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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: 811-04000
Calvert Variable Products, Inc.
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant’s telephone number)
December 31
Date of Fiscal Year End
June 30, 2020
Date of Reporting Period
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Item 1. Report to Stockholders
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 05/03/1999 | 05/03/1999 | (12.93)% | (6.99)% | 4.86% | 10.87% |
Class F at NAV | 10/01/2007 | 05/03/1999 | (13.00) | (7.19) | 4.61 | 10.61 |
S&P MidCap 400® Index | — | — | (12.78)% | (6.70)% | 5.21% | 11.33% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.43% | 0.63% |
Net | 0.33 | 0.53 |
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Top 10 Holdings (% of net assets)* | |
SPDR S&P MidCap 400 ETF Trust | 2.2% |
Teradyne, Inc. | 0.9 |
Etsy, Inc. | 0.8 |
FactSet Research Systems, Inc. | 0.8 |
Fair Isaac Corp. | 0.7 |
Catalent, Inc. | 0.7 |
Masimo Corp. | 0.7 |
Pool Corp. | 0.7 |
Trimble, Inc. | 0.7 |
Molina Healthcare, Inc. | 0.7 |
Total | 8.9% |
* | Excludes cash and cash equivalents. |
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1 | S&P MidCap 400® Index is an unmanaged index of 400 U.S. midcap stocks. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500®are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 870.70 | $1.53 ** | 0.33% |
Class F | $1,000.00 | $ 870.00 | $2.46 ** | 0.53% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.22 | $1.66 ** | 0.33% |
Class F | $1,000.00 | $1,022.23 | $2.66 ** | 0.53% |
* | 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 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Common Stocks — 95.7% |
Security | Shares | Value | |
Aerospace & Defense — 1.1% | |||
Axon Enterprise, Inc.(1) | 18,137 | $ 1,779,784 | |
Curtiss-Wright Corp. | 12,078 | 1,078,324 | |
Hexcel Corp. | 24,153 | 1,092,199 | |
Mercury Systems, Inc.(1) | 16,084 | 1,265,167 | |
$ 5,215,474 | |||
Air Freight & Logistics — 0.4% | |||
XPO Logistics, Inc.(1) | 26,362 | $ 2,036,465 | |
$ 2,036,465 | |||
Airlines — 0.2% | |||
JetBlue Airways Corp.(1) | 78,024 | $ 850,462 | |
$ 850,462 | |||
Auto Components — 1.3% | |||
Adient PLC(1) | 24,610 | $ 404,096 | |
Dana, Inc. | 40,679 | 495,877 | |
Delphi Technologies PLC(1) | 24,622 | 349,879 | |
Gentex Corp. | 70,953 | 1,828,459 | |
Goodyear Tire & Rubber Co. (The) | 65,723 | 587,892 | |
Lear Corp. | 15,774 | 1,719,681 | |
Visteon Corp.(1) | 7,901 | 541,219 | |
$ 5,927,103 | |||
Automobiles — 0.6% | |||
Harley-Davidson, Inc. | 44,312 | $ 1,053,296 | |
Thor Industries, Inc. | 15,969 | 1,701,178 | |
$ 2,754,474 | |||
Banks — 5.8% | |||
Associated Banc-Corp. | 44,692 | $ 611,386 | |
BancorpSouth Bank | 28,121 | 639,471 | |
Bank of Hawaii Corp. | 11,575 | 710,821 | |
Bank OZK | 34,971 | 820,769 | |
Cathay General Bancorp | 21,433 | 563,688 | |
CIT Group, Inc. | 28,457 | 589,914 | |
Commerce Bancshares, Inc. | 29,089 | 1,729,923 | |
Cullen/Frost Bankers, Inc. | 16,467 | 1,230,250 | |
East West Bancorp, Inc. | 41,139 | 1,490,877 | |
F.N.B. Corp. | 91,826 | 688,695 | |
First Financial Bankshares, Inc. | 41,094 | 1,187,206 | |
First Horizon National Corp. | 90,219 | 898,581 | |
Fulton Financial Corp. | 46,033 | 484,727 | |
Glacier Bancorp, Inc. | 25,667 | 905,788 |
Security | Shares | Value | |
Banks (continued) | |||
Hancock Whitney Corp. | 24,462 | $ 518,594 | |
Home BancShares, Inc. | 44,022 | 677,058 | |
International Bancshares Corp. | 16,337 | 523,111 | |
PacWest Bancorp | 33,411 | 658,531 | |
Pinnacle Financial Partners, Inc. | 20,626 | 866,086 | |
Prosperity Bancshares, Inc. | 26,806 | 1,591,740 | |
Signature Bank | 15,497 | 1,656,939 | |
Sterling Bancorp | 56,669 | 664,161 | |
Synovus Financial Corp. | 42,609 | 874,763 | |
TCF Financial Corp. | 44,004 | 1,294,598 | |
Texas Capital Bancshares, Inc.(1) | 14,218 | 438,910 | |
Trustmark Corp. | 18,203 | 446,338 | |
UMB Financial Corp. | 12,205 | 629,168 | |
Umpqua Holdings Corp. | 63,706 | 677,832 | |
United Bankshares, Inc. | 36,793 | 1,017,694 | |
Valley National Bancorp | 113,312 | 886,100 | |
Webster Financial Corp. | 26,049 | 745,262 | |
Wintrust Financial Corp. | 16,654 | 726,447 | |
$ 27,445,428 | |||
Beverages — 0.3% | |||
Boston Beer Co., Inc. (The), Class A(1) | 2,793 | $ 1,498,863 | |
$ 1,498,863 | |||
Biotechnology — 1.1% | |||
Arrowhead Pharmaceuticals, Inc(1) | 29,442 | $ 1,271,600 | |
Exelixis, Inc.(1) | 88,714 | 2,106,070 | |
Ligand Pharmaceuticals, Inc.(1) | 4,663 | 521,557 | |
United Therapeutics Corp.(1) | 12,732 | 1,540,572 | |
$ 5,439,799 | |||
Building Products — 1.3% | |||
Lennox International, Inc. | 10,069 | $ 2,345,976 | |
Owens Corning | 31,198 | 1,739,600 | |
Trex Co., Inc.(1) | 16,736 | 2,176,852 | |
$ 6,262,428 | |||
Capital Markets — 2.8% | |||
Affiliated Managers Group, Inc. | 13,820 | $ 1,030,419 | |
Eaton Vance Corp.(2) | 32,959 | 1,272,217 | |
Evercore, Inc., Class A | 11,727 | 690,955 | |
FactSet Research Systems, Inc. | 10,956 | 3,598,717 | |
Federated Hermes, Inc., Class B | 27,171 | 643,953 | |
Interactive Brokers Group, Inc., Class A | 22,204 | 927,461 | |
Janus Henderson Group PLC | 44,400 | 939,504 | |
Legg Mason, Inc. | 24,188 | 1,203,353 |
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Security | Shares | Value | |
Capital Markets (continued) | |||
SEI Investments Co. | 35,948 | $ 1,976,421 | |
Stifel Financial Corp. | 19,820 | 940,063 | |
$ 13,223,063 | |||
Chemicals — 2.5% | |||
Ashland Global Holdings, Inc. | 17,489 | $ 1,208,490 | |
Cabot Corp. | 15,981 | 592,096 | |
Chemours Co. (The) | 47,507 | 729,232 | |
Ingevity Corp.(1) | 11,831 | 621,956 | |
Minerals Technologies, Inc. | 9,911 | 465,123 | |
NewMarket Corp. | 2,087 | 835,802 | |
Olin Corp. | 44,784 | 514,568 | |
PolyOne Corp. | 26,440 | 693,521 | |
RPM International, Inc. | 37,461 | 2,811,823 | |
Scotts Miracle-Gro Co. (The), Class A | 11,400 | 1,532,958 | |
Sensient Technologies Corp. | 12,237 | 638,282 | |
Valvoline, Inc. | 53,192 | 1,028,201 | |
$ 11,672,052 | |||
Commercial Services & Supplies — 1.6% | |||
Brink's Co. (The) | 14,605 | $ 664,673 | |
Clean Harbors, Inc.(1) | 14,792 | 887,224 | |
Deluxe Corp. | 11,809 | 277,984 | |
Healthcare Services Group, Inc. | 20,948 | 512,388 | |
Herman Miller, Inc. | 16,692 | 394,098 | |
HNI Corp. | 12,119 | 370,478 | |
KAR Auction Services, Inc. | 37,381 | 514,363 | |
MSA Safety, Inc. | 10,340 | 1,183,310 | |
Stericycle, Inc.(1) | 26,446 | 1,480,447 | |
Tetra Tech, Inc. | 15,447 | 1,222,167 | |
$ 7,507,132 | |||
Communications Equipment — 1.2% | |||
Ciena Corp.(1) | 44,447 | $ 2,407,249 | |
InterDigital, Inc. | 8,798 | 498,231 | |
Lumentum Holdings, Inc.(1) | 21,736 | 1,769,962 | |
NetScout Systems, Inc.(1) | 18,869 | 482,292 | |
ViaSat, Inc.(1) | 16,900 | 648,453 | |
$ 5,806,187 | |||
Construction & Engineering — 1.1% | |||
AECOM (1) | 46,312 | $ 1,740,405 | |
Dycom Industries, Inc.(1)(3) | 8,902 | 364,003 | |
EMCOR Group, Inc. | 15,867 | 1,049,443 | |
Fluor Corp. | 39,551 | 477,776 | |
MasTec, Inc.(1) | 17,040 | 764,585 |
Security | Shares | Value | |
Construction & Engineering (continued) | |||
Valmont Industries, Inc. | 6,115 | $ 694,786 | |
$ 5,090,998 | |||
Construction Materials — 0.2% | |||
Eagle Materials, Inc. | 12,039 | $ 845,379 | |
$ 845,379 | |||
Consumer Finance — 0.5% | |||
FirstCash, Inc. | 12,148 | $ 819,747 | |
LendingTree, Inc.(1)(3) | 2,197 | 636,098 | |
Navient Corp. | 47,556 | 334,319 | |
SLM Corp. | 108,512 | 762,839 | |
$ 2,553,003 | |||
Containers & Packaging — 1.0% | |||
AptarGroup, Inc. | 18,569 | $ 2,079,356 | |
Greif, Inc., Class A | 7,422 | 255,391 | |
O-I Glass, Inc. | 43,651 | 391,986 | |
Silgan Holdings, Inc. | 21,997 | 712,483 | |
Sonoco Products Co. | 29,024 | 1,517,665 | |
$ 4,956,881 | |||
Distributors — 0.7% | |||
Pool Corp. | 11,553 | $ 3,140,914 | |
$ 3,140,914 | |||
Diversified Consumer Services — 1.2% | |||
Adtalem Global Education, Inc.(1) | 14,986 | $ 466,814 | |
Graham Holdings Co., Class B | 1,230 | 421,484 | |
Grand Canyon Education, Inc.(1) | 13,687 | 1,239,084 | |
Service Corp. International | 51,545 | 2,004,585 | |
Strategic Education, Inc. | 6,427 | 987,509 | |
WW International, Inc.(1) | 13,130 | 333,239 | |
$ 5,452,715 | |||
Diversified Financial Services — 0.2% | |||
Jefferies Financial Group, Inc. | 65,327 | $ 1,015,835 | |
$ 1,015,835 | |||
Electric Utilities — 1.2% | |||
ALLETE, Inc. | 14,982 | $ 818,167 | |
Hawaiian Electric Industries, Inc. | 31,575 | 1,138,594 | |
IDACORP, Inc. | 14,596 | 1,275,253 | |
OGE Energy Corp. | 57,907 | 1,758,056 | |
PNM Resources, Inc. | 23,043 | 885,773 | |
$ 5,875,843 |
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Security | Shares | Value | |
Electrical Equipment — 1.7% | |||
Acuity Brands, Inc. | 11,468 | $ 1,097,946 | |
EnerSys | 12,281 | 790,651 | |
Generac Holdings, Inc.(1) | 18,133 | 2,210,957 | |
Hubbell, Inc. | 15,680 | 1,965,645 | |
nVent Electric PLC | 45,205 | 846,689 | |
Regal Beloit Corp. | 11,722 | 1,023,565 | |
$ 7,935,453 | |||
Electronic Equipment, Instruments & Components — 3.5% | |||
Arrow Electronics, Inc.(1) | 22,845 | $ 1,569,223 | |
Avnet, Inc. | 28,318 | 789,647 | |
Belden, Inc. | 10,920 | 355,446 | |
Cognex Corp. | 49,668 | 2,966,173 | |
Coherent, Inc.(1) | 7,016 | 918,956 | |
II-VI, Inc.(1)(3) | 25,343 | 1,196,697 | |
Jabil, Inc. | 39,677 | 1,272,838 | |
Littelfuse, Inc. | 7,023 | 1,198,335 | |
National Instruments Corp. | 34,002 | 1,316,217 | |
SYNNEX Corp. | 11,913 | 1,426,820 | |
Trimble, Inc.(1) | 72,254 | 3,120,650 | |
Vishay Intertechnology, Inc. | 37,408 | 571,220 | |
$ 16,702,222 | |||
Energy Equipment & Services — 0.2% | |||
ChampionX Corp.(1) | 52,344 | $ 510,878 | |
Transocean, Ltd.(1)(3) | 162,611 | 297,578 | |
$ 808,456 | |||
Entertainment — 0.2% | |||
Cinemark Holdings, Inc. | 30,133 | $ 348,036 | |
World Wrestling Entertainment, Inc., Class A | 13,448 | 584,316 | |
$ 932,352 | |||
Equity Real Estate Investment Trusts (REITs) — 9.1% | |||
American Campus Communities, Inc. | 39,808 | $ 1,391,688 | |
Brixmor Property Group Inc. | 85,760 | 1,099,443 | |
Camden Property Trust | 28,172 | 2,569,850 | |
CoreCivic, Inc. | 33,663 | 315,086 | |
CoreSite Realty Corp. | 11,660 | 1,411,560 | |
Corporate Office Properties Trust | 32,450 | 822,283 | |
Cousins Properties, Inc. | 42,971 | 1,281,825 | |
CyrusOne, Inc. | 33,326 | 2,424,466 | |
Douglas Emmett, Inc. | 47,691 | 1,462,206 | |
EastGroup Properties, Inc. | 11,298 | 1,340,056 | |
EPR Properties | 22,414 | 742,576 | |
First Industrial Realty Trust, Inc. | 36,800 | 1,414,592 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
GEO Group, Inc. (The) | 34,272 | $ 405,438 | |
Healthcare Realty Trust, Inc. | 39,035 | 1,143,335 | |
Highwoods Properties, Inc. | 30,053 | 1,121,878 | |
Hudson Pacific Properties, Inc. | 44,347 | 1,115,771 | |
JBG SMITH Properties | 34,011 | 1,005,705 | |
Kilroy Realty Corp. | 30,627 | 1,797,805 | |
Lamar Advertising Co., Class A | 24,977 | 1,667,465 | |
Life Storage, Inc. | 13,571 | 1,288,566 | |
Macerich Co. (The)(3) | 32,500 | 291,525 | |
Mack-Cali Realty Corp. | 25,595 | 391,348 | |
Medical Properties Trust, Inc. | 152,842 | 2,873,430 | |
National Retail Properties, Inc. | 49,748 | 1,765,059 | |
Omega Healthcare Investors, Inc. | 65,641 | 1,951,507 | |
Park Hotels & Resorts Inc. | 67,143 | 664,044 | |
Pebblebrook Hotel Trust | 36,924 | 504,382 | |
Physicians Realty Trust | 58,599 | 1,026,654 | |
PotlatchDeltic Corp. | 18,991 | 722,228 | |
PS Business Parks, Inc. | 5,803 | 768,317 | |
Rayonier, Inc. | 40,057 | 993,013 | |
Sabra Health Care REIT, Inc. | 59,467 | 858,109 | |
Service Properties Trust | 46,482 | 329,557 | |
Spirit Realty Capital, Inc. | 29,780 | 1,038,131 | |
STORE Capital Corp. | 64,367 | 1,532,578 | |
Taubman Centers, Inc. | 17,823 | 672,996 | |
Urban Edge Properties | 32,537 | 386,214 | |
Weingarten Realty Investors | 34,187 | 647,160 | |
$ 43,237,846 | |||
Food & Staples Retailing — 1.0% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 35,687 | $ 1,330,055 | |
Casey's General Stores, Inc. | 10,644 | 1,591,491 | |
Grocery Outlet Holding Corp.(1) | 18,400 | 750,720 | |
Sprouts Farmers Market, Inc.(1) | 34,075 | 871,979 | |
$ 4,544,245 | |||
Food Products — 1.9% | |||
Darling Ingredients, Inc.(1) | 47,455 | $ 1,168,342 | |
Flowers Foods, Inc. | 55,698 | 1,245,407 | |
Hain Celestial Group, Inc. (The)(1)(3) | 22,682 | 714,710 | |
Ingredion, Inc. | 19,375 | 1,608,125 | |
Lancaster Colony Corp. | 5,731 | 888,248 | |
Pilgrim's Pride Corp.(1) | 14,804 | 250,039 | |
Post Holdings, Inc.(1) | 18,642 | 1,633,412 | |
Sanderson Farms, Inc. | 5,726 | 663,586 | |
Tootsie Roll Industries, Inc.(3) | 4,911 | 168,300 |
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Security | Shares | Value | |
Food Products (continued) | |||
TreeHouse Foods, Inc.(1) | 16,326 | $ 715,079 | |
$ 9,055,248 | |||
Gas Utilities — 1.5% | |||
National Fuel Gas Co. | 26,141 | $ 1,096,092 | |
New Jersey Resources Corp. | 27,700 | 904,405 | |
ONE Gas, Inc. | 15,294 | 1,178,403 | |
Southwest Gas Holdings, Inc. | 15,945 | 1,101,002 | |
Spire, Inc. | 14,822 | 973,954 | |
UGI Corp. | 60,250 | 1,915,950 | |
$ 7,169,806 | |||
Health Care Equipment & Supplies — 3.4% | |||
Avanos Medical, Inc.(1) | 13,758 | $ 404,348 | |
Cantel Medical Corp. | 10,713 | 473,836 | |
Globus Medical, Inc., Class A(1) | 21,664 | 1,033,589 | |
Haemonetics Corp.(1) | 14,577 | 1,305,516 | |
Hill-Rom Holdings, Inc. | 19,254 | 2,113,704 | |
ICU Medical, Inc.(1) | 5,605 | 1,033,058 | |
Integra LifeSciences Holdings Corp.(1) | 20,066 | 942,901 | |
LivaNova PLC(1) | 14,055 | 676,467 | |
Masimo Corp.(1) | 14,403 | 3,283,740 | |
NuVasive, Inc.(1) | 14,711 | 818,814 | |
Penumbra, Inc.(1)(3) | 9,565 | 1,710,413 | |
Quidel Corp.(1) | 11,056 | 2,473,670 | |
$ 16,270,056 | |||
Health Care Providers & Services — 2.9% | |||
Acadia Healthcare Co., Inc.(1) | 25,730 | $ 646,338 | |
Amedisys, Inc.(1) | 9,367 | 1,859,724 | |
Chemed Corp. | 4,592 | 2,071,313 | |
Encompass Health Corp. | 28,757 | 1,780,921 | |
HealthEquity, Inc.(1) | 20,655 | 1,211,829 | |
LHC Group, Inc.(1) | 8,590 | 1,497,409 | |
MEDNAX, Inc.(1) | 24,708 | 422,507 | |
Molina Healthcare, Inc.(1) | 17,126 | 3,048,085 | |
Patterson Cos., Inc. | 24,269 | 533,918 | |
Tenet Healthcare Corp.(1) | 30,293 | 548,606 | |
$ 13,620,650 | |||
Hotels, Restaurants & Leisure — 3.3% | |||
Boyd Gaming Corp. | 22,618 | $ 472,716 | |
Caesars Entertainment Corp.(1) | 162,259 | 1,968,202 | |
Choice Hotels International, Inc. | 9,000 | 710,100 | |
Churchill Downs, Inc. | 10,153 | 1,351,872 | |
Cracker Barrel Old Country Store, Inc. | 6,796 | 753,744 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Dunkin' Brands Group, Inc. | 23,754 | $ 1,549,473 | |
Eldorado Resorts, Inc.(1) | 24,062 | 963,924 | |
Jack in the Box, Inc. | 6,684 | 495,218 | |
Marriott Vacations Worldwide Corp. | 10,495 | 862,794 | |
Papa John's International, Inc. | 6,444 | 511,718 | |
Penn National Gaming, Inc.(1)(3) | 37,367 | 1,141,188 | |
Scientific Games Corp., Class A(1) | 15,275 | 236,152 | |
Six Flags Entertainment Corp. | 22,182 | 426,116 | |
Texas Roadhouse, Inc. | 18,848 | 990,839 | |
Wendy's Co. (The) | 51,464 | 1,120,886 | |
Wyndham Destinations, Inc. | 24,629 | 694,045 | |
Wyndham Hotels & Resorts, Inc. | 26,692 | 1,137,613 | |
$ 15,386,600 | |||
Household Durables — 1.4% | |||
Helen of Troy, Ltd.(1) | 7,303 | $ 1,377,054 | |
KB Home | 25,172 | 772,277 | |
Taylor Morrison Home Corp.(1) | 37,000 | 713,730 | |
Tempur Sealy International, Inc.(1) | 12,524 | 901,102 | |
Toll Brothers, Inc. | 33,436 | 1,089,679 | |
TopBuild Corp.(1) | 9,700 | 1,103,569 | |
TRI Pointe Group, Inc.(1) | 37,677 | 553,475 | |
$ 6,510,886 | |||
Household Products — 0.2% | |||
Energizer Holdings, Inc. | 18,112 | $ 860,139 | |
$ 860,139 | |||
Industrial Conglomerates — 0.4% | |||
