ||||||
| Kingspan Group plc |
Capital Goods | 487 | 52,938 | |||||||
| Smurfit Kappa Group PLC |
Materials | 822 | 46,355 | |||||||
|
|
|
|||||||||
| 297,791 | ||||||||||
|
|
|
|||||||||
| Italy – 0.8% |
||||||||||
| A2A S.p.A. |
Utilities | 5,004 | 10,612 | |||||||
| DiaSorin SpA |
Health Care Equipment & Services | 75 | 15,216 | |||||||
| Hera SpA |
Utilities | 2,715 | 11,533 | |||||||
| Intesa Sanpaolo SpA |
Banks | 54,789 | 151,300 | |||||||
| Terna SPA |
Utilities | 4,504 | 35,732 | |||||||
|
|
|
|||||||||
| 224,393 | ||||||||||
|
|
|
|||||||||
| Japan – 22.6% |
||||||||||
| Aeon Co., Ltd. |
Food & Staples Retailing | 2,171 | 59,385 | |||||||
| Asahi Intecc Co., Ltd. |
Health Care Equipment & Services | 663 | 17,958 | |||||||
| Asahi Kasei Corp. |
Materials | 4,172 | 45,477 | |||||||
| Canon, Inc. |
Technology Hardware & Equipment | 3,200 | 73,660 | |||||||
| Central Japan Railway Co. |
Transportation | 551 | 80,118 | |||||||
| Daifuku Co., Ltd. |
Capital Goods | 364 | 32,604 | |||||||
| Daiichi Sankyo Co., Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 6,032 | 119,410 | |||||||
| Daiwa House Industry Co., Ltd. |
Real Estate | 1,934 | 59,273 | |||||||
| Eisai Co., Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 875 | 71,942 | |||||||
| FANUC Corp. |
Capital Goods | 618 | 138,355 | |||||||
| Fast Retailing Co., Ltd. |
Retailing | 177 | 119,993 | |||||||
| FUJIFILM Holdings Corp. |
Technology Hardware & Equipment | 1,217 | 87,300 | |||||||
| Hankyu Hanshin Holdings, Inc. |
Transportation | 742 | 21,932 | |||||||
| Hoya Corp. |
Health Care Equipment & Services | 1,187 | 167,499 | |||||||
| Japan Real Estate Investment Corp. |
Real Estate | 4 | 25,111 | |||||||
| Kao Corp. |
Household & Personal Products | 1,529 | 92,025 | |||||||
| Keio Corp. |
Transportation | 352 | 19,709 | |||||||
| Keyence Corp. |
Technology Hardware & Equipment | 607 | 337,962 | |||||||
| Kurita Water Industries, Ltd. |
Capital Goods | 2,539 | 123,265 | |||||||
| Kyocera Corp. |
Technology Hardware & Equipment | 1,055 | 65,164 | |||||||
| Lasertec Corp. |
Semiconductors & Semiconductor Equipment | 248 | 46,538 | |||||||
| LIXIL Corp. |
Capital Goods | 878 | 23,951 | |||||||
| Makita Corp. |
Capital Goods | 780 | 40,543 | |||||||
| Mitsubishi Estate Co., Ltd. |
Real Estate | 3,846 | 60,307 | |||||||
| Mitsui Fudosan Co., Ltd. |
Real Estate | 2,873 | 67,164 | |||||||
| MS&AD Insurance Group Holdings, Inc. |
Insurance | 1,519 | 46,935 | |||||||
39
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Japan (Continued) |
||||||||||
| Murata Manufacturing Co., Ltd. |
Technology Hardware & Equipment |
2,020 | $ | 167,562 | ||||||
| Nidec Corp. |
Capital Goods | 1,628 | 182,657 | |||||||
| Nintendo Co., Ltd. |
Media & Entertainment | 379 | 194,765 | |||||||
| Nippon Paint Holdings Co., Ltd. |
Materials | 3,105 | 39,617 | |||||||
| Nippon Prologis REIT, Inc. (a) |
Real Estate | 6 | 20,029 | |||||||
| Nippon Telegraph & Telephone Corp. |
Telecommunication Services | 7,261 | 185,864 | |||||||
| Nissin Foods Holdings Co., Ltd. |
Food, Beverage & Tobacco | 222 | 15,791 | |||||||
| Nitto Denko Corp. |
Materials | 471 | 34,980 | |||||||
| Nomura Holdings, Inc. |
Diversified Financials | 9,605 | 48,078 | |||||||
| NTT Data Corp. |
Software & Services | 2,028 | 31,400 | |||||||
| Obic Co., Ltd. |
Software & Services | 206 | 36,190 | |||||||
| Omron Corp. |
Technology Hardware & Equipment | 616 | 52,693 | |||||||
| Ono Pharmaceutical Co., Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 1,285 | 29,322 | |||||||
| Oriental Land Co., Ltd. |
Consumer Services | 645 | 88,329 | |||||||
| ORIX Corp. |
Diversified Financials | 3,929 | 68,711 | |||||||
| Rakuten Group, Inc. |
Retailing | 2,807 | 30,876 | |||||||
| Recruit Holdings Co., Ltd. |
Commercial & Professional Services | 4,366 | 226,200 | |||||||
| Renesas Electronics Corp. (a) |
Semiconductors & Semiconductor Equipment | 2,400 | 26,038 | |||||||
| Resona Holdings, Inc. |
Banks | 7,678 | 28,817 | |||||||
| Rohm Co., Ltd. |
Semiconductors & Semiconductor Equipment | 274 | 26,720 | |||||||
| Santen Pharmaceutical Co., Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 1,209 | 16,375 | |||||||
| Sekisui House, Ltd. |
Consumer Durables & Apparel | 1,913 | 37,872 | |||||||
| Shimano, Inc. |
Consumer Durables & Apparel | 247 | 63,201 | |||||||
| Shionogi & Co., Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 968 | 50,958 | |||||||
| Shiseido Co., Ltd. |
Household & Personal Products | 1,283 | 85,715 | |||||||
| SMC Corp. |
Capital Goods | 203 | 120,629 | |||||||
| SoftBank Group Corp. |
Telecommunication Services | 3,704 | 232,833 | |||||||
| Sony Group Corp. |
Consumer Durables & Apparel | 4,004 | 418,112 | |||||||
| Sumitomo Realty & Development Co., Ltd. |
Real Estate | 1,068 | 34,795 | |||||||
| Sysmex Corp. |
Health Care Equipment & Services | 479 | 56,973 | |||||||
| Terumo Corp. |
Health Care Equipment & Services | 2,288 | 88,763 | |||||||
| Tobu Railway Co., Ltd. |
Transportation | 628 | 16,324 | |||||||
| Tokio Marine Holdings, Inc. |
Insurance | 2,073 | 98,761 | |||||||
| Tokyo Electron, Ltd. |
Semiconductors & Semiconductor Equipment | 500 | 206,128 | |||||||
| Tokyu Corp. |
Transportation | 1,915 | 25,656 | |||||||
| Toray Industries, Inc. |
Materials | 4,716 | 31,038 | |||||||
| TOTO, Ltd. |
Capital Goods | 499 | 25,863 | |||||||
40
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Japan (Continued) |
||||||||||
| Toyota Motor Corp. |
Automobiles & Components | 7,301 | $ | 655,182 | ||||||
| Unicharm Corp. |
Household & Personal Products | 1,299 | 52,117 | |||||||
| Yaskawa Electric Corp. |
Capital Goods | 805 | 39,845 | |||||||
| Z Holdings Corp. |
Media & Entertainment | 8,400 | 42,026 | |||||||
|
|
|
|||||||||
| 5,977,385 | ||||||||||
|
|
|
|||||||||
| Netherlands – 8.8% |
||||||||||
| ABN AMRO Group NV (a) |
Banks | 3,003 | 34,991 | |||||||
| Adyen N.V. (a)(b) |
Software & Services | 82 | 222,140 | |||||||
| Akzo Nobel NV |
Materials | 553 | 68,285 | |||||||
| Alfen Beheer BV (a) |
Capital Goods | 1,378 | 138,923 | |||||||
| Arcadis N.V. |
Capital Goods | 3,650 | 161,581 | |||||||
| ASML Holding NV |
Semiconductors & Semiconductor Equipment | 1,328 | 1,014,716 | |||||||
| Basic-Fit N.V. (a)(b) |
Consumer Services | 2,899 | 133,945 | |||||||
| ING Groep NV |
Banks | 12,471 | 159,951 | |||||||
| JDE Peet’s NV |
Food, Beverage & Tobacco | 241 | 8,110 | |||||||
| Koninklijke Ahold Delhaize NV |
Food & Staples Retailing | 3,340 | 103,784 | |||||||
| Koninklijke DSM NV |
Materials | 546 | 110,022 | |||||||
| Koninklijke KPN NV |
Telecommunication Services | 10,475 | 34,359 | |||||||
| Koninklijke Philips NV |
Health Care Equipment & Services | 2,890 | 133,206 | |||||||
|
|
|
|||||||||
| 2,324,013 | ||||||||||
|
|
|
|||||||||
| New Zealand – 0.3% |
||||||||||
| Contact Energy, Ltd. |
Utilities | 2,348 | 13,370 | |||||||
| Meridian Energy, Ltd. |
Utilities | 3,647 | 13,284 | |||||||
| Spark New Zealand, Ltd. |
Telecommunication Services | 5,956 | 19,695 | |||||||
| Xero Ltd. (a) |
Software & Services | 407 | 42,296 | |||||||
|
|
|
|||||||||
| 88,645 | ||||||||||
|
|
|
|||||||||
| Norway – 1.0% |
||||||||||
| DNB Bank ASA |
Banks | 2,817 | 57,728 | |||||||
| Kahoot! ASA (a) |
Media & Entertainment | 22,744 | 101,219 | |||||||
| NEL ASA (a) |
Capital Goods | 43,188 | 82,479 | |||||||
| Orkla ASA |
Food, Beverage & Tobacco | 2,370 | 21,525 | |||||||
|
|
|
|||||||||
| 262,951 | ||||||||||
|
|
|
|||||||||
| Poland – 0.0% |
||||||||||
| CD Projekt SA |
Media & Entertainment | 219 | 10,553 | |||||||
|
|
|
|||||||||
| 10,553 | ||||||||||
|
|
|
|||||||||
| Singapore – 0.4% |
||||||||||
| DBS Group Holdings, Ltd. |
Banks | 4,261 | 95,405 | |||||||
|
|
|
|||||||||
| 95,405 | ||||||||||
|
|
|
|||||||||
41
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| South Africa – 0.2% |
||||||||||
| FirstRand, Ltd. |
Diversified Financials | 11,818 | $ | 43,915 | ||||||
|
|
|
|||||||||
| 43,915 | ||||||||||
|
|
|
|||||||||
| South Korea – 0.1% |
||||||||||
| Coupang Inc. (a) |
Retailing | 600 | 21,792 | |||||||
|
|
|
|||||||||
| 21,792 | ||||||||||
|
|
|
|||||||||
| Spain – 1.9% |
||||||||||
| Acciona SA |
Utilities | 75 | 11,494 | |||||||
| Aena SME SA (a) |
Transportation | 216 | 34,384 | |||||||
| Amadeus IT Group SA (a) |
Software & Services | 1,436 | 94,138 | |||||||
| Banco Bilbao Vizcaya Argentaria SA (a) |
Banks | 21,274 | 136,133 | |||||||
| CaixaBank SA |
Banks | 13,852 | 41,124 | |||||||
| EDP Renovaveis SA |
Utilities | 768 | 18,032 | |||||||
| Grifols SA |
Pharmaceuticals, Biotechnology & Life Sciences | 1,489 | 37,854 | |||||||
| Red Electrica Corp. SA |
Utilities | 1,347 | 26,672 | |||||||
| Siemens Gamesa Renewable Energy SA (a) |
Capital Goods | 716 | 19,961 | |||||||
| Telefonica SA |
Telecommunication Services | 16,525 | 75,571 | |||||||
|
|
|
|||||||||
| 495,363 | ||||||||||
|
|
|
|||||||||
| Sweden – 2.9% |
||||||||||
| Assa Abloy AB, Class B |
Capital Goods | 2,998 | 96,213 | |||||||
| Autoliv, Inc. |
Automobiles & Components | 282 | 28,448 | |||||||
| Axfood AB |
Food & Staples Retailing | 335 | 9,072 | |||||||
| Essity AB, Class B |
Household & Personal Products | 2,020 | 66,123 | |||||||
| Hennes & Mauritz AB, Class B (a) |
Retailing | 2,256 | 47,189 | |||||||
| Kinnevik AB, Class B (a) |
Diversified Financials | 915 | 39,910 | |||||||
| MIPS AB |
Consumer Durables & Apparel | 1,677 | 177,181 | |||||||
| Nibe Industrier AB, Class B |
Capital Goods | 5,068 | 60,593 | |||||||
| Samhallsbyggnadsbolaget i Norden AB |
Real Estate | 24,320 | 121,909 | |||||||
| SKF AB, Class B |
Capital Goods | 1,401 | 37,295 | |||||||
| Svenska Cellulosa AB SCA, Class B |
Materials | 1,910 | 35,544 | |||||||
| Svenska Handelsbanken AB, Class A |
Banks | 4,781 | 53,905 | |||||||
|
|
|
|||||||||
| 773,382 | ||||||||||
|
|
|
|||||||||
| Switzerland – 4.0% |
||||||||||
| Adecco Group AG |
Commercial & Professional Services | 520 | 31,125 | |||||||
| Chocoladefabriken Lindt & Spruengli AG |
Food, Beverage & Tobacco | 7 | 78,396 | |||||||
| EMS-Chemie Holding AG |
Materials | 22 | 24,376 | |||||||
| Geberit AG |
Capital Goods | 114 | 93,556 | |||||||
42
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Switzerland (Continued) |
||||||||||
| Kuehne + Nagel International AG |
Transportation | 177 | $ | 59,678 | ||||||
| Lonza Group AG |
Pharmaceuticals, Biotechnology & Life Sciences | 237 | 184,443 | |||||||
| Sika AG |
Materials | 427 | 150,345 | |||||||
| STMicroelectronics NV |
Semiconductors & Semiconductor Equipment | 3,633 | 149,349 | |||||||
| Swisscom AG |
Telecommunication Services | 81 | 48,657 | |||||||
| Temenos AG |
Software & Services | 203 | 32,230 | |||||||
| Zurich Insurance Group AG |
Insurance | 479 | 193,025 | |||||||
|
|
|
|||||||||
| 1,045,180 | ||||||||||
|
|
|
|||||||||
| United Kingdom – 10.2% |
||||||||||
| 3i Group PLC |
Diversified Financials | 3,104 | 55,182 | |||||||
| Abrdn PLC |
Diversified Financials | 6,956 | 27,448 | |||||||
| Barratt Developments PLC |
Consumer Durables & Apparel | 3,244 | 31,710 | |||||||
| Berkeley Group Holdings PLC |
Consumer Durables & Apparel | 371 | 24,985 | |||||||
| Bunzl PLC |
Capital Goods | 1,074 | 39,799 | |||||||
| Burberry Group PLC |
Consumer Durables & Apparel | 1,290 | 37,011 | |||||||
| CNH Industrial NV |
Capital Goods | 3,147 | 52,527 | |||||||
| Compass Group PLC (a) |
Consumer Services | 5,688 | 120,217 | |||||||
| Farfetch Ltd., Class A (a) |
Retailing | 900 | 45,108 | |||||||
| GlaxoSmithKline PLC |
Pharmaceuticals, Biotechnology & Life Sciences | 16,192 | 319,773 | |||||||
| Halma PLC |
Technology Hardware & Equipment | 1,206 | 48,422 | |||||||
| Informa PLC (a) |
Media & Entertainment | 4,788 | 32,908 | |||||||
| Intertek Group PLC |
Commercial & Professional Services | 513 | 36,764 | |||||||
| J Sainsbury PLC |
Food & Staples Retailing | 6,063 | 23,881 | |||||||
| Johnson Matthey PLC |
Materials | 617 | 25,510 | |||||||
| Just Eat Takeaway.com NV (a) |
Retailing | 368 | 32,666 | |||||||
| Land Securities Group PLC |
Real Estate | 2,364 | 23,273 | |||||||
| Legal & General Group PLC |
Insurance | 19,039 | 68,986 | |||||||
| Linde PLC |
Materials | 1,699 | 522,256 | |||||||
| London Stock Exchange Group PLC |
Diversified Financials | 1,699 | 177,201 | |||||||
| National Grid PLC |
Utilities | 11,340 | 145,031 | |||||||
| Next PLC (a) |
Retailing | 390 | 42,733 | |||||||
| Ocado Group PLC (a) |
Retailing | 1,619 | 41,728 | |||||||
| Pennon Group PLC |
Utilities | 896 | 15,903 | |||||||
| Schroders PLC |
Diversified Financials | 542 | 27,532 | |||||||
| Segro PLC |
Real Estate | 3,794 | 64,151 | |||||||
| Spirax-Sarco Engineering PLC |
Capital Goods | 235 | 48,974 | |||||||
| SSE PLC |
Utilities | 3,327 | 66,721 | |||||||
| Taylor Wimpey PLC |
Consumer Durables & Apparel | 11,316 | 25,878 | |||||||
| Unilever PLC |
Household & Personal Products | 8,267 | 475,899 | |||||||
|
|
|
|||||||||
| 2,700,177 | ||||||||||
|
|
|
|||||||||
43
DOMINI INTERNATIONAL OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| United States – 8.3% |
||||||||||
| Alliant Energy Corp. |
Utilities | 800 | $ | 46,824 | ||||||
| Autodesk, Inc. (a) |
Software & Services | 505 | 162,171 | |||||||
| Campbell Soup Co. |
Food, Beverage & Tobacco | 653 | 28,549 | |||||||
| Clorox Co. (The) |
Household & Personal Products | 410 | 74,165 | |||||||
| Consolidated Edison, Inc. |
Utilities | 1,100 | 81,147 | |||||||
| Copart, Inc. (a) |
Commercial & Professional Services | 697 | 102,459 | |||||||
| Enphase Energy, Inc. (a) |
Semiconductors & Semiconductor Equipment | 1,102 | 208,939 | |||||||
| Essential Utilities, Inc. |
Utilities | 800 | 39,296 | |||||||
| Eversource Energy |
Utilities | 1,100 | 94,897 | |||||||
| Ferguson PLC |
Capital Goods | 712 | 99,840 | |||||||
| General Mills, Inc. |
Food, Beverage & Tobacco | 1,981 | 116,602 | |||||||
| Kroger Co. (The) |
Food & Staples Retailing | 2,256 | 91,819 | |||||||
| McCormick & Co., Inc. |
Food, Beverage & Tobacco | 860 | 72,386 | |||||||
| Nucor Corp. |
Materials | 969 | 100,795 | |||||||
| Pentair PLC |
Capital Goods | 534 | 39,340 | |||||||
| QIAGEN N.V. (a) |
Pharmaceuticals, Biotechnology & Life Sciences | 738 | 38,959 | |||||||
| Schneider Electric SE |
Capital Goods | 1,711 | 286,464 | |||||||
| Spotify Technology SA (a) |
Media & Entertainment | 374 | 85,522 | |||||||
| Square, Inc., Class A (a) |
Software & Services | 401 | 99,151 | |||||||
| Swiss Re AG |
Insurance | 919 | 83,276 | |||||||
| Tesla, Inc. (a) |
Automobiles & Components | 224 | 153,933 | |||||||
| Zoom Video Communications, Inc., Class A (a) |
Software & Services | 211 | 79,779 | |||||||
|
|
|
|||||||||
| 2,186,313 | ||||||||||
|
|
|
|||||||||
| Total Investments – 99.5% (Cost $23,936,562) (c) | 26,302,374 | |||||||||
| Other Assets, less liabilities – 0.5% | 142,759 | |||||||||
|
|
|
|||||||||
| Net Assets – 100.0% | $26,445,133 | |||||||||
|
|
|
|||||||||
(a) Non-income producing security.
(b) Security that may be sold to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. At July 31, 2021, the aggregate value of these securities was $414,558, representing 1.6% of net assets.
(c) The aggregate cost for federal income tax purposes is $23,980,451. The aggregate gross unrealized appreciation is $3,231,049 and the aggregate gross unrealized depreciation is $909,126, resulting in net unrealized appreciation of $2,321,923.
As of the date of this report, certain foreign securities were fair valued by an independent pricing service under the direction of the Board of Trustees or its delegates in accordance with the Trust’s Valuation and Pricing Policies and Procedures.
Abbreviations
ADR — American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS
44
DOMINI SUSTAINABLE SOLUTIONS FUND
Performance Commentary (Unaudited)
The Fund invests in a high-conviction global equity portfolio, seeking companies that provide solutions for a more sustainable future. Domini makes all security selections and investment decisions, using proprietary environmental, social, and financial research and analysis to construct and maintain a portfolio of fewer than 50 equity securities. The Fund may invest in companies of any size around the world, including developed markets across the Americas, Europe and the Asia-Pacific region, as well as select emerging markets. Domini seeks solution-oriented companies that support the Fund’s sustainability themes: accelerate the transition to a low-carbon future; contribute to the development of sustainable communities; help ensure access to clean water; support sustainable food systems; promote societal health and well-being; broaden financial inclusion; and bridge the digital divide and expand access to economic opportunity.
SSGA Funds Management, Inc., an SEC-registered investment adviser, serves as subadviser to the Fund, is responsible for purchasing and selling securities to implement Domini’s investment instructions and for managing the Fund’s short-term investments. SSGA FM is unaffiliated with the Domini Funds, other than with respect to the provision of submanagement services.
Portfolio Performance:
The Domini Sustainable Solutions Fund Investor shares returned 28.94% for the trailing twelve-month period ended July 31, 2021, underperforming the MSCI World Investable Market Index (net) (the “benchmark”)* return of 36.32%. Bear in mind, this Fund is a high-conviction portfolio of fewer than 50 names and is not managed or constrained to a benchmark. Our bottom-up stock selection, rather than sector over- or under-weights, is expected to drive our performance and, in fact, did over the past year.
The largest individual contributor to the Fund’s absolute total return for the period was solar microinverter company Enphase Energy (+214.1%), which was its largest position as of July 31, 2021. Other top contributors included electric-vehicle manufacturer Tesla (+140.2%), energy services company Ameresco (+147.6%), Swedish helmet manufacturer Mips (+162.3% over the period held), merchant services company Square (+90.4%), rooftop solar installer Sunrun (+44.4%), and Japanese water treatment company Kurita Water Industries (+83.3%). While additive, these strong performers were not enough to offset the detractors.
The largest detractors for the period included telemedicine services company Teladoc Health (-37.5%), indoor farming company AppHarvest (-67.6% over the period held), rapid diagnostics provider OraSure Technologies (-40.2% over the period held), French molecular diagnostics company bioMérieux (-31.1%
45
over the period held), Swedish educational technology company Kahoot! (-32.8% over the period held), online degree platform provider 2U (-25.4% over the period held), and Canadian natural foods company SunOpta (-30.7% over the period held).
Although the market’s risk avoidance posture during the early months of 2021 weighed on the Fund’s results for the fiscal-year period, we believe its strong performance over the full period since its inception on April 1, 2020, demonstrates the strong potential and need for solution-oriented investments. Now more than ever, as we continue to struggle with the impacts of the COVID-19 pandemic, the growing climate crisis, and widening economic inequalities, the world needs solutions like those provided by the companies mentioned above. By focusing on how we can help support some of society’s most important sustainability needs — from accelerating the low-carbon transition to investing in more sustainable and healthier food systems — we are confident that we can continue to identify investments with strong long-term growth potential and help create sustainable value for our shareholders, our planet and our global community.
* Effective November 1, 2020, the performance benchmark against which the Fund measures its performance changed from the FTSE Global All Cap Index (gross) to the MSCI World Investable Market Index (net) (MSCI IMI). The MSCI IMI includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses, or taxes. The FTSE Global All Cap Index (gross) reflects the reinvestment of dividends without any withholding tax deduction.
46
TEN LARGEST HOLDINGS (Unaudited)
| SECURITY DESCRIPTION | % NET ASSETS |
SECURITY DESCRIPTION | % NET ASSETS |
|||||||
| Enphase Energy Inc | 5.1% | Autodesk, Inc | 3.9% | |||||||
| Ameresco, Inc Class A | 4.7% | Square, Inc Class A | 3.8% | |||||||
| Hologic, Inc | 4.3% | Palo Alto Networks, Inc | 3.5% | |||||||
| DexCom, Inc | 4.3% | Docusign, Inc | 3.4% | |||||||
| Tesla, Inc | 4.0% | Chegg, Inc | 3.3% | |||||||
PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
47
PORTFOLIO HOLDINGS BY COUNTRY (% OF NET ASSETS) (Unaudited)
The holdings mentioned above are described in the Fund’s Portfolio of Investments as of 7/31/2021 included herein. The composition of the Fund’s portfolio is subject to change.
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.
Through October 31, 2020, the Fund’s benchmark was the FTSE Global All Cap Index (gross), a market-capitalization weighted index representing the performance of the large, mid and small cap stocks globally. This FTSE Index reflects the reinvestment of dividends without any withholding tax deduction. You cannot invest directly in an index.
48
| DOMINI SUSTAINABLE SOLUTIONS FUND |
||||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Investor Shares | FTSE Global All Cap Index (gross) |
MSCI IMI (net) | |||
| 1 Year | 28.94% | 34.79% | 36.32% | |||
| 5 Year | N/A | N/A | N/A | |||
| 10 Year | N/A | N/A | N/A | |||
| Since Inception (4/1/2020) | 66.41% | 48.88% | 49.60% | |||
Comparison of $10,000 Investment in the Domini Sustainable Solutions Fund Investor Shares (CAREX) and MSCI IMI (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. 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 than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Investor share annual operating expenses totaled 3.95%/1.40% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor share expenses to 1.40% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including sustainable investing, portfolio management, information, market, recent events, and mid- to large-cap companies and small-cap companies risks. You may lose money.
Effective November 1, 2020, the performance benchmark against which the Fund measures its performance changed from the FTSE Global All Cap Index (gross) to the MSCI World Investable Market Index (net) (MSCI IMI), a market capitalization weighted index representing the performance of large-mid- and small-capitalization companies in developed markets. The MSCI IMI includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. You cannot invest directly in an index.
49
| DOMINI SUSTAINABLE SOLUTIONS FUND |
||||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Institutional Shares |
FTSE Global All Cap Index (gross) |
MSCI IMI (net) | |||
| 1 Year | 29.25% | 34.79% | 36.32% | |||
| 5 Year | N/A | N/A | N/A | |||
| 10 Year | N/A | N/A | N/A | |||
| Since Inception (4/1/2020) | 66.80% | 48.88% | 49.60% | |||
Comparison of $10,000 Investment in the Domini Sustainable Solutions Fund Investor Shares (LIFEX) and MSCI IMI (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Institutional share annual operating expenses totaled 2.89%/1.15% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Institutional share expenses to 1.15% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including sustainable investing, portfolio management, information, market, recent events, and mid- to large-cap companies and small-cap companies risks. You may lose money.
Effective November 1, 2020, the performance benchmark against which the Fund measures its performance changed from the FTSE Global All Cap Index (gross) to the MSCI World Investable Market Index (net) (MSCI IMI), a market capitalization weighted index representing the performance of large-mid- and small-capitalization companies in developed markets. The MSCI IMI includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. You cannot invest directly in an index.
50
DOMINI SUSTAINABLE SOLUTIONS FUND
PORTFOLIO OF INVESTMENTS
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Long Term Investments – 99.6% | ||||||||
| Common Stocks – 99.6% | ||||||||
| Communication Services – 4.6% | ||||||||
| Kahoot! ASA (a) |
146,235 | $ | 650,798 | |||||
| New York Times Co. (The), Class A |
25,211 | 1,103,738 | ||||||
|
|
|
|||||||
| 1,754,536 | ||||||||
|
|
|
|||||||
| Consumer Discretionary – 11.9% | ||||||||
| Basic-Fit N.V. (a)(b) |
14,798 | 683,724 | ||||||
| Chegg, Inc. (a) |
14,303 | 1,267,675 | ||||||
| MIPS AB |
10,738 | 1,134,509 | ||||||
| Tesla, Inc. (a) |
2,222 | 1,526,958 | ||||||
|
|
|
|||||||
| 4,612,866 | ||||||||
|
|
|
|||||||
| Consumer Staples – 4.5% | ||||||||
| AppHarvest, Inc. (a) |
41,256 | 491,771 | ||||||
| Beyond Meat, Inc. (a) |
4,034 | 494,972 | ||||||
| SunOpta, Inc. (a) |
71,736 | 753,228 | ||||||
|
|
|
|||||||
| 1,739,971 | ||||||||
|
|
|
|||||||
| Financials – 6.1% | ||||||||
| Amalgamated Financial Corp. |
24,183 | 371,451 | ||||||
| Federal Agricultural Mortgage Corp., Class C |
9,853 | 960,667 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
3,722 | 1,003,904 | ||||||
|
|
|
|||||||
| 2,336,022 | ||||||||
|
|
|
|||||||
| Health Care – 20.2% | ||||||||
| Cochlear, Ltd. |
4,008 | 726,308 | ||||||
| DexCom, Inc. (a) |
3,185 | 1,641,900 | ||||||
| Exact Sciences Corp. (a) |
5,807 | 626,227 | ||||||
| Hologic, Inc. (a) |
22,381 | 1,679,470 | ||||||
| Inspire Medical Systems, Inc. (a) |
5,039 | 922,943 | ||||||
| Seagen, Inc. (a) |
7,293 | 1,118,673 | ||||||
| Teladoc Health, Inc. (a) |
7,336 | 1,089,029 | ||||||
|
|
|
|||||||
| 7,804,550 | ||||||||
|
|
|
|||||||
| Industrials – 16.7% | ||||||||
| Alfen Beheer BV (a) |
6,894 | 695,021 | ||||||
| Ameresco, Inc., Class A (a) |
26,222 | 1,796,994 | ||||||
| Arcadis N.V. |
16,902 | 748,230 | ||||||
| Kurita Water Industries, Ltd. |
22,837 | 1,108,705 | ||||||
| NEL ASA (a) |
170,493 | 325,601 | ||||||
| Sunrun, Inc. (a) |
16,684 | 883,751 | ||||||
| Vestas Wind Systems A/S |
24,549 | 904,959 | ||||||
|
|
|
|||||||
| 6,463,261 | ||||||||
|
|
|
|||||||
| Information Technology – 32.6% | ||||||||
| ASML Holding NV |
1,568 | 1,202,248 | ||||||
| Autodesk, Inc. (a) |
4,709 | 1,512,201 | ||||||
51
DOMINI SUSTAINABLE SOLUTIONS FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| SECURITY | SHARES | VALUE | ||||||
| Information Technology (Continued) | ||||||||
| DocuSign, Inc. (a) |
4,425 | $ | 1,318,827 | |||||
| Enphase Energy, Inc. (a) |
10,451 | 1,981,510 | ||||||
| Palo Alto Networks, Inc. (a) |
3,375 | 1,346,794 | ||||||
| Square, Inc., Class A (a) |
5,970 | 1,476,142 | ||||||
| STMicroelectronics NV |
27,238 | 1,119,728 | ||||||
| Ultra Clean Holdings, Inc. (a) |
12,762 | 689,276 | ||||||
| Universal Display Corp. |
3,170 | 743,333 | ||||||
| Zoom Video Communications, Inc., Class A (a) |
3,168 | 1,197,821 | ||||||
|
|
|
|||||||
| 12,587,880 | ||||||||
|
|
|
|||||||
| Real Estate – 3.0% | ||||||||
| Samhallsbyggnadsbolaget i Norden AB |
233,431 | 1,170,126 | ||||||
|
|
|
|||||||
| 1,170,126 | ||||||||
|
|
|
|||||||
| Total Investments – 99.6% (Cost $29,016,959) (c) | 38,469,212 | |||||||
| Other Assets, less liabilities – 0.4% | 161,677 | |||||||
|
|
|
|||||||
| Net Assets – 100.0% | $38,630,889 | |||||||
|
|
|
|||||||
(a) Non-income producing security.
(b) Security that may be sold to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. At July 31, 2021, the aggregate value of these securities was $683,724, representing 1.8% of net assets.
(c) The aggregate cost for federal income tax purposes is $29,119,328. The aggregate gross unrealized appreciation is $10,813,793 and the aggregate gross unrealized depreciation is $1,463,909, resulting in net unrealized appreciation of $9,349,884.
As of the date of this report, certain foreign securities were fair valued by an independent pricing service under the direction of the Board of Trustees or its delegates in accordance with the Trust’s Valuation and Pricing Policies and Procedures.
| Security Description | % Net Assets |
Security Description | % Net Assets |
|||||||
| United States | 67.9% | Germany |
2.6% | |||||||
| Netherlands | 8.6% | Norway |
2.5% | |||||||
| Sweden | 6.0% | Denmark |
2.3% | |||||||
| Switzerland | 2.9% | Canada |
2.0% | |||||||
| Japan | 2.9% | Australia |
1.9% | |||||||
|
|
|
|||||||||
| Total |
99.6% | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS
52
DOMINI IMPACT INTERNATIONAL EQUITY FUND
Performance Commentary (Unaudited)
The Fund invests primarily in mid- to large-cap equities across Europe, the Asia-Pacific region, and throughout the rest of the world. It is managed through a two-step process designed to capitalize on the strengths of Domini Impact Investments and Wellington Management Company, the Fund’s subadviser. Domini creates an approved list of companies based on its social, environmental and governance analysis, and Wellington seeks to add value and manage risk through a systematic and disciplined portfolio construction process.
Portfolio Performance:
The Domini Impact International Equity Fund Investor shares returned 29.34% for the twelve-month period ending July 31, 2021, modestly underperforming its benchmark, the MSCI EAFE Index (net) (the “benchmark”)*, which returned 30.31% during the period.
Wellington’s Quantitative Investment Group’s philosophy relies on systematically exploiting sources of excess returns, stemming from both common behavioral, market structure, and risk premia inefficiencies in the market and the belief that certain factors are strongly associated with stock outperformance.
During the trailing twelve-month period, security selection was the primary positive driver of performance relative to the benchmark. Strong security selection within the Materials, Industrials, and Health Care sectors aided relative results. Within Materials, overweight positions in BlueScope Steel and Fortescure Metals Group were the primary contributors to benchmark-relative results. Partially offsetting these positive results was weak security selection within the Communication Services and Financials sectors.
Typically the Fund’s sector exposures do not deviate significantly from the benchmark, generally within a +/- 3% range, as the Fund seeks to derive its performance from selection of stocks rather than sector exposures. From an allocation perspective, modest positive sector positioning relative to the benchmark contributed to relative results during the period. In particular, underweight exposure to the Utilities sector contributed to relative performance.
From a regional perspective, strong security selection within developed European markets, excluding the United Kingdom, and Asia, excluding Japan, contributed to relative results. This positive impact was partially offset by negative selection within Japan and the developed Middle East region. An out-of-benchmark allocation to emerging markets contributed to relative performance, driven primarily by strong performance in Taiwan.
53
From a market capitalization standpoint, the Fund’s strong security selection within mega-cap securities (U.S. $20 billion to U.S. $50 billion) and large-cap securities (U.S. $10 billion to U.S. $20 billion) compared to the benchmark were primary contributors to relative performance over the trailing twelve-month period. The Fund also maintained an overweight allocation to small- and mid-cap securities (less than U.S. $2 billion and U.S. $2 billion to U.S. $10 billion, respectively), both of which contributed to relative results.
Over the period the Fund’s momentum and value exposures contributed to results, while quality detracted. Within momentum, both long- and short-term momentum themes contributed to returns. Within value, both the pure and fair value themes were also positive contributors. Within quality, both earnings quality and management behavior produced negative results, but the earnings quality theme detracted the most.
In terms of holdings, top contributors relative to the benchmark during the period included BlueScope Steel (Materials), ASM International (Information Technology), and not owning Nestlé (Consumer Staples), which is not eligible for investment due to Domini’s environmental and social impact investment standards.
Top detractors to performance relative to the benchmark included ASML Holding (Information Technology), Magellan Financial Group (Financials), and not owning LVMH Moët Hennessy Louis Vuitton (Consumer Discretionary), which is excluded by Domini due to its alcohol production.
* MSCI EAFE Index (net) returns reflect reinvested dividends net of withholding taxes but reflect no deduction for fees, expenses, or other taxes.
54
TEN LARGEST HOLDINGS (Unaudited)
| SECURITY DESCRIPTION | % NET ASSETS |
SECURITY DESCRIPTION | % NET ASSETS |
|||||||
| Novartis AG | 2.4% | ABB, Ltd | 2.0% | |||||||
| Sanofi | 2.4% | Hoya Corp | 1.9% | |||||||
| Merck KGaA | 2.2% | Nintendo Co., Ltd | 1.8% | |||||||
| Sika AG | 2.2% | Vodafone Group PLC | 1.7% | |||||||
| Schneider Electric SE | 2.0% | Ferguson PLC | 1.7% | |||||||
PORTFOLIO HOLDINGS BY INDUSTRY SECTOR (% OF NET ASSETS) (Unaudited)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
55
PORTFOLIO HOLDINGS BY COUNTRY (% OF NET ASSETS) (Unaudited)
The holdings mentioned above are described in the Fund’s Portfolio of Investments as of 7/31/2021, included herein. The composition of the Fund’s portfolio is subject to change.
*Other countries include Belgium 0.8%, Brazil 0.6%, South Korea 0.6%, Norway 0.6%, India 0.4%, Hungary 0.2%, Mexico 0.2%, Ireland 0.2%, and Thailand 0.2%.
56
| Domini Impact International Equity Fund |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Investor shares | MSCI EAFE (net) | ||
| 1 Year | 29.34% | 30.31% | ||
| 5 Year | 7.44% | 9.36% | ||
| 10 Year | 6.18% | 6.14% | ||
Comparison of $10,000 Investment in the Domini Impact International Equity Fund Investor Shares (DOMIX) and MSCI EAFE (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. 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 than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Investor share annual operating expenses totaled 1.38% (gross and net).
