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 Service)
(202) 238-2200
(Registrant's Telephone Number)
September 30
Date of Fiscal Year End
March 31, 2018
Date of Reporting Period
Item 1. Report to Stockholders.
Calvert Balanced Fund
Calvert Bond Fund
Calvert Equity Fund
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
Calvert Asset Allocation Funds • Conservative Allocation Fund• Moderate Allocation Fund• Aggressive Allocation Fund | ||
Semiannual Report March 31, 2018 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. Each Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Funds nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
CALVERT CONSERVATIVE ALLOCATION FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Dan R. Strelow, CFA, CIPM, Vishal Khanduja, CFA and Justin H. Bourgette, CFA, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 4/29/2005 | 4/29/2005 | 1.81 | % | 6.42 | % | 5.15 | % | 5.25 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | -3.02 | 1.35 | 4.14 | 4.74 | ||||||||||
Class C at NAV | 4/29/2005 | 4/29/2005 | 1.47 | 5.64 | 4.25 | 4.16 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 0.48 | 4.64 | 4.25 | 4.16 | ||||||||||
Class I at NAV | 5/20/2016 | 4/29/2005 | 2.00 | 6.86 | 5.30 | 5.33 | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | -1.08 | % | 1.20 | % | 1.82 | % | 3.63 | % | ||||||
Conservative Allocation Composite Benchmark | — | — | 1.16 | 5.85 | 5.12 | 5.39 | ||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | |||||||||||||
Gross | 1.00 | % | 1.79 | % | 1.92 | % | ||||||||||
Net | 0.96 | 1.71 | 0.61 |
Fund Profile | ||||||
ASSET ALLOCATION (% of total investments) | ||||||
Fixed-Income Funds | 65.6 | % | ||||
Domestic Equity Funds | 21.3 | % | ||||
International and Global Equity Funds | 10.1 | % | ||||
Exchange-Traded Funds | 2.9 | % | ||||
Purchased Options | 0.1 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
2 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT MODERATE ALLOCATION FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Dan R. Strelow, CFA, CIPM, Vishal Khanduja, CFA and Justin H. Bourgette, CFA, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 4/29/2005 | 4/29/2005 | 3.67 | % | 10.41 | % | 7.65 | % | 5.82 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | -1.24 | 5.19 | 6.60 | 5.31 | ||||||||||
Class C at NAV | 4/29/2005 | 4/29/2005 | 3.27 | 9.59 | 6.84 | 5.02 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 2.28 | 8.59 | 6.84 | 5.02 | ||||||||||
Class I at NAV | 5/20/2016 | 4/29/2005 | 3.84 | 10.76 | 7.79 | 5.89 | ||||||||||
Russell 3000® Index | — | — | 5.65 | % | 13.81 | % | 13.02 | % | 9.62 | % | ||||||
Moderate Allocation Composite Benchmark | — | — | 3.03 | 9.97 | 7.81 | 6.55 | ||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | |||||||||||||
Gross | 0.99 | % | 1.78 | % | 1.06 | % | ||||||||||
Net | 0.96 | 1.71 | 0.61 |
Fund Profile | ||||||
ASSET ALLOCATION (% of total investments) | ||||||
Domestic Equity Funds | 41.1 | % | ||||
Fixed-Income Funds | 36.0 | % | ||||
International and Global Equity Funds | 20.4 | % | ||||
Exchange-Traded Funds | 2.4 | % | ||||
Purchased Options | 0.1 | % | ||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 3
CALVERT AGGRESSIVE ALLOCATION FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Dan R. Strelow, CFA, CIPM, Vishal Khanduja, CFA and Justin H. Bourgette, CFA, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 6/30/2005 | 6/30/2005 | 4.93 | % | 13.99 | % | 9.90 | % | 6.47 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | -0.05 | 8.58 | 8.83 | 5.96 | ||||||||||
Class C at NAV | 6/30/2005 | 6/30/2005 | 4.56 | 13.16 | 8.84 | 5.26 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 3.57 | 12.16 | 8.84 | 5.26 | ||||||||||
Class I at NAV | 5/20/2016 | 6/30/2005 | 5.11 | 14.39 | 10.04 | 6.54 | ||||||||||
Russell 3000® Index | — | — | 5.65 | % | 13.81 | % | 13.02 | % | 9.62 | % | ||||||
Aggressive Allocation Composite Benchmark | — | — | 4.54 | 13.51 | 9.91 | 7.22 | ||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | |||||||||||||
Gross | 1.10 | % | 1.92 | % | 2.27 | % | ||||||||||
Net | 0.96 | 1.71 | 0.61 |
Fund Profile | ||||||
ASSET ALLOCATION (% of total investments) | ||||||
Domestic Equity Funds | 55.9 | % | ||||
International and Global Equity Funds | 29.0 | % | ||||
Fixed-Income Funds | 13.1 | % | ||||
Exchange-Traded Funds | 1.9 | % | ||||
Purchased Options | 0.1 | % | ||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
4 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
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 All-Country World Ex US 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 Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 25% Russell 3000® Index, 10% MSCI All-Country World Ex US Investable Market Index, and 65% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. The Moderate Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 45% Russell 3000® Index, 20% MSCI All-Country World Ex US Investable Market Index, and 35% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. The Aggressive Allocation Composite Benchmark is an internally constructed benchmark which is comprised of a blend of 60% Russell 3000® Index, 30% MSCI All-Country World Ex US 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 since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. 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.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2017 to March 31, 2018).
Actual Expenses
The first section of the tables below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the tables below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
CALVERT CONSERVATIVE ALLOCATION FUND | BEGINNING ACCOUNT VALUE (10/1/17) | ENDING ACCOUNT VALUE (3/31/18) | EXPENSES PAID DURING PERIOD* (10/1/17 - 3/31/18) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,018.10 | $2.21** | 0.44% |
Class C | $1,000.00 | $1,014.70 | $5.98** | 1.19% |
Class I | $1,000.00 | $1,020.00 | $0.45** | 0.09% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.74 | $2.22** | 0.44% |
Class C | $1,000.00 | $1,019.00 | $5.99** | 1.19% |
Class I | $1,000.00 | $1,024.48 | $0.45** | 0.09% |
* 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 182/365 (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 September 30, 2017. 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. |
6 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT MODERATE ALLOCATION FUND | BEGINNING ACCOUNT VALUE (10/1/17) | ENDING ACCOUNT VALUE (3/31/18) | EXPENSES PAID DURING PERIOD* (10/1/17 - 3/31/18) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,036.70 | $2.23** | 0.44% |
Class C | $1,000.00 | $1,032.70 | $6.03** | 1.19% |
Class I | $1,000.00 | $1,038.40 | $0.46** | 0.09% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.74 | $2.22** | 0.44% |
Class C | $1,000.00 | $1,019.00 | $5.99** | 1.19% |
Class I | $1,000.00 | $1,024.48 | $0.45** | 0.09% |
* 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 182/365 (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 September 30, 2017. 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. |
CALVERT AGGRESSIVE ALLOCATION FUND | BEGINNING ACCOUNT VALUE (10/1/17) | ENDING ACCOUNT VALUE (3/31/18) | EXPENSES PAID DURING PERIOD* (10/1/17 - 3/31/18) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,049.30 | $2.20** | 0.43% |
Class C | $1,000.00 | $1,045.60 | $6.02** | 1.18% |
Class I | $1,000.00 | $1,051.10 | $0.41** | 0.08% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.79 | $2.17** | 0.43% |
Class C | $1,000.00 | $1,019.05 | $5.94** | 1.18% |
Class I | $1,000.00 | $1,024.53 | $0.40** | 0.08% |
* 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 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2017. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 7
CALVERT CONSERVATIVE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2018 (Unaudited)
SHARES | VALUE ($) | |
MUTUAL FUNDS (a) - 96.3% | ||
Equity Mutual Funds - 31.1% | ||
Calvert Impact Fund, Inc.: | ||
Calvert Small-Cap Fund, Class I | 76,874 | 1,969,522 |
Calvert Responsible Index Series, Inc.: | ||
Calvert International Responsible Index Fund, Class I | 371,579 | 8,772,981 |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 644,065 | 14,620,280 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 344,980 | 8,938,439 |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 490,554 | 11,027,645 |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 154,350 | 3,923,585 |
Calvert World Values Fund, Inc.: | ||
Calvert Emerging Markets Equity Fund, Class I | 226,534 | 4,064,014 |
Calvert International Equity Fund, Class I | 53,134 | 996,264 |
Calvert International Opportunities Fund, Class I | 332,451 | 6,166,959 |
Calvert Mid-Cap Fund, Class I | 53,047 | 1,967,526 |
62,447,215 | ||
Fixed-Income Mutual Funds - 65.2% | ||
The Calvert Fund: | ||
Calvert Long-Term Income Fund, Class I | 572 | 9,524 |
Calvert Ultra-Short Duration Income Fund, Class R6 | 316,609 | 4,942,269 |
Calvert Management Series: | ||
Calvert Absolute Return Bond Fund, Class I | 1,709,459 | 25,556,418 |
Calvert Floating-Rate Advantage Fund, Class R6 | 2,794,037 | 27,884,492 |
Calvert Social Investment Fund: | ||
Calvert Bond Fund, Class R6 | 4,555,802 | 72,346,132 |
130,738,835 | ||
Total Mutual Funds (Cost $188,213,261) | 193,186,050 | |
EXCHANGE-TRADED FUNDS - 2.9% | ||
iShares TIPS Bond ETF | 51,745 | 5,849,772 |
Total Exchange-Traded Funds (Cost $5,885,791) | 5,849,772 | |
Total Purchased Options (Cost $254,694) - 0.1% | 117,988 | |
TOTAL INVESTMENTS (Cost $194,353,746) - 99.3% | 199,153,810 |
8 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
Total Written Options (Premiums received $139,647) - (0.0)% (b) | (94,160) | |
Other assets and liabilities, net - 0.7% | 1,417,711 | |
NET ASSETS - 100.0% | 200,477,361 |
NOTES TO SCHEDULE OF INVESTMENTS |
(a) Affiliated company. |
(b) Amount is less than (0.05)%. |
PURCHASED CALL OPTIONS - 0.1% | |||||||
EXCHANGE-TRADED OPTIONS - 0.1% | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
S&P 500 Index | 26 | $6,866,262 | $2,900 | 4/30/18 | $1,755 | ||
S&P 500 Index | 22 | 5,809,914 | 2,750 | 7/31/18 | 109,670 | ||
U.S. Treasury Bond Futures 6/2018 | 21 | 3,079,125 | 152 | 5/25/18 | 6,563 | ||
Total | $117,988 | ||||||
WRITTEN PUT OPTIONS - (0.0)% (b) | |||||||
EXCHANGE-TRADED OPTIONS - (0.0)% (b) | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
S&P 500 Index | (22) | ($5,809,914) | $2,400 | 7/31/18 | ($94,160 | ) |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||
Long: | ||||||
MSCI Emerging Markets Index | 16 | Jun-18 | $950,240 | ($27,166 | ) | |
U.S. 5-Year Treasury Note | 37 | Jun-18 | 4,235,055 | 19,881 | ||
U.S. 10-Year Treasury Note | 25 | Jun-18 | 3,028,516 | 31,985 | ||
U.S. Ultra 10-Year Treasury Note | 8 | Jun-18 | 1,038,875 | 19,111 | ||
U.S. Ultra-Long Treasury Bond | 38 | Jun-18 | 6,097,813 | 252,865 | ||
Total Long | $296,676 | |||||
Short: | ||||||
U.S. 2-Year Treasury Note | (38) | Jun-18 | ($8,079,156) | ($4,219 | ) | |
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 9
CALVERT MODERATE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2018 (Unaudited)
SHARES | VALUE ($) | |
MUTUAL FUNDS (a) - 96.9% | ||
Equity Mutual Funds - 61.1% | ||
Calvert Impact Fund, Inc.: | ||
Calvert Small-Cap Fund, Class I | 165,341 | 4,236,049 |
Calvert Responsible Index Series, Inc.: | ||
Calvert International Responsible Index Fund, Class I | 927,492 | 21,898,084 |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 2,171,115 | 49,284,302 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 764,821 | 19,816,509 |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 1,191,231 | 26,778,870 |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 447,553 | 11,376,786 |
Calvert World Values Fund, Inc.: | ||
Calvert Emerging Markets Equity Fund, Class I | 477,088 | 8,558,957 |
Calvert International Equity Fund, Class I | 521,971 | 9,786,954 |
Calvert International Opportunities Fund, Class I | 933,564 | 17,317,606 |
Calvert Mid-Cap Fund, Class I | 114,612 | 4,250,971 |
173,305,088 | ||
Fixed-Income Mutual Funds - 35.8% | ||
The Calvert Fund: | ||
Calvert Ultra-Short Duration Income Fund, Class R6 | 528,639 | 8,252,058 |
Calvert Management Series: | ||
Calvert Absolute Return Bond Fund, Class I | 2,123,232 | 31,742,324 |
Calvert Floating-Rate Advantage Fund, Class R6 | 2,129,591 | 21,253,316 |
Calvert Social Investment Fund: | ||
Calvert Bond Fund, Class R6 | 2,527,147 | 40,131,101 |
101,378,799 | ||
Total Mutual Funds (Cost $257,413,912) | 274,683,887 | |
EXCHANGE-TRADED FUNDS - 2.5% | ||
iShares TIPS Bond ETF | 61,584 | 6,962,071 |
Total Exchange-Traded Funds (Cost $7,004,874) | 6,962,071 | |
Total Purchased Options (Cost $360,507) - 0.1% | 166,407 | |
TOTAL INVESTMENTS (Cost $264,779,293) - 99.5% | 281,812,365 |
10 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
Total Written Options (Premiums received $196,775) - (0.1)% | (132,680) | |
Other assets and liabilities, net - 0.6% | 1,662,484 | |
NET ASSETS - 100.0% | 283,342,169 |
NOTES TO SCHEDULE OF INVESTMENTS |
(a) Affiliated company. |
PURCHASED CALL OPTIONS - 0.1% | |||||||
EXCHANGE-TRADED OPTIONS - 0.1% | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
S&P 500 Index | 37 | $9,771,219 | $2,900 | 4/30/18 | $2,497 | ||
S&P 500 Index | 31 | 8,186,697 | 2,750 | 7/31/18 | 154,535 | ||
U.S. Treasury Bond Futures 6/2018 | 30 | 4,398,750 | 152 | 5/25/18 | 9,375 | ||
Total | $166,407 | ||||||
WRITTEN PUT OPTIONS - (0.1)% | |||||||
EXCHANGE-TRADED OPTIONS - (0.1)% | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
S&P 500 Index | (31) | ($8,186,697) | $2,400 | 7/31/18 | ($132,680 | ) |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||
Long: | ||||||
MSCI Emerging Markets Index | 95 | Jun-18 | $5,642,050 | ($65,538 | ) | |
U.S. 10-Year Treasury Note | 16 | Jun-18 | 1,938,250 | 20,471 | ||
U.S. Ultra 10-Year Treasury Note | 8 | Jun-18 | 1,038,875 | 19,111 | ||
U.S. Ultra-Long Treasury Bond | 27 | Jun-18 | 4,332,656 | 179,667 | ||
Total Long | $153,711 | |||||
Short: | ||||||
E-mini S&P 500 Index | (22) | Jun-18 | ($2,907,300) | ($13,882 | ) | |
U.S. 2-Year Treasury Note | (39) | Jun-18 | (8,291,766) | (4,330) | ||
U.S. 5-Year Treasury Note | (99) | Jun-18 | (11,331,633) | (54,306) | ||
Total Short | ($72,518 | ) | ||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 11
CALVERT AGGRESSIVE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2018 (Unaudited)
SHARES | VALUE ($) | |
MUTUAL FUNDS (a) - 97.4% | ||
Equity Mutual Funds - 84.4% | ||
Calvert Impact Fund, Inc.: | ||
Calvert Small-Cap Fund, Class I | 128,109 | 3,282,141 |
Calvert Responsible Index Series, Inc.: | ||
Calvert International Responsible Index Fund, Class I | 524,049 | 12,372,789 |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 1,698,279 | 38,550,925 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 507,959 | 13,161,206 |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 809,626 | 18,200,383 |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 245,144 | 6,231,563 |
Calvert World Values Fund, Inc.: | ||
Calvert Emerging Markets Equity Fund, Class I | 410,765 | 7,369,119 |
Calvert International Equity Fund, Class I | 558,487 | 10,471,640 |
Calvert International Opportunities Fund, Class I | 683,201 | 12,673,388 |
Calvert Mid-Cap Fund, Class I | 89,042 | 3,302,554 |
125,615,708 | ||
Fixed-Income Mutual Funds - 13.0% | ||
Calvert Management Series: | ||
Calvert Absolute Return Bond Fund, Class I | 190,293 | 2,844,878 |
Calvert Floating-Rate Advantage Fund, Class R6 | 376,350 | 3,755,971 |
Calvert Social Investment Fund: | ||
Calvert Bond Fund, Class R6 | 806,922 | 12,813,920 |
19,414,769 | ||
Total Mutual Funds (Cost $133,075,330) | 145,030,477 | |
EXCHANGE-TRADED FUNDS - 1.9% | ||
iShares TIPS Bond ETF | 25,550 | 2,888,427 |
Total Exchange-Traded Funds (Cost $2,906,145) | 2,888,427 | |
Total Purchased Options (Cost $186,322) - 0.1% | 86,043 | |
TOTAL INVESTMENTS (Cost $136,167,797) - 99.4% | 148,004,947 | |
Total Written Options (Premiums received $101,561) - (0.0)% (b) | (68,480) | |
Other assets and liabilities, net - 0.6% | 921,817 | |
NET ASSETS - 100.0% | 148,858,284 |
12 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
NOTES TO SCHEDULE OF INVESTMENTS |
(a) Affiliated company. |
(b) Amount is less than (0.05)%. |
PURCHASED CALL OPTIONS - 0.1% | |||||||
EXCHANGE-TRADED OPTIONS - 0.1% | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
S&P 500 Index | 19 | $5,017,653 | $2,900 | 4/30/18 | $1,283 | ||
S&P 500 Index | 16 | 4,225,392 | 2,750 | 7/31/18 | 79,760 | ||
U.S. Treasury Bond Futures 6/2018 | 16 | 2,346,000 | 152 | 5/25/18 | 5,000 | ||
Total | $86,043 | ||||||
WRITTEN PUT OPTIONS - (0.0)% (b) | |||||||
EXCHANGE-TRADED OPTIONS - (0.0)% (b) | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
S&P 500 Index | (16) | ($4,225,392) | $2,400 | 7/31/18 | ($68,480 | ) |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED DEPRECIATION | ||
Long: | ||||||
MSCI Emerging Markets Index | 88 | Jun-18 | $5,226,320 | ($47,668 | ) | |
Short: | ||||||
E-mini S&P 500 Index | (23) | Jun-18 | ($3,039,450) | ($14,512 | ) | |
U.S. Ultra-Long Treasury Bond | (6) | Jun-18 | (962,813) | (39,996 | ) | |
Total Short | ($54,508 | ) | ||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 13
CALVERT CONSERVATIVE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $6,140,485) | $5,967,760 | ||
Investments in securities of affiliated issuers, at value (identified cost $188,213,261) | 193,186,050 | ||
Receivable for variation margin on open futures contracts | 75,461 | ||
Receivable for investments sold | 22,003 | ||
Receivable for capital shares sold | 99,540 | ||
Dividends receivable from affiliates | 98,130 | ||
Receivable from affiliate | 9,671 | ||
Deposits at broker for futures contracts | 215,031 | ||
Deposits for written options | 1,149,000 | ||
Trustees' deferred compensation plan | 106,946 | ||
Other assets | 2,123 | ||
Total assets | 200,931,715 | ||
LIABILITIES | |||
Written options outstanding, at value (premiums received, $139,647) | 94,160 | ||
Payable for investments purchased | 109,532 | ||
Payable for capital shares redeemed | 8,009 | ||
Payable to affiliates: | |||
Distribution and service fees | 60,707 | ||
Sub-transfer agency fee | 6,283 | ||
Trustees' deferred compensation plan | 106,946 | ||
Accrued expenses | 68,717 | ||
Total liabilities | 454,354 | ||
NET ASSETS | $200,477,361 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $191,527,766 | ||
Accumulated distributions in excess of net investment income | (1,015,799) | ||
Accumulated undistributed net realized gain | 4,827,386 | ||
Net unrealized appreciation | 5,138,008 | ||
Total | $200,477,361 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $150,667,913 and 8,851,060 shares outstanding) | $17.02 | ||
Class C (based on net assets of $33,941,778 and 2,017,083 shares outstanding) | $16.83 | ||
Class I (based on net assets of $15,867,670 and 932,501 shares outstanding) | $17.02 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $17.87 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
14 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT MODERATE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $7,365,381) | $7,128,478 | ||
Investments in securities of affiliated issuers, at value (identified cost $257,413,912) | 274,683,887 | ||
Receivable for capital shares sold | 254,438 | ||
Dividends receivable from affiliates | 75,198 | ||
Receivable from affiliate | 14,630 | ||
Deposits at broker for futures contracts | 441,606 | ||
Deposits for written options | 1,598,000 | ||
Trustees' deferred compensation plan | 158,352 | ||
Other assets | 3,026 | ||
Total assets | 284,357,615 | ||
LIABILITIES | |||
Written options outstanding, at value (premiums received, $196,775) | 132,680 | ||
Due to custodian | 166,550 | ||
Payable for investments purchased | 305,845 | ||
Payable for capital shares redeemed | 38,131 | ||
Payable to affiliates: | |||
Distribution and service fees | 85,498 | ||
Sub-transfer agency fee | 13,527 | ||
Trustees' deferred compensation plan | 158,352 | ||
Accrued expenses | 114,863 | ||
Total liabilities | 1,015,446 | ||
NET ASSETS | $283,342,169 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $257,658,178 | ||
Accumulated distributions in excess of net investment income | (2,378,561) | ||
Accumulated undistributed net realized gain | 10,884,192 | ||
Net unrealized appreciation | 17,178,360 | ||
Total | $283,342,169 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $221,092,415 and 11,566,098 shares outstanding) | $19.12 | ||
Class C (based on net assets of $44,700,231 and 2,453,332 shares outstanding) | $18.22 | ||
Class I (based on net assets of $17,549,523 and 917,910 shares outstanding) | $19.12 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $20.07 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 15
CALVERT AGGRESSIVE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $3,092,467) | $2,974,470 | ||
Investments in securities of affiliated issuers, at value (identified cost $133,075,330) | 145,030,477 | ||
Receivable for capital shares sold | 218,700 | ||
Dividends receivable from affiliates | 14,057 | ||
Receivable from affiliate | 9,505 | ||
Deposits at broker for futures contracts | 358,912 | ||
Deposits for written options | 850,000 | ||
Trustees' deferred compensation plan | 132,805 | ||
Other assets | 1,569 | ||
Total assets | 149,590,495 | ||
LIABILITIES | |||
Written options outstanding, at value (premiums received, $101,561) | 68,480 | ||
Due to custodian | 206,382 | ||
Payable for investments purchased | 180,756 | ||
Payable for capital shares redeemed | 6,950 | ||
Payable to affiliates: | |||
Distribution and service fees | 42,320 | ||
Sub-transfer agency fee | 9,637 | ||
Trustees' deferred compensation plan | 132,805 | ||
Accrued expenses | 84,881 | ||
Total liabilities | 732,211 | ||
NET ASSETS | $148,858,284 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $132,225,241 | ||
Accumulated distributions in excess of net investment income | (1,655,022) | ||
Accumulated undistributed net realized gain | 6,520,010 | ||
Net unrealized appreciation | 11,768,055 | ||
Total | $148,858,284 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $121,894,923 and 6,048,827 shares outstanding) | $20.15 | ||
Class C (based on net assets of $18,951,426 and 1,095,349 shares outstanding) | $17.30 | ||
Class I (based on net assets of $8,011,935 and 396,432 shares outstanding) | $20.21 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $21.15 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
16 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT ALLOCATION FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)
INVESTMENT INCOME | Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | ||||||||
Dividend income - unaffiliated issuers | $62,402 | $66,831 | $23,759 | ||||||||
Dividend income - affiliated issuers | 2,466,690 | 3,523,310 | 1,834,922 | ||||||||
Securities lending income, net | 3,536 | 3,491 | 1,335 | ||||||||
Total investment income | 2,532,628 | 3,593,632 | 1,860,016 | ||||||||
EXPENSES | |||||||||||
Distribution and service fees: | |||||||||||
Class A | 184,488 | 274,518 | 150,608 | ||||||||
Class C | 168,514 | 221,063 | 94,250 | ||||||||
Trustees' fees and expenses | 2,374 | 3,383 | 1,752 | ||||||||
Custodian fees | 12,582 | 11,712 | 11,826 | ||||||||
Transfer agency fees and expenses | 95,023 | 150,785 | 102,657 | ||||||||
Accounting fees | 13,823 | 17,825 | 13,823 | ||||||||
Professional fees | 16,871 | 19,902 | 15,221 | ||||||||
Registration fees | 45,499 | 45,378 | 44,799 | ||||||||
Reports to shareholders | 9,247 | 12,892 | 9,955 | ||||||||
Miscellaneous | 8,428 | 16,481 | 11,957 | ||||||||
Total expenses | 556,849 | 773,939 | 456,848 | ||||||||
Waiver and/or reimbursement of expenses by affiliate | (24,485) | (19,929) | (78,816) | ||||||||
Reimbursement of expenses-other | (2,123) | (3,026) | (1,569) | ||||||||
Net expenses | 530,241 | 750,984 | 376,463 | ||||||||
Net investment income | 2,002,387 | 2,842,648 | 1,483,553 | ||||||||
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 17
CALVERT ALLOCATION FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited) - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | Conservative Allocation Fund | Moderate Allocation Fund | Aggressive Allocation Fund | ||||||||
Net realized gain (loss) on: | |||||||||||
Investment securities - unaffiliated issuers | 298,338 | 490,602 | 280,773 | ||||||||
Investment securities - affiliated issuers | 4,572,773 | 9,076,958 | 6,035,452 | ||||||||
Futures contracts | (599,115) | 14,750 | (24,471) | ||||||||
Written options | 53,017 | 88,466 | 52,884 | ||||||||
Capital gains distributions from affiliated issuers | 1,795,401 | 4,169,134 | 2,819,617 | ||||||||
6,120,414 | 13,839,910 | 9,164,255 | |||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investment securities - unaffiliated issuers | (229,556) | (351,706) | (193,225) | ||||||||
Investment securities - affiliated issuers | (4,967,289) | (6,845,853) | (3,746,981) | ||||||||
Futures contracts | 407,862 | 127,879 | (34,579) | ||||||||
Written options | 28,165 | 28,758 | 10,498 | ||||||||
(4,760,818) | (7,040,922) | (3,964,287) | |||||||||
Net realized and unrealized gain | 1,359,596 | 6,798,988 | 5,199,968 | ||||||||
Net increase in net assets resulting from operations | $3,361,983 | $9,641,636 | $6,683,521 | ||||||||
See notes to financial statements. |
18 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT CONSERVATIVE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||
Operations: | |||||||
Net investment income | $2,002,387 | $2,807,762 | |||||
Net realized gain | 6,120,414 | 3,221,955 | |||||
Net change in unrealized appreciation (depreciation) | (4,760,818) | 6,758,650 | |||||
Net increase in net assets resulting from operations | 3,361,983 | 12,788,367 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (2,359,006) | (2,595,975) | |||||
Class C shares | (414,955) | (376,473) | |||||
Class I shares | (244,225) | (71,237) | |||||
Class Y shares | — | (82,688) | |||||
Net realized gain: | |||||||
Class A shares | (2,293,554) | (1,237,445) | |||||
Class C shares | (523,020) | (332,089) | |||||
Class I shares | (213,852) | (27,300) | |||||
Class Y shares | — | (4,486) | |||||
Total distributions to shareholders | (6,048,612) | (4,727,693) | |||||
Capital share transactions: | |||||||
Class A shares | 14,191,674 | 1,005,058 | |||||
Class C shares | 732,077 | (2,258,930) | |||||
Class I shares | 13,187,915 | 1,908,797 | |||||
Class Y shares (a) | (10,313,306) | 9,302,127 | |||||
Net increase in net assets from capital share transactions | 17,798,360 | 9,957,052 | |||||
TOTAL INCREASE IN NET ASSETS | 15,111,731 | 18,017,726 | |||||
NET ASSETS | |||||||
Beginning of period | 185,365,630 | 167,347,904 | |||||
End of period (including accumulated undistributed (distributions in excess of) net investment income of ($1,015,799) and $0, respectively) | $200,477,361 | $185,365,630 | |||||
(a) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. | |||||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 19
CALVERT MODERATE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||
Operations: | |||||||
Net investment income | $2,842,648 | $3,547,714 | |||||
Net realized gain | 13,839,910 | 10,495,874 | |||||
Net change in unrealized appreciation (depreciation) | (7,040,922) | 16,483,112 | |||||
Net increase in net assets resulting from operations | 9,641,636 | 30,526,700 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (4,306,255) | (3,141,842) | |||||
Class C shares | (547,327) | (618,696) | |||||
Class I shares | (367,627) | (153,565) | |||||
Class Y shares | — | (10,236) | |||||
Net realized gain: | |||||||
Class A shares | (5,707,116) | (5,330,677) | |||||
Class C shares | (1,215,363) | (1,136,894) | |||||
Class I shares | (405,828) | (37,924) | |||||
Class Y shares | — | (13,880) | |||||
Total distributions to shareholders | (12,549,516) | (10,443,714) | |||||
Capital share transactions: | |||||||
Class A shares | 9,993,711 | (6,697,207) | |||||
Class C shares | 2,532,045 | (3,154,544) | |||||
Class I shares | 8,838,355 | 7,345,917 | |||||
Class Y shares (a) | (3,786,643) | 3,047,895 | |||||
Net increase in net assets from capital share transactions | 17,577,468 | 542,061 | |||||
TOTAL INCREASE IN NET ASSETS | 14,669,588 | 20,625,047 | |||||
NET ASSETS | |||||||
Beginning of period | 268,672,581 | 248,047,534 | |||||
End of period (including accumulated undistributed (distributions in excess of) net investment income of ($2,378,561) and $0, respectively) | $283,342,169 | $268,672,581 | |||||
(a) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. | |||||||
See notes to financial statements. |
20 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT AGGRESSIVE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||
Operations: | |||||||
Net investment income | $1,483,553 | $1,462,360 | |||||
Net realized gain | 9,164,255 | 7,041,756 | |||||
Net change in unrealized appreciation (depreciation) | (3,964,287) | 12,043,267 | |||||
Net increase in net assets resulting from operations | 6,683,521 | 20,547,383 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (2,465,839) | (1,378,048) | |||||
Class C shares | (321,710) | (237,027) | |||||
Class I shares | (151,999) | (49,157) | |||||
Class Y shares | — | (3,184) | |||||
Net realized gain: | |||||||
Class A shares | (3,865,948) | (3,743,184) | |||||
Class C shares | (705,470) | (722,048) | |||||
Class I shares | (210,127) | (57,908) | |||||
Class Y shares | — | (6,081) | |||||
Total distributions to shareholders | (7,721,093) | (6,196,637) | |||||
Capital share transactions: | |||||||
Class A shares | 5,844,079 | 863,061 | |||||
Class C shares | 1,118,417 | (1,286,071) | |||||
Class I shares | 6,483,743 | 510,957 | |||||
Class Y shares (a) | (1,230,496) | 936,730 | |||||
Net increase in net assets from capital share transactions | 12,215,743 | 1,024,677 | |||||
TOTAL INCREASE IN NET ASSETS | 11,178,171 | 15,375,423 | |||||
NET ASSETS | |||||||
Beginning of period | 137,680,113 | 122,304,690 | |||||
End of period (including accumulated distributions in excess of net investment income of ($1,655,022) and ($199,027), respectively) | $148,858,284 | $137,680,113 | |||||
(a) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. | |||||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 21
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018(a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013(a) | ||||||||||||
Net asset value, beginning | $17.25 | $16.48 | $16.59 | $17.22 | $16.88 | $16.45 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.19 | 0.30 | 0.31 | 0.30 | 0.29 | 0.38 | |||||||||||
Net realized and unrealized gain | 0.12 | 0.96 | 0.55 | 0.05 | 0.83 | 0.74 | |||||||||||
Total from investment operations | 0.31 | 1.26 | 0.86 | 0.35 | 1.12 | 1.12 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.27) | (0.33) | (0.30) | (0.29) | (0.29) | (0.39) | |||||||||||
Net realized gain | (0.27) | (0.16) | (0.67) | (0.69) | (0.49) | (0.30) | |||||||||||
Total distributions | (0.54) | (0.49) | (0.97) | (0.98) | (0.78) | (0.69) | |||||||||||
Total increase (decrease) in net asset value | (0.23) | 0.77 | (0.11) | (0.63) | 0.34 | 0.43 | |||||||||||
Net asset value, ending | $17.02 | $17.25 | $16.48 | $16.59 | $17.22 | $16.88 | |||||||||||
Total return (b) | 1.81 | % | (c) | 7.84 | % | 5.42 | % | 2.01 | % | 6.78 | % | 7.07 | % | ||||
Ratios to average net assets: (d) | |||||||||||||||||
Total expenses (e) | 0.46 | % | (f) | 0.51 | % | 0.67 | % | 0.69 | % | 0.68 | % | 0.68 | % | ||||
Net expenses (e) | 0.44 | % | (f) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||
Net investment income | 2.16 | % | (f) | 1.77 | % | 1.90 | % | 1.76 | % | 1.71 | % | 2.31 | % | ||||
Portfolio turnover | 79 | % | (c) | 46 | % | 61 | % | 8 | % | 17 | % | 31 | % | ||||
Net assets, ending (in thousands) | $150,668 | $138,512 | $131,576 | $112,881 | $92,150 | $73,305 | |||||||||||
(a) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) Not annualized. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
22 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018(a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013(a) | ||||||||||||
Net asset value, beginning | $17.06 | $16.28 | $16.40 | $17.06 | $16.74 | $16.32 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.12 | 0.17 | 0.17 | 0.13 | 0.13 | 0.21 | |||||||||||
Net realized and unrealized gain | 0.13 | 0.96 | 0.55 | 0.06 | 0.81 | 0.74 | |||||||||||
Total from investment operations | 0.25 | 1.13 | 0.72 | 0.19 | 0.94 | 0.95 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.21) | (0.19) | (0.17) | (0.16) | (0.13) | (0.23) | |||||||||||
