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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments (Unaudited)
Common Stocks — 99.4% |
Security | Shares | Value | |
Aerospace & Defense — 0.1% | |||
Curtiss-Wright Corp. | 5,220 | $ 607,347 | |
Hexcel Corp. | 14,758 | 715,615 | |
$ 1,322,962 | |||
Air Freight & Logistics — 1.7% | |||
C.H. Robinson Worldwide, Inc. | 13,219 | $ 1,240,867 | |
Expeditors International of Washington, Inc. | 2,170 | 206,389 | |
FedEx Corp. | 22,217 | 5,767,978 | |
United Parcel Service, Inc., Class B | 49,688 | 8,367,459 | |
XPO Logistics, Inc.(1) | 8,738 | 1,041,570 | |
$16,624,263 | |||
Airlines — 0.8% | |||
Alaska Air Group, Inc. | 14,817 | $770,484 | |
Delta Air Lines, Inc. | 78,236 | 3,145,870 | |
JetBlue Airways Corp.(1) | 34,639 | 503,651 | |
Southwest Airlines Co. | 72,296 | 3,369,716 | |
$7,789,721 | |||
Auto Components — 0.8% | |||
Aptiv PLC | 32,753 | $4,267,388 | |
Autoliv, Inc. | 11,054 | 1,018,073 | |
BorgWarner, Inc. | 28,965 | 1,119,208 | |
Gentex Corp. | 11,057 | 375,164 | |
Lear Corp. | 7,295 | 1,160,124 | |
$7,939,957 | |||
Automobiles — 0.6% | |||
Ford Motor Co. | 464,437 | $4,082,401 | |
Harley-Davidson, Inc. | 17,114 | 628,084 | |
Thor Industries, Inc.(2) | 6,851 | 637,075 | |
$5,347,560 | |||
Banks — 12.3% | |||
Bank of America Corp. | 658,464 | $19,958,044 | |
Bank OZK | 14,221 | 444,691 | |
BOK Financial Corp. | 2,683 | 183,732 | |
Citigroup, Inc. | 190,320 | 11,735,131 | |
Citizens Financial Group, Inc. | 43,940 | 1,571,294 | |
Comerica, Inc. | 15,286 | 853,876 | |
Commerce Bancshares, Inc. | 9,735 | 639,589 | |
Community Bank System, Inc. | 6,285 | 391,618 | |
Cullen/Frost Bankers, Inc. | 5,919 | 516,314 | |
East West Bancorp, Inc. | 14,526 | 736,613 |
Security | Shares | Value | |
Banks (continued) | |||
Fifth Third Bancorp | 73,318 | $ 2,021,377 | |
First Citizens Bancshares, Inc., Class A | 545 | 312,977 | |
First Financial Bankshares, Inc. | 6,798 | 245,918 | |
First Horizon Corp. | 53,426 | 681,716 | |
First Republic Bank | 10,497 | 1,542,324 | |
Glacier Bancorp, Inc. | 10,665 | 490,697 | |
Huntington Bancshares, Inc. | 103,800 | 1,310,994 | |
JPMorgan Chase & Co. | 251,030 | 31,898,382 | |
KeyCorp | 100,499 | 1,649,189 | |
M&T Bank Corp. | 13,189 | 1,678,960 | |
People's United Financial, Inc. | 40,725 | 526,574 | |
Pinnacle Financial Partners, Inc. | 7,024 | 452,346 | |
PNC Financial Services Group, Inc. (The) | 43,337 | 6,457,213 | |
Popular, Inc. | 9,513 | 535,772 | |
Prosperity Bancshares, Inc. | 9,131 | 633,326 | |
Regions Financial Corp. | 98,942 | 1,594,945 | |
Signature Bank | 5,542 | 749,777 | |
SVB Financial Group(1) | 2,872 | 1,113,848 | |
Synovus Financial Corp. | 14,027 | 454,054 | |
TCF Financial Corp. | 16,008 | 592,616 | |
Truist Financial Corp. | 135,775 | 6,507,696 | |
U.S. Bancorp | 150,465 | 7,010,164 | |
United Bankshares, Inc. | 14,839 | 480,784 | |
Valley National Bancorp | 45,496 | 443,586 | |
Wells Fargo & Co. | 378,697 | 11,429,075 | |
Western Alliance Bancorp | 9,049 | 542,488 | |
Zions Bancorp NA | 18,065 | 784,744 | |
$119,172,444 | |||
Beverages — 3.0% | |||
Coca-Cola Co. (The) | 282,839 | $15,510,891 | |
Keurig Dr Pepper, Inc. | 80,201 | 2,566,432 | |
PepsiCo, Inc. | 72,780 | 10,793,274 | |
$28,870,597 | |||
Biotechnology — 3.5% | |||
AbbVie, Inc. | 62,242 | $6,669,230 | |
ACADIA Pharmaceuticals, Inc.(1) | 4,958 | 265,055 | |
Agios Pharmaceuticals, Inc.(1) | 8,433 | 365,402 | |
Allakos, Inc.(1)(2) | 4,073 | 570,220 | |
Allogene Therapeutics, Inc.(1) | 9,487 | 239,452 | |
Alnylam Pharmaceuticals, Inc.(1) | 5,389 | 700,408 | |
Amgen, Inc. | 22,442 | 5,159,865 | |
Biogen, Inc.(1) | 413 | 101,127 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 7,442 | 637,854 | |
BioMarin Pharmaceutical, Inc.(1) | 3,729 | 326,996 |
1
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Biotechnology (continued) | |||
Blueprint Medicines Corp.(1) | 7,376 | $ 827,218 | |
Bridgebio Pharma, Inc.(1)(2) | 9,988 | 710,247 | |
