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: 811-09877
CALVERT RESPONSIBLE INDEX SERIES, INC.
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(202) 238-2200
(Registrant’s Telephone Number)
September 30
Date of Fiscal Year End
September 30, 2020
Date of Reporting Period
Item 1. | Reports to Stockholders |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 06/30/2000 | 06/30/2000 | 21.18% | 14.54% | 13.93% |
Class A with 4.75% Maximum Sales Charge | — | — | 15.41 | 13.44 | 13.38 |
Class C at NAV | 06/30/2000 | 06/30/2000 | 20.30 | 13.68 | 13.00 |
Class C with 1% Maximum Sales Charge | — | — | 19.30 | 13.68 | 13.00 |
Class I at NAV | 06/30/2000 | 06/30/2000 | 21.45 | 14.90 | 14.41 |
Class R6 at NAV | 10/03/2017 | 06/30/2000 | 21.55 | 14.92 | 14.42 |
Russell 1000® Index | — | — | 16.01% | 14.08% | 13.74% |
Calvert US Large-Cap Core Responsible Index | — | — | 21.87 | 15.23 | 14.74 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.62% | 1.38% | 0.37% | 0.32% |
Net | 0.49 | 1.24 | 0.24 | 0.19 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2010 | $33,968 | N.A. |
Class I | $100,000 | 09/30/2010 | $384,689 | N.A. |
Class R6 | $1,000,000 | 09/30/2010 | $3,849,269 | N.A. |
Top 10 Holdings (% of net assets)* | |
Apple, Inc. | 6.6% |
Microsoft Corp. | 5.2 |
Amazon.com, Inc. | 4.5 |
Alphabet, Inc., Class A | 2.9 |
Visa, Inc., Class A | 1.2 |
Procter & Gamble Co. (The) | 1.2 |
NVIDIA Corp. | 1.2 |
Tesla, Inc. | 1.2 |
MasterCard, Inc., Class A | 1.1 |
JPMorgan Chase & Co. | 1.1 |
Total | 26.2% |
* | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell 1000® Index is an unmanaged index of U.S. large-cap stocks. Calvert US Large-Cap Core Responsible Index (the “Calvert Index”) is composed of common stocks of large companies that operate their businesses in a manner consistent with the Calvert Principles for Responsible Investment. Large companies are the 1,000 largest publicly traded U.S. companies based on market capitalization, excluding real estate investment trusts and business development companies. The Calvert Principles for Responsible Investment serve as a framework for considering environmental, social and governance factors that may affect investment performance. Stocks are weighted in the Calvert Index based on their float-adjusted market capitalization within the relevant sector, subject to certain prescribed limits. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked. |
Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. | |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. |
Beginning Account Value (4/1/20) | Ending Account Value (9/30/20) | Expenses Paid During Period* (4/1/20 – 9/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,356.00 | $2.89 ** | 0.49% |
Class C | $1,000.00 | $1,351.10 | $7.29 ** | 1.24% |
Class I | $1,000.00 | $1,357.60 | $1.41 ** | 0.24% |
Class R6 | $1,000.00 | $1,358.40 | $1.12 ** | 0.19% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.55 | $2.48 ** | 0.49% |
Class C | $1,000.00 | $1,018.80 | $6.26 ** | 1.24% |
Class I | $1,000.00 | $1,023.80 | $1.21 ** | 0.24% |
Class R6 | $1,000.00 | $1,024.05 | $0.96 ** | 0.19% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2020. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 99.7% |
Security | Shares | Value | |
Aerospace & Defense — 0.2% | |||
Axon Enterprise, Inc.(1) | 11,209 | $ 1,016,656 | |
Curtiss-Wright Corp. | 6,547 | 610,573 | |
HEICO Corp. | 6,668 | 697,873 | |
Hexcel Corp. | 12,890 | 432,460 | |
Mercury Systems, Inc.(1) | 6,654 | 515,419 | |
Teledyne Technologies, Inc.(1) | 5,720 | 1,774,401 | |
$ 5,047,382 | |||
Air Freight & Logistics — 0.8% | |||
C.H. Robinson Worldwide, Inc. | 14,675 | $ 1,499,638 | |
Expeditors International of Washington, Inc. | 19,232 | 1,740,881 | |
FedEx Corp. | 28,056 | 7,056,645 | |
United Parcel Service, Inc., Class B | 82,052 | 13,672,325 | |
$ 23,969,489 | |||
Airlines — 0.2% | |||
Alaska Air Group, Inc. | 13,638 | $ 499,560 | |
American Airlines Group, Inc.(2) | 65,993 | 811,054 | |
Delta Air Lines, Inc. | 74,990 | 2,293,194 | |
JetBlue Airways Corp.(1) | 34,796 | 394,239 | |
Southwest Airlines Co. | 68,883 | 2,583,112 | |
$ 6,581,159 | |||
Auto Components — 0.2% | |||
Aptiv PLC | 30,267 | $ 2,774,879 | |
Autoliv, Inc. | 10,909 | 795,048 | |
BorgWarner, Inc. | 23,875 | 924,917 | |
Gentex Corp. | 28,406 | 731,455 | |
Lear Corp. | 6,901 | 752,554 | |
$ 5,978,853 | |||
Automobiles — 1.3% | |||
Ford Motor Co. | 452,566 | $ 3,014,090 | |
Harley-Davidson, Inc. | 17,804 | 436,910 | |
Tesla, Inc.(1) | 80,534 | 34,549,891 | |
Thor Industries, Inc. | 6,696 | 637,861 | |
$ 38,638,752 | |||
Banks — 3.6% | |||
Bank of America Corp. | 911,734 | $ 21,963,672 | |
Bank OZK | 12,949 | 276,073 | |
BOK Financial Corp. | 2,833 | 145,928 | |
Citigroup, Inc. | 267,512 | 11,532,442 | |
Citizens Financial Group, Inc. | 51,382 | 1,298,937 |
Security | Shares | Value | |
Banks (continued) | |||
Comerica, Inc. | 15,563 | $ 595,285 | |
Commerce Bancshares, Inc. | 12,353 | 695,350 | |
Community Bank System, Inc. | 6,817 | 371,254 | |
Cullen/Frost Bankers, Inc. | 6,637 | 424,436 | |
East West Bancorp, Inc. | 19,690 | 644,651 | |
Fifth Third Bancorp | 86,935 | 1,853,454 | |
First Citizens Bancshares, Inc., Class A | 592 | 188,718 | |
First Financial Bankshares, Inc. | 16,059 | 448,207 | |
First Horizon National Corp. | 80,133 | 755,654 | |
First Republic Bank | 20,850 | 2,273,901 | |
Glacier Bancorp, Inc. | 10,837 | 347,326 | |
Huntington Bancshares, Inc. | 126,353 | 1,158,657 | |
JPMorgan Chase & Co. | 334,070 | 32,160,919 | |
KeyCorp | 118,596 | 1,414,850 | |
M&T Bank Corp. | 15,369 | 1,415,331 | |
People's United Financial, Inc. | 46,049 | 474,765 | |
Pinnacle Financial Partners, Inc. | 9,033 | 321,484 | |
PNC Financial Services Group, Inc. (The) | 54,979 | 6,042,742 | |
Popular, Inc. | 8,844 | 320,772 | |
Prosperity Bancshares, Inc. | 12,231 | 633,933 | |
Regions Financial Corp. | 122,502 | 1,412,448 | |
Signature Bank | 6,217 | 515,949 | |
SVB Financial Group(1) | 6,192 | 1,489,919 | |
Synovus Financial Corp. | 16,695 | 353,433 | |
TCF Financial Corp. | 17,994 | 420,340 | |
Truist Financial Corp. | 172,469 | 6,562,445 | |
U.S. Bancorp | 194,675 | 6,979,099 | |
United Bankshares, Inc. | 13,383 | 287,333 | |
Valley National Bancorp | 46,832 | 320,799 | |
Western Alliance Bancorp | 10,724 | 339,093 | |
Zions Bancorp NA | 19,371 | 566,021 | |
$ 107,005,620 | |||
Beverages — 1.6% | |||
Coca-Cola Co. (The) | 461,252 | $ 22,772,011 | |
Keurig Dr Pepper, Inc. | 69,648 | 1,922,285 | |
PepsiCo, Inc. | 164,568 | 22,809,125 | |
$ 47,503,421 | |||
Biotechnology — 3.7% | |||
AbbVie, Inc. | 216,394 | $ 18,953,950 | |
ACADIA Pharmaceuticals, Inc.(1) | 16,716 | 689,535 | |
Acceleron Pharma, Inc.(1) | 8,662 | 974,735 | |
Agios Pharmaceuticals, Inc.(1) | 7,866 | 275,310 | |
Alexion Pharmaceuticals, Inc.(1) | 29,222 | 3,343,873 | |
Allakos, Inc.(1)(2) | 3,214 | 261,780 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Allogene Therapeutics, Inc.(1) | 6,714 | $ 253,185 | |
Alnylam Pharmaceuticals, Inc.(1) | 14,929 | 2,173,662 | |
Amgen, Inc. | 73,987 | 18,804,536 | |
Amicus Therapeutics, Inc.(1) | 29,607 | 418,051 | |
Arena Pharmaceuticals, Inc.(1) | 6,445 | 482,022 | |
Arrowhead Pharmaceuticals, Inc.(1) | 11,948 | 514,481 | |
Biogen, Inc.(1) | 21,150 | 5,999,832 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 5,459 | 354,890 | |
BioMarin Pharmaceutical, Inc.(1) | 24,584 | 1,870,351 | |
Bluebird Bio, Inc.(1) | 10,675 | 575,916 | |
Blueprint Medicines Corp.(1) | 6,519 | 604,311 | |
Bridgebio Pharma, Inc.(1)(2) | 9,400 | 352,688 | |
ChemoCentryx, Inc.(1) | 5,658 | 310,058 | |
Deciphera Pharmaceuticals, Inc.(1) | 3,143 | 161,236 | |
Denali Therapeutics, Inc.(1) | 9,287 | 332,753 | |
Emergent BioSolutions, Inc.(1) | 5,720 | 591,048 | |
Exact Sciences Corp.(1) | 19,851 | 2,023,809 | |
Exelixis, Inc.(1) | 39,788 | 972,817 | |
FibroGen, Inc.(1) | 12,639 | 519,716 | |
Gilead Sciences, Inc. | 170,990 | 10,804,858 | |
Global Blood Therapeutics, Inc.(1) | 7,030 | 387,634 | |
Halozyme Therapeutics, Inc.(1) | 16,349 | 429,652 | |
Immunomedics, Inc.(1) | 28,692 | 2,439,681 | |
Incyte Corp.(1) | 25,217 | 2,262,974 | |
Ionis Pharmaceuticals, Inc.(1) | 19,122 | 907,339 | |
Iovance Biotherapeutics, Inc.(1) | 21,286 | 700,735 | |
Mirati Therapeutics, Inc.(1) | 4,701 | 780,601 | |
Moderna, Inc.(1) | 44,653 | 3,159,200 | |
Momenta Pharmaceuticals, Inc.(1) | 15,015 | 787,987 | |
Natera, Inc.(1) | 9,134 | 659,840 | |
Neurocrine Biosciences, Inc.(1) | 11,723 | 1,127,284 | |
PTC Therapeutics, Inc.(1) | 7,817 | 365,445 | |
Regeneron Pharmaceuticals, Inc.(1) | 13,610 | 7,618,606 | |
Sarepta Therapeutics, Inc.(1) | 10,726 | 1,506,252 | |
Seattle Genetics, Inc. | 17,286 | 3,382,697 | |
Ultragenyx Pharmaceutical, Inc.(1) | 6,228 | 511,879 | |
United Therapeutics Corp.(1) | 5,771 | 582,871 | |
Vertex Pharmaceuticals, Inc.(1) | 34,672 | 9,434,945 | |
Vir Biotechnology, Inc.(1)(2) | 5,071 | 174,087 | |
$ 109,839,112 | |||
Building Products — 0.7% | |||
AAON, Inc. | 6,418 | $ 386,685 | |
Advanced Drainage Systems, Inc. | 8,462 | 528,367 | |
Allegion PLC | 14,742 | 1,458,131 | |
Armstrong World Industries, Inc. | 4,063 | 279,575 | |
Carrier Global Corp. | 92,118 | 2,813,284 |
Security | Shares | Value | |
Building Products (continued) | |||
Fortune Brands Home & Security, Inc. | 13,324 | $ 1,152,792 | |
Johnson Controls International PLC | 119,502 | 4,881,657 | |
Masco Corp. | 25,263 | 1,392,749 | |
Owens Corning | 31,552 | 2,171,093 | |
Trane Technologies PLC | 38,423 | 4,658,789 | |
Trex Co., Inc.(1) | 11,030 | 789,748 | |
UFP Industries, Inc. | 5,762 | 325,611 | |
$ 20,838,481 | |||
Capital Markets — 3.5% | |||
Affiliated Managers Group, Inc. | 5,309 | $ 363,029 | |
Ameriprise Financial, Inc. | 15,042 | 2,318,123 | |
Ares Management Corp., Class A | 14,107 | 570,205 | |
Bank of New York Mellon Corp. (The) | 115,734 | 3,974,306 | |
BlackRock, Inc. | 18,194 | 10,253,229 | |
Blackstone Group, Inc. (The), Class A | 85,160 | 4,445,352 | |
Cboe Global Markets, Inc. | 12,928 | 1,134,303 | |
Charles Schwab Corp. (The) | 150,849 | 5,465,259 | |
CME Group, Inc. | 44,773 | 7,490,971 | |
Cohen & Steers, Inc. | 2,842 | 158,413 | |
E*Trade Financial Corp. | 28,162 | 1,409,508 | |
FactSet Research Systems, Inc. | 4,360 | 1,460,077 | |
Franklin Resources, Inc. | 33,300 | 677,655 | |
Goldman Sachs Group, Inc. (The) | 42,174 | 8,475,709 | |
Hamilton Lane, Inc., Class A | 2,912 | 188,086 | |
Houlihan Lokey, Inc. | 5,313 | 313,733 | |
Interactive Brokers Group, Inc., Class A | 8,582 | 414,768 | |
Intercontinental Exchange, Inc. | 66,919 | 6,695,246 | |
Invesco, Ltd. | 40,979 | 467,570 | |
KKR & Co., Inc. | 68,356 | 2,347,345 | |
Lazard, Ltd., Class A | 13,096 | 432,823 | |
LPL Financial Holdings, Inc. | 10,767 | 825,506 | |
MarketAxess Holdings, Inc. | 4,607 | 2,218,685 | |
Moody's Corp. | 18,953 | 5,493,527 | |
Morgan Stanley | 157,287 | 7,604,826 | |
Morningstar, Inc. | 2,333 | 374,703 | |
MSCI, Inc. | 9,881 | 3,525,343 | |
Nasdaq, Inc. | 14,211 | 1,743,832 | |
Northern Trust Corp. | 25,243 | 1,968,197 | |
Owl Rock Capital Corp. | 44,615 | 538,057 | |
Raymond James Financial, Inc. | 16,236 | 1,181,331 | |
S&P Global, Inc. | 27,585 | 9,947,151 | |
SEI Investments Co. | 14,768 | 749,033 | |
State Street Corp. | 46,341 | 2,749,412 | |
Stifel Financial Corp. | 6,656 | 336,527 | |
T. Rowe Price Group, Inc. | 30,108 | 3,860,448 | |
TD Ameritrade Holding Corp. | 34,443 | 1,348,443 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Virtu Financial, Inc., Class A | 16,534 | $ 380,447 | |
$ 103,901,178 | |||
Chemicals — 1.6% | |||
Air Products & Chemicals, Inc. | 35,443 | $ 10,557,052 | |
Ashland Global Holdings, Inc. | 9,807 | 695,512 | |
Axalta Coating Systems, Ltd.(1) | 34,588 | 766,816 | |
Celanese Corp. | 18,703 | 2,009,637 | |
Eastman Chemical Co. | 21,664 | 1,692,392 | |
Ecolab, Inc. | 40,056 | 8,004,791 | |
FMC Corp. | 20,411 | 2,161,729 | |
International Flavors & Fragrances, Inc. | 16,911 | 2,070,752 | |
LyondellBasell Industries NV, Class A | 41,166 | 2,901,791 | |
Mosaic Co. (The) | 56,316 | 1,028,893 | |
PPG Industries, Inc. | 37,973 | 4,635,744 | |
Quaker Chemical Corp.(2) | 2,087 | 375,055 | |
Sherwin-Williams Co. (The) | 13,125 | 9,144,713 | |
WR Grace & Co. | 8,648 | 348,428 | |
$ 46,393,305 | |||
Commercial Services & Supplies — 0.7% | |||
ADT, Inc. | 16,799 | $ 137,248 | |
Cintas Corp. | 8,791 | 2,925,909 | |
Copart, Inc.(1) | 20,566 | 2,162,721 | |
IAA, Inc.(1) | 15,744 | 819,790 | |
MSA Safety, Inc. | 5,497 | 737,532 | |
Republic Services, Inc. | 43,915 | 4,099,465 | |
Tetra Tech, Inc. | 11,312 | 1,080,296 | |
UniFirst Corp. | 1,093 | 206,981 | |
Waste Management, Inc. | 80,901 | 9,155,566 | |
$ 21,325,508 | |||
Communications Equipment — 0.9% | |||
Arista Networks, Inc.(1) | 5,548 | $ 1,148,048 | |
Ciena Corp.(1) | 16,442 | 652,583 | |
Cisco Systems, Inc. | 475,248 | 18,720,019 | |
F5 Networks, Inc.(1) | 6,025 | 739,689 | |
Juniper Networks, Inc. | 34,949 | 751,403 | |
Lumentum Holdings, Inc.(1) | 9,562 | 718,393 | |
Motorola Solutions, Inc. | 18,295 | 2,868,839 | |
$ 25,598,974 | |||
Construction & Engineering — 0.1% | |||
AECOM (1) | 33,272 | $ 1,392,101 | |
EMCOR Group, Inc. | 10,155 | 687,595 | |
MasTec, Inc.(1) | 10,852 | 457,954 |
Security | Shares | Value | |
Construction & Engineering (continued) | |||
Quanta Services, Inc. | 30,376 | $ 1,605,675 | |
$ 4,143,325 | |||
Construction Materials — 0.3% | |||
Martin Marietta Materials, Inc. | 17,986 | $ 4,233,185 | |
Vulcan Materials Co. | 38,115 | 5,166,107 | |
$ 9,399,292 | |||
Consumer Finance — 0.7% | |||
Ally Financial, Inc. | 49,711 | $ 1,246,255 | |
American Express Co. | 83,077 | 8,328,469 | |
Capital One Financial Corp. | 59,109 | 4,247,573 | |
Credit Acceptance Corp.(1)(2) | 1,437 | 486,626 | |
Discover Financial Services | 37,894 | 2,189,515 | |
FirstCash, Inc. | 4,396 | 251,495 | |
LendingTree, Inc.(1) | 742 | 227,712 | |
OneMain Holdings, Inc. | 8,601 | 268,781 | |
Santander Consumer USA Holdings, Inc. | 14,537 | 264,428 | |
SLM Corp. | 48,615 | 393,295 | |
Synchrony Financial | 78,050 | 2,042,569 | |
$ 19,946,718 | |||
Containers & Packaging — 0.5% | |||
AptarGroup, Inc. | 10,511 | $ 1,189,845 | |
Avery Dennison Corp. | 13,331 | 1,704,235 | |
Ball Corp. | 52,292 | 4,346,511 | |
Berry Global Group, Inc.(1) | 22,530 | 1,088,650 | |
Crown Holdings, Inc.(1) | 20,932 | 1,608,834 | |
Packaging Corp. of America | 14,782 | 1,611,977 | |
Silgan Holdings, Inc. | 11,724 | 431,091 | |
Sonoco Products Co. | 17,050 | 870,743 | |
WestRock Co. | 42,077 | 1,461,755 | |
$ 14,313,641 | |||
Distributors — 0.1% | |||
Genuine Parts Co. | 14,308 | $ 1,361,692 | |
LKQ Corp.(1) | 28,044 | 777,660 | |
Pool Corp. | 3,768 | 1,260,547 | |
$ 3,399,899 | |||
Diversified Consumer Services — 0.2% | |||
Bright Horizons Family Solutions, Inc.(1) | 8,169 | $ 1,242,015 | |
Chegg, Inc.(1)(2) | 12,370 | 883,713 | |
frontdoor, Inc.(1) | 7,418 | 288,634 | |
Grand Canyon Education, Inc.(1) | 4,376 | 349,817 | |
H&R Block, Inc. | 16,968 | 276,409 |
Security | Shares | Value | |
Diversified Consumer Services (continued) | |||
Service Corp. International | 18,074 | $ 762,361 | |
ServiceMaster Global Holdings, Inc. | 15,248 | 608,090 | |
Strategic Education, Inc. | 2,310 | 211,296 | |
$ 4,622,335 | |||
Diversified Financial Services — 0.1% | |||
Cannae Holdings, Inc.(1) | 8,871 | $ 330,533 | |
Equitable Holdings, Inc. | 50,991 | 930,076 | |
Jefferies Financial Group, Inc. | 31,163 | 560,934 | |
Voya Financial, Inc. | 19,845 | 951,171 | |
$ 2,772,714 | |||
Diversified Telecommunication Services — 1.8% | |||
AT&T, Inc. | 797,100 | $ 22,725,321 | |
CenturyLink, Inc. | 130,919 | 1,320,973 | |
Cogent Communications Holdings, Inc. | 4,435 | 266,322 | |
GCI Liberty, Inc., Class A(1) | 9,494 | 778,128 | |
Iridium Communications, Inc.(1) | 16,712 | 427,493 | |
Verizon Communications, Inc. | 462,932 | 27,539,824 | |
$ 53,058,061 | |||
Electric Utilities — 1.2% | |||
Alliant Energy Corp. | 52,327 | $ 2,702,690 | |
Avangrid, Inc. | 12,302 | 620,759 | |
Eversource Energy | 71,429 | 5,967,893 | |
Hawaiian Electric Industries, Inc. | 22,356 | 743,113 | |
NextEra Energy, Inc. | 63,138 | 17,524,583 | |
Portland General Electric Co. | 18,704 | 663,992 | |
Xcel Energy, Inc. | 110,923 | 7,654,796 | |
$ 35,877,826 | |||
Electrical Equipment — 0.9% | |||
Acuity Brands, Inc. | 6,339 | $ 648,797 | |
AMETEK, Inc. | 36,823 | 3,660,206 | |
Eaton Corp. PLC | 64,312 | 6,561,753 | |
Emerson Electric Co. | 95,651 | 6,271,836 | |
Generac Holdings, Inc.(1) | 10,022 | 1,940,660 | |
Hubbell, Inc. | 8,534 | 1,167,793 | |
nVent Electric PLC | 26,394 | 466,910 | |
Regal Beloit Corp. | 6,137 | 576,080 | |
Rockwell Automation, Inc. | 18,527 | 4,088,538 | |
Sensata Technologies Holding PLC(1) | 24,614 | 1,061,848 | |
Vertiv Holdings Co.(1) | 26,740 | 463,137 | |
$ 26,907,558 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components — 0.7% | |||
Amphenol Corp., Class A | 47,372 | $ 5,128,966 | |
Arrow Electronics, Inc.(1) | 6,901 | 542,833 | |
Avnet, Inc. | 7,362 | 190,234 | |
Coherent, Inc.(1) | 3,615 | 401,012 | |
Corning, Inc. | 86,804 | 2,813,317 | |
Dolby Laboratories, Inc., Class A | 6,538 | 433,339 | |
II-VI, Inc.(1) | 18,839 | 764,110 | |
IPG Photonics Corp.(1) | 3,804 | 646,566 | |
Jabil, Inc. | 15,935 | 545,933 | |
Keysight Technologies, Inc.(1) | 29,462 | 2,910,256 | |
Littelfuse, Inc. | 4,405 | 781,183 | |
National Instruments Corp. | 12,111 | 432,363 | |
Novanta, Inc.(1) | 4,758 | 501,208 | |
SYNNEX Corp. | 3,656 | 512,059 | |
Trimble, Inc.(1) | 39,636 | 1,930,273 | |
Zebra Technologies Corp., Class A(1) | 5,969 | 1,506,934 | |
$ 20,040,586 | |||
Energy Equipment & Services — 0.1% | |||
Baker Hughes Co. | 176,459 | $ 2,345,140 | |
$ 2,345,140 | |||
Entertainment — 2.3% | |||
Activision Blizzard, Inc. | 85,101 | $ 6,888,926 | |
Electronic Arts, Inc.(1) | 32,869 | 4,286,446 | |
Liberty Formula One Group, Series C(1) | 21,616 | 784,012 | |
Live Nation Entertainment, Inc.(1) | 16,583 | 893,492 | |
Madison Square Garden Sports Corp., Class A(1) | 1,503 | 226,172 | |
Netflix, Inc.(1) | 48,414 | 24,208,452 | |
Roku, Inc.(1) | 10,353 | 1,954,646 | |
Take-Two Interactive Software, Inc.(1) | 13,148 | 2,172,313 | |
Walt Disney Co. (The) | 206,986 | 25,682,823 | |
World Wrestling Entertainment, Inc., Class A(2) | 4,389 | 177,623 | |
Zynga, Inc., Class A(1) | 124,302 | 1,133,634 | |
$ 68,408,539 | |||
Food & Staples Retailing — 1.7% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 16,609 | $ 690,104 | |
Casey's General Stores, Inc. | 5,086 | 903,528 | |
Costco Wholesale Corp. | 45,808 | 16,261,840 | |
Grocery Outlet Holding Corp.(1) | 9,769 | 384,117 | |
Kroger Co. (The) | 118,515 | 4,018,844 | |
Performance Food Group Co.(1) | 20,960 | 725,635 | |
Sprouts Farmers Market, Inc.(1) | 16,818 | 352,001 | |
Sysco Corp. | 79,078 | 4,920,233 | |
US Foods Holding Corp.(1) | 29,592 | 657,534 |
Security | Shares | Value | |
Food & Staples Retailing (continued) | |||
Walmart, Inc. | 145,344 | $ 20,335,079 | |
$ 49,248,915 | |||
Food Products — 1.6% | |||
BellRing Brands, Inc., Class A(1) | 5,154 | $ 106,894 | |
Beyond Meat, Inc.(1)(2) | 8,509 | 1,413,005 | |
Bunge, Ltd. | 19,435 | 888,179 | |
Campbell Soup Co. | 28,309 | 1,369,306 | |
Conagra Brands, Inc. | 77,340 | 2,761,811 | |
Darling Ingredients, Inc.(1) | 27,322 | 984,412 | |
Flowers Foods, Inc. | 25,976 | 631,996 | |
Freshpet, Inc.(1) | 4,924 | 549,765 | |
General Mills, Inc. | 93,822 | 5,786,941 | |
Hain Celestial Group, Inc. (The)(1) | 11,948 | 409,816 | |
Hershey Co. (The) | 23,816 | 3,413,785 | |
Hormel Foods Corp.(2) | 41,521 | 2,029,962 | |
Ingredion, Inc. | 9,167 | 693,759 | |
JM Smucker Co. (The) | 17,016 | 1,965,688 | |
Kellogg Co. | 39,865 | 2,574,880 | |
Kraft Heinz Co. (The) | 102,033 | 3,055,888 | |
Lamb Weston Holdings, Inc. | 23,552 | 1,560,791 | |
Lancaster Colony Corp. | 2,161 | 386,387 | |
McCormick & Co., Inc. | 20,400 | 3,959,640 | |
Mondelez International, Inc., Class A | 215,326 | 12,370,479 | |
Post Holdings, Inc.(1) | 8,789 | 755,854 | |
TreeHouse Foods, Inc.(1) | 9,824 | 398,167 | |
$ 48,067,405 | |||
Gas Utilities — 0.1% | |||
New Jersey Resources Corp. | 23,287 | $ 629,215 | |
ONE Gas, Inc. | 10,327 | 712,666 | |
Southwest Gas Holdings, Inc. | 13,014 | 821,184 | |
Spire, Inc. | 10,941 | 582,061 | |
UGI Corp. | 43,242 | 1,426,121 | |
$ 4,171,247 | |||
Health Care Equipment & Supplies — 4.3% | |||
Abbott Laboratories | 209,583 | $ 22,808,918 | |
ABIOMED, Inc.(1) | 5,678 | 1,573,147 | |
Align Technology, Inc.(1) | 9,909 | 3,243,810 | |
Baxter International, Inc. | 68,965 | 5,546,165 | |
Becton, Dickinson and Co. | 39,171 | 9,114,308 | |
Boston Scientific Corp.(1) | 189,142 | 7,227,116 | |
Cooper Cos., Inc. (The) | 7,010 | 2,363,211 | |
Danaher Corp. | 82,108 | 17,680,316 | |
DENTSPLY SIRONA, Inc. | 28,492 | 1,245,955 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
DexCom, Inc.(1) | 12,896 | $ 5,316,118 | |
Edwards Lifesciences Corp.(1) | 82,293 | 6,568,627 | |
Envista Holdings Corp. | 20,385 | 503,102 | |
Globus Medical, Inc., Class A(1) | 11,694 | 579,087 | |
Haemonetics Corp.(1) | 6,660 | 581,085 | |
Hill-Rom Holdings, Inc. | 8,666 | 723,698 | |
Hologic, Inc.(1) | 34,064 | 2,264,234 | |
ICU Medical, Inc.(1) | 2,496 | 456,169 | |
IDEXX Laboratories, Inc.(1) | 11,387 | 4,476,344 | |
Insulet Corp.(1) | 8,467 | 2,003,208 | |
Integra LifeSciences Holdings Corp.(1) | 9,182 | 433,574 | |
Intuitive Surgical, Inc.(1) | 15,432 | 10,949,621 | |
iRhythm Technologies, Inc.(1) | 3,446 | 820,527 | |
Masimo Corp.(1) | 6,809 | 1,607,333 | |
Neogen Corp.(1) | 6,900 | 539,925 | |
Nevro Corp.(1) | 4,188 | 583,388 | |
Novocure, Ltd.(1) | 11,634 | 1,294,981 | |
NuVasive, Inc.(1) | 5,646 | 274,226 | |
Penumbra, Inc.(1)(2) | 4,764 | 926,026 | |
Quidel Corp.(1) | 4,768 | 1,046,004 | |
ResMed, Inc. | 19,492 | 3,341,514 | |
STERIS PLC | 10,910 | 1,922,233 | |
Tandem Diabetes Care, Inc.(1) | 8,579 | 973,716 | |
Teleflex, Inc. | 6,513 | 2,217,155 | |
Varian Medical Systems, Inc.(1) | 12,235 | 2,104,420 | |
West Pharmaceutical Services, Inc. | 9,918 | 2,726,458 | |
$ 126,035,719 | |||
Health Care Providers & Services — 1.7% | |||
Amedisys, Inc.(1) | 3,963 | $ 936,972 | |
Anthem, Inc. | 33,481 | 8,992,662 | |
Centene Corp.(1) | 75,902 | 4,427,364 | |
Chemed Corp. | 2,008 | 964,543 | |
CVS Health Corp. | 178,336 | 10,414,822 | |
DaVita, Inc.(1) | 10,009 | 857,271 | |
Encompass Health Corp. | 12,962 | 842,271 | |
Guardant Health, Inc.(1) | 11,425 | 1,277,086 | |
HCA Healthcare, Inc. | 35,720 | 4,453,570 | |
HealthEquity, Inc.(1) | 7,056 | 362,467 | |
Henry Schein, Inc.(1) | 17,653 | 1,037,643 | |
Humana, Inc. | 17,832 | 7,380,486 | |
Laboratory Corp. of America Holdings(1) | 13,573 | 2,555,389 | |
LHC Group, Inc.(1) | 4,578 | 973,100 | |
Molina Healthcare, Inc.(1) | 7,980 | 1,460,659 | |
Premier, Inc., Class A | 19,402 | 636,968 |
Security | Shares | Value | |
Health Care Providers & Services (continued) | |||
Quest Diagnostics, Inc. | 18,791 | $ 2,151,381 | |
$ 49,724,654 | |||
Health Care Technology — 0.4% | |||
Cerner Corp. | 36,706 | $ 2,653,477 | |
HMS Holdings Corp.(1) | 9,502 | 227,573 | |
Inovalon Holdings, Inc., Class A(1) | 9,911 | 262,146 | |
Livongo Health, Inc.(1) | 8,108 | 1,135,525 | |
Omnicell, Inc.(1) | 3,491 | 260,638 | |
Teladoc Health, Inc.(1)(2) | 10,375 | 2,274,615 | |
Veeva Systems, Inc., Class A(1) | 14,931 | 4,198,448 | |
$ 11,012,422 | |||
Hotels, Restaurants & Leisure — 1.4% | |||
Aramark | 39,001 | $ 1,031,577 | |
Chipotle Mexican Grill, Inc.(1) | 4,231 | 5,262,137 | |
Choice Hotels International, Inc. | 3,028 | 260,287 | |
Darden Restaurants, Inc. | 18,726 | 1,886,457 | |
Domino's Pizza, Inc. | 6,188 | 2,631,633 | |
Dunkin' Brands Group, Inc. | 11,363 | 930,743 | |
Hilton Worldwide Holdings, Inc. | 30,698 | 2,619,153 | |
Hyatt Hotels Corp., Class A | 3,935 | 210,011 | |
Marriott International, Inc., Class A | 32,413 | 3,000,796 | |
Marriott Vacations Worldwide Corp. | 4,891 | 444,152 | |
Planet Fitness, Inc., Class A(1) | 7,853 | 483,902 | |
Royal Caribbean Cruises, Ltd.(2) | 21,628 | 1,399,980 | |
Starbucks Corp. | 166,034 | 14,265,641 | |
Texas Roadhouse, Inc. | 9,287 | 564,557 | |
Vail Resorts, Inc. | 4,753 | 1,016,999 | |
Wendy's Co. (The) | 24,153 | 538,491 | |
Wingstop, Inc. | 4,247 | 580,353 | |
Wyndham Destinations, Inc. | 9,867 | 303,509 | |
Wyndham Hotels & Resorts, Inc. | 11,818 | 596,809 | |
Yum! Brands, Inc. | 45,641 | 4,167,023 | |
$ 42,194,210 | |||
Household Durables — 0.3% | |||
Helen of Troy, Ltd.(1) | 2,654 | $ 513,602 | |
KB Home | 18,521 | 711,021 | |
Leggett & Platt, Inc. | 15,713 | 646,904 | |
Mohawk Industries, Inc.(1) | 4,997 | 487,657 | |
Newell Brands, Inc. | 43,520 | 746,803 | |
NVR, Inc.(1) | 734 | 2,997,010 | |
Tempur Sealy International, Inc.(1) | 4,461 | 397,877 | |
TopBuild Corp.(1) | 6,941 | 1,184,760 |
Security | Shares | Value | |
Household Durables (continued) | |||
Whirlpool Corp. | 5,757 | $ 1,058,655 | |
$ 8,744,289 | |||
Household Products — 1.8% | |||
Church & Dwight Co., Inc. | 24,675 | $ 2,312,294 | |
Clorox Co. (The) | 13,397 | 2,815,648 | |
Colgate-Palmolive Co. | 87,527 | 6,752,708 | |
Energizer Holdings, Inc. | 4,550 | 178,087 | |
Kimberly-Clark Corp. | 35,167 | 5,192,759 | |
Procter & Gamble Co. (The) | 256,683 | 35,676,370 | |
$ 52,927,866 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
AES Corp. (The) | 135,687 | $ 2,457,292 | |
Clearway Energy, Inc., Class C | 22,211 | 598,808 | |
Ormat Technologies, Inc. | 9,336 | 551,851 | |
$ 3,607,951 | |||
Industrial Conglomerates — 0.7% | |||
3M Co. | 83,226 | $ 13,331,141 | |
Carlisle Cos., Inc. | 15,074 | 1,844,605 | |
Roper Technologies, Inc. | 16,531 | 6,531,563 | |
$ 21,707,309 | |||
Insurance — 1.9% | |||
Aflac, Inc. | 86,323 | $ 3,137,841 | |
Alleghany Corp. | 1,855 | 965,435 | |
Allstate Corp. (The) | 40,816 | 3,842,418 | |
American Financial Group, Inc. | 8,829 | 591,366 | |
American International Group, Inc. | 107,448 | 2,958,043 | |
Arch Capital Group, Ltd.(1) | 50,663 | 1,481,893 | |
Assurant, Inc. | 6,877 | 834,249 | |
Axis Capital Holdings, Ltd. | 9,563 | 421,155 | |
Brighthouse Financial, Inc.(1) | 11,523 | 310,084 | |
Brown & Brown, Inc. | 29,378 | 1,329,942 | |
eHealth, Inc.(1) | 2,655 | 209,745 | |
Enstar Group, Ltd.(1) | 2,089 | 337,374 | |
Erie Indemnity Co., Class A | 3,679 | 773,620 | |
Everest Re Group, Ltd. | 4,636 | 915,795 | |
First American Financial Corp. | 13,081 | 665,954 | |
Globe Life, Inc. | 13,850 | 1,106,615 | |
Hanover Insurance Group, Inc. (The) | 4,418 | 411,669 | |
Hartford Financial Services Group, Inc. (The) | 45,586 | 1,680,300 | |
Kemper Corp. | 8,396 | 561,105 | |
Kinsale Capital Group, Inc. | 2,495 | 474,499 | |
Lincoln National Corp. | 22,048 | 690,764 |
Security | Shares | Value | |
Insurance (continued) | |||
Marsh & McLennan Cos., Inc. | 57,600 | $ 6,606,720 | |
MetLife, Inc. | 98,713 | 3,669,162 | |
Primerica, Inc. | 5,736 | 648,971 | |
Principal Financial Group, Inc. | 35,277 | 1,420,605 | |
Progressive Corp. (The) | 75,581 | 7,155,253 | |
Prudential Financial, Inc. | 51,152 | 3,249,175 | |
Reinsurance Group of America, Inc. | 8,040 | 765,328 | |
RenaissanceRe Holdings, Ltd. | 7,066 | 1,199,383 | |
RLI Corp. | 4,743 | 397,131 | |
Selective Insurance Group, Inc. | 6,278 | 323,254 | |
Travelers Cos., Inc. (The) | 33,203 | 3,592,233 | |
Unum Group | 20,603 | 346,748 | |
White Mountains Insurance Group, Ltd. | 372 | 289,788 | |
Willis Towers Watson PLC | 14,441 | 3,015,570 | |
$ 56,379,187 | |||
Interactive Media & Services — 3.1% | |||
Alphabet, Inc., Class A(1) | 59,212 | $ 86,781,107 | |
ANGI Homeservices, Inc., Class A(1)(2) | 7,243 | 80,361 | |
CarGurus, Inc.(1) | 6,939 | 150,091 | |
IAC/InterActiveCorp. (1) | 9,610 | 1,151,086 | |
Match Group, Inc.(1) | 24,609 | 2,722,986 | |
$ 90,885,631 | |||
Internet & Direct Marketing Retail — 5.1% | |||
Amazon.com, Inc.(1) | 42,090 | $ 132,530,046 | |
Booking Holdings, Inc.(1) | 4,501 | 7,699,771 | |
Chewy, Inc., Class A(1)(2) | 5,974 | 327,554 | |
eBay, Inc. | 68,009 | 3,543,269 | |
Etsy, Inc.(1) | 12,356 | 1,502,860 | |
Expedia Group, Inc. | 16,102 | 1,476,392 | |
GrubHub, Inc.(1) | 12,836 | 928,428 | |
Qurate Retail, Inc., Series A(1) | 38,923 | 279,467 | |
Stamps.com, Inc.(1) | 1,726 | 415,880 | |
Wayfair, Inc., Class A(1)(2) | 6,988 | 2,033,578 | |
$ 150,737,245 | |||
IT Services — 6.4% | |||
Accenture PLC, Class A | 71,159 | $ 16,081,222 | |
Akamai Technologies, Inc.(1) | 17,573 | 1,942,520 | |
Amdocs, Ltd. | 13,993 | 803,338 | |
Automatic Data Processing, Inc. | 47,900 | 6,681,571 | |
Black Knight, Inc.(1) | 17,780 | 1,547,749 | |
Booz Allen Hamilton Holding Corp., Class A | 16,080 | 1,334,318 | |
Broadridge Financial Solutions, Inc. | 13,474 | 1,778,568 | |
Cognizant Technology Solutions Corp., Class A | 61,723 | 4,284,811 |
Security | Shares | Value | |
IT Services (continued) | |||
DXC Technology Co. | 25,378 | $ 452,997 | |
EPAM Systems, Inc.(1) | 6,333 | 2,047,332 | |
Fastly, Inc., Class A(1) | 10,547 | 988,043 | |
Fidelity National Information Services, Inc. | 70,108 | 10,320,599 | |
Fiserv, Inc.(1) | 63,403 | 6,533,679 | |
Gartner, Inc.(1) | 9,545 | 1,192,648 | |
Genpact, Ltd. | 18,763 | 730,819 | |
GoDaddy, Inc., Class A(1) | 17,119 | 1,300,531 | |
International Business Machines Corp. | 101,011 | 12,290,008 | |
Jack Henry & Associates, Inc. | 8,405 | 1,366,569 | |
LiveRamp Holdings, Inc.(1) | 5,401 | 279,610 | |
ManTech International Corp. / VA, Class A | 2,833 | 195,137 | |
MasterCard, Inc., Class A | 97,510 | 32,974,957 | |
MAXIMUS, Inc. | 5,957 | 407,518 | |
MongoDB, Inc.(1) | 5,819 | 1,347,157 | |
Okta, Inc.(1) | 13,145 | 2,811,058 | |
Paychex, Inc. | 36,973 | 2,949,336 | |
PayPal Holdings, Inc.(1) | 128,174 | 25,254,123 | |
Perspecta, Inc. | 11,812 | 229,743 | |
Science Applications International Corp. | 5,196 | 407,470 | |
Square, Inc., Class A(1) | 41,425 | 6,733,634 | |
Switch, Inc., Class A | 16,333 | 254,958 | |
Twilio, Inc., Class A(1) | 15,473 | 3,823,224 | |
VeriSign, Inc.(1) | 10,894 | 2,231,636 | |
Visa, Inc., Class A | 182,225 | 36,439,533 | |
WEX, Inc.(1) | 4,249 | 590,484 | |
$ 188,606,900 | |||
Leisure Products — 0.2% | |||
Brunswick Corp. | 13,999 | $ 824,681 | |
Hasbro, Inc. | 11,800 | 976,096 | |
Mattel, Inc.(1) | 27,805 | 325,318 | |
Peloton Interactive, Inc., Class A(1) | 24,794 | 2,460,557 | |
YETI Holdings, Inc.(1) | 7,600 | 344,432 | |
$ 4,931,084 | |||
Life Sciences Tools & Services — 1.8% | |||
10X Genomics, Inc., Class A(1) | 7,534 | $ 939,339 | |