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including foreign investing, emerging markets, geographic focus, country, currency, impact investing, portfolio management market, recent events and mid- to large-cap companies risks. 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 Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
57
| Domini Impact International Equity Fund |
||||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Class A shares (with 4.75% maximum Sales Charge) |
Class A shares (without Sales Charge) |
MSCI EAFE (net) | |||
| 1 Year | 23.17% | 29.31% | 30.31% | |||
| 5 Year | 6.33% | 7.37% | 9.36% | |||
| 10 Year | 5.66% | 6.17% | 6.14% | |||
Comparison of $10,000 Investment in the Domini Impact International Equity Fund Class A Shares (DOMAX) and MSCI EAFE (NET) (with 4.75% Maximum Sales Charge) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Class A share annual operating expenses totaled 1.54%/1.40% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class A share expenses to 1.40% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including foreign investing, emerging markets, geographic focus, country, currency, impact investing, portfolio management market, recent events and mid- to large-cap companies risks. 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 Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
58
| DOMINI INTERNATIONAL IMPACT EQUITY FUND |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Institutional shares | MSCI EAFE (net) | ||
| 1 Year | 29.80% | 30.31% | ||
| 5 Year | 7.84% | 9.36% | ||
| 10 Year | 6.18%* | 6.14% | ||
Comparison of $500,000 Investment in the Domini Impact International Equity Fund Institutional Shares (DOMOX) and MSCI EAFE (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Institutional share annual operating expenses totaled 0.95% (gross and net).
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including foreign investing, emerging markets, geographic focus, country, currency, impact investing, portfolio management market, recent events and mid- to large-cap companies risks. 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 Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment.
*Institutional shares were not offered prior to November 30, 2012. All performance information for time periods beginning prior to November 30, 2012 is the performance of the Investor shares. Unless otherwise noted, this performance has not been adjusted to reflect the lower expenses of the Institutional shares.
59
| DOMINI INTERNATIONAL IMPACT EQUITY FUND |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Class Y shares | MSCI EAFE (net) | ||
| 1 Year | 29.88% | 30.31% | ||
| 5 Year | 7.44%* | 9.36% | ||
| 10 Year | 6.18%* | 6.14% | ||
Comparison of $10,000 Investment in the Domini Impact International Equity Fund Class Y Shares (DOMYX) and MSCI EAFE (NET) (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s Class Y share annual operating expenses totaled 1.06% (gross and net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class Y share expenses to 1.12% through November 30, 2021, absent an earlier modification approved by the Funds’ Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including foreign investing, emerging markets, geographic focus, country, currency, impact investing, portfolio management market, recent events and mid- to large-cap companies risks. 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 Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) index (net) is an unmanaged index of common stocks. MSCI EAFE (net) includes the reinvestment of dividends net of withholding tax, but does not reflect other fees, expenses or taxes. It is not available for direct investment
*Class Y Shares were not offered prior to July 23, 2018. All performance information for time periods beginning prior to July 23, 2018 is the performance of the Investor Shares. This performance has not been adjusted to reflect the lower expenses of the Class Y Shares.
60
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Common Stocks – 98.4% | ||||||||||
| Australia – 3.8% |
||||||||||
| Bendigo & Adelaide Bank, Ltd. |
Banks | 582,081 | $ | 4,425,966 | ||||||
| BlueScope Steel, Ltd. |
Materials | 1,028,868 | 18,275,071 | |||||||
| Fortescue Metals Group, Ltd. |
Materials | 1,273,413 | 23,306,608 | |||||||
| Harvey Norman Holdings, Ltd. |
Retailing | 1,714,494 | 7,172,147 | |||||||
| JB Hi-Fi, Ltd. |
Retailing | 207,216 | 7,329,513 | |||||||
| Mirvac Group |
Real Estate | 6,693 | 14,071 | |||||||
|
|
|
|||||||||
| 60,523,376 | ||||||||||
|
|
|
|||||||||
| Austria – 1.1% |
||||||||||
| Erste Group Bank AG |
Banks | 75,659 | 2,930,717 | |||||||
| Verbund AG |
Utilities | 70,433 | 6,494,255 | |||||||
| voestalpine AG |
Materials | 178,705 | 7,880,695 | |||||||
|
|
|
|||||||||
| 17,305,667 | ||||||||||
|
|
|
|||||||||
| Belgium – 0.8% |
||||||||||
| Ageas SA |
Insurance | 252,142 | 13,309,477 | |||||||
|
|
|
|||||||||
| 13,309,477 | ||||||||||
|
|
|
|||||||||
| Brazil – 0.6% |
||||||||||
| Cia Brasileira de Distribuicao |
Food & Staples Retailing | 450,300 | 2,714,695 | |||||||
| Itausa SA, Pfd Shs |
Banks | 3,206,900 | 6,959,467 | |||||||
| Raia Drogasil SA |
Food & Staples Retailing | 2,380 | 11,671 | |||||||
|
|
|
|||||||||
| 9,685,833 | ||||||||||
|
|
|
|||||||||
| China – 2.5% |
||||||||||
| Airtac International Group |
Capital Goods | 76,000 | 2,455,975 | |||||||
| Chow Tai Fook Jewellery Group Ltd. |
Retailing | 1,179,000 | 2,471,752 | |||||||
| Lenovo Group, Ltd. |
Technology Hardware & Equipment | 1,326,000 | 1,236,463 | |||||||
| Li Ning Co., Ltd. |
Consumer Durables & Apparel | 637,642 | 6,734,293 | |||||||
| NXP Semiconductors NV |
Semiconductors & Semiconductor Equipment | 33,729 | 6,961,328 | |||||||
| SITC International Holdings Co. Ltd. |
Transportation | 3,188,000 | 13,151,600 | |||||||
| Zhongsheng Group Holdings, Ltd. |
Retailing | 645,500 | 5,949,043 | |||||||
|
|
|
|||||||||
| 38,960,454 | ||||||||||
|
|
|
|||||||||
| Denmark – 2.9% |
||||||||||
| Demant A/S (a) |
Health Care Equipment & Services | 172,897 | 10,563,831 | |||||||
61
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Denmark (Continued) |
||||||||||
| DSV PANALPINA A/S |
Transportation | 14,215 | $ | 3,464,068 | ||||||
| GN Store Nord A/S |
Health Care Equipment & Services | 185,947 | 16,290,227 | |||||||
| Novo Nordisk A/S, Class B |
Pharmaceuticals, Biotechnology & Life Sciences | 179 | 16,565 | |||||||
| Pandora A/S |
Consumer Durables & Apparel | 122,426 | 15,831,863 | |||||||
| Vestas Wind Systems A/S |
Capital Goods | 290 | 10,691 | |||||||
|
|
|
|||||||||
| 46,177,245 | ||||||||||
|
|
|
|||||||||
| Finland – 2.0% |
||||||||||
| Kesko OYJ, Class B |
Food & Staples Retailing | 435,008 | 18,638,215 | |||||||
| Nordea Bank Abp |
Banks | 1,087,091 | 12,736,642 | |||||||
|
|
|
|||||||||
| 31,374,857 | ||||||||||
|
|
|
|||||||||
| France – 6.5% |
||||||||||
| BNP Paribas SA |
Banks | 377,690 | 23,022,469 | |||||||
| Carrefour SA |
Food & Staples Retailing | 403,362 | 7,489,311 | |||||||
| CNP Assurances |
Insurance | 89,361 | 1,518,398 | |||||||
| Credit Agricole SA |
Banks | 839,278 | 11,698,043 | |||||||
| Edenred |
Software & Services | 30,594 | 1,776,713 | |||||||
| EssilorLuxottica SA |
Consumer Durables & Apparel | 8,522 | 1,608,197 | |||||||
| Ipsen SA |
Pharmaceuticals, Biotechnology & Life Sciences | 14,593 | 1,558,823 | |||||||
| Kering SA |
Consumer Durables & Apparel | 18 | 16,142 | |||||||
| Orange SA |
Telecommunication Services | 124,022 | 1,379,734 | |||||||
| Publicis Groupe SA |
Media & Entertainment | 145,984 | 9,212,563 | |||||||
| Rexel SA (a) |
Capital Goods | 264,792 | 5,588,144 | |||||||
| Sanofi |
Pharmaceuticals, Biotechnology & Life Sciences | 364,181 | 37,523,059 | |||||||
|
|
|
|||||||||
| 102,391,596 | ||||||||||
|
|
|
|||||||||
| Germany – 5.9% |
||||||||||
| adidas AG |
Consumer Durables & Apparel | 33 | 11,973 | |||||||
| Carl Zeiss Meditec AG |
Health Care Equipment & Services | 11,462 | 2,551,763 | |||||||
| Deutsche Telekom AG |
Telecommunication Services | 477 | 9,896 | |||||||
| Evonik Industries AG |
Materials | 155,117 | 5,391,388 | |||||||
| Henkel AG & Co. KGaA, Pfd Shs |
Household & Personal Products | 125,001 | 12,668,365 | |||||||
| HUGO BOSS AG |
Consumer Durables & Apparel | 166,770 | 9,987,190 | |||||||
| LEG Immobilien SE |
Real Estate | 48,932 | 7,730,606 | |||||||
| Merck KGaA |
Pharmaceuticals, Biotechnology & Life Sciences | 170,574 | 34,903,927 | |||||||
| Siemens AG |
Capital Goods | 62,834 | 9,800,458 | |||||||
| Telefonica Deutschland Holding AG |
Telecommunication Services | 1,312,374 | 3,536,236 | |||||||
| Wacker Chemie AG |
Materials | 41,051 | 6,036,473 | |||||||
|
|
|
|||||||||
| 92,628,275 | ||||||||||
|
|
|
|||||||||
62
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Hong Kong – 2.2% |
||||||||||
| AIA Group, Ltd. |
Insurance | 115,800 | $ | 1,385,626 | ||||||
| Hong Kong Exchanges & Clearing, Ltd. |
Diversified Financials | 22,135 | 1,414,632 | |||||||
| Swire Pacific, Ltd., Class A |
Real Estate | 189,500 | 1,177,134 | |||||||
| Swire Properties, Ltd. |
Real Estate | 691,800 | 1,967,575 | |||||||
| Techtronic Industries Co., Ltd. |
Capital Goods | 1,085,500 | 19,356,817 | |||||||
| Xinyi Glass Holdings, Ltd. |
Capital Goods | 2,505,000 | 9,362,027 | |||||||
|
|
|
|||||||||
| 34,663,811 | ||||||||||
|
|
|
|||||||||
| Hungary – 0.2% |
||||||||||
| Richter Gedeon Nyrt |
Pharmaceuticals, Biotechnology & Life Sciences | 142,347 | 3,915,477 | |||||||
|
|
|
|||||||||
| 3,915,477 | ||||||||||
|
|
|
|||||||||
| India – 0.4% |
||||||||||
| Dr Reddy’s Laboratories, Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 250 | 15,841 | |||||||
| Wipro Ltd. |
Software & Services | 734,018 | 5,791,033 | |||||||
|
|
|
|||||||||
| 5,806,874 | ||||||||||
|
|
|
|||||||||
| Ireland – 0.2% |
||||||||||
| Bank of Ireland Group PLC (a) |
Banks | 626,638 | 3,323,177 | |||||||
|
|
|
|||||||||
| 3,323,177 | ||||||||||
|
|
|
|||||||||
| Israel – 1.1% |
||||||||||
| Check Point Software Technologies, Ltd. (a) |
Software & Services | 130,918 | 16,639,678 | |||||||
|
|
|
|||||||||
| 16,639,678 | ||||||||||
|
|
|
|||||||||
| Italy – 3.7% |
||||||||||
| Amplifon S.p.A. |
Health Care Equipment & Services | 245,344 | 12,111,589 | |||||||
| Assicurazioni Generali SpA |
Insurance | 543,083 | 10,823,952 | |||||||
| Banco BPM SpA |
Banks | 3,929,668 | 11,784,638 | |||||||
| Intesa Sanpaolo SpA |
Banks | 7,127,456 | 19,682,454 | |||||||
| Moncler SpA |
Consumer Durables & Apparel | 55,118 | 3,784,216 | |||||||
|
|
|
|||||||||
| 58,186,849 | ||||||||||
|
|
|
|||||||||
| Japan – 21.3% |
||||||||||
| Aeon Mall Co., Ltd. |
Real Estate | 101,300 | 1,543,393 | |||||||
| Aisin Corp. |
Automobiles & Components | 64,000 | 2,589,908 | |||||||
| Alps Alpine Co., Ltd. |
Technology Hardware & Equipment | 409,200 | 4,257,573 | |||||||
| Benesse Holdings, Inc. |
Consumer Services | 61,100 | 1,405,392 | |||||||
63
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Japan (Continued) |
||||||||||
| Brother Industries, Ltd. |
Technology Hardware & Equipment | 74,500 | $ | 1,515,522 | ||||||
| Canon, Inc. |
Technology Hardware & Equipment | 554,900 | 12,773,031 | |||||||
| Central Japan Railway Co. |
Transportation | 80 | 11,632 | |||||||
| Coca-Cola Bottlers Japan Holdings, Inc. |
Food, Beverage & Tobacco | 101,000 | 1,647,563 | |||||||
| Dai Nippon Printing Co., Ltd. |
Commercial & Professional Services | 341,141 | 8,035,805 | |||||||
| Dai-ichi Life Holdings, Inc. |
Insurance | 1,283,500 | 23,613,178 | |||||||
| Eisai Co., Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 150 | 12,333 | |||||||
| Fancl Corp. |
Household & Personal Products | 207,086 | 6,579,926 | |||||||
| GungHo Online Entertainment, Inc. |
Media & Entertainment | 170,314 | 3,154,183 | |||||||
| Hachijuni Bank, Ltd. (The) |
Banks | 488,522 | 1,579,834 | |||||||
| Hino Motors, Ltd. |
Capital Goods | 222,700 | 1,951,541 | |||||||
| Hoya Corp. |
Health Care Equipment & Services | 207,069 | 29,219,843 | |||||||
| K’s Holdings Corp. |
Retailing | 245,372 | 2,897,802 | |||||||
| LIXIL Corp. |
Capital Goods | 121,500 | 3,314,384 | |||||||
| M3, Inc. |
Health Care Equipment & Services | 82,200 | 5,374,224 | |||||||
| Medipal Holdings Corp. |
Health Care Equipment & Services | 299,857 | 5,644,951 | |||||||
| MISUMI Group, Inc. |
Capital Goods | 82,200 | 2,863,918 | |||||||
| Mitsubishi Estate Co., Ltd. |
Real Estate | 1,174,825 | 18,421,826 | |||||||
| Mitsubishi Gas Chemical Co., Inc. |
Materials | 193,452 | 4,028,125 | |||||||
| Mitsui Fudosan Co., Ltd. |
Real Estate | 400 | 9,351 | |||||||
| MS&AD Insurance Group Holdings, Inc. |
Insurance | 83,610 | 2,583,413 | |||||||
| Murata Manufacturing Co., Ltd. |
Technology Hardware & Equipment | 90,500 | 7,507,129 | |||||||
| Nikon Corp. |
Consumer Durables & Apparel | 347,100 | 3,229,951 | |||||||
| Nintendo Co., Ltd. |
Media & Entertainment | 53,877 | 27,686,966 | |||||||
| Nippon Electric Glass Co., Ltd. |
Technology Hardware & Equipment | 350,075 | 7,945,834 | |||||||
| Nissan Motor Co., Ltd. (a) |
Automobiles & Components | 2,959,899 | 17,171,728 | |||||||
| Nomura Real Estate Holdings, Inc. |
Real Estate | 430 | 10,658 | |||||||
| NTN Corp. (a) |
Capital Goods | 5,300 | 13,595 | |||||||
| NTT Data Corp. |
Software & Services | 986,400 | 15,272,610 | |||||||
| ORIX Corp. |
Diversified Financials | 630 | 11,018 | |||||||
| Otsuka Holdings Co., Ltd. |
Pharmaceuticals, Biotechnology & Life Sciences | 141,986 | 5,641,496 | |||||||
| Panasonic Corp. |
Consumer Durables & Apparel | 1,122,800 | 13,552,321 | |||||||
| Pola Orbis Holdings, Inc. |
Household & Personal Products | 74,500 | 1,780,146 | |||||||
| Renesas Electronics Corp. (a) |
Semiconductors & Semiconductor Equipment | 392,900 | 4,262,646 | |||||||
64
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Japan (Continued) |
||||||||||
| Ricoh Co., Ltd. |
Technology Hardware & Equipment | 257,800 | $ | 2,815,786 | ||||||
| SBI Holdings, Inc. |
Diversified Financials | 238,400 | 5,704,468 | |||||||
| Seiko Epson Corp. |
Technology Hardware & Equipment | 486,100 | 8,360,366 | |||||||
| Seino Holdings Co., Ltd. |
Transportation | 276,620 | 3,519,251 | |||||||
| Shimamura Co., Ltd. |
Retailing | 59,491 | 5,748,382 | |||||||
| Sony Group Corp. |
Consumer Durables & Apparel | 170 | 17,752 | |||||||
| Sugi Holdings Co., Ltd. |
Food & Staples Retailing | 21,500 | 1,585,975 | |||||||
| Sumitomo Realty & Development Co., Ltd. |
Real Estate | 91,300 | 2,974,540 | |||||||
| Sundrug Co., Ltd. |
Food & Staples Retailing | 187,194 | 6,074,217 | |||||||
| Sysmex Corp. |
Health Care Equipment & Services | 19,200 | 2,283,682 | |||||||
| Taiyo Yuden Co., Ltd. |
Technology Hardware & Equipment | 96,800 | 4,965,821 | |||||||
| TIS, Inc. |
Software & Services | 218,162 | 5,655,984 | |||||||
| Toho Gas Co., Ltd. |
Utilities | 30,500 | 1,481,922 | |||||||
| Tokyo Electron, Ltd. |
Semiconductors & Semiconductor Equipment | 4,700 | 1,937,605 | |||||||
| TOPPAN, Inc. |
Commercial & Professional Services | 540 | 9,156 | |||||||
| Toyo Seikan Group Holdings, Ltd. |
Materials | 137,427 | 1,869,103 | |||||||
| Trend Micro, Inc. |
Software & Services | 83,800 | 4,361,099 | |||||||
| Unicharm Corp. |
Household & Personal Products | 66,200 | 2,656,002 | |||||||
| Yamada Holding Co., Ltd. |
Retailing | 245,200 | 1,157,960 | |||||||
| Yamato Holdings Co., Ltd. |
Transportation | 676,700 | 19,494,581 | |||||||
| Yamazaki Baking Co., Ltd. |
Food, Beverage & Tobacco | 187,100 | 2,567,830 | |||||||
| ZOZO, Inc. |
Retailing | 54,000 | 1,838,416 | |||||||
|
|
|
|||||||||
| 336,194,647 | ||||||||||
|
|
|
|||||||||
| Mexico – 0.2% |
||||||||||
| Gruma SAB de C.V., Class B |
Food, Beverage & Tobacco | 329,865 | 3,564,824 | |||||||
|
|
|
|||||||||
| 3,564,824 | ||||||||||
|
|
|
|||||||||
| Netherlands – 3.2% |
||||||||||
| ASM International NV |
Semiconductors & Semiconductor Equipment | 50,687 | 17,982,497 | |||||||
| ASML Holding NV |
Semiconductors & Semiconductor Equipment | 6,706 | 5,124,012 | |||||||
| ASR Nederland NV |
Insurance | 38,706 | 1,590,081 | |||||||
| Koninklijke Ahold Delhaize NV |
Food & Staples Retailing | 840,336 | 26,111,795 | |||||||
|
|
|
|||||||||
| 50,808,385 | ||||||||||
|
|
|
|||||||||
65
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Norway – 0.6% |
||||||||||
| Orkla ASA |
Food, Beverage & Tobacco | 312,804 | $ | 2,840,979 | ||||||
| Storebrand ASA |
Insurance | 694,679 | 5,964,475 | |||||||
|
|
|
|||||||||
| 8,805,454 | ||||||||||
|
|
|
|||||||||
| Singapore – 1.2% |
||||||||||
| DBS Group Holdings, Ltd. |
Banks | 562,256 | 12,589,132 | |||||||
| Mapletree Logistics Trust |
Real Estate | 2,497,600 | 3,891,127 | |||||||
| Singapore Exchange, Ltd. |
Diversified Financials | 317,500 | 2,779,863 | |||||||
|
|
|
|||||||||
| 19,260,122 | ||||||||||
|
|
|
|||||||||
| South Africa – 1.9% |
||||||||||
| Capitec Bank Holdings, Ltd. |
Banks | 69,943 | 7,777,819 | |||||||
| Clicks Group, Ltd. |
Food & Staples Retailing | 362,158 | 6,562,478 | |||||||
| Mr Price Group, Ltd. |
Retailing | 524,674 | 7,818,777 | |||||||
| Shoprite Holdings, Ltd. |
Food & Staples Retailing | 701,248 | 7,688,981 | |||||||
|
|
|
|||||||||
| 29,848,055 | ||||||||||
|
|
|
|||||||||
| South Korea – 0.6% |
||||||||||
| Coway Co., Ltd. |
Consumer Durables & Apparel | 22,470 | 1,673,606 | |||||||
| Kakao Corp. |
Media & Entertainment | 48,029 | 6,148,429 | |||||||
| LG Display Co., Ltd. (a) |
Technology Hardware & Equipment | 70,045 | 1,345,854 | |||||||
|
|
|
|||||||||
| 9,167,889 | ||||||||||
|
|
|
|||||||||
| Spain – 2.9% |
||||||||||
| Banco Bilbao Vizcaya Argentaria SA (a) |
Banks | 1,586,035 | 10,149,115 | |||||||
| Banco Santander SA (a) |
Banks | 6,325,126 | 23,161,110 | |||||||
| Industria de Diseno Textil SA |
Retailing | 355,084 | 12,038,588 | |||||||
|
|
|
|||||||||
| 45,348,813 | ||||||||||
|
|
|
|||||||||
| Sweden – 3.1% |
||||||||||
| Electrolux AB, Class B |
Consumer Durables & Apparel | 402,233 | 10,569,265 | |||||||
| Elekta AB, Class B |
Health Care Equipment & Services | 119,161 | 1,740,084 | |||||||
| Essity AB, Class B |
Household & Personal Products | 318 | 10,410 | |||||||
| Getinge AB, Class B |
Health Care Equipment & Services | 92,718 | 4,031,263 | |||||||
| Hennes & Mauritz AB, Class B (a) |
Retailing | 484 | 10,124 | |||||||
| Husqvarna AB, Class B |
Consumer Durables & Apparel | 427,167 | 5,980,604 | |||||||
| Industrivarden AB, Class C |
Diversified Financials | 98,795 | 3,783,759 | |||||||
| Kinnevik AB, Class B (a) |
Diversified Financials | 98,299 | 4,287,565 | |||||||
| Sandvik AB |
Capital Goods | 615,999 | 16,070,999 | |||||||
| Trelleborg AB, Class B |
Capital Goods | 75,316 | 1,862,713 | |||||||
|
|
|
|||||||||
| 48,346,786 | ||||||||||
|
|
|
|||||||||
66
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| Switzerland – 12.0% |
||||||||||
| ABB, Ltd. |
Capital Goods | 868,891 | $ | 31,749,451 | ||||||
| Adecco Group AG |
Commercial & Professional Services | 346,833 | 20,760,179 | |||||||
| Kuehne + Nagel International AG |
Transportation | 53,439 | 18,017,788 | |||||||
| Logitech International SA |
Technology Hardware & Equipment | 168,891 | 18,546,737 | |||||||
| Novartis AG |
Pharmaceuticals, Biotechnology & Life Sciences | 416,424 | 38,491,097 | |||||||
| Sika AG |
Materials | 98,471 | 34,671,195 | |||||||
| Straumann Holding AG |
Health Care Equipment & Services | 3,378 | 6,259,764 | |||||||
| Swatch Group AG |
Consumer Durables & Apparel | 16,150 | 5,384,688 | |||||||
| Swiss Life Holding AG |
Insurance | 18,015 | 9,287,574 | |||||||
| Temenos AG |
Software & Services | 38,127 | 6,053,407 | |||||||
|
|
|
|||||||||
| 189,221,880 | ||||||||||
|
|
|
|||||||||
| Taiwan – 1.6% |
||||||||||
| Acer, Inc. |
Technology Hardware & Equipment | 1,850,000 | 1,805,996 | |||||||
| MediaTek, Inc. |
Semiconductors & Semiconductor Equipment | 108,000 | 3,531,368 | |||||||
| Novatek Microelectronics Corp. |
Semiconductors & Semiconductor Equipment | 339,277 | 6,241,110 | |||||||
| Realtek Semiconductor Corp. |
Semiconductors & Semiconductor Equipment | 83,000 | 1,752,445 | |||||||
| Unimicron Technology Corp. (a) |
Technology Hardware & Equipment | 766,000 | 4,024,776 | |||||||
| United Microelectronics Corp. |
Semiconductors & Semiconductor Equipment | 3,533,259 | 7,388,563 | |||||||
|
|
|
|||||||||
| 24,744,258 | ||||||||||
|
|
|
|||||||||
| Thailand – 0.2% |
||||||||||
| Delta Electronics Thailand PCL |
Technology Hardware & Equipment | 90,000 | 1,599,148 | |||||||
| Kasikornbank PCL |
Banks | 291,900 | 908,381 | |||||||
|
|
|
|||||||||
| 2,507,529 | ||||||||||
|
|
|
|||||||||
| United Kingdom – 10.5% |
||||||||||
| 3i Group PLC |
Diversified Financials | 573,934 | 10,203,210 | |||||||
| Abrdn PLC |
Diversified Financials | 1,242,026 | 4,900,943 | |||||||
| Ashtead Group PLC |
Capital Goods | 198,480 | 14,855,884 | |||||||
| Aviva PLC |
Insurance | 275,447 | 1,479,698 | |||||||
| B&M European Value Retail SA |
Retailing | 466,558 | 3,585,392 | |||||||
| CNH Industrial NV |
Capital Goods | 1,548,700 | 25,849,704 | |||||||
| ConvaTec Group PLC |
Health Care Equipment & Services | 1,597,976 | 5,263,319 | |||||||
| Farfetch Ltd., Class A (a) |
Retailing | 157,458 | 7,891,795 | |||||||
67
DOMINI IMPACT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| COUNTRY/SECURITY | INDUSTRY | SHARES | VALUE | |||||||
| United Kingdom (Continued) |
||||||||||
| Halma PLC |
Technology Hardware & Equipment | 74,337 | $ | 2,984,711 | ||||||
| Inchcape PLC |
Retailing | 320,528 | 3,786,947 | |||||||
| J Sainsbury PLC |
Food & Staples Retailing | 1,795,735 | 7,073,075 | |||||||
| Kingfisher PLC |
Retailing | 315,400 | 1,620,437 | |||||||
| Next PLC (a) |
Retailing | 132,955 | 14,568,027 | |||||||
| Pennon Group PLC |
Utilities | 178,518 | 3,168,512 | |||||||
| Persimmon PLC |
Consumer Durables & Apparel | 173,841 | 7,014,095 | |||||||
| Schroders PLC |
Diversified Financials | 37,755 | 1,917,838 | |||||||
| Segro PLC |
Real Estate | 977,382 | 16,526,056 | |||||||
| St James’s Place PLC |
Diversified Financials | 133,464 | 2,941,217 | |||||||
| Travis Perkins PLC (a) |
Capital Goods | 116,312 | 2,751,710 | |||||||
| Unilever PLC |
Household & Personal Products | 237 | 13,643 | |||||||
| Vodafone Group PLC |
Telecommunication Services | 17,107,004 | 27,514,157 | |||||||
|
|
|
|||||||||
| 165,910,370 | ||||||||||
|
|
|
|||||||||
| United States – 5.2% |
||||||||||
| Ferguson PLC |
Capital Goods | 187,739 | 26,325,585 | |||||||
| Jazz Pharmaceuticals PLC (a) |
Pharmaceuticals, Biotechnology & Life Sciences | 22,554 | 3,823,354 | |||||||
| JS Global Lifestyle Co., Ltd. |
Consumer Durables & Apparel | 1,306,000 | 3,293,040 | |||||||
| QIAGEN N.V. (a) |
Pharmaceuticals, Biotechnology & Life Sciences | 322,380 | 17,018,440 | |||||||
| Schneider Electric SE |
Capital Goods | 191,565 | 32,072,725 | |||||||
|
|
|
|||||||||
| 82,533,144 | ||||||||||
|
|
|
|||||||||
| Total Investments – 98.4% (Cost $1,309,910,745) (b) |
1,551,154,802 | |||||||||
| Other Assets, less liabilities – 1.6% | 24,817,535 | |||||||||
|
|
|
|||||||||
| Net Assets – 100.0% | $1,575,972,337 | |||||||||
|
|
|
|||||||||
(a) Non-income producing security.
(b) The aggregate cost for federal income tax purposes is $1,318,436,705. The aggregate gross unrealized appreciation is $248,659,882 and the aggregate gross unrealized depreciation is $15,941,785, resulting in net unrealized appreciation of $232,718,097.
As of the date of this report, certain foreign securities were fair valued by an independent pricing service under the direction of the Board of Trustees or its delegates in accordance with the Trust’s Valuation and Pricing Policies and Procedures.
SEE NOTES TO FINANCIAL STATEMENTS
68
Performance Commentary (Unaudited)
The Fund invests primarily in investment-grade fixed-income securities, including government, corporate, mortgage-backed and asset-backed securities, and U.S. dollar-denominated bonds issued by non-U.S. entities. It is managed through a two-step process designed to capitalize on the strengths of Domini Impact Investments and Wellington Management Company. Domini sets social and environmental guidelines and objectives for each asset class, and develops an approved universe of issuers and securities, and Wellington utilizes proprietary analytical tools to manage the portfolio.
Portfolio Performance:
The Domini Impact Bond Fund Investor shares returned 1.06% during the trailing twelve-month period ended July 31, 2021, outperforming its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned -0.70% during the period.
Throughout the period, the Fund maintained a modest underweight to investment-grade corporate bonds in favor of high-yield credit, U.S. bank loans and taxable municipals. The overweight to taxable municipals contributed the most to relative results, as difference between the interest rates paid across different bond sectors during the period tightened. The Fund’s overweight allocation to U.S. government agency bonds was also beneficial for relative results, as were its out-of-benchmark allocations to higher-yielding credit and bank loans, particularly from industrials issuers. Within investment-grade corporates, the Fund maintained its largest underweight to industrials, which had a negative impact on relative performance. This was partially offset by a positive contribution from positioning within investment grade financials, particularly insurance.
The Fund’s positioning within securitized sectors contributed favorably to relative results, driven by out-of-benchmark allocations to commercial mortgage backed securities and collateralized mortgage obligations.
During the period the Fund used derivatives to help the implementation of the overall investment strategy. This included credit default swap indices, interest rate swaps, total return swaps and currency forwards. The Fund’s positioning in below-investment-grade credit default swaps (used to manage risk exposures) detracted from relative performance. The Fund was positioned with a short duration relative to the benchmark in the second half of the period. In aggregate, duration and yield-curve positioning detracted from relative results overall.
At the end of the period, the Fund leaned shorter in duration relative to the benchmark. The Fund was positioned with underweights to government bonds and investment-grade corporate bonds in favor of taxable municipals issuers
69
with solid fundamentals, as well as high-quality securitized sectors, including commercial mortgage-backed securities and U.S. government agency mortgage-backed securities. The Fund also maintained an allocation to high-yield corporate credit and bank loans issuers with strong balance sheets. The Fund maintained select exposure to Emerging Market corporate debt where valuations are attractive.
70
PORTFOLIO COMPOSITION (% OF NET ASSETS) (Unaudited)
During periods of rising interest rates, the Fund can lose value. Some of the Fund’s community development investments may be unrated and may carry greater credit risks than the Fund’s other holdings. The Fund currently holds a large percentage of its portfolio in mortgage-backed securities. During periods of falling interest rates, mortgage-backed securities may prepay the principal due, which may lower the Fund’s return by causing it to reinvest at lower interest rates.
Investments in derivatives can be volatile. Potential risks include currency risk, leverage risk (the risk that small market movements may result in large changes in the value of an investment), liquidity risk, index risk, pricing risk, and counterparty risk (the risk that the counterparty may be unwilling or unable to honor its obligations).
TBA (To Be Announced) securities involve the risk that the security the Fund buys will lose value prior to its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will not meet its obligation, which can adversely affect the Fund’s returns.
The reduction or withdrawal of historical financial market support activities by the U.S. Government and Federal Reserve, or other governments/central banks could negatively impact financial markets generally, and increase market, liquidity and interest rate risks which could adversely affect the Fund’s returns.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Domini Impact Investments. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification nor shall any such party have any liability therefrom.
71
| DOMINI IMPACT BOND FUND |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Investor shares | BBUSA* | ||
| 1 Year | 1.06% | -0.70% | ||
| 5 Year | 3.67% | 3.13% | ||
| 10 Year | 3.11% | 3.35% | ||
Comparison of $10,000 Investment in the Domini Impact Bond Fund Investor Shares (DSBFX) and BBUSA* (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. 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 than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s annual operating expenses totaled 1.15%/ 0.87% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor share expenses to 0.87% through November 30, 2021, absent an earlier modification approved by the Fund’s Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including impact investing, portfolio management, style risk, information, market, recent events, interest rate and credit risks. You may lose money.
The Bloomberg Barclays U.S. Aggregate Index is an index representing securities that are U.S. domestic, taxable, and dollar denominated and covering the U.S. investment grade fixed rate bond market, with index components for government and corporate securities and asset-backed securities. You cannot invest directly in an index.
*Effective August 24, 2021, the benchmark changed its name to the Bloomberg U.S. Aggregate Index.
72
| DOMINI IMPACT BOND FUND |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Institutional shares | BBUSA1 | ||
| 1 Year | 1.35% | -0.70% | ||
| 5 Year | 3.98% | 3.13% | ||
| 10 Year | 3.11%2 | 3.35% | ||
Comparison of $500,000 Investment in the Domini Impact Bond Fund Institutional Shares (DSBIX) and BBUSA1 (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30,2020, the Fund’s annual operating expenses totaled 0.74% /0.57% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Institutional share expenses to 0.57% through November 30, 2021, absent an earlier modification approved by the Fund’s Board of Trustees.
The table and graph do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including impact investing, portfolio management, style risk, information, market, recent events, interest rate and credit risks. You may lose money.
The Bloomberg Barclays U.S. Aggregate Index is an index representing securities that are U.S. domestic, taxable, and dollar denominated and covering the U.S. investment grade fixed rate bond market, with index components for government and corporate securities and asset-backed securities. You cannot invest directly in an index.
1 Effective August 24, 2021 the benchmark changed its name to the Bloomberg U.S. Aggregate Index.
2 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.
73
| DOMINI IMPACT BOND FUND |
||||
| AVERAGE ANNUAL TOTAL RETURNS As of 7/31/2021 (Unaudited) |
Class Y shares1 | BBUSA2 | ||
| 1 Year | 1.06% | -0.70% | ||
| 5 Year | 3.67% | 3.13% | ||
| 10 Year | 3.11% | 3.35% | ||
Comparison of $10,000 Investment in the Domini Impact Bond Fund Class Y Shares (DSBYX) and BBUSA2 (Unaudited)
Past performance is no guarantee of future results. The Fund’s returns quoted above represent past performance after all expenses. The returns reflect any applicable expense waivers in effect during the periods shown. Without such waivers, Fund performance would be lower. Investment return, principal value, and yield will fluctuate. Your shares, when redeemed, may be worth more or less than their original cost. Call 1-800-762-6814 or visit www.domini.com for performance information current to the most recent month-end, which may be lower or higher than the performance data quoted. A 2.00% redemption fee applies on sales or exchanges of shares made less than 30 days after the settlement of purchase or acquisition through exchange, with certain exceptions. Quoted performance data does not reflect the deduction of this fee, which would reduce the performance quoted. See the prospectus for further information.
Per the prospectus dated November 30, 2020, the Fund’s annual operating expenses totaled 0.79% /0.65% (gross/net). The Fund’s adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Class Y share expenses to 0.65% through November 30, 2021, absent an earlier modification approved by the Fund’s Board of Trustees.
The table and table do not reflect the deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.
An investment in the Fund is not a bank deposit and is not insured. The Fund is subject to certain risks, including impact investing, portfolio management, style risk, information, market, recent events, interest rate and credit risks. You may lose money.
The Bloomberg Barclays U.S. Aggregate Index is an index representing securities that are U.S. domestic, taxable, and dollar denominated and covering the U.S. investment grade fixed rate bond market, with index components for government and corporate securities and asset-backed securities. You cannot invest directly in an index.
1 Class Y shares were not offered prior to June 1, 2021. All performance information for time periods beginning prior to June 1, 2021 is the performance of the Investor shares. This performance has not been adjusted to reflect the lower expenses of the Class Y shares.
