Form N-CSRS DOMINI INVESTMENT TRUST For: Jan 31 – StreetInsider.com

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-CSR


CERTIFIED
SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number 811-5823

DOMINI 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)

Amy Domini Thornton

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: January 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.


LOGO


LOGO


TABLE OF CONTENTS


INVESTING FOR GOOD®

LETTER TO SHAREHOLDERS

Dear Fellow Shareholder,

The six months ending January 31, 2021 were tumultuous ones for our personal
and community lives while being as smooth as could be for investors. We were once again reminded that the stock market does not render an accounting of the health of the economy but of certain companies. The six month period ending January 31,
2021 saw the Standard & Poor’s 500 index rise by a stunning 14%. It also saw unemployment figures at levels not seen since the 1930s.

During this time, American citizens struggled with yet another reckoning over racial justice. Marches in our cities motivated many to finally look to government for positive social change. The events
around the Presidential election were beyond anything most Americans could have imagined even a decade ago. COVID-19 continued to rip apart families, businesses, and our health care system. Then when a vaccine
was made available, the federal government largely stepped aside, leaving the financially depleted and exhausted local governments and agencies to figure out the logistics of actually inoculating enough people to halt the virus before it mutates
into something much worse.

Paradoxically, stocks and bonds rose. Stocks returned astonishing results. Of special interest to responsible
investors was the dynamic improvement in the opinion of companies that offer solutions to hardships. The backdrop described above caused an urgent need for these solutions. Responsible investors had been intrigued by the concept of distance learning
bringing courses from top universities to students in remote locations, but the pandemic made the product urgently needed. We had admired the capacity to offer a kinder, more family-friendly work environment with flexibility of location, but the
immediate necessity to work from home caused those companies with such technology to flourish. We had long felt that much of health care could be done more efficiently for the consumer, but not until the pandemic did the market appreciate the need.
In short, we witnessed a period during which responsible investors were rewarded for the foresight they had by applying the good-for-people-and-the-planet lens to stock selection.

Another trend we have seen accelerating is the creation, nurturing, and bringing to public markets of a number of companies which were explicitly created to do good. The new generation of entrepreneurs
seeking solutions to global climate issues or to providing dignity to people has hit full stride. It is an exciting trend and one that could offer a real contribution to our shared desire for a pleasant future.

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INVESTING FOR GOOD®

It is never easy to look back over a six month period and in brief form, summarize the moment. The
phrase, “at the crossroads,” comes to mind. The planet stood, perhaps still stands, at the crossroads of choosing democratic institutions for governance, of choosing to limit our lifestyles to save ourselves from climate disaster, to
finalize — or not — the definition of humankind as encompassing all human beings, regardless of ethnicity or other potential differentiators. At Domini Impact Investments, we strive to give you, our investors, an opportunity to be part of
the solution as we seek the universal human dignity and ecological sustainability necessary for the next seven generations.

Thank you for your
continued support and interest in investing with impact.

LOGO

Carole Laible

CEO

 

LOGO

Amy Domini

Founder and Chair

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INVESTING FOR GOOD®

STRENGTH IN NUMBERS

Sometimes, the path to impact investing starts small. With a cigarette, for example. As you bear the pain of a lost loved one, you wonder: is my money invested in tobacco companies?

The list may grow.

Weapons. Even if you never
buy one personally, are your dollars helping to produce thousands?

Pesticides. Your lawn may not use them to grow, but does your money?

Gambling. You may only bet on a game once a year. But is your money feeding addictions that are causing high levels of debt among others?

The list goes on.

Fossil fuels.

Nuclear power.

For profit-prisons.

The issue becomes not our lack of dislikes — that list grows ever longer — but how we channel our dollars and our dislikes into
things we do like; things we can feel good about.

Can you do good by buying stocks? Amy Domini’s answer is yes. In a piece that
originally appeared in Kamp Solutions last summer, she calls financial asset management “a vast network of individuals, wired together, responsive immediately to new developments, continuously pricing in the risks and rewards implied by
an action taken by a company.”

When used properly, she writes, a system that is ideal for delivering goods and services to people is also
perfect for delivering wellbeing on a global scale. All that is needed is an investment adviser that cares, a set of standards that endures, an individual who believes, and a community that builds. Because if enough people come together with a care
that’s mutual, the power of small becomes the greatness of all.

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INVESTING FOR GOOD®

Think of it as the “better effect.” When investors choose to invest only in companies that
consider the environment and society, the definition of ‘better’ crystalizes. Securities markets of the world can begin to revalue the better-behaving companies, thereby delivering an incentive to corporate management for better behavior
— and that kind of better is in all of our best interests.

This evolution of better has been part of Domini’s mission from the
beginning. To achieve it, we start with standards; we always have. As a small, independent company, our standards loom large and our deep belief in universal human dignity and ecological sustainability, even larger. We seek investments that promote
long-term environmental sustainability as well as universal values of fairness, equality, justice, and respect for human rights.

Our Impact
Investment Standards

Universal human dignity and ecological sustainability are the goal.

Standards are the path we take to achieve it.

First, we evaluate companies to see if their core business model is aligned with our twin goals. Sometimes our assessment is straightforward because our
exclusionary screens lead us to eliminate certain industries all together. Sorry, big tobacco. Hello, renewable energy. But usually, like the world, it’s complicated.

So next, we look at the company’s relations with its key stakeholders. This includes ecosystems; local, national, and global communities; customers; employees; suppliers; investors.

Our Impact Investment Standards focus on key themes that we believe best capture the strength of a corporation’s relations with each of these
stakeholders.

Exclusionary Screens

Determining which lines of business are fundamentally misaligned with our goals of universal human dignity and ecological sustainability make some
investment decisions easy. Divestment from these industries has allowed us to further debate of some of the most important and difficult issues of our time, such as climate change. The following exclusionary screens are applied consistently across
all our Funds:

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INVESTING FOR GOOD®

Weapons & Firearms

  We have a longstanding policy to avoid investment in manufacturers of weapons, including military weapons and civilian firearms, which can be used to cause
incalculable harm. We believe it is irresponsible to combine weapons manufacturing with the pressure to maximize profits.

Nuclear Power

  We exclude companies involved in nuclear weapons production, as well as owners of nuclear power plants. We believe nuclear power technology presents
significant risks to human health and safety, as well as the environment. We also have an exclusion on uranium mining.

Fossil Fuels

  We exclude companies in the energy sector involved in oil and natural gas exploration and production, coal mining, oil and gas storage, transportation, refining,
marketing, and related services
due to the urgent need to accelerate the low-carbon transition and address the environmental, social and financial risks of climate change. We also seek to avoid electric
utilities with a majority of installed capacity from coal and exclude any utility that has announced or begun construction on new coal plants following the Paris Agreement.

For Profit-Prisons

  We exclude for-profit prisons and immigration detention centers due to the significant civil and human rights concerns
that occur as a result of their business models, particularly for marginalized communities. The for-profit prison model incentivizes imprisoning the greatest number of people for the longest duration at the
lowest cost to increase growth and profits.

Tobacco, Alcohol & Gambling

  We have never invested in companies that are significant manufacturers of tobacco products, alcoholic beverages, or significant providers of gambling goods and
services
. For these companies, effective marketing often means exploiting customers’ addictions to their products or lack of awareness of potential risks.
  In addition to these industry exclusions, we have generally avoided major producers of synthetic pesticides and agricultural chemicals due to environmental
concerns related to this business.

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INVESTING FOR GOOD®

Our standards versus the S&P 500

The average investor may not know it, but the S&P 500 Index may include companies they don’t want to own, such as a weapons manufacturer. Here, we show what percentage of the S&P 500 we
consider eligible for investment.

S&P 500 Index1

LOGO

NOTE: The above information is as of December 31, 2020. Eligibility decisions are subject to change.

Small carbon footprint, big impact

As supporters
of a greener future, we’re proud to report that the Domini Impact Equity Fund’s portfolio as of December 31, 2020 was 55% less carbon intensive than its benchmark.

TCFD Carbon Intensity2

LOGO

Our standards lead us to be underweight to more carbon-intensive sectors like Utilities and Energy. These numbers
don’t happen by chance; we have developed proprietary key performance indicators (KPIs) to help guide our social and environmental research for all asset classes and sub-industries covered by our Funds.
We revise these often to ensure we remain focused on the most relevant and meaningful information.

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INVESTING FOR GOOD®

For materials companies, for instance, we recently expanded our assessment of greenhouse gas
emissions reduction targets to include time-bound transition plans, including reporting aligned with the recommendations of the Taskforce for Climate-related Financial Disclosures (TCFD).

When standards lead, inspiring outcomes follow

Perhaps the best way to understand our investment
standards is to look at some of the companies we’re invested in and how these investments support our goals of universal human dignity and ecological sustainability. Here are some recent highlights and insights.

Domini Impact Equity Fund Investment Highlight: Sunrun

Sunrun is the leading residential solar installer in the U.S., with a demonstrated commitment to expanding access to affordable, clean energy. The company designs, installs, finances, insures,
monitors and maintains rooftop solar systems, with little to no upfront cost to homeowners and predictable pricing for 20 years, often providing significant savings over the cost of traditional energy. Sunrun’s intelligent Brightbox battery
storage solution helps customers maximize savings by optimizing generation and storage and reducing reliance on electric utilities during times of peak demand. As of 2019, Sunrun estimates that its solar systems have prevented 5.2 million
metric tons of greenhouse gas emissions, produced over 7 billion kilowatt-hours of clean energy, and saved customers more than $300 million on electricity bills. Through a long-running partnership with GRID Alternatives, Sunrun has also
helped provide access to solar power for thousands of low-income families in underserved communities across the country.

Domini Impact Equity Fund Investment Highlight: Salesforce.com

Salesforce.com Inc. engages in
the design and development of cloud-based enterprise software for customer relationship management. The company’s internal diversity and inclusion programs are particularly strong, both in disclosure but also in action. The company discloses
diversity data by gender, ethnicity, and by positions within the company (tech, non-tech, and leadership) and conducts equal pay audits annually to address unexplained difference in pay based on gender, race
and ethnicity. In 2019, the company adjusted pay for 5% of employees globally to assure pay equity among its employees. The company also has strong gender and racial diversity in its executive team and board of directors, with over 30%
representation on each.

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INVESTING FOR GOOD®

Domini Impact Bond Fund Investment Highlight: MacArthur Foundation

MacArthur Foundation is a not-for-profit organization headquartered
in Chicago, Illinois that provides grants to address some of society’s most pressing challenges with the aim of building a more “just, verdant, and peaceful world.” Throughout its history, the Foundation has awarded more than
$7.3 billion to nearly 10,000 organizations and individuals in 117 countries. The Domini Impact Bond Fund is invested in a social bond issued by the Foundation, which will be used to fund organizations and further initiatives that seek to
address the economic and social challenges resulting from the COVID-19 pandemic, particularly among communities of color and the nonprofit sector more broadly, as well as to address the systemic issues exposed
by the pandemic and the protests in response to police use of violence against persons of color, especially African Americans.

Domini Sustainable
Solutions Fund

Our standards, applied to all our Funds, ensure we meet our goals of human dignity and environmental sustainability. On
April 1, 2020 (yes, right in the middle of the pandemic), we introduced the Domini Sustainable Solutions Fund. This Fund offers high-conviction exposure to solution-oriented companies around the world helping to address the following
sustainability themes:

LOGO

We anticipated the need for a product that focuses solely on sustainability solutions. Think access to health care,
access to food that’s clean and wholesome for the planet, and access to transportation that doesn’t rely on petroleum. For example, Tesla, which is our top portfolio holding in this Fund.

Top Ten Portfolio Holdings (%)3

Tesla Inc     5.6      Ameresco Inc Class A     3.9  
Enphase Energy Inc     5.5      Atlassion Corp PLC     3.9  
Square Inc (Class A)     4.2      First Solar Inc     3.7  
Cree Inc     4.1      BlackLine Inc     3.6  
Autodesk Inc     4.1      Vestas Wind Systems A/S     3.6  
     Total     42.3  

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INVESTING FOR GOOD®

Small. It’s the new big.

Our standards have allowed us to lead impact investing before impact investing led. When you uphold standards for over 25 years, impact investing becomes more than a trend; it becomes a tradition. One
that knows that the secret to making an impact is small. It’s one individual, believing. It’s one community, sharing. It’s one organization, listening. It’s one founder, creating. It’s one Fund, caring. And it’s all of
us, coming together with a care that’s mutual in Funds that are too, ready to tell the big financial world, welcome to Domini, where the power of small is the greatness of all.

Thank you for being an important part of our community.

  

Sign up for Domini news and impact   

updates at domini.com/subscribe   

 

1 S&P 500 Index weights.
Numbers may not add up to totals due to rounding.

2
“TCFD carbon intensity calculations were made using Bloomberg’s Portfolio Carbon Footprint Tool. Carbon intensity is measured as tonnes of carbon dioxide equivalent emitted per USD millions in sales. The figures provided are the
weighted averages of each company’s carbon intensity by its allocation in the portfolio or index. The carbon data used is Scope 1 and 2 (as available) for fiscal year 2019, the most recent year for which data was widely available. Where
companies do not report Scope 1 and 2 emissions, they are estimated using the median of reported figures within the same industry group. For the calculations provided, such estimates were used for 35% of the Fund’s portfolio and 30% of the
index.”

3 Fund Portfolio weights are as of
December 31, 2020 and exclude cash and cash equivalents. Numbers may not add up to totals due to rounding.

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.

An investment in the Domini Funds is not a bank deposit, not insured and is subject to certain risks including those
described below. You may lose money. 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. See the prospectus for more information on risks.

The Domini Impact Equity Fund is subject to impact investing, portfolio management, information, market, recent events, and mid- to large-cap companies risks. The Domini International Opportunities Fund is subject to foreign investing, geographic focus, country, currency, impact investing and
recent events risks. The Domini Sustainable Solutions Fund is subject to sustainable investing, portfolio management, information, market, recent events, and mid- to
large-cap companies and small-cap companies risks. The Domini Impact International Equity Fund is subject to foreign investing and emerging markets, geographic focus,
country, currency, impact investing and recent events 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 impact investing, portfolio management, style
risk, information, market, recent events, interest rate and credit risks.

This report is not authorized for distribution to prospective investors of
the Domini Funds referenced herein unless preceded or accompanied by a current prospectus for the relevant Fund.
Nothing 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

10


INVESTING FOR GOOD®


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. Domini Impact Investments LLC is each Fund’s investment manager. The Funds are
subadvised by unaffiliated entities. Shares of the Domini Funds are offered for sale only in the United States DSIL Investment Services LLC, Distributor, Member FINRA. 3/21

11


DOMINI IMPACT EQUITY FUND

Fund Performance and Holdings

The table and
bar charts below provide information as of January 31, 2021, about the ten largest holdings of the Domini Impact Equity Fund and its portfolio holdings by industry sector:

TEN LARGEST HOLDINGS (Unaudited)

       
SECURITY DESCRIPTION   % NET

ASSETS
     SECURITY DESCRIPTION   % NET

ASSETS
 
   
Apple Inc     8.3%      Procter + Gamble Co/The     1.3%  
   
Microsoft Corp     7.2%      NVIDIA Corp     1.3%  
   
Amazon.com Inc     5.7%      Walt Disney Co/The     1.3%  
   
Alphabet Inc Class A     4.6%      Home Depot Inc/The     1.2%  
   
Tesla Inc     2.5%      Mastercard Inc Class A     1.2%  

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

LOGO

The holdings mentioned above are described in the Domini Impact Equity Fund’s Portfolio of Investments (as of 1/31/21),
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.

12


 
AVERAGE ANNUAL TOTAL RETURNS (Unaudited)
           
     Investor

shares
  Class A shares

(with 4.75%

maximum

Sales Charge)
  Class A

shares (without

Sales

Charge)
  Institutional

shares
 

Class Y

shares

  S&P 500
             
As of 1/31/21   1 Year   29.00%   22.87%   28.99%   29.45%   29.34%   17.25%
             
  5 Year   16.55%   15.40%   16.53%   16.97%   16.90%   16.16%
             
    10 Year   12.04%   11.50%   12.05%   12.46%   12.38%   13.50%

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
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 1.09% and 0.74% (gross and net) and 1.47%/1.09% and
0.94%/0.80% (gross/net) for Investor, Institutional, Class A, and Class Y shares, respectively. The Fund’s Adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit
Investor shares, Class A, Institutional, and Class Y share expenses to 1.09%, 1.09%, 0.74%, and 0.80%, respectively. These expense limitations are in effect through November 30, 2021. There can be no assurance that the Adviser will
extend the expense limitations beyond such time. While in effect, the arrangement may be terminated for a class only by agreement of the Adviser and the Fund’s Board of Trustees.

The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return for the Fund is based on the Fund’s net asset values and
assumes all dividend and capital gains were reinvested.

An investment in the Domini Impact Equity 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.

13


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Common Stocks – 99.8%  
Communication Services – 10.8%  

Alphabet, Inc., Class A (a)

    24,450     $ 44,678,952  

AT&T, Inc.

    303,685       8,694,502  

Charter Communications, Inc., Class A (a)

    5,558       3,376,819  

Comcast Corp., Class A

    188,221       9,330,115  

Electronic Arts, Inc.

    12,018       1,720,978  

Lumen Technologies, Inc.

    46,100       570,718  

Netflix, Inc. (a)

    17,438       9,283,817  

New York Times Co. (The), Class A

    49,199       2,439,778  

Omnicom Group, Inc.

    8,700       542,706  

Take-Two Interactive Software, Inc. (a)

    4,581       918,261  

TELUS Corp.

    52,794       1,089,140  

Verizon Communications, Inc.

    172,495       9,444,101  

Walt Disney Co. (The) (a)

    74,993       12,611,573  
     
      104,701,460  
     
Consumer Discretionary – 13.9%            

Advance Auto Parts, Inc.

    2,657       396,265  

Amazon.com, Inc. (a)

    17,319       55,528,178  

Aptiv PLC

    10,800       1,442,880  

Best Buy Co., Inc.

    9,449       1,028,240  

BorgWarner, Inc.

    9,900       415,701  

Bright Horizons Family Solutions, Inc. (a)

    2,400       364,728  

Chegg, Inc. (a)

    59,156       5,635,201  

Chipotle Mexican Grill, Inc. (a)

    1,117       1,653,160  

Cie Generale des Etablissements Michelin SCA ADR

    33,350       919,459  

eBay, Inc.

    27,100       1,531,421  

Fast Retailing Co., Ltd. ADR

    22,253       1,924,217  

Gap, Inc. (The) (a)

    12,345       249,986  

Garmin, Ltd.

    6,246       717,416  

Home Depot, Inc. (The)

    43,451       11,767,400  

Kohl’s Corp.

    6,912       304,543  

Lowe’s Cos., Inc.

    30,141       5,029,026  

NIKE, Inc., Class B

    50,749       6,779,559  

NVR, Inc. (a)

    140       622,507  

Sony Corp. ADR

    49,055       4,695,054  

Starbucks Corp.

    48,967       4,740,495  

Target Corp.

    20,651       3,741,342  

Tesla, Inc. (a)

    31,185       24,746,233  

Ulta Beauty, Inc. (a)

    2,198       614,912  

Williams-Sonoma, Inc.

    3,200       412,544  
     
      135,260,467  
     
Consumer Staples – 6.0%  

Beyond Meat, Inc. (a)

    25,405       4,524,122  

Campbell Soup Co.

    7,991       384,447  

Church & Dwight Co., Inc.

    10,112       853,756  

Clorox Co. (The)

    5,200       1,089,192  

14


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Consumer Staples (Continued)  

Colgate-Palmolive Co.

    35,225    
$
2,747,550  

Costco Wholesale Corp.

    18,303       6,450,526  

Estee Lauder Cos., Inc. (The), Class A

    8,177       1,935,087  

General Mills, Inc.

    25,199       1,464,062  

JM Smucker Co. (The)

    4,446       517,559  

Kimberly-Clark Corp.

    13,918       1,838,568  

Kraft Heinz Co. (The)

    25,523       855,276  

Kroger Co. (The)

    30,511       1,052,629  

Lamb Weston Holdings, Inc.

    5,800       433,260  

McCormick & Co., Inc.

    10,500       940,170  

Mondelez International, Inc., Class A

    57,947       3,212,582  

Orkla ASA ADR

    29,600       288,304  

PepsiCo, Inc.

    56,631       7,734,096  

Procter & Gamble Co. (The)

    100,925       12,939,594  

Sysco Corp.

    20,003       1,430,415  

Unilever PLC ADR

    103,585       6,043,149  

Walgreens Boots Alliance, Inc.

    29,548       1,484,787  
     
      58,219,131  
     
Energy – 0.1%            

Legrand SA ADR

    52,900       973,889  
     
      973,889  
     
Financials – 9.1%            

Aflac, Inc.

    26,715       1,206,984  

AGNC Investment Corp.

    22,200       346,320  

American Express Co.

    24,848       2,888,828  

Annaly Capital Management, Inc.

    57,600       467,712  

Bank of America Corp.