Adaptive Biotechnologies Corp.(1) | 8,561 | 416,322 | |
Agilent Technologies, Inc. | 41,816 | 4,220,907 | |
Avantor, Inc.(1) | 64,349 | 1,447,209 | |
Bio-Rad Laboratories, Inc., Class A(1) | 2,709 | 1,396,381 | |
Bio-Techne Corp. | 5,320 | 1,317,924 | |
Bruker Corp. | 11,873 | 471,952 | |
Charles River Laboratories International, Inc.(1) | 6,204 | 1,404,896 | |
Illumina, Inc.(1) | 19,773 | 6,111,439 |
Security | Shares | Value | |
Life Sciences Tools & Services (continued) | |||
IQVIA Holdings, Inc.(1) | 25,686 | $ 4,048,884 | |
Medpace Holdings, Inc.(1) | 3,386 | 378,386 | |
Mettler-Toledo International, Inc.(1) | 3,352 | 3,237,194 | |
NeoGenomics, Inc.(1) | 13,463 | 496,650 | |
PerkinElmer, Inc. | 15,391 | 1,931,724 | |
PRA Health Sciences, Inc.(1) | 8,271 | 839,010 | |
Repligen Corp.(1) | 6,267 | 924,633 | |
Syneos Health, Inc.(1) | 9,820 | 522,031 | |
Thermo Fisher Scientific, Inc. | 48,344 | 21,344,843 | |
Waters Corp.(1) | 7,843 | 1,534,718 | |
$ 52,984,442 | |||
Machinery — 3.0% | |||
AGCO Corp. | 11,069 | $ 822,095 | |
Allison Transmission Holdings, Inc. | 18,306 | 643,273 | |
Caterpillar, Inc. | 83,563 | 12,463,421 | |
CNH Industrial NV(1) | 156,239 | 1,221,789 | |
Colfax Corp.(1) | 13,893 | 435,684 | |
Crane Co. | 9,033 | 452,824 | |
Cummins, Inc. | 23,318 | 4,923,829 | |
Deere & Co. | 50,403 | 11,170,817 | |
Donaldson Co., Inc. | 18,500 | 858,770 | |
Dover Corp. | 22,652 | 2,454,118 | |
Flowserve Corp. | 20,010 | 546,073 | |
Fortive Corp. | 54,657 | 4,165,410 | |
Gates Industrial Corp. PLC(1) | 14,308 | 159,105 | |
Graco, Inc. | 26,354 | 1,616,818 | |
IDEX Corp. | 11,959 | 2,181,441 | |
Illinois Tool Works, Inc. | 50,747 | 9,804,828 | |
Ingersoll Rand, Inc.(1) | 65,141 | 2,319,020 | |
ITT, Inc. | 14,928 | 881,498 | |
Lincoln Electric Holdings, Inc. | 9,624 | 885,793 | |
Middleby Corp.(1) | 9,329 | 836,905 | |
Nordson Corp. | 8,256 | 1,583,666 | |
Oshkosh Corp. | 9,760 | 717,360 | |
Otis Worldwide Corp. | 69,680 | 4,349,426 | |
PACCAR, Inc. | 54,503 | 4,648,016 | |
Parker-Hannifin Corp. | 20,606 | 4,169,418 | |
Pentair PLC | 26,291 | 1,203,339 | |
Proto Labs, Inc.(1) | 3,982 | 515,669 | |
RBC Bearings, Inc.(1) | 4,101 | 497,082 | |
Rexnord Corp. | 18,974 | 566,184 | |
Snap-on, Inc. | 5,065 | 745,213 | |
Stanley Black & Decker, Inc. | 25,208 | 4,088,738 | |
Timken Co. (The) | 10,539 | 571,425 | |
Toro Co. (The) | 17,702 | 1,486,083 | |
Watts Water Technologies, Inc., Class A | 4,503 | 450,975 |
Security | Shares | Value | |
Machinery (continued) | |||
Westinghouse Air Brake Technologies Corp. | 28,447 | $ 1,760,300 | |
Woodward, Inc. | 8,358 | 669,977 | |
Xylem, Inc. | 28,290 | 2,379,755 | |
$ 89,246,137 | |||
Media — 1.6% | |||
Altice USA, Inc., Class A(1) | 60,400 | $ 1,570,400 | |
Cable One, Inc. | 597 | 1,125,602 | |
Charter Communications, Inc., Class A(1) | 16,134 | 10,073,102 | |
Comcast Corp., Class A | 506,244 | 23,418,847 | |
Discovery, Inc., Class A(1)(2) | 52,308 | 1,138,745 | |
DISH Network Corp., Class A(1) | 28,791 | 835,803 | |
Interpublic Group of Cos., Inc. (The) | 39,028 | 650,597 | |
Liberty Broadband Corp., Class C(1) | 19,932 | 2,847,685 | |
New York Times Co. (The), Class A | 15,762 | 674,456 | |
Nexstar Media Group, Inc., Class A | 5,009 | 450,459 | |
Omnicom Group, Inc. | 23,500 | 1,163,250 | |
Sirius XM Holdings, Inc.(2) | 149,868 | 803,292 | |
ViacomCBS, Inc., Class B(2) | 61,887 | 1,733,455 | |
$ 46,485,693 | |||
Metals & Mining — 0.2% | |||
Nucor Corp. | 84,638 | $ 3,796,861 | |
Reliance Steel & Aluminum Co. | 17,297 | 1,764,986 | |
Steel Dynamics, Inc. | 54,204 | 1,551,860 | |
$ 7,113,707 | |||
Multiline Retail — 0.5% | |||
Dollar General Corp. | 25,925 | $ 5,434,399 | |
Kohl's Corp. | 13,802 | 255,751 | |
Ollie's Bargain Outlet Holdings, Inc.(1) | 4,038 | 352,719 | |
Target Corp. | 51,825 | 8,158,291 | |
$ 14,201,160 | |||
Multi-Utilities — 0.8% | |||
Ameren Corp. | 51,543 | $ 4,076,020 | |
CenterPoint Energy, Inc. | 116,168 | 2,247,851 | |
CMS Energy Corp. | 59,782 | 3,671,213 | |
Consolidated Edison, Inc. | 70,064 | 5,450,979 | |
Sempra Energy | 61,514 | 7,280,797 | |
$ 22,726,860 | |||
Personal Products — 0.2% | |||
Coty, Inc., Class A(2) | 22,406 | $ 60,496 | |
Estee Lauder Cos., Inc. (The), Class A | 23,230 | 5,069,948 | |
$ 5,130,444 |
Security | Shares | Value | |
Pharmaceuticals — 3.4% | |||
Axsome Therapeutics, Inc.(1)(2) | 3,705 | $ 263,981 | |
Bristol-Myers Squibb Co. | 289,175 | 17,434,361 | |
Catalent, Inc.(1) | 22,083 | 1,891,630 | |
Elanco Animal Health, Inc.(1) | 51,087 | 1,426,860 | |
Eli Lilly & Co. | 105,962 | 15,684,495 | |
Horizon Therapeutics PLC(1) | 29,233 | 2,270,819 | |
Jazz Pharmaceuticals PLC(1) | 7,177 | 1,023,368 | |
Merck & Co., Inc. | 295,071 | 24,476,140 | |
MyoKardia, Inc.(1) | 6,416 | 874,693 | |
Nektar Therapeutics(1) | 22,289 | 369,775 | |
Perrigo Co. PLC | 17,537 | 805,124 | |
Pfizer, Inc. | 651,733 | 23,918,601 | |
Reata Pharmaceuticals, Inc., Class A(1)(2) | 3,423 | 333,469 | |
Zoetis, Inc. | 63,525 | 10,505,129 | |
$ 101,278,445 | |||
Professional Services — 0.6% | |||
ASGN, Inc.(1) | 5,496 | $ 349,326 | |
CoreLogic, Inc. | 8,647 | 585,143 | |
CoStar Group, Inc.(1) | 4,614 | 3,915,025 | |
Exponent, Inc. | 5,782 | 416,477 | |
FTI Consulting, Inc.(1) | 3,738 | 396,116 | |
IHS Markit, Ltd. | 46,952 | 3,686,202 | |
ManpowerGroup, Inc. | 5,287 | 387,696 | |
Nielsen Holdings PLC | 34,224 | 485,296 | |
Robert Half International, Inc. | 11,371 | 601,981 | |
TransUnion | 21,001 | 1,766,814 | |
TriNet Group, Inc.(1) | 6,210 | 368,377 | |
Verisk Analytics, Inc. | 18,065 | 3,347,625 | |
$ 16,306,078 | |||
Real Estate Management & Development — 0.2% | |||
CBRE Group, Inc., Class A(1) | 69,558 | $ 3,267,139 | |
Howard Hughes Corp. (The)(1) | 8,389 | 483,206 | |
Jones Lang LaSalle, Inc. | 10,724 | 1,025,858 | |
Redfin Corp.(1) | 18,344 | 915,916 | |
$ 5,692,119 | |||
Road & Rail — 1.0% | |||
AMERCO | 974 | $ 346,725 | |
J.B. Hunt Transport Services, Inc. | 10,348 | 1,307,780 | |
Kansas City Southern | 10,928 | 1,976,110 | |
Knight-Swift Transportation Holdings, Inc. | 14,062 | 572,323 | |
Landstar System, Inc. | 4,999 | 627,325 | |
Norfolk Southern Corp. | 29,571 | 6,327,898 | |
Old Dominion Freight Line, Inc. | 12,562 | 2,272,717 |
Security | Shares | Value | |
Road & Rail (continued) | |||
Saia, Inc.(1) | 3,021 | $ 381,069 | |
Schneider National, Inc., Class B | 3,803 | 94,048 | |
Union Pacific Corp. | 78,556 | 15,465,320 | |
Werner Enterprises, Inc. | 5,253 | 220,574 | |
$ 29,591,889 | |||
Semiconductors & Semiconductor Equipment — 5.3% | |||
Advanced Micro Devices, Inc.(1) | 126,789 | $ 10,395,430 | |
Analog Devices, Inc. | 41,437 | 4,837,355 | |
Applied Materials, Inc. | 101,252 | 6,019,432 | |
Broadcom, Inc. | 44,466 | 16,199,853 | |
Brooks Automation, Inc. | 7,583 | 350,790 | |
Cirrus Logic, Inc.(1) | 6,111 | 412,187 | |
CMC Materials, Inc. | 3,217 | 459,420 | |
Cree, Inc.(1) | 13,043 | 831,361 | |
Enphase Energy, Inc.(1) | 12,248 | 1,011,562 | |
Entegris, Inc. | 13,439 | 999,055 | |
First Solar, Inc.(1) | 6,205 | 410,771 | |
Inphi Corp.(1) | 4,992 | 560,352 | |
Intel Corp. | 476,027 | 24,648,678 | |
KLA Corp. | 17,765 | 3,441,791 | |
Lam Research Corp. | 15,845 | 5,256,579 | |
Lattice Semiconductor Corp.(1) | 14,074 | 407,583 | |
Marvell Technology Group, Ltd. | 75,586 | 3,000,764 | |
Maxim Integrated Products, Inc. | 29,835 | 2,017,144 | |
Microchip Technology, Inc. | 28,551 | 2,933,901 | |
Micron Technology, Inc.(1) | 121,896 | 5,724,236 | |
MKS Instruments, Inc. | 9,340 | 1,020,208 | |
Monolithic Power Systems, Inc. | 4,699 | 1,313,887 | |
NVIDIA Corp. | 65,316 | 35,350,326 | |
ON Semiconductor Corp.(1) | 47,344 | 1,026,891 | |
Power Integrations, Inc. | 6,062 | 335,835 | |
Qorvo, Inc.(1) | 13,466 | 1,737,249 | |
Semtech Corp.(1) | 6,769 | 358,486 | |
Silicon Laboratories, Inc.(1) | 4,605 | 450,599 | |
Skyworks Solutions, Inc. | 19,074 | 2,775,267 | |
SolarEdge Technologies, Inc.(1) | 4,572 | 1,089,736 | |
Teradyne, Inc. | 26,100 | 2,073,906 | |
Texas Instruments, Inc. | 103,606 | 14,793,901 | |
Universal Display Corp. | 4,538 | 820,198 | |
Xilinx, Inc. | 27,652 | 2,882,445 | |
$ 155,947,178 | |||
Software — 11.0% | |||
ACI Worldwide, Inc.(1) | 9,740 | $ 254,506 | |
Adobe, Inc.(1) | 53,150 | 26,066,354 |
Security | Shares | Value | |
Software (continued) | |||
Altair Engineering, Inc., Class A(1) | 4,845 | $ 203,393 | |
Alteryx, Inc., Class A(1)(2) | 5,174 | 587,508 | |
Anaplan, Inc.(1) | 15,364 | 961,479 | |
ANSYS, Inc.(1) | 9,847 | 3,222,234 | |
Appfolio, Inc., Class A(1) | 1,712 | 242,779 | |
Appian Corp.(1)(2) | 3,636 | 235,431 | |
Aspen Technology, Inc.(1) | 6,886 | 871,699 | |
Autodesk, Inc.(1) | 24,351 | 5,625,324 | |
Avalara, Inc.(1) | 9,569 | 1,218,516 | |
Blackbaud, Inc. | 4,162 | 232,364 | |
Blackline, Inc.(1) | 6,869 | 615,668 | |
Box, Inc., Class A(1) | 15,650 | 271,684 | |
Cadence Design Systems, Inc.(1) | 30,176 | 3,217,667 | |
CDK Global, Inc. | 12,284 | 535,460 | |
Ceridian HCM Holding, Inc.(1) | 13,175 | 1,088,914 | |
Citrix Systems, Inc. | 15,015 | 2,067,716 | |
Cloudera, Inc.(1)(2) | 25,831 | 281,300 | |
Coupa Software, Inc.(1) | 7,047 | 1,932,569 | |
CrowdStrike Holdings, Inc., Class A(1) | 2,180 | 299,358 | |
DocuSign, Inc.(1) | 20,298 | 4,368,942 | |
Dropbox, Inc., Class A(1) | 37,922 | 730,378 | |
Dynatrace, Inc.(1) | 21,291 | 873,357 | |
Elastic NV(1) | 5,902 | 636,767 | |
Envestnet, Inc.(1) | 5,683 | 438,500 | |
Everbridge, Inc.(1) | 3,590 | 451,371 | |
Fair Isaac Corp.(1) | 3,291 | 1,399,926 | |
FireEye, Inc.(1) | 16,363 | 202,001 | |
Five9, Inc.(1) | 8,046 | 1,043,405 | |
Fortinet, Inc.(1) | 15,780 | 1,859,042 | |
Guidewire Software, Inc.(1) | 9,360 | 975,967 | |
HubSpot, Inc.(1) | 4,709 | 1,376,111 | |
Intuit, Inc. | 28,481 | 9,290,787 | |
j2 Global, Inc.(1) | 4,847 | 335,509 | |
Manhattan Associates, Inc.(1) | 6,744 | 643,985 | |
Medallia, Inc.(1)(2) | 7,506 | 205,815 | |
Microsoft Corp. | 733,347 | 154,244,874 | |
New Relic, Inc.(1) | 5,313 | 299,441 | |
NortonLifeLock, Inc. | 65,636 | 1,367,854 | |
Nuance Communications, Inc.(1) | 29,869 | 991,352 | |
Nutanix, Inc., Class A(1) | 16,036 | 355,678 | |
Oracle Corp. | 214,344 | 12,796,337 | |
Palo Alto Networks, Inc.(1) | 10,310 | 2,523,372 | |
Paycom Software, Inc.(1) | 5,913 | 1,840,717 | |
Paylocity Holding Corp.(1) | 5,269 | 850,522 | |
Pegasystems, Inc. | 3,895 | 471,451 | |
Pluralsight, Inc., Class A(1) | 7,011 | 120,098 | |
Proofpoint, Inc.(1) | 5,718 | 603,535 |
Security | Shares | Value | |
Software (continued) | |||
PTC, Inc.(1) | 12,017 | $ 994,046 | |
Q2 Holdings, Inc.(1)(2) | 4,967 | 453,288 | |
Qualys, Inc.(1) | 3,461 | 339,213 | |
RealPage, Inc.(1) | 9,554 | 550,693 | |
RingCentral, Inc., Class A(1) | 8,918 | 2,448,972 | |
salesforce.com, Inc.(1) | 98,123 | 24,660,272 | |
ServiceNow, Inc.(1) | 21,279 | 10,320,315 | |
Smartsheet, Inc., Class A(1) | 10,481 | 517,971 | |
SolarWinds Corp.(1)(2) | 9,749 | 198,295 | |
Splunk, Inc.(1) | 18,096 | 3,404,400 | |
SS&C Technologies Holdings, Inc. | 23,582 | 1,427,183 | |
SVMK, Inc.(1) | 9,077 | 200,692 | |
Synopsys, Inc.(1) | 17,159 | 3,671,683 | |
Tenable Holdings, Inc.(1) | 6,271 | 236,730 | |
Trade Desk, Inc. (The), Class A(1)(2) | 4,631 | 2,402,470 | |
Tyler Technologies, Inc.(1) | 4,285 | 1,493,580 | |
Verint Systems, Inc.(1) | 7,164 | 345,162 | |
VMware, Inc., Class A(1)(2) | 9,531 | 1,369,319 | |
Workday, Inc., Class A(1) | 20,056 | 4,314,647 | |
Zendesk, Inc.(1) | 13,754 | 1,415,562 | |
Zoom Video Communications, Inc., Class A(1) | 21,002 | 9,873,250 | |
Zscaler, Inc.(1) | 8,368 | 1,177,294 | |
$ 323,144,054 | |||
Specialty Retail — 2.6% | |||
Advance Auto Parts, Inc. | 6,370 | $ 977,795 | |
AutoNation, Inc.(1) | 4,233 | 224,053 | |
AutoZone, Inc.(1) | 2,356 | 2,774,520 | |
Best Buy Co., Inc. | 24,374 | 2,712,582 | |
Burlington Stores, Inc.(1) | 7,215 | 1,486,939 | |
CarMax, Inc.(1) | 16,761 | 1,540,504 | |
Dick's Sporting Goods, Inc. | 7,829 | 453,143 | |
Five Below, Inc.(1) | 4,724 | 599,948 | |
Floor & Decor Holdings, Inc., Class A(1) | 8,753 | 654,724 | |
Foot Locker, Inc. | 9,575 | 316,262 | |
Gap, Inc. (The) | 16,734 | 284,980 | |
Home Depot, Inc. (The) | 110,530 | 30,695,286 | |
L Brands, Inc. | 20,685 | 657,990 | |
Lithia Motors, Inc., Class A | 2,125 | 484,372 | |
Lowe's Cos., Inc. | 77,466 | 12,848,511 | |
O'Reilly Automotive, Inc.(1) | 7,379 | 3,402,309 | |
Penske Automotive Group, Inc. | 4,680 | 223,049 | |
RH (1)(2) | 1,692 | 647,393 | |
Ross Stores, Inc. | 36,746 | 3,429,137 | |
Tiffany & Co. | 12,459 | 1,443,375 | |
TJX Cos., Inc. (The) | 126,374 | 7,032,713 | |
Tractor Supply Co. | 12,587 | 1,804,221 |
Security | Shares | Value | |
Specialty Retail (continued) | |||
Ulta Beauty, Inc.(1) | 5,684 | $ 1,273,102 | |
Williams-Sonoma, Inc. | 7,909 | 715,290 | |
$ 76,682,198 | |||
Technology Hardware, Storage & Peripherals — 7.0% | |||
Apple, Inc. | 1,691,791 | $ 195,926,316 | |
Dell Technologies, Inc., Class C(1) | 27,732 | 1,877,179 | |
Hewlett Packard Enterprise Co. | 143,591 | 1,345,448 | |
HP, Inc. | 154,375 | 2,931,581 | |
NetApp, Inc. | 23,361 | 1,024,146 | |
Pure Storage, Inc., Class A(1)(2) | 33,965 | 522,722 | |
Seagate Technology PLC | 26,348 | 1,298,166 | |
Western Digital Corp. | 29,902 | 1,092,918 | |
Xerox Holdings Corp. | 19,442 | 364,926 | |
$ 206,383,402 | |||
Textiles, Apparel & Luxury Goods — 0.8% | |||
Carter's, Inc. | 4,605 | $ 398,701 | |
Columbia Sportswear Co. | 2,163 | 188,138 | |
Deckers Outdoor Corp.(1) | 2,792 | 614,268 | |
Hanesbrands, Inc.(2) | 29,803 | 469,397 | |
Levi Strauss & Co., Class A(2) | 7,415 | 99,361 | |
lululemon Athletica, Inc.(1) | 12,422 | 4,091,434 | |
NIKE, Inc., Class B | 99,657 | 12,510,940 | |
PVH Corp. | 5,664 | 337,801 | |
Ralph Lauren Corp., Class A | 4,242 | 288,328 | |
Skechers USA, Inc., Class A(1) | 10,572 | 319,486 | |
Tapestry, Inc. | 30,789 | 481,232 | |
Under Armour, Inc., Class A(1) | 30,460 | 342,066 | |
VF Corp. | 32,135 | 2,257,484 | |
$ 22,398,636 | |||
Thrifts & Mortgage Finance — 0.1% | |||
Essent Group, Ltd. | 16,779 | $ 620,991 | |
MGIC Investment Corp. | 43,154 | 382,344 | |
New York Community Bancorp, Inc. | 60,991 | 504,396 | |
Radian Group, Inc. | 25,363 | 370,553 | |
TFS Financial Corp. | 9,601 | 141,039 | |
$ 2,019,323 | |||
Trading Companies & Distributors — 0.3% | |||
Air Lease Corp. | 16,387 | $ 482,106 | |
Fastenal Co. | 56,568 | 2,550,651 | |
HD Supply Holdings, Inc.(1) | 23,652 | 975,408 | |
MSC Industrial Direct Co., Inc., Class A | 7,733 | 489,344 | |
SiteOne Landscape Supply, Inc.(1) | 4,030 | 491,458 |
Security | Shares | Value | |
Trading Companies & Distributors (continued) | |||
United Rentals, Inc.(1) | 11,342 | $ 1,979,179 | |
W.W. Grainger, Inc. | 4,563 | 1,627,942 | |
$ 8,596,088 | |||
Water Utilities — 0.3% | |||
American States Water Co. | 7,646 | $ 573,068 | |
American Water Works Co., Inc. | 37,916 | 5,493,270 | |
Essential Utilities, Inc. | 49,786 | 2,003,886 | |
$ 8,070,224 | |||
Wireless Telecommunication Services — 0.2% | |||
T-Mobile US, Inc.(1) | 59,494 | $ 6,803,734 | |
United States Cellular Corp.(1) | 3,730 | 110,147 | |
$ 6,913,881 | |||
Total Common Stocks (identified cost $2,016,222,091) | $ 2,937,750,860 |
Short-Term Investments — 0.7% | |||
Other — 0.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(3) | 16,899,578 | $ 16,901,268 | |
Total Other (identified cost $16,902,116) | $ 16,901,268 | ||
Securities Lending Collateral — 0.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(4) | 4,368,471 | $ 4,368,471 | |
Total Securities Lending Collateral (identified cost $4,368,471) | $ 4,368,471 | ||
Total Short-Term Investments (identified cost $21,270,587) | $ 21,269,739 | ||
Total Investments — 100.4% (identified cost $2,037,492,678) | $ 2,959,020,599 | ||
Other Assets, Less Liabilities — (0.4)% | $ (10,771,629) | ||
Net Assets — 100.0% | $ 2,948,248,970 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at September 30, 2020. The aggregate market value of securities on loan at September 30, 2020 was $22,007,721. | |
(3) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2020. | |
(4) | Represents investment of cash collateral received in connection with securities lending. |
September 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $2,020,590,562) - including $22,007,721 of securities on loan | $ 2,942,119,331 |
Investments in securities of affiliated issuers, at value (identified cost $16,902,116) | 16,901,268 |
Cash | 65 |
Receivable for capital shares sold | 6,950,255 |
Dividends receivable | 1,605,191 |
Dividends receivable - affiliated | 1,052 |
Securities lending income receivable | 2,786 |
Receivable from affiliate | 308,885 |
Directors' deferred compensation plan | 695,246 |
Total assets | $2,968,584,079 |
Liabilities | |
Payable for capital shares redeemed | $ 14,020,465 |
Deposits for securities loaned | 4,368,471 |
Payable to affiliates: | |
Investment advisory fee | 286,828 |
Administrative fee | 286,828 |
Distribution and service fees | 136,606 |
Sub-transfer agency fee | 12,976 |
Directors' deferred compensation plan | 695,246 |
Accrued expenses | 527,689 |
Total liabilities | $ 20,335,109 |
Net Assets | $2,948,248,970 |
Sources of Net Assets | |
Paid-in capital | $ 2,044,358,999 |
Distributable earnings | 903,889,971 |
Total | $2,948,248,970 |
Class A Shares | |
Net Assets | $ 424,770,793 |
Shares Outstanding | 14,275,902 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 29.75 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 31.23 |
Class C Shares | |
Net Assets | $ 61,503,384 |
Shares Outstanding | 2,210,996 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 27.82 |
Class I Shares | |
Net Assets | $ 1,831,859,260 |
Shares Outstanding | 59,934,186 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 30.56 |
September 30, 2020 | |
Class R6 Shares | |
Net Assets | $630,115,533 |
Shares Outstanding | 20,628,517 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 30.55 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended | |
September 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $1,453) | $ 37,791,319 |
Dividend income - affiliated issuers | 4,514 |
Interest income | 28,394 |
Securities lending income, net | 66,195 |
Total investment income | $ 37,890,422 |
Expenses | |
Investment advisory fee | $ 2,790,221 |
Administrative fee | 2,790,221 |
Distribution and service fees: | |
Class A | 895,391 |
Class C | 596,880 |
Directors' fees and expenses | 91,550 |
Custodian fees | 43,238 |
Transfer agency fees and expenses | 1,179,776 |
Accounting fees | 455,756 |
Professional fees | 124,473 |
Registration fees | 211,253 |
Reports to shareholders | 72,471 |
Miscellaneous | 160,755 |
Total expenses | $ 9,411,985 |
Waiver and/or reimbursement of expenses by affiliate | $ (2,548,836) |
Reimbursement of expenses - other | (29,750) |
Net expenses | $ 6,833,399 |
Net investment income | $ 31,057,023 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (14,282,066) |
Investment securities - affiliated issuers | 1,678 |
Net realized loss | $ (14,280,388) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 480,345,906 |
Investment securities - affiliated issuers | (848) |
Net change in unrealized appreciation (depreciation) | $480,345,058 |
Net realized and unrealized gain | $466,064,670 |
Net increase in net assets from operations | $497,121,693 |
Year Ended September 30, | ||
2020 | 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 31,057,023 | $ 23,347,601 |
Net realized loss | (14,280,388) | (12,567,412) |
Net change in unrealized appreciation (depreciation) | 480,345,058 | 82,987,543 |
Net increase in net assets from operations | $ 497,121,693 | $ 93,767,732 |
Distributions to shareholders: | ||
Class A | $ (3,274,673) | $ (10,046,100) |
Class C | (222,608) | (1,863,717) |
Class I | (14,798,820) | (34,899,222) |
Class R6 | (5,027,931) | (7,520,553) |
Total distributions to shareholders | $ (23,324,032) | $ (54,329,592) |
Capital share transactions: | ||
Class A | $ 33,268,354 | $ 25,897,552 |
Class C | (6,144,840) | (4,368,090) |
Class I | 389,711,456 | 211,002,163 |
Class R6 | 126,114,763 | 212,488,537 |
Net increase in net assets from capital share transactions | $ 542,949,733 | $ 445,020,162 |
Net increase in net assets | $1,016,747,394 | $ 484,458,302 |
Net Assets | ||
At beginning of year | $ 1,931,501,576 | $ 1,447,043,274 |
At end of year | $2,948,248,970 | $1,931,501,576 |
Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 24.79 | $ 24.66 | $ 21.41 | $ 18.80 | $ 17.90 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.30 | $ 0.29 | $ 0.27 | $ 0.30 | $ 0.26 |
Net realized and unrealized gain | 4.91 | 0.69 | 3.46 | 2.95 | 1.94 |
Total income from operations | $ 5.21 | $ 0.98 | $ 3.73 | $ 3.25 | $ 2.20 |
Less Distributions | |||||
From net investment income | $ (0.25) | $ (0.22) | $ (0.25) | $ (0.22) | $ (0.18) |
From net realized gain | — | (0.63) | (0.23) | (0.42) | (1.12) |
Total distributions | $ (0.25) | $ (0.85) | $ (0.48) | $ (0.64) | $ (1.30) |
Net asset value — End of year | $ 29.75 | $ 24.79 | $ 24.66 | $ 21.41 | $ 18.80 |
Total Return(2) | 21.18% | 4.33% | 17.67% | 17.71% | 12.68% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $424,771 | $321,690 | $291,891 | $264,814 | $319,773 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.60% | 0.62% | 0.65% | 0.70% | 0.71% |
Net expenses | 0.49% | 0.51% | 0.54% | 0.54% | 0.54% |
Net investment income | 1.14% | 1.24% | 1.19% | 1.51% | 1.46% |
Portfolio Turnover | 10% | 17% | 28% | 31% | 27% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
Class C | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 23.21 | $ 23.16 | $ 20.16 | $ 17.71 | $ 16.97 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.10 | $ 0.11 | $ 0.09 | $ 0.15 | $ 0.12 |
Net realized and unrealized gain | 4.60 | 0.64 | 3.26 | 2.78 | 1.82 |
Total income from operations | $ 4.70 | $ 0.75 | $ 3.35 | $ 2.93 | $ 1.94 |
Less Distributions | |||||
From net investment income | $ (0.09) | $ (0.07) | $ (0.12) | $ (0.06) | $ (0.08) |
From net realized gain | — | (0.63) | (0.23) | (0.42) | (1.12) |
Total distributions | $ (0.09) | $ (0.70) | $ (0.35) | $ (0.48) | $ (1.20) |
Net asset value — End of year | $ 27.82 | $ 23.21 | $ 23.16 | $ 20.16 | $ 17.71 |
Total Return(2) | 20.30% | 3.55% | 16.79% | 16.85% | 11.78% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $61,503 | $57,167 | $61,814 | $51,301 | $43,579 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.35% | 1.38% | 1.40% | 1.50% | 1.53% |
Net expenses | 1.24% | 1.26% | 1.29% | 1.29% | 1.29% |
Net investment income | 0.40% | 0.49% | 0.44% | 0.77% | 0.70% |
Portfolio Turnover | 10% | 17% | 28% | 31% | 27% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
Class I | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 25.46 | $ 25.29 | $ 21.94 | $ 19.26 | $ 18.33 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.38 | $ 0.36 | $ 0.36 | $ 0.38 | $ 0.33 |
Net realized and unrealized gain | 5.03 | 0.72 | 3.54 | 3.03 | 1.98 |
Total income from operations | $ 5.41 | $ 1.08 | $ 3.90 | $ 3.41 | $ 2.31 |
Less Distributions | |||||
From net investment income | $ (0.31) | $ (0.28) | $ (0.32) | $ (0.31) | $ (0.26) |
From net realized gain | — | (0.63) | (0.23) | (0.42) | (1.12) |
Total distributions | $ (0.31) | $ (0.91) | $ (0.55) | $ (0.73) | $ (1.38) |
Net asset value — End of year | $ 30.56 | $ 25.46 | $ 25.29 | $ 21.94 | $ 19.26 |
Total Return(2) | 21.45% | 4.68% | 18.06% | 18.17% | 13.00% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,831,859 | $1,143,304 | $920,394 | $544,751 | $387,043 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.35% | 0.37% | 0.41% | 0.35% | 0.36% |
Net expenses | 0.24% | 0.22% | 0.19% | 0.19% | 0.19% |
Net investment income | 1.38% | 1.52% | 1.53% | 1.87% | 1.80% |
Portfolio Turnover | 10% | 17% | 28% | 31% | 27% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
Class R6 | |||
Year Ended September 30, | Period Ended September 30, | ||
2020 | 2019 | 2018 (1) | |
Net asset value — Beginning of period | $ 25.44 | $ 25.28 | $ 22.09 |
Income (Loss) From Operations | |||
Net investment income(2) | $ 0.39 | $ 0.37 | $ 0.37 |
Net realized and unrealized gain | 5.04 | 0.72 | 3.37 |
Total income from operations | $ 5.43 | $ 1.09 | $ 3.74 |
Less Distributions | |||
From net investment income | $ (0.32) | $ (0.30) | $ (0.32) |
From net realized gain | — | (0.63) | (0.23) |
Total distributions | $ (0.32) | $ (0.93) | $ (0.55) |
Net asset value — End of period | $ 30.55 | $ 25.44 | $ 25.28 |
Total Return(3) | 21.55% | 4.70% | 17.21% (4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $630,116 | $409,341 | $172,944 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses | 0.30% | 0.32% | 0.35% (6) |
Net expenses | 0.19% | 0.19% | 0.19% (6) |
Net investment income | 1.43% | 1.55% | 1.58% (6) |
Portfolio Turnover | 10% | 17% | 28% (7) |
(1) | For the period from the commencement of operations, October 3, 2017, to September 30, 2018. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
(7) | For the year ended September 30, 2018. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 2,937,750,860(1) | $ — | $ — | $ 2,937,750,860 |
Short-Term Investments: | ||||
Other | — | 16,901,268 | — | 16,901,268 |
Securities Lending Collateral | 4,368,471 | — | — | 4,368,471 |
Total Investments | $2,942,119,331 | $16,901,268 | $ — | $2,959,020,599 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Year Ended September 30, | ||
2020 | 2019 | |
Ordinary income | $23,324,032 | $19,210,410 |
Long-term capital gains | $ — | $35,119,182 |
Undistributed ordinary income | $ 22,345,343 |
Deferred capital losses | $ (14,515,504) |
Net unrealized appreciation | $896,060,132 |
Aggregate cost | $2,062,960,467 |
Gross unrealized appreciation | $ 958,594,355 |
Gross unrealized depreciation | (62,534,223) |
Net unrealized appreciation | $ 896,060,132 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $4,368,471 | $ — | $ — | $ — | $4,368,471 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $200,964,644 | $(184,064,206) | $1,678 | $(848) | $16,901,268 | $4,514 | 16,899,578 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 4,087,288 | $ 104,146,002 | 2,722,940 | $ 63,137,685 | |
Reinvestment of distributions | 118,417 | 3,066,997 | 424,532 | 9,467,075 | |
Shares redeemed | (2,957,537) | (75,256,968) | (2,202,944) | (50,918,507) | |
Converted from Class C | 52,792 | 1,312,323 | 192,053 | 4,211,299 | |
Net increase | 1,300,960 | $ 33,268,354 | 1,136,581 | $ 25,897,552 | |
Class C | |||||
Shares sold | 365,695 | $ 8,930,208 | 432,146 | $ 9,401,441 | |
Reinvestment of distributions | 7,940 | 193,407 | 77,141 | 1,620,740 | |
Shares redeemed | (569,205) | (13,956,132) | (511,788) | (11,178,972) | |
Converted to Class A | (56,292) | (1,312,323) | (204,127) | (4,211,299) | |
Net decrease | (251,862) | $ (6,144,840) | (206,628) | $ (4,368,090) | |
Class I | |||||
Shares sold | 26,877,058 | $ 711,674,434 | 21,971,120 | $ 525,308,306 | |
Reinvestment of distributions | 536,599 | 14,246,696 | 1,457,832 | 33,296,893 | |
Shares redeemed | (12,391,457) | (336,209,674) | (14,907,892) | (347,603,036) | |
Net increase | 15,022,200 | $ 389,711,456 | 8,521,060 | $ 211,002,163 | |
Class R6 | |||||
Shares sold | 10,109,378 | $ 272,935,432 | 11,533,607 | $ 268,652,048 | |
Reinvestment of distributions | 169,858 | 4,504,630 | 329,560 | 7,520,554 | |
Shares redeemed | (5,743,149) | (151,325,299) | (2,611,743) | (63,684,065) | |
Net increase | 4,536,087 | $ 126,114,763 | 9,251,424 | $ 212,488,537 |
Calvert Responsible Index Series, Inc.:
November 20, 2020
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Interested Director | ||||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. | |
Independent Directors | ||||
Richard L. Baird, Jr. 1948 | Director | 2000 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships in the Last Five Years. None. | |
Alice Gresham Bullock 1950 | Chair & Director | 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships in the Last Five Years. None. | |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. | |
John G. Guffey, Jr.(2) 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. | |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999-September 2014). Other Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). | |
Joy V. Jones 1950 | Director | 2000 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Independent Directors (continued) | ||||
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships in the Last Five Years. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years | |
Principal Officers who are not Directors | ||||
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). | |
Maureen A. Gemma(3) 1960 | Secretary, Vice President and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | ||||
(2) Mr. Guffey is currently married to Rebecca L. Adamson, who served as a member of the Advisory Council through December 31, 2019. | ||||
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 06/19/2015 | 06/19/2015 | 36.14% | 18.70% | 15.96% |
Class A with 4.75% Maximum Sales Charge | — | — | 29.66 | 17.54 | 14.89 |
Class I at NAV | 06/19/2015 | 06/19/2015 | 36.42 | 19.07 | 16.32 |
Russell 1000® Growth Index | — | — | 37.53% | 20.08% | 17.20% |
Calvert US Large-Cap Growth Responsible Index | — | — | 36.84 | 19.41 | 16.63 |
% Total Annual Operating Expense Ratios3 | Class A | Class I |
Gross | 0.77% | 0.52% |
Net | 0.49 | 0.24 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class I | $100,000 | 06/19/2015 | $222,424 | N.A. |
Top 10 Holdings (% of net assets)* | |
Apple, Inc. | 9.9% |
Microsoft Corp. | 7.8 |
Amazon.com, Inc. | 6.7 |
Alphabet, Inc., Class A | 4.4 |
Visa, Inc., Class A | 1.8 |
NVIDIA Corp. | 1.7 |
Tesla, Inc. | 1.7 |
Procter & Gamble Co. (The) | 1.7 |
MasterCard, Inc., Class A | 1.6 |
Home Depot, Inc. (The) | 1.6 |
Total | 38.9% |
* | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell 1000® Growth Index is an unmanaged index of U.S. large-cap growth stocks. Calvert US Large-Cap Growth Responsible Index (the “Calvert Index”) is composed of common stocks of large growth companies that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. Large growth companies are selected from the 1,000 largest publicly traded U.S. companies based on market capitalization and growth style factors, excluding real estate investment trusts and business development companies. The Calvert Principles of Responsible Investment serve as a framework for considering environmental, social and governance factors that may affect investment performance. Stocks are weighted in the Calvert Index based on their float-adjusted market capitalization within the relevant sector, subject to certain prescribed limits. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. |
