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: 811-03334
CALVERT SOCIAL INVESTMENT FUND
(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 | 10/21/1982 | 10/21/1982 | 12.22% | 9.63% | 8.84% |
Class A with 4.75% Maximum Sales Charge | — | — | 6.89 | 8.57 | 8.32 |
Class C at NAV | 03/01/1994 | 10/21/1982 | 11.39 | 8.78 | 7.98 |
Class C with 1% Maximum Sales Charge | — | — | 10.39 | 8.78 | 7.98 |
Class I at NAV | 12/27/2004 | 10/21/1982 | 12.55 | 9.98 | 9.28 |
Class R6 at NAV | 02/01/2019 | 10/21/1982 | 12.57 | 9.99 | 9.29 |
Russell 1000® Index | — | — | 16.01% | 14.08% | 13.74% |
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | 6.98 | 4.17 | 3.63 |
Balanced Blended Benchmark | — | — | 13.06 | 10.35 | 9.86 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.96% | 1.71% | 0.71% | 0.66% |
Net | 0.93 | 1.68 | 0.68 | 0.64 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2010 | $21,563 | N.A. |
Class I | $250,000 | 09/30/2010 | $607,691 | N.A. |
Class R6 | $1,000,000 | 09/30/2010 | $2,431,836 | N.A. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1987 | 08/24/1987 | 5.32% | 4.12% | 3.58% |
Class A with 3.75% Maximum Sales Charge | — | — | 1.37 | 3.33 | 3.19 |
Class C at NAV | 06/01/1998 | 08/24/1987 | 4.50 | 3.27 | 2.74 |
Class C with 1% Maximum Sales Charge | — | — | 3.50 | 3.27 | 2.74 |
Class I at NAV | 03/31/2000 | 08/24/1987 | 5.52 | 4.41 | 4.03 |
Class R6 at NAV | 10/03/2017 | 08/24/1987 | 5.66 | 4.44 | 4.04 |
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | 6.98% | 4.17% | 3.63% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.77% | 1.57% | 0.57% | 0.50% |
Net | 0.73 | 1.53 | 0.53 | 0.46 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2010 | $13,100 | N.A. |
Class I | $250,000 | 09/30/2010 | $371,187 | N.A. |
Class R6 | $1,000,000 | 09/30/2010 | $1,486,770 | N.A. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1987 | 08/24/1987 | 20.27% | 17.20% | 14.65% |
Class A with 4.75% Maximum Sales Charge | — | — | 14.55 | 16.07 | 14.09 |
Class C at NAV | 03/01/1994 | 08/24/1987 | 19.38 | 16.31 | 13.80 |
Class C with 1% Maximum Sales Charge | — | — | 18.38 | 16.31 | 13.80 |
Class I at NAV | 11/01/1999 | 08/24/1987 | 20.57 | 17.58 | 15.14 |
Class R6 at NAV | 10/03/2017 | 08/24/1987 | 20.65 | 17.61 | 15.15 |
Russell 1000® Growth Index | — | — | 37.53% | 20.08% | 17.24% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 1.00% | 1.75% | 0.75% | 0.68% |
Net | 0.99 | 1.74 | 0.74 | 0.67 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2010 | $36,466 | N.A. |
Class I | $250,000 | 09/30/2010 | $1,024,879 | N.A. |
Class R6 | $1,000,000 | 09/30/2010 | $4,103,714 | N.A. |
Top 10 Holdings (% of net assets)* | |
Thermo Fisher Scientific, Inc. | 4.9% |
Danaher Corp. | 4.9 |
Alphabet, Inc., Class C | 4.6 |
Microsoft Corp. | 4.4 |
Visa, Inc., Class A | 4.3 |
Dollar General Corp. | 4.1 |
Zoetis, Inc. | 3.7 |
MasterCard, Inc., Class A | 3.6 |
Ecolab, Inc. | 3.5 |
American Tower Corp. | 3.5 |
Total | 41.5% |
* | 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 1,000 U.S. large-cap stocks. Russell 1000® Growth Index is an unmanaged index of U.S. large-cap growth stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. The Balanced Blended Benchmark is an internally constructed benchmark comprised of a blend of 60% Russell 1000® Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. 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 each Fund on December 31, 2016. Performance reflected prior to such date is that of each 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. |
Fund profiles subject to change due to active management. | |
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. 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. Bloomberg Barclays U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg Barclays U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. | |
Yield curve is a graphical representation of the yields offered by bonds of various maturities. The yield curve flattens when long-term interest rates fall and/or short-term interest rates increase, and the yield curve steepens when long-term interest rates increase and/or short-term interest rates fall. |
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 | $1,224.90 | $5.17 | 0.93% |
Class C | $1,000.00 | $1,220.60 | $9.33 | 1.68% |
Class I | $1,000.00 | $1,226.80 | $3.79 | 0.68% |
Class R6 | $1,000.00 | $1,226.50 | $3.56 | 0.64% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.35 | $4.70 | 0.93% |
Class C | $1,000.00 | $1,016.60 | $8.47 | 1.68% |
Class I | $1,000.00 | $1,021.60 | $3.44 | 0.68% |
Class R6 | $1,000.00 | $1,021.80 | $3.23 | 0.64% |
* | 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. |
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 | $1,070.10 | $3.78 ** | 0.73% |
Class C | $1,000.00 | $1,065.60 | $7.90 ** | 1.53% |
Class I | $1,000.00 | $1,071.00 | $2.74 ** | 0.53% |
Class R6 | $1,000.00 | $1,071.40 | $2.38 ** | 0.46% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.35 | $3.69 ** | 0.73% |
Class C | $1,000.00 | $1,017.35 | $7.72 ** | 1.53% |
Class I | $1,000.00 | $1,022.35 | $2.68 ** | 0.53% |
Class R6 | $1,000.00 | $1,022.70 | $2.33 ** | 0.46% |
* | 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. |
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 | $1,321.80 | $5.40 | 0.93% |
Class C | $1,000.00 | $1,317.00 | $9.73 | 1.68% |
Class I | $1,000.00 | $1,323.50 | $3.95 | 0.68% |
Class R6 | $1,000.00 | $1,323.80 | $3.60 | 0.62% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.35 | $4.70 | 0.93% |
Class C | $1,000.00 | $1,016.60 | $8.47 | 1.68% |
Class I | $1,000.00 | $1,021.60 | $3.44 | 0.68% |
Class R6 | $1,000.00 | $1,021.90 | $3.13 | 0.62% |
* | 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. |
Asset-Backed Securities — 5.5% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 448 | $ 467,564 |
Avant Loans Funding Trust, Series 2018-A, Class C, 4.79%, 5/15/24(1) | 84 | 84,466 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 2,143 | 2,038,446 | |
Conn's Receivables Funding, LLC: | |||
Series 2018-A, Class A, 3.25%, 1/15/23(1) | 9 | 8,988 | |
Series 2018-A, Class B, 4.65%, 1/15/23(1) | 10 | 9,350 | |
Series 2019-A, Class A, 3.40%, 10/16/23(1) | 245 | 245,824 | |
Series 2019-A, Class B, 4.36%, 10/16/23(1) | 311 | 311,213 | |
Series 2019-B, Class A, 2.66%, 6/17/24(1) | 490 | 490,237 | |
Series 2019-B, Class B, 3.62%, 6/17/24(1) | 295 | 291,866 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 166 | 175,831 | |
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40(1) | 143 | 146,258 | |
Driven Brands Funding, LLC: | |||
Series 2015-1A, Class A2, 5.216%, 7/20/45(1) | 886 | 924,327 | |
Series 2016-1A, Class A2, 6.125%, 7/20/46(1) | 288 | 290,992 | |
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 59 | 61,945 | |
Series 2019-2A, Class A2, 3.981%, 10/20/49(1) | 159 | 164,769 | |
Element Rail Leasing I, LLC: | |||
Series 2014-1A, Class A1, 2.299%, 4/19/44(1) | 20 | 19,792 | |
Series 2014-1A, Class B1, 4.406%, 4/19/44(1) | 700 | 704,475 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 805 | 821,999 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 80 | 80,913 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2I, 3.857%, 4/30/47(1) | 1,229 | 1,140,286 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 348 | 286,736 | |
Hardee's Funding, LLC, Series 2018-1A, Class A2I, 4.25%, 6/20/48(1) | 544 | 549,115 | |
InSite Issuer, LLC: | |||
Series 2016-1A, Class A, 2.883%, 11/15/46(1) | 345 | 354,550 | |
Series 2016-1A, Class C, 6.414%, 11/15/46(1) | 50 | 51,340 | |
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 973 | 1,002,320 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 635 | 679,538 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 131 | 88,897 | |
Marlette Funding Trust: | |||
Series 2020-2A, Class B, 1.83%, 9/16/30(1) | 425 | 426,998 |
Security | Principal Amount (000's omitted) | Value | |
Marlette Funding Trust: (continued) | |||
Series 2020-2A, Class C, 2.83%, 9/16/30(1) | $ | 107 | $ 107,699 |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 694 | 745,679 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 1,910 | 1,960,660 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 500 | 494,245 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 209 | 214,221 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 171 | 175,730 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1)(2) | 405 | 401,950 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1)(2) | 585 | 576,607 | |
OneMain Financial Issuance Trust, Series 2017-1A, Class A1, 2.37%, 9/14/32(1) | 370 | 370,649 | |
Oportun Funding IX, LLC, Series 2018-B, Class A, 3.91%, 7/8/24(1) | 1,486 | 1,512,132 | |
Oportun Funding VIII, LLC, Series 2018-A, Class A, 3.61%, 3/8/24(1) | 1,528 | 1,532,068 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 1,068 | 1,073,714 | |
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 142 | 142,781 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 625 | 588,961 | |
Prosper Marketplace Issuance Trust: | |||
Series 2017-1A, Class C, 5.80%, 6/15/23(1) | 59 | 59,450 | |
Series 2018-2A, Class B, 3.96%, 10/15/24(1) | 166 | 166,233 | |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25(1) | 43 | 43,080 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49(1) | 1,000 | 1,056,088 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 2,585 | 2,741,095 | |
Small Business Lending Trust: | |||
Series 2019-A, Class A, 2.85%, 7/15/26(1) | 349 | 343,409 | |
Series 2020-A, Class A, 2.62%, 12/15/26(1) | 341 | 338,983 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 485 | 475,190 | |
SolarCity LMC Series II, LLC, Series 2014-1, Class A, 4.59%, 4/20/44(1) | 441 | 436,003 | |
SolarCity LMC Series III, LLC: | |||
Series 2014-2, Class A, 4.02%, 7/20/44(1) | 1,452 | 1,467,329 | |
Series 2014-2, Class B, 5.44%, 7/20/44(1) | 1,695 | 1,654,167 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,576 | 1,675,345 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 1,345 | 1,352,288 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28(1) | 55 | 55,987 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 5,019 | 5,420,770 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 405 | 415,730 |
Security | Principal Amount (000's omitted) | Value | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | $ | 254 | $ 256,938 |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 491 | 516,864 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 481 | 474,501 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 353 | 362,657 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 760 | 776,133 | |
Tesla Auto Lease Trust: | |||
Series 2018-B, Class A, 3.71%, 8/20/21(1) | 1,021 | 1,030,533 | |
Series 2019-A, Class A2, 2.13%, 4/20/22(1) | 317 | 320,374 | |
Series 2019-A, Class A3, 2.16%, 10/20/22(1) | 2,016 | 2,067,134 | |
Series 2019-A, Class A4, 2.20%, 11/21/22(1) | 395 | 406,208 | |
Series 2020-A, Class A3, 0.68%, 12/20/23(1) | 160 | 160,839 | |
Series 2020-A, Class A4, 0.78%, 12/20/23(1) | 204 | 205,383 | |
Series 2020-A, Class E, 4.64%, 8/20/24(1) | 58 | 60,230 | |
Theorem Funding Trust, Series 2020-1A, Class A, 2.48%, 10/15/26(1) | 105 | 105,108 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 134 | 37,976 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 1,350 | 1,447,949 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-1A, Class A2, 4.072%, 2/16/43(1) | 684 | 709,106 | |
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 162 | 168,232 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,518 | 1,554,183 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1)(2) | 1,405 | 1,409,157 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 1,035 | 1,042,816 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 401 | 244,769 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 234 | 102,582 | |
Total Asset-Backed Securities (identified cost $52,528,961) | $ 52,976,950 |
Collateralized Mortgage-Backed Obligations — 4.6% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | $ | 3,315 | $ 3,639,504 |
Series KG03, Class A2, 1.297%, 6/25/30(3) | 770 | 783,744 | |
Series KW06, Class A2, 3.80%, 6/25/28(3) | 1,135 | 1,353,693 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: (continued) | |||
Series W5FX, Class AFX, 3.336%, 4/25/28(3) | $ | 412 | $ 469,060 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 3.398%, (1 mo. USD LIBOR + 3.25%), 5/25/25(4) | 720 | 730,357 | |
Series 2017-DNA3, Class M2, 2.648%, (1 mo. USD LIBOR + 2.50%), 3/25/30(4) | 923 | 932,972 | |
Series 2017-HQA2, Class M2, 2.798%, (1 mo. USD LIBOR + 2.65%), 12/25/29(4) | 407 | 404,278 | |
Series 2018-DNA1, Class M2, 1.948%, (1 mo. USD LIBOR + 1.80%), 7/25/30(4) | 584 | 574,506 | |
Series 2018-DNA1, Class M2AT, 1.198%, (1 mo. USD LIBOR + 1.05%), 7/25/30(4) | 785 | 781,595 | |
Series 2019-DNA2, Class M2, 2.598%, (1 mo. USD LIBOR + 2.45%), 3/25/49(1)(4) | 140 | 138,033 | |
Series 2019-DNA3, Class M2, 2.198%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(4) | 1,752 | 1,720,853 | |
Series 2019-DNA4, Class M2, 2.098%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(4) | 739 | 733,253 | |
Series 2019-HQA2, Class M2, 2.198%, (1 mo. USD LIBOR + 2.05%), 4/25/49(1)(4) | 65 | 63,743 | |
Series 2020-DNA1, Class M1, 0.848%, (1 mo. USD LIBOR + 0.70%), 1/25/50(1)(4) | 113 | 113,400 | |
Series 2020-DNA2, Class M1, 0.898%, (1 mo. USD LIBOR + 0.75%), 2/25/50(1)(4) | 564 | 563,991 | |
Series 2020-DNA4, Class M1, 1.648%, (1 mo. USD LIBOR + 1.50%), 8/25/50(1)(4) | 325 | 326,798 | |
Series 2020-DNA4, Class M2, 3.898%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(4) | 60 | 60,770 | |
Series 2020-HQA1, Class M1, 0.898%, (1 mo. USD LIBOR + 0.75%), 1/25/50(1)(4) | 66 | 65,432 | |
Federal National Mortgage Association: | |||
Series 2017-M2, Class A1, 2.801%, 2/25/27(3) | 215 | 221,900 | |
Series 2017-M13, Class A2, 2.939%, 9/25/27(3) | 1,350 | 1,531,614 | |
Series 2018-M4, Class A2, 3.045%, 3/25/28(3) | 1,572 | 1,799,483 | |
Series 2018-M8, Class A2, 3.325%, 6/25/28(3) | 989 | 1,150,609 | |
Series 2018-M13, Class A2, 3.697%, 9/25/30(3) | 3,600 | 4,410,528 | |
Series 2019-M1, Class A2, 3.555%, 9/25/28(3) | 1,700 | 2,023,925 | |
Series 2019-M9, Class A2, 2.937%, 4/25/29 | 660 | 747,582 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 7,125 | 7,872,985 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 2,322 | 2,510,654 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 1,505 | 1,548,497 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 5.398%, (1 mo. USD LIBOR + 5.25%), 10/25/23(4) | 589 | 575,208 | |
Series 2014-C02, Class 1M2, 2.748%, (1 mo. USD LIBOR + 2.60%), 5/25/24(4) | 1,125 | 984,825 | |
Series 2014-C02, Class 2M2, 2.748%, (1 mo. USD LIBOR + 2.60%), 5/25/24(4) | 292 | 289,415 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2014-C03, Class 1M2, 3.148%, (1 mo. USD LIBOR + 3.00%), 7/25/24(4) | $ | 706 | $ 618,784 |
Series 2014-C03, Class 2M2, 3.048%, (1 mo. USD LIBOR + 2.90%), 7/25/24(4) | 464 | 463,385 | |
Series 2014-C04, Class 1M2, 5.048%, (1 mo. USD LIBOR + 4.90%), 11/25/24(4) | 956 | 992,240 | |
Series 2017-C05, Class 1M2, 2.348%, (1 mo. USD LIBOR + 2.20%), 1/25/30(4) | 309 | 305,808 | |
Series 2017-C06, Class 1M2, 2.798%, (1 mo. USD LIBOR + 2.65%), 2/25/30(4) | 485 | 482,551 | |
Series 2018-C06, Class 1M2, 2.148%, (1 mo. USD LIBOR + 2.00%), 3/25/31(4) | 48 | 47,582 | |
Series 2018-R07, Class 1M2, 2.548%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(4) | 614 | 612,657 | |
Series 2019-R02, Class 1M2, 2.448%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(4) | 59 | 59,264 | |
Series 2019-R05, Class 1M2, 2.148%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(4) | 318 | 317,286 | |
Series 2020-R01, Class 1M1, 0.948%, (1 mo. USD LIBOR + 0.80%), 1/25/40(1)(4) | 474 | 474,084 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 548 | 608,573 | |
Toorak Mortgage Corp., Ltd.: | |||
Series 2018-1, Class A1, 4.336% to 4/25/21, 8/25/21(1)(5) | 128 | 128,547 | |
Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(5) | 480 | 487,088 | |
Total Collateralized Mortgage-Backed Obligations (identified cost $42,009,096) | $ 44,721,056 |
Commercial Mortgage-Backed Securities — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.719%, 11/5/32(1)(3) | $ | 1,605 | $ 1,216,563 |
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(3) | 680 | 494,274 | |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(3) | 1,115 | 706,701 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 1.072%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(4) | 1,519 | 1,522,058 | |
Series 2019-XL, Class B, 1.232%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(4) | 712 | 712,402 | |
Citigroup Commercial Mortgage Trust, Series 2017-MDRC, Class D, 2.402%, (1 mo. USD LIBOR + 2.25%), 7/15/30(1)(4) | 490 | 449,749 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 3.398%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(4) | 130 | 120,976 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: (continued) | |||
Series 2020-01, Class M10, 3.898%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(4) | $ | 980 | $ 923,071 |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class A, 3.429%, 6/10/27(1) | 200 | 115,028 | |
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 550 | 165,101 | |
Series 2014-DSTY, Class C, 3.805%, 6/10/27(1)(3) | 225 | 37,810 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 0.852%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(4) | 1,140 | 1,137,817 | |
Series 2019-BPR, Class A, 1.552%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(4) | 1,585 | 1,521,917 | |
Series 2019-BPR, Class B, 2.252%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(4) | 498 | 455,724 | |
Series 2019-BPR, Class C, 3.202%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(4) | 205 | 179,364 | |
Motel 6 Trust: | |||
Series 2017-MTL6, Class B, 1.342%, (1 mo. USD LIBOR + 1.19%), 8/15/34(1)(4) | 137 | 133,557 | |
Series 2017-MTL6, Class C, 1.552%, (1 mo. USD LIBOR + 1.40%), 8/15/34(1)(4) | 1,376 | 1,345,933 | |
Series 2017-MTL6, Class D, 2.302%, (1 mo. USD LIBOR + 2.15%), 8/15/34(1)(4) | 333 | 324,728 | |
Series 2017-MTL6, Class E, 3.402%, (1 mo. USD LIBOR + 3.25%), 8/15/34(1)(4) | 99 | 96,434 | |
RETL Trust: | |||
Series 2019-RVP, Class A, 1.302%, (1 mo. USD LIBOR + 1.15%), 3/15/36(1)(4) | 141 | 141,726 | |
Series 2019-RVP, Class B, 1.702%, (1 mo. USD LIBOR + 1.55%), 3/15/36(1)(4) | 1,920 | 1,829,966 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.755%, 8/10/31(1)(3) | 850 | 787,400 | |
Total Commercial Mortgage-Backed Securities (identified cost $16,248,089) | $ 14,418,299 |
Common Stocks — 61.5% |
Security | Shares | Value | |
Banks — 2.6% | |||
Bank of America Corp. | 374,300 | $ 9,016,887 | |
JPMorgan Chase & Co. | 96,900 | 9,328,563 | |
PNC Financial Services Group, Inc. (The) | 66,000 | 7,254,060 | |
$ 25,599,510 | |||
Beverages — 1.7% | |||
PepsiCo, Inc. | 119,396 | $ 16,548,286 | |
$ 16,548,286 |
Security | Shares | Value | |
Biotechnology — 0.9% | |||
AbbVie, Inc. | 98,000 | $ 8,583,820 | |
$ 8,583,820 | |||
Building Products — 0.6% | |||
Trane Technologies PLC | 44,300 | $ 5,371,375 | |
$ 5,371,375 | |||
Capital Markets — 2.6% | |||
Cboe Global Markets, Inc. | 43,800 | $ 3,843,012 | |
Intercontinental Exchange, Inc. | 117,000 | 11,705,850 | |
Tradeweb Markets, Inc., Class A | 172,966 | 10,032,028 | |
$ 25,580,890 | |||
Commercial Services & Supplies — 0.8% | |||
Waste Management, Inc. | 64,625 | $ 7,313,611 | |
$ 7,313,611 | |||
Communications Equipment — 1.0% | |||
Cisco Systems, Inc. | 256,600 | $ 10,107,474 | |
$ 10,107,474 | |||
Diversified Telecommunication Services — 0.5% | |||
Verizon Communications, Inc. | 81,508 | $ 4,848,911 | |
$ 4,848,911 | |||
Electrical Equipment — 1.6% | |||
AMETEK, Inc. | 109,100 | $ 10,844,540 | |
Emerson Electric Co. | 63,300 | 4,150,581 | |
$ 14,995,121 | |||
Energy Equipment & Services — 0.4% | |||
Baker Hughes Co. | 303,100 | $ 4,028,199 | |
$ 4,028,199 | |||
Entertainment — 1.0% | |||
Electronic Arts, Inc.(6) | 74,800 | $ 9,754,668 | |
$ 9,754,668 | |||
Equity Real Estate Investment Trusts (REITs) — 1.5% | |||
American Tower Corp. | 60,700 | $ 14,673,011 | |
$ 14,673,011 | |||
Food & Staples Retailing — 1.2% | |||
Walmart, Inc. | 86,400 | $ 12,088,224 | |
$ 12,088,224 |
Security | Shares | Value | |
Food Products — 1.4% | |||
Mondelez International, Inc., Class A | 227,570 | $ 13,073,897 | |
$ 13,073,897 | |||
Health Care Equipment & Supplies — 3.8% | |||
Abbott Laboratories | 122,200 | $ 13,299,026 | |
Boston Scientific Corp.(6) | 178,000 | 6,801,380 | |
Danaher Corp. | 68,000 | 14,642,440 | |
ICU Medical, Inc.(6) | 9,353 | 1,709,354 | |
$ 36,452,200 | |||
Health Care Providers & Services — 1.2% | |||
Anthem, Inc. | 43,300 | $ 11,629,947 | |
$ 11,629,947 | |||
Independent Power and Renewable Electricity Producers — 0.7% | |||
NextEra Energy Partners, L.P. | 115,900 | $ 6,949,364 | |
$ 6,949,364 | |||
Insurance — 1.3% | |||
First American Financial Corp. | 112,643 | $ 5,734,655 | |
Travelers Cos., Inc. (The) | 61,500 | 6,653,685 | |
$ 12,388,340 | |||
Interactive Media & Services — 3.7% | |||
Alphabet, Inc., Class C(6) | 18,712 | $ 27,499,155 | |
IAC/InterActiveCorp. (6) | 30,000 | 3,593,400 | |
Match Group, Inc.(6) | 46,830 | 5,181,740 | |
$ 36,274,295 | |||
Internet & Direct Marketing Retail — 4.0% | |||
Amazon.com, Inc.(6) | 12,166 | $ 38,307,449 | |
$ 38,307,449 | |||
IT Services — 5.7% | |||
Cognizant Technology Solutions Corp., Class A | 152,114 | $ 10,559,754 | |
Fidelity National Information Services, Inc. | 75,900 | 11,173,239 | |
MasterCard, Inc., Class A | 27,200 | 9,198,224 | |
PayPal Holdings, Inc.(6) | 54,900 | 10,816,947 | |
Visa, Inc., Class A | 69,000 | 13,797,930 | |
$ 55,546,094 | |||
Life Sciences Tools & Services — 1.5% | |||
Thermo Fisher Scientific, Inc. | 31,997 | $ 14,127,315 | |
$ 14,127,315 |
Security | Shares | Value | |
Machinery — 1.5% | |||
Ingersoll Rand, Inc.(6) | 184,600 | $ 6,571,760 | |
Stanley Black & Decker, Inc. | 51,100 | 8,288,420 | |
$ 14,860,180 | |||
Metals & Mining — 0.7% | |||
Steel Dynamics, Inc. | 226,600 | $ 6,487,558 | |
$ 6,487,558 | |||
Multi-Utilities — 1.0% | |||
CMS Energy Corp. | 79,873 | $ 4,905,001 | |
Sempra Energy | 43,215 | 5,114,927 | |
$ 10,019,928 | |||
Pharmaceuticals — 1.8% | |||
Sanofi | 93,500 | $ 9,369,805 | |
Zoetis, Inc. | 49,700 | 8,218,889 | |
$ 17,588,694 | |||
Road & Rail — 0.8% | |||
Union Pacific Corp. | 38,100 | $ 7,500,747 | |
$ 7,500,747 | |||
Semiconductors & Semiconductor Equipment — 1.9% | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 103,600 | $ 8,398,852 | |
Texas Instruments, Inc. | 72,196 | 10,308,867 | |
$ 18,707,719 | |||
Software — 5.6% | |||
Adobe, Inc.(6) | 10,224 | $ 5,014,156 | |
Intuit, Inc. | 16,467 | 5,371,700 | |
Microsoft Corp. | 193,651 | 40,730,615 | |
nCino, Inc.(6)(7) | 37,147 | 2,959,873 | |
$ 54,076,344 | |||
Specialty Retail — 3.3% | |||
Home Depot, Inc. (The) | 52,500 | $ 14,579,775 | |
Lowe's Cos., Inc. | 57,500 | 9,536,950 | |
TJX Cos., Inc. (The) | 143,200 | 7,969,080 | |
$ 32,085,805 | |||
Technology Hardware, Storage & Peripherals — 4.2% | |||
Apple, Inc. | 347,808 | $ 40,279,645 | |
$ 40,279,645 | |||
Venture Capital — 0.2% | |||
CFBanc Corp.(6)(8)(9) | 27,000 | $ 551,302 |
Security | Shares | Value | |
Venture Capital (continued) | |||
Consensus Orthopedics, Inc.(6)(8)(9) | 180,877 | $ — | |
Kickboard (6)(8)(9) | 169,932 | 4,452 | |
Learn Capital Venture Partners III, L.P.(6)(8)(9) | 1,013,198 | 1,554,113 | |
Neighborhood Bancorp, Class A(6)(8)(9) | 10,000 | 12,500 | |
$ 2,122,367 | |||
Wireless Telecommunication Services — 0.8% | |||
T-Mobile US, Inc.(6) | 68,045 | $ 7,781,626 | |
$ 7,781,626 | |||
Total Common Stocks (identified cost $433,882,697) | $ 595,752,614 |