Net realized gain | (0.27) | (0.16) | (0.67) | (0.69) | (0.49) | (0.30) | |||||||||||
Total distributions | (0.48) | (0.35) | (0.84) | (0.85) | (0.62) | (0.53) | |||||||||||
Total increase (decrease) in net asset value | (0.23) | 0.78 | (0.12) | (0.66) | 0.32 | 0.42 | |||||||||||
Net asset value, ending | $16.83 | $17.06 | $16.28 | $16.40 | $17.06 | $16.74 | |||||||||||
Total return (b) | 1.47 | % | (c) | 7.04 | % | 4.57 | % | 1.03 | % | 5.71 | % | 6.02 | % | ||||
Ratios to average net assets: (d) | |||||||||||||||||
Total expenses (e) | 1.21 | % | (f) | 1.30 | % | 1.46 | % | 1.44 | % | 1.40 | % | 1.44 | % | ||||
Net expenses (e) | 1.19 | % | (f) | 1.19 | % | 1.27 | % | 1.44 | % | 1.40 | % | 1.44 | % | ||||
Net investment income | 1.38 | % | (f) | 1.03 | % | 1.07 | % | 0.76 | % | 0.73 | % | 1.30 | % | ||||
Portfolio turnover | 79 | % | (c) | 46 | % | 61 | % | 8 | % | 17 | % | 31 | % | ||||
Net assets, ending (in thousands) | $33,942 | $33,661 | $34,334 | $29,932 | $25,263 | $20,675 | |||||||||||
(a) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) Not annualized. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 23
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | Period Ended September 30, | ||||||||
CLASS I SHARES | 2017 | 2016(a) | ||||||||
Net asset value, beginning | $17.23 | $16.48 | $16.07 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.25 | 0.40 | 0.11 | |||||||
Net realized and unrealized gain | 0.11 | 0.91 | 0.43 | |||||||
Total from investment operations | 0.36 | 1.31 | 0.54 | |||||||
Distributions from: | ||||||||||
Net investment income | (0.30) | (0.40) | (0.13) | |||||||
Net realized gain | (0.27) | (0.16) | — | |||||||
Total distributions | (0.57) | (0.56) | (0.13) | |||||||
Total increase (decrease) in net asset value | (0.21) | 0.75 | 0.41 | |||||||
Net asset value, ending | $17.02 | $17.23 | $16.48 | |||||||
Total return (c) | 2.00 | % | (d) | 8.22 | % | 3.40 | % | (d) | ||
Ratios to average net assets: (e) | ||||||||||
Total expenses (f) | 0.21 | % | (g) | 1.43 | % | 0.97 | % | (g) | ||
Net expenses (f) | 0.09 | % | (g) | 0.09 | % | 0.09 | % | (g) | ||
Net investment income | 2.89 | % | (g) | 2.37 | % | 1.93 | % | (g) | ||
Portfolio turnover | 79 | % | (d) | 46 | % | 61 | % | (h) | ||
Net assets, ending (in thousands) | $15,868 | $3,052 | $1,034 | |||||||
(a) From May 20, 2016 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) 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. | ||||||||||
(d) Not annualized. | ||||||||||
(e) 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. | ||||||||||
(f) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | ||||||||||
(g) Annualized. | ||||||||||
(h) For the year ended September 30, 2016. | ||||||||||
See notes to financial statements. |
24 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018(a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $19.32 | $17.86 | $18.84 | $19.80 | $19.04 | $16.89 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.21 | 0.28 | 0.25 | 0.23 | 0.20 | 0.20 | |||||||||||
Net realized and unrealized gain (loss) | 0.50 | 1.93 | 1.00 | (0.04) | 1.34 | 2.14 | |||||||||||
Total from investment operations | 0.71 | 2.21 | 1.25 | 0.19 | 1.54 | 2.34 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.39) | (0.28) | (0.24) | (0.21) | (0.19) | (0.19) | |||||||||||
Net realized gain | (0.52) | (0.47) | (1.99) | (0.94) | (0.59) | — | |||||||||||
Total distributions | (0.91) | (0.75) | (2.23) | (1.15) | (0.78) | (0.19) | |||||||||||
Total increase (decrease) in net asset value | (0.20) | 1.46 | (0.98) | (0.96) | 0.76 | 2.15 | |||||||||||
Net asset value, ending | $19.12 | $19.32 | $17.86 | $18.84 | $19.80 | $19.04 | |||||||||||
Total return (b) | 3.67 | % | (c) | 12.86 | % | 7.16 | % | 0.86 | % | 8.27 | % | 14.02 | % | ||||
Ratios to average net assets: (d) | |||||||||||||||||
Total expenses (e) | 0.45 | % | (f) | 0.50 | % | 0.73 | % | 0.67 | % | 0.64 | % | 0.69 | % | ||||
Net expenses (e) | 0.44 | % | (f) | 0.44 | % | 0.56 | % | 0.67 | % | 0.64 | % | 0.69 | % | ||||
Net investment income | 2.14 | % | (f) | 1.52 | % | 1.43 | % | 1.14 | % | 1.01 | % | 1.12 | % | ||||
Portfolio turnover | 58 | % | (c) | 45 | % | 61 | % | 8 | % | 10 | % | 27 | % | ||||
Net assets, ending (in thousands) | $221,092 | $213,343 | $203,907 | $189,372 | $172,244 | $143,215 | |||||||||||
(a) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) Not annualized. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 25
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018(a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2017(a) | 2016(a) | 2015(a) | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $18.37 | $17.11 | $18.16 | $19.19 | $18.55 | $16.52 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.13 | 0.14 | 0.11 | 0.07 | 0.09 | 0.09 | |||||||||||
Net realized and unrealized gain (loss) | 0.47 | 1.84 | 0.97 | (0.02) | 1.26 | 2.08 | |||||||||||
Total from investment operations | 0.60 | 1.98 | 1.08 | 0.05 | 1.35 | 2.17 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.23) | (0.25) | (0.14) | (0.14) | (0.12) | (0.14) | |||||||||||
Net realized gain | (0.52) | (0.47) | (1.99) | (0.94) | (0.59) | — | |||||||||||
Total distributions | (0.75) | (0.72) | (2.13) | (1.08) | (0.71) | (0.14) | |||||||||||
Total increase (decrease) in net asset value | (0.15) | 1.26 | (1.05) | (1.03) | 0.64 | 2.03 | |||||||||||
Net asset value, ending | $18.22 | $18.37 | $17.11 | $18.16 | $19.19 | $18.55 | |||||||||||
Total return (b) | 3.27 | % | (c) | 12.02 | % | 6.37 | % | 0.09 | % | 7.44 | % | 13.21 | % | ||||
Ratios to average net assets: (d) | |||||||||||||||||
Total expenses (e) | 1.20 | % | (f) | 1.29 | % | 1.51 | % | 1.42 | % | 1.38 | % | 1.42 | % | ||||
Net expenses (e) | 1.19 | % | (f) | 1.19 | % | 1.32 | % | 1.42 | % | 1.38 | % | 1.42 | % | ||||
Net investment income | 1.39 | % | (f) | 0.77 | % | 0.68 | % | 0.37 | % | 0.28 | % | 0.38 | % | ||||
Portfolio turnover | 58 | % | (c) | 45 | % | 61 | % | 8 | % | 10 | % | 27 | % | ||||
Net assets, ending (in thousands) | $44,700 | $42,529 | $42,695 | $40,560 | $37,326 | $31,242 | |||||||||||
(a) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) Not annualized. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
26 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | Period Ended September 30, | ||||||||
CLASS I SHARES | 2017 | 2016(a) | ||||||||
Net asset value, beginning | $19.36 | $17.85 | $17.10 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.25 | 0.26 | 0.07 | |||||||
Net realized and unrealized gain | 0.49 | 2.02 | 0.76 | |||||||
Total from investment operations | 0.74 | 2.28 | 0.83 | |||||||
Distributions from: | ||||||||||
Net investment income | (0.46) | (0.30) | (0.08) | |||||||
Net realized gain | (0.52) | (0.47) | — | |||||||
Total distributions | (0.98) | (0.77) | (0.08) | |||||||
Total increase (decrease) in net asset value | (0.24) | 1.51 | 0.75 | |||||||
Net asset value, ending | $19.12 | $19.36 | $17.85 | |||||||
Total return (c) | 3.84 | % | (d) | 13.26 | % | 4.86 | % | (d) | ||
Ratios to average net assets: (e) | ||||||||||
Total expenses (f) | 0.20 | % | (g) | 0.55 | % | 0.54 | % | (g) | ||
Net expenses (f) | 0.09 | % | (g) | 0.09 | % | 0.09 | % | (g) | ||
Net investment income | 2.59 | % | (g) | 1.43 | % | 1.06 | % | (g) | ||
Portfolio turnover | 58 | % | (d) | 45 | % | 61 | % | (h) | ||
Net assets, ending (in thousands) | $17,550 | $9,124 | $1,049 | |||||||
(a) From May 20, 2016 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) 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. | ||||||||||
(d) Not annualized. | ||||||||||
(e) 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. | ||||||||||
(f) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | ||||||||||
(g) Annualized. | ||||||||||
(h) For the year ended September 30, 2016. | ||||||||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 27
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018(a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2013 | ||||||||||||
Net asset value, beginning | $20.27 | $18.12 | $19.32 | $20.68 | $19.38 | $16.15 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.22 | 0.23 | 0.19 | 0.21 | 0.18 | 0.11 | |||||||||||
Net realized and unrealized gain (loss) | 0.78 | 2.82 | 1.25 | (0.08) | 1.70 | 3.23 | |||||||||||
Total from investment operations | 1.00 | 3.05 | 1.44 | 0.13 | 1.88 | 3.34 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.44) | (0.23) | (0.15) | (0.21) | (0.18) | (0.11) | |||||||||||
Net realized gain | (0.68) | (0.67) | (2.49) | (1.28) | (0.40) | — | |||||||||||
Total distributions | (1.12) | (0.90) | (2.64) | (1.49) | (0.58) | (0.11) | |||||||||||
Total increase (decrease) in net asset value | (0.12) | 2.15 | (1.20) | (1.36) | 1.30 | 3.23 | |||||||||||
Net asset value, ending | $20.15 | $20.27 | $18.12 | $19.32 | $20.68 | $19.38 | |||||||||||
Total return (b) | 4.93 | % | (c) | 17.59 | % | 8.03 | % | 0.41 | % | 9.85 | % | 20.82 | % | ||||
Ratios to average net assets: (d) | |||||||||||||||||
Total expenses (e) | 0.54 | % | (f) | 0.60 | % | 0.78 | % | 0.77 | % | 0.76 | % | 0.81 | % | ||||
Net expenses (e) | 0.43 | % | (f) | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | ||||
Net investment income | 2.12 | % | (f) | 1.24 | % | 1.10 | % | 1.04 | % | 0.88 | % | 0.62 | % | ||||
Portfolio turnover | 49 | % | (c) | 55 | % | 62 | % | 10 | % | 15 | % | 31 | % | ||||
Net assets, ending (in thousands) | $121,895 | $116,680 | $103,539 | $93,928 | $83,009 | $72,318 | |||||||||||
(a) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) Not annualized. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
28 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018(a) (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2017(a) | 2016(a) | 2015(a) | 2014(a) | 2013 | ||||||||||||
Net asset value, beginning | $17.50 | $15.85 | $17.21 | $18.71 | $17.71 | $14.89 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.12 | 0.08 | 0.03 | (0.01) | (0.06) | (0.05) | |||||||||||
Net realized and unrealized gain (loss) | 0.67 | 2.45 | 1.10 | (0.07) | 1.58 | 2.93 | |||||||||||
Total from investment operations | 0.79 | 2.53 | 1.13 | (0.08) | 1.52 | 2.88 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.31) | (0.21) | — | (0.14) | (0.12) | (0.06) | |||||||||||
Net realized gain | (0.68) | (0.67) | (2.49) | (1.28) | (0.40) | — | |||||||||||
Total distributions | (0.99) | (0.88) | (2.49) | (1.42) | (0.52) | (0.06) | |||||||||||
Total increase (decrease) in net asset value | (0.20) | 1.65 | (1.36) | (1.50) | 1.00 | 2.82 | |||||||||||
Net asset value, ending | $17.30 | $17.50 | $15.85 | $17.21 | $18.71 | $17.71 | |||||||||||
Total return (b) | 4.56 | % | (c) | 16.72 | % | 7.06 | % | (0.72 | %) | 8.66 | % | 19.39 | % | ||||
Ratios to average net assets: (d) | |||||||||||||||||
Total expenses (e) | 1.29 | % | (f) | 1.42 | % | 1.60 | % | 1.55 | % | 1.53 | % | 1.63 | % | ||||
Net expenses (e) | 1.18 | % | (f) | 1.18 | % | 1.31 | % | 1.55 | % | 1.53 | % | 1.63 | % | ||||
Net investment income (loss) | 1.37 | % | (f) | 0.52 | % | 0.20 | % | (0.05 | %) | (0.30 | %) | (0.61 | %) | ||||
Portfolio turnover | 49 | % | (c) | 55 | % | 62 | % | 10 | % | 15 | % | 31 | % | ||||
Net assets, ending (in thousands) | $18,951 | $18,045 | $17,578 | $16,400 | $14,557 | $11,234 | |||||||||||
(a) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) Not annualized. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 29
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | Period Ended September 30, | ||||||||
CLASS I SHARES | 2017 | 2016(a) | ||||||||
Net asset value, beginning | $20.35 | $18.14 | $17.17 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.28 | 0.36 | 0.01 | |||||||
Net realized and unrealized gain | 0.76 | 2.77 | 0.96 | |||||||
Total from investment operations | 1.04 | 3.13 | 0.97 | |||||||
Distributions from: | ||||||||||
Net investment income | (0.50) | (0.25) | — | |||||||
Net realized gain | (0.68) | (0.67) | — | |||||||
Total distributions | (1.18) | (0.92) | — | |||||||
Total increase (decrease) in net asset value | (0.14) | 2.21 | 0.97 | |||||||
Net asset value, ending | $20.21 | $20.35 | $18.14 | |||||||
Total return (c) | 5.11 | % | (d) | 18.02 | % | 5.65 | % | (d) | ||
Ratios to average net assets: (e) | ||||||||||
Total expenses (f) | 0.29 | % | (g) | 1.76 | % | 0.57 | % | (g) | ||
Net expenses (f) | 0.08 | % | (g) | 0.08 | % | 0.08 | % | (g) | ||
Net investment income | 2.73 | % | (g) | 1.91 | % | 0.19 | % | (g) | ||
Portfolio turnover | 49 | % | (d) | 55 | % | 62 | % | (h) | ||
Net assets, ending (in thousands) | $8,012 | $1,790 | $1,056 | |||||||
(a) From May 20, 2016 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) 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. | ||||||||||
(d) Not annualized. | ||||||||||
(e) 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. | ||||||||||
(f) Amounts do not include the expenses of the Underlying Funds and/or unaffiliated funds. | ||||||||||
(g) Annualized. | ||||||||||
(h) For the year ended September 30, 2016. | ||||||||||
See notes to financial statements. |
30 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert Conservative Allocation Fund (Conservative), Calvert Moderate Allocation Fund (Moderate) and Calvert Aggressive Allocation Fund (Aggressive), (each a Fund and collectively, the Funds) are diversified series of Calvert Social Investment Fund (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of Conservative is to seek current income and capital appreciation, consistent with the preservation of capital. The investment objective of Moderate is to seek long-term capital appreciation and growth of income, with current income a secondary objective. The investment objective of Aggressive is to seek long-term capital appreciation. The Funds invest primarily in a combination of other Calvert equity and fixed-income funds (the Underlying Funds).
Each Fund offers three classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each Fund previously offered Class Y shares. At the close of business on December 8, 2017, Class Y shares were converted to Class I shares. Each class represents a pro rata interest in each Fund, but votes separately on class-specific matters and is subject to different expenses.
Each Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Funds use independent pricing services approved by the Board of Trustees (the Board) to value their investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the Procedures) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Funds to Calvert Research and Management (CRM), the Funds' investment adviser, and has provided these Procedures to govern CRM in its valuation duties.
CRM has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including each Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Funds' investments by major category are as follows:
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Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in the Underlying Funds are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Valuation methodologies and polices of the Underlying Funds are included in their financial statements, which are available upon request.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. U.S. exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Funds' adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Funds might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
The following tables summarize the market value of each of the Funds' holdings as of March 31, 2018, based on the inputs used to value them:
CONSERVATIVE
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Mutual Funds | $ | 193,186,050 | $ | — | $ | — | $ | 193,186,050 | ||||
Exchange-Traded Funds | 5,849,772 | — | — | 5,849,772 | ||||||||
Purchased Options | 117,988 | — | — | 117,988 | ||||||||
Total Investments | $ | 199,153,810 | $ | — | $ | — | $ | 199,153,810 | ||||
Futures Contracts(1) | $ | 323,842 | $ | — | $ | — | $ | 323,842 | ||||
Total | $ | 199,477,652 | $ | — | $ | — | $ | 199,477,652 | ||||
Liabilities | ||||||||||||
Futures Contracts(1) | $ | (31,385 | ) | $ | — | $ | — | $ | (31,385 | ) | ||
Written Options | (94,160 | ) | — | — | (94,160 | ) | ||||||
Total | $ | (125,545 | ) | $ | — | $ | — | $ | (125,545 | ) | ||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2018.
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MODERATE
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Mutual Funds | $ | 274,683,887 | $ | — | $ | — | $ | 274,683,887 | ||||
Exchange-Traded Funds | 6,962,071 | — | — | 6,962,071 | ||||||||
Purchased Options | 166,407 | — | — | 166,407 | ||||||||
Total Investments | $ | 281,812,365 | $ | — | $ | — | $ | 281,812,365 | ||||
Futures Contracts(1) | $ | 219,249 | $ | — | $ | — | $ | 219,249 | ||||
Total | $ | 282,031,614 | $ | — | $ | — | $ | 282,031,614 | ||||
Liabilities | ||||||||||||
Futures Contracts(1) | $ | (138,056 | ) | $ | — | $ | — | $ | (138,056 | ) | ||
Written Options | (132,680 | ) | — | — | (132,680 | ) | ||||||
Total | $ | (270,736 | ) | $ | — | $ | — | $ | (270,736 | ) | ||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2018.
AGGRESSIVE
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Mutual Funds | $ | 145,030,477 | $ | — | $ | — | $ | 145,030,477 | ||||
Exchange-Traded Funds | 2,888,427 | — | — | 2,888,427 | ||||||||
Purchased Options | 86,043 | — | — | 86,043 | ||||||||
Total Investments | $ | 148,004,947 | $ | — | $ | — | $ | 148,004,947 | ||||
Liabilities | ||||||||||||
Futures Contracts(1) | $ | (102,176 | ) | $ | — | $ | — | $ | (102,176 | ) | ||
Written Options | (68,480 | ) | — | — | (68,480 | ) | ||||||
Total | $ | (170,656 | ) | $ | — | $ | — | $ | (170,656 | ) | ||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of each Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Futures Contracts: The Funds may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Funds. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Funds' ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way
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a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Funds.
E. Options Contracts: Upon the purchase of a call or put option, the premium paid by the Funds is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Funds' policies on investment valuations discussed above. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. As purchasers of an index option or option on a futures contract, the Funds have the right to receive a cash payment equal to any depreciation in the value of the index or futures contract below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index or futures contract over the strike price of the option (in the case of a call) as of the valuation date of the option. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
Upon the writing of a call or a put option, the premium received by the Funds is included in the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Funds' policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, each Fund is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. The Funds, as writers of an option, may have no control over whether the underlying instrument may be sold (call) or purchased (put) and, as a result, bear the market risk of an unfavorable change in the price of the instrument underlying the written option. The Funds may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
F. Distributions to Shareholders: Distributions to shareholders are recorded by the Funds on ex-dividend date. Dividends from net investment income are declared and paid quarterly for Conservative and Moderate and annually for Aggressive. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Funds’ capital accounts to reflect income and gains available for distribution under income tax regulations.
G. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H. Indemnifications: Under the Trust’s organizational document, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Funds. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and provides that upon request, the Trust shall assume the defense on behalf of any Fund shareholders or former shareholders. Additionally, in the normal course of business, each Fund enters into agreements with service providers that may contain indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred.
I. Federal Income Taxes: No provision for federal income or excise tax is required since each Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Funds' tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Funds' financial statements. Each Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
J. Interim Financial Statements: The interim financial statements relating to March 31, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Funds' management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
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NOTE 2 — RELATED PARTY TRANSACTIONS
CRM, a subsidiary of Eaton Vance Management (EVM), provides investment advisory services to the Funds. The Funds do not pay advisory fees to CRM for performing investment advisory services. CRM, however, receives advisory fees for managing the Underlying Funds.
CRM has agreed to reimburse the Funds’ operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses, interest expense, taxes or litigation expenses) for Conservative, Moderate and Aggressive exceed 0.44%, 0.44% and 0.43%, respectively, for Class A shares; 1.19%, 1.19% and 1.18%, respectively, for Class C shares; 0.09%, 0.09% and 0.08%, respectively, for Class I shares and prior to the close of business on December 8, 2017, 0.19%, 0.19% and 0.18%, respectively, for Class Y shares of such class' average daily net assets. The expense reimbursement agreements with CRM may be changed or terminated after January 31, 2019. For the six months ended March 31, 2018, CRM waived or reimbursed expenses of $24,485, $19,929 and $78,816 of Conservative, Moderate and Aggressive, respectively. CRM serves as the administrator of the Funds, but receives no compensation.
The Funds have in effect distribution plans for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, each Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Funds' principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A for distribution services and facilities provided to the Funds by EVD, as well as for personal services and/or the maintenance of shareholder accounts. The Funds also have in effect distribution plans for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, each Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Funds. In addition, pursuant to the Class C Plan, each Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. Distribution and service fees for Conservative, Moderate and Aggressive paid or accrued for the six months ended March 31, 2018, amounted to $184,488, $274,518 and $150,608, respectively, for Class A shares and $168,514, $221,063 and $94,250, respectively, for Class C shares.
The Funds were informed that EVD received $22,479, $44,358 and $30,759 for Conservative, Moderate and Aggressive, respectively, as their portion of the sales charge on sales of Class A shares for the six months ended March 31, 2018. The Funds were also informed that EVD received $712, $5,023 and $2,878 for Conservative, Moderate and Aggressive, respectively, of contingent deferred sales charges paid by each Fund’s shareholders for the same period.
EVM provides sub-transfer agency and related services to the Funds pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $10,578, $21,917 and $17,008 for Conservative, Moderate and Aggressive, respectively, and are included in transfer agency fees and expenses on the Statements of Operations.
Each Trustee of the Funds who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Trustees may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Funds or other Calvert funds selected by the Trustees. The Funds purchase shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Funds’ assets. Trustees’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Trustees of the Funds who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds' former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended March 31, 2018, each Fund's allocated portion of such expense and reimbursement was $2,123, $3,026 and $1,569 for Conservative, Moderate and Aggressive, respectively, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statements of Operations.
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NOTE 3 — INVESTMENT ACTIVITY
During the six months ended March 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Purchases | $169,035,518 | $172,056,435 | $79,404,054 | ||||||
Sales | $154,940,739 | $161,098,794 | $71,400,233 |
NOTE 4 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Funds at March 31, 2018, as determined on a federal income tax basis, were as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Federal tax cost of investments | $194,618,909 | $267,031,504 | $138,169,353 | ||||||
Gross unrealized appreciation | $6,330,923 | $15,902,463 | $10,089,149 | ||||||
Gross unrealized depreciation | (1,597,725) | (1,173,089) | (424,211) | ||||||
Net unrealized appreciation (depreciation) | $4,733,198 | $14,729,374 | $9,664,938 |
NOTE 5 — FINANCIAL INSTRUMENTS
A summary of futures contracts and options contracts outstanding at March 31, 2018 is included in each Fund's Schedule of Investments. During the six months ended March 31, 2018, the Funds used futures contracts as a substitute for direct investment in particular asset classes to facilitate rebalancing and implement tactical asset allocation decisions.
During the six months ended March 31, 2018, the Funds used purchased and written options contracts to make tactical asset allocations (including to gain or limit exposure to certain asset classes and/or sectors).
At March 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:
CONSERVATIVE | ||||||||||
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | ||||||
Equity price | Futures contracts | Net unrealized appreciation | $— | ($27,166 | ) | * | ||||
Equity price | Purchased options | Investments in securities of unaffiliated issuers, at value | 111,425 | — | ||||||
Equity price | Written options | Written options outstanding, at value | — | (94,160 | ) | |||||
Interest rate | Futures contracts | Net unrealized appreciation | 323,842 | * | (4,219 | ) | * | |||
Interest rate | Purchased options | Investments in securities of unaffiliated issuers, at value | 6,563 | — | ||||||
Total | $441,830 | ($125,545 | ) | |||||||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
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MODERATE | ||||||||||
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | ||||||
Equity price | Futures contracts | Net unrealized appreciation | $— | ($79,420 | ) | * | ||||
Equity price | Purchased options | Investments in securities of unaffiliated issuers, at value | 157,032 | — | ||||||
Equity price | Written options | Written options outstanding, at value | — | (132,680 | ) | |||||
Interest rate | Futures contracts | Net unrealized appreciation | 219,249 | * | (58,636 | ) | * | |||
Interest rate | Purchased options | Investments in securities of unaffiliated issuers, at value | 9,375 | — | ||||||
Total | $385,656 | ($270,736 | ) | |||||||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
AGGRESSIVE | |||||||||
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Equity price | Futures contracts | Net unrealized appreciation | $— | ($62,180 | ) | * | |||
Equity price | Purchased options | Investments in securities of unaffiliated issuers, at value | 81,043 | — | |||||
Equity price | Written options | Written options outstanding, at value | — | (68,480 | ) | ||||
Interest rate | Futures contracts | Net unrealized appreciation | — | (39,996 | ) | * | |||
Interest rate | Purchased options | Investments in securities of unaffiliated issuers at value | 5,000 | — | |||||
Total | $86,043 | ($170,656 | ) | ||||||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statements of Operations by risk exposure for the six months ended March 31, 2018 was as follows:
CONSERVATIVE | ||||||
Statement of Operations Caption | Equity price | Interest rate | ||||
Net realized gain (loss) on: | ||||||
Investment securities - unaffiliated issuers | $363,105 | $— | ||||
Futures contracts | (74,977 | ) | (524,138 | ) | ||
Written options | 53,017 | — | ||||
Total | $341,145 | ($524,138 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investment securities - unaffiliated issuers | ($177,092 | ) | ($16,445 | ) | ||
Futures contracts | 22,987 | 384,875 | ||||
Written options | 28,165 | — | ||||
Total | ($125,940 | ) | $368,430 |
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MODERATE | ||||||
Statement of Operations Caption | Equity price | Interest rate | ||||
Net realized gain (loss) on: | ||||||
Investment securities - unaffiliated issuers | $558,199 | $— | ||||
Futures contracts | (91,328 | ) | 106,078 | |||
Written options | 88,466 | — | ||||
Total | $555,337 | $106,078 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investment securities - unaffiliated issuers | ($285,410 | ) | ($23,493 | ) | ||
Futures contracts | (24,235 | ) | 152,114 | |||
Written options | 28,758 | — | ||||
Total | ($280,887 | ) | $128,621 |
AGGRESSIVE | ||||||
Statement of Operations Caption | Equity price | Interest rate | ||||
Net realized gain (loss) on: | ||||||
Investment securities – unaffiliated issuers | $304,016 | $— | ||||
Futures contracts | (89,834 | ) | 65,363 | |||
Written options | 52,884 | — | ||||
Total | $267,066 | $65,363 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investment securities - unaffiliated issuers | ($162,977 | ) | ($12,530 | ) | ||
Futures contracts | 5,417 | (39,996 | ) | |||
Written options | 10,498 | — | ||||
Total | ($147,062 | ) | ($52,526 | ) |
The average notional cost of futures contracts and the average number of purchased and written options contracts outstanding during the six months ended March 31, 2018 were approximately as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Futures contracts – long | $ | 12,844,000 | $ | 10,350,000 | $ | 2,377,000 | |||
Futures contracts – short | $ | 5,487,000 | $ | 18,549,000 | $ | 1,420,000 | |||
Purchased options | 59 | 87 | 46 | ||||||
Written options | (26 | ) | (46 | ) | (28 | ) |
NOTE 6 — OVERDRAFT ADVANCES
Pursuant to the custodian agreement, State Street Bank and Trust Company (SSB) may, in its discretion, advance funds to the Funds to make properly authorized payments. When such payments result in an overdraft, each Fund is obligated to repay SSB at the current rate of interest charged by SSB for secured loans (currently, the Federal Funds rate plus 2%). This obligation is payable on demand to SSB. SSB has a lien on each Fund’s assets to the extent of any overdraft. At March 31, 2018, Moderate and Aggressive had a payment due to SSB pursuant to the foregoing arrangement of $166,550 and $206,382, respectively. Based on the short-term nature of these payments and the variable interest rate, the carrying value of the overdraft advances approximated its fair value at March 31, 2018. If measured at fair value, overdraft advances would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2018. The Funds' average overdraft advances during the six months ended March 31, 2018 were not significant.
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NOTE 7 — SECURITIES LENDING
To generate additional income, the Funds may lend their securities pursuant to a securities lending agency agreement with SSB, the securities lending agent. Security loans are subject to termination by the Funds at any time and, therefore, are not considered to be illiquid investments. The Funds require that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the respective Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Funds. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the respective Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the respective Fund and cannot be sold or re-pledged by the respective Fund; accordingly, such collateral is not reflected in each of the Statements of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Funds in the case of default of any securities borrower. The Funds did not have any securities on loan at March 31, 2018.
NOTE 8 — LINE OF CREDIT
The Funds participate with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Funds, a Fund may be unable to borrow some or all of its requested amounts at any particular time. The Funds had no borrowings pursuant to this line of credit during the six months ended March 31, 2018.