2 Effective August 24, 2021 the benchmark changed its name to the Bloomberg U.S. Aggregate Index.
74
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Long Term Investments – 100.8% | ||||||||
| Mortgage Backed Securities – 47.1% | ||||||||
| Agency Collateralized Mortgage Obligations – 5.3% |
||||||||
| Federal Home Loan Mortgage Corp. |
||||||||
| Series 3768, Class CB, 3.500%, 12/15/25 |
131,017 | $ | 137,646 | |||||
| Series 3800, Class CB, 3.500%, 2/15/26 |
252,604 | 265,411 | ||||||
| Series 3806, Class L, 3.500%, 2/15/26 |
727,360 | 765,513 | ||||||
| Series 3877, Class LM, 3.500%, 6/15/26 |
499,924 | 525,990 | ||||||
| Series 4961, Class JB, 2.500%, 12/15/42 |
258,641 | 271,617 | ||||||
| Federal National Mortgage Association |
||||||||
| Series 2012-17, Class BC, 3.500%, 3/25/27 |
368,000 | 395,371 | ||||||
| Series 2018-72, Class BA, 3.500%, 7/25/54 |
144,193 | 150,791 | ||||||
| Series 2019-6, Class GJ, 3.000%, 2/25/49 |
120,220 | 126,917 | ||||||
| Series 2020-1, Class AC, 3.500%, 8/25/58 |
376,393 | 401,752 | ||||||
| Federal National Mortgage Association Connecticut Avenue Securities |
||||||||
| Series 2016-C07, Class 2M2, 4.439%, (1 Month USD-LIBOR + 4.35%), 5/25/29 (a) |
127,857 | 134,131 | ||||||
| Series 2017-C01, Class 1M2, 3.639%, (1 Month USD-LIBOR + 3.55%), 7/25/29 (a) |
81,905 | 84,877 | ||||||
| Freddie Mac Multifamily Structured Pass Through Certificates |
||||||||
| Series K103, Class X1, 0.638%, 11/25/29 (a) |
8,919,979 | 436,185 | ||||||
| Series K111, Class X1, 1.572%, 5/25/30 (a) |
1,452,071 | 176,746 | ||||||
| Series K112, Class X1, 1.433%, 5/25/30 (a) |
1,503,799 | 168,926 | ||||||
| Series K113, Class X1, 1.387%, 6/25/30 (a) |
2,549,871 | 276,940 | ||||||
| Series K114, Class X1, 1.118%, 6/25/30 (a) |
2,351,759 | 208,176 | ||||||
| Series K119, Class X1, 0.932%, 9/25/30 (a) |
4,977,322 | 371,568 | ||||||
| Series K121, Class X1, 1.028%, 10/25/30 (a) |
664,273 | 54,232 | ||||||
| Series K122, Class X1, 0.883%, 11/25/30 (a) |
364,686 | 26,221 | ||||||
| Series K124, Class X1, 0.721%, 12/25/30 (a) |
1,468,211 | 89,191 | ||||||
| Series K740, Class X1, 0.759%, 9/25/27 (a) |
1,297,951 | 54,704 | ||||||
| Series KG03, Class X1, 1.381%, 6/25/30 (a) |
3,210,000 | 339,842 | ||||||
| Series KG04, Class X1, 0.854%, 11/25/30 (a) |
2,418,839 | 165,963 | ||||||
| Series KG05, Class X1, 0.312%, 1/25/31 (a) |
2,465,000 | 68,161 | ||||||
| Series KSG1, Class X1, 1.156%, 9/25/30 (a) |
4,067,750 | 367,668 | ||||||
| FREMF Mortgage Trust |
||||||||
| Series 2017-K64, Class B, 3.981%, 5/25/50 (a)(b) |
70,000 | 78,367 | ||||||
| Series 2017-K65, Class B, 4.073%, 7/25/50 (a)(b) |
155,000 | 174,503 | ||||||
| Series 2017-K66, Class B, 4.035%, 7/25/27 (a)(b) |
136,000 | 152,971 | ||||||
| Series 2017-K67, Class B, 3.944%, 9/25/49 (a)(b) |
85,000 | 95,324 | ||||||
| Series 2017-K67, Class C, 3.944%, 9/25/49 (a)(b) |
100,000 | 107,478 | ||||||
| Series 2017-K68, Class B, 3.843%, 10/25/49 (a)(b) |
90,000 | 100,420 | ||||||
| Series 2017-K69, Class C, 3.726%, 10/25/49 (a)(b) |
40,000 | 42,867 | ||||||
| Series 2017-K71, Class B, 3.753%, 11/25/50 (a)(b) |
220,000 | 244,947 | ||||||
| Series 2017-K71, Class C, 3.753%, 11/25/50 (a)(b) |
65,000 | 69,811 | ||||||
| Series 2017-K725, Class B, 3.882%, 2/25/50 (a)(b) |
100,000 | 107,153 | ||||||
| Series 2017-K726, Class B, 3.985%, 7/25/49 (a)(b) |
175,000 | 188,529 | ||||||
| Series 2017-K729, Class B, 3.674%, 11/25/49 (a)(b) |
250,000 | 269,179 | ||||||
| Series 2017-K729, Class C, 3.674%, 11/25/49 (a)(b) |
90,000 | 95,565 | ||||||
75
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Agency Collateralized Mortgage Obligations (Continued) |
||||||||
| Series 2018-K154, Class B, 4.020%, 11/25/32 (a)(b) |
67,000 | $ | 73,555 | |||||
| Series 2018-K77, Class B, 4.160%, 5/25/51 (a)(b) |
355,000 | 403,872 | ||||||
| Series 2018-K85, Class C, 4.319%, 12/25/50 (a)(b) |
550,000 | 616,811 | ||||||
| Series 2018-KW07, Class B, 4.081%, 10/25/31 (a)(b) |
461,000 | 494,578 | ||||||
| Series 2019-100, Class C, 3.490%, 11/25/52 (a)(b) |
380,000 | 404,049 | ||||||
| Series 2019-K103, Class B, 3.453%, 12/25/51 (a)(b) |
525,000 | 573,788 | ||||||
| Series 2019-K736, Class C, 3.758%, 7/25/26 (a)(b) |
400,000 | 430,399 | ||||||
| Series 2019-K95, Class C, 3.919%, 8/25/52 (a)(b) |
307,000 | 336,673 | ||||||
| Series 2019-K97 , Class C, 3.764%, 9/25/51 (a)(b) |
204,000 | 220,456 | ||||||
| Series 2020-K104, Class B, 3.539%, 2/25/52 (a)(b) |
520,000 | 572,077 | ||||||
| Series K95, Class B, 3.919%, 8/25/52 (a)(b) |
500,000 | 567,015 | ||||||
| SLG Office Trust 2021-OVA, Series OVA, Class C, 2.851%, 7/15/41 (b) |
835,000 | 881,291 | ||||||
| STACR Trust, Series 2018-HRP1, Class M2, 1.739%, (1 Month USD-LIBOR + 1.65%), 4/25/43 (a)(b) |
52,657 | 52,785 | ||||||
|
|
|
|||||||
| 13,419,002 | ||||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – 6.4% |
||||||||
| 245 Park Avenue Trust, Series 2017-245P, Class A, 3.508%, 6/5/37 (b) |
800,000 | 885,694 | ||||||
| BANK |
||||||||
| Series 2017-BNK8, Class ASB, 3.314%, 11/15/50 |
147,000 | 160,073 | ||||||
| Series BN18, Class XA, 0.900%, 5/15/62 (a) |
2,140,828 | 128,497 | ||||||
| Series BN24, Class XA, 0.646%, 11/15/62 (a) |
5,543,758 | 266,047 | ||||||
| Series BN28, Class XA, 1.785%, 3/15/63 (a) |
1,934,446 | 264,306 | ||||||
| Benchmark Mortgage Trust |
||||||||
| Series 2019-B10, Class XA, 1.227%, 3/15/62 (a) |
2,335,733 | 176,361 | ||||||
| Series 2020-B18, Class XA, 1.793%, 7/15/53 (a) |
504,514 | 56,788 | ||||||
| Series 2020-B22, Class XA, 1.522%, 1/15/54 (a) |
886,015 | 106,103 | ||||||
| BWAY Mortgage Trust |
||||||||
| Series 2013-1515, Class A1, 2.809%, 3/10/33 (b) |
89,218 | 92,629 | ||||||
| Series 2013-1515, Class A2, 3.454%, 3/10/33 (b) |
1,000,000 | 1,075,754 | ||||||
| CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.778%, 11/10/31 (a)(b) |
800,000 | 828,631 | ||||||
| COMM Mortgage Trust |
||||||||
| Series 2013-WWP, Class A2, 3.424%, 3/10/31 (b) |
640,000 | 667,285 | ||||||
| Series 2013-WWP, Class B, 3.726%, 3/10/31 (b) |
644,000 | 674,042 | ||||||
| Series 2015-LC19, Class A4, 3.183%, 2/10/48 |
291,000 | 313,012 | ||||||
| Series 2016-LC6, Class A4, 2.941%, 1/10/46 |
291,250 | 298,618 | ||||||
| Series 2020-CX, Class A, 2.173%, 11/10/46 (b) |
200,000 | 205,415 | ||||||
| Series 2020-CX, Class B, 2.446%, 11/10/46 (b) |
524,000 | 541,021 | ||||||
| Series 2020-CX, Class D, 2.683%, 11/10/46 (a)(b) |
100,000 | 101,332 | ||||||
| Series 2020-SBX, Class A, 1.670%, 1/10/38 (b) |
595,000 | 608,262 | ||||||
| CPT Mortgage Trust, Series 2019-CPT, Class A, 2.865%, 11/13/39 (b) |
240,000 | 258,978 | ||||||
| DBJPM Mortgage Trust, Series 2020-C9, Class XA, 1.713%, 9/15/53 (a) |
643,175 | 65,576 | ||||||
| DC Office Trust, Series 2019-MTC, Class A, 2.965%, 9/15/45 (b) |
370,000 | 401,080 | ||||||
76
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Commercial Mortgage-Backed Securities (Continued) |
||||||||
| FREMF Mortgage Trust, Series K99, Class B, 3.646%, 10/25/52 (a)(b) |
565,000 | $ | 628,059 | |||||
| Grace Trust, Series 2020-GRCE, Class A, 2.347%, 12/10/40 (b) |
750,000 | 778,791 | ||||||
| Hudson Yards Mortgage Trust |
||||||||
| Series 2016-10HY, Class A, 2.835%, 8/10/38 (b) |
800,000 | 859,286 | ||||||
| Series 2019-30HY, Class A, 3.228%, 7/10/39 (b) |
700,000 | 773,048 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Corp., Series 2018-AON, Class A, 4.128%, 7/5/31 (b) |
555,000 | 588,308 | ||||||
| Life Mortgage Trust, Series 2021-BMR, Class D, 1.494%, (1 Month USD-LIBOR + 1.4%), 3/15/38 (a)(b) |
120,000 | 120,670 | ||||||
| MAD Mortgage Trust, Series 2017-330M, Class A, 3.188%, 8/15/34 (a)(b) |
829,000 | 853,884 | ||||||
| MKT Mortgage Trust, Series 2020-525M, Class A, 2.694%, 2/12/40 (b) |
600,000 | 639,350 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust |
||||||||
| Series 2013-C12, Class A4, 4.259%, 10/15/46 (a) |
300,000 | 320,232 | ||||||
| Series 2014-C15, Class A4, 4.051%, 4/15/47 |
300,000 | 323,255 | ||||||
| Series 2014-C19, Class A4, 3.526%, 12/15/47 |
180,167 | 194,470 | ||||||
| Morgan Stanley Capital I Trust |
||||||||
| Series 2017-CLS, Class A, 0.793%, (1 Month USD-LIBOR + 0.7%), 11/15/34 (a)(b) |
531,000 | 531,562 | ||||||
| Series 2017-CLS, Class F, 2.693%, (1 Month USD-LIBOR + 2.6%), 11/15/34 (a)(b) |
261,000 | 261,037 | ||||||
| One Market Plaza Trust, Series 2017-1MKT, Class A, 3.614%, 2/10/32 (b) |
710,000 | 723,535 | ||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4, 3.617%, 9/15/57 |
340,000 | 374,311 | ||||||
|
|
|
|||||||
| 16,145,302 | ||||||||
|
|
|
|||||||
| Federal Home Loan Mortgage Corporation – 1.2% |
||||||||
| Federal Home Loan Mortgage Corp. |
||||||||
| 2.500%, 8/1/27 |
30,643 | 32,261 | ||||||
| 2.500%, 11/1/27 |
83,900 | 88,351 | ||||||
| 3.000%, 1/1/27 |
114,835 | 121,583 | ||||||
| 3.000%, 7/1/42 |
29,961 | 31,897 | ||||||
| 3.000%, 5/1/45 |
297,488 | 319,978 | ||||||
| 3.017%, (12 Month USD-LIBOR + 1.629%), 10/1/43 (a) |
44,798 | 46,856 | ||||||
| 3.500%, 12/1/32 |
133,420 | 143,393 | ||||||
| 3.500%, 6/1/48 |
622,708 | 660,905 | ||||||
| 4.000%, 2/1/37 |
48,303 | 53,176 | ||||||
| 4.000%, 8/1/39 |
29,751 | 33,001 | ||||||
| 4.000%, 10/1/39 |
61,668 | 67,972 | ||||||
| 4.000%, 10/1/39 |
57,419 | 63,389 | ||||||
| 4.000%, 11/1/39 |
28,539 | 31,507 | ||||||
| 4.000%, 10/1/40 |
88,477 | 98,149 | ||||||
| 4.000%, 11/1/40 |
84,558 | 92,900 | ||||||
| 4.000%, 11/1/40 |
15,368 | 16,984 | ||||||
| 4.000%, 11/1/40 |
11,210 | 12,375 | ||||||
| 4.000%, 12/1/40 |
39,622 | 43,464 | ||||||
77
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Federal Home Loan Mortgage Corporation (Continued) |
||||||||
| 4.000%, 6/1/41 |
6,922 | $ | 7,410 | |||||
| 4.500%, 4/1/35 |
74,821 | 82,497 | ||||||
| 4.500%, 9/1/35 |
106,695 | 117,886 | ||||||
| 4.500%, 7/1/36 |
77,723 | 86,119 | ||||||
| 4.500%, 6/1/39 |
140,612 | 156,679 | ||||||
| 4.500%, 9/1/40 |
21,568 | 24,030 | ||||||
| 4.500%, 2/1/41 |
42,723 | 47,257 | ||||||
| 5.000%, 8/1/33 |
13,870 | 15,791 | ||||||
| 5.000%, 10/1/33 |
6,682 | 7,382 | ||||||
| 5.000%, 4/1/35 |
16,590 | 18,908 | ||||||
| 5.000%, 7/1/35 |
107,284 | 122,263 | ||||||
| 5.000%, 7/1/35 |
18,147 | 20,680 | ||||||
| 5.000%, 1/1/37 |
67,755 | 77,174 | ||||||
| 5.000%, 7/1/40 |
48,729 | 55,793 | ||||||
| 5.000%, 4/1/41 |
42,879 | 49,038 | ||||||
| 5.500%, 12/1/36 |
68,392 | 79,455 | ||||||
| 5.500%, 8/1/40 |
97,376 | 113,446 | ||||||
| 6.000%, 8/1/36 |
11,004 | 13,090 | ||||||
| 6.000%, 7/1/39 |
64,143 | 76,307 | ||||||
|
|
|
|||||||
| 3,129,346 | ||||||||
|
|
|
|||||||
| Federal National Mortgage Association – 26.0% |
||||||||
| Federal National Mortgage Association |
||||||||
| 1.865%, (12 Month USD-LIBOR + 1.58%), 5/1/44 (a) |
14,369 | 14,818 | ||||||
| 2.000%, 10/1/27 |
112,470 | 117,136 | ||||||
| 2.000%, 1/1/28 |
92,684 | 96,527 | ||||||
| 2.000%, 8/12/51 |
14,690,000 | 14,976,340 | ||||||
| 2.500%, 6/1/24 |
118,865 | 124,534 | ||||||
| 2.500%, 11/1/31 |
63,990 | 67,346 | ||||||
| 2.500%, 12/1/31 |
19,402 | 20,423 | ||||||
| 2.500%, 12/1/43 |
113,207 | 118,263 | ||||||
| 2.500%, 4/1/45 |
141,608 | 148,324 | ||||||
| 2.500%, 9/14/51 |
2,850,000 | 2,961,217 | ||||||
| 3.000%, 8/1/46 |
38,786 | 40,901 | ||||||
| 3.000%, 10/1/46 |
758,985 | 803,005 | ||||||
| 3.000%, 11/1/46 |
841,770 | 890,919 | ||||||
| 3.000%, 12/1/46 |
348,058 | 369,209 | ||||||
| 3.000%, 8/12/51 |
1,450,000 | 1,519,781 | ||||||
| 3.500%, 12/1/31 |
7,503 | 8,054 | ||||||
| 3.500%, 1/1/32 |
133,488 | 143,242 | ||||||
| 3.500%, 1/1/32 |
71,877 | 77,156 | ||||||
| 3.500%, 10/1/32 |
107,212 | 116,275 | ||||||
| 3.500%, 6/1/46 |
564,195 | 606,289 | ||||||
| 3.500%, 1/1/48 |
455,122 | 482,204 | ||||||
| 4.000%, 11/1/30 |
13,104 | 14,134 | ||||||
| 4.000%, 10/1/33 |
80,496 | 88,020 | ||||||
| 4.000%, 12/1/36 |
24,435 | 26,952 | ||||||
| 4.000%, 8/1/39 |
30,773 | 33,785 | ||||||
78
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Federal National Mortgage Association (Continued) |
||||||||
| 4.000%, 10/1/39 |
19,687 | $ | 21,517 | |||||
| 4.000%, 12/1/39 |
28,546 | 31,321 | ||||||
| 4.000%, 1/1/40 |
254,608 | 280,896 | ||||||
| 4.000%, 3/1/40 |
29,172 | 32,030 | ||||||
| 4.000%, 8/1/40 |
64,010 | 70,264 | ||||||
| 4.000%, 8/1/40 |
11,229 | 12,372 | ||||||
| 4.000%, 10/1/40 |
131,474 | 145,783 | ||||||
| 4.000%, 10/1/40 |
20,909 | 22,961 | ||||||
| 4.000%, 11/1/40 |
23,735 | 26,068 | ||||||
| 4.000%, 11/1/40 |
15,270 | 16,848 | ||||||
| 4.000%, 12/1/40 |
49,681 | 55,814 | ||||||
| 4.000%, 2/1/41 |
52,442 | 57,510 | ||||||
| 4.500%, 8/1/35 |
23,768 | 26,185 | ||||||
| 4.500%, 8/1/36 |
20,188 | 22,123 | ||||||
| 4.500%, 8/1/38 |
60,337 | 67,387 | ||||||
| 4.500%, 3/1/39 |
69,433 | 77,498 | ||||||
| 4.500%, 9/1/39 |
28,142 | 31,328 | ||||||
| 4.500%, 2/1/40 |
33,388 | 37,314 | ||||||
| 4.500%, 8/1/40 |
76,724 | 85,791 | ||||||
| 4.500%, 1/1/41 |
24,044 | 26,740 | ||||||
| 4.500%, 9/1/41 |
47,628 | 53,194 | ||||||
| 5.000%, 10/1/39 |
2,969 | 3,398 | ||||||
| 5.500%, 8/1/37 |
45,574 | 52,917 | ||||||
| 6.000%, 12/1/35 |
25,318 | 29,365 | ||||||
| 6.000%, 3/1/36 |
149,982 | 174,852 | ||||||
| 6.000%, 6/1/36 |
53,419 | 63,520 | ||||||
| 6.000%, 8/1/37 |
14,267 | 16,946 | ||||||
| 6.000%, 3/1/38 |
26,714 | 31,767 | ||||||
| TBA 15 Yr, 2.000%, 8/17/36 (c) |
4,300,000 | 4,462,090 | ||||||
| TBA 15 Yr, 3.000%, 8/17/36 (c) |
1,700,000 | 1,788,652 | ||||||
| TBA 30 Yr, 2.000%, 9/14/51 (c) |
18,390,000 | 18,708,233 | ||||||
| TBA 30 Yr, 2.500%, 8/12/51 (c) |
2,850,000 | 2,967,451 | ||||||
| TBA 30 Yr, 3.000%, 9/14/51 (c) |
4,350,000 | 4,549,828 | ||||||
| TBA 30 Yr, 3.500%, 8/12/51 (c) |
850,000 | 900,900 | ||||||
| TBA 30 Yr, 3.500%, 9/14/51 (c) |
850,000 | 899,008 | ||||||
| TBA 30 Yr, 4.000%, 8/12/51 (c) |
5,800,000 | 6,197,391 | ||||||
|
|
|
|||||||
| 65,912,116 | ||||||||
|
|
|
|||||||
| Government National Mortgage Association – 8.2% |
||||||||
| Government National Mortgage Association |
||||||||
| 4.000%, 8/19/51 |
1,600,000 | 1,692,063 | ||||||
| TBA 30 Yr, 2.500%, 8/19/51 (c) |
4,300,000 | 4,469,816 | ||||||
| TBA 30 Yr, 3.000%, 8/19/51 (c) |
7,600,000 | 7,952,688 | ||||||
| TBA 30 Yr, 3.500%, 8/19/51 (c) |
5,300,000 | 5,566,035 | ||||||
| TBA 30 Yr, 4.500%, 8/19/51 (c) |
900,000 | 956,671 | ||||||
|
|
|
|||||||
| 20,637,273 | ||||||||
|
|
|
|||||||
| Total Mortgage Backed Securities |
119,243,039 | |||||||
|
|
|
|||||||
79
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Corporate Bonds and Notes – 31.8% | ||||||||
| Communications – 4.1% |
||||||||
| Alibaba Group Holding, Ltd., 2.800%, 6/6/23 |
200,000 | $ | 207,552 | |||||
| AT&T, Inc. |
||||||||
| 2.750%, 6/1/31 |
1,285,000 | 1,355,374 | ||||||
| 3.550%, 9/15/55 (b) |
572,000 | 591,563 | ||||||
| CBS Corp., 2.900%, 1/15/27 |
400,000 | 430,358 | ||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital, 6.484%, 10/23/45 |
1,325,000 | 1,867,037 | ||||||
| Comcast Corp., 3.200%, 7/15/36 |
650,000 | 709,811 | ||||||
| Cox Communications, Inc. |
||||||||
| 3.150%, 8/15/24 (b) |
57,000 | 60,863 | ||||||
| 3.850%, 2/1/25 (b) |
10,000 | 10,921 | ||||||
| eBay, Inc., 3.600%, 6/5/27 |
195,000 | 218,911 | ||||||
| Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/1/29 (b) |
410,000 | 411,097 | ||||||
| Gray Television, Inc., 5.875%, 7/15/26 (b) |
200,000 | 206,750 | ||||||
| MercadoLibre, Inc., 2.375%, 1/14/26 |
500,000 | 501,880 | ||||||
| Millicom International Cellular SA, 4.500%, 4/27/31 (b) |
950,000 | 989,306 | ||||||
| Verizon Communications, Inc. |
||||||||
| 3.376%, 2/15/25 |
57,000 | 62,040 | ||||||
| 3.400%, 3/22/41 |
1,250,000 | 1,352,403 | ||||||
| ViacomCBS, Inc., 4.950%, 1/15/31 |
985,000 | 1,205,715 | ||||||
| Vodafone Group PLC |
||||||||
| 4.375%, 2/19/43 |
70,000 | 82,761 | ||||||
| 6.150%, 2/27/37 |
185,000 | 259,216 | ||||||
|
|
|
|||||||
| 10,523,558 | ||||||||
|
|
|
|||||||
| Consumer, Cyclical – 2.9% |
||||||||
| Aptiv Corp., 4.150%, 3/15/24 |
401,000 | 434,837 | ||||||
| Core & Main L.P., 6.125%, 8/15/25 (b) |
45,000 | 45,695 | ||||||
| Home Depot, Inc. (The), 5.950%, 4/1/41 |
420,000 | 621,817 | ||||||
| Lennar Corp., 4.125%, 1/15/22 |
245,000 | 246,802 | ||||||
| O’Reilly Automotive, Inc., 3.800%, 9/1/22 |
155,000 | 159,301 | ||||||
| Starbucks Corp. |
||||||||
| 2.550%, 11/15/30 |
990,000 | 1,043,243 | ||||||
| 3.750%, 12/1/47 |
275,000 | 314,315 | ||||||
| 4.450%, 8/15/49 |
750,000 | 957,049 | ||||||
| Toll Brothers Finance Corp., 4.350%, 2/15/28 |
600,000 | 666,594 | ||||||
| Toyota Motor Corp., 2.362%, 3/25/31 |
1,500,000 | 1,595,463 | ||||||
| YMCA of Greater New York |
||||||||
| 2.303%, 8/1/26 |
765,000 | 774,556 | ||||||
| Series 2020, 3.230%, 8/1/32 |
375,000 | 374,698 | ||||||
|
|
|
|||||||
| 7,234,370 | ||||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 8.3% |
||||||||
| Advocate Health & Hospitals Corp. |
||||||||
| Series 2020, 2.211%, 6/15/30 |
325,000 | 336,863 | ||||||
| 3.829%, 8/15/28 |
1,115,000 | 1,273,482 | ||||||
| Allina Health System, 4.805%, 11/15/45 |
291,000 | 389,144 | ||||||
80
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Consumer, Non-cyclical (Continued) |
||||||||
| Amgen, Inc. |
||||||||
| 2.300%, 2/25/31 |
1,000,000 | $ | 1,032,631 | |||||
| 3.200%, 11/2/27 |
525,000 | 580,481 | ||||||
| Biogen, Inc., 3.250%, 2/15/51 (b) |
448,000 | 452,730 | ||||||
| Bon Secours Mercy Health, Inc., 1.350%, 6/1/25 |
155,000 | 157,546 | ||||||
| Boston Medical Center Corp., 4.519%, 7/1/26 |
705,000 | 796,667 | ||||||
| Bristol-Myers Squibb Co., 3.875%, 8/15/25 |
154,000 | 171,570 | ||||||
| CommonSpirit Health senior secured note |
||||||||
| 2.782%, 10/1/30 |
185,000 | 195,727 | ||||||
| 3.347%, 10/1/29 |
600,000 | 659,125 | ||||||
| Conservation Fund A Nonprofit Corp. (The), 3.474%, 12/15/29 |
800,000 | 862,903 | ||||||
| Dignity Health |
||||||||
| 4.500%, 11/1/42 |
408,000 | 507,987 | ||||||
| 5.267%, 11/1/64 |
250,000 | 356,476 | ||||||
| ERAC USA Finance LLC, 3.850%, 11/15/24 (b) |
500,000 | 544,967 | ||||||
| Gartner, Inc., 3.750%, 10/1/30 (b) |
160,000 | 164,626 | ||||||
| Gilead Sciences, 1.650%, 10/1/30 |
300,000 | 295,656 | ||||||
| Hologic, Inc., 3.250%, 2/15/29 (b) |
695,000 | 704,209 | ||||||
| Howard University |
||||||||
| Series 2020, 1.991%, 10/1/25 |
120,000 | 122,335 | ||||||
| Series 2020, 2.657%, 10/1/26 |
100,000 | 104,718 | ||||||
| Series 2020, 3.476%, 10/1/41 |
1,850,000 | 1,949,137 | ||||||
| John D and Catherine T MacArthur Foundation, 1.299%, 12/1/30 |
1,440,000 | 1,405,221 | ||||||
| Kaiser Foundation Hospitals, 3.150%, 5/1/27 |
185,000 | 204,402 | ||||||
| McCormick & Co, Inc., 2.500%, 4/15/30 |
700,000 | 727,598 | ||||||
| Northeastern University, 5.285%, 3/1/32 |
100,000 | 122,848 | ||||||
| Ochsner Clinic Foundation, 5.897%, 5/15/45 |
400,000 | 591,061 | ||||||
| Ochsner LSU Health System of North Louisiana, 2.510%, 5/15/31 |
1,250,000 | 1,267,780 | ||||||
| Orlando Health Obligated Group, 4.416%, 10/1/44 |
395,000 | 503,111 | ||||||
| PeaceHealth Obligated Group, 1.375%, 11/15/25 |
1,000,000 | 1,017,123 | ||||||
| Royalty Pharma, 3.300%, 9/2/40 |
1,250,000 | 1,274,330 | ||||||
| Royalty Pharma PLC, 2.150%, 9/2/31 |
350,000 | 344,755 | ||||||
| Rush Obligated Group, 3.922%, 11/15/29 |
375,000 | 433,109 | ||||||
| Stanford Health Care, 3.310%, 8/15/30 |
595,000 | 670,182 | ||||||
| Thermo Fisher Scientific, Inc. |
||||||||
| 2.375%, 4/15/32 |
305,000 | 431,869 | ||||||
| 4.133%, 3/25/25 |
375,000 | 416,180 | ||||||
|
|
|
|||||||
| 21,068,549 | ||||||||
|
|
|
|||||||
| Energy – 0.6% |
||||||||
| Azure Power Solar Energy Pvt, Ltd., 5.650%, 12/24/24 (b) |
500,000 | 526,614 | ||||||
| Greenko Dutch BV, 3.850%, 3/29/26 (b) |
660,000 | 666,458 | ||||||
| Investment Energy Resources, Ltd., 6.250%, 4/26/29 (b) |
200,000 | 218,590 | ||||||
|
|
|
|||||||
| 1,411,662 | ||||||||
|
|
|
|||||||
81
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Financial – 10.3% |
||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.500%, 5/26/22 |
775,000 | $ | 791,646 | |||||
| AIA Group, Ltd., 4.500%, 3/16/46 (b) |
325,000 | 420,133 | ||||||
| Air Lease Corp., 3.625%, 12/1/27 |
500,000 | 544,798 | ||||||
| American International Group, Inc., 3.900%, 4/1/26 |
380,000 | 423,541 | ||||||
| American Tower Corp. |
||||||||
| 3.375%, 5/15/24 |
235,000 | 251,595 | ||||||
| 5.000%, 2/15/24 |
362,000 | 400,740 | ||||||
| AXA SA, 8.600%, 12/15/30 |
400,000 | 606,226 | ||||||
| Bank of America Corp. |
||||||||
| Series MTN, 2.456%, (3 Month USD-LIBOR + 0.87%), 10/22/25 (a) |
545,000 | 571,347 | ||||||
| 4.083%, (3 Month USD-LIBOR + 3.15%), 3/20/51 (a) |
500,000 | 606,207 | ||||||
| 7.750%, 5/14/38 |
700,000 | 1,127,396 | ||||||
| BlueHub Loan Fund, Inc., 2.890%, 1/1/27 |
600,000 | 624,377 | ||||||
| BNP Paribas SA, 3.800%, 1/10/24 (b) |
245,000 | 263,126 | ||||||
| Boston Properties L.P., 3.650%, 2/1/26 |
430,000 | 477,410 | ||||||
| BPCE SA |
||||||||
| 3.000%, 5/22/22 (b) |
250,000 | 255,526 | ||||||
| 4.875%, 4/1/26 (b) |
500,000 | 570,449 | ||||||
| Brandywine Operating Partnership L.P., 4.550%, 10/1/29 |
500,000 | 569,397 | ||||||
| Brighthouse Financial, Inc., 5.625%, 5/15/30 |
890,000 | 1,095,483 | ||||||
| Citigroup, Inc. |
||||||||
| 1.678%, (SOFR + 1.667), 5/15/24 (a) |
1,000,000 | 1,020,963 | ||||||
| 2.561%, (SOFR + 1.167), 5/1/32 (a) |
500,000 | 517,001 | ||||||
| 3.352%, (3 Month USD-LIBOR + 0.8966%), 4/24/25 (a) |
475,000 | 507,399 | ||||||
| Cooperatieve Rabobank UA |
||||||||
| 3.875%, 9/26/23 (b) |
250,000 | 268,288 | ||||||
| 3.950%, 11/9/22 |
375,000 | 391,933 | ||||||
| Credit Agricole SA, 4.125%, 1/10/27 (b) |
1,000,000 | 1,133,640 | ||||||
| Crown Castle International Corp., 3.700%, 6/15/26 |
300,000 | 332,969 | ||||||
| Discover Financial Services, 3.750%, 3/4/25 |
325,000 | 355,994 | ||||||
| Duke Realty L.P., 3.625%, 4/15/23 |
200,000 | 208,935 | ||||||
| Fifth Third Bancorp, 8.250%, 3/1/38 |
425,000 | 720,333 | ||||||
| HAT Holdings I LLC/HAT Holdings II LLC, 6.000%, 4/15/25 (b) |
450,000 | 474,228 | ||||||
| HSBC Holdings PLC, 4.950%, 3/31/30 |
1,000,000 | 1,217,055 | ||||||
| ING Groep NV, 4.625%, 1/6/26 (b) |
750,000 | 859,618 | ||||||
| Kimco Realty Corp., 3.400%, 11/1/22 |
160,000 | 165,290 | ||||||
| Marsh & McLennan Cos., Inc., 3.300%, 3/14/23 |
100,000 | 104,381 | ||||||
| Morgan Stanley |
||||||||
| 2.699%, (SOFR + 1.143), 1/22/31 (a) |
640,000 | 674,611 | ||||||
| 3.950%, 4/23/27 |
210,000 | 236,664 | ||||||
| Nationwide Mutual Insurance Co., 4.350%, 4/30/50 (b) |
550,000 | 629,588 | ||||||
| New York Life Insurance Co., 3.750%, 5/15/50 (b) |
160,000 | 185,669 | ||||||
| Nuveen Finance LLC, 4.125%, 11/1/24 (b) |
160,000 | 177,146 | ||||||
| Prologis L.P., 3.250%, 10/1/26 |
165,000 | 182,091 | ||||||
| Prudential PLC, 3.125%, 4/14/30 |
155,000 | 170,573 | ||||||
| Regency Centers L.P., 3.750%, 6/15/24 |
300,000 | 321,529 | ||||||
| Reinsurance Group of America, Inc. |
||||||||
| 3.950%, 9/15/26 |
250,000 | 280,982 | ||||||
| Series MTN, 4.700%, 9/15/23 |
164,000 | 178,092 | ||||||
82
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Financial (Continued) |
||||||||
| Scentre Group Trust 1/Scentre Group Trust 2, 4.375%, 5/28/30 (b) |
615,000 | $ | 725,289 | |||||
| Sumitomo Mitsui Trust Bank, Ltd., 1.550%, 3/25/26 (b) |
1,500,000 | 1,529,036 | ||||||
| Truist Financial Corp., Series MTN, 3.875%, 3/19/29 |
575,000 | 661,184 | ||||||
| U.S. Bancorp, Series MTN, 3.600%, 9/11/24 |
493,000 | 537,126 | ||||||
| USAA Capital Corp., 2.125%, 5/1/30 (b) |
885,000 | 909,250 | ||||||
| Ventas Realty L.P., 3.500%, 2/1/25 |
500,000 | 539,272 | ||||||
| Yuzhou Group Holdings Co., Ltd., 6.350%, 1/13/27 (b) |
255,000 | 169,273 | ||||||
|
|
|
|||||||
| 25,984,799 | ||||||||
|
|
|
|||||||
| Industrial – 1.4% |
||||||||
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.250%, 9/1/28 (b) |
200,000 | 200,531 | ||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/27 (b) |
360,000 | 368,059 | ||||||
| Interchile SA, 4.500%, 6/30/56 (b) |
550,000 | 589,218 | ||||||
| Klabin Austria GmbH, 5.750%, 4/3/29 (b) |
480,000 | 548,290 | ||||||
| Nature Conservancy (The), Series A, 1.154%, 7/1/27 |
430,000 | 428,868 | ||||||
| WRKCo, Inc., 3.000%, 9/15/24 |
375,000 | 398,371 | ||||||
| Xylem, Inc., 2.250%, 1/30/31 |
900,000 | 922,991 | ||||||
|
|
|
|||||||
| 3,456,328 | ||||||||
|
|
|
|||||||
| Technology – 2.4% |
||||||||
| Apple, Inc., 2.650%, 5/11/50 |
300,000 | 296,353 | ||||||
| Black Knight InfoServ LLC, 3.625%, 9/1/28 (b) |
330,000 | 331,122 | ||||||
| Broadcom, Inc. |
||||||||
| 4.150%, 11/15/30 |
1,010,000 | 1,145,243 | ||||||
| 5.000%, 4/15/30 |
800,000 | 955,412 | ||||||
| Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.750%, 3/1/25 (b) |
395,000 | 399,938 | ||||||
| Hewlett Packard Enterprise Co., 4.650%, 10/1/24 |
1,200,000 | 1,331,974 | ||||||
| HP, Inc., 3.000%, 6/17/27 |
1,250,000 | 1,350,457 | ||||||
| Micron Technology, Inc., 4.640%, 2/6/24 |
260,000 | 283,746 | ||||||
|
|
|
|||||||
| 6,094,245 | ||||||||
|
|
|
|||||||
| Utilities – 1.8% |
||||||||
| Aegea Finance S.a.r.l., 5.750%, 10/10/24 (b) |
370,000 | 382,304 | ||||||
| Clearway Energy Operating LLC |
||||||||
| 3.750%, 2/15/31 (b) |
560,000 | 560,781 | ||||||
| 4.750%, 3/15/28 (b) |
400,000 | 424,816 | ||||||
| EDP Finance B.V., 1.710%, 1/24/28 (b) |
1,300,000 | 1,296,829 | ||||||
| NSTAR Electric Co., 3.950%, 4/1/30 |
830,000 | 973,234 | ||||||
| Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.500%, 8/15/28 (b) |
475,000 | 491,248 | ||||||
| Public Service Co. of Colorado, 4.100%, 6/15/48 |
420,000 | 521,579 | ||||||
|
|
|
|||||||
| 4,650,791 | ||||||||
|
|
|
|||||||
| Total Corporate Bonds and Notes |
80,424,302 | |||||||
|
|
|
|||||||
83
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Municipal Bonds – 10.1% | ||||||||
| American Municipal Power-Ohio, Inc., (Meldahl Hydroelectric Project), 6.270%, 2/15/50 |
485,000 | $ | 698,078 | |||||
| California Health Facilities Financing Authority, 2.984%, 6/1/33 |
760,000 | 824,945 | ||||||
| Chicago Transit Authority Sales Tax Receipts Fund, 3.912%, 12/1/40 |
260,000 | 305,626 | ||||||
| Colorado Health Facilities Authority, 4.480%, 12/1/40 |
940,000 | 993,012 | ||||||
| Cook County Community High School District No. 228, IL, 5.019%, 12/1/41 (Insurer AGM) |
435,000 | 582,810 | ||||||
| County of Riverside, CA |
||||||||
| 2.963%, 2/15/27 |
670,000 | 731,448 | ||||||
| 3.070%, 2/15/28 |
670,000 | 738,486 | ||||||
| District of Columbia, (Ingleside at Rock Creek) |
||||||||
| 3.432%, 4/1/42 |
430,000 | 466,442 | ||||||
| 4.125%, 7/1/27 |
500,000 | 537,104 | ||||||
| Florida Development Finance Corp., 4.009%, 4/1/40 |
925,000 | 979,089 | ||||||
| Illinois Finance Authority, 3.510%, 5/15/41 |
1,000,000 | 1,033,908 | ||||||
| Inland Valley Development Agency, 5.500%, 3/1/33 (Insurer AGM) |
70,000 | 77,538 | ||||||
| Lancaster County Hospital Authority, PA, (Brethren Village) |
||||||||
| 5.000%, 7/1/24 |
165,000 | 182,683 | ||||||
| 5.000%, 7/1/25 |
135,000 | 153,709 | ||||||
| Maryland Health and Higher Educational Facilities Authority, (Meritus Medical Center) |
||||||||
| 3.968%, 7/1/27 |
205,000 | 236,245 | ||||||
| 4.168%, 7/1/29 |
40,000 | 47,545 | ||||||
| Massachusetts Development Finance Agency, (NewBridge on the Charles, Inc.), 4.000%, 10/1/27 |
100,000 | 109,067 | ||||||
| Massachusetts Educational Financing Authority |
||||||||
| 1.921%, 7/1/27 |
615,000 | 623,921 | ||||||
| 2.305%, 7/1/29 |
1,000,000 | 1,020,888 | ||||||
| 2.306%, 7/1/25 |
200,000 | 208,759 | ||||||
| Massachusetts Health and Educational Facilities Authority, (Northeastern University), 6.432%, 10/1/35 |
420,000 | 583,620 | ||||||
| Metropolitan Transportation Authority |
||||||||
| 5.000%, 11/15/50 |
240,000 | 300,655 | ||||||
| 5.175%, 11/15/49 |
855,000 | 1,161,061 | ||||||
| New Jersey Educational Facilities Authority, 3.958%, 7/1/48 (Insurer AGM) |
1,000,000 | 1,059,992 | ||||||
| New York Transportation Development Corp., 4.248%, 9/1/35 |
610,000 | 681,555 | ||||||
| New York Transportation Development Corp., (LaGuardia Airport Terminal B Redevelopment), 3.473%, 7/1/28 |
500,000 | 504,389 | ||||||
| Oklahoma Development Finance Authority, (OU Medicine) |
||||||||
| 4.650%, 8/15/30 (Insurer AGM) |
130,000 | 156,426 | ||||||
| 5.450%, 8/15/28 |
770,000 | 882,913 | ||||||
| Oklahoma State University |
||||||||
| 3.427%, 9/1/36 |
100,000 | 111,821 | ||||||
| 3.627%, 9/1/40 |
880,000 | 976,155 | ||||||
| Oregon Health and Science University, 5.000%, 7/1/45 |
350,000 | 475,360 | ||||||
84
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Municipal Bonds (Continued) | ||||||||
| Oregon State University, 3.424%, 3/1/60 (Insurer BAM) |
1,000,000 | $ | 1,042,963 | |||||
| Pennsylvania Industrial Development Authority, 3.556%, 7/1/24 (b) |
505,000 | 524,833 | ||||||
| Philadelphia, PA, Water and Wastewater Revenue, 4.189%, 10/1/37 |
665,000 | 768,086 | ||||||
| Regents of the University of California Medical Center Pooled Revenue, 3.706%, 5/15/20 |
900,000 | 1,010,463 | ||||||
| Sacramento, CA, 5.730%, 8/15/23 (Insurer NATL) |
340,000 | 362,873 | ||||||
| San Bernardino County, CA, Pension Obligation Revenue, 6.020%, 8/1/23 (Insurer AGM) |
200,000 | 212,502 | ||||||
| Shelby County, Health, Educational and Housing Facilities Board, (Trezevant Manor Project) |
||||||||
| 4.000%, 9/1/21 |
250,000 | 249,820 | ||||||
| 4.000%, 9/1/22 |
250,000 | 247,712 | ||||||
| Southern Ohio Port Authority, 6.500%, 12/1/30 (b) |
470,000 | 553,896 | ||||||
| State Board of Administration Finance Corp., 1.258%, 7/1/25 |
375,000 | 381,492 | ||||||
| Sustainable Energy Utility, Inc., 2.344%, 9/15/29 |
900,000 | 908,542 | ||||||
| Uptown Development Authority, 2.581%, 9/1/31 (Insurer AGM) |
100,000 | 105,504 | ||||||
| Washington Housing Finance Commission, (Presbyterian Retirement Communities), 4.000%, 1/1/24 |
300,000 | 305,985 | ||||||
| Washington Housing Finance Commission, (Transforming Age), 3.000%, 1/1/25 |
985,000 | 985,237 | ||||||
| Wisconsin Health & Educational Facilities Authority |
||||||||
| 3.940%, 8/15/41 |
335,000 | 347,579 | ||||||
| 4.190%, 8/15/55 |
190,000 | 196,685 | ||||||
|
|
|
|||||||
| Total Municipal Bonds |
25,649,422 | |||||||
|
|
|
|||||||
| U.S. Government Agency Obligations – 5.9% | ||||||||
| Federal Farm Credit Banks Funding Corp. |
||||||||
| 2.625%, 10/15/49 |
1,140,000 | 1,219,149 | ||||||
| 2.780%, 11/2/37 |
1,800,000 | 2,026,654 | ||||||
| 3.430%, 4/6/45 |
1,000,000 | 1,231,295 | ||||||
| 3.660%, 3/7/44 |
974,000 | 1,236,842 | ||||||
| Federal Home Loan Banks , 2.375%, 3/14/25 |
2,710,000 | 2,891,041 | ||||||
| Federal Home Loan Mortgage Corp. , 1.500%, 2/12/25 |
5,600,000 | 5,802,962 | ||||||
| Federal National Mortgage Association , 5.625%, 7/15/37 |
391,000 | 605,269 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency Obligations |
15,013,212 | |||||||
|
|
|
|||||||
| Senior Floating Rate Interests – 3.6% | ||||||||
| Consumer Discretionary – 1.6% |
||||||||
| Adient US LLC 2021 Term Loan B, 3.592%, (1 mo. USD LIBOR + 3.500%), 4/8/28 (a) |
210,000 | 210,088 | ||||||
| Altice France S.A. USD Term Loan B12, 3.814%, (3 mo. USD LIBOR + 3.688%), 1/31/26 (a) |
468,589 | 463,786 | ||||||
85
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Consumer Discretionary (Continued) |
||||||||
| American Builders & Contractors Supply Co., Inc. 2019 Term Loan, 2.092%, (1 mo. USD LIBOR + 2.000%), 1/15/27 (a) |
491,250 | $ | 486,393 | |||||
| Boels Topholding Bv 2021 EUR Term Loan B 2021 EUR Term Loan B, 0.000%, 2/5/27 (a) |
400,000 | EUR | 471,308 | |||||
| Charter Communications Operating, LLC 2019 Term Loan B2, 1.850%, (1 mo. USD LIBOR + 1.750%), 2/1/27 (a) |
285,248 | 282,257 | ||||||
| Go Daddy Operating Company, LLC 2017 Repriced Term Loan 1.842%, (1 mo. USD LIBOR + 1.750%), 2/15/24 (a) |
183,265 | 181,623 | ||||||
| 2.092%, (1 mo. USD LIBOR + 2.000%), 8/10/27 (a) |
306,900 | 304,176 | ||||||
| Harbor Freight Tools USA, Inc. 2021 Term Loan B 2021 Term Loan B, 3.250%, (1 mo. USD LIBOR + 0.027%), 10/19/27 (a) |
573,117 | 571,121 | ||||||
| Nexstar Broadcasting, Inc. 2018 Term Loan B3, 2.337%, (1 mo. USD LIBOR + 2.250%), 1/17/24 (a) |
87,074 | 86,552 | ||||||
| UPC Financing Partnership 2021 USD Term Loan AX, 3.093%, (1 mo. USD LIBOR + 3.000%), 1/31/29 (a) |
995,000 | 986,527 | ||||||
|
|
|
|||||||
| 4,043,831 | ||||||||
|
|
|
|||||||
| Consumer Staples – 0.1% |
||||||||
| CHG PPC Parent LLC 2018 Term Loan B, 2.842%, (1 mo. USD LIBOR + 2.750%), 3/31/25 (a) |
97,000 | 95,666 | ||||||
| Coty, Inc. 2018 USD Term Loan B, 2.352%, (1 mo. USD LIBOR + 2.250%), 4/7/25 (a) |
125,593 | 120,805 | ||||||
| Diamond (BC) B.V. USD Term Loan, 3.107%, (2 mo. USD LIBOR + 3.000%), 9/6/24 (a) |
144,750 | 143,721 | ||||||
|
|
|
|||||||
| 360,192 | ||||||||
|
|
|
|||||||
| Financials – 0.3% |
||||||||
| Russell Investments US Inst’l Holdco, Inc. 2020 Term Loan, 4.000%, (6 mo. USD LIBOR + 3.000%), 5/30/25 (a) |