Convertible Bonds — 0.0%(10) |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.0%(10) | |||
J2 Global, Inc., 1.75%, 11/1/26(1) | $ | 130 | $ 115,599 |
Western Digital Corp., 1.50%, 2/1/24 | 174 | 166,065 | |
Total Convertible Bonds (identified cost $274,946) | $ 281,664 |
Corporate Bonds — 16.6% |
Security | Principal Amount (000's omitted)* | Value | |
Basic Materials — 0.3% | |||
Ecolab, Inc., 2.125%, 8/15/50 | 1,011 | $ 929,499 | |
LG Chem, Ltd.: | |||
3.25%, 10/15/24(1) | 1,250 | 1,347,139 | |
3.625%, 4/15/29(1) | 575 | 638,257 | |
Reliance Steel & Aluminum Co., 2.15%, 8/15/30 | 211 | 206,724 | |
$ 3,121,619 | |||
Communications — 1.8% | |||
Alphabet, Inc., 1.10%, 8/15/30 | 877 | $ 870,346 | |
AT&T, Inc.: | |||
2.30%, 6/1/27 | 1 | 1,051 | |
3.10%, 2/1/43 | 1,765 | 1,731,495 | |
3.30%, 2/1/52 | 92 | 86,177 | |
3.65%, 6/1/51 | 1,751 | 1,776,981 | |
3.65%, 9/15/59(1) | 111 | 107,738 | |
4.30%, 2/15/30 | 1,646 | 1,951,787 | |
4.50%, 3/9/48 | 578 | 662,031 |
Security | Principal Amount (000's omitted)* | Value | |
Communications (continued) | |||
AT&T, Inc.: (continued) | |||
4.90%, 6/15/42 | 785 | $ 938,682 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 1,816 | 2,085,867 | |
Comcast Corp.: | |||
2.45%, 8/15/52 | 1,213 | 1,140,132 | |
4.70%, 10/15/48 | 350 | 464,759 | |
Crown Castle Towers, LLC, 3.663%, 5/15/45(1) | 450 | 482,886 | |
Discovery Communications, LLC, 5.20%, 9/20/47 | 1,354 | 1,625,757 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 405 | 511,678 | |
Sprint Corp., 7.25%, 9/15/21 | 160 | 167,600 | |
T-Mobile USA, Inc.: | |||
2.55%, 2/15/31(1) | 371 | 384,850 | |
4.50%, 4/15/50(1) | 860 | 1,035,298 | |
Verizon Communications, Inc., 1.50%, 9/18/30 | 1,118 | 1,115,892 | |
$ 17,141,007 | |||
Consumer, Cyclical — 1.5% | |||
American Airlines Pass-Through Trust: | |||
4.40%, 9/22/23 | 232 | $ 167,743 | |
5.25%, 1/15/24 | 984 | 682,943 | |
Aptiv PLC, 5.40%, 3/15/49 | 115 | 130,383 | |
Azul Investments, LLP, 5.875%, 10/26/24(1) | 445 | 334,644 | |
Best Buy Co., Inc., 1.95%, 10/1/30(2) | 591 | 588,352 | |
Delta Air Lines, Inc., 7.375%, 1/15/26 | 1,238 | 1,299,542 | |
Ford Motor Credit Co., LLC: | |||
1.114%, (3 mo. USD LIBOR + 0.81%), 4/5/21(4) | 335 | 330,120 | |
1.146%, (3 mo. USD LIBOR + 0.88%), 10/12/21(4) | 910 | 874,422 | |
1.331%, (3 mo. USD LIBOR + 1.08%), 8/3/22(4) | 525 | 497,610 | |
2.979%, 8/3/22 | 2,615 | 2,586,863 | |
3.087%, 1/9/23 | 567 | 556,783 | |
4.14%, 2/15/23 | 675 | 682,573 | |
5.875%, 8/2/21 | 200 | 204,125 | |
Macy's Retail Holdings, LLC: | |||
2.875%, 2/15/23 | 1,175 | 956,156 | |
3.625%, 6/1/24(7) | 350 | 255,902 | |
3.875%, 1/15/22 | 792 | 750,420 | |
Magna International, Inc., 2.45%, 6/15/30 | 620 | 653,707 | |
Marriott International, Inc., 0.846%, (3 mo. USD LIBOR + 0.60%), 12/1/20(4) | 125 | 124,781 | |
Nordstrom, Inc.: | |||
4.375%, 4/1/30 | 1,127 | 913,163 | |
5.00%, 1/15/44 | 964 | 683,796 | |
Tapestry, Inc., 4.125%, 7/15/27 | 882 | 868,973 | |
$ 14,143,001 |
Security | Principal Amount (000's omitted)* | Value | |
Consumer, Non-cyclical — 1.6% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | 200 | $ 208,000 | |
4.25%, 11/1/29(1) | 987 | 1,041,676 | |
Becton Dickinson and Co., 2.894%, 6/6/22 | 474 | 490,480 | |
Block Financial, LLC, 3.875%, 8/15/30 | 936 | 942,111 | |
Centene Corp.: | |||
3.375%, 2/15/30 | 472 | 490,439 | |
4.25%, 12/15/27 | 473 | 496,056 | |
4.625%, 12/15/29 | 74 | 79,917 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 645 | 647,280 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 655 | 708,505 | |
CVS Health Corp.: | |||
0.962%, (3 mo. USD LIBOR + 0.72%), 3/9/21(4) | 88 | 88,230 | |
2.625%, 8/15/24 | 255 | 272,004 | |
3.00%, 8/15/26 | 1,400 | 1,531,274 | |
4.30%, 3/25/28 | 1,391 | 1,629,278 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 687 | 781,799 | |
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30 | 883 | 960,904 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 1,705 | 1,643,369 | |
Ford Foundation (The), 2.415%, 6/1/50 | 1,095 | 1,127,809 | |
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 830 | 854,625 | |
Royalty Pharma PLC: | |||
2.20%, 9/2/30(1) | 1,124 | 1,119,908 | |
3.55%, 9/2/50(1) | 176 | 170,610 | |
Smithfield Foods, Inc.: | |||
3.00%, 10/15/30(1) | 192 | 194,295 | |
5.20%, 4/1/29(1) | 90 | 105,323 | |
$ 15,583,892 | |||
Energy — 0.3% | |||
National Oilwell Varco, Inc., 3.60%, 12/1/29 | 410 | $ 398,409 | |
NuStar Logistics, L.P.: | |||
5.75%, 10/1/25 | 97 | 100,424 | |
6.375%, 10/1/30(7) | 150 | 156,000 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 692 | 736,779 | |
5.00%, 1/31/28(1) | 1,696 | 1,859,749 | |
$ 3,251,361 | |||
Financial — 7.3% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
3.95%, 2/1/22 | 150 | $ 151,930 | |
4.125%, 7/3/23 | 150 | 153,121 | |
4.45%, 12/16/21 | 870 | 889,029 | |
4.50%, 9/15/23 | 876 | 903,335 |
Security | Principal Amount (000's omitted)* | Value | |
Financial (continued) | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: (continued) | |||
4.625%, 10/15/27 | 150 | $ 145,689 | |
6.50%, 7/15/25 | 413 | 446,409 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 1,131 | 1,210,537 | |
Aflac, Inc., 3.60%, 4/1/30 | 743 | 871,627 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 850 | 798,299 | |
Andrew W Mellon Foundation (The), 0.947%, 8/1/27 | 845 | 846,006 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(11) | 1,308 | 1,356,299 | |
Banco BTG Pactual S.A., 4.50%, 1/10/25(1) | 200 | 204,502 | |
Banco Santander S.A.: | |||
1.346%, (3 mo. USD LIBOR + 1.09%), 2/23/23(4) | 305 | 305,807 | |
2.746%, 5/28/25 | 200 | 210,488 | |
Bank of America Corp.: | |||
0.981% to 9/25/24, 9/25/25(11) | 2,515 | 2,516,974 | |
1.451%, (3 mo. USD LIBOR + 1.18%), 10/21/22(4) | 236 | 238,495 | |
1.898% to 7/23/30, 7/23/31(11) | 1,365 | 1,363,238 | |
2.456% to 10/22/24, 10/22/25(11) | 1,512 | 1,595,968 | |
2.676% to 6/19/40, 6/19/41(11) | 1,781 | 1,826,237 | |
3.499% to 5/17/21, 5/17/22(11) | 1,489 | 1,516,980 | |
3.593% to 7/21/27, 7/21/28(11) | 1,400 | 1,569,969 | |
3.974% to 2/7/29, 2/7/30(11) | 695 | 808,874 | |
Series Z, 6.50% to 10/23/24(11)(12) | 76 | 84,504 | |
Bank of Montreal, 2.05%, 11/1/22 | 1,898 | 1,964,352 | |
Bank of Nova Scotia (The): | |||
1.625%, 5/1/23 | 1,053 | 1,080,685 | |
2.375%, 1/18/23 | 1,362 | 1,419,653 | |
BankUnited, Inc., 5.125%, 6/11/30(7) | 848 | 933,277 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 659 | 644,667 | |
5.125% to 1/18/28, 1/18/33(1)(11) | 200 | 192,830 | |
BNP Paribas S.A., 1.904% to 9/30/27, 9/30/28(1)(11) | 200 | 199,408 | |
Capital One Financial Corp.: | |||
3.30%, 10/30/24 | 419 | 454,488 | |
3.75%, 7/28/26 | 290 | 315,670 | |
4.20%, 10/29/25 | 575 | 638,063 | |
Citigroup, Inc.: | |||
1.318%, (3 mo. USD LIBOR + 1.07%), 12/8/21(4) | 300 | 302,804 | |
1.678% to 5/15/23, 5/15/24(11) | 1,848 | 1,894,698 | |
2.666% to 1/29/30, 1/29/31(11) | 1,505 | 1,586,206 | |
2.976% to 11/5/29, 11/5/30(11) | 750 | 812,126 | |
3.106% to 4/8/25, 4/8/26(11) | 840 | 905,054 | |
3.887% to 1/10/27, 1/10/28(11) | 2,746 | 3,109,407 | |
Citizens Bank NA, 2.55%, 5/13/21 | 400 | 404,753 | |
Citizens Financial Group, Inc., 2.375%, 7/28/21 | 355 | 360,185 |
Security | Principal Amount (000's omitted)* | Value | |
Financial (continued) | |||
Commonwealth Bank of Australia: | |||
2.50%, 9/18/22(1) | 550 | $ 574,402 | |
3.61% to 9/12/29, 9/12/34(1)(7)(11) | 487 | 530,791 | |
Digital Realty Trust, L.P., 4.75%, 10/1/25 | 525 | 614,677 | |
Discover Bank: | |||
2.70%, 2/6/30 | 399 | 418,575 | |
4.682% to 8/9/23, 8/9/28(11) | 605 | 634,739 | |
Discover Financial Services: | |||
3.95%, 11/6/24 | 300 | 330,402 | |
6.125% to 6/23/25(11)(12) | 771 | 817,491 | |
Empower Finance 2020, L.P., 1.776%, 3/17/31(1)(7) | 446 | 446,361 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
5.25%, 7/15/24(1) | 921 | 961,570 | |
6.00%, 4/15/25(1) | 60 | 63,993 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 675 | 679,988 | |
5.00%, 7/15/28(1) | 219 | 224,747 | |
JPMorgan Chase & Co.: | |||
2.522% to 4/22/30, 4/22/31(11) | 1,465 | 1,563,324 | |
2.739% to 10/15/29, 10/15/30(11) | 485 | 522,971 | |
2.956% to 5/13/30, 5/13/31(11) | 358 | 383,635 | |
Series S, 6.75% to 2/1/24(11)(12) | 77 | 83,519 | |
Kemper Corp., 2.40%, 9/30/30 | 105 | 103,638 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 758 | 788,890 | |
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(11) | 860 | 892,532 | |
Macquarie Bank, Ltd., 3.624%, 6/3/30(1) | 744 | 792,498 | |
Marsh & McLennan Cos., Inc., 1.418%, (3 mo. USD LIBOR + 1.20%), 12/29/21(4) | 379 | 379,376 | |
Morgan Stanley: | |||
0.786%, (SOFR + 0.70%), 1/20/23(4) | 2,321 | 2,327,777 | |
1.664%, (3 mo. USD LIBOR + 1.40%), 10/24/23(4) | 550 | 559,121 | |
3.622% to 4/1/30, 4/1/31(11) | 725 | 829,830 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 575 | 623,980 | |
Nationwide Building Society, 3.96% to 7/18/29, 7/18/30(1)(11) | 677 | 764,812 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 232 | 241,825 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 5,700 | 6,043,135 | |
Prologis, L.P., 1.25%, 10/15/30 | 510 | 498,515 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 891 | 888,772 | |
6.625%, 3/15/25 | 77 | 81,379 | |
SBA Tower Trust, 3.722%, 4/9/48(1) | 1,100 | 1,139,931 | |
SITE Centers Corp., 3.625%, 2/1/25 | 517 | 528,788 | |
Standard Chartered PLC, 6.00% to 7/26/25(1)(7)(11)(12) | 771 | 786,420 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 932 | 1,032,224 |
Security | Principal Amount (000's omitted)* | Value | |
Financial (continued) | |||
Synovus Bank/Columbus, GA, 2.289% to 2/10/22, 2/10/23(11) | 1,529 | $ 1,548,049 | |
Synovus Financial Corp.: | |||
3.125%, 11/1/22(7) | 311 | 319,893 | |
5.90% to 2/7/24, 2/7/29(11) | 71 | 73,354 | |
Truist Financial Corp., 5.10% to 3/1/30(11)(12) | 986 | 1,068,282 | |
UBS Group AG, 1.364% to 1/30/26, 1/30/27(1)(11) | 265 | 265,136 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(11) | 345 | 352,172 | |
Visa, Inc., 2.00%, 8/15/50 | 1,009 | 936,506 | |
Welltower, Inc., 2.75%, 1/15/31 | 629 | 647,030 | |
$ 70,597,693 | |||
Government - Multinational — 0.5% | |||
Asian Development Bank, 3.125%, 9/26/28 | 1,160 | $ 1,379,709 | |
International Bank for Reconstruction & Development, 3.125%, 11/20/25 | 2,600 | 2,951,264 | |
International Finance Corp., 7.50%, 5/9/22 | BRL | 1,315 | 250,881 |
$ 4,581,854 | |||
Industrial — 1.3% | |||
AP Moller - Maersk A/S, 4.50%, 6/20/29(1) | 105 | $ 118,416 | |
Cemex SAB de CV, 7.375%, 6/5/27(1) | 320 | 346,206 | |
FedEx Corp.: | |||
4.10%, 2/1/45 | 117 | 134,143 | |
4.55%, 4/1/46 | 700 | 843,762 | |
Flowserve Corp., 3.50%, 10/1/30 | 473 | 469,284 | |
Ingram Micro, Inc., 5.45%, 12/15/24 | 27 | 28,862 | |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 1,307 | 1,336,911 | |
3.60%, 1/15/30 | 1,756 | 1,870,412 | |
3.95%, 1/12/28 | 187 | 204,668 | |
4.70%, 9/15/22 | 1,239 | 1,328,749 | |
JSL Europe S.A., 7.75%, 7/26/24(1) | 200 | 206,750 | |
nVent Finance S.a.r.l., 4.55%, 4/15/28 | 1,965 | 2,122,801 | |
Owens Corning: | |||
3.95%, 8/15/29 | 1,695 | 1,922,112 | |
4.30%, 7/15/47 | 268 | 294,938 | |
4.40%, 1/30/48 | 100 | 111,683 | |
SMBC Aviation Capital Finance DAC, 2.65%, 7/15/21(1) | 540 | 544,684 | |
Valmont Industries, Inc.: | |||
5.00%, 10/1/44 | 110 | 121,775 | |
5.25%, 10/1/54 | 675 | 734,483 | |
$ 12,740,639 |
Security | Principal Amount (000's omitted)* | Value | |
Other Revenue — 0.2% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | 1,625 | $ 1,657,979 | |
$ 1,657,979 | |||
Technology — 0.7% | |||
DXC Technology Co.: | |||
4.00%, 4/15/23 | 821 | $ 865,015 | |
4.125%, 4/15/25 | 644 | 696,550 | |
4.75%, 4/15/27 | 153 | 170,564 | |
Hewlett Packard Enterprise Co.: | |||
0.929%, (3 mo. USD LIBOR + 0.68%), 3/12/21(4) | 516 | 517,076 | |
1.024%, (3 mo. USD LIBOR + 0.72%), 10/5/21(4) | 525 | 525,076 | |
HP, Inc., 3.40%, 6/17/30 | 1,315 | 1,412,656 | |
Microsoft Corp., 2.40%, 8/8/26 | 575 | 627,172 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29(1) | 856 | 927,496 | |
4.875%, 3/1/24 | 480 | 522,553 | |
5.75%, 12/1/34 | 390 | 443,673 | |
Western Digital Corp., 4.75%, 2/15/26(7) | 357 | 386,006 | |
$ 7,093,837 | |||
Utilities — 1.1% | |||
American Water Capital Corp., 2.95%, 9/1/27 | 750 | $ 830,465 | |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 1,956 | 2,135,580 | |
3.80%, 6/1/29 | 1,635 | 1,890,183 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 429 | 495,272 | |
Enel Finance International NV, 2.65%, 9/10/24(1) | 1,256 | 1,332,965 | |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 200 | 216,250 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 500 | 554,862 | |
4.25%, 7/15/49 | 735 | 955,220 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 798 | 832,912 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 586 | 603,820 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 46 | 47,485 | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | 548 | 640,427 | |
Sempra Energy, 4.875% to 10/15/25(11)(12) | 164 | 168,920 | |
$ 10,704,361 | |||
Total Corporate Bonds (identified cost $154,820,352) | $ 160,617,243 |
High Social Impact Investments — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(9)(13) | $ | 2,616 | $ 2,602,270 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 2.07%, 11/3/20(9)(14) | 393 | 380,440 | |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/20(9)(14) | 506 | 436,445 | |
Total High Social Impact Investments (identified cost $3,514,531) | $ 3,419,155 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Mortgage Real Estate Investment Trusts (REITs) — 0.0%(10) | |||
AGNC Investment Corp., Series F, 6.125% to 4/15/25(11) | 7,500 | $ 165,900 | |
$ 165,900 | |||
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(11) | 28,581 | $ 459,011 | |
$ 459,011 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 34,000 | $ 607,580 | |
Series A2, 6.375% | 28,000 | 555,240 | |
$ 1,162,820 | |||
Venture Capital — 0.0%(10) | |||
Consensus Orthopedics, Inc.: | |||
Series A-1(6)(8)(9) | 420,683 | $ — | |
Series B(6)(8)(9) | 348,940 | — | |
Series C(6)(8)(9) | 601,710 | — | |
Kickboard: | |||
Series A(6)(8)(9) | 1,155,503 | 279,747 | |
Series A2(6)(8)(9) | 404,973 | 107,196 | |
Lumni, Inc., Series B(6)(8)(9) | 17,265 | 66,600 | |
Wind Harvest Co., Inc.(6)(8)(9) | 8,696 | — | |
$ 453,543 | |||
Total Preferred Stocks (identified cost $3,235,567) | $ 2,241,274 |
Senior Floating-Rate Loans(15) — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 590 | $ 570,132 |
$ 570,132 | |||
Drugs — 0.1% | |||
Jaguar Holding Company II, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 8/18/22 | $ | 896 | $ 894,414 |
$ 894,414 | |||
Electronics/Electrical — 0.1% | |||
Go Daddy Operating Company, LLC, Term Loan, 1.897%, (1 mo. USD LIBOR + 1.75%), 2/15/24 | $ | 118 | $ 115,800 |
Hyland Software, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 7/1/24 | 594 | 591,712 | |
MA FinanceCo., LLC, Term Loan, 2.647%, (1 mo. USD LIBOR + 2.50%), 6/21/24 | 37 | 35,568 | |
Seattle Spinco, Inc., Term Loan, 2.647%, (1 mo. USD LIBOR + 2.50%), 6/21/24 | 251 | 240,217 | |
SolarWinds Holdings, Inc., Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 196 | 193,321 | |
$ 1,176,618 | |||
Equipment Leasing — 0.0%(10) | |||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 305 | $ 298,664 |
$ 298,664 | |||
Health Care — 0.0%(10) | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (USD LIBOR + 2.50%, Floor 1.00%), 3/1/24(16) | $ | 395 | $ 387,327 |
$ 387,327 | |||
Insurance — 0.1% | |||
Asurion, LLC, Term Loan, 3.147%, (1 mo. USD LIBOR + 3.00%), 11/3/23 | $ | 465 | $ 458,800 |
$ 458,800 | |||
Leisure Goods/Activities/Movies — 0.0%(10) | |||
Bombardier Recreational Products, Inc., Term Loan, 2.147%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 167 | $ 162,288 |
$ 162,288 |
Security | Principal Amount (000's omitted) | Value | |
Lodging and Casinos — 0.0%(10) | |||
ESH Hospitality, Inc., Term Loan, 2.147%, (1 mo. USD LIBOR + 2.00%), 9/18/26 | $ | 97 | $ 94,481 |
$ 94,481 | |||
Telecommunications — 0.1% | |||
CenturyLink, Inc., Term Loan, 2.397%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 298 | $ 286,611 |
Level 3 Financing, Inc., Term Loan, 1.897%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 175 | 170,117 | |
Ziggo Financing Partnership, Term Loan, 2.652%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 475 | 459,101 | |
$ 915,829 | |||
Total Senior Floating-Rate Loans (identified cost $5,059,573) | $ 4,958,553 |
Sovereign Government Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau, 0.75%, 9/30/30 | $ | 591 | $ 587,428 |
Nacional Financiera SNC, 3.375%, 11/5/20(1) | 560 | 561,596 | |
Total Sovereign Government Bonds (identified cost $1,147,918) | $ 1,149,024 |
Taxable Municipal Obligations — 1.7% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.4% | |||
Los Angeles Unified School District, CA, 5.75%, 7/1/34(17) | $ | 800 | $ 1,118,040 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 880 | 994,074 | |
New York City, NY, 5.206%, 10/1/31(17) | 1,275 | 1,591,736 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 630 | 708,322 | |
$ 4,412,172 | |||
Special Tax Revenue — 0.6% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 935 | $ 1,000,721 |
2.484%, 6/1/27 | 665 | 712,528 | |
2.534%, 6/1/28 | 830 | 891,951 | |
2.584%, 6/1/29 | 455 | 488,979 | |
2.984%, 6/1/33 | 520 | 553,166 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(17) | $ | 400 | $ 492,628 |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(17) | 1,000 | 1,328,770 | |
$ 5,468,743 | |||
Water and Sewer — 0.7% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 270 | $ 405,354 |
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds: | |||
2.094%, 9/1/30 | 430 | 452,687 | |
2.184%, 9/1/31 | 345 | 356,568 | |
2.264%, 9/1/32 | 305 | 314,537 | |
2.344%, 9/1/33 | 335 | 345,696 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 360 | 364,964 | |
Green Bonds, 1.701%, 5/1/31 | 320 | 326,253 | |
Green Bonds, 1.951%, 5/1/34 | 190 | 192,227 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 3,420 | 3,696,712 | |
$ 6,454,998 | |||
Total Taxable Municipal Obligations (identified cost $14,895,978) | $ 16,335,913 |
U.S. Government Agencies and Instrumentalities — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.547%, 8/1/22 | $ | 305 | $ 317,716 |
2.618%, 8/1/23 | 153 | 162,823 | |
2.668%, 8/1/24 | 534 | 578,402 | |
2.738%, 8/1/25 | 534 | 591,905 | |
3.435%, 8/1/34 | 530 | 622,019 | |
3.485%, 8/1/35 | 295 | 346,492 | |
3.585%, 8/1/37 | 547 | 629,342 | |
U.S. International Development Finance Corp.: | |||
3.22%, 9/15/29 | 788 | 893,259 | |
3.52%, 9/20/32 | 812 | 950,340 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $4,633,450) | $ 5,092,298 |
U.S. Government Agency Mortgage-Backed Securities — 4.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., 3.50%, 3/1/48 | $ | 715 | $ 756,902 |
Federal National Mortgage Association: | |||
30-Year, 2.00%, TBA(18) | 1,540 | 1,592,850 | |
30-Year, 2.50%, TBA(18) | 13,450 | 14,115,141 | |
30-Year, 3.00%, TBA(18) | 16,500 | 17,288,902 | |
Pool #AN1879, 2.65%, with maturity at 6/1/26 | 602 | 659,379 | |
Pool #AN1909, 2.68%, with maturity at 7/1/26 | 650 | 715,709 | |
Pool #BM3990, 4.00%, with maturity at 3/1/48 | 1,308 | 1,402,391 | |
Pool #MA3149, 4.00%, with maturity at 10/1/47 | 2,089 | 2,240,093 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $38,678,898) | $ 38,771,367 |
U.S. Treasury Obligations — 2.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
2.00%, 2/15/50 | $ | 1,032 | $ 1,167,531 |
2.375%, 11/15/49 | 275 | 335,833 | |
2.875%, 5/15/49 | 815 | 1,091,431 | |
3.125%, 5/15/48 | 371 | 515,893 | |
U.S. Treasury Inflation-Protected Notes: | |||
0.625%, 4/15/23(19) | 190 | 198,555 | |
0.75%, 7/15/28(19) | 10,402 | 11,987,246 | |
U.S. Treasury Notes: | |||
0.25%, 5/31/25(7) | 2,150 | 2,149,832 | |
0.25%, 6/30/25 | 1,055 | 1,054,423 | |
0.625%, 5/15/30 | 1,266 | 1,261,648 | |
0.625%, 8/15/30 | 34 | 33,806 | |
1.125%, 2/28/22 | 6,170 | 6,256,525 | |
1.625%, 10/15/20 | 656 | 656,385 | |
1.625%, 12/31/21 | 950 | 967,553 | |
1.75%, 10/31/20 | 656 | 656,887 | |
Total U.S. Treasury Obligations (identified cost $26,405,768) | $ 28,333,548 |
Venture Capital Debt Obligations — 0.0%(10) |
Security | Principal Amount (000's omitted) | Value | |
Kickboard Bridge Note, 8.00%, 4/6/21(8)(9) | $ | 41 | $ 40,196 |
Total Venture Capital Debt Obligations (identified cost $41,000) | $ 40,196 |
Venture Capital Limited Partnership Interests — 0.0%(10) |
Security | Value | ||
Commons Capital, L.P.(6)(8)(9) | $ 25,061 | ||
First Analysis Private Equity Fund IV, L.P.(6)(8)(9) | 228,521 | ||
GEEMF Partners, L.P.(6)(8)(9)(13) | 11,713 | ||
Global Environment Emerging Markets Fund, L.P.(6)(8)(9) | 32,637 | ||
Solstice Capital, L.P.(6)(8)(9) | 24,762 | ||
Total Venture Capital Limited Partnership Interests (identified cost $132,194) | $ 322,694 |
Short-Term Investments — 3.6% | |||
Other — 3.4% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(20) | 33,085,988 | $ 33,089,296 | |
Total Other (identified cost $33,090,924) | $ 33,089,296 | ||
Securities Lending Collateral — 0.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(21) | 1,780,591 | $ 1,780,591 | |
Total Securities Lending Collateral (identified cost $1,780,591) | $ 1,780,591 | ||
Total Short-Term Investments (identified cost $34,871,515) | $ 34,869,887 | ||
Total Investments — 103.6% (identified cost $832,380,533) | $ 1,004,301,735 | ||
Other Assets, Less Liabilities — (3.6)% | $ (35,345,386) | ||
Net Assets — 100.0% | $ 968,956,349 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
* | In U.S. dollars unless otherwise indicated. | |
(1) | 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 $99,201,546 or 10.2% of the Fund's net assets. | |
(2) | When-issued security. | |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2020. | |
(4) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2020. |
(5) | Step coupon security. Interest rate represents the rate in effect at September 30, 2020. |
(6) | Non-income producing security. |
(7) | 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 $1,809,753. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(9) | Restricted security. Total market value of restricted securities amounts to $6,357,955, which represents 0.7% of the net assets of the Fund as of September 30, 2020. |
(10) | Amount is less than 0.05%. |
(11) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | Affiliated company (see Note 8). |
(14) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at September 30, 2020. |
(15) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate ("LIBOR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Base lending rates may be subject to a floor, or minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(16) | The stated interest rate represents the weighted average interest rate at September 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(17) | Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
(18) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(19) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(20) | 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. |
(21) | Represents investment of cash collateral received in connection with securities lending. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 119,883 | USD | 142,376 | State Street Bank and Trust Company | 11/30/20 | $ — | $ (1,647) |
USD | 157,145 | EUR | 132,700 | State Street Bank and Trust Company | 11/30/20 | 1,371 | — |
$1,371 | $(1,647) |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 21 | Long | 12/31/20 | $ 4,640,180 | $ 1,332 |
U.S. Long Treasury Bond | 15 | Long | 12/21/20 | 2,644,219 | (7,997) |
U.S. Ultra-Long Treasury Bond | 79 | Long | 12/21/20 | 17,523,188 | (127,917) |