ChemoCentryx, Inc.(1) | 7,092 | 439,137 | |
Deciphera Pharmaceuticals, Inc.(1) | 5,330 | 304,183 | |
Denali Therapeutics, Inc.(1) | 10,152 | 850,331 | |
FibroGen, Inc.(1)(2) | 7,104 | 263,487 | |
Gilead Sciences, Inc. | 108,729 | 6,334,552 | |
Global Blood Therapeutics, Inc.(1) | 8,904 | 385,632 | |
Halozyme Therapeutics, Inc.(1)(2) | 13,862 | 592,046 | |
Iovance Biotherapeutics, Inc.(1) | 18,397 | 853,621 | |
Mirati Therapeutics, Inc.(1) | 6,419 | 1,409,869 | |
Moderna, Inc.(1) | 35,054 | 3,662,091 | |
Natera, Inc.(1) | 10,498 | 1,044,761 | |
Sarepta Therapeutics, Inc.(1) | 79 | 13,469 | |
United Therapeutics Corp.(1) | 5,816 | 882,811 | |
Vir Biotechnology, Inc.(1)(2) | 6,713 | 179,774 | |
$33,788,838 | |||
Building Products — 0.6% | |||
Advanced Drainage Systems, Inc. | 2,437 | $203,685 | |
Fortune Brands Home & Security, Inc. | 9,798 | 839,885 | |
Masco Corp. | 2,566 | 140,950 | |
Trane Technologies PLC | 27,100 | 3,933,836 | |
UFP Industries, Inc. | 6,017 | 334,244 | |
$5,452,600 | |||
Capital Markets — 6.1% | |||
Affiliated Managers Group, Inc. | 4,109 | $417,885 | |
Ameriprise Financial, Inc. | 12,153 | 2,361,693 | |
Bank of New York Mellon Corp. (The) | 93,769 | 3,979,556 | |
BlackRock, Inc. | 10,401 | 7,504,738 | |
Charles Schwab Corp. (The) | 134,484 | 7,133,031 | |
CME Group, Inc. | 19,659 | 3,578,921 | |
Franklin Resources, Inc. | 27,364 | 683,826 | |
Goldman Sachs Group, Inc. (The) | 32,410 | 8,546,841 | |
Houlihan Lokey, Inc. | 1,654 | 111,199 | |
Interactive Brokers Group, Inc., Class A | 5,723 | 348,645 | |
Intercontinental Exchange, Inc. | 28,965 | 3,339,375 | |
Invesco, Ltd. | 41,732 | 727,389 | |
KKR & Co., Inc. | 56,063 | 2,269,991 | |
Lazard, Ltd., Class A | 11,309 | 478,371 | |
LPL Financial Holdings, Inc. | 5,101 | 531,626 | |
Morgan Stanley | 137,029 | 9,390,597 | |
Northern Trust Corp. | 21,114 | 1,966,558 | |
Raymond James Financial, Inc. | 12,499 | 1,195,779 | |
State Street Corp. | 36,221 | 2,636,164 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Stifel Financial Corp. | 11,404 | $ 575,446 | |
T. Rowe Price Group, Inc. | 3,942 | 596,779 | |
Virtu Financial, Inc., Class A | 7,697 | 193,734 | |
$ 58,568,144 | |||
Chemicals — 1.9% | |||
Air Products & Chemicals, Inc. | 14,808 | $ 4,045,842 | |
Ashland Global Holdings, Inc. | 10,558 | 836,194 | |
Axalta Coating Systems, Ltd.(1) | 16,993 | 485,150 | |
Celanese Corp. | 13,551 | 1,760,817 | |
Eastman Chemical Co. | 23,120 | 2,318,474 | |
Ecolab, Inc. | 12,056 | 2,608,436 | |
Huntsman Corp. | 34,131 | 858,053 | |
International Flavors & Fragrances, Inc.(2) | 12,920 | 1,406,213 | |
Mosaic Co. (The) | 21,455 | 493,680 | |
PPG Industries, Inc. | 19,864 | 2,864,786 | |
Quaker Chemical Corp.(2) | 286 | 72,469 | |
WR Grace & Co. | 6,215 | 340,706 | |
$18,090,820 | |||
Commercial Services & Supplies — 0.7% | |||
ADT, Inc. | 545 | $4,278 | |
Cintas Corp. | 63 | 22,268 | |
MSA Safety, Inc. | 1,141 | 170,454 | |
Republic Services, Inc. | 25,368 | 2,442,939 | |
Tetra Tech, Inc. | 4,260 | 493,223 | |
UniFirst Corp. | 851 | 180,148 | |
Waste Management, Inc. | 28,644 | 3,377,987 | |
$6,691,297 | |||
Communications Equipment — 1.1% | |||
Cisco Systems, Inc. | 215,647 | $9,650,203 | |
Juniper Networks, Inc. | 33,662 | 757,732 | |
Motorola Solutions, Inc. | 3,734 | 635,004 | |
$11,042,939 | |||
Construction & Engineering — 0.6% | |||
AECOM(1) | 33,033 | $1,644,383 | |
EMCOR Group, Inc. | 12,500 | 1,143,250 | |
MasTec, Inc.(1) | 12,847 | 875,908 | |
Quanta Services, Inc. | 30,400 | 2,189,408 | |
$5,852,949 | |||
Construction Materials — 0.5% | |||
Martin Marietta Materials, Inc. | 8,362 | $2,374,557 |
2
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Construction Materials (continued) | |||
Vulcan Materials Co. | 15,163 | $ 2,248,825 | |
$ 4,623,382 | |||
Consumer Finance — 2.0% | |||
Ally Financial, Inc. | 38,441 | $ 1,370,806 | |
American Express Co. | 56,427 | 6,822,589 | |
Capital One Financial Corp. | 47,964 | 4,741,241 | |