Beginning Account Value (4/1/20) | Ending Account Value (9/30/20) | Expenses Paid During Period* (4/1/20 – 9/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,425.40 | $2.97 ** | 0.49% |
Class I | $1,000.00 | $1,427.40 | $1.46 ** | 0.24% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.55 | $2.48 ** | 0.49% |
Class I | $1,000.00 | $1,023.80 | $1.21 ** | 0.24% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2020. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 99.8% |
Security | Shares | Value | |
Aerospace & Defense — 0.2% | |||
Axon Enterprise, Inc.(1) | 638 | $ 57,866 | |
Curtiss-Wright Corp. | 180 | 16,787 | |
HEICO Corp. | 495 | 51,807 | |
Mercury Systems, Inc.(1) | 476 | 36,871 | |
Teledyne Technologies, Inc.(1) | 403 | 125,015 | |
$ 288,346 | |||
Air Freight & Logistics — 0.3% | |||
C.H. Robinson Worldwide, Inc. | 205 | $ 20,949 | |
Expeditors International of Washington, Inc. | 1,115 | 100,930 | |
FedEx Corp. | 202 | 50,807 | |
United Parcel Service, Inc., Class B | 1,519 | 253,111 | |
$ 425,797 | |||
Airlines — 0.0%(2) | |||
American Airlines Group, Inc.(3) | 3,983 | $ 48,951 | |
$ 48,951 | |||
Auto Components — 0.0%(2) | |||
Gentex Corp. | 1,404 | $ 36,153 | |
$ 36,153 | |||
Automobiles — 1.7% | |||
Tesla, Inc.(1) | 5,615 | $ 2,408,891 | |
$ 2,408,891 | |||
Banks — 0.1% | |||
Commerce Bancshares, Inc. | 151 | $ 8,500 | |
First Financial Bankshares, Inc. | 648 | 18,085 | |
First Republic Bank | 903 | 98,481 | |
Glacier Bancorp, Inc. | 156 | 5,000 | |
SVB Financial Group(1) | 306 | 73,630 | |
$ 203,696 | |||
Beverages — 0.8% | |||
Coca-Cola Co. (The) | 7,259 | $ 358,377 | |
PepsiCo, Inc. | 5,661 | 784,614 | |
$ 1,142,991 | |||
Biotechnology — 3.5% | |||
AbbVie, Inc. | 10,194 | $ 892,892 | |
ACADIA Pharmaceuticals, Inc.(1)(3) | 711 | 29,329 | |
Acceleron Pharma, Inc.(1) | 497 | 55,927 | |
Agios Pharmaceuticals, Inc.(1) | 2 | 70 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Alexion Pharmaceuticals, Inc.(1) | 1,960 | $ 224,283 | |
Alnylam Pharmaceuticals, Inc.(1) | 614 | 89,398 | |
Amgen, Inc. | 3,440 | 874,310 | |
Amicus Therapeutics, Inc.(1) | 2,519 | 35,568 | |
Arena Pharmaceuticals, Inc.(1) | 540 | 40,387 | |
Arrowhead Pharmaceuticals, Inc.(1) | 959 | 41,295 | |
Biogen, Inc.(1) | 1,384 | 392,613 | |
BioMarin Pharmaceutical, Inc.(1) | 1,447 | 110,088 | |
Bluebird Bio, Inc.(1) | 605 | 32,640 | |
Emergent BioSolutions, Inc.(1) | 357 | 36,889 | |
Exact Sciences Corp.(1) | 1,262 | 128,661 | |
Exelixis, Inc.(1) | 2,866 | 70,074 | |
FibroGen, Inc.(1) | 289 | 11,884 | |
Gilead Sciences, Inc. | 1,422 | 89,856 | |
Halozyme Therapeutics, Inc.(1) | 435 | 11,432 | |
Incyte Corp.(1) | 1,577 | 141,520 | |
Ionis Pharmaceuticals, Inc.(1) | 1,159 | 54,995 | |
Neurocrine Biosciences, Inc.(1) | 833 | 80,101 | |
PTC Therapeutics, Inc.(1) | 464 | 21,692 | |
Regeneron Pharmaceuticals, Inc.(1) | 907 | 507,720 | |
Sarepta Therapeutics, Inc.(1) | 637 | 89,454 | |
Seattle Genetics, Inc.(1) | 1,073 | 209,975 | |
Ultragenyx Pharmaceutical, Inc.(1) | 502 | 41,259 | |
Vertex Pharmaceuticals, Inc.(1) | 2,368 | 644,380 | |
$ 4,958,692 | |||
Building Products — 0.7% | |||
AAON, Inc. | 312 | $ 18,798 | |
Advanced Drainage Systems, Inc. | 325 | 20,293 | |
Allegion PLC | 992 | 98,119 | |
Armstrong World Industries, Inc. | 418 | 28,763 | |
Carrier Global Corp. | 6,402 | 195,517 | |
Fortune Brands Home & Security, Inc. | 260 | 22,495 | |
Johnson Controls International PLC | 7,841 | 320,305 | |
Masco Corp. | 1,687 | 93,004 | |
Owens Corning | 2,183 | 150,212 | |
Trane Technologies PLC | 205 | 24,856 | |
Trex Co., Inc.(1) | 944 | 67,590 | |
UFP Industries, Inc. | 3 | 170 | |
$ 1,040,122 | |||
Capital Markets — 2.8% | |||
Affiliated Managers Group, Inc. | 100 | $ 6,838 | |
Ares Management Corp., Class A | 1,210 | 48,908 | |
BlackRock, Inc. | 440 | 247,962 | |
Blackstone Group, Inc. (The), Class A | 8,173 | 426,631 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Cboe Global Markets, Inc. | 1,306 | $ 114,588 | |
Charles Schwab Corp. (The) | 695 | 25,180 | |
CME Group, Inc. | 2,073 | 346,834 | |
Cohen & Steers, Inc. | 225 | 12,541 | |
E*Trade Financial Corp. | 576 | 28,829 | |
FactSet Research Systems, Inc. | 317 | 106,157 | |
Hamilton Lane, Inc., Class A | 238 | 15,372 | |
Houlihan Lokey, Inc. | 339 | 20,018 | |
Interactive Brokers Group, Inc., Class A | 368 | 17,785 | |
Intercontinental Exchange, Inc. | 3,292 | 329,365 | |
KKR & Co., Inc. | 4 | 137 | |
LPL Financial Holdings, Inc. | 428 | 32,815 | |
MarketAxess Holdings, Inc. | 460 | 221,531 | |
Moody's Corp. | 1,328 | 384,921 | |
Morningstar, Inc. | 220 | 35,334 | |
MSCI, Inc. | 644 | 229,766 | |
Nasdaq, Inc. | 1,401 | 171,917 | |
Owl Rock Capital Corp. | 3,444 | 41,535 | |
S&P Global, Inc. | 1,973 | 711,464 | |
SEI Investments Co. | 1,525 | 77,348 | |
T. Rowe Price Group, Inc. | 2,329 | 298,624 | |
TD Ameritrade Holding Corp. | 7 | 274 | |
Virtu Financial, Inc., Class A | 453 | 10,424 | |
$ 3,963,098 | |||
Chemicals — 1.3% | |||
Air Products & Chemicals, Inc. | 1,032 | $ 307,392 | |
Axalta Coating Systems, Ltd.(1) | 1,246 | 27,624 | |
Celanese Corp. | 409 | 43,947 | |
Ecolab, Inc. | 1,869 | 373,501 | |
FMC Corp. | 1,390 | 147,215 | |
International Flavors & Fragrances, Inc. | 376 | 46,041 | |
Mosaic Co. (The) | 2,631 | 48,068 | |
PPG Industries, Inc. | 1,145 | 139,782 | |
Quaker Chemical Corp.(3) | 94 | 16,893 | |
Sherwin-Williams Co. (The) | 868 | 604,770 | |
WR Grace & Co. | 319 | 12,852 | |
$ 1,768,085 | |||
Commercial Services & Supplies — 0.6% | |||
ADT, Inc. | 1,328 | $ 10,850 | |
Cintas Corp. | 664 | 220,999 | |
Copart, Inc.(1) | 1,609 | 169,202 | |
IAA, Inc.(1) | 973 | 50,664 | |
MSA Safety, Inc. | 326 | 43,739 | |
Republic Services, Inc. | 795 | 74,213 |
Security | Shares | Value | |
Commercial Services & Supplies (continued) | |||
Tetra Tech, Inc. | 364 | $ 34,762 | |
UniFirst Corp. | 48 | 9,090 | |
Waste Management, Inc. | 2,239 | 253,388 | |
$ 866,907 | |||
Communications Equipment — 0.7% | |||
Arista Networks, Inc.(1) | 440 | $ 91,049 | |
Ciena Corp.(1) | 1,359 | 53,939 | |
Cisco Systems, Inc. | 15,595 | 614,287 | |
F5 Networks, Inc.(1) | 466 | 57,211 | |
Lumentum Holdings, Inc.(1) | 602 | 45,228 | |
Motorola Solutions, Inc. | 1,136 | 178,136 | |
$ 1,039,850 | |||
Construction Materials — 0.2% | |||
Martin Marietta Materials, Inc. | 403 | $ 94,850 | |
Vulcan Materials Co. | 1,420 | 192,467 | |
$ 287,317 | |||
Consumer Finance — 0.1% | |||
American Express Co. | 1,112 | $ 111,478 | |
Credit Acceptance Corp.(1)(3) | 119 | 40,298 | |
FirstCash, Inc. | 259 | 14,818 | |
LendingTree, Inc.(1)(3) | 90 | 27,620 | |
$ 194,214 | |||
Containers & Packaging — 0.3% | |||
AptarGroup, Inc. | 344 | $ 38,941 | |
Avery Dennison Corp. | 139 | 17,770 | |
Ball Corp. | 3,047 | 253,266 | |
Berry Global Group, Inc.(1) | 354 | 17,105 | |
Crown Holdings, Inc.(1) | 506 | 38,891 | |
Silgan Holdings, Inc. | 332 | 12,208 | |
$ 378,181 | |||
Distributors — 0.1% | |||
Pool Corp. | 295 | $ 98,689 | |
$ 98,689 | |||
Diversified Consumer Services — 0.1% | |||
Bright Horizons Family Solutions, Inc.(1) | 405 | $ 61,576 | |
Chegg, Inc.(1)(3) | 961 | 68,654 | |
frontdoor, Inc.(1) | 656 | 25,525 | |
Grand Canyon Education, Inc.(1) | 216 | 17,267 | |
H&R Block, Inc. | 936 | 15,247 | |
Service Corp. International | 3 | 127 |
Security | Shares | Value | |
Diversified Consumer Services (continued) | |||
ServiceMaster Global Holdings, Inc.(1) | 261 | $ 10,409 | |
Strategic Education, Inc. | 101 | 9,238 | |
$ 208,043 | |||
Diversified Telecommunication Services — 0.0%(2) | |||
Cogent Communications Holdings, Inc. | 202 | $ 12,130 | |
Iridium Communications, Inc.(1) | 1,130 | 28,906 | |
$ 41,036 | |||
Electric Utilities — 0.5% | |||
Eversource Energy | 434 | $ 36,261 | |
NextEra Energy, Inc. | 2,143 | 594,811 | |
Xcel Energy, Inc. | 244 | 16,838 | |
$ 647,910 | |||
Electrical Equipment — 0.5% | |||
AMETEK, Inc. | 1,748 | $ 173,751 | |
Emerson Electric Co. | 1,575 | 103,273 | |
Generac Holdings, Inc.(1) | 677 | 131,094 | |
Hubbell, Inc. | 71 | 9,716 | |
Rockwell Automation, Inc. | 956 | 210,970 | |
Sensata Technologies Holding PLC(1) | 678 | 29,249 | |
Vertiv Holdings Co.(1)(3) | 3,273 | 56,688 | |
$ 714,741 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
Amphenol Corp., Class A | 2,476 | $ 268,077 | |
Coherent, Inc.(1) | 199 | 22,075 | |
Corning, Inc. | 6,011 | 194,816 | |
Dolby Laboratories, Inc., Class A | 367 | 24,325 | |
II-VI, Inc.(1) | 1,090 | 44,210 | |
IPG Photonics Corp.(1) | 241 | 40,963 | |
Jabil, Inc. | 222 | 7,606 | |
Keysight Technologies, Inc.(1) | 1,916 | 189,262 | |
Littelfuse, Inc. | 87 | 15,429 | |
National Instruments Corp. | 338 | 12,067 | |
Novanta, Inc.(1) | 357 | 37,606 | |
Trimble, Inc.(1) | 2,153 | 104,851 | |
Zebra Technologies Corp., Class A(1) | 458 | 115,627 | |
$ 1,076,914 | |||
Energy Equipment & Services — 0.1% | |||
Baker Hughes Co. | 13,218 | $ 175,667 | |
$ 175,667 |
Security | Shares | Value | |
Entertainment — 2.6% | |||
Activision Blizzard, Inc. | 4,615 | $ 373,584 | |
Electronic Arts, Inc.(1) | 2,369 | 308,941 | |
Liberty Formula One Group, Series C(1) | 1,129 | 40,949 | |
Live Nation Entertainment, Inc.(1) | 991 | 53,395 | |
Madison Square Garden Sports Corp., Class A(1) | 105 | 15,800 | |
Netflix, Inc.(1) | 3,428 | 1,714,103 | |
Roku, Inc.(1) | 786 | 148,397 | |
Take-Two Interactive Software, Inc.(1) | 958 | 158,281 | |
Walt Disney Co. (The) | 6,742 | 836,547 | |
World Wrestling Entertainment, Inc., Class A(3) | 325 | 13,153 | |
Zynga, Inc., Class A(1) | 8,830 | 80,530 | |
$ 3,743,680 | |||
Food & Staples Retailing — 0.6% | |||
Casey's General Stores, Inc. | 103 | $ 18,298 | |
Costco Wholesale Corp. | 1,966 | 697,930 | |
Grocery Outlet Holding Corp.(1) | 864 | 33,972 | |
Sprouts Farmers Market, Inc.(1) | 689 | 14,421 | |
Walmart, Inc. | 576 | 80,588 | |
$ 845,209 | |||
Food Products — 0.8% | |||
BellRing Brands, Inc., Class A(1) | 215 | $ 4,459 | |
Bunge, Ltd. | 395 | 18,052 | |
Campbell Soup Co. | 716 | 34,633 | |
Conagra Brands, Inc. | 51 | 1,821 | |
Flowers Foods, Inc. | 1,247 | 30,340 | |
Freshpet, Inc.(1) | 415 | 46,335 | |
General Mills, Inc. | 579 | 35,713 | |
Hain Celestial Group, Inc. (The)(1) | 4 | 137 | |
Hershey Co. (The) | 1,247 | 178,745 | |
Hormel Foods Corp.(3) | 1,369 | 66,930 | |
JM Smucker Co. (The) | 146 | 16,866 | |
Kellogg Co. | 751 | 48,507 | |
Lamb Weston Holdings, Inc. | 1,241 | 82,241 | |
Lancaster Colony Corp. | 202 | 36,118 | |
McCormick & Co., Inc. | 971 | 188,471 | |
Mondelez International, Inc., Class A | 5,230 | 300,463 | |
Post Holdings, Inc.(1) | 387 | 33,282 | |
TreeHouse Foods, Inc.(1) | 182 | 7,376 | |
$ 1,130,489 | |||
Gas Utilities — 0.0%(2) | |||
ONE Gas, Inc. | 110 | $ 7,591 | |
$ 7,591 |
Security | Shares | Value | |
Health Care Equipment & Supplies — 5.4% | |||
Abbott Laboratories | 13,079 | $ 1,423,388 | |
ABIOMED, Inc.(1) | 408 | 113,040 | |
Align Technology, Inc.(1) | 641 | 209,838 | |
Baxter International, Inc. | 3,883 | 312,271 | |
Becton, Dickinson and Co. | 2,582 | 600,780 | |
Boston Scientific Corp.(1) | 12,851 | 491,037 | |
Cooper Cos., Inc. (The) | 488 | 164,515 | |
Danaher Corp. | 3,784 | 814,809 | |
DENTSPLY SIRONA, Inc. | 1,923 | 84,093 | |
DexCom, Inc.(1) | 865 | 356,579 | |
Edwards Lifesciences Corp.(1) | 4,691 | 374,436 | |
Globus Medical, Inc., Class A(1) | 664 | 32,881 | |
Haemonetics Corp.(1) | 414 | 36,121 | |
Hill-Rom Holdings, Inc. | 595 | 49,688 | |
Hologic, Inc.(1) | 862 | 57,297 | |
ICU Medical, Inc.(1) | 190 | 34,724 | |
IDEXX Laboratories, Inc.(1) | 771 | 303,088 | |
Insulet Corp.(1) | 589 | 139,352 | |
Integra LifeSciences Holdings Corp.(1) | 494 | 23,327 | |
Intuitive Surgical, Inc.(1) | 1,052 | 746,436 | |
iRhythm Technologies, Inc.(1) | 188 | 44,765 | |
Masimo Corp.(1) | 468 | 110,476 | |
Neogen Corp.(1) | 457 | 35,760 | |
Novocure, Ltd.(1) | 753 | 83,816 | |
NuVasive, Inc.(1) | 279 | 13,551 | |
Penumbra, Inc.(1)(3) | 281 | 54,621 | |
Quidel Corp.(1) | 322 | 70,640 | |
ResMed, Inc. | 1,282 | 219,773 | |
STERIS PLC | 714 | 125,800 | |
Teleflex, Inc. | 413 | 140,593 | |
Varian Medical Systems, Inc.(1) | 822 | 141,384 | |
West Pharmaceutical Services, Inc. | 669 | 183,908 | |
$ 7,592,787 | |||
Health Care Providers & Services — 0.7% | |||
Amedisys, Inc.(1) | 259 | $ 61,235 | |
Anthem, Inc. | 227 | 60,970 | |
Centene Corp.(1) | 1,035 | 60,372 | |
Chemed Corp. | 145 | 69,651 | |
Encompass Health Corp. | 335 | 21,768 | |
HCA Healthcare, Inc. | 361 | 45,010 | |
HealthEquity, Inc.(1) | 670 | 34,418 | |
Humana, Inc. | 651 | 269,442 | |
Laboratory Corp. of America Holdings(1) | 861 | 162,100 | |
LHC Group, Inc.(1) | 238 | 50,589 | |
Molina Healthcare, Inc.(1) | 283 | 51,800 |
Security | Shares | Value | |
Health Care Providers & Services (continued) | |||
Premier, Inc., Class A | 1,050 | $ 34,472 | |
Quest Diagnostics, Inc. | 181 | 20,723 | |
$ 942,550 | |||
Health Care Technology — 0.5% | |||
Cerner Corp. | 2,400 | $ 173,496 | |
HMS Holdings Corp.(1) | 562 | 13,460 | |
Inovalon Holdings, Inc., Class A(1) | 802 | 21,213 | |
Omnicell, Inc.(1) | 234 | 17,470 | |
Teladoc Health, Inc.(1) | 716 | 156,976 | |
Veeva Systems, Inc., Class A(1) | 1,120 | 314,933 | |
$ 697,548 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
Aramark | 500 | $ 13,225 | |
Chipotle Mexican Grill, Inc.(1) | 315 | 391,769 | |
Choice Hotels International, Inc. | 268 | 23,037 | |
Domino's Pizza, Inc. | 449 | 190,951 | |
Dunkin' Brands Group, Inc. | 901 | 73,801 | |
Hilton Worldwide Holdings, Inc. | 2,223 | 189,666 | |
Hyatt Hotels Corp., Class A(3) | 116 | 6,191 | |
Marriott International, Inc., Class A | 700 | 64,806 | |
Marriott Vacations Worldwide Corp. | 374 | 33,963 | |
Planet Fitness, Inc., Class A(1) | 618 | 38,081 | |
Starbucks Corp. | 10,729 | 921,836 | |
Texas Roadhouse, Inc. | 225 | 13,678 | |
Vail Resorts, Inc. | 155 | 33,165 | |
Wendy's Co. (The) | 1,606 | 35,806 | |
Wingstop, Inc. | 294 | 40,175 | |
Wyndham Hotels & Resorts, Inc. | 334 | 16,867 | |
Yum! Brands, Inc. | 2,681 | 244,775 | |
$ 2,331,792 | |||
Household Durables — 0.2% | |||
Helen of Troy, Ltd.(1) | 187 | $ 36,188 | |
Newell Brands, Inc. | 8 | 137 | |
NVR, Inc.(1) | 37 | 151,075 | |
Tempur Sealy International, Inc.(1) | 109 | 9,722 | |
TopBuild Corp.(1) | 359 | 61,278 | |
$ 258,400 | |||
Household Products — 2.3% | |||
Church & Dwight Co., Inc. | 1,546 | $ 144,876 | |
Clorox Co. (The) | 698 | 146,699 | |
Colgate-Palmolive Co. | 5,488 | 423,399 | |
Energizer Holdings, Inc. | 371 | 14,521 |
Security | Shares | Value | |
Household Products (continued) | |||
Kimberly-Clark Corp. | 1,163 | $ 171,729 | |
Procter & Gamble Co. (The) | 17,246 | 2,397,021 | |
$ 3,298,245 | |||
Independent Power and Renewable Electricity Producers — 0.0%(2) | |||
AES Corp. (The) | 1,683 | $ 30,479 | |
Clearway Energy, Inc., Class C | 258 | 6,956 | |
Ormat Technologies, Inc.(3) | 229 | 13,536 | |
$ 50,971 | |||
Industrial Conglomerates — 0.5% | |||
3M Co. | 1,452 | $ 232,582 | |
Carlisle Cos., Inc. | 417 | 51,028 | |
Roper Technologies, Inc. | 1,009 | 398,666 | |
$ 682,276 | |||
Insurance — 0.9% | |||
Alleghany Corp. | 166 | $ 86,395 | |
Brown & Brown, Inc. | 1,474 | 66,728 | |
eHealth, Inc.(1) | 214 | 16,906 | |
Enstar Group, Ltd.(1) | 217 | 35,045 | |
Erie Indemnity Co., Class A | 310 | 65,187 | |
Kemper Corp. | 50 | 3,341 | |
Kinsale Capital Group, Inc. | 242 | 46,024 | |
Marsh & McLennan Cos., Inc. | 3,466 | 397,550 | |
Primerica, Inc. | 117 | 13,237 | |
Progressive Corp. (The) | 3,270 | 309,571 | |
RenaissanceRe Holdings, Ltd. | 436 | 74,007 | |
RLI Corp. | 294 | 24,617 | |
White Mountains Insurance Group, Ltd. | 1 | 779 | |
Willis Towers Watson PLC | 523 | 109,213 | |
$ 1,248,600 | |||
Interactive Media & Services — 4.6% | |||
Alphabet, Inc., Class A(1) | 4,200 | $ 6,155,520 | |
ANGI Homeservices, Inc., Class A(1)(3) | 155 | 1,720 | |
CarGurus, Inc.(1) | 605 | 13,086 | |
IAC/InterActiveCorp. (1) | 695 | 83,247 | |
Match Group, Inc.(1) | 1,822 | 201,604 | |
$ 6,455,177 | |||
Internet & Direct Marketing Retail — 7.3% | |||
Amazon.com, Inc.(1) | 3,005 | $ 9,461,934 | |
Booking Holdings, Inc.(1) | 337 | 576,499 | |
eBay, Inc. | 185 | 9,639 | |
Etsy, Inc.(1) | 932 | 113,359 |
Security | Shares | Value | |
Internet & Direct Marketing Retail (continued) | |||
Expedia Group, Inc. | 1,179 | $ 108,103 | |
GrubHub, Inc.(1) | 846 | 61,191 | |
Qurate Retail, Inc., Series A(1) | 1,467 | 10,533 | |
Stamps.com, Inc.(1) | 142 | 34,215 | |
Wayfair, Inc., Class A(1)(3) | 41 | 11,931 | |
$ 10,387,404 | |||
IT Services — 8.2% | |||
Accenture PLC, Class A | 4,901 | $ 1,107,577 | |
Akamai Technologies, Inc.(1) | 1,260 | 139,280 | |
Amdocs, Ltd. | 260 | 14,927 | |
Automatic Data Processing, Inc. | 1,799 | 250,943 | |
Black Knight, Inc.(1) | 1,264 | 110,031 | |
Booz Allen Hamilton Holding Corp., Class A | 863 | 71,612 | |
Broadridge Financial Solutions, Inc. | 837 | 110,484 | |
Cognizant Technology Solutions Corp., Class A | 1,989 | 138,076 | |
EPAM Systems, Inc.(1) | 461 | 149,032 | |
Fidelity National Information Services, Inc. | 5,075 | 747,091 | |
Fiserv, Inc.(1) | 4,639 | 478,049 | |
Gartner, Inc.(1) | 673 | 84,091 | |
Genpact, Ltd. | 1,013 | 39,456 | |
GoDaddy, Inc., Class A(1) | 945 | 71,792 | |
Jack Henry & Associates, Inc. | 601 | 97,717 | |
ManTech International Corp. / VA, Class A | 2 | 138 | |
MasterCard, Inc., Class A | 6,773 | 2,290,425 | |
MAXIMUS, Inc. | 398 | 27,227 | |
MongoDB, Inc.(1) | 424 | 98,160 | |
Okta, Inc.(1) | 574 | 122,750 | |
Paychex, Inc. | 1,428 | 113,912 | |
PayPal Holdings, Inc.(1) | 8,861 | 1,745,883 | |
Perspecta, Inc. | 652 | 12,681 | |
Science Applications International Corp. | 198 | 15,527 | |
Square, Inc., Class A(1) | 3,025 | 491,714 | |
Switch, Inc., Class A | 849 | 13,253 | |
Twilio, Inc., Class A(1) | 833 | 205,826 | |
VeriSign, Inc.(1) | 800 | 163,880 | |
Visa, Inc., Class A | 12,794 | 2,558,416 | |
WEX, Inc.(1) | 357 | 49,612 | |
$ 11,519,562 | |||
Leisure Products — 0.1% | |||
Brunswick Corp. | 865 | $ 50,957 | |
Hasbro, Inc. | 35 | 2,895 | |
Mattel, Inc.(1) | 887 | 10,378 | |
YETI Holdings, Inc.(1) | 451 | 20,440 | |
$ 84,670 |
Security | Shares | Value | |
Life Sciences Tools & Services — 2.4% | |||
10X Genomics, Inc., Class A(1) | 34 | $ 4,239 | |
Agilent Technologies, Inc. | 2,829 | 285,559 | |
Avantor, Inc.(1) | 4,030 | 90,635 | |
Bio-Rad Laboratories, Inc., Class A(1) | 187 | 96,391 | |
Bio-Techne Corp. | 356 | 88,192 | |
Bruker Corp. | 876 | 34,821 | |
Charles River Laboratories International, Inc.(1) | 424 | 96,015 | |
Illumina, Inc.(1) | 1,303 | 402,731 | |
IQVIA Holdings, Inc.(1) | 1,686 | 265,764 | |
Medpace Holdings, Inc.(1) | 289 | 32,296 | |
Mettler-Toledo International, Inc.(1) | 211 | 203,773 | |
NeoGenomics, Inc.(1) | 1,017 | 37,517 | |
PerkinElmer, Inc. | 1,024 | 128,522 | |
PRA Health Sciences, Inc.(1) | 521 | 52,850 | |
Repligen Corp.(1) | 422 | 62,262 | |
Syneos Health, Inc.(1) | 300 | 15,948 | |
Thermo Fisher Scientific, Inc. | 3,278 | 1,447,303 | |
Waters Corp.(1) | 545 | 106,646 | |
$ 3,451,464 | |||
Machinery — 1.4% | |||
Allison Transmission Holdings, Inc. | 797 | $ 28,007 | |
Colfax Corp.(1) | 805 | 25,245 | |
Crane Co. | 108 | 5,414 | |
Cummins, Inc. | 13 | 2,745 | |
Deere & Co. | 667 | 147,827 | |
Donaldson Co., Inc. | 849 | 39,411 | |
Dover Corp. | 382 | 41,386 | |
Fortive Corp. | 2,754 | 209,882 | |
Gates Industrial Corp. PLC(1) | 301 | 3,347 | |
Graco, Inc. | 1,742 | 106,872 | |
IDEX Corp. | 544 | 99,231 | |
Illinois Tool Works, Inc. | 1,908 | 368,645 | |
Ingersoll Rand, Inc.(1) | 3,870 | 137,772 | |
ITT, Inc. | 74 | 4,370 | |
Lincoln Electric Holdings, Inc. | 324 | 29,821 | |
Nordson Corp. | 431 | 82,674 | |
Otis Worldwide Corp. | 4,637 | 289,441 | |
PACCAR, Inc. | 1 | 85 | |
Parker-Hannifin Corp. | 449 | 90,851 | |
Proto Labs, Inc.(1) | 308 | 39,886 | |
RBC Bearings, Inc.(1) | 225 | 27,272 | |
Rexnord Corp. | 526 | 15,696 | |
Stanley Black & Decker, Inc. | 1 | 162 | |
Toro Co. (The) | 1,172 | 98,389 | |
Watts Water Technologies, Inc., Class A | 52 | 5,208 |
Security | Shares | Value | |
Machinery (continued) | |||
Westinghouse Air Brake Technologies Corp. | 262 | $ 16,213 | |
Woodward, Inc. | 192 | 15,391 | |
Xylem, Inc. | 986 | 82,942 | |
$ 2,014,185 | |||
Media — 1.0% | |||
Altice USA, Inc., Class A(1) | 3,936 | $ 102,336 | |
Cable One, Inc. | 42 | 79,188 | |
Charter Communications, Inc., Class A(1) | 1,122 | 700,510 | |
Comcast Corp., Class A | 5,171 | 239,210 | |
Liberty Broadband Corp., Class C(1) | 1,176 | 168,015 | |
New York Times Co. (The), Class A(3) | 845 | 36,158 | |
Nexstar Media Group, Inc., Class A | 158 | 14,209 | |
Sirius XM Holdings, Inc.(3) | 8,922 | 47,822 | |
$ 1,387,448 | |||
Multiline Retail — 0.4% | |||
Dollar General Corp. | 1,628 | $ 341,261 | |
Ollie's Bargain Outlet Holdings, Inc.(1) | 373 | 32,582 | |
Target Corp. | 1,357 | 213,619 | |
$ 587,462 | |||
Multi-Utilities — 0.0%(2) | |||
CenterPoint Energy, Inc. | 2,217 | $ 42,899 | |
CMS Energy Corp. | 226 | 13,879 | |
$ 56,778 | |||
Personal Products — 0.3% | |||
Estee Lauder Cos., Inc. (The), Class A | 1,666 | $ 363,605 | |
$ 363,605 | |||
Pharmaceuticals — 3.3% | |||
Bristol-Myers Squibb Co. | 19,245 | $ 1,160,281 | |
Catalent, Inc.(1) | 1,438 | 123,179 | |
Elanco Animal Health, Inc.(1) | 1,569 | 43,822 | |
Eli Lilly & Co. | 6,794 | 1,005,648 | |
Horizon Therapeutics PLC(1) | 1,060 | 82,341 | |
Jazz Pharmaceuticals PLC(1) | 436 | 62,169 | |
Merck & Co., Inc. | 15,669 | 1,299,744 | |
Nektar Therapeutics(1) | 692 | 11,480 | |
Perrigo Co. PLC | 656 | 30,117 | |
Pfizer, Inc. | 4,495 | 164,967 | |
Zoetis, Inc. | 4,298 | 710,760 | |
$ 4,694,508 |
Security | Shares | Value | |
Professional Services — 0.7% | |||
ASGN, Inc.(1) | 241 | $ 15,318 | |
CoreLogic, Inc. | 518 | 35,053 | |
CoStar Group, Inc.(1) | 315 | 267,281 | |
Exponent, Inc. | 337 | 24,274 | |
FTI Consulting, Inc.(1) | 326 | 34,546 | |
IHS Markit, Ltd. | 3,193 | 250,682 | |
Nielsen Holdings PLC | 1,020 | 14,464 | |
Robert Half International, Inc. | 310 | 16,411 | |
TransUnion | 1,536 | 129,224 | |
TriNet Group, Inc.(1) | 270 | 16,016 | |
Verisk Analytics, Inc. | 1,267 | 234,788 | |
$ 1,038,057 | |||
Real Estate Management & Development — 0.1% | |||
CBRE Group, Inc., Class A(1) | 1,020 | $ 47,909 | |
Howard Hughes Corp. (The)(1) | 2 | 115 | |
Redfin Corp.(1) | 994 | 49,631 | |
$ 97,655 | |||
Road & Rail — 0.9% | |||
J.B. Hunt Transport Services, Inc. | 528 | $ 66,728 | |
Kansas City Southern | 496 | 89,692 | |
Knight-Swift Transportation Holdings, Inc. | 526 | 21,408 | |
Landstar System, Inc. | 261 | 32,753 | |
Norfolk Southern Corp. | 876 | 187,455 | |
Old Dominion Freight Line, Inc. | 822 | 148,716 | |
Saia, Inc.(1) | 148 | 18,669 | |
Schneider National, Inc., Class B | 5 | 124 | |
Union Pacific Corp. | 3,355 | 660,499 | |
Werner Enterprises, Inc. | 290 | 12,177 | |
$ 1,238,221 | |||
Semiconductors & Semiconductor Equipment — 7.0% | |||
Advanced Micro Devices, Inc.(1) | 9,162 | $ 751,192 | |
Analog Devices, Inc. | 1,996 | 233,013 | |
Applied Materials, Inc. | 6,929 | 411,929 | |
Broadcom, Inc. | 3,216 | 1,171,653 | |
Brooks Automation, Inc. | 448 | 20,724 | |
Cirrus Logic, Inc.(1) | 249 | 16,795 | |
CMC Materials, Inc. | 216 | 30,847 | |
Cree, Inc.(1) | 2 | 127 | |
Enphase Energy, Inc.(1) | 757 | 62,521 | |
Entegris, Inc. | 1,138 | 84,599 | |
First Solar, Inc.(1) | 490 | 32,438 | |
Inphi Corp.(1) | 273 | 30,644 | |
Intel Corp. | 20,226 | 1,047,302 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
KLA Corp. | 1,240 | $ 240,238 | |
Lam Research Corp. | 1,202 | 398,764 | |
Lattice Semiconductor Corp.(1) | 1,263 | 36,577 | |
Marvell Technology Group, Ltd. | 4,296 | 170,551 | |
Maxim Integrated Products, Inc. | 976 | 65,987 | |
Microchip Technology, Inc. | 1,990 | 204,492 | |
Micron Technology, Inc.(1) | 9,081 | 426,444 | |
MKS Instruments, Inc. | 442 | 48,280 | |
Monolithic Power Systems, Inc. | 371 | 103,735 | |
NVIDIA Corp. | 4,537 | 2,455,515 | |
ON Semiconductor Corp.(1) | 3,251 | 70,514 | |
Power Integrations, Inc. | 518 | 28,697 | |
Qorvo, Inc.(1) | 929 | 119,850 | |
Semtech Corp.(1) | 458 | 24,256 | |
Silicon Laboratories, Inc.(1) | 322 | 31,508 | |
Skyworks Solutions, Inc. | 1,299 | 189,005 | |
SolarEdge Technologies, Inc.(1) | 384 | 91,526 | |
Teradyne, Inc. | 1,731 | 137,545 | |
Texas Instruments, Inc. | 5,950 | 849,601 | |
Universal Display Corp. | 344 | 62,175 | |
Xilinx, Inc. | 1,996 | 208,063 | |
$ 9,857,107 | |||
Software — 15.8% | |||
ACI Worldwide, Inc.(1) | 785 | $ 20,512 | |
Adobe, Inc.(1) | 3,764 | 1,845,979 | |
Altair Engineering, Inc., Class A(1) | 3 | 126 | |
Alteryx, Inc., Class A(1)(3) | 414 | 47,010 | |
ANSYS, Inc.(1) | 712 | 232,988 | |
Appfolio, Inc., Class A(1) | 112 | 15,883 | |
Aspen Technology, Inc.(1) | 554 | 70,131 | |
Autodesk, Inc.(1) | 1,809 | 417,897 | |
Blackbaud, Inc. | 364 | 20,322 | |
Blackline, Inc.(1) | 428 | 38,362 | |
Box, Inc., Class A(1) | 235 | 4,080 | |
Cadence Design Systems, Inc.(1) | 2,310 | 246,315 | |
CDK Global, Inc. | 851 | 37,095 | |
Ceridian HCM Holding, Inc.(1) | 630 | 52,069 | |
Citrix Systems, Inc. | 989 | 136,195 | |
Coupa Software, Inc.(1)(3) | 492 | 134,926 | |
DocuSign, Inc.(1) | 1,480 | 318,555 | |
Dropbox, Inc., Class A(1) | 153 | 2,947 | |
Envestnet, Inc.(1) | 354 | 27,315 | |
Everbridge, Inc.(1) | 267 | 33,570 | |
Fair Isaac Corp.(1) | 231 | 98,263 | |
FireEye, Inc.(1) | 968 | 11,950 | |
Five9, Inc.(1) | 531 | 68,860 |
Security | Shares | Value | |
Software (continued) | |||
Fortinet, Inc.(1) | 1,162 | $ 136,895 | |
Guidewire Software, Inc.(1) | 711 | 74,136 | |
HubSpot, Inc.(1) | 352 | 102,865 | |
Intuit, Inc. | 2,083 | 679,495 | |
j2 Global, Inc.(1) | 402 | 27,826 | |
Manhattan Associates, Inc.(1) | 567 | 54,143 | |
Microsoft Corp. | 52,442 | 11,030,126 | |
New Relic, Inc.(1) | 420 | 23,671 | |
Nuance Communications, Inc.(1) | 1,443 | 47,893 | |
Oracle Corp. | 10,640 | 635,208 | |
Palo Alto Networks, Inc.(1) | 758 | 185,520 | |
Paycom Software, Inc.(1) | 408 | 127,010 | |
Paylocity Holding Corp.(1) | 335 | 54,076 | |
Pegasystems, Inc. | 163 | 19,730 | |
Pluralsight, Inc., Class A(1) | 95 | 1,627 | |
Proofpoint, Inc.(1) | 490 | 51,720 | |
PTC, Inc.(1) | 809 | 66,920 | |
Q2 Holdings, Inc.(1)(3) | 422 | 38,512 | |
Qualys, Inc.(1) | 221 | 21,660 | |
RealPage, Inc.(1) | 633 | 36,486 | |
RingCentral, Inc., Class A(1) | 618 | 169,709 | |
salesforce.com, Inc.(1) | 6,932 | 1,742,150 | |
ServiceNow, Inc.(1) | 1,566 | 759,510 | |
Smartsheet, Inc., Class A(1) | 775 | 38,301 | |
SolarWinds Corp.(1)(3) | 532 | 10,821 | |
Splunk, Inc.(1) | 1,270 | 238,925 | |
SS&C Technologies Holdings, Inc. | 1,736 | 105,063 | |
Synopsys, Inc.(1) | 1,264 | 270,471 | |
Tenable Holdings, Inc.(1) | 504 | 19,026 | |
Trade Desk, Inc. (The), Class A(1)(3) | 348 | 180,535 | |
Tyler Technologies, Inc.(1) | 341 | 118,859 | |
Verint Systems, Inc.(1) | 450 | 21,681 | |
VMware, Inc., Class A(1)(3) | 635 | 91,230 | |
Workday, Inc., Class A(1) | 1,463 | 314,735 | |
Zendesk, Inc.(1) | 885 | 91,084 | |
Zoom Video Communications, Inc., Class A(1) | 1,526 | 717,388 | |
Zscaler, Inc.(1) | 629 | 88,494 | |
$ 22,274,851 | |||
Specialty Retail — 3.3% | |||
Advance Auto Parts, Inc. | 109 | $ 16,731 | |
AutoZone, Inc.(1) | 170 | 200,199 | |
Burlington Stores, Inc.(1) | 490 | 100,984 | |
CarMax, Inc.(1) | 165 | 15,165 | |
Five Below, Inc.(1) | 416 | 52,832 | |
Floor & Decor Holdings, Inc., Class A(1) | 682 | 51,014 | |
Gap, Inc. (The) | 1,439 | 24,506 |
Security | Shares | Value | |
Specialty Retail (continued) | |||
Home Depot, Inc. (The) | 8,019 | $ 2,226,956 | |
L Brands, Inc. | 1,012 | 32,192 | |
Lowe's Cos., Inc. | 3,753 | 622,473 | |
O'Reilly Automotive, Inc.(1) | 541 | 249,444 | |
RH (1)(3) | 139 | 53,184 | |
Ross Stores, Inc. | 2,596 | 242,259 | |
Tiffany & Co. | 424 | 49,120 | |
TJX Cos., Inc. (The) | 8,946 | 497,845 | |
Tractor Supply Co. | 799 | 114,529 | |
Ulta Beauty, Inc.(1) | 397 | 88,920 | |
Williams-Sonoma, Inc. | 183 | 16,551 | |
$ 4,654,904 | |||
Technology Hardware, Storage & Peripherals — 10.0% | |||
Apple, Inc. | 121,204 | $ 14,036,635 | |
Pure Storage, Inc., Class A(1)(3) | 1,817 | 27,964 | |
$ 14,064,599 | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||
Carter's, Inc.(3) | 187 | $ 16,191 | |
Columbia Sportswear Co. | 127 | 11,046 | |
Deckers Outdoor Corp.(1) | 184 | 40,482 | |
lululemon Athletica, Inc.(1) | 901 | 296,762 | |
NIKE, Inc., Class B | 7,248 | 909,914 | |
Skechers USA, Inc., Class A(1) | 268 | 8,099 | |
Tapestry, Inc. | 2,201 | 34,402 | |
Under Armour, Inc., Class A(1) | 2,732 | 30,680 | |
VF Corp. | 78 | 5,480 | |
$ 1,353,056 | |||
Trading Companies & Distributors — 0.3% | |||
Fastenal Co. | 4,333 | $ 195,375 | |
HD Supply Holdings, Inc.(1) | 298 | 12,290 | |
SiteOne Landscape Supply, Inc.(1) | 312 | 38,048 | |
United Rentals, Inc.(1) | 240 | 41,880 | |
W.W. Grainger, Inc. | 213 | 75,992 | |
$ 363,585 | |||
Water Utilities — 0.1% | |||
American States Water Co. | 205 | $ 15,365 | |
American Water Works Co., Inc. | 798 | 115,614 | |
Essential Utilities, Inc. | 678 | 27,289 | |
$ 158,268 |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.1% | |||
T-Mobile US, Inc.(1) | 1,529 | $ 174,856 | |
$ 174,856 | |||
Total Common Stocks (identified cost $82,548,681) | $ 141,121,851 |
Short-Term Investments — 2.4% | |||
Other — 2.3% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 3,288,604 | $ 3,288,932 | |
Total Other (identified cost $3,288,954) | $ 3,288,932 | ||
Securities Lending Collateral — 0.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(5) | 51,009 | $ 51,009 | |
Total Securities Lending Collateral (identified cost $51,009) | $ 51,009 | ||
Total Short-Term Investments (identified cost $3,339,963) | $ 3,339,941 | ||
Total Investments — 102.2% (identified cost $85,888,644) | $ 144,461,792 | ||
Other Assets, Less Liabilities — (2.2)% | $ (3,137,422) | ||
Net Assets — 100.0% | $ 141,324,370 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | Amount is less than 0.05%. | |
(3) | All or a portion of this security was on loan at September 30, 2020. The aggregate market value of securities on loan at September 30, 2020 was $982,848. | |
(4) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2020. | |
(5) | Represents investment of cash collateral received in connection with securities lending. |
September 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $82,599,690) - including $982,848 of securities on loan | $ 141,172,860 |