U.S. 5-Year Treasury Note | (34) | Short | 12/31/20 | (4,285,063) | (5,636) |
U.S. Long Treasury Bond | (2) | Short | 12/21/20 | (352,563) | 3,059 |
U.S. Ultra 10-Year Treasury Note | (368) | Short | 12/21/20 | (58,851,250) | (127,467) |
U.S. Ultra-Long Treasury Bond | (6) | Short | 12/21/20 | (1,330,875) | 10,160 |
$(254,466) |
Description | Acquisition Dates | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | $2,615,531 |
CFBanc Corp., Common Stock | 3/14/03 | 270,000 |
Commons Capital, L.P. | 2/15/01-12/27/11 | 132,194 |
Consensus Orthopedics, Inc., Common Stock | 2/10/06 | 504,331 |
Consensus Orthopedics, Inc., Series A-1, Preferred | 8/19/05 | 4,331 |
Consensus Orthopedics, Inc., Series B, Preferred | 2/10/06 | 139,576 |
Consensus Orthopedics, Inc., Series C, Preferred | 2/10/06 | 120,342 |
First Analysis Private Equity Fund IV, L.P. | 2/25/02-7/6/11 | 0 |
GEEMF Partners, L.P. | 2/28/97 | 0 |
Global Environment Emerging Markets Fund, L.P. | 1/14/94-2/1/95 | 0 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 2.07%, 11/3/20 | 11/13/15 | 393,000 |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/20 | 11/13/15 | 506,000 |
Kickboard, Common Stock | 5/23/13 | 0 |
Kickboard, Series A, Preferred | 2/12/13 | 285,328 |
Kickboard, Series A2, Preferred | 6/19/14 | 100,000 |
Kickboard Bridge Note, 8.00%, 4/6/21 | 9/16/15 | 41,000 |
Learn Capital Venture Partners III, L.P., Common Stock | 8/30/16-4/7/20 | 1,013,198 |
Lumni, Inc., Series B, Preferred | 8/8/13 | 116,367 |
Neighborhood Bancorp, Class A, Common Stock | 6/25/97 | 100,000 |
Solstice Capital, L.P. | 6/26/01-6/17/08 | 0 |
Wind Harvest Co., Inc., Preferred | 5/16/94 | 100,000 |
Abbreviations: | |
ADR | – American Depositary Receipt |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
BRL | – Brazilian Real |
EUR | – Euro |
USD | – United States Dollar |
Asset-Backed Securities — 14.0% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 1,611 | $ 1,679,209 |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 9,486 | 9,023,461 | |
Conn's Receivables Funding, LLC: | |||
Series 2018-A, Class A, 3.25%, 1/15/23(1) | 35 | 34,898 | |
Series 2019-A, Class A, 3.40%, 10/16/23(1) | 358 | 359,235 | |
Series 2019-B, Class A, 2.66%, 6/17/24(1) | 2,899 | 2,898,200 | |
Credit Acceptance Auto Loan Trust, Series 2017-3A, Class A, 2.65%, 6/15/26(1) | 28 | 27,884 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 673 | 713,667 | |
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40(1) | 451 | 459,668 | |
Driven Brands Funding, LLC: | |||
Series 2015-1A, Class A2, 5.216%, 7/20/45(1) | 3,353 | 3,498,526 | |
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 5,497 | 5,806,278 | |
Element Rail Leasing I, LLC: | |||
Series 2014-1A, Class A1, 2.299%, 4/19/44(1) | 72 | 72,569 | |
Series 2014-1A, Class B1, 4.406%, 4/19/44(1) | 2,200 | 2,214,065 | |
ExteNet, LLC, Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 4,625 | 4,722,665 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2I, 3.857%, 4/30/47(1) | 5,723 | 5,310,859 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 1,205 | 991,626 | |
Hardee's Funding, LLC, Series 2018-1A, Class A2I, 4.25%, 6/20/48(1) | 3,283 | 3,314,475 | |
Helios Issuer, LLC, Series 2020-AA, Class A, 2.98%, 6/20/47(1) | 4,136 | 4,314,301 | |
Hertz Fleet Lease Funding, L.P., Series 2017-1, Class A2, 2.13%, 4/10/31(1) | 813 | 813,258 | |
InSite Issuer, LLC, Series 2016-1A, Class A, 2.883%, 11/15/46(1) | 1,985 | 2,039,948 | |
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 4,928 | 5,078,081 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 3,578 | 3,828,958 | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 970 | 657,834 | |
Series 2020-1A, Class C, 6.413%, 2/15/45(1) | 323 | 148,031 | |
Marlette Funding Trust, Series 2020-2A, Class B, 1.83%, 9/16/30(1) | 2,510 | 2,521,802 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 3,403 | 3,655,289 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 13,360 | 13,714,355 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 1,495 | 1,477,792 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 1,288 | 1,319,406 |
Security | Principal Amount (000's omitted) | Value | |
Mosaic Solar Loan Trust: (continued) | |||
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | $ | 1,078 | $ 1,108,078 |
Series 2020-2A, Class A, 1.44%, 8/20/46(1)(2) | 2,440 | 2,421,623 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1)(2) | 3,040 | 2,996,383 | |
Mosaic Solar Loans LLC, Series 2017-1A, Class A, 4.45%, 6/20/42(1) | 198 | 212,800 | |
OneMain Financial Issuance Trust, Series 2017-1A, Class A1, 2.37%, 9/14/32(1) | 2,294 | 2,298,530 | |
Oportun Funding IX, LLC, Series 2018-B, Class A, 3.91%, 7/8/24(1) | 5,777 | 5,878,591 | |
Oportun Funding VIII, LLC: | |||
Series 2018-A, Class A, 3.61%, 3/8/24(1) | 9,016 | 9,040,005 | |
Series 2018-A, Class B, 4.45%, 3/8/24(1) | 3,107 | 3,116,213 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 7,928 | 7,969,127 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 3,141 | 2,958,828 | |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25(1) | 161 | 161,551 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49(1) | 3,300 | 3,485,092 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 13,239 | 14,035,879 | |
Small Business Lending Trust: | |||
Series 2019-A, Class A, 2.85%, 7/15/26(1) | 1,608 | 1,583,173 | |
Series 2020-A, Class A, 2.62%, 12/15/26(1) | 2,274 | 2,258,496 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 1,941 | 1,900,758 | |
SolarCity LMC Series III, LLC: | |||
Series 2014-2, Class A, 4.02%, 7/20/44(1) | 11,677 | 11,797,621 | |
Series 2014-2, Class B, 5.44%, 7/20/44(1) | 5,507 | 5,376,043 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 7,553 | 8,030,029 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 8,405 | 8,450,546 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28(1) | 206 | 211,178 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 26,981 | 29,139,295 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 2,210 | 2,268,551 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 1,468 | 1,486,212 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 2,899 | 3,049,499 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 1,528 | 1,572,411 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 3,777 | 3,857,087 | |
Tesla Auto Lease Trust: | |||
Series 2018-B, Class A, 3.71%, 8/20/21(1) | 4,856 | 4,901,993 | |
Series 2018-B, Class C, 4.36%, 10/20/21(1) | 3,075 | 3,155,125 |
Security | Principal Amount (000's omitted) | Value | |
Tesla Auto Lease Trust: (continued) | |||
Series 2019-A, Class A2, 2.13%, 4/20/22(1) | $ | 1,865 | $ 1,885,820 |
Series 2019-A, Class A3, 2.16%, 10/20/22(1) | 11,727 | 12,024,445 | |
Series 2019-A, Class A4, 2.20%, 11/21/22(1) | 2,355 | 2,421,824 | |
Series 2020-A, Class A3, 0.68%, 12/20/23(1) | 977 | 982,123 | |
Series 2020-A, Class A4, 0.78%, 12/20/23(1) | 1,236 | 1,244,378 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 4,815 | 5,164,188 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-1A, Class A2, 4.072%, 2/16/43(1) | 5,098 | 5,285,970 | |
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 2,160 | 2,243,100 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 5,925 | 6,064,856 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1)(2) | 7,960 | 7,983,554 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 6,430 | 6,478,559 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 2,365 | 1,444,734 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 1,083 | 473,929 | |
Total Asset-Backed Securities (identified cost $276,231,309) | $ 279,114,537 |
Collateralized Mortgage-Backed Obligations — 12.1% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | $ | 19,890 | $ 21,837,024 |
Series KG03, Class A2, 1.297%, 6/25/30(3) | 4,615 | 4,697,378 | |
Series KW06, Class A2, 3.80%, 6/25/28(3) | 5,335 | 6,362,952 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(3) | 1,896 | 2,155,780 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2017-DNA3, Class M2, 2.648%, (1 mo. USD LIBOR + 2.50%), 3/25/30(4) | 6,871 | 6,945,237 | |
Series 2017-HQA2, Class M2, 2.798%, (1 mo. USD LIBOR + 2.65%), 12/25/29(4) | 1,465 | 1,454,473 | |
Series 2018-DNA1, Class M2, 1.948%, (1 mo. USD LIBOR + 1.80%), 7/25/30(4) | 1,792 | 1,762,105 | |
Series 2018-DNA1, Class M2AT, 1.198%, (1 mo. USD LIBOR + 1.05%), 7/25/30(4) | 3,831 | 3,815,368 | |
Series 2019-DNA3, Class M2, 2.198%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(4) | 7,830 | 7,690,372 | |
Series 2019-DNA4, Class M2, 2.098%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(4) | 3,519 | 3,491,283 | |
Series 2020-DNA1, Class M1, 0.848%, (1 mo. USD LIBOR + 0.70%), 1/25/50(1)(4) | 651 | 651,795 | |
Series 2020-DNA2, Class M1, 0.898%, (1 mo. USD LIBOR + 0.75%), 2/25/50(1)(4) | 3,265 | 3,265,210 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: (continued) | |||
Series 2020-DNA4, Class M1, 1.648%, (1 mo. USD LIBOR + 1.50%), 8/25/50(1)(4) | $ | 2,020 | $ 2,031,178 |
Series 2020-HQA1, Class M1, 0.898%, (1 mo. USD LIBOR + 0.75%), 1/25/50(1)(4) | 378 | 377,279 | |
Federal National Mortgage Association: | |||
Series 2017-M2, Class A1, 2.801%, 2/25/27(3) | 954 | 986,221 | |
Series 2017-M13, Class A2, 2.939%, 9/25/27(3) | 6,508 | 7,383,516 | |
Series 2018-M4, Class A2, 3.045%, 3/25/28(3) | 8,534 | 9,768,947 | |
Series 2018-M8, Class A2, 3.325%, 6/25/28(3) | 4,628 | 5,383,522 | |
Series 2018-M13, Class A2, 3.697%, 9/25/30(3) | 17,300 | 21,195,040 | |
Series 2019-M1, Class A2, 3.555%, 9/25/28(3) | 15,102 | 17,979,602 | |
Series 2019-M9, Class A2, 2.937%, 4/25/29 | 3,799 | 4,302,878 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 43,238 | 47,777,138 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 13,443 | 14,535,195 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 9,220 | 9,486,475 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 5.398%, (1 mo. USD LIBOR + 5.25%), 10/25/23(4) | 2,233 | 2,180,591 | |
Series 2014-C02, Class 1M2, 2.748%, (1 mo. USD LIBOR + 2.60%), 5/25/24(4) | 3,810 | 3,336,127 | |
Series 2014-C02, Class 2M2, 2.748%, (1 mo. USD LIBOR + 2.60%), 5/25/24(4) | 1,338 | 1,326,047 | |
Series 2014-C03, Class 1M2, 3.148%, (1 mo. USD LIBOR + 3.00%), 7/25/24(4) | 5,065 | 4,439,922 | |
Series 2014-C03, Class 2M2, 3.048%, (1 mo. USD LIBOR + 2.90%), 7/25/24(4) | 1,996 | 1,991,687 | |
Series 2014-C04, Class 1M2, 5.048%, (1 mo. USD LIBOR + 4.90%), 11/25/24(4) | 9,316 | 9,672,629 | |
Series 2017-C06, Class 1M2, 2.798%, (1 mo. USD LIBOR + 2.65%), 2/25/30(4) | 1,893 | 1,885,315 | |
Series 2018-R07, Class 1M2, 2.548%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(4) | 2,827 | 2,819,795 | |
Series 2019-R05, Class 1M2, 2.148%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(4) | 1,428 | 1,426,182 | |
Series 2020-R01, Class 1M1, 0.948%, (1 mo. USD LIBOR + 0.80%), 1/25/40(1)(4) | 2,864 | 2,865,947 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 1,954 | 2,168,732 | |
Toorak Mortgage Corp., Ltd.,Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(5) | 2,220 | 2,252,782 | |
Total Collateralized Mortgage-Backed Obligations (identified cost $227,231,734) | $ 241,701,724 |
Commercial Mortgage-Backed Securities — 3.3% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.719%, 11/5/32(1)(3) | $ | 9,685 | $ 7,341,064 |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(3) | 4,805 | 3,045,470 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 1.072%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(4) | 9,237 | 9,256,019 | |
Series 2019-XL, Class B, 1.232%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(4) | 3,004 | 3,006,335 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 3.398%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(4) | 505 | 469,945 | |
Series 2020-01, Class M10, 3.898%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(4) | 4,944 | 4,656,800 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 2,335 | 700,930 | |
Series 2014-DSTY, Class C, 3.805%, 6/10/27(1)(3) | 385 | 64,696 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 0.852%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(4) | 5,165 | 5,155,111 | |
Series 2019-BPR, Class A, 1.552%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(4) | 9,890 | 9,496,378 | |
Motel 6 Trust: | |||
Series 2017-MTL6, Class C, 1.552%, (1 mo. USD LIBOR + 1.40%), 8/15/34(1)(4) | 9,521 | 9,311,661 | |
Series 2017-MTL6, Class D, 2.302%, (1 mo. USD LIBOR + 2.15%), 8/15/34(1)(4) | 907 | 884,200 | |
Series 2017-MTL6, Class E, 3.402%, (1 mo. USD LIBOR + 3.25%), 8/15/34(1)(4) | 802 | 784,018 | |
RETL Trust: | |||
Series 2019-RVP, Class A, 1.302%, (1 mo. USD LIBOR + 1.15%), 3/15/36(1)(4) | 792 | 793,664 | |
Series 2019-RVP, Class B, 1.702%, (1 mo. USD LIBOR + 1.55%), 3/15/36(1)(4) | 8,685 | 8,277,737 | |
WFLD Mortgage Trust: | |||
Series 2014-MONT, Class B, 3.755%, 8/10/31(1)(3) | 1,000 | 954,402 | |
Series 2014-MONT, Class C, 3.755%, 8/10/31(1)(3) | 2,700 | 2,501,151 | |
Total Commercial Mortgage-Backed Securities (identified cost $73,271,558) | $ 66,699,581 |
Corporate Bonds — 46.7% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.9% | |||
Ecolab, Inc., 2.125%, 8/15/50 | $ | 6,269 | $ 5,763,626 |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials (continued) | |||
LG Chem, Ltd.: | |||
3.25%, 10/15/24(1) | $ | 6,400 | $ 6,897,351 |
3.625%, 4/15/29(1) | 3,325 | 3,690,792 | |
Reliance Steel & Aluminum Co., 2.15%, 8/15/30 | 1,116 | 1,093,384 | |
$ 17,445,153 | |||
Communications — 5.2% | |||
Alphabet, Inc., 1.10%, 8/15/30 | $ | 5,272 | $ 5,232,001 |
AT&T, Inc.: | |||
3.10%, 2/1/43 | 10,528 | 10,328,146 | |
3.55%, 9/15/55(1) | 4,692 | 4,510,400 | |
3.65%, 6/1/51 | 9,856 | 10,002,241 | |
3.65%, 9/15/59(1) | 822 | 797,839 | |
4.30%, 2/15/30 | 5,457 | 6,470,777 | |
4.50%, 3/9/48 | 4,240 | 4,856,424 | |
4.90%, 6/15/42 | 3,000 | 3,587,321 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 10,802 | 12,407,234 | |
Comcast Corp.: | |||
2.45%, 8/15/52 | 7,484 | 7,034,419 | |
4.70%, 10/15/48 | 3,180 | 4,222,670 | |
Crown Castle Towers, LLC, 3.663%, 5/15/45(1) | 2,100 | 2,253,467 | |
Discovery Communications, LLC, 5.20%, 9/20/47 | 7,269 | 8,727,939 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 1,500 | 1,895,102 | |
T-Mobile USA, Inc.: | |||
2.55%, 2/15/31(1) | 2,306 | 2,392,083 | |
4.50%, 4/15/50(1) | 5,412 | 6,515,155 | |
Verizon Communications, Inc.: | |||
1.50%, 9/18/30 | 7,001 | 6,987,801 | |
3.875%, 2/8/29 | 5,457 | 6,462,367 | |
$ 104,683,386 | |||
Consumer, Cyclical — 3.9% | |||
American Airlines Pass-Through Trust: | |||
4.40%, 9/22/23 | $ | 1,564 | $ 1,131,423 |
5.25%, 1/15/24 | 2,246 | 1,559,171 | |
Azul Investments, LLP, 5.875%, 10/26/24(1)(6) | 1,490 | 1,120,495 | |
Best Buy Co., Inc., 1.95%, 10/1/30(2) | 3,671 | 3,654,551 | |
Delta Air Lines, Inc., 7.375%, 1/15/26 | 6,708 | 7,041,459 | |
Ford Motor Credit Co., LLC: | |||
1.114%, (3 mo. USD LIBOR + 0.81%), 4/5/21(4) | 1,460 | 1,438,734 | |
1.146%, (3 mo. USD LIBOR + 0.88%), 10/12/21(4) | 5,522 | 5,306,109 | |
1.331%, (3 mo. USD LIBOR + 1.08%), 8/3/22(4) | 6,600 | 6,255,674 | |
2.979%, 8/3/22 | 13,035 | 12,894,743 | |
3.087%, 1/9/23 | 4,205 | 4,129,226 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
Ford Motor Credit Co., LLC: (continued) | |||
4.14%, 2/15/23 | $ | 1,770 | $ 1,789,859 |
Home Depot, Inc. (The), 2.70%, 4/15/30 | 2,866 | 3,196,484 | |
Macy's Retail Holdings, LLC: | |||
2.875%, 2/15/23 | 6,787 | 5,522,921 | |
3.875%, 1/15/22 | 2,465 | 2,335,588 | |
4.375%, 9/1/23 | 2,221 | 1,721,275 | |
Magna International, Inc., 2.45%, 6/15/30 | 3,814 | 4,021,351 | |
Nordstrom, Inc.: | |||
4.375%, 4/1/30(6) | 5,866 | 4,752,985 | |
5.00%, 1/15/44 | 5,689 | 4,035,390 | |
Tapestry, Inc., 4.125%, 7/15/27 | 5,541 | 5,459,160 | |
$ 77,366,598 | |||
Consumer, Non-cyclical — 4.3% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 1,014 | $ 1,054,560 |
4.25%, 11/1/29(1) | 5,174 | 5,460,621 | |
Becton Dickinson and Co., 2.894%, 6/6/22 | 1,667 | 1,724,958 | |
Block Financial, LLC, 3.875%, 8/15/30 | 4,627 | 4,657,209 | |
Centene Corp.: | |||
3.375%, 2/15/30 | 2,435 | 2,530,123 | |
4.25%, 12/15/27 | 2,693 | 2,824,270 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 3,930 | 3,943,893 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 3,965 | 4,288,891 | |
CVS Health Corp.: | |||
2.625%, 8/15/24 | 1,508 | 1,608,558 | |
3.00%, 8/15/26 | 8,284 | 9,060,766 | |
4.30%, 3/25/28 | 8,196 | 9,599,970 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 1,587 | 1,804,151 | |
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30 | 1,880 | 2,045,866 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 10,210 | 9,840,937 | |
Ford Foundation (The), 2.415%, 6/1/50 | 6,560 | 6,756,557 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 4,091 | 4,586,842 | |
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 4,241 | 4,366,825 | |
President and Fellows of Harvard College, 3.619%, 10/1/37 | 1,000 | 1,216,377 | |
Royalty Pharma PLC, 2.20%, 9/2/30(1) | 6,954 | 6,928,685 | |
Smithfield Foods, Inc., 3.00%, 10/15/30(1) | 1,114 | 1,127,318 | |
$ 85,427,377 | |||
Energy — 0.8% | |||
National Oilwell Varco, Inc., 3.60%, 12/1/29 | $ | 2,142 | $ 2,081,445 |
Security | Principal Amount (000's omitted) | Value | |
Energy (continued) | |||
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | $ | 3,260 | $ 3,470,955 |
5.00%, 1/31/28(1) | 9,237 | 10,128,832 | |
$ 15,681,232 | |||
Financial — 21.4% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
4.45%, 12/16/21 | $ | 5,355 | $ 5,472,126 |
4.50%, 9/15/23 | 4,780 | 4,929,155 | |
5.00%, 10/1/21 | 2,362 | 2,435,309 | |
6.50%, 7/15/25 | 2,742 | 2,963,813 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 6,123 | 6,553,597 | |
Aflac, Inc., 3.60%, 4/1/30 | 4,301 | 5,045,582 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 3,899 | 3,661,843 | |
Andrew W Mellon Foundation (The), 0.947%, 8/1/27 | 5,050 | 5,056,014 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(7) | 6,352 | 6,586,553 | |
Banco Santander S.A., 2.746%, 5/28/25 | 1,800 | 1,894,393 | |
Bank of America Corp.: | |||
0.981% to 9/25/24, 9/25/25(7) | 15,849 | 15,857,718 | |
1.451%, (3 mo. USD LIBOR + 1.18%), 10/21/22(4) | 2,155 | 2,177,779 | |
1.898% to 7/23/30, 7/23/31(7) | 8,200 | 8,189,416 | |
2.456% to 10/22/24, 10/22/25(7) | 9,093 | 9,597,974 | |
2.676% to 6/19/40, 6/19/41(7) | 10,633 | 10,903,074 | |
3.419% to 12/20/27, 12/20/28(7) | 5,369 | 5,987,981 | |
3.499% to 5/17/21, 5/17/22(7) | 6,741 | 6,867,672 | |
3.593% to 7/21/27, 7/21/28(7) | 6,450 | 7,233,072 | |
3.824% to 1/20/27, 1/20/28(7) | 6,032 | 6,842,141 | |
3.974% to 2/7/29, 2/7/30(7) | 1,960 | 2,281,141 | |
Bank of Montreal, 2.05%, 11/1/22 | 11,317 | 11,712,630 | |
Bank of Nova Scotia (The): | |||
1.625%, 5/1/23 | 6,295 | 6,460,504 | |
2.375%, 1/18/23 | 7,809 | 8,139,551 | |
BankUnited, Inc., 5.125%, 6/11/30 | 4,179 | 4,599,252 | |
BBVA Bancomer S.A./Texas, 1.875%, 9/18/25(1) | 4,136 | 4,046,042 | |
Capital One Financial Corp.: | |||
3.30%, 10/30/24 | 4,779 | 5,183,764 | |
4.20%, 10/29/25 | 2,100 | 2,330,319 | |
Citigroup, Inc.: | |||
1.678% to 5/15/23, 5/15/24(7) | 11,282 | 11,567,091 | |
2.65%, 10/26/20 | 3,435 | 3,440,565 | |
2.666% to 1/29/30, 1/29/31(7) | 5,930 | 6,249,968 | |
2.976% to 11/5/29, 11/5/30(7) | 5,823 | 6,305,348 | |
3.106% to 4/8/25, 4/8/26(7) | 4,706 | 5,070,455 | |
3.887% to 1/10/27, 1/10/28(7) | 16,815 | 19,040,304 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Citizens Bank NA, 2.55%, 5/13/21 | $ | 1,400 | $ 1,416,637 |
Citizens Financial Group, Inc.: | |||
2.375%, 7/28/21 | 1,475 | 1,496,541 | |
2.638%, 9/30/32(1) | 702 | 701,812 | |
Commonwealth Bank of Australia: | |||
2.50%, 9/18/22(1) | 2,120 | 2,214,058 | |
3.61% to 9/12/29, 9/12/34(1)(7) | 2,947 | 3,211,996 | |
Digital Realty Trust, L.P., 4.75%, 10/1/25 | 2,035 | 2,382,606 | |
Discover Bank: | |||
2.70%, 2/6/30 | 2,285 | 2,397,101 | |
3.45%, 7/27/26 | 1,750 | 1,917,701 | |
4.682% to 8/9/23, 8/9/28(7) | 4,790 | 5,025,452 | |
Discover Financial Services: | |||
3.95%, 11/6/24 | 1,500 | 1,652,011 | |
6.125% to 6/23/25(7)(8) | 3,763 | 3,989,909 | |
Empower Finance 2020, L.P., 1.776%, 3/17/31(1) | 2,785 | 2,787,255 | |
Goldman Sachs Group, Inc. (The): | |||
2.905% to 7/24/22, 7/24/23(7) | 3,656 | 3,792,590 | |
2.908% to 6/5/22, 6/5/23(7) | 7,700 | 7,978,064 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
5.25%, 7/15/24(1) | 5,818 | 6,074,283 | |
6.00%, 4/15/25(1) | 296 | 315,699 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 3,488 | 3,513,776 | |
5.00%, 7/15/28(1) | 1,050 | 1,077,552 | |
JPMorgan Chase & Co.: | |||
2.522% to 4/22/30, 4/22/31(7) | 6,500 | 6,936,249 | |
2.739% to 10/15/29, 10/15/30(7) | 4,603 | 4,963,371 | |
2.956% to 5/13/30, 5/13/31(7) | 2,688 | 2,880,477 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 4,662 | 4,851,983 | |
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(7) | 5,017 | 5,206,782 | |
Macquarie Bank, Ltd., 3.624%, 6/3/30(1) | 3,355 | 3,573,698 | |
Marsh & McLennan Cos., Inc., 1.418%, (3 mo. USD LIBOR + 1.20%), 12/29/21(4) | 1,779 | 1,780,766 | |
Morgan Stanley: | |||
0.786%, (SOFR + 0.70%), 1/20/23(4) | 13,439 | 13,478,237 | |
1.664%, (3 mo. USD LIBOR + 1.40%), 10/24/23(4) | 2,190 | 2,226,318 | |
3.622% to 4/1/30, 4/1/31(7) | 5,700 | 6,524,177 | |
4.875%, 11/1/22 | 2,075 | 2,245,257 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 2,650 | 2,875,735 | |
Nationwide Building Society, 3.96% to 7/18/29, 7/18/30(1)(7) | 3,845 | 4,343,726 | |
PNC Bank NA, 2.70%, 11/1/22 | 5,000 | 5,225,143 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 34,340 | 36,407,240 | |
Prologis, L.P., 1.25%, 10/15/30 | 3,129 | 3,058,538 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Radian Group, Inc., 4.875%, 3/15/27 | $ | 4,050 | $ 4,039,875 |
Regions Financial Corp., 2.75%, 8/14/22 | 1,198 | 1,246,172 | |
SBA Tower Trust, 3.722%, 4/9/48(1) | 4,150 | 4,300,650 | |
SITE Centers Corp., 3.625%, 2/1/25 | 4,767 | 4,875,694 | |
Standard Chartered PLC, 6.00% to 7/26/25(1)(7)(8) | 3,251 | 3,316,020 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 4,782 | 5,296,237 | |
Synovus Bank/Columbus, GA, 2.289% to 2/10/22, 2/10/23(7) | 9,250 | 9,365,240 | |
Synovus Financial Corp., 3.125%, 11/1/22 | 1,267 | 1,303,230 | |
Truist Financial Corp., 5.10% to 3/1/30(7)(8) | 4,856 | 5,261,233 | |
UBS Group AG, 1.364% to 1/30/26, 1/30/27(1)(7) | 1,608 | 1,608,823 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(7) | 2,617 | 2,671,405 | |
Visa, Inc., 2.00%, 8/15/50 | 6,217 | 5,770,323 | |
Welltower, Inc., 2.75%, 1/15/31 | 3,755 | 3,862,632 | |
$ 426,122,420 | |||
Government - Multinational — 1.0% | |||
Asian Development Bank, 3.125%, 9/26/28 | $ | 5,500 | $ 6,541,724 |
International Bank for Reconstruction & Development, 3.125%, 11/20/25 | 12,050 | 13,677,971 | |
$ 20,219,695 | |||
Industrial — 3.5% | |||
Cemex SAB de CV, 7.375%, 6/5/27(1) | $ | 2,015 | $ 2,180,018 |
FedEx Corp., 4.55%, 4/1/46 | 6,410 | 7,726,445 | |
Flowserve Corp., 3.50%, 10/1/30 | 2,453 | 2,433,729 | |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 9,586 | 9,805,382 | |
3.60%, 1/15/30 | 6,161 | 6,562,420 | |
3.95%, 1/12/28 | 1,180 | 1,291,486 | |
4.70%, 9/15/22 | 3,613 | 3,874,715 | |
nVent Finance S.a.r.l., 4.55%, 4/15/28 | 10,846 | 11,716,996 | |
Owens Corning, 3.95%, 8/15/29 | 11,701 | 13,268,808 | |
SMBC Aviation Capital Finance DAC: | |||
2.65%, 7/15/21(1) | 2,040 | 2,057,693 | |
3.00%, 7/15/22(1) | 1,750 | 1,786,265 | |
3.55%, 4/15/24(1) | 3,200 | 3,360,680 | |
Valmont Industries, Inc., 5.25%, 10/1/54 | 3,846 | 4,184,921 | |
$ 70,249,558 | |||
Other Revenue — 0.5% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 9,400 | $ 9,590,773 |
$ 9,590,773 |
Security | Principal Amount (000's omitted) | Value | |
Technology — 2.5% | |||
Apple, Inc., 3.00%, 6/20/27 | $ | 5,686 | $ 6,419,179 |
DXC Technology Co.: | |||
4.00%, 4/15/23 | 3,926 | 4,136,479 | |