487,551 | 486,027 | ||||||
| USI, Inc. 2017 Repriced Term Loan, 3.147%, (3 mo. USD LIBOR + 3.000%), 5/16/24 (a) |
168,438 | 166,806 | ||||||
|
|
|
|||||||
| 652,833 | ||||||||
|
|
|
|||||||
| Health Care – 0.9% |
||||||||
| Adevinta ASA EUR Term Loan B, 0.000%, 4/20/28 (a) |
185,000 | EUR | 219,297 | |||||
| Biogroup-LCD 2021 EUR Term Loan B, 3.500%, (3 mo. EUR Euribor + 3.500%), 1/28/28 (a) |
465,000 | EUR | 548,019 | |||||
| Insulet Corporation Term Loan B Term Loan B, 3.750%, (1 mo. USD LIBOR + 3.25%), 5/4/28 (a) |
265,000 | 265,662 | ||||||
| Verisure Holding AB 2021 EUR Term Loan, 3.500%, (3 mo. EUR Euribor + 3.500%), 3/27/28 (a) |
900,000 | EUR | 1,062,467 | |||||
| Zephyr German BidCo GmbH EUR Term Loan B, 3.750%, (2 mo. EUR Euribor + 3.750%), 3/10/28 (a) |
100,000 | EUR | 118,673 | |||||
|
|
|
|||||||
| 2,214,118 | ||||||||
|
|
|
|||||||
| Information Technology – 0.7% |
||||||||
| Blackhawk Network Holdings, Inc. 2018 1st Lien Term Loan, 3.092%, (1 mo. USD LIBOR + 3.000%), 6/15/25 (a) |
174,600 | 172,417 | ||||||
| DCert Buyer, Inc. 2019 Term Loan B, 4.092%, (1 mo. USD LIBOR + 4.000%), 10/16/26 (a) |
641,751 | 641,178 | ||||||
86
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Information Technology (Continued) |
||||||||
| Finastra USA, Inc. USD 1st Lien Term Loan, 4.500%, (6 mo. USD LIBOR + 3.500%), 6/13/24 (a) |
251,225 | $ | 247,198 | |||||
| MA FinanceCo., LLC USD Term Loan B3, 2.842%, (1 mo. USD LIBOR + 2.750%), 6/21/24 (a) |
28,299 | 27,751 | ||||||
| Seattle Spinco, Inc. USD Term Loan B3, 2.842%, (1 mo. USD LIBOR + 2.750%), 6/21/24 (a) |
191,114 | 187,411 | ||||||
| SS&C Technologies Holdings Europe S.A.R.L. 2018 Term Loan B4, 1.842%, (1 mo. USD LIBOR + 1.750%), 4/16/25 (a) |
39,793 | 39,246 | ||||||
| SS&C Technologies Inc. 2018 Term Loan B3, 1.842%, (1 mo. USD LIBOR + 1.750%), 4/16/25 (a) |
50,233 | 49,542 | ||||||
| Zelis Healthcare Corporation 2021 Term Loan, 3.601%, (1 mo. USD LIBOR + 3.500%), 9/30/26 (a) |
470,250 | 468,810 | ||||||
|
|
|
|||||||
| 1,833,553 | ||||||||
|
|
|
|||||||
| Total Senior Floating Rate Interests |
9,104,527 | |||||||
|
|
|
|||||||
| Foreign Government & Agency Securities – 1.3% | ||||||||
| City of Toronto Canada, 2.600%, 9/24/39 |
1,060,000 | CAD | 863,312 | |||||
| Hong Kong Government International Bond, 2.500%, 5/28/24 (b) |
750,000 | 791,353 | ||||||
| Republic of Chile, 0.830%, 7/2/31 |
1,370,000 | EUR | 1,654,148 | |||||
|
|
|
|||||||
| Total Foreign Government & Agency Securities |
3,308,813 | |||||||
|
|
|
|||||||
| Asset Backed Securities – 0.5% | ||||||||
| Carmax Auto Owner Trust Series 2017-4, 2.700%, 10/16/23 |
250,000 | 251,920 | ||||||
| Corevest American Finance Trust Series 2020-4 , 2.250%, 12/15/52 (b) |
100,000 | 99,558 | ||||||
| Mosaic Solar Loan Trust Series 2020-2A, 1.440%, 8/20/46 (b) |
187,638 | 186,357 | ||||||
| SBA Tower Trust Series 2014-2A, 3.869%, 10/15/49 (b)(d) |
500,000 | 526,581 | ||||||
| Tricolor Auto Securitization Trust Series 1A, 0.740%, 4/15/24 (b) |
305,000 | 305,396 | ||||||
|
|
|
|||||||
| Total Asset Backed Securities |
1,369,812 | |||||||
|
|
|
|||||||
| Convertible Bonds – 0.2% | ||||||||
| Consumer Discretionary – 0.1% |
||||||||
| Etsy, Inc., 0.125%, 10/1/26 |
95,000 | 205,817 | ||||||
|
|
|
|||||||
| 205,817 | ||||||||
|
|
|
|||||||
| Health Care – 0.1% |
||||||||
| Dexcom, Inc., 0.250%, 11/15/25 |
205,000 | 233,444 | ||||||
|
|
|
|||||||
| 233,444 | ||||||||
|
|
|
|||||||
87
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
| Security | Principal Amount* |
Value | ||||||
| Technology – 0.0% |
||||||||
| Square, Inc., 0.125%, 3/1/25 |
50,000 | $ | 104,688 | |||||
|
|
|
|||||||
| 104,688 | ||||||||
|
|
|
|||||||
| Total Convertible Bonds |
543,949 | |||||||
|
|
|
|||||||
| Certificates of Deposit – 0.2% | ||||||||
| Self-Help Federal Credit Union, 2.500%, 6/27/22 |
400,000 | 408,912 | ||||||
|
|
|
|||||||
| Total Certificates of Deposit |
408,912 | |||||||
|
|
|
|||||||
| Preferred Stock – 0.1% | ||||||||
| Health Care – 0.1% |
||||||||
| Becton Dickinson and Co., Series B, 6.000%, 6/1/23 |
4,000 | 224,880 | ||||||
|
|
|
|||||||
| 224,880 | ||||||||
|
|
|
|||||||
| Total Preferred Stock |
224,880 | |||||||
|
|
|
|||||||
| Total Long Term Investments |
$ | 255,290,868 | ||||||
|
|
|
|||||||
| Short Term Investments – 19.6% | ||||||||
| U.S. Government Agency Obligations – 19.6% |
||||||||
| Federal Home Loan Bank Discount Notes |
||||||||
| 0.000%, 8/6/21 |
1,700,000 | 1,699,996 | ||||||
| 0.000%, 8/11/21 |
5,930,000 | 5,929,970 | ||||||
| 0.000%, 8/13/21 |
12,000,000 | 11,999,927 | ||||||
| 0.000%, 8/20/21 |
2,400,000 | 2,399,976 | ||||||
| 0.000%, 9/1/21 |
12,000,000 | 11,999,700 | ||||||
| 0.000%, 10/6/21 |
1,500,000 | 1,499,919 | ||||||
| 0.000%, 10/27/21 |
12,000,000 | 11,999,140 | ||||||
| Federal Farm Credit Discount Notes , 0.000%, 8/25/21 |
2,000,000 | 1,999,975 | ||||||
|
|
|
|||||||
| Total Short Term Investments |
49,528,603 | |||||||
|
|
|
|||||||
| Total Investments – 120.4% (Cost $294,171,026) (e) | 304,819,471 | |||||||
| Other Liabilities, less assets – (20.4)% | (51,660,579) | |||||||
|
|
|
|||||||
| Net Assets – 100.0% | $253,158,892 | |||||||
|
|
|
|||||||
* The principal amount is stated in U.S. dollars unless otherwise indicated.
(a) Floating/Variable note with current rate and current maturity or next reset date shown. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(b) Security that may be sold to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. At July 31, 2021, the aggregate value of these securities was $43,197,874, representing 17.1% of net assets.
88
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
(c) A portion or all of the security was purchased as a when issued or delayed delivery security.
(d) Step coupon bond.
(e) The aggregate cost for federal income tax purposes is $294,190,429. The aggregate gross unrealized appreciation is $10,917,306 and the aggregate gross unrealized depreciation is $288,264 , resulting in net unrealized appreciation of $10,629,042.
Abbreviations
TBA — To Be Announced
AGM — Assured Guaranty Municipal Corporation
BAM — Build America Mutual
NATL — National Public Finance Guarantee Corporation
CAD — Canadian Dollar
EUR — Euro
At July 31, 2021, the Fund had the following forward currency contracts outstanding.
| Currency Bought |
Currency Sold |
Counterparty | Settlement Date |
Quantity | Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| United States Dollar |
Canadian Dollar |
|
BNP Paribas, N.A. |
|
9/15/21 | 526,000 | $ | 421,339 | $ | 14,474 | ||||||||||||
| United States Dollar |
Euro | |
BNP Paribas, N.A. |
|
8/31/21 | 2,230,000 | 2,645,763 | (13,605 | ) | |||||||||||||
| United States Dollar |
Euro | |
Citibank, N.A. |
|
9/15/21 | 1,804,000 | 2,140,986 | 56,371 | ||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | 57,240 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
At July 31, 2021, the Fund had the following future contracts outstanding.
| Description | Number of Contracts |
Notional Amount |
Value | Expiration Date |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Long Gilt (Short) |
19 | $ | (1,900,000 | ) | $ | (3,428,619 | ) | 9/28/21 | $ | (65,973 | ) | |||||||
| 30-Year Euro-Buxl Bond (Short) |
5 | (500,000 | ) | (1,274,971 | ) | 9/8/21 | (23,128 | ) | ||||||||||
| Euro-Bund (Short) |
36 | (3,600,000 | ) | (7,537,557 | ) | 9/8/21 | (196,987 | ) | ||||||||||
| Euro-Oat (Long) |
24 | 2,400,000 | 4,612,665 | 9/8/21 | (346 | ) | ||||||||||||
| Euro-BTP (Short) |
25 | (2,500,000 | ) | (4,573,628 | ) | 9/8/21 | 21 | |||||||||||
| 10-Year Australia Government Bond (Short) |
25 | (2,500,000 | ) | (2,671,863 | ) | 9/15/21 | (78,080 | ) | ||||||||||
|
|
|
|||||||||||||||||
| $ | (364,493 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
89
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
At July 31, 2021, the Fund had the following centrally cleared interest rate swap contracts outstanding.
| Description | Counterparty/ Exchange |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Pay Fixed rate annually 0.821% Receive Floating rate annually 12 month SOFR |
Morgan Stanley/LCH |
6/16/26 | $ | 12,457,000 | $ | (157,798 | ) | $ | (69,872 | ) | $ | (87,926 | ) | |||||||||
| Pay Fixed rate annually 1.167% Receive Floating rate annually 12 month SOFR |
Morgan Stanley/LCH |
6/16/28 | 9,665,000 | (252,985 | ) | (81,248 | ) | (171,737 | ) | |||||||||||||
| Pay Fixed rate annually 1.470% Receive Floating rate annually 12 month SOFR |
Morgan Stanley/LCH |
6/16/31 | 16,665,000 | (737,850 | ) | (290,801 | ) | (447,049 | ) | |||||||||||||
| Receive Fixed rate annually 0.150% Pay Floating rate annually 12 month SOFR |
Morgan Stanley/LCH |
6/16/23 | 18,435,000 | 7,565 | 3,618 | 3,947 | ||||||||||||||||
| Receive Fixed rate annually 1.850% Pay Floating rate annually 12 month SOFR |
Morgan Stanley/LCH |
6/16/51 | 10,201,000 | 1,187,536 | 533,305 | 654,231 | ||||||||||||||||
| Receive Fixed rate annually 1.813% Pay Floating rate annually 12 month SOFR |
Morgan Stanley/LCH |
6/16/41 | 7,690,000 | 666,726 | 198,371 | 468,355 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $ | 293,373 | $ | 419,821 | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
90
DOMINI IMPACT BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2021
At July 31, 2021, the Fund had the following centrally cleared credit default swap contracts outstanding.
| Description | Counterparty/ Exchange |
Expiration Date |
Notional Amount(a) |
Value (b) | Upfront (Received) |
Unrealized (Depreciation) |
||||||||||||||||
| Sell Protection (c): CDX-NAHY Series 36, Version 1, 5 Year Index, Fixed Rate 5.000% (d) |
Morgan Stanley/ICE |
6/20/26 | $ | 4,445,000 | $ | 413,455 | $ | 415,575 | $ | (2,120 | ) | |||||||||||
|
|
|
|
|
|||||||||||||||||||
| $ | 415,575 | $ | (2,120 | ) | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
At July 31, 2021, the Fund had the following OTC total return swap contracts outstanding.
| Description | Floating Rate |
Payment Frequency |
Notional Amount |
Maturity Date |
Counterparty | Value | Upfront Premiums Paid (Received) |
Unrealized (Depreciation) |
||||||||||||||||||
| Pay Total Return IBOXX USD Liquid High Yield, Series 1 |
3 month USD BBA LIBOR |
Maturity | $ | 5,030,000 | 12/20/21 | Morgan Stanley | $ | (132,676 | ) | $ | 0 | $ | (132,676 | ) | ||||||||||||
| Pay Total Return IBOXX USD Liquid High Yield, Series 1 |
3 month USD BBA LIBOR |
Maturity | 490,000 | 12/20/21 | Morgan Stanley | (6,096 | ) | 0 | (6,096 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| $ | 0 | $ | (138,772 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
(a) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(b) The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(c) If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap and deliver/(take delivery) of the referenced obligation or underlying securities comprising the referenced index or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation of underlying securities comprising the referenced index.
(d) Ratings of Moody’s/S&P - B1/B+
Abbreviations
LCH — London Clearing House
ICE — Intercontinental Exchange
SEE NOTES TO FINANCIAL STATEMENTS
91
DOMINI FUNDS EXPENSE EXAMPLE (Unaudited)
As a shareholder of the Domini Funds, you incur two types of costs:
(1) Transaction costs such as redemption fees deducted from any redemption or exchange proceeds if you sell or exchange shares of the fund after holding them less than 30 days and sales charges (loads) on Class A shares and
(2) Ongoing costs, including management fees, distribution (12b-1) fees, and other Fund expenses.
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested on February 01, 2021 and held through July 31, 2021.
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.
92
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Fund Name | Expenses | Beginning Account Value As of 2/1/2021 |
Ending Account value as of 7/31/2021 |
Expenses Paid During Period 2/1/2021 – 7/31/2021 | ||||
| Domini Impact Equity Fund Investor Shares |
Actual Expenses | $1,000.00 | $1,138.10 | $5.781 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,019.40 | $5.461 | |||||
| Domini Impact Equity Fund Class A Shares |
Actual Expenses | $1,000.00 | $1,138.10 | $5.781 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,019.40 | $5.461 | |||||
| Domini Impact Equity Fund Institutional Shares |
Actual Expenses | $1,000.00 | $1,140.00 | $3.931 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,021.10 | $3.711 | |||||
| Domini Impact Equity Fund Class Y Shares (formerly Class R Shares) |
Actual Expenses | $1,000.00 | $1,139.90 | $4.241 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,020.80 | $4.011 | |||||
| Domini International Opportunities Fund Investor Class |
Actual Expenses | $1,000.00 | $1,088.10 | $7.252 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,017.90 | $7.002 | |||||
| Domini International Opportunities Fund Institutional Class |
Actual Expenses | $1,000.00 | $1,089.40 | $5.962 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,019.10 | $5.762 | |||||
| Domini Sustainable Solutions Fund Investor Class |
Actual Expenses | $1,000.00 | $951.10 | $6.773 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,017.90 | $7.003 | |||||
| Domini Sustainable Solutions Fund Institutional Class |
Actual Expenses | $1,000.00 | $952.20 | $5.573 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,019.10 | $5.763 | |||||
| Domini Impact International Equity Fund Investor Shares |
Actual Expenses | $1,000.00 | $1,116.50 | $7.144 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,018.10 | $6.814 | |||||
93
| Fund Name | Expenses | Beginning Account Value As of 2/1/2021 |
Ending Account value as of 7/31/2021 |
Expenses Paid During Period 2/1/2021 – 7/31/2021 | ||||
| Domini Impact International Equity Fund Class A Shares |
Actual Expenses | $1,000.00 | $1,116.20 | $7.244 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,018.00 | $6.904 | |||||
| Domini Impact International Equity Fund Institutional Shares |
Actual Expenses | $1,000.00 | $1,118.90 | $4.734 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,020.30 | $4.514 | |||||
| Domini Impact International Equity Fund Class Y Shares |
Actual Expenses | $1,000.00 | $1,118.50 | $5.104 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,020.00 | $4.864 | |||||
| Domini Impact Bond Fund Investor Shares |
Actual Expenses | $1,000.00 | $1,001.90 | $4.325 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,020.50 | $4.365 | |||||
| Domini Impact Bond Fund Institutional Shares |
Actual Expenses | $1,000.00 | $1,004.20 | $2.835 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,022.00 | $2.865 | |||||
| Domini Impact Bond Fund Class Y Shares |
Actual Expenses | $1,000.00 | $1,019.30 | $1.106 | ||||
| Hypothetical Expenses (5% return before expenses) | $1,000.00 | $1,021.60 | $3.266 | |||||
1Expenses are equal to the Fund’s annualized expense ratio of 1.09% for Investor shares, or 1.09% for Class A shares, or 0.74% for Institutional shares, or 0.80% for Class Y shares (formerly Class R shares), multiplied by average account value over the period, multiplied by 181, and divided by 365.
2Expenses are equal to the Fund’s annualized expense ratio of 1.40% for Investor shares, or 1.15% for Institutional
shares, multiplied by average account value over the period, multiplied by 181, and divided by 365.
3Expenses are equal to the Fund’s annualized expense ratio of 1.40% for Investor shares, or 1.15% for Institutional shares, multiplied by average account value over the period, multiplied by 181, and divided by 365.
4Expenses are equal to the Fund’s annualized expense ratio of 1.36% for Investor shares, or 1.38% for Class A shares, or 0.90% for Institutional shares, or 0.97% for Class Y shares, multiplied by average account value over the period, multiplied by 181, and divided by 365.
5Expenses are equal to the Fund’s annualized expense ratio of 0.87% for Investor shares, or 0.57% for Institutional shares, multiplied by average account value over the period, multiplied by 181, and divided by 365.
6Actual Expenses are equal to the Fund’s annualized expense ratio of 0.65% for Class Y shares, multiplied by average account value over the period beginning 6/1/2021 (commencement of operations), multiplied by 61, and divided by 365. Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.65% for Class Y shares, multiplied by average account value over the period, multiplied by 181, and divided by 365.
94
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2021
* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
95
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2021
* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
96
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2021
* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
97
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2021
* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
98
STATEMENT OF OPERATIONS
For the Year Ended July 31, 2021
| Domini Impact Equity Fund |
||||
| INCOME |
||||
| Dividends (net of foreign taxes $189,868) |
$ | 12,918,915 | ||
| Interest income |
20,328 | |||
|
|
|
|||
| Investment Income |
12,939,243 | |||
|
|
|
|||
| EXPENSES |
||||
| Management/Sponsorship fees |
6,313,451 | |||
| Distribution fees – Investor Shares |
2,060,769 | |||
| Distribution fees – Class A Shares |
17,617 | |||
| Transfer agent fees – Investor Shares |
831,398 | |||
| Transfer agent fees – Class A Shares |
4,747 | |||
| Transfer agent fees – Institutional Shares |
17,618 | |||
| Transfer agent fees – Class Y Shares (formerly Class R Shares) |
5,764 | |||
| Custody and Accounting fees |
261,732 | |||
| Professional fees |
102,394 | |||
| Registration fees – Investor Shares |
85,853 | |||
| Registration fees – Class A Shares |
19,177 | |||
| Registration fees – Institutional Shares |
21,105 | |||
| Registration fees – Class Y Shares (formerly Class R Shares) |
21,105 | |||
| Shareholder Communication fees |
135,454 | |||
| Miscellaneous |
147,962 | |||
| Trustees fees |
40,922 | |||
| Shareholder Service fees – Investor Shares |
43,990 | |||
| Shareholder Service fees – Class A Shares |
305 | |||
| Shareholder Service fees – Institutional Shares |
140 | |||
| Shareholder Service fees – Class Y Shares (formerly Class R Shares) |
110 | |||
|
|
|
|||
| Total expenses |
10,131,613 | |||
| Fees waived and expenses reimbursed |
(35,413) | |||
|
|
|
|||
| Net expenses |
10,096,200 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
2,843,043 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY |
||||
| NET REALIZED GAIN (LOSS) FROM: |
||||
| Investments |
62,287,455 | |||
| Foreign currency |
3,922 | |||
|
|
|
|||
| Net realized gain (loss) |
62,291,377 | |||
|
|
|
|||
| NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: |
||||
| Investments |
213,611,222 | |||
| Translation of assets and liabilities in foreign currencies |
231 | |||
|
|
|
|||
| Net change in unrealized appreciation (depreciation) |
213,611,453 | |||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
275,902,830 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 278,745,873 | ||
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS
99
STATEMENT OF OPERATIONS
For the Period Ended July 31, 2021
| Domini International Opportunities Fund |
||||
| INCOME |
||||
| Dividends (net of foreign taxes $37,232) |
$ | 333,868 | ||
|
|
|
|||
| Investment Income |
333,868 | |||
|
|
|
|||
| EXPENSES |
||||
| Management/Sponsorship fees |
141,620 | |||
| Distribution fees – Investor Class |
2,817 | |||
| Transfer agent fees – Investor Class |
24,373 | |||
| Transfer agent fees – Institutional Class |
1,811 | |||
| Custody and Accounting fees |
90,893 | |||
| Professional fees |
45,250 | |||
| Registration fees – Investor Class |
6,028 | |||
| Registration fees – Institutional Class |
8,065 | |||
| Shareholder Communication fees |
33,280 | |||
| Miscellaneous |
11,310 | |||
| Trustees fees |
525 | |||
| Shareholder Service fees – Investor Class |
237 | |||
| Shareholder Service fees – Institutional Class |
6 | |||
|
|
|
|||
| Total expenses |
366,215 | |||
| Fees waived and expenses reimbursed |
(171,900) | |||
|
|
|
|||
| Net expenses |
194,315 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
139,553 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY |
||||
| NET REALIZED GAIN (LOSS) FROM: |
||||
| Investments |
185,228 | |||
| Foreign currency |
(26,007) | |||
|
|
|
|||
| Net realized gain (loss) |
159,221 | |||
|
|
|
|||
| NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: |
||||
| Investments |
2,365,812 | |||
| Translation of assets and liabilities in foreign currencies |
(562) | |||
|
|
|
|||
| Net change in unrealized appreciation (depreciation) |
2,365,250 | |||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
2,524,471 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 2,664,024 | ||
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS
100
STATEMENT OF OPERATIONS
For the Year Ended July 31, 2021
| Domini Sustainable Solutions Fund |
||||
| INCOME |
||||
| Dividends (net of foreign taxes $16,030) |
$ | 165,062 | ||
|
|
|
|||
| Investment Income |
165,062 | |||
|
|
|
|||
| EXPENSES |
||||
| Management/Sponsorship fees |
265,766 | |||
| Distribution fees – Investor Class |
35,311 | |||
| Transfer agent fees – Investor Class |
52,417 | |||
| Transfer agent fees – Institutional Class |
1,291 | |||
| Custody and Accounting fees |
82,648 | |||
| Professional fees |
45,066 | |||
| Registration fees – Investor Class |
26,550 | |||
| Registration fees – Institutional Class |
27,445 | |||
| Shareholder Communication fees |
146 | |||
| Miscellaneous |
4,629 | |||
| Trustees fees |
1,156 | |||
| Shareholder Service fees – Investor Class |
1,593 | |||
| Shareholder Service fees – Institutional Class |
35 | |||
|
|
|
|||
| Total expenses |
544,053 | |||
| Fees waived and expenses reimbursed |
(149,828) | |||
|
|
|
|||
| Net expenses |
394,225 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
(229,163) | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY |
||||
| NET REALIZED GAIN (LOSS) FROM: |
||||
| Investments |
1,493,568 | |||
| Foreign currency |
7,506 | |||
|
|
|
|||
| Net realized gain (loss) |
1,501,074 | |||
|
|
|
|||
| NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: |
||||
| Investments |
5,013,300 | |||
| Translation of assets and liabilities in foreign currencies |
(1,315) | |||
|
|
|
|||
| Net change in unrealized appreciation (depreciation) |
5,011,985 | |||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
6,513,059 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 6,283,896 | ||
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS
101
STATEMENT OF OPERATIONS
For the Year Ended July 31, 2021
| Domini Impact International Equity Fund |
||||
| INCOME |
||||
| Dividends (net of foreign taxes $3,510,201) |
$ | 35,874,955 | ||
|
|
|
|||
| Investment Income |
35,874,955 | |||
|
|
|
|||
| EXPENSES |
||||
| Management/Sponsorship fees |
11,019,441 | |||
| Distribution fees – Investor Shares |
843,522 | |||
| Distribution fees – Class A Shares |
55,245 | |||
| Transfer agent fees – Investor Shares |
542,087 | |||
| Transfer agent fees – Class A Shares |
20,276 | |||
| Transfer agent fees – Institutional Shares |
17,115 | |||
| Transfer agent fees – Class Y Shares |
246,106 | |||
| Custody and Accounting fees |
548,737 | |||
| Professional fees |
110,383 | |||
| Registration fees – Investor Shares |
65,458 | |||
| Registration fees – Class A Shares |
24,415 | |||
| Registration fees – Institutional Shares |
36,355 | |||
| Registration fees – Class Y Shares |
84,894 | |||
| Shareholder Communication fees |
125,341 | |||
| Miscellaneous |
88,919 | |||
| Trustees fees |
48,919 | |||
| Shareholder Service fees – Investor Shares |
18,811 | |||
| Shareholder Service fees – Class A Shares |
741 | |||
| Shareholder Service fees – Institutional Shares |
433 | |||
| Shareholder Service fees – Class Y Shares |
83 | |||
|
|
|
|||
| Net expenses |
13,897,281 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
21,977,674 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY |
||||
| NET REALIZED GAIN (LOSS) FROM: |
||||
| Investments |
136,664,757 | |||
| Foreign currency |
50,866 | |||
|
|
|
|||
| Net realized gain (loss) |
136,715,623 | |||
|
|
|
|||
| NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: |
||||
| Investments |
169,987,218 | |||
| Translation of assets and liabilities in foreign currencies |
(60,537) | |||
|
|
|
|||
| Net change in unrealized appreciation (depreciation) |
169,926,681 | |||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
306,642,304 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 328,619,978 | ||
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS
102
DOMINI IMPACT EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
|||||||
| INCREASE IN NET ASSETS |
||||||||
| FROM OPERATIONS |
||||||||
| Net investment income (loss) |
$ | 2,843,043 | $ | 5,392,589 | ||||
| Net realized gain (loss) |
62,291,377 | 10,673,042 | ||||||
| Net change in unrealized appreciation (depreciation) |
213,611,453 | 141,328,642 | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets Resulting from Operations |
278,745,873 | 157,394,273 | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
| Investor Shares |
(19,124,774) | (16,690,995) | ||||||
| Class A Shares |
(164,670) | (154,455) | ||||||
| Institutional Shares |
(3,655,416) | (3,065,786) | ||||||
| Class Y Shares (formerly Class R Shares) |
(193,419) | (402,768) | ||||||
|
|
|
|
|
|||||
| Net Decrease in Net Assets from Distributions |
(23,138,279) | (20,314,004) | ||||||
|
|
|
|
|
|||||
| CAPITAL SHARE TRANSACTIONS |
||||||||
| Proceeds from sale of shares |
54,374,553 | 32,168,636 | ||||||
| Net asset value of shares issued in reinvestment of distributions and dividends |
21,219,668 | 19,005,879 | ||||||
| Payments for shares redeemed |
(77,615,011) | (112,440,380) | ||||||
| Redemption fees |
20,541 | 7,097 | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets from Capital Share Transactions |
(2,000,249) | (61,258,768) | ||||||
|
|
|
|
|
|||||
| Total Increase (Decrease) in Net Assets |
253,607,345 | 75,821,501 | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
||||||||
| Beginning of period |
$ | 844,736,346 | $ | 768,914,845 | ||||
|
|
|
|
|
|||||
| End of period |
$ | 1,098,343,691 | $ | 844,736,346 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS
103
DOMINI INTERNATIONAL OPPORTUNITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
| For the Period November 30, 2020 (commencement of operations) through July 31, 2021 |
||||
| INCREASE IN NET ASSETS |
||||
| FROM OPERATIONS |
||||
| Net investment income (loss) |
$ | 139,553 | ||
| Net realized gain (loss) |
159,221 | |||
| Net change in unrealized appreciation (depreciation) |
2,365,250 | |||
|
|
|
|||
| Net Increase (Decrease) in Net Assets Resulting from Operations |
2,664,024 | |||
|
|
|
|||
| DISTRIBUTIONS TO SHAREHOLDERS |
||||
| Investor Class |
(10,330) | |||
| Institutional Class |
(140,924) | |||
|
|
|
|||
| Net Decrease in Net Assets from Distributions |
(151,254) | |||
|
|
|
|||
| CAPITAL SHARE TRANSACTIONS |
||||
| Proceeds from sale of shares |
24,302,975 | |||
| Net asset value of shares issued in reinvestment of distributions and dividends |
151,229 | |||
| Payments for shares redeemed |
(521,846) | |||
| Redemption fees |
5 | |||
|
|
|
|||
| Net Increase (Decrease) in Net Assets from Capital Share Transactions |
23,932,363 | |||
|
|
|
|||
| Total Increase (Decrease) in Net Assets |
26,445,133 | |||
|
|
|
|||
| NET ASSETS |
||||
| Beginning of period |
$ | - | ||
|
|
|
|||
| End of period |
$ | 26,445,133 | ||
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS
104
DOMINI SUSTAINABLE SOLUTIONS FUND
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended July 31, 2021 |
For the Period April 1, 2020 (commencement of operations) through July 31, 2020 |
|||||||
| INCREASE IN NET ASSETS |
||||||||
| FROM OPERATIONS |
||||||||
| Net investment income (loss) |
$ | (229,163) | $ | (28,931) | ||||
| Net realized gain (loss) |
1,501,074 | 267,659 | ||||||
| Net change in unrealized appreciation (depreciation) |
5,011,985 | 4,439,027 | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets Resulting from Operations |
6,283,896 | 4,677,755 | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
| Investor Class |
(428,601) | - | ||||||
| Institutional Class |
(590,211) | - | ||||||
|
|
|
|
|
|||||
| Net Decrease in Net Assets from Distributions |
(1,018,812) | - | ||||||
|
|
|
|
|
|||||
| CAPITAL SHARE TRANSACTIONS |
||||||||
| Proceeds from sale of shares |
16,670,464 | 15,721,328 | ||||||
| Net asset value of shares issued in reinvestment of distributions and dividends |
1,006,232 | - | ||||||
| Payments for shares redeemed |
(4,072,589) | (641,146) | ||||||
| Redemption fees |
3,761 | - | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets from Capital Share Transactions |
13,607,868 | 15,080,182 | ||||||
|
|
|
|
|
|||||
| Total Increase (Decrease) in Net Assets |
18,872,952 | 19,757,937 | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
||||||||
| Beginning of period |
$ | 19,757,937 | $ | - | ||||
|
|
|
|
|
|||||
| End of period |
$ | 38,630,889 | $ | 19,757,937 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS
105
DOMINI IMPACT INTERNATIONAL EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS |
||||||||
| FROM OPERATIONS |
||||||||
| Net investment income (loss) |
$ | 21,977,674 | $ | 12,990,751 | ||||
| Net realized gain (loss) |
136,715,623 | (65,181,633) | ||||||
| Net change in unrealized appreciation (depreciation) |
169,926,681 | 14,745,861 | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets Resulting from Operations |
328,619,978 | (37,445,021) | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
| Investor Shares |
(4,142,289) | (11,113,787) | ||||||
| Class A Shares |
(303,025) | (528,371) | ||||||
| Institutional Shares |
(11,986,084) | (16,980,431) | ||||||
| Class Y Shares |
(10,069,491) | (5,670,750) | ||||||
|
|
|
|
|
|||||
| Net Decrease in Net Assets from Distributions |
(26,500,889) | (34,293,339) | ||||||
|
|
|
|
|
|||||
| CAPITAL SHARE TRANSACTIONS |
||||||||
| Proceeds from sale of shares |
703,551,006 | 402,564,549 | ||||||
| Net asset value of shares issued in reinvestment of distributions and dividends |
21,750,304 | 27,442,828 | ||||||
| Payments for shares redeemed |
(516,771,256) | (513,861,795) | ||||||
| Redemption fees |
5,170 | 13,533 | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets from Capital Share Transactions |
208,535,224 | (83,840,885) | ||||||
|
|
|
|
|
|||||
| Total Increase (Decrease) in Net Assets |
510,654,313 | (155,579,245) | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
||||||||
| Beginning of period |
$ | 1,065,318,024 | $ | 1,220,897,269 | ||||
|
|
|
|
|
|||||
| End of period |
$ | 1,575,972,337 | $ | 1,065,318,024 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS
106
DOMINI IMPACT EQUITY FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017^ | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$26.72 | $22.48 | $24.18 | $23.18^ | $20.76 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
0.08 | 0.15 | 1 | 0.18 | 0.27 | 1 | 0.21 | 1 | ||||||||||||
| Net realized and unrealized gain (loss) on investments |
8.74 | 4.69 | 1 | 0.81 | 2.09 | 1 | 2.69 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
8.82 | 4.84 | 0.99 | 2.36 | 2.90 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.09) | (0.14) | (0.21) | (0.17 | )^ | (0.12) | ||||||||||||||
| Distributions to shareholders from net realized gain |
(0.63) | (0.46) | (2.48) | (1.19 | )^ | (0.36) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.72) | (0.60) | (2.69) | (1.36 | ) | (0.48) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$34.82 | $26.72 | $22.48 | $24.18 | $23.18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
33.43% | 21.98% | 6.31% | 10.32% | 14.07% | |||||||||||||||
| Portfolio turnover |
23% | 21% | 95% | 78% | 85% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$927 | $719 | $643 | $669 | $675 | |||||||||||||||
| Ratio of expenses to average net assets |
1.09% | 1.08% | 3,4 | 1.07% | 3,4 | 1.10% | 1.14% | |||||||||||||
| Ratio of gross expenses to average net assets |
1.09% | 1.09% | 1.09% | 1.10% | 1.14% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
0.24% | 0.65% | 0.96% | 1.15% | 0.94% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.07% for the year ended July 31,2019 and 1.08% for the year ended July 31,2020.