Investments in securities of affiliated issuers, at value (identified cost $3,288,954) | 3,288,932 |
Receivable for investments sold | 18 |
Receivable for capital shares sold | 224,499 |
Dividends receivable | 36,565 |
Dividends receivable - affiliated | 70 |
Securities lending income receivable | 136 |
Receivable from affiliate | 10,910 |
Directors' deferred compensation plan | 37,990 |
Total assets | $144,771,980 |
Liabilities | |
Payable for investments purchased | $ 1,183,193 |
Payable for capital shares redeemed | 2,080,215 |
Deposits for securities loaned | 51,009 |
Payable to affiliates: | |
Investment advisory fee | 13,563 |
Administrative fee | 13,563 |
Distribution and service fees | 5,834 |
Sub-transfer agency fee | 1,698 |
Directors' deferred compensation plan | 37,990 |
Accrued expenses | 60,545 |
Total liabilities | $ 3,447,610 |
Net Assets | $141,324,370 |
Sources of Net Assets | |
Paid-in capital | $ 81,767,479 |
Distributable earnings | 59,556,891 |
Total | $141,324,370 |
Class A Shares | |
Net Assets | $ 29,020,502 |
Shares Outstanding | 729,740 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 39.77 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 41.75 |
Class I Shares | |
Net Assets | $ 112,303,868 |
Shares Outstanding | 2,801,802 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 40.08 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. |
Year Ended | |
September 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $38) | $ 1,173,734 |
Dividend income - affiliated issuers | 208 |
Interest income | 1,480 |
Securities lending income, net | 3,562 |
Total investment income | $ 1,178,984 |
Expenses | |
Investment advisory fee | $ 133,733 |
Administrative fee | 133,733 |
Distribution and service fees: | |
Class A | 53,087 |
Directors' fees and expenses | 4,404 |
Custodian fees | 14,578 |
Transfer agency fees and expenses | 72,610 |
Accounting fees | 25,522 |
Professional fees | 31,260 |
Registration fees | 33,019 |
Reports to shareholders | 7,057 |
Miscellaneous | 16,400 |
Total expenses | $ 525,403 |
Waiver and/or reimbursement of expenses by affiliate | $ (200,606) |
Reimbursement of expenses - other | (1,371) |
Net expenses | $ 323,426 |
Net investment income | $ 855,558 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 1,717,682 |
Investment securities - affiliated issuers | 86 |
Net realized gain | $ 1,717,768 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 34,162,554 |
Investment securities - affiliated issuers | (22) |
Net change in unrealized appreciation (depreciation) | $34,162,532 |
Net realized and unrealized gain | $35,880,300 |
Net increase in net assets from operations | $36,735,858 |
Year Ended September 30, | ||
2020 | 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 855,558 | $ 754,073 |
Net realized gain | 1,717,768 | 442,366 |
Net change in unrealized appreciation (depreciation) | 34,162,532 | 3,588,965 |
Net increase in net assets from operations | $ 36,735,858 | $ 4,785,404 |
Distributions to shareholders: | ||
Class A | $ (263,535) | $ (659,649) |
Class I | (1,322,504) | (2,888,632) |
Total distributions to shareholders | $ (1,586,039) | $ (3,548,281) |
Capital share transactions: | ||
Class A | $ 6,032,987 | $ 2,133,569 |
Class I | 8,832,344 | 13,535,760 |
Net increase in net assets from capital share transactions | $ 14,865,331 | $15,669,329 |
Net increase in net assets | $ 50,015,150 | $16,906,452 |
Net Assets | ||
At beginning of year | $ 91,309,220 | $ 74,402,768 |
At end of year | $141,324,370 | $91,309,220 |
Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 29.65 | $ 29.83 | $ 24.35 | $ 20.66 | $ 18.55 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.19 | $ 0.20 | $ 0.17 | $ 0.21 | $ 0.15 |
Net realized and unrealized gain | 10.39 | 0.96 | 5.84 | 3.64 | 2.00 |
Total income from operations | $ 10.58 | $ 1.16 | $ 6.01 | $ 3.85 | $ 2.15 |
Less Distributions | |||||
From net investment income | $ (0.17) | $ (0.20) | $ (0.19) | $ (0.16) | $ (0.04) |
From net realized gain | (0.29) | (1.14) | (0.34) | — | — (2) |
Total distributions | $ (0.46) | $ (1.34) | $ (0.53) | $ (0.16) | $ (0.04) |
Net asset value — End of year | $ 39.77 | $ 29.65 | $ 29.83 | $24.35 | $20.66 |
Total Return(3) | 36.14% | 4.51% | 25.03% | 18.76% | 11.63% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $29,021 | $16,361 | $14,036 | $ 6,214 | $ 4,403 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.67% | 0.77% | 0.82% | 1.53% | 1.45% |
Net expenses | 0.49% | 0.51% | 0.57% | 0.57% | 0.57% |
Net investment income | 0.56% | 0.72% | 0.63% | 0.92% | 0.77% |
Portfolio Turnover | 53% | 34% | 54% | 75% | 43% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $0.005. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
Class I | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 29.88 | $ 30.02 | $ 24.45 | $ 20.74 | $ 18.57 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.27 | $ 0.28 | $ 0.26 | $ 0.28 | $ 0.22 |
Net realized and unrealized gain | 10.46 | 0.97 | 5.87 | 3.66 | 2.01 |
Total income from operations | $ 10.73 | $ 1.25 | $ 6.13 | $ 3.94 | $ 2.23 |
Less Distributions | |||||
From net investment income | $ (0.24) | $ (0.25) | $ (0.22) | $ (0.23) | $ (0.06) |
From net realized gain | (0.29) | (1.14) | (0.34) | — | — (2) |
Total distributions | $ (0.53) | $ (1.39) | $ (0.56) | $ (0.23) | $ (0.06) |
Net asset value — End of year | $ 40.08 | $ 29.88 | $ 30.02 | $ 24.45 | $ 20.74 |
Total Return(3) | 36.42% | 4.82% | 25.46% | 19.20% | 12.02% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $112,304 | $74,948 | $60,367 | $40,821 | $38,646 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.42% | 0.52% | 0.58% | 0.58% | 0.61% |
Net expenses | 0.24% | 0.24% | 0.22% | 0.22% | 0.22% |
Net investment income | 0.81% | 1.00% | 0.98% | 1.26% | 1.12% |
Portfolio Turnover | 53% | 34% | 54% | 75% | 43% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $0.005. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 141,121,851(1) | $ — | $ — | $ 141,121,851 |
Short-Term Investments: | ||||
Other | — | 3,288,932 | — | 3,288,932 |
Securities Lending Collateral | 51,009 | — | — | 51,009 |
Total Investments | $141,172,860 | $3,288,932 | $ — | $144,461,792 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Year Ended September 30, | ||
2020 | 2019 | |
Ordinary income | $704,231 | $1,256,114 |
Long-term capital gains | $881,808 | $2,292,167 |
Undistributed ordinary income | $ 1,043,821 |
Undistributed long-term capital gains | $ 1,641,548 |
Net unrealized appreciation | $56,871,522 |
Aggregate cost | $87,590,270 |
Gross unrealized appreciation | $ 57,454,246 |
Gross unrealized depreciation | (582,724) |
Net unrealized appreciation | $56,871,522 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $51,009 | $ — | $ — | $ — | $51,009 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $13,284,234 | $(9,995,366) | $86 | $(22) | $3,288,932 | $208 | 3,288,604 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 319,128 | $ 10,754,978 | 213,791 | $ 5,900,799 | |
Reinvestment of distributions | 8,095 | 250,466 | 24,401 | 636,373 | |
Shares redeemed | (149,236) | (4,972,457) | (156,940) | (4,403,603) | |
Net increase | 177,987 | $ 6,032,987 | 81,252 | $ 2,133,569 | |
Class I | |||||
Shares sold | 1,750,290 | $ 57,817,474 | 812,027 | $ 22,472,686 | |
Reinvestment of distributions | 42,402 | 1,319,561 | 107,074 | 2,807,470 | |
Shares redeemed | (1,499,446) | (50,304,691) | (421,553) | (11,744,396) | |
Net increase | 293,246 | $ 8,832,344 | 497,548 | $ 13,535,760 |
Calvert Responsible Index Series, Inc.:
November 20, 2020
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Interested Director | ||||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. | |
Independent Directors | ||||
Richard L. Baird, Jr. 1948 | Director | 2000 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships in the Last Five Years. None. | |
Alice Gresham Bullock 1950 | Chair & Director | 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships in the Last Five Years. None. | |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. | |
John G. Guffey, Jr.(2) 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. | |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999-September 2014). Other Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). | |
Joy V. Jones 1950 | Director | 2000 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Independent Directors (continued) | ||||
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships in the Last Five Years. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years | |
Principal Officers who are not Directors | ||||
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). | |
Maureen A. Gemma(3) 1960 | Secretary, Vice President and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | ||||
(2) Mr. Guffey is currently married to Rebecca L. Adamson, who served as a member of the Advisory Council through December 31, 2019. | ||||
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 06/19/2015 | 06/19/2015 | 0.35% | 8.38% | 5.62% |
Class A with 4.75% Maximum Sales Charge | — | — | (4.44) | 7.33 | 4.65 |
Class I at NAV | 06/19/2015 | 06/19/2015 | 0.63 | 8.72 | 5.95 |
Russell 1000® Value Index | — | — | (5.03)% | 7.65% | 5.01% |
Calvert US Large-Cap Value Responsible Index | — | — | 0.47 | 8.96 | 6.16 |
% Total Annual Operating Expense Ratios3 | Class A | Class I |
Gross | 0.69% | 0.44% |
Net | 0.50 | 0.25 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class I | $100,000 | 06/19/2015 | $135,762 | N.A. |
Top 10 Holdings (% of net assets)* | |
JPMorgan Chase & Co. | 2.9% |
Verizon Communications, Inc. | 2.5 |
AT&T, Inc. | 2.1 |
Walmart, Inc. | 1.9 |
Bank of America Corp. | 1.9 |
Pfizer, Inc. | 1.9 |
Comcast Corp., Class A | 1.9 |
Coca-Cola Co. (The) | 1.7 |
Walt Disney Co. (The) | 1.3 |
PepsiCo, Inc. | 1.2 |
Total | 19.3% |
* | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell 1000® Value Index is an unmanaged index of U.S. large-cap value stocks. Calvert US Large-Cap Value Responsible Index (the “Calvert Index”) is composed of common stocks of large value companies that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. Large value companies are selected from the 1,000 largest publicly traded U.S. companies based on market capitalization and value style factors, excluding real estate investment trusts and business development companies. The Calvert Principles of Responsible Investment serve as a framework for considering environmental, social and governance factors that may affect investment performance. Stocks are weighted in the Calvert Index based on their float-adjusted market capitalization within the relevant sector, subject to certain prescribed limits. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. |
Beginning Account Value (4/1/20) | Ending Account Value (9/30/20) | Expenses Paid During Period* (4/1/20 – 9/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,251.40 | $2.76 ** | 0.49% |
Class I | $1,000.00 | $1,253.30 | $1.35 ** | 0.24% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.55 | $2.48 ** | 0.49% |
Class I | $1,000.00 | $1,023.80 | $1.21 ** | 0.24% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2020. |
** | Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
Common Stocks — 99.2% |
Security | Shares | Value | |
Aerospace & Defense — 0.1% | |||
Curtiss-Wright Corp. | 4,366 | $ 407,173 | |
Hexcel Corp. | 12,103 | 406,056 | |
$ 813,229 | |||
Air Freight & Logistics — 1.9% | |||
C.H. Robinson Worldwide, Inc. | 11,552 | $ �� 1,180,499 | |
Expeditors International of Washington, Inc. | 2,170 | 196,429 | |
FedEx Corp. | 19,768 | 4,972,047 | |
United Parcel Service, Inc., Class B | 42,318 | 7,051,448 | |
$ 13,400,423 | |||
Airlines — 0.7% | |||
Alaska Air Group, Inc. | 12,783 | $ 468,241 | |
Delta Air Lines, Inc. | 67,949 | 2,077,881 | |
JetBlue Airways Corp.(1) | 28,774 | 326,009 | |
Southwest Airlines Co. | 64,832 | 2,431,200 | |
$ 5,303,331 | |||
Auto Components — 0.7% | |||
Aptiv PLC | 29,173 | $ 2,674,581 | |
Autoliv, Inc. | 9,066 | 660,730 | |
BorgWarner, Inc. | 21,771 | 843,408 | |
Gentex Corp. | 8,391 | 216,068 | |
Lear Corp. | 6,633 | 723,329 | |
$ 5,118,116 | |||
Automobiles — 0.5% | |||
Ford Motor Co. | 428,781 | $ 2,855,681 | |
Harley-Davidson, Inc. | 17,424 | 427,585 | |
Thor Industries, Inc. | 5,930 | 564,892 | |
$ 3,848,158 | |||
Banks — 10.0% | |||
Bank of America Corp. | 567,482 | $ 13,670,641 | |
Bank OZK | 10,942 | 233,283 | |
BOK Financial Corp. | 2,813 | 144,898 | |
Citigroup, Inc. | 162,969 | 7,025,594 | |
Citizens Financial Group, Inc. | 41,733 | 1,055,010 | |
Comerica, Inc. | 14,216 | 543,762 | |
Commerce Bancshares, Inc. | 9,731 | 547,758 | |
Community Bank System, Inc. | 4,965 | 270,394 | |
Cullen/Frost Bankers, Inc. | 5,919 | 378,520 | |
East West Bancorp, Inc. | 14,554 | 476,498 | |
Fifth Third Bancorp | 70,874 | 1,511,034 |
Security | Shares | Value | |
Banks (continued) | |||
First Citizens Bancshares, Inc., Class A | 738 | $ 235,260 | |
First Financial Bankshares, Inc. | 6,848 | 191,128 | |
First Horizon National Corp. | 54,450 | 513,463 | |
First Republic Bank | 10,259 | 1,118,846 | |
Glacier Bancorp, Inc. | 10,665 | 341,813 | |
Huntington Bancshares, Inc. | 98,239 | 900,852 | |
JPMorgan Chase & Co. | 216,160 | 20,809,723 | |
KeyCorp | 98,224 | 1,171,812 | |
M&T Bank Corp. | 12,767 | 1,175,713 | |
People's United Financial, Inc. | 43,663 | 450,165 | |
Pinnacle Financial Partners, Inc. | 6,534 | 232,545 | |
PNC Financial Services Group, Inc. (The) | 38,799 | 4,264,398 | |
Popular, Inc. | 7,596 | 275,507 | |
Prosperity Bancshares, Inc. | 9,152 | 474,348 | |
Regions Financial Corp. | 97,492 | 1,124,083 | |
Signature Bank | 5,585 | 463,499 | |
SVB Financial Group(1) | 2,656 | 639,087 | |
Synovus Financial Corp. | 14,374 | 304,298 | |
TCF Financial Corp. | 16,008 | 373,947 | |
Truist Financial Corp. | 120,034 | 4,567,294 | |
U.S. Bancorp | 132,751 | 4,759,123 | |
United Bankshares, Inc. | 11,906 | 255,622 | |
Valley National Bancorp | 35,278 | 241,654 | |
Western Alliance Bancorp | 8,451 | 267,221 | |
Zions Bancorp NA | 16,601 | 485,081 | |
$ 71,493,874 | |||
Beverages — 3.1% | |||
Coca-Cola Co. (The) | 242,536 | $ 11,974,002 | |
Keurig Dr Pepper, Inc. | 55,136 | 1,521,754 | |
PepsiCo, Inc. | 62,282 | 8,632,285 | |
$ 22,128,041 | |||
Biotechnology — 4.2% | |||
AbbVie, Inc. | 53,569 | $ 4,692,109 | |
ACADIA Pharmaceuticals, Inc.(1)(2) | 5,382 | 222,007 | |
Agios Pharmaceuticals, Inc.(1) | 6,434 | 225,190 | |
Allakos, Inc.(1)(2) | 3,169 | 258,115 | |
Allogene Therapeutics, Inc.(1) | 9,487 | 357,755 | |
Alnylam Pharmaceuticals, Inc.(1) | 5,411 | 787,842 | |
Amgen, Inc. | 18,034 | 4,583,521 | |
Biogen, Inc.(1) | 413 | 117,160 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 6,551 | 425,880 | |
BioMarin Pharmaceutical, Inc.(1) | 3,729 | 283,702 | |
Blueprint Medicines Corp.(1) | 7,553 | 700,163 | |
Bridgebio Pharma, Inc.(1)(2) | 10,016 | 375,800 |
Security | Shares | Value | |
Biotechnology (continued) | |||
ChemoCentryx, Inc.(1) | 7,351 | $ 402,835 | |
Deciphera Pharmaceuticals, Inc.(1) | 5,330 | 273,429 | |
Denali Therapeutics, Inc.(1) | 9,943 | 356,258 | |
FibroGen, Inc.(1) | 7,725 | 317,652 | |
Gilead Sciences, Inc. | 89,658 | 5,665,489 | |
Global Blood Therapeutics, Inc.(1) | 8,904 | 490,967 | |
Halozyme Therapeutics, Inc.(1) | 15,028 | 394,936 | |
Immunomedics, Inc.(1) | 29,233 | 2,485,682 | |
Iovance Biotherapeutics, Inc.(1) | 19,074 | 627,916 | |
Mirati Therapeutics, Inc.(1) | 5,153 | 855,656 | |
Moderna, Inc.(1) | 39,056 | 2,763,212 | |
Momenta Pharmaceuticals, Inc.(1) | 16,649 | 873,740 | |
Natera, Inc.(1) | 10,372 | 749,273 | |
Sarepta Therapeutics, Inc.(1) | 79 | 11,094 | |
United Therapeutics Corp.(1) | 5,914 | 597,314 | |
Vir Biotechnology, Inc.(1)(2) | 6,713 | 230,457 | |
$ 30,125,154 | |||
Building Products — 0.6% | |||
Advanced Drainage Systems, Inc. | 2,437 | $ 152,166 | |
Fortune Brands Home & Security, Inc. | 8,858 | 766,394 | |
Masco Corp. | 2,566 | 141,464 | |
Trane Technologies PLC | 24,330 | 2,950,013 | |
UFP Industries, Inc. | 4,726 | 267,066 | |
$ 4,277,103 | |||
Capital Markets — 5.8% | |||
Affiliated Managers Group, Inc. | 4,085 | $ 279,332 | |
Ameriprise Financial, Inc. | 12,322 | 1,898,943 | |
Bank of New York Mellon Corp. (The) | 90,121 | 3,094,755 | |
BlackRock, Inc. | 9,036 | 5,092,238 | |
Charles Schwab Corp. (The) | 105,345 | 3,816,649 | |
CME Group, Inc. | 18,768 | 3,140,074 | |
E*Trade Financial Corp. | 17,458 | 873,773 | |
Franklin Resources, Inc. | 27,467 | 558,954 | |
Goldman Sachs Group, Inc. (The) | 27,653 | 5,557,423 | |
Houlihan Lokey, Inc. | 1,654 | 97,669 | |
Interactive Brokers Group, Inc., Class A | 4,195 | 202,744 | |
Intercontinental Exchange, Inc. | 26,334 | 2,634,717 | |
Invesco, Ltd. | 36,023 | 411,023 | |
KKR & Co., Inc. | 54,759 | 1,880,424 | |
Lazard, Ltd., Class A | 11,260 | 372,143 | |
LPL Financial Holdings, Inc. | 5,101 | 391,094 | |
Morgan Stanley | 103,958 | 5,026,369 | |
Northern Trust Corp. | 20,188 | 1,574,058 | |
Raymond James Financial, Inc. | 11,901 | 865,917 |
Security | Shares | Value | |
Capital Markets (continued) | |||
State Street Corp. | 35,875 | $ 2,128,464 | |
Stifel Financial Corp. | 6,346 | 320,854 | |
T. Rowe Price Group, Inc. | 3,940 | 505,187 | |
TD Ameritrade Holding Corp. | 25,276 | 989,555 | |
Virtu Financial, Inc., Class A | 7,697 | 177,108 | |
$ 41,889,467 | |||
Chemicals — 2.2% | |||
Air Products & Chemicals, Inc. | 12,053 | $ 3,590,107 | |
Ashland Global Holdings, Inc. | 9,468 | 671,470 | |
Axalta Coating Systems, Ltd.(1) | 13,958 | 309,449 | |
Celanese Corp. | 11,577 | 1,243,949 | |
Eastman Chemical Co. | 20,125 | 1,572,165 | |
Ecolab, Inc. | 10,382 | 2,074,739 | |
International Flavors & Fragrances, Inc. | 10,858 | 1,329,562 | |
LyondellBasell Industries NV, Class A | 34,382 | 2,423,587 | |
Mosaic Co. (The) | 16,992 | 310,444 | |
PPG Industries, Inc. | 17,925 | 2,188,284 | |
Quaker Chemical Corp.(2) | 286 | 51,397 | |
WR Grace & Co. | 4,564 | 183,883 | |
$ 15,949,036 | |||
Commercial Services & Supplies — 0.8% | |||
ADT, Inc. | 545 | $ 4,453 | |
Cintas Corp. | 63 | 20,968 | |
MSA Safety, Inc. | 1,141 | 153,088 | |
Republic Services, Inc. | 20,651 | 1,927,771 | |
Tetra Tech, Inc. | 4,367 | 417,048 | |
UniFirst Corp. | 851 | 161,154 | |
Waste Management, Inc. | 24,406 | 2,762,027 | |
$ 5,446,509 | |||
Communications Equipment — 1.2% | |||
Cisco Systems, Inc. | 183,533 | $ 7,229,365 | |
Juniper Networks, Inc. | 30,189 | 649,063 | |
Motorola Solutions, Inc. | 3,186 | 499,597 | |
$ 8,378,025 | |||
Construction & Engineering — 0.6% | |||
AECOM (1) | 32,874 | $ 1,375,448 | |
EMCOR Group, Inc. | 11,343 | 768,034 | |
MasTec, Inc.(1) | 11,280 | 476,016 | |
Quanta Services, Inc. | 27,880 | 1,473,737 | |
$ 4,093,235 |
Security | Shares | Value | |
Construction Materials — 0.5% | |||
Martin Marietta Materials, Inc. | 8,233 | $ 1,937,719 | |
Vulcan Materials Co. | 13,241 | 1,794,685 | |
$ 3,732,404 | |||
Consumer Finance — 1.9% | |||
Ally Financial, Inc. | 36,867 | $ 924,256 | |
American Express Co. | 49,557 | 4,968,089 | |
Capital One Financial Corp. | 46,113 | 3,313,680 | |
Credit Acceptance Corp.(1)(2) | 239 | 80,935 | |
Discover Financial Services | 30,231 | 1,746,747 | |
FirstCash, Inc. | 2,224 | 127,235 | |
OneMain Holdings, Inc. | 7,768 | 242,750 | |
Santander Consumer USA Holdings, Inc. | 7,255 | 131,969 | |
SLM Corp. | 35,289 | 285,488 | |
Synchrony Financial | 58,442 | 1,529,427 | |
$ 13,350,576 | |||
Containers & Packaging — 1.1% | |||
AptarGroup, Inc. | 3,825 | $ 432,990 | |
Avery Dennison Corp. | 10,176 | 1,300,900 | |
Ball Corp. | 5,803 | 482,345 | |
Berry Global Group, Inc.(1) | 15,905 | 768,530 | |
Crown Holdings, Inc.(1) | 12,663 | 973,278 | |
Packaging Corp. of America | 13,979 | 1,524,410 | |
Silgan Holdings, Inc. | 9,081 | 333,908 | |
Sonoco Products Co. | 15,346 | 783,720 | |
WestRock Co. | 38,252 | 1,328,875 | |
$ 7,928,956 | |||
Distributors — 0.3% | |||
Genuine Parts Co. | 12,851 | $ 1,223,029 | |
LKQ Corp.(1) | 27,012 | 749,043 | |
$ 1,972,072 | |||
Diversified Consumer Services — 0.2% | |||
Bright Horizons Family Solutions, Inc.(1) | 1,311 | $ 199,324 | |
Chegg, Inc.(1) | 118 | 8,430 | |
Grand Canyon Education, Inc.(1) | 1,017 | 81,299 | |
H&R Block, Inc. | 10,459 | 170,377 | |
Service Corp. International | 16,699 | 704,364 | |
ServiceMaster Global Holdings, Inc.(1) | 12,674 | 505,439 | |
Strategic Education, Inc. | 913 | 83,512 | |
$ 1,752,745 | |||
Diversified Financial Services — 0.3% | |||
Cannae Holdings, Inc.(1) | 8,670 | $ 323,044 |
Security | Shares | Value | |
Diversified Financial Services (continued) | |||
Equitable Holdings, Inc. | 40,275 | $ 734,616 | |
Jefferies Financial Group, Inc. | 29,046 | 522,828 | |
Voya Financial, Inc. | 12,621 | 604,925 | |
$ 2,185,413 | |||
Diversified Telecommunication Services — 4.8% | |||
AT&T, Inc. | 520,412 | $ 14,836,946 | |
CenturyLink, Inc. | 104,096 | 1,050,329 | |
Cogent Communications Holdings, Inc. | 1,417 | 85,091 | |
GCI Liberty, Inc., Class A(1) | 9,020 | 739,279 | |
Verizon Communications, Inc. | 299,494 | 17,816,898 | |
$ 34,528,543 | |||
Electric Utilities — 2.3% | |||
Alliant Energy Corp. | 36,306 | $ 1,875,205 | |
Avangrid, Inc. | 11,126 | 561,418 | |
Eversource Energy | 33,453 | 2,794,998 | |
Hawaiian Electric Industries, Inc. | 21,839 | 725,928 | |
NextEra Energy, Inc. | 23,883 | 6,628,966 | |
Portland General Electric Co. | 18,936 | 672,228 | |
Xcel Energy, Inc. | 50,247 | 3,467,545 | |
$ 16,726,288 | |||
Electrical Equipment — 1.6% | |||
Acuity Brands, Inc. | 5,770 | $ 590,560 | |
AMETEK, Inc. | 8,846 | 879,292 | |
Eaton Corp. PLC | 38,038 | 3,881,017 | |
Emerson Electric Co. | 46,748 | 3,065,266 | |
Hubbell, Inc. | 6,821 | 933,386 | |
nVent Electric PLC | 25,465 | 450,476 | |
Regal Beloit Corp. | 5,952 | 558,714 | |
Rockwell Automation, Inc. | 3,745 | 826,447 | |
Sensata Technologies Holding PLC(1) | 11,235 | 484,678 | |
$ 11,669,836 | |||
Electronic Equipment, Instruments & Components — 0.6% | |||
Amphenol Corp., Class A | 10,217 | $ 1,106,195 | |
Arrow Electronics, Inc.(1) | 6,799 | 534,809 | |
Avnet, Inc. | 7,890 | 203,878 | |
Dolby Laboratories, Inc., Class A | 2,687 | 178,094 | |
IPG Photonics Corp.(1) | 386 | 65,609 | |
Jabil, Inc. | 11,062 | 378,984 | |
Littelfuse, Inc. | 2,277 | 403,803 | |
National Instruments Corp. | 9,943 | 354,965 | |
SYNNEX Corp. | 3,876 | 542,873 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Trimble, Inc.(1) | 6,642 | $ 323,465 | |
$ 4,092,675 | |||
Entertainment — 1.6% | |||
Activision Blizzard, Inc. | 19,968 | $ 1,616,409 | |
Liberty Formula One Group, Series C(1) | 3,707 | 134,453 | |
Live Nation Entertainment, Inc.(1) | 3,518 | 189,550 | |
Madison Square Garden Sports Corp., Class A(1) | 168 | 25,281 | |
Walt Disney Co. (The) | 74,578 | 9,253,638 | |
$ 11,219,331 | |||
Food & Staples Retailing — 3.9% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 12,339 | $ 512,686 | |
Casey's General Stores, Inc. | 3,555 | 631,546 | |
Costco Wholesale Corp. | 15,171 | 5,385,705 | |
Kroger Co. (The) | 83,752 | 2,840,030 | |
Performance Food Group Co.(1) | 16,083 | 556,794 | |
Sprouts Farmers Market, Inc.(1) | 8,109 | 169,721 | |
Sysco Corp. | 53,022 | 3,299,029 | |
US Foods Holding Corp.(1) | 29,115 | 646,935 | |
Walmart, Inc. | 99,010 | 13,852,489 | |
$ 27,894,935 | |||
Food Products — 3.4% | |||
BellRing Brands, Inc., Class A(1) | 1,373 | $ 28,476 | |
Beyond Meat, Inc.(1)(2) | 6,572 | 1,091,346 | |
Bunge, Ltd. | 12,971 | 592,775 | |
Campbell Soup Co. | 16,316 | 789,205 | |
Conagra Brands, Inc. | 60,157 | 2,148,206 | |
Darling Ingredients, Inc.(1) | 21,131 | 761,350 | |
Flowers Foods, Inc. | 14,217 | 345,900 | |
General Mills, Inc. | 55,552 | 3,426,447 | |
Hain Celestial Group, Inc. (The)(1) | 8,356 | 286,611 | |
Hershey Co. (The) | 4,917 | 704,803 | |
Hormel Foods Corp.(2) | 19,050 | 931,355 | |
Ingredion, Inc. | 8,527 | 645,323 | |
JM Smucker Co. (The) | 12,524 | 1,446,772 | |
Kellogg Co. | 25,242 | 1,630,381 | |
Kraft Heinz Co. (The) | 74,920 | 2,243,854 | |
Lamb Weston Holdings, Inc. | 3,535 | 234,264 | |
Lancaster Colony Corp. | 302 | 53,998 | |
McCormick & Co., Inc. | 6,288 | 1,220,501 | |
Mondelez International, Inc., Class A | 85,913 | 4,935,702 | |
Post Holdings, Inc.(1) | 3,253 | 279,758 | |
TreeHouse Foods, Inc.(1) | 5,732 | 232,318 | |
$ 24,029,345 |
Security | Shares | Value | |
Gas Utilities — 0.5% | |||
New Jersey Resources Corp. | 18,513 | $ 500,221 | |
ONE Gas, Inc. | 8,029 | 554,081 | |
Southwest Gas Holdings, Inc. | 11,675 | 736,693 | |
Spire, Inc. | 10,958 | 582,966 | |
UGI Corp. | 42,300 | 1,395,054 | |
$ 3,769,015 | |||
Health Care Equipment & Supplies — 1.7% | |||
Abbott Laboratories | 21,600 | $ 2,350,728 | |
Baxter International, Inc. | 9,776 | 786,186 | |
Danaher Corp. | 19,759 | 4,254,705 | |
Edwards Lifesciences Corp.(1) | 13,523 | 1,079,406 | |
Envista Holdings Corp.(1) | 22,998 | 567,591 | |
Hill-Rom Holdings, Inc. | 396 | 33,070 | |
Hologic, Inc.(1) | 21,915 | 1,456,690 | |
iRhythm Technologies, Inc.(1) | 1,287 | 306,447 | |
Nevro Corp.(1) | 4,648 | 647,466 | |
NuVasive, Inc.(1) | 1,740 | 84,512 | |
STERIS PLC | 214 | 37,705 | |
Tandem Diabetes Care, Inc.(1) | 8,059 | 914,696 | |
Teleflex, Inc. | 111 | 37,787 | |
$ 12,556,989 | |||
Health Care Providers & Services — 3.7% | |||
Anthem, Inc. | 19,430 | $ 5,218,704 | |
Centene Corp.(1) | 48,600 | 2,834,838 | |
CVS Health Corp. | 106,598 | 6,225,323 | |
DaVita, Inc.(1) | 11,373 | 974,097 | |
Encompass Health Corp. | 8,110 | 526,988 | |
Guardant Health, Inc.(1) | 10,754 | 1,202,082 | |
HCA Healthcare, Inc. | 23,478 | 2,927,237 | |
Henry Schein, Inc.(1) | 19,887 | 1,168,958 | |
Humana, Inc. | 6,635 | 2,746,160 | |
LHC Group, Inc.(1) | 405 | 86,087 | |
Molina Healthcare, Inc.(1) | 3,544 | 648,694 | |
Quest Diagnostics, Inc. | 15,695 | 1,796,920 | |
$ 26,356,088 | |||
Health Care Technology — 0.2% | |||
Livongo Health, Inc.(1) | 7,555 | $ 1,058,078 | |
Omnicell, Inc.(1) | 457 | 34,119 | |
$ 1,092,197 | |||
Hotels, Restaurants & Leisure — 1.1% | |||
Aramark | 28,014 | $ 740,970 | |
Choice Hotels International, Inc. | 277 | 23,811 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Darden Restaurants, Inc. | 16,765 | $ 1,688,906 | |
Dunkin' Brands Group, Inc. | 625 | 51,194 | |
Hyatt Hotels Corp., Class A(2) | 2,373 | 126,647 | |
Marriott International, Inc., Class A | 19,982 | 1,849,934 | |
Royal Caribbean Cruises, Ltd.(2) | 18,828 | 1,218,736 | |
Texas Roadhouse, Inc. | 6,690 | 406,685 | |
Vail Resorts, Inc. | 2,184 | 467,311 | |
Wendy's Co. (The) | 6,436 | 143,491 | |
Wyndham Destinations, Inc. | 8,165 | 251,155 | |
Wyndham Hotels & Resorts, Inc. | 5,418 | 273,609 | |
Yum! Brands, Inc. | 8,371 | 764,272 | |
$ 8,006,721 | |||
Household Durables — 0.5% | |||
Helen of Troy, Ltd.(1) | 204 | $ 39,478 | |
KB Home | 17,443 | 669,637 | |
Leggett & Platt, Inc. | 12,327 | 507,502 | |
Mohawk Industries, Inc.(1) | 5,013 | 489,219 | |
Newell Brands, Inc. | 34,979 | 600,240 | |
Tempur Sealy International, Inc.(1) | 3,485 | 310,827 | |
TopBuild Corp.(1) | 95 | 16,215 | |
Whirlpool Corp. | 5,419 | 996,500 | |
$ 3,629,618 | |||
Household Products — 0.9% | |||
Church & Dwight Co., Inc. | 3,570 | $ 334,545 | |
Clorox Co. (The) | 2,601 | 546,652 | |
Colgate-Palmolive Co. | 10,609 | 818,484 | |
Energizer Holdings, Inc. | 860 | 33,661 | |
Kimberly-Clark Corp. | 16,226 | 2,395,931 | |
Procter & Gamble Co. (The) | 16,120 | 2,240,519 | |
$ 6,369,792 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||
AES Corp. (The) | 94,208 | $ 1,706,107 | |
Clearway Energy, Inc., Class C | 19,293 | 520,139 | |
Ormat Technologies, Inc. | 5,699 | 336,868 | |
$ 2,563,114 | |||
Industrial Conglomerates — 1.0% | |||
3M Co. | 36,097 | $ 5,782,018 | |
Carlisle Cos., Inc. | 7,214 | 882,777 | |
Roper Technologies, Inc. | 1,047 | 413,680 | |
$ 7,078,475 |
Security | Shares | Value | |
Insurance — 4.6% | |||
Aflac, Inc. | 66,960 | $ 2,433,996 | |
Allstate Corp. (The) | 31,289 | 2,945,546 | |
American Financial Group, Inc. | 7,358 | 492,839 | |
American International Group, Inc. | 88,081 | 2,424,870 | |
Arch Capital Group, Ltd.(1) | 38,764 | 1,133,847 | |
Assurant, Inc. | 5,955 | 722,401 | |
Axis Capital Holdings, Ltd. | 8,898 | 391,868 | |
Brighthouse Financial, Inc.(1) | 9,571 | 257,556 | |
Brown & Brown, Inc. | 6,865 | 310,779 | |
Everest Re Group, Ltd. | 3,868 | 764,085 | |
First American Financial Corp. | 10,977 | 558,839 | |
Globe Life, Inc. | 10,267 | 820,333 | |
Hanover Insurance Group, Inc. (The) | 3,533 | 329,205 | |
Hartford Financial Services Group, Inc. (The) | 35,537 | 1,309,894 | |
Kemper Corp. | 6,223 | 415,883 | |
Lincoln National Corp. | 18,116 | 567,574 | |
Marsh & McLennan Cos., Inc. | 8,190 | 939,393 | |
MetLife, Inc. | 79,351 | 2,949,477 | |
Primerica, Inc. | 2,528 | 286,018 | |
Principal Financial Group, Inc. | 27,762 | 1,117,976 | |
Progressive Corp. (The) | 32,142 | 3,042,883 | |
Prudential Financial, Inc. | 40,276 | 2,558,331 | |
Reinsurance Group of America, Inc. | 6,818 | 649,005 | |
RenaissanceRe Holdings, Ltd. | 1,538 | 261,060 | |
RLI Corp. | 1,133 | 94,866 | |
Selective Insurance Group, Inc. | 6,424 | 330,772 | |
Travelers Cos., Inc. (The) | 25,769 | 2,787,948 | |
Unum Group | 19,124 | 321,857 | |
White Mountains Insurance Group, Ltd. | 246 | 191,634 | |
Willis Towers Watson PLC | 6,854 | 1,431,252 | |
$ 32,841,987 | |||
Interactive Media & Services — 0.0%(3) | |||
ANGI Homeservices, Inc., Class A(1)(2) | 5,173 | $ 57,394 | |
$ 57,394 | |||
Internet & Direct Marketing Retail — 0.7% | |||
Chewy, Inc., Class A(1)(2) | 6,061 | $ 332,325 | |
eBay, Inc. | 60,628 | 3,158,719 | |
Qurate Retail, Inc., Series A | 9,590 | 68,856 | |
Wayfair, Inc., Class A(1)(2) | 5,212 | 1,516,744 | |
$ 5,076,644 | |||
IT Services — 2.8% | |||
Accenture PLC, Class A | 3,498 | $ 790,513 | |
Amdocs, Ltd. | 9,290 | 533,339 |
Security | Shares | Value | |
IT Services (continued) | |||
Automatic Data Processing, Inc. | 19,804 | $ 2,762,460 | |
Booz Allen Hamilton Holding Corp., Class A | 2,543 | 211,018 | |
Broadridge Financial Solutions, Inc. | 576 | 76,032 | |
Cognizant Technology Solutions Corp., Class A | 28,819 | 2,000,615 | |
DXC Technology Co. | 24,686 | 440,645 | |
Fastly, Inc., Class A(1) | 7,854 | 735,763 | |
Genpact, Ltd. | 4,277 | 166,589 | |
GoDaddy, Inc., Class A(1) | 5,249 | 398,767 | |
International Business Machines Corp. | 69,426 | 8,447,061 | |
LiveRamp Holdings, Inc.(1) | 5,430 | 281,111 | |
ManTech International Corp. / VA, Class A | 1,448 | 99,738 | |