4.125%, 4/15/25 | 3,167 | 3,425,425 | |
4.25%, 4/15/24(6) | 879 | 950,311 | |
4.75%, 4/15/27 | 1,748 | 1,948,660 | |
Hewlett Packard Enterprise Co.: | |||
0.929%, (3 mo. USD LIBOR + 0.68%), 3/12/21(4) | 3,026 | 3,032,310 | |
1.024%, (3 mo. USD LIBOR + 0.72%), 10/5/21(4) | 3,449 | 3,449,500 | |
HP, Inc., 3.40%, 6/17/30 | 6,932 | 7,446,791 | |
Microsoft Corp., 2.525%, 6/1/50 | 3,800 | 3,988,879 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29(1) | 1,587 | 1,719,552 | |
4.875%, 3/1/24 | 2,145 | 2,335,159 | |
5.75%, 12/1/34 | 5,910 | 6,723,350 | |
Western Digital Corp., 4.75%, 2/15/26(6) | 3,873 | 4,187,681 | |
$ 49,763,276 | |||
Utilities — 2.7% | |||
American Water Capital Corp., 2.95%, 9/1/27 | $ | 3,590 | $ 3,975,161 |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 10,620 | 11,595,020 | |
3.80%, 6/1/29 | 7,100 | 8,208,133 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 2,571 | 2,968,166 | |
Enel Finance International NV, 2.65%, 9/10/24(1) | 7,485 | 7,943,665 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 3,240 | 3,595,508 | |
4.25%, 7/15/49 | 4,815 | 6,257,665 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 3,561 | 3,716,794 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 3,518 | 3,624,981 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 273 | 284,095 | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | 2,581 | 3,016,316 | |
$ 55,185,504 | |||
Total Corporate Bonds (identified cost $894,075,255) | $ 931,734,972 |
High Social Impact Investments — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(9)(10) | $ | 5,292 | $ 5,265,161 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 2.07%, 11/3/20(10)(11) | 490 | 474,340 | |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/20(10)(11) | 631 | 544,263 | |
Total High Social Impact Investments (identified cost $6,412,992) | $ 6,283,764 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(7) | 96,673 | $ 1,552,568 | |
$ 1,552,568 | |||
Real Estate Management & Development — 0.3% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 100,000 | $ 1,787,000 | |
Series A2, 6.375% | 211,400 | 4,192,062 | |
$ 5,979,062 | |||
Total Preferred Stocks (identified cost $10,040,227) | $ 7,531,630 |
Senior Floating-Rate Loans(12) — 1.4% |
Security | Principal Amount (000's omitted) | Value | |
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | ���2,604 | $ 2,518,082 |
$ 2,518,082 | |||
Drugs — 0.2% | |||
Jaguar Holding Company II, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 8/18/22 | $ | 3,878 | $ 3,869,314 |
$ 3,869,314 | |||
Electronics/Electrical — 0.4% | |||
Go Daddy Operating Company, LLC, Term Loan, 1.897%, (1 mo. USD LIBOR + 1.75%), 2/15/24 | $ | 568 | $ 557,287 |
Hyland Software, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 7/1/24 | 5,316 | 5,295,823 |
Security | Principal Amount (000's omitted) | Value | |
Electronics/Electrical (continued) | |||
MA FinanceCo., LLC, Term Loan, 2.647%, (1 mo. USD LIBOR + 2.50%), 6/21/24 | $ | 164 | $ 157,093 |
Seattle Spinco, Inc., Term Loan, 2.647%, (1 mo. USD LIBOR + 2.50%), 6/21/24 | 1,106 | 1,060,957 | |
SolarWinds Holdings, Inc., Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 904 | 889,278 | |
$ 7,960,438 | |||
Equipment Leasing — 0.1% | |||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 1,329 | $ 1,301,077 |
$ 1,301,077 | |||
Health Care — 0.1% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (USD LIBOR + 2.50%, Floor 1.00%), 3/1/24(13) | $ | 1,727 | $ 1,695,470 |
$ 1,695,470 | |||
Insurance — 0.2% | |||
Asurion, LLC, Term Loan, 3.147%, (1 mo. USD LIBOR + 3.00%), 11/3/23 | $ | 4,136 | $ 4,080,394 |
$ 4,080,394 | |||
Leisure Goods/Activities/Movies — 0.0%(14) | |||
Bombardier Recreational Products, Inc., Term Loan, 2.147%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 794 | $ 771,822 |
$ 771,822 | |||
Lodging and Casinos — 0.0%(14) | |||
ESH Hospitality, Inc., Term Loan, 2.147%, (1 mo. USD LIBOR + 2.00%), 9/18/26 | $ | 472 | $ 459,999 |
$ 459,999 | |||
Telecommunications — 0.3% | |||
CenturyLink, Inc., Term Loan, 2.397%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 2,605 | $ 2,507,845 |
Level 3 Financing, Inc., Term Loan, 1.897%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 811 | 786,378 | |
Ziggo Financing Partnership, Term Loan, 2.652%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 2,100 | 2,029,709 | |
$ 5,323,932 | |||
Total Senior Floating-Rate Loans (identified cost $28,510,070) | $ 27,980,528 |
Sovereign Government Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau, 0.75%, 9/30/30 | $ | 3,653 | $ 3,630,917 |
Nacional Financiera SNC, 3.375%, 11/5/20(1) | 3,450 | 3,459,833 | |
Total Sovereign Government Bonds (identified cost $7,083,953) | $ 7,090,750 |
Taxable Municipal Obligations — 4.4% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.8% | |||
Commonwealth of Massachusetts, 5.456%, 12/1/39(15) | $ | 750 | $ 1,058,888 |
Los Angeles Unified School District, CA, 5.75%, 7/1/34(15) | 3,750 | 5,240,812 | |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 4,770 | 5,388,335 | |
New York City, NY, 5.206%, 10/1/31(15) | 1,030 | 1,285,873 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 3,085 | 3,468,527 | |
$ 16,442,435 | |||
Special Tax Revenue — 1.7% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 5,565 | $ 5,956,164 |
2.484%, 6/1/27 | 3,980 | 4,264,451 | |
2.534%, 6/1/28 | 4,980 | 5,351,707 | |
2.584%, 6/1/29 | 2,715 | 2,917,756 | |
2.984%, 6/1/33 | 3,060 | 3,255,167 | |
3.034%, 6/1/34 | 2,195 | 2,324,022 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(15) | 3,800 | 4,679,966 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(15) | 3,540 | 4,703,846 | |
$ 33,453,079 | |||
Water and Sewer — 1.9% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 1,170 | $ 1,756,533 |
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds: | |||
2.094%, 9/1/30 | 2,495 | 2,626,636 | |
2.184%, 9/1/31 | 1,985 | 2,051,557 | |
2.264%, 9/1/32 | 1,780 | 1,835,661 | |
2.344%, 9/1/33 | 1,945 | 2,007,104 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 2,130 | 2,159,373 | |
Green Bonds, 1.701%, 5/1/31 | 1,925 | 1,962,614 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
San Diego County Water Authority, CA: (continued) | |||
Green Bonds, 1.951%, 5/1/34 | $ | 1,120 | $ 1,133,126 |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 19,705 | 21,299,331 | |
$ 36,831,935 | |||
Total Taxable Municipal Obligations (identified cost $79,348,592) | $ 86,727,449 |
U.S. Government Agencies and Instrumentalities — 1.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.547%, 8/1/22 | $ | 1,558 | $ 1,622,955 |
2.618%, 8/1/23 | 778 | 827,950 | |
2.668%, 8/1/24 | 2,726 | 2,952,667 | |
2.738%, 8/1/25 | 2,726 | 3,021,598 | |
3.435%, 8/1/34 | 3,060 | 3,591,282 | |
3.485%, 8/1/35 | 1,720 | 2,020,221 | |
3.535%, 8/1/36 | 929 | 1,067,267 | |
3.585%, 8/1/37 | 3,170 | 3,647,192 | |
3.635%, 8/1/38 | 657 | 756,106 | |
U.S. International Development Finance Corp.: | |||
1.79%, 10/15/29 | 1,812 | 1,915,497 | |
2.36%, 10/15/29 | 1,500 | 1,638,365 | |
3.22%, 9/15/29 | 2,495 | 2,828,654 | |
3.52%, 9/20/32 | 5,582 | 6,528,072 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $29,654,795) | $ 32,417,826 |
U.S. Government Agency Mortgage-Backed Securities — 12.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., 3.50%, 3/1/48 | $ | 4,406 | $ 4,669,102 |
Federal National Mortgage Association: | |||
30-Year, 2.00%, TBA(16) | 18,813 | 19,458,627 | |
30-Year, 2.50%, TBA(16) | 80,715 | 84,706,587 | |
30-Year, 3.00%, TBA(16) | 98,475 | 103,183,311 | |
Pool #AN1879, 2.65%, with maturity at 6/1/26 | 2,779 | 3,043,288 | |
Pool #AN1909, 2.68%, with maturity at 7/1/26 | 3,000 | 3,303,271 | |
Pool #BM3990, 4.00%, with maturity at 3/1/48 | 7,519 | 8,059,636 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Pool #MA3149, 4.00%, with maturity at 10/1/47 | $ | 12,082 | $ 12,954,589 |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $238,939,383) | $ 239,378,411 |
U.S. Treasury Obligations — 7.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
2.00%, 2/15/50 | $ | 2,762 | $ 3,124,728 |
2.25%, 8/15/49 | 17,265 | 20,536,583 | |
2.375%, 11/15/49 | 16,850 | 20,577,404 | |
2.875%, 5/15/49 | 4,593 | 6,150,317 | |
U.S. Treasury Inflation-Protected Notes, 0.75%, 7/15/28(17) | 59,485 | 68,551,726 | |
U.S. Treasury Notes: | |||
0.25%, 6/30/25 | 4,950 | 4,947,293 | |
0.25%, 7/31/25 | 7,900 | 7,893,211 | |
0.625%, 5/15/30 | 11,458 | 11,418,613 | |
Total U.S. Treasury Obligations (identified cost $127,837,223) | $ 143,199,875 |
Short-Term Investments — 7.0% |
Commercial Paper — 0.6% | |||
Security | Principal Amount (000's omitted) | Value | |
Jabil, Inc., 0.71%, 10/19/20(1)(18)(19) | $ | 11,576 | $ 11,573,348 |
Total Commercial Paper (identified cost $11,571,948) | $ 11,573,348 | ||
Other — 6.2% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(20) | 122,301,804 | $ 122,314,034 | |
Total Other (identified cost $122,317,976) | $ 122,314,034 |
Securities Lending Collateral — 0.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(21) | 4,220,508 | $ 4,220,508 | |
Total Securities Lending Collateral (identified cost $4,220,508) | $ 4,220,508 | ||
Total Short-Term Investments (identified cost $138,110,432) | $ 138,107,890 | ||
Total Investments — 110.8% (identified cost $2,136,747,523) | $ 2,207,968,937 |
Other Assets, Less Liabilities — (10.8)% | $ (214,330,168) | ||
Net Assets — 100.0% | $ 1,993,638,769 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | 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 $524,434,404 or 26.3% of the Fund's net assets. | |
(2) | When-issued security. | |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2020. | |
(4) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2020. | |
(5) | Step coupon security. Interest rate represents the rate in effect at September 30, 2020. | |
(6) | 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 $4,399,535. | |
(7) | Security converts to variable rate after the indicated fixed-rate coupon period. | |
(8) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. | |
(9) | Affiliated company (see Note 8). | |
(10) | Restricted security. Total market value of restricted securities amounts to $6,283,764, which represents 0.3% of the net assets of the Fund as of September 30, 2020. | |
(11) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at September 30, 2020. |
(12) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate ("LIBOR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Base lending rates may be subject to a floor, or minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(13) | The stated interest rate represents the weighted average interest rate at September 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(14) | Amount is less than 0.05%. |
(15) | Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
(16) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(17) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(18) | Security exempt from registration under Section 4(2) of the Securities Act of 1933, as amended. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors”. At September 30, 2020, the aggregate value of these securities is $11,573,348, representing 0.6% of the Fund’s net assets. |
(19) | Rate shown is the discount rate at date of purchase. |
(20) | 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. |
(21) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 439 | Long | 12/31/20 | $ 97,001,852 | $ 34,423 |
U.S. Long Treasury Bond | 120 | Long | 12/21/20 | 21,153,750 | (65,662) |
U.S. Ultra-Long Treasury Bond | 280 | Long | 12/21/20 | 62,107,500 | (453,396) |
U.S. 5-Year Treasury Note | (181) | Short | 12/31/20 | (22,811,656) | (30,007) |
U.S. Ultra 10-Year Treasury Note | (2,077) | Short | 12/21/20 | (332,157,735) | (705,171) |
$(1,219,813) |
Description | Acquisition Dates | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | $5,291,992 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 2.07%, 11/3/20 | 11/13/15 | 490,000 |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/20 | 11/13/15 | 631,000 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
Common Stocks — 96.3% |
Security | Shares | Value | |
Beverages — 1.1% | |||
PepsiCo, Inc. | 422,000 | $ 58,489,200 | |
$ 58,489,200 | |||
Capital Markets — 4.6% | |||
Charles Schwab Corp. (The) | 1,021,659 | $ 37,014,706 | |
Intercontinental Exchange, Inc. | 1,679,810 | 168,064,990 | |
S&P Global, Inc. | 84,510 | 30,474,306 | |
$ 235,554,002 | |||
Chemicals — 6.8% | |||
Ecolab, Inc. | 915,130 | $ 182,879,579 | |
Linde PLC | 710,001 | 169,072,538 | |
$ 351,952,117 | |||
Electronic Equipment, Instruments & Components — 3.6% | |||
Amphenol Corp., Class A | 1,192,913 | $ 129,156,690 | |
TE Connectivity, Ltd. | 571,098 | 55,819,119 | |
$ 184,975,809 | |||
Entertainment — 0.8% | |||
Electronic Arts, Inc.(1) | 304,048 | $ 39,650,900 | |
$ 39,650,900 | |||
Equity Real Estate Investment Trusts (REITs) — 4.8% | |||
American Tower Corp. | 738,609 | $ 178,543,954 | |
Crown Castle International Corp. | 419,733 | 69,885,544 | |
$ 248,429,498 | |||
Food & Staples Retailing — 1.1% | |||
Costco Wholesale Corp. | 153,384 | $ 54,451,320 | |
$ 54,451,320 | |||
Food Products — 1.1% | |||
Mondelez International, Inc., Class A | 943,319 | $ 54,193,677 | |
$ 54,193,677 | |||
Health Care Equipment & Supplies — 5.4% | |||
Danaher Corp. | 1,162,695 | $ 250,363,114 | |
Intuitive Surgical, Inc.(1) | 37,503 | 26,609,879 | |
$ 276,972,993 | |||
Health Care Providers & Services — 1.5% | |||
Laboratory Corp. of America Holdings(1) | 400,196 | $ 75,344,901 | |
$ 75,344,901 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure — 1.5% | |||
Starbucks Corp. | 898,550 | $ 77,203,416 | |
$ 77,203,416 | |||
Insurance — 3.2% | |||
Aon PLC, Class A | 307,734 | $ 63,485,524 | |
Marsh & McLennan Cos., Inc. | 889,522 | 102,028,174 | |
$ 165,513,698 | |||
Interactive Media & Services — 4.6% | |||
Alphabet, Inc., Class C(1) | 161,685 | $ 237,612,276 | |
$ 237,612,276 | |||
IT Services — 14.8% | |||
Accenture PLC, Class A | 232,009 | $ 52,431,714 | |
Fidelity National Information Services, Inc. | 757,247 | 111,474,331 | |
Fiserv, Inc.(1) | 1,286,756 | 132,600,206 | |
Gartner, Inc.(1) | 459,674 | 57,436,266 | |
MasterCard, Inc., Class A | 541,242 | 183,031,807 | |
Visa, Inc., Class A | 1,118,426 | 223,651,647 | |
$ 760,625,971 | |||
Life Sciences Tools & Services — 4.9% | |||
Thermo Fisher Scientific, Inc. | 567,677 | $ 250,640,749 | |
$ 250,640,749 | |||
Machinery — 3.9% | |||
IDEX Corp. | 496,068 | $ 90,487,764 | |
Xylem, Inc. | 1,324,827 | 111,444,447 | |
$ 201,932,211 | |||
Multiline Retail — 4.1% | |||
Dollar General Corp. | 1,012,568 | $ 212,254,504 | |
$ 212,254,504 | |||
Personal Products — 1.6% | |||
Estee Lauder Cos., Inc. (The), Class A | 387,444 | $ 84,559,653 | |
$ 84,559,653 | |||
Pharmaceuticals — 3.7% | |||
Zoetis, Inc. | 1,166,076 | $ 192,833,988 | |
$ 192,833,988 | |||
Professional Services — 5.6% | |||
IHS Markit, Ltd. | 1,497,394 | $ 117,560,403 | |
Verisk Analytics, Inc. | 924,411 | 171,302,602 | |
$ 288,863,005 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment — 1.1% | |||
Texas Instruments, Inc. | 402,967 | $ 57,539,658 | |
$ 57,539,658 | |||
Software — 9.4% | |||
Adobe, Inc.(1) | 166,178 | $ 81,498,677 | |
Check Point Software Technologies, Ltd.(1) | 329,682 | 39,673,932 | |
Intuit, Inc. | 413,077 | 134,749,848 | |
Microsoft Corp. | 1,073,156 | 225,716,901 | |
$ 481,639,358 | |||
Specialty Retail — 5.6% | |||
Lowe's Cos., Inc. | 534,000 | $ 88,569,240 | |
O'Reilly Automotive, Inc.(1) | 166,240 | 76,649,939 | |
TJX Cos., Inc. (The) | 2,203,657 | 122,633,512 | |
$ 287,852,691 | |||
Textiles, Apparel & Luxury Goods — 1.5% | |||
NIKE, Inc., Class B | 614,886 | $ 77,192,789 | |
$ 77,192,789 | |||
Venture Capital — 0.0%(2) | |||
20/20 Gene Systems, Inc.(1)(3)(4) | 73,397 | $ 76,626 | |
Digital Directions International, Inc.(1)(3)(4) | 354,389 | 109,861 | |
Ivy Capital (Proprietary) Ltd.(1)(3)(4) | 950,000 | 234,806 | |
$ 421,293 | |||
Total Common Stocks (identified cost $3,021,351,130) | $ 4,956,699,677 |
High Social Impact Investments — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(4)(5) | $ | 11,181 | $ 11,124,051 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 2.07%, 11/3/20(4)(6) | 1,445 | 1,398,818 | |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/20(4)(6) | 1,855 | 1,600,012 | |
Total High Social Impact Investments (identified cost $14,480,737) | $ 14,122,881 |
Preferred Stocks — 0.0%(2) |
Security | Shares | Value | |
Venture Capital — 0.0%(2) | |||
Entouch: | |||
Series C(1)(3)(4) | 2,628,278 | $ 245,218 | |
Series C-1(1)(3)(4) | 1,023,444 | 203,563 | |
PresenceLearning, Inc.: | |||
Series A(1)(3)(4) | 600,000 | 420,000 | |
Series A-2(1)(3)(4) | 195,285 | 142,558 | |
Series B(1)(3)(4) | 399,719 | 323,773 | |
Series D(1)(3)(4) | 233,597 | 50,644 | |
Sword Diagnostics(1)(3)(4) | 1,264,108 | — | |
Total Preferred Stocks (identified cost $1,689,347) | $ 1,385,756 |
Venture Capital Debt Obligations — 0.0%(2) |
Security | Principal Amount (000's omitted) | Value | |
SEAF Global SME Facility, 9.00%, 1/1/21(3)(4) | $ | 2,076 | $ 223,096 |
Total Venture Capital Debt Obligations (identified cost $2,075,575) | $ 223,096 |
Venture Capital Limited Partnership Interests — 0.4% |
Security | Value | ||
Accion Frontier Inclusion Fund L.P.(1)(3)(4) | $ 1,236,670 | ||
Adobe Capital Social Mezzanine I L.P.(1)(3)(4) | 189,144 | ||
Africa Renewable Energy Fund L.P.(1)(3)(4) | 1,199,939 | ||
Arborview Capital Partners L.P.(1)(3)(4) | 851,745 | ||
Blackstone Clean Technology Partners L.P.(1)(3)(4) | 19,821 | ||
Bridges Ventures US Sustainable Growth Fund L.P.(1)(3)(4) | 742,665 | ||
China Environment Fund III L.P.(1)(3)(4) | �� 30,684 | ||
Coastal Ventures III L.P.(1)(3)(4) | 362,752 | ||
Core Innovations Capital I L.P.(1)(3)(4) | 4,306,565 | ||
Cross Culture Ventures I L.P.(1)(3)(4) | 564,441 | ||
DBL Equity Fund - BAEF Il L.P.(1)(3)(4) | 966,487 | ||
DBL Partners III L.P.(1)(3)(4) | 974,246 | ||
First Analysis Private Equity Fund V L.P.(1)(3)(4) | 1,133,473 | ||
Ignia Fund I L.P.(1)(3)(4) | 142,132 | ||
Impact Ventures II L.P.(1)(3)(4) | 173,163 | ||
LeapFrog Financial Inclusion Fund(1)(3)(4) | 91,926 | ||
New Markets Education Partners L.P.(1)(3)(4) | 364,571 | ||
New Markets Venture Partners II L.P.(1)(3)(4) | 88,879 | ||
Owl Ventures L.P.(1)(3)(4) | 804,588 | ||
Renewable Energy Asia Fund L.P.(1)(3)(4) | 1,225,843 | ||
SEAF India International Growth Fund L.P.(1)(3)(4) | 550 |
Security | Value | ||
SJF Ventures II L.P., Preferred(1)(3)(4) | $ 625,972 | ||
SJF Ventures III L.P.(1)(3)(4) | 1,455,243 | ||
Westly Capital Partners Fund II L.P.(1)(3)(4) | 572,401 | ||
Total Venture Capital Limited Partnership Interests (identified cost $12,253,311) | $ 18,123,900 |
Short-Term Investments — 2.9% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(7) | 150,507,709 | $ 150,522,759 | |
Total Short-Term Investments (identified cost $150,532,727) | $ 150,522,759 | ||
Total Investments — 99.9% (identified cost $3,202,382,827) | $ 5,141,078,069 | ||
Other Assets, Less Liabilities — 0.1% | $ 4,255,180 | ||
Net Assets — 100.0% | $ 5,145,333,249 |
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) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | |
(4) | Restricted security. Total market value of restricted securities amounts to $34,276,926, which represents 0.7% of the net assets of the Fund as of September 30, 2020. | |
(5) | Affiliated company (see Note 8). | |
(6) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at September 30, 2020. | |
(7) | 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. |
Description | Acquisition Dates | Cost |
20/20 Gene Systems, Inc. | 8/1/08-8/27/13 | $ 166,889 |
Accion Frontier Inclusion Fund L.P. | 11/12/15-9/28/20 | 686,597 |
Adobe Capital Social Mezzanine I L.P. | 2/8/13-7/22/20 | 316,717 |
Africa Renewable Energy Fund L.P. | 4/17/14-5/22/19 | 986,582 |
Arborview Capital Partners L.P. | 11/13/12-1/27/20 | 460,428 |
Blackstone Clean Technology Partners L.P. | 7/29/10-6/25/15 | 436,786 |
Bridges Ventures US Sustainable Growth Fund L.P. | 6/18/16-7/28/20 | 681,909 |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | 11,180,737 |
China Environment Fund III L.P. | 1/24/08-4/19/13 | 538,868 |
Coastal Ventures III L.P. | 7/30/12-1/9/19 | 120,686 |
Core Innovations Capital I L.P. | 1/6/11-6/30/17 | 314,217 |
Cross Culture Ventures I L.P. | 2/24/16-6/16/20 | 400,424 |
DBL Equity Fund - BAEF Il L.P. | 3/30/11-8/2/16 | 697,586 |
DBL Partners III L.P. | 1/16/15-7/31/20 | 850,360 |
Digital Directions International, Inc. | 7/2/08-7/15/09 | 683,778 |
Entouch, Series C, Preferred | 2/3/16 | 350,000 |
Entouch, Series C-1, Preferred | 10/11/17-11/5/19 | 136,289 |
First Analysis Private Equity Fund V L.P. | 6/7/13-6/13/18 | 607,470 |
Ignia Fund I L.P. | 1/28/10-12/9/16 | 989,801 |
Impact Ventures II L.P. | 9/8/10-2/5/18 | 642,038 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 2.07%, 11/3/20 | 11/13/15 | 1,445,000 |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/20 | 11/13/15 | 1,855,000 |
Ivy Capital (Proprietary) Ltd. | 9/12/12-5/14/14 | 557,372 |
LeapFrog Financial Inclusion Fund | 1/20/10-1/23/19 | 7,317 |
New Markets Education Partners L.P. | 9/27/11-7/22/20 | 7,500 |
Description | Acquisition Dates | Cost |
New Markets Venture Partners II L.P. | 7/21/08-5/3/16 | $ 0 |
Owl Ventures L.P. | 7/10/14-3/20/20 | 304,628 |
PresenceLearning, Inc., Series A, Preferred | 9/29/11 | 300,000 |
PresenceLearning, Inc., Series A-2, Preferred | 5/2/12 | 134,942 |
PresenceLearning, Inc., Series B, Preferred | 4/4/13 | 285,000 |
PresenceLearning, Inc., Series D, Preferred | 6/22/20 | 50,644 |
Renewable Energy Asia Fund L.P. | 9/29/10-1/5/17 | 1,753,943 |
SEAF Global SME Facility , 9.00%, 1/1/21 | 6/28/13-1/8/19 | 2,075,575 |
SEAF India International Growth Fund L.P. | 3/22/05-5/24/10 | 210,391 |
SJF Ventures II L.P., Preferred | 2/14/06-11/20/12 | 0 |
SJF Ventures III L.P. | 2/6/12-7/14/17 | 511,426 |
Sword Diagnostics, Preferred | 12/26/06-11/9/10 | 432,472 |
Westly Capital Partners Fund II L.P. | 12/27/11-12/18/18 | 727,637 |
September 30, 2020 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Assets | |||
Investments in securities of unaffiliated issuers, at value (identified cost $796,674,078, $2,009,137,555 and $3,040,669,363, respectively) - including $1,809,753, $4,399,535 and $0, respectively, of securities on loan | $ 968,598,456 | $ 2,080,389,742 | $ 4,979,431,259 |
Investments in securities of affiliated issuers, at value (identified cost $35,706,455, $127,609,968 and $161,713,464, respectively) | 35,703,279 | 127,579,195 | 161,646,810 |
Receivable for variation margin on open futures contracts | 19,095 | 346,773 | — |
Receivable for open forward foreign currency exchange contracts | 1,371 | — | — |
Cash | 66,947 | 933,829 | 872 |
Deposits at broker for futures contracts | 422,002 | 2,931,537 | — |
Receivable for investments sold | 3,137,907 | 2,986,177 | 16,645,172 |
Receivable for capital shares sold | 1,004,436 | 4,363,760 | 12,716,309 |
Dividends and interest receivable | 2,201,021 | 10,695,529 | 2,296,524 |
Dividends and interest receivable - affiliated | 34,060 | 74,579 | 147,250 |
Securities lending income receivable | 8,073 | 385 | — |
Receivable from affiliate | — | 21,075 | — |
Trustees' deferred compensation plan | 390,476 | 587,509 | 1,293,813 |
Other assets | 7,971 | — | 201,505 |
Total assets | $1,011,595,094 | $2,230,910,090 | $5,174,379,514 |
Liabilities | |||
Payable for open forward foreign currency exchange contracts | $ 1,647 | $ — | $ — |
Payable for investments purchased | 3,269,744 | 2,422,234 | 19,185,983 |
Payable for when-issued/delayed delivery/forward commitment securities | 36,076,946 | 224,991,719 | — |
