The Blue Cross Blue Shield of Massachusetts Foundation's annual report contains audited financial statements. Additional information about the Foundation's assets, investments, and expenses can be found in the 990 forms that the Foundation files annually with the Internal Revenue Service. 

Guidestar, an organization dedicated to revolutionizing philanthropy and nonprofit practice by making the financial information of charitable organizations more transparent, has excellent information on how to read a 990 tax form. However, Guidestar also provides the following caveat about 990 forms: 

Although Forms 990 can provide a snapshot of the financial health and expenditures of an organization at a specific time, they are virtually useless in comparing one organization to another unless the organizations are of similar size, age, geography, and field of activity. Further, they tell us nothing about the ultimate or relative effectiveness of an organization with respect to meeting its objectives. This is the true bottom line of charity. Form 990 data are most useful for examining the evolving health and financial practices of an organization over a period of time.