4 Reflects a waiver of fees by the Manager, the Sponsor and the Distributor of the Fund.
^ All per share amounts and net asset values have been adjusted as a result of the 1.9988601 for 1 share split on January 26, 2018.
SEE NOTES TO FINANCIAL STATEMENTS
107
DOMINI IMPACT EQUITY FUND — CLASS A SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017^ | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$26.70 | $22.46 | $24.17 | $33.41^ | $34.01 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
(0.46) | 0.15 | 1 | 0.23 | 0.31 | 1 | 0.32 | 1 | ||||||||||||
| Net realized and unrealized gain (loss) on investments |
9.27 | 4.69 | 1 | 0.75 | 2.84 | 1 | 4.14 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
8.81 | 4.84 | 0.98 | 3.15 | 4.46 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.09) | (0.14) | (0.21) | (1.35 | )^ | (1.72) | ||||||||||||||
| Distributions to shareholders from net realized gain |
(0.63) | (0.46) | (2.48) | (11.04 | )^ | (3.34) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.72) | (0.60) | (2.69) | (12.39 | ) | (5.06) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
- | - | 0.00 | 2 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$34.79 | $26.70 | $22.46 | $24.17 | $33.41 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return3 |
33.42% | 22.01% | 6.28% | 10.36% | 13.97% | |||||||||||||||
| Portfolio turnover |
23% | 21% | 95% | 78% | 85% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$8 | $6 | $7 | $7 | $8 | |||||||||||||||
| Ratio of expenses to average net assets |
1.09% | 5 | 1.09% | 4,5 | 1.09% | 4,5 | 1.12% | 5 | 1.16% | 5 | ||||||||||
| Ratio of gross expenses to average net assets |
1.31% | 1.47% | 1.43% | 1.38% | 1.46% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
0.24% | 0.64% | 0.95% | 1.14% | 0.92% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Total return does not reflect sales commissions.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.09% for the year ended July 31,2019 and 1.09% for the year ended July 31, 2020.
5 Reflects a waiver of fees by the Manager, the Sponsor and the Distributor of the Fund.
^ All per share amounts and net asset values have been adjusted as a result of the 0.2155310 for 1 reverse share split on January 26, 2018.
SEE NOTES TO FINANCIAL STATEMENTS
108
DOMINI IMPACT EQUITY FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$26.59 | $22.41 | $24.18 | $24.46 | $22.40 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
0.28 | 0.23 | 1 | 0.08 | 0.37 | 0.31 | 1 | |||||||||||||
| Net realized and unrealized gain (loss) on investments |
8.60 | 4.67 | 1 | 0.98 | 2.17 | 2.87 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
8.88 | 4.90 | 1.06 | 2.54 | 3.18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.24) | (0.26) | (0.35) | (0.44) | (0.40) | |||||||||||||||
| Distributions to shareholders from net realized gain |
(0.63) | (0.46) | (2.48) | (2.38) | (0.72) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.87) | (0.72) | (2.83) | (2.82) | (1.12) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$34.60 | $26.59 | $22.41 | $24.18 | $24.46 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
33.89% | 22.43% | 6.69% | 10.68% | 14.51% | |||||||||||||||
| Portfolio turnover |
23% | 21% | 95% | 78% | 85% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$154 | $113 | $99 | $120 | $157 | |||||||||||||||
| Ratio of expenses to average net assets |
0.74% | 0.74% | 3 | 0.74% | 3,4 | 0.74% | 4 | 0.79% | ||||||||||||
| Ratio of gross expenses to average net assets |
0.74% | 0.74% | 0.76% | 0.76% | 0.79% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
0.59% | 0.99% | 1.31% | 1.52% | 1.31% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.74% for the year ended July 31, 2019 and 0.74% for the year ended July 31, 2020.
4 Reflects a waiver of fees by the Manager and the Sponsor of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
109
DOMINI IMPACT EQUITY FUND — CLASS Y SHARES (FORMERLY CLASS R SHARES)
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017^ | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net Asset Value, beginning of period |
$26.62 | $22.42 | $24.18 | $37.86^ | $39.86 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
7.50 | 0.21 | 1 | 3.04 | 0.41 | 1 | 0.51 | 1 | ||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.37 | 4.68 | 1 | (2.00) | 3.21 | 1 | 4.69 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
8.87 | 4.89 | 1.04 | 3.62 | 5.20 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.20) | (0.23) | (0.32) | (2.00)^ | (2.57) | |||||||||||||||
| Distributions to shareholders from net realized gain |
(0.63) | (0.46) | (2.48) | (15.30)^ | (4.63) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.83) | (0.69) | (2.80) | (17.30) | (7.20) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$34.66 | $26.62 | $22.42 | $24.18 | $37.86 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
33.81% | 22.34% | 6.62% | 10.71% | 14.20% | |||||||||||||||
| Portfolio turnover |
23% | 21% | 95% | 78% | 85% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$10 | $6 | $20 | $18 | $21 | |||||||||||||||
| Ratio of expenses to average net assets |
0.80% | 4 | 0.79% | 3,4 | 0.80% | 3,4 | 0.80% | 4 | 0.83% | 4 | ||||||||||
| Ratio of gross expenses to average net assets |
1.05% | 0.94% | 0.88% | 0.84% | 0.85% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
0.51% | 0.92% | 1.23% | 1.46% | 1.28% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.80% for the year ended July 31, 2019 and 0.79% for the year ended July 31, 2020.
4 Reflects a waiver of fees by the Manager and the Sponsor of the Fund.
^ All per share amounts and net asset values have been adjusted as a result of the 0.1555580 for 1 reverse share split on January 26, 2018.
SEE NOTES TO FINANCIAL STATEMENTS
110
DOMINI INTERNATIONAL OPPORTUNITIES FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| For the Period November 30, 2020 |
||||
| (commencement of operations) through July 31, 2021 |
||||
| For a share outstanding for the period: |
||||
| Net asset value, beginning of period |
$10.00 | |||
|
|
|
|||
| Income from investment operations: |
||||
| Net investment income (loss) |
0.04 | |||
| Net realized and unrealized gain (loss) on investments |
1.09 | |||
|
|
|
|||
| Total Income (loss) From Investment Operations |
1.13 | |||
|
|
|
|||
| Less dividends and/or distributions: |
||||
| Dividends to shareholders from net investment income |
(0.05) | |||
| Distributions to shareholders from net realized gain |
- | |||
|
|
|
|||
| Total Distributions |
(0.05) | |||
|
|
|
|||
| Redemption fee proceeds1 |
0.00 | 2 | ||
|
|
|
|||
| Net asset value, end of period |
$11.08 | |||
|
|
|
|||
| Total return3 |
11.31% | |||
| Portfolio turnover |
16% | |||
| Ratios/supplemental data (annualized): |
||||
| Net assets, end of period (in millions) |
$2 | |||
| Ratio of expenses to average net assets |
1.40% | 4 | ||
| Ratio of gross expenses to average net assets |
4.88% | |||
| Ratio of net investment income (loss) to average net assets |
0.80% | |||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Not annualized for periods less than one year.
4 Reflects a waiver of fees by the Manager and the Distributor of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
111
DOMINI INTERNATIONAL OPPORTUNITIES FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| For the Period November 30, 2020 |
||||
| (commencement of operations) through July 31, 2021 |
||||
| For a share outstanding for the period: |
||||
| Net asset value, beginning of period |
$10.00 | |||
|
|
|
|||
| Income from investment operations: |
||||
| Net investment income (loss) |
0.06 | |||
| Net realized and unrealized gain (loss) on investments |
1.08 | |||
|
|
|
|||
| Total Income (loss) From Investment Operations |
1.14 | |||
| Less dividends and/or distributions: |
||||
| Dividends to shareholders from net investment income |
(0.06) | |||
| Distributions to shareholders from net realized gain |
- | |||
|
|
|
|||
| Total Distributions |
(0.06) | |||
| Redemption fee proceeds |
- | |||
|
|
|
|||
| Net asset value, end of period |
$11.08 | |||
|
|
|
|||
| Total return1 |
11.44% | |||
| Portfolio turnover |
16% | |||
| Ratios/supplemental data (annualized): |
||||
| Net assets, end of period (in millions) |
$24 | |||
| Ratio of expenses to average net assets |
1.15% | 2 | ||
| Ratio of gross expenses to average net assets |
2.00% | |||
| Ratio of net investment income (loss) to average net assets |
0.84% | |||
1 Not annualized for periods less than one year.
2 Reflects a waiver of fees by the Manager of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
112
DOMINI SUSTAINABLE SOLUTIONS FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, 2021 |
For the Period April 1, 2020 (commencement of operations) through July 31, 2020 |
|||||||
| For a share outstanding for the period: |
||||||||
| Net asset value, beginning of period |
$15.28 | $10.00 | ||||||
|
|
|
|
|
|||||
| Income from investment operations: |
||||||||
| Net investment income (loss) |
(0.12) | (0.02) | ||||||
| Net realized and unrealized gain (loss) on investments |
4.54 | 5.30 | ||||||
|
|
|
|
|
|||||
| Total Income (loss) From Investment Operations |
4.42 | 5.28 | ||||||
|
|
|
|
|
|||||
| Less dividends and/or distributions: |
||||||||
| Dividends to shareholders from net investment income |
- | - | ||||||
| Distributions to shareholders from net realized gain |
(0.64) | - | ||||||
|
|
|
|
|
|||||
| Total Distributions |
(0.64) | - | ||||||
|
|
|
|
|
|||||
| Redemption fee proceeds1 |
0.00 | 2 | - | |||||
|
|
|
|
|
|||||
| Net asset value, end of period |
$19.06 | $15.28 | ||||||
|
|
|
|
|
|||||
| Total return3 |
28.94% | 52.80% | ||||||
| Portfolio turnover |
65% | 10% | ||||||
| Ratios/supplemental data (annualized): |
||||||||
| Net assets, end of period (in millions) |
$19 | $7 | ||||||
| Ratio of expenses to average net assets |
1.40% | 5 | 1.37% | 4,5 | ||||
| Ratio of gross expenses to average net assets |
2.12% | 3.95% | ||||||
| Ratio of net investment income (loss) to average net assets |
(0.87)% | (0.94)% | ||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Not annualized for periods less than one year.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.37% for the year ended July 31, 2020.
5 Reflects a waiver of fees by the Manager and the Distributor of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
113
DOMINI SUSTAINABLE SOLUTIONS FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, 2021 |
For the Period April 1, 2020 (commencement of operations) through July 31, 2020 |
|||||||
| For a share outstanding for the period: |
||||||||
| Net asset value, beginning of period |
$15.29 | $10.00 | ||||||
|
|
|
|
|
|||||
| Income from investment operations: |
||||||||
| Net investment income (loss) |
(0.10) | (0.02) | ||||||
| Net realized and unrealized gain (loss) on investments |
4.57 | 5.31 | ||||||
|
|
|
|
|
|||||
| Total Income (loss) From Investment Operations |
4.47 | 5.29 | ||||||
|
|
|
|
|
|||||
| Less dividends and/or distributions: |
||||||||
| Dividends to shareholders from net investment income |
- | - | ||||||
| Distributions to shareholders from net realized gain |
(0.64) | - | ||||||
|
|
|
|
|
|||||
| Total Distributions |
(0.64) | - | ||||||
|
|
|
|
|
|||||
| Redemption fee proceeds1 |
- | - | ||||||
|
|
|
|
|
|||||
| Net asset value, end of period |
$19.12 | $15.29 | ||||||
|
|
|
|
|
|||||
| Total return2 |
29.25% | 52.90% | ||||||
| Portfolio turnover |
65% | 10% | ||||||
| Ratios/supplemental data (annualized): |
||||||||
| Net assets, end of period (in millions) |
$19 | $12 | ||||||
| Ratio of expenses to average net assets |
1.15% | 4 | 1.12% | 3,4 | ||||
| Ratio of gross expenses to average net assets |
1.43% | 2.89% | ||||||
| Ratio of net investment income (loss) to average net assets |
(0.62)% | (0.61)% | ||||||
1 Based on average shares outstanding.
2 Not annualized for periods less than one year.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.12% for the year ended July 31, 2020.
4 Reflects a waiver of fees by the Manager of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
114
DOMINI IMPACT INTERNATIONAL EQUITY FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$7.28 | $7.74 | $8.72 | $8.76 | $7.38 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
0.19 | 0.08 | 0.15 | 0.16 | 0.15 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.94 | (0.33) | (0.77) | 0.02 | 1.35 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
2.13 | (0.25) | (0.62) | 0.18 | 1.50 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.12) | (0.21) | (0.13) | (0.22) | (0.12) | |||||||||||||||
| Distributions to shareholders from net realized gain |
- | - | (0.23) | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.12) | (0.21) | (0.36) | (0.22) | (0.12) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$9.29 | $7.28 | $7.74 | $8.72 | $8.76 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
29.34% | -3.49% | -6.81% | 2.08% | 20.61% | |||||||||||||||
| Portfolio turnover |
88% | 98% | 77% | 68% | 73% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$292 | $397 | $432 | $612 | $595 | |||||||||||||||
| Ratio of expenses to average net assets |
1.37% | 1.36% | 3,4 | 1.41% | 3 | 1.41% | 1.46% | |||||||||||||
| Ratio of gross expenses to average net assets |
1.37% | 1.38% | 1.41% | 1.41% | 1.46% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
1.32% | 0.93% | 1.70% | 1.81% | 2.06% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.41% for the year ended July 31, 2019 and 1.36% for the year ended July 31, 2020.
4 Reflects a waiver of fees by the Manager and the Distributor of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
115
DOMINI IMPACT INTERNATIONAL EQUITY FUND — CLASS A SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$7.77 | $8.22 | $9.18 | $9.21 | $7.76 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
0.25 | 0.14 | 0.34 | 0.15 | 0.14 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.02 | (0.42) | (0.99) | 0.04 | 1.43 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
2.27 | (0.28) | (0.65) | 0.19 | 1.57 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.13) | (0.17) | (0.08) | (0.22) | (0.12) | |||||||||||||||
| Distributions to shareholders from net realized gain |
- | - | (0.23) | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.13) | (0.17) | (0.31) | (0.22) | (0.12) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
- | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$9.91 | $7.77 | $8.22 | $9.18 | $9.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return3 |
29.31% | -3.58% | -6.83% | 2.00% | 20.44% | |||||||||||||||
| Portfolio turnover |
88% | 98% | 77% | 68% | 73% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$21 | $21 | $27 | $81 | $85 | |||||||||||||||
| Ratio of expenses to average net assets |
1.38% | 1.40% | 4,5 | 1.43% | 4 | 1.47% | 1.52% | 5 | ||||||||||||
| Ratio of gross expenses to average net assets |
1.38% | 1.54% | 1.43% | 1.47% | 1.53% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
1.27% | 0.86% | 1.41% | 1.63% | 1.99% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Total return does not reflect sales commissions.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.43% for the year ended July 31, 2019 and 1.41% for the year ended July 31, 2020.
5 Reflects a waiver of fees by the Manager and the Distributor of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
116
DOMINI IMPACT INTERNATIONAL EQUITY FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$7.23 | $7.69 | $8.70 | $8.74 | $7.39 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
0.16 | 0.09 | 0.18 | 0.18 | 0.19 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.99 | (0.30) | (0.78) | 0.05 | 1.32 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
2.15 | (0.21) | (0.60) | 0.23 | 1.51 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.19) | (0.25) | (0.18) | (0.27) | (0.16) | |||||||||||||||
| Distributions to shareholders from net realized gain |
- | - | (0.23) | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.19) | (0.25) | (0.41) | (0.27) | (0.16) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$9.19 | $7.23 | $7.69 | $8.70 | $8.74 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
29.80% | -3.05% | -6.49% | 2.58% | 20.80% | |||||||||||||||
| Portfolio turnover |
88% | 98% | 77% | 68% | 73% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$636 | $473 | $524 | $580 | $384 | |||||||||||||||
| Ratio of expenses to average net assets |
0.91% | 0.95% | 3 | 1.01% | 3 | 1.02% | 1.07% | |||||||||||||
| Ratio of gross expenses to average net assets |
0.91% | 0.95% | 1.01% | 1.02% | 1.07% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
1.79% | 1.33% | 2.30% | 2.22% | 2.82% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.01% for the year ended July 31, 2019 and 0.95% for the year ended July 31, 2020.
SEE NOTES TO FINANCIAL STATEMENTS
117
DOMINI IMPACT INTERNATIONAL EQUITY FUND — CLASS Y SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | For the period July 23, 2018 (commencement of operations) through |
|||||||||||||||
| 2021 | 2020 | 2019 | July 31, 2018 | |||||||||||||
| For a share outstanding for the period: |
||||||||||||||||
| Net asset value, beginning of period |
$7.23 | $7.70 | $8.71 | $8.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income from investment operations: |
||||||||||||||||
| Net investment income (loss) |
0.11 | 0.12 | 0.23 | - | ||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.04 | (0.35) | (0.83) | 0.15 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Income (loss) From Investment Operations |
2.15 | (0.23) | (0.60) | 0.15 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Less dividends and/or distributions: |
||||||||||||||||
| Dividends to shareholders from net investment income |
(0.18) | (0.24) | (0.18) | - | ||||||||||||
| Distributions to shareholders from net realized gain |
- | - | (0.23) | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Distributions |
(0.18) | (0.24) | (0.41) | 0.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Redemption fee proceeds1 |
0.00 | 2 | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value, end of period |
$9.20 | $7.23 | $7.70 | $8.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total return3 |
29.88% | -3.28% | -6.50% | 1.75% | ||||||||||||
| Portfolio turnover |
88% | 98% | 77% | 68% | ||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||
| Net assets, end of period (in millions) |
$627 | $174 | $238 | $142 | ||||||||||||
| Ratio of expenses to average net assets |
0.98% | 1.06% | 4 | 1.13% | 4 | 1.13% | ||||||||||
| Ratio of gross expenses to average net assets |
0.98% | 1.06% | 1.13% | 1.13% | ||||||||||||
| Ratio of net investment income (loss) to average net assets |
1.82% | 1.26% | 2.81% | 0.32% | ||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Not annualized for periods less than one year.
4 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 1.13% for the year ended July 31, 2019 and 1.06% for the year ended July 31, 2020.
SEE NOTES TO FINANCIAL STATEMENTS
118
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
July 31, 2021
1.ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Domini Investment Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as an open-end management investment company. The Domini Investment Trust comprises five separate series: Domini Impact Equity Fund, Domini International Opportunities Fund, Domini Sustainable Solutions Fund, Domini Impact International Equity Fund and Domini Impact Bond Fund (each the “Fund,” collectively the “Funds”). The financial statements of the Domini Impact Bond Fund are included on page 139 of this report. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946 “Financial Services — Investment Companies”. The Domini Impact Equity Fund offers Investor shares, Class A shares, Institutional shares and Class Y shares (formerly Class R Shares). Class Y shares of the Domini Impact Equity Fund commenced on November 28, 2003. Class A and Institutional shares of the Domini Impact Equity Fund commenced on November 28, 2008. The Domini International Opportunities Fund commenced on November 30, 2020 and offers Investor shares and Institutional shares. The Domini Sustainable Solutions Fund commenced on April 1, 2020 and offers Investor shares and Institutional shares. The Domini Impact International Equity Fund offers Investor shares, Class A shares, Institutional shares and Class Y shares. Class A, Institutional and Class Y shares of the Domini Impact International Equity Fund were not offered prior to November 28, 2008, November 30, 2012, and June 15, 2018 respectively. The Investor shares, Institutional shares and Class Y 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%. The Institutional shares may only be purchased by or for the benefit of investors that meet the minimum investment requirements, and fall within the following categories: endowments, foundations, religious organizations and other nonprofit entities, individuals, retirement plan sponsors, family office clients, certain corporate or similar institutions, or omnibus accounts maintained by financial intermediaries and that are approved by the Fund’s Distributor. Class Y shares are generally available only through omnibus accounts held on the books of the Fund for financial intermediaries that have been approved by the Funds’ distributor. Class Y shares are also available to endowments, foundations, religious organizations or other tax-exempt entities, and certain
119
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
eligible retirement and benefit plans. 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. Institutional and Class Y shares are not subject to distribution and service 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 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 Funds’ Board of Trustees or its delegates.
No less frequently than annually, Domini Impact Investments LLC (Domini) reviews and performs due diligence with respect to the pricing methodologies
120
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
employed by any independent pricing service approved by the Funds’ Board of Trustees and utilized on behalf of the Funds. As part of this due diligence, Domini reviews each pricing service provider’s policies, procedures, and quality controls. Domini also tests certain valuations provided by the Funds’ pricing services with those received from other vendors, if available, and performs back testing, as applicable. Domini provides an annual due diligence report to the Funds’ Board of Trustees including its determination of whether the pricing methodology employed by such pricing service requires adjustments.
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 by the Domini Impact Equity Fund, as of July 31, 2021, in valuing the Fund’s assets carried at fair value:
| Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | |||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 122,228,124 | $ | - | $ | - | $ | 122,228,124 | ||||||||
| Consumer Discretionary |
145,038,087 | - | - | 145,038,087 | ||||||||||||
| Consumer Staples |
62,115,172 | - | - | 62,115,172 | ||||||||||||
| Financials |
100,770,124 | - | - | 100,770,124 | ||||||||||||
| Health Care |
138,063,864 | - | - | 138,063,864 | ||||||||||||
121
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
| Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | |||||||||||||
| Industrials |
$ | 74,314,318 | $ | - | $ | - | $ | 74,314,318 | ||||||||
| Information Technology |
400,709,006 | - | - | 400,709,006 | ||||||||||||
| Materials |
18,788,509 | - | - | 18,788,509 | ||||||||||||
| Real Estate |
29,202,298 | - | - | 29,202,298 | ||||||||||||
| Utilities |
5,549,609 | - | - | 5,549,609 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,096,779,111 | $ | - | $ | - | $ | 1,096,779,111 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The following is a summary of the inputs used by the Domini International Opportunities Fund, as of July 31, 2021, 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 |
||||||||||||||||
| Argentina |
$ | 241,580 | $ | - | $ | - | $ | 241,580 | ||||||||
| Australia |
- | 853,530 | - | 853,530 | ||||||||||||
| Austria |
- | 98,872 | - | 98,872 | ||||||||||||
| Belgium |
- | 121,563 | - | 121,563 | ||||||||||||
| Canada |
571,337 | - | - | 571,337 | ||||||||||||
| China |
196,592 | 167,924 | - | 364,516 | ||||||||||||
| Denmark |
29,491 | 1,065,785 | - | 1,095,276 | ||||||||||||
| Finland |
- | 360,257 | - | 360,257 | ||||||||||||
| France |
- | 2,268,486 | - | 2,268,486 | ||||||||||||
| Germany |
- | 2,684,866 | - | 2,684,866 | ||||||||||||
| Hong Kong |
- | 806,214 | - | 806,214 | ||||||||||||
| Hungary |
- | 37,954 | - | 37,954 | ||||||||||||
| India |
250,665 | - | - | 250,665 | ||||||||||||
| Ireland |
73,075 | 224,716 | - | 297,791 | ||||||||||||
| Italy |
- | 224,393 | - | 224,393 | ||||||||||||
| Japan |
- | 5,977,385 | - | 5,977,385 | ||||||||||||
| Netherlands |
8,110 | 2,315,903 | - | 2,324,013 | ||||||||||||
| New Zealand |
- | 88,645 | - | 88,645 | ||||||||||||
| Norway |
57,728 | 205,223 | - | 262,951 | ||||||||||||
| Poland |
- | 10,553 | - | 10,553 | ||||||||||||
| Singapore |
- | 95,405 | - | 95,405 | ||||||||||||
| South Africa |
43,915 | - | - | 43,915 | ||||||||||||
| South Korea |
21,792 | - | - | 21,792 | ||||||||||||
| Spain |
18,032 | 477,331 | - | 495,363 | ||||||||||||
| Sweden |
150,357 | 623,025 | - | 773,382 | ||||||||||||
122
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
| Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | |||||||||||||
| Switzerland |
$ | 78,396 | $ | 966,784 | $ | - | $ | 1,045,180 | ||||||||
| United Kingdom |
567,364 | 2,132,813 | - | 2,700,177 | ||||||||||||
| United States |
1,716,733 | 469,580 | - | 2,186,313 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 4,025,167 | $ | 22,277,207 | $ | - | $ | 26,302,374 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The following is a summary of the inputs used by the Domini Sustainable Solutions Fund, as of July 31, 2021, in valuing the Fund’s assets carried at fair value:
| Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | |||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 1,103,738 | $ | 650,798 | $ | - | $ | 1,754,536 | ||||||||
| Consumer Discretionary |
2,794,633 | 1,818,233 | - | 4,612,866 | ||||||||||||
| Consumer Staples |
1,739,971 | - | - | 1,739,971 | ||||||||||||
| Financials |
1,332,118 | 1,003,904 | - | 2,336,022 | ||||||||||||
| Health Care |
7,078,242 | 726,308 | - | 7,804,550 | ||||||||||||
| Industrials |
2,680,745 | 3,782,516 | - | 6,463,261 | ||||||||||||
| Information Technology |
11,468,152 | 1,119,728 | - | 12,587,880 | ||||||||||||
| Real Estate |
1,170,126 | - | - | 1,170,126 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 29,367,725 | $ | 9,101,487 | $ | - | $ | 38,469,212 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The following is a summary of the inputs used by the Domini Impact International Equity Fund, as of July 31, 2021, 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 |
||||||||||||||||
| Australia |
$ | - | $ | 60,523,376 | $ | - | $ | 60,523,376 | ||||||||
| Austria |
- | 17,305,667 | - | 17,305,667 | ||||||||||||
| Belgium |
- | 13,309,477 | - | 13,309,477 | ||||||||||||
| Brazil |
9,685,833 | - | - | 9,685,833 | ||||||||||||
| China |
6,961,328 | 31,999,126 | - | 38,960,454 | ||||||||||||
| Denmark |
- | 46,177,245 | - | 46,177,245 | ||||||||||||
123
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
| Level 1 - Quoted Prices |
Level 2
- Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | |||||||||||||
| Finland |
$ | - | $ | 31,374,857 | $ | - | $ | 31,374,857 | ||||||||
| France |
- | 102,391,596 | - | 102,391,596 | ||||||||||||
| Germany |
- | 92,628,275 | - | 92,628,275 | ||||||||||||
| Hong Kong |
- | 34,663,811 | - | 34,663,811 | ||||||||||||
| Hungary |
- | 3,915,477 | - | 3,915,477 | ||||||||||||
| India |
- | 5,806,874 | - | 5,806,874 | ||||||||||||
| Ireland |
- | 3,323,177 | - | 3,323,177 | ||||||||||||
| Israel |
16,639,678 | - | - | 16,639,678 | ||||||||||||
| Italy |
- | 58,186,849 | - | 58,186,849 | ||||||||||||
| Japan |
- | 336,194,647 | - | 336,194,647 | ||||||||||||
| Mexico |
3,564,824 | - | - | 3,564,824 | ||||||||||||
| Netherlands |
- | 50,808,385 | - | 50,808,385 | ||||||||||||
| Norway |
- | 8,805,454 | - | 8,805,454 | ||||||||||||
| Singapore |
- | 19,260,122 | - | 19,260,122 | ||||||||||||
| South Africa |
29,848,055 | - | - | 29,848,055 | ||||||||||||
| South Korea |
- | 9,167,889 | - | 9,167,889 | ||||||||||||
| Spain |
- | 45,348,813 | - | 45,348,813 | ||||||||||||
| Sweden |
- | 48,346,786 | - | 48,346,786 | ||||||||||||
| Switzerland |
- | 189,221,880 | - | 189,221,880 | ||||||||||||
| Taiwan |
- | 24,744,258 | - | 24,744,258 | ||||||||||||
| Thailand |
1,599,148 | 908,381 | - | 2,507,529 | ||||||||||||
| United Kingdom |
13,155,114 | 152,755,256 | - | 165,910,370 | ||||||||||||
| United States |
20,841,794 | 61,691,350 | - | 82,533,144 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 102,295,774 | $ | 1,448,859,028 | $ | - | $ | 1,551,154,802 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
(B) Foreign Currency Translation. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities, and income and expense items denominated in foreign currencies, are translated into U.S. dollar amounts on the respective dates of such transactions. Occasionally, events impact the availability or reliability of foreign exchange rates used to convert the U.S. dollar equivalent value. If such an event occurs, the foreign exchange rate will be valued at fair value using procedures established and approved by the Board of Trustees. The Funds do not separately report the effect of fluctuations in foreign exchange rates from changes in market prices on securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the
124
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in fair value of assets and liabilities other than investments in securities held at the end of the reporting period, resulting from changes in exchange rates.
(C) Foreign Currency Contracts. When the Funds purchase or sell foreign securities, they enter into foreign exchange contracts to minimize foreign
exchange risk from the trade date to the settlement date of the transactions. A foreign exchange contract is an agreement between two parties to exchange different currencies at an agreed-upon exchange rate on a specified date.
As of July 31, 2021, open foreign currency spot contracts were as follows:
| Domini Impact Equity Fund |
$ | - | ||
| Domini International Opportunities Fund |
- | |||
| Domini Sustainable Solutions Fund |
- | |||
| Domini Impact International Equity Fund |
2,046,865 |
(D) Investment Transactions, Investment Income and Dividends to Shareholders. Investment transactions are accounted for on trade date. Realized gains and losses from security transactions are determined on the basis of identified cost. Interest income is recorded on an accrual basis. Dividend income, net of any applicable withholding tax, is recorded on the ex-dividend date or for certain foreign securities, when the information becomes available to the Funds. The Funds earn income daily, net of Fund expenses. Dividends to shareholders of the Domini Impact International Equity Fund and the Domini Sustainable Solutions Fund are usually declared and paid semiannually from net investment income. Dividends to shareholders of the Domini Impact Equity Fund are usually declared and paid quarterly from net investment income. Distributions to shareholders of realized capital gains, if any, are made annually. Distributions are determined in 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.
(E) Federal Taxes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income, including net realized gains, if any, within the prescribed time periods. Accordingly, no provision for federal
125
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
income or excise tax is deemed necessary. As of July 31, 2021, tax years 2017 through 2020 remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America, the Commonwealth of Massachusetts, and New York State.
(F) Redemption Fees. Redemptions and exchanges of Fund shares held less than 30 days may be subject to the Funds’ redemption fee, which is 2% of the amount redeemed. The fee is imposed to offset transaction costs and other expenses associated with short-term investing. The fee may be waived in certain circumstances at the discretion of the Funds. Such fees are retained by the Funds and are recorded as an adjustment to paid-in capital.
The redemption fee was waived by the Funds’ Board of Trustees and was no longer imposed by the Funds effective August 16, 2021.
(G) Other. Income, expenses (other than those attributable to a specific class), gains, and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
(H) Transfer Agent Credits. Per the arrangement with the Funds’ former transfer agent, BNY Mellon Investment Servicing (U.S.) Inc., the Funds had arrangements prior to June 22, 2020, whereby they received earnings credits when positive cash balances were maintained. Such credits were used to offset transfer agency fees.
(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 to serve as investment manager and administrator. Domini is registered as an investment adviser under the Investment Advisers Act of 1940. The services provided by
126
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
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 monthly at the annual rate below of the respective Funds’ average daily net assets before any fee waivers:
| Domini Impact Equity Fund | 0.20% of the first $2 billion of net assets managed, 0.19% of the next $1 billion of net assets managed, and 0.18% of net assets managed in excess of $3 billion | |
| Domini International Opportunities Fund | 0.85% of the first $2 billion of net assets managed, 0.83% of the next $1 billion of net assets managed, and 0.80% of the net assets managed in excess of $3 billion | |
| Domini Sustainable Solutions Fund | 0.85% of the first $500 million of net assets managed, 0.83% of the next $500 million of net assets managed, and, 0.80% of net assets managed in excess of $1 billion | |
| Domini Impact International Equity Fund | 0.96% of the first $250 million of net assets managed, 0.88% of the next $250 million of net assets managed, and 0.785% of net assets managed in excess of $500 million |
Pursuant to a Sponsorship Agreement (with respect to the Domini Impact Equity Fund) Domini provides the Fund with the administrative personnel and services necessary to operate the Fund. In addition to general administrative services and facilities for the Fund similar to those provided by Domini under the Management Agreement, Domini answers questions from the general public and the media regarding the securities holdings of the Fund. For these services and facilities, Domini receives fees accrued daily and paid monthly from the Fund at the annual rate below of the respective Fund’s average daily net assets before any fee waivers:
| Domini Impact Equity Fund | 0.45% of the first $2 billion of net assets managed, 0.44% of the next $1 billion of net assets managed, and 0.43% of net assets managed in excess of $3 billion |
Domini has contractually agreed to reduce its fees and/or reimburse certain ordinary operating expenses of the Funds (excluding brokerage fees and commissions, interest taxes, and other extraordinary expenses) until November 30, 2021, absent an earlier modification as mutually agreed to by the Adviser and Board of Trustees which oversees the Funds, in order to limit the
127
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
annual operating expenses of each share class, net of applicable waivers and reimbursements, as follows:
| Domini Impact Equity Fund Investor Shares |
1.09% | |||
| Domini Impact Equity Fund Class A Shares |
1.09% | |||
| Domini Impact Equity Fund Institutional Shares |
0.74% | |||
| Domini Impact Equity Fund Class Y Shares |
0.80% | |||
| Domini International Opportunities Fund Investor Shares |
1.40% | |||
| Domini International Opportunities Fund Institutional Shares |
1.15% | |||
| Domini Sustainable Solutions Fund Investor Shares |
1.40% | |||
| Domini Sustainable Solutions Fund Institutional Shares |
1.15% | |||
| Domini Impact International Equity Fund Class A Shares |
1.40% | |||
| Domini Impact International Equity Fund Class Y Shares |
1.12% |
For the year ended July 31, 2021, Domini waived fees and reimbursed expenses as follows:
| FEES WAIVED | EXPENSES REIMBURSED | |||||||
| Domini Impact Equity Fund |
$ | - | $ | 26,142 | ||||
| Domini International Opportunities Fund |
- | 169,083 | ||||||
| Domini Sustainable Solutions Fund |
- | 114,517 | ||||||
| Domini Impact International Equity Fund |
- | - | ||||||
As of July 31, 2021, Domini owned less than 1% of any class of the outstanding shares of each Fund.