Payable for capital shares redeemed | 145,139 | 3,454,543 | 4,479,230 |
Distributions payable | 760 | 321,111 | — |
Deposits for securities loaned | 1,780,591 | 4,220,508 | — |
Payable to affiliates: | |||
Investment advisory fee | 314,389 | 479,822 | 1,819,508 |
Administrative fee | 94,798 | 195,155 | 503,554 |
Distribution and service fees | 187,850 | 66,502 | 498,271 |
Sub-transfer agency fee | 26,345 | 13,116 | 49,158 |
Trustees' deferred compensation plan | 390,476 | 587,509 | 1,293,813 |
Other | 18,075 | — | — |
Accrued expenses | 331,985 | 519,102 | 1,216,748 |
Total liabilities | $ 42,638,745 | $ 237,271,321 | $ 29,046,265 |
Commitments and contingent liabilities (Note 10) | |||
Net Assets | $ 968,956,349 | $1,993,638,769 | $5,145,333,249 |
Sources of Net Assets | |||
Paid-in capital | $ 791,225,198 | $ 1,899,743,533 | $ 3,082,468,043 |
Distributable earnings | 177,731,151 | 93,895,236 | 2,062,865,206 |
Total | $ 968,956,349 | $1,993,638,769 | $5,145,333,249 |
Class A Shares | |||
Net Assets | $ 686,408,286 | $ 327,252,315 | $ 1,896,037,276 |
Shares Outstanding | 18,459,485 | 19,241,404 | 30,093,514 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 37.18 | $ 17.01 | $ 63.00 |
Maximum Offering Price Per Share (100 ÷ 95.25, 96.25 and 95.25, respectively, of net asset value per share) | $ 39.03 | $ 17.67 | $ 66.14 |
September 30, 2020 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Class C Shares | |||
Net Assets | $ 65,759,531 | $ 16,214,548 | $ 138,071,963 |
Shares Outstanding | 1,831,810 | 960,018 | 4,108,473 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 35.90 | $ 16.89 | $ 33.61 |
Class I Shares | |||
Net Assets | $212,490,193 | $1,379,529,042 | $2,863,127,931 |
Shares Outstanding | 5,596,404 | 80,956,287 | 38,797,044 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 37.97 | $ 17.04 | $ 73.80 |
Class R6 Shares | |||
Net Assets | $ 4,298,339 | $ 270,642,864 | $ 248,096,079 |
Shares Outstanding | 113,252 | 15,894,723 | 3,367,616 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 37.95 | $ 17.03 | $ 73.67 |
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 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Investment Income | |||
Dividend income (net of foreign taxes withheld of $97,142, $0 and $0, respectively) | $ 8,387,102 | $ 415,789 | $ 38,738,935 |
Dividend income - affiliated issuers | 10,170 | 38,781 | 59,048 |
Interest and other income (net of foreign taxes withheld of $211, $137 and $0, respectively) | 10,105,509 | 52,738,631 | 709,547 |
Interest income - affiliated issuers | 43,504 | 77,681 | 164,370 |
Securities lending income, net | 18,678 | 13,317 | 133,059 |
Total investment income | $18,564,963 | $53,284,199 | $ 39,804,959 |
Expenses | |||
Investment advisory fee | $ 3,526,649 | $ 5,363,252 | $ 18,652,125 |
Administrative fee | 1,060,254 | 2,177,897 | 5,008,680 |
Distribution and service fees: | |||
Class A | 1,525,722 | 611,121 | 4,189,896 |
Class C | 612,329 | 163,335 | 1,187,688 |
Trustees' fees and expenses | 36,482 | 76,697 | 166,880 |
Custodian fees | 3,632 | 19,752 | 87,546 |
Transfer agency fees and expenses | 859,240 | 1,381,567 | 3,344,724 |
Accounting fees | 331,397 | 388,033 | 658,223 |
Professional fees | 81,702 | 96,710 | 242,253 |
Registration fees | 102,534 | 195,025 | 320,826 |
Reports to shareholders | 43,560 | 83,562 | 165,779 |
Miscellaneous | 84,844 | 128,850 | 292,323 |
Total expenses | $ 8,268,345 | $10,685,801 | $ 34,316,943 |
Waiver and/or reimbursement of expenses by affiliate | $ (47,735) | $ (446,785) | $ — |
Reimbursement of expenses - other | (11,968) | (23,979) | (51,959) |
Net expenses | $ 8,208,642 | $10,215,037 | $ 34,264,984 |
Net investment income | $10,356,321 | $43,069,162 | $ 5,539,975 |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss): | |||
Investment securities | $ 13,014,056 | $ 33,215,292 | $ 138,506,052 |
Investment securities - affiliated issuers | 3,881 | 16,050 | 17,773 |
Futures contracts | (605,262) | (4,123,665) | — |
Foreign currency transactions | (14,777) | — | 104 |
Net realized gain | $12,397,898 | $29,107,677 | $138,523,929 |
Change in unrealized appreciation (depreciation): | |||
Investment securities | $ 76,633,145 | $ 22,044,324 | $ 707,327,114 |
Investment securities - affiliated issuers | 2,400 | (3,861) | (9,343) |
Futures contracts | (94,339) | 25,160 | — |
Foreign currency | (311) | — | 1,259 |
Forward foreign currency exchange contracts | (276) | — | — |
Net change in unrealized appreciation (depreciation) | $76,540,619 | $22,065,623 | $707,319,030 |
Net realized and unrealized gain | $88,938,517 | $51,173,300 | $845,842,959 |
Net increase in net assets from operations | $99,294,838 | $94,242,462 | $851,382,934 |
Year Ended September 30, 2020 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 10,356,321 | $ 43,069,162 | $ 5,539,975 |
Net realized gain | 12,397,898 | 29,107,677 | 138,523,929 |
Net change in unrealized appreciation (depreciation) | 76,540,619 | 22,065,623 | 707,319,030 |
Net increase in net assets from operations | $ 99,294,838 | $ 94,242,462 | $ 851,382,934 |
Distributions to shareholders: | |||
Class A | $ (21,526,350) | $ (9,599,449) | $ (47,595,453) |
Class C | (1,599,516) | (383,919) | (5,455,264) |
Class I | (5,814,211) | (40,715,268) | (47,850,884) |
Class R6 | (51,663) | (8,925,275) | (2,373,530) |
Total distributions to shareholders | $ (28,991,740) | $ (59,623,911) | $ (103,275,131) |
Capital share transactions: | |||
Class A | $ 15,171,366 | $ 30,239,962 | $ 30,832,894 |
Class C | 6,767,999 | 533,939 | 20,880,783 |
Class I | 57,916,216 | 211,975,897 | 893,820,330 |
Class R6 | 3,800,979 | 13,004,676 | 154,651,868 |
Net increase in net assets from capital share transactions | $ 83,656,560 | $ 255,754,474 | $1,100,185,875 |
Net increase in net assets | $153,959,658 | $ 290,373,025 | $1,848,293,678 |
Net Assets | |||
At beginning of year | $ 814,996,691 | $ 1,703,265,744 | $ 3,297,039,571 |
At end of year | $968,956,349 | $1,993,638,769 | $5,145,333,249 |
Year Ended September 30, 2019 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 10,112,336 | $ 37,505,177 | $ 4,995,350 |
Net realized gain | 24,517,532 | 19,407,218 | 134,353,183 |
Net change in unrealized appreciation (depreciation) | 28,412,480 | 67,925,554 | 332,597,082 |
Net increase in net assets from operations | $ 63,042,348 | $ 124,837,949 | $ 471,945,615 |
Distributions to shareholders: | |||
Class A | $ (26,688,009) | $ (7,079,822) | $ (95,599,648) |
Class C | (2,389,091) | (308,552) | (18,603,392) |
Class I | (5,151,367) | (26,215,685) | (66,358,860) |
Class R6 | (939) (1) | (4,396,773) | (73,704) |
Total distributions to shareholders | $ (34,229,406) | $ (38,000,832) | $ (180,635,604) |
Capital share transactions: | |||
Class A | $ 25,713,763 | $ 22,867,177 | $ 145,467,718 |
Class C | (7,680,231) | (7,541,275) | (49,676,109) |
Class I | 35,917,958 | 391,521,360 | 443,897,317 |
Class R6 | 228,488 (1) | 109,689,269 | 54,462,701 |
Net increase in net assets from capital share transactions | $ 54,179,978 | $ 516,536,531 | $ 594,151,627 |
Net increase in net assets | $ 82,992,920 | $ 603,373,648 | $ 885,461,638 |
Net Assets | |||
At beginning of year | $ 732,003,771 | $ 1,099,892,096 | $ 2,411,577,933 |
At end of year | $814,996,691 | $1,703,265,744 | $3,297,039,571 |
(1) | For the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
Balanced Fund — Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 34.28 | $ 33.14 | $ 32.59 | $ 30.82 | $ 31.90 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.41 | $ 0.44 | $ 0.43 | $ 0.47 | $ 0.51(2) |
Net realized and unrealized gain | 3.67 | 2.24 | 2.68 | 2.11 | 2.14 (3) |
Total income from operations | $ 4.08 | $ 2.68 | $ 3.11 | $ 2.58 | $ 2.65 |
Less Distributions | |||||
From net investment income | $ (0.42) | $ (0.44) | $ (0.44) | $ (0.46) | $ (0.50) |
From net realized gain | (0.76) | (1.10) | (2.12) | (0.35) | (3.23) |
Total distributions | $ (1.18) | $ (1.54) | $ (2.56) | $ (0.81) | $ (3.73) |
Net asset value — End of year | $ 37.18 | $ 34.28 | $ 33.14 | $ 32.59 | $ 30.82 |
Total Return(4) | 12.22% | 8.56% | 10.01% | 8.51% | 8.93% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $686,408 | $619,744 | $571,452 | $549,517 | $592,625 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.93% | 0.96% | 0.96% | 0.99% | 1.05% |
Net expenses | 0.93% | 0.93% | 0.94% | 0.99% | 1.02% |
Net investment income | 1.17% | 1.37% | 1.33% | 1.48% | 1.67% (2) |
Portfolio Turnover | 98% (6) | 69% (6) | 76% | 128% | 146% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.007 per share and 0.02% of average net assets. |
(3) | Total return includes voluntary reimbursement by the adviser for realized investment losses relating to two trading errors which amounted to $0.01 per share. Excluding such payment, the total return would have been 8.90%. |
(4) | 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. |
(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) | Includes the effect of To-Be-Announced (TBA) transactions. |
Balanced Fund — Class C | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 33.14 | $ 32.09 | $ 31.63 | $ 29.95 | $ 31.11 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.14 | $ 0.20 | $ 0.18 | $ 0.20 | $ 0.25(2) |
Net realized and unrealized gain | 3.55 | 2.15 | 2.61 | 2.06 | 2.08 (3) |
Total income from operations | $ 3.69 | $ 2.35 | $ 2.79 | $ 2.26 | $ 2.33 |
Less Distributions | |||||
From net investment income | $ (0.17) | $ (0.20) | $ (0.21) | $ (0.23) | $ (0.26) |
From net realized gain | (0.76) | (1.10) | (2.12) | (0.35) | (3.23) |
Total distributions | $ (0.93) | $ (1.30) | $ (2.33) | $ (0.58) | $ (3.49) |
Net asset value — End of year | $ 35.90 | $ 33.14 | $ 32.09 | $ 31.63 | $ 29.95 |
Total Return(4) | 11.39% | 7.77% | 9.14% | 7.66% | 8.05% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $65,760 | $54,062 | $60,674 | $61,205 | $59,242 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 1.69% | 1.71% | 1.71% | 1.80% | 1.86% |
Net expenses | 1.68% | 1.68% | 1.69% | 1.80% | 1.84% |
Net investment income | 0.42% | 0.63% | 0.58% | 0.67% | 0.85% (2) |
Portfolio Turnover | 98% (6) | 69% (6) | 76% | 128% | 146% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.007 per share and 0.02% of average net assets. |
(3) | Total return includes voluntary reimbursement by the adviser for realized investment losses relating to two trading errors which amounted to $0.01 per share. Excluding such payment, the total return would have been 8.02%. |
(4) | 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. |
(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) | Includes the effect of To-Be-Announced (TBA) transactions. |
Balanced Fund — Class I | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 34.97 | $ 33.77 | $ 33.14 | $ 31.32 | $ 32.36 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.50 | $ 0.54 | $ 0.55 | $ 0.58 | $ 0.63(2) |
Net realized and unrealized gain | 3.76 | 2.28 | 2.72 | 2.18 | 2.17 (3) |
Total income from operations | $ 4.26 | $ 2.82 | $ 3.27 | $ 2.76 | $ 2.80 |
Less Distributions | |||||
From net investment income | $ (0.50) | $ (0.52) | $ (0.52) | $ (0.59) | $ (0.61) |
From net realized gain | (0.76) | (1.10) | (2.12) | (0.35) | (3.23) |
Total distributions | $ (1.26) | $ (1.62) | $ (2.64) | $ (0.94) | $ (3.84) |
Net asset value — End of year | $ 37.97 | $ 34.97 | $ 33.77 | $ 33.14 | $ 31.32 |
Total Return(4) | 12.55% | 8.87% | 10.33% | 8.94% | 9.32% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $212,490 | $140,961 | $99,878 | $48,780 | $15,554 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.69% | 0.71% | 0.72% | 0.67% | 0.76% |
Net expenses | 0.68% | 0.66% | 0.62% | 0.62% | 0.65% |
Net investment income | 1.41% | 1.64% | 1.66% | 1.80% | 2.04% (2) |
Portfolio Turnover | 98% (6) | 69% (6) | 76% | 128% | 146% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.007 per share and 0.02% of average net assets. |
(3) | Total return includes voluntary reimbursement by the adviser for realized investment losses relating to two trading errors which amounted to $0.01 per share. Excluding such payment, the total return would have been 9.28%. |
(4) | 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. |
(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) | Includes the effect of To-Be-Announced (TBA) transactions. |
Balanced Fund — Class R6 | ||
Year Ended September 30, | Period Ended September 30, | |
2020 | 2019 (1) | |
Net asset value — Beginning of period | $ 34.98 | $ 31.46 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.51 | $ 0.36 |
Net realized and unrealized gain | 3.75 | 3.55 |
Total income from operations | $ 4.26 | $ 3.91 |
Less Distributions | ||
From net investment income | $ (0.53) | $ (0.39) |
From net realized gain | (0.76) | — |
Total distributions | $ (1.29) | $ (0.39) |
Net asset value — End of period | $37.95 | $34.98 |
Total Return(3) | 12.57% | 12.44% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 4,298 | $ 230 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses | 0.65% | 0.66% (6) |
Net expenses | 0.64% | 0.64% (6) |
Net investment income | 1.43% | 1.58% (6) |
Portfolio Turnover | 98% (7) | 69% (7)(8) |
(1) | From February 1, 2019 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. |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
(8) | For the year ended September 30, 2019. |
Bond Fund — Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 16.67 | $ 15.69 | $ 16.14 | $ 16.36 | $ 15.83 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.37 | $ 0.42 | $ 0.37 | $ 0.37 | $ 0.40(2) |
Net realized and unrealized gain (loss) | 0.50 | 0.99 | (0.45) | (0.18) | 0.53 |
Total income (loss) from operations | $ 0.87 | $ 1.41 | $ (0.08) | $ 0.19 | $ 0.93 |
Less Distributions | |||||
From net investment income | $ (0.38) | $ (0.43) | $ (0.37) | $ (0.36) | $ (0.40) |
From net realized gain | (0.15) | — | — | (0.05) | — |
Total distributions | $ (0.53) | $ (0.43) | $ (0.37) | $ (0.41) | $ (0.40) |
Net asset value — End of year | $ 17.01 | $ 16.67 | $ 15.69 | $ 16.14 | $ 16.36 |
Total Return(3) | 5.32% | 9.10% | (0.48)% | 1.21% | 5.96% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $327,252 | $290,893 | $251,714 | $281,490 | $395,957 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.76% | 0.78% | 0.83% | 0.89% | 0.94% |
Net expenses | 0.73% | 0.75% | 0.83% | 0.89% | 0.91% |
Net investment income | 2.21% | 2.59% | 2.32% | 2.29% | 2.49% (2) |
Portfolio Turnover | 153% (5) | 75% (5) | 83% | 99% | 154% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. |
(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. |
(5) | Includes the effect of To-Be-Announced (TBA) transactions. |
Bond Fund — Class C | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 16.55 | $ 15.58 | $ 16.03 | $ 16.26 | $ 15.73 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.23 | $ 0.28 | $ 0.24 | $ 0.22 | $ 0.25(2) |
Net realized and unrealized gain (loss) | 0.50 | 0.98 | (0.44) | (0.18) | 0.54 |
Total income (loss) from operations | $ 0.73 | $ 1.26 | $ (0.20) | $ 0.04 | $ 0.79 |
Less Distributions | |||||
From net investment income | $ (0.24) | $ (0.29) | $ (0.25) | $ (0.22) | $ (0.26) |
From net realized gain | (0.15) | — | — | (0.05) | — |
Total distributions | $ (0.39) | $ (0.29) | $ (0.25) | $ (0.27) | $ (0.26) |
Net asset value — End of year | $ 16.89 | $ 16.55 | $ 15.58 | $ 16.03 | $ 16.26 |
Total Return(3) | 4.50% | 8.19% | (1.25)% | 0.27% | 5.05% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $16,215 | $15,343 | $21,939 | $26,631 | $32,349 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 1.56% | 1.59% | 1.63% | 1.78% | 1.84% |
Net expenses | 1.53% | 1.56% | 1.63% | 1.78% | 1.81% |
Net investment income | 1.41% | 1.79% | 1.52% | 1.40% | 1.59% (2) |
Portfolio Turnover | 153% (5) | 75% (5) | 83% | 99% | 154% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. |
(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. |
(5) | Includes the effect of To-Be-Announced (TBA) transactions. |
Bond Fund — Class I | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 16.70 | $ 15.72 | $ 16.15 | $ 16.38 | $ 15.85 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.40 | $ 0.45 | $ 0.42 | $ 0.42 | $ 0.46(2) |
Net realized and unrealized gain (loss) | 0.50 | 0.99 | (0.45) | (0.17) | 0.53 |
Total income (loss) from operations | $ 0.90 | $ 1.44 | $ (0.03) | $ 0.25 | $ 0.99 |
Less Distributions | |||||
From net investment income | $ (0.41) | $ (0.46) | $ (0.40) | $ (0.43) | $ (0.46) |
From net realized gain | (0.15) | — | — | (0.05) | — |
Total distributions | $ (0.56) | $ (0.46) | $ (0.40) | $ (0.48) | $ (0.46) |
Net asset value — End of year | $ 17.04 | $ 16.70 | $ 15.72 | $ 16.15 | $ 16.38 |
Total Return(3) | 5.52% | 9.30% | (0.15)% | 1.54% | 6.35% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,379,529 | $1,144,805 | $629,822 | $500,510 | $355,017 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.56% | 0.58% | 0.63% | 0.54% | 0.54% |
Net expenses | 0.53% | 0.53% | 0.53% | 0.52% | 0.53% |
Net investment income | 2.40% | 2.81% | 2.64% | 2.64% | 2.86% (2) |
Portfolio Turnover | 153% (5) | 75% (5) | 83% | 99% | 154% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. |
(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. |
(5) | Includes the effect of To-Be-Announced (TBA) transactions. |
Bond Fund — Class R6 | |||
Year Ended September 30, | Period Ended September 30, | ||
2020 | 2019 | 2018 (1) | |
Net asset value — Beginning of period | $ 16.69 | $ 15.71 | $ 16.17 |
Income (Loss) From Operations | |||
Net investment income(2) | $ 0.41 | $ 0.46 | $ 0.42 |
Net realized and unrealized gain (loss) | 0.50 | 0.99 | (0.46) |
Total income (loss) from operations | $ 0.91 | $ 1.45 | $ (0.04) |
Less Distributions | |||
From net investment income | $ (0.42) | $ (0.47) | $ (0.42) |
From net realized gain | (0.15) | — | — |
Total distributions | $ (0.57) | $ (0.47) | $ (0.42) |
Net asset value — End of period | $ 17.03 | $ 16.69 | $ 15.71 |
Total Return(3) | 5.66% | 9.31% | (0.27)% (4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $270,643 | $252,225 | $133,417 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses | 0.49% | 0.51% | 0.56% (6) |
Net expenses | 0.46% | 0.48% | 0.53% (6) |
Net investment income | 2.48% | 2.84% | 2.64% (6) |
Portfolio Turnover | 153% (7) | 75% (7) | 83% (8) |
(1) | From October 3, 2017 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. |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
(8) | For the year ended September 30, 2018. |
Equity Fund — Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 53.94 | $ 49.18 | $ 43.31 | $ 41.38 | $ 47.79 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.01 | $ 0.05 | $ 0.04 | $ 0.06 | $ 0.11(2) |
Net realized and unrealized gain | 10.64 | 8.36 | 9.31 | 6.03 | 3.74 |
Total income from operations | $ 10.65 | $ 8.41 | $ 9.35 | $ 6.09 | $ 3.85 |
Less Distributions | |||||
From net investment income | $ (0.02) | $ (0.01) | $ (0.05) | $ (0.06) | $ (0.13) |
From net realized gain | (1.57) | (3.64) | (3.43) | (4.10) | (10.13) |
Total distributions | $ (1.59) | $ (3.65) | $ (3.48) | $ (4.16) | $ (10.26) |
Net asset value — End of year | $ 63.00 | $ 53.94 | $ 49.18 | $ 43.31 | $ 41.38 |
Total Return(3) | 20.27% | 18.72% | 22.66% | 16.39% | 8.57% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,896,037 | $1,598,391 | $1,291,870 | $1,220,685 | $1,385,988 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.94% | 1.00% | 1.01% | 1.06% | 1.10% |
Net expenses | 0.94% | 0.99% | 1.01% | 1.06% | 1.08% |
Net investment income | 0.01% | 0.11% | 0.08% | 0.16% | 0.27% (2) |
Portfolio Turnover | 16% | 13% | 18% | 29% | 44% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. |
(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. |
Equity Fund — Class C | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 29.67 | $ 28.80 | $ 26.84 | $ 27.35 | $ 34.98 |
Income (Loss) From Operations | |||||
Net investment loss(1) | $ (0.22) | $ (0.17) | $ (0.18) | $ (0.15) | $ (0.14)(2) |
Net realized and unrealized gain | 5.70 | 4.57 | 5.57 | 3.74 | 2.67 |
Total income from operations | $ 5.48 | $ 4.40 | $ 5.39 | $ 3.59 | $ 2.53 |
Less Distributions | |||||
From net investment income | $ — | $ — | $ — | $ — | $ (0.03) |
From net realized gain | (1.54) | (3.53) | (3.43) | (4.10) | (10.13) |
Total distributions | $ (1.54) | $ (3.53) | $ (3.43) | $ (4.10) | $ (10.16) |
Net asset value — End of year | $ 33.61 | $ 29.67 | $ 28.80 | $ 26.84 | $ 27.35 |
Total Return(3) | 19.38% | 17.82% | 21.75% | 15.48% | 7.73% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $138,072 | $100,276 | $155,419 | $152,561 | $178,719 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 1.69% | 1.75% | 1.76% | 1.83% | 1.87% |
Net expenses | 1.69% | 1.75% | 1.76% | 1.83% | 1.85% |
Net investment loss | (0.74)% | (0.64)% | (0.67)% | (0.60)% | (0.50)% (2) |
Portfolio Turnover | 16% | 13% | 18% | 29% | 44% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. |
(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. |
Equity Fund — Class I | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 62.89 | $ 56.68 | $ 49.44 | $ 46.68 | $ 52.65 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.17 | $ 0.21 | $ 0.20 | $ 0.25 | $ 0.32(2) |
Net realized and unrealized gain | 12.46 | 9.76 | 10.69 | 6.88 | 4.14 |
Total income from operations | $ 12.63 | $ 9.97 | $ 10.89 | $ 7.13 | $ 4.46 |
Less Distributions | |||||
From net investment income | $ (0.15) | $ (0.12) | $ (0.22) | $ (0.27) | $ (0.30) |
From net realized gain | (1.57) | (3.64) | (3.43) | (4.10) | (10.13) |
Total distributions | $ (1.72) | $ (3.76) | $ (3.65) | $ (4.37) | $ (10.43) |
Net asset value — End of year | $ 73.80 | $ 62.89 | $ 56.68 | $ 49.44 | $ 46.68 |
Total Return(3) | 20.57% | 19.05% | 23.06% | 16.85% | 9.01% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $2,863,128 | $1,540,337 | $963,446 | $550,055 | $472,583 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Total expenses | 0.69% | 0.75% | 0.76% | 0.69% | 0.69% |
Net expenses | 0.69% | 0.72% | 0.70% | 0.67% | 0.67% |
Net investment income | 0.26% | 0.37% | 0.38% | 0.54% | 0.68% (2) |
Portfolio Turnover | 16% | 13% | 18% | 29% | 44% |
(1) | Computed using average shares outstanding. |
(2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to less than $0.005 per share and less than 0.005% of average net assets. |
(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. |
Equity Fund — Class R6 | |||
Year Ended September 30, | Period Ended September 30, | ||
2020 | 2019 | 2018 (1) | |
Net asset value — Beginning of period | $ 62.80 | $ 56.65 | $ 49.74 |
Income (Loss) From Operations | |||
Net investment income(2) | $ 0.21 | $ 0.23 | $ 0.17 |
Net realized and unrealized gain | 12.44 | 9.74 | 10.42 |
Total income from operations | $ 12.65 | $ 9.97 | $10.59 |
Less Distributions | |||
From net investment income | $ (0.21) | $ (0.18) | $ (0.25) |
From net realized gain | (1.57) | (3.64) | (3.43) |
Total distributions | $ (1.78) | $ (3.82) | $ (3.68) |
Net asset value — End of period | $ 73.67 | $ 62.80 | $56.65 |
Total Return(3) | 20.65% | 19.12% | 22.30% (4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $248,096 | $58,035 | $ 843 |
Ratios (as a percentage of average daily net assets):(5) | |||
Total expenses | 0.63% | 0.68% | 0.68% (6) |
Net expenses | 0.63% | 0.67% | 0.68% (6) |
Net investment income | 0.32% | 0.37% | 0.31% (6) |
Portfolio Turnover | 16% | 13% | 18% (7) |
(1) | From October 3, 2017 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. |
(7) | For the year ended September 30, 2018. |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Asset-Backed Securities | $ — | $ 52,976,950 | $ — | $ 52,976,950 |
Collateralized Mortgage-Backed Obligations | — | 44,721,056 | — | 44,721,056 |
Commercial Mortgage-Backed Securities | — | 14,418,299 | — | 14,418,299 |