NOTE 9 — AFFILIATED COMPANIES
An affiliated company is a company in which a fund has a direct or indirect ownership of, control of, or voting power of 5 percent or more of the outstanding voting shares, or a company that is under common ownership or control with a fund. At March 31, 2018, the value of each Fund’s investment in affiliated companies was $193,186,050, $274,683,887 and $145,030,477 for Conservative, Moderate and Aggressive, respectively, which represents 96.3%, 96.9% and 97.4% of net assets for Conservative, Moderate and Aggressive, respectively. Transactions in affiliated companies by the Funds for the six months ended March 31, 2018 were as follows:
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 39
CONSERVATIVE
Name of Calvert Fund | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||
Absolute Return Bond Fund, Class I | 1,580,293 | 129,166 | — | 1,709,459 | $25,556,418 | $352,219 | $— | $202,937 | ($356,444 | ) | |||||||||||||
Bond Fund, Class I | 4,425,319 | 163,270 | (4,588,589 | ) | — | — | 114,571 | 916,129 | — | (739,800 | ) | ||||||||||||
Bond Fund, Class R6 | — | 4,555,802 | — | 4,555,802 | 72,346,132 | 741,246 | — | — | (1,336,475 | ) | |||||||||||||
Emerging Markets Equity Fund, Class I | 281,216 | 7,373 | (62,055 | ) | 226,534 | 4,064,014 | 10,528 | 252,589 | — | 112,297 | |||||||||||||
Floating-Rate Advantage Fund, Class R6 | — | 2,794,037 | — | 2,794,037 | 27,884,492 | 436,089 | — | — | (53,189 | ) | |||||||||||||
International Equity Fund, Class I | 309,405 | 885 | (257,156 | ) | 53,134 | 996,264 | 16,573 | 561,497 | — | (476,858 | ) | ||||||||||||
International Opportunities Fund, Class I | 310,482 | 31,644 | (9,675 | ) | 332,451 | 6,166,959 | 102,843 | 24,990 | 302,993 | 33,177 | |||||||||||||
International Responsible Index Fund, Class I | 242,560 | 133,301 | (4,282 | ) | 371,579 | 8,772,981 | 117,763 | 15,619 | — | 54,211 | |||||||||||||
Long-Term Income Fund, Class I | 321,477 | 9 | (320,914 | ) | 572 | 9,524 | 157 | 270,912 | — | (264,760 | ) | ||||||||||||
Mid-Cap Fund, Class I | 48,815 | 6,556 | (2,324 | ) | 53,047 | 1,967,526 | 7,399 | (4,627 | ) | 158,494 | (74,242 | ) | |||||||||||
Small-Cap Fund, Class I | 70,175 | 11,843 | (5,144 | ) | 76,874 | 1,969,522 | 5,386 | 27,565 | 237,529 | (155,026 | ) | ||||||||||||
Ultra-Short Duration Income Fund, Class I | 1,357,595 | 760,399 | (2,117,994 | ) | — | — | 6,906 | 29,240 | — | (9,836 | ) | ||||||||||||
Ultra-Short Duration Income Fund, Class R6 | — | 1,241,294 | (924,685 | ) | 316,609 | 4,942,269 | 42,075 | (13,030 | ) | 1,258 | (3,707 | ) | |||||||||||
US Large-Cap Core Responsible Index Fund, Class I | 687,671 | 4,253 | (691,924 | ) | — | — | — | 2,223,027 | — | (1,875,925 | ) | ||||||||||||
US Large-Cap Core Responsible Index Fund, Class R6 | — | 662,614 | (18,549 | ) | 644,065 | 14,620,280 | 208,001 | 6,492 | 146,344 | 125,949 | |||||||||||||
US Large-Cap Growth Responsible Index Fund, Class I | 344,496 | 14,119 | (13,635 | ) | 344,980 | 8,938,439 | 76,079 | 82,906 | 115,386 | 417,920 | |||||||||||||
US Large-Cap Value Responsible Index Fund, Class I | 474,198 | 53,403 | (37,047 | ) | 490,554 | 11,027,645 | 189,589 | 163,437 | 557,802 | (475,393 | ) | ||||||||||||
US Mid-Cap Core Responsible Index Fund, Class I | 135,676 | 27,736 | (9,062 | ) | 154,350 | 3,923,585 | 39,265 | 16,027 | 72,658 | 110,812 | |||||||||||||
TOTALS | $193,186,050 | $2,466,690 | $4,572,773 | $1,795,401 | ($4,967,289 | ) |
40 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
MODERATE
Name of Calvert Fund | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||
Absolute Return Bond Fund, Class I | 2,008,287 | 114,945 | — | 2,123,232 | $31,742,324 | $439,226 | $— | $252,057 | ($442,034 | ) | |||||||||||||
Bond Fund, Class I | 2,934,178 | 4,093 | (2,938,271 | ) | — | — | 65,864 | 601,805 | — | (495,329 | ) | ||||||||||||
Bond Fund, Class R6 | — | 2,527,147 | — | 2,527,147 | 40,131,101 | 412,901 | — | — | (746,187 | ) | |||||||||||||
Emerging Markets Equity Fund, Class I | 565,098 | 1,272 | (89,282 | ) | 477,088 | 8,558,957 | 22,174 | 418,028 | — | 351,632 | |||||||||||||
Floating-Rate Advantage Fund, Class R6 | — | 2,129,591 | — | 2,129,591 | 21,253,316 | 332,028 | — | — | (40,782 | ) | |||||||||||||
International Equity Fund, Class I | 1,185,299 | 8,697 | (672,025 | ) | 521,971 | 9,786,954 | 162,810 | 918,319 | — | (500,150 | ) | ||||||||||||
International Opportunities Fund, Class I | 892,071 | 64,540 | (23,047 | ) | 933,564 | 17,317,606 | 289,321 | 107,854 | 852,381 | 59,467 | |||||||||||||
International Responsible Index Fund, Class I | 580,769 | 360,259 | (13,536 | ) | 927,492 | 21,898,084 | 293,947 | 51,985 | — | 119,991 | |||||||||||||
Mid-Cap Fund, Class I | 105,191 | 10,711 | (1,290 | ) | 114,612 | 4,250,971 | 15,582 | 1,974 | 333,795 | (167,300 | ) | ||||||||||||
Small-Cap Fund, Class I | 151,220 | 20,260 | (6,139 | ) | 165,341 | 4,236,049 | 11,319 | 34,724 | 499,255 | (301,361 | ) | ||||||||||||
Ultra-Short Duration Income Fund, Class I | 1,438,790 | 413,099 | (1,851,889 | ) | — | — | 13,362 | 28,159 | — | (5,277 | ) | ||||||||||||
Ultra-Short Duration Income Fund, Class R6 | — | 1,707,039 | (1,178,400 | ) | 528,639 | 8,252,058 | 67,044 | (18,279 | ) | 2,215 | (11,162 | ) | |||||||||||
US Large-Cap Core Responsible Index Fund, Class I | 2,037,548 | — | (2,037,548 | ) | — | — | — | 6,666,432 | — | (5,574,618 | ) | ||||||||||||
US Large-Cap Core Responsible Index Fund, Class R6 | — | 2,171,115 | — | 2,171,115 | 49,284,302 | 681,533 | — | 479,511 | 438,778 | ||||||||||||||
US Large-Cap Growth Responsible Index Fund, Class I | 769,928 | 16,285 | (21,392 | ) | 764,821 | 19,816,509 | 166,175 | 134,323 | 252,032 | 984,512 | |||||||||||||
US Large-Cap Value Responsible Index Fund, Class I | 1,125,626 | 91,042 | (25,437 | ) | 1,191,231 | 26,778,870 | 439,761 | 118,535 | 1,293,854 | (862,920 | ) | ||||||||||||
US Mid-Cap Core Responsible Index Fund, Class I | 388,681 | 66,972 | (8,100 | ) | 447,553 | 11,376,786 | 110,263 | 13,099 | 204,034 | 346,887 | |||||||||||||
TOTALS | $274,683,887 | $3,523,310 | $9,076,958 | $4,169,134 | ($6,845,853 | ) |
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AGGRESSIVE
Name of Calvert Fund | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||
Absolute Return Bond Fund, Class I | 267,360 | 17,113 | (94,180 | ) | 190,293 | $2,844,878 | $45,697 | $35,538 | $22,590 | ($73,458 | ) | ||||||||||||
Bond Fund, Class I | 814,675 | 148,460 | (963,135 | ) | — | — | 17,833 | 61,387 | — | (29,249 | ) | ||||||||||||
Bond Fund, Class R6 | — | 1,142,243 | (335,321 | ) | 806,922 | 12,813,920 | 119,281 | (33,345 | ) | — | (175,791 | ) | |||||||||||
Emerging Markets Equity Fund, Class I | 536,025 | 1,095 | (126,355 | ) | 410,765 | 7,369,119 | 19,091 | 545,027 | — | 132,212 | |||||||||||||
Floating-Rate Advantage Fund, Class R6 | — | 376,350 | — | 376,350 | 3,755,971 | 58,639 | — | — | (7,147 | ) | |||||||||||||
International Equity Fund, Class I | 926,169 | 13,668 | (381,350 | ) | 558,487 | 10,471,640 | 174,200 | 266,073 | — | 107,352 | |||||||||||||
International Opportunities Fund, Class I | 644,874 | 46,964 | (8,637 | ) | 683,201 | 12,673,388 | 210,536 | 41,930 | 620,268 | 82,246 | |||||||||||||
International Responsible Index Fund, Class I | 340,817 | 186,258 | (3,026 | ) | 524,049 | 12,372,789 | 166,085 | 12,075 | — | 88,147 | |||||||||||||
Mid-Cap Fund, Class I | 107,365 | 7,412 | (25,735 | ) | 89,042 | 3,302,554 | 12,106 | 37,915 | 259,321 | (144,083 | ) | ||||||||||||
Small-Cap Fund, Class I | 154,350 | 15,823 | (42,064 | ) | 128,109 | 3,282,141 | 8,703 | 169,087 | 383,836 | (364,145 | ) | ||||||||||||
US Large-Cap Core Responsible Index Fund, Class I | 1,496,712 | 78,342 | (1,575,054 | ) | — | — | — | 4,786,513 | — | (3,967,688 | ) | ||||||||||||
US Large-Cap Core Responsible Index Fund, Class R6 | — | 1,698,279 | — | 1,698,279 | 38,550,925 | 533,105 | — | 375,081 | 339,715 | ||||||||||||||
US Large-Cap Growth Responsible Index Fund, Class I | 505,201 | 10,816 | (8,058 | ) | 507,959 | 13,161,206 | 110,366 | 51,926 | 167,388 | 686,088 | |||||||||||||
US Large-Cap Value Responsible Index Fund, Class I | 755,929 | 66,015 | (12,318 | ) | 809,626 | 18,200,383 | 298,885 | 57,403 | 879,374 | (567,291 | ) | ||||||||||||
US Mid-Cap Core Responsible Index Fund, Class I | 156,311 | 91,332 | (2,499 | ) | 245,144 | 6,231,563 | 60,395 | 3,923 | 111,759 | 146,111 | |||||||||||||
TOTALS | $145,030,477 | $1,834,922 | $6,035,452 | $2,819,617 | ($3,746,981 | ) |
42 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
NOTE 10 — CAPITAL SHARES
Transactions in capital shares for the six months ended March 31, 2018 and year ended September 30, 2017 were as follows:
CONSERVATIVE | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 1,414,708 | $24,471,263 | 1,981,979 | $33,126,700 | |||||||
Reinvestment of distributions | 256,877 | 4,397,208 | 217,729 | 3,582,313 | |||||||
Shares redeemed | (850,932 | ) | (14,676,797 | ) | (2,151,958 | ) | (35,703,955 | ) | |||
Net increase | 820,653 | $14,191,674 | 47,750 | $1,005,058 | |||||||
Class C | |||||||||||
Shares sold | 149,414 | $2,550,191 | 350,847 | $5,765,745 | |||||||
Reinvestment of distributions | 50,652 | 857,482 | 38,422 | 622,901 | |||||||
Shares redeemed | (156,502 | ) | (2,675,596 | ) | (524,534 | ) | (8,647,576 | ) | |||
Net increase (decrease) | 43,564 | $732,077 | (135,265 | ) | ($2,258,930 | ) | |||||
Class I | |||||||||||
Shares sold | 334,302 | $5,770,911 | 266,172 | $4,450,178 | |||||||
Reinvestment of distributions | 26,281 | 449,270 | 5,997 | 98,536 | |||||||
Shares redeemed | (168,828 | ) | (2,913,462 | ) | (157,825 | ) | (2,639,917 | ) | |||
Conversion from Class Y | 563,657 | 9,881,196 | — | — | |||||||
Net increase | 755,412 | $13,187,915 | 114,344 | $1,908,797 | |||||||
Class Y (1) | |||||||||||
Shares sold | 58,801 | $1,022,522 | 655,287 | $10,843,456 | |||||||
Reinvestment of distributions | — | — | 5,143 | 87,174 | |||||||
Shares redeemed | (83,453 | ) | (1,454,632 | ) | (96,466 | ) | (1,628,503 | ) | |||
Conversion to Class I | (563,812 | ) | (9,881,196 | ) | — | — | |||||
Net increase (decrease) | (588,464 | ) | ($10,313,306 | ) | 563,964 | $9,302,127 | |||||
(1) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. |
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MODERATE | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 1,020,301 | $19,920,510 | 1,871,825 | $34,184,103 | |||||||
Reinvestment of distributions | 502,975 | 9,629,345 | 457,461 | 8,062,036 | |||||||
Shares redeemed | (1,001,525 | ) | (19,556,144 | ) | (2,701,121 | ) | (48,943,346 | ) | |||
Net increase (decrease) | 521,751 | $9,993,711 | (371,835 | ) | ($6,697,207 | ) | |||||
Class C | |||||||||||
Shares sold | 290,538 | $5,399,320 | 404,329 | $7,013,541 | |||||||
Reinvestment of distributions | 90,723 | 1,657,515 | 93,798 | 1,580,839 | |||||||
Shares redeemed | (243,117 | ) | (4,524,790 | ) | (677,620 | ) | (11,748,924 | ) | |||
Net increase (decrease) | 138,144 | $2,532,045 | (179,493 | ) | ($3,154,544 | ) | |||||
Class I | |||||||||||
Shares sold | 321,822 | $6,338,926 | 543,251 | $9,745,165 | |||||||
Reinvestment of distributions | 38,514 | 737,227 | 10,962 | 191,489 | |||||||
Shares redeemed | (131,990 | ) | (2,585,302 | ) | (141,632 | ) | (2,590,737 | ) | |||
Conversion from Class Y | 218,239 | 4,347,504 | — | — | |||||||
Net increase | 446,585 | $8,838,355 | 412,581 | $7,345,917 | |||||||
Class Y (1) | |||||||||||
Shares sold | 31,981 | $630,011 | 208,511 | $3,800,298 | |||||||
Reinvestment of distributions | — | — | 1,370 | 24,116 | |||||||
Shares redeemed | (3,557 | ) | (69,150 | ) | (42,090 | ) | (776,519 | ) | |||
Conversion to Class I | (218,464 | ) | (4,347,504 | ) | — | — | |||||
Net increase (decrease) | (190,040 | ) | ($3,786,643 | ) | 167,791 | $3,047,895 | |||||
(1) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. |
44 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
AGGRESSIVE | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 496,375 | $10,248,538 | 902,755 | $17,031,178 | |||||||
Reinvestment of distributions | 300,628 | 6,057,652 | 275,795 | 4,947,011 | |||||||
Shares redeemed | (504,936 | ) | (10,462,111 | ) | (1,135,909 | ) | (21,115,128 | ) | |||
Net increase | 292,067 | $5,844,079 | 42,641 | $863,061 | |||||||
Class C | |||||||||||
Shares sold | 95,914 | $1,703,371 | 122,130 | $1,983,708 | |||||||
Reinvestment of distributions | 57,534 | 997,061 | 58,413 | 911,004 | |||||||
Shares redeemed | (89,289 | ) | (1,582,015 | ) | (258,351 | ) | (4,180,783 | ) | |||
Net increase (decrease) | 64,159 | $1,118,417 | (77,808 | ) | ($1,286,071 | ) | |||||
Class I | |||||||||||
Shares sold | 213,505 | $4,480,214 | 116,645 | $2,120,665 | |||||||
Reinvestment of distributions | 17,836 | 360,106 | 5,981 | 107,065 | |||||||
Shares redeemed | (24,154 | ) | (495,548 | ) | (92,904 | ) | (1,716,773 | ) | |||
Conversion from Class Y | 101,282 | 2,138,971 | — | — | |||||||
Net increase | 308,469 | $6,483,743 | 29,722 | $510,957 | |||||||
Class Y (1) | |||||||||||
Shares sold | 47,128 | $973,817 | 68,147 | $1,275,567 | |||||||
Reinvestment of distributions | — | — | 471 | 8,458 | |||||||
Shares redeemed | (3,134 | ) | (65,342 | ) | (18,526 | ) | (347,295 | ) | |||
Conversion to Class I | (101,313 | ) | (2,138,971 | ) | — | — | |||||
Net increase (decrease) | (57,319 | ) | ($1,230,496 | ) | 50,092 | $936,730 | |||||
(1) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. |
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CALVERT CONSERVATIVE ALLOCATION FUND
BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
46 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory agreement of Calvert Conservative Allocation Fund (the “Fund”) is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 47
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and appropriate Lipper benchmark indices. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund had outperformed the median of its peer universe and its Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into consideration that the Fund does not pay an advisory fee to CRM for advisory services but that CRM does receive advisory fees from the underlying funds in which the Fund invests. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the compensation structure was reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board noted that the Fund did not pay an advisory fee to the Adviser. As a result, the Board did not take into account any economies of scale to be realized with respect to the advisory fee. The Board noted, however, that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
48 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT MODERATE ALLOCATION FUND
BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 49
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory agreement of Calvert Moderate Allocation Fund (the “Fund”) is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
50 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund had outperformed the median of peer universe funds for the three-year period ended September 30, 2017, underperformed the median of peer universe funds for the one- and five-year periods ended September 30, 2017 and underperformed its Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into consideration that the Fund does not pay an advisory fee to CRM for advisory services but that CRM does receive advisory fees from the underlying funds in which the Fund invests. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the compensation structure was reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board noted that the Fund did not pay an advisory fee to the Adviser. As a result, the Board did not take into account any economies of scale to be realized with respect to the advisory fee. The Board noted, however, that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 51
CALVERT AGGRESSIVE ALLOCATION FUND
BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
52 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory agreement of Calvert Aggressive Allocation Fund (the “Fund”) is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 53
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and appropriate Lipper benchmark indices. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund had outperformed the median of its peer universe and its Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into consideration that the Fund does not pay an advisory fee to CRM for advisory services but that CRM does receive advisory fees from the underlying funds in which the Fund invests. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the compensation structure was reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board noted that the Fund did not pay an advisory fee to the Adviser. As a result, the Board did not take into account any economies of scale to be realized with respect to the advisory fee. The Board noted, however, that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
54 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
OFFICERS AND TRUSTEES
Officers of Calvert Asset Allocation Funds
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer
James F. Kirchner
Treasurer
Trustees of Calvert Asset Allocation Funds
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Trustee and President
www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED) 55
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
56 www.calvert.com CALVERT ASSET ALLOCATION FUNDS SEMIANNUAL REPORT (UNAUDITED)
CALVERT ASSET ALLOCATION FUNDS | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc. (“BFDS”)) 2000 Crown Colony Drive Quincy, MA 02169 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 | |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24206 3.31.2018 |
Calvert Social Investment Fund • Calvert Balanced Fund• Calvert Bond Fund• Calvert Equity Fund | ||
Semiannual Report March 31, 2018 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. Each Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Funds nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
CALVERT BALANCED FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Vishal Khanduja, CFA, Brian S. Ellis, CFA, and Charles B. Gaffney, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 10/21/1982 | 10/21/1982 | 3.03 | % | 7.06 | % | 7.13 | % | 5.81 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | -1.87 | 1.99 | 6.10 | 5.30 | ||||||||||
Class C at NAV | 3/1/1994 | 10/21/1982 | 2.62 | 6.23 | 6.29 | 4.93 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 1.66 | 5.24 | 6.29 | 4.93 | ||||||||||
Class I at NAV | 12/27/2004 | 10/21/1982 | 3.21 | 7.47 | 7.59 | 6.31 | ||||||||||
Russell 1000® Index | — | — | 5.85 | % | 13.98 | % | 13.16 | % | 9.60 | % | ||||||
Balanced Composite Benchmark | — | — | 3.11 | 8.79 | 8.64 | 7.49 | ||||||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | |||||||||||||
Gross | 0.99 | % | 1.80 | % | 0.67 | % | ||||||||||
Net | 0.94 | 1.69 | 0.62 |
Fund Profile | |||||||
ASSET ALLOCATION (% of total investments)4 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Equity | 61.3 | % | Apple, Inc. | 2.4 | % | ||
Fixed-Income | 37.8 | % | Bank of America Corp. | 1.9 | % | ||
Time Deposit | 0.8 | % | Amazon.com, Inc. | 1.9 | % | ||
Other | 0.1 | % | Alphabet, Inc., Class C | 1.8 | % | ||
Total | 100.0 | % | Microsoft Corp. | 1.7 | % | ||
Johnson & Johnson | 1.5 | % | |||||
Verizon Communications, Inc. | 1.3 | % | |||||
Walt Disney Co. (The) | 1.3 | % | |||||
Facebook, Inc., Class A | 1.2 | % | |||||
Humana, Inc. | 1.2 | % | |||||
Total | 16.2 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
2 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BOND FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Vishal Khanduja, CFA and Brian S. Ellis, CFA, each of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 8/24/1987 | 8/24/1987 | -0.59 | % | 1.94 | % | 1.98 | % | 3.39 | % | ||||||
Class A with 3.75% Maximum Sales Charge | — | — | -4.32 | -1.88 | 1.21 | 3.00 | ||||||||||
Class C at NAV | 6/1/1998 | 8/24/1987 | -0.98 | 1.05 | 1.12 | 2.55 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | -1.96 | 0.05 | 1.12 | 2.55 | ||||||||||
Class I at NAV | 3/31/2000 | 8/24/1987 | -0.48 | 2.19 | 2.45 | 3.95 | ||||||||||
Class R6 at NAV | 10/3/2017 | 8/24/1987 | -0.45 | 2.22 | 2.45 | 3.95 | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | -1.08 | % | 1.20 | % | 1.82 | % | 3.63 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 | ||||||||||||
Gross | 0.89 | % | 1.78 | % | 0.54 | % | 0.54 | % | ||||||||
Net | 0.88 | 1.63 | 0.53 | 0.53 |
Fund Profile | |||||
PORTFOLIO COMPOSITION (% of total investments)4 | |||||
Corporate Bonds | 48.6 | % | |||
Asset-Backed Securities | 18.3 | % | |||
U.S. Treasury Obligations | 16.5 | % | |||
Collateralized Mortgage-Backed Obligations | 4.9 | % | |||
Commercial Mortgage-Backed Securities | 3.3 | % | |||
Time Deposit | 2.9 | % | |||
Taxable Municipal Obligations | 2.4 | % | |||
U.S. Government Agency Mortgage-Backed Securities | 1.4 | % | |||
Sovereign Government Bonds | 0.8 | % | |||
High Social Impact Investments | 0.6 | % | |||
U.S. Government Agencies and Instrumentalities | 0.3 | % | |||
Floating Rate Loans | 0.0% | * | |||
Total | 100.0 | % | |||
* Amount is less than 0.05%.
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 3
CALVERT EQUITY FUND
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Joseph B. Hudepohl, CFA, Lance V. Garrison, CFA, Jeffrey A. Miller, CFA and Robert R. Walton, Jr., CFA, each of Atlanta Capital Management Company, LLC | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class A at NAV | 8/24/1987 | 8/24/1987 | 9.89 | % | 20.88 | % | 12.78 | % | 9.46 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 4.67 | 15.16 | 11.68 | 8.93 | ||||||||||
Class C at NAV | 3/1/1994 | 8/24/1987 | 9.45 | 19.90 | 11.93 | 8.64 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 8.49 | 18.90 | 11.93 | 8.64 | ||||||||||
Class I at NAV | 11/1/1999 | 8/24/1987 | 10.08 | 21.32 | 13.28 | 10.01 | ||||||||||
Class R6 at NAV | 10/3/2017 | 8/24/1987 | 10.08 | 21.31 | 13.28 | 10.01 | ||||||||||
Russell 1000® Growth Index | — | — | 9.39 | % | 21.25 | % | 15.52 | % | 11.33 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 | ||||||||||||
Gross | 1.08 | % | 1.85 | % | 0.71 | % | 0.71 | % | ||||||||
Net | 1.08 | 1.84 | 0.71 | 0.71 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments) | TEN LARGEST HOLDINGS (% of net assets)5 | ||||||
Information Technology | 29.2 | % | Danaher Corp. | 4.8 | % | ||
Health Care | 20.2 | % | Visa, Inc., Class A | 4.7 | % | ||
Consumer Discretionary | 12.4 | % | Alphabet, Inc., Class C | 4.7 | % | ||
Industrials | 11.5 | % | Thermo Fisher Scientific, Inc. | 4.6 | % | ||
Consumer Staples | 7.5 | % | Microsoft Corp. | 4.0 | % | ||
Materials | 5.9 | % | Zoetis, Inc. | 3.7 | % | ||
Financials | 5.9 | % | Dollar General Corp. | 3.4 | % | ||
Time Deposit | 3.3 | % | MasterCard, Inc., Class A | 3.3 | % | ||
Real Estate | 2.7 | % | Ecolab, Inc. | 3.1 | % | ||
Venture Capital Limited Partnership Interest | 0.6 | % | Intuit, Inc. | 3.1 | % | ||
High Social Impact Investments | 0.6 | % | Total | 39.4 | % | ||
Venture Capital | 0.2 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
4 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 1000® Growth Index is an unmanaged index of U.S. large-cap growth stocks. The Balanced Composite Benchmark is an internally constructed benchmark which is 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 since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. 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.
4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
5 Excludes cash and cash equivalents.
Fund profiles subject to change due to active management.
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2017 to March 31, 2018) for Class A, Class C and Class I for each Fund and (October 3, 2017 to March 31, 2018) for Class R6 of Calvert Bond Fund and Calvert Equity Fund. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (October 1, 2017 to March 31, 2018).
Actual Expenses
The first section of the tables below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the tables below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
CALVERT BALANCED FUND | BEGINNING ACCOUNT VALUE (10/1/17) | ENDING ACCOUNT VALUE (3/31/18) | EXPENSES PAID DURING PERIOD* (10/1/17 - 3/31/18) | ANNUALIZED EXPENSE RATIO |
Actual | ||||
Class A | $1,000.00 | $1,030.30 | $4.76** | 0.94% |
Class C | $1,000.00 | $1,026.20 | $8.54** | 1.69% |
Class I | $1,000.00 | $1,032.10 | $3.14** | 0.62% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.24 | $4.73** | 0.94% |
Class C | $1,000.00 | $1,016.50 | $8.50** | 1.69% |
Class I | $1,000.00 | $1,021.84 | $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 182/365 (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 September 30, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BOND FUND | BEGINNING ACCOUNT VALUE (10/1/17) | ENDING ACCOUNT VALUE (3/31/18) | EXPENSES PAID DURING PERIOD (10/1/17 - 3/31/18) | ANNUALIZED EXPENSE RATIO |
Actual* | ||||
Class A | $1,000.00 | $994.10 | $4.08** | 0.82% |
Class C | $1,000.00 | $990.20 | $8.04** | 1.62% |
Class I | $1,000.00 | $995.20 | $2.64** | 0.53% |
Class R6 | $1,000.00 | $994.20 | $2.61** | 0.53% |
Hypothetical*** | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.84 | $4.13** | 0.82% |
Class C | $1,000.00 | $1,016.85 | $8.15** | 1.62% |
Class I | $1,000.00 | $1,022.29 | $2.67** | 0.53% |
Class R6 | $1,000.00 | $1,022.29 | $2.67** | 0.53% |
* Class R6 had not commenced operations on October 1, 2017. Actual 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 182/365 (to reflect the one-half year period); 180/365 for Class R6 (to reflect the period from the commencement of operations on October 3, 2017 to March 31, 2018). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2017 (October 3, 2017 for Class R6). | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. | ||||
*** Hypothetical 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 182/365 (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 September 30, 2017 (October 3, 2017 for Class R6). |
CALVERT EQUITY FUND | BEGINNING ACCOUNT VALUE (10/1/17) | ENDING ACCOUNT VALUE (3/31/18) | EXPENSES PAID DURING PERIOD (10/1/17 - 3/31/18) | ANNUALIZED EXPENSE RATIO |
Actual* | ||||
Class A | $1,000.00 | $1,098.90 | $5.29** | 1.01% |
Class C | $1,000.00 | $1,094.50 | $9.24** | 1.77% |
Class I | $1,000.00 | $1,100.80 | $3.67** | 0.70% |
Class R6 | $1,000.00 | $1,094.10 | $3.61** | 0.70% |
Hypothetical*** | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.90 | $5.09** | 1.01% |
Class C | $1,000.00 | $1,016.11 | $8.90** | 1.77% |
Class I | $1,000.00 | $1,021.44 | $3.53** | 0.70% |
Class R6 | $1,000.00 | $1,021.44 | $3.53** | 0.70% |
* Class R6 had not commenced operations on October 1, 2017. Actual 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 182/365 (to reflect the one-half year period); 180/365 for Class R6 (to reflect the period from the commencement of operations on October 3, 2017 to March 31, 2018). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2017 (October 3, 2017 for Class R6). | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. | ||||
*** Hypothetical 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 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2017 (October 3, 2017 for Class R6). |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 7
CALVERT BALANCED FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2018 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 61.2% | ||
Aerospace & Defense - 0.6% | ||
CAE, Inc. | 233,600 | 4,347,986 |
Air Freight & Logistics - 0.9% | ||
C.H. Robinson Worldwide, Inc. (a) | 70,213 | 6,579,660 |
Auto Components - 1.2% | ||
Aptiv plc | 45,367 | 3,854,834 |
Delphi Technologies plc | 93,955 | 4,476,956 |
8,331,790 | ||
Banks - 4.5% | ||
Bank of America Corp. | 448,200 | 13,441,518 |
Citigroup, Inc. | 58,625 | 3,957,187 |
KeyCorp | 232,300 | 4,541,465 |
PNC Financial Services Group, Inc. (The) | 36,500 | 5,520,260 |
U.S. Bancorp | 78,001 | 3,939,051 |
31,399,481 | ||
Beverages - 1.1% | ||
PepsiCo, Inc. | 67,696 | 7,389,018 |
Biotechnology - 2.0% | ||
AbbVie, Inc. | 22,400 | 2,120,160 |
Alexion Pharmaceuticals, Inc. (b) | 20,100 | 2,240,346 |
Biogen, Inc. (b) | 6,852 | 1,876,215 |
Celgene Corp. (b) | 12,925 | 1,153,039 |
Gilead Sciences, Inc. | 48,489 | 3,655,586 |
Incyte Corp. (a)(b) | 9,756 | 812,967 |
Vertex Pharmaceuticals, Inc. (b) | 10,700 | 1,743,886 |
13,602,199 | ||