Carlisle Cos., Inc. | 15,896 | $ 1,902,274 | |
$ 1,902,274 | |||
Insurance — 4.4% | |||
Alleghany Corp. | 4,140 | $ 2,025,040 | |
American Financial Group, Inc. | 21,572 | 1,368,959 | |
Brighthouse Financial, Inc.(1) | 27,148 | 755,257 | |
Brown & Brown, Inc. | 68,049 | 2,773,677 | |
CNO Financial Group, Inc. | 42,391 | 660,028 | |
First American Financial Corp. | 32,233 | 1,547,829 | |
Genworth Financial, Inc., Class A(1) | 142,263 | 328,627 | |
Hanover Insurance Group, Inc. (The) | 11,049 | 1,119,595 | |
Kemper Corp. | 17,700 | 1,283,604 | |
Mercury General Corp. | 7,667 | 312,430 | |
Old Republic International Corp. | 82,666 | 1,348,282 | |
Primerica, Inc. | 11,797 | 1,375,530 | |
Reinsurance Group of America, Inc. | 19,620 | 1,538,993 |
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Security | Shares | Value | |
Insurance (continued) | |||
RenaissanceRe Holdings, Ltd. | 14,552 | $ 2,488,829 | |
RLI Corp. | 11,566 | 949,569 | |
Selective Insurance Group, Inc. | 17,273 | 910,978 | |
$ 20,787,227 | |||
Interactive Media & Services — 0.2% | |||
TripAdvisor, Inc. | 29,470 | $ 560,225 | |
Yelp, Inc.(1) | 18,925 | 437,735 | |
$ 997,960 | |||
Internet & Direct Marketing Retail — 1.2% | |||
Etsy, Inc.(1) | 34,333 | $ 3,647,194 | |
GrubHub, Inc.(1) | 26,602 | 1,870,121 | |
$ 5,517,315 | |||
IT Services — 2.1% | |||
Alliance Data Systems Corp. | 12,263 | $ 553,307 | |
CACI International, Inc., Class A(1) | 7,257 | 1,573,898 | |
KBR, Inc. | 41,165 | 928,271 | |
LiveRamp Holdings, Inc.(1) | 19,119 | 811,984 | |
MAXIMUS, Inc. | 17,737 | 1,249,572 | |
Perspecta, Inc. | 38,993 | 905,807 | |
Sabre Corp. | 79,707 | 642,438 | |
Science Applications International Corp. | 14,291 | 1,110,125 | |
WEX, Inc.(1) | 12,587 | 2,076,981 | |
$ 9,852,383 | |||
Leisure Products — 0.8% | |||
Brunswick Corp. | 22,880 | $ 1,464,549 | |
Mattel, Inc.(1) | 100,355 | 970,433 | |
Polaris, Inc. | 16,656 | 1,541,512 | |
$ 3,976,494 | |||
Life Sciences Tools & Services — 2.1% | |||
Bio-Techne Corp. | 11,058 | $ 2,920,086 | |
Charles River Laboratories International, Inc.(1) | 14,316 | 2,495,995 | |
PRA Health Sciences, Inc.(1) | 18,406 | 1,790,720 | |
Repligen Corp.(1) | 13,619 | 1,683,444 | |
Syneos Health, Inc.(1) | 18,081 | 1,053,218 | |
$ 9,943,463 | |||
Machinery — 4.4% | |||
AGCO Corp. | 17,977 | $ 997,004 | |
Colfax Corp.(1) | 24,304 | 678,082 | |
Crane Co. | 14,403 | 856,402 | |
Donaldson Co., Inc. | 36,488 | 1,697,422 |
Security | Shares | Value | |
Machinery (continued) | |||
Graco, Inc. | 48,195 | $ 2,312,878 | |
ITT, Inc. | 24,966 | 1,466,503 | |
Kennametal, Inc. | 23,986 | 688,638 | |
Lincoln Electric Holdings, Inc. | 17,151 | 1,444,800 | |
Middleby Corp.(1) | 16,079 | 1,269,276 | |
Nordson Corp. | 14,851 | 2,817,383 | |
Oshkosh Corp. | 19,692 | 1,410,341 | |
Terex Corp. | 18,128 | 340,263 | |
Timken Co. (The) | 19,544 | 889,057 | |
Toro Co. (The) | 31,005 | 2,056,872 | |
Trinity Industries, Inc.(3) | 27,528 | 586,071 | |
Woodward, Inc. | 16,398 | 1,271,665 | |
$ 20,782,657 | |||
Marine — 0.2% | |||
Kirby Corp.(1) | 17,369 | $ 930,284 | |
$ 930,284 | |||
Media — 1.3% | |||
AMC Networks, Inc., Class A(1) | 11,733 | $ 274,435 | |
Cable One, Inc. | 1,522 | 2,701,322 | |
John Wiley & Sons, Inc., Class A | 12,446 | 485,394 | |
New York Times Co. (The), Class A | 41,745 | 1,754,542 | |
TEGNA, Inc. | 63,219 | 704,260 | |
$ 5,919,953 | |||
Metals & Mining — 1.8% | |||
Allegheny Technologies, Inc.(1) | 35,636 | $ 363,131 | |
Carpenter Technology Corp. | 13,472 | 327,100 | |
Commercial Metals Co. | 34,444 | 702,658 | |
Compass Minerals International, Inc. | 9,577 | 466,879 | |
Reliance Steel & Aluminum Co. | 18,411 | 1,747,756 | |
Royal Gold, Inc. | 18,972 | 2,358,599 | |
Steel Dynamics, Inc. | 60,429 | 1,576,593 | |
United States Steel Corp. | 63,511 | 458,549 | |
Worthington Industries, Inc. | 10,475 | 390,717 | |
$ 8,391,982 | |||
Multiline Retail — 0.4% | |||
Nordstrom, Inc.(3) | 31,339 | $ 485,441 | |
Ollie's Bargain Outlet Holdings, Inc.(1) | 16,359 | 1,597,456 | |
$ 2,082,897 | |||
Multi-Utilities — 0.7% | |||
Black Hills Corp. | 18,153 | $ 1,028,549 | |
MDU Resources Group, Inc. | 58,009 | 1,286,640 |
Table of Contents
Security | Shares | Value | |
Multi-Utilities (continued) | |||
NorthWestern Corp. | 14,608 | $ 796,428 | |
$ 3,111,617 | |||
Oil, Gas & Consumable Fuels — 1.2% | |||
Antero Midstream Corp. | 81,329 | $ 414,778 | |
Cimarex Energy Co. | 29,537 | 811,972 | |
CNX Resources Corp.(1) | 53,015 | 458,580 | |
EQT Corp. | 73,929 | 879,755 | |
Equitrans Midstream Corp. | 117,576 | 977,057 | |
Murphy Oil Corp.(3) | 41,895 | 578,151 | |
PBF Energy, Inc., Class A | 28,805 | 294,963 | |
World Fuel Services Corp. | 18,480 | 476,045 | |
WPX Energy, Inc.(1) | 116,887 | 745,739 | |
$ 5,637,040 | |||
Paper & Forest Products — 0.2% | |||
Domtar Corp. | 15,849 | $ 334,572 | |
Louisiana-Pacific Corp. | 32,943 | 844,988 | |
$ 1,179,560 | |||
Personal Products — 0.2% | |||
Edgewell Personal Care Co.(1) | 15,309 | $ 477,029 | |
Nu Skin Enterprises, Inc., Class A | 15,014 | 573,985 | |
$ 1,051,014 | |||
Pharmaceuticals — 1.1% | |||
Catalent, Inc.(1) | 46,961 | $ 3,442,241 | |
Nektar Therapeutics(1) | 51,491 | 1,192,531 | |
Prestige Consumer Healthcare, Inc.(1) | 14,201 | 533,390 | |
$ 5,168,162 | |||
Professional Services — 1.2% | |||
ASGN, Inc.(1) | 14,952 | $ 996,999 | |
CoreLogic, Inc. | 22,973 | 1,544,245 | |
FTI Consulting, Inc.(1) | 10,732 | 1,229,351 | |
Insperity, Inc. | 10,545 | 682,578 | |
ManpowerGroup, Inc. | 16,793 | 1,154,519 | |
$ 5,607,692 | |||
Real Estate Management & Development — 0.3% | |||
Jones Lang LaSalle, Inc. | 14,936 | $ 1,545,279 | |
$ 1,545,279 | |||
Road & Rail — 0.9% | |||
Avis Budget Group, Inc.(1) | 15,944 | $ 364,958 | |
Knight-Swift Transportation Holdings, Inc. | 35,372 | 1,475,366 |
Security | Shares | Value | |
Road & Rail (continued) | |||
Landstar System, Inc. | 11,201 | $ 1,257,985 | |
Ryder System, Inc. | 15,545 | 583,093 | |
Werner Enterprises, Inc. | 16,591 | 722,206 | |
$ 4,403,608 | |||
Semiconductors & Semiconductor Equipment — 4.6% | |||
Cabot Microelectronics Corp. | 8,408 | $ 1,173,252 | |
Cirrus Logic, Inc.(1) | 16,888 | 1,043,341 | |
Cree, Inc.(1) | 31,290 | 1,852,055 | |
Enphase Energy, Inc.(1) | 23,545 | 1,120,036 | |
First Solar, Inc.(1) | 22,059 | 1,091,920 | |
MKS Instruments, Inc. | 15,874 | 1,797,572 | |
Monolithic Power Systems, Inc. | 12,037 | 2,852,769 | |
Semtech Corp.(1) | 18,805 | 981,997 | |
Silicon Laboratories, Inc.(1) | 12,638 | 1,267,212 | |
SolarEdge Technologies, Inc.(1) | 14,358 | 1,992,603 | |
Synaptics, Inc.(1) | 9,846 | 591,942 | |
Teradyne, Inc. | 47,955 | 4,052,677 | |
Universal Display Corp. | 12,265 | 1,835,089 | |
$ 21,652,465 | |||
Software — 4.0% | |||
ACI Worldwide, Inc.(1) | 33,542 | $ 905,299 | |
Blackbaud, Inc. | 14,355 | 819,383 | |
CDK Global, Inc. | 35,157 | 1,456,203 | |
Ceridian HCM Holding, Inc.(1) | 29,367 | 2,327,922 | |
Commvault Systems, Inc.(1) | 12,288 | 475,546 | |
Fair Isaac Corp.(1) | 8,390 | 3,507,356 | |
j2 Global, Inc. | 13,135 | 830,263 | |
LogMeIn, Inc. | 14,109 | 1,196,020 | |
Manhattan Associates, Inc.(1) | 18,369 | 1,730,360 | |
Paylocity Holding Corp.(1) | 10,406 | 1,518,131 | |
PTC, Inc.(1) | 30,123 | 2,343,268 | |
Qualys, Inc.(1) | 9,693 | 1,008,266 | |
Teradata Corp.(1) | 31,554 | 656,323 | |
$ 18,774,340 | |||
Specialty Retail — 2.1% | |||
Aaron's, Inc. | 19,546 | $ 887,388 | |
American Eagle Outfitters, Inc.(3) | 44,892 | 489,323 | |
AutoNation, Inc.(1) | 16,611 | 624,241 | |
Dick's Sporting Goods, Inc. | 18,849 | 777,710 | |
Five Below, Inc.(1) | 16,123 | 1,723,710 | |
Foot Locker, Inc. | 30,022 | 875,442 | |
Murphy USA, Inc.(1) | 7,935 | 893,402 | |
RH (1) | 4,799 | 1,194,471 |
Table of Contents
Security | Shares | Value | |
Specialty Retail (continued) | |||
Sally Beauty Holdings, Inc.(1) | 32,627 | $ 408,816 | |
Urban Outfitters, Inc.(1) | 19,951 | 303,654 | |
Williams-Sonoma, Inc. | 22,495 | 1,844,815 | |
$ 10,022,972 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
NCR Corp.(1) | 36,972 | $ 640,355 | |
$ 640,355 | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||
Carter's, Inc. | 12,616 | $ 1,018,111 | |
Columbia Sportswear Co. | 8,144 | 656,243 | |
Deckers Outdoor Corp.(1) | 8,100 | 1,590,759 | |
Skechers USA, Inc., Class A(1) | 39,394 | 1,236,184 | |
$ 4,501,297 | |||
Thrifts & Mortgage Finance — 0.7% | |||
Essent Group, Ltd. | 32,002 | $ 1,160,712 | |
New York Community Bancorp, Inc. | 134,213 | 1,368,973 | |
Washington Federal, Inc. | 21,974 | 589,782 | |
$ 3,119,467 | |||
Trading Companies & Distributors — 0.8% | |||
GATX Corp. | 10,096 | $ 615,654 | |
MSC Industrial Direct Co., Inc., Class A | 13,142 | 956,869 | |
Univar Solutions, Inc.(1) | 40,067 | 675,530 | |
Watsco, Inc. | 9,477 | 1,684,063 | |
$ 3,932,116 | |||
Water Utilities — 0.6% | |||
Essential Utilities, Inc. | 64,508 | $ 2,724,818 | |
$ 2,724,818 | |||
Wireless Telecommunication Services — 0.1% | |||
Telephone & Data Systems, Inc. | 28,199 | $ 560,596 | |
$ 560,596 | |||
Total Common Stocks (identified cost $413,181,932) | $ 452,321,744 |
Exchange-Traded Funds — 2.2% |
Security | Shares | Value | |
SPDR S&P MidCap 400 ETF Trust(3) | 33,000 | $ 10,708,170 | |
Total Exchange-Traded Funds (identified cost $9,827,785) | $ 10,708,170 |
Short-Term Investments — 4.7% | |||
Other — 1.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 7,338,558 | $ 7,338,558 | |
Total Other (identified cost $7,338,558) | $ 7,338,558 | ||
Securities Lending Collateral — 2.7% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(5) | 12,768,322 | $ 12,768,322 | |
Total Securities Lending Collateral (identified cost $12,768,322) | $ 12,768,322 | ||
U.S. Treasury Obligations — 0.4% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills, 0.00%, 8/13/20(6) | $ | 2,000 | $ 1,999,714 |
Total U.S. Treasury Obligations (identified cost $1,998,083) | $ 1,999,714 | ||
Total Short-Term Investments (identified cost $22,104,963) | $ 22,106,594 | ||
Total Investments — 102.6% (identified cost $445,114,680) | $ 485,136,508 | ||
Other Assets, Less Liabilities — (2.6)% | $ (12,347,714) | ||
Net Assets — 100.0% | $ 472,788,794 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | Represents an investment in an affiliate effective December 31, 2016 due to the issuer's affiliation with the Fund's investment advisor. | |
(3) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $18,254,401. | |
(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 June 30, 2020. | |
(5) | Represents investment of cash collateral received in connection with securities lending. | |
(6) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Table of Contents
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P MidCap 400 Index | 57 | Long | 9/18/20 | $10,140,870 | $ 113,905 |
$113,905 |
Table of Contents
June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $436,663,970) - including $18,254,401 of securities on loan | $ 476,525,733 |
Investments in securities of affiliated issuers, at value (identified cost $8,450,710) | 8,610,775 |
Receivable for variation margin on open futures contracts | 132,240 |
Cash | 1,495,820 |
Receivable for capital shares sold | 91,926 |
Dividends receivable | 524,429 |
Dividends receivable - affiliated | 1,039 |
Securities lending income receivable | 5,905 |
Receivable from affiliate | 37,656 |
Directors' deferred compensation plan | 127,279 |
Total assets | $487,552,802 |
Liabilities | |
Payable for investments purchased | $ 1,083,975 |
Payable for capital shares redeemed | 436,421 |
Deposits for securities loaned | 12,768,322 |
Payable to affiliates: | |
Investment advisory fee | 78,477 |
Administrative fee | 47,087 |
Distribution and service fees | 42,482 |
Sub-transfer agency fee | 82 |
Directors' deferred compensation plan | 127,279 |
Accrued expenses | 179,883 |
Total liabilities | $ 14,764,008 |
Net Assets | $472,788,794 |
Sources of Net Assets | |
Paid-in capital | $ 397,437,571 |
Distributable earnings | 75,351,223 |
Total | $472,788,794 |
Class I Shares | |
Net Assets | $ 215,724,149 |
Shares Outstanding | 2,217,132 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 97.30 |
Class F Shares | |
Net Assets | $ 257,064,645 |
Shares Outstanding | 2,630,172 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 97.74 |
Table of Contents
Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $470) | $ 4,121,436 |
Dividend income - affiliated issuers | 25,003 |
Interest income | 15,932 |
Securities lending income, net | 33,867 |
Total investment income | $ 4,196,238 |
Expenses | |
Investment advisory fee | $ 453,848 |
Administrative fee | 272,308 |
Distribution and service fees: | |
Class F | 252,370 |
Directors' fees and expenses | 12,763 |
Custodian fees | 3,637 |
Transfer agency fees and expenses | 139,502 |
Accounting fees | 53,119 |
Professional fees | 14,015 |
Reports to shareholders | 48,635 |
Miscellaneous | 37,633 |
Total expenses | $ 1,287,830 |
Waiver and/or reimbursement of expenses by affiliate | (286,014) |
Net expenses | $ 1,001,816 |
Net investment income | $ 3,194,422 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 6,641,096 |
Futures contracts | 922,360 |
Net realized gain | $ 7,563,456 |
Change in unrealized appreciation (depreciation): | |
Investment securities - unaffiliated issuers | $ (76,455,696) |
Investment securities - affiliated issuers | (260,144) |
Futures contracts | 58,680 |
Net change in unrealized appreciation (depreciation) | $(76,657,160) |
Net realized and unrealized loss | $(69,093,704) |
Net decrease in net assets from operations | $(65,899,282) |
Table of Contents
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 3,194,422 | $ 6,856,981 |
Net realized gain | 7,563,456 | 17,124,199 |
Net change in unrealized appreciation (depreciation) | (76,657,160) | 88,771,421 |
Net increase (decrease) in net assets from operations | $ (65,899,282) | $112,752,601 |
Distributions to shareholders: | ||
Class I | $ — | $ (18,345,023) |
Class F | — | (22,802,015) |
Total distributions to shareholders | $ — | $ (41,147,038) |
Capital share transactions: | ||
Class I | $ 9,523,927 | $ (868,512) |
Class F | (1,882,196) | 11,902,788 |
Net increase in net assets from capital share transactions | $ 7,641,731 | $ 11,034,276 |
Net increase (decrease) in net assets | $ (58,257,551) | $ 82,639,839 |
Net Assets | ||
At beginning of period | $ 531,046,345 | $ 448,406,506 |
At end of period | $472,788,794 | $531,046,345 |
Table of Contents
Class I | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 111.74 | $ 97.01 | $ 117.50 | $ 106.11 | $ 91.52 | $ 95.73 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.73 | $ 1.63 | $ 1.58 | $ 1.44 | $ 1.12 | $ 1.02 |
Net realized and unrealized gain (loss) | (15.17) | 22.45 | (13.43) | 15.18 | 17.43 | (3.56) |
Total income (loss) from operations | $ (14.44) | $ 24.08 | $ (11.85) | $ 16.62 | $ 18.55 | $ (2.54) |
Less Distributions | ||||||
From net investment income | $ — | $ (1.34) | $ (1.40) | $ (0.81) | $ (0.44) | $ (0.09) |
From net realized gain | — | (8.01) | (7.24) | (4.42) | (3.52) | (1.58) |
Total distributions | $ — | $ (9.35) | $ (8.64) | $ (5.23) | $ (3.96) | $ (1.67) |
Net asset value — End of period | $ 97.30 | $ 111.74 | $ 97.01 | $ 117.50 | $ 106.11 | $ 91.52 |
Total Return(2) | (12.93)% (3) | 25.82% | (11.33)% | 15.88% | 20.27% | (2.68)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 215,724 | $ 233,933 | $ 202,330 | $ 256,043 | $ 246,310 | $ 222,462 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.46% (5) | 0.43% | 0.44% | 0.43% | 0.54% | 0.54% |
Net expenses | 0.33% (5) | 0.32% | 0.30% | 0.30% | 0.41% | 0.54% |
Net investment income | 1.52% (5) | 1.48% | 1.35% | 1.29% | 1.15% | 1.05% |
Portfolio Turnover | 9% (3) | 15% | 14% | 16% | 20% | 13% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Table of Contents
Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 112.35 | $ 97.71 | $ 118.58 | $ 107.30 | $ 92.83 | $ 97.20 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.63 | $ 1.40 | $ 1.31 | $ 1.18 | $ 1.14 | $ 0.85 |
Net realized and unrealized gain (loss) | (15.24) | 22.59 | (13.54) | 15.33 | 17.40 | (3.64) |
Total income (loss) from operations | $ (14.61) | $ 23.99 | $ (12.23) | $ 16.51 | $ 18.54 | $ (2.79) |
Less Distributions | ||||||
From net investment income | $ — | $ (1.34) | $ (1.40) | $ (0.81) | $ (0.55) | $ — |
From net realized gain | — | (8.01) | (7.24) | (4.42) | (3.52) | (1.58) |
Total distributions | $ — | $ (9.35) | $ (8.64) | $ (5.23) | $ (4.07) | $ (1.58) |
Net asset value — End of period | $ 97.74 | $ 112.35 | $ 97.71 | $ 118.58 | $ 107.30 | $ 92.83 |
Total Return(2) | (13.00)% (3) | 25.55% | (11.57)% | 15.63% | 19.96% | (2.90)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 257,065 | $ 297,113 | $ 246,076 | $ 294,786 | $ 261,005 | $ 13,051 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.66% (5) | 0.63% | 0.64% | 0.64% | 0.79% | 0.77% |
Net expenses | 0.53% (5) | 0.54% | 0.55% | 0.55% | 0.66% | 0.77% |
Net investment income | 1.32% (5) | 1.26% | 1.11% | 1.05% | 1.10% | 0.86% |
Portfolio Turnover | 9% (3) | 15% | 14% | 16% | 20% | 13% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Table of Contents
Table of Contents
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 452,321,744(1) | $ — | $ — | $ 452,321,744 |
Exchange-Traded Funds | 10,708,170 | — | — | 10,708,170 |
Short-Term Investments: | ||||
Other | — | 7,338,558 | — | 7,338,558 |
Securities Lending Collateral | 12,768,322 | — | — | 12,768,322 |
U.S. Treasury Obligations | — | 1,999,714 | — | 1,999,714 |
Total Investments | $475,798,236 | $9,338,272 | $ — | $485,136,508 |
Futures Contracts | $ 113,905 | $ — | $ — | $ 113,905 |
Total | $475,912,141 | $9,338,272 | $ — | $485,250,413 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Table of Contents
Table of Contents
Aggregate cost | $444,622,001 |
Gross unrealized appreciation | $ 104,703,698 |
Gross unrealized depreciation | (64,075,286) |
Net unrealized appreciation | $ 40,628,412 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $113,905 (1) | $— |
(1) | 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. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $922,360 | $58,680 |
Table of Contents
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $ 2,085,232 | $ — | $ — | $ — | $ 2,085,232 |
Exchange-Traded Funds | 10,683,090 | — | — | — | 10,683,090 |
Total | $12,768,322 | $ — | $ — | $ — | $12,768,322 |
Table of Contents
Name of issuer/fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares/Units, end of period |
Common Stocks | ||||||||
Eaton Vance Corp. | $1,491,839 | $ 40,522 | $ — | $ — | $ (260,144) | $ 1,272,217 | $ 23,964 | 32,959 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | — | 16,969,671 | (9,631,113) | — | — | 7,338,558 | 1,039 | 7,338,558 |
Totals | $ — | $(260,144) | $8,610,775 | $25,003 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 318,409 | $ 28,320,851 | 87,377 | $ 9,530,108 | |
Reinvestment of distributions | — | — | 181,418 | 18,345,023 | |
Shares redeemed | (194,868) | (18,796,924) | (260,862) | (28,743,643) | |
Net increase (decrease) | 123,541 | $ 9,523,927 | 7,933 | $ (868,512) | |
Class F | |||||
Shares sold | 88,920 | $ 8,083,217 | 93,788 | $ 10,401,238 | |
Reinvestment of distributions | — | — | 224,165 | 22,802,015 | |
Shares redeemed | (103,227) | (9,965,413) | (192,009) | (21,300,465) | |
Net increase (decrease) | (14,307) | $ (1,882,196) | 125,944 | $ 11,902,788 |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 12/29/1995 | 12/29/1995 | (3.25)% | 7.18% | 10.36% | 13.57% |
S&P 500® Index | — | — | (3.08)% | 7.51% | 10.72% | 13.98% |
% Total Annual Operating Expense Ratios3 | |
Gross | 0.38% |
Net | 0.28 |
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Top 10 Holdings (% of net assets)* | |
Microsoft Corp. | 5.9% |
Apple, Inc. | 5.7 |
Amazon.com, Inc. | 4.5 |
Facebook, Inc., Class A | 2.1 |
Alphabet, Inc., Class A | 1.6 |
Alphabet, Inc., Class C | 1.6 |
Johnson & Johnson | 1.4 |
Berkshire Hathaway, Inc., Class B | 1.3 |
Visa, Inc., Class A | 1.3 |
Procter & Gamble Co. (The) | 1.1 |
Total | 26.5% |
* | Excludes cash and cash equivalents. |
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1 | S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
$1,000.00 | $ 967.50 | $1.37 ** | 0.28% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,023.47 | $1.41 ** | 0.28% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Common Stocks — 98.7% |
Security | Shares | Value | |
Aerospace & Defense — 1.7% | |||
Boeing Co. (The) | 8,646 | $ 1,584,812 | |
General Dynamics Corp. | 3,708 | 554,198 | |
Howmet Aerospace, Inc. | 6,525 | 103,421 | |
Huntington Ingalls Industries, Inc. | 647 | 112,895 | |
L3Harris Technologies, Inc. | 3,498 | 593,506 | |
Lockheed Martin Corp. | 3,970 | 1,448,732 | |
Northrop Grumman Corp. | 2,480 | 762,451 | |
Raytheon Technologies Corp. | 23,719 | 1,461,565 | |
Teledyne Technologies, Inc.(1) | 590 | 183,460 | |
Textron, Inc. | 3,724 | 122,557 | |
TransDigm Group, Inc. | 813 | 359,387 | |
$ 7,286,984 | |||
Air Freight & Logistics — 0.5% | |||
C.H. Robinson Worldwide, Inc.(2) | 2,280 | $ 180,257 | |
Expeditors International of Washington, Inc. | 2,876 | 218,691 | |
FedEx Corp. | 3,799 | 532,696 | |
United Parcel Service, Inc., Class B | 11,339 | 1,260,670 | |
$ 2,192,314 | |||
Airlines — 0.2% | |||
Alaska Air Group, Inc. | 2,098 | $ 76,073 | |
American Airlines Group, Inc.(2) | 8,011 | 104,704 | |
Delta Air Lines, Inc. | 9,391 | 263,418 | |
Southwest Airlines Co. | 8,453 | 288,923 | |
United Airlines Holdings, Inc.(1) | 4,069 | 140,828 | |
$ 873,946 | |||
Auto Components — 0.1% | |||
Aptiv PLC | 4,320 | $ 336,614 | |
BorgWarner, Inc. | 3,369 | 118,926 | |
$ 455,540 | |||
Automobiles — 0.2% | |||
Ford Motor Co. | 61,622 | $ 374,662 | |
General Motors Co. | 19,897 | 503,394 | |
$ 878,056 | |||
Banks — 3.6% | |||
Bank of America Corp. | 125,739 | $ 2,986,301 | |
Citigroup, Inc. | 33,525 | 1,713,128 | |
Citizens Financial Group, Inc. | 7,093 | 179,027 | |
Comerica, Inc. | 2,405 | 91,631 | |
Fifth Third Bancorp | 11,841 | 228,294 |
Security | Shares | Value | |
Banks (continued) | |||
First Republic Bank | 2,750 | $ 291,473 | |
Huntington Bancshares, Inc. | 16,850 | 152,240 | |
JPMorgan Chase & Co. | 49,069 | 4,615,430 | |
KeyCorp | 16,070 | 195,733 | |
M&T Bank Corp. | 2,066 | 214,802 | |
People's United Financial, Inc. | 7,516 | 86,960 | |
PNC Financial Services Group, Inc. (The) | 6,934 | 729,526 | |
Regions Financial Corp. | 16,095 | 178,976 | |
SVB Financial Group(1) | 868 | 187,080 | |
Truist Financial Corp. | 21,699 | 814,797 | |
U.S. Bancorp | 22,074 | 812,765 | |
Wells Fargo & Co. | 60,083 | 1,538,125 | |
Zions Bancorp NA | 2,781 | 94,554 | |
$ 15,110,842 | |||
Beverages — 1.7% | |||
Brown-Forman Corp., Class B | 3,068 | $ 195,309 | |
Coca-Cola Co. (The) | 62,248 | 2,781,241 | |
Constellation Brands, Inc., Class A | 2,733 | 478,138 | |
Molson Coors Beverage Co., Class B | 3,257 | 111,911 | |
Monster Beverage Corp.(1) | 6,228 | 431,725 | |
PepsiCo, Inc. | 22,344 | 2,955,217 | |
$ 6,953,541 | |||
Biotechnology — 2.4% | |||
AbbVie, Inc. | 28,380 | $ 2,786,348 | |
Alexion Pharmaceuticals, Inc.(1) | 3,610 | 405,186 | |
Amgen, Inc. | 9,488 | 2,237,840 | |
Biogen, Inc.(1) | 2,628 | 703,121 | |
Gilead Sciences, Inc. | 20,236 | 1,556,958 | |
Incyte Corp.(1) | 2,917 | 303,281 | |
Regeneron Pharmaceuticals, Inc.(1) | 1,609 | 1,003,453 | |
Vertex Pharmaceuticals, Inc.(1) | 4,175 | 1,212,044 | |
$ 10,208,231 | |||
Building Products — 0.4% | |||
A.O. Smith Corp. | 2,397 | $ 112,947 | |
Allegion PLC | 1,516 | 154,966 | |
Carrier Global Corp. | 13,343 | 296,481 | |
Fortune Brands Home & Security, Inc. | 2,381 | 152,217 | |
Johnson Controls International PLC | 12,208 | 416,781 | |
Masco Corp. | 4,247 | 213,242 | |
Trane Technologies PLC | 3,909 | 347,823 | |
$ 1,694,457 |
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Security | Shares | Value | |
Capital Markets — 2.7% | |||
Ameriprise Financial, Inc. | 1,970 | $ 295,579 | |
Bank of New York Mellon Corp. (The) | 13,280 | 513,272 | |
BlackRock, Inc. | 2,484 | 1,351,520 | |
Cboe Global Markets, Inc. | 1,809 | 168,744 | |
Charles Schwab Corp. (The) | 18,487 | 623,751 | |
CME Group, Inc. | 5,775 | 938,668 | |
E*Trade Financial Corp. | 3,686 | 183,305 | |
Franklin Resources, Inc. | 4,468 | 93,694 | |
Goldman Sachs Group, Inc. (The) | 5,043 | 996,598 | |
Intercontinental Exchange, Inc. | 8,812 | 807,179 | |
Invesco, Ltd. | 6,136 | 66,023 | |
MarketAxess Holdings, Inc. | 625 | 313,075 | |
Moody's Corp. | 2,569 | 705,781 | |
Morgan Stanley | 19,284 | 931,417 | |
MSCI, Inc. | 1,340 | 447,319 | |
Nasdaq, Inc. | 1,872 | 223,648 | |
Northern Trust Corp. | 3,457 | 274,278 | |
Raymond James Financial, Inc. | 2,081 | 143,235 | |
S&P Global, Inc. | 3,868 | 1,274,429 | |
State Street Corp. | 5,754 | 365,667 | |
T. Rowe Price Group, Inc. | 3,664 | 452,504 | |
$ 11,169,686 | |||
Chemicals — 1.8% | |||
Air Products & Chemicals, Inc. | 3,557 | $ 858,873 | |
Albemarle Corp. | 1,749 | 135,040 | |
Celanese Corp. | 1,913 | 165,168 | |
CF Industries Holdings, Inc. | 3,840 | 108,058 | |
Corteva, Inc. | 11,843 | 317,274 | |
Dow, Inc. | 11,734 | 478,278 | |
DuPont de Nemours, Inc. | 12,087 | 642,182 | |
Eastman Chemical Co. | 2,269 | 158,013 | |
Ecolab, Inc. | 3,968 | 789,434 | |
FMC Corp. | 2,197 | 218,865 | |
International Flavors & Fragrances, Inc. | 1,758 | 215,285 | |
Linde PLC | 8,457 | 1,793,814 | |
LyondellBasell Industries NV, Class A | 4,063 | 267,020 | |
Mosaic Co. (The) | 6,258 | 78,288 | |
PPG Industries, Inc. | 3,742 | 396,877 | |
Sherwin-Williams Co. (The) | 1,300 | 751,205 | |
$ 7,373,674 | |||
Commercial Services & Supplies — 0.4% | |||
Cintas Corp. | 1,368 | $ 364,381 | |
Copart, Inc.(1) | 3,424 | 285,116 | |
Republic Services, Inc. | 3,437 | 282,006 |
Security | Shares | Value | |
Commercial Services & Supplies (continued) | |||
Rollins, Inc. | 2,503 | $ 106,102 | |
Waste Management, Inc. | 6,176 | 654,100 | |
$ 1,691,705 | |||
Communications Equipment — 1.0% | |||
Arista Networks, Inc.(1) | 898 | $ 188,607 | |
Cisco Systems, Inc. | 68,294 | 3,185,232 | |
F5 Networks, Inc.(1) | 973 | 135,714 | |
Juniper Networks, Inc. | 5,297 | 121,089 | |
Motorola Solutions, Inc. | 2,711 | 379,893 | |
$ 4,010,535 | |||
Construction & Engineering — 0.1% | |||
Jacobs Engineering Group, Inc. | 2,095 | $ 177,656 | |
Quanta Services, Inc. | 2,533 | 99,370 | |
$ 277,026 | |||
Construction Materials — 0.1% | |||
Martin Marietta Materials, Inc. | 1,052 | $ 217,312 | |
Vulcan Materials Co. | 2,094 | 242,590 | |
$ 459,902 | |||
Consumer Finance — 0.5% | |||
American Express Co. | 10,618 | $ 1,010,834 | |
Capital One Financial Corp. | 7,332 | 458,910 | |
Discover Financial Services | 4,933 | 247,094 | |
Synchrony Financial | 9,034 | 200,193 | |
$ 1,917,031 | |||
Containers & Packaging — 0.3% | |||
Amcor PLC | 26,433 | $ 269,881 | |
Avery Dennison Corp. | 1,362 | 155,391 | |
Ball Corp. | 5,337 | 370,868 | |
International Paper Co. | 6,543 | 230,379 | |
Packaging Corp. of America | 1,640 | 163,672 | |
Sealed Air Corp. | 2,811 | 92,341 | |
WestRock Co. | 4,502 | 127,227 | |
$ 1,409,759 | |||
Distributors — 0.1% | |||
Genuine Parts Co. | 2,424 | $ 210,791 | |
LKQ Corp.(1) | 5,333 | 139,725 | |
$ 350,516 |
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Security | Shares | Value | |
Diversified Consumer Services — 0.0%(3) | |||
H&R Block, Inc. | 3,453 | $ 49,309 | |
$ 49,309 | |||
Diversified Financial Services — 1.3% | |||
Berkshire Hathaway, Inc., Class B(1) | 31,359 | $ 5,597,895 | |
$ 5,597,895 | |||
Diversified Telecommunication Services — 1.7% | |||
AT&T, Inc. | 114,739 | $ 3,468,560 | |
CenturyLink, Inc. | 16,009 | 160,570 | |
Verizon Communications, Inc. | 66,637 | 3,673,698 | |
$ 7,302,828 | |||
Electric Utilities — 1.8% | |||
Alliant Energy Corp. | 3,804 | $ 181,983 | |
American Electric Power Co., Inc. | 7,992 | 636,483 | |
Duke Energy Corp. | 11,834 | 945,418 | |
Edison International | 5,851 | 317,768 | |
Entergy Corp. | 3,248 | 304,695 | |
Evergy, Inc. | 3,803 | 225,480 | |
Eversource Energy | 5,282 | 439,832 | |
Exelon Corp. | 15,383 | 558,249 | |
FirstEnergy Corp. | 8,815 | 341,846 | |
NextEra Energy, Inc. | 7,882 | 1,893,020 | |
Pinnacle West Capital Corp. | 1,946 | 142,622 | |
PPL Corp. | 12,622 | 326,153 | |
Southern Co. (The) | 17,005 | 881,709 | |
Xcel Energy, Inc. | 8,298 | 518,625 | |
$ 7,713,883 | |||
Electrical Equipment — 0.5% | |||
AMETEK, Inc. | 3,617 | $ 323,252 | |
Eaton Corp. PLC | 6,542 | 572,294 | |
Emerson Electric Co. | 9,640 | 597,969 | |
Rockwell Automation, Inc. | 1,885 | 401,505 | |
$ 1,895,020 | |||
Electronic Equipment, Instruments & Components — 0.5% | |||
Amphenol Corp., Class A | 4,837 | $ 463,433 | |
CDW Corp. | 2,274 | 264,193 | |
Corning, Inc. | 12,223 | 316,576 | |
FLIR Systems, Inc. | 2,189 | 88,808 | |
IPG Photonics Corp.(1) | 616 | 98,800 | |
Keysight Technologies, Inc.(1) | 3,060 | 308,387 | |
TE Connectivity, Ltd. | 5,457 | 445,018 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Zebra Technologies Corp., Class A(1) | 900 | $ 230,355 | |
$ 2,215,570 | |||
Energy Equipment & Services — 0.2% | |||
Baker Hughes Co. | 10,603 | $ 163,180 | |
Halliburton Co. | 14,843 | 192,662 | |
National Oilwell Varco, Inc. | 6,752 | 82,712 | |
Schlumberger, Ltd. | 22,587 | 415,375 | |
TechnipFMC PLC | 7,315 | 50,035 | |
$ 903,964 | |||
Entertainment — 2.0% | |||
Activision Blizzard, Inc. | 12,408 | $ 941,767 | |
Electronic Arts, Inc.(1) | 4,620 | 610,071 | |
Live Nation Entertainment, Inc.(1) | 2,351 | 104,220 | |
Netflix, Inc.(1) | 7,083 | 3,223,048 | |
Take-Two Interactive Software, Inc.(1) | 1,847 | 257,786 | |
Walt Disney Co. (The) | 29,088 | 3,243,603 | |
$ 8,380,495 | |||
Equity Real Estate Investment Trusts (REITs) — 2.7% | |||
Alexandria Real Estate Equities, Inc. | 2,032 | $ 329,692 | |
American Tower Corp. | 7,139 | 1,845,717 | |
Apartment Investment and Management Co., Class A | 2,585 | 97,299 | |
AvalonBay Communities, Inc. | 2,210 | 341,754 | |
Boston Properties, Inc. | 2,276 | 205,705 | |
Crown Castle International Corp. | 6,711 | 1,123,086 | |
Digital Realty Trust, Inc. | 4,321 | 614,057 | |
Duke Realty Corp. | 5,817 | 205,864 | |
Equinix, Inc. | 1,410 | 990,243 | |
Equity Residential | 5,524 | 324,922 | |
Essex Property Trust, Inc. | 1,046 | 239,712 | |
Extra Space Storage, Inc. | 2,049 | 189,266 | |
Federal Realty Investment Trust | 1,146 | 97,651 | |
Healthpeak Properties, Inc. | 8,291 | 228,500 | |
Host Hotels & Resorts, Inc. | 11,966 | 129,113 | |
Iron Mountain, Inc.(2) | 4,836 | 126,220 | |
Kimco Realty Corp. | 7,168 | 92,037 | |
Mid-America Apartment Communities, Inc. | 1,805 | 206,979 | |
Prologis, Inc. | 11,894 | 1,110,067 | |
Public Storage | 2,377 | 456,123 | |
Realty Income Corp. | 5,445 | 323,978 | |
Regency Centers Corp. | 2,902 | 133,173 | |
SBA Communications Corp. | 1,782 | 530,893 | |
Simon Property Group, Inc. | 5,007 | 342,379 | |
SL Green Realty Corp. | 1,360 | 67,034 |
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Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
UDR, Inc. | 4,724 | $ 176,583 | |
Ventas, Inc. | 6,081 | 222,686 | |
Vornado Realty Trust | 2,668 | 101,944 | |
Welltower, Inc. | 6,620 | 342,585 | |
Weyerhaeuser Co. | 12,433 | 279,245 | |
$ 11,474,507 | |||
Food & Staples Retailing — 1.5% | |||
Costco Wholesale Corp. | 7,110 | $ 2,155,823 | |
Kroger Co. (The) | 12,691 | 429,590 | |
Sysco Corp. | 8,325 | 455,045 | |
Walgreens Boots Alliance, Inc. | 11,864 | 502,915 | |
Walmart, Inc. | 22,803 | 2,731,343 | |
$ 6,274,716 | |||
Food Products — 1.1% | |||
Archer-Daniels-Midland Co. | 8,809 | $ 351,479 | |