Common Stocks | 584,260,442 (2) | — | — | 584,260,442 |
Common Stocks - Health Care | — | 9,369,805 (3) | — | 9,369,805 |
Common Stocks - Venture Capital | — | — | 2,122,367 | 2,122,367 |
Convertible Bonds | — | 281,664 | — | 281,664 |
Corporate Bonds | — | 160,617,243 | — | 160,617,243 |
High Social Impact Investments | — | 3,419,155 | — | 3,419,155 |
Preferred Stocks | 1,787,731 | — | — | 1,787,731 |
Preferred Stocks - Venture Capital | — | — | 453,543 | 453,543 |
Senior Floating-Rate Loans | — | 4,958,553 | — | 4,958,553 |
Sovereign Government Bonds | — | 1,149,024 | — | 1,149,024 |
Taxable Municipal Obligations | — | 16,335,913 | — | 16,335,913 |
U.S. Government Agencies and Instrumentalities | — | 5,092,298 | — | 5,092,298 |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
U.S. Government Agency Mortgage-Backed Securities | $ — | $ 38,771,367 | $ — | $ 38,771,367 |
U.S. Treasury Obligations | — | 28,333,548 | — | 28,333,548 |
Venture Capital Debt Obligations | — | — | 40,196 | 40,196 |
Venture Capital Limited Partnership Interests | — | — | 322,694 | 322,694 |
Short-Term Investments: | ||||
Other | — | 33,089,296 | — | 33,089,296 |
Securities Lending Collateral | 1,780,591 | — | — | 1,780,591 |
Total Investments | $587,828,764 | $413,534,171 | $2,938,800 | $1,004,301,735 |
Forward Foreign Currency Exchange Contracts | $ — | $ 1,371 | $ — | $ 1,371 |
Futures Contracts | 14,551 | — | — | 14,551 |
Total | $587,843,315 | $413,535,542 | $2,938,800 | $1,004,317,657 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (1,647) | $ — | $ (1,647) |
Futures Contracts | (269,017) | — | — | (269,017) |
Total | $ (269,017) | $ (1,647) | $ — | $ (270,664) |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
(3) | 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. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 279,114,537 | $ — | $ 279,114,537 |
Collateralized Mortgage-Backed Obligations | — | 241,701,724 | — | 241,701,724 |
Commercial Mortgage-Backed Securities | — | 66,699,581 | — | 66,699,581 |
Corporate Bonds | — | 931,734,972 | — | 931,734,972 |
High Social Impact Investments | — | 6,283,764 | — | 6,283,764 |
Preferred Stocks | 7,531,630 | — | — | 7,531,630 |
Senior Floating-Rate Loans | — | 27,980,528 | — | 27,980,528 |
Sovereign Government Bonds | — | 7,090,750 | — | 7,090,750 |
Taxable Municipal Obligations | — | 86,727,449 | — | 86,727,449 |
U.S. Government Agencies and Instrumentalities | — | 32,417,826 | — | 32,417,826 |
U.S. Government Agency Mortgage-Backed Securities | — | 239,378,411 | — | 239,378,411 |
U.S. Treasury Obligations | — | 143,199,875 | — | 143,199,875 |
Short-Term Investments: | ||||
Commercial Paper | — | 11,573,348 | — | 11,573,348 |
Other | — | 122,314,034 | — | 122,314,034 |
Securities Lending Collateral | 4,220,508 | — | — | 4,220,508 |
Total Investments | $11,752,138 | $2,196,216,799 | $ — | $2,207,968,937 |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $ 34,423 | $ — | $ — | $ 34,423 |
Total | $11,786,561 | $2,196,216,799 | $ — | $2,208,003,360 |
Liability Description | ||||
Futures Contracts | $ (1,254,236) | $ — | $ — | $ (1,254,236) |
Total | $ (1,254,236) | $ — | $ — | $ (1,254,236) |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | $ 4,956,278,384(2) | $ — | $ — | $ 4,956,278,384 |
Common Stocks - Venture Capital | — | — | 421,293 | 421,293 |
High Social Impact Investments | — | 14,122,881 | — | 14,122,881 |
Preferred Stocks - Venture Capital | — | — | 1,385,756 | 1,385,756 |
Venture Capital Debt Obligations | — | — | 223,096 | 223,096 |
Venture Capital Limited Partnership Interests | — | — | 18,123,900 | 18,123,900 |
Short-Term Investments | — | 150,522,759 | — | 150,522,759 |
Total Investments | $4,956,278,384 | $164,645,640 | $20,154,045 | $5,141,078,069 |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. Venture capital is not included in this category. |
Balanced | |
Up to and including $500 Million | 0.410% |
Over $500 Million up to and including $1 Billion | 0.385% |
Over $1 Billion | 0.350% |
Bond | |
Up to and including $1 Billion | 0.300% |
Over $1 Billion | 0.290% |
Equity | |
Up to and including $2 Billion | 0.500% |
Over $2 Billion up to and including $3 Billion | 0.425% |
Over $3 Billion | 0.375% |
Class A | Class C | Class I | Class R6 | |
Balanced | 0.93% | 1.68% | 0.68% | 0.64% |
Bond | 0.73% | 1.53% | 0.53% | 0.46% |
Equity | 0.99% | 1.74% | 0.74% | 0.67% |
Balanced | Bond | Equity | |
Class A Plan | 0% up to $30 million, 0.25% over $30 million | 0.20% | 0.25% |
Balanced | Bond | Equity | |
Purchases | |||
U.S. Government and Agency Securities | $ 383,449,744 | $ 2,264,007,207 | $ — |
Non-U.S. Government and Agency Securities | 568,772,434 | 1,085,897,776 | 1,646,858,479 |
Total Purchases | $952,222,178 | $3,349,904,983 | $1,646,858,479 |
Sales | |||
U.S. Government and Agency Securities | $ 361,835,143 | $ 2,122,710,725 | $ — |
Non-U.S. Government and Agency Securities | 507,144,195 | 787,183,396 | 650,979,933 |
Total Sales | $868,979,338 | $2,909,894,121 | $ 650,979,933 |
Year Ended September 30, 2020 | |||
Balanced | Bond | Equity | |
Ordinary income | $13,045,064 | $50,580,726 | $ 9,307,268 |
Long-term capital gains | 15,946,676 | 9,043,185 | 93,967,863 |
Year Ended September 30, 2019 | |||
Balanced | Bond | Equity | |
Ordinary income | $15,962,905 | $38,000,832 | $ 8,387,414 |
Long-term capital gains | 18,266,501 | — | 172,248,190 |
Balanced | Bond | Equity | |
Change in: | |||
Paid-in capital | $ 1,238,688 | $ 3,295,039 | $ 18,091,095 |
Distributable earnings | $(1,238,688) | $(3,295,039) | $(18,091,095) |
Balanced | Bond | Equity | |
Undistributed ordinary income | $ 3,087,351 | $13,415,787 | $ 15,994,232 |
Undistributed long-term capital gains | $ 10,219,206 | $ 9,282,556 | $ 108,070,379 |
Net unrealized appreciation | $164,425,354 | $71,518,004 | $1,938,800,595 |
Distributions payable | $ (760) | $ (321,111) | $ — |
Balanced | Bond | Equity | |
Aggregate cost | $839,876,059 | $2,136,450,933 | $3,202,277,474 |
Gross unrealized appreciation | $ 179,009,626 | $ 98,327,694 | $ 1,945,807,341 |
Gross unrealized depreciation | (14,583,950) | (26,809,690) | (7,006,746) |
Net unrealized appreciation | $164,425,676 | $ 71,518,004 | $1,938,800,595 |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Foreign exchange | Forward foreign currency exchange contracts | Receivable/Payable for open forward foreign currency exchange contracts | $ 1,371 | $ (1,647) |
Interest rate | Futures contracts | Distributable earnings | 14,551 (1) | (269,017) (1) |
Total | $15,922 | $(270,664) | ||
Derivatives not subject to master netting agreement | $14,551 | $(269,017) | ||
Total Derivatives subject to master netting agreement | $ 1,371 | $ (1,647) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Interest rate | Futures contracts | Distributable earnings | $34,423 (1) | $(1,254,236) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
State Street Bank and Trust Company | $1,371 | $(1,371) | $ — | $ — | $ — |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
State Street Bank and Trust Company | $(1,647) | $1,371 | $ — | $ — | $(276) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statements of Operations Caption | Foreign exchange | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ — | $ 1,225 | $ 1,225 |
Futures contracts | — | (605,262) | (605,262) |
Total | $ — | $(604,037) | $(604,037) |
Change in unrealized appreciation (depreciation): | |||
Forward foreign currency exchange contracts | $ (276) | $ — | $ (276) |
Futures contracts | — | (94,339) | (94,339) |
Total | $(276) | $ (94,339) | $ (94,615) |
(1) | Relates to purchased options. |
Statements of Operations Caption | |
Net realized gain (loss): | |
Futures contracts | $ (4,123,655) |
Total | $(4,123,655) |
Change in unrealized appreciation (depreciation): | |
Futures contracts | $ 25,160 |
Total | $ 25,160 |
Balanced | Bond | |
Futures contracts — long | $32,799,000 | $195,644,000 |
Futures contracts — short | $45,298,000 | $216,486,000 |
Forward foreign currency exchange contracts* | $112,000 | $ — |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Balanced | Bond | |
Securities on Loan | $ 1,824,693 | $ 4,485,120 |
Collateral Received: | ||
Cash | 1,780,591 | 4,220,508 |
U.S. government and/or agencies securities | 76,816 | 369,506 |
Total Collateral Received | $1,857,407 | $4,590,014 |
Balanced | Remaining Contractual Maturity of the Transactions | ||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $ 40,466 | $ — | $ — | $ — | $ 40,466 |
Corporate Bonds | 1,587,773 | — | — | — | 1,587,773 |
U.S. Treasury Obligations | 152,352 | — | — | — | 152,352 |
Total | $1,780,591 | $ — | $ — | $ — | $1,780,591 |
Bond | Remaining Contractual Maturity of the Transactions | ||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $4,220,508 | $ — | $ — | $ — | $4,220,508 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, end of period |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) | $ 4,244,095 | $ — | $ (4,266,666) | $ — | $ 22,571 | $ — | $ 12,444 | $ — |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | — | 2,615,531 | — | — | (13,261) | 2,602,270 | 31,060 | 2,615,531 |
Venture Capital Limited Partnership Interests | ||||||||
GEEMF Partners, L.P.(1)(2)(3) | 16,995 | — | — | — | (5,282) | 11,713 | — | — |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | — | 115,954,401 | (82,867,358) | 3,881 | (1,628) | 33,089,296 | 10,170 | 33,085,988 |
Totals | $ 3,881 | $ 2,400 | $ 35,703,279 | $ 53,674 |
(1) | Restricted security. |
(2) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(3) | Non-income producing security. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, end of period |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) | $ 5,060,480 | $ — | $ (5,087,392) | $ — | $ 26,912 | $ — | $ 14,838 | $ — |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | — | 5,291,992 | — | — | (26,831) | 5,265,161 | 62,843 | 5,291,992 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | — | 349,032,068 | (226,730,142) | 16,050 | (3,942) | 122,314,034 | 38,781 | 122,301,804 |
Totals | $16,050 | $ (3,861) | $127,579,195 | $116,462 |
(1) | Restricted security. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, end of period |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) | $10,776,566 | $ — | $ (10,833,877) | $ — | $ 57,311 | $ — | $ 31,599 | $ — |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | — | 11,180,737 | — | — | (56,686) | 11,124,051 | 132,771 | 11,180,737 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | — | 478,027,452 | (327,512,498) | 17,773 | (9,968) | 150,522,759 | 59,048 | 150,507,709 |
Totals | $17,773 | $ (9,343) | $161,646,810 | $223,418 |
(1) | Restricted security. |
Year Ended September 30, 2020 | Year Ended September 30, 2019(1) | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 2,223,201 | $ 77,762,086 | 1,865,904 | $ 60,147,297 | |
Reinvestment of distributions | 599,745 | 20,504,804 | 814,777 | 25,453,894 | |
Shares redeemed | (2,494,439) | (84,932,713) | (2,154,847) | (69,467,552) | |
Converted from Class C | 52,959 | 1,837,189 | 311,077 | 9,580,124 | |
Net increase | 381,466 | $ 15,171,366 | 836,911 | $ 25,713,763 | |
Class C | |||||
Shares sold | 582,115 | $ 19,551,751 | 355,676 | $ 11,047,013 | |
Reinvestment of distributions | 43,370 | 1,431,914 | 74,007 | 2,218,170 | |
Shares redeemed | (370,131) | (12,378,477) | (367,152) | (11,365,290) | |
Converted to Class A | (54,899) | (1,837,189) | (321,943) | (9,580,124) | |
Net increase (decrease) | 200,455 | $ 6,767,999 | (259,412) | $ (7,680,231) |
Year Ended September 30, 2020 | Year Ended September 30, 2019(1) | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 3,498,598 | $123,151,257 | 1,642,045 | $ 54,737,017 | |
Reinvestment of distributions | 155,310 | 5,404,776 | 151,627 | 4,849,789 | |
Shares redeemed | (2,087,839) | (70,639,817) | (720,682) | (23,668,848) | |
Net increase | 1,566,069 | $ 57,916,216 | 1,072,990 | $ 35,917,958 | |
Class R6 | |||||
Shares sold | 134,011 | $ 4,735,143 | 6,583 | $ 228,286 | |
Reinvestment of distributions | 1,481 | 51,663 | 27 | 939 | |
Shares redeemed | (28,829) | (985,827) | (21) | (737) | |
Net increase | 106,663 | $ 3,800,979 | 6,589 | $ 228,488 |
(1) | For Class R6, for the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 5,130,978 | $ 85,461,047 | 5,276,946 | $ 84,824,770 | |
Reinvestment of distributions | 541,849 | 9,015,319 | 402,903 | 6,487,626 | |
Shares redeemed | (3,951,052) | (65,350,129) | (4,620,300) | (74,031,503) | |
Converted from Class C | 67,247 | 1,113,725 | 352,472 | 5,586,284 | |
Net increase | 1,789,022 | $ 30,239,962 | 1,412,021 | $ 22,867,177 | |
Class C | |||||
Shares sold | 310,341 | $ 5,118,957 | 167,759 | $ 2,686,003 | |
Reinvestment of distributions | 21,047 | 347,329 | 17,161 | 273,126 | |
Shares redeemed | (230,521) | (3,818,622) | (310,875) | (4,914,120) | |
Converted to Class A | (67,722) | (1,113,725) | (355,133) | (5,586,284) | |
Net increase (decrease) | 33,145 | $ 533,939 | (481,088) | $ (7,541,275) | |
Class I | |||||
Shares sold | 34,216,535 | $ 572,181,879 | 43,020,418 | $ 690,624,502 | |
Reinvestment of distributions | 2,363,018 | 39,409,202 | 1,452,017 | 23,497,972 | |
Shares redeemed | (24,176,037) | (399,615,184) | (19,995,464) | (322,601,114) | |
Net increase | 12,403,516 | $ 211,975,897 | 24,476,971 | $ 391,521,360 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class R6 | |||||
Shares sold | 8,894,923 | $ 148,398,845 | 13,695,226 | $ 222,608,619 | |
Reinvestment of distributions | 279,847 | 4,665,770 | 211,903 | 3,412,318 | |
Shares redeemed | (8,396,642) | (140,059,939) | (7,283,233) | (116,331,668) | |
Net increase | 778,128 | $ 13,004,676 | 6,623,896 | $ 109,689,269 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 6,339,248 | $ 355,137,653 | 6,520,124 | $ 317,815,646 | |
Reinvestment of distributions | 839,598 | 44,893,534 | 2,005,932 | 88,943,024 | |
Shares redeemed | (6,883,645) | (378,434,797) | (6,446,073) | (317,884,466) | |
Converted from Class C | 166,674 | 9,236,504 | 1,283,886 | 56,593,514 | |
Net increase | 461,875 | $ 30,832,894 | 3,363,869 | $ 145,467,718 | |
Class C | |||||
Shares sold | 1,705,944 | $ 50,511,933 | 747,684 | $ 20,389,255 | |
Reinvestment of distributions | 163,702 | 4,698,243 | 695,257 | 17,068,549 | |
Shares redeemed | (830,541) | (25,092,889) | (1,137,627) | (30,540,399) | |
Converted to Class A | (310,277) | (9,236,504) | (2,322,116) | (56,593,514) | |
Net increase (decrease) | 728,828 | $ 20,880,783 | (2,016,802) | $ (49,676,109) | |
Class I | |||||
Shares sold | 29,250,927 | $ 1,867,963,569 | 13,952,047 | $ 812,619,838 | |
Reinvestment of distributions | 649,405 | 40,581,339 | 1,020,585 | 52,651,989 | |
Shares redeemed | (15,596,234) | (1,014,724,578) | (7,476,858) | (421,374,510) | |
Net increase | 14,304,098 | $ 893,820,330 | 7,495,774 | $ 443,897,317 | |
Class R6 | |||||
Shares sold | 3,301,004 | $ 212,995,905 | 946,201 | $ 56,727,582 | |
Reinvestment of distributions | 17,576 | 1,095,871 | 1,431 | 73,704 | |
Shares redeemed | (875,103) | (59,439,908) | (38,368) | (2,338,585) | |
Net increase | 2,443,477 | $ 154,651,868 | 909,264 | $ 54,462,701 |
Name of Investment | Unfunded Commitment |
First Analysis Private Equity Fund IV, L.P. | $ 60,000 |
Learn Capital Venture Partners III, L.P. | 83,717 |
Total | $143,717 |
Name of Investment | Unfunded Commitment |
Accion Frontier Inclusion Fund L.P. | $ 129,571 |
Adobe Capital Social Mezzanine I L.P. | 29,267 |
Africa Renewable Energy Fund L.P. | 8,437 |
Arborview Capital Partners L.P. | 21,796 |
Blackstone Clean Technology Partners L.P. | 3,170 |
Bridges Ventures US Sustainable Growth Fund L.P. | 81,124 |
China Environment Fund III L.P. | 1,205 |
Core Innovations Capital I L.P. | 51,766 |
Cross Culture Ventures I L.P. | 65,087 |
DBL Partners III L.P. | 149,430 |
First Analysis Private Equity Fund V L.P. | 18,302 |
Impact Ventures II L.P. | 9,632 |
Leapfrog Financial Inclusion Fund | 78,436 |
New Markets Education Partners L.P. | 57,000 |
New Markets Venture Partners II L.P. | 25,000 |
Owl Ventures L.P. | 20,000 |
Westly Capital Partners Fund II L.P. | 103,909 |
Total | $853,132 |
Calvert Social Investment Fund:
November 20, 2020
Balanced Fund | $ 7,822,968 |
Equity Fund | $ 33,275,115 |
Balanced Fund | 51.20% |
Equity Fund | 100.00% |
Balanced Fund | $ 11,171,392 |
Bond Fund | $ 11,272,113 |
Equity Fund | $123,829,854 |
Name and Year of Birth | Trust Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Interested Trustee | ||||
John H. Streur(1) 1960 | Trustee & 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 Trustees | ||||
Richard L. Baird, Jr. 1948 | Trustee | 1982 | 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 & Trustee | 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 | Trustee | 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 | Trustee | 1982 | 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 | Trustee | 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 | Trustee | 1990 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Name and Year of Birth | Trust Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Independent Trustees (continued) | ||||
Anthony A. Williams 1951 | Trustee | 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 | Trust Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years | |
Principal Officers who are not Trustees | ||||
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 Funds because of his positions with the Funds' 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 | Ten Years |
Class A at NAV | 04/29/2005 | 04/29/2005 | 8.66% | 6.49% | 6.37% |
Class A with 4.75% Maximum Sales Charge | — | — | 3.48 | 5.46 | 5.85 |
Class C at NAV | 04/29/2005 | 04/29/2005 | 7.81 | 5.68 | 5.42 |
Class C with 1% Maximum Sales Charge | — | — | 6.81 | 5.68 | 5.42 |
Class I at NAV | 05/20/2016 | 04/29/2005 | 8.93 | 6.79 | 6.51 |
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | 6.98% | 4.17% | 3.63% |
Conservative Allocation Blended Benchmark | — | — | 9.26 | 7.00 | 6.34 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.06% | 1.81% | 0.81% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2010 | $16,952 | N.A. |
Class I | $250,000 | 09/30/2010 | $470,182 | N.A. |
Top 10 Holdings (% of net assets)* | |
Calvert Bond Fund, Class R6 | 27.7% |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 7.4 |
Calvert Floating-Rate Advantage Fund, Class R6 | 6.7 |
Calvert Flexible Bond Fund (formerly, Calvert Absolute Return Bond Fund), Class R6 | 6.2 |
Calvert Ultra-Short Duration Income Fund, Class R6 | 5.8 |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 5.2 |
Calvert International Equity Fund, Class R6 | 4.3 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 3.3 |
Calvert International Opportunities Fund, Class R6 | 3.0 |
Calvert High Yield Bond Fund, Class I | 2.9 |
Total | 72.5% |
* | Excludes cash and cash equivalents. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 04/29/2005 | 04/29/2005 | 10.44% | 8.45% | 8.10% |
Class A with 4.75% Maximum Sales Charge | — | — | 5.20 | 7.41 | 7.58 |
Class C at NAV | 04/29/2005 | 04/29/2005 | 9.62 | 7.66 | 7.30 |
Class C with 1% Maximum Sales Charge | — | — | 8.62 | 7.66 | 7.30 |
Class I at NAV | 05/20/2016 | 04/29/2005 | 10.71 | 8.75 | 8.25 |
Russell 3000® Index | — | — | 15.00% | 13.67% | 13.47% |
Moderate Allocation Blended Benchmark | — | — | 10.52 | 9.13 | 8.37 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
0.95% | 1.70% | 0.70% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2010 | $20,247 | N.A. |
Class I | $250,000 | 09/30/2010 | $552,704 | N.A. |
Top 10 Holdings (% of net assets)* | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 13.6% |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 11.1 |
Calvert Bond Fund, Class R6 | 7.9 |
Calvert International Equity Fund, Class R6 | 7.0 |
Calvert International Opportunities Fund, Class R6 | 6.3 |
Calvert Ultra-Short Duration Income Fund, Class R6 | 5.0 |
Calvert High Yield Bond Fund, Class I | 4.9 |
Calvert Floating-Rate Advantage Fund, Class R6 | 4.9 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 4.6 |
Calvert Flexible Bond Fund (formerly, Calvert Absolute Return Bond Fund), Class R6 | 4.3 |
Total | 69.6% |
* | Excludes cash and cash equivalents. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 06/30/2005 | 06/30/2005 | 12.52% | 10.06% | 9.67% |
Class A with 4.75% Maximum Sales Charge | — | — | 7.15 | 8.99 | 9.14 |
Class C at NAV | 06/30/2005 | 06/30/2005 | 11.67 | 9.21 | 8.60 |
Class C with 1% Maximum Sales Charge | — | — | 10.67 | 9.21 | 8.60 |
Class I at NAV | 05/20/2016 | 06/30/2005 | 12.81 | 10.35 | 9.82 |
Russell 3000® Index | — | — | 15.00% | 13.67% | 13.47% |
Growth Allocation Blended Benchmark | — | — | 10.96 | 10.63 | 9.78 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 1.00% | 1.75% | 0.75% |
Net | 0.91 | 1.66 | 0.66 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2010 | $22,841 | N.A. |
Class I | $250,000 | 09/30/2010 | $638,347 | N.A. |
Top 10 Holdings (% of net assets)* | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 20.4% |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 15.5 |
Calvert International Equity Fund, Class R6 | 10.8 |
Calvert International Opportunities Fund, Class R6 | 9.2 |
Calvert International Responsible Index Fund, Class R6 | 6.7 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 6.3 |
Calvert Emerging Markets Advancement Fund, Class I | 5.7 |
Calvert Emerging Markets Equity Fund, Class R6 | 5.7 |
Calvert Equity Fund, Class R6 | 4.3 |
Calvert Small-Cap Fund, Class R6 | 3.1 |
Total | 87.7% |
* | 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 | Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI ACWI ex USA Investable Market Index is an unmanaged free-float-adjusted market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets, excluding the United States, with comprehensive coverage of securities in those markets. 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. The Conservative Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 25% Russell 3000® Index, 10% MSCI ACWI ex USA Investable Market Index and 65% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. The Moderate Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 45% Russell 3000® Index, 20% MSCI ACWI ex USA Investable Market Index and 35% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. The Growth Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 60% Russell 3000® Index, 30% MSCI ACWI ex USA Investable Market Index and 10% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. 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 I is linked to Class A. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to each Fund on December 31, 2016. Performance reflected prior to such date is that of each Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement for Calvert Growth Allocation Fund 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. |
Fund profiles subject to change due to active management. | |
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. 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. Bloomberg Barclays U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg Barclays U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. |
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 | $1,153.10 | $2.15 | 0.40% |
Class C | $1,000.00 | $1,148.70 | $6.18 | 1.15% |
Class I | $1,000.00 | $1,154.40 | $0.81 | 0.15% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,023.00 | $2.02 | 0.40% |
Class C | $1,000.00 | $1,019.25 | $5.81 | 1.15% |
Class I | $1,000.00 | $1,024.25 | $0.76 | 0.15% |
* | 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. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. |