    312,354       9,261,296  

Bank of Montreal

    26,831       1,993,812  

Bank of New York Mellon Corp. (The)

    33,200       1,322,356  

Bank of Nova Scotia (The)

    49,966       2,662,688  

BlackRock, Inc.

    5,734       4,021,025  

Capital One Financial Corp.

    18,318       1,909,835  

Cboe Global Markets, Inc.

    4,500       412,785  

Charles Schwab Corp. (The)

    61,278       3,158,268  

Chubb, Ltd.

    16,187       2,357,960  

Cincinnati Financial Corp.

    6,311       530,692  

Citigroup, Inc.

    85,308       4,947,011  

CME Group, Inc.

    14,298       2,598,519  

Comerica, Inc.

    5,954       340,569  

Discover Financial Services

    12,200       1,019,188  

DNB ASA ADR (a)

    35,948       698,649  

East West Bancorp, Inc.

    6,000       359,640  

Equitable Holdings, Inc.

    18,600       460,908  

Everest Re Group, Ltd.

    1,700       358,836  

FactSet Research Systems, Inc.

    1,500       453,510  

Fifth Third Bancorp

    29,156       843,483  

First Republic Bank

    7,000       1,014,930  

15


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Financials (Continued)            

Franklin Resources, Inc.

    11,200    
$
294,448  

Hartford Financial Services Group, Inc. (The)

    14,693       705,558  

Huntington Bancshares, Inc.

    40,800       539,580  

Intercontinental Exchange, Inc.

    22,695       2,504,393  

Invesco, Ltd.

    16,303       335,679  

KeyCorp

    39,200       660,912  

London Stock Exchange Group PLC ADR

    56,400       1,710,048  

MarketAxess Holdings, Inc.

    1,500       811,140  

Marsh & McLennan Cos., Inc.

    20,530       2,256,452  

Moody’s Corp.

    6,614       1,761,044  

Morgan Stanley

    58,459       3,919,676  

MSCI, Inc.

    3,205       1,266,936  

Nasdaq, Inc.

    6,000       811,620  

Northern Trust Corp.

    8,200       731,358  

PNC Financial Services Group, Inc. (The)

    16,949       2,432,520  

Principal Financial Group, Inc.

    11,100       546,897  

Progressive Corp. (The)

    24,058       2,097,617  

Prudential Financial, Inc.

    16,461       1,288,567  

Raymond James Financial, Inc.

    5,000       499,650  

Regions Financial Corp.

    38,628       657,062  

Reinsurance Group of America, Inc.

    2,600       273,130  

S&P Global, Inc.

    9,998       3,169,366  

SEI Investments Co.

    5,200       274,820  

Swiss Re AG ADR

    43,893       974,864  

T Rowe Price Group, Inc.

    9,211       1,441,337  

Toronto-Dominion Bank (The)

    74,617       4,222,576  

Travelers Cos., Inc. (The)

    10,516       1,433,331  

Truist Financial Corp.

    54,702       2,624,602  

US Bancorp

    55,716       2,387,431  

Voya Financial, Inc.

    5,000       277,300  

Zions Bancorp NA

    7,099       313,350  
     
      88,859,068  
     
Health Care – 14.1%            

AbbVie, Inc.

    70,352       7,209,673  

ABIOMED, Inc. (a)

    1,800       626,850  

Agilent Technologies, Inc.

    12,500       1,502,125  

Alcon, Inc. (a)

    20,362       1,460,159  

Alexion Pharmaceuticals, Inc. (a)

    8,781       1,346,391  

Align Technology, Inc. (a)

    2,900       1,523,602  

Alnylam Pharmaceuticals, Inc. (a)

    4,800       722,304  

Amgen, Inc.

    23,819       5,750,621  

Becton Dickinson and Co.

    11,751       3,076,294  

Biogen, Inc. (a)

    6,267       1,771,117  

BioMarin Pharmaceutical, Inc. (a)

    7,300       604,294  

Bio-Rad Laboratories, Inc., Class A (a)

    900       516,393  

Bio-Techne Corp.

    1,600       519,856  

Bristol-Myers Squibb Co.

    91,801       5,639,335  

Bruker Corp.

    4,600       266,294  

16


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Health Care (Continued)            

Cerner Corp.

    12,223    
$
979,185  

Cooper Cos., Inc. (The)

    1,900       691,676  

Danaher Corp.

    25,915       6,163,624  

DENTSPLY SIRONA, Inc.

    9,416       503,662  

DexCom, Inc. (a)

    13,507       5,063,099  

Edwards Lifesciences Corp. (a)

    25,072       2,070,446  

Exact Sciences Corp. (a)

    6,200       850,392  

Gilead Sciences, Inc.

    51,846       3,401,098  

GlaxoSmithKline PLC ADR

    101,525       3,781,806  

Guardant Health, Inc. (a)

    3,300       513,150  

Haemonetics Corp. (a)

    2,051       234,409  

Henry Schein, Inc. (a)

    5,700       375,345  

Hill-Rom Holdings, Inc.

    2,800       268,912  

Hologic, Inc. (a)

    67,015       5,343,106  

IDEXX Laboratories, Inc. (a)

    3,419       1,636,607  

Illumina, Inc. (a)

    5,849       2,494,248  

Incyte Corp. (a)

    7,700       691,075  

Insulet Corp. (a)

    2,700       721,386  

Ionis Pharmaceuticals, Inc. (a)

    5,300       318,371  

Koninklijke Philips NV (a)

    36,176       1,963,995  

Masimo Corp. (a)

    2,100       537,432  

Merck & Co., Inc.

    104,435       8,048,805  

Mettler-Toledo International, Inc. (a)

    990       1,156,419  

Moderna, Inc. (a)

    13,500       2,337,660  

Novo Nordisk A/S ADR

    66,278       4,612,949  

OraSure Technologies, Inc. (a)

    307,400       4,681,702  

PerkinElmer, Inc.

    4,700       691,229  

Pfizer, Inc.

    233,470       8,381,573  

Quest Diagnostics, Inc.

    5,715       738,092  

Regeneron Pharmaceuticals, Inc. (a)

    4,142       2,086,905  

ResMed, Inc.

    5,846       1,178,378  

Sanofi ADR

    87,816       4,145,793  

Seagen, Inc. (a)

    30,645       5,034,054  

STERIS PLC

    3,600       673,596  

Stryker Corp.

    13,528       2,989,823  

Teladoc Health, Inc. (a)

    18,598       4,906,710  

Teleflex, Inc.

    1,900       717,497  

Thermo Fisher Scientific, Inc.

    16,588       8,454,904  

United Therapeutics Corp. (a)

    1,800       294,876  

Varian Medical Systems, Inc. (a)

    3,900       684,723  

Veeva Systems, Inc., Class A (a)

    5,406       1,494,435  

Vertex Pharmaceuticals, Inc. (a)

    10,343       2,369,374  

Waters Corp. (a)

    2,563       678,349  
     
      137,496,178  
     
Industrials – 7.5%            

Alaska Air Group, Inc.

    5,100       249,033  

Allegion PLC

    3,900       417,339  

Ameresco, Inc., Class A (a)

    121,931       6,839,110  

17


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Industrials (Continued)            

AO Smith Corp.

    5,800    
$
       314,940  

Assa Abloy AB ADR

    78,242       965,506  

Brambles, Ltd. ADR

    30,300       490,557  

Carlisle Cos., Inc.

    2,100       304,353  

CH Robinson Worldwide, Inc.

    5,400       462,024  

Cintas Corp.

    3,600       1,145,232  

Copart, Inc. (a)

    8,800       965,800  

CoStar Group, Inc. (a)

    1,571       1,413,444  

Cummins, Inc.

    6,041       1,416,131  

Dai Nippon Printing Co., Ltd. ADR

    18,200       157,976  

Deere & Co.

    11,445       3,305,316  

Deutsche Post AG ADR

    38,237       1,893,114  

Donaldson Co., Inc.

    5,200       309,088  

Emerson Electric Co.

    24,826       1,969,943  

Expeditors International of Washington, Inc.

    6,600       590,832  

Fastenal Co.

    23,358       1,064,891  

Fortune Brands Home & Security, Inc.

    5,400       465,750  

Graco, Inc.

    6,900       475,686  

Hubbell, Inc.

    2,200       342,320  

IAA, Inc. (a)

    5,500       314,270  

IDEX Corp.

    3,200       595,808  

IHS Markit, Ltd.

    14,994       1,305,678  

Illinois Tool Works, Inc.

    11,752       2,282,356  

Ingersoll Rand, Inc. (a)

    15,169       634,671  

JB Hunt Transport Services, Inc.

    3,400       457,844  

JetBlue Airways Corp. (a)

    13,988       200,588  

Johnson Controls International PLC

    29,736       1,481,448  

KAR Auction Services, Inc.

    5,500       101,530  

Lennox International, Inc.

    1,400       385,686  

Makita Corp. ADR

    9,800       491,078  

Masco Corp.

    10,700       581,117  

Middleby Corp. (The) (a)

    2,400       325,728  

MSC Industrial Direct Co., Inc., Class A

    1,600       124,112  

Nidec Corp. ADR

    81,156       2,713,045  

Nielsen Holdings PLC

    15,500       346,115  

Nordson Corp.

    2,100       375,879  

Old Dominion Freight Line, Inc.

    4,400       853,600  

Owens Corning

    4,533       351,761  

PACCAR, Inc.

    14,200       1,295,324  

Pentair PLC

    6,600       359,436  

Robert Half International, Inc.

    4,751       320,693  

Rockwell Automation, Inc.

    4,772       1,185,985  

Roper Technologies, Inc.

    4,257       1,672,618  

Schneider Electric SE ADR

    109,400       3,215,266  

Sensata Technologies Holding PLC (a)

    6,100       332,450  

Siemens AG ADR

    65,136       5,038,270  

Simpson Manufacturing Co., Inc.

    1,600       147,200  

SKF AB ADR

    18,000       492,840  

Snap-on, Inc.

    2,300       413,977  

18


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Industrials (Continued)            

Stanley Black & Decker, Inc.

    6,354    
$
    1,102,355  

Sunrun, Inc. (a)

    84,768       5,871,879  

Thomson Reuters Corp.

    6,700       546,385  

Toro Co. (The)

    4,500       424,125  

Trane Technologies PLC

    9,707       1,391,498  

Trex Co., Inc. (a)

    4,600       422,142  

United Parcel Service, Inc., Class B

    28,393       4,400,915  

United Rentals, Inc. (a)

    3,100       753,331  

Vestas Wind Systems A/S ADR

    23,300       1,675,270  

Watsco, Inc.

    1,300       310,037  

Westinghouse Air Brake Technologies Corp.

    7,591       563,328  

WW Grainger, Inc.

    1,870       681,409  

Xylem, Inc.

    7,300       705,107  
     
      72,802,539  
     
Information Technology – 33.2%            

Adobe, Inc. (a)

    19,261       8,836,369  

Advanced Micro Devices, Inc. (a)

    49,550       4,243,462  

Apple, Inc.

    615,196       81,181,264  

Applied Materials, Inc.

    38,002       3,674,033  

Atlassian Corp. PLC, Class A (a)

    21,852       5,050,653  

Autodesk, Inc. (a)

    16,878       4,682,464  

Automatic Data Processing, Inc.

    16,368       2,702,684  

Blackline, Inc. (a)

    41,710       5,406,450  

Broadcom, Inc.

    16,013       7,213,856  

Cadence Design Systems, Inc. (a)

    10,884       1,419,165  

Cisco Systems, Inc.

    160,991       7,176,979  

Cree, Inc. (a)

    37,462       3,786,659  

DocuSign, Inc. (a)

    7,000       1,630,230  

Enphase Energy, Inc. (a)

    55,714       10,159,448  

First Solar, Inc. (a)

    84,240       8,352,396  

Intel Corp.

    169,579       9,413,330  

International Business Machines Corp.

    36,866       4,391,109  

Intuit, Inc.

    10,022       3,620,247  

KLA Corp.

    6,410       1,795,249  

Lam Research Corp.

    6,100       2,952,095  

Mastercard, Inc., Class A

    35,652       11,276,371  

Microsoft Corp.

    300,661       69,741,326  

NetApp, Inc.

    9,008       598,491  

NVIDIA Corp.

    24,577       12,769,963  

Paychex, Inc.

    13,231       1,155,331  

Paycom Software, Inc. (a)

    1,900       721,506  

PayPal Holdings, Inc. (a)

    45,500       10,661,105  

salesforce.com, Inc. (a)

    35,434       7,992,493  

Square, Inc., Class A (a)

    35,836       7,739,143  

STMicroelectronics NV, Class Y

    122,934       4,911,213  

Synopsys, Inc. (a)

    6,043       1,543,684  

Texas Instruments, Inc.

    37,652       6,238,560  

Universal Display Corp.

    22,822       5,267,774  

19


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Information Technology (Continued)            

VMware, Inc., Class A (a)

    3,275    
$
       451,459  

WEX, Inc. (a)

    1,916       361,358  

Zoom Video Communications, Inc., Class A (a)

    9,129       3,396,627  
     
      322,514,546  
     
Materials – 1.9%            

Air Products and Chemicals, Inc.

    9,159       2,443,255  

AptarGroup, Inc.

    2,500       332,425  

Avery Dennison Corp.

    3,500       528,045  

Ecolab, Inc.

    10,548       2,157,171  

International Paper Co.

    15,800       794,898  

Linde PLC

    21,230       5,209,842  

Novozymes A/S ADR

    8,100       488,268  

Nucor Corp.

    12,092       589,243  

PPG Industries, Inc.

    9,842       1,325,816  

Sherwin-Williams Co. (The)

    3,364       2,327,215  

Sonoco Products Co.

    3,900       225,849  

Steel Dynamics, Inc.

    7,800       267,306  

Vulcan Materials Co.

    5,444       811,918  

Westrock Co.

    10,985       455,109  
     
      17,956,360  
     
Real Estate – 2.6%            

Alexandria Real Estate Equities, Inc.

    5,486       916,766  

American Tower Corp.

    17,909       4,071,790  

Boston Properties, Inc.

    6,046       551,818  

CBRE Group, Inc., Class A (a)

    13,822       842,866  

Crown Castle International Corp.

    17,822       2,838,332  

Digital Realty Trust, Inc.

    11,192       1,611,088  

Duke Realty Corp.

    15,500       613,180  

Equinix, Inc.

    3,631       2,686,795  

Equity LifeStyle Properties, Inc.

    6,900       419,796  

Essex Property Trust, Inc.

    2,700       646,947  

Extra Space Storage, Inc.

    5,300       603,087  

Federal Realty Investment Trust

    3,000       262,680  

Host Hotels & Resorts, Inc.

    28,222       382,408  

Kilroy Realty Corp.

    4,600       260,498  

Mid-America Apartment Communities, Inc.

    4,600       610,650  

Prologis, Inc.

    29,995       3,095,484  

Public Storage

    5,977       1,360,485  

Realty Income Corp.

    14,821       875,328  

Regency Centers Corp.

    7,085       334,270  

SBA Communications Corp.

    4,507       1,210,896  

UDR, Inc.

    12,169       467,898  

Ventas, Inc.

    15,263       703,166  
     
      25,366,228  
     
Utilities – 0.6%            

Alliant Energy Corp.

    10,200       496,230  

Avangrid, Inc.

    2,547       117,850  

20


DOMINI IMPACT EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Utilities (Continued)            

Consolidated Edison, Inc.

    14,461    
$
    1,023,550  

Eversource Energy

    14,158       1,238,825  

National Grid PLC ADR

    28,619       1,662,191  

Red Electrica Corp. SA ADR

    37,300       353,604  

SSE PLC ADR

    42,500       866,575  

Terna Rete Elettrica Nazionale SpA ADR

    18,600       406,038  
     
      6,164,863  
     
Total Investments – 99.8% (Cost $567,747,497)     970,314,729  
Other Assets, less liabilities – 0.2%     2,112,149  
     
Net Assets – 100.0%     $972,426,878  
     

(a) Non-income producing security.

Abbreviations

ADR — American Depositary Receipt

SEE NOTES TO FINANCIAL STATEMENTS

21


DOMINI INTERNATIONAL OPPORTUNITIES
FUND

Fund Performance and Holdings

The table and bar charts below provide information as of January 31, 2021, about the ten largest holdings of the Domini International Opportunities Fund and its portfolio holdings by industry sector and
country:

TEN LARGEST HOLDINGS (Unaudited)

       
SECURITY DESCRIPTION   % NET

ASSETS
     SECURITY DESCRIPTION   % NET

ASSETS
 
   
ASML Holding NV     3.2%      SiemensAG     1.8%  
   
Toyota Motor Corp     2.3%      Sony Corp     1.7%  
   
Unilever PLC     2.1%      Novo NordiskA/S Class B     1.6%  
   
AIA Group Ltd     2.1%      Softbank Group Corp     1.5%  
   
Linde PLC     1.8%      Sanofi     1.4%  

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

LOGO

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.

22


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

LOGO

The holdings mentioned above are described in the Fund’s Portfolio of Investments as of 01/31/2021 included herein. The
composition of the Fund’s portfolio is subject to change.

Other countries include Norway 0.7%, China 0.6%, Singapore 0.5%, Belgium 0.4%, Canada 0.4%, New Zealand 0.3%, South Africa 0.2%, Austria 0.1%, Hungary 0.1% and
Poland 0.1%.

23


 
AVERAGE ANNUAL TOTAL RETURNS (Unaudited)
     
      Investor

shares
   Institutional

shares
  

MSCI EAFE

(net)

       
As of 1/31/21   1 Year    N/A    N/A    N/A
       
  5 Year    N/A    N/A    N/A
       
  10 Year    N/A    N/A    N/A
       
    Since Inception1    2.30%    2.30%    2.23%

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 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 date November 30, 2020, the Fund’s (gross/net) annual operating expenses totaled 1.78%/1.40% and 1.53%/1.15% for the Investor
and Institutional Class shares, respectively. The Fund’s Adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor and Institutional share expenses to 1.40% and 1.15%,
respectively. These expense limitations are in effect through November 30, 2021. There can be no assurance that the Adviser will extend the expense limitations beyond such time. While in effect, the arrangement may be terminated for a class
only by agreement of the Adviser and the Fund’s Board of Trustees.

The table does not reflect the deduction of fees and taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.

An investment in the Domini International Opportunities 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.

1Inception Date 11/30/2020. “Since Inception” for the Morgan Stanley Capital International Europe Australasia Far East (MSCI
EAFE) index (net) refers to performance since 11/30/2020.

24


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 
Common Stocks – 99.2%                

Australia – 3.6%

     

APA Group 

   Utilities     4,023     $ 30,030  

ASX, Ltd. 

   Diversified Financials     636       34,889  

Brambles, Ltd. 

   Commercial & Professional Services     4,919       39,734  

Cochlear, Ltd. 

   Health Care Equipment & Services     571       86,192  

CSL, Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     1,530       318,447  

Dexus 

   Real Estate     3,614       24,846  

Fortescue Metals Group, Ltd. 

   Materials     5,928       98,028  

GPT Group (The) 

   Real Estate     6,336       20,904  

Insurance Australia Group, Ltd. 

   Insurance     8,188       30,300  

Magellan Financial Group, Ltd. 