(B) Submanager. SSGA Funds Management, Inc. ( “SSGA” ) provides investment submanagement services to the Domini International Opportunities Fund, Domini Impact Equity Fund and the Domini Sustainable Solutions Fund on a day-to-day basis pursuant to a submanagement Agreement with Domini. Wellington Management Company LLP (Wellington), a Delaware limited liability partnership, provides investment submanagement services to the Domini Impact International Equity Fund on a day-to-day basis pursuant to a Submanagement Agreement with Domini. The fees for submanagement services are paid by the adviser and are not an incremental Fund expense. For the year ended July 31, 2021, the fees received by each Fund’s submanager were as follows:
| Domini Impact Equity Fund |
$ | 244,260 | ||
| Domini International Opportunities Fund |
8,331 | |||
| Domini Sustainable Solutions Fund |
64,118 | |||
| Domini Impact International Equity Fund |
5,132,171 |
(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
128
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
accordance with Rule 12b-1 under the Act. DSIL Investment Services LLC, a wholly owned subsidiary of Domini (DSIL), acts as agent of the Funds in connection with the offering of Investor shares of the Funds pursuant to a Distribution Agreement. Under the Distribution Plan, the Funds pay expenses incurred in connection with the sale of Investor shares and Class A shares and pay DSIL a distribution fee at an aggregate annual rate not to exceed 0.25% of the average daily net assets representing the Investor shares and Class A shares. For the year ended July 31, 2021, fees waived were as follows:
| FEES WAIVED | ||||
| Domini Impact Equity Fund Investor Shares |
$ | - | ||
| Domini Impact Equity Fund Class A Shares |
9,271 | |||
| Domini International Opportunities Fund Investor Class |
2,817 | |||
| Domini Sustainable Solutions Fund Investor Class |
35,311 | |||
| Domini Impact International Equity Fund Investor Shares |
- | |||
| Domini Impact International Equity Fund Class A Shares |
- | |||
DSIL, the Funds’ Distributor, has received commissions related to the sales of fund shares. For the year ended July 31, 2021, DSIL received $3,303, and $2,076 from the Domini Impact Equity Fund Class A Shares, and the Domini Impact International Equity Fund Class A shares, respectively.
(D) Shareholder Service Agent. The Trust has retained Domini to provide certain shareholder services with respect to the Funds and their shareholders, which services were previously provided by the former transfer agent for the funds or another fulfillment and mail service provider and are supplemental to services currently provided by Ultimus Fund Solutions, LLC ( “Ultimus” ), pursuant to a master services agreement between each Fund and Ultimus. Ultimus acts as the transfer agent and provides certain shareholder servicing for the Funds. For these services, Domini receives fees from each Fund paid monthly at an annual rate of $4.00 per active account. For the year ended July 31, 2021, there were no fees waived.
(E) Trustees and Officers. Each of the Independent Trustees received an annual retainer for serving as a Trustee of the Trust of $28,000. The Lead Independent Trustee and Chair of the Audit Committee receive an additional chairperson fee of $5,000. Each Independent Trustee also receives $2,000 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at an in-person meeting by telephone). In addition, each Trustee receives reimbursement for reasonable expenses incurred in attending meetings. These expenses are allocated on a pro-rata basis to each shares class of a Fund according to their respective net assets.
129
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
As of July 31, 2021, all Trustees and officers of the Trust as a group owned less than 1% of each Fund’s outstanding shares.
3. INVESTMENT TRANSACTIONS
For the year ended July 31, 2021, cost of purchase and proceeds from sales of investments other than short-term obligations were as follows:
| PURCHASE | SALES | |||||||
| Domini Impact Equity Fund |
$ | 222,397,311 | $ | 243,590,582 | ||||
| Domini International Opportunities Fund |
27,811,578 | 4,067,625 | ||||||
| Domini Sustainable Solutions Fund |
32,690,149 | 19,837,674 | ||||||
| Domini Impact International Equity Fund |
1,322,345,063 | 1,127,875,684 | ||||||
4. SHARES OF BENEFICIAL INTEREST
At July 31, 2021, there was an unlimited number of shares authorized ($0.00001 par value). Transactions in the Funds’ shares were as follows:
| Year Ended July 31, | ||||||||||||||||
| 2021 | 2020 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Domini Impact Equity Fund |
||||||||||||||||
| Investor Shares |
||||||||||||||||
| Shares sold |
963,001 | $ | 29,510,055 | 862,267 | $ | 20,063,206 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
612,641 | 18,442,316 | 706,693 | 16,220,552 | ||||||||||||
| Shares redeemed |
(1,849,549) | (56,833,984) | (3,276,885) | (76,191,366) | ||||||||||||
| Redemption fees |
- | 3,340 | - | 6,010 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net decrease |
(273,907) | $ | (8,878,273) | (1,707,925) | $ | (39,901,598) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class A Shares |
||||||||||||||||
| Shares sold |
17,030 | $ | 531,594 | 20,280 | $ | 459,657 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
5,203 | 156,281 | 6,252 | 144,278 | ||||||||||||
| Shares redeemed |
(39,510) | (1,187,088) | (93,996) | (2,151,604) | ||||||||||||
| Redemption fees |
- | - | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net decrease |
(17,277) | $ | (499,213) | (67,464) | $ | (1,547,669) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Institutional Shares |
||||||||||||||||
| Shares sold |
663,667 | $ | 20,541,303 | 397,105 | $ | 9,215,561 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
81,049 | 2,427,896 | 97,693 | 2,238,525 | ||||||||||||
| Shares redeemed |
(549,800) | (16,672,782) | (662,359) | (15,394,066) | ||||||||||||
| Redemption fees |
- | 16,797 | - | 528 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
194,916 | $ | 6,313,214 | (167,561) | $ | (3,939,452) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
130
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
| Year Ended July 31, | ||||||||||||||||
| 2021 | 2020 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Class Y Shares (formerly Class R Shares) |
||||||||||||||||
| Shares sold |
120,273 | $ | 3,791,601 | 106,860 | $ | 2,430,212 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
6,429 | 193,175 | 17,365 | 402,524 | ||||||||||||
| Shares redeemed |
(92,913) | (2,921,157) | (771,266) | (18,703,344) | ||||||||||||
| Redemption fees |
- | 404 | - | 559 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
33,789 | $ | 1,064,023 | (647,041) | $ | (15,870,049) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
||||||||||||||||
| Shares sold |
1,763,971 | $ | 54,374,553 | 1,386,512 | $ | 32,168,636 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
705,322 | 21,219,668 | 828,003 | 19,005,879 | ||||||||||||
| Shares redeemed |
(2,531,772) | (77,615,011) | (4,804,506) | (112,440,380) | ||||||||||||
| Redemption fees |
- | 20,541 | - | 7,097 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net decrease |
(62,479) | $ | (2,000,249) | (2,589,991) | $ | (61,258,768) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| For the Period November 30, 2020 (commencement of operations) through July 31, 2021 |
||||||||
| Shares | Amount | |||||||
| Domini International Opportunities Fund |
||||||||
| Investor Class |
||||||||
| Shares sold |
222,030 | $ | 2,314,845 | |||||
| Shares issued in reinvestment of dividends and distributions |
924 | 10,305 | ||||||
| Shares redeemed |
(3,767) | (39,784) | ||||||
| Redemption fees |
- | 5 |
||||||
|
|
|
|
|
|||||
| Net increase |
219,187 | $ | 2,285,371 | |||||
|
|
|
|
|
|||||
| Institutional Class |
||||||||
| Shares sold |
2,198,767 | $ | 21,988,130 | |||||
| Shares issued in reinvestment of dividends and distributions |
12,639 | 140,924 | ||||||
| Shares redeemed |
(44,184) | (482,062) | ||||||
| Redemption fees |
- | - | ||||||
|
|
|
|
|
|||||
| Net increase |
2,167,222 | $ | 21,646,992 | |||||
|
|
|
|
|
|||||
131
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
| For the Period November 30, 2020 (commencement of operations) through July 31, 2021 |
||||||||
| Shares | Amount | |||||||
| Total |
||||||||
| Shares sold |
2,420,797 | $ | 24,302,975 | |||||
| Shares issued in reinvestment of dividends and distributions |
13,563 | 151,229 | ||||||
| Shares redeemed |
(47,951) | (521,846) | ||||||
| Redemption fees |
- | 5 |
||||||
|
|
|
|
|
|||||
| Net increase |
2,386,409 | $ | 23,932,363 | |||||
|
|
|
|
|
|||||
| Year Ended July 31, 2021 |
For the Period April 1, 2020 (commencement of operations) through July 31, 2020 |
|||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Domini Sustainable Solutions Fund |
||||||||||||||||
| Investor Class |
||||||||||||||||
| Shares sold |
725,096 | $ | 13,364,243 | 481,421 | $ | 6,135,189 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
21,954 | 416,020 | - | - | ||||||||||||
| Shares redeemed |
(214,835) | (3,884,402) | (3,851) | (57,181) | ||||||||||||
| Redemption fees |
- | 3,761 | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase |
532,215 | $ | 9,899,622 | 477,570 | $ | 6,078,008 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Institutional Class |
||||||||||||||||
| Shares sold |
177,319 | $ | 3,306,221 | 852,805 | $ | 9,586,139 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
31,096 | 590,212 | - | - | ||||||||||||
| Shares redeemed |
(9,752) | (188,187) | (37,994) | (583,965) | ||||||||||||
| Redemption fees |
- | - | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase |
198,663 | $ | 3,708,246 | 814,811 | $ | 9,002,174 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
||||||||||||||||
| Shares sold |
902,415 | $ | 16,670,464 | 1,334,226 | $ | 15,721,328 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
53,050 | 1,006,232 | - | - | ||||||||||||
| Shares redeemed |
(224,587) | (4,072,589) | (41,845) | (641,146) | ||||||||||||
| Redemption fees |
- | 3,761 | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase |
730,878 | $ | 13,607,868 | 1,292,381 | $ | 15,080,182 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
132
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
| Year Ended July 31, | ||||||||||||||||
| 2021 | 2020 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Domini Impact International Equity Fund |
||||||||||||||||
| Investor Shares |
||||||||||||||||
| Shares sold |
10,859,739 | $ | 90,529,120 | 19,114,068 | $ | 136,900,825 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
410,673 | 3,673,413 | 1,249,596 | 10,096,732 | ||||||||||||
| Shares redeemed |
(34,306,175) | (281,044,796) | (21,653,741) | (157,553,525) | ||||||||||||
| Redemption fees |
- | 4,135 | - | 7,071 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net decrease |
(23,035,763) | $ | (186,838,128) | (1,290,077) | $ | (10,548,897) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class A Shares |
||||||||||||||||
| Shares sold |
435,307 | $ | 3,882,793 | 360,128 | $ | 2,867,073 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
29,971 | 288,083 | 55,690 | 480,601 | ||||||||||||
| Shares redeemed |
(1,041,571) | (9,515,142) | (1,023,316) | (8,008,184) | ||||||||||||
| Redemption fees |
- | - | - | 670 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net decrease |
(576,293) | $ | (5,344,266) | (607,498) | $ | (4,659,840) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Institutional Shares |
||||||||||||||||
| Shares sold |
21,182,686 | $ | 180,725,317 | 22,615,758 | $ | 158,744,158 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
934,245 | 8,223,281 | 1,525,183 | 12,201,461 | ||||||||||||
| Shares redeemed |
(18,488,956) | (154,695,517) | (26,751,604) | (187,596,632) | ||||||||||||
| Redemption fees |
- | 964 | - | 5,792 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
3,627,975 | $ | 34,254,045 | (2,610,663) | $ | (16,645,221) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y Shares |
||||||||||||||||
| Shares sold |
51,215,124 | $ | 428,413,776 | 14,391,149 | $ | 104,052,493 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
1,074,722 | 9,565,527 | 581,550 | 4,664,034 | ||||||||||||
| Shares redeemed |
(8,225,555) | (71,515,801) | (21,762,865) | (160,703,454) | ||||||||||||
| Redemption fees |
- | 71 | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
44,064,291 | $ | 366,463,573 | (6,790,166) | $ | (51,986,927) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
||||||||||||||||
| Shares sold |
83,692,856 | $ | 703,551,006 | 56,481,103 | $ | 402,564,549 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
2,449,611 | 21,750,304 | 3,412,019 | 27,442,828 | ||||||||||||
| Shares redeemed |
(62,062,257) | (516,771,256) | (71,191,526) | (513,861,795) | ||||||||||||
| Redemption fees |
- | 5,170 | - | 13,533 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
24,080,210 | $ | 208,535,224 | (11,298,404) | $ | (83,840,885) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
133
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
5. FEDERAL TAX STATUS
The tax basis of the components of net assets for the Funds at July 31, 2021, are as follows:
| Domini Impact Equity Fund |
Domini International Opportunities Fund |
Domini Sustainable Solutions Fund |
Domini Impact International Equity Fund |
|||||||||||||
| Undistributed Ordinary Income |
$ | 4,450,295 | $ | 191,409 | $ | 23,672 | $ | 11,610,410 | ||||||||
| Undistributed capital gains |
49,604,245 | - | 570,524 | - | ||||||||||||
| Unrealized appreciation/(depreciation) |
483,148,841 | 2,321,361 | 9,348,643 | 232,738,920 | ||||||||||||
| Capital losses, other losses and other temporary differences |
- | - | - | (51,668,674) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Distributable net earnings/(deficit) |
$ | 537,203,381 | $ | 2,512,770 | $ | 9,942,839 | $ | 192,680,656 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Carryforwards of losses from previous taxable years do not expire and retain their character as either short-term or long-term capital losses. As of July 31, 2021, the Domini Impact International Equity Fund had a short-term capital loss carryover of $51,668,674 and long-term capital loss carryover of $0.
For federal income tax purposes, dividends paid were characterized as follows:
| Domini Impact Equity Fund |
Domini International Opportunities Fund |
Domini Sustainable Solutions Fund |
Domini Impact International Equity Fund |
|||||||||||||||||||||||||
| Year Ended July 31, | For the Period of operations) through July 31, |
Year Ended July 31, | Year Ended July 31, | |||||||||||||||||||||||||
| 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||
| Ordinary income |
$ | 9,314,253 | $ | 4,993,996 | $ | 151,254 | $ | 1,018,812 | $ | - | $ | 26,500,889 | $ | 34,293,339 | ||||||||||||||
| Long-term capital gain |
13,824,026 | 15,320,008 | - | - | - | - | - | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total |
$ | 23,138,279 | $ | 20,314,004 | $ | 151,254 | $ | 1,018,812 | $ | - | $ | 26,500,889 | $ | 34,293,339 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
The Funds are subject to the provisions of Accounting Standards Codification ASC 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Funds did not have a liability to
134
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for taxes on income, capital gains or unrealized appreciation on securities held or for excise tax on income and capital gains.
6. SUBSEQUENT EVENTS
Effective August 1, 2021, each of the Independent Trustees receives an annual retainer for serving as a Trustee of the Trust of $32,000. Each Independent Trustee also receives $2,000 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at an in-person meeting by video or telephone).
7. OTHER RISKS
The Fund’s risks include, but are not limited to, some or all of the risks discussed below:
Market Risk: The market values of securities or other assets will fluctuate, sometimes sharply and unpredictably, due to changes in general market conditions, overall economic trends or events, governmental actions or intervention, market disruptions caused by trade disputes or other factors, political developments, recessions, the spread of infectious illness or other public health issues, investor sentiment and other factors that may or may not be related to the issuer of the security or other asset. If the market values of the securities or other assets held by the Funds fall, including a complete loss on any individual security, the value of your investment will go down. Economies and financial markets throughout the world are increasingly interconnected. Economic, financial or political events, trading or tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Funds invests in securities of issuers located in or with significant exposure to the countries directly affected, the value and liquidity of the Funds’ investments may be negatively affected.
Recent Events Risk: The illness COVID-19 caused by a novel coronavirus has resulted in a global pandemic and major disruption to economies
and markets around the world, including the United States. Global financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced
for periods of time. Some interest rates are very low and in
135
DOMINI IMPACT EQUITY FUND
DOMINI INTERNATIONAL OPPORTUNITIES FUND
DOMINI SUSTAINABLE SOLUTIONS FUND
DOMINI IMPACT INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
some cases yields are negative. Some sectors of the economy and individual issuers have experienced particularly large losses. These circumstances may continue for an extended period of time and may adversely affect the value and/or liquidity of the Funds’ investments. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social, and economic risks in certain countries or globally. Governments and central banks, including the Federal Reserve in the U.S., have taken extraordinary and unprecedented actions to support national economies and the financial markets. These actions have resulted in significant expansion of public debt, including in the U.S. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, may not be known for some time. The consequences of high public debt including its future impact on the economy and securities markets, likewise may not be known for some time.
136
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
Domini Investment Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Domini Impact Equity Fund, Domini International Opportunities Fund, Domini Sustainable Solutions Fund, and Domini Impact International Equity Fund (collectively, the Funds), each a series of the Domini Investment Trust, including the portfolios of investments, as of July 31, 2021, the related statements of operations for the year then ended or for Domini International Opportunities Fund for the period from November 30, 2020 (commencement of operations) to July 31, 2021, the statements of changes in net assets of Domini Impact Equity Fund and Domini Impact International Equity Fund for each of the years in the two-year period then ended, Domini International Opportunities Fund for the period from November 30, 2020 (commencement of operations) to July 31, 2021, and Domini Sustainable Solutions Fund for the year then ended and period from April 1, 2020 (commencement of operations) to July 31, 2020 and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2021, the results of their operations for the year then ended or for Domini International Opportunities Fund the period from November 30, 2020 to July 31, 2021, the changes in their net assets for each of the years in the two-year period then ended, or for Domini International Opportunities Fund for the period from November 30, 2020 to July 31, 2021, or for Domini Sustainable Solutions Fund for the year then ended and for the period from April 1, 2020 to July 31, 2020 and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial
137
highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2021, by correspondence with custodians and brokers, or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Domini investment companies since 1993.
Boston, Massachusetts
September 27, 2021
138
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2021
| ASSETS |
||||
| Investments, at value (cost $294,171,026) |
$ | 304,819,471 | ||
| Cash |
26,510,374 | |||
| Foreign currency, at value (cost $894,186) |
898,684 | |||
| Receivable for securities sold |
28,441,599 | |||
| Interest receivable |
1,237,499 | |||
| Collateral on certain derivative contracts |
1,622,320 | |||
| Premium paid for swap contracts |
1,150,869 | |||
| Receivable for variation margin swaps |
1,213,636 | |||
| Receivable for capital shares |
238,362 | |||
| Cash held at other banks (cost $283,575) |
284,198 | |||
| Unrealized appreciation on forward currency contracts |
70,845 | |||
|
|
|
|||
| Total assets |
366,487,857 | |||
|
|
|
|||
| LIABILITIES |
||||
| Payable for securities purchased |
109,325,743 | |||
| Payable for capital shares |
1,328,389 | |||
| Payable for variation margin swaps |
923,283 | |||
| Cash due to broker (cost $1,057,710) |
1,057,710 | |||
| Management fee payable |
120,776 | |||
| Distribution fee payable |
29,613 | |||
| Other accrued expenses |
56,408 | |||
| Dividend payable |
31,503 | |||
| Premium received swap contracts |
441,921 | |||
| Unrealized depreciation on forward currency contracts |
13,605 | |||
| Foreign tax payable |
14 | |||
|
|
|
|||
| Total liabilities |
113,328,965 | |||
|
|
|
|||
| NET ASSETS |
$ | 253,158,892 | ||
|
|
|
|||
| NET ASSETS CONSISTS OF |
||||
| Paid-in Capital |
$ | 240,931,831 | ||
| Total distributable earnings (loss) |
12,227,061 | |||
|
|
|
|||
| NET ASSETS |
$ | 253,158,892 | ||
|
|
|
|||
| NET ASSET VALUE PER SHARE |
||||
| Investor Shares |
||||
| Net assets |
$ | 150,618,090 | ||
|
|
|
|||
| Outstanding shares of beneficial interest |
12,507,202 | |||
|
|
|
|||
| Net Asset Value And Offering Price Per Share* |
$ | 12.04 | ||
|
|
|
|||
| Institutional Shares |
||||
| Net assets |
$ | 91,318,151 | ||
|
|
|
|||
| Outstanding shares of beneficial interest |
7,636,050 | |||
|
|
|
|||
| Net Asset Value And Offering Price Per Share* |
$ | 11.96 | ||
|
|
|
|||
| Class Y Shares |
||||
| Net assets |
$ | 11,222,651 | ||
|
|
|
|||
| Outstanding shares of beneficial interest |
931,100 | |||
|
|
|
|||
| Net Asset Value And Offering Price Per Share |
$ | 12.05 | ||
|
|
|
|||
* Redemption price is equal to net asset value less any applicable redemption fees retained by the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
139
DOMINI IMPACT BOND FUND
STATEMENT OF OPERATIONS
For the Year Ended July 31, 2021
| INCOME |
||||
| Interest income (net of foreign taxes $14) |
$ | 4,820,827 | ||
|
|
|
|||
| EXPENSES |
||||
| Management fee |
664,530 | |||
| Administrative fee |
519,468 | |||
| Distribution fees – Investor Shares |
370,335 | |||
| Transfer agent fees – Investor Shares |
204,027 | |||
| Transfer agent fees – Institutional Shares |
886 | |||
| Transfer agent fees – Class Y Shares |
1,467 | |||
| Custody and Accounting fees |
144,503 | |||
| Professional fees |
52,909 | |||
| Registration fees – Investor Shares |
22,666 | |||
| Registration fees – Institutional Shares |
26,565 | |||
| Registration fees – Class Y Shares |
2,704 | |||
| Shareholder Communication fees |
21,235 | |||
| Miscellaneous |
25,340 | |||
| Trustees fees |
8,900 | |||
| Shareholder Service fees – Investor Shares |
10,522 | |||
| Shareholder Service fees – Institutional Shares |
106 | |||
| Shareholder Service fees – Class Y Shares |
2 | |||
|
|
|
|||
| Total expenses |
2,076,165 | |||
| Fees waived and expenses reimbursed |
(448,338) | |||
|
|
|
|||
| Net expenses |
1,627,827 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
3,193,000 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY |
||||
| NET REALIZED GAIN (LOSS) FROM: |
||||
| Investments |
2,560,543 | |||
| Swap Contracts |
(548,189) | |||
| Futures Contracts |
(117,906) | |||
| Foreign currency |
201,980 | |||
| Forward contracts |
(191,252) | |||
|
|
|
|||
| Net realized gain (loss) |
1,905,176 | |||
|
|
|
|||
| NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: |
||||
| Investments |
(2,555,660) | |||
| Swap Contracts |
608,215 | |||
| Futures Contracts |
(285,711) | |||
| Forward Contracts |
157,833 | |||
| Translation of assets and liabilities in foreign currencies |
29,940 | |||
|
|
|
|||
| Net change in unrealized appreciation (depreciation) |
(2,045,383) | |||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
(140,207) | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 3,052,793 | ||
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS
140
DOMINI IMPACT BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended July 31, 2021 |
Year Ended July 31, 2020 |
|||||||
| INCREASE IN NET ASSETS FROM OPERATIONS |
||||||||
| Net investment income (loss) |
$ | 3,193,000 | $ | 3,258,681 | ||||
| Net realized gain (loss) |
1,905,176 | 7,280,305 | ||||||
| Net change in unrealized appreciation (depreciation) |
(2,045,383) | 8,194,990 | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets Resulting from Operations |
3,052,793 | 18,733,976 | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS |
||||||||
| Investor Shares |
(6,952,560) | (2,521,089) | ||||||
| Institutional Shares |
(2,689,036) | (903,512) | ||||||
| Class Y Shares |
(17,941) | - | ||||||
|
|
|
|
|
|||||
| Net Decrease in Net Assets from Distributions |
(9,659,537) | (3,424,601) | ||||||
|
|
|
|
|
|||||
| CAPITAL SHARE TRANSACTIONS |
||||||||
| Proceeds from sale of shares |
103,667,007 | 40,899,419 | ||||||
| Net asset value of shares issued in reinvestment of distributions and dividends |
8,494,115 | 2,918,086 | ||||||
| Payments for shares redeemed |
(42,317,807) | (27,333,533) | ||||||
| Redemption fees |
4,846 | 3,948 | ||||||
|
|
|
|
|
|||||
| Net Increase (Decrease) in Net Assets from Capital Share Transactions |
69,848,161 | 16,487,920 | ||||||
|
|
|
|
|
|||||
| Total Increase (Decrease) in Net Assets |
63,241,417 | 31,797,295 | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
||||||||
| Beginning of period |
$ | 189,917,475 | $ | 158,120,180 | ||||
|
|
|
|
|
|||||
| End of period |
$ | 253,158,892 | $ | 189,917,475 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS
141
DOMINI IMPACT BOND FUND — INVESTOR SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$12.49 | $ 11.46 | $10.92 | $11.26 | $11.60 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
0.18 | 0.22 | 0.28 | 0.26 | 0.23 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(0.05) | 1.04 | 0.55 | (0.33) | (0.29) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
0.13 | 1.26 | 0.83 | (0.07) | (0.06) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.18) | (0.23) | (0.27) | (0.26) | (0.23) | |||||||||||||||
| Distributions to shareholders from net realized gain |
(0.40) | - | - | (0.01) | (0.05) | |||||||||||||||
| Tax return of capital1 |
- | - | (0.02) | - | (0.00) | 2 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.58) | (0.23) | (0.29) | (0.27) | (0.28) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$12.04 | $ 12.49 | $11.46 | $10.92 | $11.26 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
1.06% | 11.09% | 7.77% | -0.74% | -0.32% | |||||||||||||||
| Portfolio turnover |
378% | 469% | 319% | 326% | 386% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$ 151 | $ 144 | $121 | $ 144 | $ 143 | |||||||||||||||
| Ratio of expenses to average net assets |
0.87% | 3 | 0.86% | 3,4 | 0.87% | 3,4 | 0.87% | 4 | 0.93% | 4 | ||||||||||
| Ratio of gross expenses to average net assets |
1.10% | 1.15% | 1.20% | 1.14% | 1.16% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
1.47% | 1.84% | 2.55% | 2.37% | 2.06% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.87% for the year ended July 31, 2019 and 0.86% for the year ended July 31, 2020.
4 Reflects a waiver of fees by the Manager and the Distributor of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
142
DOMINI IMPACT BOND FUND — INSTITUTIONAL SHARES
FINANCIAL HIGHLIGHTS
| Year Ended July 31, | ||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
| For a share outstanding for the period: |
||||||||||||||||||||
| Net asset value, beginning of period |
$12.41 | $ 11.38 | $10.89 | $11.23 | $11.57 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income from investment operations: |
||||||||||||||||||||
| Net investment income (loss) |
0.23 | 0.25 | 0.33 | 0.30 | 0.27 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(0.07) | 1.04 | 0.53 | (0.34) | (0.29) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Income (loss) From Investment Operations |
0.16 | 1.29 | 0.86 | (0.04) | (0.02) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Less dividends and/or distributions: |
||||||||||||||||||||
| Dividends to shareholders from net investment income |
(0.21) | (0.26) | (0.34) | (0.29) | (0.27) | |||||||||||||||
| Distributions to shareholders from net realized gain |
(0.40) | - | - | (0.01) | (0.05) | |||||||||||||||
| Tax return of capital1 |
- | - | (0.03) | - | (0.00) | 2 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Distributions |
(0.61) | (0.26) | (0.37) | (0.30) | (0.32) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Redemption fee proceeds1 |
0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$11.96 | $ 12.41 | $11.38 | $10.89 | $11.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return |
1.35% | 11.49% | 8.06% | -0.36% | -0.13% | |||||||||||||||
| Portfolio turnover |
378% | 469% | 319% | 326% | 386% | |||||||||||||||
| Ratios/supplemental data (annualized): |
||||||||||||||||||||
| Net assets, end of period (in millions) |
$91 | $46 | $37 | $13 | $6 | |||||||||||||||
| Ratio of expenses to average net assets |
0.57% | 4 | 0.56% | 3,4 | 0.57% | 3,4 | 0.57% | 4 | 0.62% | 4 | ||||||||||
| Ratio of gross expenses to average net assets |
0.73% | 0.74% | 0.84% | 1.03% | 1.02% | |||||||||||||||
| Ratio of net investment income (loss) to average net assets |
1.72% | 2.13% | 2.84% | 2.67% | 2.38% | |||||||||||||||
1 Based on average shares outstanding.
2 Amount represents less than $0.005 per share.
3 Ratio of expenses to average net assets includes transfer agent credits. Excluding transfer agent credits the ratio of expenses to average net assets would have been 0.57% for the year ended July 31, 2019 and 0.56% for the year ended July 31, 2020.
4 Reflects a waiver of fees by the Manager of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
143
DOMINI IMPACT BOND FUND — CLASS Y SHARES
FINANCIAL HIGHLIGHTS
| For the Period June 1, 2021 (commencement of operations) through |
||||
| July 31, 2021 | ||||
| For a share outstanding for the period: |
||||
| Net asset value, beginning of period |
$11.85 | |||
|
|
|
|||
| Income from investment operations: |
||||
| Net investment income (loss) |
0.03 | |||
| Net realized and unrealized gain (loss) on investments |
0.20 | |||
|
|
|
|||
| Total Income (loss) From Investment Operations |
0.23 | |||
|
|
|
|||
| Less dividends and/or distributions: |
||||
| Dividends to shareholders from net investment income |
(0.03) | |||
| Distributions to shareholders from net realized gain |
- | |||
|
|
|
|||
| Total Distributions |
(0.03) | |||
|
|
|
|||
| Redemption fee proceeds |
- | |||
|
|
|
|||
| Net asset value, end of period |
$12.05 | |||
|
|
|
|||
| Total return1 |
1.93% | |||
| Portfolio turnover |
378% | |||
| Ratios/supplemental data (annualized): |
||||
| Net assets, end of period (in millions) |
$11 | |||
| Ratio of expenses to average net assets |
0.65% | 2 | ||
| Ratio of gross expenses to average net assets |
1.03% | |||
| Ratio of net investment income (loss) to average net assets |
1.36% | |||
1 Not annualized for periods less than one year.
2 Reflects a waiver of fees by the Manager of the Fund.
SEE NOTES TO FINANCIAL STATEMENTS
144
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS
July 31, 2021
1.ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Domini Impact Bond Fund (the “Fund”) is a series of the Domini Investment Trust. The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940 as an open-end management investment company. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946 “Financial Services — Investment Companies”. The Fund offers Investor Shares, Institutional Shares and Class Y shares. Institutional shares and Class Y shares were not offered prior to November 30, 2011, and June 15, 2018, respectively. Institutional shares and Class Y shares commenced operations on November 30, 2011 and June 1, 2021, respectively. Each class of shares is sold at its offering price, which is net asset value. The Institutional shares may only be purchased by or for the benefit of investors that meet the minimum investment requirements, and fall within the following categories: endowments, foundations, religious organizations and other nonprofit entities, individuals, retirement plan sponsors, family office clients, certain corporate or similar institutions, or omnibus accounts maintained by financial intermediaries and that are approved by the Fund’s Distributor. Class Y shares may be purchased through omnibus accounts held on the books of the Fund for financial intermediaries that have been approved by the Funds’ distributor. Class Y shares are also available to endowments, foundations, religious organizations, or other tax-exempt entities, as well as, certain eligible retirement and benefit plans, including 401(k) plans, 457 plans, profit sharing and money purchase pension plans, defined benefit plans, and non-qualified deferred compensation plans. Each class of shares has identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets, and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and registration fees, directly attributable to that class. Institutional shares are not subject to distribution fees. The Fund seeks to provide its shareholders with a high level of current income and total return by investing in bonds and other debt instruments that are consistent with the Fund’s social and environmental standards and the submanager’s security selection approach.
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent liabilities at the date of the financial statements and the
145
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
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 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.
Derivative contracts traded on an exchange shall be valued at their most recent sale or official closing price on the exchange on which they are primarily traded, or, if no sales are reported on such exchange, at the mean between the last available bid and asked quotations on the exchange on which they are primarily traded. Option contracts on securities, currencies and other financial instruments traded over-the-counter shall be valued at the most recent bid quotation in the case of purchased options and at the most recent asked quotation in the case of written options. Futures contracts shall be valued at the most recent settlement price. Foreign currency forward contracts shall be valued at the value of the underlying currencies at the prevailing currency exchange rates. Swap contracts are valued at the evaluated price provided by an independent pricing service or, if a reliable price is not available, the quoted bid price from an independent broker-dealer. 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.
No less frequently than annually, Domini Impact Investments LLC (Domini) reviews and performs due diligence with respect to the pricing methodologies employed by any independent pricing service approved by the Fund’s Board of Trustees and utilized on behalf of the Fund. As part of this due diligence, Domini reviews each pricing service provider’s policies, procedures, and quality controls. Domini also tests certain valuations provided by the Fund’s pricing services with those received from other vendors, if available, and performs back
146
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
testing, as applicable. Domini provides an annual due diligence report to the Fund’s Board of Trustees including its determination of whether the pricing methodology employed by such pricing service requires adjustments.
The Fund follows a fair value hierarchy that distinguishes between (a) market participant assumptions developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (b) the Fund’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). These inputs are used in determining the value of the Fund’s investments and are summarized in the following fair value hierarchy:
Level 1 — quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, and evaluated quotation obtained from pricing services)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of July 31, 2021, in valuing the Fund’s assets carried at fair value:
| Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | |||||||||||||
| Assets: |
||||||||||||||||
| Long Term Investments in Securities: |
||||||||||||||||
| Mortgage Backed Securities |
$ | - | $ | 119,243,039 | $ | - | $ | 119,243,039 | ||||||||
| Corporate Bonds and Notes |
- | 80,424,302 | - | 80,424,302 | ||||||||||||
| Municipal Bonds |
- | 25,649,422 | - | 25,649,422 | ||||||||||||
| U.S. Government Agency Obligations |
- | 15,013,212 | - | 15,013,212 | ||||||||||||
| Senior Floating Rate Interests |
- | 9,104,527 | - | 9,104,527 | ||||||||||||
| Foreign Government & Agency Securities |
- | 3,308,813 | - | 3,308,813 | ||||||||||||
| Asset Backed Securities |
- | 1,369,812 | - | 1,369,812 | ||||||||||||
| Convertible Bonds |
- | 543,949 | - | 543,949 | ||||||||||||
| Certificates of Deposit |
- | 408,912 | - | 408,912 | ||||||||||||
| Preferred Stock |
224,880 | - | - | 224,880 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Term Investments |
$ | 224,880 | $ | 255,065,988 | $ | - | $ | 255,290,868 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
147
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
| Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | |||||||||||||
| Short Term Investments in Securities: |
||||||||||||||||
| U.S. Government Agency Obligations |
$ | - | $ | 49,528,603 | $ | - | $ | 49,528,603 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Term Investments |
$ | - | $ | 49,528,603 | $ | - | $ | 49,528,603 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investment in Securities |
$ | 224,880 | $ | 304,594,591 | $ | - | $ | 304,819,471 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Forward Currency Contracts |
- | 70,845 | - | 70,845 | ||||||||||||
| Futures |
21 | - | - | 21 | ||||||||||||
| Interest Rate Swap - CCP |
- | 1,226,095 | - | 1,226,095 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 21 | $ | 1,296,940 | $ | - | $ | 1,296,961 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liabilities: |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Forward Currency Contracts |
- | (13,605) | - | (13,605) | ||||||||||||
| Futures |
(364,514) | - | - | (364,514) | ||||||||||||
| Credit Default Swap - CCP |
- | (2,120) | - | (2,120) | ||||||||||||
| Interest Rate Swap - CCP |
- | (806,274) | - | (806,274) | ||||||||||||
| Total Return Swap - OTC |
- | (138,772) | - | (138,772) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | (364,514) | $ | (960,771) | $ | - | $ | (1,325,285) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
(B) Foreign Currency Translation. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities, and income and expense items denominated in foreign currencies, are translated into U.S. dollar amounts on the respective dates of such transactions. Occasionally, events impact the availability or reliability of foreign exchange rates used to convert the U.S. dollar equivalent value. If such an event occurs, the foreign exchange rate will be valued at fair value using procedures established and approved by the Board of Trustees. The Fund does 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
148
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
liabilities other than investments in securities held at the end of the reporting period, resulting from changes in exchange rates.
(C) Foreign Currency Contracts. When the Fund purchases or sells foreign securities it enters into foreign exchange contracts to minimize foreign exchange risk from the trade date to the settlement date of the transactions. A foreign exchange contract is an agreement between two parties to exchange different currencies at an agreed-upon exchange rate on a specified date. The Fund had $421,356 in outstanding open foreign currency spot contracts as of July 31, 2021.
(D) Securities Purchased on a When-Issued or Delayed Delivery Basis. The Fund may invest in when-issued or delayed delivery securities where the price of the security is fixed at the time of the commitment but delivery and payment take place beyond customary settlement time. These securities are subject to market fluctuation, and no interest accrues on the security to the purchaser during this period. The payment obligation and the interest rate that will be received on the securities are each fixed at the time the purchaser enters into the commitment. Purchasing obligations on a when-issued or delayed delivery basis is a form of leveraging and can involve a risk that the yields available in the market when the delivery takes place may be higher than those obtained in the transaction, which could result in an unrealized loss at the time of delivery. The Fund establishes a segregated account consisting of liquid securities equal to the amount of the commitments to purchase securities on such basis.
(E) TBA Purchase and Forward Sale Commitments. The Fund may enter into TBA commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves and involve a risk of loss if the value of the security to be purchase or sold declines or increases prior to the settlement date, which is in addition to the risk of decline in the value of the Fund’s other assets.
(F) Derivative Financial Instruments. The Fund may invest in derivatives in order to hedge market risks, or to seek to increase the Fund’s income or gain. Derivatives in certain circumstances may require that the Fund segregate cash or other liquid assets to the extent the Fund’s obligations are not otherwise covered through ownership of the underlying security, financial instrument, or currency. Derivatives involve special risks, including possible default by the other party to the transaction, illiquidity, and the risk that the use of derivatives could result in greater losses than if it had not been used. Some derivative transactions, including options, swaps, forward contracts, and options on foreign currencies, are entered into directly by the counterparties or through
149
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
financial institutions acting as market makers (OTC derivatives), rather than being traded on exchanges or in markets registered with the Commodity Futures Trading Commission or the SEC.