Campbell Soup Co. | 2,841 | 140,999 | |
Conagra Brands, Inc. | 7,940 | 279,250 | |
General Mills, Inc. | 9,564 | 589,621 | |
Hershey Co. (The) | 2,347 | 304,218 | |
Hormel Foods Corp.(2) | 4,400 | 212,388 | |
JM Smucker Co. (The) | 1,861 | 196,912 | |
Kellogg Co. | 3,940 | 260,276 | |
Kraft Heinz Co. (The) | 9,856 | 314,308 | |
Lamb Weston Holdings, Inc. | 2,342 | 149,724 | |
McCormick & Co., Inc. | 2,016 | 361,691 | |
Mondelez International, Inc., Class A | 22,785 | 1,164,997 | |
Tyson Foods, Inc., Class A | 4,816 | 287,563 | |
$ 4,613,426 | |||
Gas Utilities — 0.0%(3) | |||
Atmos Energy Corp. | 1,947 | $ 193,882 | |
$ 193,882 | |||
Health Care Equipment & Supplies — 3.7% | |||
Abbott Laboratories | 28,485 | $ 2,604,384 | |
ABIOMED, Inc.(1) | 722 | 174,406 | |
Align Technology, Inc.(1) | 1,197 | 328,505 | |
Baxter International, Inc. | 8,079 | 695,602 | |
Becton, Dickinson and Co. | 4,705 | 1,125,765 | |
Boston Scientific Corp.(1) | 23,007 | 807,776 | |
Cooper Cos., Inc. (The) | 809 | 229,465 | |
Danaher Corp. | 10,133 | 1,791,818 | |
DENTSPLY SIRONA, Inc. | 3,629 | 159,894 | |
DexCom, Inc.(1) | 1,490 | 604,046 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Edwards Lifesciences Corp.(1) | 9,903 | $ 684,396 | |
Hologic, Inc.(1) | 4,158 | 237,006 | |
IDEXX Laboratories, Inc.(1) | 1,357 | 448,027 | |
Intuitive Surgical, Inc.(1) | 1,878 | 1,070,141 | |
Medtronic PLC | 21,596 | 1,980,353 | |
ResMed, Inc. | 2,275 | 436,800 | |
STERIS PLC | 1,415 | 217,118 | |
Stryker Corp. | 5,191 | 935,366 | |
Teleflex, Inc. | 755 | 274,805 | |
Varian Medical Systems, Inc.(1) | 1,483 | 181,697 | |
West Pharmaceutical Services, Inc. | 1,190 | 270,332 | |
Zimmer Biomet Holdings, Inc. | 3,255 | 388,517 | |
$ 15,646,219 | |||
Health Care Providers & Services — 2.8% | |||
AmerisourceBergen Corp., Class A | 2,453 | $ 247,189 | |
Anthem, Inc. | 4,013 | 1,055,339 | |
Cardinal Health, Inc. | 4,629 | 241,588 | |
Centene Corp.(1) | 9,239 | 587,138 | |
Cigna Corp. | 5,909 | 1,108,824 | |
CVS Health Corp. | 21,049 | 1,367,554 | |
DaVita, Inc.(1) | 1,375 | 108,817 | |
HCA Healthcare, Inc. | 4,187 | 406,390 | |
Henry Schein, Inc.(1) | 2,448 | 142,939 | |
Humana, Inc. | 2,096 | 812,724 | |
Laboratory Corp. of America Holdings(1) | 1,620 | 269,098 | |
McKesson Corp. | 2,660 | 408,097 | |
Quest Diagnostics, Inc. | 2,153 | 245,356 | |
UnitedHealth Group, Inc. | 15,272 | 4,504,476 | |
Universal Health Services, Inc., Class B | 1,283 | 119,178 | |
$ 11,624,707 | |||
Health Care Technology — 0.1% | |||
Cerner Corp. | 4,971 | $ 340,762 | |
$ 340,762 | |||
Hotels, Restaurants & Leisure — 1.5% | |||
Carnival Corp.(2) | 7,629 | $ 125,268 | |
Chipotle Mexican Grill, Inc.(1) | 405 | 426,206 | |
Darden Restaurants, Inc. | 2,069 | 156,768 | |
Domino's Pizza, Inc. | 620 | 229,053 | |
Hilton Worldwide Holdings, Inc. | 4,465 | 327,954 | |
Las Vegas Sands Corp. | 5,600 | 255,024 | |
Marriott International, Inc., Class A | 4,294 | 368,125 | |
McDonald's Corp. | 12,023 | 2,217,883 | |
MGM Resorts International | 8,667 | 145,606 |
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Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Norwegian Cruise Line Holdings, Ltd.(1) | 3,550 | $ 58,326 | |
Royal Caribbean Cruises, Ltd. | 2,805 | 141,091 | |
Starbucks Corp. | 18,889 | 1,390,042 | |
Wynn Resorts, Ltd. | 1,576 | 117,396 | |
Yum! Brands, Inc. | 4,786 | 415,951 | |
$ 6,374,693 | |||
Household Durables — 0.4% | |||
D.R. Horton, Inc. | 5,306 | $ 294,218 | |
Garmin, Ltd. | 2,435 | 237,412 | |
Leggett & Platt, Inc. | 2,147 | 75,467 | |
Lennar Corp., Class A | 4,566 | 281,357 | |
Mohawk Industries, Inc.(1) | 1,067 | 108,578 | |
Newell Brands, Inc. | 6,276 | 99,663 | |
NVR, Inc.(1) | 60 | 195,525 | |
PulteGroup, Inc. | 4,425 | 150,583 | |
Whirlpool Corp. | 1,100 | 142,483 | |
$ 1,585,286 | |||
Household Products — 1.7% | |||
Church & Dwight Co., Inc. | 3,883 | $ 300,156 | |
Clorox Co. (The) | 2,048 | 449,270 | |
Colgate-Palmolive Co. | 13,793 | 1,010,475 | |
Kimberly-Clark Corp. | 5,425 | 766,824 | |
Procter & Gamble Co. (The) | 39,934 | 4,774,908 | |
$ 7,301,633 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
AES Corp. (The) | 10,506 | $ 152,232 | |
NRG Energy, Inc. | 4,351 | 141,668 | |
$ 293,900 | |||
Industrial Conglomerates — 1.1% | |||
3M Co. | 9,200 | $ 1,435,108 | |
General Electric Co. | 140,861 | 962,081 | |
Honeywell International, Inc. | 11,302 | 1,634,156 | |
Roper Technologies, Inc. | 1,647 | 639,464 | |
$ 4,670,809 | |||
Insurance — 1.9% | |||
Aflac, Inc. | 11,616 | $ 418,524 | |
Allstate Corp. (The) | 5,127 | 497,268 | |
American International Group, Inc. | 14,194 | 442,569 | |
Aon PLC, Class A | 3,705 | 713,583 | |
Arthur J. Gallagher & Co. | 3,043 | 296,662 | |
Assurant, Inc. | 989 | 102,154 |
Security | Shares | Value | |
Insurance (continued) | |||
Chubb, Ltd. | 7,172 | $ 908,119 | |
Cincinnati Financial Corp. | 2,479 | 158,730 | |
Everest Re Group, Ltd. | 708 | 145,990 | |
Globe Life, Inc. | 1,577 | 117,061 | |
Hartford Financial Services Group, Inc. (The) | 5,704 | 219,889 | |
Lincoln National Corp. | 3,236 | 119,052 | |
Loews Corp. | 3,898 | 133,662 | |
Marsh & McLennan Cos., Inc. | 8,217 | 882,259 | |
MetLife, Inc. | 12,754 | 465,776 | |
Principal Financial Group, Inc. | 4,213 | 175,008 | |
Progressive Corp. (The) | 9,442 | 756,399 | |
Prudential Financial, Inc. | 6,362 | 387,446 | |
Travelers Cos., Inc. (The) | 4,085 | 465,894 | |
Unum Group | 3,725 | 61,798 | |
Willis Towers Watson PLC | 2,098 | 413,201 | |
WR Berkley Corp. | 2,400 | 137,496 | |
$ 8,018,540 | |||
Interactive Media & Services — 5.4% | |||
Alphabet, Inc., Class A(1) | 4,832 | $ 6,852,018 | |
Alphabet, Inc., Class C(1) | 4,710 | 6,658,103 | |
Facebook, Inc., Class A(1) | 38,802 | 8,810,770 | |
Twitter, Inc.(1) | 12,667 | 377,350 | |
$ 22,698,241 | |||
Internet & Direct Marketing Retail — 4.9% | |||
Amazon.com, Inc.(1) | 6,760 | $ 18,649,623 | |
Booking Holdings, Inc.(1) | 662 | 1,054,129 | |
eBay, Inc. | 10,637 | 557,911 | |
Expedia Group, Inc. | 2,181 | 179,278 | |
$ 20,440,941 | |||
IT Services — 5.6% | |||
Accenture PLC, Class A | 10,259 | $ 2,202,812 | |
Akamai Technologies, Inc.(1) | 2,662 | 285,074 | |
Automatic Data Processing, Inc. | 6,847 | 1,019,450 | |
Broadridge Financial Solutions, Inc. | 1,925 | 242,916 | |
Cognizant Technology Solutions Corp., Class A | 8,665 | 492,345 | |
DXC Technology Co. | 4,556 | 75,174 | |
Fidelity National Information Services, Inc. | 9,949 | 1,334,061 | |
Fiserv, Inc.(1) | 9,038 | 882,289 | |
FleetCor Technologies, Inc.(1) | 1,373 | 345,351 | |
Gartner, Inc.(1) | 1,493 | 181,146 | |
Global Payments, Inc. | 4,756 | 806,713 | |
International Business Machines Corp. | 14,298 | 1,726,769 | |
Jack Henry & Associates, Inc. | 1,297 | 238,687 |
Table of Contents
Security | Shares | Value | |
IT Services (continued) | |||
Leidos Holdings, Inc. | 2,106 | $ 197,269 | |
MasterCard, Inc., Class A | 14,263 | 4,217,569 | |
Paychex, Inc. | 5,041 | 381,856 | |
PayPal Holdings, Inc.(1) | 18,908 | 3,294,341 | |
VeriSign, Inc.(1) | 1,635 | 338,167 | |
Visa, Inc., Class A | 27,169 | 5,248,236 | |
Western Union Co. (The) | 7,140 | 154,367 | |
$ 23,664,592 | |||
Leisure Products — 0.0%(3) | |||
Hasbro, Inc. | 2,146 | $ 160,843 | |
$ 160,843 | |||
Life Sciences Tools & Services — 1.2% | |||
Agilent Technologies, Inc. | 4,897 | $ 432,748 | |
Bio-Rad Laboratories, Inc., Class A(1) | 344 | 155,313 | |
Illumina, Inc.(1) | 2,371 | 878,100 | |
IQVIA Holdings, Inc.(1) | 2,944 | 417,695 | |
Mettler-Toledo International, Inc.(1) | 397 | 319,803 | |
PerkinElmer, Inc. | 1,778 | 174,404 | |
Thermo Fisher Scientific, Inc. | 6,360 | 2,304,482 | |
Waters Corp.(1) | 1,051 | 189,600 | |
$ 4,872,145 | |||
Machinery — 1.5% | |||
Caterpillar, Inc. | 8,746 | $ 1,106,369 | |
Cummins, Inc. | 2,424 | 419,982 | |
Deere & Co. | 4,983 | 783,078 | |
Dover Corp. | 2,370 | 228,847 | |
Flowserve Corp. | 2,403 | 68,534 | |
Fortive Corp. | 4,676 | 316,378 | |
IDEX Corp. | 1,241 | 196,128 | |
Illinois Tool Works, Inc. | 4,628 | 809,206 | |
Ingersoll Rand, Inc.(1) | 5,449 | 153,226 | |
Otis Worldwide Corp. | 6,671 | 379,313 | |
PACCAR, Inc. | 5,473 | 409,654 | |
Parker-Hannifin Corp. | 2,033 | 372,588 | |
Pentair PLC | 2,736 | 103,941 | |
Snap-on, Inc. | 895 | 123,966 | |
Stanley Black & Decker, Inc. | 2,406 | 335,348 | |
Westinghouse Air Brake Technologies Corp. | 3,012 | 173,401 | |
Xylem, Inc. | 2,938 | 190,853 | |
$ 6,170,812 | |||
Media — 1.3% | |||
Charter Communications, Inc., Class A(1) | 2,427 | $ 1,237,867 |
Security | Shares | Value | |
Media (continued) | |||
Comcast Corp., Class A | 73,348 | $ 2,859,105 | |
Discovery, Inc., Class A(1) | 2,923 | 61,675 | |
Discovery, Inc., Class C(1) | 5,094 | 98,110 | |
DISH Network Corp., Class A(1) | 4,169 | 143,872 | |
Fox Corp., Class A | 5,784 | 155,127 | |
Fox Corp., Class B | 2,865 | 76,897 | |
Interpublic Group of Cos., Inc. (The) | 6,573 | 112,793 | |
News Corp., Class A | 6,766 | 80,245 | |
News Corp., Class B | 2,023 | 24,175 | |
Omnicom Group, Inc. | 3,664 | 200,054 | |
ViacomCBS, Inc., Class B | 8,817 | 205,613 | |
$ 5,255,533 | |||
Metals & Mining — 0.3% | |||
Freeport-McMoRan, Inc. | 23,672 | $ 273,885 | |
Newmont Corp. | 12,974 | 801,015 | |
Nucor Corp. | 4,798 | 198,685 | |
$ 1,273,585 | |||
Multiline Retail — 0.5% | |||
Dollar General Corp. | 4,029 | $ 767,565 | |
Dollar Tree, Inc.(1) | 3,745 | 347,086 | |
Kohl's Corp. | 2,707 | 56,224 | |
Target Corp. | 8,019 | 961,719 | |
$ 2,132,594 | |||
Multi-Utilities — 1.0% | |||
Ameren Corp. | 3,893 | $ 273,911 | |
CenterPoint Energy, Inc. | 8,529 | 159,236 | |
CMS Energy Corp. | 4,492 | 262,423 | |
Consolidated Edison, Inc. | 5,424 | 390,148 | |
Dominion Energy, Inc. | 13,515 | 1,097,148 | |
DTE Energy Co. | 3,040 | 326,800 | |
NiSource, Inc. | 6,095 | 138,600 | |
Public Service Enterprise Group, Inc. | 8,251 | 405,619 | |
Sempra Energy | 4,711 | 552,271 | |
WEC Energy Group, Inc. | 4,992 | 437,549 | |
$ 4,043,705 | |||
Oil, Gas & Consumable Fuels — 2.6% | |||
Apache Corp. | 6,135 | $ 82,823 | |
Cabot Oil & Gas Corp. | 6,455 | 110,897 | |
Chevron Corp. | 30,163 | 2,691,444 | |
Concho Resources, Inc. | 3,280 | 168,920 | |
ConocoPhillips | 17,364 | 729,635 | |
Devon Energy Corp. | 6,457 | 73,222 |
Table of Contents
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Diamondback Energy, Inc. | 2,750 | $ 115,005 | |
EOG Resources, Inc. | 9,492 | 480,865 | |
Exxon Mobil Corp. | 68,090 | 3,044,985 | |
Hess Corp. | 4,142 | 214,597 | |
HollyFrontier Corp. | 2,668 | 77,906 | |
Kinder Morgan, Inc. | 30,825 | 467,615 | |
Marathon Oil Corp. | 13,891 | 85,013 | |
Marathon Petroleum Corp. | 10,275 | 384,079 | |
Noble Energy, Inc. | 8,122 | 72,773 | |
Occidental Petroleum Corp. | 14,575 | 266,723 | |
ONEOK, Inc. | 6,740 | 223,903 | |
Phillips 66 | 7,032 | 505,601 | |
Pioneer Natural Resources Co. | 2,703 | 264,083 | |
Valero Energy Corp. | 6,498 | 382,212 | |
Williams Cos., Inc. (The) | 19,775 | 376,120 | |
$ 10,818,421 | |||
Personal Products — 0.2% | |||
Coty, Inc., Class A | 5,288 | $ 23,637 | |
Estee Lauder Cos., Inc. (The), Class A | 3,620 | 683,022 | |
$ 706,659 | |||
Pharmaceuticals — 4.2% | |||
Bristol-Myers Squibb Co. | 36,438 | $ 2,142,554 | |
Eli Lilly & Co. | 13,511 | 2,218,236 | |
Johnson & Johnson | 42,427 | 5,966,509 | |
Merck & Co., Inc. | 40,740 | 3,150,424 | |
Mylan NV(1) | 8,689 | 139,719 | |
Perrigo Co. PLC | 2,125 | 117,449 | |
Pfizer, Inc. | 89,454 | 2,925,146 | |
Zoetis, Inc. | 7,648 | 1,048,082 | |
$ 17,708,119 | |||
Professional Services — 0.4% | |||
Equifax, Inc. | 1,976 | $ 339,635 | |
IHS Markit, Ltd. | 6,542 | 493,921 | |
Nielsen Holdings PLC | 6,382 | 94,836 | |
Robert Half International, Inc. | 1,884 | 99,532 | |
Verisk Analytics, Inc. | 2,593 | 441,329 | |
$ 1,469,253 | |||
Real Estate Management & Development — 0.1% | |||
CBRE Group, Inc., Class A(1) | 5,297 | $ 239,530 | |
$ 239,530 |
Security | Shares | Value | |
Road & Rail — 1.0% | |||
CSX Corp. | 12,306 | $ 858,221 | |
J.B. Hunt Transport Services, Inc. | 1,477 | 177,742 | |
Kansas City Southern | 1,569 | 234,236 | |
Norfolk Southern Corp. | 4,126 | 724,402 | |
Old Dominion Freight Line, Inc. | 1,516 | 257,098 | |
Union Pacific Corp. | 10,928 | 1,847,597 | |
$ 4,099,296 | |||
Semiconductors & Semiconductor Equipment — 4.7% | |||
Advanced Micro Devices, Inc.(1) | 18,861 | $ 992,277 | |
Analog Devices, Inc. | 5,828 | 714,746 | |
Applied Materials, Inc. | 14,618 | 883,658 | |
Broadcom, Inc. | 6,438 | 2,031,897 | |
Intel Corp. | 68,183 | 4,079,389 | |
KLA Corp. | 2,574 | 500,592 | |
Lam Research Corp. | 2,296 | 742,664 | |
Maxim Integrated Products, Inc. | 4,415 | 267,593 | |
Microchip Technology, Inc. | 3,899 | 410,604 | |
Micron Technology, Inc.(1) | 17,910 | 922,723 | |
NVIDIA Corp. | 9,906 | 3,763,388 | |
Qorvo, Inc.(1) | 1,838 | 203,154 | |
QUALCOMM, Inc. | 18,269 | 1,666,315 | |
Skyworks Solutions, Inc. | 2,780 | 355,451 | |
Texas Instruments, Inc. | 14,780 | 1,876,617 | |
Xilinx, Inc. | 3,979 | 391,494 | |
$ 19,802,562 | |||
Software — 9.2% | |||
Adobe, Inc.(1) | 7,759 | $ 3,377,570 | |
ANSYS, Inc.(1) | 1,354 | 395,003 | |
Autodesk, Inc.(1) | 3,482 | 832,860 | |
Cadence Design Systems, Inc.(1) | 4,440 | 426,062 | |
Citrix Systems, Inc. | 1,864 | 275,704 | |
Fortinet, Inc.(1) | 2,164 | 297,052 | |
Intuit, Inc. | 4,199 | 1,243,702 | |
Microsoft Corp. | 122,331 | 24,895,582 | |
NortonLifeLock, Inc. | 8,727 | 173,057 | |
Oracle Corp. | 33,518 | 1,852,540 | |
Paycom Software, Inc.(1) | 800 | 247,784 | |
salesforce.com, Inc.(1) | 14,510 | 2,718,158 | |
ServiceNow, Inc.(1) | 3,071 | 1,243,939 | |
Synopsys, Inc.(1) | 2,379 | 463,905 | |
Tyler Technologies, Inc.(1) | 640 | 222,003 | |
$ 38,664,921 |
Table of Contents
Security | Shares | Value | |
Specialty Retail — 2.4% | |||
Advance Auto Parts, Inc. | 1,108 | $ 157,835 | |
AutoZone, Inc.(1) | 377 | 425,301 | |
Best Buy Co., Inc. | 3,800 | 331,626 | |
CarMax, Inc.(1) | 2,683 | 240,263 | |
Gap, Inc. (The) | 4,154 | 52,423 | |
Home Depot, Inc. (The) | 17,320 | 4,338,833 | |
L Brands, Inc. | 4,029 | 60,314 | |
Lowe's Cos., Inc. | 12,129 | 1,638,871 | |
O'Reilly Automotive, Inc.(1) | 1,195 | 503,896 | |
Ross Stores, Inc. | 5,724 | 487,914 | |
Tiffany & Co. | 1,801 | 219,614 | |
TJX Cos., Inc. (The) | 19,190 | 970,246 | |
Tractor Supply Co. | 1,975 | 260,285 | |
Ulta Beauty, Inc.(1) | 905 | 184,095 | |
$ 9,871,516 | |||
Technology Hardware, Storage & Peripherals — 6.0% | |||
Apple, Inc. | 65,676 | $ 23,958,605 | |
Hewlett Packard Enterprise Co. | 20,477 | 199,241 | |
HP, Inc. | 23,451 | 408,751 | |
NetApp, Inc. | 3,724 | 165,234 | |
Seagate Technology PLC | 3,658 | 177,084 | |
Western Digital Corp. | 4,706 | 207,770 | |
Xerox Holdings Corp. | 3,205 | 49,004 | |
$ 25,165,689 | |||
Textiles, Apparel & Luxury Goods — 0.6% | |||
Hanesbrands, Inc.(2) | 6,857 | $ 77,415 | |
NIKE, Inc., Class B | 19,903 | 1,951,489 | |
PVH Corp. | 1,314 | 63,138 | |
Ralph Lauren Corp., Class A | 811 | 58,814 | |
Tapestry, Inc. | 4,928 | 65,444 | |
Under Armour, Inc., Class A(1) | 3,534 | 34,421 | |
Under Armour, Inc., Class C(1) | 3,507 | 31,002 | |
VF Corp. | 5,343 | 325,602 | |
$ 2,607,325 | |||
Tobacco — 0.7% | |||
Altria Group, Inc. | 29,927 | $ 1,174,635 | |
Philip Morris International, Inc. | 25,076 | 1,756,824 | |
$ 2,931,459 | |||
Trading Companies & Distributors — 0.2% | |||
Fastenal Co. | 9,076 | $ 388,816 | |
United Rentals, Inc.(1) | 1,164 | 173,483 |
Security | Shares | Value | |
Trading Companies & Distributors (continued) | |||
W.W. Grainger, Inc. | 728 | $ 228,708 | |
$ 791,007 | |||
Water Utilities — 0.1% | |||
American Water Works Co., Inc. | 2,861 | $ 368,096 | |
$ 368,096 | |||
Wireless Telecommunication Services — 0.2% | |||
T-Mobile US, Inc.(1) | 9,169 | $ 954,951 | |
$ 954,951 | |||
Total Common Stocks (identified cost $192,968,197) | $ 413,697,584 |