   Diversified Financials     492       17,946  

Mirvac Group 

   Real Estate     13,038       23,620  

Stockland 

   Real Estate     7,961       26,972  

Transurban Group 

   Transportation     9,205       93,115  
       
        845,023  
       
     

Austria – 0.1%

     

Erste Group Bank AG (a) 

   Banks     1,150       35,159  
       
        35,159  
       
     

Belgium – 0.4%

     

KBC Group NV (a) 

   Banks     961       67,090  

Umicore SA 

   Materials     644       36,516  
       
        103,606  
       
     

Canada – 0.4%

     

SunOpta, Inc. (a) 

   Food, Beverage & Tobacco     6,637       94,113  
       
        94,113  
       
     

China – 0.6%

     

BYD Co., Ltd., Class H 

   Automobiles & Components     4,479       135,271  
       
        135,271  
       
     

Denmark – 4.1%

     

Ambu A/S, Class B 

   Health Care Equipment & Services     737       34,744  

Chr Hansen Holding A/S (a) 

   Materials     340       30,793  

DSV A/S 

   Transportation     757       118,239  

Genmab A/S (a) 

  Pharmaceuticals, Biotechnology &  Life Sciences     220       87,686  

GN Store Nord A/S 

   Health Care Equipment & Services     426       32,489  

Novo Nordisk A/S, Class B 

  Pharmaceuticals, Biotechnology &  Life Sciences     5,546       386,796  

Novozymes A/S, Class B 

   Materials     665       39,955  

Orsted A/S 

   Utilities     613       116,551  

25


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Denmark (Continued)

     

Vestas Wind Systems A/S 

   Capital Goods     605     $ 130,044  
       
        977,297  
       
     

Finland – 1.4%

     

Elisa Oyj 

   Telecommunication Services     484       28,848  

Kesko OYJ, Class B 

   Food & Staples Retailing     1,275       33,144  

Kone OYJ, Class B 

   Capital Goods     1,229       96,763  

Nordea Bank Abp (a) 

   Banks     13,339       108,443  

Sampo OYJ, Class A 

   Insurance     1,554       65,405  
       
        332,603  
       
     

France – 9.8%

     

Air Liquide SA 

   Materials     1,592       260,656  

BioMerieux 

   Health Care Equipment & Services     546       84,497  

BNP Paribas SA (a) 

   Banks     3,767       180,850  

Capgemini SE 

   Software & Services     530       76,676  

Carrefour SA 

   Food & Staples Retailing     2,090       35,480  

Cie Generale des Etablissements Michelin SCA 

   Automobiles & Components     539       74,361  

Credit Agricole SA (a) 

   Banks     4,205       47,646  

Edenred 

   Software & Services     817       44,301  

Eiffage SA (a) 

   Capital Goods     261       23,717  

Gecina SA 

   Real Estate     173       24,606  

Hermes International 

   Consumer Durables & Apparel     113       115,426  

Kering SA 

   Consumer Durables & Apparel     253       166,237  

Legrand SA 

   Capital Goods     868       79,847  

L’Oreal SA 

   Household & Personal Products     703       247,591  

Orange SA 

   Telecommunication Services     6,670       78,369  

Sanofi 

  Pharmaceuticals, Biotechnology &  Life Sciences     3,631       341,869  

Sartorius Stedim Biotech 

  Pharmaceuticals, Biotechnology &  Life Sciences     81       33,950  

Schneider Electric SE 

   Capital Goods     1,795       263,010  

Unibail – Rodamco-Westfield 

   Real Estate     436       36,857  

Valeo SA 

   Automobiles & Components     681       25,380  

Worldline SA (a)(b) 

   Software & Services     773       65,414  
       
        2,306,740  
       
     

Germany – 8.1%

     

adidas AG (a) 

   Consumer Durables & Apparel     585       185,697  

Beiersdorf AG 

   Household & Personal Products     321       35,078  

Continental AG 

   Automobiles & Components     354       49,599  

Deutsche Boerse AG 

   Diversified Financials     621       99,814  

Deutsche Post AG 

   Transportation     3,376       166,943  

Encavis AG 

   Utilities     4,231       115,293  

Henkel AG & Co. KGaA 

   Household & Personal Products     998       93,422  

KION Group AG 

   Capital Goods     217       18,757  

Knorr-Bremse AG 

   Capital Goods     220       29,181  

LEG Immobilien AG 

   Real Estate     238       34,156  

26


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Germany (Continued)

     

Merck KGaA 

  Pharmaceuticals, Biotechnology &  Life Sciences     437    
$
72,915  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 

   Insurance     472       125,294  

Nordex SE (a) 

   Capital Goods     3,364       95,341  

Puma SE (a) 

   Consumer Durables & Apparel     302       29,585  

Sartorius AG, Pfd Shs 

   Health Care Equipment & Services     121       60,215  

Siemens AG 

   Capital Goods     2,683       416,167  

Siemens Healthineers AG (b) 

   Health Care Equipment & Services     750       42,108  

Symrise AG 

   Materials     410       51,079  

Vonovia SE 

   Real Estate     1,909       127,606  

Zalando SE (a)(b) 

   Retailing     563       64,626  
       
        1,912,876  
       
     

Hong Kong – 3.5%

     

AIA Group, Ltd. 

   Insurance     40,648       490,044  

Hong Kong Exchanges & Clearing, Ltd. 

   Diversified Financials     4,180       267,216  

Techtronic Industries Co., Ltd. 

   Capital Goods     4,508       67,337  
       
        824,597  
       
     

Hungary – 0.1%

     

OTP Bank Nyrt (a) 

   Banks     744       33,972  
       
        33,972  
       
     

Ireland – 1.1%

     

CRH PLC 

   Materials     2,586       106,970  

Kerry Group PLC, Class A 

   Food, Beverage & Tobacco     508       69,016  

Kingspan Group plc (a) 

   Capital Goods     505       34,357  

Smurfit Kappa Group PLC 

   Materials     847       40,832  
       
        251,175  
       
     

Italy – 1.0%

     

Assicurazioni Generali SpA 

   Insurance     3,824       65,336  

DiaSorin S.p.A. 

   Health Care Equipment & Services     104       22,768  

Intesa Sanpaolo SpA (a) 

   Banks     57,655       125,834  

Terna Rete Elettrica Nazionale SpA 

   Utilities     4,671       33,913  
       
        247,851  
       
     

Japan – 26.1%

     

Aeon Co., Ltd. 

   Food & Staples Retailing     2,467       77,325  

Asahi Intecc Co. Ltd. 

   Health Care Equipment & Services     738       24,242  

Asahi Kasei Corp. 

   Materials     4,400       48,951  

27


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Japan (Continued)

     

Canon, Inc. 

   Technology Hardware & Equipment     3,370    
$
74,585  

Central Japan Railway Co. 

   Transportation     562       80,512  

Daifuku Co., Ltd. 

   Capital Goods     372       42,476  

Daiichi Sankyo Co., Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     6,488       208,955  

Daiwa House Industry Co., Ltd. 

   Real Estate     1,976       56,048  

Denso Corp. 

   Automobiles & Components     1,454       80,859  

Eisai Co., Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     893       65,205  

FANUC Corp. 

   Capital Goods     627       163,769  

Fast Retailing Co., Ltd. 

   Retailing     179       153,928  

FUJIFILM Holdings Corp. 

   Technology Hardware & Equipment     1,232       70,605  

Hankyu Hanshin Holdings, Inc. 

   Transportation     765       24,763  

Hoya Corp. 

    Health Care Equipment & Services     1,214       155,410  

Japan Real Estate Investment Corp. 

   Real Estate     4       24,387  

Kao Corp. 

   Household & Personal Products     1,551       112,589  

Keio Corp. 

   Transportation     361       26,432  

Keyence Corp. 

   Technology Hardware & Equipment     628       337,322  

Koito Manufacturing Co., Ltd. 

   Automobiles & Components     392       25,304  

Kurita Water Industries, Ltd. 

   Capital Goods     2,500       101,524  

Kyocera Corp. 

   Technology Hardware & Equipment     1,077       69,060  

Lasertec Corp. 

  Semiconductors & Semiconductor  Equipment     254       34,039  

LIXIL Corp. 

   Capital Goods     900       20,998  

Makita Corp. 

   Capital Goods     800       38,194  

Mitsubishi Estate Co., Ltd. 

   Real Estate     4,100       64,893  

Mitsui Fudosan Co., Ltd. 

   Real Estate     3,100       62,953  

MS&AD Insurance Group Holdings, Inc. 

   Insurance     1,560       44,905  

Murata Manufacturing Co., Ltd. 

   Technology Hardware & Equipment     2,150       206,602  

Nidec Corp. 

   Capital Goods     1,652       219,950  

Nippon Paint Holdings Co., Ltd. 

   Materials     577       51,911  

Nippon Prologis REIT, Inc. 

   Real Estate     7       22,830  

Nippon Telegraph & Telephone Corp. 

   Telecommunication Services     7,900       197,545  

Nissin Foods Holdings Co., Ltd. 

   Food, Beverage & Tobacco     229       19,803  

Nitto Denko Corp. 

   Materials     482       43,711  

Nomura Holdings, Inc. 

   Diversified Financials     10,100       53,465  

NTT Data Corp. 

   Software & Services     2,081       29,900  

Obic Co., Ltd. 

   Software & Services     210       39,311  

Odakyu Electric Railway Co., Ltd. 

   Transportation     2,200       63,979  

Oisix ra daichi, Inc. (a) 

   Retailing     2,500       74,327  

28


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Japan (Continued)

     

Omron Corp. 

   Technology Hardware & Equipment     629     $ 55,754  

Ono Pharmaceutical Co., Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     1,314       39,240  

Oriental Land Co., Ltd. 

   Consumer Services     646       101,155  

ORIX Corp. 

   Diversified Financials     4,105       65,900  

Panasonic Corp. 

   Consumer Durables & Apparel     7,176       93,205  

Rakuten, Inc. (a) 

   Retailing     2,900       28,557  

Recruit Holdings Co., Ltd. 

   Commercial & Professional Services     4,221       183,690  

Rohm Co., Ltd. 

  Semiconductors & Semiconductor  Equipment     281       28,525  

Santen Pharmaceutical Co., Ltd. 

   Pharmaceuticals, Biotechnology &  Life Sciences     1,243       20,568  

Sekisui House, Ltd. 

   Consumer Durables & Apparel     1,960       37,886  

Shimano, Inc. 

   Consumer Durables & Apparel     252       59,115  

Shionogi & Co., Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     1,006       54,642  

Shiseido Co., Ltd. 

   Household & Personal Products     1,303       84,631  

SMC Corp. 

   Capital Goods     206       124,723  

SoftBank Group Corp. 

   Telecommunication Services     4,428       343,214  

Sony Corp. 

   Consumer Durables & Apparel     4,154       397,780  

Sumitomo Realty & Development Co., Ltd. 

   Real Estate     1,093       33,009  

Sysmex Corp. 

   Health Care Equipment & Services     489       57,075  

TDK Corp. 

   Technology Hardware & Equipment     415       67,134  

Terumo Corp. 

   Health Care Equipment & Services     2,334       90,756  

Tobu Railway Co. Ltd. 

   Transportation     646       18,238  

Tokio Marine Holdings, Inc. 

   Insurance     2,100       103,203  

Tokyu Corp. 

   Transportation     1,966       23,128  

Toray Industries, Inc. 

   Materials     4,938       32,234  

TOTO, Ltd. 

   Capital Goods     500       27,706  

Toyota Motor Corp. 

   Automobiles & Components     7,613       534,199  

Unicharm Corp. 

   Household & Personal Products     1,426       63,986  

Yahoo Japan Corp. 

   Media & Entertainment     8,876       55,167  

Yaskawa Electric Corp. 

   Capital Goods     823       42,231  
       
        6,180,218  
       
     

Netherlands – 8.0%

     

ABN AMRO Group NV (a) 

   Banks     3,116       32,580  

Adyen N.V. (a)(b) 

   Software & Services     86       179,856  

Akzo Nobel NV 

   Materials     581       59,211  

Arcadis N.V. (a) 

   Capital Goods     3,489       122,462  

ASML Holding NV 

  Semiconductors & Semiconductor  Equipment     1,394       745,020  

Basic-Fit N.V. (a)(b) 

   Consumer Services     1,854       63,631  

Euronext N.V. 

   Diversified Financials     202       21,779  

ING Groep NV (a) 

   Banks     12,993       115,654  

Koninklijke Ahold Delhaize NV 

   Food & Staples Retailing     3,672       105,520  

29


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Netherlands (Continued)

     

Koninklijke DSM NV 

   Materials     576    
$
100,805  

Koninklijke KPN NV 

   Telecommunication Services     11,323       35,412  

Koninklijke Philips NV (a) 

   Health Care Equipment & Services     3,023       164,965  

NXP Semiconductors NV 

  Semiconductors & Semiconductor  Equipment     915       146,830  
       
        1,893,725  
       
     

New Zealand – 0.3%

     

Spark New Zealand, Ltd. 

   Telecommunication Services     6,173       21,256  

Xero (a) 

   Software & Services     406       40,209  
       
        61,465  
       
     

Norway – 0.7%

     

DNB ASA (a) 

   Banks     2,983       58,160  

NEL ASA (a) 

   Capital Goods     24,559       86,868  

Orkla ASA 

   Food, Beverage & Tobacco     2,486       24,201  
       
        169,229  
       
     

Poland – 0.1%

     

CD Projekt SA (a) 

   Media & Entertainment     209       17,070  
       
        17,070  
       
     

Singapore – 0.5%

     

DBS Group Holdings, Ltd. 

   Banks     5,950       112,310  
       
        112,310  
       
     

South Africa – 0.2%

     

FirstRand, Ltd. 

   Diversified Financials     12,369       39,035  
       
        39,035  
       
     

Spain – 2.3%

     

Aena SME SA (a) 

   Transportation     223       34,429  

Amadeus IT Group SA (a) 

   Software & Services     1,485       94,913  

Banco Bilbao Vizcaya Argentaria SA 

   Banks     21,782       99,496  

CaixaBank SA 

   Banks     11,510       29,078  

Grifols SA 

  Pharmaceuticals, Biotechnology &  Life Sciences     1,789       52,722  

Industria de Diseno Textil SA 

   Retailing     3,723       110,540  

Red Electrica Corp. SA 

   Utilities     1,382       26,270  

Siemens Gamesa Renewable Energy SA 

   Capital Goods     739       30,350  

Telefonica SA 

   Telecommunication Services     16,238       70,143  
       
        547,941  
       
     

Sweden – 3.4%

     

Assa Abloy AB, Class B 

   Capital Goods     3,194       79,238  

30


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Sweden (Continued)

     

Autoliv, Inc. 

   Automobiles & Components     287    
$
25,460  

Essity AB, Class B 

   Household & Personal Products     2,176       69,718  

Hennes & Mauritz AB, Class B (a) 

   Retailing     2,443       52,391  

Kinnevik AB, Class B (a) 

   Diversified Financials     870       42,814  

MIPS AB 

   Consumer Durables & Apparel     2,240       132,869  

Nibe Industrier AB, Class B 

   Capital Goods     1,397       46,775  

Samhallsbyggnadsbolaget i Norden AB 

   Real Estate     9,920       32,588  

SKF AB, Class B 

   Capital Goods     1,437       39,452  

Svenska Cellulosa AB SCA, Class B (a) 

   Materials     2,046       36,151  

Svenska Handelsbanken AB, Class A (a) 

   Banks     5,048       50,479  

Sweco AB, Class B 

   Capital Goods     5,168       86,371  

Veoneer, Inc. (a) 

  Automobiles & Components     3,951       103,872  
       
        798,178  
       
     

Switzerland – 4.1%

     

Chocoladefabriken Lindt & Spruengli AG 

   Food, Beverage & Tobacco     7       60,727  

EMS-Chemie Holding AG 

   Materials     22       20,777  

Geberit AG 

   Capital Goods     121       74,156  

Kuehne + Nagel International AG 

   Transportation     188       42,836  

Lonza Group AG (a) 

  Pharmaceuticals, Biotechnology &  Life Sciences     248       158,602  

Sika AG 

   Materials     452       123,154  

STMicroelectronics NV 

  Semiconductors & Semiconductor  Equipment     3,157       126,700  

Swiss Re AG 

   Insurance     922       81,390  

Swisscom AG 

   Telecommunication Services     86       46,868  

Temenos AG 

   Software & Services     215       27,184  

Zurich Insurance Group AG 

   Insurance     507       202,984  
       
        965,378  
       
     

United Kingdom – 12.0%

     

3i Group PLC 

   Diversified Financials     3,235       49,131  

Admiral Group PLC 

   Insurance     885       34,956  

Barratt Developments PLC (a) 

   Consumer Durables & Apparel     3,369       29,406  

Berkeley Group Holdings PLC 

  Consumer Durables & Apparel     411       23,557  

Bunzl PLC 

  Capital Goods     1,111       35,742  

Burberry Group PLC (a) 

  Consumer Durables & Apparel     1,368       32,133  

Compass Group PLC (a) 

  Consumer Services     5,977       107,003  

GlaxoSmithKline PLC 

  Pharmaceuticals, Biotechnology &  Life Sciences     16,773       312,190  

Halma PLC 

   Technology Hardware & Equipment     1,268       42,835  

31


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

United Kingdom (Continued)

 

Informa PLC (a) 

   Media & Entertainment     5,043    
$
34,391  

Intertek Group PLC 

  Commercial & Professional Services     535       40,382  

J Sainsbury PLC 

   Food & Staples Retailing     7,673       25,683  

Johnson Matthey PLC 

   Materials     643       25,925  

Land Securities Group PLC 

   Real Estate     2,503       21,004  

Legal & General Group PLC 

   Insurance     20,256       67,519  

Linde PLC 

   Materials     1,724       423,069  

London Stock Exchange Group PLC 

   Diversified Financials     1,189       141,466  

Mondi PLC 

   Materials     1,613       38,070  

National Grid PLC 

   Utilities     11,932       138,907  

Next PLC (a) 

   Retailing     412       43,593  

Ocado Group PLC (a) 

   Retailing     1,714       65,210  

Pennon Group PLC 

   Utilities     1,413       18,083  

Prudential PLC 

   Insurance     8,588       137,709  

RELX PLC 

  Commercial & Professional Services     6,519       161,760  

Schroders PLC 

   Diversified Financials     499       23,322  

Segro PLC 

   Real Estate     4,028       52,539  

Spirax-Sarco Engineering PLC 

   Capital Goods     243       36,821  

SSE PLC

   Utilities     3,446       69,961  

Standard Chartered PLC (a) 

   Banks     10,445       63,340  

Standard Life Aberdeen PLC 

   Diversified Financials     7,260       29,953  

Taylor Wimpey PLC (a) 

  Consumer Durables & Apparel     12,384       24,771  

Unilever PLC 

   Household & Personal Products     8,549       499,132  
       
        2,849,563  
       
     

United States – 7.3%

     

Atlassian Corp. PLC, Class A (a) 

  Software & Services     500       115,565  

Autodesk, Inc. (a) 

  Software & Services     401       111,249  

Campbell Soup Co. 

   Food, Beverage & Tobacco     660       31,753  

Church & Dwight Co., Inc. 

   Household & Personal Products     819       69,148  

Clorox Co. (The) 

   Household & Personal Products     415       86,926  

Copart, Inc. (a) 

   Commercial & Professional Services     701       76,935  

Cree, Inc. (a) 

   Semiconductors & Semiconductor  Equipment     871       88,041  

Enphase Energy, Inc. (a) 

   Semiconductors & Semiconductor  Equipment     577       105,216  

Ferguson PLC 

   Capital Goods     759       88,323  

First Solar, Inc. (a) 

   Semiconductors & Semiconductor  Equipment     722       71,586  

General Mills, Inc. 

   Food, Beverage & Tobacco     2,013       116,955  

IHS Markit, Ltd. 

   Commercial & Professional Services     1,210       105,367  

Kroger Co. (The) 

   Food & Staples Retailing     2,529       87,250  

McCormick & Co., Inc. 

   Food, Beverage & Tobacco     870       77,900  

Nucor Corp. 

   Materials     990       48,243  

Pentair PLC 

   Capital Goods     533       29,027  

QIAGEN N.V. (a) 

   Pharmaceuticals, Biotechnology &  Life Sciences     750       40,612  

32


DOMINI INTERNATIONAL OPPORTUNITIES FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

United States (Continued)

     

Square, Inc., Class A (a) 

  Software & Services     533    
$
115,107  

Tesla, Inc. (a) 

  Automobiles & Components     218       172,990  

Zoom Video Communications, Inc., Class A (a) 

  Software & Services     215       79,995  
       
        1,718,188  
       
Total Investments – 99.2% (Cost $22,885,775)         23,452,583  
Other Assets, less liabilities – 0.8%         195,391  
       
Net Assets – 100.0%         $23,647,974  
       

(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 January 31, 2021, the aggregate
value of these securities was $415,635, representing 1.8% of net assets.

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

33


DOMINI SUSTAINABLE SOLUTIONS
FUND

Fund Performance and Holdings

The table and bar charts below provide information as of January 31, 2021, about the ten largest holdings of the Domini Sustainable Solutions Fund and its portfolio holdings by industry sector and
country:

TEN LARGEST HOLDINGS (Unaudited)

       
SECURITY DESCRIPTION   % NET

ASSETS
     SECURITY DESCRIPTION   % NET

ASSETS
 
   
Tesla Inc     5.8%      Cree Inc     3.6%  
   
Enphase Energy Inc     5.3%      Hologic Inc     3.5%  
   
Ameresco Inc Class A     3.8%      Atlassian Corp PLC Class A     3.5%  
   
Square Inc Class A     3.8%      Autodesk Inc     3.4%  
   
DexCom Inc     3.8%      First Solar Inc     3.4%  

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

LOGO

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.

34


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

LOGO

The holdings mentioned above are described in the Domini Sustainable Solutions Fund’s Portfolio of Investments (as of
1/31/2021) included herein. The composition of the Fund’s portfolio is subject to change.

35


 
AVERAGE ANNUAL TOTAL RETURNS (Unaudited)
       
     Investor

shares
  Institutional

shares
 

FTSE Global

All Cap Index

(gross)

  MSCI World

Investable

Market

Index (net)2
         
As of 1/31/21   1 Year   N/A   N/A   N/A   N/A
         
  5 Year   N/A   N/A   N/A   N/A
         
  10 Year   N/A   N/A   N/A   N/A
         
    Since Inception1   107.15%   107.55%   49.62%   47.99%

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 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 (gross/net) annual operating expenses totaled 3.95%/1.40% and 2.89%/1.15% for the
Investor and Institutional Class shares, respectively. The Fund’s Adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor share and Institutional share expenses to
1.40% and 1.15%, respectively. These expense limitations are in effect through November 30, 2021. There can be no assurance that the Adviser will extend the expense limitations beyond such time. While in effect, the arrangement may be
terminated for a class only by agreement of the Adviser and the Fund’s Board of Trustees.

The table does not reflect the deduction of fees and
taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.