Credit Acceptance Corp.(1)(2) | 239 | 82,728 | |
Discover Financial Services | 32,655 | 2,956,257 | |
FirstCash, Inc. | 2,224 | 155,769 | |
OneMain Holdings, Inc. | 9,975 | 480,396 | |
Santander Consumer USA Holdings, Inc. | 7,255 | 159,755 | |
SLM Corp. | 35,395 | 438,544 | |
Synchrony Financial | 60,151 | 2,087,841 | |
$19,295,926 | |||
Containers & Packaging — 1.2% | |||
AptarGroup, Inc. | 4,480 | $613,267 | |
Avery Dennison Corp. | 11,909 | 1,847,205 | |
Ball Corp. | 6,631 | 617,877 | |
Berry Global Group, Inc.(1) | 17,638 | 991,079 | |
Crown Holdings, Inc.(1) | 14,578 | 1,460,716 | |
Graphic Packaging Holding Co. | 23,853 | 404,070 | |
Packaging Corp. of America | 16,072 | 2,216,489 | |
Silgan Holdings, Inc. | 11,546 | 428,126 | |
Sonoco Products Co. | 16,918 | 1,002,391 | |
WestRock Co. | 44,588 | 1,940,916 | |
$11,522,136 | |||
Distributors — 0.3% | |||
Genuine Parts Co. | 14,540 | $1,460,252 | |
LKQ Corp.(1) | 31,791 | 1,120,315 | |
$2,580,567 | |||
Diversified Consumer Services — 0.2% | |||
Bright Horizons Family Solutions, Inc.(1) | 1,225 | $211,913 | |
Chegg, Inc.(1)(2) | 118 | 10,659 | |
Grand Canyon Education, Inc.(1) | 1,017 | 94,693 | |
H&R Block, Inc. | 15,179 | 240,739 | |
Service Corp. International | 18,370 | 901,967 | |
Strategic Education, Inc. | 913 | 87,036 | |
Terminix Global Holdings, Inc.(1) | 12,434 | 634,258 | |
$2,181,265 | |||
Diversified Financial Services — 0.3% | |||
Cannae Holdings, Inc.(1) | 8,039 | $355,887 |
Security | Shares | Value | |
Diversified Financial Services (continued) | |||
Equitable Holdings, Inc. | 41,631 | $ 1,065,337 | |
Jefferies Financial Group, Inc. | 28,576 | 702,970 | |
Voya Financial, Inc. | 13,977 | 821,987 | |
$ 2,946,181 | |||
Diversified Telecommunication Services — 4.1% | |||
AT&T, Inc. | 609,954 | $ 17,542,277 | |
CenturyLink, Inc. | 122,469 | 1,194,073 | |
Cogent Communications Holdings, Inc. | 1,417 | 84,836 | |
Verizon Communications, Inc. | 349,251 | 20,518,496 | |
$39,339,682 | |||
Electric Utilities — 2.2% | |||
Alliant Energy Corp. | 45,332 | $2,335,958 | |
Avangrid, Inc. | 12,789 | 581,260 | |
Eversource Energy | 40,189 | 3,476,750 | |
Hawaiian Electric Industries, Inc. | 24,272 | 858,986 | |
NextEra Energy, Inc. | 112,260 | 8,660,859 | |
Portland General Electric Co. | 21,032 | 899,539 | |
Xcel Energy, Inc. | 60,864 | 4,057,803 | |
$20,871,155 | |||
Electrical Equipment — 1.7% | |||
Acuity Brands, Inc. | 6,446 | $780,546 | |
AMETEK, Inc. | 9,632 | 1,164,894 | |
Eaton Corp. PLC | 43,115 | 5,179,836 | |
Emerson Electric Co. | 54,353 | 4,368,351 | |
Hubbell, Inc. | 7,940 | 1,244,913 | |
nVent Electric PLC | 29,727 | 692,342 | |
Regal Beloit Corp. | 6,739 | 827,616 | |
Rockwell Automation, Inc. | 4,094 | 1,026,816 | |
Sensata Technologies Holding PLC(1) | 12,838 | 677,076 | |
$15,962,390 | |||
Electronic Equipment, Instruments & Components — 0.6% | |||
Amphenol Corp., Class A | 11,598 | $1,516,670 | |
Arrow Electronics, Inc.(1) | 7,713 | 750,475 | |
Avnet, Inc. | 10,602 | 372,236 | |
Dolby Laboratories, Inc., Class A | 3,705 | 359,867 | |
IPG Photonics Corp.(1) | 386 | 86,383 | |
Jabil, Inc. | 11,062 | 470,467 | |
Littelfuse, Inc. | 2,654 | 675,868 | |
National Instruments Corp. | 9,943 | 436,895 | |
SYNNEX Corp. | 4,477 | 364,607 | |
Trimble, Inc.(1) | 8,106 | 541,238 | |
$5,574,706 |
3
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Entertainment — 1.9% | |||
Activision Blizzard, Inc. | 22,189 | $ 2,060,248 | |
Liberty Formula One Group, Series C(1) | 3,707 | 157,918 | |
Live Nation Entertainment, Inc.(1) | 4,846 | 356,084 | |
Madison Square Garden Sports Corp., Class A(1) | 168 | 30,929 | |
Walt Disney Co. (The)(1) | 86,793 | 15,725,156 | |
$ 18,330,335 | |||
Food & Staples Retailing — 3.6% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 14,263 | $ 531,725 | |
Casey's General Stores, Inc. | 4,014 | 716,981 | |
Costco Wholesale Corp. | 17,586 | 6,626,053 | |
Kroger Co. (The) | 104,293 | 3,312,346 | |