MAXIMUS, Inc. | 1,438 | 98,374 | |
Okta, Inc.(1) | 4,901 | 1,048,079 | |
Paychex, Inc. | 13,613 | 1,085,909 | |
Perspecta, Inc. | 5,399 | 105,011 | |
Science Applications International Corp. | 3,339 | 261,844 | |
Switch, Inc., Class A | 2,845 | 44,410 | |
Twilio, Inc., Class A(1) | 3,172 | 783,770 | |
$ 20,371,048 | |||
Leisure Products — 0.5% | |||
Hasbro, Inc. | 11,004 | $ 910,251 | |
Mattel, Inc.(1) | 26,089 | 305,241 | |
Peloton Interactive, Inc., Class A(1) | 20,657 | 2,050,001 | |
$ 3,265,493 | |||
Life Sciences Tools & Services — 0.2% | |||
10X Genomics, Inc., Class A(1) | 6,570 | $ 819,148 | |
Adaptive Biotechnologies Corp.(1) | 10,041 | 488,294 | |
Bruker Corp. | 723 | 28,739 | |
Syneos Health, Inc.(1) | 2,844 | 151,187 | |
$ 1,487,368 | |||
Machinery — 5.7% | |||
AGCO Corp. | 9,195 | $ 682,913 | |
Allison Transmission Holdings, Inc. | 6,078 | 213,581 | |
Caterpillar, Inc. | 44,532 | 6,641,948 | |
CNH Industrial NV(1) | 149,176 | 1,166,556 | |
Colfax Corp.(1) | 4,485 | 140,650 | |
Crane Co. | 4,680 | 234,608 | |
Cummins, Inc. | 14,934 | 3,153,463 | |
Deere & Co. | 22,043 | 4,885,390 | |
Donaldson Co., Inc. | 4,854 | 225,323 | |
Dover Corp. | 15,634 | 1,693,787 | |
Flowserve Corp. | 18,913 | 516,136 | |
Fortive Corp. | 10,205 | 777,723 |
Security | Shares | Value | |
Machinery (continued) | |||
Gates Industrial Corp. PLC(1) | 3,874 | $ 43,079 | |
IDEX Corp. | 3,317 | 605,054 | |
Illinois Tool Works, Inc. | 14,699 | 2,839,994 | |
ITT, Inc. | 10,713 | 632,603 | |
Lincoln Electric Holdings, Inc. | 4,167 | 383,531 | |
Middleby Corp.(1) | 7,980 | 715,886 | |
Nordson Corp. | 1,850 | 354,867 | |
Oshkosh Corp. | 10,454 | 768,369 | |
PACCAR, Inc. | 35,157 | 2,998,189 | |
Parker-Hannifin Corp. | 10,929 | 2,211,374 | |
Pentair PLC | 24,796 | 1,134,913 | |
RBC Bearings, Inc.(1) | 974 | 118,058 | |
Rexnord Corp. | 11,427 | 340,982 | |
Snap-on, Inc. | 4,827 | 710,196 | |
Stanley Black & Decker, Inc. | 17,520 | 2,841,744 | |
Timken Co. (The) | 9,927 | 538,242 | |
Watts Water Technologies, Inc., Class A | 2,637 | 264,095 | |
Westinghouse Air Brake Technologies Corp. | 22,873 | 1,415,381 | |
Woodward, Inc. | 6,648 | 532,904 | |
Xylem, Inc. | 12,708 | 1,068,997 | |
$ 40,850,536 | |||
Media — 2.8% | |||
Charter Communications, Inc., Class A(1) | 806 | $ 503,218 | |
Comcast Corp., Class A | 288,643 | 13,352,625 | |
Discovery, Inc., Class A(1)(2) | 46,767 | 1,018,118 | |
DISH Network Corp., Class A(1) | 22,729 | 659,823 | |
Interpublic Group of Cos., Inc. (The) | 41,877 | 698,090 | |
Liberty Broadband Corp., Class C(1) | 2,823 | 403,322 | |
New York Times Co. (The), Class A(2) | 3,459 | 148,011 | |
Nexstar Media Group, Inc., Class A | 2,167 | 194,878 | |
Omnicom Group, Inc. | 23,947 | 1,185,376 | |
ViacomCBS, Inc., Class B(2) | 61,412 | 1,720,150 | |
$ 19,883,611 | |||
Metals & Mining — 0.6% | |||
Nucor Corp. | 44,520 | $ 1,997,167 | |
Reliance Steel & Aluminum Co. | 13,021 | 1,328,663 | |
Steel Dynamics, Inc. | 41,841 | 1,197,908 | |
$ 4,523,738 | |||
Multiline Retail — 0.7% | |||
Dollar General Corp. | 2,593 | $ 543,545 | |
Kohl's Corp. | 13,267 | 245,838 | |
Target Corp. | 28,401 | 4,470,885 | |
$ 5,260,268 |
Security | Shares | Value | |
Multi-Utilities — 1.7% | |||
Ameren Corp. | 30,807 | $ 2,436,217 | |
CenterPoint Energy, Inc. | 66,022 | 1,277,526 | |
CMS Energy Corp. | 36,458 | 2,238,886 | |
Consolidated Edison, Inc. | 38,299 | 2,979,662 | |
Sempra Energy | 28,666 | 3,392,908 | |
$ 12,325,199 | |||
Personal Products — 0.0%(3) | |||
Coty, Inc., Class A(2) | 23,120 | $ 62,424 | |
$ 62,424 | |||
Pharmaceuticals — 3.3% | |||
Axsome Therapeutics, Inc.(1)(2) | 4,574 | $ 325,898 | |
Elanco Animal Health, Inc.(1) | 31,669 | 884,515 | |
Eli Lilly & Co. | 4,313 | 638,410 | |
Horizon Therapeutics PLC(1) | 13,001 | 1,009,918 | |
Merck & Co., Inc. | 57,701 | 4,786,298 | |
MyoKardia, Inc.(1) | 6,979 | 951,447 | |
Nektar Therapeutics(1) | 17,569 | 291,470 | |
Perrigo Co. PLC | 9,586 | 440,093 | |
Pfizer, Inc. | 372,446 | 13,668,768 | |
Reata Pharmaceuticals, Inc., Class A(1)(2) | 3,760 | 366,299 | |
$ 23,363,116 | |||
Professional Services — 0.2% | |||
ASGN, Inc.(1) | 2,531 | $ 160,870 | |
CoreLogic, Inc. | 329 | 22,264 | |
FTI Consulting, Inc.(1) | 144 | 15,260 | |
ManpowerGroup, Inc. | 6,589 | 483,171 | |
Nielsen Holdings PLC | 26,068 | 369,644 | |
Robert Half International, Inc. | 7,090 | 375,345 | |
TriNet Group, Inc.(1) | 1,620 | 96,098 | |
$ 1,522,652 | |||
Real Estate Management & Development — 0.4% | |||
CBRE Group, Inc., Class A(1) | 38,373 | $ 1,802,380 | |
Howard Hughes Corp. (The)(1) | 6,467 | 372,499 | |
Jones Lang LaSalle, Inc. | 10,224 | 978,028 | |
$ 3,152,907 | |||
Road & Rail — 1.4% | |||
AMERCO | 939 | $ 334,265 | |
J.B. Hunt Transport Services, Inc. | 2,106 | 266,156 | |
Kansas City Southern | 3,672 | 664,008 | |
Knight-Swift Transportation Holdings, Inc. | 4,646 | 189,092 | |
Landstar System, Inc. | 726 | 91,106 |
Security | Shares | Value | |
Road & Rail (continued) | |||
Norfolk Southern Corp. | 15,110 | $ 3,233,389 | |
Saia, Inc.(1) | 343 | 43,266 | |
Schneider National, Inc., Class B | 3,466 | 85,714 | |
Union Pacific Corp. | 23,713 | 4,668,378 | |
Werner Enterprises, Inc. | 3,730 | 156,623 | |
$ 9,731,997 | |||
Semiconductors & Semiconductor Equipment — 2.1% | |||
Analog Devices, Inc. | 11,629 | $ 1,357,569 | |
Applied Materials, Inc. | 7,181 | 426,910 | |
Brooks Automation, Inc. | 488 | 22,575 | |
Cirrus Logic, Inc.(1) | 1,904 | 128,425 | |
Cree, Inc.(1) | 9,005 | 573,979 | |
Inphi Corp.(1) | 2,209 | 247,960 | |
Intel Corp. | 143,090 | 7,409,200 | |
Marvell Technology Group, Ltd. | 12,881 | 511,376 | |
Maxim Integrated Products, Inc. | 14,655 | 990,825 | |
MKS Instruments, Inc. | 2,012 | 219,771 | |
Qorvo, Inc.(1) | 266 | 34,317 | |
Skyworks Solutions, Inc. | 1,120 | 162,960 | |
Texas Instruments, Inc. | 18,541 | 2,647,469 | |
$ 14,733,336 | |||
Software — 1.6% | |||
ACI Worldwide, Inc.(1) | 1,050 | $ 27,436 | |
Altair Engineering, Inc., Class A(1) | 2,311 | 97,016 | |
Anaplan, Inc.(1) | 11,469 | 717,730 | |
Appian Corp.(1)(2) | 4,224 | 273,504 | |
Avalara, Inc.(1) | 7,330 | 933,402 | |
Box, Inc., Class A(1) | 10,753 | 186,672 | |
Ceridian HCM Holding, Inc.(1) | 3,450 | 285,142 | |
Citrix Systems, Inc. | 86 | 11,843 | |
Cloudera, Inc.(1)(2) | 25,572 | 278,479 | |
Coupa Software, Inc.(1) | 721 | 197,727 | |
CrowdStrike Holdings, Inc., Class A(1) | 2,243 | 308,009 | |
Dropbox, Inc., Class A(1) | 26,262 | 505,806 | |
Dynatrace, Inc.(1) | 15,807 | 648,403 | |
Elastic NV(1) | 4,925 | 531,358 | |
Envestnet, Inc.(1) | 944 | 72,839 | |
Everbridge, Inc.(1) | 68 | 8,550 | |
FireEye, Inc.(1) | 7,799 | 96,279 | |
j2 Global, Inc.(1) | 230 | 15,921 | |
Medallia, Inc.(1)(2) | 8,823 | 241,927 | |
NortonLifeLock, Inc. | 55,119 | 1,148,680 | |
Nuance Communications, Inc.(1) | 10,218 | 339,135 | |
Nutanix, Inc., Class A(1) | 17,759 | 393,895 |
Security | Shares | Value | |
Software (continued) | |||
Oracle Corp. | 61,006 | $ 3,642,058 | |
Pegasystems, Inc. | 1,518 | 183,739 | |
Pluralsight, Inc., Class A(1) | 7,700 | 131,901 | |
SVMK, Inc.(1) | 11,461 | 253,403 | |
$ 11,530,854 | |||
Specialty Retail — 1.6% | |||
Advance Auto Parts, Inc. | 4,652 | $ 714,082 | |
AutoNation, Inc.(1) | 5,530 | 292,703 | |
Best Buy Co., Inc. | 21,049 | 2,342,543 | |
CarMax, Inc.(1) | 12,451 | 1,144,371 | |
Dick's Sporting Goods, Inc. | 5,569 | 322,334 | |
Foot Locker, Inc. | 9,924 | 327,790 | |
Gap, Inc. (The) | 1,648 | 28,065 | |
L Brands, Inc. | 9,995 | 317,941 | |
Lithia Motors, Inc., Class A | 2,058 | 469,101 | |
Lowe's Cos., Inc. | 23,384 | 3,878,470 | |
Penske Automotive Group, Inc. | 3,168 | 150,987 | |
Tiffany & Co. | 5,998 | 694,868 | |
Tractor Supply Co. | 261 | 37,412 | |
Williams-Sonoma, Inc. | 4,645 | 420,094 | |
$ 11,140,761 | |||
Technology Hardware, Storage & Peripherals — 1.2% | |||
Dell Technologies, Inc., Class C(1) | 23,688 | $ 1,603,441 | |
Hewlett Packard Enterprise Co. | 121,109 | 1,134,791 | |
HP, Inc. | 132,371 | 2,513,725 | |
NetApp, Inc. | 21,750 | 953,520 | |
Pure Storage, Inc., Class A(1)(2) | 1,758 | 27,056 | |
Seagate Technology PLC | 24,292 | 1,196,867 | |
Western Digital Corp. | 27,985 | 1,022,852 | |
Xerox Holdings Corp. | 16,825 | 315,805 | |
$ 8,768,057 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
Carter's, Inc. | 1,981 | $ 171,515 | |
Columbia Sportswear Co. | 1,350 | 117,423 | |
Hanesbrands, Inc.(2) | 30,286 | 477,004 | |
Levi Strauss & Co., Class A(2) | 4,672 | 62,605 | |
PVH Corp. | 5,943 | 354,441 | |
Ralph Lauren Corp., Class A | 3,859 | 262,296 | |
Skechers USA, Inc., Class A(1) | 7,163 | 216,466 | |
VF Corp. | 28,423 | 1,996,716 | |
$ 3,658,466 |
Security | Shares | Value | |
Thrifts & Mortgage Finance — 0.2% | |||
Essent Group, Ltd. | 11,650 | $ 431,166 | |
MGIC Investment Corp. | 30,099 | 266,677 | |
New York Community Bancorp, Inc. | 46,886 | 387,747 | |
Radian Group, Inc. | 17,556 | 256,493 | |
TFS Financial Corp. | 4,479 | 65,797 | |
$ 1,407,880 | |||
Trading Companies & Distributors — 0.5% | |||
Air Lease Corp. | 15,908 | $ 468,013 | |
HD Supply Holdings, Inc.(1) | 22,289 | 919,198 | |
MSC Industrial Direct Co., Inc., Class A | 6,424 | 406,511 | |
SiteOne Landscape Supply, Inc.(1) | 641 | 78,170 | |
United Rentals, Inc.(1) | 7,187 | 1,254,131 | |
W.W. Grainger, Inc. | 1,489 | 531,231 | |
$ 3,657,254 | |||
Water Utilities — 0.5% | |||
American States Water Co. | 4,032 | $ 302,199 | |
American Water Works Co., Inc. | 14,442 | 2,092,357 | |
Essential Utilities, Inc. | 37,457 | 1,507,644 | |
$ 3,902,200 | |||
Wireless Telecommunication Services — 0.5% | |||
T-Mobile US, Inc.(1) | 32,326 | $ 3,696,801 | |
United States Cellular Corp.(1) | 1,196 | 35,318 | |
$ 3,732,119 | |||
Total Common Stocks (identified cost $669,625,098) | $ 711,076,138 |
Short-Term Investments — 0.3% | |||
Other — 0.0%(3) | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 67,932 | $ 67,939 | |
Total Other (identified cost $67,939) | $ 67,939 | ||
Securities Lending Collateral — 0.3% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(5) | 2,079,261 | $ 2,079,261 | |
Total Securities Lending Collateral (identified cost $2,079,261) | $ 2,079,261 | ||
Total Short-Term Investments (identified cost $2,147,200) | $ 2,147,200 | ||
Total Investments — 99.5% (identified cost $671,772,298) | $ 713,223,338 | ||
Other Assets, Less Liabilities — 0.5% | $ 3,438,928 | ||
Net Assets — 100.0% | $ 716,662,266 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at September 30, 2020. The aggregate market value of securities on loan at September 30, 2020 was $10,341,105. | |
(3) | Amount is less than 0.05%. | |
(4) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2020. | |
(5) | Represents investment of cash collateral received in connection with securities lending. |
September 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $671,704,359) - including $10,341,105 of securities on loan | $ 713,155,399 |
Investments in securities of affiliated issuers, at value (identified cost $67,939) | 67,939 |
Cash | 66 |
Receivable for capital shares sold | 9,842,984 |
Dividends receivable | 779,314 |
Dividends receivable - affiliated | 257 |
Securities lending income receivable | 1,207 |
Receivable from affiliate | 100,350 |
Directors' deferred compensation plan | 155,849 |
Total assets | $724,103,365 |
Liabilities | |
Payable for capital shares redeemed | $ 372,167 |
Deposits for securities loaned | 2,079,261 |
Payable to affiliates: | |
Investment advisory fee | 68,427 |
Administrative fee | 68,427 |
Distribution and service fees | 9,754 |
Sub-transfer agency fee | 2,398 |
Directors' deferred compensation plan | 155,849 |
Accrued expenses | 184,816 |
Demand note payable | 4,500,000 |
Total liabilities | $ 7,441,099 |
Net Assets | $716,662,266 |
Sources of Net Assets | |
Paid-in capital | $ 678,136,781 |
Distributable earnings | 38,525,485 |
Total | $716,662,266 |
Class A Shares | |
Net Assets | $ 47,992,711 |
Shares Outstanding | 2,086,701 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 23.00 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 24.15 |
Class I Shares | |
Net Assets | $ 668,669,555 |
Shares Outstanding | 28,876,541 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 23.16 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. |
Year Ended | |
September 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $1,366) | $ 13,901,437 |
Dividend income - affiliated issuers | 941 |
Interest income | 6,512 |
Securities lending income, net | 21,005 |
Total investment income | $13,929,895 |
Expenses | |
Investment advisory fee | $ 653,487 |
Administrative fee | 653,487 |
Distribution and service fees: | |
Class A | 129,403 |
Directors' fees and expenses | 21,459 |
Custodian fees | 21,746 |
Transfer agency fees and expenses | 418,141 |
Accounting fees | 126,292 |
Professional fees | 48,809 |
Registration fees | 77,156 |
Reports to shareholders | 32,294 |
Miscellaneous | 45,450 |
Total expenses | $ 2,227,724 |
Waiver and/or reimbursement of expenses by affiliate | $ (781,138) |
Reimbursement of expenses - other | (7,006) |
Net expenses | $ 1,439,580 |
Net investment income | $12,490,315 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (6,804,011) |
Investment securities - affiliated issuers | 16 |
Net realized loss | $ (6,803,995) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 11,843,070 |
Net change in unrealized appreciation (depreciation) | $11,843,070 |
Net realized and unrealized gain | $ 5,039,075 |
Net increase in net assets from operations | $17,529,390 |
Year Ended September 30, | ||
2020 | 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 12,490,315 | $ 7,374,093 |
Net realized gain (loss) | (6,803,995) | 328,259 |
Net change in unrealized appreciation (depreciation) | 11,843,070 | 7,984,314 |
Net increase in net assets from operations | $ 17,529,390 | $ 15,686,666 |
Distributions to shareholders: | ||
Class A | $ (1,099,890) | $ (1,701,251) |
Class I | (9,535,771) | (10,772,221) |
Total distributions to shareholders | $ (10,635,661) | $ (12,473,472) |
Capital share transactions: | ||
Class A | $ (3,711,209) | $ 8,682,178 |
Class I | 291,598,809 | 111,130,215 |
Net increase in net assets from capital share transactions | $287,887,600 | $119,812,393 |
Net increase in net assets | $294,781,329 | $123,025,587 |
Net Assets | ||
At beginning of year | $ 421,880,937 | $ 298,855,350 |
At end of year | $716,662,266 | $421,880,937 |
Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 23.38 | $ 23.60 | $ 23.02 | $ 20.10 | $ 17.85 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.46 | $ 0.43 | $ 0.41 | $ 0.46 | $ 0.38 |
Net realized and unrealized gain (loss) | (0.35) | 0.25 | 1.68 | 2.87 | 1.98 |
Total income from operations | $ 0.11 | $ 0.68 | $ 2.09 | $ 3.33 | $ 2.36 |
Less Distributions | |||||
From net investment income | $ (0.34) | $ (0.34) | $ (0.35) | $ (0.35) | $ (0.11) |
From net realized gain | (0.15) | (0.56) | (1.16) | (0.06) | — (2) |
Total distributions | $ (0.49) | $ (0.90) | $ (1.51) | $ (0.41) | $ (0.11) |
Net asset value — End of year | $ 23.00 | $ 23.38 | $ 23.60 | $ 23.02 | $ 20.10 |
Total Return(3) | 0.35% | 3.18% | 9.30% | 16.72% | 13.24% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $47,993 | $52,888 | $44,047 | $33,233 | $22,309 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.63% | 0.68% | 0.71% | 0.84% | 0.85% |
Net expenses | 0.49% | 0.51% | 0.57% | 0.57% | 0.57% |
Net investment income | 2.07% | 1.95% | 1.80% | 2.09% | 2.04% |
Portfolio Turnover | 32% | 39% | 67% | 73% | 53% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $0.005. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
Class I | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 23.53 | $ 23.74 | $ 23.12 | $ 20.18 | $ 17.87 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.52 | $ 0.50 | $ 0.50 | $ 0.53 | $ 0.45 |
Net realized and unrealized gain (loss) | (0.35) | 0.25 | 1.67 | 2.89 | 1.97 |
Total income from operations | $ 0.17 | $ 0.75 | $ 2.17 | $ 3.42 | $ 2.42 |
Less Distributions | |||||
From net investment income | $ (0.39) | $ (0.40) | $ (0.39) | $ (0.42) | $ (0.11) |
From net realized gain | (0.15) | (0.56) | (1.16) | (0.06) | — (2) |
Total distributions | $ (0.54) | $ (0.96) | $ (1.55) | $ (0.48) | $ (0.11) |
Net asset value — End of year | $ 23.16 | $ 23.53 | $ 23.74 | $ 23.12 | $ 20.18 |
Total Return(3) | 0.63% | 3.46% | 9.67% | 17.15% | 13.60% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $668,670 | $368,993 | $254,809 | $85,240 | $67,315 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.38% | 0.43% | 0.47% | 0.46% | 0.47% |
Net expenses | 0.24% | 0.23% | 0.22% | 0.22% | 0.22% |
Net investment income | 2.31% | 2.22% | 2.15% | 2.43% | 2.38% |
Portfolio Turnover | 32% | 39% | 67% | 73% | 53% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $0.005. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 711,076,138(1) | $ — | $ — | $ 711,076,138 |
Short-Term Investments: | ||||
Other | — | 67,939 | — | 67,939 |
Securities Lending Collateral | 2,079,261 | — | — | 2,079,261 |
Total Investments | $713,155,399 | $67,939 | $ — | $713,223,338 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Year Ended September 30, | ||
2020 | 2019 | |
Ordinary income | $7,689,903 | $7,689,642 |
Long-term capital gains | $2,945,758 | $4,783,830 |
Undistributed ordinary income | $10,942,134 |
Net unrealized appreciation | $27,583,351 |
Aggregate cost | $685,639,987 |
Gross unrealized appreciation | $ 63,654,135 |
Gross unrealized depreciation | (36,070,784) |
Net unrealized appreciation | $ 27,583,351 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $2,079,261 | $ — | $ — | $ — | $2,079,261 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $55,238,263 | $(55,170,340) | $16 | $ — | $67,939 | $941 | 67,932 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,014,961 | $ 22,063,690 | 796,134 | $ 17,569,473 | |
Reinvestment of distributions | 37,527 | 904,779 | 66,830 | 1,457,552 | |
Shares redeemed | (1,227,904) | (26,679,678) | (467,328) | (10,344,847) | |
Net increase (decrease) | (175,416) | $ (3,711,209) | 395,636 | $ 8,682,178 | |
Class I | |||||
Shares sold | 17,942,510 | $ 391,152,511 | 6,880,840 | $ 152,786,529 | |
Reinvestment of distributions | 283,192 | 6,858,915 | 342,232 | 7,498,299 | |
Shares redeemed | (5,028,475) | (106,412,617) | (2,276,786) | (49,154,613) | |
Net increase | 13,197,227 | $ 291,598,809 | 4,946,286 | $111,130,215 |
Calvert Responsible Index Series, Inc.:
November 20, 2020
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Interested Director | ||||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. | |
Independent Directors | ||||
Richard L. Baird, Jr. 1948 | Director | 2000 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships in the Last Five Years. None. | |
Alice Gresham Bullock 1950 | Chair & Director | 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships in the Last Five Years. None. | |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. | |
John G. Guffey, Jr.(2) 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. | |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999-September 2014). Other Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). | |
Joy V. Jones 1950 | Director | 2000 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Independent Directors (continued) | ||||
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships in the Last Five Years. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years | |
Principal Officers who are not Directors | ||||
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). | |
Maureen A. Gemma(3) 1960 | Secretary, Vice President and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | ||||
(2) Mr. Guffey is currently married to Rebecca L. Adamson, who served as a member of the Advisory Council through December 31, 2019. | ||||
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. |
• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 10/30/2015 | 10/30/2015 | 10.60% | —% | 9.98% |
Class A with 4.75% Maximum Sales Charge | — | — | 5.34 | — | 8.90 |
Class I at NAV | 10/30/2015 | 10/30/2015 | 10.91 | — | 10.33 |
Russell Midcap® Index | — | — | 4.55% | 10.12% | 8.96% |
Calvert US Mid-Cap Core Responsible Index | — | — | 10.80 | — | 10.63 |
% Total Annual Operating Expense Ratios3 | Class A | Class I |
Gross | 0.91% | 0.65% |
Net | 0.50 | 0.25 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class I | $100,000 | 10/30/2015 | $162,263 | N.A. |
Top 10 Holdings (% of net assets)* | |
DocuSign, Inc. | 0.6% |
IDEXX Laboratories, Inc. | 0.5 |
CoStar Group, Inc. | 0.5 |
Cummins, Inc. | 0.5 |
Johnson Controls International PLC | 0.5 |
Cadence Design Systems, Inc. | 0.5 |
Trane Technologies PLC | 0.5 |
PACCAR, Inc. | 0.5 |
PPG Industries, Inc. | 0.5 |
ANSYS, Inc. | 0.5 |
Total | 5.1% |
* | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell Midcap® Index is an unmanaged index of U.S. mid-cap stocks. Calvert US Mid-Cap Core Responsible Index (the “Calvert Index”) is composed of common stocks of mid-sized companies that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. Mid-size companies are the 1,000 largest publicly traded U.S. companies based on market capitalization, excluding real estate investment trusts, business development companies and approximately the 200 largest publicly traded U.S. companies. The Calvert Principles of Responsible Investment serve as a framework for considering environmental, social and governance factors that may affect investment performance. Stocks are weighted in the Calvert Index based on their float-adjusted market capitalization within the relevant sector, subject to certain prescribed limits. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. |
Beginning Account Value (4/1/20) | Ending Account Value (9/30/20) | Expenses Paid During Period* (4/1/20 – 9/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,363.10 | $2.89 ** | 0.49% |
Class I | $1,000.00 | $1,365.20 | $1.42 ** | 0.24% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.55 | $2.48 ** | 0.49% |
Class I | $1,000.00 | $1,023.80 | $1.21 ** | 0.24% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2020. |
** | Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
Common Stocks — 99.3% |
Security | Shares | Value | |
Aerospace & Defense — 0.6% | |||
Axon Enterprise, Inc.(1) | 1,143 | $ 103,670 | |
Curtiss-Wright Corp. | 721 | 67,240 | |
HEICO Corp. | 827 | 86,554 | |
Hexcel Corp. | 1,370 | 45,964 | |
Mercury Systems, Inc.(1) | 872 | 67,545 | |
Teledyne Technologies, Inc.(1) | 653 | 202,567 | |
$ 573,540 | |||
Air Freight & Logistics — 0.5% | |||
C.H. Robinson Worldwide, Inc. | 2,286 | $ 233,606 | |
Expeditors International of Washington, Inc. | 2,886 | 261,241 | |
$ 494,847 | |||
Airlines — 1.0% | |||
Alaska Air Group, Inc. | 2,038 | $ 74,652 | |
American Airlines Group, Inc.(2) | 8,663 | 106,468 | |
Delta Air Lines, Inc. | 11,197 | 342,404 | |
JetBlue Airways Corp.(1) | 4,648 | 52,662 | |
Southwest Airlines Co. | 10,203 | 382,613 | |
$ 958,799 | |||
Auto Components — 0.9% | |||
Aptiv PLC | 4,613 | $ 422,920 | |
Autoliv, Inc. | 1,461 | 106,478 | |
BorgWarner, Inc. | 3,578 | 138,612 | |
Gentex Corp. | 4,286 | 110,364 | |
Lear Corp. | 1,020 | 111,231 | |
$ 889,605 | |||
Automobiles — 0.6% | |||
Ford Motor Co. | 65,358 | $ 435,284 | |
Harley-Davidson, Inc. | 2,534 | 62,184 | |
Thor Industries, Inc. | 926 | 88,211 | |
$ 585,679 | |||
Banks — 3.0% | |||
Bank OZK | 2,087 | $ 44,495 | |
BOK Financial Corp. | 497 | 25,600 | |
Citizens Financial Group, Inc. | 6,866 | 173,572 | |
Comerica, Inc. | 2,163 | 82,735 | |
Commerce Bancshares, Inc. | 1,755 | 98,789 | |
Community Bank System, Inc. | 864 | 47,053 | |
Cullen/Frost Bankers, Inc. | 871 | 55,700 | |
East West Bancorp, Inc. | 2,285 | 74,811 |
Security | Shares | Value | |
Banks (continued) | |||
Fifth Third Bancorp | 11,992 | $ 255,669 | |
First Citizens Bancshares, Inc., Class A | 92 | 29,328 | |
First Financial Bankshares, Inc. | 2,038 | 56,881 | |
First Horizon National Corp. | 8,999 | 84,861 | |
First Republic Bank | 2,799 | 305,259 | |
Glacier Bancorp, Inc. | 1,596 | 51,152 | |
Huntington Bancshares, Inc. | 16,488 | 151,195 | |
KeyCorp | 16,521 | 197,096 | |
M&T Bank Corp. | 2,168 | 199,651 | |
People's United Financial, Inc. | 6,969 | 71,850 | |
Pinnacle Financial Partners, Inc. | 1,219 | 43,384 | |
Popular, Inc. | 1,344 | 48,747 | |
Prosperity Bancshares, Inc. | 1,482 | 76,812 | |
Regions Financial Corp. | 15,465 | 178,311 | |
Signature Bank | 873 | 72,450 | |
SVB Financial Group(1) | 875 | 210,543 | |
Synovus Financial Corp. | 2,280 | 48,268 | |
TCF Financial Corp. | 2,323 | 54,265 | |
United Bankshares, Inc. | 1,974 | 42,382 | |
Valley National Bancorp | 6,110 | 41,854 | |
Western Alliance Bancorp | 1,548 | 48,948 | |
Zions Bancorp NA | 2,523 | 73,722 | |
$ 2,945,383 | |||
Biotechnology — 4.4% | |||
ACADIA Pharmaceuticals, Inc.(1)(2) | 1,768 | $ 72,930 | |
Acceleron Pharma, Inc.(1) | 865 | 97,338 | |
Agios Pharmaceuticals, Inc.(1) | 966 | 33,810 | |
Alexion Pharmaceuticals, Inc.(1) | 3,670 | 419,958 | |
Allakos, Inc.(1)(2) | 395 | 32,173 | |
Allogene Therapeutics, Inc.(1) | 1,147 | 43,253 | |
Alnylam Pharmaceuticals, Inc.(1) | 1,935 | 281,736 | |
Amicus Therapeutics, Inc.(1) | 4,226 | 59,671 | |
Arena Pharmaceuticals, Inc.(1) | 961 | 71,873 | |
Arrowhead Pharmaceuticals, Inc.(1) | 1,468 | 63,212 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 823 | 53,503 | |
BioMarin Pharmaceutical, Inc.(1) | 3,054 | 232,348 | |
Bluebird Bio, Inc.(1) | 1,014 | 54,705 | |
Blueprint Medicines Corp.(1) | 886 | 82,132 | |
Bridgebio Pharma, Inc.(1)(2) | 1,155 | 43,336 | |
ChemoCentryx, Inc.(1) | 887 | 48,608 | |
Deciphera Pharmaceuticals, Inc.(1) | 649 | 33,294 | |
Denali Therapeutics, Inc.(1) | 1,141 | 40,882 | |
Emergent BioSolutions, Inc.(1) | 776 | 80,184 | |
Exact Sciences Corp.(1) | 2,440 | 248,758 | |
Exelixis, Inc.(1) | 4,872 | 119,120 | |
FibroGen, Inc.(1) | 1,382 | 56,828 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Global Blood Therapeutics, Inc.(1) | 1,005 | $ 55,416 | |
Halozyme Therapeutics, Inc.(1) | 2,285 | 60,050 | |
Immunomedics, Inc.(1) | 3,359 | 285,616 | |
Incyte Corp.(1) | 3,011 | 270,207 | |
Ionis Pharmaceuticals, Inc.(1) | 2,179 | 103,394 | |
Iovance Biotherapeutics, Inc.(1) | 2,280 | 75,058 | |
Mirati Therapeutics, Inc.(1) | 584 | 96,973 | |
Moderna, Inc.(1) | 5,423 | 383,677 | |
Momenta Pharmaceuticals, Inc.(1) | 2,037 | 106,902 | |
Natera, Inc.(1) | 1,237 | 89,361 | |
Neurocrine Biosciences, Inc.(1) | 1,541 | 148,183 | |
PTC Therapeutics, Inc.(1) | 1,131 | 52,874 | |
Sarepta Therapeutics, Inc.(1) | 1,223 | 171,746 | |
Ultragenyx Pharmaceutical, Inc.(1) | 901 | 74,053 | |
United Therapeutics Corp.(1) | 696 | 70,296 | |
Vir Biotechnology, Inc.(1)(2) | 900 | 30,897 | |
$ 4,344,355 | |||
Building Products — 2.5% | |||
AAON, Inc. | 706 | $ 42,537 | |
Advanced Drainage Systems, Inc. | 931 | 58,132 | |
Allegion PLC | 1,655 | 163,696 | |
Armstrong World Industries, Inc. | 707 | 48,649 | |
Carrier Global Corp. | 13,414 | 409,663 | |
Fortune Brands Home & Security, Inc. | 2,135 | 184,720 | |
Johnson Controls International PLC | 11,953 | 488,280 | |
Masco Corp. | 4,146 | 228,569 | |
Owens Corning | 2,501 | 172,094 | |
Trane Technologies PLC | 3,885 | 471,056 | |
Trex Co., Inc.(1) | 1,842 | 131,887 | |
UFP Industries, Inc. | 871 | 49,220 | |
$ 2,448,503 | |||
Capital Markets — 3.7% | |||
Affiliated Managers Group, Inc. | 741 | $ 50,670 | |
Ameriprise Financial, Inc. | 2,019 | 311,148 | |
Ares Management Corp., Class A | 1,821 | 73,605 | |
Cboe Global Markets, Inc. | 1,770 | 155,300 | |
Cohen & Steers, Inc. | 367 | 20,457 | |
E*Trade Financial Corp. | 3,748 | 187,587 | |
FactSet Research Systems, Inc. | 723 | 242,118 | |
Franklin Resources, Inc. | 4,381 | 89,153 | |
Hamilton Lane, Inc., Class A | 593 | 38,302 | |
Houlihan Lokey, Inc. | 767 | 45,291 | |
Interactive Brokers Group, Inc., Class A | 1,144 | 55,290 | |
Invesco, Ltd. | 5,972 | 68,141 |
Security | Shares | Value | |
Capital Markets (continued) | |||
KKR & Co., Inc. | 8,843 | $ 303,669 | |
Lazard, Ltd., Class A | 1,890 | 62,464 | |
LPL Financial Holdings, Inc. | 1,261 | 96,681 | |
MarketAxess Holdings, Inc. | 604 | 290,880 | |
Morningstar, Inc. | 445 | 71,471 | |
Nasdaq, Inc. | 1,882 | 230,940 | |
Northern Trust Corp. | 3,378 | 263,383 | |
Owl Rock Capital Corp. | 5,758 | 69,441 | |
Raymond James Financial, Inc. | 1,997 | 145,302 | |
SEI Investments Co. | 2,110 | 107,019 | |
State Street Corp. | 5,737 | 340,376 | |
Stifel Financial Corp. | 1,107 | 55,970 | |
TD Ameritrade Holding Corp. | 4,287 | 167,836 | |
Virtu Financial, Inc., Class A | 1,505 | 34,630 | |
$ 3,577,124 | |||
Chemicals — 2.1% | |||
Ashland Global Holdings, Inc. | 1,129 | $ 80,069 | |
Axalta Coating Systems, Ltd.(1) | 3,630 | 80,477 | |
Celanese Corp. | 2,123 | 228,116 | |
Eastman Chemical Co. | 2,401 | 187,566 | |
FMC Corp. | 2,397 | 253,866 | |
International Flavors & Fragrances, Inc. | 1,938 | 237,308 | |
LyondellBasell Industries NV, Class A | 4,609 | 324,888 | |
Mosaic Co. (The) | 6,061 | 110,735 | |
PPG Industries, Inc. | 3,837 | 468,421 | |
Quaker Chemical Corp.(2) | 230 | 41,333 | |
WR Grace & Co. | 1,147 | 46,213 | |
$ 2,058,992 | |||
Commercial Services & Supplies — 1.2% | |||
ADT, Inc. | 2,346 | $ 19,167 | |
Cintas Corp. | 1,381 | 459,638 | |
Copart, Inc.(1) | 3,293 | 346,292 | |
IAA, Inc.(1) | 2,128 | 110,805 | |
MSA Safety, Inc. | 636 | 85,332 | |
Tetra Tech, Inc. | 1,537 | 146,783 | |
UniFirst Corp. | 218 | 41,283 | |
$ 1,209,300 | |||
Communications Equipment — 1.1% | |||
Arista Networks, Inc.(1) | 904 | $ 187,065 | |
Ciena Corp.(1) | 2,414 | 95,812 | |
F5 Networks, Inc.(1) | 1,053 | 129,277 | |
Juniper Networks, Inc. | 5,255 | 112,982 | |
Lumentum Holdings, Inc.(1) | 1,220 | 91,658 |
Security | Shares | Value | |
Communications Equipment (continued) | |||
Motorola Solutions, Inc. | 2,775 | $ 435,148 | |
$ 1,051,942 | |||
Construction & Engineering — 0.5% | |||
AECOM (1) | 4,051 | $ 169,494 | |
EMCOR Group, Inc. | 1,743 | 118,018 | |
MasTec, Inc.(1) | 1,805 | 76,171 | |
Quanta Services, Inc. | 3,243 | 171,425 | |
$ 535,108 | |||
Construction Materials — 0.6% | |||
Martin Marietta Materials, Inc. | 1,239 | $ 291,611 | |
Vulcan Materials Co. | 2,405 | 325,974 | |
$ 617,585 | |||
Consumer Finance — 1.0% | |||
Ally Financial, Inc. | 6,086 | $ 152,576 | |
Credit Acceptance Corp.(1)(2) | 208 | 70,437 | |
Discover Financial Services | 5,146 | 297,336 | |
FirstCash, Inc. | 620 | 35,470 | |
LendingTree, Inc.(1) | 125 | 38,361 | |