An investment in the Domini Sustainable Solutions 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. 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 FTSE Global All Cap Index (gross) is a market-capitalization weighted index representing the performance of
the large, mid and small cap stocks globally. FTSE Global All Cap Index (gross) reflects the reinvestment of dividends without any withholding tax deduction. The MSCI World Investable Market Index (net) (MSCI IMI) is 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. See the prospectus for more information. You cannot invest directly in an index.

1Inception Date 4/1/2020. “Since Inception” for the FTSE Global All Cap Index (gross) and MSCI World Investable Market Index
(net) refers to performance since 4/1/2020.

2Effective
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).

36


DOMINI SUSTAINABLE SOLUTIONS FUND

PORTFOLIO OF INVESTMENTS

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Common Stocks – 99.3%        
Communication Services – 1.9%        

New York Times Co. (The), Class A

    13,538     $ 671,349  
     
      671,349  
     
Consumer Discretionary – 11.8%        

Chegg, Inc. (a)

    10,804       1,029,189  

MIPS AB

    13,176       781,555  

Oisix ra daichi, Inc. (a)

    11,555       343,537  

Tesla, Inc. (a)

    2,645       2,098,887  
     
      4,253,168  
     
Consumer Staples – 3.0%        

Beyond Meat, Inc. (a)

    6,172       1,099,110  
     
      1,099,110  
     
Financials – 4.5%        

Amalgamated Bank, Class A

    23,121       338,954  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

    2,978       790,519  

Resona Holdings, Inc.

    138,976       482,668  
     
      1,612,141  
     
Health Care – 22.0%        

BioMerieux

    5,096       788,643  

Cochlear, Ltd.

    3,777       570,136  

DexCom, Inc. (a)

    3,623       1,358,082  

Emergent BioSolutions, Inc. (a)

    5,671       605,946  

GlaxoSmithKline PLC

    47,075       876,190  

Hologic, Inc. (a)

    15,937       1,270,657  

OraSure Technologies, Inc. (a)

    48,535       739,188  

Seagen, Inc. (a)

    6,882       1,130,506  

Teladoc Health, Inc. (a)

    2,150       567,234  
     
      7,906,582  
     
Industrials – 17.8%        

Ameresco, Inc., Class A (a)

    24,661       1,383,235  

Kurita Water Industries, Ltd.

    22,167       900,193  

NEL ASA (a)

    160,448       567,520  

Sunrun, Inc. (a)

    11,995       830,894  

Sweco AB, Class B

    46,265       773,214  

Vestas Wind Systems A/S

    5,075       1,090,867  

Wolters Kluwer NV

    10,516       874,749  
     
      6,420,672  
     
Information Technology – 35.1%        

Atlassian Corp. PLC, Class A (a)

    5,487       1,268,210  

Autodesk, Inc. (a)

    4,429       1,228,738  

37


DOMINI SUSTAINABLE SOLUTIONS FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

SECURITY  

SHARES

   

VALUE

 
Information Technology (Continued)        

Blackline, Inc. (a)

    9,016    
$
1,168,654  

Cree, Inc. (a)

    12,903       1,304,235  

Enphase Energy, Inc. (a)

    10,460       1,907,381  

First Solar, Inc. (a)

    12,232       1,212,803  

Square, Inc., Class A (a)

    6,384       1,378,689  

STMicroelectronics NV

    30,086       1,207,442  

Universal Display Corp.

    4,443       1,025,533  

Zoom Video Communications, Inc., Class A (a)

    2,443       908,967  
     
      12,610,652  
     
Real Estate – 1.3%        

Samhallsbyggnadsbolaget i Norden AB

    139,161       457,156  
     
      457,156  
     
Utilities – 1.9%            

Innergex Renewable Energy, Inc.

    29,343       673,480  
     
      673,480  
     
Total Investments – 99.3% (Cost $24,056,557)     35,704,310  
Other Assets, less liabilities – 0.7%     245,722  
     
Net Assets – 100.0%     $35,950,032  
     

(a) Non-income producing security.

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.

Portfolio Holdings by Country (% Of Net Assets) (Unaudited)

       
United States     68.2%      Netherlands     2.4%  
   
Sweden     5.6%      Germany     2.2%  
   
Japan     4.8%      France     2.2%  
   
Switzerland     3.4%      Canada     1.9%  
   
Denmark     3.0%      Australia     1.6%  
   
United Kingdom     2.4%      Norway     1.6%  
          
   
             Total     99.3%  

SEE NOTES TO FINANCIAL STATEMENTS

38


DOMINI IMPACT INTERNATIONAL
EQUITY FUND

Fund Performance and Holdings

The table and bar charts below provide information as of January 31, 2021, about the ten largest holdings of the Domini Impact International Equity Fund and its portfolio holdings by industry sector
and country:

TEN LARGEST HOLDINGS (Unaudited)

       
SECURITY DESCRIPTION   % NET

ASSETS
     SECURITY DESCRIPTION   % NET

ASSETS
 
   
Novartis AG     3.4%      Koninklijke Ahold Delhaize NV     1.8%  
   
Schneider Electric SE     2.8%      Hennes & Mauritz AB Class B     1.8%  
   
Sanofi     2.5%      Intesa Sanpaolo SpA     1.7%  
   
Deutsche Post AG     2.1%      Nissan Motor Co Ltd     1.7%  
   
Hong Kong Exchanges & Clearing Ltd     1.9%      Adecco Group AG     1.7%  

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

LOGO

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.

39


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

LOGO

The holdings mentioned above are described in the Fund’s Portfolio of Investments as of 01/31/2021 included herein. The
composition of the Fund’s portfolio is subject to change.

Other countries include Mexico 0.8%, Denmark 0.7%, Jordan 0.6%, Norway 0.6%, South Africa 0.6%, Brazil 0.6%, Singapore 0.5%, South Korea 0.5%, Austria 0.4%,
Hungary 0.4%, India 0.3%, Chile 0.1% and Ireland 0.1%.

40


 
AVERAGE ANNUAL TOTAL RETURNS (Unaudited)
           
     Investor

shares
  Class A shares

(with 4.75%

maximum

Sales Charge)1
  Class A

shares (without

Sales

Charge)
  Institutional

shares
  Class Y

shares
 

MSCI EAFE

(net)

             
As of 1/31/21   1 Year   7.02%   1.95%   7.04%   7.54%   7.49%   8.94%
             
  5 Year   6.56%   5.47%   6.50%   6.97%   6.56%3   8.84%
             
    10 Year   5.29%   4.77%   5.28%   5.29%2   5.29%3   5.15%

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 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 date November 30, 2020, the Fund’s (gross/net) annual operating expenses totaled 1.38%/1.38%, 1.54%/1.40%, 0.95%/0.95%, and
1.06%/1.06% for the Investor, Class A, Institutional, and Class Y shares, respectively. 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%. This expense limitation is in effect through November 30, 2021. There can be no assurance that the Adviser will extend the expense limitations beyond such time. While in effect, the arrangement may be terminated for a class
only by agreement of the Adviser and the Fund’s Board of Trustees.

The table does not reflect the deduction of fees and taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.

An investment in the Domini Impact International Equity 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.

1Performance “With Load” for DOMAX reflects performance with application of highest maximum front-end sales charge (4.75%).

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

3Class 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.

41


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 
Common Stocks – 98.6%                

Australia – 4.0%

     

BlueScope Steel, Ltd. .

  Materials     1,050,332     $ 13,238,613  

Dexus 

  Real Estate     171,423       1,178,545  

Fortescue Metals Group, Ltd. 

  Materials     1,174,791       19,426,794  

Harvey Norman Holdings, Ltd. 

  Retailing     1,714,494       6,971,094  

JB Hi-Fi, Ltd. 

  Retailing     121,329       4,787,219  

Magellan Financial Group, Ltd. 

   Diversified Financials     131,870       4,810,010  

Mirvac Group 

  Real Estate     6,693       12,125  
       
           50,424,400  
       
     

Austria – 0.4%

     

Verbund AG 

  Utilities     34,012       3,068,999  

voestalpine AG 

  Materials     65,523       2,394,080  
       
        5,463,079  
       
     

Belgium – 2.1%

     

Ageas SA 

  Insurance     252,142       12,923,271  

Etablissements Franz Colruyt NV 

   Food & Staples Retailing     25,481       1,573,583  

UCB SA 

  Pharmaceuticals, Biotechnology &  Life Sciences     112,599       11,672,856  
       
        26,169,710  
       
     

Brazil – 0.6%

     

Cyrela Brazil Realty SA Empreendimentos e Participacoes 

   Consumer Durables & Apparel     247,100       1,159,975  

Itausa SA, Pfd Shs 

   Banks     3,087,300       5,999,588  

Raia Drogasil SA 

   Food & Staples Retailing     2,380       10,863  
       
        7,170,426  
       
     

Chile – 0.1%

     

Antofagasta PLC 

   Materials     88,909       1,737,796  
       
        1,737,796  
       
     

China – 2.0%

     

Airtac International Group 

   Capital Goods     76,000       2,704,015  

China Life Insurance Co., Ltd., Class H 

   Insurance     2,644,000       5,614,803  

Li Ning Co., Ltd. 

   Consumer Durables & Apparel     920,142       5,731,861  

Tingyi Cayman Islands Holding Corp. 

   Food, Beverage & Tobacco     2,332,000       4,633,423  

Yangzijiang Shipbuilding Holdings, Ltd. 

   Capital Goods     1,937,100       1,431,965  

42


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

China (Continued)

     

Zhongsheng Group Holdings, Ltd. 

  Retailing     812,000     $ 4,755,022  
       
        24,871,089  
       
     

Denmark – 0.7%

     

Novo Nordisk A/S, Class B 

  Pharmaceuticals, Biotechnology &  Life Sciences     179       12,484  

Pandora A/S 

   Consumer Durables & Apparel     87,332       8,412,699  

Vestas Wind Systems A/S 

   Capital Goods     58       12,467  
       
        8,437,650  
       
     

Finland – 2.4%

     

Kesko OYJ, Class B 

   Food & Staples Retailing     128,084       3,329,608  

Nordea Bank Abp (a) 

   Banks     2,359,355       19,180,989  

Orion Oyj, Class B 

  Pharmaceuticals, Biotechnology &  Life Sciences     140,123       6,436,208  

Valmet Oyj 

   Capital Goods     53,782       1,723,629  
       
        30,670,434  
       
     

France – 8.1%

     

Adevinta ASA (a) 

   Media & Entertainment     182,493       2,711,710  

BNP Paribas SA (a) 

   Banks     246,203       11,819,967  

Capgemini SE 

   Software & Services     26,832       3,881,831  

Carrefour SA 

   Food & Staples Retailing     461,247       7,830,280  

CNP Assurances (a) 

   Insurance     89,361       1,355,867  

Credit Agricole SA (a) 

   Banks     419,060       4,748,244  

Kering SA 

   Consumer Durables & Apparel     18       11,827  

Rexel SA (a) 

   Capital Goods     244,982       3,732,000  

Sanofi 

  Pharmaceuticals, Biotechnology &  Life Sciences     343,614       32,352,259  

Schneider Electric SE 

   Capital Goods     239,813       35,138,244  
       
        103,582,229  
       
     

Germany – 9.5%

     

adidas AG (a) 

   Consumer Durables & Apparel     33       10,475  

Allianz SE 

   Insurance     13,705       3,100,901  

Brenntag AG 

   Capital Goods     31,906       2,502,075  

Covestro AG 

  Materials     63,981       4,351,180  

Deutsche Post AG 

   Transportation     543,333       26,867,828  

Deutsche Telekom AG 

   Telecommunication Services     1,146,372       20,408,111  

Evonik Industries AG 

  Materials     132,314       4,355,860  

GEA Group AG 

   Capital Goods     188,541       6,521,698  

Henkel AG & Co. KGaA, Pfd Shs 

  Household & Personal Products     36,858       3,821,691  

LEG Immobilien AG 

   Real Estate     48,932       7,022,281  

ProSiebenSat.1 Media SE (a) 

   Media & Entertainment     230,621       4,172,091  

43


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Germany (Continued)

     

Siemens AG 

   Capital Goods     125,258     $ 19,429,089  

TeamViewer AG (a) 

   Software & Services     60,162       3,114,710  

Telefonica Deutschland Holding AG 

   Telecommunication Services     786,922       2,158,913  

United Internet AG 

   Telecommunication Services     111,357       4,837,766  

Wacker Chemie AG

   Materials     56,110       8,129,711  
       
        120,804,380  
       
     

Hong Kong – 4.2%

     

AIA Group, Ltd. 

   Insurance     254,800       3,071,821  

Hong Kong Exchanges & Clearing, Ltd. 

   Diversified Financials     375,235       23,987,726  

Man Wah Holdings, Ltd. 

   Consumer Durables & Apparel     2,934,000       6,470,599  

Swire Properties, Ltd. 

   Real Estate     388,400       1,125,738  

Techtronic Industries Co., Ltd. 

   Capital Goods     740,000       11,053,545  

Xinyi Glass Holdings, Ltd. 

   Capital Goods     3,338,000       8,073,913  
       
        53,783,342  
       
     

Hungary – 0.4%

     

Richter Gedeon Nyrt 

   Pharmaceuticals, Biotechnology & Life Sciences     163,699       4,617,999  
       
        4,617,999  
       
     

India – 0.3%

     

Dr Reddy’s Laboratories, Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     250       15,700  

Kotak Mahindra Bank, Ltd. (a) 

   Banks     151,832       3,551,723  
       
        3,567,423  
       
     

Ireland – 0.1%

     

Cimpress PLC (a) 

   Commercial & Professional Services     14,197       1,297,464  
       
        1,297,464  
       
     

Israel – 1.3%

     

Check Point Software Technologies, Ltd. (a) 

  Software & Services     130,918       16,723,465  
       
        16,723,465  
       
     

Italy – 3.1%

     

A2A S.p.A. 

   Utilities     1,265,373       2,054,189  

Banco BPM SpA (a) 

   Banks     3,264,117       7,151,610  

DiaSorin S.p.A. 

   Health Care Equipment & Services     25,617       5,608,268  

Intesa Sanpaolo SpA (a) 

   Banks     10,050,483       21,935,495  

Terna Rete Elettrica Nazionale SpA 

   Utilities     322,575       2,341,966  
       
        39,091,528  
       

44


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Japan – 23.9%

     

Aisin Seiki Co., Ltd. 

  Automobiles & Components     64,000     $ 1,968,045  

Alps Alpine Co., Ltd. 

  Technology Hardware &  Equipment     409,200       5,471,009  

Benesse Holdings, Inc. 

   Consumer Services     107,900       2,083,797  

Brother Industries, Ltd. 

  Technology Hardware &  Equipment     500       11,155  

Central Japan Railway Co. 

  Transportation     80       11,461  

Cosmos Pharmaceutical Corp. 

   Food & Staples Retailing     51,400       7,840,609  

Dai Nippon Printing Co., Ltd. 

  Commercial & Professional  Services     366,541       6,321,149  

Dai-ichi Life Holdings, Inc. 

  Insurance     1,026,000       15,640,412  

Denso Corp. 

  Automobiles & Components     189,900       10,560,651  

Eisai Co., Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     150       10,953  

Fancl Corp. 

   Household & Personal Products     258,986       9,513,351  

GungHo Online Entertainment, Inc. (a) 

  Media & Entertainment     257,514       6,422,982  

Hachijuni Bank, Ltd. (The) 

  Banks     488,522       1,562,683  

Hino Motors, Ltd. 

   Capital Goods     481,900       4,155,560  

Hoya Corp. 

   Health Care Equipment & Services     104,869       13,424,803  

K’s Holdings Corp. 

  Retailing     245,372       3,319,462  

LIXIL Corp.

   Capital Goods     179,400       4,185,659  

M3, Inc. 

   Health Care Equipment & Services     82,200       6,922,463  

Medipal Holdings Corp. 

   Health Care Equipment & Services     299,857       6,142,427  

Mitsubishi Estate Co., Ltd. 

  Real Estate     920,325       14,566,473  

Mitsubishi Gas Chemical Co., Inc. 

  Materials     284,752       6,518,509  

Mitsui Fudosan Co., Ltd. 

   Real Estate     125,600       2,550,600  

MS&AD Insurance Group Holdings, Inc. 

   Insurance     86,510       2,490,198  

Nintendo Co., Ltd. 

   Media & Entertainment     31,877       18,358,287  

Nippon Electric Glass Co., Ltd. 

  Technology Hardware &  Equipment     350,075       7,694,719  

Nissan Motor Co., Ltd. (a) 

  Automobiles & Components     4,209,299       21,712,282  

Nitori Holdings Co., Ltd. 

   Retailing     32,300       6,413,415  

Nomura Real Estate Holdings, Inc. 

   Real Estate     430       9,609  

Nomura Research Institute, Ltd. 

   Software & Services     39,744       1,339,391  

NTN Corp. (a) 

  Capital Goods     5,300       14,006  

NTT Data Corp. 

   Software & Services     230,700       3,314,694  

Ono Pharmaceutical Co., Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     328,500       9,810,111  

ORIX Corp. 

   Diversified Financials     630       10,114  

Otsuka Holdings Co., Ltd. 

  Pharmaceuticals, Biotechnology & Life Sciences     30,286       1,293,872  

45


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Japan (Continued)

     

Panasonic Corp. 

  Consumer Durables & Apparel     523,000     $ 6,792,950  

Rohm Co., Ltd. 

  Semiconductors & Semiconductor  Equipment     57,900       5,877,506  

Sawai Pharmaceutical Co., Ltd. 

  Pharmaceuticals, Biotechnology &  Life Sciences     26,500       1,211,975  

Seiko Epson Corp. 

  Technology Hardware &  Equipment     369,800       6,302,515  

Seino Holdings Co., Ltd. 

  Transportation     455,920       5,909,152  

SG Holdings Co., Ltd. 

  Transportation     96,200       2,467,041  

Shimamura Co., Ltd. 

  Retailing     59,491       6,610,153  

Sony Corp. 

  Consumer Durables & Apparel     170       16,279  

Sugi Holdings Co., Ltd. 

  Food & Staples Retailing     36,900       2,426,114  

Sumitomo Realty & Development Co., Ltd. 

  Real Estate     91,300       2,757,280  

Sundrug Co., Ltd. 

  Food & Staples Retailing     187,194       7,430,295  

T&D Holdings, Inc. 

  Insurance     108,600       1,266,209  

Taiyo Yuden Co., Ltd. 

  Technology Hardware &  Equipment     96,800       5,681,079  

TDK Corp. 

  Technology Hardware &   Equipment     14,300       2,313,298  

TIS, Inc. 

  Software & Services     250,962       5,583,224  

Toho Gas Co., Ltd. 

  Utilities     98,700       5,804,949  

Toppan Printing Co., Ltd. 

  Commercial & Professional  Services     540       7,684  

Toyo Seikan Group Holdings, Ltd. 

   Materials     137,427       1,473,483  

Trend Micro, Inc. (a) 

  Software & Services     176,100       9,696,284  

Yamada Holding Co., Ltd. 

  Retailing     417,000       2,126,810  

Yamato Holdings Co., Ltd. 

  Transportation     747,100       18,544,965  

Yamazaki Baking Co., Ltd. 

  Food, Beverage & Tobacco     148,800       2,740,880  
       
           304,705,036  
       
     

Jordan – 0.6%

     

Hikma Pharmaceuticals PLC 

  Pharmaceuticals, Biotechnology &  Life Sciences     248,250       8,170,511  
       
        8,170,511  
       
     

Mexico – 0.8%

     

Gruma SAB de C.V., Class B 

  Food, Beverage & Tobacco     437,345       4,865,757  

Grupo Financiero Banorte SAB de C.V. (a) 

  Banks     1,140,200       5,756,393  
       
        10,622,150  
       
     

Netherlands – 3.2%

     

Akzo Nobel NV 

   Materials     38,243       3,897,448  

46


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Netherlands (Continued)

     

ASM International NV 

  Semiconductors & Semiconductor  Equipment     45,029     $ 11,547,831  

ASML Holding NV 

  Semiconductors & Semiconductor  Equipment     3,171       1,694,734  

Koninklijke Ahold Delhaize NV 

   Food & Staples Retailing     816,398       23,460,397  
       
        40,600,410  
       
     

Norway – 0.6%

     

Orkla ASA 

  Food, Beverage & Tobacco     445,759       4,339,461  

Storebrand ASA (a) 

   Insurance     451,033       3,456,816  
       
        7,796,277  
       
     

Singapore – 0.5%

     

Mapletree Logistics Trust 

   Real Estate     4,535,600       6,733,529  
       
        6,733,529  
       
     

South Africa – 0.6%

     

Clicks Group, Ltd. 

   Food & Staples Retailing     312,260       5,155,065  

Mr Price Group, Ltd. 

  Retailing     212,687       2,428,367  
       
        7,583,432  
       
     

South Korea – 0.5%

     

LG Electronics, Inc. 