Performance Food Group Co.(1) | 18,133 | 863,312 | |
Sprouts Farmers Market, Inc.(1) | 12,373 | 248,697 | |
Sysco Corp. | 60,061 | 4,460,130 | |
US Foods Holding Corp.(1) | 28,947 | 964,224 | |
Walmart, Inc. | 116,453 | 16,786,700 | |
$34,510,168 | |||
Food Products — 3.0% | |||
Beyond Meat, Inc.(1)(2) | 6,880 | $860,000 | |
Bunge, Ltd. | 14,405 | 944,680 | |
Campbell Soup Co. | 20,342 | 983,536 | |
Conagra Brands, Inc. | 66,768 | 2,421,008 | |
Darling Ingredients, Inc.(1) | 22,961 | 1,324,390 | |
Flowers Foods, Inc. | 14,217 | 321,731 | |
General Mills, Inc. | 67,661 | 3,978,467 | |
Hain Celestial Group, Inc. (The)(1) | 10,428 | 418,684 | |
Hershey Co. (The) | 5,467 | 832,788 | |
Hormel Foods Corp.(2) | 22,228 | 1,036,047 | |
Ingredion, Inc. | 9,578 | 753,501 | |
JM Smucker Co. (The) | 13,545 | 1,565,802 | |
Kellogg Co. | 27,761 | 1,727,567 | |
Kraft Heinz Co. (The) | 92,716 | 3,213,537 | |
Lamb Weston Holdings, Inc. | 4,584 | 360,944 | |
Lancaster Colony Corp. | 302 | 55,486 | |
McCormick & Co., Inc. | 14,121 | 1,349,968 | |
Mondelez International, Inc., Class A | 102,417 | 5,988,322 | |
Post Holdings, Inc.(1) | 4,111 | 415,252 | |
TreeHouse Foods, Inc.(1) | 7,563 | 321,352 | |
$28,873,062 | |||
Gas Utilities — 0.5% | |||
New Jersey Resources Corp. | 21,187 | $753,198 | |
ONE Gas, Inc. | 9,087 | 697,609 | |
Southwest Gas Holdings, Inc. | 12,927 | 785,315 |
Security | Shares | Value | |
Gas Utilities (continued) | |||
Spire, Inc. | 10,791 | $ 691,056 | |
UGI Corp. | 47,141 | 1,648,049 | |
$ 4,575,227 | |||
Health Care Equipment & Supplies — 2.8% | |||
Abbott Laboratories | 23,602 | $ 2,584,183 | |
Baxter International, Inc. | 9,583 | 768,940 | |
Danaher Corp. | 23,038 | 5,117,661 | |
Edwards Lifesciences Corp.(1) | 13,278 | 1,211,352 | |
Envista Holdings Corp.(1) | 21,319 | 719,090 | |
Hill-Rom Holdings, Inc. | 396 | 38,796 | |
Hologic, Inc.(1) | 20,817 | 1,516,102 | |
iRhythm Technologies, Inc.(1) | 1,287 | 305,289 | |
Medtronic PLC | 96,467 | 11,300,145 | |
Nevro Corp.(1) | 4,442 | 768,910 | |
NuVasive, Inc.(1) | 1,740 | 98,014 | |
STERIS PLC | 214 | 40,562 | |
Stryker Corp. | 7,941 | 1,945,863 | |
Tandem Diabetes Care, Inc.(1) | 8,084 | 773,477 | |
Teleflex, Inc. | 111 | 45,684 | |
Zimmer Biomet Holdings, Inc. | 1,113 | 171,502 | |
$27,405,570 | |||
Health Care Providers & Services — 3.5% | |||
Anthem, Inc. | 22,400 | $7,192,416 | |
Centene Corp.(1) | 57,788 | 3,469,014 | |
CVS Health Corp. | 123,825 | 8,457,248 | |
DaVita, Inc.(1) | 11,096 | 1,302,670 | |
Encompass Health Corp. | 8,006 | 662,016 | |
Guardant Health, Inc.(1) | 11,966 | 1,542,178 | |
HCA Healthcare, Inc. | 27,296 | 4,489,100 | |
Henry Schein, Inc.(1) | 18,905 | 1,263,988 | |
Humana, Inc. | 8,060 | 3,306,776 | |
LHC Group, Inc.(1) | 405 | 86,395 | |
Molina Healthcare, Inc.(1) | 3,403 | 723,750 | |
Quest Diagnostics, Inc. | 14,766 | 1,759,664 | |
$34,255,215 | |||
Health Care Technology — 0.0%(3) | |||
Omnicell, Inc.(1) | 457 | $54,849 | |
$54,849 | |||
Hotels, Restaurants & Leisure — 1.2% | |||
Aramark | 30,220 | $1,162,866 | |
Choice Hotels International, Inc. | 277 | 29,564 | |
Darden Restaurants, Inc. | 18,024 | 2,147,019 |
4
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Hyatt Hotels Corp., Class A | 3,686 | $ 273,685 | |
Marriott International, Inc., Class A | 22,106 | 2,916,224 | |
Royal Caribbean Cruises, Ltd. | 22,602 | 1,688,143 | |
Texas Roadhouse, Inc. | 6,690 | 522,890 | |
Vail Resorts, Inc. | 2,506 | 699,074 | |
Wendy's Co. (The) | 6,436 | 141,077 | |
Wyndham Destinations, Inc. | 10,472 | 469,774 | |
Wyndham Hotels & Resorts, Inc. | 6,861 | 407,818 | |
Yum! Brands, Inc. | 9,785 | 1,062,260 | |
$11,520,394 | |||
Household Durables — 0.5% | |||
Helen of Troy, Ltd.(1) | 204 | $45,327 | |
KB Home | 19,297 | 646,835 | |
Leggett & Platt, Inc. | 14,341 | 635,306 | |
Mohawk Industries, Inc.(1) | 5,746 | 809,899 | |
Newell Brands, Inc. | 39,095 | 829,987 | |
Tempur Sealy International, Inc.(1) | 13,833 | 373,491 | |