Exchange-Traded Funds — 0.5% |
Security | Shares | Value | |
SPDR S&P 500 ETF Trust(2) | 7,000 | $ 2,158,520 | |
Total Exchange-Traded Funds (identified cost $1,986,600) | $ 2,158,520 |
Rights — 0.0%(3) |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.0%(3) | |||
T-Mobile US, Inc., Exp. 7/27/20(1) | 6,169 | $ 1,036 | |
Total Rights (identified cost $2,283) | $ 1,036 |
Short-Term Investments — 0.9% | |||
Other — 0.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 2,655,310 | $ 2,655,310 | |
Total Other (identified cost $2,655,310) | $ 2,655,310 | ||
Securities Lending Collateral — 0.0%(3) | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(5) | 130,272 | $ 130,272 | |
Total Securities Lending Collateral (identified cost $130,272) | $ 130,272 |
Table of Contents
U.S. Treasury Obligations — 0.3% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 8/13/20(6) | $ | 1,000 | $ 999,857 |
Total U.S. Treasury Obligations (identified cost $998,214) | $ 999,857 | ||
Total Short-Term Investments (identified cost $3,783,796) | $ 3,785,439 | ||
Total Investments — 100.1% (identified cost $198,740,876) | $ 419,642,579 |
Other Assets, Less Liabilities — (0.1)% | $ (387,096) | ||
Net Assets — 100.0% | $ 419,255,483 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $2,933,520. | |
(3) | Amount is less than 0.05%. | |
(4) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2020. | |
(5) | Represents investment of cash collateral received in connection with securities lending. | |
(6) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P 500 Index | 26 | Long | 9/18/20 | $4,017,260 | $ (15,580) |
$(15,580) |
Table of Contents
June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $196,085,566) - including $2,933,520 of securities on loan | $ 416,987,269 |
Investments in securities of affiliated issuers, at value (identified cost $2,655,310) | 2,655,310 |
Receivable for variation margin on open futures contracts | 56,499 |
Receivable for capital shares sold | 49,583 |
Dividends receivable | 346,815 |
Dividends receivable - affiliated | 392 |
Securities lending income receivable | 1,898 |
Receivable from affiliate | 44,150 |
Directors' deferred compensation plan | 106,883 |
Total assets | $420,248,799 |
Liabilities | |
Payable for capital shares redeemed | $ 504,966 |
Deposits for securities loaned | 130,272 |
Payable to affiliates: | |
Investment advisory fee | 62,322 |
Administrative fee | 41,548 |
Sub-transfer agency fee | 83 |
Directors' deferred compensation plan | 106,883 |
Accrued expenses | 147,242 |
Total liabilities | $ 993,316 |
Net Assets | $419,255,483 |
Sources of Net Assets | |
Paid-in capital | $ 170,997,656 |
Distributable earnings | 248,257,827 |
Total | $419,255,483 |
Net Assets | $ 419,255,483 |
Shares Outstanding | 2,931,878 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 143.00 |
Table of Contents
Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income | $ 4,135,054 |
Dividend income - affiliated issuers | 392 |
Interest income | 18,287 |
Securities lending income, net | 4,849 |
Total investment income | $ 4,158,582 |
Expenses | |
Investment advisory fee | $ 371,415 |
Administrative fee | 247,610 |
Directors' fees and expenses | 11,511 |
Custodian fees | 6,308 |
Transfer agency fees and expenses | 128,136 |
Accounting fees | 47,094 |
Professional fees | 14,864 |
Reports to shareholders | 44,824 |
Miscellaneous | 31,238 |
Total expenses | $ 903,000 |
Waiver and/or reimbursement of expenses by affiliate | (324,709) |
Net expenses | $ 578,291 |
Net investment income | $ 3,580,291 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 6,470,047 |
Futures contracts | (77,258) |
Net realized gain | $ 6,392,789 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (25,055,216) |
Futures contracts | (32,305) |
Net change in unrealized appreciation (depreciation) | $(25,087,521) |
Net realized and unrealized loss | $(18,694,732) |
Net decrease in net assets from operations | $(15,114,441) |
Table of Contents
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 3,580,291 | $ 7,506,491 |
Net realized gain | 6,392,789 | 14,038,993 |
Net change in unrealized appreciation (depreciation) | (25,087,521) | 95,039,110 |
Net increase (decrease) in net assets from operations | $ (15,114,441) | $116,584,594 |
Distributions to shareholders | $ — | $ (35,862,644) |
Net decrease in net assets from capital share transactions | $ (24,831,861) | $ (12,861,723) |
Net increase (decrease) in net assets | $ (39,946,302) | $ 67,860,227 |
Net Assets | ||
At beginning of period | $ 459,201,785 | $ 391,341,558 |
At end of period | $419,255,483 | $459,201,785 |
Table of Contents
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 147.79 | $ 123.19 | $ 141.18 | $ 122.44 | $ 112.07 | $ 113.07 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 1.19 | $ 2.43 | $ 2.39 | $ 2.30 | $ 2.14 | $ 1.88 |
Net realized and unrealized gain (loss) | (5.98) | 34.42 | (7.33) | 23.60 | 10.84 | (0.74) |
Total income (loss) from operations | $ (4.79) | $ 36.85 | $ (4.94) | $ 25.90 | $ 12.98 | $ 1.14 |
Less Distributions | ||||||
From net investment income | $ — | $ (2.63) | $ (2.84) | $ (1.99) | $ (1.48) | $ (0.21) |
From net realized gain | — | (9.62) | (10.21) | (5.17) | (1.13) | (1.93) |
Total distributions | $ — | $ (12.25) | $ (13.05) | $ (7.16) | $ (2.61) | $ (2.14) |
Net asset value — End of period | $ 143.00 | $ 147.79 | $ 123.19 | $ 141.18 | $ 122.44 | $ 112.07 |
Total Return(2) | (3.25)% (3) | 31.16% | (4.74)% | 21.46% | 11.58% | 0.98% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 419,255 | $ 459,202 | $ 391,342 | $ 515,105 | $ 481,681 | $ 347,965 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.44% (5) | 0.38% | 0.39% | 0.40% | 0.48% | 0.46% |
Net expenses | 0.28% (5) | 0.28% | 0.28% | 0.28% | 0.40% | 0.42% |
Net investment income | 1.74% (5) | 1.72% | 1.68% | 1.72% | 1.84% | 1.65% |
Portfolio Turnover | 4% (3) | 6% | 7% | 5% | 6% (6) | 4% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | During the year ended December 31, 2016, the Fund incurred sales of $55,737,177 to realign the combined portfolio in connection with the reorganization of Calvert VP Large Cap Core Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. |
Table of Contents
Table of Contents
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 413,697,584(1) | $ — | $ — | $ 413,697,584 |
Exchange-Traded Funds | 2,158,520 | — | — | 2,158,520 |
Rights | 1,036 | — | — | 1,036 |
Short-Term Investments: | ||||
Other | — | 2,655,310 | — | 2,655,310 |
Securities Lending Collateral | 130,272 | — | — | 130,272 |
U.S. Treasury Obligations | — | 999,857 | — | 999,857 |
Total Investments | $415,987,412 | $3,655,167 | $ — | $419,642,579 |
Liability Description | ||||
Futures Contracts | $ (15,580) | $ — | $ — | $ (15,580) |
Total | $ (15,580) | $ — | $ — | $ (15,580) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
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Aggregate cost | $202,822,235 |
Gross unrealized appreciation | $ 231,617,086 |
Gross unrealized depreciation | (14,812,322) |
Net unrealized appreciation | $216,804,764 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $— | $(15,580) (1) |
(1) | 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. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $(77,258) | $(32,305) |
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Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $130,272 | $ — | $ — | $ — | $130,272 |
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $8,094,832 | $(5,439,522) | $ — | $ — | $2,655,310 | $392 | 2,655,310 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |||
Shares | Amount | Shares | Amount | |
Shares sold | 98,563 | $ 13,086,511 | 117,188 | $ 16,294,985 |
Reinvestment of distributions | — | — | 272,678 | 35,862,644 |
Shares redeemed | (273,815) | (37,918,372) | (459,343) | (65,019,352) |
Net decrease | (175,252) | $(24,831,861) | (69,477) | $(12,861,723) |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 04/27/2000 | 04/27/2000 | 16.67% | 33.19% | 18.95% | 19.98% |
Class F at NAV | 10/30/2015 | 04/27/2000 | 16.54 | 32.87 | 18.66 | 19.84 |
NASDAQ-100 ® Index | — | — | 16.89% | 33.78% | 19.56% | 20.67% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.59% | 0.84% |
Net | 0.48 | 0.73 |
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Top 10 Holdings (% of net assets)* | |
Apple, Inc. | 11.9% |
Microsoft Corp. | 11.6 |
Amazon.com, Inc. | 10.4 |
Facebook, Inc., Class A | 4.1 |
Alphabet, Inc., Class A | 3.7 |
Alphabet, Inc., Class C | 3.6 |
Intel Corp. | 2.4 |
NVIDIA Corp. | 2.2 |
Adobe, Inc. | 2.0 |
PayPal Holdings, Inc. | 2.0 |
Total | 53.9% |
* | Excludes cash and cash equivalents. |
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1 | NASDAQ–100® Index includes 100 of the largest domestic and international securities (by market cap), excluding financials, listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.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 F is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,166.70 | $2.59 ** | 0.48% |
Class F | $1,000.00 | $1,165.40 | $3.93 ** | 0.73% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.48 | $2.41 ** | 0.48% |
Class F | $1,000.00 | $1,021.23 | $3.67 ** | 0.73% |
* | 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 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Common Stocks — 98.5% |
Security | Shares | Value | |
Automobiles — 1.9% | |||
Tesla, Inc.(1) | 3,674 | $ 3,967,222 | |
$ 3,967,222 | |||
Beverages — 2.1% | |||
Monster Beverage Corp.(1) | 10,435 | $ 723,354 | |
PepsiCo, Inc. | 27,497 | 3,636,753 | |
$ 4,360,107 | |||
Biotechnology — 4.9% | |||
Alexion Pharmaceuticals, Inc.(1) | 4,410 | $ 494,978 | |
Amgen, Inc. | 11,658 | 2,749,656 | |
Biogen, Inc.(1) | 3,234 | 865,257 | |
BioMarin Pharmaceutical, Inc.(1) | 3,580 | 441,557 | |
Gilead Sciences, Inc. | 24,859 | 1,912,651 | |
Incyte Corp.(1) | 4,333 | 450,502 | |
Regeneron Pharmaceuticals, Inc.(1) | 1,999 | 1,246,676 | |
Seattle Genetics, Inc.(1) | 3,416 | 580,447 | |
Vertex Pharmaceuticals, Inc.(1) | 5,138 | 1,491,613 | |
$ 10,233,337 | |||
Commercial Services & Supplies — 0.5% | |||
Cintas Corp. | 2,063 | $ 549,501 | |
Copart, Inc.(1) | 4,633 | 385,790 | |
$ 935,291 | |||
Communications Equipment — 1.9% | |||
Cisco Systems, Inc. | 83,677 | $ 3,902,695 | |
$ 3,902,695 | |||
Diversified Telecommunication Services — 0.1% | |||
Liberty Global PLC, Class A(1) | 3,618 | $ 79,089 | |
Liberty Global PLC, Class C(1) | 8,156 | 175,436 | |
$ 254,525 | |||
Electric Utilities — 0.7% | |||
Exelon Corp. | 19,311 | $ 700,796 | |
Xcel Energy, Inc. | 10,408 | 650,500 | |
$ 1,351,296 | |||
Electronic Equipment, Instruments & Components — 0.2% | |||
CDW Corp. | 2,820 | $ 327,628 | |
$ 327,628 |
Security | Shares | Value | |
Entertainment — 3.3% | |||
Activision Blizzard, Inc. | 15,269 | $ 1,158,917 | |
Electronic Arts, Inc.(1) | 5,721 | 755,458 | |
NetEase, Inc. ADR | 1,468 | 630,330 | |
Netflix, Inc.(1) | 8,716 | 3,966,129 | |
Take-Two Interactive Software, Inc.(1) | 2,259 | 315,288 | |
$ 6,826,122 | |||
Food & Staples Retailing — 1.6% | |||
Costco Wholesale Corp. | 8,751 | $ 2,653,391 | |
Walgreens Boots Alliance, Inc. | 17,385 | 736,950 | |
$ 3,390,341 | |||
Food Products — 1.1% | |||
Kraft Heinz Co. (The) | 24,337 | $ 776,107 | |
Mondelez International, Inc., Class A | 28,289 | 1,446,417 | |
$ 2,222,524 | |||
Health Care Equipment & Supplies — 1.5% | |||
Align Technology, Inc.(1) | 1,571 | $ 431,145 | |
DexCom, Inc.(1) | 1,825 | 739,855 | |
IDEXX Laboratories, Inc.(1) | 1,683 | 555,659 | |
Intuitive Surgical, Inc.(1) | 2,318 | 1,320,866 | |
$ 3,047,525 | |||
Health Care Technology — 0.2% | |||
Cerner Corp. | 6,032 | $ 413,494 | |
$ 413,494 | |||
Hotels, Restaurants & Leisure — 1.1% | |||
Marriott International, Inc., Class A | 6,426 | $ 550,901 | |
Starbucks Corp. | 23,153 | 1,703,829 | |
$ 2,254,730 | |||
Interactive Media & Services — 11.7% | |||
Alphabet, Inc., Class A(1) | 5,348 | $ 7,583,731 | |
Alphabet, Inc., Class C(1) | 5,223 | 7,383,285 | |
Baidu, Inc. ADR(1) | 5,450 | 653,401 | |
Facebook, Inc., Class A(1) | 37,357 | 8,482,654 | |
$ 24,103,071 | |||
Internet & Direct Marketing Retail — 12.6% | |||
Amazon.com, Inc.(1) | 7,755 | $ 21,394,649 | |
Booking Holdings, Inc.(1) | 811 | 1,291,388 | |
eBay, Inc. | 13,926 | 730,419 | |
Expedia Group, Inc. | 2,688 | 220,954 | |
JD.com, Inc. ADR(1) | 18,473 | 1,111,705 |
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Security | Shares | Value | |
Internet & Direct Marketing Retail (continued) | |||
MercadoLibre, Inc.(1) | 985 | $ 970,983 | |
Trip.com Group, Ltd. ADR(1) | 10,422 | 270,138 | |
$ 25,990,236 | |||
IT Services — 4.0% | |||
Automatic Data Processing, Inc. | 8,517 | $ 1,268,096 | |
Cognizant Technology Solutions Corp., Class A | 10,713 | 608,712 | |
Fiserv, Inc.(1) | 13,268 | 1,295,222 | |
Paychex, Inc. | 7,133 | 540,325 | |
PayPal Holdings, Inc.(1) | 23,269 | 4,054,158 | |
VeriSign, Inc.(1) | 2,290 | 473,641 | |
$ 8,240,154 | |||
Life Sciences Tools & Services — 0.5% | |||
Illumina, Inc.(1) | 2,913 | $ 1,078,830 | |
$ 1,078,830 | |||
Machinery — 0.2% | |||
PACCAR, Inc. | 6,893 | $ 515,941 | |
$ 515,941 | |||
Media — 3.1% | |||
Charter Communications, Inc., Class A(1) | 4,092 | $ 2,087,084 | |
Comcast Corp., Class A | 90,264 | 3,518,491 | |
Fox Corp., Class A | 6,892 | 184,843 | |
Fox Corp., Class B | 5,305 | 142,386 | |
Sirius XM Holdings, Inc. | 86,784 | 509,422 | |
$ 6,442,226 | |||
Multiline Retail — 0.2% | |||
Dollar Tree, Inc.(1) | 4,716 | $ 437,079 | |
$ 437,079 | |||
Professional Services — 0.5% | |||
CoStar Group, Inc.(1) | 773 | $ 549,348 | |
Verisk Analytics, Inc. | 3,216 | 547,363 | |
$ 1,096,711 | |||
Road & Rail — 0.5% | |||
CSX Corp. | 15,170 | $ 1,057,956 | |
$ 1,057,956 | |||
Semiconductors & Semiconductor Equipment — 12.2% | |||
Advanced Micro Devices, Inc.(1) | 23,210 | $ 1,221,078 | |
Analog Devices, Inc. | 7,340 | 900,178 | |
Applied Materials, Inc. | 18,163 | 1,097,953 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
ASML Holding NV-NY Shares | 1,523 | $ 560,510 | |
Broadcom, Inc. | 7,923 | 2,500,578 | |
Intel Corp. | 83,909 | 5,020,276 | |
KLA Corp. | 3,073 | 597,637 | |
Lam Research Corp. | 2,877 | 930,595 | |
Maxim Integrated Products, Inc. | 5,284 | 320,263 | |
Microchip Technology, Inc. | 4,862 | 512,017 | |
Micron Technology, Inc.(1) | 22,041 | 1,135,552 | |
NVIDIA Corp. | 12,188 | 4,630,343 | |
NXP Semiconductors NV | 5,571 | 635,317 | |
QUALCOMM, Inc. | 22,294 | 2,033,436 | |
Skyworks Solutions, Inc. | 3,306 | 422,705 | |
Texas Instruments, Inc. | 18,188 | 2,309,330 | |
Xilinx, Inc. | 4,819 | 474,141 | |
$ 25,301,909 | |||
Software — 17.3% | |||
Adobe, Inc.(1) | 9,548 | $ 4,156,340 | |
ANSYS, Inc.(1) | 1,696 | 494,774 | |
Autodesk, Inc.(1) | 4,344 | 1,039,041 | |
Cadence Design Systems, Inc.(1) | 5,533 | 530,947 | |
Check Point Software Technologies, Ltd.(1) | 2,834 | 304,457 | |
Citrix Systems, Inc. | 2,446 | 361,788 | |
DocuSign, Inc.(1) | 3,629 | 624,950 | |
Intuit, Inc. | 5,168 | 1,530,710 | |
Microsoft Corp. | 117,911 | 23,996,068 | |
Splunk, Inc.(1) | 3,148 | 625,507 | |
Synopsys, Inc.(1) | 2,995 | 584,025 | |
Workday, Inc., Class A(1) | 3,448 | 646,017 | |
Zoom Video Communications, Inc., Class A(1) | 3,321 | 842,006 | |
$ 35,736,630 | |||
Specialty Retail — 0.7% | |||
O'Reilly Automotive, Inc.(1) | 1,471 | $ 620,277 | |
Ross Stores, Inc. | 7,043 | 600,345 | |
Ulta Beauty, Inc.(1) | 1,116 | 227,017 | |
$ 1,447,639 | |||
Technology Hardware, Storage & Peripherals — 12.1% | |||
Apple, Inc. | 67,370 | $ 24,576,576 | |
NetApp, Inc. | 4,421 | 196,160 | |
Western Digital Corp. | 5,927 | 261,677 | |
$ 25,034,413 |
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Security | Shares | Value | |
Textiles, Apparel & Luxury Goods — 0.4% | |||