   Consumer Durables & Apparel     44,989       6,142,053  
       
        6,142,053  
       
     

Spain – 1.6%

     

Acerinox SA 

   Materials     301,748       3,354,167  

Banco Bilbao Vizcaya Argentaria SA 

   Banks     1,837,581       8,393,686  

Banco de Sabadell SA 

   Banks     5,727,762       2,504,365  

Banco Santander SA (a) 

   Banks     1,676,119       4,897,872  

EDP Renovaveis SA 

   Utilities     45,333       1,242,870  
       
        20,392,960  
       
     

Sweden – 4.4%

     

Essity AB, Class B 

   Household & Personal Products     318       10,189  

Getinge AB, Class B 

   Health Care Equipment & Services     73,204       1,894,079  

Hennes & Mauritz AB, Class B (a) 

  Retailing     1,051,569       22,551,369  

Husqvarna AB, Class B 

   Consumer Durables & Apparel     367,739       4,563,945  

Kinnevik AB, Class B (a) 

   Diversified Financials     98,299       4,837,395  

L E Lundbergforetagen AB, Class B (a) 

   Diversified Financials     32,591       1,717,058  

Sandvik AB (a) 

   Capital Goods     840,224       20,990,547  
       
        56,564,582  
       
     

47


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

Switzerland – 10.0%

     

ABB, Ltd. 

   Capital Goods     158,445     $ 4,679,598  

Adecco Group AG 

  Commercial & Professional  Services     346,833       21,693,042  

Georg Fischer AG 

   Capital Goods     346       432,758  

Logitech International SA 

  Technology Hardware &  Equipment     162,578       16,906,935  

Lonza Group AG 

  Pharmaceuticals, Biotechnology & Life Sciences     29,393       18,797,562  

Novartis AG 

  Pharmaceuticals, Biotechnology & Life Sciences     482,780       43,769,873  

Sonova Holding AG (a) 

   Health Care Equipment & Services     4,892       1,181,667  

STMicroelectronics NV 

  Semiconductors & Semiconductor Equipment     490,507       19,676,787  
       
        127,138,222  
       
     

Taiwan – 2.0%

     

ASMedia Technology, Inc. 

  Semiconductors & Semiconductor Equipment     39,000       2,637,744  

Lite-On Technology Corp. 

  Technology Hardware & Equipment     932,447       1,826,234  

Novatek Microelectronics Corp. 

  Semiconductors & Semiconductor Equipment     459,277       6,440,245  

Realtek Semiconductor Corp. 

  Semiconductors & Semiconductor Equipment     83,000       1,335,189  

United Microelectronics Corp. 

  Semiconductors & Semiconductor Equipment     3,533,259       6,330,764  

Wistron Corp. 

  Technology Hardware &  Equipment     1,199,000       1,336,002  

Yageo Corp. 

  Technology Hardware &  Equipment     240,000       4,899,576  
       
        24,805,754  
       
     

United Kingdom – 8.2%

     

3i Group PLC 

   Diversified Financials     288,573       4,382,629  

Avast PLC 

   Software & Services     893,282       5,772,454  

Aviva PLC 

   Insurance     275,447       1,262,722  

Barratt Developments PLC (a) 

   Consumer Durables & Apparel     271,885       2,373,096  

Berkeley Group Holdings PLC 

   Consumer Durables & Apparel     79,296       4,544,973  

Bunzl PLC 

   Capital Goods     114,059       3,669,407  

ConvaTec Group PLC 

   Health Care Equipment & Services     1,575,228       4,330,533  

Direct Line Insurance Group PLC 

   Insurance     533,894       2,196,172  

Inchcape PLC (a) 

   Retailing     320,528       2,911,531  

J Sainsbury PLC 

   Food & Staples Retailing     1,795,735       6,010,580  

48


DOMINI IMPACT INTERNATIONAL EQUITY FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

COUNTRY/SECURITY  

INDUSTRY

 

SHARES

   

VALUE

 

United Kingdom (Continued)

     

Legal & General Group PLC 

  Insurance     700,472     $ 2,334,859  

Liberty Global PLC, Class A (a) 

  Telecommunication Services     357,391       8,627,419  

M&G PLC 

  Diversified Financials     787,267       1,892,895  

Persimmon PLC 

  Consumer Durables & Apparel     361,967       12,627,546  

Phoenix Group Holdings PLC 

  Insurance     656,933       6,067,602  

Standard Life Aberdeen PLC 

  Diversified Financials     2,225,736       9,182,994  

Taylor Wimpey PLC (a) 

   Consumer Durables & Apparel     2,419,667       4,839,962  

Unilever PLC 

   Household & Personal Products     237       13,837  

Vodafone Group PLC 

  Telecommunication Services     10,697,115       18,308,644  

Wm Morrison Supermarkets PLC 

  Food & Staples Retailing     1,096,562       2,695,189  
       
        104,045,044  
       
     

United States – 2.4%

     

Ferguson PLC 

  Capital Goods     160,157       18,637,027  

Jazz Pharmaceuticals PLC (a) 

      

Pharmaceuticals, Biotechnology & Life Sciences
    45,301       7,044,305  

QIAGEN N.V. (a) 

  Pharmaceuticals, Biotechnology & Life Sciences     98,148       5,314,714  
       
        30,996,046  
       
Total Investments – 98.6% (Cost $1,075,428,525)         1,254,708,420  
Other Assets, less liabilities – 1.4%         17,747,120  
       
Net Assets – 100.0%         $1,272,455,540  
       

(a) Non-income
producing security.

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

49


DOMINI IMPACT BOND FUND

Fund Performance and Holdings

The table and
bar charts below provide information as of January 31, 2021, about the percentage of the Domini Impact Bond Fund’s portfolio holdings invested in various types of debt obligations:

PORTFOLIO COMPOSITION (% OF NET ASSETS) (Unaudited)

LOGO

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.

50


 
AVERAGE ANNUAL TOTAL RETURNS (Unaudited)
     
      Investor

shares
   Institutional

shares
   Bloomberg Barclays

U.S. Aggregate

Index (BBUSA)
       
As of 1/31/21   1 Year    7.94%    8.12%    4.72%
       
  5 Year    4.71%    4.99%    4.00%
       
    10 Year    3.42%    3.42%1    3.75%

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 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 (gross/net) annual operating expenses totaled 1.15%/0.87%, 0.74%/0.57%, and 0.79%/0.65%
for the Investor, Institutional, and Class Y shares, respectively. The Fund’s Adviser has contractually agreed to waive certain fees and/or reimburse certain ordinary operating expenses in order to limit Investor, Institutional share, and
Class Y expenses to 0.87%, 0.57%, and 0.65%, respectively. These expense limitations are in effect through November 30, 2021. There can be no assurance that the Adviser will extend the expense limitations beyond such time. While in effect,
the arrangement may be terminated for a class only by agreement of the Adviser and the Fund’s Board of Trustees.

The table does not reflect the
deduction of fees and taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is based on the Fund’s net asset values and assumes all dividends and capital gains were reinvested.

An investment in the Domini Impact Bond Fund is not a bank deposit and is not insured. You may lose money. The Fund is subject to certain risks, including impact
investing, portfolio management, style risk, information, market, recent events, interest rate and credit risks.

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 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.

1Institutional 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.

51


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  
Long Term Investments – 107.1%              
Mortgage Backed Securities – 44.3%              

Agency Collateralized Mortgage Obligations – 5.8%

     

Federal Home Loan Mortgage Corp.

     

Series 3768, Class CB, 3.500%, 12/15/25

     173,517      $ 182,340  

Series 3800, Class CB, 3.500%, 2/15/26

     319,022        335,104  

Series 3806, Class L, 3.500%, 2/15/26

     770,927        817,161  

Series 3877, Class LM, 3.500%, 6/15/26

     634,639        667,574  

Series 4961, Class JB, 2.500%, 12/15/42

     299,432        312,650  

Federal National Mortgage Association

     

Series 2012-17, Class BC, 3.500%, 3/25/27

     368,000        398,726  

Series 2017-72, Class B, 3.000%, 9/25/47

     105,868        113,539  

Series 2017-72, Class CD, 3.000%, 9/25/47

     110,609        118,865  

Series 2018-72, Class BA, 3.500%, 7/25/54

     173,415        182,487  

Series 2019-6, Class GJ, 3.000%, 2/25/49

     139,744        148,589  

Series 2020-1, Class AC, 3.500%, 8/25/58

     438,927        475,746  

Federal National Mortgage Association Connecticut Avenue Securities

     

Series 2016-C07, Class 2M2, 4.480%, (1 Month
USD-LIBOR + 4.35%), 5/25/29 (a)

     130,500        136,480  

Series 2017-C01, Class 1M2, 3.680%, (1 Month
USD-LIBOR + 3.55%), 7/25/29 (a)

     83,712        86,725  

Freddie Mac Multifamily Structured Pass Through Certificates

     

Series K103, Class X1, 0.638%, 11/25/29 (a)

     8,923,261        460,672  

Series K111, Class X1, 1.572%, 5/25/30 (a)

     1,453,570        185,879  

Series K112, Class X1, 1.433%, 5/25/30 (a)

     1,504,493        177,301  

Series K113, Class X1, 1.387%, 6/25/30 (a)

     2,104,953        239,505  

Series K114, Class X1, 1.118%, 6/25/30 (a)

     1,933,848        180,111  

Series K119, Class X1, 0.933%, 9/25/30 (a)

     4,983,115        390,544  

Series K121, Class X1, 1.029%, 10/25/30 (a)

     664,901        57,098  

Series K122, Class X1, 0.883%, 11/25/30 (a)

     364,957        27,418  

Series K740, Class X1, 0.762%, 9/25/27 (a)

     1,299,496        58,744  

Series KG03, Class X1, 1.381%, 6/25/30 (a)

     3,210,000        356,397  

Series KG04, Class X1, 0.854%, 11/25/30 (a)

     2,419,845        174,067  

Series KSG1, Class X1, 1.156%, 9/25/30 (a)

     4,069,303        366,704  

FREMF Mortgage Trust

     

Series 2017-K64, Class B, 3.981%, 5/25/50 (a)(b)

     70,000        78,158  

Series 2017-K65, Class B, 4.073%, 7/25/50 (a)(b)

     155,000        173,626  

Series 2017-K66, Class B, 4.035%, 7/25/27 (a)(b)

     136,000        152,559  

Series 2017-K67, Class B, 3.944%, 9/25/49 (a)(b)

     85,000        94,985  

Series 2017-K67, Class C, 3.944%, 9/25/49 (a)(b)

     100,000        109,857  

Series 2017-K68, Class B, 3.844%, 10/25/49 (a)(b)

     90,000        100,023  

Series 2017-K69, Class C, 3.726%, 10/25/49 (a)(b)

     40,000        43,432  

Series 2017-K71, Class B, 3.753%, 11/25/50 (a)(b)

     220,000        243,657  

Series 2017-K71, Class C, 3.753%, 11/25/50 (a)(b)

     65,000        70,725  

Series 2017-K725, Class B, 3.878%, 2/25/50 (a)(b)

     100,000        108,544  

Series 2017-K726, Class B, 3.984%, 7/25/49 (a)(b)

     175,000        188,688  

Series 2017-K729, Class B, 3.675%, 11/25/49 (a)(b)

     250,000        268,994  

Series 2017-K729, Class C, 3.675%, 11/25/49 (a)(b)

     90,000        95,498  

52


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Agency Collateralized Mortgage Obligations (Continued)

     

Series 2018-K154, Class B, 4.021%, 11/25/32 (a)(b)

     67,000     
$
62,390  

Series 2018-K77, Class B, 4.160%, 5/25/51 (a)(b)

     355,000        402,822  

Series 2018-KW07, Class B, 4.081%, 10/25/31 (a)(b)

     461,000        476,308  

Series 2019-100, Class C, 3.490%, 11/25/52 (a)(b)

     380,000        401,667  

Series 2019-K103, Class B, 3.453%, 12/25/51 (a)(b)

     525,000        576,473  

Series 2019-K736, Class C, 3.758%, 7/25/26 (a)(b)

     400,000        429,300  

Series 2019-K95, Class C, 3.919%, 8/25/52 (a)(b)

     307,000        336,905  

Series 2019-K97 Class C, 3.764%, 9/25/51 (a)(b)

     204,000        223,255  

Series K104, Class B, 3.539%, 2/25/52 (a)(b)

     520,000        574,713  

STACR Trust, Series 2018-HRP1, Class M2, 1.780%, (1 Month USD-LIBOR + 1.65%), 4/25/43
(a)(b)

     52,657        52,451  
       
        11,915,456  
       
     

Commercial Mortgage-Backed Securities – 5.3%

     

BANK

     

Series 2017-BNK8, Class ASB, 3.314%, 11/15/50

     147,000        162,151  

Series BN18, Class XA, 0.902%, 5/15/62 (a)

     2,145,882        138,088  

Series BN24, Class XA, 0.648%, 11/15/62 (a)

     5,553,978        276,156  

Series BN28, Class XA, 1.786%, 3/15/63 (a)

     1,938,003        277,019  

Benchmark Mortgage Trust

     

Series 2019-B10, Class XA, 1.229%, 3/15/62 (a)

     2,339,899        188,432  

Series 2020-B18, Class XA, 1.919%, 7/15/53 (a)

     504,782        59,949  

Series 2020-B22, Class XA, 1.523%, 1/15/54 (a)

     886,921        111,257  

BWAY Mortgage Trust

     

Series 2013-1515, Class A1, 2.809%, 3/10/33 (b)

     100,586        104,982  

Series 2013-1515, Class A2, 3.454%, 3/10/33 (b)

     1,000,000        1,089,218  

CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.778%, 11/10/31 (a)(b)

     310,000        324,645  

COMM Mortgage Trust

     

Series 2013-WWP, Class A2, 3.424%, 3/10/31 (b)

     640,000        675,919  

Series 2013-WWP, Class B, 3.726%, 3/10/31 (b)

     644,000        683,696  

Series 2020-CX, Class D, 2.683%, 11/10/46 (a)(b)

     100,000        100,785  

Series LC19, Class A4, 3.183%, 2/10/48

     291,000        318,054  

Series LC6, Class A4, 2.941%, 1/10/46

     304,902        316,694  

CPT Mortgage Trust, Series 2019-CPT, Class A, 2.865%, 11/13/39 (b)

     240,000        262,851  

DBJPM Mortgage Trust, Series 2020-C9, Class XA, 1.714%, 9/15/53 (a)

     643,635        69,521  

DC Office Trust, Series 2019-MTC, Class A, 2.965%, 9/15/45 (b)

     370,000        405,940  

GS Mortgage Securities Corp. Trust, Series 2017-500K, Class A, 0.827%, (1 Month USD-LIBOR +
0.7%), 7/15/32 (a)(b)

     395,000        395,289  

JP Morgan Chase Commercial Mortgage Securities Corp., Series 2018-AON, Class A,
4.128%, 7/5/31 (b)

     555,000        598,359  

MAD Mortgage Trust, Series 2017-330M, Class A, 3.294%, 8/15/34 (a)(b)

     729,000        765,880  

MKT Mortgage Trust, Series 2020-525M, Class A, 2.694%, 2/12/40 (b)

     600,000        648,878  

53


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Commercial Mortgage-Backed Securities (Continued)

     

Morgan Stanley Bank of America Merrill Lynch Trust

     

Series 2013-C12, Class A4, 4.259%, 10/15/46 (a)

     300,000     
$
323,412  

Series 2014-C15, Class A4, 4.051%, 4/15/47

     300,000        328,831  

Series 2014-C19, Class A4, 3.526%, 12/15/47

     180,167        197,492  

Morgan Stanley Capital I Trust

     

Series 2017-CLS, Class A, 0.826%, (1 Month
USD-LIBOR + 0.7%), 11/15/34 (a)(b)

     531,000        531,645  

Series 2017-CLS, Class F, 2.726%, (1 Month
USD-LIBOR + 2.6%), 11/15/34 (a)(b)

     261,000        262,434  

One Market Plaza Trust, Series 2017-1MKT, Class A, 3.614%, 2/10/32 (b)

     710,000        737,705  

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4, 3.617%, 9/15/57

     340,000        381,022  
       
        10,736,304  
       
     

Federal Home Loan Mortgage Corporation – 2.0%

     

Federal Home Loan Mortgage Corp. 2.500%, 8/1/27

     37,524        39,507  

2.500%, 11/1/27

     100,077        105,911  

3.000%, 1/1/27

     142,710        152,721  

3.000%, 7/1/42

     40,190        42,644  

3.000%, 5/1/45

     345,461        374,566  

3.015%, (12 Month USD-LIBOR + 1.629%), 10/1/43 (a)

     51,026        53,014  

3.500%, 12/1/32

     172,646        189,686  

3.500%, 6/1/48

     985,318        1,048,032  

4.000%, 2/1/37

     50,001        55,204  

4.000%, 8/1/39

     36,835        40,796  

4.000%, 10/1/39

     75,471        83,025  

4.000%, 10/1/39

     65,672        72,654  

4.000%, 11/1/39

     34,436        37,942  

4.000%, 10/1/40

     99,461        111,009  

4.000%, 11/1/40

     105,424        115,436  

4.000%, 11/1/40

     18,113        20,065  

4.000%, 11/1/40

     12,448        13,673  

4.000%, 12/1/40

     50,718        55,535  

4.000%, 6/1/41

     8,690        9,342  

4.500%, 4/1/35

     86,428        96,002  

4.500%, 9/1/35

     110,182        122,311  

4.500%, 7/1/36

     88,693        98,972  

4.500%, 6/1/39

     172,798        193,695  

4.500%, 9/1/40

     26,816        30,140  

4.500%, 2/1/41

     54,398        61,031  

5.000%, 8/1/33

     15,385        17,760  

5.000%, 10/1/33

     7,963        8,934  

5.000%, 4/1/35

     19,130        22,245  

5.000%, 7/1/35

     123,578        143,693  

5.000%, 7/1/35

     21,075        24,492  

5.000%, 1/1/37

     76,925        89,416  

5.000%, 7/1/40

     55,376        63,641  

54


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Federal Home Loan Mortgage Corporation (Continued)

     

5.000%, 4/1/41

     51,649     
$
60,082  

5.500%, 12/1/36

     78,588        91,805  

5.500%, 8/1/40

     110,690        129,854  

6.000%, 8/1/36

     12,717        15,303  

6.000%, 7/1/39

     75,083        90,453  
       
        3,980,591  
       
     

Federal National Mortgage Association – 23.2%

     

Federal National Mortgage Association

     

2.000%, 10/1/27

     133,649        140,669  

2.000%, 1/1/28

     110,930        116,390  

2.500%, 6/1/24

     161,051        169,105  

2.500%, 11/1/31

     67,967        71,471  

2.500%, 12/1/31

     23,090        24,302  

2.500%, 12/1/43

     162,002        171,474  

2.500%, 4/1/45

     172,393        184,391  

2.793%, (12 Month USD-LIBOR + 1.58%), 5/1/44 (a)

     35,682        36,951  

3.000%, 8/1/46

     56,170        59,633  

3.000%, 10/1/46

     967,099        1,026,557  

3.000%, 11/1/46

     1,145,377        1,215,791  

3.000%, 12/1/46

     439,808        467,952  

3.500%, 12/1/31

     9,014        9,663  

3.500%, 1/1/32

     152,761        163,831  

3.500%, 1/1/32

     87,079        93,342  

3.500%, 10/1/32

     128,294        140,928  

3.500%, 6/1/46

     798,992        861,140  

3.500%, 1/1/48

     695,996        740,358  

4.000%, 11/1/30

     15,989        17,279  

4.000%, 10/1/33

     94,161        103,256  

4.000%, 12/1/36

     28,596        31,648  

4.000%, 8/1/39

     38,939        43,033  

4.000%, 10/1/39

     25,906        28,675  

4.000%, 12/1/39

     35,395        38,976  

4.000%, 1/1/40

     306,345        337,505  

4.000%, 3/1/40

     36,461        39,914  

4.000%, 8/1/40

     80,392        88,556  

4.000%, 8/1/40

     13,739        15,080  

4.000%, 10/1/40

     134,530        150,109  

4.000%, 10/1/40

     26,132        28,819  

4.000%, 11/1/40

     29,869        32,669  

4.000%, 11/1/40

     18,133        20,068  

4.000%, 12/1/40

     57,311        65,028  

4.000%, 2/1/41

     67,127        73,880  

4.500%, 8/1/35

     27,255        30,264  

4.500%, 8/1/36

     29,874        33,302  

4.500%, 8/1/38

     67,965        76,497  

4.500%, 3/1/39

     87,577        98,575  

4.500%, 9/1/39

     35,258        39,548  

4.500%, 2/1/40

     39,250        44,179  

55


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Federal National Mortgage Association (Continued)

     

4.500%, 8/1/40

     90,059     
$
101,363  

4.500%, 1/1/41

     29,871        33,445  

4.500%, 9/1/41

     56,866        63,917  

5.000%, 10/1/39

     3,514        4,058  

5.500%, 8/1/37

     52,744        61,659  

6.000%, 12/1/35

     30,258        35,693  

6.000%, 3/1/36

     172,209        207,336  

6.000%, 6/1/36

     61,205        73,706  

6.000%, 8/1/37

     16,180        19,480  

6.000%, 3/1/38

     29,521        35,555  

TBA 15 Yr, 2.000%, 2/18/36 (c)

     4,300,000        4,490,981  

TBA 15 Yr, 3.000%, 2/18/36 (c)

     1,700,000        1,796,090  

TBA 30 Yr, 2.000%, 2/12/51 (c)

     9,380,000        9,677,522  

TBA 30 Yr, 2.000%, 3/11/51 (c)

     9,100,000        9,372,289  

TBA 30 Yr, 3.000%, 2/12/51 (c)

     2,900,000        3,049,701  

TBA 30 Yr, 3.000%, 3/11/51 (c)

     2,900,000        3,050,834  

TBA 30 Yr, 3.500%, 2/12/51 (c)

     900,000        956,883  

TBA 30 Yr, 3.500%, 3/11/51 (c)

     800,000        851,031  

TBA 30 Yr, 4.000%, 2/12/51 (c)

     2,900,000        3,109,967  

TBA 30 Yr, 4.000%, 3/11/51 (c)

     2,900,000        3,112,799  
       
        47,235,117  
       
     

Government National Mortgage Association – 8.0%

     

Government National Mortgage Association

     

TBA 30 Yr, 3.000%, 2/20/51 (c)

     7,600,000        7,966,789  

TBA 30 Yr, 3.500%, 2/20/51 (c)

     5,300,000        5,615,102  

TBA 30 Yr, 4.000%, 2/20/51 (c)

     1,600,000        1,710,844  

TBA 30 Yr, 4.500%, 2/20/51 (c)

     900,000        969,609  
       
        16,262,344  
       

Total Mortgage Backed Securities

(Cost $88,457,023)

        90,129,812  
       
     
Corporate Bonds and Notes – 34.8%              

Communications – 2.6%

     

Alibaba Group Holding, Ltd., 2.800%, 6/6/23

     200,000        209,365  

Amazon.com, Inc.