Capital Markets - 0.8% | ||
Charles Schwab Corp. (The) | 112,500 | 5,874,750 |
Commercial Services & Supplies - 1.4% | ||
Deluxe Corp. | 99,332 | 7,351,561 |
Republic Services, Inc. | 37,400 | 2,477,002 |
9,828,563 | ||
Consumer Finance - 0.6% | ||
Ally Financial, Inc. | 164,500 | 4,466,175 |
8 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Containers & Packaging - 1.1% | |||
Ball Corp. (a) | 198,337 | 7,875,962 | |
Distributors - 0.4% | |||
LKQ Corp. (b) | 64,100 | 2,432,595 | |
Diversified Telecommunication Services - 1.3% | |||
Verizon Communications, Inc. | 191,407 | 9,153,083 | |
Electrical Equipment - 1.0% | |||
AMETEK, Inc. | 93,800 | 7,125,986 | |
Energy Equipment & Services - 2.7% | |||
Core Laboratories NV (a) | 52,100 | 5,638,262 | |
National Oilwell Varco, Inc. | 143,402 | 5,278,628 | |
Oceaneering International, Inc. | 121,576 | 2,254,019 | |
TechnipFMC plc | 183,110 | 5,392,589 | |
18,563,498 | |||
Equity Real Estate Investment Trusts (REITs) - 2.1% | |||
CubeSmart | 145,632 | 4,106,823 | |
Equity Residential | 98,889 | 6,093,540 | |
Extra Space Storage, Inc. | 50,100 | 4,376,736 | |
14,577,099 | |||
Food & Staples Retailing - 1.5% | |||
Performance Food Group Co. (b) | 188,852 | 5,637,232 | |
US Foods Holding Corp. (b) | 153,400 | 5,026,918 | |
10,664,150 | |||
Food Products - 1.7% | |||
Mondelez International, Inc., Class A | 155,970 | 6,508,628 | |
Pinnacle Foods, Inc. | 93,943 | 5,082,316 | |
11,590,944 | |||
Health Care Equipment & Supplies - 1.4% | |||
Boston Scientific Corp. (b) | 161,200 | 4,403,984 | |
Danaher Corp. | 56,500 | 5,531,915 | |
9,935,899 | |||
Health Care Providers & Services - 1.2% | |||
Humana, Inc. | 30,700 | 8,253,081 | |
Household Products - 0.7% | |||
Colgate-Palmolive Co. | 66,800 | 4,788,224 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 9
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Independent Power and Renewable Electricity Producers - 0.6% | |||
NextEra Energy Partners LP | 102,000 | 4,078,980 | |
Industrial Conglomerates - 0.9% | |||
3M Co. | 28,011 | 6,148,975 | |
Insurance - 2.8% | |||
American Financial Group, Inc. | 50,996 | 5,722,771 | |
American International Group, Inc. | 94,800 | 5,159,016 | |
First American Financial Corp. | 139,943 | 8,211,855 | |
19,093,642 | |||
Internet & Direct Marketing Retail - 1.9% | |||
Amazon.com, Inc. (b) | 8,966 | 12,976,850 | |
Internet Software & Services - 3.4% | |||
Alphabet, Inc., Class C (b) | 12,112 | 12,497,040 | |
Facebook, Inc., Class A (b) | 53,662 | 8,574,651 | |
GoDaddy, Inc., Class A (a)(b) | 45,000 | 2,763,900 | |
23,835,591 | |||
IT Services - 2.2% | |||
Amdocs Ltd. | 93,967 | 6,269,478 | |
Cognizant Technology Solutions Corp., Class A | 83,900 | 6,753,950 | |
International Business Machines Corp. | 14,400 | 2,209,392 | |
15,232,820 | |||
Life Sciences Tools & Services - 0.6% | |||
Thermo Fisher Scientific, Inc. | 18,497 | 3,818,891 | |
Machinery - 0.6% | |||
Parker-Hannifin Corp. | 23,800 | 4,070,514 | |
Media - 2.8% | |||
Comcast Corp., Class A | 142,800 | 4,879,476 | |
Time Warner, Inc. | 59,502 | 5,627,699 | |
Walt Disney Co. (The) | 89,904 | 9,029,958 | |
19,537,133 | |||
Metals & Mining - 0.7% | |||
Reliance Steel & Aluminum Co. | 54,150 | 4,642,821 | |
Multi-Utilities - 1.2% | |||
CMS Energy Corp. | 81,573 | 3,694,441 | |
Sempra Energy (a) | 44,315 | 4,928,715 | |
8,623,156 | |||
10 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Pharmaceuticals - 3.3% | |||
Jazz Pharmaceuticals plc (b) | 30,900 | 4,665,591 | |
Johnson & Johnson | 80,426 | 10,306,592 | |
Pfizer, Inc. | 219,984 | 7,807,232 | |
22,779,415 | |||
Road & Rail - 0.7% | |||
Kansas City Southern | 41,700 | 4,580,745 | |
Semiconductors & Semiconductor Equipment - 2.4% | |||
Broadcom Ltd. | 20,817 | 4,905,526 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 140,500 | 6,148,280 | |
Texas Instruments, Inc. | 54,396 | 5,651,201 | |
16,705,007 | |||
Software - 3.6% | |||
Adobe Systems, Inc. (b) | 33,224 | 7,179,042 | |
Intuit, Inc. | 33,667 | 5,836,174 | |
Microsoft Corp. | 128,351 | 11,714,596 | |
24,729,812 | |||
Specialty Retail - 1.6% | |||
Home Depot, Inc. (The) | 32,500 | 5,792,800 | |
TJX Cos., Inc. (The) | 67,200 | 5,480,832 | |
11,273,632 | |||
Technology Hardware, Storage & Peripherals - 3.3% | |||
Apple, Inc. | 97,452 | 16,350,497 | |
HP, Inc. | 303,300 | 6,648,336 | |
22,998,833 | |||
Thrifts & Mortgage Finance - 0.2% | |||
MGIC Investment Corp. (b) | 108,100 | 1,405,300 | |
Venture Capital - 0.2% | |||
CFBanc Corp. (b)(c)(d) | 27,000 | 318,611 | |
Consensus Orthopedics, Inc. (b)(c)(d) | 180,877 | 153 | |
Kickboard (b)(c)(d) | 169,932 | 3,467 | |
Learn Capital Venture Partners III LP (b)(c)(d) | 787,609 | 1,050,645 | |
MACH Energy (b)(c)(d) | 20,536 | 1,891 | |
Neighborhood Bancorp, Class A (b)(c)(d) | 10,000 | — | |
1,374,767 | |||
Total Common Stocks (Cost $386,675,826) | 424,687,027 | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 11
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - 19.6% | |||
Basic Materials - 0.1% | |||
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 500,000 | 515,733 | |
Communications - 1.9% | |||
AT&T, Inc.: | |||
2.723%, (3 mo. USD LIBOR + 0.89%), 2/14/23 (e) | 1,468,000 | 1,489,375 | |
3.40%, 8/14/24 | 333,000 | 334,989 | |
3.80%, 3/15/22 | 760,000 | 771,191 | |
3.80%, 3/1/24 | 525,000 | 526,314 | |
4.10%, 2/15/28 (f) | 1,400,000 | 1,391,915 | |
4.125%, 2/17/26 | 1,855,000 | 1,861,454 | |
4.25%, 3/1/27 | 140,000 | 141,689 | |
4.75%, 5/15/46 | 645,000 | 627,783 | |
CBS Corp., 2.90%, 1/15/27 | 585,000 | 530,840 | |
Comcast Corp., 3.20%, 7/15/36 | 990,000 | 875,249 | |
Crown Castle Towers LLC, 3.663%, 5/15/45 (f) | 450,000 | 447,858 | |
NBCUniversal Media LLC, 4.45%, 1/15/43 | 405,000 | 410,077 | |
Telefonica Emisiones SAU, 3.192%, 4/27/18 | 600,000 | 600,250 | |
Time Warner, Inc., 4.90%, 6/15/42 | 500,000 | 505,781 | |
Verizon Communications, Inc.: | |||
1.75%, 8/15/21 | 540,000 | 515,690 | |
2.45%, 11/1/22 | 585,000 | 562,177 | |
3.50%, 11/1/24 | 1,000,000 | 990,877 | |
4.862%, 8/21/46 | 775,000 | 783,788 | |
13,367,297 | |||
Consumer, Cyclical - 3.1% | |||
American Airlines Pass-Through Trust: | |||
4.40%, 3/22/25 | 708,837 | 713,764 | |
5.25%, 7/15/25 | 563,223 | 585,048 | |
5.60%, 1/15/22 (f) | 589,286 | 604,548 | |
Azul Investments LLP, 5.875%, 10/26/24 (f) | 570,000 | 562,875 | |
Carrols Restaurant Group, Inc., 8.00%, 5/1/22 | 200,000 | 209,000 | |
CVS Health Corp.: | |||
2.687%, (3 mo. USD LIBOR + 0.63%), 3/9/20 (e) | 88,000 | 88,355 | |
2.777%, (3 mo. USD LIBOR + 0.72%), 3/9/21 (e) | 88,000 | 88,699 | |
3.125%, 3/9/20 | 115,000 | 115,277 | |
3.70%, 3/9/23 | 1,327,000 | 1,332,543 | |
4.30%, 3/25/28 | 2,192,000 | 2,209,891 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 839,662 | 907,526 | |
Delta Air Lines Pass-Through Trust, 6.20%, 1/2/20 | 175,055 | 177,351 | |
Ford Motor Credit Co. LLC: | |||
2.262%, 3/28/19 | 519,000 | 515,591 | |
2.717%, (3 mo. USD LIBOR + 0.93%), 11/4/19 (e) | 600,000 | 603,985 | |
2.835%, (3 mo. USD LIBOR + 0.81%), 4/5/21 (e) | 335,000 | 335,073 | |
2.861%, (3 mo. USD LIBOR + 0.79%), 6/12/20 (e) | 220,000 | 221,190 |
12 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
2.875%, 10/1/18 | 2,083,000 | 2,085,190 | |
2.979%, 8/3/22 | 2,350,000 | 2,281,222 | |
Home Depot, Inc. (The), 4.20%, 4/1/43 | 600,000 | 620,823 | |
Latam Airlines Pass-Through Trust, 4.20%, 8/15/29 | 464,087 | 458,286 | |
Lennar Corp., 4.50%, 11/15/19 | 720,000 | 728,100 | |
New Albertsons, Inc., 7.75%, 6/15/26 | 50,000 | 43,250 | |
Newell Brands, Inc., 3.85%, 4/1/23 | 500,000 | 499,416 | |
Nordstrom, Inc.: | |||
4.00%, 3/15/27 | 250,000 | 243,873 | |
5.00%, 1/15/44 | 545,000 | 513,047 | |
Norwegian Air Shuttle ASA Pass-Through Trust, 4.875%, 11/10/29 (f) | 547,722 | 540,328 | |
Starbucks Corp., 2.45%, 6/15/26 | 550,000 | 513,282 | |
Tapestry, Inc., 4.125%, 7/15/27 | 1,000,000 | 980,189 | |
Virgin Australia Pass-Through Trust: | |||
5.00%, 4/23/25 (f) | 196,321 | 201,641 | |
6.00%, 4/23/22 (f) | 320,893 | 326,107 | |
Walgreens Boots Alliance, Inc., 3.45%, 6/1/26 | 870,000 | 823,003 | |
Whirlpool Corp.: | |||
3.70%, 3/1/23 | 500,000 | 504,637 | |
3.70%, 5/1/25 | 500,000 | 501,609 | |
Wyndham Worldwide Corp.: | |||
4.15%, 4/1/24 | 315,000 | 314,471 | |
4.50%, 4/1/27 | 303,000 | 301,329 | |
21,750,519 | |||
Consumer, Non-cyclical - 1.1% | |||
Amgen, Inc., 4.663%, 6/15/51 | 895,000 | 928,450 | |
Becton Dickinson and Co.: | |||
2.404%, 6/5/20 | 474,000 | 465,166 | |
2.894%, 6/6/22 | 474,000 | 460,213 | |
2.944%, (3 mo. USD LIBOR + 0.875%), 12/29/20 (e) | 336,000 | 336,401 | |
3.363%, 6/6/24 | 740,000 | 712,928 | |
3.70%, 6/6/27 | 600,000 | 580,009 | |
Ecolab, Inc.: | |||
2.375%, 8/10/22 | 1,200,000 | 1,162,600 | |
3.25%, 12/1/27 (f) | 214,000 | 206,608 | |
3.95%, 12/1/47 (f) | 154,000 | 150,086 | |
Grupo Bimbo SAB de CV, 4.875%, 6/27/44 (f) | 500,000 | 500,558 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 874,000 | 846,355 | |
Kraft Heinz Foods Co., 5.20%, 7/15/45 | 575,000 | 585,564 | |
Life Technologies Corp., 6.00%, 3/1/20 | 500,000 | 525,670 | |
Massachusetts Institute of Technology, 3.959%, 7/1/38 | 300,000 | 319,217 | |
MEDNAX, Inc., 5.25%, 12/1/23 (f) | 155,000 | 156,163 | |
7,935,988 | |||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 13
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
Energy - 0.1% | |||
Oceaneering International, Inc.: | |||
4.65%, 11/15/24 | 395,000 | 381,536 | |
6.00%, 2/1/28 | 70,000 | 69,299 | |
450,835 | |||
Financial - 9.1% | |||
Ally Financial, Inc.: | |||
3.25%, 11/5/18 | 1,500,000 | 1,503,750 | |
3.50%, 1/27/19 | 575,000 | 577,156 | |
3.60%, 5/21/18 | 1,395,000 | 1,396,744 | |
4.125%, 3/30/20 | 500,000 | 503,125 | |
American Tower Corp., 3.45%, 9/15/21 | 600,000 | 601,518 | |
ANZ New Zealand International Ltd., 2.20%, 7/17/20 (f) | 542,000 | 531,455 | |
Banco Santander S.A.: | |||
3.01%, (3 mo. USD LIBOR + 1.09%), 2/23/23 (e) | 305,000 | 307,687 | |
3.125%, 2/23/23 | 829,000 | 804,020 | |
Bank Nederlandse Gemeenten NV, 2.125%, 12/14/20 (f) | 720,000 | 710,198 | |
Bank of America Corp.: | |||
1.95%, 5/12/18 | 1,375,000 | 1,374,378 | |
2.125%, (3 mo. USD LIBOR + 0.38%), 1/23/22 (e) | 1,163,000 | 1,157,422 | |
2.815%, (3 mo. USD LIBOR + 0.79%), 3/5/24 (e) | 1,450,000 | 1,443,943 | |
2.925%, (3 mo. USD LIBOR + 1.18%), 10/21/22 (e) | 801,000 | 813,743 | |
3.419% to 12/20/27, 12/20/28 (f)(g) | 1,789,000 | 1,714,551 | |
3.593% to 7/21/27, 7/21/28 (a)(g) | 1,400,000 | 1,360,446 | |
3.824% to 1/20/27, 1/20/28 (g) | 2,390,000 | 2,362,284 | |
Bank of Montreal, 3.803% to 12/15/27, 12/15/32 (g) | 886,000 | 840,477 | |
Capital One Bank, 2.25%, 2/13/19 | 400,000 | 397,919 | |
Capital One Financial Corp.: | |||
2.217%, (3 mo. USD LIBOR + 0.45%), 10/30/20 (e) | 235,000 | 234,170 | |
2.487%, (3 mo. USD LIBOR + 0.72%), 1/30/23 (e) | 1,980,000 | 1,966,978 | |
2.50%, 5/12/20 | 601,000 | 591,835 | |
3.30%, 10/30/24 | 419,000 | 405,149 | |
4.20%, 10/29/25 | 575,000 | 570,338 | |
Capital One NA: | |||
2.35%, 8/17/18 | 650,000 | 649,326 | |
2.65%, 8/8/22 | 610,000 | 587,272 | |
CBL & Associates LP: | |||
5.25%, 12/1/23 | 45,000 | 38,963 | |
5.95%, 12/15/26 (a) | 620,000 | 522,271 | |
CIT Group, Inc.: | |||
3.875%, 2/19/19 | 674,000 | 678,886 | |
4.125%, 3/9/21 | 488,000 | 491,660 | |
Citigroup, Inc.: | |||
2.65%, 10/26/20 | 885,000 | 874,837 | |
2.691%, (3 mo. USD LIBOR + 0.95%), 7/24/23 (e) | 300,000 | 301,359 |
14 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
2.75%, 4/25/22 | 730,000 | 711,570 | |
3.117%, (3 mo. USD LIBOR + 1.07%), 12/8/21 (e) | 300,000 | 304,367 | |
3.142% to 1/24/22, 1/24/23 (g) | 776,000 | 767,106 | |
3.887% to 1/10/27, 1/10/28 (g) | 3,320,000 | 3,303,545 | |
4.125%, 7/25/28 | 100,000 | 98,875 | |
Citizens Bank NA: | |||
2.25%, 3/2/20 | 500,000 | 491,606 | |
2.55%, 5/13/21 | 400,000 | 390,696 | |
Citizens Financial Group, Inc.: | |||
2.375%, 7/28/21 | 355,000 | 344,495 | |
5.158% to 6/29/18, 6/29/23 (g) | 1,190,000 | 1,198,068 | |
Commonwealth Bank of Australia, 2.50%, 9/18/22 (f) | 550,000 | 530,994 | |
Credit Acceptance Corp.: | |||
6.125%, 2/15/21 | 553,000 | 559,747 | |
7.375%, 3/15/23 | 480,000 | 502,200 | |
Crown Castle International Corp.: | |||
3.20%, 9/1/24 | 240,000 | 230,338 | |
3.65%, 9/1/27 | 422,000 | 402,606 | |
DDR Corp., 3.625%, 2/1/25 | 517,000 | 495,679 | |
Digital Realty Trust LP: | |||
3.95%, 7/1/22 | 750,000 | 764,402 | |
4.75%, 10/1/25 | 525,000 | 548,646 | |
Discover Bank, 3.35%, 2/6/23 | 568,000 | 559,413 | |
Discover Financial Services: | |||
3.85%, 11/21/22 | 750,000 | 751,300 | |
3.95%, 11/6/24 | 300,000 | 297,066 | |
EPR Properties, 4.50%, 6/1/27 | 845,000 | 824,801 | |
Goldman Sachs Group, Inc. (The): | |||
2.741%, (3 mo. USD LIBOR + 1.00%), 7/24/23 (e) | 545,000 | 545,327 | |
2.876% to 10/31/21, 10/31/22 (g) | 112,000 | 109,667 | |
2.905% to 7/24/22, 7/24/23 (g) | 975,000 | 948,872 | |
2.908% to 6/5/22, 6/5/23 (g) | 2,020,000 | 1,967,257 | |
3.022%, (3 mo. USD LIBOR + 0.73%), 12/27/20 (e) | 325,000 | 326,621 | |
3.691% to 6/5/27, 6/5/28 (g) | 70,000 | 67,896 | |
ING Bank NV, 2.00%, 11/26/18 (f) | 900,000 | 896,457 | |
International Finance Corp., 1.75%, 3/30/20 | 680,000 | 670,986 | |
Morgan Stanley: | |||
2.20%, 12/7/18 | 1,790,000 | 1,786,315 | |
2.295%, (3 mo. USD LIBOR + 0.55%), 2/10/21 (e) | 525,000 | 525,431 | |
2.633%, (3 mo. USD LIBOR + 0.80%), 2/14/20 (e) | 300,000 | 300,948 | |
2.675%, (3 mo. USD LIBOR + 0.93%), 7/22/22 (e) | 220,000 | 220,937 | |
2.80%, 6/16/20 | 2,200,000 | 2,186,077 | |
3.141%, (3 mo. USD LIBOR + 1.40%), 10/24/23 (e) | 550,000 | 562,833 | |
3.591% to 7/22/27, 7/22/28 (g) | 2,400,000 | 2,322,557 | |
3.772% to 1/24/28, 1/24/29 (g) | 1,000,000 | 985,021 | |
4.00%, 7/23/25 | 725,000 | 731,654 |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 15
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
4.875%, 11/1/22 | 690,000 | 723,537 | |
OneMain Financial Holdings, Inc., 7.25%, 12/15/21 (f) | 508,000 | 526,732 | |
PNC Bank NA, 2.70%, 11/1/22 | 1,000,000 | 968,442 | |
Prudential Financial, Inc., 8.875% to 6/15/18, 6/15/38 (g) | 650,000 | 657,312 | |
Regions Financial Corp., 2.75%, 8/14/22 | 318,000 | 309,206 | |
SBA Communications Corp., 4.00%, 10/1/22 (f) | 102,000 | 98,175 | |
Springleaf Finance Corp., 6.875%, 3/15/25 | 150,000 | 150,937 | |
Synchrony Bank, 3.00%, 6/15/22 | 340,000 | 328,931 | |
Synchrony Financial: | |||
3.00%, 8/15/19 | 1,133,000 | 1,129,869 | |
3.017%, (3 mo. USD LIBOR + 1.23%), 2/3/20 (e) | 190,000 | 192,522 | |
Synovus Financial Corp., 3.125%, 11/1/22 | 311,000 | 301,151 | |
Toronto-Dominion Bank (The), 1.85%, 9/11/20 | 2,000,000 | 1,946,829 | |
VFH Parent LLC / Orchestra Co-Issuer, Inc., 6.75%, 6/15/22 (f) | 65,000 | 68,819 | |
62,948,698 | |||
Government - 0.3% | |||
International Bank for Reconstruction & Development, 1.005%, 10/1/18 | 600,000 | 596,992 | |
International Finance Corp., 2.00%, 10/24/22 | 1,200,000 | 1,162,875 | |
1,759,867 | |||
Industrial - 0.8% | |||
Carlisle Cos., Inc., 3.50%, 12/1/24 | 327,000 | 320,850 | |
Jabil, Inc.: | |||
3.95%, 1/12/28 | 269,000 | 261,140 | |
4.70%, 9/15/22 | 450,000 | 467,100 | |
Johnson Controls International plc, 4.625%, 7/2/44 | 450,000 | 466,181 | |
JSL Europe SA, 7.75%, 7/26/24 (f) | 200,000 | 203,750 | |
Masco Corp., 4.45%, 4/1/25 | 200,000 | 205,225 | |
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.375%, 2/1/22 (f) | 765,000 | 761,296 | |
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC, 5.75%, 10/15/20 | 159,903 | 162,101 | |
SBA Tower Trust: | |||
2.877%, 7/10/46 (f) | 600,000 | 593,940 | |
3.722%, 4/9/48 (f) | 1,100,000 | 1,101,509 | |
SMBC Aviation Capital Finance DAC: | |||
2.65%, 7/15/21 (f) | 540,000 | 526,336 | |
3.00%, 7/15/22 (f) | 467,000 | 457,113 | |
5,526,541 | |||
Technology - 2.6% | |||
Apple, Inc.: | |||
3.00%, 6/20/27 | 835,000 | 805,345 | |
3.25%, 2/23/26 | 375,000 | 369,886 | |
Broadridge Financial Solutions, Inc., 3.95%, 9/1/20 | 425,000 | 433,066 | |
CA, Inc., 4.70%, 3/15/27 | 1,000,000 | 1,024,309 | |
16 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
CORPORATE BONDS - CONT’D | |||
Dell International LLC / EMC Corp.: | |||
3.48%, 6/1/19 (f) | 2,640,000 | 2,652,511 | |
4.42%, 6/15/21 (f) | 1,815,000 | 1,862,780 | |
DXC Technology Co.: | |||
2.875%, 3/27/20 | 658,000 | 654,572 | |
2.956%, (3 mo. USD LIBOR + 0.95%), 3/1/21 (e) | 1,800,000 | 1,802,236 | |
EMC Corp., 1.875%, 6/1/18 | 1,551,000 | 1,546,570 | |
Hewlett Packard Enterprise Co., 2.85%, 10/5/18 | 1,727,000 | 1,728,985 | |
Microsoft Corp.: | |||
2.40%, 8/8/26 | 575,000 | 535,662 | |
4.45%, 11/3/45 | 505,000 | 559,423 | |
NXP BV / NXP Funding LLC: | |||
3.875%, 9/1/22 (f) | 200,000 | 199,000 | |
4.125%, 6/1/21 (f) | 300,000 | 303,750 | |
4.625%, 6/15/22 (f) | 890,000 | 912,250 | |
4.625%, 6/1/23 (f) | 200,000 | 204,060 | |
Seagate HDD Cayman: | |||
3.75%, 11/15/18 | 800,000 | 805,190 | |
4.875%, 3/1/24 (f) | 480,000 | 480,170 | |
4.875%, 6/1/27 | 640,000 | 607,244 | |
Western Digital Corp., 4.75%, 2/15/26 | 445,000 | 444,855 | |
17,931,864 | |||
Utilities - 0.5% | |||
American Water Capital Corp., 2.95%, 9/1/27 | 750,000 | 712,476 | |
Avangrid, Inc., 3.15%, 12/1/24 | 1,956,000 | 1,900,857 | |
Consolidated Edison Co. of New York, Inc., 4.45%, 6/15/20 | 300,000 | 310,697 | |
NextEra Energy Operating Partners LP, 4.25%, 9/15/24 (f) | 750,000 | 729,375 | |
3,653,405 | |||
Total Corporate Bonds (Cost $137,409,207) | 135,840,747 | ||
ASSET-BACKED SECURITIES - 8.1% | |||
Aircraft - 0.1% | |||
AASET US Ltd., Series 2018-1A, Class A, 3.844%, 1/16/38 (f) | 221,580 | 220,083 | |
Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class C, 4.50%, 5/17/32 (f) | 242,262 | 227,302 | |
447,385 | |||
Automobile - 0.8% | |||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A, 2.97%, 2/20/20 (f) | 2,084,000 | 2,086,762 | |
Credit Acceptance Auto Loan Trust, Series 2017-2A, Class A, 2.55%, 2/17/26 (f) | 625,000 | 617,142 | |
Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class B, 2.41%, 11/15/25 (f) | 400,000 | 398,108 | |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 17
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
ASSET-BACKED SECURITIES - CONT’D | |||
Skopos Auto Receivables Trust, Series 2015-1A, Class B, 5.43%, 12/15/23 (f) | 458,516 | 459,485 | |
Tesla Auto Lease Trust, Series 2018-A, Class A, 2.32%, 12/20/19 (f) | 606,180 | 605,065 | |
Toyota Auto Receivables Owner Trust, Series 2016-B, Class A4, 1.52%, 8/16/21 | 1,100,000 | 1,083,588 | |
5,250,150 | |||
Clean Energy - 0.8% | |||
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25 (f) | 294,580 | 292,014 | |
SolarCity LMC: | |||
Series 2013-1, Class A, 4.80%, 11/20/38 (f) | 677,867 | 684,745 | |
Series 2014-1, Class A, 4.59%, 4/20/44 (f) | 557,035 | 559,290 | |
Series 2014-2, Class A, 4.02%, 7/20/44 (f) | 891,845 | 839,206 | |
Series 2014-2, Class B, 5.44%, 7/20/44 (f) | 1,774,573 | 1,656,924 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28 (f) | 299,388 | 303,028 | |
Sunrun Callisto Issuer LLC, Series 2015-1A, Class B, 5.38%, 7/20/45 (f) | 544,851 | 486,084 | |
TES LLC, Series 2017-1A, Class A, 4.33%, 10/20/47 (f) | 790,000 | 787,541 | |
5,608,832 | |||
Consumer Loan - 2.7% | |||
Avant Loans Funding Trust, Series 2017-B, Class A, 2.29%, 6/15/20 (f) | 490,336 | 489,481 | |
Citi Held For Asset Issuance: | |||
Series 2015-PM1, Class C, 5.01%, 12/15/21 (f) | 358,670 | 360,338 | |
Series 2015-PM2, Class B, 4.00%, 3/15/22 (f) | 13,873 | 13,880 | |
Series 2015-PM3, Class B, 4.31%, 5/16/22 (f) | 115,842 | 116,054 | |
Series 2015-PM3, Class C, 6.99%, 5/16/22 (f) | 255,000 | 260,412 | |
Series 2016-MF1, Class A, 4.48%, 8/15/22 (f) | 34,857 | 34,931 | |
Conn Funding II LP: | |||
Series 2017-A, Class A, 2.73%, 7/15/19 (f) | 43,201 | 43,199 | |
Series 2017-A, Class B, 5.11%, 2/15/20 (f) | 997,000 | 1,005,075 | |
Series 2017-B, Class A, 2.73%, 7/15/20 (f) | 732,921 | 731,771 | |
Series 2017-B, Class B, 4.52%, 11/15/20 (f) | 485,000 | 488,729 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2017-NP1, Class A, 2.39%, 4/17/23 (f) | 30,455 | 30,449 | |
Series 2017-NP1, Class B, 3.17%, 4/17/23 (f) | 187,000 | 186,853 | |
Series 2017-P1, Class A, 2.42%, 9/15/23 (f) | 676,141 | 674,535 | |
Series 2017-P2, Class A, 2.61%, 1/15/24 (f) | 94,654 | 94,381 | |
Marlette Funding Trust, Series 2017-1A, Class B, 4.114%, 3/15/24 (f) | 200,000 | 201,619 | |
Murray Hill Marketplace Trust, Series 2016-LC1, Class B, 6.15%, 11/25/22 (f) | 370,075 | 372,038 | |
OneMain Financial Issuance Trust: | |||
Series 2014-2A, Class B, 3.02%, 9/18/24 (f) | 75,081 | 75,200 | |
Series 2015-1A, Class A, 3.19%, 3/18/26 (f) | 180,576 | 181,192 | |
Series 2015-2A, Class A, 2.57%, 7/18/25 (f) | 655,867 | 655,799 | |
Series 2016-2A, Class A, 4.10%, 3/20/28 (f) | 547,011 | 551,603 | |
Series 2017-1A, Class A1, 2.37%, 9/14/32 (f) | 965,000 | 949,151 | |
Oportun Funding VI LLC, Series 2017-A, Class A, 3.23%, 6/8/23 (f) | 355,000 | 351,039 | |
Prosper Marketplace Issuance Trust: | |||
Series 2017-1A, Class A, 2.56%, 6/15/23 (f) | 1,724,827 | 1,725,878 |
18 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
ASSET-BACKED SECURITIES - CONT’D | |||
Series 2017-1A, Class B, 3.65%, 6/15/23 (f) | 300,000 | 301,272 | |
Series 2017-2A, Class A, 2.41%, 9/15/23 (f) | 556,466 | 555,272 | |
Series 2017-2A, Class B, 3.48%, 9/15/23 (f) | 300,000 | 299,493 | |
Series 2017-3A, Class A, 2.36%, 11/15/23 (f) | 2,461,767 | 2,452,796 | |
Series 2017-3A, Class B, 3.36%, 11/15/23 (f) | 1,670,000 | 1,659,585 | |
Series 2018-1A, Class A, 3.11%, 6/17/24 (f) | 1,210,000 | 1,209,907 | |
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (f) | 1,870,072 | 1,869,942 | |
Springleaf Funding Trust, Series 2015-AA, Class B, 3.62%, 11/15/24 (f) | 600,000 | 599,294 | |
Verizon Owner Trust, Series 2016-1A, Class A, 1.42%, 1/20/21 (f) | 355,000 | 352,256 | |
18,893,424 | |||
Equipment - 0.1% | |||
Dell Equipment Finance Trust, Series 2017-1, Class A3, 2.14%, 4/22/22 (f) | 500,000 | 497,228 | |
Other - 1.8% | |||
American Homes 4 Rent, Series 2014-SFR2, Class A, 3.786%, 10/17/36 (f) | 1,224,411 | 1,254,127 | |
Colony Starwood Homes Trust: | |||
Series 2016-1A, Class C, 4.458%, (1 mo. USD LIBOR + 2.65%), 7/17/33 (e)(f) | 350,000 | 352,628 | |
Series 2016-1A, Class D, 4.908%, (1 mo. USD LIBOR + 3.10%), 7/17/33 (e)(f) | 320,000 | 326,364 | |
GMAT Trust, Series 2015-1A, Class A1, 4.25% to 9/25/18, 9/25/20 (f)(h) | 225,193 | 227,155 | |
InSite Issuer LLC, Series 2016-1A, Class C, 6.414%, 11/15/46 (f) | 50,000 | 50,516 | |
Invitation Homes Trust: | |||
Series 2015-SFR2, Class C, 3.808%, (1 mo. USD LIBOR + 2.00%), 6/17/32 (e)(f) | 200,000 | 200,178 | |
Series 2015-SFR2, Class E, 4.958%, (1 mo. USD LIBOR + 3.15%), 6/17/32 (e)(f) | 1,800,000 | 1,806,088 | |
Series 2015-SFR3, Class D, 4.50%, (1 mo. USD LIBOR + 2.75%), 8/17/32 (e)(f) | 400,000 | 401,883 | |
Series 2017-SFR2, Class B, 2.958%, (1 mo. USD LIBOR + 1.15%), 12/17/36 (e)(f) | 187,000 | 188,262 | |
Series 2017-SFR2, Class C, 3.258%, (1 mo. USD LIBOR + 1.45%), 12/17/36 (e)(f) | 237,000 | 238,874 | |
Series 2018-SFR1, Class C, 3.058%, (1 mo. USD LIBOR + 1.25%), 3/17/37 (e)(f) | 220,000 | 221,812 | |
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A, 2.38%, 10/15/20 (f) | 1,625,000 | 1,623,486 | |
Progress Residential Trust: | |||
Series 2016-SFR1, Class B, 3.808%, (1 mo. USD LIBOR + 2.00%), 9/17/33 (e)(f) | 524,000 | 527,911 | |
Series 2016-SFR1, Class C, 4.308%, (1 mo. USD LIBOR + 2.50%), 9/17/33 (e)(f) | 325,000 | 329,013 | |
Series 2016-SFR1, Class E, 5.658%, (1 mo. USD LIBOR + 3.85%), 9/17/33 (e)(f) | 650,000 | 660,839 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49 (f) | 1,000,000 | 1,016,436 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 1,717,535 | 1,687,442 | |
Vantage Data Centers Issuer LLC, Series 2018-1A, Class A2, 4.072%, 2/16/43 (f) | 701,415 | 708,667 | |
VB-S1 Issuer LLC, Series 2016-1A, Class C, 3.065%, 6/15/46 (f) | 600,000 | 599,188 | |
12,420,869 | |||
Railcar - 0.2% | |||
Element Rail Leasing I LLC: | |||
Series 2014-1A, Class A1, 2.299%, 4/19/44 (f) | 128,292 | 127,502 | |
Series 2014-1A, Class B1, 4.406%, 4/19/44 (f) | 700,000 | 698,455 | |
FRS I LLC, Series 2013-1A, Class A2, 3.08%, 4/15/43 (f) | 762,764 | 755,879 | |
1,581,836 | |||
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PRINCIPAL AMOUNT ($) | VALUE ($) | ||
ASSET-BACKED SECURITIES - CONT’D | |||
Student Loan - 0.1% | |||
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40 (f) | 463,678 | 456,909 | |
Social Professional Loan Program LLC: | |||
Series 2014-B, Class A1, 3.122%, (1 mo. USD LIBOR + 1.25%), 8/25/32 (e)(f) | 112,538 | 113,881 | |
Series 2014-B, Class A2, 2.55%, 8/27/29 (f) | 281,396 | 278,956 | |
849,746 | |||
Timeshare - 0.1% | |||
Sierra Timeshare Receivables Funding LLC: | |||
Series 2013-3A, Class B, 2.70%, 10/20/30 (f) | 65,119 | 64,959 | |
Series 2014-2A, Class B, 2.40%, 6/20/31 (f) | 726,867 | 723,518 | |
Series 2014-3A, Class B, 2.80%, 10/20/31 (f) | 89,265 | 88,846 | |
877,323 | |||
Whole Business - 1.4% | |||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2, 4.474%, 3/20/43 (f) | 2,181,326 | 2,190,466 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47 (f) | 694,750 | 714,384 | |
DB Master Finance LLC: | |||
Series 2015-1A, Class A2II, 3.98%, 2/20/45 (f) | 593,640 | 599,536 | |
Series 2017-1A, Class A2I, 3.629%, 11/20/47 (f) | 97,755 | 97,438 | |
Series 2017-1A, Class A2II, 4.03%, 11/20/47 (f) | 169,575 | 171,095 | |
Driven Brands Funding LLC: | |||
Series 2015-1A, Class A2, 5.216%, 7/20/45 (f) | 723,350 | 744,994 | |
Series 2016-1A, Class A2, 6.125%, 7/20/46 (f) | 295,500 | 311,838 | |
FOCUS Brands Funding LLC: | |||
Series 2017-1A, Class A2I, 3.857%, 4/30/47 (f) | 615,350 | 619,729 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47 (f) | 357,300 | 369,160 | |
Taco Bell Funding LLC, Series 2016-1A, Class A2I, 3.832%, 5/25/46 (f) | 1,747,875 | 1,761,004 | |
Wendys Funding LLC, Series 2015-1A, Class A2II, 4.08%, 6/15/45 (f) | 2,291,250 | 2,329,133 | |
9,908,777 | |||
Total Asset-Backed Securities (Cost $56,624,243) | 56,335,570 | ||
U.S. TREASURY OBLIGATIONS - 4.9% | |||
U.S. Treasury Bonds: | |||
2.75%, 8/15/47 | 17,025,000 | 16,239,041 | |
2.75%, 11/15/47 | 545,000 | 519,965 | |
U.S. Treasury Inflation Index Bond, 1.75%, 1/15/28 (i) | 11,859,074 | 13,031,196 | |
U.S. Treasury Note, 1.875%, 12/15/20 | 4,000,000 | 3,948,565 | |
Total U.S. Treasury Obligations (Cost $34,698,296) | 33,738,767 | ||
20 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS - 1.6% | |||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 6.172%, (1 mo. USD LIBOR + 4.30%), 7/25/25 (e)(f) | 576,368 | 585,828 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 5.122%, (1 mo. USD LIBOR + 3.25%), 5/25/25 (e) | 720,000 | 815,686 | |
Series 2015-HQA2, Class M2, 4.672%, (1 mo. USD LIBOR + 2.80%), 5/25/28 (e) | 458,644 | 472,571 | |
Series 2016-DNA2, Class M2, 4.072%, (1 mo. USD LIBOR + 2.20%), 10/25/28 (e) | 505,375 | 512,129 | |
Series 2017-DNA3, Class M2, 4.372%, (1 mo. USD LIBOR + 2.50%), 3/25/30 (e) | 360,000 | 368,873 | |
Series 2017-HQA2, Class M2, 4.522%, (1 mo. USD LIBOR + 2.65%), 12/25/29 (e) | 435,000 | 448,217 | |
Series 2018-DNA1, Class M1, 2.322%, (1 mo. USD LIBOR + 0.45%), 7/25/30 (e) | 602,737 | 600,401 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 7.122%, (1 mo. USD LIBOR + 5.25%), 10/25/23 (e) | 1,100,000 | 1,280,683 | |
Series 2014-C02, Class 1M2, 4.472%, (1 mo. USD LIBOR + 2.60%), 5/25/24 (e) | 600,000 | 638,049 | |
Series 2014-C03, Class 1M2, 4.872%, (1 mo. USD LIBOR + 3.00%), 7/25/24 (e) | 839,724 | 898,101 | |
Series 2014-C03, Class 2M2, 4.772%, (1 mo. USD LIBOR + 2.90%), 7/25/24 (e) | 888,261 | 949,285 | |
Series 2014-C04, Class 1M2, 6.772%, (1 mo. USD LIBOR + 4.90%), 11/25/24 (e) | 242,042 | 277,131 | |
Series 2016-C06, Class 1M2, 6.122%, (1 mo. USD LIBOR + 4.25%), 4/25/29 (e) | 400,000 | 452,289 | |
Series 2017-C05, Class 1B1, 5.472%, (1 mo. USD LIBOR + 3.60%), 1/25/30 (e) | 60,000 | 60,048 | |
Series 2017-C05, Class 1M1, 2.422%, (1 mo. USD LIBOR + 0.55%), 1/25/30 (e) | 892,288 | 892,359 | |
Series 2017-C05, Class 1M2, 4.072%, (1 mo. USD LIBOR + 2.20%), 1/25/30 (e) | 405,000 | 410,896 | |
Series 2017-C06, Class 1B1, 6.022%, (1 mo. USD LIBOR + 4.15%), 2/25/30 (e) | 80,000 | 84,069 | |
Series 2017-C06, Class 1M2, 4.522%, (1 mo. USD LIBOR + 2.65%), 2/25/30 (e) | 645,000 | 663,179 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 549,783 | 533,476 | |
Total Collateralized Mortgage-Backed Obligations (Cost $10,597,571) | 10,943,270 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.3% | |||
Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class E, 5.177%, (1 mo. USD LIBOR + 3.40%), 9/15/27 (e)(f) | 600,000 | 599,316 | |