(G) Option Contracts. The Fund may purchase or write option contracts primarily to manage and/or gain exposure to interest rate, foreign exchange rate and credit risk. An option is a contract entitling the holder to purchase or sell a specific number of shares or units of an asset or notional amount of a swap (swaption), at a specified price. Options purchased are recorded as an asset while options written are recorded as a liability. Upon exercise of an option, the acquisition cost or sales proceeds of the underlying investment is adjusted by any premium received or paid. Upon expiration of an option, any premium received or paid is recorded as a realized gain or loss. Upon closing an option other than through expiration or exercise, the difference between the premium and the cost to close the position is recorded as a realized gain or loss. The Fund had no purchased option contracts outstanding as of July 31, 2021.
(H) Futures Contracts. The Fund may purchase and sell futures contracts based on various securities, securities indexes, and other financial instruments and indexes. The Fund intends to use futures contracts for hedging purposes. Futures contracts provide for the future sale by one party and purchase by another party of a specified amount of a specified security or financial instrument at a specified future time and at a specified price. When the Fund purchases or sells a futures contract, the Fund must allocate certain of its assets as an initial deposit on the contract. The futures contract is marked to market daily thereafter, and the Fund may be required to pay or entitled to receive additional “variation margin,” based on decrease or increase in the value of the futures contract. Future contracts outstanding at July 31, 2021 are listed in the Fund’s Portfolio of Investments.
(I) Forward Currency Contracts. The Fund may enter into forward currency contracts with counterparties to hedge the value of portfolio securities denominated in particular currencies against fluctuations in relative value or to generate income or gain. These contracts are used to hedge foreign exchange risk and to gain exposure on currency. The U.S. dollar value of forward currency contracts is determined using current forward exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the
150
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
contract matures or by delivery of the currency. The Fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Fund is unable to enter into a closing position. Risk may exceed amounts recognized on the Statement of Assets and Liabilities. Forward currency contracts outstanding at July 31, 2021 are listed in the Fund’s Portfolio of Investments.
(J) Interest Rate Swap Contracts. The Fund may enter into interest rate swap contracts to hedge interest rate risk. An interest rate swap is an agreement between the Fund and a counterparty to exchange cash flows based on the difference between two interest rates, applied to a notional amount. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change on an OTC interest rate swap is recorded as an unrealized gain or loss on the Statement of Assets and Liabilities. Daily fluctuations in the value of centrally cleared interest rate swaps are settled though a central clearing agent and are recorded in variation margin on the Statement of Assets and Liabilities and recorded as unrealized gain or loss. OTC and centrally cleared interest rate swap contracts outstanding at July 31, 2021, are listed in the Fund’s Portfolio of Investments.
(K) Credit Default Swap Contracts. The Fund may enter into credit default swap contracts primarily to manage and/or gain exposure to credit risk. A credit default swap is an agreement between the fund and a counterparty whereby the buyer of the contract receives credit protection and the seller of the contract guarantees the credit worthiness of a referenced debt obligation. These agreements may be privately negotiated in the over-the-counter market (“OTC credit default swaps”) or may be executed in a multilateral trade facility platform, such as a registered exchange (“centrally cleared credit default swaps”). The underlying referenced debt obligation may be a single issuer of corporate or sovereign debt, a credit index, or a tranche of a credit index. In the event of a default of the underlying referenced debt obligation, the buyer is entitled to receive the notional amount of the credit default swap contract from the seller in exchange for the referenced debt obligation, a net settlement amount equal to the notional amount of the credit default swap less the recovery value of the referenced debt obligation, or other agreed upon amount. For centrally cleared credit default swaps, required initial margins are pledged by the fund, and the daily change in fair value is accounted for as a variation margin payable or receivable on the Statements of Assets and Liabilities. Over the term of the contract, the buyer pays the seller a periodic stream of payments, provided that no event of default has occurred. Such periodic payments are accrued daily as an unrealized appreciation or depreciation until
151
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
the payments are made, at which time they are realized. Payments received or paid to initiate a credit default swap contract are reflected on the Statements of Assets and Liabilities and represent compensating factors between stated terms of the credit default swap agreement and prevailing market conditions (credit spreads and other relevant factors). These upfront payments are amortized over the term of the contract as a realized gain or loss on the Statements of Operations. OTC and centrally cleared credit default swap contracts outstanding at July 31, 2021 are listed in the Fund’s Portfolio of Investments.
(L) Master Agreements. The Fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s portfolio. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified in the Fund’s portfolio. Collateral can be in the form of cash or other marketable securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the counterparty include certain deteriorations in the credit quality of the counterparty. Termination events applicable to the Fund include failure of the Fund to maintain certain net asset levels and/or limit the decline in net assets over various periods of time. In the event of default or early termination, the ISDA Master Agreement gives the non-defaulting party the right to net and close-out all transactions traded, whether or not arising under the ISDA agreement, to one net amount payable by one counterparty to the other. However, absent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. Early termination by the counterparty may result in an immediate payment by the Fund of any net liability owed to that counterparty under the ISDA agreement.
In a centrally cleared swap, while the Fund enters into an agreement with a clearing broker to execute contracts with a counterparty, the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s
152
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
exposure to counterparty risk. The Fund is still exposed to the counterparty risk through the clearing broker and clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin requirements and required segregation of customer balances.
(M) Investment Transactions, Investment Income, and Dividends to Shareholders. Investment transactions are accounted for on trade date. Realized gains and losses from security transactions are determined on the basis of identified cost. Interest income is recorded on an accrual basis. The Fund earns income daily, net of Fund expenses. Paydown gains and losses are recorded as an adjustment to interest income. 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.
(N) Federal Taxes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income, including net realized gains, if any, within the prescribed time periods. Accordingly, no provision for federal income or excise tax is deemed necessary. As of July 31, 2021, tax years 2017 through 2020 remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America, the Commonwealth of Massachusetts, and New York State.
(O) Redemption Fees. Redemptions and exchanges of Fund shares held less than 30 days may be subject to the Fund’s redemption fee, which is 2% of the amount redeemed. The fee is imposed to offset transaction costs and other expenses associated with short-term investing. The fee may be waived in certain circumstances at the discretion of the Fund. Such fees are retained by the Fund and are recorded as an adjustment to paid-in capital.
The redemption fee was waived by the Fund’s Board of Trustees and was no longer imposed by the Fund effective August 16, 2021.
(P) 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
153
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
expenses directly attributable to a specific class are charged against the operations of that class.
(Q) Transfer Agent Credits. Per the arrangement with the Fund’s former transfer agent, BNY Mellon Investment Servicing (U.S.) Inc., the Fund had arrangements prior to June 22, 2020, whereby it received earnings credits when positive cash balances were maintained. Such credits were used to offset transfer agency fees.
(R) Indemnification. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
2. TRANSACTIONS WITH AFFILIATES
(A) Manager/Administrator. The Fund has retained Domini to serve as investment manager and administrator. The services provided by Domini consist of investment supervisory services, overall operational support, and administrative services, including the provision of general office facilities and supervising the overall administration of the Fund. For its services under the Management Agreement, Domini receives from the Fund a fee accrued daily and paid monthly at the annual rate of the Fund’s average daily net assets before any fee waivers of 0.33% of the first $50 million of net assets managed, 0.32% of the next $50 million of net assets managed, and 0.315% of next assets managed in excess of $100 million.
For its services under the Administration Agreement, Domini receives from the Fund a fee accrued daily and paid monthly at an annual rate equal to 0.25% of the Fund’s average daily net assets.
Effective November 30, 2020, Domini has contractually agreed to reduce its fees and/or reimburse certain ordinary operating expenses (excluding brokerage fees and commissions, interest, taxes, and other extraordinary expenses) in order to limit Investor, Institutional, and Class Y share expenses to 0.87%, 0.57%, and 0.65%, respectively, until November 30, 2021, absent an earlier modification by the Board of Trustees which oversee the Fund. For the six months ended January 31, 2021, Domini reimbursed expenses totaling $278,963.
154
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
As of July 31, 2021, Domini owned less than 1% of any class of the outstanding Shares of the Fund.
(B) Submanager. Wellington Management Company LLP (Wellington), a Delaware limited liability partnership, provides investment management services to the Fund on a day-to-day basis pursuant to a submanagement agreement with Domini. The fee for submanagement services is paid by the adviser and is not an incremental Fund expense. For the year ended July 31, 2021, the fees received by the Fund’s submanager were $415,575.
(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 (DSIL), acts as agent of the Fund in connection with the offering of shares of the Fund pursuant to a Distribution Agreement. Under the Distribution Plan, the Fund pays expenses incurred in connection with the sale of Investor shares and pays DSIL a distribution fee at an aggregate annual rate not to exceed 0.25% of the average daily net assets representing the Investor shares. For the year ended July 31, 2021, fees waived by DSIL for the Investor shares totaled $169,269.
(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 the former transfer agent for the Fund or another fulfillment and mail service provider and are supplemental to services currently provided by Ultimus Fund Solutions, LLC ( “Ultimus” ), as transfer agent to the Fund, pursuant to a master services agreement between the Fund and Ultimus. For these services, Domini receives a fee from the Fund paid monthly at an annual rate of $4.00 per active account. For the year ended July 31, 2021, Domini waived fees as follows:
| FEES WAIVED | ||||
| Domini Impact Bond Fund Investor Shares |
$ | - | ||
| Domini Impact Bond Fund Institutional Shares |
106 | |||
| Domini Impact Bond Fund Class Y Shares |
- | |||
(E) Trustees and Officers. Each of the Independent Trustees received an annual retainer for serving as a Trustee of the Trust of $28,000. The Lead Independent Trustee and Chair of the Audit Committee receive an additional chairperson fee of $5,000. Each Independent Trustee also receives $2,500 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at an in-person meeting by telephone). In addition, each Trustee receives reimbursement for reasonable expenses incurred in attending meetings. These expenses are allocated on a pro-rata basis to each shares class of a Fund according to their respective net assets.
155
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
As of July 31, 2021, all Trustees and officers of the Trust as a group owned less than 1% of the Fund’s outstanding shares.
3. INVESTMENT TRANSACTIONS
For the year ended July 31, 2021, cost of purchase and proceeds from sales of investments other than short-term obligations were as follows:
| PURCHASES | SALES | |||||||
| U.S. Government Securities |
$ | 818,850,242 | $ | 807,911,175 | ||||
| Investments in Securities |
61,866,148 | 35,032,086 | ||||||
4. SHARES OF BENEFICIAL INTEREST
| Year Ended July 31, | ||||||||||||||||
| 2021 | 2020 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Investor Shares |
||||||||||||||||
| Shares sold |
3,084,707 | $ | 37,222,134 | 2,510,484 | $ | 29,633,328 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
557,060 | 6,741,497 | 205,156 | 2,438,618 | ||||||||||||
| Shares redeemed |
(2,679,782) | (32,227,667) | (1,731,485) | (20,462,811) | ||||||||||||
| Redemption fees |
- | 4,797 | - | 3,893 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase |
961,985 | $ | 11,740,761 | 984,155 | $ | 11,613,028 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Institutional Shares |
||||||||||||||||
| Shares sold |
4,611,043 | $ | 54,887,601 | 960,080 | $ | 11,266,091 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
144,471 | 1,734,677 | 40,554 | 479,468 | ||||||||||||
| Shares redeemed |
(801,921) | (9,624,712) | (581,293) | (6,870,722) | ||||||||||||
| Redemption fees |
- | 49 | - | 55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase |
3,953,593 | $ | 46,997,615 | 419,341 | $ | 4,874,892 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class Y Shares |
||||||||||||||||
| Shares sold |
968,570 | $ | 11,557,272 | - | $ | - | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
1,493 | 17,941 | - | - | ||||||||||||
| Shares redeemed |
(38,963) | (465,428) | - | - | ||||||||||||
| Redemption fees |
- | - | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase |
931,100 | $ | 11,109,785 | - | $ | - | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
||||||||||||||||
| Shares sold |
8,664,320 | $ | 103,667,007 | 3,470,564 | $ | 40,899,419 | ||||||||||
| Shares issued in reinvestment of dividends and distributions |
703,024 | 8,494,115 | 245,710 | 2,918,086 | ||||||||||||
| Shares redeemed |
(3,520,666) | (42,317,807) | (2,312,778) | (27,333,533) | ||||||||||||
| Redemption fees |
- | 4,846 | - | 3,948 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase |
5,846,678 | $ | 69,848,161 | 1,403,496 | $ | 16,487,920 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
156
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
5. SUMMARY OF DERIVATIVE ACTIVITY
At July 31, 2021, the Fund’s investments in derivative contracts are reflected on the Statement of Assets and Liabilities as follows:
| Asset Derivatives |
Liability Derivatives |
|||||||||||
| Derivative Contracts Not Accounted for as Hedging Instruments |
Statement of Assets and Liabilities Location |
Fair Value | Statement of Assets and Liabilities Location |
Fair Value | ||||||||
| Total Return Swap Contracts |
Receivable for Variation Margin swaps / Unrealized appreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | $ | - | Payable for Variation Margin swaps / Unrealized depreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | $ | 138,772 | ||||||
| Interest Rate contracts |
Receivable for Variation Margin swaps / Unrealized appreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | 1,213,636 | Payable for Variation Margin swaps / Unrealized depreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | 782,391 | ||||||||
| Credit contracts |
Receivable for Variation Margin swaps / Unrealized appreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | - | Payable for Variation Margin swaps / Unrealized depreciation on OTC swap contracts/Net assets consist of - Total distributable earnings | 2,120 | ||||||||
| Forward currency contracts. |
Unrealized appreciation on forward currency contracts/Net assets consist of -Total distributable earnings | 70,845 | Unrealized depreciation on forward currency contracts/Net assets consist of -Total distributable earnings | 13,605 | ||||||||
| Futures contracts |
Receivable for Variation margin futures/Net assets consist of -Total distributable earnings | - | Payable for Variation margin futures/Net assets consist of -Total distributable earnings | - | ||||||||
|
|
|
|
|
|||||||||
| Total |
$ | 1,284,481 | $ | 936,888 | ||||||||
|
|
|
|
|
|||||||||
157
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
For the year ended July 31, 2021, the effect of derivative contracts on the Fund’s Statement of Operations was as follows:
| Derivative Contracts Not Accounted for as Hedging Instruments |
Statement of Operations Location |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
|||||||
| Total Return Swap Contracts |
Net realized gain (loss) from swap contracts/ Net change in unrealized appreciation (depreciation) from swap contracts | $ | 4,934 | $ | (138,772 | ) | ||||
| Interest rate contracts |
Net realized gain (loss) from swap contracts/ Net change in unrealized appreciation (depreciation) from swap contracts | (549,014 | ) | 751,309 | ||||||
| Credit contracts |
Net realized gain (loss) from swap contracts/ Net change in unrealized appreciation (depreciation) from swap contracts | (4,109 | ) | (4,322 | ) | |||||
| Forward currency contracts |
Net realized gain (loss) from forward contracts/ Net change in unrealized appreciation (depreciation) from forward contracts | (191,252 | ) | 157,833 | ||||||
| Futures contracts |
Net realized gain (loss) from future contracts/ Net change in unrealized appreciation (depreciation) from future contracts | (117,906 | ) | (285,711 | ) | |||||
|
|
|
|
|
|||||||
| Total |
$ | (857,347 | ) | 480,337 | ||||||
|
|
|
|
|
|||||||
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the year ended July 31, 2021, which are indicative of the volume of these derivative types, were approximately as follows
| Futures contracts (notional) |
$ | 9,873,588 | ||
| Forward currency contracts (contract amount) |
$ | 5,214,995 | ||
| OTC interest rate swap contracts (notional) |
$ | 5,170,000 | ||
| Centrally cleared interest rate swap contracts (notional) |
$ | 53,557,769 | ||
| Centrally cleared credit default contracts (notional) |
$ | 3,021,341 |
158
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
6. FEDERAL TAX STATUS
The tax basis of the components of net assets at July 31, 2021, is as follows:
| Undistributed capital gains |
$ | 1,445,797 | ||
| Unrealized appreciation/(depreciation) |
10,849,389 | |||
| Capital losses, other losses and other temporary differences |
(36,620) | |||
|
|
|
|||
| Distributable net earnings/(deficit) |
$ | 12,258,566 | ||
|
|
|
For federal income tax purposes, dividends paid were characterized as follows:
| Year Ended July 31, | ||||||||
| 2021 | 2020 | |||||||
| Ordinary income |
$ | 8,904,751 | $ | 3,424,601 | ||||
| Long-term capital gain |
754,786 | - | ||||||
|
|
|
|
|
|||||
| Total |
$ | 9,659,537 | $ | 3,424,601 | ||||
|
|
|
|
|
|||||
The Fund is subject to the provisions of Accounting Standards Codification ASC 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for taxes on income, capital gains or unrealized appreciation on securities held or for excise tax on income and capital gains.
7. SUBSEQUENT EVENTS
Effective August 1, 2021, each of the Independent Trustees receives an annual
retainer for serving as a Trustee of the Trust of $32,000. Each Independent Trustee also receives $2,000 for attendance at each meeting of the Board of the Trust (reduced to $1,000 in the event that a Trustee participates at an in-person meeting by video or telephone).
8. OTHER RISKS
The Fund’s risks include, but are not limited to, some or all of the risks discussed below:
Market Risk: The market values of securities or other assets will fluctuate, sometimes sharply and unpredictably, due to changes in general market conditions, overall economic trends or events, governmental actions or intervention, market disruptions caused by trade disputes or other factors, political developments, recessions, the spread of infectious illness or other
159
DOMINI IMPACT BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
July 31, 2021
public health issues, investor sentiment and other factors that may or may not be related to the issuer of the security or other asset. If the market values of the securities or other assets held by the Fund fall, including a complete loss on any individual security, the value of your investment will go down. Economies and financial markets throughout the world are increasingly interconnected. Economic, financial or political events, trading or tariff arrangements, terrorism, natural disasters, global pandemics and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Fund invests in securities of issuers located in or with significant exposure to the countries directly affected, the value and liquidity of the Fund’s investments may be negatively affected.
Recent Events Risk: The illness COVID-19 caused by a novel coronavirus has resulted in a global pandemic and major disruption to economies and markets around the world, including the United States. Global financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Some sectors of the economy and individual issuers have experienced particularly large losses. These circumstances may continue for an extended period of time and may adversely affect the value and/or liquidity of the Fund’s investments. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social, and economic risks in certain countries or globally. Governments and central banks, including the Federal Reserve in the U.S., have taken extraordinary and unprecedented actions to support national economies and the financial markets. These actions have resulted in significant expansion of public debt, including in the U.S. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, may not be known for some time. The consequences of high public debt, including its future impact on the economy and securities markets, likewise may not be known for some time.
160
Report of Independent Registered Public Accounting Firm
To the Shareholders of Domini Impact Bond Fund and Board of Trustees
Domini Investment Trust:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Domini Impact Bond Fund (the Fund), a series of the Domini Investment Trust, including the portfolio of investments, as of July 31, 2021, the related statements of operations for the year then ended and changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2021, by correspondence with custodians and brokers, or by other appropriate audit
procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall
161
presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Domini investment companies since 1993.
Boston, Massachusetts
September 27, 2021
162
THE DOMINI FUNDS
TAX INFORMATION (UNAUDITED)
FOR THE YEAR ENDED JULY 31, 2021
The amount of long-term capital gains paid for the year ended July 31, 2021 was as follows:
| Domini Impact Equity Fund |
$ | 13,824,026 | ||
| Domini International Opportunities Fund |
- | |||
| Domini Sustainable Solutions Fund |
- | |||
| Domini Impact International Equity Fund |
- | |||
| Domini Impact Bond Fund |
754,786 |
For dividends paid from net investment income during the year ended July 31, 2021, the Funds designated the following as Qualified Dividend Income:
| Domini Impact Equity Fund |
$ | 12,352,275 | ||
| Domini International Opportunities Fund |
356,678 | |||
| Domini Sustainable Solutions Fund |
179,256 | |||
| Domini Impact International Equity Fund |
35,640,632 |
Of the ordinary distributions made by the Domini Impact Bond Fund during the fiscal year ended July 31, 2021, 22% has been derived from investments in US Government and Agency Obligations. All or a portion of the distributions from this income may be exempt from taxation at the state level. Consult your tax advisor for state specific information.
For corporate shareholders, 100% of dividends paid from net investment income for the Domini Impact Equity Fund were eligible for the corporate dividends received deduction.
| Foreign Tax Paid | Foreign Source Income | |||||||||||||||
| TOTAL | PER SHARE | TOTAL | PER SHARE | |||||||||||||
| Domini Impact Equity Fund |
$ | - | $ | - | $ | - | $ | - | ||||||||
| Domini International Opportunities Fund |
36,983 | 0.02 | 362,120 | 0.15 | ||||||||||||
| Domini Sustainable Solutions Fund |
- | - | - | - | ||||||||||||
| Domini Impact International Equity Fund |
3,775,921 | 0.02 | 39,386,701 | 0.23 | ||||||||||||
| Domini Impact Bond Fund |
- | - | - | - | ||||||||||||
The foreign taxes paid or withheld per share represent taxes incurred by the Funds on interest and dividends received by the Fund from foreign sources. Foreign taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments. Consult your tax advisor regarding the appropriate treatment of foreign taxes paid.
163
APPROVAL OF THE CONTINUANCE OF THE MANAGEMENT AGREEMENTS FOR THE DOMINI IMPACT EQUITY FUND, DOMINI SUSTAINABLE SOLUTIONS FUND, DOMINI IMPACT INTERNATIONAL EQUITY FUND, AND DOMINI IMPACT BOND FUND (UNADUITED)
Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”) requires that each mutual fund’s board of trustees, including a majority of those trustees who are not “interested persons” of the mutual fund, as defined in the 1940 Act (the “Independent Trustees”), annually review and consider the fund’s investment management and submanagement agreements. At its meeting held on April 27, 2021, the Board of Trustees (“Board” or “Trustees”) of the Domini Investment Trust (the Trust”), including all of the Independent Trustees, voted to approve the continuance of: (i) the Amended and Restated Management Agreement with Domini Impact Investments LLC (“Domini” or the “Adviser”) for the Domini Impact Equity Fund (the “Equity Fund”), Domini Sustainable Solutions Fund (the “Sustainable Solutions”), and Domini Impact International Equity Fund (the “International Fund”), (ii) the Amended and Restated Management Agreement with Domini with respect to the Domini Impact Bond Fund (the “Bond Fund) (each a “Management Agreement” and collectively, the “Management Agreements”), (iii) the Submanagement Agreements between Domini and SSGA Funds Management, Inc. (“SSGA” or “Subadviser”) with respect to the Equity Fund and the Sustainable Solutions Fund, respectively, (iv) the Amended and Restated Submanagement Agreement between Domini and Wellington Management Company LLP (“Wellington Management” or “Subadviser”) with respect to the International Fund, and (v) the Amended and Restated Submanagement Agreement between Domini and Wellington Management with respect to the Bond Fund (each a “Submanagement Agreement” and collectively, the “Submanagement Agreements” and with the Management Agreements, the “Agreements”). The Equity Fund, the Sustainable Solutions Fund, the International Fund and the Bond Fund are each referred to as a “Fund” and collectively, the “Funds.”
Prior to the April 27, 2021, meeting, the Board requested, received, and reviewed written responses from Domini, SSGA, and Wellington Management to questions posed to them on behalf of the Independent Trustees and supporting materials relating to those questions and responses. The Board considered both written and verbal information furnished to the Board at its meetings throughout the year, as well as information specifically prepared in connection with the approval of the continuation of the Agreements at the meeting of the Independent Trustees on April 16, 2021. Information provided to the Board at its meetings throughout the year included, among other things, reports on each Fund’s performance, legal and compliance matters, sales and marketing activity, shareholder services, and the other services provided to the Funds by SSGA, Wellington Management, and Domini and their affiliates.
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The Board considered the Management Agreements and the Submanagement Agreements separately in the course of its review. In doing so, the Board noted the respective roles of the Adviser and Subadviser in providing services to the Funds.
Throughout the process, the Board had the opportunity to ask questions of and request additional information from Domini, SSGA, and Wellington Management. The Board was assisted by legal counsel for the Trust and the Independent Trustees were also separately assisted by independent legal counsel throughout the process. The Independent Trustees also received memoranda from counsel to the Trust discussing the legal standards for their consideration of the Agreements. The Independent Trustees were advised by and met in executive sessions with their independent legal counsel at which no representatives of management were present to discuss the proposed continuation of the Agreements, including prior to the April 27, 2021, meeting.
In connection with the Board’s consideration of the renewal of the Agreements with respect to each of the Funds, the Board received written materials in advance of the meeting, which included information regarding: (i) the nature, extent, and quality of services provided to the Funds by Domini, SSGA, and by Wellington Management; (ii) a description of Domini’s, SSGA’s, and Wellington Management’s investment management and other personnel and their background and experience; (iii) an overview of Domini’s, SSGA’s, and Wellington Management’s operations and financial condition; (iv) a comparison of each Funds’ advisory fee and overall expenses with those of comparable mutual funds selected by Strategic Insight, a third party provider of mutual fund data; (v) performance information for comparable mutual funds and for comparatively managed accounts, if any; (vi) the level of profitability from Domini, SSGA, and Wellington Management’s relationships with the Funds; (vii) a description of Domini’s, SSGA’s, and Wellington Management’s brokerage practices (including any soft dollar arrangements); and (viii) Domini’s, SSGA’s, and Wellington Management’s compliance policies and procedures, including policies and procedures for personal securities transactions and with respect to cybersecurity, business continuity and disaster recovery.
In reaching their determination to approve the continuance of the Management Agreements and Submanagement Agreements with respect to each Fund, the Trustees reviewed and evaluated information and a variety of factors that they believed relevant and appropriate through the exercise of their reasonable business judgment. The Trustees’ determination to approve the continuation of each Agreement was based on a comprehensive consideration of all written and verbal information provided to the Board throughout the year and specifically with respect to the continuation or approval of such Agreements, as applicable, as well as information considered in connection with continuation or initial approval of the Agreements in prior years. In addition to the April 27, 2021,
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meeting at which continuation of the Agreements was considered, the Independent Trustees met separately on April 16, 2021, and reviewed and discussed such Agreements.
APPROVAL OF THE MANAGEMENT AGREEMENTS
The primary factors and the conclusions regarding the Management Agreements with respect to each Fund are described below. The Trustees did not identify any particular information or factor that was all-important or controlling, and each Trustee may have weighted certain factors differently. The Trustees noted that the evaluation process with respect to Domini and the Management Agreements is an ongoing one. In evaluating the Management Agreements, the Trustees also took into account their knowledge of Domini, its services and the Funds resulting from their meetings and other information and interactions in past years. The Board also considered other factors (including conditions and trends prevailing generally in the economy, the securities markets, and the industry).
Nature, Quality, and Extent of Services Provided. The Trustees reviewed information and materials provided by Domini related to the Management Agreement with respect to each Fund, including each Management Agreement, Domini’s Form ADV, a description of the firm and its organizational and management structure, its operational history and its legal and regulatory history, the manner in which investment decisions are made and executed, the financial condition of Domini and its ability to provide the services required under the Management Agreements, an overview of the personnel that perform services for the Funds, and Domini’s compliance policies and procedures. The Board also considered Domini’s risk management processes and its policies and procedures with respect to cybersecurity, business continuity and disaster recovery. The Board considered Domini’s financial condition and operations during the COVID-19 pandemic and noted that there had been no material disruption of Domini’s services to the Funds and that Domini had continued to provide the same level, quality, and extent of services to the Funds.
The Trustees reviewed the terms of the Management Agreements and considered that, pursuant to each Management Agreement, Domini, subject to the direction of the Board, is responsible for providing advice and guidance with respect to each Fund and for managing the investment of the assets of each Fund, including by engaging and overseeing the activities of each Fund’s submanager. It was noted that, with respect to the Equity Fund and the Sustainable Solutions Fund, Domini applies its environmental and social standards to select such Fund’s investments and that SSGA Funds Management, Inc. (“SSGA”), the Fund’s submanager, purchases and sells securities to implement Domini’s selections and for managing the amount of the Fund’s assets to be held in short-term investments. It was noted that, with respect to the International Fund and the Bond Fund, Domini applies its environmental and social standards to a universe of securities provided by Wellington
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Management Company LLP (“Wellington Management”), such Funds’ submanager, and that Wellington Management provides the day-to-day portfolio management of such Funds, including making purchases and sales of eligible portfolio securities consistent with each such Fund’s investment objective and policies.
The Trustees considered the scope and the quality of the services provided by Domini to each Fund under the respective Management Agreement. They considered the professional experience, tenure, and qualifications of the investment management team and the other senior personnel at Domini who are responsible for the management of the Funds, including the oversight of each Fund’s submanager. They also considered Domini’s capabilities and experience in the development and application of environmental and social investment standards and its reputation and leadership in the socially responsible investment community. The Trustees considered the information they had received from Domini concerning the professional experience of its research team. They noted that the senior members of Domini’s research team had years of experience in the development and application of environmental and social investment standards. The terms of each Management Agreement were also reviewed by the Trustees. It was noted that no change to services was proposed. In addition, they considered Domini’s compliance record. The Trustees also noted that, on a regular basis, they receive information from the Trust’s Chief Compliance Officer (CCO) regarding Domini’s compliance policies and procedures, including its Code of Ethics. The Trustees also took into account that the scope of services provided by Domini and the undertakings required of Domini in connection with those services, including maintaining and monitoring its own and the Funds’ compliance programs, had expanded over time as a result of regulatory, market, and other developments. In this regard, they considered Domini’s services with respect to compliance with reporting modernization and liquidity risk management requirements. They also considered the quality of Domini’s compliance oversight program with respect to the Funds’ service providers, including each Fund’s submanager. They also considered both the investment advisory services and the nature, quality, and extent of the administrative and other non-advisory services, including shareholder servicing and distribution support services that are provided to the Funds and its shareholders by Domini and its affiliates. The Board also considered the significant risks assumed by Domini in connection with the services provided to the Funds, including entrepreneurial risk and ongoing risks including investment, operational, enterprise, litigation, regulatory, and compliance risks with respect to the Funds.
The Trustees noted that Domini administers each Fund’s business and other affairs pursuant to the Management Agreements, and with respect to the Equity Fund, also pursuant to a Sponsorship Agreement, and with respect to the Bond Fund, also pursuant to an Administration Agreement. It was noted that, among other things, Domini provides each Fund with office space, administrative
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services and personnel as are necessary for operations, and that Domini pays all of the compensation of the officers and the Trustees who are not Independent Trustees. The Trustees considered the quality of the administrative services Domini provided to each Fund, including Domini’s role in coordinating and monitoring the activities of service providers. They noted that they were satisfied with the quality of the management and administrative services provided by Domini to each Fund, particularly Domini’s oversight of each Fund’s submanager and development and application of environmental and social investment standards.
Based on the foregoing, the Trustees concluded that they were satisfied with the nature, quality and extent of services provided by Domini to each Fund under the respective Management Agreement.
Performance Information. The Trustees considered the investment performance of each of the Funds. They considered whether the Funds had operated within their respective investment objectives, as well as their compliance with their investment restrictions. Among other performance data considered, the Trustees reviewed the net investment performance of each of the Funds based on data provided to them by Domini for various time periods, including for the 1-, 3-, 5-, and 10-year periods ended December 31, 2020 (or, for the Sustainable Solutions Fund, which recently commenced operations, for the latest 6 months and Since Inception periods). The Trustees compared these investment returns to the returns of each Fund’s respective benchmark index for the same periods. The Trustees also compared the net investment returns of Investor Shares of each of the Equity Fund, International Fund, and Bond Fund for the 1-, 3-, 5-, and 10-year periods as of February 28, 2021 (or, for the Sustainable Solutions Fund, which recently commenced operations, for the latest 6 months and Since Inception periods) to the performance of a peer group of socially responsible (SRI) funds and non-SRI Funds, as applicable, as identified by Strategic Insight, an independent third-party data provider.
The Board noted that while it found the data provided by the third-party data provider generally useful, the Board recognized the data’s limitations, including in particular that the data may vary depending on the end date selected and that the results of the performance comparisons may vary depending on the selection of the performance peer group. The Board also took into account management’s discussion of the Morningstar categories in which the Funds were placed, including any differences between each Fund’s investment strategy and the strategy of the funds in that Fund’s respective category, as well as compared to the peer group selected by the independent third-party data provider.
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Among other performance data considered, the Trustees took into account the following:
Equity Fund
The Trustees considered that, based on data provided by Strategic Insight, the Equity Fund’s Investor shares had positive net investment performance for all periods ended February 28, 2021, and had outperformed relative to the applicable SRI peer group for the 1- and 3-year periods and underperformed for the 5- and 10- year periods ended February 28, 2021 compared to the group’s average performance for the same period. The Trustees also noted that the Fund’s net investment returns outperformed relative to the Fund’s benchmark for the 1- and 3-year periods and underperformed for the, 5- and 10-year periods ended December 31, 2020.
The Trustees took into account Domini’s discussion of the Fund’s performance relative to its peers and benchmark, and the actions taken to address the Fund’s performance including the changes to the Fund’s investment strategy and submanager that took effect December 1, 2018. The Board also noted Domini’s discussion of the Fund’s more recent improved performance since the change to the Fund’s investment strategy. The Trustees concluded that they had continued confidence in Domini’s overall capability to manage the Equity Fund.
Sustainable Solutions Fund
The Trustees noted that the Fund commenced operations on April 1, 2020. The Trustees considered that Investor shares had positive net investment performance for the latest 6 months and Since Inception periods ended December 31, 2020 and February 28, 2021, The Trustees also noted that the Fund’s net investment returns outperformed relative to the Fund’s benchmark for the latest 6 months and Since Inception periods ended December 31, 2020 and February 28, 2021.
The Trustees took into account Domini’s discussion of the Fund’s performance relative to its benchmark, the recent change in the Fund’s benchmark from the FTSE Global All Cap Index (gross) to the MSCI World Investable Market Index (net), and the short period of time since the Fund’s inception. The Trustees concluded that they had continued confidence in Domini’s overall capability to manage the Sustainable Solutions Fund.
International Fund
The Trustees considered that, based on data provided by Strategic Insight, the International Fund’s Investor shares had positive net investment returns for all periods ended February 28, 2021. The Trustees considered that the International Fund’s Investor shares had underperformed the applicable SRI peer group average for the 1-, 3-, 5-, and 10-year periods. The Trustees also noted that the International Fund had outperformed relative to the Fund’s benchmark for the 10-year period ended December 31, 2020 and had underperformed for the 1-, 3-, and 5-year periods.
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The Trustees considered Domini’s and Wellington Management’s discussion of the Fund’s performance over various periods, including the performance of its quantitative model, the impact of current market conditions on the Fund’s investment style and took into account management’s discussion of the Fund’s performance over the longer term. The Trustees took into account the actions taken by management to address the Fund’s underperformance. The Trustees concluded that they had continued confidence in Domini’s overall capability to manage the International Fund.
Bond Fund
The Trustees considered that, based on data provided by Strategic Insight, the Bond Fund’s Investor shares had outperformed the applicable SRI peer groups compared to each group’s average performance for the 1-, 3-, and 5-year periods and underperformed for the 10-year period. The Bond Fund’s Investor shares had outperformed the non-SRI peer group’s average performance for the 1-, 3-, 5-, and 10-year periods. The Trustees also noted that the Bond Fund had outperformed relative to the Fund’s benchmark for the 1-, 3-, and 5-year period ended December 31, 2020, and underperformed for the 10-year period.
The Trustees considered Domini’s discussion of the Fund’s performance, including its strong performance over the more recent periods relative to the funds in its peer groups and the impact of the performance of the Bond Fund for periods prior to the change in the Fund’s submanager to Wellington Management and the change in the Fund’s benchmark to the Barclays U.S. Aggregate Bond Index in January 2015 on the longer-term periods. The Trustees concluded that they had continued confidence in Domini’s overall capability to manage the Bond Fund.
Fees and Other Expenses. The Trustees considered the management fees paid by each Fund to Domini, the submanagement fees paid by Domini to each Fund’s submanager with respect to each Fund, the portion of the fees retained by Domini, and Domini’s contractual expense limitation arrangement with respect to each Fund. It was noted that the management fee for the Equity Fund, International Fund and Bond Fund was lowered in 2017. It was noted that the management fee for the Equity Fund had been lowered further in connection with the changes to the Fund’s investment strategy and submanager that took effect December 1, 2018. The Trustees also considered the sponsorship fee rate paid by the Equity Fund to Domini under the Sponsorship Agreement and the administrative fee paid by the Bond Fund to Domini under the Administration Agreement and the services provided under each such agreement. The Board took into account management’s discussion of the Funds’ expenses, including the differences between the amount of those expenses and the expenses borne by the Funds in the Funds’ respective expense peer groups, as well as the impact of the size of the Domini Fund complex on expenses relative to those of the other funds in each Fund’s respective peer group. The Board also took into account the level and type of services provided by Domini to the Funds. The
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Board also noted management’s discussion of the management fee structure with respect to each Fund and considered that Domini was waiving and/or reimbursing certain expenses for each of the Funds. The Board also took into account other comparative data compiled from Morningstar related to the Funds’ fees and expenses.
The Trustees also considered the information provided to them by Strategic Insight including data relating to the level of the each Fund’s management fee (aggregate of any sponsorship or administrative fee, as applicable) versus the aggregate management fee (which includes advisory and administrative fees) for the relevant Strategic Insight peer groups of SRI and non-SRI funds (for the Bond Fund), as applicable, and compared each Fund’s total expense ratio, after giving effect to contractual fee waiver arrangements, to the total expense ratio of those peers. The Trustees also considered that Domini (and not the Funds) pays each Fund’s submanager from its advisory fee.
Among other expense data considered, the Trustees took into account the following:
Equity Fund
Based on the information provided by Strategic Insight, the Trustees noted that the aggregate management fees for the Equity Fund’s Investor shares were lower than the median aggregate management fees of the Fund’s SRI peer group. They also considered that the total expense ratio of the Equity Fund’s Investor shares, before and after giving effect to the applicable contractual expense waivers, was lower than the average total expense ratio of the SRI peer group, before and after waivers.
Sustainable Solutions Fund
Based on the information provided by Strategic Insight, the Trustees considered that the aggregate management fees for the Sustainable Solutions Fund’s Investor shares were lower than the median aggregate management fees of the Fund’s SRI peer group. They also noted that the total expense ratio of the Sustainable Solutions Fund’s Investor shares, after giving effect to waiver arrangements, was higher than the median and average total expense ratios of the SRI peer group.