     

3.875%, 8/22/37

     200,000        243,257  

4.800%, 12/5/34

     325,000        433,650  

AT&T, Inc.

     

2.750%, 6/1/31

     1,000,000        1,044,607  

3.550%, 9/15/55 (b)

     572,000        545,290  

CBS Corp., 2.900%, 1/15/27

     400,000        436,080  

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.484%, 10/23/45

     300,000        410,638  

Cox Communications, Inc.

     

3.150%, 8/15/24 (b)

     165,000        178,391  

3.850%, 2/1/25 (b)

     10,000        11,115  

56


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Communications (Continued)

     

eBay, Inc., 3.600%, 6/5/27

     195,000     
$
221,203  

Gray Television, Inc., 5.875%, 7/15/26 (b)

     200,000        207,875  

Millicom International Cellular SA, 4.500%, 4/27/31 (b)

     950,000        1,008,363  

Verizon Communications, Inc., 3.376%, 2/15/25

     57,000        62,713  

Vodafone Group PLC

     

4.375%, 2/19/43

     70,000        83,771  

6.150%, 2/27/37

     185,000        260,341  
       
        5,356,659  
       
     

Consumer, Cyclical – 3.0%

     

Aptiv Corp., 4.150%, 3/15/24

     401,000        441,606  

Core & Main L.P., 6.125%, 8/15/25 (b)

     45,000        46,097  

Home Depot, Inc. (The), 5.950%, 4/1/41

     420,000        635,106  

Kohl’s Corp., 9.500%, 5/15/25

     405,000        523,986  

Lennar Corp., 4.125%, 1/15/22

     245,000        250,420  

Marriott International, Inc., 2.875%, 3/1/21

     1,025,000        1,024,619  

O’Reilly Automotive, Inc., 3.800%, 9/1/22

     155,000        162,029  

Starbucks Corp.

     

2.550%, 11/15/30

     990,000        1,049,533  

3.750%, 12/1/47

     275,000        311,124  

4.450%, 8/15/49

     750,000        943,922  

Toll Brothers Finance Corp., 4.350%, 2/15/28

     600,000        668,136  
       
        6,056,578  
       
     

Consumer, Non-cyclical – 10.2%

     

Advocate Health & Hospitals Corp., 2.211%, 6/15/30

     325,000        334,348  

Allina Health System, 4.805%, 11/15/45

     291,000        378,395  

Amgen, Inc.

     

2.300%, 2/25/31

     1,000,000        1,041,540  

3.200%, 11/2/27

     525,000        590,122  

Banner Health, 2.338%, 1/1/30

     1,000,000        1,050,230  

Biogen, Inc., 5.200%, 9/15/45

     400,000        536,209  

Bon Secours Mercy Health, Inc., 1.350%, 6/1/25

     155,000        158,014  

Boston Medical Center Corp., 4.519%, 7/1/26

     705,000        787,269  

Bristol-Myers Squibb Co., 3.875%, 8/15/25

     325,000        368,249  

City of Hope, 5.623%, 11/15/43

     250,000        361,465  

CommonSpirit Health senior secured note

     

2.782%, 10/1/30

     185,000        195,096  

3.347%, 10/1/29

     600,000        665,130  

Conservation Fund A Nonprofit Corp. (The), 3.474%, 12/15/29

     800,000        877,621  

Dignity Health

     

4.500%, 11/1/42

     408,000        480,733  

5.267%, 11/1/64

     250,000        342,476  

Emergent BioSolutions, Inc., 3.875%, 8/15/28 (b)

     500,000        514,207  

ERAC USA Finance LLC, 3.850%, 11/15/24 (b)

     500,000        556,867  

Fred Hutchinson Cancer, 3.949%, 1/1/50

     900,000        1,055,308  

Gartner, Inc., 3.750%, 10/1/30 (b)

     160,000        165,200  

57


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Consumer, Non-cyclical (Continued)

     

Gilead Sciences, 1.650%, 10/1/30

     300,000     
$
296,931  

Hologic, Inc., 3.250%, 2/15/29 (b)

     695,000        706,728  

Howard University

     

2.657%, 10/1/26

     100,000        103,884  

3.476%, 10/1/41

     1,850,000        1,900,247  

John D and Catherine T MacArthur Foundation, 1.299%, 12/1/30

     1,440,000        1,399,565  

Kaiser Foundation Hospitals, 3.150%, 5/1/27

     185,000        208,874  

McCormick & Co, Inc., 2.500%, 4/15/30

     155,000        164,522  

Memorial Sloan-Kettering Cancer Center, Series 2015, 4.200%, 7/1/55

     10,000        13,123  

Northeastern University, 5.285%, 3/1/32

     100,000        118,650  

Ochsner Clinic Foundation, 5.897%, 5/15/45

     400,000        567,052  

Orlando Health Obligated Group, 4.416%, 10/1/44

     395,000        428,042  

PeaceHealth Obligated Group, 1.375%, 11/15/25

     1,000,000        1,021,823  

Royalty Pharma, 3.300%, 9/2/40 (b)

     1,250,000        1,292,991  

Rush Obligated Group, 3.922%, 11/15/29

     375,000        440,153  

Stanford Health Care, 3.310%, 8/15/30

     595,000        675,859  

Thermo Fisher Scientific, Inc.

     

2.375%, 4/15/32

     305,000        444,258  

4.133%, 3/25/25

     375,000        424,214  
       
        20,665,395  
       
     

Energy – 0.5%

     

Azure Power Solar Energy Pvt, Ltd., 5.650%, 12/24/24 (b)

     500,000        534,100  

Greenko Dutch BV, 5.250%, 7/24/24 (b)

     545,000        564,544  
       
        1,098,644  
       
     

Financial – 11.5%

     

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.500%, 5/26/22

     775,000        799,999  

AIA Group, Ltd., 4.500%, 3/16/46 (b)

     325,000        417,742  

Air Lease Corp., 3.625%, 12/1/27

     500,000        546,304  

American International Group, Inc., 3.900%, 4/1/26

     380,000        430,283  

American Tower Corp.

     

3.375%, 5/15/24

     235,000        254,613  

5.000%, 2/15/24

     362,000        407,959  

AXA SA, 8.600%, 12/15/30

     400,000        625,136  

Bank of America Corp.

     

Series MTN, 2.456%, (3 Month USD-LIBOR + 0.87%), 10/22/25 (a)

     545,000        577,493  

Series MTN, 3.124%, (3 Month USD-LIBOR + 1.16%), 1/20/23 (a)

     725,000        744,058  

BlackRock, Inc., 1.900%, 1/28/31

     740,000        755,540  

BlueHub Loan Fund, Inc., 2.890%, 1/1/27

     600,000        599,160  

BNP Paribas SA, 3.800%, 1/10/24 (b)

     245,000        265,923  

Boston Properties L.P., 3.650%, 2/1/26

     430,000        484,344  

BPCE SA

     

3.000%, 5/22/22 (b)

     250,000        258,627  

4.875%, 4/1/26 (b)

     500,000        582,250  

58


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Financial (Continued)

     

Brandywine Operating Partnership L.P., 4.550%, 10/1/29

     500,000     
$
556,389  

Brighthouse Financial, Inc., 5.625%, 5/15/30

     890,000        1,090,584  

Citigroup, Inc.

     

1.678%, (SOFR + 1.667), 5/15/24 (a)

     1,000,000        1,025,999  

3.352%, (3 Month USD-LIBOR + 0.8966%), 4/24/25 (a)

     475,000        514,076  

Cooperatieve Rabobank UA

     

3.875%, 9/26/23 (b)

     250,000        272,793  

3.950%, 11/9/22

     375,000        397,337  

Credit Agricole SA, 4.125%, 1/10/27 (b)

     510,000        585,915  

Crown Castle International Corp., 3.700%, 6/15/26

     300,000        336,636  

Discover Financial Services, 3.750%, 3/4/25

     325,000        357,251  

Duke Realty L.P., 3.625%, 4/15/23

     200,000        211,717  

Fifth Third Bancorp, 8.250%, 3/1/38

     425,000        722,977  

HAT Holdings I LLC/HAT Holdings II LLC, 6.000%, 4/15/25 (b)

     450,000        478,687  

Huntington Bancshares, Inc., 3.150%, 3/14/21

     425,000        425,420  

ING Groep NV, 4.625%, 1/6/26 (b)

     750,000        875,573  

Kimco Realty Corp., 3.400%, 11/1/22

     160,000        167,455  

Marsh & McLennan Cos., Inc., 3.300%, 3/14/23

     100,000        105,686  

Massachusetts Mutual Life Insurance Co., 3.375%, 4/15/50 (b)

     550,000        588,525  

Morgan Stanley, 3.950%, 4/23/27

     210,000        240,487  

Nationwide Mutual Insurance Co., 4.350%, 4/30/50 (b)

     550,000        623,697  

New York Life Insurance Co., 3.750%, 5/15/50 (b)

     160,000        185,043  

Nuveen Finance LLC, 4.125%, 11/1/24 (b)

     160,000        180,203  

Prologis L.P., 3.250%, 10/1/26

     165,000        185,527  

Prudential PLC, 3.125%, 4/14/30

     155,000        172,820  

Regency Centers L.P., 3.750%, 6/15/24

     300,000        323,706  

Reinsurance Group of America, Inc.

     

3.950%, 9/15/26

     250,000        287,424  

Series MTN, 4.700%, 9/15/23

     164,000        180,911  

SBA Tower Trust, 3.168%, 4/11/22 (b)

     290,000        292,518  

Scentre Group Trust 1/Scentre Group Trust 2, 4.375%, 5/28/30 (b)

     615,000        713,373  

Standard Chartered PLC, 5.700%, 3/26/44 (b)

     250,000        334,809  

Truist Financial Corp., Series MTN, 3.875%, 3/19/29

     575,000        665,082  

U.S. Bancorp, Series MTN, 3.600%, 9/11/24

     493,000        544,696  

Unum Group, 4.500%, 3/15/25

     415,000        472,076  

USAA Capital Corp., 2.125%, 5/1/30 (b)

     885,000        923,936  

Ventas Realty L.P., 3.500%, 2/1/25

     500,000        549,169  
       
        23,337,928  
       
     

Industrial – 1.7%

     

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/27 (b)

     360,000        374,490  

CNH Industrial Capital LLC, 4.875%, 4/1/21

     750,000        755,430  

Klabin Austria GmbH, 5.750%, 4/3/29 (b)

     480,000        554,880  

Nature Conservancy (The), Series A, 1.154%, 7/1/27 (c)

     430,000        430,000  

WRKCo, Inc., 3.000%, 9/15/24

     375,000        403,603  

59


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  

Industrial (Continued)

     

Xylem, Inc., 2.250%, 1/30/31

     900,000     
$
932,095  
       
        3,450,498  
       
     

Technology – 2.6%

     

Apple, Inc., 2.650%, 5/11/50

     300,000        302,065  

Black Knight InfoServ LLC, 3.625%, 9/1/28 (b)

     330,000        334,356  

Broadcom, Inc., 4.150%, 11/15/30

     1,010,000        1,144,899  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.750%, 3/1/25 (b)

     395,000        405,645  

Hewlett Packard Enterprise Co., 4.650%, 10/1/24

     1,200,000        1,360,762  

HP, Inc., 3.000%, 6/17/27

     1,250,000        1,371,413  

Micron Technology, Inc., 4.640%, 2/6/24

     260,000        289,198  

Microsoft Corp., 3.700%, 8/8/46

     5,000        6,142  
       
        5,214,480  
       
     

Utilities – 2.7%

     

Aegea Finance S.a.r.l., 5.750%, 10/10/24 (b)

     370,000        388,522  

Clearway Energy Operating LLC, 4.750%, 3/15/28 (b)

     800,000        861,840  

Consolidated Edison Co of New York, Inc.

     

3.950%, 4/1/50

     915,000        1,085,199  

Series A, 4.125%, 5/15/49

     155,000        188,846  

EDP Finance B.V., 1.710%, 1/24/28 (b)

     1,000,000        994,815  

NSTAR Electric Co., 3.950%, 4/1/30

     830,000        992,507  

Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.500%, 8/15/28 (b)

     475,000        503,251  

Public Service Co. of Colorado, 4.100%, 6/15/48

     420,000        526,691  
       
        5,541,671  
       

Total Corporate Bonds and Notes

(Cost $64,363,693)

        70,721,853  
       
     
Municipal Bonds – 11.8%              

American Municipal Power-Ohio, Inc., (Meldahl Hydroelectric Project), 6.270%, 2/15/50

     490,000        714,881  

California Health Facilities Financing Authority, 2.984%, 6/1/33

     760,000        815,282  

Chicago Transit Authority Sales Tax Receipts Fund, 3.912%, 12/1/40

     260,000        294,674  

Colorado Health Facilities Authority, 4.480%, 12/1/40

     940,000        1,019,740  

Cook County Community High School District No. 228, IL, 5.019%, 12/1/41 (Insurer AGM)

     435,000        564,091  

County of Riverside, CA

     

2.963%, 2/15/27

     670,000        726,736  

3.070%, 2/15/28

     670,000        730,997  

District of Columbia, (Ingleside at Rock Creek) 3.432%, 4/1/42

     430,000        466,283  

4.125%, 7/1/27

     500,000        509,580  

Florida Development Finance Corp., 4.009%, 4/1/40

     925,000        991,174  

60


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  
Municipal Bonds (Continued)              

Illinois

     

3.860%, 4/1/21

     215,000     
$
215,565  

5.100%, 6/1/33

     335,000        375,170  

Illinois Finance Authority, 3.510%, 5/15/41

     1,000,000        1,053,730  

Inland Valley Development Agency, 5.500%, 3/1/33 (Insurer AGM)

     70,000        78,124  

Lancaster County Hospital Authority, PA, (Brethren Village)

     

5.000%, 7/1/24

     165,000        177,573  

5.000%, 7/1/25

     135,000        147,776  

Maryland Health and Higher Educational Facilities Authority, (Meritus Medical Center)

     

3.968%, 7/1/27

     205,000        233,766  

4.168%, 7/1/29

     40,000        46,468  

Massachusetts Development Finance Agency, (NewBridge on the Charles, Inc.), 4.000%, 10/1/27

     100,000        109,570  

Massachusetts Educational Financing Authority, 2.306%, 7/1/25

     200,000        207,524  

Massachusetts Health and Educational Facilities Authority, (Northeastern University), 6.432%, 10/1/35

     420,000        568,995  

Metropolitan Transportation Authority

     

5.000%, 11/15/50

     240,000        295,886  

5.175%, 11/15/49

     855,000        1,142,383  

Michigan Finance Authority, (City of Detroit), 2.741%, 4/1/21

     320,000        321,258  

New Jersey Educational Facilities Authority, 3.958%, 7/1/48 (Insurer AGM)

     1,000,000        1,035,920  

New York Transportation Development Corp., 4.248%, 9/1/35

     610,000        672,720  

New York Transportation Development Corp., (LaGuardia Airport Terminal B Redevelopment), 3.473%, 7/1/28

     500,000        510,145  

Oklahoma Development Finance Authority, (OU Medicine)

     

4.650%, 8/15/30 (Insurer AGM)

     130,000        153,401  

5.450%, 8/15/28

     770,000        891,860  

Oklahoma State University

     

3.427%, 9/1/36

     100,000        107,849  

3.627%, 9/1/40

     880,000        934,692  

Oregon Health and Science University, 5.000%, 7/1/45

     350,000        467,414  

Oregon State University, 3.424%, 3/1/60 (Insurer BAM)

     1,000,000        1,029,150  

Pennsylvania Industrial Development Authority, 3.556%, 7/1/24 (b)

     505,000        531,876  

Philadelphia, PA, Water and Wastewater Revenue, 4.189%, 10/1/37

     665,000        745,172  

Regents of the University of California Medical Center Pooled Revenue, 3.706%, 5/15/20

     900,000        993,771  

Sacramento, CA, 5.730%, 8/15/23 (Insurer NATL)

     340,000        371,749  

San Bernardino County, CA, Pension Obligation Revenue, 6.020%, 8/1/23 (Insurer AGM)

     200,000        214,252  

61


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
     Value  
Municipal Bonds (Continued)              

Shelby County, Health, Educational and Housing Facilities Board, (Trezevant Manor Project)

     

4.000%, 9/1/21

     250,000     
$
249,938  

4.000%, 9/1/22

     250,000        249,615  

Southern Ohio Port Authority, 6.500%, 12/1/30 (b)

     470,000        508,065  

State Board of Administration Finance Corp., 1.258%, 7/1/25

     375,000        385,838  

Sustainable Energy Utility, Inc., 2.344%, 9/15/29

     900,000        919,593  

Washington Housing Finance Commission, (Presbyterian Retirement Communities), 4.000%, 1/1/24

     300,000        305,319  

Washington Housing Finance Commission, (Transforming Age), 3.000%, 1/1/25

     985,000        980,971  
       

Total Municipal Bonds

(Cost $22,158,151)

        24,066,536  
       
     
U.S. Government Agency Obligations – 7.4%              

Federal Farm Credit Banks Funding Corp.