CLNS Trust, Series 2017-IKPR, Class B, 2.74%, (1 mo. USD LIBOR + 1.00%), 6/11/32 (e)(f) | 1,230,000 | 1,232,379 | |
Colony Multifamily Mortgage Trust, Series 2014-1, Class A, 2.543%, 4/20/50 (f) | 38,096 | 37,844 | |
GS Mortgage Securities Trust, Series 2014-NEW, Class D, 3.79%, 1/10/31 (f) | 400,000 | 400,063 | |
JP Morgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27 (f) | 550,000 | 545,719 | |
Series 2014-DSTY, Class C, 3.805%, 6/10/27 (f) | 400,000 | 393,777 | |
Morgan Stanley Capital I Trust, Series 2017-CLS, Class A, 2.477%, (1 mo. USD LIBOR + 0.70%), 11/15/34 (e)(f) | 1,000,000 | 1,002,253 | |
Motel 6 Trust: | |||
Series 2017-MTL6, Class C, 3.177%, (1 mo. USD LIBOR + 1.40%), 8/15/34 (e)(f) | 755,553 | 759,295 | |
Series 2017-MTL6, Class D, 3.927%, (1 mo. USD LIBOR + 2.15%), 8/15/34 (e)(f) | 409,875 | 412,773 | |
Series 2017-MTL6, Class E, 5.027%, (1 mo. USD LIBOR + 3.25%), 8/15/34 (e)(f) | 121,481 | 122,654 | |
RETL Trust: | |||
Series 2018-RVP, Class A, 2.877%, (1 mo. USD LIBOR + 1.10%), 3/15/33 (e)(f) | 1,630,000 | 1,634,068 | |
Series 2018-RVP, Class C, 3.827%, (1 mo. USD LIBOR + 2.05%), 3/15/33 (e)(f) | 170,000 | 171,839 | |
TRU Trust, Series 2016-TOYS, Class A, 4.027%, (1 mo. USD LIBOR + 2.25%), 11/15/30 (e)(f) | 999,927 | 974,846 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.755%, 8/10/31 (f) | 850,000 | 796,989 | |
Total Commercial Mortgage-Backed Securities (Cost $9,135,937) | 9,083,815 | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 21
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
TAXABLE MUNICIPAL OBLIGATIONS - 0.9% | |||
General Obligations - 0.4% | |||
Los Angeles California Unified School District, 5.75%, 7/1/34 (j) | 800,000 | 992,736 | |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 650,000 | 613,795 | |
New York City, 5.206%, 10/1/31 (j) | 1,275,000 | 1,475,086 | |
3,081,617 | |||
Special Tax Revenue - 0.3% | |||
Connecticut, Special Tax Revenue, 5.459%, 11/1/30 (j) | 400,000 | 451,032 | |
New York City Transitional Finance Authority, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36 (j) | 1,000,000 | 1,218,130 | |
New York State Dormitory Authority, Personal Income Tax Revenue Bonds, 5.289%, 3/15/33 (j) | 500,000 | 568,450 | |
2,237,612 | |||
Water and Sewer - 0.2% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | 270,000 | 305,464 | |
New York Environmental Facilities Corp., (New York City Municipal Water Finance Authority), 1.271%, 6/15/18 | 865,000 | 864,083 | |
1,169,547 | |||
Total Taxable Municipal Obligations (Cost $6,452,662) | 6,488,776 | ||
HIGH SOCIAL IMPACT INVESTMENTS - 0.7% | |||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 (c)(k) | 4,266,666 | 4,051,498 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 2.22%, 11/3/20 (c)(d)(l) | 393,000 | 371,385 | |
ImpactAssets Inc., Microfinance Plus Notes, 2.88%, 11/3/20 (c)(d)(l) | 506,000 | 482,218 | |
Total High Social Impact Investments (Cost $5,165,666) | 4,905,101 | ||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.5% | |||
Federal National Mortgage Association: | |||
2.65%, 6/1/26 | 631,251 | 613,117 | |
2.68%, 7/1/26 | 650,000 | 628,930 | |
2.785%, 2/25/27 (m) | 654,610 | 642,784 | |
2.939%, 9/25/27 (m) | 1,350,000 | 1,320,190 | |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $3,321,597) | 3,205,021 | ||
SOVEREIGN GOVERNMENT BONDS - 0.1% | |||
Nacional Financiera SNC, 3.375%, 11/5/20 (f) | 935,000 | 940,844 | |
Total Sovereign Government Bonds (Cost $934,102) | 940,844 | ||
22 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.1% | |||
Overseas Private Investment Corp., 3.22%, 9/15/29 | 882,815 | 866,741 | |
Total U.S. Government Agencies and Instrumentalities (Cost $882,815) | 866,741 | ||
SHARES | VALUE ($) | ||
PREFERRED STOCKS - 0.1% | |||
Venture Capital - 0.1% | |||
Consensus Orthopedics, Inc.: | |||
Series A-1 (b)(c)(d) | 420,683 | 6,333 | |
Series B (b)(c)(d) | 348,940 | 5,679 | |
Series C (b)(c)(d) | 601,710 | 16,435 | |
Kickboard: | |||
Series A (b)(c)(d) | 1,155,503 | 255,713 | |
Series A2 (b)(c)(d) | 404,973 | 90,188 | |
LearnZillion, Inc.: | |||
Series A (b)(c)(d) | 169,492 | 176,797 | |
Series A-1 (b)(c)(d) | 108,678 | 122,795 | |
Lumni, Inc. Series B (b)(c)(d) | 17,265 | 123,006 | |
MACH Energy: | |||
Series A (b)(c)(d) | 27,977 | 9,669 | |
Series B (b)(c)(d) | 26,575 | 11,661 | |
Wind Harvest Co., Inc. (b)(c)(d) | 8,696 | — | |
818,276 | |||
Total Preferred Stocks (Cost $1,132,578) | 818,276 | ||
VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.1% | |||
Coastal Venture Partners (b)(c)(d) | 19,670 | ||
Commons Capital LP (b)(c)(d) | 45,340 | ||
First Analysis Private Equity Fund IV LP (b)(c)(d) | 540,597 | ||
GEEMF Partners LP (b)(c)(d)(k) | 22,385 | ||
Global Environment Emerging Markets Fund LP (b)(c)(d) | 52,345 | ||
New Markets Growth Fund LLC (b)(c)(d) | — | ||
Solstice Capital LP (b)(c)(d) | 61,637 | ||
Total Venture Capital Limited Partnership Interest (Cost $374,871) | 741,974 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
VENTURE CAPITAL DEBT OBLIGATIONS - 0.0% (n) | |||
Kickboard Bridge Note, 8.00%, 5/7/18 (c)(d) | 41,000 | 36,737 | |
Total Venture Capital Debt Obligations (Cost $41,000) | 36,737 | ||
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PRINCIPAL AMOUNT ($) | VALUE ($) | ||
FLOATING RATE LOANS (o) - 0.0% (n) | |||
Financial - 0.0% (n) | |||
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 (b)(c)(d)(p) | 385,345 | 6,078 | |
Total Floating Rate Loans (Cost $385,345) | 6,078 | ||
TIME DEPOSIT - 0.8% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 4/2/18 | 5,297,970 | 5,297,970 | |
Total Time Deposit (Cost $5,297,970) | 5,297,970 | ||
SHARES | VALUE ($) | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.1% | |||
State Street Navigator Securities Lending Government Money Market Portfolio | 1,035,588 | 1,035,588 | |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $1,035,588) | 1,035,588 | ||
Total Purchased Options (Cost $75,171) - 0.0% (n) | 2,141 | ||
TOTAL INVESTMENTS (Cost $660,240,445) - 100.1% | 694,974,443 | ||
Other assets and liabilities, net - (0.1%) | (637,157) | ||
NET ASSETS - 100.0% | 694,337,286 |
24 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
NOTES TO SCHEDULE OF INVESTMENTS | |
(a) All or a portion of this security was on loan at March 31, 2018. The aggregate market value of securities on loan at March 31, 2018 was $14,256,558. | |
(b) Non-income producing security. | |
(c) Restricted security. Total market value of restricted securities amounts to $7,882,933, which represents 1.1% of the net assets of the Fund as of March 31, 2018. | |
(d) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | |
(e) Variable rate security. The stated interest rate represents the rate in effect at March 31, 2018. | |
(f) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $85,328,935, which represents 12.3% of the net assets of the Fund as of March 31, 2018. | |
(g) Security converts to floating rate after the indicated fixed-rate coupon period. | |
(h) Multi-step coupon security. The interest rate disclosed is that which is in effect on March 31, 2018. | |
(i) 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. | |
(j) 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. | |
(k) Affiliated company (see Note 9). | |
(l) 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 March 31, 2018. | |
(m) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2018. | |
(n) Amount is less than 0.05%. | |
(o) Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. | |
(p) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. | |
Abbreviations: | |
ADR: | American Depositary Receipt |
LIBOR: | London Interbank Offered Rate |
USD: | United States Dollar |
PURCHASED PUT OPTIONS - 0.0% (n) | |||||||
EXCHANGE-TRADED OPTIONS - 0.0% (n) | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
U.S. 10-Year Treasury Note Futures 6/2018 | 137 | $16,596,266 | $119 | 4/20/18 | $ | 2,141 |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
U.S. 2-Year Treasury Note | 63 | Jun-18 | $13,394,391 | $3,988 | ||||
U.S. 5-Year Treasury Note | 40 | Jun-18 | 4,578,438 | 21,493 | ||||
U.S. Ultra 10-Year Treasury Note | 4 | Jun-18 | 519,438 | 7,274 | ||||
U.S. Ultra-Long Treasury Bond | 24 | Jun-18 | 3,851,250 | 69,861 | ||||
Total Long | $102,616 | |||||||
Short: | ||||||||
U.S. Ultra 10-Year Treasury Note | (45) | Jun-18 | ($5,843,672 | ) | ($81,978 | ) | ||
U.S. Ultra-Long Treasury Bond | (2) | Jun-18 | (320,938) | (13,332) | ||||
Total Short | ($95,310 | ) |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 25
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) | |
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 | 5/26/05-6/13/07 | 385,345 | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 | 12/15/16 | 4,266,666 | |
CFBanc Corp. | 3/14/03 | 270,000 | |
Coastal Venture Partners | 6/7/96-6/22/00 | 17,031 | |
Commons Capital LP | 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 LP | 2/25/02-7/6/11 | — | |
GEEMF Partners LP | 2/28/97 | — | |
Global Environment Emerging Markets Fund LP | 1/14/94-12/1/95 | — | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 2.22%, 11/3/20 | 11/13/15 | 393,000 | |
ImpactAssets Inc., Microfinance Plus Notes, 2.88%, 11/3/20 | 11/13/15 | 506,000 | |
Kickboard, Common Stock | 5/23/13 | — | |
Kickboard, Series A, Preferred | 2/12/13 | 285,328 | |
Kickboard, Series A2, Preferred | 6/19/14 | 100,000 | |
Kickboard Bridge Note, 8.00%, 5/7/18 | 9/16/15 | 41,000 | |
Learn Capital Venture Partners III LP | 8/30/16-3/20/18 | 787,609 | |
LearnZillion, Inc., Series A, Preferred | 3/27/12 | 100,000 | |
LearnZillion, Inc., Series A-1, Preferred | 4/23/13 | 134,761 | |
Lumni, Inc., Series B, Preferred | 8/8/13 | 116,367 | |
MACH Energy, Common Stock | 10/31/08 | 889 | |
MACH Energy, Series A, Preferred | 5/31/02 | 11,426 | |
MACH Energy, Series B, Preferred | 12/20/05 | 20,447 | |
Neighborhood Bancorp, Class A | 6/25/97 | 100,000 | |
New Markets Growth Fund LLC | 1/8/03-7/18/07 | 225,646 | |
Solstice Capital LP | 6/26/01-6/17/08 | — | |
Wind Harvest Co., Inc., Preferred | 5/16/94 | 100,000 | |
See notes to financial statements. |
26 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BOND FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2018 (Unaudited)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 48.4% | ||
Basic Materials - 0.3% | ||
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 3,000,000 | 3,094,395 |
Communications - 4.7% | ||
AT&T, Inc.: | ||
2.723%, (3 mo. USD LIBOR + 0.89%), 2/14/23 (a)(b) | 4,807,000 | 4,876,994 |
3.40%, 8/14/24 | 1,278,000 | 1,285,635 |
3.80%, 3/15/22 | 2,800,000 | 2,841,228 |
3.80%, 3/1/24 (a) | 2,140,000 | 2,145,356 |
4.10%, 2/15/28 (c) | 5,300,000 | 5,269,393 |
4.125%, 2/17/26 | 7,490,000 | 7,516,060 |
4.75%, 5/15/46 | 2,325,000 | 2,262,937 |
CBS Corp., 2.90%, 1/15/27 | 2,075,000 | 1,882,894 |
Comcast Corp., 3.20%, 7/15/36 | 3,824,000 | 3,380,760 |
Crown Castle Towers LLC, 3.663%, 5/15/45 (c) | 2,100,000 | 2,090,004 |
NBCUniversal Media LLC, 4.45%, 1/15/43 | 1,500,000 | 1,518,802 |
Time Warner, Inc., 5.35%, 12/15/43 | 1,000,000 | 1,068,834 |
Verizon Communications, Inc.: | ||
1.75%, 8/15/21 | 2,030,000 | 1,938,611 |
2.45%, 11/1/22 | 2,060,000 | 1,979,633 |
3.50%, 11/1/24 | 3,705,000 | 3,671,200 |
4.862%, 8/21/46 | 2,950,000 | 2,983,449 |
46,711,790 | ||
Consumer, Cyclical - 7.1% | ||
American Airlines Pass-Through Trust: | ||
4.40%, 3/22/25 | 2,622,697 | 2,640,925 |
5.25%, 7/15/25 | 2,017,516 | 2,095,695 |
5.60%, 1/15/22 (c) | 401,786 | 412,192 |
Azul Investments LLP, 5.875%, 10/26/24 (c) | 1,250,000 | 1,234,375 |
CVS Health Corp.: | ||
3.70%, 3/9/23 | 5,846,000 | 5,870,420 |
4.30%, 3/25/28 | 9,005,000 | 9,078,499 |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 1,937,681 | 2,094,290 |
Ford Motor Credit Co. LLC: | ||
2.262%, 3/28/19 | 1,308,000 | 1,299,409 |
2.835%, (3 mo. USD LIBOR + 0.81%), 4/5/21 (b) | 1,460,000 | 1,460,320 |
2.875%, 10/1/18 | 4,985,000 | 4,990,242 |
2.979%, 8/3/22 | 10,900,000 | 10,580,987 |
Home Depot, Inc. (The), 4.20%, 4/1/43 | 2,000,000 | 2,069,409 |
Latam Airlines Pass-Through Trust, 4.20%, 8/15/29 | 1,745,851 | 1,724,028 |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 27
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Lennar Corp., 4.50%, 11/15/19 | 2,425,000 | 2,452,281 |
Newell Brands, Inc., 3.85%, 4/1/23 | 2,050,000 | 2,047,605 |
Nordstrom, Inc.: | ||
4.00%, 3/15/27 (a) | 950,000 | 926,716 |
5.00%, 1/15/44 | 1,350,000 | 1,270,850 |
Norwegian Air Shuttle ASA Pass-Through Trust, 4.875%, 11/10/29 (c) | 2,071,819 | 2,043,850 |
Starbucks Corp., 2.45%, 6/15/26 | 2,150,000 | 2,006,466 |
Tapestry, Inc., 4.125%, 7/15/27 | 3,600,000 | 3,528,679 |
Virgin Australia Pass-Through Trust: | ||
5.00%, 4/23/25 (c) | 703,483 | 722,547 |
6.00%, 4/23/22 (c) | 1,444,743 | 1,468,220 |
Walgreens Boots Alliance, Inc., 3.45%, 6/1/26 | 3,210,000 | 3,036,598 |
Whirlpool Corp.: | ||
3.70%, 3/1/23 | 2,100,000 | 2,119,473 |
3.70%, 5/1/25 | 1,700,000 | 1,705,471 |
Wyndham Worldwide Corp.: | ||
4.15%, 4/1/24 | 950,000 | 948,404 |
4.50%, 4/1/27 (a) | 387,000 | 384,866 |
70,212,817 | ||
Consumer, Non-cyclical - 3.4% | ||
Amgen, Inc.: | ||
4.40%, 5/1/45 | 2,500,000 | 2,501,939 |
4.663%, 6/15/51 | 1,006,000 | 1,043,599 |
Becton Dickinson and Co.: | ||
2.404%, 6/5/20 | 1,667,000 | 1,635,931 |
2.894%, 6/6/22 | 1,667,000 | 1,618,514 |
2.944%, (3 mo. USD LIBOR + 0.875%), 12/29/20 (b) | 1,400,000 | 1,401,671 |
3.363%, 6/6/24 | 2,600,000 | 2,504,882 |
3.70%, 6/6/27 | 2,200,000 | 2,126,699 |
Ecolab, Inc.: | ||
2.375%, 8/10/22 | 4,600,000 | 4,456,635 |
3.25%, 12/1/27 (a)(c) | 857,000 | 827,396 |
3.95%, 12/1/47 (c) | 631,000 | 614,964 |
ERAC USA Finance LLC, 2.70%, 11/1/23 (c) | 1,000,000 | 961,226 |
Grupo Bimbo SAB de CV: | ||
4.50%, 1/25/22 (c) | 3,000,000 | 3,103,755 |
4.875%, 6/27/44 (c) | 1,200,000 | 1,201,339 |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 3,091,000 | 2,993,230 |
Kraft Heinz Foods Co., 5.20%, 7/15/45 | 2,125,000 | 2,164,041 |
Life Technologies Corp., 6.00%, 3/1/20 | 1,900,000 | 1,997,548 |
Massachusetts Institute of Technology, 3.959%, 7/1/38 | 875,000 | 931,050 |
MEDNAX, Inc., 5.25%, 12/1/23 (c) | 600,000 | 604,500 |
President and Fellows of Harvard College, 3.619%, 10/1/37 | 1,000,000 | 1,009,558 |
33,698,477 | ||
28 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Financial - 21.9% | ||
Ally Financial, Inc.: | ||
3.25%, 11/5/18 (a) | 4,550,000 | 4,561,375 |
3.50%, 1/27/19 (a) | 4,882,000 | 4,900,307 |
3.60%, 5/21/18 | 2,520,000 | 2,523,150 |
American Tower Corp., 3.45%, 9/15/21 | 2,650,000 | 2,656,705 |
ANZ New Zealand International Ltd., 2.20%, 7/17/20 (c) | 2,032,000 | 1,992,465 |
Banco Santander S.A., 3.125%, 2/23/23 | 3,488,000 | 3,382,897 |
Bank Nederlandse Gemeenten NV, 2.125%, 12/14/20 (c) | 2,930,000 | 2,890,113 |
Bank of America Corp.: | ||
1.95%, 5/12/18 | 5,050,000 | 5,047,714 |
2.125%, (3 mo. USD LIBOR + 0.38%), 1/23/22 (b) | 7,400,000 | 7,364,508 |
2.815%, (3 mo. USD LIBOR + 0.79%), 3/5/24 (b) | 4,900,000 | 4,879,533 |
2.925%, (3 mo. USD LIBOR + 1.18%), 10/21/22 (b) | 2,155,000 | 2,189,284 |
3.419% to 12/20/27, 12/20/28 (c)(d) | 5,369,000 | 5,145,569 |
3.593% to 7/21/27, 7/21/28 (a)(d) | 4,950,000 | 4,810,147 |
3.824% to 1/20/27, 1/20/28 (d) | 10,000,000 | 9,884,033 |
Bank of Montreal, 3.803% to 12/15/27, 12/15/32 (a)(d) | 3,472,000 | 3,293,609 |
Capital One Bank, 2.25%, 2/13/19 | 1,000,000 | 994,798 |
Capital One Financial Corp.: | ||
2.217%, (3 mo. USD LIBOR + 0.45%), 10/30/20 (b) | 1,005,000 | 1,001,450 |
2.487%, (3 mo. USD LIBOR + 0.72%), 1/30/23 (a)(b) | 6,600,000 | 6,556,593 |
2.50%, 5/12/20 | 2,097,000 | 2,065,022 |
3.30%, 10/30/24 | 3,279,000 | 3,170,605 |
4.20%, 10/29/25 | 2,100,000 | 2,082,975 |
Capital One NA: | ||
2.35%, 8/17/18 | 2,360,000 | 2,357,554 |
2.65%, 8/8/22 | 2,305,000 | 2,219,117 |
CBL & Associates LP, 5.95%, 12/15/26 (a) | 2,000,000 | 1,684,745 |
CIT Group, Inc.: | ||
3.875%, 2/19/19 | 1,940,000 | 1,954,065 |
4.125%, 3/9/21 | 1,758,000 | 1,771,185 |
Citigroup, Inc.: | ||
2.65%, 10/26/20 | 3,435,000 | 3,395,553 |
2.75%, 4/25/22 | 2,600,000 | 2,534,358 |
3.142% to 1/24/22, 1/24/23 (d) | 3,330,000 | 3,291,832 |
3.887% to 1/10/27, 1/10/28 (d) | 12,815,000 | 12,751,486 |
Citizens Bank NA: | ||
2.25%, 3/2/20 | 1,950,000 | 1,917,264 |
2.55%, 5/13/21 | 1,400,000 | 1,367,435 |
Citizens Financial Group, Inc.: | ||
2.375%, 7/28/21 | 1,475,000 | 1,431,351 |
4.15%, 9/28/22 (c) | 702,000 | 710,571 |
5.158% to 6/29/18, 6/29/23 (d) | 4,675,000 | 4,706,697 |
Commonwealth Bank of Australia, 2.50%, 9/18/22 (a)(c) | 2,120,000 | 2,046,741 |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 29
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Credit Acceptance Corp.: | ||
6.125%, 2/15/21 | 1,580,000 | 1,599,276 |
7.375%, 3/15/23 | 2,000,000 | 2,092,500 |
Crown Castle International Corp.: | ||
3.20%, 9/1/24 | 816,000 | 783,150 |
3.65%, 9/1/27 | 1,438,000 | 1,371,914 |
DDR Corp., 3.625%, 2/1/25 | 2,667,000 | 2,557,011 |
Digital Realty Trust LP: | ||
3.95%, 7/1/22 | 3,100,000 | 3,159,528 |
4.75%, 10/1/25 | 2,035,000 | 2,126,658 |
Discover Bank: | ||
3.35%, 2/6/23 | 2,494,000 | 2,456,296 |
8.70%, 11/18/19 | 948,000 | 1,026,750 |
Discover Financial Services: | ||
3.85%, 11/21/22 | 2,435,000 | 2,439,221 |
3.95%, 11/6/24 | 1,500,000 | 1,485,331 |
EPR Properties, 4.50%, 6/1/27 | 3,000,000 | 2,928,288 |
Goldman Sachs Group, Inc. (The): | ||
2.905% to 7/24/22, 7/24/23 (d) | 3,656,000 | 3,558,025 |
2.908% to 6/5/22, 6/5/23 (d) | 7,700,000 | 7,498,948 |
ING Bank NV, 2.00%, 11/26/18 (c) | 3,150,000 | 3,137,600 |
International Finance Corp., 1.75%, 3/30/20 | 2,500,000 | 2,466,859 |
Morgan Stanley: | ||
2.20%, 12/7/18 | 7,210,000 | 7,195,159 |
2.80%, 6/16/20 | 3,500,000 | 3,477,850 |
3.141%, (3 mo. USD LIBOR + 1.40%), 10/24/23 (b) | 2,190,000 | 2,241,098 |
3.591% to 7/22/27, 7/22/28 (d) | 9,000,000 | 8,709,590 |
3.772% to 1/24/28, 1/24/29 (d) | 4,313,000 | 4,248,396 |
4.00%, 7/23/25 | 1,855,000 | 1,872,026 |
4.875%, 11/1/22 | 2,075,000 | 2,175,853 |
PNC Bank NA, 2.70%, 11/1/22 | 4,000,000 | 3,873,766 |
Prudential Financial, Inc., 8.875% to 6/15/18, 6/15/38 (d) | 2,750,000 | 2,780,937 |
Regions Financial Corp., 2.75%, 8/14/22 | 1,198,000 | 1,164,869 |
Synchrony Bank, 3.00%, 6/15/22 | 1,245,000 | 1,204,467 |
Synchrony Financial, 3.00%, 8/15/19 | 3,742,000 | 3,731,659 |
Synovus Financial Corp., 3.125%, 11/1/22 | 1,267,000 | 1,226,874 |
Toronto-Dominion Bank (The), 1.85%, 9/11/20 | 7,800,000 | 7,592,632 |
217,715,337 | ||
Government - 1.5% | ||
Asian Development Bank, 1.00%, 8/16/19 | 7,000,000 | 6,876,577 |
International Bank for Reconstruction & Development, 1.005%, 10/1/18 | 2,850,000 | 2,835,713 |
International Finance Corp., 2.00%, 10/24/22 | 5,200,000 | 5,039,124 |
14,751,414 | ||
30 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Industrial - 2.0% | ||
Carlisle Cos., Inc., 3.50%, 12/1/24 | 1,309,000 | 1,284,380 |
Jabil, Inc.: | ||
3.95%, 1/12/28 | 933,000 | 905,738 |
4.70%, 9/15/22 | 1,900,000 | 1,972,200 |
Johnson Controls International plc, 4.625%, 7/2/44 | 1,800,000 | 1,864,725 |
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.25%, 1/17/23 (c) | 3,000,000 | 3,096,810 |
SBA Tower Trust: | ||
2.877%, 7/10/46 (c) | 2,500,000 | 2,474,750 |
3.722%, 4/9/48 (c) | 4,150,000 | 4,155,694 |
SMBC Aviation Capital Finance DAC: | ||
2.65%, 7/15/21 (c) | 2,040,000 | 1,988,378 |
3.00%, 7/15/22 (a)(c) | 1,750,000 | 1,712,951 |
19,455,626 | ||
Technology - 5.9% | ||
Apple, Inc.: | ||
3.00%, 6/20/27 | 3,061,000 | 2,952,288 |
3.25%, 2/23/26 | 1,325,000 | 1,306,932 |
Broadridge Financial Solutions, Inc., 3.95%, 9/1/20 | 1,645,000 | 1,676,220 |
CA, Inc., 4.70%, 3/15/27 | 4,235,000 | 4,337,950 |
Dell International LLC / EMC Corp.: | ||
3.48%, 6/1/19 (c) | 8,950,000 | 8,992,414 |
4.42%, 6/15/21 (c) | 6,570,000 | 6,742,957 |
DXC Technology Co.: | ||
2.875%, 3/27/20 | 2,566,000 | 2,552,633 |
2.956%, (3 mo. USD LIBOR + 0.95%), 3/1/21 (b) | 5,100,000 | 5,106,334 |
EMC Corp., 1.875%, 6/1/18 | 4,221,000 | 4,208,942 |
Hewlett Packard Enterprise Co., 2.85%, 10/5/18 | 5,195,000 | 5,200,970 |
Microsoft Corp.: | ||
2.40%, 8/8/26 | 2,225,000 | 2,072,779 |
4.45%, 11/3/45 | 1,800,000 | 1,993,983 |
NXP BV / NXP Funding LLC: | ||
4.125%, 6/1/21 (c) | 1,200,000 | 1,215,000 |
4.625%, 6/15/22 (c) | 2,565,000 | 2,629,125 |
4.625%, 6/1/23 (c) | 1,945,000 | 1,984,484 |
Seagate HDD Cayman: | ||
3.75%, 11/15/18 | 3,222,000 | 3,242,903 |
4.875%, 3/1/24 (c) | 2,145,000 | 2,145,758 |
4.875%, 6/1/27 | 850,000 | 806,496 |
59,168,168 | ||
Utilities - 1.6% | ||
American Water Capital Corp., 2.95%, 9/1/27 | 2,840,000 | 2,697,910 |
Avangrid, Inc., 3.15%, 12/1/24 | 9,120,000 | 8,862,892 |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 31
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Consolidated Edison Co. of New York, Inc., 4.45%, 6/15/20 | 1,675,000 | 1,734,725 |
NextEra Energy Operating Partners LP, 4.25%, 9/15/24 (c) | 2,950,000 | 2,868,875 |
16,164,402 | ||
Total Corporate Bonds (Cost $486,913,968) | 480,972,426 | |
U.S. TREASURY OBLIGATIONS - 16.4% | ||
U.S. Treasury Bonds: | ||
2.75%, 8/15/47 | 66,950,000 | 63,859,252 |
2.75%, 11/15/47 | 1,000,000 | 954,063 |
U.S. Treasury Inflation Index Bond, 1.75%, 1/15/28 (e) | 44,301,478 | 48,680,129 |
U.S. Treasury Notes: | ||
1.875%, 12/15/20 | 40,500,000 | 39,979,225 |
2.00%, 11/30/22 | 10,100,000 | 9,856,730 |
Total U.S. Treasury Obligations (Cost $167,405,142) | 163,329,399 | |
ASSET-BACKED SECURITIES - 18.2% | ||
Aircraft - 0.1% | ||
AASET US Ltd., Series 2018-1A, Class A, 3.844%, 1/16/38 (c) | 974,952 | 968,366 |
Automobile - 2.3% | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A, 2.97%, 2/20/20 (c) | 10,453,000 | 10,466,853 |
Credit Acceptance Auto Loan Trust, Series 2017-2A, Class A, 2.55%, 2/17/26 (c) | 2,250,000 | 2,221,711 |
Skopos Auto Receivables Trust, Series 2015-1A, Class B, 5.43%, 12/15/23 (c) | 1,528,388 | 1,531,618 |
Tesla Auto Lease Trust, Series 2018-A, Class A, 2.32%, 12/20/19 (c) | 2,755,362 | 2,750,297 |
Toyota Auto Receivables Owner Trust: | ||
Series 2016-B, Class A3, 1.30%, 4/15/20 | 1,853,847 | 1,842,426 |
Series 2016-B, Class A4, 1.52%, 8/16/21 | 4,050,000 | 3,989,574 |
22,802,479 | ||
Clean Energy - 1.7% | ||
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25 (c) | 1,104,676 | 1,095,052 |
SolarCity LMC: | ||
Series 2013-1, Class A, 4.80%, 11/20/38 (c) | 2,711,467 | 2,738,980 |
Series 2014-2, Class A, 4.02%, 7/20/44 (c) | 3,992,067 | 3,756,447 |
Series 2014-2, Class B, 5.44%, 7/20/44 (c) | 5,767,363 | 5,385,004 |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28 (c) | 1,129,270 | 1,142,999 |
TES LLC, Series 2017-1A, Class A, 4.33%, 10/20/47 (c) | 3,170,000 | 3,160,132 |
17,278,614 | ||
32 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
ASSET-BACKED SECURITIES - CONT’D | ||
Consumer Loan - 5.4% | ||
Avant Loans Funding Trust, Series 2017-B, Class A, 2.29%, 6/15/20 (c) | 2,617,207 | 2,612,645 |
Citi Held For Asset Issuance: | ||
Series 2015-PM2, Class B, 4.00%, 3/15/22 (c) | 35,619 | 35,637 |
Series 2015-PM3, Class B, 4.31%, 5/16/22 (c) | 386,139 | 386,846 |
Series 2016-MF1, Class A, 4.48%, 8/15/22 (c) | 174,285 | 174,657 |
Conn Funding II LP: | ||
Series 2017-A, Class A, 2.73%, 7/15/19 (c) | 153,605 | 153,598 |
Series 2017-A, Class B, 5.11%, 2/15/20 (c) | 2,750,000 | 2,772,273 |
Series 2017-B, Class A, 2.73%, 7/15/20 (c) | 2,668,583 | 2,664,396 |
OneMain Financial Issuance Trust: | ||
Series 2015-2A, Class A, 2.57%, 7/18/25 (c) | 1,555,148 | 1,554,988 |
Series 2016-2A, Class A, 4.10%, 3/20/28 (c) | 1,407,958 | 1,419,777 |
Series 2017-1A, Class A1, 2.37%, 9/14/32 (c) | 3,760,000 | 3,698,245 |
Oportun Funding VI LLC, Series 2017-A, Class A, 3.23%, 6/8/23 (c) | 1,335,000 | 1,320,105 |
Prosper Marketplace Issuance Trust: | ||
Series 2017-1A, Class A, 2.56%, 6/15/23 (c) | 6,010,182 | 6,013,846 |
Series 2017-2A, Class A, 2.41%, 9/15/23 (c) | 1,434,810 | 1,431,731 |
Series 2017-3A, Class A, 2.36%, 11/15/23 (c) | 8,256,949 | 8,226,860 |
Series 2017-3A, Class B, 3.36%, 11/15/23 (c) | 6,180,000 | 6,141,458 |
Series 2018-1A, Class A, 3.11%, 6/17/24 (c) | 5,170,000 | 5,169,600 |
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (c) | 6,109,522 | 6,109,097 |
Springleaf Funding Trust, Series 2015-AA, Class B, 3.62%, 11/15/24 (c) | 2,411,000 | 2,408,163 |
Verizon Owner Trust, Series 2016-1A, Class A, 1.42%, 1/20/21 (c) | 1,415,000 | 1,404,062 |
53,697,984 | ||
Equipment - 0.2% | ||
Dell Equipment Finance Trust, Series 2017-1, Class A3, 2.14%, 4/22/22 (c) | 1,755,000 | 1,745,270 |
Other - 4.3% | ||
American Homes 4 Rent, Series 2014-SFR2, Class A, 3.786%, 10/17/36 (c) | 4,144,159 | 4,244,737 |
GMAT Trust, Series 2015-1A, Class A1, 4.25% to 9/25/18, 9/25/20 (c)(f) | 643,410 | 649,014 |
Invitation Homes Trust: | ||
Series 2015-SFR2, Class E, 4.958%, (1 mo. USD LIBOR + 3.15%), 6/17/32 (b)(c) | 5,450,000 | 5,468,434 |
Series 2015-SFR2, Class F, 5.508%, (1 mo. USD LIBOR + 3.70%), 6/17/32 (b)(c) | 3,650,000 | 3,685,405 |
Series 2015-SFR3, Class D, 4.50%, (1 mo. USD LIBOR + 2.75%), 8/17/32 (b)(c) | 1,400,000 | 1,406,589 |
Series 2017-SFR2, Class B, 2.958%, (1 mo. USD LIBOR + 1.15%), 12/17/36 (b)(c) | 747,000 | 752,039 |
Series 2017-SFR2, Class C, 3.258%, (1 mo. USD LIBOR + 1.45%), 12/17/36 (b)(c) | 951,000 | 958,522 |
Series 2018-SFR1, Class B, 2.758%, (1 mo. USD LIBOR + 0.95%), 3/17/37 (b)(c) | 755,000 | 762,231 |
Series 2018-SFR1, Class C, 3.058%, (1 mo. USD LIBOR + 1.25%), 3/17/37 (b)(c) | 950,000 | 957,823 |
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A, 2.38%, 10/15/20 (c) | 6,900,000 | 6,893,571 |
Progress Residential Trust: | ||
Series 2016-SFR1, Class B, 3.808%, (1 mo. USD LIBOR + 2.00%), 9/17/33 (b)(c) | 2,046,000 | 2,061,271 |
Series 2016-SFR1, Class C, 4.308%, (1 mo. USD LIBOR + 2.50%), 9/17/33 (b)(c) | 1,000,000 | 1,012,347 |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49 (c) | 3,300,000 | 3,354,239 |
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PRINCIPAL AMOUNT ($) | VALUE ($) | |
ASSET-BACKED SECURITIES - CONT’D | ||
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 6,125,680 | 6,018,351 |
Vantage Data Centers Issuer LLC, Series 2018-1A, Class A2, 4.072%, 2/16/43 (c) | 2,480,931 | 2,506,580 |
VB-S1 Issuer LLC, Series 2016-1A, Class C, 3.065%, 6/15/46 (c) | 2,250,000 | 2,246,955 |
42,978,108 | ||
Railcar - 1.0% | ||
Element Rail Leasing I LLC: | ||
Series 2014-1A, Class A1, 2.299%, 4/19/44 (c) | 470,404 | 467,506 |
Series 2014-1A, Class B1, 4.406%, 4/19/44 (c) | 2,200,000 | 2,195,145 |
FRS I LLC: | ||
Series 2013-1A, Class A2, 3.08%, 4/15/43 (c) | 3,503,946 | 3,472,320 |
Series 2013-1A, Class B, 3.96%, 4/15/43 (c) | 3,987,186 | 3,960,020 |
10,094,991 | ||
Student Loan - 0.2% | ||
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40 (c) | 1,457,274 | 1,436,001 |
Social Professional Loan Program LLC, Series 2014-B, Class A2, 2.55%, 8/27/29 (c) | 792,077 | 785,208 |
2,221,209 | ||
Timeshare - 0.2% | ||
Sierra Timeshare Receivables Funding LLC: | ||
Series 2013-3A, Class B, 2.70%, 10/20/30 (c) | 224,958 | 224,405 |
Series 2014-2A, Class B, 2.40%, 6/20/31 (c) | 732,458 | 729,083 |
Series 2014-3A, Class B, 2.80%, 10/20/31 (c) | 1,210,429 | 1,204,757 |
2,158,245 | ||
Whole Business - 2.8% | ||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2, 4.474%, 3/20/43 (c) | 5,588,734 | 5,612,152 |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47 (c) | 2,133,875 | 2,194,181 |
DB Master Finance LLC: | ||
Series 2015-1A, Class A2II, 3.98%, 2/20/45 (c) | 695,490 | 702,398 |
Series 2017-1A, Class A2I, 3.629%, 11/20/47 (c) | 394,013 | 392,736 |
Series 2017-1A, Class A2II, 4.03%, 11/20/47 (c) | 688,275 | 694,442 |
Driven Brands Funding LLC, Series 2015-1A, Class A2, 5.216%, 7/20/45 (c) | 2,526,838 | 2,602,444 |
FOCUS Brands Funding LLC: | ||
Series 2017-1A, Class A2I, 3.857%, 4/30/47 (c) | 947,838 | 954,582 |
Series 2017-1A, Class A2II, 5.093%, 4/30/47 (c) | 1,235,663 | 1,276,679 |
Taco Bell Funding LLC, Series 2016-1A, Class A2I, 3.832%, 5/25/46 (c) | 4,345,000 | 4,377,637 |
Wendys Funding LLC, Series 2015-1A, Class A2II, 4.08%, 6/15/45 (c) | 8,433,750 | 8,573,192 |
27,380,443 | ||
Total Asset-Backed Securities (Cost $182,131,965) | 181,325,709 | |
34 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS - 4.9% | ||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 6.172%, (1 mo. USD LIBOR + 4.30%), 7/25/25 (b)(c) | 720,460 | 732,285 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | ||
Series 2015-HQA2, Class M2, 4.672%, (1 mo. USD LIBOR + 2.80%), 5/25/28 (b) | 2,446,102 | 2,520,377 |
Series 2016-DNA2, Class M2, 4.072%, (1 mo. USD LIBOR + 2.20%), 10/25/28 (b) | 1,347,667 | 1,365,676 |