TopBuild Corp.(1) | 95 | 17,487 | |
Whirlpool Corp. | 6,332 | 1,142,863 | |
$4,501,195 | |||
Household Products — 0.7% | |||
Church & Dwight Co., Inc. | 4,418 | $385,382 | |
Clorox Co. (The) | 2,978 | 601,318 | |
Colgate-Palmolive Co. | 12,643 | 1,081,103 | |
Energizer Holdings, Inc. | 860 | 36,275 | |
Kimberly-Clark Corp. | 17,876 | 2,410,221 | |
Procter & Gamble Co. (The) | 17,247 | 2,399,747 | |
$6,914,046 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||
AES Corp. (The) | 108,152 | $2,541,572 | |
Clearway Energy, Inc., Class C | 21,943 | 700,640 | |
Ormat Technologies, Inc. | 5,699 | 514,506 | |
$3,756,718 | |||
Industrial Conglomerates — 1.0% | |||
3M Co. | 42,464 | $7,422,283 | |
Carlisle Cos., Inc. | 8,463 | 1,321,751 | |
Roper Technologies, Inc. | 1,227 | 528,947 | |
$9,272,981 | |||
Insurance — 4.3% | |||
Aflac, Inc. | 68,868 | $3,062,560 | |
Allstate Corp. (The) | 32,296 | 3,550,299 |
Security | Shares | Value | |
Insurance (continued) | |||
American Financial Group, Inc. | 8,418 | $ 737,585 | |
American International Group, Inc. | 91,887 | 3,478,842 | |
Arch Capital Group, Ltd.(1) | 40,749 | 1,469,816 | |
Assurant, Inc. | 6,518 | 887,882 | |
Axis Capital Holdings, Ltd. | 8,898 | 448,370 | |
Brighthouse Financial, Inc.(1) | 9,571 | 346,518 | |
Brown & Brown, Inc. | 8,683 | 411,661 | |
Everest Re Group, Ltd. | 4,061 | 950,640 | |
First American Financial Corp. | 10,499 | 542,063 | |
Globe Life, Inc. | 10,572 | 1,003,917 | |
Hanover Insurance Group, Inc. (The) | 4,287 | 501,236 | |
Hartford Financial Services Group, Inc. (The) | 36,888 | 1,806,774 | |
Kemper Corp. | 6,214 | 477,422 | |
Lincoln National Corp. | 19,912 | 1,001,773 | |
Marsh & McLennan Cos., Inc. | 9,565 | 1,119,105 | |
MetLife, Inc. | 81,663 | 3,834,078 | |
Primerica, Inc. | 2,476 | 331,611 | |
Principal Financial Group, Inc. | 28,254 | 1,401,681 | |
Progressive Corp. (The) | 33,657 | 3,328,004 | |
Prudential Financial, Inc. | 42,209 | 3,295,257 | |
Reinsurance Group of America, Inc. | 7,502 | 869,482 | |
RenaissanceRe Holdings, Ltd. | 1,538 | 255,031 | |
RLI Corp. | 1,133 | 118,002 | |
Selective Insurance Group, Inc. | 6,424 | 430,280 | |
Travelers Cos., Inc. (The) | 26,796 | 3,761,355 | |
Unum Group | 23,030 | 528,308 | |
White Mountains Insurance Group, Ltd. | 331 | 331,218 | |
Willis Towers Watson PLC | 7,668 | 1,615,494 | |
$41,896,264 | |||
Interactive Media & Services — 0.2% | |||
ANGI Homeservices, Inc., Class A(1)(2) | 5,173 | $68,258 | |
Snap, Inc., Class A(1) | 30,517 | 1,527,986 | |
$1,596,244 | |||
Internet & Direct Marketing Retail — 0.6% | |||
Chewy, Inc., Class A(1)(2) | 7,271 | $653,590 | |
eBay, Inc. | 67,424 | 3,388,056 | |
Qurate Retail, Inc., Series A | 9,590 | 105,202 | |
Wayfair, Inc., Class A(1)(2) | 5,795 | 1,308,569 | |
$5,455,417 | |||
IT Services — 2.8% | |||
Accenture PLC, Class A | 4,173 | $1,090,029 | |
Amdocs, Ltd. | 10,681 | 757,603 | |
Automatic Data Processing, Inc. | 22,102 | 3,894,372 |
5
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
IT Services (continued) | |||
Booz Allen Hamilton Holding Corp., Class A | 3,481 | $ 303,474 | |
Broadridge Financial Solutions, Inc. | 576 | 88,243 | |
Cognizant Technology Solutions Corp., Class A | 31,176 | 2,554,873 | |
Concentrix Corp.(1) | 6,664 | 657,737 | |
DXC Technology Co. | 28,678 | 738,459 | |
Fastly, Inc., Class A(1)(2) | 10,126 | 884,709 | |
Genpact, Ltd. | 6,435 | 266,152 | |
GoDaddy, Inc., Class A(1) | 5,249 | 435,405 | |
International Business Machines Corp. | 81,617 | 10,273,948 | |
LiveRamp Holdings, Inc.(1) | 6,839 | 500,546 | |
ManTech International Corp. / VA, Class A | 1,448 | 128,785 | |
MAXIMUS, Inc. | 1,438 | 105,247 | |
Okta, Inc.(1) | 5,667 | 1,440,891 | |
Paychex, Inc. | 16,310 | 1,519,766 | |
Perspecta, Inc. | 5,399 | 130,008 | |
Science Applications International Corp. | 4,374 | 413,955 | |
Switch, Inc., Class A | 2,845 | 46,573 | |
Twilio, Inc., Class A(1) | 3,710 | 1,255,835 | |
$27,486,610 | |||
Leisure Products — 0.6% | |||