     

2.625%, 10/15/49

     1,140,000        1,218,294  

2.780%, 11/2/37

     1,800,000        2,032,863  

3.430%, 4/6/45

     1,000,000        1,229,100  

3.660%, 3/7/44

     974,000        1,234,461  

Federal Home Loan Banks , 2.375%, 3/14/25

     2,710,000        2,933,236  

Federal Home Loan Mortgage Corp. , 1.500%, 2/12/25

     5,600,000        5,859,537  

Federal National Mortgage Association , 5.625%, 7/15/37

     391,000        610,188  
       

Total U.S. Government Agencies

(Cost $14,059,790)

        15,117,679  
       
     
Senior Floating Rate Interests – 4.3%              

Consumer Discretionary – 1.5%

     

American Builders & Contractors Supply Co., Inc. 2019 Term Loan, 2.121%, (1 mo. USD LIBOR + 2.000%),
1/15/27 (a)

     493,750        492,961  

Charter Communications Operating, LLC 2019 Term Loan B2, 1.880%, (1 mo. USD LIBOR + 1.750%), 2/1/27 (a)

     286,700        286,700  

Harbor Freight Tools USA, Inc. 2020 Term Loan B, 4.000%, (1 mo. USD LIBOR + 3.250%), 10/19/27 (a)

     576,004        577,547  

Nexstar Broadcasting, Inc. 2018 Term Loan B3, 2.371%, (1 mo. USD LIBOR + 2.250%), 1/17/24 (a)

     105,090        105,064  

UPC Broadband Holding B.V. 2020 USD Term Loan B1 3.627%, (1 mo. USD LIBOR + 3.500%), 1/31/29 (a)

     670,000        671,629  

3.627%, (1 mo. USD LIBOR + 3.500%), 1/31/29 (a)

     670,000        671,629  

USI, Inc. 2017 Repriced Term Loan, 3.254%, (3 mo. USD LIBOR + 3.000%), 5/16/24 (a)

     169,312        168,360  

Wyndham Hotels & Resorts, Inc. Term Loan B, 1.871%, (1 mo. USD LIBOR + 1.750%), 5/30/25 (a)

     127,075        126,479  
       
        3,100,369  
       
     

62


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
    Value  

Consumer Staples – 0.0%

    

Coty, Inc. 2018 USD Term Loan B, 2.382%, (1 mo. USD LIBOR + 2.250%), 4/7/25 (a)

     126,628    
$
119,644  
      
       119,644  
      
    

Financials – 0.1%

    

Iron Mountain, Inc. 2018 Term Loan B, 1.871%, (1 mo. USD LIBOR + 1.750%), 1/2/26 (a)

     141,012       140,484  
      
       140,484  
      
    

Health Care – 1.2%

    

Adevinta ASA EUR Term Loan B, 0.000%, 10/13/27 (a)

     185,000  EUR      226,021  

Biogroup-LCD 2020 EUR Add on Term Loan B 4.750%, (3 mo. EUR EURIBOR + 4.750%), 4/25/26 (a)

     170,000  EUR      206,662  

0.000%, 1/28/28 (a)

     465,000  EUR      565,674  

Nets Holding A/S EUR Term Loan B1E, 3.250%, (3 mo. EUR EURIBOR + 3.250%), 2/6/25 (a)

     176,389  EUR      214,362  

Verisure Holding AB 2021 EUR Term Loan, 0.000%, 1/15/28 (a)

     900,000  EUR      1,095,032  

Zephyr German BidCo GmbH EUR Term Loan B, 0.000%, 1/21/28 (a)

     100,000  EUR      121,490  
      
       2,429,241  
      
    

Information Technology – 0.1%

    

Blackhawk Network Holdings, Inc. 2018 1st Lien Term Loan, 3.121%, (1 mo. USD LIBOR + 3.000%), 6/15/25 (a)

     175,500       173,471  

SS&C Technologies Inc. 2018 Term Loan B3, 1.871%, (1 mo. USD LIBOR + 1.750%), 4/16/25 (a)

     56,796       56,594  
      
       230,065  
      
    

Utilities – 1.4%

    

Adient US LLC Term Loan B, 4.463%, (3 mo. USD LIBOR + 4.250%), 5/6/24 (a)

     221,625       222,525  

Altice France S.A. USD Term Loan B12, 3.814%, (1 mo. USD LIBOR + 3.688%), 1/31/26 (a)

     471,024       470,877  

CHG PPC Parent LLC 2018 Term Loan B, 2.871%, (1 mo. USD LIBOR + 2.750%), 3/31/25 (a)

     97,500       96,708  

Diamond (BC) B.V. USD Term Loan, 3.212%, (3 mo. USD LIBOR + 3.000%), 9/6/24 (a)

     145,500       145,121  

Finastra USA, Inc. USD 1st Lien Term Loan, 4.500%, (6 mo. USD LIBOR + 3.500%), 6/13/24 (a)

     252,600       248,315  

Go Daddy Operating Company, LLC 2017 Repriced Term Loan

    

1.871%, (1 mo. USD LIBOR + 1.750%), 2/15/24 (a)

     184,540       184,668  

2.621%, (1 mo. USD LIBOR + 2.500%), 8/10/27 (a)

     308,450       309,084  

MA FinanceCo., LLC USD Term Loan B3, 2.871%, (1 mo. USD LIBOR + 2.750%), 6/21/24 (a)

     28,980       28,785  

Russell Investments US Inst’l Holdco, Inc. 2020 Term Loan, 4.000%, (3 mo. USD LIBOR + 3.000%), 5/30/25 (a)

     387,551       387,672  

63


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security    Principal

Amount*
    Value  

Utilities (Continued)

    

Seattle Spinco, Inc. USD Term Loan B3, 2.871%, (1 mo. USD LIBOR + 2.750%), 6/21/24 (a)

     195,711    
$
194,390  

SS&C Technologies Holdings Europe S.A.R.L. 2018 Term Loan B4, 1.871%, (1 mo. USD LIBOR + 1.750%), 4/16/25 (a)

     43,249       43,095  

Zelis Healthcare Corporation Term Loan B, 4.871%, (1 mo. USD LIBOR + 4.750%), 9/30/26 (a)

     472,613       473,696  
      
       2,804,936  
      

Total Senior Floating Rate Interests

(Cost $8,770,945)

       8,824,739  
      
    
Foreign Government & Agency Securities – 3.6%             

City of Toronto Canada, 2.600%, 9/24/39

     1,060,000  CAD      871,615  

Hong Kong Government International Bond, 2.500%, 5/28/24 (b)

     750,000       799,129  

Japan Treasury Discount Bill, 0.000%, 3/15/21

     414,600,000  JPY      3,960,512  

Republic of Chile, 0.830%, 7/2/31

     1,370,000  EUR      1,734,368  
      

Total Foreign Government & Agency Securities (Cost $7,086,793)

       7,365,624  
      
    
Asset Backed Securities – 0.6%             

Carmax Auto Owner Trust Series 2017-4, Class C, 2.700%, 10/16/23

     250,000       254,531  

Corevest American Finance Trust Series 2020-4 Class C, 2.250%, 12/15/52 (b)

     100,000       99,740  

Mosaic Solar Loan Trust Series 2020-2A, Class A, 1.440%, 8/20/46 (b)

     220,797       220,401  

SBA Tower Trust Series 2014-2A, Class C, 3.869%, 10/15/49 (b)(d)

     500,000       534,191  
      

Total Asset Backed Securities

(Cost $1,069,041)

       1,108,863  
      
    
Certificates of Deposit – 0.3%             

Self-Help Credit Union, 2.200%, 6/25/21

     100,000       100,891  

Self-Help Federal Credit Union, 2.500%, 6/27/22

     400,000       413,765  
      

Total Certificates of Deposit

(Cost $500,000)

       514,656  
      

Total Long Term Investments

(Cost $206,465,436)

       217,849,762  
      

64


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Security   Principal

Amount*
    Value  
Short Term Investments – 14.7%            

U.S. Government Agency Obligations – 14.7%

   

Federal Home Loan Bank Discount Notes

   

0.000%, 2/17/21

    15,000,000    
$
  14,999,800  

0.000%, 2/24/21

    15,000,000       14,999,713  
     

Total Short Term Investments

(Cost $29,998,823)

      29,999,513  
     
Total Investments–121.8% (Cost $236,464,259)         247,849,275  
Other Liabilities, less assets – (21.8)%         (44,380,830)  
     
Net Assets – 100.0%         $203,468,445  
     

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 January 31, 2021, the aggregate value of these securities was $33,875,839,
representing 16.6% of net assets.

(c) A portion or all of the security was purchased as a when issued or delayed delivery security.

(d) Step coupon bond.

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

JPY — Japanese Yen

65


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

At January 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
    Morgan

Stanley & Co.

Inc.
 

 

 
    3/17/21       1,052,000     $ 823,613     $ 4,114  

United States Dollar

  Euro    

Goldman Sachs

International
 

 
    2/26/21       898,000       1,091,549       2,229  

United States Dollar

  Euro     Citibank N.A.       2/26/21       531,000       645,448       810  

United States Dollar

  Euro     Commonwealth

Bank Of

Australia
 

 

 
    2/26/21       100,000       121,553       (440

United States Dollar

  Euro    

BNP Paribas

N.A.
 

 
    3/17/21       1,672,000       2,033,259       195  

United States Dollar

  Japanese

Yen
    JP Morgan

Chase Bank

N.A.
 

 

 
    3/15/21       414,600,000       3,961,693       35,512  
             
            $ 42,420  
             

At January 31, 2021, the Fund had the following future contracts outstanding.

Description    Number of

Contracts
     Notional

Amount
    Value     Expiration

Date
     Unrealized

Appreciation

(Depreciation)
 

Euro Bund (Short)

     9      $ (900,000   $ (1,938,069     3/8/21      $ (681
              
             $ (681
              

At January 31, 2021, the Fund had the following OTC total return swap contracts outstanding.

Description   Floating

Rate
  Payment

Frequency
    Counterparty     Maturity

Date
    Notional

Amount
    Value     Upfront

Premiums

Paid

(Received)
    Unrealized

Appreciation

(Depreciation)
 

Pay Total Return IBOXX USD Liquid High Yield Index, Series 1

  3 month

USD

BBA

LIBOR
   

At

maturity
 

 
   

Morgan

Stanley
 

 
    12/20/21       5,030,000     $ 17,418     $ 970     $ 16,448  

66


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

At January 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 semi-annually 0.780% Receive Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/LCH
    4/14/30     $ 10,205,000     $ 255,028     $ (84,872   $ 339,900  

Receive Fixed rate semi-annually 0.810% Pay Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/LCH
    9/16/50       2,665,000       (531,811     (451,441     (80,370

Receive Fixed rate semi-annually 0.280% Pay Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/LCH
    9/16/25       6,965,000       (65,045     (43,072     (21,973

Receive Fixed rate semi-annually 1.090% Pay Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/LCH
    12/16/50       1,715,000       (224,684     (58,517     (166,167

Receive Fixed rate semi-annually 1.090% Pay Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/LCH
    9/16/40       1,535,000       (118,681     (59,580     (59,101

Receive Fixed rate semi-annually 0.250% Pay Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/LCH
    12/16/22       8,865,000       11,843       1,859       9,984  

67


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

Description   Counterparty/

Exchange
  Expiration

Date
    Notional

Amount
    Value     Upfront

Premiums

Paid

(Received)
    Unrealized

Appreciation

(Depreciation)
 

Receive Fixed rate semi-annually 1.340% Pay Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/

LCH
    3/17/41    
$
570,000    
$
(20,877  
$
1,215    
$
(22,092

Receive Fixed rate semi-annually 0.470% Pay Floating rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/

LCH
    3/17/26       5,040,000       (23,809     (10,584     (13,225

Receive Floating rate semi-annually 0.690% Pay Fixed rate quarterly 3 month USD BBA LIBOR

  Morgan

Stanley/

LCH
    3/17/28       5,140,000       56,284       36,886       19,398  
               
          $ (668,106   $ 6,354  
               

At January 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

Premiums

Paid

(Received)
    Unrealized

Appreciation

(Depreciation)
 

Buy Protection (c):

           

CDX-NAHY Series 35, Version 1, 5 Year Index, Fixed rate 5.000% (d)

  Morgan

Stanley/ICE
    12/20/25     $ 3,105,000     $ (251,853   $ (259,813   $ 7,960  
               
          $ (259,813   $ 7,960  
               

(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.

68


DOMINI IMPACT BOND FUND

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2021 (Unaudited)

(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

69


DOMINI FUNDS EXPENSE EXAMPLE (Unaudited)

As a shareholder of the Domini Funds, you incur two types of costs:

(1) Transaction costs such as redemption fees deducted from any redemption or exchange proceeds if you sell or exchange shares of the fund after holding them less than 30 days and sales charges (loads) on
Class A shares and

(2) Ongoing costs, including management fees, distribution
(12b-1) fees, and other Fund expenses.

This example is intended to help you understand your ongoing
costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested on August 1, 2020 and held through January 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.

70


Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not
reflect any transactional costs, such as redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.

         
Fund Name   Expenses   Beginning

Account Value

as of 8/1/2020
  Ending Account

value as of

1/31/2021
  Expenses Paid

During Period

8/1/2020
–

1/31/2021

Domini Impact Equity Fund

Investor Shares

  Actual Expenses   $1,000.00   $1,172.40   $5.971
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,019.70   $5.551

Domini Impact Equity Fund

Class A Shares

  Actual Expenses   $1,000.00   $1,172.40   $5.971
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,019.70   $5.551

Domini Impact Equity Fund

Institutional Shares

  Actual Expenses   $1,000.00   $1,174.40   $4.061
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,021.50   $3.771

Domini Impact Equity Fund

Class Y Shares (formerly Class R Shares)

  Actual Expenses   $1,000.00   $1,173.90   $4.381
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,021.20   $4.081

Domini International Opportunities
Fund

Investor Class

  Actual Expenses   $1,000.00   $1,023.00   $2.412
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,018.10   $7.122

Domini International Opportunities
Fund

Institutional Class

  Actual Expenses   $1,000.00   $1,023.00   $1.982
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,019.40   $5.852

Domini Sustainable Solutions
Fund

Investor Class

  Actual Expenses   $1,000.00   $1,355.70   $8.313
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,018.10   $7.123

Domini Sustainable Solutions
Fund

Institutional Class

  Actual Expenses   $1,000.00   $1,357.40   $6.833
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,019.40   $5.853

Domini Impact International Equity
Fund

Investor Shares

  Actual Expenses   $1,000.00   $1,158.40   $7.454
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,018.30   $6.974

Domini Impact International Equity
Fund

Class A Shares

  Actual Expenses   $1,000.00   $1,158.60   $7.514
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,018.20   $7.024

71


         
Fund Name   Expenses   Beginning

Account Value

as of 8/1/2020
  Ending Account

value as of

1/31/2021
  Expenses Paid

During Period

8/1/2020
–

1/31/2021

Domini Impact International Equity
Fund

Institutional Shares

  Actual Expenses   $1,000.00   $1,160.10   $5.014
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,020.60   $4.694

Domini Impact International Equity
Fund

Class Y Shares

  Actual Expenses   $1,000.00   $1,161.20   $5.394
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,020.20   $5.044

Domini Impact Bond Fund

Investor Shares

  Actual Expenses   $1,000.00   $1,008.70   $4.405
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,020.80   $4.435

Domini Impact Bond Fund

Institutional Shares

  Actual Expenses   $1,000.00   $1,009.30   $2.895
  Hypothetical Expenses

(5% return before

expenses)
  $1,000.00   $1,022.30   $2.915

1 Expenses 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 184, and divided by 365.

2 Actual Expenses 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 beginning 11/30/20 (commencement of operations), multiplied by 63, and divided by 365. Hypothetical Expenses 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 184, and divided by 365.

3 Expenses 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 184, and divided by 365.

4 Expenses are equal to the Fund’s annualized expense ratio of 1.37% for Investor shares, or 1.38% for Class A shares, or 0.92%
for Institutional shares, or 0.99% for Class Y shares, multiplied by average account value over the period, multiplied by 184, and divided by 365.

5 Expenses 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 184, and divided by 365.

72


STATEMENT OF ASSETS AND LIABILITIES

January 31, 2021 (Unaudited)

     Domini Impact

Equity Fund
 

ASSETS

  

Investments, at value (cost $567,747,497)

   $     970,314,729  

Cash

     4,145,619  

Foreign currency, at value (cost $46,947)

     47,015  

Receivable for securities sold

     2,801,179  

Receivable for capital shares

     79,794  

Dividend receivable

     971,069  

Tax reclaim receivable

     186,784  
    

Total assets

     978,546,189  
    

LIABILITIES

  

Payable for securities purchased

     4,794,470  

Payable for capital shares

     121,745  

Management fee payable

     543,903  

Distribution fee payable

     178,249  

Other accrued expenses

     469,896  

Foreign tax payable

     11,048  
    

Total liabilities

     6,119,311  
    

NET ASSETS

   $ 972,426,878  
    

NET ASSETS CONSISTS OF

  

Paid-in Capital

   $ 567,719,070  

Total distributable earnings (loss)

     404,707,808  
    

NET ASSETS

   $ 972,426,878  
    

NET ASSET VALUE PER SHARE

  

Investor Shares

  

Net assets

   $ 827,906,808  
    

Outstanding shares of beneficial interest

     27,021,244  
    

Net Asset Value And Offering Price Per Share*

   $ 30.64  
    

Class A Shares

  

Net assets

   $ 7,059,250  
    

Outstanding shares of beneficial interest

     230,631  
    

Net Asset Value And Offering Price Per Share*

   $ 30.61  
    

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

   $ 32.14  
    

Institutional Shares

  

Net assets

   $ 129,409,125  
    

Outstanding shares of beneficial interest

     4,251,937  
    

Net Asset Value And Offering Price Per Share*

   $ 30.44  
    

Class Y Shares (formerly Class R Shares)

  

Net assets

   $ 8,051,695  
    

Outstanding shares of beneficial interest

     264,089  
    

Net Asset Value And Offering Price Per Share*

   $ 30.49  
    

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

SEE NOTES TO FINANCIAL STATEMENTS

73


STATEMENT OF ASSETS AND LIABILITIES

January 31, 2021 (Unaudited)

     Domini

International

Opportunities

Fund
 

ASSETS

  

Investments, at value (cost $22,885,775)

   $     23,452,583  

Cash

     371,633  

Foreign currency, at value (cost $73,975)

     74,311  

Receivable for securities sold

     244,309  

Receivable for capital shares

     16,000  

Dividend receivable

     11,325  

Tax reclaim receivable

     733  
    

Total assets

     24,170,894  
    

LIABILITIES

  

Payable for securities purchased

     491,057  

Management fee payable

     17,426  

Other accrued expenses

     12,376  

Foreign tax payable

     2,061  
    

Total liabilities

     522,920  
    

NET ASSETS

   $ 23,647,974  
    

NET ASSETS CONSISTS OF

  

Paid-in Capital

   $ 23,132,303  

Total distributable earnings (loss)

     515,671  
    

NET ASSETS

   $ 23,647,974  
    

NET ASSET VALUE PER SHARE

  

Investor Class

  

Net assets

   $ 1,169,182  
    

Outstanding shares of beneficial interest

     114,321  
    

Net Asset Value And Offering Price Per Share*

   $ 10.23  
    

Institutional Class

  

Net assets

   $ 22,478,792  
    

Outstanding shares of beneficial interest

     2,197,112  
    

Net Asset Value And Offering Price Per Share*

   $ 10.23  
    

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

SEE NOTES TO FINANCIAL STATEMENTS

74


STATEMENT OF ASSETS AND LIABILITIES

January 31, 2021 (Unaudited)

     Domini

Sustainable

Solutions Fund
 

ASSETS

  

Investments, at value (cost $24,056,557)

   $     35,704,310  

Cash

     1,294,719  

Foreign currency, at value (cost $42,286)

     42,307  

Receivable for securities sold

     39,076  

Receivable for capital shares

     18,810  

Tax reclaim receivable

     952  
    

Total assets

     37,100,174  
    

LIABILITIES

  

Payable for securities purchased

     1,095,881  

Payable for capital shares

     101  

Management fee payable

     25,754  

Other accrued expenses

     28,406  
    

Total liabilities

     1,150,142  
    

NET ASSETS

   $ 35,950,032  
    

NET ASSETS CONSISTS OF

  

Paid-in Capital

   $ 24,281,838  

Total distributable earnings (loss)

     11,668,194  
    

NET ASSETS

   $ 35,950,032  
    

NET ASSET VALUE PER SHARE

  

Investor Class

  

Net assets

   $ 16,074,592  
    

Outstanding shares of beneficial interest

     802,342  
    

Net Asset Value And Offering Price Per Share*

   $ 20.03  
    

Institutional Class

  

Net assets

   $ 19,875,440  
    

Outstanding shares of beneficial interest

     989,966  
    

Net Asset Value And Offering Price Per Share*

   $ 20.08  
    

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

SEE NOTES TO FINANCIAL STATEMENTS

75


STATEMENT OF ASSETS AND LIABILITIES

January 31, 2021 (Unaudited)

     Domini Impact

International

Equity Fund
 

ASSETS

  

Investments, at value (cost $1,075,428,525)

   $     1,254,708,420  

Cash

     26,245,992  

Foreign currency, at value (cost $2,368,425)

     2,367,527  

Receivable for securities sold

     4,294,442  

Receivable for capital shares

     3,208,569  

Dividend receivable

     1,057,576  

Tax reclaim receivable

     3,082,156  
    

Total assets

     1,294,964,682  
    

LIABILITIES

  

Payable for securities purchased

     13,589,913  

Payable for capital shares

     7,155,279  

Management fee payable

     923,502  

Distribution fee payable

     95,280  

Other accrued expenses

     639,752  

Foreign tax payable

     105,416  
    

Total liabilities

     22,509,142  
    

NET ASSETS

   $ 1,272,455,540  
    

NET ASSETS CONSISTS OF

  

Paid-in Capital

   $ 1,220,342,247  

Total distributable earnings (loss)

     52,113,293  
    

NET ASSETS

   $ 1,272,455,540  
    

NET ASSET VALUE PER SHARE

  

Investor Shares

  

Net assets

   $ 330,894,894  
    

Outstanding shares of beneficial interest

     39,447,582  
    

Net Asset Value And Offering Price Per Share*

   $ 8.39  
    

Class A Shares

  

Net assets

   $ 22,785,764  
    

Outstanding shares of beneficial interest

     2,543,073  
    

Net Asset Value And Offering Price Per Share*

   $ 8.96  
    

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

   $ 9.41  
    

Institutional Shares

  

Net assets

   $ 522,915,459  
    

Outstanding shares of beneficial interest

     62,989,595  
    

Net Asset Value And Offering Price Per Share*

   $ 8.30  
    

Class Y Shares

  

Net assets

   $ 395,859,423  
    

Outstanding shares of beneficial interest

     47,650,816  
    

Net Asset Value And Offering Price Per Share*

   $ 8.31  
    

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

SEE NOTES TO FINANCIAL STATEMENTS

76


STATEMENT OF OPERATIONS

For the Six Months Ended January 31, 2021 (Unaudited)

     Domini Impact

Equity Fund
 

INCOME

  

Dividends (net of foreign taxes $53,095)

   $ 6,724,815  

Interest income

     20,328  
    

Investment Income

     6,745,143  
    

EXPENSES

  