lululemon Athletica, Inc.(1) | 2,454 | $ 765,673 | |
$ 765,673 | |||
Trading Companies & Distributors — 0.2% | |||
Fastenal Co. | 11,430 | $ 489,661 | |
$ 489,661 | |||
Wireless Telecommunication Services — 1.2% | |||
T-Mobile US, Inc.(1) | 24,490 | $ 2,550,633 | |
$ 2,550,633 | |||
Total Common Stocks (identified cost $59,803,583) | $ 203,775,599 |
Exchange-Traded Funds — 0.1% |
Security | Shares | Value | |
Invesco QQQ TM Trust, Series 1(2) | 500 | $ 123,800 | |
Total Exchange-Traded Funds (identified cost $53,165) | $ 123,800 |
Rights — 0.0%(3) |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.0%(3) | |||
T-Mobile US, Inc., Exp. 7/27/20(1) | 24,490 | $ 4,114 | |
Total Rights (identified cost $9,061) | $ 4,114 |
Short-Term Investments — 1.5% | |||
Other — 1.3% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(4) | 2,736,056 | $ 2,736,056 | |
Total Other (identified cost $2,736,056) | $ 2,736,056 | ||
U.S. Treasury Obligations — 0.2% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 8/13/20(5) | $ | 400 | $ 399,943 |
Total U.S. Treasury Obligations (identified cost $399,286) | $ 399,943 | ||
Total Short-Term Investments (identified cost $3,135,342) | $ 3,135,999 | ||
Total Investments — 100.1% (identified cost $63,001,151) | $ 207,039,512 | ||
Other Assets, Less Liabilities — (0.1)% | $ (231,925) | ||
Net Assets — 100.0% | $ 206,807,587 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $122,562. | |
(3) | Amount is less than 0.05%. | |
(4) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2020. | |
(5) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini NASDAQ 100 Index | 16 | Long | 9/18/20 | $3,247,120 | $ 81,050 |
$81,050 |
Abbreviations: | |
ADR | – American Depositary Receipt |
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June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $60,265,095) - including $122,562 of securities on loan | $ 204,303,456 |
Investments in securities of affiliated issuers, at value (identified cost $2,736,056) | 2,736,056 |
Receivable for variation margin on open futures contracts | 55,558 |
Receivable for investments sold | 8,199 |
Receivable for capital shares sold | 1,989 |
Dividends receivable | 47,640 |
Dividends receivable - affiliated | 135 |
Securities lending income receivable | 87 |
Receivable from affiliate | 21,097 |
Directors' deferred compensation plan | 35,567 |
Total assets | $207,209,784 |
Liabilities | |
Payable for capital shares redeemed | $ 203,151 |
Payable to affiliates: | |
Investment advisory fee | 49,505 |
Administrative fee | 19,802 |
Distribution and service fees | 2,096 |
Sub-transfer agency fee | 40 |
Directors' deferred compensation plan | 35,567 |
Accrued expenses | 92,036 |
Total liabilities | $ 402,197 |
Net Assets | $206,807,587 |
Sources of Net Assets | |
Paid-in capital | $ 52,231,737 |
Distributable earnings | 154,575,850 |
Total | $206,807,587 |
Class I Shares | |
Net Assets | $ 195,923,285 |
Shares Outstanding | 1,951,356 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 100.40 |
Class F Shares | |
Net Assets | $ 10,884,302 |
Shares Outstanding | 109,842 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 99.09 |
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Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $949) | $ 921,288 |
Dividend income - affiliated issuers | 135 |
Interest income | 5,946 |
Securities lending income, net | 1,614 |
Total investment income | $ 928,983 |
Expenses | |
Investment advisory fee | $ 273,650 |
Administrative fee | 109,460 |
Distribution and service fees: | |
Class F | 9,510 |
Directors' fees and expenses | 5,236 |
Custodian fees | 1,193 |
Transfer agency fees and expenses | 75,254 |
Accounting fees | 20,686 |
Professional fees | 11,096 |
Reports to shareholders | 25,238 |
Miscellaneous | 31,550 |
Total expenses | $ 562,873 |
Waiver and/or reimbursement of expenses by affiliate | (115,261) |
Net expenses | $ 447,612 |
Net investment income | $ 481,371 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 1,157,606 |
Futures contracts | 275,015 |
Net realized gain | $ 1,432,621 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 27,502,427 |
Futures contracts | 27,440 |
Net change in unrealized appreciation (depreciation) | $27,529,867 |
Net realized and unrealized gain | $28,962,488 |
Net increase in net assets resulting from operations | $29,443,859 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 481,371 | $ 918,295 |
Net realized gain | 1,432,621 | 7,504,571 |
Net change in unrealized appreciation (depreciation) | 27,529,867 | 42,991,763 |
Net increase in net assets from operations | $ 29,443,859 | $ 51,414,629 |
Distributions to shareholders: | ||
Class I | $ — | $ (4,765,571) |
Class F | — | (116,646) |
Total distributions to shareholders | $ — | $ (4,882,217) |
Capital share transactions: | ||
Class I | $ (8,156,605) | $ (187,499) |
Class F | 3,641,154 | 2,987,301 |
Net increase (decrease) in net assets from capital share transactions | $ (4,515,451) | $ 2,799,802 |
Net increase in net assets | $ 24,928,408 | $ 49,332,214 |
Net Assets | ||
At beginning of period | $ 181,879,179 | $ 132,546,965 |
At end of period | $206,807,587 | $181,879,179 |
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Class I | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 86.05 | $ 63.98 | $ 65.60 | $ 50.26 | $ 48.91 | $ 45.59 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.24 | $ 0.44 | $ 0.41 | $ 0.40 | $ 0.34 | $ 0.29 |
Net realized and unrealized gain (loss) | 14.11 | 24.00 | (0.46) | 15.82 | 2.91 | 3.87 |
Total income (loss) from operations | $ 14.35 | $ 24.44 | $ (0.05) | $ 16.22 | $ 3.25 | $ 4.16 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.41) | $ (0.40) | $ (0.30) | $ (0.26) | $ (0.03) |
From net realized gain | — | (1.96) | (1.17) | (0.58) | (1.64) | (0.81) |
Total distributions | $ — | $ (2.37) | $ (1.57) | $ (0.88) | $ (1.90) | $ (0.84) |
Net asset value — End of period | $ 100.40 | $ 86.05 | $ 63.98 | $ 65.60 | $ 50.26 | $ 48.91 |
Total Return(2) | 16.67% (3) | 38.77% | (0.47)% | 32.35% | 6.59% | 9.07% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 195,923 | $ 176,210 | $ 130,777 | $ 133,473 | $ 104,449 | $ 93,676 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.61% (5) | 0.59% | 0.60% | 0.60% | 0.66% | 0.62% |
Net expenses | 0.48% (5) | 0.48% | 0.48% | 0.48% | 0.64% | 0.62% |
Net investment income | 0.54% (5) | 0.58% | 0.58% | 0.67% | 0.69% | 0.61% |
Portfolio Turnover | 2% (3) | 8% | 7% | 3% | 5% | 8% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
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Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015(1) | ||||
2019 | 2018 | 2017 | 2016 | |||
Net asset value — Beginning of period | $ 85.03 | $ 63.40 | $ 65.18 | $ 50.07 | $ 48.91 | $ 50.24 |
Income (Loss) From Operations | ||||||
Net investment income(2) | $ 0.13 | $ 0.25 | $ 0.23 | $ 0.23 | $ 0.18 | $ 0.06 |
Net realized and unrealized gain (loss) | 13.93 | 23.75 | (0.44) | 15.76 | 2.93 | (0.58) |
Total income (loss) from operations | $ 14.06 | $ 24.00 | $ (0.21) | $ 15.99 | $ 3.11 | $ (0.52) |
Less Distributions | ||||||
From net investment income | $ — | $ (0.41) | $ (0.40) | $ (0.30) | $ (0.31) | $ — |
From net realized gain | — | (1.96) | (1.17) | (0.58) | (1.64) | (0.81) |
Total distributions | $ — | $ (2.37) | $ (1.57) | $ (0.88) | $ (1.95) | $ (0.81) |
Net asset value — End of period | $ 99.09 | $ 85.03 | $ 63.40 | $ 65.18 | $ 50.07 | $ 48.91 |
Total Return(3) | 16.54% (4) | 38.44% | (0.72)% | 32.01% | 6.30% | (1.07)% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 10,884 | $ 5,669 | $ 1,770 | $ 1,942 | $ 1,088 | $ 99 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Total expenses | 0.86% (6) | 0.84% | 0.84% | 1.01% | 1.48% | 0.87% (6) |
Net expenses | 0.73% (6) | 0.73% | 0.73% | 0.73% | 0.94% | 0.87% (6) |
Net investment income | 0.29% (6) | 0.32% | 0.33% | 0.39% | 0.36% | 0.71% (6) |
Portfolio Turnover | 2% (4) | 8% | 7% | 3% | 5% | 8% (4) |
(1) | From October 30, 2015 inception. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
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Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 203,775,599(1) | $ — | $ — | $ 203,775,599 |
Exchange-Traded Funds | 123,800 | — | — | 123,800 |
Rights | 4,114 | — | — | 4,114 |
Short-Term Investments: | ||||
Other | — | 2,736,056 | — | 2,736,056 |
U.S. Treasury Obligations | — | 399,943 | — | 399,943 |
Total Investments | $203,903,513 | $3,135,999 | $ — | $207,039,512 |
Futures Contracts | $ 81,050 | $ — | $ — | $ 81,050 |
Total | $203,984,563 | $3,135,999 | $ — | $207,120,562 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
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Aggregate cost | $ 63,025,683 |
Gross unrealized appreciation | $ 146,571,098 |
Gross unrealized depreciation | (2,476,219) |
Net unrealized appreciation | $144,094,879 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $81,050 (1) | $— |
(1) | 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. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $275,015 | $27,440 |
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Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $4,179,806 | $(1,443,750) | $ — | $ — | $2,736,056 | $135 | 2,736,056 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 118,645 | $ 10,329,934 | 177,906 | $ 13,382,179 | |
Reinvestment of distributions | — | — | 64,140 | 4,765,571 | |
Shares redeemed | (215,054) | (18,486,539) | (238,195) | (18,335,249) | |
Net increase (decrease) | (96,409) | $ (8,156,605) | 3,851 | $ (187,499) | |
Class F | |||||
Shares sold | 47,657 | $ 4,051,909 | 39,507 | $ 3,051,745 | |
Reinvestment of distributions | — | — | 1,588 | 116,646 | |
Shares redeemed | (4,487) | (410,755) | (2,340) | (181,090) | |
Net increase | 43,170 | $ 3,641,154 | 38,755 | $ 2,987,301 |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 04/27/2000 | 04/27/2000 | (13.16)% | (7.00)% | 3.92% | 9.90% |
Class F at NAV | 10/04/2005 | 04/27/2000 | (13.25) | (7.18) | 3.67 | 9.66 |
Russell 2000® Index | — | — | (12.98)% | (6.63)% | 4.28% | 10.49% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.58% | 0.78% |
Net | 0.39 | 0.59 |
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Top 10 Holdings (% of net assets)* | |
iShares Russell 2000 ETF | 1.9% |
Deckers Outdoor Corp. | 0.3 |
LHC Group, Inc. | 0.3 |
BJ's Wholesale Club Holdings, Inc. | 0.3 |
Churchill Downs, Inc. | 0.3 |
Novavax, Inc. | 0.3 |
MyoKardia, Inc. | 0.3 |
Helen of Troy, Ltd. | 0.3 |
SiteOne Landscape Supply, Inc. | 0.3 |
EastGroup Properties, Inc. | 0.2 |
Total | 4.5% |
* | Excludes cash and cash equivalents. |
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1 | Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 868.40 | $1.81 ** | 0.39% |
Class F | $1,000.00 | $ 867.50 | $2.74 ** | 0.59% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.92 | $1.96 ** | 0.39% |
Class F | $1,000.00 | $1,021.93 | $2.97 ** | 0.59% |
* | 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 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Common Stocks — 92.3% |
Security | Shares | Value | |
Aerospace & Defense — 0.8% | |||
AAR Corp. | 2,929 | $ 60,542 | |
Aerojet Rocketdyne Holdings, Inc.(1) | 6,371 | 252,546 | |
AeroVironment, Inc.(1) | 1,860 | 148,112 | |
Astronics Corp.(1) | 2,153 | 22,736 | |
Cubic Corp. | 2,731 | 131,170 | |
Ducommun, Inc.(1) | 914 | 31,871 | |
Kaman Corp. | 2,432 | 101,171 | |
Kratos Defense & Security Solutions, Inc.(1) | 9,349 | 146,125 | |
Maxar Technologies, Inc.(1) | 5,309 | 95,350 | |
Moog, Inc., Class A | 2,706 | 143,364 | |
National Presto Industries, Inc. | 420 | 36,704 | |
PAE, Inc.(1) | 5,218 | 49,884 | |
Park Aerospace Corp. | 1,804 | 20,096 | |
Parsons Corp.(1) | 1,992 | 72,190 | |
Triumph Group, Inc. | 4,259 | 38,374 | |
Vectrus, Inc.(1) | 987 | 48,491 | |
$ 1,398,726 | |||
Air Freight & Logistics — 0.3% | |||
Air Transport Services Group, Inc.(1) | 5,010 | $ 111,573 | |
Atlas Air Worldwide Holdings, Inc.(1) | 2,274 | 97,850 | |
Echo Global Logistics, Inc.(1) | 2,286 | 49,423 | |
Forward Air Corp. | 2,535 | 126,294 | |
Hub Group, Inc., Class A(1) | 2,840 | 135,922 | |
Radiant Logistics, Inc.(1) | 3,434 | 13,496 | |
$ 534,558 | |||
Airlines — 0.3% | |||
Allegiant Travel Co. | 1,137 | $ 124,172 | |
Hawaiian Holdings, Inc. | 3,989 | 56,006 | |
Mesa Air Group, Inc.(1) | 1,804 | 6,206 | |
SkyWest, Inc. | 4,404 | 143,658 | |
Spirit Airlines, Inc.(1) | 7,640 | 135,992 | |
$ 466,034 | |||
Auto Components — 1.2% | |||
Adient PLC(1) | 7,706 | $ 126,533 | |
American Axle & Manufacturing Holdings, Inc.(1) | 9,789 | 74,396 | |
Cooper Tire & Rubber Co. | 4,505 | 124,383 | |
Cooper-Standard Holdings, Inc.(1) | 1,470 | 19,478 | |
Dana, Inc. | 12,607 | 153,679 | |
Dorman Products, Inc.(1) | 2,409 | 161,572 | |
Fox Factory Holding Corp.(1) | 3,404 | 281,205 | |
Gentherm, Inc.(1) | 2,898 | 112,732 | |
Goodyear Tire & Rubber Co. (The) | 20,425 | 182,702 |
Security | Shares | Value | |
Auto Components (continued) | |||
LCI Industries | 2,130 | $ 244,907 | |
Modine Manufacturing Co.(1) | 4,047 | 22,339 | |
Motorcar Parts of America, Inc.(1) | 1,400 | 24,738 | |
Standard Motor Products, Inc. | 1,855 | 76,426 | |
Stoneridge, Inc.(1) | 2,174 | 44,915 | |
Tenneco, Inc., Class A(1)(2) | 4,240 | 32,054 | |
Visteon Corp.(1) | 2,454 | 168,099 | |
VOXX International Corp.(1) | 1,752 | 10,127 | |
Workhorse Group, Inc.(1) | 5,595 | 97,297 | |
XPEL, Inc. | 1,474 | 23,053 | |
$ 1,980,635 | |||
Automobiles — 0.1% | |||
Winnebago Industries, Inc. | 2,733 | $ 182,072 | |
$ 182,072 | |||
Banks — 7.8% | |||
1st Constitution Bancorp | 623 | $ 7,725 | |
1st Source Corp. | 1,262 | 44,902 | |
ACNB Corp. | 464 | 12,148 | |
Alerus Financial Corp. | 1,321 | 26,103 | |
Allegiance Bancshares, Inc. | 1,683 | 42,731 | |
Amalgamated Bank, Class A | 1,217 | 15,383 | |
Amerant Bancorp, Inc.(1) | 1,707 | 25,673 | |
American National Bankshares, Inc. | 942 | 23,588 | |
Ameris Bancorp | 5,860 | 138,237 | |
Ames National Corp. | 756 | 14,923 | |
Arrow Financial Corp. | 1,126 | 33,476 | |
Atlantic Capital Bancshares, Inc.(1) | 1,833 | 22,289 | |
Atlantic Union Bankshares Corp. | 6,791 | 157,280 | |
Auburn National BanCorp, Inc. | 207 | 11,818 | |
Banc of California, Inc. | 3,886 | 42,085 | |
BancFirst Corp. | 1,626 | 65,967 | |
Bancorp, Inc. (The)(1) | 4,384 | 42,963 | |
BancorpSouth Bank | 8,815 | 200,453 | |
Bank First Corp. | 510 | 32,691 | |
Bank of Commerce Holdings | 1,360 | 10,309 | |
Bank of Marin Bancorp | 1,090 | 36,330 | |
Bank of NT Butterfield & Son, Ltd. (The) | 4,785 | 116,706 | |
Bank of Princeton (The) | 486 | 9,759 | |
Bank7 Corp. | 280 | 3,039 | |
BankFinancial Corp. | 1,183 | 9,937 | |
BankUnited, Inc. | 8,109 | 164,207 | |
Bankwell Financial Group, Inc. | 446 | 7,091 | |
Banner Corp. | 3,119 | 118,522 | |
Bar Harbor Bankshares | 1,146 | 25,659 |
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Security | Shares | Value | |
Banks (continued) | |||
Baycom Corp.(1) | 848 | $ 10,948 | |
BCB Bancorp, Inc. | 832 | 7,721 | |
Berkshire Hills Bancorp, Inc. | 4,064 | 44,785 | |
Boston Private Financial Holdings, Inc. | 7,071 | 48,648 | |
Bridge Bancorp, Inc. | 1,543 | 35,242 | |
Brookline Bancorp, Inc. | 7,018 | 70,741 | |
Bryn Mawr Bank Corp. | 1,617 | 44,726 | |
Business First Bancshares, Inc. | 1,096 | 16,824 | |
Byline Bancorp, Inc. | 1,998 | 26,174 | |
C&F Financial Corp. | 251 | 8,346 | |
Cadence BanCorp | 11,225 | 99,453 | |
California Bancorp, Inc.(1) | 669 | 9,968 | |
Cambridge Bancorp | 500 | 29,620 | |
Camden National Corp. | 1,318 | 45,524 | |
Capital Bancorp, Inc.(1) | 525 | 5,618 | |
Capital City Bank Group, Inc. | 1,232 | 25,810 | |
Capstar Financial Holdings, Inc. | 1,274 | 15,288 | |
Carter Bank & Trust(1) | 1,998 | 16,124 | |