Hasbro, Inc. | 12,866 | $1,203,486 | |
Mattel, Inc.(1) | 26,089 | 455,253 | |
Peloton Interactive, Inc., Class A(1) | 24,828 | 3,766,904 | |
$5,425,643 | |||
Life Sciences Tools & Services — 0.2% | |||
10X Genomics, Inc., Class A(1) | 8,380 | $1,186,608 | |
Adaptive Biotechnologies Corp.(1) | 10,999 | 650,371 | |
Bruker Corp. | 723 | 39,136 | |
Syneos Health, Inc.(1) | 2,779 | 189,333 | |
$2,065,448 | |||
Machinery — 5.9% | |||
AGCO Corp. | 11,009 | $1,134,918 | |
Allison Transmission Holdings, Inc. | 8,292 | 357,634 | |
Caterpillar, Inc. | 50,600 | 9,210,212 | |
CNH Industrial NV(1) | 174,066 | 2,235,007 | |
Colfax Corp.(1) | 6,903 | 263,971 | |
Crane Co. | 6,093 | 473,182 | |
Cummins, Inc. | 17,001 | 3,860,927 | |
Deere & Co. | 25,003 | 6,727,057 | |
Donaldson Co., Inc. | 6,468 | 361,432 | |
Dover Corp. | 17,957 | 2,267,071 | |
Flowserve Corp. | 21,594 | 795,739 | |
Fortive Corp. | 11,416 | 808,481 |
Security | Shares | Value | |
Machinery (continued) | |||
Gates Industrial Corp. PLC(1) | 3,874 | $ 49,432 | |
IDEX Corp. | 3,725 | 742,020 | |
Illinois Tool Works, Inc. | 17,450 | 3,557,706 | |
ITT, Inc. | 13,151 | 1,012,890 | |
Lincoln Electric Holdings, Inc. | 4,922 | 572,183 | |
Middleby Corp.(1) | 9,463 | 1,219,970 | |
Nordson Corp. | 2,223 | 446,712 | |
Oshkosh Corp. | 11,628 | 1,000,822 | |
PACCAR, Inc. | 42,921 | 3,703,224 | |
Parker-Hannifin Corp. | 12,059 | 3,284,992 | |
Pentair PLC | 29,534 | 1,567,960 | |
RBC Bearings, Inc.(1) | 974 | 174,385 | |
Rexnord Corp. | 13,736 | 542,435 | |
Snap-on, Inc. | 5,678 | 971,733 | |
Stanley Black & Decker, Inc. | 20,183 | 3,603,877 | |
Timken Co. (The) | 11,237 | 869,294 | |
Watts Water Technologies, Inc., Class A | 3,312 | 403,070 | |
Westinghouse Air Brake Technologies Corp. | 26,649 | 1,950,707 | |
Woodward, Inc. | 8,340 | 1,013,560 | |
Xylem, Inc. | 14,612 | 1,487,356 | |
$56,669,959 | |||
Media — 2.8% | |||
Charter Communications, Inc., Class A(1) | 942 | $623,180 | |
Comcast Corp., Class A | 334,883 | 17,547,869 | |
Discovery, Inc., Class A(1)(2) | 53,702 | 1,615,893 | |
DISH Network Corp., Class A(1) | 25,416 | 821,953 | |
Interpublic Group of Cos., Inc. (The) | 45,982 | 1,081,497 | |
Liberty Broadband Corp., Class C(1) | 8,867 | 1,404,267 | |
New York Times Co. (The), Class A | 5,353 | 277,125 | |
Omnicom Group, Inc. | 25,292 | 1,577,462 | |
ViacomCBS, Inc., Class B(2) | 65,623 | 2,445,113 | |
$27,394,359 | |||
Metals & Mining — 0.6% | |||
Nucor Corp. | 49,979 | $2,658,383 | |
Reliance Steel & Aluminum Co. | 15,347 | 1,837,803 | |
Steel Dynamics, Inc. | 46,745 | 1,723,488 | |
$6,219,674 | |||
Multiline Retail — 0.7% | |||
Dollar General Corp. | 2,500 | $525,750 | |
Kohl's Corp. | 14,574 | 593,016 | |
Target Corp. | 31,975 | 5,644,547 | |
$6,763,313 |
6
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Multi-Utilities — 1.5% | |||
Ameren Corp. | 37,903 | $ 2,958,708 | |
CenterPoint Energy, Inc. | 72,764 | 1,574,613 | |
CMS Energy Corp. | 42,760 | 2,608,787 | |
Consolidated Edison, Inc. | 44,636 | 3,225,844 | |
Sempra Energy | 33,714 | 4,295,501 | |
$ 14,663,453 | |||
Personal Products — 0.0%(3) | |||
BellRing Brands, Inc., Class A(1) | 1,373 | $ 33,378 | |
Coty, Inc., Class A | 35,111 | 246,479 | |
$279,857 | |||
Pharmaceuticals — 2.7% | |||
Axsome Therapeutics, Inc.(1)(2) | 4,574 | $372,644 | |
Elanco Animal Health, Inc.(1) | 30,500 | 935,435 | |
Eli Lilly & Co. | 4,264 | 719,934 | |
Horizon Therapeutics PLC(1) | 13,174 | 963,678 | |
Merck & Co., Inc. | 69,519 | 5,686,654 | |
Nektar Therapeutics(1) | 17,607 | 299,319 | |
Perrigo Co. PLC | 8,964 | 400,870 | |
Pfizer, Inc. | 435,183 | 16,019,086 | |
Reata Pharmaceuticals, Inc., Class A(1)(2) | 3,309 | 409,059 | |
$25,806,679 | |||
Professional Services — 0.2% | |||
ASGN, Inc.(1) | 3,633 | $303,464 | |
CoreLogic, Inc. | 329 | 25,438 | |
FTI Consulting, Inc.(1) | 144 | 16,088 | |
ManpowerGroup, Inc. | 6,382 | 575,529 | |
Nielsen Holdings PLC | 31,505 | 657,509 | |
Robert Half International, Inc. | 8,449 | 527,894 | |