International Fund
Based on the information provided by Strategic Insight, the Trustees considered that the aggregate management fees for the International Fund’s Investor shares were higher than the median and average aggregate management fees of the SRI peer group. They also noted that the total expense ratio of the International Fund’s Investor shares was higher than the median and average total expense ratios of the SRI peer group.
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Bond Fund
Based on the information provided by Strategic Insight, the Trustees considered that the aggregate management fees for the Bond Fund’s Investor shares, before and after giving effect to Domini’s contractual fee waiver arrangement, were higher than the median aggregate management fees of the relevant SRI and non-SRI peer groups, before and after waivers. They also noted that the total expense ratio of the Bond Fund’s Investor shares, before and after giving effect to applicable contractual expense waivers, was higher than the median total expense ratio of the SRI peer group and lower than the median total expense ratio of the non-SRI peer group, before and after waivers.
Based on the foregoing, the Trustees concluded that management fees payable by each of the Funds were fair and reasonable in relation to the nature and quality of services provided and supported approval of the continuance of the Management Agreements.
Costs of Services Provided and Profitability. The Trustees reviewed information provided to them by Domini concerning the costs borne by and profitability of Domini in respect of its management relationship with each Fund and sponsorship relationship with the Equity Fund and administrative relationship with the Bond Fund for the 2020 calendar year, along with a description of the methodology used by Domini in preparing the profitability information. The Trustees also reviewed the financial results realized by Domini in connection with the operations of each Fund for December 31, 2020 which reflected the effect of the COVID-19 pandemic for that period. The Trustees also noted that Domini paid the submanagement fees for each of the Funds out of the management fees that it received from each Fund. The Trustees also considered that Domini had entered into expense limitation arrangements with respect to the Funds. The Board also took into account the risks that Domini assumes as Adviser including entrepreneurial, operational, reputational, litigation, and regulatory risk. The Trustees concluded that they were satisfied that the level of profitability of Domini and its affiliates with respect to the services provided to each Fund was not excessive in view of the nature, quality and extent of services provided.
Economies of Scale. The Trustees also considered whether economies of scale would be realized by Domini as each Fund’s assets increased and the extent to which such economies of scale were reflected in the fees charged with respect to each Fund under the Management Agreements. The Trustees noted that there were breakpoints in the fee schedules with respect to each Fund. The Trustees concluded that breakpoints were an effective way to share economies of scale and that this was a positive factor in support of the approval of the continuance of the Management Agreements.
Other Benefits. The Trustees considered the other benefits that Domini and its affiliates receive from their relationship with each Fund. The Trustees also
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considered the fees payable to Domini under the Sponsorship Agreement and Administration Agreement. The Trustees considered that Domini’s profitability would be lower if the benefits described above were not received. The Trustees considered the brokerage practices of Domini and noted that, based on information provided to them, Domini does not currently receive the benefits of soft dollar commissions with respect to the Funds. The Trustees also considered the intangible benefits that may accrue to Domini and its affiliates by virtue of their relationship with the Funds. The Trustees concluded that the benefits received by Domini and its affiliates, as outlined above, were reasonable in the context of the relationship between Domini and each of the Funds, and supported the approval of the continuance of the Management Agreements.
APPROVAL OF THE SUBMANAGEMENT AGREEMENTS
The primary factors and the conclusions regarding the Submanagement Agreements with respect to each Fund are described below. The Trustees did not identify any particular information or factor that was all-important or controlling, and each Trustee may have weighted certain factors differently. The Trustees noted that the evaluation process with respect to SSGA and Wellington Management and the Submanagement Agreements is an ongoing one. In evaluating the Submanagement Agreements, the Trustees took into account their knowledge of SSGA and Wellington Management, and each of their services and the Funds resulting from their meetings and other information and interactions in past years. The Trustees also took into account the recommendations and performance evaluations of Domini with respect to SSGA and Wellington Management and considered other factors (including conditions and trends prevailing generally in the economy, the securities markets and the industry).
Nature, Quality, and Extent of Services Provided. The Trustees reviewed information and materials provided by SSGA and Wellington Management related to the Submanagement Agreements with respect to each Fund, including each Submanagement Agreement, SSGA’s and Wellington Management’s Form ADV, a description of each firm and its organizational and management structure, its operational history and its legal and regulatory history, the manner in which investment decisions are made and executed, the financial condition of SSGA and Wellington Management and each firm’s ability to provide the services required under the Submanagement Agreements, an overview of the personnel that perform services for each Fund, and SSGA and Wellington Management’s compliance policies and procedures. The Board also considered SSGA’s and Wellington Management’s risk management processes and its policies and procedures with respect to cybersecurity, business continuity, and disaster recovery. The Board considered the financial condition and operations of each of SSGA and Wellington Management during the COVID-19 pandemic and noted that there had been no material disruption of SSGA’s or Wellington Management’s services to the Funds and that SSGA and
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Wellington Management had each continued to provide the same level, quality, and extent of services to the respective Funds.
The Trustees reviewed the terms of each Submanagement Agreement and considered the scope and quality of the services provided by SSGA and Wellington Management to each Fund under the respective Submanagement Agreement. The Trustees noted that pursuant to each Submanagement Agreement, Domini, subject to the direction of the Board, is responsible for providing advice and guidance with respect to each Fund and for managing the investment of the assets of each Fund, which it does by engaging and overseeing the activities of SSGA and Wellington Management. It was noted, with respect to the Equity Fund and the Sustainable Solutions Fund, that Domini applies its environmental and social standards to select such Fund’s investments and that SSGA, the Fund’s submanager, purchases and sells securities to implement Domini’s selections and for managing the amount of the Fund’s assets to be held in short-term investments. It was noted with respect to the International Fund and Bond Fund, that Domini applies its environmental and social standards to a universe of securities provided by Wellington Management with respect to each Fund and that Wellington Management provides the day-to-day portfolio management of each Fund, including making purchases and sales of securities consistent with each Fund’s investment objective and policies and Domini’s environmental and social standards.
The Trustees then considered the professional experience, tenure, and qualifications of the portfolio management team of each Fund and the other senior personnel at SSGA and Wellington Management. They also reviewed SSGA and Wellington Management’s compliance record. The Trustees also noted that, on a regular basis, it receives information from the Trust’s Chief Compliance Officer (CCO) regarding SSGA and Wellington Management’s compliance policies and procedures, including its Code of Ethics. They noted SSGA and Wellington Management’s implementation of liquidity risk management reporting requirements required by SEC regulation. The Trustees noted that there were no material changes to the teams providing services to each Fund. The Trustees also received information with respect to SSGA and Wellington Management’s brokerage policies and practices, including with respect to best execution and soft dollars. The terms of the Submanagement Agreements were also reviewed by the Trustees.
Based on the foregoing, the Trustees concluded that they were satisfied with the nature, quality, and extent of services provided by SSGA and Wellington Management to each Fund under the applicable Submanagement Agreement.
Performance Information. As noted above, the Trustees reviewed the investment performance (gross and net of all fees and expenses) of the Equity Fund, Sustainable Solutions Fund, International Fund, and Bond Fund over various periods based on data provided to them by SSGA, Wellington Management, and by Domini, with respect to each Fund, as applicable. This
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information was compared to performance information with respect to each Fund’s applicable benchmark. The Trustees also compared the net investment returns of Investor Shares of each of the Equity Fund, International Fund and Bond Fund for the 1-, 3-, 5-, and 10-year periods as of February 28, 2021 (or, for the Sustainable Solutions Fund, which recently commenced operations, for the latest 6 months and Since Inception periods), to the performance of a peer group of socially responsible (SRI) funds and non-SRI Funds, as applicable, as identified by Strategic Insight, an independent third-party data provider. The Trustees also took into account Domini’s evaluation of SSGA’s and Wellington Management’s performance with respect to each Fund.
The Trustees concluded that they had continued confidence in SSGA’s and Wellington Management’s overall capability to manage the respective Fund(s) for which they served as Submanager.
Fees and Other Expenses. The Trustees considered the submanagement fees paid by Domini to SSGA and Wellington Management under the Submanagement Agreements with respect to each Fund. The Trustees noted that each Submanagement Agreement had been negotiated at arms-length between Domini and SSGA or Wellington Management, as applicable. It was noted that the submanagement and management fees with respect to the Equity Fund, International Fund and Bond Fund were lowered in 2017. It was noted that the management and submanagement fee for the Equity Fund had been lowered further in connection with the changes to the Fund’s investment strategy and submanager that took effect December 1, 2018. The Trustees noted SSGA’s representation that it does not manage any other client portfolios that have similar investment objectives and strategies to the Equity Fund and the Sustainable Solutions Fund because of the unique investment approach applied to such Funds (combining investment selection from Domini and trade implementation and management of short-term investments by SSGA). The Trustees noted Wellington Management’s representation that it does not manage any other client portfolios that have similar investment objectives and strategies to the International Fund and the Bond Fund because of the unique investment approach applied to such Funds (combining proprietary analysis from Domini and Wellington Management). The Trustees also compared SSGA’s and Wellington Management’s fee with respect to each Fund against the other Funds and took into account the different investment strategies of each Fund. The Trustees also noted the comparative sub-advisory fee information, as available, in the report provided by Strategic Insight with respect to each Fund. The Trustees noted that, with respect to each Fund, Domini (and not the applicable Fund) pays SSGA and Wellington Management from its management fee and that they had reviewed the management fee and comparative fee information in connection with their consideration of the Management Agreement with respect to each Fund.
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The Trustees determined, based on the nature and quality of the services provided by SSGA and Wellington Management, and in light of the preceding factors, that the fees paid by Domini to SSGA and Wellington Management with respect to each Fund were fair and reasonable in relation to the nature and quality of services provided and supported approval of the continuance of the Submanagement Agreement with respect to each Fund.
Costs of Services Provided and Profitability.
Equity Fund and Sustainable Solutions Fund
The Trustees reviewed SSGA’s audited financial statements for the year ended December 31, 2020. The Board noted that it would be difficult for SSGA to estimate profitability with respect to the Fund given the aggregated reporting used by the parent company. Based on the allocation methodology described and information provided, the Trustees concluded that they were satisfied that SSGA’s level of profitability with respect to services provided to the Fund was not excessive. However, the Board also took into account that each Submanagement Agreement was negotiated on an arms-length basis and that Domini paid the cost of the submanagement fees paid to SSGA and not each Fund and that, therefore, the costs of the services provided and the profitability realized by SSGA was not a material factor in the Board consideration.
International Fund and Bond Fund
The Trustees reviewed Wellington Management’s audited statement of financial position as of December 31, 2019. The Trustees also reviewed a pro-forma income statement for the year ended December 31, 2020 provided by Wellington Management, which identified the revenues generated by the Funds as a separate item and reflected assumptions and estimates regarding operating expenses Based on the information provided, the Trustees concluded that they were satisfied that Wellington Management’s level of profitability with respect to services provided to that Fund was not excessive. However, the Board also took into account that the Submanagement Agreements were negotiated on an arms-length basis and that Domini paid the cost of the submanagement fees paid to Wellington Management and not the Funds and that, therefore, the costs of the services provided and the profitability realized by Wellington Management was not a material factor in the Board consideration.
Economies of Scale. The Trustees also considered whether economies of scale would be realized by SSGA and Wellington Management as the assets in each Fund increased and the extent to which economies of scale were reflected in the fee schedule for that Fund under each Submanagement Agreement. The Trustees noted that the submanagement fees are paid by Domini and not the Fund. However, the Trustees noted the breakpoints in fees payable under each Submanagement Agreement with respect to each Fund, as well as breakpoints in the fees payable to Domini under the Management Agreement for each Fund, and concluded that such breakpoints were an effective way to share economies
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of scale with shareholders as the assets in each Fund grew and supported the approval of the applicable Submanagement Agreement.
Other Benefits. The Trustees considered the other benefits that SSGA and Wellington Management and their respective affiliates received from their relationship with the Funds. The Board noted that one of SSGA’s affiliates currently serves as the Funds’ Custodian. They noted in particular that none of Wellington Management or any of its affiliates provided any other services to the Funds. The Trustees also considered the brokerage practices of SSGA and Wellington Management including each entity’s use of soft dollar arrangements. In addition, the Trustees considered the intangible benefits that accrued to SSGA and Wellington Management and their respective affiliates by virtue of their relationship with the Funds.
The Trustees concluded that the benefits received by SSGA, Wellington Management, and their respective affiliates were reasonable in the context of the relationship between SSGA or Wellington Management, and each applicable Fund, and supported the approval of the Submanagement Agreements with respect to each Fund.
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Based on the Board’s evaluation of all factors that the Board deemed to be material, including those factors described above, the Board, including the Independent Trustees, concluded that renewal of the Management Agreements and the Submanagement Agreements would be in the best interest of the respective Fund and its shareholders. Accordingly, the Board, and the Independent Trustees voting separately, approved the Management Agreements and Submanagement Agreements respectively for an additional one-year period.
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STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM (UNAUDITED)
As required by law, the Domini Investment Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for each series of the Trust (each a “Fund” and collectively, the “Funds”), that is designed to assess and manage liquidity risk. Liquidity risk is the risk that a Fund could not meet requests to redeem its shares without significant dilution of remaining investors’ interests in the Fund. The Funds’ Board of Trustees designated a liquidity risk management committee (the “Committee”) consisting of employees of Domini Impact Investments LLC (the “Adviser”) to administer the Program.
The Committee provided the Board of Trustees with a report through March 31, 2021 (the “Reporting Period”) that addressed the operation of the Program, assessed its adequacy and effectiveness of implementation, including, if applicable, the operation of any Highly Liquid Investment Minimum, and described any material changes that had been made to the Program or were recommended (the “Report”).
The Report confirmed that there were no material changes to the Program during the Reporting Period and that no changes were recommended.
The Report also confirmed that, throughout the Reporting Period, the Committee had monitored each Fund’s portfolio liquidity and liquidity risk on an ongoing basis, as described in the Program and in Board reporting throughout the Reporting Period.
The Report discussed the Committee’s annual review of the Program, which addressed, among other things, the following elements of the Program:
Assessment, Management, and Periodic Review of Liquidity Risk. The Committee reviewed each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. The Committee noted that each Fund’s investment strategy continues to be appropriate for an open-end fund, taking into account, among other things, whether and to what extent the Fund held less liquid and illiquid assets and the extent to which any such investments affected the Fund’s ability to meet redemption requests. In managing and reviewing each Fund’s liquidity risk, the Committee also considered the extent to which the Fund’s investment strategy involves a relatively concentrated portfolio or large positions in particular issuers, the extent to which the Fund uses borrowing for investment purposes, and the extent to which the Fund uses derivatives (including for hedging purposes). The Committee also reviewed each Fund’s short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. In assessing each Fund’s cash flow projections, the Committee considered, among other factors, historical net redemption activity, redemption
178
policies, ownership concentration, distribution channels, and the degree of certainty associated with the Fund’s short-term and long-term cash flow projections. The Committee also considered each Fund’s holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources as components of the Fund’s ability to meet redemption requests.
Liquidity Classification. The Committee reviewed the Program’s liquidity classification methodology for categorizing each Fund’s investments into one of four liquidity buckets. In reviewing each Fund’s investments, the Committee considered, among other factors, whether trading varying portions of a position in a particular portfolio investment or asset class in sizes the Fund would reasonably anticipate trading, would be reasonably expected to significantly affect liquidity.
Highly Liquid Investment Minimum. For each Fund, the Committee performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum and determined that no such minimum is required because the Fund primarily holds highly liquid investments.
Compliance with Limitation on Illiquid Investments. The Committee confirmed that during the Reporting Period, no Fund acquired any illiquid investment such that, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets, in accordance with the Program and applicable SEC rules.
Redemptions in Kind. The Committee confirmed that no redemptions in-kind were effected by a Fund during the Reporting Period.
The Report stated that the Committee concluded the Program operates adequately and effectively, in all material respects, to assess and manage each Fund’s liquidity risk throughout the Reporting Period.
179
The following table presents information about each Trustee and each Officer of the Domini Investment Trust (the “Trust”) as of July 31, 2021. Asterisks indicate that those Trustees and Officers are “interested persons” (as defined in the Investment Company Act of 1940) of the Trust. Each Trustee and each Officer of the Trust noted as an interested person is interested by virtue of his or her position with Domini Impact Investments LLC as described below. Unless otherwise indicated below, the address of each Trustee and each Officer is 180 Maiden Lane, Suite 1302, New York, NY 10038. Neither the Funds nor the Trust holds annual shareholder meetings for the purpose of electing Trustees, and Trustees are not elected for fixed terms. This means that each Trustee will be elected to hold office until his or her successor is elected or until he or she retires, resigns, dies, or is removed from office.
| INTERESTED TRUSTEE AND OFFICER | ||||||
| Name, Age, Position(s) Held, and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Funds in the Domini Family of Funds Overseen by Trustee |
Other Directorships Held by Trustee | |||
| Amy L. Domini* (71) Chair of the Trust since 2016 and Trustee of the Trust since 1990 |
Portfolio Manager, Domini Sustainable Solutions Fund (since 2020), Domini International Opportunities Fund (since 2020) and Domini Impact Equity Fund (since 2018), Chairperson (since 2016), Member (since 1997), and Manager (since 1997), Domini Impact Investments LLC; Manager (1998-2017) and Registered Principal (2003-2017), DSIL Investment Services LLC; Manager (since 2002), Domini Holdings LLC (holding company); President (1990-2017), Domini Investment Trust; Private Trustee (since 1987), Loring, Wolcott & Coolidge Office (fiduciary); Partner (since 1994), Loring, Wolcott & Coolidge Fiduciary Advisors, LLP (investment advisor); Manager (since 2010), Loring, Wolcott & Coolidge Trust, LLC (trust company). | 5 | Board Member (since 2016), Cambridge Public Library Foundation (nonprofit); Trustee (since 1998), New England Quarterly (periodical). | |||
180
| DISINTERESTED TRUSTEES | ||||||
| Name, Age, Position(s) Held, and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Funds in the Domini Family of Funds Overseen by Trustee |
Other Directorships Held by Trustee | |||
| Kirsten S. Moy (74) Trustee of the Trust since 1999 and Nominating Committee Chair since 2013 |
Senior Fellow (since 2014), The Aspen Institute (research and education); Visiting Scholar (2016-2018), Low Income Investment Fund (housing and community revitalization nonprofit); Visiting Scholar (2016-2018), Federal Reserve Bank of San Francisco (bank). | 5 | Board Member (since 2012), Community Development Finance (asset building non-profit). | |||
| Gregory A. Ratliff (61) |
Senior Vice President (since 2019), Rockefeller Philanthropy Advisors (philanthropy); Vice President (2017-2019), ACT, Inc. (education testing); Lead Senior Program Officer (2007-2017), Gates Foundation (philanthropy). | 5 | N/A | |||
| John L. Shields (68) |
President (since 2018), Advisor Guidance, Inc. (management consulting firm); Managing Director (2016-2018), CFGI, LLC (management consulting firm). | 5 | Director (since 2018), EverQuote, Inc. (technology company) (public); Director (since 2015), Vestmark, Inc. (software company); Director (since 2008), Cogo Labs, Inc. (technology company); Director (2014-2016), Navigant Consulting, Inc. (management consulting firm) (public). | |||
| OFFICERS | ||||||
| Name, Age, Position(s) Held, and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Funds in the Domini Family of Funds Overseen by Trustee |
Other Directorships Held by Trustee | |||
| Megan L. Dunphy* (51) Chief Legal Officer of the Trust since 2014, Vice President of the Trust since 2013, and Secretary of the Trust since 2005 |
General Counsel (since 2014), Managing Director (2015-2017) and Member (since 2017), Domini Impact Investments LLC; Chief Legal Officer (since 2014), Vice President (since 2013) and Secretary (since 2005), Domini Investment Trust. | N/A | N/A | |||
181
| OFFICERS (continued) | ||||||
| Name, Age, Position(s) Held, and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Funds in the Domini Family of Funds Overseen by Trustee |
Other Directorships Held by Trustee | |||
| Carole M. Laible* (57) President of the Trust since 2017 |
Portfolio Manager, Domini Sustainable Solutions Fund (since 2020), Domini International Opportunities Fund (since 2020) and Domini Impact Equity Fund (since 2018), CEO and Manager (since 2016), Member (since 2006), Domini Impact Investments LLC; Manager (since 2017), President and CEO (since 2002), Chief Financial Officer (since 1998), Secretary (since 1998), Treasurer (since 1998) and Registered Principal (since 1998), DSIL Investment Services LLC; Manager (since 2016), Domini Holdings LLC (holding company); Vice President (2007-2017) and President (since 2017), Domini Investment Trust. | N/A | N/A | |||
| Douglas Lowe* (65) Assistant Secretary of the Trust since 2007 |
Senior Call Center Manager (since 2019) and Senior Compliance Manager and Counsel (2006-2019), Domini Impact Investments LLC; Assistant Secretary (since 2007), Domini Investment Trust; Registered Operations Professional (since 2012), DSIL Investment Services LLC. | N/A | N/A | |||
| Meaghan O’Rourke-Alexander* (41) Assistant Secretary of the Trust since 2007 |
Compliance Officer (since 2012), Domini Impact Investments LLC; Assistant Secretary (since 2007), Domini Investment Trust. | N/A | N/A | |||
| Christina Povall* (51) Treasurer of the Trust since 2017 and Vice President of the Trust since 2013 |
Chief Financial Officer (since 2014), Managing Director (2014-2017) and Member (since 2017), Domini Impact Investments LLC; Treasurer (since 2017), Assistant Treasurer (2007-2017) and Vice President (since 2013), Domini Investment Trust; Registered Operations Professional (since 2012), DSIL Investment Services LLC. | N/A | N/A | |||
182
| OFFICERS (continued) | ||||||
| Name, Age, Position(s) Held, and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Funds in the Domini Family of Funds Overseen by Trustee |
Other Directorships Held by Trustee | |||
| Maurizio Tallini* (47) Chief Compliance Officer of the Trust since 2005, Vice President of the Trust since 2007, and Chief Information Security Officer of the Trust since 2015 |
Chief Compliance Officer (since 2005), Chief Operating Officer (2011-2017), Member (since 2007), and Chief Information Security Officer (since 2015), Domini Impact Investments LLC; Vice President (since 2007) and Chief Compliance Officer (since 2005) and Chief Information Security Officer (since 2015), Domini Investment Trust; Chief Compliance Officer (since 2015), Registered Principal (since 2014), and Chief Information Security Officer (since 2015), DSIL Investment Services LLC. | N/A | N/A | |||
The Funds’ Statement of Additional Information includes additional information about the Trustees and is available without charge, upon request, by calling the following toll-free number: 1-800-582-6757.
183
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 domini.com/proxyvoting, or by visiting the EDGAR database on the Securities and Exchange Commission’s (SEC) website at 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 domini.com, and on the EDGAR database on the SEC’s website at 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-Port EX. The Domini Funds’ Forms NPORT-EX are available on the EDGAR database on the SEC’s website at 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 is also available to be viewed at domini.com.
184
DOMINI FUNDS
P.O. Box 46707
Cincinnati, OH 45246-0707
1-800-582-6757
domini.com
Investment Manager, Sponsor, and Distributor:
Domini Impact Investments LLC (Investment Manager and Sponsor)
DSIL Investment Services LLC (Distributor)
180 Maiden Lane, Suite 1302
New York, NY 10038-4925
Investment Submanagers:
Domini Impact Equity Fund
Domini International Opportunities Fund
Domini Sustainable Solutions Fund
SSGA Funds Management, Inc.
1 Iron Street
Boston, MA 02210
Domini Impact International Equity Fund
Domini Impact Bond Fund
Wellington Management Company LLP
280 Congress Street
Boston, MA 02210
Transfer Agent:
Ultimus Fund Solutions, LLC
225 Pictoria Drive, Suite 450
Cincinnati, OH 45246
Custodian:
State Street Bank and Trust Company
100 Summer Street
Boston, MA 02210
Independent Registered Public Accounting Firm:
KPMG LLP
Two Financial Center
60 South Street
Boston, MA 02111
Legal Counsel:
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
| Sign up for Domini news and impact updates at domini.com/subscribe |
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Domini Funds P.O. Box 46707 | Cincinnati, OH 45246-0707 1-800-582-6757 | domini.com | @DominiFunds Subscribe to Domini news at domini.com/subscribe
Domini Impact Equity FundSM Investor Shares: CUSIP 257132100 | DSEFX Institutional Shares: CUSIP 257132852 | DIEQX Class Y Shares: CUSIP 257132308 | DSFRX Class A Shares: CUSIP 257132860 | DSEPX
Domini International Opportunities FundSM Investor Shares: CUSIP 257132753 | RISEX Institutional Shares: CUSIP 257132746 | LEADX
Domini Sustainable Solutions FundSM Investor Shares: 257132761 | CAREX Institutional Shares: 257132779 | LIFEX
Domini Impact International Equity FundSM Investor Shares: CUSIP 257132704 | DOMIX Institutional Shares: CUSIP 257132811 | DOMOX Class Y Shares: CUSIP 257132787 | DOMYX Class A Shares: CUSIP 257132886 | DOMAX |
| |
| Domini Impact Bond FundSM Investor Shares: CUSIP 257132209 | DSBFX Institutional Shares: CUSIP 257132829 | DSBIX Class Y Shares: CUSIP 257132795 | DSBYX |
| |
| Item 2. | Code of Ethics. |
(a) As of the end of the period covered by this report on Form N-CSR, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, and principal accounting officer.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
(f) Registrant is filing its code of ethics with this report.
| Item 3. | Audit Committee Financial Expert. |
John L. Shields, a member of the Audit Committee, has been determined by the Board of Trustees of the registrant in its reasonable business judgment to meet the definition of “audit committee financial expert” as such term is defined in the instructions to Form N-CSR. In addition, Mr. Shields is an “independent” member of the Audit Committee as defined in the instructions to Form N-CSR.
| Item 4. | Principal Accountant Fees and Services. |
(a) Audit Fees
For the fiscal years ended July 31, 2021, and July 31, 2020, the aggregate audit fees billed to the registrant by KPMG LLP (“KPMG”) for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, are shown in the table below:
| Fund |
2021 | 2020 | ||||||
| Domini Impact Equity Fund |
$ | 42,500 | $ | 41,200 | ||||
| Domini Impact Bond Fund |
$ | 35,600 | $ | 34,500 | ||||
| Domini Impact International Equity Fund |
$ | 35,600 | $ | 34,500 | ||||
| Domini Sustainable Solutions Fund |
$ | 35,600 | $ | 32,500 | ||||
| Domini International Opportunities Fund |
$ | 33,600 | N/A | |||||
(b) Audit-Related Fees
There were no audit-related fees billed by KPMG for services rendered for assurance and related services to the registrant that were reasonably related to the performance of the audit or review of the registrant’s financial statements, but not reported as audit fees, for the fiscal years ended July 31, 2021, and July 31, 2020.
There were no audit-related fees billed by KPMG for the fiscal years ended July 31, 2021, and July 31, 2020 that were required to be approved by the registrant’s Audit Committee for services rendered on behalf of Domini Impact Investments LLC and entities controlling, controlled by, or under common control with Domini Impact Investments LLC (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the registrant (“Service Providers”).
(c) Tax Fees
In each of the fiscal years ended July 31, 2021, and July 31, 2020, the aggregate tax fees billed by KPMG for professional services rendered for tax compliance, tax advice, and tax planning for the registrant are shown in the table below:
| Fund |
2021 | 2020 | ||||||
| Domini Impact Equity Fund |
$ | 7,600 | $ | 7,350 | ||||
| Domini Impact Bond Fund |
$ | 7,600 | $ | 7,350 | ||||
| Domini Impact International Equity Fund |
$ | 7,600 | $ | 7,350 | ||||
| Domini Sustainable Solutions Fund |
$ | 7,600 | $ | 7,350 | ||||
| Domini International Opportunities Fund |
$ | 7,600 | N/A | |||||
There were no tax fees billed by KPMG for the fiscal years ended July 31, 2021, and July 31, 2020 that were required to be approved by the registrant’s Audit Committee for services rendered on behalf of the registrant’s Service Providers.
(d) All Other Fees
There were no other fees billed by KPMG for the fiscal years ended July 31, 2021 and July 31, 2020 for other non-audit services rendered to the registrant.
There were no other fees billed by KPMG for the fiscal years ended July 31, 2021, and July 31, 2020 that were required to be approved by the registrant’s Audit Committee for other non-audit services rendered on behalf of the registrant’s Service Providers.
(e)(1) Audit Committee Preapproval Policy: The Registrant’s Audit Committee Preapproval Policy is set forth below:
| 1. | Statement of Principles |
The Audit Committee is required to preapprove audit and non-audit services performed for each series of the Domini Investment Trust, (each such series a “Fund” and collectively, the “Funds”) by the independent registered public accountant in order to assure that the provision of such services does not impair the accountant’s independence. The Audit Committee also is required to preapprove non-audit services performed by the Funds’ independent registered public accountant for the Funds’ investment adviser, and certain of the adviser’s affiliates that provide ongoing services to the Funds, if the services to be provided by the accountant relate directly to the operations and financial reporting of the Funds. The preapproval of these services also is intended to assure that the provision of the services does not impair the accountant’s independence.
Unless a type of service to be provided by the independent registered public accountant has received preapproval, it will require separate preapproval by the Audit Committee. Also, any proposed services exceeding preapproved cost levels will require separate preapproval by the Audit Committee. When considering services for preapproval the Audit Committee will take into account such matters as it deems appropriate or advisable, including applicable rules regarding auditor independence.
The appendices to this Policy describe the Audit, Audit-related, Tax and All Other services for the Funds, that have the preapproval of the Audit Committee. The term of any preapproval is 12 months from the date of preapproval, unless the Audit Committee specifically provides for a different period. The Audit Committee will periodically revise the list of preapproved services based on subsequent determinations.
Notwithstanding any provision of this Policy, the Audit Committee is not required to preapprove services for which preapproval is not required by applicable law, including de minimis and grandfathered services.
| 2. | Delegation |
The Audit Committee may delegate preapproval authority to one or more of its members. The member or members to whom such authority is delegated shall report any preapproval decisions to the Audit Committee at its next scheduled meeting. By adopting this Policy the Audit Committee does not delegate to management the Audit Committee’s responsibilities to preapprove services performed by the independent auditor.
| 3. | Audit Services |
The annual Audit services engagement terms and fees for the Funds will be subject to the preapproval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope or other matters.
In addition to the annual Audit services engagement approved by the Audit Committee, the Audit Committee may grant preapproval for other Audit services, which are those services that only the independent registered public accountant reasonably can provide. The Audit Committee has preapproved the Audit services listed in Appendix A. All Audit services not listed in Appendix A must be separately preapproved by the Audit Committee.
| 4. | Audit-Related Services |
Audit-related services are assurance and related services for the Funds that are reasonably related to the performance of the audit or review of the Funds’ financial statements or that are traditionally performed by the independent registered public accountant. The Audit Committee believes that the provision of Audit-related services does not impair the independence of the accountant, and has preapproved the Audit-related services listed in Appendix B. All Audit-related services not listed in Appendix B must be separately preapproved by the Audit Committee.
| 5. | Tax Services |
The Audit Committee believes that the independent registered public accountant can provide Tax services to the Funds such as tax compliance, tax planning and tax advice without impairing the accountant’s independence. However, the Audit Committee will not permit the retention of the independent registered public accountant in connection with a transaction initially recommended by the independent registered public accountant, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has preapproved the Tax services listed in Appendix C. All Tax services not listed in Appendix C must be separately preapproved by the Audit Committee.
| 6. | All Other Services |
The Audit Committee may grant preapproval to those permissible non-audit services for the Funds classified as All Other services that it believes are routine and recurring services, and would not impair the independence of the accountant. The Audit Committee has preapproved the All Other services listed in Appendix D. Permissible All Other services not listed in Appendix D must be separately preapproved by the Audit Committee.
A list of the SEC’s prohibited non-audit services is attached to this policy as Exhibit 1. The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of these services and the applicability of exceptions to certain of the prohibitions.
| 7. | Preapproval Fee Levels |
Preapproval fee levels for all services to be provided by the independent registered public accountant to the Funds, and applicable non-audit services to be provided by the accountant to the Funds’ investment adviser and its affiliates, will be established periodically by the Audit Committee. Any proposed services exceeding these levels will require specific preapproval by the Audit Committee.
| 8. | Supporting Documentation |
With respect to each service that is separately preapproved, the independent auditor will provide detailed back-up documentation, which will be provided to the Audit Committee, regarding the specific services to be provided.
| 9. | Procedures |
Requests or applications to provide services that require separate approval by the Audit Committee will be submitted to the Audit Committee by both the independent registered public accountant and the Funds’ treasurer, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.
Management will promptly report to the Chair of the Audit Committee any violation of this Policy of which it becomes aware.
Appendix A – Audit Committee Preapproval Policy
Preapproved Audit Services
for
October 29, 2020 through October 31, 2021
| Service |
Fee Range | |
| Statutory audits or financial audits (including tax services associated with non-audit services) | As presented to Audit Committee in a separate engagement letter1 | |
| Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters | Not to exceed $9,000 per filing | |
Appendix B - Audit Committee Preapproval Policy
Preapproved Audit-Related Services
for
October 29, 2020 through October 31, 2021
| Service |
Fee Range | |
| Consultations by Fund management with respect to the accounting or disclosure treatment of securities, transactions or events and/or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies | Not to exceed $5,000 per occurrence during the Pre-Approval Period | |
| Review of Funds’ semi-annual financial statements | Not to exceed $2,000 per set of financial statements per fund | |
| Regulatory compliance assistance | Not to exceed $5,000 per quarter | |
| Training Courses | Not to exceed $5,000 per course | |
Appendix C – Audit Committee Preapproval Policy
Preapproved Tax Services
for
October 29, 2020 through October 31, 2021
| Service |
Fee Range | |
| Review of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions. | As presented to Audit Committee in a separate engagement letter1 | |
| Tax assistance and advice regarding statutory, regulatory or administrative developments | Not to exceed $5,000 for the Funds’ or for the Funds’ investment adviser during the Pre-Approval period | |
| Assistance with custom tax audits and related matters | Not to exceed $15,000 per Fund during the Pre-Approval Period | |
| Tax Training Courses | Not to exceed $5,000 per course during the Pre-Approval Period | |
| M & A tax due diligence services associated with Fund mergers including: review of the target fund’s historical tax filings, review of the target fund’s tax audit examination history, and hold discussions with target management and external tax advisors. Advice regarding the target fund’s overall tax posture and historical and future tax exposures. | Not to exceed $8,000 per merger during the Pre-Approval Period | |
| Tax services related to the preparation of annual PFIC statements and annual Form 5471 (Controlled Foreign Corporation for structured finance vehicles) | Not to exceed $20,000 during the Pre-Approval Period | |
Appendix D – Audit Committee Preapproval Policy
Preapproved All Other Services
for
October 29, 2020 through October 31, 2021
| Service |
Fee Range | |
| With respect to any service set forth in Appendices A, B, or C, and any other permitted services not listed herein, the Audit Committee Chair is delegated pre-approval authority. | Not to exceed $20,000 per service, or $75,000 per annum in the aggregate for all such services. | |
| No other services for the Pre-Approval Period have been specifically preapproved by the Audit Committee. | N/A | |
Exhibit 1 – Audit Committee Preapproval Policy
Prohibited Non-Audit Services
| • | Bookkeeping or other services related to the accounting records or financial statements of the audit client |
| • | Financial information systems design and implementation |
| • | Appraisal or valuation services, fairness opinions or contribution-in-kind reports |
| • | Actuarial services |
| • | Internal audit outsourcing services |
| • | Management functions |
| • | Human resources |
| • | Broker-dealer, investment adviser or investment banking services |
| • | Legal services |
| • | Expert services unrelated to the audit |
| 1 | For new funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing funds, pro-rated in accordance with inception dates as provided in the auditors’ proposal or any engagement letter covering the period at issue. Fees in the engagement letter will be controlling. |
(e)(2) None, or 0%, of the services relating to the audit-related fees, tax fees, and all other fees paid by the registrant disclosed above were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit review or attest services, if certain conditions are satisfied).
(f) According to KPMG for the fiscal year ended July 31, 2021, the percentage of hours spent on the audit of the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than KPMG’s full-time, permanent employees is as follows:
| Fund |
2021 | |||
| Domini Social Equity Fund |
0 | % | ||
| Domini Social Bond Fund |
0 | % | ||
| Domini International Social Equity Fund |
0 | % | ||
| Domini Sustainable Solutions Fund |
0 | % | ||
| Domini International Opportunities Fund |
0 | % | ||
(g) There were no non-audit services rendered to the registrant’s Service Providers for the fiscal years ended July 31, 2021 and July 31, 2020.
The aggregate non-audit fees billed by KPMG for services rendered to the registrant for the fiscal year ended July 31, 2021 was $ 38,000. These fees related to the 2020 Tax Fees described in Item 4 (c). The aggregate non-audit fees billed by KPMG for services rendered to the registrant for the fiscal year ended July 31, 2020, were $29,400. These fees related to the 2019 Tax Fees described in Item 4 (c).
(h) Not applicable.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable to the registrant.
| Item 6. | Schedule of Investments. |
(a) The Schedule of Investments is included as part of the report to stockholders filed under Item 1.
(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 were no material changes to the procedures by which shareholders may submit recommendations for nominees to the registrant’s Board of Trustees.
| Item 11. | Controls and Procedures. |
(a) Within 90 days prior to the filing of this report on Form N-CSR, Carole M. Laible, the registrant’s President and Principal Executive Officer, and Christina Povall, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) of the Investment Company Act of 1940) and evaluated their effectiveness. Based on their evaluation, Ms. Laible and Ms. Povall determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in this report on Form N-CSR is recorded, processed, summarized, and reported within the time periods required by the Securities and Exchange Commission’s rules and forms, including ensuring that information required to be disclosed in this report on Form N-CSR is accumulated and communicated to the registrant’s management, including the Ms. Laible and Ms. Povall, as appropriate to allow timely decisions regarding required disclosures.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in 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. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable to the registrant.
| Item 13. | Exhibits. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| DOMINI INVESTMENT TRUST | ||
| By: | /s/ Carole M. Laible | |
| Carole M. Laible | ||
| President (Principal Executive Officer) | ||
Date: October 6, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Carole M. Laible | |
| Carole M. Laible | ||
| President (Principal Executive Officer) |
Date: October 6, 2021
| By: | /s/ Christina Povall | |
| Christina Povall | ||
| Treasurer (Principal Financial Officer) |
Date: October 6, 2021