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 | $1,218.40 | $2.27 | 0.41% |
Class C | $1,000.00 | $1,214.10 | $6.42 | 1.16% |
Class I | $1,000.00 | $1,220.30 | $0.89 | 0.16% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.95 | $2.07 | 0.41% |
Class C | $1,000.00 | $1,019.20 | $5.86 | 1.16% |
Class I | $1,000.00 | $1,024.20 | $0.81 | 0.16% |
* | 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. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. |
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 | $1,298.40 | $2.47 ** | 0.43% |
Class C | $1,000.00 | $1,292.80 | $6.76 ** | 1.18% |
Class I | $1,000.00 | $1,300.10 | $1.04 ** | 0.18% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.85 | $2.17 | 0.43% |
Class C | $1,000.00 | $1,019.10 | $5.96 | 1.18% |
Class I | $1,000.00 | $1,024.10 | $0.91 | 0.18% |
* | 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. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Mutual Funds(1) — 86.0% |
Security | Shares | Value | |
Equity Funds — 34.7% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 120,165 | $ 3,125,499 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 227,136 | 5,548,918 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 417,849 | 12,765,277 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 199,782 | 8,007,260 | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 785,571 | 18,193,826 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 63,653 | 1,872,679 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 87,400 | 6,438,756 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 474,154 | 5,054,479 | |
Calvert Emerging Markets Equity Fund, Class R6 | 244,685 | 4,524,233 | |
Calvert International Equity Fund, Class R6 | 482,641 | 10,502,265 | |
Calvert International Opportunities Fund, Class R6 | 424,134 | 7,481,737 | |
Calvert Mid-Cap Fund, Class I | 46,659 | 1,902,301 | |
$ 85,417,230 | |||
Income Funds — 51.3% | |||
Calvert Management Series: | |||
Calvert Flexible Bond Fund (formerly, Calvert Absolute Return Bond Fund), Class R6 | 1,035,072 | $ 15,215,561 | |
Calvert Floating-Rate Advantage Fund, Class R6 | 1,794,476 | 16,545,069 | |
Calvert Social Investment Fund: | |||
Calvert Bond Fund, Class R6 | 3,998,562 | 68,095,519 | |
The Calvert Fund: | |||
Calvert High Yield Bond Fund, Class I | 274,443 | 7,184,910 | |
Calvert Short Duration Income Fund, Class R6 | 285,768 | 4,663,739 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 1,458,099 | 14,376,852 | |
$ 126,081,650 | |||
Total Mutual Funds (identified cost $194,727,866) | $ 211,498,880 |
U.S. Treasury Obligations — 5.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.750%, 2/15/45(2)(3) | $ | 3,208 | $ 4,082,046 |
U.S. Treasury Inflation-Protected Notes: | |||
0.625%, 4/15/23(2) | 3,382 | 3,537,996 | |
0.875%, 1/15/29(2)(3) | 4,960 | 5,778,472 | |
Total U.S. Treasury Obligations (identified cost $11,599,088) | $ 13,398,514 |
Short-Term Investments — 8.6% |
Other — 8.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 21,268,725 | $ 21,270,852 | |
Total Short-Term Investments (identified cost $21,270,317) | $ 21,270,852 | ||
Total Investments — 100.1% (identified cost $227,597,271) | $ 246,168,246 |
Other Assets, Less Liabilities — (0.1)% | $ (321,716) | ||
Net Assets — 100.0% | $ 245,846,530 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Affiliated fund. | |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. | |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | |
(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. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 186 | Long | 12/31/20 | $41,098,735 | $ 26,987 |
U.S. 5-Year Treasury Note | 73 | Long | 12/31/20 | 9,200,281 | 18,176 |
U.S. Ultra 10-Year Treasury Note | 21 | Long | 12/21/20 | 3,358,359 | 26,530 |
U.S. Ultra-Long Treasury Bond | 2 | Long | 12/21/20 | 443,625 | 6,495 |
$78,188 |
Mutual Funds(1) — 89.8% |
Security | Shares | Value | |
Equity Funds — 61.4% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 240,956 | $ 6,267,262 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 575,408 | 14,057,209 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 1,569,402 | 47,945,243 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 406,848 | 16,306,469 | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 1,696,610 | 39,293,493 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 125,992 | 3,706,684 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 165,539 | 12,195,239 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 1,203,982 | 12,834,454 | |
Calvert Emerging Markets Equity Fund, Class R6 | 710,214 | 13,131,851 | |
Calvert International Equity Fund, Class R6 | 1,131,622 | 24,624,100 | |
Calvert International Opportunities Fund, Class R6 | 1,259,608 | 22,219,497 | |
Calvert Mid-Cap Fund, Class I | 90,309 | 3,681,883 | |
$ 216,263,384 | |||
Income Funds — 28.4% | |||
Calvert Management Series: | |||
Calvert Flexible Bond Fund (formerly, Calvert Absolute Return Bond Fund), Class R6 | 1,037,743 | $ 15,254,821 | |
Calvert Floating-Rate Advantage Fund, Class R6 | 1,859,717 | 17,146,590 | |
Calvert Social Investment Fund: | |||
Calvert Bond Fund, Class R6 | 1,639,357 | 27,918,250 | |
The Calvert Fund: | |||
Calvert High Yield Bond Fund, Class I | 665,095 | 17,412,192 | |
Calvert Short Duration Income Fund, Class R6 | 301,148 | 4,914,734 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 1,773,646 | 17,488,143 | |
$ 100,134,730 | |||
Total Mutual Funds (identified cost $277,664,821) | $ 316,398,114 |
U.S. Treasury Obligations — 4.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.750%, 2/15/45(2)(3) | $ | 5,055 | $ 6,432,443 |
U.S. Treasury Inflation-Protected Notes: | |||
0.625%, 4/15/23(2) | 4,586 | 4,796,968 | |
0.875%, 1/15/29(2)(3) | 5,226 | 6,089,271 | |
Total U.S. Treasury Obligations (identified cost $14,887,988) | $ 17,318,682 |
Short-Term Investments — 5.3% |
Other — 5.3% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 18,726,263 | $ 18,728,136 | |
Total Short-Term Investments (identified cost $18,727,569) | $ 18,728,136 | ||
Total Investments — 100.0% (identified cost $311,280,378) | $ 352,444,932 |
Other Assets, Less Liabilities — 0.0%(5) | $ 167,233 | ||
Net Assets — 100.0% | $ 352,612,165 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Affiliated fund. | |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. | |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | |
(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) | Amount is less than 0.05%. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 246 | Long | 12/31/20 | $54,356,391 | $ 35,692 |
U.S. Ultra 10-Year Treasury Note | 7 | Long | 12/21/20 | 1,119,453 | 8,843 |
U.S. Ultra-Long Treasury Bond | (23) | Short | 12/21/20 | (5,101,688) | (75,523) |
$(30,988) |
Mutual Funds(1) — 97.1% |
Security | Shares | Value | |
Equity Funds — 91.3% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 231,547 | $ 6,022,527 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 522,546 | 12,765,779 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 1,282,945 | 39,193,967 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 303,078 | 12,147,386 | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 1,283,929 | 29,735,795 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 114,262 | 3,361,590 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 110,955 | 8,174,067 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 1,023,865 | 10,914,406 | |
Calvert Emerging Markets Equity Fund, Class R6 | 589,017 | 10,890,928 | |
Calvert International Equity Fund, Class R6 | 955,583 | 20,793,489 | |
Calvert International Opportunities Fund, Class R6 | 1,001,712 | 17,670,191 | |
Calvert Mid-Cap Fund, Class I | 81,773 | 3,333,882 | |
$ 175,004,007 | |||
Income Funds — 5.8% | |||
Calvert Management Series: | |||
Calvert Floating-Rate Advantage Fund, Class R6 | 600,414 | $ 5,535,820 | |
The Calvert Fund: | |||
Calvert High Yield Bond Fund, Class I | 213,812 | 5,597,601 | |
$ 11,133,421 | |||
Total Mutual Funds (identified cost $157,940,307) | $ 186,137,428 |
U.S. Treasury Obligations — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bonds, 0.250%, 2/15/50(2)(3) | $ | 3,124 | $ 3,684,328 |
Total U.S. Treasury Obligations (identified cost $3,122,211) | $ 3,684,328 |
Short-Term Investments — 4.0% |
Other — 4.0% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 7,702,186 | $ 7,702,956 | |
Total Short-Term Investments (identified cost $7,703,109) | $ 7,702,956 | ||
Total Investments — 103.0% (identified cost $168,765,627) | $ 197,524,712 |
Other Assets, Less Liabilities — (3.0)% | $ (5,740,984) | ||
Net Assets — 100.0% | $ 191,783,728 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Affiliated fund. | |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. | |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | |
(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. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P 500 Index | 11 | Long | 12/18/20 | $ 1,843,600 | $ (23,735) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 105 | Long | 12/31/20 | 23,200,899 | 15,235 |
U.S. 5-Year Treasury Note | (55) | Short | 12/31/20 | (6,931,719) | (12,994) |
U.S. Ultra-Long Treasury Bond | (34) | Short | 12/21/20 | (7,541,625) | (111,643) |
$(133,137) |
September 30, 2020 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Assets | |||
Investments in securities of unaffiliated issuers, at value (identified cost $11,599,088, $14,887,988 and $3,122,211, respectively) | $ 13,398,514 | $ 17,318,682 | $ 3,684,328 |
Investments in securities of affiliated issuers, at value (identified cost $215,998,183, $296,392,390 and $165,643,416, respectively) | 232,769,732 | 335,126,250 | 193,840,384 |
Receivable for variation margin on open futures contracts | — | 40,531 | 85,078 |
Receivable for investments sold | 5,031,247 | 9,231,939 | 3,732,994 |
Receivable for capital shares sold | 301,001 | 149,375 | 221,990 |
Interest receivable | 22,032 | 27,769 | 997 |
Dividends receivable - affiliated | 284,212 | 246,939 | 44,893 |
Receivable from affiliate | — | 1,150 | 6,087 |
Trustees' deferred compensation plan | 109,489 | 161,063 | 85,174 |
Total assets | $251,916,227 | $362,303,698 | $201,701,925 |
Liabilities | |||
Payable for variation margin on open futures contracts | $ 22,833 | $ — | $ — |
Payable for investments purchased | 5,643,849 | 9,288,347 | 9,612,512 |
Payable for capital shares redeemed | 159,093 | 42,366 | 89,542 |
Payable to affiliates: | |||
Distribution and service fees | 59,975 | 81,831 | 45,608 |
Sub-transfer agency fee | 4,235 | 9,882 | 9,000 |
Trustees' deferred compensation plan | 109,489 | 161,063 | 85,174 |
Accrued expenses | 70,223 | 108,044 | 76,361 |
Total liabilities | $ 6,069,697 | $ 9,691,533 | $ 9,918,197 |
Net Assets | $245,846,530 | $352,612,165 | $191,783,728 |
Sources of Net Assets | |||
Paid-in capital | $ 222,089,910 | $ 302,175,427 | $ 158,469,292 |
Distributable earnings | 23,756,620 | 50,436,738 | 33,314,436 |
Total | $245,846,530 | $352,612,165 | $191,783,728 |
Class A Shares | |||
Net Assets | $ 177,059,569 | $ 259,726,120 | $ 157,658,935 |
Shares Outstanding | 9,655,750 | 12,568,917 | 7,116,963 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 18.34 | $ 20.66 | $ 22.15 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 19.25 | $ 21.69 | $ 23.25 |
Class C Shares | |||
Net Assets | $ 29,016,962 | $ 34,673,574 | $ 16,418,670 |
Shares Outstanding | 1,601,938 | 1,772,717 | 881,262 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 18.11 | $ 19.56 | $ 18.63 |
September 30, 2020 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Class I Shares | |||
Net Assets | $39,769,999 | $58,212,471 | $17,706,123 |
Shares Outstanding | 2,167,342 | 2,814,328 | 795,128 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 18.35 | $ 20.68 | $ 22.27 |
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 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Investment Income | |||
Dividend income - affiliated issuers | $ 4,564,297 | $ 5,479,323 | $ 2,155,405 |
Interest income | 214,804 | 295,764 | 77,951 |
Securities lending income, net | — | — | 882 |
Total investment income | $ 4,779,101 | $ 5,775,087 | $ 2,234,238 |
Expenses | |||
Distribution and service fees: | |||
Class A | $ 415,552 | $ 626,768 | $ 358,526 |
Class C | 293,928 | 358,939 | 155,682 |
Trustees' fees and expenses | 9,425 | 13,870 | 7,001 |
Custodian fees | 235 | 252 | 1,762 |
Transfer agency fees and expenses | 192,941 | 329,395 | 234,899 |
Accounting fees | 24,211 | 41,295 | 17,450 |
Professional fees | 34,307 | 40,233 | 32,992 |
Registration fees | 64,519 | 65,669 | 60,287 |
Reports to shareholders | 9,537 | 22,026 | 12,130 |
Miscellaneous | 21,885 | 29,376 | 20,446 |
Total expenses | $ 1,066,540 | $ 1,527,823 | $ 901,175 |
Waiver and/or reimbursement of expenses by affiliate | $ — | $ — | $ (72,794) |
Reimbursement of expenses - other | (3,099) | (4,737) | (2,428) |
Net expenses | $ 1,063,441 | $ 1,523,086 | $ 825,953 |
Net investment income | $ 3,715,660 | $ 4,252,001 | $ 1,408,285 |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss): | |||
Investment securities (including payment from affiliate of $0, $0 and $136,347, respectively) | $ 59,987 | $ 227,473 | $ 1,213,542 |
Investment securities - affiliated issuers | 2,852,970 | 8,485,580 | 2,730,953 |
Futures contracts | 1,944,504 | 624,497 | 1,160,401 |
Written options | 9,886 | 14,829 | 12,358 |
Capital gains distributions received from affiliated issuers | 1,025,721 | 1,248,635 | 707,217 |
Net realized gain | $ 5,893,068 | $10,601,014 | $ 5,824,471 |
Change in unrealized appreciation (depreciation): | |||
Investment securities | $ 1,279,645 | $ 1,681,918 | $ 230,157 |
Investment securities - affiliated issuers | 7,118,569 | 16,428,522 | 13,616,210 |
Futures contracts | 337,253 | 102,937 | (233,872) |
Foreign currency | 12,215 | 29,593 | 34,696 |
Net change in unrealized appreciation (depreciation) | $ 8,747,682 | $18,242,970 | $13,647,191 |
Net realized and unrealized gain | $14,640,750 | $28,843,984 | $19,471,662 |
Net increase in net assets from operations | $18,356,410 | $33,095,985 | $20,879,947 |
Year Ended September 30, 2020 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 3,715,660 | $ 4,252,001 | $ 1,408,285 |
Net realized gain | 5,893,068 | 10,601,014 | 5,824,471 |
Net change in unrealized appreciation (depreciation) | 8,747,682 | 18,242,970 | 13,647,191 |
Net increase in net assets from operations | $ 18,356,410 | $ 33,095,985 | $ 20,879,947 |
Distributions to shareholders: | |||
Class A | $ (6,556,361) | $ (10,528,835) | $ (5,097,556) |
Class C | (956,423) | (1,410,487) | (552,431) |
Class I | (1,289,121) | (2,073,551) | (476,281) |
Total distributions to shareholders | $ (8,801,905) | $ (14,012,873) | $ (6,126,268) |
Capital share transactions: | |||
Class A | $ 10,784,925 | $ (1,567,008) | $ 8,957,627 |
Class C | (1,938,019) | (3,689,316) | 18,065 |
Class I | 10,141,440 | 12,290,506 | 4,527,141 |
Net increase in net assets from capital share transactions | $ 18,988,346 | $ 7,034,182 | $ 13,502,833 |
Net increase in net assets | $ 28,542,851 | $ 26,117,294 | $ 28,256,512 |
Net Assets | |||
At beginning of year | $ 217,303,679 | $ 326,494,871 | $ 163,527,216 |
At end of year | $245,846,530 | $352,612,165 | $191,783,728 |
Year Ended September 30, 2019 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 4,164,998 | $ 4,912,035 | $ 1,546,244 |
Net realized gain | 7,016,867 | 13,347,057 | 6,686,553 |
Net change in unrealized appreciation (depreciation) | 1,391,157 | (4,673,623) | (4,221,920) |
Net increase in net assets from operations | $ 12,573,022 | $ 13,585,469 | $ 4,010,877 |
Distributions to shareholders: | |||
Class A | $ (6,238,683) | $ (11,972,228) | $ (6,918,489) |
Class C | (1,176,903) | (2,132,802) | (1,055,466) |
Class I | (1,019,445) | (1,685,209) | (582,950) |
Total distributions to shareholders | $ (8,435,031) | $ (15,790,239) | $ (8,556,905) |
Capital share transactions: | |||
Class A | $ 5,782,398 | $ 17,481,020 | $ 9,857,932 |
Class C | (4,452,570) | (8,052,463) | (3,170,414) |
Class I | 8,150,298 | 13,099,745 | 95,095 |
Net increase in net assets from capital share transactions | $ 9,480,126 | $ 22,528,302 | $ 6,782,613 |
Net increase in net assets | $ 13,618,117 | $ 20,323,532 | $ 2,236,585 |
Net Assets | |||
At beginning of year | $ 203,685,562 | $ 306,171,339 | $ 161,290,631 |
At end of year | $217,303,679 | $326,494,871 | $163,527,216 |
Conservative Allocation Fund — Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 17.57 | $ 17.25 | $ 17.25 | $ 16.48 | $ 16.59 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.30 | $ 0.37 | $ 0.33 | $ 0.30 | $ 0.31 |
Net realized and unrealized gain | 1.17 | 0.70 | 0.36 | 0.96 | 0.55 |
Total income from operations | $ 1.47 | $ 1.07 | $ 0.69 | $ 1.26 | $ 0.86 |
Less Distributions | |||||
From net investment income | $ (0.32) | $ (0.41) | $ (0.42) | $ (0.33) | $ (0.30) |
From net realized gain | (0.38) | (0.34) | (0.27) | (0.16) | (0.67) |
Total distributions | $ (0.70) | $ (0.75) | $ (0.69) | $ (0.49) | $ (0.97) |
Net asset value — End of year | $ 18.34 | $ 17.57 | $ 17.25 | $ 17.25 | $ 16.48 |
Total Return(2) | 8.66% | 6.57% | 4.08% | 7.84% | 5.42% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $177,060 | $159,188 | $150,237 | $138,512 | $131,576 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.41% | 0.44% | 0.44% | 0.51% | 0.67% |
Net expenses(4) | 0.41% | 0.44% | 0.44% | 0.44% | 0.44% |
Net investment income | 1.70% | 2.18% | 1.93% | 1.77% | 1.90% |
Portfolio Turnover | 36% | 85% | 94% | 46% | 61% |
(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. |
(4) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
Conservative Allocation Fund — Class C | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 17.36 | $ 17.05 | $ 17.06 | $ 16.28 | $ 16.40 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.17 | $ 0.25 | $ 0.20 | $ 0.17 | $ 0.17 |
Net realized and unrealized gain | 1.15 | 0.68 | 0.36 | 0.96 | 0.55 |
Total income from operations | $ 1.32 | $ 0.93 | $ 0.56 | $ 1.13 | $ 0.72 |
Less Distributions | |||||
From net investment income | $ (0.19) | $ (0.28) | $ (0.30) | $ (0.19) | $ (0.17) |
From net realized gain | (0.38) | (0.34) | (0.27) | (0.16) | (0.67) |
Total distributions | $ (0.57) | $ (0.62) | $ (0.57) | $ (0.35) | $ (0.84) |
Net asset value — End of year | $ 18.11 | $ 17.36 | $ 17.05 | $ 17.06 | $ 16.28 |
Total Return(2) | 7.81% | 5.77% | 3.30% | 7.04% | 4.57% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $29,017 | $29,828 | $33,843 | $33,661 | $34,334 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 1.15% | 1.19% | 1.19% | 1.30% | 1.46% |
Net expenses(4) | 1.15% | 1.19% | 1.19% | 1.19% | 1.27% |
Net investment income | 0.97% | 1.47% | 1.17% | 1.03% | 1.07% |
Portfolio Turnover | 36% | 85% | 94% | 46% | 61% |
(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. |
(4) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
Conservative Allocation Fund — Class I | |||||
Year Ended September 30, | Period Ended September 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 (1) | |
Net asset value — Beginning of period | $ 17.58 | $ 17.25 | $ 17.23 | $ 16.48 | $ 16.07 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.34 | $ 0.42 | $ 0.41 | $ 0.40 | $ 0.11 |
Net realized and unrealized gain | 1.18 | 0.70 | 0.34 | 0.91 | 0.43 |
Total income from operations | $ 1.52 | $ 1.12 | $ 0.75 | $ 1.31 | $ 0.54 |
Less Distributions | |||||
From net investment income | $ (0.37) | $ (0.45) | $ (0.46) | $ (0.40) | $ (0.13) |
From net realized gain | (0.38) | (0.34) | (0.27) | (0.16) | — |
Total distributions | $ (0.75) | $ (0.79) | $ (0.73) | $ (0.56) | $ (0.13) |
Net asset value — End of period | $ 18.35 | $ 17.58 | $ 17.25 | $17.23 | $16.48 |
Total Return(3) | 8.93% | 6.89% | 4.40% | 8.22% | 3.40% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $39,770 | $28,288 | $19,605 | $ 3,052 | $ 1,034 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses(6) | 0.16% | 0.19% | 0.19% | 1.43% | 0.97% (7) |
Net expenses(6) | 0.16% | 0.16% | 0.09% | 0.09% | 0.09% (7) |
Net investment income | 1.93% | 2.44% | 2.36% | 2.37% | 1.93% (7) |
Portfolio Turnover | 36% | 85% | 94% | 46% | 61% (8) |
(1) | From May 20, 2016 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) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
(7) | Annualized. |
(8) | For the year ended September 30, 2016. |
Moderate Allocation Fund — Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 19.49 | $ 19.77 | $ 19.32 | $ 17.86 | $ 18.84 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.26 | $ 0.31 | $ 0.29 | $ 0.28 | $ 0.25 |
Net realized and unrealized gain | 1.73 | 0.43 | 1.15 | 1.93 | 1.00 |
Total income from operations | $ 1.99 | $ 0.74 | $ 1.44 | $ 2.21 | $ 1.25 |
Less Distributions | |||||
From net investment income | $ (0.26) | $ (0.40) | $ (0.47) | $ (0.28) | $ (0.24) |
From net realized gain | (0.56) | (0.62) | (0.52) | (0.47) | (1.99) |
Total distributions | $ (0.82) | $ (1.02) | $ (0.99) | $ (0.75) | $ (2.23) |
Net asset value — End of year | $ 20.66 | $ 19.49 | $ 19.77 | $ 19.32 | $ 17.86 |
Total Return(2) | 10.44% | 4.44% | 7.62% | 12.86% | 7.16% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $259,726 | $247,372 | $231,146 | $213,343 | $203,907 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.41% | 0.42% | 0.43% | 0.50% | 0.73% |
Net expenses(4) | 0.41% | 0.42% | 0.43% | 0.44% | 0.56% |
Net investment income | 1.32% | 1.65% | 1.47% | 1.52% | 1.43% |
Portfolio Turnover | 35% | 89% | 73% | 45% | 61% |
(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. |
(4) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
Moderate Allocation Fund — Class C | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 18.52 | $ 18.84 | $ 18.37 | $ 17.11 | $ 18.16 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.11 | $ 0.19 | $ 0.13 | $ 0.14 | $ 0.11 |
Net realized and unrealized gain | 1.64 | 0.38 | 1.10 | 1.84 | 0.97 |
Total income from operations | $ 1.75 | $ 0.57 | $ 1.23 | $ 1.98 | $ 1.08 |
Less Distributions | |||||
From net investment income | $ (0.15) | $ (0.27) | $ (0.24) | $ (0.25) | $ (0.14) |
From net realized gain | (0.56) | (0.62) | (0.52) | (0.47) | (1.99) |
Total distributions | $ (0.71) | $ (0.89) | $ (0.76) | $ (0.72) | $ (2.13) |
Net asset value — End of year | $ 19.56 | $ 18.52 | $ 18.84 | $ 18.37 | $ 17.11 |
Total Return(2) | 9.62% | 3.68% | 6.83% | 12.02% | 6.37% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $34,674 | $36,679 | $45,880 | $42,529 | $42,695 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 1.16% | 1.17% | 1.18% | 1.29% | 1.51% |
Net expenses(4) | 1.16% | 1.17% | 1.18% | 1.19% | 1.32% |
Net investment income | 0.59% | 1.04% | 0.72% | 0.77% | 0.68% |
Portfolio Turnover | 35% | 89% | 73% | 45% | 61% |
(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. |
(4) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
Moderate Allocation Fund — Class I | |||||
Year Ended September 30, | Period Ended September 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 (1) | |
Net asset value — Beginning of period | $ 19.51 | $ 19.79 | $ 19.36 | $ 17.85 | $ 17.10 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.30 | $ 0.35 | $ 0.33 | $ 0.26 | $ 0.07 |
Net realized and unrealized gain | 1.74 | 0.44 | 1.19 | 2.02 | 0.76 |
Total income from operations | $ 2.04 | $ 0.79 | $ 1.52 | $ 2.28 | $ 0.83 |
Less Distributions | |||||
From net investment income | $ (0.31) | $ (0.45) | $ (0.57) | $ (0.30) | $ (0.08) |
From net realized gain | (0.56) | (0.62) | (0.52) | (0.47) | — |
Total distributions | $ (0.87) | $ (1.07) | $ (1.09) | $ (0.77) | $ (0.08) |
Net asset value — End of period | $ 20.68 | $ 19.51 | $ 19.79 | $19.36 | $17.85 |