Management/Sponsorship fees

     2,998,656  

Distribution fees – Investor Shares

     981,560  

Distribution fees – Class A Shares

     8,488  

Transfer agent fees – Investor Shares

     359,514  

Transfer agent fees – Class A Shares

     2,961  

Transfer agent fees – Institutional Shares

     1,647  

Transfer agent fees – Class Y Shares (formerly Class R Shares)

     1,171  

Custody and Accounting fees

     116,444  

Miscellaneous

     110,090  

Registration fees – Investor Shares

     24,820  

Registration fees – Class A Shares

     14,326  

Registration fees – Institutional Shares

     18,616  

Registration fees – Class Y Shares (formerly Class R Shares)

     15,882  

Shareholder Communication fees

     72,923  

Professional fees

     59,276  

Shareholder Service fees – Investor Shares

     22,250  

Shareholder Service fees – Class A Shares

     158  

Shareholder Service fees – Institutional Shares

     67  

Shareholder Service fees – Class Y Shares (formerly Class R Shares)

     55  

Trustees fees

     20,700  
    

Total expenses

     4,829,604  

Fees waived and expenses reimbursed

     (30,215)  
    

Net expenses

     4,799,389  
    

NET INVESTMENT INCOME (LOSS)

     1,945,754  
    

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

  

NET REALIZED GAIN (LOSS) FROM:

  

Investments

     12,662,156  

Foreign currency

     2,532  
    

Net realized gain (loss)

     12,664,688  
    

NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:

  

Investments

     129,925,837  

Translation of assets and liabilities in foreign currencies

     (74)  
    

Net change in unrealized appreciation (depreciation)

     129,925,763  
    

NET REALIZED AND UNREALIZED GAIN (LOSS)

     142,590,451  
    

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $     144,536,205  
    

SEE NOTES TO FINANCIAL STATEMENTS

77


STATEMENT OF OPERATIONS

For the Period Ended January 31, 2021 (Unaudited)

     Domini

International

Opportunities

Fund
 

INCOME

  

Dividends (net of foreign taxes $2,845)

   $ 20,385  
    

Investment Income

     20,385  
    

EXPENSES

  

Management fees

     34,029  

Distribution fees – Investor Class

     375  

Professional fees

     20,563  

Transfer agent fees – Investor Class

     7,660  

Transfer agent fees – Institutional Class

     3,939  

Miscellaneous

     10,616  

Custody and Accounting fees

     9,000  

Registration fees – Investor Class

     779  

Registration fees – Institutional Class

     1,220  

Shareholder Communication fees

     1,397  

Trustees fees

     28  

Shareholder Service fees – Investor Class

     18  

Shareholder Service fees – Institutional Class

     2  
    

Total expenses

     89,626  

Fees waived and expenses reimbursed

     (43,220)  
    

Net expenses

     46,406  
    

NET INVESTMENT INCOME (LOSS)

     (26,021)  
    

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

  

NET REALIZED GAIN (LOSS) FROM:

  

Investments

     (3)  

Foreign currency

     (25,728)  
    

Net realized gain (loss)

     (25,731)  
    

NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:

  

Investments

     566,808  

Translation of assets and liabilities in foreign currencies

     615  
    

Net change in unrealized appreciation (depreciation)

     567,423  
    

NET REALIZED AND UNREALIZED GAIN (LOSS)

     541,692  
    

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $     515,671  
    

SEE NOTES TO FINANCIAL STATEMENTS

78


STATEMENT OF OPERATIONS

For the Six Months Ended January 31, 2021 (Unaudited)

     Domini

Sustainable

Solutions Fund
 

INCOME

  

Dividends (net of foreign taxes $4,392)

   $ 60,725  
    

Investment Income

     60,725  
    

EXPENSES

  

Management fees

     114,280  

Distribution fees – Investor Class

     13,919  

Custody and Accounting fees

     34,463  

Transfer agent fees – Investor Class

     33,120  

Transfer agent fees – Institutional Class

     718  

Professional fees

     26,842  

Registration fees – Investor Class

     7,605  

Registration fees – Institutional Class

     8,251  

Miscellaneous

     2,679  

Shareholder Service fees – Investor Class

     611  

Shareholder Service fees – Institutional Class

     16  

Trustees fees

     470  

Shareholder Communication fees

     141  
    

Total expenses

     243,115  

Fees waived and expenses reimbursed

     (75,120)  
    

Net expenses

     167,995  
    

NET INVESTMENT INCOME (LOSS)

     (107,270)  
    

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

  

NET REALIZED GAIN (LOSS) FROM:

  

Investments

     902,828  

Foreign currency

     4,861  
    

Net realized gain (loss)

     907,689  
    

NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:

  

Investments

         7,208,800  

Translation of assets and liabilities in foreign currencies

     32  
    

Net change in unrealized appreciation (depreciation)

     7,208,832  
    

NET REALIZED AND UNREALIZED GAIN (LOSS)

     8,116,521  
    

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 8,009,251  
    

SEE NOTES TO FINANCIAL STATEMENTS

79


STATEMENT OF OPERATIONS

For the Six Months Ended January 31, 2021 (Unaudited)

     Domini Impact

International

Equity Fund
 

INCOME

  

Dividends (net of foreign taxes $533,319)

   $ 9,793,533  

Interest income

     627  
    

Investment Income

     9,794,160  
    

EXPENSES

  

Management fees

     4,997,775  

Distribution fees – Investor Shares

     447,114  

Distribution fees – Class A Shares

     27,861  

Transfer agent fees – Investor Shares

     247,778  

Transfer agent fees – Class A Shares

     7,671  

Transfer agent fees – Institutional Shares

     1,291  

Transfer agent fees – Class Y Shares

     78,329  

Custody and Accounting fees

     247,907  

Miscellaneous

     119,681  

Registration fees – Investor Shares

     26,220  

Registration fees – Class A Shares

     15,692  

Registration fees – Institutional Shares

     5,597  

Registration fees – Class Y Shares

     30,093  

Shareholder Communication fees

     73,914  

Professional fees

     55,364  

Trustees fees

     21,570  

Shareholder Service fees – Investor Shares

     9,497  

Shareholder Service fees – Class A Shares

     393  

Shareholder Service fees – Institutional Shares

     216  

Shareholder Service fees – Class Y Shares

     38  
    

Total expenses

     6,414,001  

Fees waived and expenses reimbursed

     (3,943)  
    

Net expenses

     6,410,058  
    

NET INVESTMENT INCOME (LOSS)

     3,384,102  
    

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

  

NET REALIZED GAIN (LOSS) FROM:

  

Investments

     60,874,236  

Foreign currency

     118,387  
    

Net realized gain (loss)

     60,992,623  
    

NET CHANGES IN UNREALIZED APPRECIATION (DEPRECIATION) FROM:

  

Investments

     108,088,864  

Translation of assets and liabilities in foreign currencies

     92,954  
    

Net change in unrealized appreciation (depreciation)

     108,181,818  
    

NET REALIZED AND UNREALIZED GAIN (LOSS)

     169,174,441  
    

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $     172,558,543  
    

SEE NOTES TO FINANCIAL STATEMENTS

80


DOMINI IMPACT EQUITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

     Six Months

Ended

January 31, 2021

(unaudited)
     Year Ended

July 31, 2020
 

INCREASE IN NET ASSETS

     

FROM OPERATIONS

     

Net investment income (loss)

   $ 1,945,754      $ 5,392,589  

Net realized gain (loss)

     12,664,688        10,673,042  

Net change in unrealized appreciation (depreciation)

     129,925,763        141,328,642  
         

Net Increase (Decrease) in Net Assets Resulting from Operations

     144,536,205        157,394,273  
         

DISTRIBUTIONS TO SHAREHOLDERS

     

Investor Shares

     (17,855,861)        (16,690,995)  

Class A Shares

     (155,207)        (154,455)  

Institutional Shares

     (3,244,104)        (3,065,786)  

Class Y Shares (formerly Class R Shares)

     (169,012)        (402,768)  
         

Net Decrease in Net Assets from Distributions

     (21,424,184)        (20,314,004)  
         

CAPITAL SHARE TRANSACTIONS

     

Proceeds from sale of shares

     26,067,781        32,168,636  

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

     19,696,146        19,005,879  

Payments for shares redeemed

     (41,201,662)        (112,440,380)  

Redemption fees

     16,246        7,097  
         

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

     4,578,511        (61,258,768)  
         

Total Increase (Decrease) in Net Assets

     127,690,532        75,821,501  
         

NET ASSETS

     

Beginning of period

   $ 844,736,346      $ 768,914,845  
         

End of period

   $ 972,426,878      $ 844,736,346  
         

SEE NOTES TO FINANCIAL STATEMENTS

81


DOMINI INTERNATIONAL OPPORTUNITIES FUND

STATEMENTS OF CHANGES IN NET ASSETS

     For the Period

November 30, 
2020

(commencement of

operations) through

January 31, 2021

(unaudited)
 

INCREASE IN NET ASSETS

  

FROM OPERATIONS

  

Net investment income (loss)

   $ (26,021)  

Net realized gain (loss)

     (25,731)  

Net change in unrealized appreciation (depreciation)

     567,423  
    

Net Increase (Decrease) in Net Assets Resulting from Operations

     515,671  
    

DISTRIBUTIONS TO SHAREHOLDERS

  

Investor Class

      

Institutional Class

      
    

Net Decrease in Net Assets from Distributions

      
    

CAPITAL SHARE TRANSACTIONS

  

Proceeds from sale of shares

     23,142,597  

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

      

Payments for shares redeemed

     (10,294)  

Redemption fees

      
    

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

     23,132,303  
    

Total Increase (Decrease) in Net Assets

     23,647,974  
    

NET ASSETS

  

Beginning of period

   $  
    

End of period

   $ 23,647,974  
    

SEE NOTES TO FINANCIAL STATEMENTS

82


DOMINI SUSTAINABLE SOLUTIONS FUND

STATEMENTS OF CHANGES IN NET ASSETS

     Six Months

Ended

January 31, 
2021

(unaudited)
     For the Period

April 1, 2020

(commencement

of operations)

through July 31,

2020
 

INCREASE IN NET ASSETS

     

FROM OPERATIONS

     

Net investment income (loss)

   $ (107,270)      $ (28,931)  

Net realized gain (loss)

     907,689        267,659  

Net change in unrealized appreciation (depreciation)

     7,208,832        4,439,027  
         

Net Increase (Decrease) in Net Assets Resulting from Operations

     8,009,251        4,677,755  
         

DISTRIBUTIONS TO SHAREHOLDERS

     

Investor Class

     (428,316)         

Institutional Class

     (590,496)         
         

Net Decrease in Net Assets from Distributions

     (1,018,812)         
         

CAPITAL SHARE TRANSACTIONS

     

Proceeds from sale of shares

     9,512,018        15,721,328  

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

     1,006,232         

Payments for shares redeemed

     (1,316,597)        (641,146)  

Redemption fees

     3         
         

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

     9,201,656        15,080,182  
         

Total Increase (Decrease) in Net Assets

     16,192,095        19,757,937  
         

NET ASSETS

     

Beginning of period

   $ 19,757,937      $  
         

End of period

   $ 35,950,032      $ 19,757,937  
         

SEE NOTES TO FINANCIAL STATEMENTS

83


DOMINI IMPACT INTERNATIONAL EQUITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

     Six Months

Ended

January 31, 2021

(unaudited)
     Year Ended

July 31, 2020
 

INCREASE (DECREASE) IN NET ASSETS

     

FROM OPERATIONS

     

Net investment income (loss)

   $ 3,384,102      $ 12,990,751  

Net realized gain (loss)

     60,992,623        (65,181,633)  

Net change in unrealized appreciation (depreciation)

     108,181,818        14,745,861  
         

Net Increase (Decrease) in Net Assets Resulting from Operations

     172,558,543        (37,445,021)  
         

DISTRIBUTIONS TO SHAREHOLDERS

     

Investor Shares

     (1,652,734)        (11,113,787)  

Class A Shares

     (108,542)        (528,371)  

Institutional Shares

     (5,477,410)        (16,980,431)  

Class Y Shares

     (3,768,131)        (5,670,750)  
         

Net Decrease in Net Assets from Distributions

     (11,006,817)        (34,293,339)  
         

CAPITAL SHARE TRANSACTIONS

     

Proceeds from sale of shares

     326,566,449        402,564,549  

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

     8,878,948        27,442,828  

Payments for shares redeemed

     (289,861,078)        (513,861,795)  

Redemption fees

     1,471        13,533  
         

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

     45,585,790        (83,840,885)  
         

Total Increase (Decrease) in Net Assets

     207,137,516        (155,579,245)  
         

NET ASSETS

     

Beginning of period

   $ 1,065,318,024      $ 1,220,897,269  
         

End of period

   $ 1,272,455,540      $ 1,065,318,024  
         

SEE NOTES TO FINANCIAL STATEMENTS

84


DOMINI IMPACT EQUITY FUND — INVESTOR
SHARES

FINANCIAL HIGHLIGHTS

    Six Months

Ended

January 31, 2021

(unaudited)
    Year Ended July 31,  
    2020     2019     2018     2017^     2016^  

For a share outstanding for the period:

           

Net asset value, beginning of period

    $26.72       $ 22.48       $24.18       $23.18 ^      $20.76       $22.70  
                       

Income from investment operations:

           

Net investment income (loss)

    0.05 1      0.15 1       0.18       0.27 1       0.21 1       0.45  

Net realized and unrealized gain (loss) on investments

    4.54 1      4.69 1       0.81       2.09 1       2.69       (1.04)  
                       

Total Income (loss) From Investment Operations

    4.59       4.84       0.99       2.36       2.90       (0.59)  
                       

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.04)       (0.14)       (0.21)       (0.17) ^       (0.12)       (0.24)  

Distributions to shareholders from net realized gain

    (0.63)       (0.46)       (2.48)       (1.19)^       (0.36)       (1.10)  

Tax return of capital 1

                                  (0.01)  
                       

Total Distributions

    (0.67)       (0.60)       (2.69)       (1.36)       (0.48)       (1.35)  
                       

Redemption fee proceeds 1

    0.00 2      0.00 2      0.00 2      0.00 2      0.00 2      0.00 2 
                       

Net asset value, end of period

    $30.64       $ 26.72       $22.48       $24.18       $23.18       $20.76  
                       

Total return 3

    17.24%       21.98%       6.31%       10.32%       14.07%       -2.47%  

Portfolio turnover

    6%       21%       95%       78%       85%       91%  

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $828       $ 719       $643       $669       $ 675       $ 656  

Ratio of expenses to average net assets

    1.09%       1.08% 4,5      1.07% 4,5      1.10%       1.14%       1.14%  

Ratio of gross expenses to average net assets

    1.09%       1.09%       1.09%       1.10%       1.14%       1.14%  

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

    0.37%       0.65%       0.96%       1.15%       0.94%       2.06%  

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, the Sponsor and the
Distributor of the Fund.

5 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.

^ 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

85


DOMINI IMPACT EQUITY FUND —
CLASS A SHARES

FINANCIAL HIGHLIGHTS

    Six
Months

Ended

January 31, 2021


(unaudited)
    Year Ended July 31,  
    2020     2019     2018     2017^     2016^  

For a share outstanding for the period:

           

Net asset value, beginning of period

    $26.70       $ 22.46       $24.17       $33.41 ^      $34.01       $48.90  
                       

Income from investment operations:

           

Net investment income (loss)

    0.05 1      0.15 1       0.23       0.31 1       0.32 1       1.53  

Net realized and unrealized gain (loss) on investments

    4.54 1      4.69 1       0.75       2.84 1       4.14       (3.19)  
                       

Total Income (loss) From Investment Operations

    4.59       4.84       0.98       3.15       4.46       (1.66)  
                       

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.05)       (0.14)       (0.21)       (1.35) ^      (1.72)       (3.02)  

Distributions to shareholders from net realized gain

    (0.63)       (0.46)       (2.48)       (11.04) ^      (3.34)       (10.21)  

Tax return of capital 1

                                  (0.00) 2  
                       

Total Distributions

    (0.68)       (0.60)       (2.69)       (12.39)       (5.06)       (13.23)  
                       

Redemption fee proceeds 1

                0.00 2                    
                       

Net asset value, end of period

    $30.61       $ 26.70       $22.46       $24.17       $33.41       $34.01  
                       

Total return 3

    17.24%       22.01%       6.28%       10.36%       13.97%       -2.61%  

Portfolio turnover

    6%       21%       95%       78%       85%       91%  

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $7       $6       $7       $7       $ 8       $ 8  

Ratio of expenses to average net assets

    1.09% 4       1.09% 4,5      1.09% 4,5      1.12% 4       1.16% 4       1.18% 4 

Ratio of gross expenses to average net assets

    1.52%       1.47%       1.43%       1.38%       1.46%       1.41%  

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

    0.37%       0.64%       0.95%       1.14%       0.92%       2.00%  

1 Based on average shares outstanding.

2 Amount represents less than $0.005 per share.

3 Total return does not reflect sales commissions and is not
annualized for periods less than one year.

4 Reflects a
waiver of fees by the Manager, the Sponsor and the Distributor of the Fund.

5 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.

^ 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

86


DOMINI IMPACT EQUITY FUND —
INSTITUTIONAL SHARES

FINANCIAL HIGHLIGHTS

    Six
Months

Ended

January 31, 2021


(unaudited)
    Year Ended July 31,  
    2020     2019     2018     2017     2016  

For a share outstanding for the period:

           

Net asset value, beginning of period

    $26.59       $22.41       $24.18       $24.46       $22.40       $25.95  
                       

Income from investment operations:

           

Net investment income (loss)

    0.11 1      0.23 1       0.08       0.37       0.31 1       0.55  

Net realized and unrealized gain (loss) on investments

    4.51 1      4.67 1       0.98       2.17       2.87       (1.20)  
                       

Total Income (loss) From Investment Operations

    4.62       4.90       1.06       2.54       3.18       (0.65)  
                       

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.14)       (0.26)       (0.35)       (0.44)       (0.40)       (0.70)  

Distributions to shareholders from net realized gain

    (0.63)       (0.46)       (2.48)       (2.38)       (0.72)       (2.20)  

Tax return of capital 1

                                  (0.00) 2  
                       

Total Distributions

    (0.77)       (0.72)       (2.83)       (2.82)       (1.12)       (2.90)  
                       

Redemption fee proceeds 1

    0.00 2      0.00 2      0.00 2      0.00 2      0.00 2      0.00 2 
                       

Net asset value, end of period

    $30.44       $26.59       $22.41       $24.18       $24.46       $22.40  
                       

Total return 3

    17.44%       22.43%       6.69%       10.68%       14.51%       -2.14%  

Portfolio turnover

    6%       21%       95%       78%       85%       91%  

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $129       $ 113       $ 99       $ 120       $ 157       $ 205  

Ratio of expenses to average net assets

    0.74%       0.74% 5       0.74% 4,5      0.74% 4       0.79%       0.80% 4 

Ratio of gross expenses to average net assets

    0.74%       0.74%       0.76%       0.76%       0.79%       0.81%  

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

    0.72%       0.99%       1.31%       1.52%       1.31%       2.40%  

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 Sponsor of the
Fund.

5 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.

SEE NOTES TO FINANCIAL STATEMENTS

87


DOMINI IMPACT EQUITY FUND —
CLASS Y SHARES (FORMERLY CLASS R SHARES)

FINANCIAL HIGHLIGHTS

    Six
Months

Ended

January 31, 2021


(unaudited)
    Year Ended July 31,  
    2020     2019     2018     2017^     2016^  

For a share outstanding for the period:

           

Net Asset Value, beginning of period

    $26.62       $ 22.42       $24.18       $37.86 ^      $39.86       $60.43  
                       

Income from investment operations:

           

Net investment income (loss)

    0.09 1      0.21 1       3.04       0.41 1       0.51 1       3.15  

Net realized and unrealized gain (loss) on investments

    4.52 1      4.68 1       (2.00)       3.21 1       4.69       (5.08)  
                       

Total Income (loss) From Investment Operations

    4.61       4.89       1.04       3.62       5.20       (1.93)  
                       

Less dividends and/or distributions:

           

Dividends to shareholders from net investment income

    (0.11)       (0.23)       (0.32)       (2.00) ^       (2.57)       (4.50)  

Distributions to shareholders from net realized gain

    (0.63)       (0.46)       (2.48)       (15.30) ^      (4.63)       (14.14)  

Tax return of capital 1

                                  (0.00) 2  
                       

Total Distributions

    (0.74)       (0.69)       (2.80)       (17.30)       (7.20)       (18.64)  
                       

Redemption fee proceeds 1

    0.00 2       0.00 2       0.00 2       0.00 2       0.00 2       0.00 2  
                       

Net asset value, end of period

    $30.49       $ 26.62       $22.42       $ 24.18       $37.86       $39.86  
                       

Total return 3

    17.39%       22.34%       6.62%       10.71%       14.20%       -2.22%  

Portfolio turnover

    6%       21%       95%       78%       85%       91%  

Ratios/supplemental data (annualized):

           

Net assets, end of period (in millions)

    $8       $6       $ 20       $18       $ 21       $ 44  

Ratio of expenses to average net assets

    0.80% 4       0.79% 4,5      0.80% 4,5      0.80% 4       0.83% 4       0.82%  

Ratio of gross expenses to average net assets