OneMain Holdings, Inc. | 1,393 | 43,531 | |
Santander Consumer USA Holdings, Inc. | 1,228 | 22,337 | |
SLM Corp. | 5,862 | 47,424 | |
Synchrony Financial | 9,509 | 248,851 | |
$ 956,323 | |||
Containers & Packaging — 1.6% | |||
AptarGroup, Inc. | 1,140 | $ 129,048 | |
Avery Dennison Corp. | 1,480 | 189,203 | |
Ball Corp. | 5,455 | 453,420 | |
Berry Global Group, Inc.(1) | 2,360 | 114,035 | |
Crown Holdings, Inc.(1) | 2,388 | 183,542 | |
Packaging Corp. of America | 1,667 | 181,786 | |
Silgan Holdings, Inc. | 1,326 | 48,757 | |
Sonoco Products Co. | 1,815 | 92,692 | |
WestRock Co. | 4,563 | 158,519 | |
$ 1,551,002 | |||
Distributors — 0.6% | |||
Genuine Parts Co. | 2,250 | $ 214,133 | |
LKQ Corp.(1) | 4,706 | 130,497 | |
Pool Corp. | 623 | 208,418 | |
$ 553,048 |
Security | Shares | Value | |
Diversified Consumer Services — 0.8% | |||
Bright Horizons Family Solutions, Inc.(1) | 995 | $ 151,280 | |
Chegg, Inc.(1)(2) | 2,384 | 170,313 | |
frontdoor, Inc.(1) | 1,548 | 60,232 | |
Grand Canyon Education, Inc.(1) | 853 | 68,189 | |
H&R Block, Inc. | 3,727 | 60,713 | |
Service Corp. International | 3,291 | 138,814 | |
ServiceMaster Global Holdings, Inc. | 2,500 | 99,700 | |
Strategic Education, Inc. | 498 | 45,552 | |
$ 794,793 | |||
Diversified Financial Services — 0.3% | |||
Cannae Holdings, Inc.(1) | 1,440 | $ 53,654 | |
Equitable Holdings, Inc. | 6,697 | 122,153 | |
Jefferies Financial Group, Inc. | 3,962 | 71,316 | |
Voya Financial, Inc. | 2,018 | 96,723 | |
$ 343,846 | |||
Diversified Telecommunication Services — 0.4% | |||
CenturyLink, Inc. | 18,021 | $ 181,832 | |
Cogent Communications Holdings, Inc. | 637 | 38,252 | |
GCI Liberty, Inc., Class A(1) | 1,562 | 128,021 | |
Iridium Communications, Inc.(1) | 2,003 | 51,237 | |
$ 399,342 | |||
Electric Utilities — 0.6% | |||
Alliant Energy Corp. | 4,770 | $ 246,370 | |
Avangrid, Inc. | 1,912 | 96,480 | |
Hawaiian Electric Industries, Inc. | 3,563 | 118,434 | |
Portland General Electric Co. | 2,946 | 104,583 | |
$ 565,867 | |||
Electrical Equipment — 1.6% | |||
Acuity Brands, Inc. | 714 | $ 73,078 | |
AMETEK, Inc. | 3,936 | 391,238 | |
Generac Holdings, Inc.(1) | 1,123 | 217,458 | |
Hubbell, Inc. | 965 | 132,051 | |
nVent Electric PLC | 2,968 | 52,504 | |
Regal Beloit Corp. | 691 | 64,864 | |
Rockwell Automation, Inc. | 1,896 | 418,409 | |
Sensata Technologies Holding PLC(1) | 2,852 | 123,035 | |
Vertiv Holdings Co.(1)(2) | 4,000 | 69,280 | |
$ 1,541,917 | |||
Electronic Equipment, Instruments & Components — 2.0% | |||
Arrow Electronics, Inc.(1) | 1,234 | $ 97,066 | |
Avnet, Inc. | 1,380 | 35,659 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Coherent, Inc.(1) | 404 | $ 44,816 | |
Corning, Inc. | 12,744 | 413,033 | |
Dolby Laboratories, Inc., Class A | 1,084 | 71,848 | |
II-VI, Inc.(1) | 1,831 | 74,265 | |
IPG Photonics Corp.(1) | 564 | 95,863 | |
Jabil, Inc. | 2,133 | 73,077 | |
Keysight Technologies, Inc.(1) | 3,369 | 332,790 | |
Littelfuse, Inc. | 434 | 76,966 | |
National Instruments Corp. | 1,909 | 68,151 | |
Novanta, Inc.(1) | 594 | 62,572 | |
SYNNEX Corp. | 630 | 88,238 | |
Trimble, Inc.(1) | 4,502 | 219,247 | |
Zebra Technologies Corp., Class A(1) | 896 | 226,204 | |
$ 1,979,795 | |||
Energy Equipment & Services — 0.2% | |||
Baker Hughes Co. | 13,647 | $ 181,369 | |
$ 181,369 | |||
Entertainment — 1.2% | |||
Liberty Formula One Group, Series C(1) | 3,766 | $ 136,593 | |
Live Nation Entertainment, Inc.(1) | 2,826 | 152,265 | |
Madison Square Garden Sports Corp., Class A(1) | 310 | 46,649 | |
Roku, Inc.(1) | 1,646 | 310,765 | |
Take-Two Interactive Software, Inc.(1) | 1,871 | 309,127 | |
World Wrestling Entertainment, Inc., Class A | 909 | 36,787 | |
Zynga, Inc., Class A(1) | 16,496 | 150,443 | |
$ 1,142,629 | |||
Food & Staples Retailing — 0.9% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 2,129 | $ 88,460 | |
Casey's General Stores, Inc. | 665 | 118,137 | |
Grocery Outlet Holding Corp.(1) | 1,150 | 45,218 | |
Kroger Co. (The) | 12,856 | 435,947 | |
Performance Food Group Co.(1) | 2,232 | 77,272 | |
Sprouts Farmers Market, Inc.(1) | 1,978 | 41,400 | |
US Foods Holding Corp.(1) | 3,973 | 88,280 | |
$ 894,714 | |||
Food Products — 2.7% | |||
BellRing Brands, Inc., Class A(1) | 577 | $ 11,967 | |
Beyond Meat, Inc.(1)(2) | 918 | 152,443 | |
Bunge, Ltd. | 2,491 | 113,839 | |
Campbell Soup Co. | 3,150 | 152,365 | |
Conagra Brands, Inc. | 8,780 | 313,534 | |
Darling Ingredients, Inc.(1) | 2,804 | 101,028 |
Security | Shares | Value | |
Food Products (continued) | |||
Flowers Foods, Inc. | 3,348 | $ 81,457 | |
Freshpet, Inc.(1) | 701 | 78,267 | |
Hain Celestial Group, Inc. (The)(1) | 1,406 | 48,226 | |
Hormel Foods Corp. | 5,162 | 252,370 | |
Ingredion, Inc. | 1,169 | 88,470 | |
JM Smucker Co. (The) | 1,989 | 229,769 | |
Kellogg Co. | 4,483 | 289,557 | |
Lamb Weston Holdings, Inc. | 2,552 | 169,121 | |
Lancaster Colony Corp. | 300 | 53,640 | |
McCormick & Co., Inc. | 2,135 | 414,403 | |
Post Holdings, Inc.(1) | 1,152 | 99,072 | |
TreeHouse Foods, Inc.(1) | 950 | 38,504 | |
$ 2,688,032 | |||
Gas Utilities — 0.6% | |||
New Jersey Resources Corp. | 3,089 | $ 83,465 | |
ONE Gas, Inc. | 1,704 | 117,593 | |
Southwest Gas Holdings, Inc. | 1,828 | 115,347 | |
Spire, Inc. | 1,721 | 91,557 | |
UGI Corp. | 5,143 | 169,616 | |
$ 577,578 | |||
Health Care Equipment & Supplies — 5.2% | |||
ABIOMED, Inc.(1) | 750 | $ 207,795 | |
Align Technology, Inc.(1) | 1,217 | 398,397 | |
Cooper Cos., Inc. (The) | 874 | 294,643 | |
DENTSPLY SIRONA, Inc. | 3,573 | 156,247 | |
Envista Holdings Corp. | 2,504 | 61,799 | |
Globus Medical, Inc., Class A(1) | 1,275 | 63,138 | |
Haemonetics Corp.(1) | 793 | 69,189 | |
Hill-Rom Holdings, Inc. | 1,109 | 92,613 | |
Hologic, Inc.(1) | 4,342 | 288,613 | |
ICU Medical, Inc.(1) | 306 | 55,924 | |
IDEXX Laboratories, Inc.(1) | 1,337 | 525,588 | |
Insulet Corp.(1) | 1,071 | 253,388 | |
Integra LifeSciences Holdings Corp.(1) | 1,221 | 57,656 | |
iRhythm Technologies, Inc.(1) | 470 | 111,912 | |
Masimo Corp.(1) | 847 | 199,943 | |
Neogen Corp.(1) | 865 | 67,686 | |
Nevro Corp.(1) | 583 | 81,212 | |
Novocure, Ltd.(1) | 1,359 | 151,270 | |
NuVasive, Inc.(1) | 798 | 38,759 | |
Penumbra, Inc.(1)(2) | 565 | 109,825 | |
Quidel Corp.(1) | 614 | 134,699 | |
ResMed, Inc. | 2,361 | 404,746 | |
STERIS PLC | 1,399 | 246,490 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Tandem Diabetes Care, Inc.(1) | 1,025 | $ 116,337 | |
Teleflex, Inc. | 785 | 267,230 | |
Varian Medical Systems, Inc.(1) | 1,539 | 264,708 | |
West Pharmaceutical Services, Inc. | 1,237 | 340,051 | |
$ 5,059,858 | |||
Health Care Providers & Services — 1.8% | |||
Amedisys, Inc.(1) | 529 | $ 125,072 | |
Chemed Corp. | 258 | 123,930 | |
DaVita, Inc.(1) | 1,342 | 114,942 | |
Encompass Health Corp. | 1,631 | 105,982 | |
Guardant Health, Inc.(1) | 1,279 | 142,967 | |
HealthEquity, Inc.(1) | 1,253 | 64,367 | |
Henry Schein, Inc.(1) | 2,422 | 142,365 | |
Laboratory Corp. of America Holdings(1) | 1,637 | 308,198 | |
LHC Group, Inc.(1) | 485 | 103,092 | |
Molina Healthcare, Inc.(1) | 1,010 | 184,870 | |
Premier, Inc., Class A | 2,015 | 66,152 | |
Quest Diagnostics, Inc. | 2,187 | 250,390 | |
$ 1,732,327 | |||
Health Care Technology — 0.9% | |||
Cerner Corp. | 5,012 | $ 362,318 | |
HMS Holdings Corp.(1) | 1,571 | 37,625 | |
Inovalon Holdings, Inc., Class A(1) | 1,101 | 29,121 | |
Livongo Health, Inc.(1) | 900 | 126,045 | |
Omnicell, Inc.(1) | 644 | 48,081 | |
Teladoc Health, Inc.(1) | 1,315 | 288,301 | |
$ 891,491 | |||
Hotels, Restaurants & Leisure — 2.7% | |||
Aramark | 4,695 | $ 124,183 | |
Choice Hotels International, Inc. | 624 | 53,639 | |
Darden Restaurants, Inc. | 2,388 | 240,567 | |
Domino's Pizza, Inc. | 717 | 304,926 | |
Dunkin' Brands Group, Inc. | 1,541 | 126,223 | |
Hilton Worldwide Holdings, Inc. | 4,514 | 385,134 | |
Hyatt Hotels Corp., Class A(2) | 711 | 37,946 | |
Marriott Vacations Worldwide Corp. | 728 | 66,110 | |
Planet Fitness, Inc., Class A(1) | 1,577 | 97,175 | |
Royal Caribbean Cruises, Ltd.(2) | 3,068 | 198,592 | |
Texas Roadhouse, Inc. | 1,200 | 72,948 | |
Vail Resorts, Inc. | 759 | 162,403 | |
Wendy's Co. (The) | 3,309 | 73,774 | |
Wingstop, Inc. | 544 | 74,338 | |
Wyndham Destinations, Inc. | 1,699 | 52,261 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Wyndham Hotels & Resorts, Inc. | 1,870 | $ 94,435 | |
Yum! Brands, Inc. | 4,973 | 454,035 | |
$ 2,618,689 | |||
Household Durables — 1.2% | |||
Helen of Troy, Ltd.(1) | 396 | $ 76,634 | |
KB Home | 2,830 | 108,644 | |
Leggett & Platt, Inc. | 1,948 | 80,199 | |
Mohawk Industries, Inc.(1) | 901 | 87,929 | |
Newell Brands, Inc. | 6,689 | 114,783 | |
NVR, Inc.(1) | 65 | 265,403 | |
Tempur Sealy International, Inc.(1) | 812 | 72,422 | |
TopBuild Corp.(1) | 913 | 155,840 | |
Whirlpool Corp. | 978 | 179,844 | |
$ 1,141,698 | |||
Household Products — 0.8% | |||
Church & Dwight Co., Inc. | 3,817 | $ 357,691 | |
Clorox Co. (The) | 1,949 | 409,622 | |
Energizer Holdings, Inc. | 916 | 35,852 | |
$ 803,165 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||
AES Corp. (The) | 13,585 | $ 246,024 | |
Clearway Energy, Inc., Class C | 3,342 | 90,100 | |
Ormat Technologies, Inc.(2) | 1,568 | 92,685 | |
$ 428,809 | |||
Industrial Conglomerates — 0.2% | |||
Carlisle Cos., Inc. | 1,272 | $ 155,655 | |
$ 155,655 | |||
Insurance — 4.7% | |||
Aflac, Inc. | 10,782 | $ 391,926 | |
Alleghany Corp. | 229 | 119,183 | |
American Financial Group, Inc. | 1,220 | 81,716 | |
American International Group, Inc. | 14,443 | 397,616 | |
Arch Capital Group, Ltd.(1) | 6,707 | 196,180 | |
Assurant, Inc. | 969 | 117,549 | |
Axis Capital Holdings, Ltd. | 1,290 | 56,812 | |
Brighthouse Financial, Inc.(1) | 1,487 | 40,015 | |
Brown & Brown, Inc. | 4,436 | 200,818 | |
eHealth, Inc.(1) | 439 | 34,681 | |
Enstar Group, Ltd.(1) | 241 | 38,922 | |
Erie Indemnity Co., Class A | 415 | 87,266 | |
Everest Re Group, Ltd. | 630 | 124,450 |
Security | Shares | Value | |
Insurance (continued) | |||
First American Financial Corp. | 1,780 | $ 90,620 | |
Globe Life, Inc. | 1,671 | 133,513 | |
Hanover Insurance Group, Inc. (The) | 641 | 59,728 | |
Hartford Financial Services Group, Inc. (The) | 5,887 | 216,995 | |
Kemper Corp. | 984 | 65,761 | |
Kinsale Capital Group, Inc. | 362 | 68,845 | |
Lincoln National Corp. | 2,859 | 89,572 | |
Primerica, Inc. | 672 | 76,030 | |
Principal Financial Group, Inc. | 4,654 | 187,417 | |
Prudential Financial, Inc. | 6,452 | 409,831 | |
Reinsurance Group of America, Inc. | 1,113 | 105,946 | |
RenaissanceRe Holdings, Ltd. | 829 | 140,714 | |
RLI Corp. | 688 | 57,606 | |
Selective Insurance Group, Inc. | 934 | 48,092 | |
Travelers Cos., Inc. (The) | 4,163 | 450,395 | |
Unum Group | 3,263 | 54,916 | |
White Mountains Insurance Group, Ltd. | 53 | 41,287 | |
Willis Towers Watson PLC | 2,149 | 448,754 | |
$ 4,633,156 | |||
Interactive Media & Services — 0.6% | |||
ANGI Homeservices, Inc., Class A(1)(2) | 979 | $ 10,862 | |
CarGurus, Inc.(1) | 1,356 | 29,330 | |
IAC/InterActiveCorp. (1) | 1,286 | 154,037 | |
Match Group, Inc.(1) | 3,667 | 405,754 | |
$ 599,983 | |||
Internet & Direct Marketing Retail — 1.0% | |||
Chewy, Inc., Class A(1)(2) | 1,045 | $ 57,297 | |
Etsy, Inc.(1) | 1,811 | 220,272 | |
Expedia Group, Inc. | 2,205 | 202,176 | |
GrubHub, Inc.(1) | 1,517 | 109,725 | |
Qurate Retail, Inc., Series A(1) | 5,970 | 42,865 | |
Stamps.com, Inc.(1) | 293 | 70,598 | |
Wayfair, Inc., Class A(1)(2) | 993 | 288,973 | |
$ 991,906 | |||
IT Services — 4.3% | |||
Akamai Technologies, Inc.(1) | 2,636 | $ 291,383 | |
Amdocs, Ltd. | 2,142 | 122,972 | |
Black Knight, Inc.(1) | 2,471 | 215,100 | |
Booz Allen Hamilton Holding Corp., Class A | 2,672 | 221,723 | |
Broadridge Financial Solutions, Inc. | 1,934 | 255,288 | |
DXC Technology Co. | 4,270 | 76,219 | |
EPAM Systems, Inc.(1) | 909 | 293,861 | |
Fastly, Inc., Class A(1) | 1,373 | 128,623 |
Security | Shares | Value | |
IT Services (continued) | |||
Gartner, Inc.(1) | 1,713 | $ 214,039 | |
Genpact, Ltd. | 2,825 | 110,034 | |
GoDaddy, Inc., Class A(1) | 2,712 | 206,031 | |
Jack Henry & Associates, Inc. | 1,244 | 202,262 | |
LiveRamp Holdings, Inc.(1) | 1,084 | 56,119 | |
ManTech International Corp. / VA, Class A | 407 | 28,034 | |
MAXIMUS, Inc. | 1,158 | 79,219 | |
MongoDB, Inc.(1) | 874 | 202,340 | |
Okta, Inc.(1) | 1,988 | 425,134 | |
Paychex, Inc. | 5,371 | 428,445 | |
Perspecta, Inc. | 2,135 | 41,526 | |
Science Applications International Corp. | 966 | 75,754 | |
Switch, Inc., Class A | 3,009 | 46,970 | |
VeriSign, Inc.(1) | 1,715 | 351,318 | |
WEX, Inc.(1) | 763 | 106,034 | |
$ 4,178,428 | |||
Leisure Products — 0.7% | |||
Brunswick Corp. | 1,385 | $ 81,590 | |
Hasbro, Inc. | 2,052 | 169,742 | |
Mattel, Inc.(1) | 5,565 | 65,111 | |
Peloton Interactive, Inc., Class A(1) | 3,651 | 362,325 | |
YETI Holdings, Inc.(1) | 1,148 | 52,027 | |
$ 730,795 | |||
Life Sciences Tools & Services — 2.2% | |||
10X Genomics, Inc., Class A(1) | 868 | $ 108,222 | |
Adaptive Biotechnologies Corp.(1) | 1,220 | 59,329 | |
Avantor, Inc.(1) | 7,329 | 164,829 | |
Bio-Rad Laboratories, Inc., Class A(1) | 346 | 178,349 | |
Bio-Techne Corp. | 622 | 154,088 | |
Bruker Corp. | 1,707 | 67,853 | |
Charles River Laboratories International, Inc.(1) | 807 | 182,745 | |
Medpace Holdings, Inc.(1) | 416 | 46,488 | |
Mettler-Toledo International, Inc.(1) | 397 | 383,403 | |
NeoGenomics, Inc.(1) | 1,654 | 61,016 | |
PerkinElmer, Inc. | 1,884 | 236,461 | |
PRA Health Sciences, Inc.(1) | 1,023 | 103,773 | |
Repligen Corp.(1) | 781 | 115,229 | |
Syneos Health, Inc.(1) | 955 | 50,768 | |
Waters Corp.(1) | 1,000 | 195,680 | |
$ 2,108,233 | |||
Machinery — 6.2% | |||
AGCO Corp. | 1,147 | $ 85,188 | |
Allison Transmission Holdings, Inc. | 1,936 | 68,031 |
Security | Shares | Value | |
Machinery (continued) | |||
CNH Industrial NV(1) | 17,630 | $ 137,866 | |
Colfax Corp.(1) | 1,936 | 60,713 | |
Crane Co. | 892 | 44,716 | |
Cummins, Inc. | 2,338 | 493,692 | |
Donaldson Co., Inc. | 2,277 | 105,698 | |
Dover Corp. | 2,658 | 287,968 | |
Flowserve Corp. | 2,262 | 61,730 | |
Fortive Corp. | 5,542 | 422,356 | |
Gates Industrial Corp. PLC(1) | 547 | 6,083 | |
Graco, Inc. | 2,999 | 183,989 | |
IDEX Corp. | 1,400 | 255,374 | |
Ingersoll Rand, Inc.(1) | 6,753 | 240,407 | |
ITT, Inc. | 1,656 | 97,787 | |
Lincoln Electric Holdings, Inc. | 1,000 | 92,040 | |
Middleby Corp.(1) | 972 | 87,198 | |
Nordson Corp. | 986 | 189,134 | |
Oshkosh Corp. | 1,220 | 89,670 | |
Otis Worldwide Corp. | 7,226 | 451,047 | |
PACCAR, Inc. | 5,508 | 469,722 | |
Parker-Hannifin Corp. | 2,109 | 426,735 | |
Pentair PLC | 3,013 | 137,905 | |
Proto Labs, Inc.(1) | 505 | 65,397 | |
RBC Bearings, Inc.(1) | 424 | 51,393 | |
Rexnord Corp. | 2,219 | 66,215 | |
Snap-on, Inc. | 877 | 129,033 | |
Stanley Black & Decker, Inc. | 2,684 | 435,345 | |
Timken Co. (The) | 1,171 | 63,491 | |
Toro Co. (The) | 1,904 | 159,841 | |
Watts Water Technologies, Inc., Class A | 505 | 50,576 | |
Westinghouse Air Brake Technologies Corp. | 3,210 | 198,635 | |
Woodward, Inc. | 1,037 | 83,126 | |
Xylem, Inc. | 3,324 | 279,615 | |
$ 6,077,716 | |||
Media — 2.0% | |||
Altice USA, Inc., Class A(1) | 8,289 | $ 215,514 | |
Cable One, Inc. | 77 | 145,178 | |
Discovery, Inc., Class A(1)(2) | 8,505 | 185,154 | |
DISH Network Corp., Class A(1) | 4,056 | 117,746 | |
Interpublic Group of Cos., Inc. (The) | 7,438 | 123,992 | |
Liberty Broadband Corp., Class C(1) | 2,891 | 413,037 | |
New York Times Co. (The), Class A(2) | 2,736 | 117,073 | |
Nexstar Media Group, Inc., Class A | 801 | 72,034 | |
Omnicom Group, Inc. | 4,131 | 204,485 | |
Sirius XM Holdings, Inc.(2) | 22,059 | 118,236 |
Security | Shares | Value | |
Media (continued) | |||
ViacomCBS, Inc., Class B(2) | 10,437 | $ 292,340 | |
$ 2,004,789 | |||
Metals & Mining — 0.6% | |||
Nucor Corp. | 5,678 | $ 254,715 | |
Reliance Steel & Aluminum Co. | 1,576 | 160,815 | |
Steel Dynamics, Inc. | 5,161 | 147,760 | |
$ 563,290 | |||
Multiline Retail — 0.1% | |||
Kohl's Corp. | 2,257 | $ 41,822 | |
Ollie's Bargain Outlet Holdings, Inc.(1) | 819 | 71,540 | |
$ 113,362 | |||
Multi-Utilities — 1.3% | |||
Ameren Corp. | 4,385 | $ 346,766 | |
CenterPoint Energy, Inc. | 10,915 | 211,205 | |
CMS Energy Corp. | 5,133 | 315,218 | |
Consolidated Edison, Inc. | 5,705 | 443,849 | |
$ 1,317,038 | |||
Personal Products — 0.0%(3) | |||
Coty, Inc., Class A | 4,508 | $ 12,172 | |
$ 12,172 | |||
Pharmaceuticals — 1.2% | |||
Axsome Therapeutics, Inc.(1)(2) | 455 | $ 32,419 | |
Catalent, Inc.(1) | 2,754 | 235,908 | |
Elanco Animal Health, Inc.(1) | 6,503 | 181,629 | |
Horizon Therapeutics PLC(1) | 3,409 | 264,811 | |
Jazz Pharmaceuticals PLC(1) | 862 | 122,913 | |
MyoKardia, Inc.(1) | 862 | 117,516 | |
Nektar Therapeutics(1) | 2,992 | 49,637 | |
Perrigo Co. PLC | 2,375 | 109,036 | |
Reata Pharmaceuticals, Inc., Class A(1)(2) | 420 | 40,916 | |
$ 1,154,785 | |||
Professional Services — 1.5% | |||
ASGN, Inc.(1) | 909 | $ 57,776 | |
CoreLogic, Inc. | 1,281 | 86,685 | |
CoStar Group, Inc.(1) | 619 | 525,228 | |
Exponent, Inc. | 931 | 67,060 | |
FTI Consulting, Inc.(1) | 663 | 70,258 | |
ManpowerGroup, Inc. | 1,061 | 77,803 | |
Nielsen Holdings PLC | 6,828 | 96,821 | |
Robert Half International, Inc. | 2,156 | 114,139 |
Security | Shares | Value | |
Professional Services (continued) | |||
TransUnion | 3,450 | $ 290,248 | |
TriNet Group, Inc.(1) | 712 | 42,236 | |
$ 1,428,254 | |||
Real Estate Management & Development — 0.7% | |||
CBRE Group, Inc., Class A(1) | 6,059 | $ 284,591 | |
Howard Hughes Corp. (The)(1) | 1,469 | 84,614 | |
Jones Lang LaSalle, Inc. | 1,416 | 135,455 | |
Redfin Corp.(1) | 2,797 | 139,654 | |
$ 644,314 | |||
Road & Rail — 1.2% | |||
AMERCO | 143 | $ 50,905 | |
J.B. Hunt Transport Services, Inc. | 1,491 | 188,433 | |
Kansas City Southern | 1,656 | 299,454 | |
Knight-Swift Transportation Holdings, Inc. | 2,167 | 88,197 | |
Landstar System, Inc. | 643 | 80,690 | |
Old Dominion Freight Line, Inc. | 1,795 | 324,751 | |
Saia, Inc.(1) | 425 | 53,610 | |
Schneider National, Inc., Class B | 953 | 23,568 | |
Werner Enterprises, Inc. | 1,095 | 45,979 | |
$ 1,155,587 | |||
Semiconductors & Semiconductor Equipment — 4.4% | |||
Brooks Automation, Inc. | 1,254 | $ 58,010 | |
Cirrus Logic, Inc.(1) | 994 | 67,045 | |
CMC Materials, Inc. | 514 | 73,404 | |
Cree, Inc.(1) | 1,888 | 120,341 | |
Enphase Energy, Inc.(1) | 1,557 | 128,593 | |
Entegris, Inc. | 2,231 | 165,853 | |
First Solar, Inc.(1) | 1,154 | 76,395 | |
Inphi Corp.(1) | 868 | 97,433 | |
Lattice Semiconductor Corp.(1) | 2,291 | 66,347 | |
Marvell Technology Group, Ltd. | 11,142 | 442,337 | |
Maxim Integrated Products, Inc. | 4,466 | 301,946 | |
Microchip Technology, Inc. | 4,130 | 424,399 | |
MKS Instruments, Inc. | 1,000 | 109,230 | |
Monolithic Power Systems, Inc. | 690 | 192,931 | |
ON Semiconductor Corp.(1) | 6,772 | 146,885 | |
Power Integrations, Inc. | 1,006 | 55,732 | |
Qorvo, Inc.(1) | 1,867 | 240,862 | |
Semtech Corp.(1) | 1,117 | 59,156 | |
Silicon Laboratories, Inc.(1) | 730 | 71,431 | |
Skyworks Solutions, Inc. | 2,798 | 407,109 | |
SolarEdge Technologies, Inc.(1) | 716 | 170,659 | |
Teradyne, Inc. | 3,079 | 244,657 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Universal Display Corp. | 715 | $ 129,229 | |
Xilinx, Inc. | 4,095 | 426,863 | |
$ 4,276,847 | |||
Software — 8.7% | |||
ACI Worldwide, Inc.(1) | 1,752 | $ 45,780 | |
Altair Engineering, Inc., Class A(1) | 611 | 25,650 | |
Alteryx, Inc., Class A(1)(2) | 918 | 104,239 | |
Anaplan, Inc.(1) | 2,004 | 125,410 | |
ANSYS, Inc.(1) | 1,407 | 460,413 | |
Appfolio, Inc., Class A(1) | 257 | 36,445 | |
Appian Corp.(1)(2) | 659 | 42,670 | |
Aspen Technology, Inc.(1) | 1,106 | 140,009 | |
Avalara, Inc.(1) | 1,279 | 162,868 | |
Blackbaud, Inc. | 854 | 47,679 | |
Blackline, Inc.(1) | 867 | 77,709 | |
Box, Inc., Class A(1) | 2,663 | 46,230 | |
Cadence Design Systems, Inc.(1) | 4,502 | 480,048 | |
CDK Global, Inc. | 1,954 | 85,175 | |
Ceridian HCM Holding, Inc.(1) | 1,741 | 143,894 | |
Citrix Systems, Inc. | 2,067 | 284,647 | |
Cloudera, Inc.(1)(2) | 4,599 | 50,083 | |
Coupa Software, Inc.(1) | 1,094 | 300,019 | |
CrowdStrike Holdings, Inc., Class A(1) | 313 | 42,981 | |
DocuSign, Inc.(1) | 2,798 | 602,241 | |
Dropbox, Inc., Class A(1) | 4,834 | 93,103 | |
Dynatrace, Inc.(1) | 2,763 | 113,338 | |
Elastic NV(1) | 915 | 98,719 | |
Envestnet, Inc.(1) | 826 | 63,734 | |
Everbridge, Inc.(1)(2) | 581 | 73,049 | |
Fair Isaac Corp.(1) | 557 | 236,937 | |
FireEye, Inc.(1) | 3,381 | 41,738 | |
Five9, Inc.(1) | 1,060 | 137,461 | |
Fortinet, Inc.(1) | 2,282 | 268,842 | |
Guidewire Software, Inc.(1) | 1,383 | 144,205 | |
HubSpot, Inc.(1) | 700 | 204,561 | |
j2 Global, Inc.(1) | 709 | 49,077 | |
Manhattan Associates, Inc.(1) | 1,059 | 101,124 | |
Medallia, Inc.(1)(2) | 1,437 | 39,403 | |
New Relic, Inc.(1) | 782 | 44,074 | |
NortonLifeLock, Inc. | 9,606 | 200,189 | |
Nuance Communications, Inc.(1) | 4,778 | 158,582 | |
Nutanix, Inc., Class A(1) | 2,840 | 62,991 | |
Palo Alto Networks, Inc.(1) | 1,534 | 375,446 | |
Paycom Software, Inc.(1) | 825 | 256,822 | |
Paylocity Holding Corp.(1) | 606 | 97,820 | |
Pegasystems, Inc. | 643 | 77,829 |
Security | Shares | Value | |
Software (continued) | |||
Pluralsight, Inc., Class A(1) | 1,820 | $ 31,177 | |
Proofpoint, Inc.(1) | 961 | 101,434 | |
PTC, Inc.(1) | 1,750 | 144,760 | |
Q2 Holdings, Inc.(1) | 793 | 72,369 | |
Qualys, Inc.(1) | 576 | 56,454 | |
RealPage, Inc.(1) | 1,509 | 86,979 | |
RingCentral, Inc., Class A(1) | 1,284 | 352,599 | |
Smartsheet, Inc., Class A(1) | 1,860 | 91,921 | |
SolarWinds Corp.(1)(2) | 1,178 | 23,961 | |
SS&C Technologies Holdings, Inc. | 3,675 | 222,411 | |
SVMK, Inc.(1) | 2,021 | 44,684 | |
Tenable Holdings, Inc.(1) | 1,171 | 44,205 | |
Trade Desk, Inc. (The), Class A(1)(2) | 696 | 361,071 | |
Tyler Technologies, Inc.(1) | 672 | 234,232 | |
Verint Systems, Inc.(1) | 1,012 | 48,758 | |
Zendesk, Inc.(1) | 1,862 | 191,637 | |
Zscaler, Inc.(1) | 1,186 | 166,858 | |
$ 8,518,744 | |||
Specialty Retail — 3.0% | |||
Advance Auto Parts, Inc. | 1,111 | $ 170,538 | |
AutoNation, Inc.(1) | 981 | 51,924 | |
AutoZone, Inc.(1) | 368 | 433,372 | |
Best Buy Co., Inc. | 3,555 | 395,636 | |
Burlington Stores, Inc.(1) | 1,011 | 208,357 | |
CarMax, Inc.(1) | 2,597 | 238,690 | |
Dick's Sporting Goods, Inc. | 914 | 52,902 | |
Five Below, Inc.(1) | 841 | 106,807 | |
Floor & Decor Holdings, Inc., Class A(1) | 1,351 | 101,055 | |
Foot Locker, Inc. | 1,401 | 46,275 | |
Gap, Inc. (The) | 3,333 | 56,761 | |
L Brands, Inc. | 3,622 | 115,216 | |
Lithia Motors, Inc., Class A | 357 | 81,375 | |
Penske Automotive Group, Inc. | 490 | 23,353 | |
RH (1)(2) | 260 | 99,481 | |
Tiffany & Co. | 1,856 | 215,018 | |
Tractor Supply Co. | 1,796 | 257,439 | |
Ulta Beauty, Inc.(1) | 835 | 187,023 | |
Williams-Sonoma, Inc. | 1,227 | 110,970 | |
$ 2,952,192 | |||
Technology Hardware, Storage & Peripherals — 1.3% | |||
Hewlett Packard Enterprise Co. | 21,089 | $ 197,604 | |
HP, Inc. | 22,937 | 435,574 | |
NetApp, Inc. | 3,698 | 162,120 | |
Pure Storage, Inc., Class A(1)(2) | 4,145 | 63,791 |
Security | Shares | Value | |
Technology Hardware, Storage & Peripherals (continued) | |||
Seagate Technology PLC | 4,208 | $ 207,328 | |
Western Digital Corp. | 4,834 | 176,683 | |
Xerox Holdings Corp. | 2,788 | 52,331 | |
$ 1,295,431 | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||
Carter's, Inc. | 654 | $ 56,623 | |
Columbia Sportswear Co. | 484 | 42,098 | |
Deckers Outdoor Corp.(1) | 433 | 95,264 | |
Hanesbrands, Inc.(2) | 5,458 | 85,964 | |
Levi Strauss & Co., Class A(2) | 843 | 11,296 | |
PVH Corp. | 1,085 | 64,709 | |
Ralph Lauren Corp., Class A | 724 | 49,210 | |
Skechers USA, Inc., Class A(1) | 1,912 | 57,781 | |
Tapestry, Inc. | 4,115 | 64,318 | |
Under Armour, Inc., Class A(1) | 5,726 | 64,303 | |
VF Corp. | 5,166 | 362,912 | |
$ 954,478 | |||
Thrifts & Mortgage Finance — 0.2% | |||
Essent Group, Ltd. | 1,864 | $ 68,987 | |
MGIC Investment Corp. | 5,060 | 44,832 | |
New York Community Bancorp, Inc. | 7,350 | 60,784 | |
Radian Group, Inc. | 3,352 | 48,973 | |
TFS Financial Corp. | 1,057 | 15,527 | |
$ 239,103 | |||
Trading Companies & Distributors — 1.2% | |||
Air Lease Corp. | 1,858 | $ 54,662 | |
Fastenal Co. | 9,057 | 408,380 | |
HD Supply Holdings, Inc.(1) | 2,832 | 116,792 | |
MSC Industrial Direct Co., Inc., Class A | 753 | 47,650 | |
SiteOne Landscape Supply, Inc.(1) | 686 | 83,658 | |
United Rentals, Inc.(1) | 1,297 | 226,326 | |
W.W. Grainger, Inc. | 728 | 259,729 | |
$ 1,197,197 | |||
Water Utilities — 0.8% | |||
American States Water Co. | 1,278 | $ 95,786 | |
American Water Works Co., Inc. | 3,048 | 441,594 | |
Essential Utilities, Inc. | 5,047 | 203,142 | |
$ 740,522 |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.0%(3) | |||
United States Cellular Corp.(1) | 308 | $ 9,094 | |
$ 9,094 | |||
Total Common Stocks (identified cost $80,868,984) | $ 97,190,125 |
Short-Term Investments — 0.6% | |||
Other — 0.0%(3) | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 28,578 | $ 28,581 | |
Total Other (identified cost $28,581) | $ 28,581 | ||
Securities Lending Collateral — 0.6% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(5) | 569,592 | $ 569,592 | |
Total Securities Lending Collateral (identified cost $569,592) | $ 569,592 | ||
Total Short-Term Investments (identified cost $598,173) | $ 598,173 | ||
Total Investments — 99.9% (identified cost $81,467,157) | $ 97,788,298 | ||
Other Assets, Less Liabilities — 0.1% | $ 79,529 | ||
Net Assets �� 100.0% | $ 97,867,827 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at September 30, 2020. The aggregate market value of securities on loan at September 30, 2020 was $2,822,790. | |
(3) | Amount is less than 0.05%. | |
(4) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2020. | |
(5) | Represents investment of cash collateral received in connection with securities lending. |
September 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $81,438,576) - including $2,822,790 of securities on loan | $ 97,759,717 |
Investments in securities of affiliated issuers, at value (identified cost $28,581) | 28,581 |
Cash | 9,788 |
Receivable for capital shares sold | 1,239,634 |
Dividends receivable | 73,868 |
Dividends receivable - affiliated | 34 |
Securities lending income receivable | 379 |
Receivable from affiliate | 17,050 |
Directors' deferred compensation plan | 36,262 |
Total assets | $99,165,313 |
Liabilities | |
Payable for investments purchased | $ 9,778 |
Payable for capital shares redeemed | 300 |
Deposits for securities loaned | 569,592 |
Payable to affiliates: | |
Investment advisory fee | 9,304 |
Administrative fee | 9,304 |
Distribution and service fees | 2,939 |
Sub-transfer agency fee | 1,940 |
Directors' deferred compensation plan | 36,262 |
Accrued expenses | 58,067 |
Demand note payable | 600,000 |
Total liabilities | $ 1,297,486 |
Net Assets | $97,867,827 |
Sources of Net Assets | |
Paid-in capital | $ 80,255,236 |
Distributable earnings | 17,612,591 |
Total | $97,867,827 |
Class A Shares | |
Net Assets | $ 14,802,584 |
Shares Outstanding | 507,532 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 29.17 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 30.62 |
Class I Shares | |
Net Assets | $ 83,065,243 |
Shares Outstanding | 2,823,704 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 29.42 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. |
Year Ended | |
September 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $209) | $ 1,129,718 |
Dividend income - affiliated issuers | 34 |
Interest income | 1,064 |
Securities lending income, net | 7,877 |
Total investment income | $ 1,138,693 |
Expenses | |
Investment advisory fee | $ 90,408 |
Administrative fee | 90,408 |
Distribution and service fees: | |
Class A | 32,725 |
Directors' fees and expenses | 2,972 |
Custodian fees | 16,208 |
Transfer agency fees and expenses | 75,022 |
Accounting fees | 17,134 |
Professional fees | 29,924 |
Registration fees | 40,645 |
Reports to shareholders | 13,368 |
Miscellaneous | 14,411 |
Total expenses | $ 423,225 |
Waiver and/or reimbursement of expenses by affiliate | $ (208,393) |
Reimbursement of expenses - other | (954) |
Net expenses | $ 213,878 |
Net investment income | $ 924,815 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 2,365,094 |
Investment securities - affiliated issuers | 46 |
Net realized gain | $ 2,365,140 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 6,730,316 |
Net change in unrealized appreciation (depreciation) | $ 6,730,316 |
Net realized and unrealized gain | $ 9,095,456 |
Net increase in net assets from operations | $10,020,271 |
Year Ended September 30, | ||
2020 | 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 924,815 | $ 687,757 |
Net realized gain (loss) | 2,365,140 | (105,280) |
Net change in unrealized appreciation (depreciation) | 6,730,316 | (514,228) |
Net increase in net assets from operations | $10,020,271 | $ 68,249 |
Distributions to shareholders: | ||
Class A | $ (216,029) | $ (548,723) |
Class I | (1,003,602) | (1,261,327) |
Total distributions to shareholders | $ (1,219,631) | $ (1,810,050) |
Capital share transactions: | ||
Class A | $ 1,303,197 | $ (9,305,867) |
Class I | 26,157,668 | 3,266,862 |
Net increase (decrease) in net assets from capital share transactions | $27,460,865 | $ (6,039,005) |
Net increase (decrease) in net assets | $36,261,505 | $ (7,780,806) |
Net Assets | ||
At beginning of year | $ 61,606,322 | $ 69,387,128 |
At end of year | $97,867,827 | $61,606,322 |
Class A | |||||
Year Ended September 30, | Period Ended September 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 (1) | |
Net asset value — Beginning of period | $ 26.80 | $ 27.23 | $ 24.44 | $ 21.25 | $ 20.00 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.28 | $ 0.24 | $ 0.25 | $ 0.38 | $ 0.23 |
Net realized and unrealized gain (loss) | 2.54 | (0.02) | 3.25 | 3.22 | 1.08 |
Total income from operations | $ 2.82 | $ 0.22 | $ 3.50 | $ 3.60 | $ 1.31 |
Less Distributions | |||||
From net investment income | $ (0.18) | $ (0.24) | $ (0.24) | $ (0.16) | $ (0.06) |
From net realized gain | (0.27) | (0.41) | (0.47) | (0.25) | — |
Total distributions | $ (0.45) | $ (0.65) | $ 0.71 | $ (0.41) | $ (0.06) |
Net asset value — End of period | $ 29.17 | $ 26.80 | $ 27.23 | $ 24.44 | $21.25 |
Total Return(3) | 10.60% | 1.05% | 14.55% | 17.12% | 6.55% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $14,803 | $12,385 | $22,575 | $14,339 | $ 5,442 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.77% | 0.90% | 0.94% | 1.53% | 3.20% (6) |
Net expenses | 0.49% | 0.53% | 0.57% | 0.57% | 0.57% (6) |