Series 2016-HQA1, Class M2, 4.622%, (1 mo. USD LIBOR + 2.75%), 9/25/28 (b) | 4,000,000 | 4,099,063 |
Series 2017-DNA3, Class M2, 4.372%, (1 mo. USD LIBOR + 2.50%), 3/25/30 (b) | 1,425,000 | 1,460,122 |
Series 2017-HQA2, Class M2, 4.522%, (1 mo. USD LIBOR + 2.65%), 12/25/29 (b) | 1,565,000 | 1,612,552 |
Series 2018-DNA1, Class M1, 2.322%, (1 mo. USD LIBOR + 0.45%), 7/25/30 (b) | 2,569,042 | 2,559,086 |
Federal National Mortgage Association Connecticut Avenue Securities: | ||
Series 2013-C01, Class M2, 7.122%, (1 mo. USD LIBOR + 5.25%), 10/25/23 (b) | 4,675,000 | 5,442,901 |
Series 2014-C02, Class 1M2, 4.472%, (1 mo. USD LIBOR + 2.60%), 5/25/24 (b) | 2,200,000 | 2,339,512 |
Series 2014-C03, Class 1M2, 4.872%, (1 mo. USD LIBOR + 3.00%), 7/25/24 (b) | 2,619,940 | 2,806,047 |
Series 2014-C03, Class 2M2, 4.772%, (1 mo. USD LIBOR + 2.90%), 7/25/24 (b) | 3,826,354 | 4,089,229 |
Series 2014-C04, Class 1M2, 6.772%, (1 mo. USD LIBOR + 4.90%), 11/25/24 (b) | 7,829,987 | 8,965,100 |
Series 2016-C06, Class 1M2, 6.122%, (1 mo. USD LIBOR + 4.25%), 4/25/29 (b) | 1,600,000 | 1,809,155 |
Series 2017-C05, Class 1M1, 2.422%, (1 mo. USD LIBOR + 0.55%), 1/25/30 (b) | 3,333,176 | 3,333,442 |
Series 2017-C05, Class 1M2, 4.072%, (1 mo. USD LIBOR + 2.20%), 1/25/30 (b) | 735,000 | 745,700 |
Series 2017-C06, Class 1M2, 4.522%, (1 mo. USD LIBOR + 2.65%), 2/25/30 (b) | 2,520,000 | 2,591,027 |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 1,959,228 | 1,901,116 |
Total Collateralized Mortgage-Backed Obligations (Cost $47,435,282) | 48,372,390 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.3% | ||
Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class E, 5.177%, (1 mo. USD LIBOR + 3.40%), 9/15/27 (b)(c) | 2,900,000 | 2,896,694 |
CLNS Trust, Series 2017-IKPR, Class B, 2.74%, (1 mo. USD LIBOR + 1.00%), 6/11/32 (b)(c) | 4,400,000 | 4,408,510 |
GS Mortgage Securities Trust, Series 2014-NEW, Class D, 3.79%, 1/10/31 (c) | 1,400,000 | 1,400,220 |
JP Morgan Chase Commercial Mortgage Securities Trust: | ||
Series 2014-DSTY, Class B, 3.771%, 6/10/27 (c) | 1,750,000 | 1,736,378 |
Series 2014-DSTY, Class C, 3.805%, 6/10/27 (c) | 1,200,000 | 1,181,333 |
Morgan Stanley Capital I Trust, Series 2017-CLS, Class A, 2.477%, (1 mo. USD LIBOR + 0.70%), 11/15/34 (b)(c) | 4,100,000 | 4,109,236 |
Motel 6 Trust: | ||
Series 2017-MTL6, Class C, 3.177%, (1 mo. USD LIBOR + 1.40%), 8/15/34 (b)(c) | 2,928,385 | 2,942,889 |
Series 2017-MTL6, Class D, 3.927%, (1 mo. USD LIBOR + 2.15%), 8/15/34 (b)(c) | 1,116,046 | 1,123,936 |
RETL Trust, Series 2018-RVP, Class A, 2.877%, (1 mo. USD LIBOR + 1.10%), 3/15/33 (b)(c) | 6,850,000 | 6,867,097 |
TRU Trust, Series 2016-TOYS, Class A, 4.027%, (1 mo. USD LIBOR + 2.25%), 11/15/30 (b)(c) | 4,169,422 | 4,064,839 |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.755%, 8/10/31 (c) | 2,700,000 | 2,531,612 |
Total Commercial Mortgage-Backed Securities (Cost $33,432,855) | 33,262,744 | |
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PRINCIPAL AMOUNT ($) | VALUE ($) | |
TAXABLE MUNICIPAL OBLIGATIONS - 2.4% | ||
Education - 0.1% | ||
Georgetown University, Washington DC Revenue Bonds, Series B, 7.22%, 4/1/19 | 690,000 | 699,363 |
General Obligations - 0.9% | ||
Commonwealth of Massachusetts, 5.456%, 12/1/39 (g) | 750,000 | 926,610 |
Los Angeles California Unified School District, 5.75%, 7/1/34 (g) | 3,750,000 | 4,653,450 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 2,500,000 | 2,360,750 |
New York City, 5.206%, 10/1/31 (g) | 1,030,000 | 1,191,638 |
9,132,448 | ||
Special Tax Revenue - 0.9% | ||
Connecticut, Special Tax Revenue, 5.459%, 11/1/30 (g) | 3,800,000 | 4,284,804 |
New York City Transitional Finance Authority, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36 (g) | 3,540,000 | 4,312,180 |
8,596,984 | ||
Transportation - 0.1% | ||
Santa Clara Valley Transportation Authority, CA, Sales Tax Revenue, 5.876%, 4/1/32 | 880,000 | 1,057,056 |
Water and Sewer - 0.4% | ||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | 1,170,000 | 1,323,680 |
New York Environmental Facilities Corp., (New York City Municipal Water Finance Authority), 1.271%, 6/15/18 | 3,075,000 | 3,071,740 |
4,395,420 | ||
Total Taxable Municipal Obligations (Cost $23,506,055) | 23,881,271 | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 1.4% | ||
Federal National Mortgage Association: | ||
2.65%, 6/1/26 | 2,913,467 | 2,829,769 |
2.68%, 7/1/26 | 3,000,000 | 2,902,754 |
2.785%, 2/25/27(h) | 2,909,377 | 2,856,818 |
2.939%, 9/25/27(h) | 5,500,000 | 5,378,554 |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $14,480,861) | 13,967,895 | |
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% | ||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 (i)(j) | 5,087,392 | 4,830,835 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 2.22%, 11/3/20 (j)(k)(l) | 490,000 | 463,050 |
ImpactAssets Inc., Microfinance Plus Notes, 2.88%, 11/3/20 (j)(k)(l) | 631,000 | 601,343 |
Total High Social Impact Investments (Cost $6,208,392) | 5,895,228 | |
36 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
SOVEREIGN GOVERNMENT BONDS - 0.8% | ||
Export Development Canada, 1.625%, 6/1/20 | 4,500,000 | 4,415,862 |
Nacional Financiera SNC, 3.375%, 11/5/20 (c) | 3,450,000 | 3,471,563 |
Total Sovereign Government Bonds (Cost $7,905,207) | 7,887,425 | |
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.3% | ||
Overseas Private Investment Corp., 3.22%, 9/15/29 | 2,795,581 | 2,744,680 |
Total U.S. Government Agencies and Instrumentalities (Cost $2,795,581) | 2,744,680 | |
FLOATING RATE LOANS (m) - 0.0% (n) | ||
Financial - 0.0% (n) | ||
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 (j)(k)(o)(p) | 481,681 | 7,598 |
Total Floating Rate Loans (Cost $481,681) | 7,598 | |
TIME DEPOSIT - 2.9% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 4/2/18 | 28,560,724 | 28,560,724 |
Total Time Deposit (Cost $28,560,724) | 28,560,724 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.2% | ||
State Street Navigator Securities Lending Government Money Market Portfolio | 12,286,455 | 12,286,455 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $12,286,455) | 12,286,455 | |
Total Purchased Options (Cost $280,965) - 0.0% (n) | 8,000 | |
TOTAL INVESTMENTS (Cost $1,013,825,133) - 100.8% | 1,002,501,944 | |
Other assets and liabilities, net - (0.8%) | (8,286,308) | |
NET ASSETS - 100.0% | 994,215,636 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(a) All or a portion of this security was on loan at March 31, 2018. The aggregate market value of securities on loan at March 31, 2018 was $11,938,455. | |
(b) Variable rate security. The stated interest rate represents the rate in effect at March 31, 2018. | |
(c) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $283,425,966, which represents 28.5% of the net assets of the Fund as of March 31, 2018. | |
(d) Security converts to floating rate after the indicated fixed-rate coupon period. | |
(e) 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. | |
(f) Multi-step coupon security. The interest rate disclosed is that which is in effect on March 31, 2018. | |
(g) 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. | |
(h) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2018. | |
(i) Affiliated company (see Note 9). | |
(j) Restricted security. Total market value of restricted securities amounts to $5,902,826, which represents 0.6% of the net assets of the Fund as of March 31, 2018. | |
(k) For fair value measurement purposes, security is categorized as Level 3 (see Note 1A). | |
(l) 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 March 31, 2018. | |
(m) Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. | |
(n) Amount is less than 0.05%. | |
(o) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. | |
(p) Non-income producing security. | |
Abbreviations: | |
LIBOR: | London Interbank Offered Rate |
USD: | United States Dollar |
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PURCHASED PUT OPTIONS - 0.0% (n) | |||||||
EXCHANGE-TRADED OPTIONS - 0.0% (n) | |||||||
DESCRIPTION | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||
U.S. 10-Year Treasury Note Futures 6/2018 | 512 | $62,024,000 | $119 | 4/20/18 | $ | 8,000 |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
U.S. 2-Year Treasury Note | 352 | Jun-18 | $74,838,500 | $21,321 | ||||
U.S. 5-Year Treasury Note | 480 | Jun-18 | 54,941,250 | 230,677 | ||||
U.S. Ultra-Long Treasury Bond | 14 | Jun-18 | 2,246,563 | 59,768 | ||||
Total Long | $311,766 | |||||||
Short: | ||||||||
U.S. Ultra 10-Year Treasury Note | (260) | Jun-18 | ($33,763,438 | ) | ($479,225 | ) |
38 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 | 5/26/05-6/13/07 | 481,681 |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 | 12/15/16 | 5,087,392 |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 2.22%, 11/3/20 | 11/13/15 | 490,000 |
ImpactAssets Inc., Microfinance Plus Notes, 2.88%, 11/3/20 | 11/13/15 | 631,000 |
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 39
CALVERT EQUITY FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2018 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 95.5% | ||
Beverages - 2.7% | ||
Coca-Cola Co. (The) | 675,166 | 29,322,460 |
PepsiCo, Inc. | 303,649 | 33,143,288 |
62,465,748 | ||
Capital Markets - 3.6% | ||
Charles Schwab Corp. (The) | 466,585 | 24,365,068 |
Intercontinental Exchange, Inc. | 810,219 | 58,757,082 |
83,122,150 | ||
Chemicals - 5.9% | ||
Ecolab, Inc. | 524,876 | 71,944,753 |
Praxair, Inc. | 445,575 | 64,296,473 |
136,241,226 | ||
Electronic Equipment, Instruments & Components - 1.0% | ||
TE Connectivity Ltd. | 228,737 | 22,850,826 |
Equity Real Estate Investment Trusts (REITs) - 2.7% | ||
American Tower Corp. | 421,076 | 61,199,186 |
Food & Staples Retailing - 0.3% | ||
CVS Health Corp. | 121,999 | 7,589,558 |
Food Products - 2.3% | ||
Mondelez International, Inc., Class A | 1,257,593 | 52,479,356 |
Health Care Equipment & Supplies - 4.8% | ||
Danaher Corp. | 1,115,924 | 109,260,119 |
Health Care Providers & Services - 2.5% | ||
Henry Schein, Inc. (a) | 331,354 | 22,270,302 |
Laboratory Corp. of America Holdings (a) | 216,992 | 35,098,456 |
57,368,758 | ||
Health Care Technology - 1.1% | ||
Cerner Corp. (a) | 447,823 | 25,973,734 |
Hotels, Restaurants & Leisure - 1.3% | ||
Starbucks Corp. | 514,676 | 29,794,594 |
Industrial Conglomerates - 2.6% | ||
3M Co. | 268,578 | 58,958,242 |
40 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Insurance - 2.3% | |||
Marsh & McLennan Cos., Inc. | 640,054 | 52,862,060 | |
Internet & Direct Marketing Retail - 1.0% | |||
Booking Holdings, Inc. (a) | 10,887 | 22,649,206 | |
Internet Software & Services - 6.7% | |||
Alphabet, Inc., Class C (a) | 103,539 | 106,830,505 | |
Facebook, Inc., Class A (a) | 298,534 | 47,702,748 | |
154,533,253 | |||
IT Services - 11.7% | |||
Accenture plc, Class A | 364,208 | 55,905,928 | |
Fiserv, Inc. (a) | 413,974 | 29,520,486 | |
MasterCard, Inc., Class A | 428,547 | 75,064,292 | |
Visa, Inc., Class A | 900,821 | 107,756,208 | |
268,246,914 | |||
Life Sciences Tools & Services - 6.0% | |||
QIAGEN NV (a) | 1,003,262 | 32,415,395 | |
Thermo Fisher Scientific, Inc. | 511,363 | 105,576,005 | |
137,991,400 | |||
Machinery - 7.2% | |||
Fortive Corp. | 723,113 | 56,055,720 | |
IDEX Corp. | 432,240 | 61,598,522 | |
Xylem, Inc. | 604,931 | 46,531,293 | |
164,185,535 | |||
Media - 3.1% | |||
Comcast Corp., Class A | 969,434 | 33,125,560 | |
Walt Disney Co. (The) | 367,251 | 36,886,690 | |
70,012,250 | |||
Multiline Retail - 3.4% | |||
Dollar General Corp. | 844,406 | 78,994,181 | |
Personal Products - 2.1% | |||
Estee Lauder Cos., Inc. (The), Class A | 327,270 | 48,998,864 | |
Pharmaceuticals - 5.9% | |||
Johnson & Johnson | 386,027 | 49,469,360 | |
Zoetis, Inc. | 1,025,543 | 85,643,096 | |
135,112,456 | |||
Professional Services - 1.9% | |||
Verisk Analytics, Inc. (a) | 409,240 | 42,560,960 | |
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SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Semiconductors & Semiconductor Equipment - 0.9% | |||
Texas Instruments, Inc. | 207,827 | 21,591,147 | |
Software - 8.9% | |||
Check Point Software Technologies Ltd. (a)(b) | 426,420 | 42,360,563 | |
Intuit, Inc. | 404,231 | 70,073,444 | |
Microsoft Corp. | 998,989 | 91,177,726 | |
203,611,733 | |||
Specialty Retail - 2.5% | |||
Lowe's Cos., Inc. | 343,083 | 30,105,533 | |
TJX Cos., Inc. (The) | 342,208 | 27,910,485 | |
58,016,018 | |||
Textiles, Apparel & Luxury Goods - 1.1% | |||
NIKE, Inc., Class B | 373,946 | 24,844,972 | |
Venture Capital - 0.0% (c) | |||
20/20 Gene Systems, Inc. (a)(d)(e) | 73,397 | 46,974 | |
Digital Directions International, Inc. (a)(d)(e) | 354,389 | 87,499 | |
Graduation Alliance, Inc. (a)(d)(e) | 117,833 | 577 | |
Ivy Capital (Proprietary) Ltd. (a)(d)(e) | 19 | 762,073 | |
Napo Pharmaceuticals, Inc. (a)(d)(e) | 294,196 | — | |
897,123 | |||
Total Common Stocks (Cost $1,461,316,607) | 2,192,411,569 | ||
PREFERRED STOCKS - 0.1% | |||
Venture Capital - 0.1% | |||
Entouch: | |||
Series C (a)(d)(e) | 2,628,278 | 500,424 | |
Series C-1 (a)(d)(e) | 340,546 | 45,350 | |
Graduation Alliance, Inc.: | |||
Series C (a)(d)(e) | 3,225,598 | 143,539 | |
Series D, Convertible (a)(d)(e) | 1,325,968 | 267,713 | |
New Day Farms, Inc. (a)(d)(e)(f) | 4,547,804 | — | |
PresenceLearning, Inc.: | |||
Series A (a)(d)(e) | 600,000 | 654,000 | |
Series A-2 (a)(d)(e) | 195,285 | 216,766 | |
Series B (a)(d)(e) | 399,719 | 475,666 | |
Shangri La Farms (a)(d)(e)(f) | 66,667 | — | |
Sword Diagnostics (a)(d)(e) | 1,264,108 | — | |
2,303,458 | |||
Total Preferred Stocks (Cost $2,976,381) | 2,303,458 | ||
42 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
WARRANTS - 0.0% (c) | |||
Venture Capital - 0.0% (c) | |||
Graduation Alliance, Inc., Preferred Warrants (strike price $0.16/share, expires 8/20/18) (a)(d)(e) | 625,721 | 3,066 | |
Total Warrants (Cost $0) | 3,066 | ||
VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.6% | |||
Accion Frontier Inclusion Fund LP (a)(d)(e) | 540,207 | ||
Adobe Capital Social Mezzanine I LP (a)(d)(e) | 272,216 | ||
Africa Renewable Energy Fund LP (a)(d)(e) | 686,671 | ||
Arborview Capital Partners LP (a)(d)(e) | 600,520 | ||
Blackstone Clean Technology Partners LP (a)(d)(e) | 60,863 | ||
Bridges Ventures US Sustainable Growth Fund, LP (a)(d)(e) | 229,980 | ||
China Environment Fund 2004 LP (a)(d)(e) | 3,779 | ||
China Environment Fund III LP (a)(d)(e) | 443,111 | ||
Coastal Ventures III LP (a)(d)(e) | 237,765 | ||
Core Innovations Capital I LP (a)(d)(e) | 1,123,423 | ||
Cross Culture Ventures I LP (a)(d)(e) | 298,309 | ||
DBL Equity Fund - BAEF Il LP (a)(d)(e) | 1,079,584 | ||
DBL Partners III LP (a)(d)(e) | 475,182 | ||
First Analysis Private Equity Fund V LP (a)(d)(e) | 1,087,083 | ||
Ignia Fund I LP (a)(d)(e) | 531,775 | ||
Impact Ventures II LP (a)(d)(e) | 199,807 | ||
LeapFrog Financial Inclusion Fund (a)(d)(e) | 286,119 | ||
New Markets Education Partners LP (a)(d)(e) | 852,377 | ||
New Markets Venture Partners II LP (a)(d)(e) | 173,724 | ||
Owl Ventures LP (a)(d)(e) | 586,592 | ||
Renewable Energy Asia Fund LP (a)(d)(e) | 2,228,750 | ||
SEAF India International Growth Fund LP (a)(d)(e) | 26,763 | ||
SJF Ventures II LP, Preferred (a)(d)(e) | 477,102 | ||
SJF Ventures III LP (a)(d)(e) | 959,856 | ||
Westly Capital Partners Fund II LP (a)(d)(e) | 718,756 | ||
Total Venture Capital Limited Partnership Interest (Cost $13,075,615) | 14,180,314 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
VENTURE CAPITAL DEBT OBLIGATIONS - 0.1% | |||
New Day Farms, Inc., Participation Interest Note, 9.00%, 9/1/12 (d)(e)(f)(g) | 6,225 | — | |
One Earth Group Ltd., Convertible Note, 5.00%, 10/31/20 (d)(e)(h) | 230,064 | — | |
SEAF Global SME Facility, 9.00%, 1/1/19 (d)(e) | 2,100,000 | 1,805,163 | |
Total Venture Capital Debt Obligations (Cost $2,341,368) | 1,805,163 | ||
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 43
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% | |||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 (d)(f) | 10,833,877 | 10,287,525 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 2.22%, 11/3/20 (d)(e)(i) | 1,445,000 | 1,365,525 | |
ImpactAssets Inc., Microfinance Plus Notes, 2.88%, 11/3/20 (d)(e)(i) | 1,855,000 | 1,767,815 | |
Total High Social Impact Investments (Cost $14,133,877) | 13,420,865 | ||
OTHER - 0.0% (c) | |||
GroSolar, Contingent Deferred Distribution (a)(d)(e) | 390,000 | ||
Total Other (Cost $1,809,266) | 390,000 | ||
TIME DEPOSIT - 3.3% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 4/2/18 | 76,525,618 | 76,525,618 | |
Total Time Deposit (Cost $76,525,618) | 76,525,618 | ||
TOTAL INVESTMENTS (Cost $1,572,178,732) - 100.2% | 2,301,040,053 | ||
Other assets and liabilities, net - (0.2%) | (5,687,416) | ||
NET ASSETS - 100.0% | 2,295,352,637 |
NOTES TO SCHEDULE OF INVESTMENTS |
(a) Non-income producing security. |
(b) All or a portion of this security was on loan at March 31, 2018. The aggregate market value of securities on loan at March 31, 2018 was $4,569,640. |
(c) Amount is less than 0.05%. |
(d) Restricted security. Total market value of restricted securities amounts to $32,999,989, which represents 1.4% of the net assets of the Fund as of March 31, 2018. |
(e) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(f) Affiliated company (see Note 9). |
(g) Security is in default for both principal and interest. |
(h) This security is not accruing interest. |
(i) Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2018. |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) | |
20/20 Gene Systems, Inc. | 8/1/08-8/27/13 | 166,890 | |
Accion Frontier Inclusion Fund LP | 11/12/15-3/20/18 | 529,076 | |
Adobe Capital Social Mezzanine I LP | 2/8/13-1/16/18 | 345,491 | |
Africa Renewable Energy Fund LP | 4/17/14-2/22/18 | 670,751 | |
Arborview Capital Partners LP | 11/13/12-10/24/17 | 529,835 | |
Blackstone Clean Technology Partners LP | 7/29/10-6/25/15 | 446,830 | |
Bridges Ventures US Sustainable Growth Fund, LP | 6/8/16-3/19/18 | 365,028 | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 | 12/15/16 | 10,833,877 | |
China Environment Fund 2004 LP | 9/15/05-4/1/09 | — | |
China Environment Fund III LP | 1/24/08-4/19/13 | 688,450 |
44 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
Coastal Ventures III LP | 7/30/12-8/17/17 | 255,068 | |
Core Innovations Capital I LP | 1/6/11-6/30/17 | 314,217 | |
Cross Culture Ventures I LP | 2/24/16-3/7/18 | 329,934 | |
DBL Equity Fund - BAEF Il LP | 3/30/11-8/2/16 | 866,008 | |
DBL Partners III LP | 1/16/15-12/5/17 | 467,347 | |
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 | 10/11/17-2/5/18 | 45,350 | |
First Analysis Private Equity Fund V LP | 6/7/13-3/16/18 | 779,924 | |
Graduation Alliance, Inc. | 5/17/16 | 390 | |
Graduation Alliance, Inc., Series C, Preferred | 3/27/13-8/20/13 | 500,000 | |
Graduation Alliance, Inc., Series D, Convertible Preferred | 4/29/15-5/17/16 | 228,617 | |
Graduation Alliance, Inc., Preferred Warrants (strike price $0.16/share, expires 8/20/18) | 9/13/13 | — | |
GroSolar, Contingent Deferred Distribution | 12/22/16 | 1,809,266 | |
Ignia Fund I LP | 1/28/10-12/9/16 | 1,001,436 | |
Impact Ventures II LP | 9/8/10-2/5/18 | 838,672 | |
ImpactAssets Inc., Global Sustainable Agriculture Notes, 2.22%, 11/3/20 | 11/13/15 | 1,445,000 | |
ImpactAssets Inc., Microfinance Plus Notes, 2.88%, 11/3/20 | 11/13/15 | 1,855,000 | |
Ivy Capital (Proprietary) Ltd. | 9/12/12-5/14/14 | 557,010 | |
LeapFrog Financial Inclusion Fund | 1/20/10-6/6/17 | — | |
Napo Pharmaceuticals, Inc. | 2/21/07-9/23/09 | 419,720 | |
New Day Farms, Inc., Series B, Preferred | 3/12/09 | 500,000 | |
New Day Farms, Inc., Participation Interest Note, 9.00%, 9/1/12 | 12/31/15 | 6,225 | |
New Markets Education Partners LP | 9/27/11-3/1/18 | 807,817 | |
New Markets Venture Partners II LP | 7/21/08-5/3/16 | — | |
One Earth Group Ltd., Convertible Note, 5.00%, 10/31/20 | 2/1/17 | 300,000 | |
Owl Ventures LP | 7/10/14-1/11/18 | 385,000 | |
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 | |
Renewable Energy Asia Fund LP | 9/29/10-1/5/17 | 1,753,943 | |
SEAF Global SME Facility, 9.00%, 1/1/19 | 6/28/13-1/25/18 | 2,035,143 | |
SEAF India International Growth Fund LP | 3/22/05-5/24/10 | 210,391 | |
Shangri La Farms, Series A, Preferred | 2/1/13 | 200,000 | |
SJF Ventures II LP, Preferred | 2/14/06-11/20/12 | — | |
SJF Ventures III LP | 2/6/12-7/14/17 | 617,464 | |
Sword Diagnostics, Series B, Preferred | 12/26/06-11/9/10 | 432,472 | |
Westly Capital Partners Fund II LP | 12/27/11-12/21/17 | 872,933 | |
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 45
CALVERT BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $655,973,779) - including $14,256,558 of securities on loan | $690,900,560 | ||
Investments in securities of affiliated issuers, at value (identified cost $4,266,666) | 4,073,883 | ||
Receivable for variation margin on open futures contracts | 9,032 | ||
Cash denominated in foreign currency, at value (cost $13,852) | 13,871 | ||
Receivable for investments sold | 70,998 | ||
Receivable for capital shares sold | 274,949 | ||
Dividends and interest receivable | 1,936,685 | ||
Interest receivable - affiliated issuers | 19,022 | ||
Securities lending income receivable | 4,383 | ||
Tax reclaims receivable | 5,797 | ||
Receivable from affiliate | 3,016 | ||
Deposits at broker for financial futures contracts | 89,736 | ||
Trustees' deferred compensation plan | 428,471 | ||
Other assets | 7,661 | ||
Total assets | 697,838,064 | ||
LIABILITIES | |||
Due to custodian | 608,305 | ||
Payable for investments purchased | 652,075 | ||
Payable for capital shares redeemed | 34,169 | ||
Deposits for securities loaned | 1,035,588 | ||
Payable to affiliates: | |||
Investment advisory fee | 240,324 | ||
Administrative fee | 71,597 | ||
Distribution and service fees | 163,186 | ||
Sub-transfer agency fee | 38,273 | ||
Trustees' deferred compensation plan | 428,471 | ||
Accrued expenses | 228,790 | ||
Total liabilities | 3,500,778 | ||
Commitments and contingent liabilities (Note 11) | |||
NET ASSETS | $694,337,286 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $652,873,203 | ||
Accumulated undistributed net investment income | 163,925 | ||
Accumulated undistributed net realized gain | 6,558,924 | ||
Net unrealized appreciation | 34,741,234 | ||
Total | $694,337,286 | ||
See notes to financial statements. |
46 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited) - CONT’D
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $550,263,072 and 17,596,392 shares outstanding) | $31.27 | ||
Class C (based on net assets of $59,426,327 and 1,962,416 shares outstanding) | $30.28 | ||
Class I (based on net assets of $84,647,887 and 2,658,071 shares outstanding) | $31.85 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $32.83 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 47
CALVERT BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $1,008,737,741) - including $11,938,455 of securities on loan | $997,671,109 | ||
Investments in securities of affiliated issuers, at value (identified cost $5,087,392) | 4,830,835 | ||
Receivable for investments sold | 840,000 | ||
Receivable for capital shares sold | 1,093,332 | ||
Interest receivable | 5,665,889 | ||
Interest receivable - affiliated issuers | 22,681 | ||
Securities lending income receivable | 4,445 | ||
Receivable from affiliate | 70,938 | ||
Deposits at broker for financial futures contracts | 308,024 | ||
Trustees' deferred compensation plan | 537,298 | ||
Other assets | 10,562 | ||
Total assets | 1,011,055,113 | ||
LIABILITIES | |||
Payable for variation margin on open futures contracts | 165,561 | ||
Due to custodian | 1,782 | ||
Payable for investments purchased | 2,803,409 | ||
Payable for capital shares redeemed | 362,022 | ||
Deposits for securities loaned | 12,286,455 | ||
Payable to affiliates: | |||
Investment advisory fee | 291,280 | ||
Administrative fee | 99,867 | ||
Distribution and service fees | 66,861 | ||
Sub-transfer agency fee | 21,343 | ||
Trustees' deferred compensation plan | 537,298 | ||
Accrued expenses | 203,599 | ||
Total liabilities | 16,839,477 | ||
NET ASSETS | $994,215,636 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $1,005,498,402 | ||
Accumulated undistributed net investment income | 357,334 | ||
Accumulated net realized loss | (149,452) | ||
Net unrealized depreciation | (11,490,648) | ||
Total | $994,215,636 | ||
See notes to financial statements. |
48 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited) - CONT’D
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $270,818,932 and 17,068,049 shares outstanding) | $15.87 | ||
Class C (based on net assets of $24,553,939 and 1,558,102 shares outstanding) | $15.76 | ||
Class I (based on net assets of $572,310,647 and 36,028,435 shares outstanding) | $15.88 | ||
Class R6 (based on net assets of $126,532,118 and 7,967,120 shares outstanding) | $15.88 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/96.25 of net asset value per share) | $16.49 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
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CALVERT EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $1,560,638,630) - including $4,569,640 of securities on loan | $2,290,752,528 | ||
Investments in securities of affiliated issuers, at value (identified cost $11,540,102) | 10,287,525 | ||
Cash | 244,437 | ||
Receivable for investments sold | 10,737,706 | ||
Receivable for capital shares sold | 1,842,604 | ||
Dividends and interest receivable | 946,361 | ||
Interest receivable - affiliated issuers | 48,860 | ||
Securities lending income receivable | 2,495 | ||
Tax reclaims receivable | 238,555 | ||
Receivable from affiliate | 67,833 | ||
Trustees' deferred compensation plan | 1,456,670 | ||
Other assets | 24,268 | ||
Total assets | 2,316,649,842 | ||
LIABILITIES | |||
Payable for investments purchased | 5,648,239 | ||
Payable for capital shares redeemed | 11,849,208 | ||
Payable to affiliates: | |||
Investment advisory fee | 968,521 | ||
Administrative fee | 237,494 | ||
Distribution and service fees | 400,815 | ||
Sub-transfer agency fee | 81,893 | ||
Trustees' deferred compensation plan | 1,456,670 | ||
Accrued expenses | 654,365 | ||
Total liabilities | 21,297,205 | ||
Commitments and contingent liabilities (Note 11) | |||
NET ASSETS | $2,295,352,637 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to shares of beneficial interest | |||
(unlimited number of no par value shares authorized) | $1,488,525,776 | ||
Accumulated distributions in excess of net investment income | (653,090) | ||
Accumulated undistributed net realized gain | 78,617,571 | ||
Net unrealized appreciation | 728,862,380 | ||
Total | $2,295,352,637 | ||
See notes to financial statements. |
50 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2018 (Unaudited) - CONT’D
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $1,244,932,002 and 28,258,355 shares outstanding) | $44.06 | ||
Class C (based on net assets of $152,022,352 and 5,870,781 shares outstanding) | $25.89 | ||
Class I (based on net assets of $898,387,343 and 17,720,368 shares outstanding) | $50.70 | ||
Class R6 (based on net assets of $10,940 and 216 shares outstanding, including fractional shares) | $50.66 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $46.26 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 51
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)
INVESTMENT INCOME | Balanced Fund | Bond Fund | Equity Fund | ||||||||
Dividend income (net of foreign taxes withheld of $0, $0 and $108, respectively) | $3,521,782 | $— | $11,755,855 | ||||||||
Interest income - unaffiliated issuers | 4,146,286 | 14,633,959 | 69,180 | ||||||||
Interest income - affiliated issuers | 31,467 | 37,520 | 80,039 | ||||||||
Securities lending income, net | 35,473 | 107,574 | 3,286 | ||||||||
Total investment income | 7,735,008 | 14,779,053 | 11,908,360 | ||||||||
EXPENSES | |||||||||||
Investment advisory fee | 1,411,123 | 1,697,562 | 5,517,087 | ||||||||
Administrative fee | 420,299 | 581,519 | 1,345,863 | ||||||||
Distribution and service fees: | |||||||||||
Class A | 660,336 | 277,759 | 1,574,347 | ||||||||
Class C | 304,507 | 128,986 | 781,953 | ||||||||
Trustees' fees and expenses | 8,548 | 11,786 | 25,061 | ||||||||
Custodian fees | 89,436 | 62,796 | 91,674 | ||||||||
Transfer agency fees and expenses | 385,328 | 305,026 | 1,050,732 | ||||||||
Accounting fees | 63,096 | 101,386 | 175,702 | ||||||||
Professional fees | 50,715 | 54,254 | 112,547 | ||||||||