Cathay General Bancorp | 6,888 | 181,154 | |
CB Financial Services, Inc. | 436 | 9,514 | |
CBTX, Inc. | 1,510 | 31,710 | |
Central Pacific Financial Corp. | 2,337 | 37,462 | |
Central Valley Community Bancorp | 682 | 10,496 | |
Century Bancorp, Inc., Class A | 277 | 21,528 | |
Chemung Financial Corp. | 245 | 6,688 | |
ChoiceOne Financial Services, Inc. | 603 | 17,825 | |
CIT Group, Inc. | 8,716 | 180,683 | |
Citizens & Northern Corp. | 1,125 | 23,231 | |
Citizens Holding Co. | 414 | 10,350 | |
City Holding Co. | 1,429 | 93,128 | |
Civista Bancshares, Inc. | 1,318 | 20,297 | |
CNB Financial Corp. | 1,282 | 22,986 | |
Coastal Financial Corp.(1) | 530 | 7,696 | |
Codorus Valley Bancorp, Inc. | 729 | 10,082 | |
Colony Bankcorp, Inc. | 655 | 7,709 | |
Columbia Banking System, Inc. | 6,444 | 182,655 | |
Community Bank System, Inc. | 4,431 | 252,656 | |
Community Bankers Trust Corp. | 1,884 | 10,362 | |
Community Financial Corp. (The) | 347 | 8,467 | |
Community Trust Bancorp, Inc. | 1,316 | 43,112 | |
ConnectOne Bancorp, Inc. | 2,830 | 45,620 | |
County Bancorp, Inc. | 442 | 9,251 | |
CrossFirst Bankshares, Inc.(1) | 4,100 | 40,098 | |
Customers Bancorp, Inc.(1) | 2,287 | 27,490 | |
CVB Financial Corp. | 11,420 | 214,011 | |
Delmar Bancorp | 872 | 5,729 | |
Eagle Bancorp Montana, Inc. | 556 | 9,663 |
Security | Shares | Value | |
Banks (continued) | |||
Eagle Bancorp, Inc. | 2,865 | $ 93,829 | |
Enterprise Bancorp, Inc. | 790 | 18,818 | |
Enterprise Financial Services Corp. | 2,151 | 66,939 | |
Equity Bancshares, Inc., Class A(1) | 1,296 | 22,602 | |
Esquire Financial Holdings, Inc.(1) | 506 | 8,551 | |
Evans Bancorp, Inc. | 406 | 9,444 | |
Farmers & Merchants Bancorp, Inc. | 778 | 16,525 | |
Farmers National Banc Corp. | 1,937 | 22,973 | |
FB Financial Corp. | 1,361 | 33,712 | |
Fidelity D&D Bancorp, Inc.(2) | 249 | 11,974 | |
Financial Institutions, Inc. | 1,360 | 25,310 | |
First Bancorp, Inc. (The) | 691 | 14,995 | |
First Bancorp. | 2,504 | 62,800 | |
First BanCorp. / Puerto Rico | 18,815 | 105,176 | |
First Bancshares, Inc. (The) | 1,827 | 41,107 | |
First Bank / Hamilton | 1,315 | 8,574 | |
First Busey Corp. | 4,434 | 82,694 | |
First Business Financial Services, Inc. | 708 | 11,647 | |
First Capital, Inc.(2) | 286 | 19,868 | |
First Choice Bancorp | 879 | 14,398 | |
First Commonwealth Financial Corp. | 8,496 | 70,347 | |
First Community Bankshares, Inc. | 1,464 | 32,867 | |
First Community Corp. / SC | 633 | 9,590 | |
First Financial Bancorp | 8,499 | 118,051 | |
First Financial Bankshares, Inc. | 11,315 | 326,890 | |
First Financial Corp. / IN | 1,151 | 42,403 | |
First Foundation, Inc. | 3,136 | 51,242 | |
First Guaranty Bancshares, Inc. | 412 | 5,039 | |
First Internet Bancorp | 680 | 11,302 | |
First Interstate BancSystem, Inc., Class A | 3,755 | 116,255 | |
First Merchants Corp. | 4,879 | 134,514 | |
First Mid Bancshares, Inc. | 1,248 | 32,735 | |
First Midwest Bancorp, Inc. | 10,072 | 134,461 | |
First Northwest Bancorp | 864 | 10,731 | |
First of Long Island Corp. (The) | 2,051 | 33,513 | |
First Savings Financial Group, Inc. | 165 | 7,149 | |
First United Corp. | 593 | 7,911 | |
First Western Financial, Inc.(1) | 552 | 7,866 | |
Flushing Financial Corp. | 2,270 | 26,150 | |
FNCB Bancorp, Inc. | 1,509 | 8,677 | |
Franklin Financial Network, Inc. | 1,172 | 30,179 | |
Franklin Financial Services Corp. | 369 | 9,557 | |
Fulton Financial Corp. | 14,198 | 149,505 | |
FVCBankcorp, Inc.(1) | 1,064 | 11,449 | |
German American Bancorp, Inc. | 2,058 | 64,004 | |
Glacier Bancorp, Inc. | 8,463 | 298,659 | |
Great Southern Bancorp, Inc. | 940 | 37,938 |
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Security | Shares | Value | |
Banks (continued) | |||
Great Western Bancorp, Inc. | 4,997 | $ 68,759 | |
Guaranty Bancshares, Inc. | 666 | 17,229 | |
Hancock Whitney Corp. | 7,711 | 163,473 | |
Hanmi Financial Corp. | 2,767 | 26,868 | |
HarborOne Bancorp, Inc.(1) | 4,676 | 39,933 | |
Hawthorn Bancshares, Inc. | 519 | 10,218 | |
HBT Financial, Inc.(1) | 782 | 10,424 | |
Heartland Financial USA, Inc. | 3,037 | 101,557 | |
Heritage Commerce Corp. | 4,704 | 35,304 | |
Heritage Financial Corp. | 3,121 | 62,420 | |
Hilltop Holdings, Inc. | 6,020 | 111,069 | |
Home BancShares, Inc. | 13,384 | 205,846 | |
HomeTrust Bancshares, Inc. | 1,500 | 24,000 | |
Hope Bancorp, Inc. | 10,521 | 97,004 | |
Horizon Bancorp | 3,088 | 33,011 | |
Howard Bancorp, Inc.(1) | 1,153 | 12,245 | |
IBERIABANK Corp. | 4,692 | 213,674 | |
Independent Bank Corp. | 2,918 | 195,769 | |
Independent Bank Corp. / MI | 1,901 | 28,230 | |
Independent Bank Group, Inc. | 3,094 | 125,369 | |
International Bancshares Corp. | 4,715 | 150,974 | |
Investar Holding Corp. | 717 | 10,396 | |
Investors Bancorp, Inc. | 20,179 | 171,521 | |
Lakeland Bancorp, Inc. | 4,377 | 50,029 | |
Lakeland Financial Corp. | 2,121 | 98,817 | |
Landmark Bancorp, Inc. / Manhattan KS | 332 | 8,204 | |
LCNB Corp. | 1,068 | 17,045 | |
Level One Bancorp, Inc. | 443 | 7,416 | |
Limestone Bancorp, Inc.(1) | 446 | 5,865 | |
Live Oak Bancshares, Inc. | 2,347 | 34,055 | |
Macatawa Bank Corp. | 2,061 | 16,117 | |
Mackinac Financial Corp. | 813 | 8,431 | |
MainStreet Bancshares, Inc.(1) | 626 | 8,263 | |
Mercantile Bank Corp. | 1,436 | 32,454 | |
Meridian Corp.(1) | 474 | 7,513 | |
Metrocity Bankshares, Inc. | 1,365 | 19,560 | |
Metropolitan Bank Holding Corp.(1) | 542 | 17,387 | |
Mid Penn Bancorp, Inc. | 399 | 7,354 | |
Middlefield Banc Corp. | 528 | 10,956 | |
Midland States Bancorp, Inc. | 1,739 | 25,998 | |
MidWestOne Financial Group, Inc. | 980 | 19,600 | |
MVB Financial Corp. | 740 | 9,842 | |
National Bank Holdings Corp., Class A | 2,643 | 71,361 | |
National Bankshares, Inc. | 531 | 15,187 | |
NBT Bancorp, Inc. | 3,663 | 112,674 | |
Nicolet Bankshares, Inc.(1) | 802 | 43,950 | |
Northeast Bank(1) | 637 | 11,179 |
Security | Shares | Value | |
Banks (continued) | |||
Northrim BanCorp, Inc. | 525 | $ 13,198 | |
Norwood Financial Corp. | 502 | 12,445 | |
Oak Valley Bancorp | 573 | 7,266 | |
OceanFirst Financial Corp. | 4,703 | 82,914 | |
OFG Bancorp | 4,325 | 57,825 | |
Ohio Valley Banc Corp. | 358 | 8,073 | |
Old National Bancorp | 14,345 | 197,387 | |
Old Second Bancorp, Inc. | 2,274 | 17,692 | |
Origin Bancorp, Inc. | 1,666 | 36,652 | |
Orrstown Financial Services, Inc. | 900 | 13,275 | |
Pacific Premier Bancorp, Inc. | 7,448 | 161,473 | |
Park National Corp. | 1,267 | 89,171 | |
Parke Bancorp, Inc. | 607 | 8,225 | |
PCB Bancorp | 976 | 10,053 | |
Peapack-Gladstone Financial Corp. | 1,655 | 30,998 | |
Penns Woods Bancorp, Inc. | 622 | 14,126 | |
Peoples Bancorp of North Carolina, Inc. | 408 | 7,209 | |
Peoples Bancorp, Inc. | 1,418 | 30,175 | |
Peoples Financial Services Corp. | 676 | 25,816 | |
People's Utah Bancorp | 1,248 | 28,043 | |
Plumas Bancorp | 411 | 9,091 | |
Preferred Bank / Los Angeles | 1,229 | 52,663 | |
Premier Financial Bancorp, Inc. | 911 | 11,679 | |
Professional Holding Corp., Class A(1) | 300 | 4,164 | |
QCR Holdings, Inc. | 1,290 | 40,222 | |
RBB Bancorp | 1,147 | 15,657 | |
Red River Bancshares, Inc. | 422 | 18,522 | |
Reliant Bancorp, Inc. | 914 | 14,889 | |
Renasant Corp. | 4,869 | 121,238 | |
Republic Bancorp, Inc., Class A | 907 | 29,668 | |
Republic First Bancorp, Inc.(1) | 4,071 | 9,933 | |
Richmond Mutual BanCorp, Inc. | 1,092 | 12,274 | |
S&T Bancorp, Inc. | 3,252 | 76,259 | |
Salisbury Bancorp, Inc. | 224 | 9,182 | |
Sandy Spring Bancorp, Inc. | 4,070 | 100,855 | |
SB Financial Group, Inc. | 627 | 10,421 | |
SB One Bancorp | 601 | 11,840 | |
Seacoast Banking Corp. of Florida(1) | 4,301 | 87,740 | |
Select Bancorp, Inc.(1) | 954 | 7,766 | |
ServisFirst Bancshares, Inc. | 4,180 | 149,477 | |
Shore Bancshares, Inc. | 977 | 10,835 | |
Sierra Bancorp | 1,243 | 23,468 | |
Silvergate Capital Corp., Class A(1) | 1,362 | 19,068 | |
Simmons First National Corp., Class A | 9,563 | 163,623 | |
SmartFinancial, Inc. | 1,098 | 17,766 | |
South Plains Financial, Inc. | 868 | 12,360 | |
South State Corp. | 6,190 | 295,015 |
Table of Contents
Security | Shares | Value | |
Banks (continued) | |||
Southern First Bancshares, Inc.(1) | 613 | $ 16,986 | |
Southern National Bancorp of Virginia, Inc. | 1,573 | 15,242 | |
Southside Bancshares, Inc. | 2,786 | 77,228 | |
Spirit of Texas Bancshares, Inc.(1) | 1,176 | 14,477 | |
Stock Yards Bancorp, Inc. | 1,843 | 74,089 | |
Summit Financial Group, Inc. | 955 | 15,738 | |
Texas Capital Bancshares, Inc.(1) | 4,469 | 137,958 | |
Tompkins Financial Corp. | 1,253 | 81,157 | |
TowneBank | 5,819 | 109,630 | |
TriCo Bancshares | 2,280 | 69,426 | |
TriState Capital Holdings, Inc.(1) | 1,979 | 31,090 | |
Triumph Bancorp, Inc.(1) | 1,993 | 48,370 | |
Trustmark Corp. | 5,783 | 141,799 | |
UMB Financial Corp. | 3,879 | 199,962 | |
United Bankshares, Inc. | 10,850 | 300,111 | |
United Community Banks, Inc. | 6,890 | 138,627 | |
United Security Bancshares | 1,143 | 7,647 | |
Unity Bancorp, Inc. | 677 | 9,681 | |
Univest Financial Corp. | 2,577 | 41,593 | |
Valley National Bancorp | 35,202 | 275,280 | |
Veritex Holdings, Inc. | 4,496 | 79,579 | |
Washington Trust Bancorp, Inc. | 1,507 | 49,354 | |
WesBanco, Inc. | 5,658 | 114,914 | |
West BanCorp, Inc. | 1,387 | 24,259 | |
Westamerica BanCorp. | 2,275 | 130,630 | |
$ 13,013,195 | |||
Beverages — 0.3% | |||
Celsius Holdings, Inc.(1) | 3,035 | $ 35,722 | |
Coca-Cola Consolidated, Inc. | 420 | 96,260 | |
Craft Brew Alliance, Inc.(1) | 855 | 13,158 | |
MGP Ingredients, Inc. | 1,083 | 39,751 | |
National Beverage Corp.(1)(2) | 989 | 60,349 | |
New Age Beverages Corp.(1)(2) | 6,381 | 9,763 | |
Primo Water Corp. | 13,804 | 189,805 | |
$ 444,808 | |||
Biotechnology — 10.0% | |||
89bio, Inc.(1) | 255 | $ 5,082 | |
Abeona Therapeutics, Inc.(1) | 2,704 | 7,882 | |
ADMA Biologics, Inc.(1) | 4,185 | 12,262 | |
Aduro Biotech, Inc.(1) | 5,545 | 12,809 | |
Adverum Biotechnologies, Inc.(1) | 6,451 | 134,697 | |
Aeglea BioTherapeutics, Inc.(1) | 3,710 | 34,318 | |
Affimed NV(1) | 5,312 | 24,515 | |
Agenus, Inc.(1) | 12,229 | 48,060 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Aimmune Therapeutics, Inc.(1)(2) | 3,876 | $ 64,768 | |
Akcea Therapeutics, Inc.(1)(2) | 1,275 | 17,468 | |
Akebia Therapeutics, Inc.(1) | 11,500 | 156,170 | |
Akero Therapeutics, Inc.(1)(2) | 730 | 18,192 | |
Albireo Pharma, Inc.(1) | 974 | 25,801 | |
Alector, Inc.(1) | 4,089 | 99,935 | |
Allakos, Inc.(1) | 2,151 | 154,571 | |
Allogene Therapeutics, Inc.(1)(2) | 4,285 | 183,484 | |
Amicus Therapeutics, Inc.(1) | 22,362 | 337,219 | |
AnaptysBio, Inc.(1) | 2,097 | 46,847 | |
Anavex Life Sciences Corp.(1) | 3,787 | 18,632 | |
Anika Therapeutics, Inc.(1) | 1,202 | 45,351 | |
Apellis Pharmaceuticals, Inc.(1) | 5,305 | 173,261 | |
Applied Genetic Technologies Corp. / DE(1) | 2,062 | 11,423 | |
Applied Therapeutics, Inc.(1)(2) | 1,179 | 42,621 | |
Aprea Therapeutics, Inc.(1) | 555 | 21,523 | |
Aptinyx, Inc.(1) | 2,169 | 9,045 | |
Aravive, Inc.(1) | 1,074 | 12,501 | |
Arcturus Therapeutics Holdings, Inc.(1) | 1,152 | 53,844 | |
Arcus Biosciences, Inc.(1) | 2,832 | 70,064 | |
Arcutis Biotherapeutics, Inc.(1) | 897 | 27,125 | |
Ardelyx, Inc.(1) | 5,443 | 37,666 | |
Arena Pharmaceuticals, Inc.(1) | 4,905 | 308,770 | |
Arrowhead Pharmaceuticals, Inc(1) | 8,713 | 376,314 | |
Assembly Biosciences, Inc.(1) | 2,472 | 57,647 | |
Atara Biotherapeutics, Inc.(1) | 5,072 | 73,899 | |
Athenex, Inc.(1)(2) | 6,504 | 89,495 | |
Athersys, Inc.(1)(2) | 15,321 | 42,286 | |
Atreca, Inc., Class A(1)(2) | 1,880 | 40,006 | |
AVEO Pharmaceuticals, Inc.(1) | 1,202 | 6,190 | |
Avid Bioservices, Inc.(1) | 4,695 | 30,823 | |
Avrobio, Inc.(1) | 2,729 | 47,621 | |
Axcella Health, Inc.(1) | 145 | 802 | |
Beam Therapeutics, Inc.(1) | 1,050 | 29,400 | |
Beyondspring, Inc.(1) | 944 | 14,236 | |
BioCryst Pharmaceuticals, Inc.(1) | 12,730 | 60,658 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 4,168 | 304,722 | |
BioSpecifics Technologies Corp.(1) | 496 | 30,395 | |
Bioxcel Therapeutics, Inc.(1) | 935 | 49,564 | |
Black Diamond Therapeutics, Inc.(1) | 1,050 | 44,268 | |
Blueprint Medicines Corp.(1) | 4,793 | 373,854 | |
BrainStorm Cell Therapeutics, Inc.(1) | 2,356 | 26,411 | |
Bridgebio Pharma, Inc.(1)(2) | 6,478 | 211,248 | |
Cabaletta Bio, Inc.(1) | 560 | 6,238 | |
Calithera Biosciences, Inc.(1) | 5,810 | 30,677 | |
Calyxt, Inc.(1) | 700 | 3,451 | |
Cara Therapeutics, Inc.(1)(2) | 3,311 | 56,618 |
Table of Contents
Security | Shares | Value | |
Biotechnology (continued) | |||
CareDx, Inc.(1) | 3,782 | $ 133,996 | |
CASI Pharmaceuticals, Inc.(1) | 4,345 | 10,863 | |
Castle Biosciences, Inc.(1) | 824 | 31,057 | |
Catabasis Pharmaceuticals, Inc.(1) | 1,594 | 10,249 | |
Catalyst Biosciences, Inc.(1) | 1,540 | 9,040 | |
Catalyst Pharmaceuticals, Inc.(1) | 9,063 | 41,871 | |
Cellular Biomedicine Group, Inc.(1) | 958 | 14,341 | |
CEL-SCI Corp.(1)(2) | 2,865 | 42,746 | |
Centogene NV(1) | 160 | 3,661 | |
Checkpoint Therapeutics, Inc.(1) | 2,033 | 4,025 | |
ChemoCentryx, Inc.(1) | 3,929 | 226,075 | |
Chimerix, Inc.(1) | 3,539 | 10,971 | |
Cidara Therapeutics, Inc.(1) | 2,951 | 10,889 | |
Clovis Oncology, Inc.(1)(2) | 6,387 | 43,112 | |
Cohbar, Inc.(1) | 2,162 | 3,351 | |
Coherus Biosciences, Inc.(1)(2) | 5,115 | 91,354 | |
Concert Pharmaceuticals, Inc.(1) | 2,332 | 23,203 | |
Constellation Pharmaceuticals, Inc.(1) | 2,388 | 71,759 | |
ContraFect Corp.(1) | 1,190 | 7,604 | |
Corbus Pharmaceuticals Holdings, Inc.(1)(2) | 5,006 | 42,000 | |
Cortexyme, Inc.(1) | 1,389 | 64,311 | |
Crinetics Pharmaceuticals, Inc.(1) | 2,390 | 41,873 | |
Cue Biopharma, Inc.(1) | 2,450 | 60,050 | |
Cyclerion Therapeutics, Inc.(1) | 2,036 | 12,033 | |
Cytokinetics, Inc.(1)(2) | 4,685 | 110,425 | |
CytomX Therapeutics, Inc.(1) | 3,689 | 30,729 | |
Deciphera Pharmaceuticals, Inc.(1) | 3,305 | 197,375 | |
Denali Therapeutics, Inc.(1) | 5,555 | 134,320 | |
Dermtech, Inc.(1) | 716 | 9,473 | |
Dicerna Pharmaceuticals, Inc.(1) | 5,739 | 145,771 | |
Dyadic International, Inc.(1) | 1,703 | 14,748 | |
Dynavax Technologies Corp.(1) | 7,901 | 70,082 | |
Eagle Pharmaceuticals, Inc.(1) | 867 | 41,599 | |
Editas Medicine, Inc.(1)(2) | 4,900 | 144,942 | |
Eidos Therapeutics, Inc.(1) | 939 | 44,762 | |
Eiger BioPharmaceuticals, Inc.(1) | 2,068 | 19,853 | |
Emergent BioSolutions, Inc.(1) | 3,976 | 314,422 | |
Enanta Pharmaceuticals, Inc.(1) | 1,658 | 83,248 | |
Enochian Biosciences, Inc.(1) | 355 | 1,495 | |
Epizyme, Inc.(1) | 7,880 | 126,553 | |
Esperion Therapeutics, Inc.(1)(2) | 2,273 | 116,628 | |
Evelo Biosciences, Inc.(1)(2) | 1,133 | 5,552 | |
Exagen, Inc. | 285 | 3,537 | |
Exicure, Inc.(1) | 5,239 | 12,783 | |
Fate Therapeutics, Inc.(1) | 5,533 | 189,837 | |
Fennec Pharmaceuticals, Inc.(1) | 1,908 | 15,932 | |
FibroGen, Inc.(1) | 7,339 | 297,450 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Five Prime Therapeutics, Inc.(1) | 2,790 | $ 17,019 | |
Flexion Therapeutics, Inc.(1) | 2,654 | 34,900 | |
Fortress Biotech, Inc.(1) | 5,129 | 13,746 | |
Frequency Therapeutics, Inc.(1) | 2,489 | 57,869 | |
G1 Therapeutics, Inc.(1)(2) | 2,920 | 70,839 | |
Galectin Therapeutics, Inc.(1) | 2,845 | 8,706 | |
Galera Therapeutics, Inc.(1) | 145 | 1,035 | |
Genprex, Inc.(1) | 2,520 | 7,913 | |
Geron Corp.(1)(2) | 13,270 | 28,929 | |
GlycoMimetics, Inc.(1) | 2,997 | 11,269 | |
Gossamer Bio, Inc.(1) | 4,379 | 56,927 | |
Gritstone Oncology, Inc.(1)(2) | 2,176 | 14,449 | |
Halozyme Therapeutics, Inc.(1) | 11,998 | 321,666 | |
Harpoon Therapeutics, Inc.(1)(2) | 637 | 10,574 | |
Heron Therapeutics, Inc.(1) | 7,741 | 113,870 | |
Homology Medicines, Inc.(1) | 3,003 | 45,616 | |
Hookipa Pharma, Inc.(1)(2) | 859 | 9,982 | |
iBio, Inc.(1) | 4,246 | 9,426 | |
Ideaya Biosciences, Inc.(1) | 1,062 | 15,091 | |
IGM Biosciences, Inc.(1) | 627 | 45,771 | |
Immunic, Inc.(1) | 304 | 3,684 | |
ImmunoGen, Inc.(1) | 14,719 | 67,707 | |
Immunovant, Inc.(1) | 1,688 | 41,103 | |