Net investment income | 1.03% | 0.93% | 0.95% | 1.64% | 1.26% (6) |
Portfolio Turnover | 31% | 57% | 39% | 63% | 42% (4) |
(1) | From October 30, 2015 inception. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
Class I | |||||
Year Ended September 30, | Period Ended September 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 (1) | |
Net asset value — Beginning of period | $ 27.04 | $ 27.45 | $ 24.56 | $ 21.31 | $ 20.00 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.34 | $ 0.32 | $ 0.34 | $ 0.52 | $ 0.29 |
Net realized and unrealized gain (loss) | 2.57 | (0.02) | 3.27 | 3.17 | 1.09 |
Total income from operations | $ 2.91 | $ 0.30 | $ 3.61 | $ 3.69 | $ 1.38 |
Less Distributions | |||||
From net investment income | $ (0.26) | $ (0.30) | $ (0.25) | $ (0.19) | $ (0.07) |
From net realized gain | (0.27) | (0.41) | (0.47) | (0.25) | — |
Total distributions | $ (0.53) | $ (0.71) | $ (0.72) | $ (0.44) | $ (0.07) |
Net asset value — End of period | $ 29.42 | $ 27.04 | $ 27.45 | $ 24.56 | $21.31 |
Total Return(3) | 10.91% | 1.30% | 14.96% | 17.50% | 6.91% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $83,065 | $49,221 | $46,812 | $21,075 | $ 4,791 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.52% | 0.64% | 0.69% | 0.87% | 2.72% (6) |
Net expenses | 0.24% | 0.24% | 0.22% | 0.22% | 0.22% (6) |
Net investment income | 1.27% | 1.23% | 1.31% | 2.21% | 1.62% (6) |
Portfolio Turnover | 31% | 57% | 39% | 63% | 42% (4) |
(1) | From October 30, 2015 inception. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 97,190,125(1) | $ — | $ — | $ 97,190,125 |
Short-Term Investments: | ||||
Other | — | 28,581 | — | 28,581 |
Securities Lending Collateral | 569,592 | — | — | 569,592 |
Total Investments | $97,759,717 | $28,581 | $ — | $97,788,298 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Year Ended September 30, | ||
2020 | 2019 | |
Ordinary income | $587,146 | $943,782 |
Long-term capital gains | $632,485 | $866,268 |
Undistributed ordinary income | $ 1,250,799 |
Undistributed long-term capital gains | $ 1,788,357 |
Net unrealized appreciation | $14,573,435 |
Aggregate cost | $83,214,863 |
Gross unrealized appreciation | $ 18,917,670 |
Gross unrealized depreciation | (4,344,235) |
Net unrealized appreciation | $14,573,435 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $569,592 | $ — | $ — | $ — | $569,592 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $7,550,761 | $(7,522,226) | $46 | $ — | $28,581 | $34 | 28,578 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 217,893 | $ 5,888,151 | 212,360 | $ 5,411,584 | |
Reinvestment of distributions | 7,447 | 206,820 | 21,810 | 537,820 | |
Shares redeemed | (179,987) | (4,791,774) | (601,154) | (15,255,271) | |
Net increase (decrease) | 45,353 | $ 1,303,197 | (366,984) | $ (9,305,867) | |
Class I | |||||
Shares sold | 1,492,626 | $ 38,993,711 | 1,074,807 | $ 27,546,107 | |
Reinvestment of distributions | 31,454 | 879,133 | 47,929 | 1,189,603 | |
Shares redeemed | (520,985) | (13,715,176) | (1,007,725) | (25,468,848) | |
Net increase | 1,003,095 | $ 26,157,668 | 115,011 | $ 3,266,862 |
Calvert Responsible Index Series, Inc.:
November 20, 2020
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Interested Director | ||||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. | |
Independent Directors | ||||
Richard L. Baird, Jr. 1948 | Director | 2005 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships in the Last Five Years. None. | |
Alice Gresham Bullock 1950 | Chair & Director | 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships in the Last Five Years. None. | |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. | |
John G. Guffey, Jr.(2) 1948 | Director | 1992 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. | |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999-September 2014). Other Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). | |
Joy V. Jones 1950 | Director | 2005 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Independent Directors (continued) | ||||
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships in the Last Five Years. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years | |
Principal Officers who are not Directors | ||||
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). | |
Maureen A. Gemma(3) 1960 | Secretary, Vice President and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | ||||
(2) Mr. Guffey is currently married to Rebecca L. Adamson, who served as a member of the Advisory Council through December 31, 2019. | ||||
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 10/30/2015 | 10/30/2015 | 7.31% | —% | 5.39% |
Class A with 4.75% Maximum Sales Charge | — | — | 2.21 | — | 4.35 |
Class I at NAV | 10/30/2015 | 10/30/2015 | 7.55 | — | 5.72 |
Class R6 at NAV | 02/01/2019 | 10/30/2015 | 7.59 | — | 5.72 |
MSCI World ex USA Index | — | — | 0.16% | 5.32% | 3.87% |
Calvert International Responsible Index | — | — | 7.70 | — | 5.65 |
% Total Annual Operating Expense Ratios3 | Class A | Class I | Class R6 |
Gross | 0.89% | 0.64% | 0.61% |
Net | 0.54 | 0.29 | 0.26 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class I | $100,000 | 10/30/2015 | $131,485 | N.A. |
Class R6 | $1,000,000 | 10/30/2015 | $1,315,262 | N.A. |
Top 10 Holdings (% of net assets)* | |
Taiwan Semiconductor Manufacturing Co., Ltd. | 2.2% |
Nestle S.A. | 2.2 |
Samsung Electronics Co., Ltd. | 1.6 |
Roche Holding AG | 1.6 |
Novartis AG | 1.3 |
Toyota Motor Corp. | 1.1 |
Unilever PLC | 1.1 |
SAP SE | 1.1 |
ASML Holding NV | 1.0 |
AstraZeneca PLC | 0.9 |
Total | 14.1% |
* | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | MSCI World ex USA Index is an unmanaged index of equity securities in the developed markets, excluding the United States. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Calvert International Responsible Index (the “Calvert Index”) is composed of common stocks of large companies in developed markets, excluding the U.S. Large companies in developed markets are the 1,000 largest publicly traded companies, excluding real estate investment trusts and business development companies, in markets that Calvert Research and Management determines to be developed markets based on a set of criteria including level of economic development, existence of capital controls, openness to foreign direct investment, market trading and liquidity conditions, regulatory environment, treatment of minority shareholders, and investor expectations. The Calvert Principles of Responsible Investment serve as a framework for considering environmental, social and governance factors that may affect investment performance. Stocks are weighted in the Calvert Index based on their float-adjusted market capitalization, by country and by sector, subject to certain prescribed limits. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. |
Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. | |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Additional Information | |
MSCI World Index is an unmanaged index of equity securities in the developed markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization- weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq's third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. |
Beginning Account Value (4/1/20) | Ending Account Value (9/30/20) | Expenses Paid During Period* (4/1/20 – 9/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,258.80 | $3.05 ** | 0.54% |
Class I | $1,000.00 | $1,259.90 | $1.64 ** | 0.29% |
Class R6 | $1,000.00 | $1,259.90 | $1.47 ** | 0.26% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.30 | $2.73 ** | 0.54% |
Class I | $1,000.00 | $1,023.55 | $1.47 ** | 0.29% |
Class R6 | $1,000.00 | $1,023.70 | $1.32 ** | 0.26% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2020. |
** | Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
Common Stocks — 96.7% |
Security | Shares | Value | |
Australia — 4.6% | |||
Afterpay, Ltd.(1) | 3,941 | $ 232,301 | |
APA Group | 52,775 | 392,312 | |
ASX, Ltd. | 3,641 | 212,873 | |
Australia & New Zealand Banking Group, Ltd. | 54,584 | 680,990 | |
Brambles, Ltd. | 31,937 | 242,499 | |
CIMIC Group, Ltd.(1) | 1,989 | 26,642 | |
Cochlear, Ltd. | 1,361 | 194,444 | |
Coles Group, Ltd. | 29,580 | 360,366 | |
Commonwealth Bank of Australia | 31,613 | 1,454,712 | |
Computershare, Ltd. | 8,501 | 75,206 | |
CSL, Ltd. | 8,530 | 1,762,013 | |
Insurance Australia Group, Ltd. | 47,206 | 149,379 | |
Lendlease Corp., Ltd. | 16,295 | 130,172 | |
Macquarie Group, Ltd. | 6,922 | 600,028 | |
Magellan Financial Group, Ltd. | 2,244 | 92,551 | |
Medibank Pvt, Ltd. | 48,434 | 87,394 | |
National Australia Bank, Ltd. | 62,787 | 806,621 | |
QBE Insurance Group, Ltd. | 26,039 | 161,963 | |
Ramsay Health Care, Ltd. | 3,467 | 165,302 | |
REA Group, Ltd. | 1,104 | 87,910 | |
Seek, Ltd. | 7,187 | 110,870 | |
Sonic Healthcare, Ltd. | 8,704 | 206,696 | |
Suncorp Group, Ltd. | 25,281 | 154,328 | |
Sydney Airport | 31,058 | 131,887 | |
Telstra Corp., Ltd. | 75,942 | 152,055 | |
Transurban Group | 60,521 | 617,974 | |
Wesfarmers, Ltd. | 25,801 | 824,709 | |
Westpac Banking Corp. | 69,277 | 842,360 | |
Woolworths Group, Ltd. | 29,005 | 758,442 | |
$ 11,714,999 | |||
Austria — 0.1% | |||
Erste Group Bank AG(1) | 5,310 | $ 111,194 | |
Raiffeisen Bank International AG(1) | 2,673 | 40,913 | |
Telekom Austria AG | 2,137 | 15,087 | |
Verbund AG | 1,420 | 77,549 | |
$ 244,743 | |||
Belgium — 0.7% | |||
Ackermans & van Haaren NV(1) | 281 | $ 36,447 | |
Ageas S.A./NV | 2,766 | 113,182 | |
Anheuser-Busch InBev S.A./NV | 14,289 | 769,326 | |
Colruyt S.A. | 919 | 59,640 | |
Elia Group S.A./NV | 503 | 50,284 | |
Galapagos NV(1)(2)(3) | 62 | 8,810 |
Security | Shares | Value | |
Belgium (continued) | |||
Galapagos NV(1)(3) | 561 | $ 79,533 | |
KBC Groep NV | 3,621 | 181,579 | |
Proximus S.A. | 1,907 | 34,790 | |
Sofina S.A. | 193 | 52,690 | |
Solvay S.A. | 1,281 | 110,208 | |
Telenet Group Holding NV | 491 | 19,058 | |
UCB S.A. | 1,923 | 218,402 | |
Umicore S.A. | 2,908 | 120,957 | |
$ 1,854,906 | |||
Canada — 7.7% | |||
Algonquin Power & Utilities Corp.(2) | 13,310 | $ 193,320 | |
Alimentation Couche-Tard, Inc., Class B | 20,863 | 726,535 | |
Bank of Montreal | 12,857 | 751,597 | |
Bank of Nova Scotia (The) | 24,156 | 1,003,575 | |
BCE, Inc. | 6,007 | 249,113 | |
Brookfield Asset Management, Inc., Class A | 31,034 | 1,026,892 | |
Canadian Imperial Bank of Commerce | 8,937 | 668,018 | |
Canadian National Railway Co. | 13,635 | 1,452,127 | |
Canadian Pacific Railway, Ltd. | 2,828 | 860,262 | |
Canadian Tire Corp., Ltd., Class A | 1,238 | 124,697 | |
CCL Industries, Inc., Class B | 2,866 | 110,503 | |
CGI, Inc.(1) | 4,739 | 321,663 | |
Constellation Software, Inc. | 408 | 453,373 | |
Dollarama, Inc. | 6,008 | 230,294 | |
Empire Co., Ltd. | 4,179 | 121,301 | |
George Weston, Ltd. | 1,805 | 132,723 | |
Great-West Lifeco, Inc. | 4,720 | 92,234 | |
Hydro One, Ltd.(4) | 6,766 | 143,394 | |
IGM Financial, Inc.(2) | 1,481 | 33,957 | |
Intact Financial Corp. | 2,715 | 290,717 | |
Loblaw Cos., Ltd. | 4,142 | 216,906 | |
Magna International, Inc.(3) | 439 | 20,088 | |
Magna International, Inc.(3) | 5,377 | 245,998 | |
Manulife Financial Corp. | 39,043 | 543,034 | |
Metro, Inc. | 5,991 | 287,458 | |
National Bank of Canada | 6,827 | 339,107 | |
Nutrien, Ltd. | 11,893 | 466,324 | |
Open Text Corp. | 5,356 | 226,380 | |
Power Corp. of Canada | 11,706 | 229,364 | |
Quebecor, Inc., Class B | 3,470 | 86,805 | |
Ritchie Bros Auctioneers, Inc. | 2,264 | 134,271 | |
Rogers Communications, Inc., Class B | 6,864 | 272,282 | |
Royal Bank of Canada | 24,469 | 1,718,003 | |
Saputo, Inc. | 5,058 | 126,873 | |
Shaw Communications, Inc., Class B | 8,833 | 161,197 | |
Shopify, Inc., Class A(1) | 1,861 | 1,903,747 |
Security | Shares | Value | |
Canada (continued) | |||
Sun Life Financial, Inc. | 11,338 | $ 462,018 | |
TELUS Corp. | 8,906 | 156,710 | |
Thomson Reuters Corp. | 4,113 | 328,224 | |
TMX Group, Ltd. | 986 | 101,403 | |
Toronto-Dominion Bank (The) | 32,333 | 1,496,999 | |
Waste Connections, Inc.(3) | 1,922 | 199,504 | |
Waste Connections, Inc.(3) | 3,965 | 412,118 | |
WSP Global, Inc. | 2,636 | 173,100 | |
$ 19,294,208 | |||
China — 0.2% | |||
Fosun International, Ltd. | 97,000 | $ 113,628 | |
Shenzhou International Group Holdings, Ltd. | 15,700 | 267,353 | |
$ 380,981 | |||
Denmark — 2.1% | |||
Ambu A/S, Class B | 2,246 | $ 63,246 | |
AP Moller - Maersk A/S, Class B | 116 | 183,382 | |
Ascendis Pharma A/S ADR(1) | 858 | 132,407 | |
Carlsberg A/S, Class B | 1,733 | 233,473 | |
Chr. Hansen Holding A/S | 1,812 | 201,143 | |
Coloplast A/S, Class B | 1,954 | 309,688 | |
Danske Bank A/S(1) | 8,395 | 113,552 | |
Demant A/S(1) | 1,696 | 53,188 | |
DSV PANALPINA A/S | 2,748 | 445,734 | |
Genmab A/S(1) | 924 | 335,325 | |
GN Store Nord A/S | 1,890 | 142,386 | |
H Lundbeck A/S | 717 | 23,615 | |
Novo Nordisk A/S, Class B | 25,174 | 1,744,170 | |
Novozymes A/S, Class B | 3,131 | 196,791 | |
Orsted A/S(4) | 2,934 | 404,246 | |
Pandora A/S | 1,436 | 103,590 | |
Rockwool International A/S, Class B | 184 | 70,600 | |
SimCorp A/S | 529 | 69,396 | |
Tryg A/S | 1,459 | 45,933 | |
Vestas Wind Systems A/S | 2,968 | 479,648 | |
$ 5,351,513 | |||
Finland — 1.2% | |||
Elisa Oyj | 1,966 | $ 115,583 | |
Huhtamaki Oyj | 1,512 | 74,516 | |
Kesko Oyj, Class B | 6,076 | 156,548 | |
Kojamo Oyj | 2,405 | 51,654 | |
Kone Oyj, Class B | 4,885 | 428,920 | |
Metso Outotec Oyj | 8,763 | 61,065 | |
Neles Oyj | 2,779 | 37,582 | |
Neste Oyj | 13,229 | 696,635 |
Security | Shares | Value | |
Finland (continued) | |||
Nokia Oyj(1) | 78,951 | $ 309,003 | |
Nordea Bank Abp(1) | 42,769 | 324,990 | |
Orion Oyj, Class B | 1,908 | 86,445 | |
Sampo Oyj, Class A | 7,160 | 283,556 | |
Stora Enso Oyj, Class R | 11,770 | 184,225 | |
UPM-Kymmene Oyj | 8,567 | 260,753 | |
Wartsila Oyj Abp | 6,101 | 47,912 | |
$ 3,119,387 | |||
France — 8.1% | |||
Accor S.A.(1) | 3,017 | $ 84,446 | |
Aeroports de Paris | 530 | 52,579 | |
Air Liquide S.A. | 7,669 | 1,215,610 | |
ALD S.A.(4) | 1,320 | 12,189 | |
Alstom S.A.(1) | 2,834 | 141,567 | |
Amundi S.A.(1)(4) | 801 | 56,458 | |
Arkema S.A. | 928 | 98,390 | |
Atos SE(1) | 1,371 | 110,168 | |
AXA S.A. | 29,216 | 540,729 | |
BioMerieux | 575 | 90,005 | |
BNP Paribas S.A.(1) | 16,984 | 614,388 | |
Bouygues S.A. | 4,093 | 141,439 | |
Bureau Veritas S.A.(1) | 5,149 | 116,065 | |
Capgemini SE | 2,439 | 312,912 | |
Carrefour S.A. | 11,427 | 182,593 | |
Cie de Saint-Gobain(1) | 16,571 | 694,112 | |
Cie Generale des Etablissements Michelin SCA | 2,473 | 265,470 | |
CNP Assurances(1) | 1,978 | 24,807 | |
Credit Agricole S.A.(1) | 16,878 | 147,259 | |
Danone S.A. | 11,770 | 762,402 | |
Dassault Systemes SE | 2,043 | 381,187 | |
Edenred | 4,465 | 200,461 | |
Eiffage S.A.(1) | 1,418 | 115,730 | |
Engie S.A.(1) | 31,167 | 416,500 | |
EssilorLuxottica S.A.(1) | 4,819 | 656,041 | |
Eurofins Scientific SE(1) | 220 | 174,277 | |
Faurecia SE(1) | 942 | 40,604 | |
Getlink SE(1) | 6,854 | 92,846 | |
Hermes International | 559 | 481,440 | |
Iliad S.A. | 184 | 33,752 | |
Ingenico Group S.A.(1) | 875 | 135,566 | |
Ipsen S.A. | 654 | 68,365 | |
JC Decaux S.A.(1) | 1,272 | 21,991 | |
Kering S.A. | 1,165 | 772,794 | |
Legrand S.A. | 4,392 | 349,820 | |
L'Oreal S.A. | 3,782 | 1,230,772 | |
LVMH Moet Hennessy Louis Vuitton SE | 4,248 | 1,987,641 |
Security | Shares | Value | |
France (continued) | |||
Natixis S.A.(1) | 9,094 | $ 20,437 | |
Orange S.A. | 29,626 | 308,571 | |
Orpea (1) | 758 | 86,122 | |
Pernod-Ricard S.A. | 3,581 | 570,940 | |
Peugeot S.A.(1) | 8,293 | 150,389 | |
Publicis Groupe S.A. | 4,267 | 137,525 | |
Renault S.A.(1) | 2,870 | 74,450 | |
Rubis SCA | 1,516 | 60,696 | |
Safran S.A.(1) | 5,100 | 501,774 | |
Sanofi | 18,560 | 1,859,931 | |
Sartorius Stedim Biotech | 418 | 144,278 | |
Schneider Electric SE | 8,683 | 1,079,287 | |
SCOR SE(1) | 2,134 | 59,415 | |
SEB S.A. | 366 | 59,538 | |
Societe Generale S.A.(1) | 12,951 | 171,910 | |
Sodexo S.A. | 1,311 | 93,453 | |
Suez S.A. | 6,286 | 116,147 | |
Teleperformance | 899 | 277,163 | |
Thales S.A. | 1,743 | 130,634 | |
Ubisoft Entertainment S.A.(1) | 1,468 | 132,308 | |
Valeo S.A. | 3,897 | 119,670 | |
Veolia Environnement S.A. | 9,046 | 195,177 | |
Vinci S.A. | 8,609 | 719,338 | |
Vivendi S.A. | 15,304 | 427,423 | |
Worldline S.A.(1)(4) | 2,239 | 183,336 | |
$ 20,503,287 | |||
Germany — 7.4% | |||
1&1 Drillisch AG | 812 | $ 17,947 | |
adidas AG(1) | 3,141 | 1,014,361 | |
Allianz SE | 7,061 | 1,355,215 | |
Aroundtown S.A.(1) | 24,428 | 122,625 | |
Bayerische Motoren Werke AG | 6,337 | 459,921 | |
Bechtle AG | 407 | 82,354 | |
Beiersdorf AG | 1,588 | 180,297 | |
Brenntag AG | 2,820 | 179,301 | |
Carl Zeiss Meditec AG | 566 | 71,486 | |
Commerzbank AG(1) | 16,696 | 82,107 | |
CompuGroup Medical SE & Co. KgaA | 350 | 32,387 | |
Continental AG | 1,882 | 203,949 | |
Covestro AG(4) | 2,984 | 147,977 | |
CTS Eventim AG & Co. KGaA(1) | 1,121 | 54,181 | |
Daimler AG | 15,164 | 818,023 | |
Delivery Hero SE(1)(4) | 2,469 | 283,291 | |
Deutsche Boerse AG | 2,979 | 522,279 | |
Deutsche Lufthansa AG(1) | 3,714 | 32,170 | |
Deutsche Post AG | 16,996 | 771,203 |
Security | Shares | Value | |
Germany (continued) | |||
Deutsche Telekom AG | 54,687 | $ 910,540 | |
Deutsche Wohnen SE | 6,384 | 319,068 | |
DWS Group GmbH & Co. KGaA(1)(4) | 746 | 25,708 | |
Evonik Industries AG | 2,916 | 75,434 | |
Fielmann AG(1) | 364 | 29,193 | |
Fraport AG Frankfurt Airport Services Worldwide(1) | 533 | 20,985 | |
Fresenius Medical Care AG & Co. KGaA | 3,511 | 296,808 | |
Fresenius SE & Co. KGaA | 7,339 | 333,736 | |
GEA Group AG | 2,560 | 89,698 | |
Hannover Rueck SE | 914 | 141,497 | |
HeidelbergCement AG | 6,651 | 406,415 | |
Hella GmbH & Co. KGaA(1) | 937 | 47,211 | |
HelloFresh SE(1) | 2,358 | 131,043 | |
Henkel AG & Co. KGaA | 1,813 | 169,566 | |
HOCHTIEF AG | 296 | 22,978 | |
Infineon Technologies AG | 22,159 | 624,569 | |
KION Group AG | 1,182 | 100,930 | |
Knorr-Bremse AG | 824 | 97,035 | |
Lanxess AG | 1,367 | 78,214 | |
LEG Immobilien AG | 1,431 | 203,973 | |
Merck KGaA | 2,347 | 342,175 | |
MTU Aero Engines AG | 897 | 148,696 | |
Muenchener Rueckversicherungs-Gesellschaft AG | 2,290 | 582,157 | |
Nemetschek SE | 841 | 61,470 | |
OSRAM Licht AG(1) | 481 | 28,676 | |
Puma SE(1) | 1,537 | 138,169 | |
Rational AG | 64 | 50,034 | |
RTL Group S.A.(1) | 506 | 19,916 | |
SAP SE | 17,142 | 2,669,320 | |
Schaeffler AG, PFC Shares | 2,570 | 15,832 | |
Scout24 AG(4) | 1,841 | 160,585 | |
Siemens AG | 13,654 | 1,724,350 | |
Siemens Energy AG(1) | 6,477 | 174,661 | |
Siemens Healthineers AG(4) | 2,615 | 117,383 | |
Symrise AG | 2,272 | 313,814 | |
Talanx AG | 777 | 25,088 | |
TeamViewer AG(1)(4) | 1,864 | 91,932 | |
Telefonica Deutschland Holding AG(4) | 12,615 | 32,241 | |
ThyssenKrupp AG(1) | 15,819 | 79,597 | |
Uniper SE | 3,882 | 125,307 | |
United Internet AG | 1,341 | 51,284 | |
Volkswagen AG | 505 | 88,266 | |
Vonovia SE | 10,570 | 724,604 | |
Zalando SE(1)(4) | 2,619 | 244,693 | |
$ 18,565,925 |
Security | Shares | Value | |
Hong Kong — 2.3% | |||
AIA Group, Ltd. | 202,783 | $ 2,015,682 | |
Bank of East Asia, Ltd. (The) | 30,000 | 55,382 | |
BOC Hong Kong Holdings, Ltd. | 70,850 | 187,822 | |
Chow Tai Fook Jewellery Group, Ltd. | 62,600 | 81,879 | |
Dairy Farm International Holdings, Ltd. | 7,400 | 27,969 | |
Hang Lung Properties, Ltd. | 38,000 | 96,845 | |
Hang Seng Bank, Ltd. | 13,679 | 202,651 | |
Henderson Land Development Co., Ltd. | 26,355 | 97,859 | |
HKT Trust & HKT, Ltd. | 65,000 | 86,275 | |
Hong Kong Exchanges & Clearing, Ltd. | 23,199 | 1,092,057 | |
Hongkong Land Holdings, Ltd. | 27,500 | 102,455 | |
MTR Corp., Ltd. | 28,876 | 143,309 | |
New World Development Co., Ltd. | 30,250 | 147,672 | |
Sino Land Co., Ltd. | 66,000 | 77,267 | |
Sun Hung Kai Properties, Ltd. | 32,801 | 422,691 | |
Swire Pacific, Ltd., Class A | 16,893 | 81,787 | |
Swire Properties, Ltd. | 19,800 | 52,462 | |
Techtronic Industries Co., Ltd. | 27,493 | 365,539 | |
WH Group, Ltd.(4) | 201,502 | 164,367 | |
Wharf Holdings, Ltd. (The) | 35,779 | 71,757 | |
Wharf Real Estate Investment Co., Ltd. | 42,000 | 172,160 | |
$ 5,745,887 | |||
Ireland — 1.1% | |||
CRH PLC | 21,538 | $ 780,996 | |
DCC PLC | 4,429 | 342,861 | |
ICON PLC(1) | 726 | 138,731 | |
James Hardie Industries PLC CDI | 19,045 | 456,543 | |
Kerry Group PLC, Class A | 2,652 | 339,683 | |
Kingspan Group PLC(1) | 6,679 | 607,831 | |
Smurfit Kappa Group PLC | 3,244 | 127,288 | |
$ 2,793,933 | |||
Israel — 0.4% | |||
Azrieli Group, Ltd. | 1,632 | $ 72,861 | |
Bank Hapoalim BM | 21,827 | 116,621 | |
Bank Leumi Le-Israel B.M. | 22,371 | 98,485 | |
Check Point Software Technologies, Ltd.(1) | 2,033 | 244,651 | |
Nice, Ltd.(1) | 1,091 | 247,357 | |
Wix.com, Ltd.(1) | 853 | 217,387 | |
$ 997,362 | |||
Italy — 1.8% | |||
A2A SpA | 25,373 | $ 36,855 | |
Amplifon SpA(1) | 2,350 | 84,037 | |
Assicurazioni Generali SpA | 18,242 | 257,110 | |
Banca Mediolanum SpA | 4,177 | 30,075 |
Security | Shares | Value | |
Italy (continued) | |||
DiaSorin SpA | 446 | $ 89,732 | |
Enel SpA | 152,403 | 1,322,234 | |
Ferrari NV | 2,074 | 380,618 | |
FinecoBank Banca Fineco SpA(1) | 10,534 | 145,092 | |
Hera SpA | 12,233 | 45,107 | |
Infrastrutture Wireless Italiane SpA(4) | 4,598 | 50,726 | |
Intesa Sanpaolo SpA(1) | 282,595 | 531,679 | |
Italgas SpA | 7,704 | 48,588 | |
Mediobanca Banca di Credito Finanziario SpA | 9,559 | 74,904 | |
Moncler SpA(1) | 3,318 | 135,778 | |
Pirelli & C SpA(1)(4) | 6,163 | 26,407 | |
Poste Italiane SpA(4) | 7,609 | 67,429 | |
PRADA SpA(1) | 7,700 | 30,296 | |
Prysmian SpA | 4,572 | 132,715 | |
Recordati Industria Chimica e Farmaceutica SpA | 1,946 | 99,684 | |
Snam SpA | 82,124 | 422,345 | |
Telecom Italia SpA | 194,428 | 77,927 | |
Terna Rete Elettrica Nazionale SpA | 28,436 | 198,961 | |
UniCredit SpA(1) | 33,823 | 279,453 | |
UnipolSai Assicurazioni SpA | 13,800 | 35,985 | |
$ 4,603,737 | |||
Japan — 19.4% | |||
ABC-Mart, Inc. | 500 | $ 26,033 | |
Acom Co., Ltd. | 6,200 | 26,969 | |
Advantest Corp. | 3,500 | 170,242 | |
AEON Co., Ltd. | 14,779 | 397,568 | |
AGC, Inc. | 7,655 | 224,976 | |
Aisin Seiki Co., Ltd. | 2,800 | 89,583 | |
Ajinomoto Co., Inc. | 8,808 | 180,520 | |
Alfresa Holdings Corp. | 3,300 | 72,279 | |
ANA Holdings, Inc.(1) | 2,156 | 49,869 | |
Asahi Group Holdings, Ltd. | 7,600 | 264,880 | |
Asahi Intecc Co., Ltd. | 3,700 | 116,286 | |
Astellas Pharma, Inc. | 31,871 | 475,088 | |
Bandai Namco Holdings, Inc. | 3,175 | 232,632 | |
Bridgestone Corp. | 9,500 | 300,287 | |
Brother Industries, Ltd. | 3,300 | 52,494 | |
Canon, Inc.(2) | 16,568 | 274,806 | |
Capcom Co., Ltd. | 1,200 | 66,970 | |
Central Japan Railway Co. | 3,667 | 525,626 | |
Chugai Pharmaceutical Co., Ltd. | 11,356 | 509,606 | |
Cosmos Pharmaceutical Corp.(2) | 400 | 69,708 | |
CyberAgent, Inc. | 1,900 | 117,328 | |
Dai Nippon Printing Co., Ltd. | 5,929 | 120,179 | |
Daifuku Co., Ltd. | 1,600 | 161,500 | |
Dai-ichi Life Holdings, Inc. | 17,294 | 244,024 |
Security | Shares | Value | |
Japan (continued) | |||
Daiichi Sankyo Co., Ltd. | 49,039 | $ 1,505,387 | |
Daikin Industries, Ltd. | 4,100 | 757,574 | |
Daiwa House Industry Co., Ltd. | 9,492 | 243,444 | |
Daiwa Securities Group, Inc. | 22,900 | 96,315 | |
Denso Corp. | 7,047 | 308,882 | |
Dentsu Group, Inc. | 3,900 | 115,114 | |
Disco Corp. | 500 | 122,252 | |
East Japan Railway Co. | 4,826 | 296,793 | |
Eisai Co., Ltd. | 4,225 | 385,879 | |
FANUC Corp. | 3,451 | 662,300 | |
Fast Retailing Co., Ltd. | 942 | 591,973 | |
Fujitsu, Ltd. | 3,048 | 416,410 | |
GMO Payment Gateway, Inc. | 600 | 64,274 | |
Hakuhodo DY Holdings, Inc. | 5,000 | 64,657 | |
Hamamatsu Photonics K.K. | 2,621 | 132,456 | |
Hankyu Hanshin Holdings, Inc. | 3,600 | 115,737 | |
Harmonic Drive Systems, Inc.(2) | 700 | 45,140 | |
Hikari Tsushin, Inc. | 300 | 71,577 | |
Hitachi Construction Machinery Co., Ltd. | 1,600 | 57,980 | |
Hitachi Metals, Ltd. | 9,300 | 143,407 | |
Honda Motor Co., Ltd. | 31,700 | 752,788 | |
Hoshizaki Corp. | 852 | 67,986 | |
HOYA Corp. | 6,687 | 755,072 | |
Hulic Co., Ltd. | 10,500 | 98,523 | |
Isuzu Motors, Ltd. | 8,600 | 75,214 | |
Ito En, Ltd. | 1,100 | 78,450 | |
Itochu Techno-Solutions Corp. | 1,600 | 60,697 | |
Japan Exchange Group, Inc. | 8,300 | 232,635 | |
Kakaku.com, Inc. | 1,900 | 50,091 | |
Kansai Paint Co., Ltd. | 3,000 | 74,565 | |
Kao Corp. | 7,963 | 597,788 | |
KDDI Corp. | 27,618 | 694,636 | |
Keihan Holdings Co., Ltd. | 1,500 | 62,282 | |
Keio Corp. | 2,223 | 137,617 | |
Keisei Electric Railway Co., Ltd. | 2,000 | 56,488 | |
Keyence Corp. | 3,400 | 1,589,429 | |
Kikkoman Corp. | 2,909 | 161,373 | |
Kintetsu Group Holdings Co., Ltd. | 2,705 | 115,439 | |
Kobayashi Pharmaceutical Co., Ltd. | 800 | 77,301 | |
Komatsu, Ltd. | 15,846 | 348,026 | |
Kose Corp. | 631 | 77,258 | |
Kubota Corp. | 16,994 | 304,485 | |
Kyowa Kirin Co., Ltd. | 4,706 | 133,918 | |
Lion Corp. | 4,800 | 98,540 | |
M3, Inc. | 6,800 | 420,622 | |
Makita Corp. | 4,292 | 205,412 | |
McDonald's Holdings Co. (Japan), Ltd. | 1,200 | 58,366 |
Security | Shares | Value | |
Japan (continued) | |||
Medipal Holdings Corp. | 3,000 | $ 60,157 | |
MEIJI Holdings Co., Ltd. | 2,271 | 173,472 | |
Mercari, Inc.(1) | 1,300 | 60,077 | |
MINEBEA MITSUMI, Inc.(2) | 5,600 | 106,670 | |
MISUMI Group, Inc. | 4,500 | 126,166 | |
Mitsubishi Chemical Holdings Corp. | 23,860 | 137,729 | |
Mitsubishi Electric Corp. | 31,707 | 430,239 | |
Mitsubishi Estate Co., Ltd. | 27,408 | 415,166 | |
Mitsubishi Heavy Industries, Ltd. | 4,900 | 108,490 | |
Mitsubishi UFJ Financial Group, Inc. | 188,257 | 751,310 | |
Mitsui Fudosan Co., Ltd. | 15,500 | 269,726 | |
Miura Co., Ltd. | 1,400 | 68,669 | |
Mizuho Financial Group, Inc. | 39,617 | 494,490 | |
MS&AD Insurance Group Holdings, Inc. | 7,500 | 202,074 | |
Murata Manufacturing Co., Ltd. | 11,653 | 757,761 | |
Nagoya Railroad Co., Ltd. | 2,700 | 74,019 | |
NGK Insulators, Ltd. | 3,800 | 54,258 | |
Nidec Corp. | 7,080 | 663,947 | |
Nintendo Co., Ltd. | 1,829 | 1,036,478 | |
Nippon Express Co., Ltd. | 1,394 | 81,344 | |
Nippon Paint Holdings Co., Ltd. | 3,709 | 381,828 | |
Nippon Shinyaku Co., Ltd. | 800 | 65,867 | |
Nippon Telegraph & Telephone Corp. | 21,840 | 445,900 | |
Nissan Chemical Corp. | 2,500 | 133,275 | |
Nissan Motor Co., Ltd.(1) | 35,285 | 124,789 | |
Nisshin Seifun Group, Inc. | 3,486 | 55,327 | |
Nissin Foods Holdings Co., Ltd. | 1,099 | 103,249 | |
Nitori Holdings Co., Ltd. | 1,268 | 263,049 | |
Nitto Denko Corp. | 2,886 | 188,019 | |
Nomura Holdings, Inc. | 47,500 | 217,072 | |
Nomura Research Institute, Ltd. | 5,600 | 164,889 | |
NTT Data Corp. | 11,135 | 142,498 | |
NTT DoCoMo, Inc. | 17,897 | 657,645 | |
Obayashi Corp. | 13,000 | 118,681 | |
Obic Co., Ltd. | 1,000 | 175,863 | |
Odakyu Electric Railway Co., Ltd. | 5,546 | 139,415 | |
Oji Holdings Corp. | 17,254 | 79,283 | |
Omron Corp. | 3,082 | 240,970 | |
Ono Pharmaceutical Co., Ltd. | 6,322 | 198,851 | |
Oracle Corp. Japan | 626 | 67,593 | |
Oriental Land Co., Ltd.(2) | 4,797 | 672,756 | |
ORIX Corp. | 19,967 | 249,393 | |
Osaka Gas Co., Ltd. | 6,300 | 122,655 | |
Otsuka Corp. | 1,688 | 86,259 | |
Otsuka Holdings Co., Ltd. | 7,020 | 297,404 | |
Pan Pacific International Holdings Corp. | 6,468 | 150,629 | |
Panasonic Corp. | 34,700 | 295,577 |
Security | Shares | Value | |
Japan (continued) | |||
PeptiDream, Inc.(1) | 1,600 | $ 75,086 | |
Pigeon Corp. | 1,900 | 84,894 | |
Rakuten, Inc. | 14,949 | 161,195 | |
Recruit Holdings Co., Ltd. | 26,179 | 1,039,708 | |
Renesas Electronics Corp.(1) | 11,300 | 82,938 | |
Resona Holdings, Inc. | 30,633 | 104,361 | |
Ricoh Co., Ltd.(2) | 10,384 | 70,094 | |
Rohm Co., Ltd. | 1,476 | 114,110 | |
Santen Pharmaceutical Co., Ltd. | 6,400 | 130,854 | |
SBI Holdings, Inc. | 3,300 | 85,509 | |
SCSK Corp. | 700 | 39,164 | |
Sekisui Chemical Co., Ltd. | 6,872 | 109,920 | |
Sekisui House, Ltd. | 11,470 | 203,257 | |
SG Holdings Co., Ltd. | 2,700 | 140,491 | |
Sharp Corp. | 2,799 | 34,817 | |
Shimadzu Corp. | 4,126 | 125,580 | |
Shimano, Inc. | 1,172 | 231,347 | |
Shimizu Corp. | 10,100 | 76,034 | |
Shin-Etsu Chemical Co., Ltd. | 6,237 | 816,138 | |
Shionogi & Co., Ltd. | 4,254 | 227,692 | |
Shiseido Co., Ltd. | 6,697 | 387,689 | |
SMC Corp. | 1,032 | 575,687 | |
SoftBank Corp.(2) | 30,300 | 338,582 | |
SoftBank Group Corp. | 28,790 | 1,781,368 | |
Sohgo Security Services Co., Ltd. | 1,600 | 76,218 | |
Sompo Holdings, Inc. | 6,237 | 215,321 | |
Sony Corp. | 21,300 | 1,632,475 | |
Square Enix Holdings Co., Ltd. | 1,200 | 79,418 | |
Sumitomo Chemical Co., Ltd. | 23,800 | 78,777 | |
Sumitomo Dainippon Pharma Co., Ltd. | 2,900 | 38,214 | |
Sumitomo Electric Industries, Ltd. | 11,673 | 131,407 | |
Sumitomo Mitsui Financial Group, Inc.(2) | 21,953 | 613,824 | |
Sumitomo Mitsui Trust Holdings, Inc. | 4,816 | 128,124 | |
Suntory Beverage & Food, Ltd. | 2,500 | 93,884 | |
Sysmex Corp. | 2,926 | 279,965 | |
T&D Holdings, Inc. | 9,319 | 91,870 | |
Taisho Pharmaceutical Holdings Co., Ltd. | 500 | 32,928 | |
Taiyo Nippon Sanso Corp. | 4,100 | 63,042 | |
Takeda Pharmaceutical Co., Ltd. | 27,252 | 974,066 | |
TDK Corp. | 2,214 | 241,753 | |
Terumo Corp. | 10,746 | 427,849 | |
TIS, Inc. | 3,300 | 70,092 | |
Tobu Railway Co., Ltd. | 3,017 | 93,231 | |
Toho Co., Ltd. | 2,100 | 86,580 | |
Toho Gas Co., Ltd. | 1,800 | 89,065 | |
Tokyo Century Corp. | 700 | 38,154 | |
Tokyo Electron, Ltd. | 2,526 | 659,929 |
Security | Shares | Value | |
Japan (continued) | |||
Tokyo Gas Co., Ltd. | 6,600 | $ 150,615 | |
Tokyu Corp. | 10,132 | 131,497 | |
Toppan Printing Co., Ltd. | 6,400 | 90,463 | |
Toray Industries, Inc. | 26,150 | 119,636 | |
TOTO, Ltd. | 2,064 | 95,108 | |
Toyo Suisan Kaisha, Ltd. | 1,500 | 79,209 | |
Toyota Industries Corp. | 2,275 | 144,057 | |
Toyota Motor Corp. | 42,983 | 2,852,782 | |
Trend Micro, Inc. | 2,393 | 145,826 | |
Tsuruha Holdings, Inc. | 600 | 85,060 | |
Unicharm Corp. | 7,602 | 339,986 | |
Welcia Holdings Co., Ltd. | 1,600 | 70,328 | |
West Japan Railway Co. | 2,510 | 124,015 | |
Yakult Honsha Co., Ltd. | 3,286 | 182,456 | |
Yamada Denki Co., Ltd. | 10,500 | 52,363 | |
Yamaha Corp. | 2,544 | 122,012 | |
Yamaha Motor Co., Ltd. | 4,725 | 68,657 | |
Yaskawa Electric Corp. | 4,900 | 191,703 | |
Z Holdings Corp. | 45,800 | 305,918 | |
ZOZO, Inc. | 3,400 | 94,876 | |
$ 48,982,251 | |||
Netherlands — 3.9% | |||
ABN AMRO Group NV(1)(4) | 5,628 | $ 47,047 | |
Adyen NV(1)(4) | 412 | 759,927 | |
Aegon NV | 27,952 | 72,348 | |
AerCap Holdings NV(1) | 1,593 | 40,128 | |
Akzo Nobel NV | 3,392 | 342,831 | |
Argenx SE(1) | 792 | 209,220 | |