Registration fees | 38,348 | 80,681 | 60,293 | ||||||||
Reports to shareholders | 26,446 | 35,071 | 68,824 | ||||||||
Miscellaneous | 59,207 | 55,039 | 115,796 | ||||||||
Total expenses | 3,517,389 | 3,391,865 | 10,919,879 | ||||||||
Waiver and/or reimbursement of expenses by affiliate | (100,683) | (232,894) | (225,292) | ||||||||
Reimbursement of expenses-other | (7,661) | (10,562) | (24,268) | ||||||||
Net expenses | 3,409,045 | 3,148,409 | 10,670,319 | ||||||||
Net investment income | 4,325,963 | 11,630,644 | 1,238,041 | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||
Net realized gain on: | |||||||||||
Investment securities - unaffiliated issuers | 12,548,987 | 3,128,433 | 104,545,356 | ||||||||
Futures contracts | 21,317 | 357,284 | — | ||||||||
Foreign currency transactions | 202 | — | — | ||||||||
12,570,506 | 3,485,717 | 104,545,356 | |||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investment securities - unaffiliated issuers | 3,947,093 | (20,061,348) | 102,538,900 | ||||||||
Investment securities - affiliated issuers | (9,844) | (17,857) | (38,026) | ||||||||
Futures contracts | 8,049 | (167,459) | — | ||||||||
Foreign currency | (84) | — | 747 | ||||||||
3,945,214 | (20,246,664) | 102,501,621 | |||||||||
Net realized and unrealized gain (loss) | 16,515,720 | (16,760,947) | 207,046,977 | ||||||||
Net increase (decrease) in net assets resulting from operations | $20,841,683 | ($5,130,303 | ) | $208,285,018 | |||||||
See notes to financial statements. |
52 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BALANCED FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||
Operations: | |||||||
Net investment income | $4,325,963 | $9,837,401 | |||||
Net realized gain | 12,570,506 | 53,021,088 | |||||
Net change in unrealized appreciation (depreciation) | 3,945,214 | (6,922,226) | |||||
Net increase in net assets resulting from operations | 20,841,683 | 55,936,263 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (3,595,485) | (8,151,148) | |||||
Class C shares | (180,676) | (450,495) | |||||
Class I shares | (628,066) | (793,017) | |||||
Class Y shares | — | (402,507) | |||||
Net realized gain: | |||||||
Class A shares | (35,251,156) | (6,545,044) | |||||
Class C shares | (3,982,909) | (686,237) | |||||
Class I shares | (5,034,279) | (229,781) | |||||
Class Y shares | — | (149,280) | |||||
Total distributions to shareholders | (48,672,571) | (17,407,509) | |||||
Capital share transactions: | |||||||
Class A shares | 22,897,316 | (74,481,952) | |||||
Class C shares | 737,147 | (1,424,823) | |||||
Class I shares | 39,988,422 | 30,715,683 | |||||
Class Y shares (a) | (30,424,693) | 15,033,331 | |||||
Net increase (decrease) in net assets from capital share transactions | 33,198,192 | (30,157,761) | |||||
TOTAL INCREASE IN NET ASSETS | 5,367,304 | 8,370,993 | |||||
NET ASSETS | |||||||
Beginning of period | 688,969,982 | 680,598,989 | |||||
End of period (including accumulated undistributed net investment income of $163,925 and $242,189, respectively) | $694,337,286 | $688,969,982 | |||||
(a) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. | |||||||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 53
CALVERT BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||
Operations: | |||||||
Net investment income | $11,630,644 | $21,966,994 | |||||
Net realized gain (loss) | 3,485,717 | (1,814,864) | |||||
Net change in unrealized appreciation (depreciation) | (20,246,664) | (7,623,523) | |||||
Net increase (decrease) in net assets resulting from operations | (5,130,303) | 12,528,607 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (3,047,474) | (7,273,146) | |||||
Class C shares | (183,557) | (412,882) | |||||
Class I shares | (6,269,864) | (11,297,997) | |||||
Class R6 shares (a) | (1,280,388) | — | |||||
Class Y shares | (575,715) | (2,926,328) | |||||
Net realized gain: | |||||||
Class A shares | — | (1,066,212) | |||||
Class C shares | — | (88,029) | |||||
Class I shares | — | (1,034,416) | |||||
Class Y shares | — | (257,861) | |||||
Total distributions to shareholders | (11,356,998) | (24,356,871) | |||||
Capital share transactions: | |||||||
Class A shares | (5,941,502) | (107,818,348) | |||||
Class C shares | (1,633,858) | (5,236,985) | |||||
Class I shares | 80,869,086 | 149,145,862 | |||||
Class R6 shares (a) | 128,824,555 | — | |||||
Class Y shares (b) | (141,745,071) | 32,696,224 | |||||
Net increase in net assets from capital share transactions | 60,373,210 | 68,786,753 | |||||
TOTAL INCREASE IN NET ASSETS | 43,885,909 | 56,958,489 | |||||
NET ASSETS | |||||||
Beginning of period | 950,329,727 | 893,371,238 | |||||
End of period (including accumulated undistributed net investment income of $357,334 and $83,688, respectively) | $994,215,636 | $950,329,727 | |||||
(a) For the period from the commencement of operations, October 3, 2017, to March 31, 2018. | |||||||
(b) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. | |||||||
See notes to financial statements. |
54 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||
Operations: | |||||||
Net investment income | $1,238,041 | $4,664,225 | |||||
Net realized gain | 104,545,356 | 211,444,646 | |||||
Net change in unrealized appreciation (depreciation) | 102,501,621 | 103,095,971 | |||||
Net increase in net assets resulting from operations | 208,285,018 | 319,204,842 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (1,302,443) | (1,961,371) | |||||
Class I shares | (3,368,565) | (3,250,521) | |||||
Class R6 shares (a) | (50) | — | |||||
Class Y shares | — | (856,956) | |||||
Net realized gain: | |||||||
Class A shares | (93,141,006) | (131,011,225) | |||||
Class C shares | (18,856,952) | (25,782,355) | |||||
Class I shares | (52,674,769) | (44,626,014) | |||||
Class R6 shares (a) | (689) | — | |||||
Class Y shares | — | (15,004,422) | |||||
Total distributions to shareholders | (169,344,474) | (222,492,864) | |||||
Capital share transactions: | |||||||
Class A shares | 343,569 | (217,516,856) | |||||
Class C shares | 4,064,241 | (23,409,675) | |||||
Class I shares | 341,883,304 | 43,446,160 | |||||
Class R6 shares (a) | 10,739 | — | |||||
Class Y shares (b) | (224,919,540) | 3,370,372 | |||||
Net increase (decrease) in net assets from capital share transactions | 121,382,313 | (194,109,999) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 160,322,857 | (97,398,021) | |||||
NET ASSETS | |||||||
Beginning of period | 2,135,029,780 | 2,232,427,801 | |||||
End of period (including accumulated undistributed (distributions in excess of) net investment income of ($653,090) and $2,779,927, respectively) | $2,295,352,637 | $2,135,029,780 | |||||
(a) For the period from the commencement of operations, October 3, 2017, to March 31, 2018. | |||||||
(b) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. | |||||||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 55
CALVERT BALANCED FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $32.59 | $30.82 | $31.90 | $33.06 | $34.13 | $30.81 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (a) | 0.20 | 0.47 | 0.51 | (b) | 0.43 | 0.33 | 0.24 | ||||||||||
Net realized and unrealized gain (loss) | 0.81 | 2.11 | 2.14 | (c) | (0.81) | 3.02 | 3.32 | ||||||||||
Total from investment operations | 1.01 | 2.58 | 2.65 | (0.38) | 3.35 | 3.56 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.21) | (0.46) | (0.50) | (0.41) | (0.32) | (0.24) | |||||||||||
Net realized gain | (2.12) | (0.35) | (3.23) | (0.37) | (4.10) | — | |||||||||||
Total distributions | (2.33) | (0.81) | (3.73) | (0.78) | (4.42) | (0.24) | |||||||||||
Total increase (decrease) in net asset value | (1.32) | 1.77 | (1.08) | (1.16) | (1.07) | 3.32 | |||||||||||
Net asset value, ending | $31.27 | $32.59 | $30.82 | $31.90 | $33.06 | $34.13 | |||||||||||
Total return (d) | 3.03 | % | (e) | 8.51 | % | 8.93 | % | (c) | (1.27 | %) | 10.77 | % | 11.60 | % | |||
Ratios to average net assets: (f) | |||||||||||||||||
Total expenses | 0.96 | % | (g) | 0.99 | % | 1.05 | % | 1.13 | % | 1.17 | % | 1.18 | % | ||||
Net expenses | 0.94 | % | (g) | 0.99 | % | 1.02 | % | 1.13 | % | 1.16 | % | 1.18 | % | ||||
Net investment income | 1.26 | % | (g) | 1.48 | % | 1.67 | % | (b) | 1.25 | % | 1.02 | % | 0.76 | % | |||
Portfolio turnover | 42 | % | (e) | 128 | % | 146 | % | 99 | % | 124 | % | 114 | % | ||||
Net assets, ending (in thousands) | $550,263 | $549,517 | $592,625 | $569,368 | $561,809 | $497,160 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) 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%. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Not annualized. | |||||||||||||||||
(f) 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. | |||||||||||||||||
(g) Annualized. | |||||||||||||||||
See notes to financial statements. |
56 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BALANCED FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $31.63 | $29.95 | $31.11 | $32.30 | $33.45 | $30.23 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) (a) | 0.08 | 0.20 | 0.25 | (b) | 0.15 | 0.08 | (0.02) | ||||||||||
Net realized and unrealized gain (loss) | 0.78 | 2.06 | 2.08 | (c) | (0.78) | 2.94 | 3.25 | ||||||||||
Total from investment operations | 0.86 | 2.26 | 2.33 | (0.63) | 3.02 | 3.23 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.09) | (0.23) | (0.26) | (0.19) | (0.07) | (0.01) | |||||||||||
Net realized gain | (2.12) | (0.35) | (3.23) | (0.37) | (4.10) | — | |||||||||||
Total distributions | (2.21) | (0.58) | (3.49) | (0.56) | (4.17) | (0.01) | |||||||||||
Total increase (decrease) in net asset value | (1.35) | 1.68 | (1.16) | (1.19) | (1.15) | 3.22 | |||||||||||
Net asset value, ending | $30.28 | $31.63 | $29.95 | $31.11 | $32.30 | $33.45 | |||||||||||
Total return (d) | 2.62 | % | (e) | 7.66 | % | 8.05 | % | (c) | (2.08 | %) | 9.89 | % | 10.71 | % | |||
Ratios to average net assets: (f) | |||||||||||||||||
Total expenses | 1.73 | % | (g) | 1.80 | % | 1.86 | % | 1.92 | % | 1.95 | % | 1.99 | % | ||||
Net expenses | 1.69 | % | (g) | 1.80 | % | 1.84 | % | 1.92 | % | 1.94 | % | 1.99 | % | ||||
Net investment income (loss) | 0.51 | % | (g) | 0.67 | % | 0.85 | % | (b) | 0.47 | % | 0.24 | % | (0.06 | %) | |||
Portfolio turnover | 42 | % | (e) | 128 | % | 146 | % | 99 | % | 124 | % | 114 | % | ||||
Net assets, ending (in thousands) | $59,426 | $61,205 | $59,242 | $55,180 | $48,814 | $37,812 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) 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%. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Not annualized. | |||||||||||||||||
(f) 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. | |||||||||||||||||
(g) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 57
CALVERT BALANCED FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $33.14 | $31.32 | $32.36 | $33.53 | $34.55 | $31.19 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (a) | 0.26 | 0.58 | 0.63 | (b) | 0.59 | 0.51 | 0.41 | ||||||||||
Net realized and unrealized gain (loss) | 0.82 | 2.18 | 2.17 | (c) | (0.82) | 3.06 | 3.35 | ||||||||||
Total from investment operations | 1.08 | 2.76 | 2.80 | (0.23) | 3.57 | 3.76 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.25) | (0.59) | (0.61) | (0.57) | (0.49) | (0.40) | |||||||||||
Net realized gain | (2.12) | (0.35) | (3.23) | (0.37) | (4.10) | — | |||||||||||
Total distributions | (2.37) | (0.94) | (3.84) | (0.94) | (4.59) | (0.40) | |||||||||||
Total increase (decrease) in net asset value | (1.29) | 1.82 | (1.04) | (1.17) | (1.02) | 3.36 | |||||||||||
Net asset value, ending | $31.85 | $33.14 | $31.32 | $32.36 | $33.53 | $34.55 | |||||||||||
Total return (d) | 3.21 | % | (e) | 8.94 | % | 9.32 | % | (c) | (0.86 | %) | 11.35 | % | 12.13 | % | |||
Ratios to average net assets: (f) | |||||||||||||||||
Total expenses | 0.73 | % | (g) | 0.67 | % | 0.76 | % | 0.64 | % | 0.66 | % | 0.68 | % | ||||
Net expenses | 0.62 | % | (g) | 0.62 | % | 0.65 | % | 0.64 | % | 0.66 | % | 0.68 | % | ||||
Net investment income | 1.59 | % | (g) | 1.80 | % | 2.04 | % | (b) | 1.70 | % | 1.53 | % | 1.26 | % | |||
Portfolio turnover | 42 | % | (e) | 128 | % | 146 | % | 99 | % | 124 | % | 114 | % | ||||
Net assets, ending (in thousands) | $84,648 | $48,780 | $15,554 | $13,894 | $43,579 | $35,578 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) 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. | |||||||||||||||||
(c) 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%. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Not annualized. | |||||||||||||||||
(f) 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. | |||||||||||||||||
(g) Annualized. | |||||||||||||||||
See notes to financial statements. |
58 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $16.14 | $16.36 | $15.83 | $15.92 | $15.61 | $16.58 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (a) | 0.18 | 0.37 | 0.40 | (b) | 0.38 | 0.38 | 0.33 | ||||||||||
Net realized and unrealized gain (loss) | (0.27) | (0.18) | 0.53 | (0.09) | 0.34 | (0.69) | |||||||||||
Total from investment operations | (0.09) | 0.19 | 0.93 | 0.29 | 0.72 | (0.36) | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.18) | (0.36) | (0.40) | (0.38) | (0.38) | (0.35) | |||||||||||
Net realized gain | — | (0.05) | — | — | (0.03) | (0.26) | |||||||||||
Total distributions | (0.18) | (0.41) | (0.40) | (0.38) | (0.41) | (0.61) | |||||||||||
Total increase (decrease) in net asset value | (0.27) | (0.22) | 0.53 | (0.09) | 0.31 | (0.97) | |||||||||||
Net asset value, ending | $15.87 | $16.14 | $16.36 | $15.83 | $15.92 | $15.61 | |||||||||||
Total return (c) | (0.59 | %) | (d) | 1.21 | % | 5.96 | % | 1.79 | % | 4.66 | % | (2.27 | %) | ||||
Ratios to average net assets: (e) | |||||||||||||||||
Total expenses | 0.82 | % | (f) | 0.89 | % | 0.94 | % | 1.07 | % | 1.12 | % | 1.11 | % | ||||
Net expenses | 0.82 | % | (f) | 0.89 | % | 0.91 | % | 1.07 | % | 1.12 | % | 1.11 | % | ||||
Net investment income | 2.22 | % | (f) | 2.29 | % | 2.49 | % | (b) | 2.35 | % | 2.40 | % | 2.05 | % | |||
Portfolio turnover | 58 | % | (d) | 99 | % | 154 | % | 241 | % | 187 | % | 214 | % | ||||
Net assets, ending (in thousands) | $270,819 | $281,490 | $395,957 | $395,194 | $378,269 | $408,823 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.005% of average net assets. | |||||||||||||||||
(c) 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. | |||||||||||||||||
(d) Not annualized. | |||||||||||||||||
(e) 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. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 59
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $16.03 | $16.26 | $15.73 | $15.82 | $15.52 | $16.48 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (a) | 0.11 | 0.22 | 0.25 | (b) | 0.24 | 0.25 | 0.20 | ||||||||||
Net realized and unrealized gain (loss) | (0.27) | (0.18) | 0.54 | (0.09) | 0.33 | (0.68) | |||||||||||
Total from investment operations | (0.16) | 0.04 | 0.79 | 0.15 | 0.58 | (0.48) | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.11) | (0.22) | (0.26) | (0.24) | (0.25) | (0.22) | |||||||||||
Net realized gain | — | (0.05) | — | — | (0.03) | (0.26) | |||||||||||
Total distributions | (0.11) | (0.27) | (0.26) | (0.24) | (0.28) | (0.48) | |||||||||||
Total increase (decrease) in net asset value | (0.27) | (0.23) | 0.53 | (0.09) | 0.30 | (0.96) | |||||||||||
Net asset value, ending | $15.76 | $16.03 | $16.26 | $15.73 | $15.82 | $15.52 | |||||||||||
Total return (c) | (0.98 | %) | 0.27 | % | 5.05 | % | 0.95 | % | 3.78 | % | (3.01 | %) | |||||
Ratios to average net assets: (d) | |||||||||||||||||
Total expenses | 1.62 | % | (e) | 1.78 | % | 1.84 | % | 1.91 | % | 1.92 | % | 1.90 | % | ||||
Net expenses | 1.62 | % | (e) | 1.78 | % | 1.81 | % | 1.91 | % | 1.92 | % | 1.90 | % | ||||
Net investment income | 1.42 | % | (e) | 1.40 | % | 1.59 | % | (b) | 1.51 | % | 1.60 | % | 1.26 | % | |||
Portfolio turnover | 58 | % | (f) | 99 | % | 154 | % | 241 | % | 187 | % | 214 | % | ||||
Net assets, ending (in thousands) | $24,554 | $26,631 | $32,349 | $32,626 | $33,963 | $37,620 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.005% of average net assets. | |||||||||||||||||
(c) 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. | |||||||||||||||||
(d) 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. | |||||||||||||||||
(e) Annualized. | |||||||||||||||||
(f) Not annualized. | |||||||||||||||||
See notes to financial statements. |
60 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $16.15 | $16.38 | $15.85 | $15.94 | $15.62 | $16.59 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (a) | 0.20 | 0.42 | 0.46 | (b) | 0.47 | 0.48 | 0.43 | ||||||||||
Net realized and unrealized gain (loss) | (0.28) | (0.17) | 0.53 | (0.09) | 0.35 | (0.70) | |||||||||||
Total from investment operations | (0.08) | 0.25 | 0.99 | 0.38 | 0.83 | (0.27) | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.19) | (0.43) | (0.46) | (0.47) | (0.48) | (0.44) | |||||||||||
Net realized gain | — | (0.05) | — | — | (0.03) | (0.26) | |||||||||||
Total distributions | (0.19) | (0.48) | (0.46) | (0.47) | (0.51) | (0.70) | |||||||||||
Total increase (decrease) in net asset value | (0.27) | (0.23) | 0.53 | (0.09) | 0.32 | (0.97) | |||||||||||
Net asset value, ending | $15.88 | $16.15 | $16.38 | $15.85 | $15.94 | $15.62 | |||||||||||
Total return (c) | (0.48 | %) | (d) | 1.54 | % | 6.35 | % | 2.36 | % | 5.35 | % | (1.69 | %) | ||||
Ratios to average net assets: (e) | |||||||||||||||||
Total expenses | 0.62 | % | (f) | 0.54 | % | 0.54 | % | 0.51 | % | 0.50 | % | 0.51 | % | ||||
Net expenses | 0.53 | % | (f) | 0.52 | % | 0.53 | % | 0.51 | % | 0.50 | % | 0.51 | % | ||||
Net investment income | 2.52 | % | (f) | 2.64 | % | 2.86 | % | (b) | 2.91 | % | 3.01 | % | 2.66 | % | |||
Portfolio turnover | 58 | % | (d) | 99 | % | 154 | % | 241 | % | 187 | % | 214 | % | ||||
Net assets, ending (in thousands) | $572,311 | $500,510 | $355,017 | $328,690 | $300,602 | $220,621 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.005% of average net assets. | |||||||||||||||||
(c) 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. | |||||||||||||||||
(d) Not annualized. | |||||||||||||||||
(e) 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. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 61
CALVERT BOND FUND
FINANCIAL HIGHLIGHTS
Period Ended March 31, 2018 (a) (Unaudited) | ||||
CLASS R6 SHARES | ||||
Net asset value, beginning | $16.17 | |||
Income from investment operations: | ||||
Net investment income (b) | 0.20 | |||
Net realized and unrealized loss | (0.29) | |||
Total from investment operations | (0.09) | |||
Distributions from: | ||||
Net investment income | (0.20) | |||
Total distributions | (0.20) | |||
Total decrease in net asset value | (0.29) | |||
Net asset value, ending | $15.88 | |||
Total return (c) | (0.58 | %) | (d) | |
Ratios to average net assets: (e) | ||||
Total expenses | 0.58 | % | (f) | |
Net expenses | 0.53 | % | (f) | |
Net investment income | 2.52 | % | (f) | |
Portfolio turnover | 58 | % | (d)(g) | |
Net assets, ending (in thousands) | $126,532 | |||
(a) For the period from the commencement of operations, October 3, 2017 to March 31, 2018. | ||||
(b) Computed using average shares outstanding. | ||||
(c) Return is historical and is calculated by determining the percentage change in net asset value with all distributions reinvested and does not reflect the effect of sales charges, if any. | ||||
(d) Not annualized. | ||||
(e) 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. | ||||
(f) Annualized. | ||||
(g) For the six months ended March 31, 2018. | ||||
See notes to financial statements. |
62 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS A SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $43.31 | $41.38 | $47.79 | $50.33 | $44.68 | $38.48 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (a) | 0.01 | 0.06 | 0.11 | (b) | 0.10 | 0.02 | 0.07 | ||||||||||
Net realized and unrealized gain | 4.22 | 6.03 | 3.74 | 2.20 | 7.67 | 6.19 | |||||||||||
Total from investment operations | 4.23 | 6.09 | 3.85 | 2.30 | 7.69 | 6.26 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.05) | (0.06) | (0.13) | (0.02) | (0.05) | (0.01) | |||||||||||
Net realized gain | (3.43) | (4.10) | (10.13) | (4.82) | (1.99) | (0.05) | |||||||||||
Total distributions | (3.48) | (4.16) | (10.26) | (4.84) | (2.04) | (0.06) | |||||||||||
Total increase (decrease) in net asset value | 0.75 | 1.93 | (6.41) | (2.54) | 5.65 | 6.20 | |||||||||||
Net asset value, ending | $44.06 | $43.31 | $41.38 | $47.79 | $50.33 | $44.68 | |||||||||||
Total return (c) | 9.89 | % | (d) | 16.39 | % | 8.57 | % | 4.57 | % | 17.63 | % | 16.30 | % | ||||
Ratios to average net assets: (e) | |||||||||||||||||
Total expenses | 1.01 | % | (f) | 1.06 | % | 1.10 | % | 1.13 | % | 1.15 | % | 1.21 | % | ||||
Net expenses | 1.01 | % | (f) | 1.06 | % | 1.08 | % | 1.12 | % | 1.14 | % | 1.20 | % | ||||
Net investment income | 0.05 | % | (f) | 0.16 | % | 0.27 | % | (b) | 0.19 | % | 0.05 | % | 0.18 | % | |||
Portfolio turnover | 10 | % | (d) | 29 | % | 44 | % | 37 | % | 24 | % | 32 | % | ||||
Net assets, ending (in thousands) | $1,244,932 | $1,220,685 | $1,385,988 | $1,328,913 | $1,590,823 | $1,602,401 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.005% of average net assets. | |||||||||||||||||
(c) 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. | |||||||||||||||||
(d) Not annualized. | |||||||||||||||||
(e) 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. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 63
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS C SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $26.84 | $27.35 | $34.98 | $38.31 | $34.66 | $30.06 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment loss (a) | (0.10) | (0.15) | (0.14) | (b) | (0.20) | (0.25) | (0.17) | ||||||||||
Net realized and unrealized gain | 2.58 | 3.74 | 2.67 | 1.69 | 5.89 | 4.82 | |||||||||||
Total from investment operations | 2.48 | 3.59 | 2.53 | 1.49 | 5.64 | 4.65 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | — | (0.03) | — | — | — | |||||||||||
Net realized gain | (3.43) | (4.10) | (10.13) | (4.82) | (1.99) | (0.05) | |||||||||||
Total distributions | (3.43) | (4.10) | (10.16) | (4.82) | (1.99) | (0.05) | |||||||||||
Total increase (decrease) in net asset value | (0.95) | (0.51) | (7.63) | (3.33) | 3.65 | 4.60 | |||||||||||
Net asset value, ending | $25.89 | $26.84 | $27.35 | $34.98 | $38.31 | $34.66 | |||||||||||
Total return (c) | 9.45 | % | (d) | 15.48 | % | 7.73 | % | 3.82 | % | 16.76 | % | 15.51 | % | ||||
Ratios to average net assets: (e) | |||||||||||||||||
Total expenses | 1.77 | % | (f) | 1.83 | % | 1.87 | % | 1.87 | % | 1.88 | % | 1.91 | % | ||||
Net expenses | 1.77 | % | (f) | 1.83 | % | 1.85 | % | 1.86 | % | 1.87 | % | 1.90 | % | ||||
Net investment loss | (0.71 | %) | (f) | (0.60 | %) | (0.50 | %) | (b) | (0.54 | %) | (0.68 | %) | (0.52 | %) | |||
Portfolio turnover | 10 | % | (d) | 29 | % | 44 | % | 37 | % | 24 | % | 32 | % | ||||
Net assets, ending (in thousands) | $152,022 | $152,561 | $178,719 | $169,649 | $171,869 | $158,591 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.005% of average net assets. | |||||||||||||||||
(c) 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. | |||||||||||||||||
(d) Not annualized. | |||||||||||||||||
(e) 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. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
64 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, | ||||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $49.44 | $46.68 | $52.65 | $54.90 | $48.48 | $41.55 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (a) | 0.09 | 0.25 | 0.32 | (b) | 0.38 | 0.29 | 0.32 | ||||||||||
Net realized and unrealized gain | 4.82 | 6.88 | 4.14 | 2.38 | 8.34 | 6.70 | |||||||||||
Total from investment operations | 4.91 | 7.13 | 4.46 | 2.76 | 8.63 | 7.02 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | (0.22) | (0.27) | (0.30) | (0.19) | (0.22) | (0.04) | |||||||||||
Net realized gain | (3.43) | (4.10) | (10.13) | (4.82) | (1.99) | (0.05) | |||||||||||
Total distributions | (3.65) | (4.37) | (10.43) | (5.01) | (2.21) | (0.09) | |||||||||||
Total increase (decrease) in net asset value | 1.26 | 2.76 | (5.97) | (2.25) | 6.42 | 6.93 | |||||||||||
Net asset value, ending | $50.70 | $49.44 | $46.68 | $52.65 | $54.90 | $48.48 | |||||||||||
Total return (c) | 10.08 | % | (d) | 16.85 | % | 9.01 | % | 5.06 | % | 18.23 | % | 16.95 | % | ||||
Ratios to average net assets: (e) | |||||||||||||||||
Total expenses | 0.76 | % | (f) | 0.69 | % | 0.69 | % | 0.64 | % | 0.64 | % | 0.66 | % | ||||
Net expenses | 0.70 | % | (f) | 0.67 | % | 0.67 | % | 0.63 | % | 0.62 | % | 0.65 | % | ||||
Net investment income | 0.33 | % | (f) | 0.54 | % | 0.68 | % | (b) | 0.69 | % | 0.56 | % | 0.72 | % | |||
Portfolio turnover | 10 | % | (d) | 29 | % | 44 | % | 37 | % | 24 | % | 32 | % | ||||
Net assets, ending (in thousands) | $898,387 | $550,055 | $472,583 | $567,954 | $961,680 | $798,677 | |||||||||||
(a) Computed using average shares outstanding. | |||||||||||||||||
(b) Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.005 per share and 0.005% of average net assets. | |||||||||||||||||
(c) 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. | |||||||||||||||||
(d) Not annualized. | |||||||||||||||||
(e) 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. | |||||||||||||||||
(f) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 65
CALVERT EQUITY FUND
FINANCIAL HIGHLIGHTS
Period Ended March 31, 2018 (a) (Unaudited) | ||||
CLASS R6 SHARES | ||||
Net asset value, beginning | $49.74 | |||
Income from investment operations: | ||||
Net investment income (b) | 0.10 | |||
Net realized and unrealized gain | 4.50 | |||
Total from investment operations | 4.60 | |||
Distributions from: | ||||
Net investment income | (0.25) | |||
Net realized gain | (3.43) | |||
Total distributions | (3.68) | |||
Total increase in net asset value | 0.92 | |||
Net asset value, ending | $50.66 | |||
Total return (c) | 9.41 | % | (d) | |
Ratios to average net assets: (e) | ||||
Total expenses | 0.70 | % | (f) | |
Net expenses | 0.70 | % | (f) | |
Net investment income | 0.39 | % | (f) | |
Portfolio turnover | 10 | % | (d)(g) | |
Net assets, ending (in thousands) | $11 | |||
(a) For the period from the commencement of operations, October 3, 2017 to March 31, 2018. | ||||
(b) Computed using average shares outstanding. | ||||
(c) Return is historical and is calculated by determining the percentage change in net asset value with all distributions reinvested and does not reflect the effect of sales charges, if any. | ||||
(d) Not annualized. | ||||
(e) 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. | ||||
(f) Annualized. | ||||
(g) For the six months ended March 31, 2018. | ||||
See notes to financial statements. |
66 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert Balanced Fund (Balanced), Calvert Bond Fund (Bond) and Calvert Equity Fund (Equity) (each a Fund and collectively, the Funds) are diversified series of Calvert Social Investment Fund (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of Balanced is to seek to achieve a competitive total return through an actively managed portfolio of stocks, bonds, and money market instruments which offer income and capital growth opportunity. The investment objective of Bond is to seek to provide as high a level of current income as is consistent with preservation of capital through investment in bonds and other debt securities. The investment objective of Equity is to seek growth of capital through investment in stocks believed to offer opportunities for potential capital appreciation.
Balanced offers three class of shares and Bond and Equity each offer four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class R6 shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each Fund previously offered Class Y shares. At the close of business on December 8, 2017, Class Y shares were converted to Class I shares. Each class represents a pro rata interest in each Fund, but votes separately on class-specific matters and is subject to different expenses.
Each Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Funds use independent pricing services approved by the Board of Trustees (the Board) to value their investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the Procedures) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Funds to Calvert Research and Management (CRM), the Funds' investment adviser, and has provided these Procedures to govern CRM in its valuation duties.