Total Return(3) | 10.71% | 4.69% | 8.04% | 13.26% | 4.86% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $58,212 | $42,444 | $29,145 | $ 9,124 | $ 1,049 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses(6) | 0.16% | 0.17% | 0.17% | 0.55% | 0.54% (7) |
Net expenses(6) | 0.16% | 0.14% | 0.09% | 0.09% | 0.09% (7) |
Net investment income | 1.51% | 1.83% | 1.70% | 1.43% | 1.06% (7) |
Portfolio Turnover | 35% | 89% | 73% | 45% | 61% (8) |
(1) | From May 20, 2016 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) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
(7) | Annualized. |
(8) | For the year ended September 30, 2016. |
Growth Allocation Fund — Class A | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 20.38 | $ 21.16 | $ 20.27 | $ 18.12 | $ 19.32 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.18 | $ 0.20 | $ 0.22 | $ 0.23 | $ 0.19 |
Net realized and unrealized gain | 2.35 | 0.15 | 1.79 | 2.82 | 1.25 |
Total income from operations | $ 2.53 | $ 0.35 | $ 2.01 | $ 3.05 | $ 1.44 |
Less Distributions | |||||
From net investment income | $ (0.20) | $ (0.36) | $ (0.44) | $ (0.23) | $ (0.15) |
From net realized gain | (0.56) | (0.77) | (0.68) | (0.67) | (2.49) |
Total distributions | $ (0.76) | $ (1.13) | $ (1.12) | $ (0.90) | $ (2.64) |
Net asset value — End of year | $ 22.15 | $ 20.38 | $ 21.16 | $ 20.27 | $ 18.12 |
Total Return(2) | 12.52% | 2.56% | 10.19% | 17.59% | 8.03% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $157,659 | $136,474 | $129,981 | $116,680 | $103,539 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.47% | 0.52% | 0.52% | 0.60% | 0.78% |
Net expenses(4) | 0.43% | 0.43% | 0.43% | 0.43% | 0.43% |
Net investment income | 0.87% | 1.04% | 1.07% | 1.24% | 1.10% |
Portfolio Turnover | 43% | 92% | 64% | 55% | 62% |
(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. |
(4) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
Growth Allocation Fund — Class C | |||||
Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net asset value — Beginning of year | $ 17.26 | $ 18.10 | $ 17.50 | $ 15.85 | $ 17.21 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.02 | $ 0.08 | $ 0.06 | $ 0.08 | $ 0.03 |
Net realized and unrealized gain | 1.98 | 0.08 | 1.53 | 2.45 | 1.10 |
Total income from operations | $ 2.00 | $ 0.16 | $ 1.59 | $ 2.53 | $ 1.13 |
Less Distributions | |||||
From net investment income | $ (0.07) | $ (0.23) | $ (0.31) | $ (0.21) | $ — |
From net realized gain | (0.56) | (0.77) | (0.68) | (0.67) | (2.49) |
Total distributions | $ (0.63) | $ (1.00) | $ (0.99) | $ (0.88) | $ (2.49) |
Net asset value — End of year | $ 18.63 | $ 17.26 | $ 18.10 | $ 17.50 | $ 15.85 |
Total Return(2) | 11.67% | 1.80% | 9.39% | 16.72% | 7.06% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $16,419 | $15,189 | $19,372 | $18,045 | $17,578 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 1.22% | 1.27% | 1.27% | 1.42% | 1.60% |
Net expenses(4) | 1.18% | 1.18% | 1.18% | 1.18% | 1.31% |
Net investment income | 0.13% | 0.48% | 0.33% | 0.52% | 0.20% |
Portfolio Turnover | 43% | 92% | 64% | 55% | 62% |
(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. |
(4) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
Growth Allocation Fund — Class I | |||||
Year Ended September 30, | Period Ended September 30, | ||||
2020 | 2019 | 2018 | 2017 | 2016 (1) | |
Net asset value — Beginning of period | $ 20.48 | $ 21.26 | $ 20.35 | $ 18.14 | $ 17.17 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.21 | $ 0.24 | $ 0.25 | $ 0.36 | $ 0.01 |
Net realized and unrealized gain | 2.39 | 0.16 | 1.84 | 2.77 | 0.96 |
Total income from operations | $ 2.60 | $ 0.40 | $ 2.09 | $ 3.13 | $ 0.97 |
Less Distributions | |||||
From net investment income | $ (0.25) | $ (0.41) | $ (0.50) | $ (0.25) | $ — |
From net realized gain | (0.56) | (0.77) | (0.68) | (0.67) | — |
Total distributions | $ (0.81) | $ (1.18) | $ (1.18) | $ (0.92) | $ — |
Net asset value — End of period | $ 22.27 | $ 20.48 | $ 21.26 | $20.35 | $18.14 |
Total Return(3) | 12.81% | 2.84% | 10.57% | 18.02% | 5.65% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $17,706 | $11,864 | $11,938 | $ 1,790 | $ 1,056 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses(6) | 0.22% | 0.27% | 0.26% | 1.76% | 0.57% (7) |
Net expenses(6) | 0.18% | 0.15% | 0.08% | 0.08% | 0.08% (7) |
Net investment income | 1.03% | 1.23% | 1.20% | 1.91% | 0.19% (7) |
Portfolio Turnover | 43% | 92% | 64% | 55% | 62% (8) |
(1) | From May 20, 2016 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) | Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. |
(7) | Annualized. |
(8) | For the year ended September 30, 2016. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 211,498,880 | $ — | $ — | $ 211,498,880 |
U.S. Treasury Obligations | — | 13,398,514 | — | 13,398,514 |
Short-Term Investments | — | 21,270,852 | — | 21,270,852 |
Total Investments | $211,498,880 | $34,669,366 | $ — | $246,168,246 |
Futures Contracts | $ 78,188 | $ — | $ — | $ 78,188 |
Total | $211,577,068 | $34,669,366 | $ — | $246,246,434 |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 316,398,114 | $ — | $ — | $ 316,398,114 |
U.S. Treasury Obligations | — | 17,318,682 | — | 17,318,682 |
Short-Term Investments | — | 18,728,136 | — | 18,728,136 |
Total Investments | $316,398,114 | $36,046,818 | $ — | $352,444,932 |
Futures Contracts | $ 44,535 | $ — | $ — | $ 44,535 |
Total | $316,442,649 | $36,046,818 | $ — | $352,489,467 |
Liability Description | ||||
Futures Contracts | $ (75,523) | $ — | $ — | $ (75,523) |
Total | $ (75,523) | $ — | $ — | $ (75,523) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 186,137,428 | $ — | $ — | $ 186,137,428 |
U.S. Treasury Obligations | — | 3,684,328 | — | 3,684,328 |
Short-Term Investments | — | 7,702,956 | — | 7,702,956 |
Total Investments | $186,137,428 | $11,387,284 | $ — | $197,524,712 |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $ 15,235 | $ — | $ — | $ 15,235 |
Total | $186,152,663 | $11,387,284 | $ — | $197,539,947 |
Liability Description | ||||
Futures Contracts | $ (148,372) | $ — | $ — | $ (148,372) |
Total | $ (148,372) | $ — | $ — | $ (148,372) |
Conservative | Moderate | Growth | |
Purchases | |||
U.S. Government and Agency Securities | $ — | $ — | $ 3,106,014 |
Non-U.S. Government and Agency Securities | 79,242,588 | 116,816,967 | 78,589,620 |
Total Purchases | $79,242,588 | $116,816,967 | $81,695,634 |
Sales | |||
U.S. Government and Agency Securities | $ 4,456,279 | $ 8,170,322 | $ 8,867,228 |
Non-U.S. Government and Agency Securities | 78,692,222 | 128,630,526 | 64,398,456 |
Total Sales | $83,148,501 | $136,800,848 | $73,265,684 |
Year Ended September 30, 2020 | |||
Conservative | Moderate | Growth | |
Ordinary income | $5,114,797 | $6,627,251 | $1,553,734 |
Long-term capital gains | 3,687,108 | 7,385,622 | 4,572,534 |
Year Ended September 30, 2019 | |||
Conservative | Moderate | Growth | |
Ordinary income | $5,100,581 | $7,122,218 | $3,348,578 |
Long-term capital gains | 3,334,450 | 8,668,021 | 5,208,327 |
Conservative | Moderate | Growth | |
Change in: | |||
Paid-in capital | $ 556,679 | $ 745,788 | $ 382,113 |
Distributable earnings | $(556,679) | $(745,788) | $(382,113) |
Conservative | Moderate | Growth | |
Undistributed ordinary income | $ 687,447 | $ 16,356 | $ — |
Undistributed long-term capital gains | $ 5,051,140 | $10,166,346 | $ 5,730,514 |
Post October capital losses | $ — | $ — | $ (112,652) |
Late year ordinary losses | $ — | $ — | $ (292,800) |
Net unrealized appreciation | $18,018,033 | $40,254,036 | $27,989,374 |
Conservative | Moderate | Growth | |
Aggregate cost | $228,154,931 | $312,202,401 | $169,549,039 |
Gross unrealized appreciation | $ 19,076,831 | $ 41,253,864 | $ 28,240,672 |
Gross unrealized depreciation | (1,063,516) | (1,011,333) | (264,999) |
Net unrealized appreciation | $ 18,013,315 | $ 40,242,531 | $ 27,975,673 |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Interest rate | Futures contracts | Distributable earnings | $78,188 (1) | $— |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Interest rate | Futures contracts | Distributable earnings | $44,535 (1) | $(75,523) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Equity price | Futures contracts | Distributable earnings | $ — | $ (23,735)(1) |
Interest rate | Futures contracts | Distributable earnings | 15,235 (1) | (124,637) (1) |
Total | $15,235 | $(148,372) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statements of Operations Caption | Equity price | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $(47,618) | $ — | $ (47,618) |
Futures contracts | 83,411 | 1,861,093 | 1,944,504 |
Written options | 9,886 | — | 9,886 |
Total | $ 45,679 | $1,861,093 | $1,906,772 |
Change in unrealized appreciation (depreciation): | |||
Futures contracts | $ — | $ 337,253 | $ 337,253 |
Total | $ — | $ 337,253 | $ 337,253 |
(1) | Relates to purchased options. |
Statements of Operations Caption | Equity price | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ (77,984) | $ — | $ (77,984) |
Futures contracts | (9,348) | 633,845 | 624,497 |
Written options | 14,829 | — | 14,829 |
Total | $(72,503) | $633,845 | $561,342 |
Change in unrealized appreciation (depreciation): | |||
Futures contracts | $ — | $ 102,937 | $ 102,937 |
Total | $ — | $102,937 | $102,937 |
(1) | Relates to purchased options. |
Statements of Operations Caption | Equity price | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ (74,821) | $ — | $ (74,821) |
Futures contracts | 1,893,130 | (732,729) | 1,160,401 |
Written options | 12,358 | — | 12,358 |
Total | $1,830,667 | $(732,729) | $1,097,938 |
Change in unrealized appreciation (depreciation): | |||
Futures contracts | $ (23,735) | $ (210,137) | $ (233,872) |
Total | $ (23,735) | $(210,137) | $ (233,872) |
(1) | Relates to purchased options. |
Conservative | Moderate | Growth | |
Futures contracts — long | $57,871,000 | $57,427,000 | $26,838,000 |
Futures contracts — short | $229,000 | $3,729,000 | $14,282,000 |
Purchased options | 18 | 45 | 63 |
Written options | (3) | (5) | (4) |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
Bond Fund, Class R6 | $65,755,067 | $ 3,473,582 | $ (2,455,949) | $ (55,412) | $ 1,378,231 | $ 68,095,519 | $ 1,704,737 | $ 600,861 | 3,998,562 |
Cash Reserves Fund, LLC | — | 27,193,298 | (5,923,273) | 292 | 535 | 21,270,852 | 5,800 | — | 21,268,725 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
Emerging Markets Advancement Fund, Class I | $ — | $ 4,776,685 | $ — | $ — | $ 277,794 | $ 5,054,479 | $ — | $ 8,435 | 474,154 |
Emerging Markets Equity Fund, Class R6 | 5,944,697 | 1,495,984 | (3,463,250) | (115,195) | 661,997 | 4,524,233 | 38,984 | — | 244,685 |
Equity Fund, Class R6 | — | 5,512,619 | — | — | 926,137 | 6,438,756 | 14,722 | 111,897 | 87,400 |
Flexible Bond Fund, Class R6 | 18,508,464 | 919,352 | (3,747,166) | (121,719) | (343,370) | 15,215,561 | 555,352 | — | 1,035,072 |
Floating-Rate Advantage Fund, Class R6 | 14,706,589 | 3,036,563 | (825,000) | (63,847) | (309,236) | 16,545,069 | 696,580 | — | 1,794,476 |
High Yield Bond Fund, Class I | — | 6,453,937 | — | — | 730,973 | 7,184,910 | 135,938 | — | 274,443 |
International Equity Fund, Class R6 | 6,077,200 | 3,301,434 | — | — | 1,123,631 | 10,502,265 | 94,870 | — | 482,641 |
International Opportunities Fund, Class R6 | 6,600,283 | 1,223,489 | (1,081,000) | 78,221 | 660,744 | 7,481,737 | 99,861 | — | 424,134 |
International Responsible Index Fund, Class R6 | 2,255,256 | 3,202,585 | (137,000) | 7,095 | 220,982 | 5,548,918 | 39,514 | — | 227,136 |
Mid-Cap Fund, Class I | 1,626,757 | 280,682 | — | — | (5,138) | 1,902,301 | 3,614 | 73,067 | 46,659 |
Short Duration Income Fund, Class R6 | 6,518,473 | 308,177 | (2,175,000) | (12,421) | 24,510 | 4,663,739 | 159,177 | — | 285,768 |
Small-Cap Fund, Class R6 | 3,311,467 | 1,064,036 | (1,194,000) | 58,820 | (114,824) | 3,125,499 | 8,291 | 39,139 | 120,165 |
Ultra-Short Duration Income Fund, Class R6 | 22,011,207 | 32,797,131 | (39,746,725) | (791,416) | 106,655 | 14,376,852 | 396,561 | — | 1,458,099 |
US Large-Cap Core Responsible Index Fund, Class R6 | 25,452,806 | 4,261,836 | (20,536,132) | 2,784,005 | 802,762 | 12,765,277 | 252,836 | — | 417,849 |
US Large-Cap Growth Responsible Index Fund, Class I | 8,651,072 | 134,055 | (3,223,000) | 1,099,490 | 1,345,643 | 8,007,260 | 60,370 | 73,685 | 199,782 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
US Large-Cap Value Responsible Index Fund, Class I | $12,478,256 | $ 6,309,386 | $ (107,000) | $ (14,980) | $ (471,836) | $ 18,193,826 | $ 286,521 | $ 107,984 | 785,571 |
US Mid-Cap Core Responsible Index Fund, Class I | 1,080,209 | 691,054 | (1,000) | 37 | 102,379 | 1,872,679 | 10,569 | 10,653 | 63,653 |
Totals | $2,852,970 | $ 7,118,569 | $232,769,732 | $4,564,297 | $1,025,721 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
Bond Fund, Class R6 | $37,077,389 | $ 1,021,832 | $(10,570,000) | $ 98,888 | $ 290,141 | $ 27,918,250 | $ 750,794 | $ 271,048 | 1,639,357 |
Cash Reserves Fund, LLC | — | 30,178,119 | (11,451,446) | 896 | 567 | 18,728,136 | 6,484 | — | 18,726,263 |
Emerging Markets Advancement Fund, Class I | — | 12,149,200 | — | — | 685,254 | 12,834,454 | — | 25,397 | 1,203,982 |
Emerging Markets Equity Fund, Class R6 | 17,187,042 | 5,116,662 | (10,852,803) | (262,681) | 1,943,631 | 13,131,851 | 110,662 | — | 710,214 |
Equity Fund, Class R6 | — | 10,343,674 | (24,000) | 1,596 | 1,873,969 | 12,195,239 | 33,215 | 252,459 | 165,539 |
Flexible Bond Fund, Class R6 | 20,551,473 | 915,126 | (5,651,000) | (212,433) | (348,345) | 15,254,821 | 594,126 | — | 1,037,743 |
Floating-Rate Advantage Fund, Class R6 | 13,162,164 | 4,074,112 | — | — | (89,686) | 17,146,590 | 659,129 | — | 1,859,717 |
High Yield Bond Fund, Class I | — | 17,195,066 | (936,176) | 9,168 | 1,144,134 | 17,412,192 | 274,066 | — | 665,095 |
International Equity Fund, Class R6 | 15,591,660 | 6,519,600 | (4,000) | (160) | 2,517,000 | 24,624,100 | 241,455 | — | 1,131,622 |
International Opportunities Fund, Class R6 | 19,715,738 | 2,140,589 | (1,838,000) | 118,219 | 2,082,951 | 22,219,497 | 300,407 | — | 1,259,608 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
International Responsible Index Fund, Class R6 | $ 7,511,725 | $ 6,296,795 | $ (336,000) | $ 17,400 | $ 567,289 | $ 14,057,209 | $ 133,746 | $ — | 575,408 |
Mid-Cap Fund, Class I | 3,274,531 | 427,784 | — | — | (20,432) | 3,681,883 | 7,249 | 146,535 | 90,309 |
Short Duration Income Fund, Class R6 | 9,073,724 | 1,186,392 | (5,342,000) | (30,222) | 26,840 | 4,914,734 | 230,394 | — | 301,148 |
Small-Cap Fund, Class R6 | 8,136,866 | 256,927 | (1,826,000) | 71,640 | (372,171) | 6,267,262 | 20,789 | 98,138 | 240,956 |
Ultra-Short Duration Income Fund, Class R6 | 26,826,055 | 33,346,820 | (41,813,994) | (976,406) | 105,668 | 17,488,143 | 489,238 | — | 1,773,646 |
US Large-Cap Core Responsible Index Fund, Class R6 | 67,897,893 | 4,145,566 | (35,067,747) | 5,730,043 | 5,239,488 | 47,945,243 | 791,565 | — | 1,569,402 |
US Large-Cap Growth Responsible Index Fund, Class I | 21,272,431 | 302,393 | (10,766,807) | 4,094,387 | 1,404,065 | 16,306,469 | 136,179 | 166,214 | 406,848 |
US Large-Cap Value Responsible Index Fund, Class I | 31,947,872 | 11,151,580 | (2,631,000) | (368,340) | (806,619) | 39,293,493 | 660,058 | 248,761 | 1,696,610 |
US Mid-Cap Core Responsible Index Fund, Class I | 4,072,471 | 226,850 | (971,000) | 193,585 | 184,778 | 3,706,684 | 39,767 | 40,083 | 125,992 |
Totals | $8,485,580 | $16,428,522 | $335,126,250 | $5,479,323 | $1,248,635 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
Bond Fund, Class R6 | $ 4,516,834 | $ 692,414 | $ (5,190,402) | $ 192,408 | $ (211,254) | $ — | $ 11,576 | $ — | — |
Cash Reserves Fund, LLC | — | 13,691,883 | (5,988,972) | 198 | (153) | 7,702,956 | 1,113 | — | 7,702,186 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
Emerging Markets Advancement Fund, Class I | $ — | $10,275,080 | $ — | $ — | $ 639,326 | $ 10,914,406 | $ — | $ 21,425 | 1,023,865 |
Emerging Markets Equity Fund, Class R6 | 13,839,097 | 3,068,995 | (7,371,459) | (120,795) | 1,475,090 | 10,890,928 | 92,218 | — | 589,017 |
Equity Fund, Class R6 | — | 7,417,769 | (555,195) | 55,351 | 1,256,142 | 8,174,067 | 22,413 | 170,356 | 110,955 |
Floating-Rate Advantage Fund, Class R6 | 3,283,653 | 2,786,603 | (679,554) | (37,828) | 182,946 | 5,535,820 | 194,605 | — | 600,414 |
High Yield Bond Fund, Class I | — | 5,756,121 | (694,705) | 11,642 | 524,543 | 5,597,601 | 109,121 | — | 213,812 |
International Equity Fund, Class R6 | 13,922,830 | 5,112,765 | (406,000) | (8,209) | 2,172,103 | 20,793,489 | 211,053 | — | 955,583 |
International Opportunities Fund, Class R6 | 15,549,091 | 1,387,788 | (1,044,000) | 71,244 | 1,706,068 | 17,670,191 | 240,690 | — | 1,001,712 |
International Responsible Index Fund, Class R6 | 5,747,021 | 6,535,694 | — | — | 483,064 | 12,765,779 | 106,887 | — | 522,546 |
Mid-Cap Fund, Class I | 2,860,367 | 486,179 | — | — | (12,664) | 3,333,882 | 6,419 | 129,760 | 81,773 |
Short Duration Income Fund, Class R6 | 7,435 | 18 | (7,450) | (2) | (1) | — | 21 | — | — |
Small-Cap Fund, Class R6 | 6,087,303 | 286,290 | (3,000) | (340) | (347,726) | 6,022,527 | 15,783 | 74,507 | 231,547 |
Ultra-Short Duration Income Fund, Class R6 | — | 5,662,721 | (5,543,951) | (118,770) | — | — | 16,721 | — | — |
US Large-Cap Core Responsible Index Fund, Class R6 | 51,833,203 | 17,867,869 | (35,658,678) | 672,428 | 4,479,145 | 39,193,967 | 547,265 | — | 1,282,945 |
US Large-Cap Growth Responsible Index Fund, Class I | 14,668,535 | 204,018 | (6,577,064) | 2,107,006 | 1,744,891 | 12,147,386 | 91,877 | 112,141 | 303,078 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
US Large-Cap Value Responsible Index Fund, Class I | $20,845,592 | $10,355,867 | $ (667,000) | $ (93,380) | $ (705,284) | $ 29,735,795 | $ 463,481 | $ 174,675 | 1,283,929 |
US Mid-Cap Core Responsible Index Fund, Class I | 2,438,184 | 693,432 | — | — | 229,974 | 3,361,590 | 24,162 | 24,353 | 114,262 |
Totals | $2,730,953 | $13,616,210 | $193,840,384 | $2,155,405 | $ 707,217 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 2,136,540 | $ 37,521,058 | 2,330,709 | $ 39,792,979 | |
Reinvestment of distributions | 352,535 | 6,175,832 | 363,931 | 5,887,096 | |
Shares redeemed | (1,975,192) | (34,306,000) | (2,551,692) | (43,328,222) | |
Converted from Class C | 80,779 | 1,394,035 | 206,350 | 3,430,545 | |
Net increase | 594,662 | $ 10,784,925 | 349,298 | $ 5,782,398 | |
Class C | |||||
Shares sold | 273,188 | $ 4,728,169 | 311,021 | $ 5,212,563 | |
Reinvestment of distributions | 51,971 | 902,392 | 69,316 | 1,095,859 | |
Shares redeemed | (359,739) | (6,174,545) | (438,366) | (7,330,447) | |
Converted to Class A | (81,854) | (1,394,035) | (209,031) | (3,430,545) | |
Net decrease | (116,434) | $ (1,938,019) | (267,060) | $ (4,452,570) | |
Class I | |||||
Shares sold | 921,825 | $ 16,368,578 | 874,666 | $ 14,901,899 | |
Reinvestment of distributions | 73,543 | 1,289,103 | 62,564 | 1,017,615 | |
Shares redeemed | (437,249) | (7,516,241) | (464,661) | (7,769,216) | |
Net increase | 558,119 | $ 10,141,440 | 472,569 | $ 8,150,298 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,305,709 | $ 25,370,827 | 1,877,334 | $ 35,308,247 | |
Reinvestment of distributions | 508,939 | 10,099,167 | 671,564 | 11,604,554 | |
Shares redeemed | (2,030,158) | (38,872,313) | (1,981,080) | (37,276,794) | |
Converted from Class C | 95,226 | 1,835,311 | 432,322 | 7,845,013 | |
Net increase (decrease) | (120,284) | $ (1,567,008) | 1,000,140 | $ 17,481,020 | |
Class C | |||||
Shares sold | 214,121 | $ 3,939,642 | 275,995 | $ 4,896,010 | |
Reinvestment of distributions | 71,498 | 1,352,019 | 125,901 | 2,044,774 | |
Shares redeemed | (392,955) | (7,145,666) | (400,993) | (7,148,234) | |
Converted to Class A | (100,556) | (1,835,311) | (455,014) | (7,845,013) | |
Net decrease | (207,892) | $ (3,689,316) | (454,111) | $ (8,052,463) | |
Class I | |||||
Shares sold | 1,018,447 | $ 19,520,170 | 1,062,974 | $ 20,062,004 | |
Reinvestment of distributions | 103,329 | 2,047,144 | 94,949 | 1,654,149 | |
Shares redeemed | (482,843) | (9,276,808) | (455,538) | (8,616,408) | |
Net increase | 638,933 | $ 12,290,506 | 702,385 | $ 13,099,745 |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,143,112 | $ 23,227,578 | 918,358 | $ 18,029,054 | |
Reinvestment of distributions | 227,334 | 4,889,956 | 386,141 | 6,684,103 | |
Shares redeemed | (981,059) | (19,790,028) | (886,539) | (17,378,513) | |
Converted from Class C | 31,340 | 630,121 | 135,009 | 2,523,288 | |
Net increase | 420,727 | $ 8,957,627 | 552,969 | $ 9,857,932 | |
Class C | |||||
Shares sold | 175,569 | $ 2,986,919 | 143,311 | $ 2,397,390 | |
Reinvestment of distributions | 29,672 | 539,742 | 70,530 | 1,039,612 | |
Shares redeemed | (166,833) | (2,878,475) | (245,643) | (4,084,128) | |
Converted to Class A | (37,127) | (630,121) | (158,621) | (2,523,288) | |
Net increase (decrease) | 1,281 | $ 18,065 | (190,423) | $ (3,170,414) |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 432,287 | $ 8,820,208 | 260,304 | $ 5,023,142 | |
Reinvestment of distributions | 22,011 | 474,992 | 32,112 | 557,467 | |
Shares redeemed | (238,509) | (4,768,059) | (274,691) | (5,485,514) | |
Net increase | 215,789 | $ 4,527,141 | 17,725 | $ 95,095 |
Calvert Social Investment Fund:
November 20, 2020
Conservative Allocation Fund | $ 809,924 |
Moderate Allocation Fund | $ 2,152,212 |
Growth Allocation Fund | $ 1,596,513 |
Conservative Allocation Fund | 12.88% |
Moderate Allocation Fund | 32.17% |
Growth Allocation Fund | 75.89% |
Conservative Allocation Fund | $ 5,542,360 |
Moderate Allocation Fund | $10,918,261 |
Growth Allocation Fund | $ 6,143,037 |
Name and Year of Birth | Trust Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Interested Trustee | ||||
John H. Streur(1) 1960 | Trustee & 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 Trustees | ||||
Richard L. Baird, Jr. 1948 | Trustee | 1982 | 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 & Trustee | 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 | Trustee | 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 | Trustee | 1982 | 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 | Trustee | 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 | Trustee | 1990 | Attorney. Other Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Name and Year of Birth | Trust Position(s) | Position Start Date | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience | |
Independent Trustees (continued) | ||||
Anthony A. Williams 1951 | Trustee | 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 | Trust Position(s) | Position Start Date | Principal Occupation(s) During Past Five Years | |
Principal Officers who are not Trustees | ||||
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 Funds because of his positions with the Funds' 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 Trustees has determined that Miles D. Harper III, an “independent” Trustee 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 Trustees 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 | $ | 199,707 | 3.9 | % | $ | 211,035 | 7.7 | % | ||||||||
Audit-Related Fees(1) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees(2) | $ | 38,600 | 0 | % | $ | 29,510 | 0 | % | ||||||||
All Other Fees(3) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | 238,307 | 3.2 | % | $ | 240,545 | 6.8 | % | ||||||||
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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 minimis 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 | |||||
$ | %* | $ | %* | |||
$38,600 | 0% | $29,510 | 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 minimis 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 SOCIAL INVESTMENT FUND | ||
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 |