ASM International NV | 708 | 101,487 | |
ASML Holding NV | 6,902 | 2,549,411 | |
Euronext NV(4) | 1,013 | 126,895 | |
GrandVision NV(1)(4) | 755 | 21,075 | |
IMCD NV | 842 | 100,143 | |
ING Groep NV(1) | 65,335 | 466,287 | |
Just Eat Takeaway.com NV(1)(4) | 2,551 | 285,576 | |
Koninklijke Ahold Delhaize NV | 21,743 | 642,678 | |
Koninklijke DSM NV | 2,944 | 484,675 | |
Koninklijke KPN NV | 63,181 | 148,243 | |
Koninklijke Philips NV(1) | 15,918 | 751,634 | |
Koninklijke Vopak NV | 2,822 | 158,832 | |
NN Group NV | 4,845 | 181,609 | |
NXP Semiconductors NV | 4,709 | 587,730 | |
Prosus NV(1) | 7,364 | 679,716 | |
QIAGEN NV(1) | 3,780 | 197,543 | |
Randstad NV(1) | 2,244 | 117,014 | |
STMicroelectronics NV(3) | 6,411 | 196,625 |
Security | Shares | Value | |
Netherlands (continued) | |||
STMicroelectronics NV(3) | 3,487 | $ 107,035 | |
Wolters Kluwer NV | 5,262 | 448,861 | |
$ 9,824,570 | |||
New Zealand — 0.3% | |||
a2 Milk Co., Ltd. (The)(1) | 12,166 | $ 123,819 | |
Auckland International Airport, Ltd.(1) | 20,591 | 99,947 | |
Fisher & Paykel Healthcare Corp., Ltd. | 8,141 | 179,676 | |
Meridian Energy, Ltd. | 20,289 | 66,728 | |
Spark New Zealand, Ltd. | 22,022 | 68,715 | |
Xero, Ltd.(1) | 1,791 | 130,645 | |
$ 669,530 | |||
Norway — 0.6% | |||
Adevinta ASA(1) | 3,866 | $ 66,457 | |
DNB ASA(1) | 15,918 | 221,748 | |
Gjensidige Forsikring ASA | 2,630 | 53,375 | |
Mowi ASA(2) | 8,692 | 154,647 | |
Norsk Hydro ASA(1) | 58,891 | 162,552 | |
Orkla ASA | 15,504 | 156,474 | |
Salmar ASA(1) | 1,128 | 63,928 | |
Schibsted ASA, Class A(1) | 3,123 | 138,553 | |
Telenor ASA | 10,979 | 184,324 | |
Tomra Systems ASA(1) | 1,950 | 84,474 | |
Yara International ASA | 3,383 | 130,177 | |
$ 1,416,709 | |||
Portugal — 0.2% | |||
EDP - Energias de Portugal S.A. | 53,942 | $ 265,229 | |
EDP Renovaveis S.A. | 2,456 | 40,771 | |
Jeronimo Martins SGPS S.A. | 5,301 | 85,242 | |
$ 391,242 | |||
Singapore — 0.7% | |||
CapitaLand, Ltd. | 44,541 | $ 89,054 | |
City Developments, Ltd. | 10,430 | 58,715 | |
DBS Group Holdings, Ltd. | 31,529 | 463,518 | |
Flex, Ltd.(1) | 9,762 | 108,749 | |
Jardine Cycle & Carriage, Ltd. | 1,700 | 22,565 | |
Oversea-Chinese Banking Corp., Ltd. | 56,871 | 353,666 | |
Singapore Airlines, Ltd. | 20,756 | 53,116 | |
Singapore Exchange, Ltd. | 12,400 | 83,634 | |
Singapore Technologies Engineering, Ltd. | 37,200 | 94,797 | |
Singapore Telecommunications, Ltd. | 141,012 | 220,694 | |
United Overseas Bank, Ltd. | 22,259 | 313,567 | |
$ 1,862,075 |
Security | Shares | Value | |
South Korea — 3.5% | |||
AMOREPACIFIC Corp. | 490 | $ 68,311 | |
Celltrion, Inc.(1) | 1,798 | 395,495 | |
Hana Financial Group, Inc. | 4,330 | 104,020 | |
Hyundai Mobis Co., Ltd. | 1,033 | 202,658 | |
Hyundai Motor Co. | 2,507 | 381,866 | |
Kakao Corp. | 953 | 296,339 | |
KB Financial Group, Inc. | 6,231 | 200,638 | |
KT Corp. | 3,517 | 68,816 | |
LG Chem, Ltd. | 851 | 475,003 | |
LG Corp. | 1,590 | 100,955 | |
LG Electronics, Inc. | 1,758 | 137,709 | |
LG Household & Health Care, Ltd. | 141 | 174,002 | |
Lotte Chemical Corp. | 296 | 49,623 | |
NAVER Corp. | 2,367 | 601,505 | |
NCSoft Corp. | 285 | 196,403 | |
Netmarble Corp.(1)(4) | 346 | 48,951 | |
Samsung C&T Corp. | 1,373 | 123,218 | |
Samsung Electro-Mechanics Co., Ltd. | 1,002 | 118,746 | |
Samsung Electronics Co., Ltd. | 83,049 | 4,122,895 | |
Samsung SDS Co., Ltd. | 543 | 78,609 | |
Shinhan Financial Group Co., Ltd. | 6,441 | 151,110 | |
SK Hynix, Inc. | 9,165 | 656,972 | |
SK Telecom Co., Ltd. | 559 | 113,634 | |
Woori Financial Group, Inc. | 7,839 | 57,319 | |
$ 8,924,797 | |||
Spain — 2.0% | |||
Acciona S.A.(2) | 304 | $ 32,992 | |
Aena SME S.A.(1)(4) | 1,419 | 197,565 | |
Amadeus IT Group S.A. | 6,667 | 370,258 | |
Banco Bilbao Vizcaya Argentaria S.A. | 97,546 | 270,781 | |
Banco Santander S.A.(1) | 255,088 | 475,803 | |
CaixaBank S.A. | 52,448 | 111,341 | |
Cellnex Telecom S.A.(4) | 5,749 | 348,979 | |
Enagas S.A. | 9,417 | 217,280 | |
Ferrovial S.A. | 8,660 | 210,355 | |
Grifols S.A. | 6,857 | 197,174 | |
Iberdrola S.A. | 112,706 | 1,387,251 | |
Industria de Diseno Textil S.A. | 17,067 | 472,148 | |
International Consolidated Airlines Group S.A.(2) | 16,783 | 20,497 | |
Mapfre S.A. | 10,241 | 16,067 | |
Naturgy Energy Group S.A. | 4,623 | 92,713 | |
Red Electrica Corp. S.A. | 7,406 | 138,902 | |
Siemens Gamesa Renewable Energy S.A. | 3,939 | 106,598 | |
Telefonica S.A. | 73,689 | 252,427 | |
$ 4,919,131 |
Security | Shares | Value | |
Sweden — 3.1% | |||
AAK AB(1) | 2,778 | $ 51,703 | |
Alfa Laval AB(1) | 5,194 | 114,655 | |
Assa Abloy AB, Class B | 17,265 | 403,658 | |
Atlas Copco AB, Class A | 16,512 | 787,272 | |
Axfood AB | 1,812 | 41,507 | |
Boliden AB | 11,478 | 340,560 | |
Castellum AB | 3,669 | 83,339 | |
Electrolux AB, Series B | 3,959 | 92,288 | |
Epiroc AB, Class A | 16,909 | 244,948 | |
EQT AB | 3,043 | 59,048 | |
Essity AB, Class B(1) | 10,204 | 344,500 | |
Fastighets AB Balder, Class B(1) | 1,617 | 81,924 | |
Hennes & Mauritz AB, Class B | 12,137 | 209,095 | |
Hexagon AB, Class B(1) | 4,571 | 345,261 | |
Holmen AB, Class B | 1,471 | 54,581 | |
Husqvarna AB, Class B | 8,124 | 89,333 | |
ICA Gruppen AB(2) | 1,637 | 83,162 | |
Industrivarden AB, Class A(1) | 4,577 | 123,765 | |
Indutrade AB(1) | 1,254 | 67,126 | |
Investment AB Latour, Class B | 1,704 | 40,034 | |
Investor AB, Class B | 9,177 | 599,439 | |
Kinnevik AB, Class B(2) | 4,024 | 163,328 | |
L E Lundbergforetagen AB, Class B(1) | 1,308 | 64,627 | |
Lifco AB, Class B | 662 | 51,204 | |
Nibe Industrier AB, Class B(1) | 6,669 | 171,400 | |
Sagax AB, Class B | 2,570 | 44,898 | |
Sandvik AB(1) | 17,848 | 349,023 | |
Securitas AB, Class B(1) | 6,870 | 105,021 | |
Skandinaviska Enskilda Banken AB, Class A(1) | 23,124 | 205,377 | |
Skanska AB, Class B(1) | 6,055 | 127,873 | |
SKF AB, Class B | 6,309 | 130,158 | |
Spotify Technology S.A.(1) | 1,972 | 478,348 | |
Svenska Cellulosa AB SCA, Class B(1) | 11,135 | 152,655 | |
Svenska Handelsbanken AB, Class A(1) | 24,287 | 203,204 | |
Sweco AB, Class B | 1,046 | 57,943 | |
Swedbank AB, Class A(1) | 15,978 | 250,145 | |
Swedish Orphan Biovitrum AB(1) | 2,867 | 69,167 | |
Tele2 AB, Class B | 11,227 | 158,289 | |
Telia Co. AB(2) | 38,591 | 157,881 | |
Volvo AB, Class B(1) | 27,791 | 533,861 | |
$ 7,731,600 | |||
Switzerland — 9.3% | |||
ABB, Ltd. | 30,510 | $ 775,681 | |
Adecco Group AG | 3,069 | 161,937 | |
Alcon, Inc.(1) | 7,829 | 443,870 | |
Baloise Holding AG | 719 | 105,854 |
Security | Shares | Value | |
Switzerland (continued) | |||
Banque Cantonale Vaudoise | 405 | $ 41,100 | |
Barry Callebaut AG | 54 | 120,278 | |
Belimo Holding AG | 8 | 60,400 | |
BKW AG | 296 | 31,522 | |
Chocoladefabriken Lindt & Sprungli AG PC | 22 | 185,701 | |
Cie Financiere Richemont S.A. | 8,073 | 542,044 | |
Clariant AG | 3,526 | 69,558 | |
Coca-Cola HBC AG | 3,473 | 85,758 | |
Emmi AG | 28 | 27,975 | |
EMS-Chemie Holding AG | 109 | 97,933 | |
Flughafen Zuerich AG(1) | 288 | 39,517 | |
Garmin, Ltd. | 2,235 | 212,012 | |
Geberit AG | 570 | 337,226 | |
Givaudan S.A. | 150 | 647,671 | |
Helvetia Holding AG | 557 | 47,459 | |
Julius Baer Group, Ltd. | 2,976 | 126,398 | |
Kuehne & Nagel International AG | 786 | 152,620 | |
Logitech International S.A. | 2,615 | 202,563 | |
Lonza Group AG | 1,210 | 746,734 | |
Nestle S.A. | 46,239 | 5,502,994 | |
Novartis AG | 36,913 | 3,204,946 | |
Partners Group Holding AG | 281 | 258,465 | |
PSP Swiss Property AG | 710 | 85,768 | |
Roche Holding AG | 11,816 | 4,047,459 | |
Schindler Holding AG | 291 | 78,977 | |
Schindler Holding AG PC | 695 | 189,721 | |
SGS S.A. | 112 | 300,142 | |
SIG Combibloc Group AG(1) | 3,695 | 73,882 | |
Sika AG | 3,579 | 878,829 | |
Sonova Holding AG(1) | 888 | 225,033 | |
Straumann Holding AG | 158 | 159,833 | |
Swatch Group AG (The) | 477 | 111,182 | |
Swiss Life Holding AG | 486 | 183,898 | |
Swiss Prime Site AG | 1,230 | 111,708 | |
Swiss Re AG | 4,051 | 300,499 | |
Swisscom AG | 408 | 216,141 | |
TE Connectivity, Ltd. | 5,255 | 513,624 | |
Tecan Group AG | 179 | 89,019 | |
Temenos AG | 904 | 121,502 | |
UBS Group AG | 53,615 | 599,035 | |
VAT Group AG(4) | 421 | 80,308 | |
Vifor Pharma AG | 759 | 103,243 | |
Zurich Insurance Group AG | 2,263 | 789,142 | |
$ 23,487,161 | |||
Taiwan — 3.9% | |||
Advantech Co., Ltd. | 8,499 | $ 86,004 |
Security | Shares | Value | |
Taiwan (continued) | |||
ASE Technology Holding Co., Ltd. | 45,904 | $ 94,511 | |
Catcher Technology Co., Ltd. | 11,000 | 69,503 | |
Cathay Financial Holding Co., Ltd. | 135,357 | 181,207 | |
Chailease Holding Co., Ltd. | 23,720 | 108,656 | |
Chang Hwa Commercial Bank, Ltd. | 86,153 | 51,854 | |
China Steel Corp. | 475,000 | 336,420 | |
Chunghwa Telecom Co., Ltd. | 61,055 | 225,642 | |
CTBC Financial Holding Co., Ltd. | 321,000 | 205,087 | |
Delta Electronics, Inc. | 29,319 | 192,521 | |
E.Sun Financial Holding Co., Ltd. | 184,725 | 164,513 | |
Far Eastern New Century Corp. | 46,000 | 40,412 | |
Far EasTone Telecommunications Co., Ltd. | 28,073 | 59,292 | |
First Financial Holding Co., Ltd. | 159,870 | 114,088 | |
Fubon Financial Holding Co., Ltd. | 109,000 | 158,607 | |
Globalwafers Co., Ltd. | 3,000 | 40,141 | |
Hotai Motor Co., Ltd. | 6,000 | 134,302 | |
Hua Nan Financial Holdings Co., Ltd. | 135,499 | 83,070 | |
Largan Precision Co., Ltd. | 2,000 | 234,219 | |
MediaTek, Inc. | 22,883 | 484,867 | |
Mega Financial Holding Co., Ltd. | 169,668 | 163,757 | |
Nanya Technology Corp. | 16,000 | 32,157 | |
President Chain Store Corp. | 8,828 | 80,353 | |
Quanta Computer, Inc. | 43,398 | 113,961 | |
Shanghai Commercial & Savings Bank, Ltd. (The) | 56,924 | 76,827 | |
Taishin Financial Holding Co., Ltd. | 188,913 | 84,051 | |
Taiwan Cooperative Financial Holding Co., Ltd. | 136,397 | 92,340 | |
Taiwan High Speed Rail Corp. | 24,000 | 26,325 | |
Taiwan Mobile Co., Ltd. | 26,748 | 89,400 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | 367,240 | 5,524,783 | |
Uni-President Enterprises Corp. | 88,000 | 190,587 | |
United Microelectronics Corp. | 171,000 | 168,671 | |
Yageo Corp. | 6,000 | 73,676 | |
Yuanta Financial Holding Co., Ltd. | 197,600 | 122,341 | |
$ 9,904,145 | |||
United Kingdom — 12.1% | |||
3i Group PLC | 18,148 | $ 233,044 | |
Admiral Group PLC | 3,352 | 113,047 | |
Amcor PLC | 34,853 | 385,126 | |
Aon PLC, Class A | 4,688 | 967,134 | |
Ashtead Group PLC | 9,408 | 338,795 | |
Associated British Foods PLC | 8,395 | 202,113 | |
AstraZeneca PLC | 21,770 | 2,378,686 | |
Atlassian Corp. PLC, Class A(1) | 2,551 | 463,746 | |
Auto Trader Group PLC(4) | 20,776 | 150,842 | |
Avast PLC(4) | 12,107 | 82,196 | |
AVEVA Group PLC | 1,083 | 66,798 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Aviva PLC | 75,559 | $ 279,548 | |
B&M European Value Retail S.A. | 16,191 | 103,221 | |
BAE Systems PLC | 67,365 | 418,371 | |
Barratt Developments PLC | 22,329 | 136,937 | |
Berkeley Group Holdings PLC | 2,697 | 147,021 | |
boohoo Group PLC(1) | 21,100 | 101,864 | |
BT Group PLC | 178,106 | 225,593 | |
Bunzl PLC | 6,817 | 220,096 | |
Burberry Group PLC | 7,893 | 158,209 | |
Clarivate PLC(1) | 6,765 | 209,647 | |
Coca-Cola European Partners PLC | 5,125 | 198,901 | |
Compass Group PLC | 43,051 | 646,702 | |
ConvaTec Group PLC(4) | 31,350 | 72,221 | |
Croda International PLC | 2,620 | 211,344 | |
Diageo PLC | 45,730 | 1,570,765 | |
Direct Line Insurance Group PLC | 27,105 | 94,534 | |
DS Smith PLC(1) | 25,609 | 97,291 | |
Farfetch, Ltd., Class A(1)(2) | 5,204 | 130,933 | |
Ferguson PLC | 4,620 | 464,913 | |
GlaxoSmithKline PLC | 92,929 | 1,742,185 | |
Halma PLC | 8,177 | 247,042 | |
Hargreaves Lansdown PLC | 5,982 | 120,331 | |
Hikma Pharmaceuticals PLC | 3,689 | 123,645 | |
HomeServe PLC | 5,219 | 83,164 | |
Howden Joinery Group PLC | 12,272 | 93,403 | |
Informa PLC(1) | 34,887 | 169,086 | |
InterContinental Hotels Group PLC(1) | 4,107 | 215,578 | |
Intermediate Capital Group PLC | 6,043 | 92,941 | |
Intertek Group PLC | 3,867 | 315,534 | |
J Sainsbury PLC | 39,038 | 96,117 | |
JD Sports Fashion PLC | 10,071 | 105,128 | |
Johnson Matthey PLC | 3,748 | 113,894 | |
Kingfisher PLC | 42,222 | 161,727 | |
Legal & General Group PLC | 118,425 | 288,893 | |
Liberty Global PLC, Class A(1) | 11,775 | 247,393 | |
Linde PLC | 9,338 | 2,223,658 | |
Lloyds Banking Group PLC(1) | 1,436,678 | 487,726 | |
London Stock Exchange Group PLC | 6,155 | 706,082 | |
M&G PLC | 51,901 | 106,679 | |
Melrose Industries PLC(1) | 92,496 | 137,158 | |
Mondi PLC | 9,754 | 206,244 | |
National Grid PLC | 81,999 | 941,852 | |
Next PLC | 2,638 | 202,248 | |
NMC Health PLC(1)(2)(5) | 1,955 | 0 | |
Nomad Foods, Ltd.(1) | 3,899 | 99,347 | |
Ocado Group PLC(1) | 14,582 | 515,754 | |
Pearson PLC | 17,617 | 124,968 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Pennon Group PLC | 9,429 | $ 125,448 | |
Persimmon PLC | 7,306 | 232,830 | |
Phoenix Group Holdings PLC | 10,392 | 92,416 | |
Prudential PLC | 51,924 | 745,022 | |
RELX PLC | 44,270 | 985,364 | |
Rentokil Initial PLC(1) | 43,924 | 303,596 | |
Rightmove PLC(1) | 19,069 | 154,161 | |
RSA Insurance Group PLC | 19,773 | 115,451 | |
Sage Group PLC (The) | 21,226 | 197,257 | |
Schroders PLC | 2,731 | 94,847 | |
Severn Trent PLC | 4,884 | 153,771 | |
Smith & Nephew PLC | 18,108 | 354,723 | |
Smiths Group PLC | 8,203 | 145,108 | |
Spirax-Sarco Engineering PLC | 1,741 | 247,921 | |
SSE PLC | 23,236 | 361,649 | |
St. James's Place PLC | 10,823 | 130,205 | |
Standard Chartered PLC(1) | 54,744 | 251,909 | |
Standard Life Aberdeen PLC | 41,657 | 121,313 | |
Taylor Wimpey PLC(1) | 74,729 | 104,493 | |
Tesco PLC | 232,972 | 639,113 | |
Unilever PLC | 43,836 | 2,702,627 | |
United Utilities Group PLC | 14,540 | 160,614 | |
Vodafone Group PLC | 551,931 | 731,545 | |
Whitbread PLC(1) | 5,425 | 148,226 | |
WM Morrison Supermarkets PLC | 54,744 | 120,159 | |
WPP PLC | 29,916 | 234,959 | |
$ 30,492,142 | |||
Total Common Stocks (identified cost $222,258,262) | $ 243,776,221 |
Short-Term Investments — 1.6% |
Other — 1.2% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(6) | 3,089,421 | $ 3,089,730 | |
Total Other (identified cost $3,089,766) | $ 3,089,730 |
Securities Lending Collateral — 0.4% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(7) | 936,893 | $ 936,893 | |
Total Securities Lending Collateral (identified cost $936,893) | $ 936,893 | ||
Total Short-Term Investments (identified cost $4,026,659) | $ 4,026,623 |
Total Investments — 98.3% (identified cost $226,284,921) | $ 247,802,844 | |
Other Assets, Less Liabilities — 1.7% | $ 4,303,780 | |
Net Assets — 100.0% | $ 252,106,624 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets.The country classifications used for financial reporting purposes may differ from the classifications determined by Calvert Research and Management (CRM). | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at September 30, 2020. The aggregate market value of securities on loan at September 30, 2020 was $2,619,694. | |
(3) | Securities are traded on separate exchanges for the same entity. | |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At September 30, 2020, the aggregate value of these securities is $4,433,944 or 1.8% of the Fund's net assets. | |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | |
(6) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2020. | |
(7) | Represents investment of cash collateral received in connection with securities lending. |
Economic Sectors | % of Net Assets |
Financials | 17.1% |
Industrials | 14.2 |
Information Technology | 13.7 |
Health Care | 12.9 |
Consumer Discretionary | 10.9 |
Consumer Staples | 9.9 |
Communication Services | 6.3 |
Materials | 6.1 |
Utilities | 3.5 |
Real Estate | 1.8 |
Energy | 0.3 |
Total | 96.7% |
Abbreviations: | |
ADR | – American Depositary Receipt |
CDI | – CHESS Depositary Interest |
PC | – Participation Certificate |
PFC Shares | – Preference Shares |
September 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $223,195,155) - including $2,619,694 of securities on loan | $ 244,713,114 |
Investments in securities of affiliated issuers, at value (identified cost $3,089,766) | 3,089,730 |
Cash denominated in foreign currency, at value (cost $496,164) | 498,363 |
Receivable for investments sold | 101,875 |
Receivable for capital shares sold | 7,119,997 |
Dividends receivable | 650,727 |
Dividends receivable - affiliated | 102 |
Securities lending income receivable | 2,071 |
Tax reclaims receivable | 270,495 |
Receivable from affiliate | 51,876 |
Directors' deferred compensation plan | 53,098 |
Total assets | $256,551,448 |
Liabilities | |
Payable for investments purchased | $ 3,107,982 |
Payable for capital shares redeemed | 181,711 |
Deposits for securities loaned | 936,893 |
Payable to affiliates: | |
Investment advisory fee | 23,161 |
Administrative fee | 23,161 |
Distribution and service fees | 5,289 |
Sub-transfer agency fee | 2,317 |
Directors' deferred compensation plan | 53,098 |
Accrued expenses | 111,212 |
Total liabilities | $ 4,444,824 |
Net Assets | $252,106,624 |
Sources of Net Assets | |
Paid-in capital | $ 235,928,657 |
Distributable earnings | 16,177,967 |
Total | $252,106,624 |
Class A Shares | |
Net Assets | $ 25,497,018 |
Shares Outstanding | 1,058,886 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 24.08 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 25.28 |
Class I Shares | |
Net Assets | $ 197,394,996 |
Shares Outstanding | 8,080,089 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 24.43 |
September 30, 2020 | |
Class R6 Shares | |
Net Assets | $29,214,610 |
Shares Outstanding | 1,195,932 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 24.43 |
Year Ended | |
September 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $456,975) | $ 3,935,249 |
Dividend income - affiliated issuers | 429 |
Non-cash dividend income | 352,541 |
Interest income | 3,540 |
Securities lending income, net | 16,817 |
Total investment income | $ 4,308,576 |
Expenses | |
Investment advisory fee | $ 210,485 |
Administrative fee | 210,485 |
Distribution and service fees: | |
Class A | 105,452 |
Directors' fees and expenses | 6,993 |
Custodian fees | 66,910 |
Transfer agency fees and expenses | 144,459 |
Accounting fees | 56,427 |
Professional fees | 34,314 |
Registration fees | 75,516 |
Reports to shareholders | 17,012 |
Miscellaneous | 42,230 |
Total expenses | $ 970,283 |
Waiver and/or reimbursement of expenses by affiliate | $ (357,565) |
Reimbursement of expenses - other | (2,149) |
Net expenses | $ 610,569 |
Net investment income | $ 3,698,007 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (1,697,543) |
Investment securities - affiliated issuers | 133 |
Foreign currency transactions | (24,786) |
Net realized loss | $ (1,722,196) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 14,879,973 |
Investment securities - affiliated issuers | (36) |
Foreign currency | 15,876 |
Net change in unrealized appreciation (depreciation) | $14,895,813 |
Net realized and unrealized gain | $13,173,617 |
Net increase in net assets from operations | $16,871,624 |
Year Ended September 30, | ||
2020 | 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 3,698,007 | $ 3,029,086 |
Net realized loss | (1,722,196) | (5,546,347) |
Net change in unrealized appreciation (depreciation) | 14,895,813 | 2,812,928 |
Net increase in net assets from operations | $ 16,871,624 | $ 295,667 |
Distributions to shareholders: | ||
Class A | $ (862,937) | $ (485,837) |
Class I | (1,333,282) | (1,756,165) |
Class R6 | (297,907) | — |
Total distributions to shareholders | $ (2,494,126) | $ (2,242,002) |
Capital share transactions: | ||
Class A | $ (10,359,112) | $ 9,896,812 |
Class I | 118,113,268 | (18,412,010) |
Class R6 | 10,908,920 | 16,859,470 (1) |
Net increase in net assets from capital share transactions | $118,663,076 | $ 8,344,272 |
Net increase in net assets | $133,040,574 | $ 6,397,937 |
Net Assets | ||
At beginning of year | $ 119,066,050 | $ 112,668,113 |
At end of year | $252,106,624 | $119,066,050 |
(1) | For the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
Class A | |||||
Year Ended September 30, | Period Ended September 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 (1) | |
Net asset value — Beginning of period | $ 22.81 | $ 23.18 | $ 23.11 | $ 20.03 | $ 20.00 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.40 | $ 0.56 | $ 0.62 | $ 0.41 | $ 0.43 |
Net realized and unrealized gain (loss) | 1.26 | (0.51) | (0.23) | 3.10 | (0.38) |
Total income from operations | $ 1.66 | $ 0.05 | $ 0.39 | $ 3.51 | $ 0.05 |
Less Distributions | |||||
From net investment income | $ (0.39) | $ (0.42) | $ (0.32) | $ (0.43) | $ (0.02) |
Total distributions | $ (0.39) | $ (0.42) | $ (0.32) | $ (0.43) | $ (0.02) |
Net asset value — End of period | $ 24.08 | $ 22.81 | $ 23.18 | $23.11 | $20.03 |
Total Return(3) | 7.31% | 0.34% | 1.67% | 17.98% | 0.25% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $25,497 | $34,344 | $24,415 | $ 5,968 | $ 3,714 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.74% | 0.89% | 1.03% | 3.00% | 5.53% (6) |
Net expenses | 0.54% | 0.57% | 0.62% | 0.62% | 0.62% (6) |
Net investment income | 1.77% | 2.56% | 2.66% | 1.96% | 2.47% (6) |
Portfolio Turnover | 18% | 51% | 24% | 26% | 35% (4) |
(1) | From October 30, 2015 inception. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
Class I | |||||
Year Ended September 30, | Period Ended September 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 (1) | |
Net asset value — Beginning of period | $ 23.12 | $ 23.47 | $ 23.32 | $ 20.08 | $ 20.00 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.51 | $ 0.60 | $ 0.64 | $ 0.63 | $ 0.51 |
Net realized and unrealized gain (loss) | 1.22 | (0.50) | (0.17) | 3.00 | (0.40) |
Total income from operations | $ 1.73 | $ 0.10 | $ 0.47 | $ 3.63 | $ 0.11 |
Less Distributions | |||||
From net investment income | $ (0.42) | $ (0.45) | $ (0.32) | $ (0.39) | $ (0.03) |
Total distributions | $ (0.42) | $ (0.45) | $ (0.32) | $ (0.39) | $ (0.03) |
Net asset value — End of period | $ 24.43 | $ 23.12 | $ 23.47 | $ 23.32 | $20.08 |
Total Return(3) | 7.55% | 0.60% | 2.04% | 18.42% | 0.56% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $197,395 | $67,854 | $88,253 | $30,815 | $ 2,571 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.49% | 0.64% | 0.79% | 1.43% | 4.81% (6) |
Net expenses | 0.29% | 0.29% | 0.27% | 0.27% | 0.27% (6) |
Net investment income | 2.22% | 2.73% | 2.71% | 2.85% | 2.90% (6) |
Portfolio Turnover | 18% | 51% | 24% | 26% | 35% (4) |
(1) | From October 30, 2015 inception. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
Class R6 | ||
Year Ended September 30, | Period Ended September 30, | |
2020 | 2019 (1) | |
Net asset value — Beginning of period | $ 23.12 | $ 21.50 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.49 | $ 0.51 |
Net realized and unrealized gain | 1.25 | 1.11 |
Total income from operations | $ 1.74 | $ 1.62 |
Less Distributions | ||
From net investment income | $ (0.43) | $ — |
Total distributions | $ (0.43) | $ — |
Net asset value — End of period | $ 24.43 | $ 23.12 |
Total Return(3) | 7.59% | 7.54% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $29,215 | $16,867 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses | 0.46% | 0.56% (6) |
Net expenses | 0.26% | 0.26% (6) |
Net investment income | 2.13% | 3.40% (6) |
Portfolio Turnover | 18% | 51% (7) |
(1) | For the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
(7) | For the year ended September 30, 2019. |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | ||||
Australia | $ — | $ 11,714,999 | $ — | $ 11,714,999 |
Austria | — | 244,743 | — | 244,743 |
Belgium | 8,810 | 1,846,096 | — | 1,854,906 |
Canada | 19,294,208 | — | — | 19,294,208 |
China | — | 380,981 | — | 380,981 |
Denmark | 132,407 | 5,219,106 | — | 5,351,513 |
Finland | — | 3,119,387 | — | 3,119,387 |
France | — | 20,503,287 | — | 20,503,287 |
Germany | 174,661 | 18,391,264 | — | 18,565,925 |
Hong Kong | — | 5,745,887 | — | 5,745,887 |
Ireland | 138,731 | 2,655,202 | — | 2,793,933 |
Israel | 462,038 | 535,324 | — | 997,362 |
Italy | — | 4,603,737 | — | 4,603,737 |
Japan | — | 48,982,251 | — | 48,982,251 |
Netherlands | 825,401 | 8,999,169 | — | 9,824,570 |
New Zealand | — | 669,530 | — | 669,530 |
Norway | — | 1,416,709 | — | 1,416,709 |
Portugal | — | 391,242 | — | 391,242 |
Singapore | 108,749 | 1,753,326 | — | 1,862,075 |
South Korea | — | 8,924,797 | — | 8,924,797 |
Spain | — | 4,919,131 | — | 4,919,131 |
Sweden | 478,348 | 7,253,252 | — | 7,731,600 |
Switzerland | 725,636 | 22,761,525 | — | 23,487,161 |
Taiwan | — | 9,904,145 | — | 9,904,145 |
United Kingdom | 4,925,885 | 25,566,257 | 0 | 30,492,142 |
Total Common Stocks | $27,274,874 | $216,501,347 (2) | $ 0 | $243,776,221 |
Short-Term Investments: | ||||
Other | $ — | $ 3,089,730 | $ — | $ 3,089,730 |
Securities Lending Collateral | 936,893 | — | — | 936,893 |
Total Investments | $28,211,767 | $219,591,077 | $ 0 | $247,802,844 |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Year Ended September 30, | ||
2020 | 2019 | |
Ordinary income | $2,494,126 | $2,242,002 |
Undistributed ordinary income | $ 2,958,056 |
Deferred capital losses | $ (3,390,825) |
Net unrealized appreciation | $16,610,736 |
Aggregate cost | $231,204,949 |
Gross unrealized appreciation | $ 30,580,548 |
Gross unrealized depreciation | (13,982,653) |
Net unrealized appreciation | $ 16,597,895 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $936,893 | $ — | $ — | $ — | $936,893 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $26,834,037 | $(23,744,404) | $133 | $(36) | $3,089,730 | $429 | 3,089,421 |
Year Ended September 30, 2020 | Year Ended September 30, 2019(1) | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,666,725 | $ 37,108,830 | 703,350 | $ 15,299,942 | |
Reinvestment of distributions | 13,236 | 309,465 | 10,990 | 232,322 | |
Shares redeemed | (2,126,600) | (47,777,407) | (261,852) | (5,635,452) | |
Net increase (decrease) | (446,639) | $ (10,359,112) | 452,488 | $ 9,896,812 | |
Class I | |||||
Shares sold | 6,668,939 | $ 152,117,737 | 1,993,882 | $ 43,601,493 | |
Reinvestment of distributions | 56,217 | 1,331,213 | 82,038 | 1,753,971 | |
Shares redeemed | (1,580,120) | (35,335,682) | (2,901,221) | (63,767,474) | |
Net increase (decrease) | 5,145,036 | $118,113,268 | (825,301) | $(18,412,010) | |
Class R6 | |||||
Shares sold | 532,864 | $ 12,387,147 | 1,337,787 | $ 30,718,857 | |
Reinvestment of distributions | 12,586 | 297,907 | — | — | |
Shares redeemed | (79,153) | (1,776,134) | (608,152) | (13,859,387) | |
Net increase | 466,297 | $ 10,908,920 | 729,635 | $ 16,859,470 |
(1) | For Class R6, for the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
Calvert Responsible Index Series, Inc.:
November 20, 2020
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Interested Director | ||||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. | |
Independent Directors | ||||
Richard L. Baird, Jr. 1948 | Director | 2000 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships in the Last Five Years. None. | |
Alice Gresham Bullock 1950 | Chair & Director | 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships in the Last Five Years. None. | |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. | |
John G. Guffey, Jr.(2) 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. | |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999-September 2014). Other Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). | |
Joy V. Jones 1950 | Director | 2000 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Independent Directors (continued) | ||||
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships in the Last Five Years. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
Name and Year of Birth | Corporation Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years | |
Principal Officers who are not Directors | ||||
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). | |
Maureen A. Gemma(3) 1960 | Secretary, Vice President and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 156 registered investment companies advised or administered by Eaton Vance. | |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | ||||
(2) Mr. Guffey is currently married to Rebecca L. Adamson, who served as a member of the Advisory Council through December 31, 2019. | ||||
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. |
• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
Item 2. | Code of Ethics |
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. | Audit Committee Financial Expert |
The registrant’s Board of Directors has determined that Miles D. Harper III, an “independent” Director serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert.
The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Directors in the absence of such designation or identification.
Item 4. | Principal Accountant Fees and Services |
(a) –(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended September 30, 2019 and September 30, 2020 by KPMG for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by KPMG during such periods.
Fiscal Years Ended | 9/30/19 | %* | 9/30/20 | %* | ||||||||||||
Audit Fees | $ | 109,859 | 0 | % | $ | 113,105 | 0 | % | ||||||||
Audit-Related Fees(1) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees(2) | $ | 26,500 | 0 | % | $ | 19,600 | 0 | % | ||||||||
All Other Fees(3) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
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Total | $ | 136,359 | 0 | % | $ | 132,705 | 0 | % | ||||||||
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* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve). |
(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e) The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment adviser in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant:
Fiscal Year ended 9/30/19 | Fiscal Year ended 9/30/20 | |||||
$ | %* | $ | %* | |||
$26,500 | 0% | $19,600 | 0% |
* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Schedule of Investments |
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
No material changes.
Item 11. | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
Treasurer’s Section 302 certification. | ||
President’s Section 302 certification. | ||
Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT RESPONSIBLE INDEX SERIES, INC. | ||
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | November 20, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | November 20, 2020 | |
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | November 20, 2020 |