Calvert
Conservative Allocation Fund
December 31, 2020
Schedule of Investments (Unaudited)
Mutual Funds — 85.3%(1) |
Security | Shares | Value | |
Equity Funds — 38.0% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 114,256 | $ 3,689,339 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 235,433 | 6,589,768 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 349,565 | 12,014,564 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 205,224 | 9,058,568 | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 988,497 | 26,412,637 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 103,427 | 3,588,912 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 87,528 | 6,843,823 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 451,546 | 5,716,567 | |
Calvert Emerging Markets Equity Fund, Class R6 | 382,934 | 8,504,963 | |
Calvert International Equity Fund, Class R6 | 355,686 | 8,877,926 | |
Calvert International Opportunities Fund, Class R6 | 396,427 | 7,912,686 | |
Calvert Mid-Cap Fund, Class I | 45,068 | 2,090,257 | |
$101,300,010 | |||
Income Funds — 47.3% | |||
Calvert Management Series: | |||
Calvert Flexible Bond Fund, Class R6 | 1,004,432 | $15,337,670 | |
Calvert Floating-Rate Advantage Fund, Class R6 | 1,889,646 | 17,838,258 | |
Calvert Social Investment Fund: | |||
Calvert Bond Fund, Class R6 | 3,978,838 | 68,038,125 | |
The Calvert Fund: | |||
Calvert High Yield Bond Fund, Class R6 | 190,069 | 5,160,383 | |
Calvert Short Duration Income Fund, Class R6 | 303,671 | 5,022,714 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 1,499,746 | 14,877,481 | |
$126,274,631 | |||
Total Mutual Funds (identified cost $198,599,838) | $227,574,641 |
U.S. Treasury Obligations — 5.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.750%, 2/15/45(2)(3) | $ | 3,224 | $ 4,162,607 |
U.S. Treasury Inflation-Protected Notes: | |||
0.625%, 4/15/23(2) | 3,400 | 3,580,006 | |
0.875%, 1/15/29(2)(3) | 4,985 | 5,860,773 | |
Total U.S. Treasury Obligations (identified cost $11,658,704) | $ 13,603,386 |
Short-Term Investments — 9.6% |
Other — 9.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.12%(4) | 25,514,102 | $ 25,516,653 | |
Total Short-Term Investments (identified cost $25,516,869) | $ 25,516,653 | ||
Total Investments — 100.0% (identified cost $235,775,411) | $266,694,680 |
Other Assets, Less Liabilities — (0.0)%(5) | $ (94,389) | ||
Net Assets — 100.0% | $266,600,291 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Affiliated fund. | |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. | |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | |
(4) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of December 31, 2020. | |
(5) | Amount is less than (0.05)%. |
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Calvert
Conservative Allocation Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 126 | Long | 3/31/21 | $27,843,047 | $24,209 |
U.S. 5-Year Treasury Note | 73 | Long | 3/31/21 | 9,209,977 | 19,308 |
U.S. Ultra 10-Year Treasury Note | 21 | Long | 3/22/21 | 3,283,547 | (6,669) |
U.S. Ultra-Long Treasury Bond | 17 | Long | 3/22/21 | 3,630,562 | (17,813) |
$19,035 |
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Calvert
Conservative Allocation Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
During the fiscal year to date ended December 31, 2020, the Fund used futures contracts to facilitate the periodic rebalancing of its portfolio to maintain its target asset allocation and to make tactical asset allocations.