CRM has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including each Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Funds' investments by major category are as follows:
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 67
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Floating Rate Loans. Interests in floating rate loans for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service, and are categorized as Level 2 in the hierarchy.
Venture Capital Securities. Venture capital securities for which market quotations are not readily available are generally categorized as Level 3 in the hierarchy. Venture capital equity securities are generally valued using the most appropriate and applicable method to measure fair value in light of each company’s situation. Methods may include market, income, options-pricing or cost approaches with discounts as appropriate based on assumptions of liquidation or exit risk. Examples of the market approach are subsequent rounds of financing, comparable transactions, and revenue times an industry multiple. An example of the income approach is the discounted cash flow model. Examples of the cost approach are replacement cost, salvage value, or net asset value. The options-pricing method treats common stock and preferred stock as call options on the enterprise value with strike price based on the preferred stock liquidation preference. Venture capital limited partnership interests are valued at the fair value reported by the general partner of the partnership, adjusted as necessary to reflect subsequent capital calls and distributions and any other available information. In some cases, adjustments may be made to account for daily pricing of material public holdings within the partnership.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. U.S. exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Funds' adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Funds might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
68 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
The following tables summarize the market value of each of the Funds' holdings as of March 31, 2018, based on the inputs used to value them:
BALANCED
Assets | Level 1 | Level 2 | Level 3(1) | Total | |||||||||
Common Stocks | $ | 423,312,260 | (2) | $ | — | $ | — | $ | 423,312,260 | ||||
Common Stocks - Venture Capital | — | — | 1,374,767 | 1,374,767 | |||||||||
Corporate Bonds | — | 135,840,747 | — | 135,840,747 | |||||||||
Asset-Backed Securities | — | 56,335,570 | — | 56,335,570 | |||||||||
U.S. Treasury Obligations | — | 33,738,767 | — | 33,738,767 | |||||||||
Collateralized Mortgage-Backed Obligations | — | 10,943,270 | — | 10,943,270 | |||||||||
Commercial Mortgage-Backed Securities | — | 9,083,815 | — | 9,083,815 | |||||||||
Taxable Municipal Obligations | — | 6,488,776 | — | 6,488,776 | |||||||||
High Social Impact Investments | — | 4,051,498 | 853,603 | 4,905,101 | |||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 3,205,021 | — | 3,205,021 | |||||||||
Sovereign Government Bonds | — | 940,844 | — | 940,844 | |||||||||
U.S. Government Agencies and Instrumentalities | — | 866,741 | — | 866,741 | |||||||||
Preferred Stocks - Venture Capital | — | — | 818,276 | 818,276 | |||||||||
Venture Capital Limited Partnership Interest | — | — | 741,974 | 741,974 | |||||||||
Venture Capital Debt Obligations | — | — | 36,737 | 36,737 | |||||||||
Floating Rate Loans | — | — | 6,078 | 6,078 | |||||||||
Time Deposit | — | 5,297,970 | — | 5,297,970 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 1,035,588 | — | — | 1,035,588 | |||||||||
Purchased Options | 2,141 | — | — | 2,141 | |||||||||
Total Investments | $ | 424,349,989 | $ | 266,793,019 | $ | 3,831,435 | $ | 694,974,443 | |||||
Futures Contracts(3) | $ | 102,616 | $ | — | $ | — | $ | 102,616 | |||||
Total | $ | 424,452,605 | $ | 266,793,019 | $ | 3,831,435 | $ | 695,077,059 | |||||
Liabilities | |||||||||||||
Futures Contracts(3) | $ | (95,310 | ) | $ | — | $ | — | $ | (95,310 | ) | |||
(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. | |||||||||||||
(3) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED) 69
BOND
Assets | Level 1 | Level 2 | Level 3(1) | Total | ||||||||
Corporate Bonds | $ | — | $ | 480,972,426 | $ | — | $ | 480,972,426 | ||||
U.S. Treasury Obligations | — | 163,329,399 | — | 163,329,399 | ||||||||
Asset-Backed Securities | — | 181,325,709 | — | 181,325,709 | ||||||||
Collateralized Mortgage-Backed Obligations | — | 48,372,390 | — | 48,372,390 | ||||||||
Commercial Mortgage-Backed Securities | — | 33,262,744 | — | 33,262,744 | ||||||||
Taxable Municipal Obligations | — | 23,881,271 | — | 23,881,271 | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 13,967,895 | — | 13,967,895 | ||||||||
High Social Impact Investments | — | 4,830,835 | 1,064,393 | 5,895,228 | ||||||||
Sovereign Government Bonds | — | 7,887,425 | — | 7,887,425 | ||||||||
U.S. Government Agencies and Instrumentalities | — | 2,744,680 | — | 2,744,680 | ||||||||
Floating Rate Loans | — | — | 7,598 | 7,598 | ||||||||
Time Deposit | — | 28,560,724 | — | 28,560,724 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 12,286,455 | — | — | 12,286,455 | ||||||||
Purchased Options | 8,000 | — | — | 8,000 | ||||||||
Total Investments | $ | 12,294,455 | $ | 989,135,498 | $ | 1,071,991 | $ | 1,002,501,944 | ||||
Futures Contracts(2) | $ | 311,766 | $ | — | $ | — | $ | 311,766 | ||||
Total | $ | 12,606,221 | $ | 989,135,498 | $ | 1,071,991 | $ | 1,002,813,710 | ||||
Liabilities | ||||||||||||
Futures Contracts(2) | $ | (479,225 | ) | $ | — | $ | — | $ | (479,225 | ) | ||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | ||||||||||||
(2) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
EQUITY
Assets | Level 1 | Level 2 | Level 3(1) | Total | |||||||||
Common Stocks | $ | 2,191,514,446 | (2) | $ | — | $ | — | $ | 2,191,514,446 | ||||
Common Stocks - Venture Capital | — | — | 897,123 | 897,123 | |||||||||
Preferred Stocks - Venture Capital | — | — | 2,303,458 | 2,303,458 | |||||||||
Warrants - Venture Capital | — | — | 3,066 | 3,066 | |||||||||
Venture Capital Limited Partnership Interest | — | — | 14,180,314 | 14,180,314 | |||||||||
Venture Capital Debt Obligations | — | — | 1,805,163 | 1,805,163 | |||||||||
High Social Impact Investments | — | 10,287,525 | 3,133,340 | 13,420,865 | |||||||||
Other | — | — | 390,000 | 390,000 | |||||||||
Time Deposit | — | 76,525,618 | — | 76,525,618 | |||||||||
Total Investments | $ | 2,191,514,446 | $ | 86,813,143 | $ | 22,712,464 | $ | 2,301,040,053 | |||||
(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. |
For each Fund, Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended March 31, 2018 is not presented. There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2018.
70 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as each Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. The Funds earn certain fees in connection with their investments in floating rate loans. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees, which are recorded to income as earned. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of each Fund. Expenses arising in connection with a specific class are charged directly to that class. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer and dividend disbursing agent fees on the Statements of Operations, are not allocated to Class R6 shares.
D. Foreign Currency Transactions: The Funds’ accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E. Floating Rate Loans: The Funds may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Funds' investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Funds may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Funds generally have no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Funds may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Funds purchase assignments from lenders, they acquire direct rights against the borrower of the loan. When investing in a loan participation, the Funds have the right to receive payments of principal, interest and any fees to which they are entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower.
F. Futures Contracts: The Funds may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Funds. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Funds' ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Funds.
G. Options Contracts: Upon the purchase of a call or put option, the premium paid by the Funds is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Funds’ policies on investment valuations discussed above. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. As the purchaser of an index option, the Funds have the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. The risk
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associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
H. Restricted Securities: The Funds may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of each Fund’s Schedule of Investments.
I. Distributions to Shareholders: Distributions to shareholders are recorded by the Funds on ex-dividend date. Dividends from net investment income are declared and paid monthly by Bond, quarterly by Balanced and annually by Equity. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Funds’ capital accounts to reflect income and gains available for distribution under income tax regulations.
J. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
K. Indemnifications: Under the Trust’s organizational document, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Funds. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and provides that upon request, the Trust shall assume the defense on behalf of any Fund shareholders or former shareholders. Additionally, in the normal course of business, each Fund enters into agreements with service providers that may contain indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred.
L. Federal Income Taxes: No provision for federal income or excise tax is required since each Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Funds' tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Funds' financial statements. Each Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
M. Interim Financial Statements: The interim financial statements relating to March 31, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Funds’ management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to each Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the following annual rates of each respective Fund's average daily net assets:
BALANCED
Up to and including $500 Million | 0.41 | % |
Over $500 Million up to and including $1 Billion | 0.385 | % |
Over $1 Billion | 0.35 | % |
BOND
Up to and including $1 Billion | 0.35 | % |
Over $1 Billion | 0.325 | % |
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EQUITY
Up to and including $2 Billion | 0.50 | % |
Over $2 Billion up to and including $3 Billion | 0.425 | % |
Over $3 Billion | 0.375 | % |
For the six months ended March 31, 2018, the investment advisory fee for Balanced, Bond and Equity amounted to $1,411,123, $1,697,562 and $5,517,087, respectively, or 0.40% (annualized), 0.35% (annualized) and 0.49% (annualized), respectively, of each Fund's average daily net assets.
Atlanta Capital Management Company, LLC, an affiliate of CRM, provides sub-advisory services to Equity pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Funds' operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed the following amounts:
Class A | Class C | Class I | Class Y* | Class R6 | |
BALANCED | 0.94% | 1.69% | 0.62% | 0.73% | — |
BOND | 0.88% | 1.63% | 0.53% | 0.64% | 0.53% |
EQUITY | 1.07% | 1.82% | 0.70% | 0.96% | 0.70% |
* For the period prior to the close of business on December 8, 2017.
The expense reimbursement agreements with CRM may be changed or terminated after January 31, 2019. For the six months ended March 31, 2018, CRM waived or reimbursed expenses of $100,683, $199,612 and $179,815 for Balanced, Bond and Equity, respectively.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Funds. The fee is computed at an annual rate of 0.12% of each Fund’s average daily net assets attributable to Class A, Class C, Class I and Class R6 (and Class Y prior to the close of business on December 8, 2017) and is payable monthly. CRM contractually waived 0.02% of the administrative fee for Class I of Bond and Equity through January 31, 2018. For the six months ended March 31, 2018, CRM was paid administrative fees of $420,299, $581,519 and $1,345,863 of which $33,282 and $45,477 were waived for Bond and Equity, respectively.
Each Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, each Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Funds' principal underwriter, a distribution and service fee rate per annum of its average daily net assets attributable to Class A for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fee rates for Class A shares are as follows:
Balanced | Bond | Equity | |
Class A Plan | 0% up to $30 million, 0.25% over $30 million | 0.20% | 0.25% |
Each Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, each Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Funds. In addition, pursuant to the Class C Plan, each Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts.
Distribution and service fees for Balanced, Bond and Equity paid or accrued for the six months ended March 31, 2018 amounted to $660,336, $277,759 and $1,574,347, respectively, for Class A shares and $304,507, $128,986 and $781,953, respectively, for Class C shares.
The Funds were informed that EVD received $46,732, $15,316 and $52,908 for Balanced, Bond and Equity, respectively, as their portion of the sales charge on sales of Class A shares for the six months ended March 31, 2018. The Funds were also informed that EVD received $8,593, $3,125 and $3,896 for Balanced, Bond and Equity, respectively, of contingent deferred sales charges paid by each Fund's shareholders for the same period.
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EVM provides sub-transfer agency and related services to the Funds pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $63,306, $34,274 and $125,842 for Balanced, Bond and Equity, respectively, and are included in transfer agency fees and expenses on the Statements of Operations.
Each Trustee of the Funds who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Trustees may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Funds or other Calvert funds selected by the Trustees. The Funds purchase shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Funds’ assets. Trustees’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Trustees of the Funds who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds' former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended March 31, 2018, each Fund's allocated portion of such expense and reimbursement was $7,661, $10,562 and $24,268 for Balanced, Bond and Equity, respectively, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statements of Operations.
NOTE 3 — INVESTMENT ACTIVITY
During the six months ended March 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities and including paydowns, were as follows:
BALANCED | BOND | EQUITY | |||||||
Purchases | |||||||||
U.S. Government and Agency Securities | $72,513,664 | $341,469,653 | $— | ||||||
Non-U.S. Government and Agency Securities | 216,826,227 | 250,561,959 | 210,753,958 | ||||||
Total Purchases | $289,339,891 | $592,031,612 | $210,753,958 | ||||||
Sales | |||||||||
U.S. Government and Agency Securities | $82,143,152 | $342,961,796 | $— | ||||||
Non-U.S. Government and Agency Securities | 213,708,603 | 190,988,362 | 243,886,530 | ||||||
Total Sales | $295,851,755 | $533,950,158 | $243,886,530 |
NOTE 4 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
At September 30, 2017, Equity, for federal income tax purposes, had deferred capital losses of $5,009,957 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2017, $3,369,699 are short-term and $1,640,258 are long-term. Equity’s use of net capital losses acquired from reorganizations, which amounted to $5,009,957 at September 30, 2017, may be limited under certain tax provisions.
At September 30, 2017, Bond had a net capital loss of $3,467,224 attributable to security transactions incurred after October 31, 2016 that it has elected to defer. This net capital loss is treated as arising on the first day of the Fund’s taxable year ending September 30, 2018.
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The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Funds at March 31, 2018, as determined on a federal income tax basis, were as follows:
BALANCED | BOND | EQUITY | |||||||
Federal tax cost of investments | $665,473,958 | $1,013,993,077 | $1,571,826,818 | ||||||
Gross unrealized appreciation | $42,724,893 | $4,344,999 | $744,838,736 | ||||||
Gross unrealized depreciation | (13,217,102) | (16,003,591) | (15,625,501) | ||||||
Net unrealized appreciation (depreciation) | $29,507,791 | ($11,658,592 | ) | $729,213,235 |
NOTE 5 — FINANCIAL INSTRUMENTS
A summary of futures contracts and options contracts outstanding at March 31, 2018 is included in each Fund's Schedule of Investments. During the six months ended March 31, 2018, Balanced and Bond used futures contracts and options contracts to hedge against fluctuations in interest rates and to manage overall duration of the Funds.
At March 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is interest rate risk was as follows:
BALANCED
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | ||||||
Futures contracts | Net unrealized appreciation | $102,616 | * | ($95,310 | ) | * | |||
Purchased options | Investments in securities of unaffiliated issuers, at value | $2,141 | $— | ||||||
Total | $104,757 | ($95,310 | ) | ||||||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
BOND
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | ||||||
Futures contracts | Net unrealized depreciation | $311,766 | * | ($479,225 | ) | * | |||
Purchased options | Investments in securities of unaffiliated issuers, at value | $8,000 | $— | ||||||
Total | $319,766 | ($479,225 | ) | ||||||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
At March 31, 2018, Equity did not have any open derivative instruments.
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statements of Operations and whose primary underlying risk exposure is interest rate risk for the six months ended March 31, 2018 was as follows:
BALANCED
Statement of Operations Caption | |||
Net realized gain (loss) on: | |||
Investment securities – unaffiliated issuers | $284,884 | ||
Futures contracts | $21,317 | ||
Total | $306,201 | ||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities – unaffiliated issuers | ($73,030 | ) | |
Futures contracts | $8,049 | ||
Total | ($64,981 | ) |
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BOND
Statement of Operations Caption | |||
Net realized gain (loss) on: | |||
Investment securities – unaffiliated issuers | $1,062,864 | ||
Futures contracts | $357,284 | ||
Total | $1,420,148 | ||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities – unaffiliated issuers | ($272,965 | ) | |
Futures contracts | ($167,459 | ) | |
Total | ($440,424 | ) |
The average notional cost of futures contracts and the average number of purchased options contracts outstanding during the six months ended March 31, 2018 were approximately as follows:
BALANCED BOND
Futures contracts – long $7,337,000 $33,087,000
Futures contracts – short $2,545,000 $12,909,000
Purchased options 124 453
NOTE 6 — OVERDRAFT ADVANCES
Pursuant to the custodian agreement, State Street Bank and Trust Company (SSB) may, in its discretion, advance funds to the Funds to make properly authorized payments. When such payments result in an overdraft, each Fund is obligated to repay SSB at the current rate of interest charged by SSB for secured loans (currently, the Federal Funds rate plus 2%). This obligation is payable on demand to SSB. SSB has a lien on each Fund's assets to the extent of any overdraft. At March 31, 2018, Balanced and Bond each had a payment due to SSB pursuant to the foregoing arrangement of $608,305 and $1,782, respectively. Based on the short-term nature of these payments and the variable interest rate, the carrying value of the overdraft advances approximated its fair value at March 31, 2018. If measured at fair value, overdraft advances would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2018. The Funds' average overdraft advances during the six months ended March 31, 2018 were not significant.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Funds may lend their securities pursuant to a securities lending agency agreement with SSB, the securities lending agent. Security loans are subject to termination by the Funds at any time and, therefore, are not considered to be illiquid investments. The Funds require that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the respective Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Funds. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the respective Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the respective Fund and cannot be sold or re-pledged by the respective Fund; accordingly, such collateral is not reflected in each of the Statements of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Funds in the case of default of any securities borrower.
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At March 31, 2018, the total value of securities on loan, including accrued interest, and the total value of collateral received were as follows:
Balanced | Bond | Equity | |||||||
Securities on Loan | $14,269,635 | $12,037,382 | $4,569,640 | ||||||
Collateral Received: | |||||||||
Cash | $1,035,588 | $12,286,455 | $— | ||||||
U.S. Government and/or agencies securities | 13,313,825 | — | 4,657,500 | ||||||
Total Collateral Received | $14,349,413 | $12,286,455 | $4,657,500 |
The following tables provide a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2018.
BALANCED | |||||||||||||||
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $13,313,825 | $— | $— | $— | $13,313,825 | ||||||||||
Corporate Bonds | 1,035,588 | — | — | — | 1,035,588 | ||||||||||
Total | $14,349,413 | $— | $— | $— | $14,349,413 |
BOND | |||||||||||||||
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Corporate Bonds | $12,286,455 | $— | $— | $— | $12,286,455 |
EQUITY | |||||||||||||||
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $4,657,500 | $— | $— | $— | $4,657,500 |
The carrying amount of the liability for deposits for securities loaned at March 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2018.
NOTE 8 — LINE OF CREDIT
The Funds participate with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Funds, a Fund may be unable to borrow some or all of its requested amounts at any particular time. Equity had no borrowings pursuant to this line of credit during the six months ended March 31, 2018. Balanced and Bond did not have any significant borrowings or allocated fees during the six months ended March 31, 2018.
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NOTE 9 — AFFILIATED COMPANIES
The Funds have invested a portion of their assets designated for high social impact investments in notes issued by Calvert Impact Capital, Inc. (CIC), formerly the Calvert Social Investment Foundation, pursuant to an exemptive order granted by the U.S. Securities and Exchange Commission (the SEC) in 1998 (the Exemptive Order). The Funds obtained the Exemptive Order because at that time there was a significant overlap of Fund Board members and CIC Board members as well as certain other affiliations between CIC and affiliates of the Funds' investment adviser. CIC may be considered an affiliated person of the Funds based on the overlap between CIC’s Board of Directors and the Calvert funds’ Directors/Trustees and other potential affiliations. CIC has licensed use of the Calvert name from CRM, and currently two Fund Board members (one of whom is CRM’s President and Chief Executive Officer), two members of the Advisory Council to the Calvert Fund Board of Directors/Trustees, and an additional CRM officer serve on CIC’s Board. CIC is not owned or otherwise controlled by CRM or its affiliates. The Funds intend to request a new exemptive order from the SEC to permit additional investment in CIC notes.
In addition, an affiliated company is a company in which a fund has a direct or indirect ownership of, control of, or voting power of 5 percent or more of the outstanding voting shares, or a company that is under common ownership or control with a fund. At March 31, 2018, the value of each Fund’s investment in affiliated companies was $4,073,883, $4,830,835 and $10,287,525 for Balanced, Bond and Equity, respectively, which represents 0.59%, 0.49% and 0.45% of net assets for Balanced, Bond and Equity, respectively. Transactions in affiliated companies by the Funds for the six months ended March 31, 2018 were as follows:
BALANCED | |||||||||||||||||||||||||||
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change In Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 | $4,266,666 | $— | $— | $4,266,666 | $4,051,498 | $31,467 | $— | $— | ($14,976 | ) | |||||||||||||||||
GEEMF Partners LP | — | — | — | — | 22,385 | — | — | — | 5,132 | ||||||||||||||||||
TOTALS | $4,073,883 | $31,467 | $— | $— | ($9,844 | ) |
BOND | |||||||||||||||||||||||||||
Name of Affiliated Company | Principal Amount, beginning of period | Gross Additions | Gross Reductions | Principal Amount, end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 | $5,087,392 | $— | $— | $5,087,392 | $4,830,835 | $37,520 | $— | $— | ($17,857 | ) |
EQUITY | |||||||||||||||||||||||||||
Name of Affiliated Company | Principal Amount/ Shares beginning of period | Gross Additions | Gross Reductions | Principal Amount/ Shares end of period | Value, end of period | Interest Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19 | $10,833,877 | $— | $— | $10,833,877 | $10,287,525 | $79,900 | $— | $— | ($38,026 | ) | |||||||||||||||||
New Day Farms, Inc., Participation Interest Note | 6,225 | — | — | 6,225 | — | 139 | — | — | — | ||||||||||||||||||
New Day Farms, Inc., Series B, Preferred | 4,547,804 | — | — | 4,547,804 | — | — | — | — | — | ||||||||||||||||||
Shangri La Farms, Series A, Preferred | 66,667 | — | — | 66,667 | — | — | — | — | — | ||||||||||||||||||
TOTALS | $10,287,525 | $80,039 | $— | $— | ($38,026 | ) |
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NOTE 10 — CAPITAL SHARES
Transactions in capital shares for the six months ended March 31, 2018 and the year ended September 30, 2017 were as follows:
BALANCED | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 655,554 | $21,211,417 | 1,788,008 | $56,550,939 | |||||||
Reinvestment of distributions | 1,166,116 | 36,911,114 | 442,518 | 13,869,696 | |||||||
Shares redeemed | (1,085,564 | ) | (35,225,215 | ) | (4,601,387 | ) | (144,902,587 | ) | |||
Net increase (decrease) | 736,106 | $22,897,316 | (2,370,861 | ) | ($74,481,952 | ) | |||||
Class C | |||||||||||
Shares sold | 132,230 | $4,131,109 | 424,327 | $12,910,553 | |||||||
Reinvestment of distributions | 124,197 | 3,809,129 | 32,486 | 983,605 | |||||||
Shares redeemed | (228,733 | ) | (7,203,091 | ) | (500,415 | ) | (15,318,981 | ) | |||
Net increase (decrease) | 27,694 | $737,147 | (43,602 | ) | ($1,424,823 | ) | |||||
Class I | |||||||||||
Shares sold | 412,652 | $13,583,297 | 1,213,710 | $38,480,633 | |||||||
Reinvestment of distributions | 164,435 | 5,297,415 | 31,138 | 999,298 | |||||||
Shares redeemed | (322,412 | ) | (10,737,489 | ) | (269,403 | ) | (8,764,248 | ) | |||
Conversion from Class Y | 931,356 | 31,845,199 | — | — | |||||||
Net increase | 1,186,031 | $39,988,422 | 975,445 | $30,715,683 | |||||||
Class Y (a) | |||||||||||
Shares sold | 107,268 | $3,579,531 | 636,692 | $20,241,228 | |||||||
Reinvestment of distributions | — | — | 14,672 | 467,952 | |||||||
Shares redeemed | (64,654 | ) | (2,159,025 | ) | (178,625 | ) | (5,675,849 | ) | |||
Conversion to Class I | (939,567 | ) | (31,845,199 | ) | — | — | |||||
Net increase (decrease) | (896,953 | ) | ($30,424,693 | ) | 472,739 | $15,033,331 | |||||
(a) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. |
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BOND | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 1,620,379 | $25,992,267 | 3,991,688 | $63,932,983 | |||||||
Reinvestment of distributions | 171,764 | 2,747,357 | 474,446 | 7,582,448 | |||||||
Shares redeemed | (2,165,031 | ) | (34,681,126 | ) | (11,227,412 | ) | (179,333,779 | ) | |||
Net decrease | (372,888 | ) | ($5,941,502 | ) | (6,761,278 | ) | ($107,818,348 | ) | |||
Class C | |||||||||||
Shares sold | 85,810 | $1,369,445 | 217,542 | $3,467,164 | |||||||
Reinvestment of distributions | 10,125 | 160,868 | 25,898 | 411,161 | |||||||
Shares redeemed | (198,938 | ) | (3,164,171 | ) | (572,310 | ) | (9,115,310 | ) | |||
Net decrease | (103,003 | ) | ($1,633,858 | ) | (328,870 | ) | ($5,236,985 | ) | |||
Class I | |||||||||||
Shares sold | 8,921,278 | $143,063,212 | 14,000,859 | $224,499,285 | |||||||
Reinvestment of distributions | 373,688 | 5,978,747 | 748,856 | 11,998,306 | |||||||
Shares redeemed | (13,703,328 | ) | (220,903,304 | ) | (5,443,245 | ) | (87,351,729 | ) | |||
Conversion from Class Y | 9,451,082 | 152,730,431 | — | — | |||||||
Net increase | 5,042,720 | $80,869,086 | 9,306,470 | $149,145,862 | |||||||
Class R6 (a) | |||||||||||
Shares sold | 8,235,305 | $133,145,981 | — | $— | |||||||
Reinvestment of distributions | 80,067 | 1,280,388 | — | — | |||||||
Shares redeemed | (348,252 | ) | (5,601,814 | ) | — | — | |||||
Net increase | 7,967,120 | $128,824,555 | — | $— | |||||||
Class Y (b) | |||||||||||
Shares sold | 909,077 | $14,783,784 | 5,046,556 | $81,375,140 | |||||||
Reinvestment of distributions | 33,027 | 535,470 | 174,878 | 2,821,038 | |||||||
Shares redeemed | (266,596 | ) | (4,333,894 | ) | (3,182,345 | ) | (51,499,954 | ) | |||
Conversion to Class I | (9,394,113 | ) | (152,730,431 | ) | — | — | |||||
Net increase (decrease) | (8,718,605 | ) | ($141,745,071 | ) | 2,039,089 | $32,696,224 | |||||
(a) For the period from the commencement of operations, October 3, 2017, to March 31, 2018. | |||||||||||
(b) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. |
80 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
EQUITY | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||
Shares | Amount | Shares | Amount | ||||||||
Class A | |||||||||||
Shares sold | 938,276 | $41,828,141 | 2,098,600 | $83,902,160 | |||||||
Reinvestment of distributions | 2,029,334 | 87,646,947 | 3,333,785 | 124,285,943 | |||||||
Shares redeemed | (2,890,860 | ) | (129,131,519 | ) | (10,745,032 | ) | (425,704,959 | ) | |||
Net increase (decrease) | 76,750 | $343,569 | (5,312,647 | ) | ($217,516,856 | ) | |||||
Class C | |||||||||||
Shares sold | 220,268 | $5,837,682 | 537,279 | $13,276,376 | |||||||
Reinvestment of distributions | 666,260 | 16,949,642 | 922,482 | 21,410,804 | |||||||
Shares redeemed | (699,992 | ) | (18,723,083 | ) | (2,310,767 | ) | (58,096,855 | ) | |||
Net increase (decrease) | 186,536 | $4,064,241 | (851,006 | ) | ($23,409,675 | ) | |||||
Class I | |||||||||||
Shares sold | 3,740,914 | $191,363,489 | 3,826,988 | $173,015,098 | |||||||
Reinvestment of distributions | 974,140 | 48,356,291 | 902,169 | 38,441,748 | |||||||
Shares redeemed | (2,273,305 | ) | (116,195,319 | ) | (3,726,001 | ) | (168,010,686 | ) | |||
Conversion from Class Y | 4,152,351 | 218,358,843 | — | — | |||||||
Net increase | 6,594,100 | $341,883,304 | 1,003,156 | $43,446,160 | |||||||
Class R6 (a) | |||||||||||
Shares sold | 201 | $10,000 | — | $— | |||||||
Reinvestment of distributions | 15 | 739 | — | — | |||||||
Net increase | 216 | $10,739 | — | $— | |||||||
Class Y (b) | |||||||||||
Shares sold | 199,290 | $9,214,232 | 2,234,886 | $90,283,139 | |||||||
Reinvestment of distributions | — | — | 329,260 | 12,668,373 | |||||||
Shares redeemed | (343,197 | ) | (15,774,929 | ) | (2,406,734 | ) | (99,581,140 | ) | |||
Conversion to Class I | (4,598,451 | ) | (218,358,843 | ) | — | — | |||||
Net increase (decrease) | (4,742,358 | ) | ($224,919,540 | ) | 157,412 | $3,370,372 | |||||
(a) For the period from the commencement of operations, October 3, 2017, to March 31, 2018. | |||||||||||
(b) Effective December 8, 2017, Class Y shares of the Fund converted to Class I shares at net asset value. Thereafter, Class Y shares were terminated. |
NOTE 11 — CAPITAL COMMITMENTS
In connection with certain venture capital and/or limited partnership investments, Balanced and Equity are committed to future capital calls, which will increase each Fund's investment in these securities. The aggregate amount of the future capital commitments totaled $272,391 and $3,011,661 for Balanced and Equity, respectively, at March 31, 2018. Balanced and Equity had sufficient cash and/or securities to cover these commitments.
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Balanced's unfunded capital commitments by investment at March 31, 2018 were as follows:
Name of Investment | Unfunded Commitment at 3/31/18 | ||
First Analysis Private Equity Fund IV LP | $60,000 | ||
Learn Capital Venture Partners III LP | $212,391 | ||
Total | $272,391 | ||
Equity's unfunded capital commitments by investment at March 31, 2018 were as follows: | |||
Name of Investment | Unfunded Commitment at 3/31/18 | ||
Accion Frontier Inclusion Fund LP | $469,699 | ||
Adobe Capital Social Mezzanine Fund I LP | $89,539 | ||
Africa Renewable Energy Fund LP | $329,249 | ||
Arborview Capital Partners LP | $106,111 | ||
Blackstone Clean Technology Partners LP | $3,170 | ||
Bridges Ventures US | $651,160 | ||
China Environment Fund 2004 LP | $37,764 | ||
China Environment Fund III LP | $1,205 | ||
Coastal Ventures III LP | $50,000 | ||
Core Innovations Capital I LP | $51,766 | ||
Cross Culture Ventures I LP | $170,066 | ||
DBL Partners III LP | $532,443 | ||
First Analysis Private Equity Fund V LP | $52,302 | ||
Impact Ventures II LP | $9,632 | ||
LeapFrog Financial Inclusion Fund | $96,146 | ||
New Markets Education Partners LP | $92,500 | ||
New Markets Venture Partners II LP | $25,000 | ||
Owl Ventures LP | $115,000 | ||
Westly Capital Partners Fund II LP | $128,909 | ||
Total | $3,011,661 |
82 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
CALVERT BALANCED FUND
BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory agreement of Calvert Balanced Fund (the “Fund”), including the fee payable under the agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
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Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund had underperformed the median of its peer universe and its Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. The Board took into account management’s discussion of the Fund’s performance and management’s continued monitoring of the Fund’s performance. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management fees were reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board also took into account the breakpoints in the advisory fee schedule for the Fund that would reduce the advisory fee rate on assets above specific asset levels. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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CALVERT BOND FUND
BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
86 www.calvert.com CALVERT SOCIAL INVESTMENT FUND SEMIANNUAL REPORT (UNAUDITED)
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory agreement of Calvert Bond Fund (the “Fund”), including the fee payable under the agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
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Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of its peer universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund had outperformed the median of its peer universe for the one- and three-year periods ended September 30, 2017, performed at the median of its peer universe for the five-year period ended September 30, 2017 and underperformed its Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. The Board took into account management’s discussion of the Fund’s performance. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were above the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were at the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management fees were reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board also took into account the breakpoint in the advisory fee schedule for the Fund that would reduce the advisory fee rate on assets above a specific asset level. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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CALVERT EQUITY FUND
BOARD OF TRUSTEES’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Trustees reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Trustees were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Trustees reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Trustees, concluded that the continuation of the investment advisory agreement of Calvert Equity Fund (the “Fund”), and the investment sub-advisory agreement with Atlanta Capital Management Company, LLC (the “Sub-Adviser”), an affiliate of CRM, including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds
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and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of comparable funds and appropriate benchmark indices. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund had underperformed the median of comparable funds and its benchmark index for the one-, three- and five-year periods ended September 30, 2017. The Board took into account management’s discussion of the Fund’s performance and management’s continued monitoring of the Fund’s performance. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of comparable funds and its benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates, including the Sub-Adviser, provided sub-advisory, sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates, including the Sub-Adviser, derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates, including the Sub-Adviser, from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board also took into account the breakpoints in the advisory fee schedule for the Fund that would reduce the advisory fee rate on assets above specific asset levels. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement, although the Board noted that the sub-advisory fee schedule contained a breakpoint. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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OFFICERS AND TRUSTEES
Officers of Calvert Social Investment Fund
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer
James F. Kirchner
Treasurer
Trustees of Calvert Social Investment Fund
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Trustee and President
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT SOCIAL INVESTMENT FUND Calvert Equity Fund | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
Calvert Equity Fund - Sub-Adviser Atlanta Capital Management Company, LLC 1075 Peachtree Street, Suite 2100 Atlanta, GA 30309 | Transfer Agent DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc. (“BFDS”)) 2000 Crown Colony Drive Quincy, MA 02169 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24204 3.31.2018 |
Item 2. Code of Ethics.
Not required in this filing.
Item 3. Audit Committee Financial Expert.
Not required in this filing.
Item 4. Principal Accountant Fees and Services.
Not required in this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Please see schedule of investments contained in the Report to Shareholders 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 second fiscal quarter of 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)
(a)(2)(i) President’s Section 302 certification.
(a)(2)(ii) Treasurer’s Section 302 certification.
(b) 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: May 24, 2018
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/ John H. Streur
John H. Streur
President
Date: May 24, 2018
By: /s/ James F. Kirchner
James F. Kirchner
Treasurer
Date: May 24, 2018