TriNet Group, Inc.(1) | 1,620 | 130,572 | |
$2,236,494 | |||
Real Estate Management & Development — 0.5% | |||
CBRE Group, Inc., Class A(1) | 40,618 | $2,547,561 | |
Howard Hughes Corp. (The)(1) | 7,688 | 606,814 | |
Jones Lang LaSalle, Inc. | 11,638 | 1,726,730 | |
$4,881,105 | |||
Road & Rail — 1.3% | |||
AMERCO | 1,143 | $518,876 | |
J.B. Hunt Transport Services, Inc. | 2,731 | 373,191 | |
Kansas City Southern | 4,102 | 837,341 | |
Knight-Swift Transportation Holdings, Inc. | 7,921 | 331,256 | |
Landstar System, Inc. | 726 | 97,763 |
Security | Shares | Value | |
Road & Rail (continued) | |||
Norfolk Southern Corp. | 17,195 | $ 4,085,704 | |
Saia, Inc.(1) | 343 | 62,015 | |
Schneider National, Inc., Class B | 3,466 | 71,746 | |
Union Pacific Corp. | 27,352 | 5,695,234 | |
Werner Enterprises, Inc. | 3,730 | 146,291 | |
$ 12,219,417 | |||
Semiconductors & Semiconductor Equipment — 1.9% | |||
Analog Devices, Inc. | 13,623 | $ 2,012,526 | |
Applied Materials, Inc. | 8,290 | 715,427 | |
Brooks Automation, Inc. | 488 | 33,111 | |
Cirrus Logic, Inc.(1) | 1,904 | 156,509 | |
Cree, Inc.(1) | 10,044 | 1,063,660 | |
Inphi Corp.(1) | 2,209 | 354,478 | |
Intel Corp. | 165,671 | 8,253,729 | |
Marvell Technology Group, Ltd. | 14,902 | 708,441 | |
Maxim Integrated Products, Inc. | 15,687 | 1,390,653 | |
MKS Instruments, Inc. | 2,650 | 398,692 | |
Qorvo, Inc.(1) | 266 | 44,228 | |
Skyworks Solutions, Inc. | 1,738 | 265,705 | |
Texas Instruments, Inc. | 20,817 | 3,416,694 | |
$18,813,853 | |||
Software — 1.9% | |||
ACI Worldwide, Inc.(1) | 1,050 | $40,351 | |
Altair Engineering, Inc., Class A(1) | 2,311 | 134,454 | |
Anaplan, Inc.(1) | 12,983 | 932,829 | |
Appian Corp.(1)(2) | 4,224 | 684,668 | |
Avalara, Inc.(1) | 8,463 | 1,395,464 | |
Box, Inc., Class A(1) | 15,558 | 280,822 | |
Ceridian HCM Holding, Inc.(1) | 4,766 | 507,865 | |
Citrix Systems, Inc. | 86 | 11,189 | |
Cloudera, Inc.(1) | 25,572 | 355,706 | |
Coupa Software, Inc.(1) | 977 | 331,115 | |
CrowdStrike Holdings, Inc., Class A(1) | 16,603 | 3,516,847 | |
Dropbox, Inc., Class A(1) | 30,380 | 674,132 | |
Dynatrace, Inc.(1) | 18,022 | 779,812 | |
Elastic NV(1) | 6,930 | 1,012,681 | |
Envestnet, Inc.(1) | 944 | 77,682 | |
Everbridge, Inc.(1) | 68 | 10,137 | |
j2 Global, Inc.(1) | 230 | 22,469 | |
Medallia, Inc.(1)(2) | 8,823 | 293,100 | |
NortonLifeLock, Inc. | 63,599 | 1,321,587 | |
Nuance Communications, Inc.(1) | 12,519 | 551,963 | |
Nutanix, Inc., Class A(1) | 21,160 | 674,369 | |
Oracle Corp. | 67,105 | 4,341,022 |
7
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Software (continued) | |||
Pegasystems, Inc. | 2,169 | $ 289,041 | |
Pluralsight, Inc., Class A(1) | 12,035 | 252,254 | |
SVMK, Inc.(1) | 11,461 | 292,829 | |
$ 18,784,388 | |||
Specialty Retail — 1.3% | |||
Advance Auto Parts, Inc. | 5,172 | $ 814,642 | |
AutoNation, Inc.(1) | 5,530 | 385,939 | |
Best Buy Co., Inc. | 22,941 | 2,289,282 | |
CarMax, Inc.(1) | 14,322 | 1,352,856 | |
Dick's Sporting Goods, Inc. | 5,569 | 313,033 | |
Foot Locker, Inc. | 9,924 | 401,327 | |
Gap, Inc. (The) | 1,648 | 33,273 | |
L Brands, Inc. | 9,995 | 371,714 | |
Lithia Motors, Inc., Class A | 2,739 | 801,623 | |
Lowe's Cos., Inc. | 25,386 | 4,074,707 | |
Penske Automotive Group, Inc. | 3,168 | 188,148 | |
Tiffany & Co. | 7,172 | 942,759 | |
Tractor Supply Co. | 261 | 36,691 | |
Williams-Sonoma, Inc. | 4,645 | 473,047 | |
$12,479,041 | |||
Technology Hardware, Storage & Peripherals — 1.3% | |||
Dell Technologies, Inc., Class C(1) | 27,480 | $2,014,009 | |
Hewlett Packard Enterprise Co. | 139,030 | 1,647,506 | |
HP, Inc. | 150,265 | 3,695,016 | |
NetApp, Inc. | 23,523 | 1,558,164 | |
Pure Storage, Inc., Class A(1) | 1,758 | 39,748 | |
Seagate Technology PLC | 23,738 | 1,475,554 | |
Western Digital Corp. | 32,010 | 1,773,034 | |
Xerox Holdings Corp. | 20,827 | 482,978 | |
$12,686,009 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
Carter's, Inc. | 2,949 | $277,412 | |