At December 31, 2020, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
At December 31, 2020, the value of the Fund's investment in affiliated funds was $253,091,294, which represents 94.9% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended December 31, 2020 were as follows:
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
Bond Fund, Class R6 | $68,095,519 | $ 1,222,981 | $(1,552,000) | $ 42,113 | $ 229,512 | $ 68,038,125 | $ 382,803 | $ 840,179 | 3,978,838 |
Cash Reserves Fund, LLC | 21,270,852 | 11,793,275 | (7,547,474) | 751 | (751) | 25,516,653 | 7,085 | — | 25,514,102 |
Emerging Markets Advancement Fund, Class I | 5,054,479 | 7,306 | (254,000) | 696 | 908,086 | 5,716,567 | 7,306 | — | 451,546 |
Emerging Markets Equity Fund, Class R6 | 4,524,233 | 2,686,408 | — | — | 1,294,322 | 8,504,963 | 39,409 | — | 382,934 |
Equity Fund, Class R6 | 6,438,756 | 171,206 | (156,000) | 14,927 | 374,934 | 6,843,823 | 16,521 | 154,685 | 87,528 |
Flexible Bond Fund, Class R6 | 15,215,561 | 114,467 | (566,000) | (7,649) | 581,291 | 15,337,670 | 114,467 | — | 1,004,432 |
Floating-Rate Advantage Fund, Class R6 | 16,545,069 | 878,144 | — | — | 415,045 | 17,838,258 | 186,145 | — | 1,889,646 |
High Yield Bond Fund, Class I | 7,184,910 | 26,895 | (7,225,527) | 744,695 | (730,973) | — | 26,894 | — | — |
High Yield Bond Fund, Class R6 | — | 7,267,751 | (2,293,000) | 13,897 | 171,735 | 5,160,383 | 42,224 | — | 190,069 |
International Equity Fund, Class R6 | 10,502,265 | 787,069 | (3,545,974) | 139,270 | 995,296 | 8,877,926 | 44,094 | — | 355,686 |
International Opportunities Fund, Class R6 | 7,481,737 | 1,172,647 | (1,656,017) | 7,402 | 906,917 | 7,912,686 | 67,630 | — | 396,427 |
International Responsible Index Fund, Class R6 | 5,548,918 | 1,451,938 | (1,239,636) | 10,565 | 817,983 | 6,589,768 | 84,302 | — | 235,433 |
Mid-Cap Fund, Class I | 1,902,301 | 18,498 | (85,000) | 2,800 | 251,658 | 2,090,257 | 3,787 | 14,711 | 45,068 |
Short Duration Income Fund, Class R6 | 4,663,739 | 293,233 | — | — | 65,742 | 5,022,714 | 25,979 | 27,255 | 303,671 |
Small-Cap Fund, Class R6 | 3,125,499 | 704,052 | (869,211) | 32,458 | 696,541 | 3,689,339 | 5,840 | — | 114,256 |
Ultra-Short Duration Income Fund, Class R6 | 14,376,852 | 411,183 | — | — | 89,446 | 14,877,481 | 44,183 | — | 1,499,746 |
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Calvert
Conservative Allocation Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gain distributions received | Shares/Units, end of period |
US Large-Cap Core Responsible Index Fund, Class R6 | $ 12,765,277 | $ 115,604 | $(2,210,000) | $ 598,228 | $ 745,455 | $ 12,014,564 | $ 115,604 | $ — | 349,565 |
US Large-Cap Growth Responsible Index Fund, Class I | 8,007,260 | 227,392 | — | — | 823,916 | 9,058,568 | 45,150 | 111,242 | 205,224 |
US Large-Cap Value Responsible Index Fund, Class I | 18,193,826 | 5,125,331 | — | — | 3,093,480 | 26,412,637 | 389,025 | 97,305 | 988,497 |
US Mid-Cap Core Responsible Index Fund, Class I | 1,872,679 | 1,242,830 | — | — | 473,403 | 3,588,912 | 25,810 | 65,019 | 103,427 |
Totals | $ 1,600,153 | $12,203,038 | $253,091,294 | $1,674,258 | $1,310,396 |
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund's holdings as of December 31, 2020, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $227,574,641 | $— | $— | $227,574,641 |
U.S. Treasury Obligations | — | 13,603,386 | — | 13,603,386 |
Short-Term Investments | — | 25,516,653 | — | 25,516,653 |
Total Investments | $227,574,641 | $39,120,039 | $ — | $266,694,680 |
Futures Contracts | $43,517 | $ — | $ — | $43,517 |
Total | $227,618,158 | $39,120,039 | $ — | $266,738,197 |
Liability Description | ||||
Futures Contracts | $(24,482) | $ — | $ — | $(24,482) |
Total | $(24,482) | $ — | $ — | $(24,482) |
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
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