Columbia Sportswear Co. | 2,427 | 212,071 | |
Hanesbrands, Inc.(2) | 34,900 | 508,842 | |
Levi Strauss & Co., Class A | 4,672 | 93,814 | |
PVH Corp. | 7,164 | 672,628 | |
Ralph Lauren Corp., Class A | 4,895 | 507,807 | |
Skechers USA, Inc., Class A(1) | 9,517 | 342,041 | |
VF Corp. | 30,045 | 2,566,144 | |
$5,180,759 | |||
Thrifts & Mortgage Finance — 0.2% | |||
Essent Group, Ltd. | 11,650 | $503,280 |
Security | Shares | Value | |
Thrifts & Mortgage Finance (continued) | |||
MGIC Investment Corp. | 38,194 | $ 479,335 | |
New York Community Bancorp, Inc. | 46,473 | 490,290 | |
Radian Group, Inc. | 21,950 | 444,487 | |
TFS Financial Corp. | 4,479 | 78,965 | |
$ 1,996,357 | |||
Trading Companies & Distributors — 0.4% | |||
Air Lease Corp. | 18,653 | $ 828,566 | |
MSC Industrial Direct Co., Inc., Class A | 7,576 | 639,339 | |
SiteOne Landscape Supply, Inc.(1) | 641 | 101,682 | |
United Rentals, Inc.(1) | 8,496 | 1,970,307 | |
W.W. Grainger, Inc. | 1,710 | 698,261 | |
$4,238,155 | |||
Water Utilities — 0.5% | |||
American States Water Co. | 4,032 | $320,584 | |
American Water Works Co., Inc. | 17,354 | 2,663,319 | |
Essential Utilities, Inc. | 43,159 | 2,040,989 | |
$5,024,892 | |||
Wireless Telecommunication Services — 0.5% | |||
T-Mobile US, Inc.(1) | 38,581 | $5,202,648 | |
United States Cellular Corp.(1) | 1,196 | 36,705 | |
$5,239,353 | |||
Total Common Stocks (identified cost $792,446,920) | $960,924,984 |
8
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Short-Term Investments — 1.0% | |||
Other — 0.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.12%(4) | 6,271,011 | $ 6,271,638 | |
Total Other (identified cost $6,271,638) | $ 6,271,638 | ||
Securities Lending Collateral — 0.4% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.08%(5) | 3,623,168 | $ 3,623,168 | |
Total Securities Lending Collateral (identified cost $3,623,168) | $ 3,623,168 | ||
Total Short-Term Investments (identified cost $9,894,806) | $ 9,894,806 | ||
Total Investments — 100.4% (identified cost $802,341,726) | $970,819,790 | ||
Other Assets, Less Liabilities — (0.4)% | $ (4,304,880) | ||
Net Assets — 100.0% | $966,514,910 |
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 December 31, 2020. The aggregate market value of securities on loan at December 31, 2020 was $12,798,751 and the total market value of the collateral received by the Fund was $13,240,492, comprised of cash of $3,623,168 and U.S. government and/or agencies securities of $9,617,324. | |
(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 December 31, 2020. | |
(5) | Represents investment of cash collateral received in connection with securities lending. |
9
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
At December 31, 2020, the value of
the Fund's investment in affiliated funds was $6,271,638, which represents 0.6% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended December 31, 2020 were as
follows:
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 | $67,939 | $63,569,243 | $(57,365,544) | $ — | $ — | $6,271,638 | $934 | 6,271,011 |
U.S. generally accepted accounting
principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad
levels listed below:
Level 1 - quoted prices in active
markets for identical securities
Level 2 - other significant
observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable
inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for
valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the
market value of the Fund's holdings as of December 31, 2020, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $960,924,984(1) | $— | $— | $960,924,984 |
Short-Term Investments: | ||||
Other | — | 6,271,638 | — | 6,271,638 |
Securities Lending Collateral | 3,623,168 | — | — | 3,623,168 |
Total Investments | $964,548,152 | $6,271,638 | $ — | $970,819,790 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
For information on the Fund’s
policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to
shareholders.
10