Inovio Pharmaceuticals, Inc.(1)(2) | 12,710 | 342,534 | |
Insmed, Inc.(1) | 8,944 | 246,318 | |
Intellia Therapeutics, Inc.(1) | 3,872 | 81,389 | |
Intercept Pharmaceuticals, Inc.(1) | 2,290 | 109,714 | |
Invitae Corp.(1)(2) | 10,197 | 308,867 | |
Ironwood Pharmaceuticals, Inc.(1) | 13,813 | 142,550 | |
IVERIC bio, Inc.(1) | 3,985 | 20,324 | |
Jounce Therapeutics, Inc.(1) | 1,233 | 8,508 | |
Kadmon Holdings, Inc.(1) | 13,434 | 68,782 | |
KalVista Pharmaceuticals, Inc.(1) | 1,030 | 12,463 | |
Karuna Therapeutics, Inc.(1)(2) | 1,370 | 152,700 | |
Karyopharm Therapeutics, Inc.(1)(2) | 6,194 | 117,314 | |
Keros Therapeutics, Inc.(1) | 615 | 23,069 | |
Kezar Life Sciences, Inc.(1) | 2,239 | 11,598 | |
Kindred Biosciences, Inc.(1) | 3,315 | 14,884 | |
Kiniksa Pharmaceuticals, Ltd., Class A(1) | 1,680 | 42,806 | |
Kodiak Sciences, Inc.(1) | 2,449 | 132,540 | |
Krystal Biotech, Inc.(1) | 916 | 37,941 | |
Kura Oncology, Inc.(1) | 4,686 | 76,382 | |
La Jolla Pharmaceutical Co.(1) | 1,535 | 6,539 | |
Lexicon Pharmaceuticals, Inc.(1)(2) | 3,782 | 7,545 | |
Ligand Pharmaceuticals, Inc.(1)(2) | 1,274 | 142,497 | |
LogicBio Therapeutics, Inc.(1) | 670 | 5,668 | |
MacroGenics, Inc.(1) | 4,075 | 113,774 |
Table of Contents
Security | Shares | Value | |
Biotechnology (continued) | |||
Madrigal Pharmaceuticals, Inc.(1) | 787 | $ 89,128 | |
Magenta Therapeutics, Inc.(1) | 1,719 | 12,910 | |
MannKind Corp.(1)(2) | 16,065 | 28,114 | |
Marker Therapeutics, Inc.(1)(2) | 2,391 | 4,949 | |
MediciNova, Inc.(1)(2) | 3,274 | 17,745 | |
MEI Pharma, Inc.(1) | 7,667 | 31,665 | |
MeiraGTx Holdings PLC(1) | 1,306 | 16,351 | |
Mersana Therapeutics, Inc.(1) | 4,052 | 94,817 | |
Minerva Neurosciences, Inc.(1)(2) | 2,206 | 7,964 | |
Mirati Therapeutics, Inc.(1) | 3,248 | 370,824 | |
Mirum Pharmaceuticals, Inc.(1)(2) | 225 | 4,379 | |
Molecular Templates, Inc.(1) | 2,142 | 29,538 | |
Momenta Pharmaceuticals, Inc.(1) | 10,415 | 346,507 | |
Morphic Holding, Inc.(1)(2) | 1,210 | 32,731 | |
Mustang Bio, Inc.(1)(2) | 1,620 | 5,152 | |
Myriad Genetics, Inc.(1) | 6,149 | 69,730 | |
NantKwest, Inc.(1) | 2,540 | 31,191 | |
Natera, Inc.(1) | 6,162 | 307,237 | |
Neoleukin Therapeutics, Inc.(1) | 2,623 | 43,542 | |
Neubase Therapeutics, Inc.(1) | 1,525 | 13,390 | |
NeuroBo Pharmaceuticals, Inc.(1) | 378 | 3,043 | |
NextCure, Inc.(1) | 1,210 | 25,942 | |
Novavax, Inc.(1)(2) | 5,149 | 429,169 | |
Nymox Pharmaceutical Corp.(1) | 3,482 | 12,361 | |
Oncocyte Corp.(1) | 1,896 | 3,621 | |
OPKO Health, Inc.(1)(2) | 33,101 | 112,874 | |
Organogenesis Holdings, Inc.(1) | 930 | 3,571 | |
Orgenesis, Inc.(1) | 1,596 | 9,704 | |
ORIC Pharmaceuticals, Inc.(1) | 769 | 25,938 | |
Ovid Therapeutics, Inc.(1) | 3,782 | 27,873 | |
Oyster Point Pharma, Inc.(1) | 485 | 14,007 | |
Passage Bio, Inc.(1) | 1,200 | 32,796 | |
PDL BioPharma, Inc.(1) | 9,974 | 29,024 | |
Pfenex, Inc.(1) | 2,583 | 21,568 | |
PhaseBio Pharmaceuticals, Inc.(1) | 1,211 | 5,571 | |
Pieris Pharmaceuticals, Inc.(1) | 3,015 | 9,347 | |
Portola Pharmaceuticals, Inc.(1) | 6,565 | 118,104 | |
Precigen, Inc.(1) | 5,972 | 29,800 | |
Precision BioSciences, Inc.(1) | 4,034 | 33,603 | |
Prevail Therapeutics, Inc.(1) | 1,221 | 18,193 | |
Principia Biopharma, Inc.(1) | 2,598 | 155,334 | |
Protagonist Therapeutics, Inc.(1) | 1,995 | 35,232 | |
Protara Therapeutics, Inc.(1) | 178 | 5,219 | |
Prothena Corp. PLC(1) | 3,249 | 33,985 | |
PTC Therapeutics, Inc.(1) | 5,366 | 272,271 | |
Puma Biotechnology, Inc.(1) | 2,522 | 26,304 | |
Radius Health, Inc.(1) | 3,845 | 52,407 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Rapt Therapeutics, Inc.(1) | 969 | $ 28,120 | |
REGENXBIO, Inc.(1) | 2,991 | 110,159 | |
Replimune Group, Inc.(1) | 1,521 | 37,797 | |
Retrophin, Inc.(1) | 3,493 | 71,292 | |
REVOLUTION Medicines, Inc.(1) | 1,220 | 38,515 | |
Rhythm Pharmaceuticals, Inc.(1) | 2,970 | 66,231 | |
Rigel Pharmaceuticals, Inc.(1) | 12,610 | 23,076 | |
Rocket Pharmaceuticals, Inc.(1) | 3,009 | 62,978 | |
Rubius Therapeutics, Inc.(1)(2) | 2,811 | 16,810 | |
Sangamo Therapeutics, Inc.(1) | 9,803 | 87,835 | |
Savara, Inc.(1) | 2,257 | 5,620 | |
Scholar Rock Holding Corp.(1)(2) | 2,007 | 36,547 | |
Selecta Biosciences, Inc.(1) | 5,991 | 17,014 | |
Seres Therapeutics, Inc.(1)(2) | 3,205 | 15,256 | |
Soleno Therapeutics, Inc.(1) | 2,954 | 6,558 | |
Solid Biosciences, Inc.(1) | 1,002 | 2,936 | |
Sorrento Therapeutics, Inc.(1)(2) | 15,491 | 97,283 | |
Spectrum Pharmaceuticals, Inc.(1) | 9,499 | 32,107 | |
Spero Therapeutics, Inc.(1) | 1,125 | 15,221 | |
SpringWorks Therapeutics, Inc.(1)(2) | 1,872 | 78,624 | |
Stoke Therapeutics, Inc.(1)(2) | 1,079 | 25,713 | |
Sutro Biopharma, Inc.(1) | 1,482 | 11,500 | |
Syndax Pharmaceuticals, Inc.(1) | 2,380 | 35,272 | |
Syros Pharmaceuticals, Inc.(1) | 3,667 | 39,090 | |
TCR2 Therapeutics, Inc.(1) | 974 | 14,961 | |
TG Therapeutics, Inc.(1) | 8,533 | 166,223 | |
Translate Bio, Inc.(1) | 4,471 | 80,120 | |
Turning Point Therapeutics, Inc.(1) | 2,380 | 153,724 | |
Twist Bioscience Corp.(1) | 2,639 | 119,547 | |
Tyme Technologies, Inc.(1) | 6,120 | 8,140 | |
Ultragenyx Pharmaceutical, Inc.(1) | 5,011 | 391,960 | |
UNITY Biotechnology, Inc.(1)(2) | 2,907 | 25,233 | |
UroGen Pharma, Ltd.(1)(2) | 1,653 | 43,176 | |
Vanda Pharmaceuticals, Inc.(1) | 4,281 | 48,975 | |
Vaxart, Inc.(1) | 3,934 | 34,816 | |
VBI Vaccines, Inc.(1) | 13,103 | 40,619 | |
Veracyte, Inc.(1) | 4,416 | 114,374 | |
Verastem, Inc.(1) | 14,449 | 24,852 | |
Vericel Corp.(1) | 3,863 | 53,387 | |
Viela Bio, Inc.(1) | 1,767 | 76,546 | |
Viking Therapeutics, Inc.(1) | 5,553 | 40,037 | |
Vir Biotechnology, Inc.(1) | 4,090 | 167,567 | |
Voyager Therapeutics, Inc.(1) | 2,021 | 25,505 | |
vTv Therapeutics, Inc., Class A(1) | 857 | 1,928 | |
X4 Pharmaceuticals, Inc.(1) | 987 | 9,199 | |
XBiotech, Inc.(1) | 1,143 | 15,671 | |
Xencor, Inc.(1) | 4,898 | 158,646 |
Table of Contents
Security | Shares | Value | |
Biotechnology (continued) | |||
XOMA Corp.(1) | 537 | $ 10,611 | |
Y-mAbs Therapeutics, Inc.(1) | 2,645 | 114,264 | |
Zentalis Pharmaceuticals, Inc.(1) | 913 | 43,842 | |
ZIOPHARM Oncology, Inc.(1) | 18,832 | 61,769 | |
$ 16,711,447 | |||
Building Products — 1.4% | |||
AAON, Inc. | 3,671 | $ 199,298 | |
Advanced Drainage Systems, Inc. | 4,368 | 215,779 | |
Alpha Pro Tech, Ltd.(1) | 1,081 | 19,134 | |
American Woodmark Corp.(1) | 1,481 | 112,038 | |
Apogee Enterprises, Inc. | 2,204 | 50,780 | |
Builders FirstSource, Inc.(1) | 10,237 | 211,906 | |
Caesarstone, Ltd. | 1,950 | 23,107 | |
Cornerstone Building Brands, Inc.(1) | 3,510 | 21,271 | |
CSW Industrials, Inc. | 1,308 | 90,396 | |
Gibraltar Industries, Inc.(1) | 2,885 | 138,509 | |
Griffon Corp. | 3,034 | 56,190 | |
Insteel Industries, Inc. | 1,366 | 26,050 | |
JELD-WEN Holding, Inc.(1) | 6,065 | 97,707 | |
Masonite International Corp.(1) | 2,187 | 170,105 | |
Patrick Industries, Inc. | 1,955 | 119,744 | |
PGT Innovations, Inc.(1) | 5,079 | 79,639 | |
Quanex Building Products Corp. | 3,015 | 41,848 | |
Resideo Technologies, Inc.(1) | 10,947 | 128,299 | |
Simpson Manufacturing Co., Inc. | 3,798 | 320,399 | |
UFP Industries, Inc. | 5,336 | 264,185 | |
$ 2,386,384 | |||
Capital Markets — 1.4% | |||
Artisan Partners Asset Management, Inc., Class A | 4,802 | $ 156,065 | |
Assetmark Financial Holdings | 1,445 | 39,434 | |
Associated Capital Group, Inc., Class A | 224 | 8,219 | |
B. Riley Financial, Inc. | 1,801 | 39,190 | |
BGC Partners, Inc., Class A | 26,929 | 73,785 | |
Blucora, Inc.(1) | 4,225 | 48,250 | |
Brightsphere Investment Group, Inc.(1) | 5,425 | 67,596 | |
Cohen & Steers, Inc. | 2,160 | 146,988 | |
Cowen, Inc., Class A(1) | 2,526 | 40,946 | |
Diamond Hill Investment Group, Inc. | 250 | 28,418 | |
Donnelley Financial Solutions, Inc.(1) | 2,855 | 23,982 | |
Federated Hermes, Inc., Class B | 8,640 | 204,768 | |
Focus Financial Partners, Inc., Class A(1) | 2,587 | 85,500 | |
GAIN Capital Holdings, Inc. | 1,604 | 9,656 | |
GAMCO Investors, Inc., Class A | 342 | 4,552 | |
Greenhill & Co., Inc. | 1,309 | 13,077 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Hamilton Lane, Inc., Class A | 1,974 | $ 132,988 | |
Houlihan Lokey, Inc. | 3,911 | 217,608 | |
Moelis & Co., Class A | 4,668 | 145,455 | |
Oppenheimer Holdings, Inc., Class A | 932 | 20,308 | |
Piper Sandler Cos. | 1,539 | 91,047 | |
PJT Partners, Inc., Class A | 1,985 | 101,910 | |
Pzena Investment Management, Inc., Class A | 1,231 | 6,697 | |
Safeguard Scientifics, Inc. | 1,902 | 13,314 | |
Sculptor Capital Management, Inc. | 1,486 | 19,214 | |
Siebert Financial Corp.(1) | 596 | 3,016 | |
Silvercrest Asset Management Group, Inc., Class A | 548 | 6,965 | |
Stifel Financial Corp. | 5,904 | 280,027 | |
StoneX Group, Inc.(1) | 1,391 | 76,505 | |
Value Line, Inc. | 91 | 2,456 | |
Virtus Investment Partners, Inc. | 589 | 68,495 | |
Waddell & Reed Financial, Inc., Class A(2) | 5,638 | 87,445 | |
Westwood Holdings Group, Inc. | 603 | 9,497 | |
WisdomTree Investments, Inc. | 11,656 | 40,446 | |
$ 2,313,819 | |||
Chemicals — 1.6% | |||
Advanced Emissions Solutions, Inc. | 1,851 | $ 8,977 | |
AdvanSix, Inc.(1) | 2,631 | 30,888 | |
AgroFresh Solutions, Inc.(1) | 2,627 | 7,960 | |
American Vanguard Corp. | 2,506 | 34,483 | |
Amyris, Inc.(1) | 5,121 | 21,867 | |
Balchem Corp. | 2,799 | 265,513 | |
Chase Corp. | 627 | 64,268 | |
Ferro Corp.(1) | 7,188 | 85,825 | |
FutureFuel Corp. | 1,874 | 22,394 | |
GCP Applied Technologies, Inc.(1) | 4,589 | 85,264 | |
Hawkins, Inc. | 749 | 31,892 | |
HB Fuller Co. | 4,475 | 199,585 | |
Ingevity Corp.(1) | 3,673 | 193,090 | |
Innospec, Inc. | 2,126 | 164,233 | |
Intrepid Potash, Inc.(1) | 8,313 | 8,230 | |
Koppers Holdings, Inc.(1) | 1,571 | 29,598 | |
Kraton Corp.(1) | 2,659 | 45,948 | |
Kronos Worldwide, Inc. | 1,877 | 19,540 | |
Livent Corp.(1) | 12,684 | 78,133 | |
Marrone Bio Innovations, Inc.(1) | 4,928 | 5,766 | |
Minerals Technologies, Inc. | 3,130 | 146,891 | |
Orion Engineered Carbons S.A. | 5,256 | 55,661 | |
PolyOne Corp. | 8,049 | 211,125 | |
PQ Group Holdings, Inc.(1) | 3,089 | 40,898 | |
Quaker Chemical Corp.(2) | 1,173 | 217,767 | |
Rayonier Advanced Materials, Inc. | 4,190 | 11,774 |
Table of Contents
Security | Shares | Value | |
Chemicals (continued) | |||
Sensient Technologies Corp. | 3,703 | $ 193,148 | |
Stepan Co. | 1,903 | 184,781 | |
Trecora Resources(1) | 1,798 | 11,273 | |
Tredegar Corp. | 2,145 | 33,033 | |
Trinseo S.A. | 3,353 | 74,302 | |
Tronox Holdings PLC, Class A(1) | 7,808 | 56,374 | |
$ 2,640,481 | |||
Commercial Services & Supplies — 2.1% | |||
ABM Industries, Inc. | 5,915 | $ 214,715 | |
ACCO Brands Corp. | 8,823 | 62,643 | |
Advanced Disposal Services, Inc.(1) | 6,349 | 191,549 | |
Brady Corp., Class A | 4,179 | 195,661 | |
BrightView Holdings, Inc.(1) | 2,671 | 29,915 | |
Brink's Co. (The) | 4,462 | 203,066 | |
Casella Waste Systems, Inc., Class A(1) | 4,074 | 212,337 | |
CECO Environmental Corp.(1) | 2,281 | 15,032 | |
Cimpress PLC(1) | 1,635 | 124,816 | |
CompX International, Inc. | 124 | 1,714 | |
Covanta Holding Corp. | 10,319 | 98,959 | |
Deluxe Corp. | 3,758 | 88,463 | |
Ennis, Inc. | 2,271 | 41,196 | |
Healthcare Services Group, Inc. | 6,468 | 158,207 | |
Heritage-Crystal Clean, Inc.(1) | 1,244 | 21,720 | |
Herman Miller, Inc. | 5,154 | 121,686 | |
HNI Corp. | 3,834 | 117,205 | |
Interface, Inc. | 5,094 | 41,465 | |
KAR Auction Services, Inc. | 11,411 | 157,015 | |
Kimball International, Inc., Class B | 3,203 | 37,027 | |
Knoll, Inc. | 4,151 | 50,601 | |
Matthews International Corp., Class A | 2,709 | 51,742 | |
McGrath RentCorp | 2,127 | 114,879 | |
Mobile Mini, Inc. | 3,826 | 112,867 | |
NL Industries, Inc.(1) | 532 | 1,814 | |
PICO Holdings, Inc.(1) | 1,974 | 16,641 | |
Pitney Bowes, Inc. | 15,446 | 40,160 | |
Quad / Graphics, Inc. | 2,476 | 8,047 | |
SP Plus Corp.(1) | 1,895 | 39,245 | |
Steelcase, Inc., Class A | 7,782 | 93,851 | |
Team, Inc.(1) | 2,411 | 13,429 | |
Tetra Tech, Inc. | 4,754 | 376,136 | |
UniFirst Corp. | 1,315 | 235,319 | |
US Ecology, Inc. | 2,750 | 93,170 | |
Viad Corp. | 1,775 | 33,761 | |
VSE Corp. | 650 | 20,404 | |
$ 3,436,457 |
Security | Shares | Value | |
Communications Equipment — 0.9% | |||
Acacia Communications, Inc.(1) | 3,332 | $ 223,877 | |
ADTRAN, Inc. | 4,115 | 44,977 | |
Applied Optoelectronics, Inc.(1) | 1,515 | 16,468 | |
CalAmp Corp.(1) | 3,105 | 24,871 | |
Calix, Inc.(1) | 4,105 | 61,164 | |
Cambium Networks Corp.(1) | 360 | 2,650 | |
Casa Systems, Inc.(1) | 2,241 | 9,323 | |
Clearfield, Inc.(1) | 1,022 | 14,267 | |
Comtech Telecommunications Corp. | 2,055 | 34,709 | |
DASAN Zhone Solutions, Inc.(1) | 513 | 4,581 | |
Digi International, Inc.(1) | 2,313 | 26,946 | |
Extreme Networks, Inc.(1) | 10,748 | 46,646 | |
Genasys, Inc.(1) | 2,905 | 14,118 | |
Harmonic, Inc.(1) | 7,210 | 34,248 | |
Infinera Corp.(1) | 13,753 | 81,418 | |
Inseego Corp.(1)(2) | 6,022 | 69,855 | |
InterDigital, Inc. | 2,697 | 152,731 | |
KVH Industries, Inc.(1) | 1,491 | 13,315 | |
NETGEAR, Inc.(1) | 2,672 | 69,178 | |
NetScout Systems, Inc.(1) | 6,378 | 163,022 | |
PCTEL, Inc. | 1,556 | 10,394 | |
Plantronics, Inc.(2) | 2,716 | 39,871 | |
Resonant, Inc.(1) | 4,377 | 10,198 | |
Ribbon Communications, Inc.(1) | 4,404 | 17,308 | |
Viavi Solutions, Inc.(1) | 20,030 | 255,182 | |
$ 1,441,317 | |||
Construction & Engineering — 1.2% | |||
Aegion Corp.(1) | 2,830 | $ 44,912 | |
Ameresco, Inc., Class A(1) | 1,930 | 53,615 | |
API Group Corp.(1)(3) | 12,371 | 150,308 | |
Arcosa, Inc. | 4,248 | 179,266 | |
Argan, Inc. | 1,319 | 62,494 | |
Comfort Systems USA, Inc. | 3,196 | 130,237 | |
Concrete Pumping Holdings, Inc.(1) | 980 | 3,410 | |
Construction Partners, Inc., Class A(1) | 1,515 | 26,906 | |
Dycom Industries, Inc.(1) | 2,724 | 111,384 | |
EMCOR Group, Inc. | 4,865 | 321,771 | |
Fluor Corp. | 12,448 | 150,372 | |
Granite Construction, Inc. | 3,992 | 76,407 | |
Great Lakes Dredge & Dock Corp.(1) | 5,123 | 47,439 | |
HC2 Holdings, Inc.(1) | 3,868 | 12,919 | |
IES Holdings, Inc.(1) | 610 | 14,134 | |
MasTec, Inc.(1) | 5,009 | 224,754 | |
MYR Group, Inc.(1) | 1,414 | 45,121 | |
Northwest Pipe Co.(1) | 837 | 20,984 |
Table of Contents
Security | Shares | Value | |
Construction & Engineering (continued) | |||
NV5 Global, Inc.(1) | 920 | $ 46,764 | |
Primoris Services Corp. | 3,859 | 68,536 | |
Sterling Construction Co., Inc.(1) | 2,268 | 23,746 | |
Tutor Perini Corp.(1) | 3,186 | 38,805 | |
Willscot Corp.(1) | 4,448 | 54,666 | |
$ 1,908,950 | |||
Construction Materials — 0.1% | |||
Forterra, Inc.(1) | 1,612 | $ 17,990 | |
Summit Materials, Inc., Class A(1) | 10,407 | 167,344 | |
United States Lime & Minerals, Inc. | 156 | 13,173 | |
US Concrete, Inc.(1) | 1,337 | 33,158 | |
$ 231,665 | |||
Consumer Finance — 0.6% | |||
Atlanticus Holdings Corp.(1) | 446 | $ 4,612 | |
Curo Group Holdings Corp. | 974 | 7,958 | |
Encore Capital Group, Inc.(1) | 2,642 | 90,304 | |
Enova International, Inc.(1) | 2,903 | 43,168 | |
EZCORP, Inc., Class A(1) | 4,319 | 27,210 | |
FirstCash, Inc. | 3,591 | 242,321 | |
Green Dot Corp., Class A(1) | 4,499 | 220,811 | |
LendingClub Corp.(1) | 5,781 | 26,303 | |
Navient Corp. | 16,912 | 118,891 | |
Nelnet, Inc., Class A | 1,533 | 73,185 | |
PRA Group, Inc.(1) | 3,955 | 152,900 | |
Regional Management Corp.(1) | 935 | 16,559 | |
World Acceptance Corp.(1) | 470 | 30,794 | |
$ 1,055,016 | |||
Containers & Packaging — 0.2% | |||
Greif, Inc., Class A | 2,211 | $ 76,081 | |
Greif, Inc., Class B | 446 | 18,656 | |
Myers Industries, Inc. | 3,117 | 45,352 | |
O-I Glass, Inc. | 13,846 | 124,337 | |
Ranpak Holdings Corp.(1) | 2,558 | 19,032 | |
UFP Technologies, Inc.(1) | 499 | 21,986 | |
$ 305,444 | |||
Distributors — 0.1% | |||
Core-Mark Holding Co., Inc. | 3,796 | $ 94,729 | |
Funko, Inc., Class A(1)(2) | 1,464 | 8,491 | |
Greenlane Holdings, Inc., Class A(1) | 547 | 2,177 | |
Weyco Group, Inc. | 562 | 12,134 | |
$ 117,531 |
Security | Shares | Value | |
Diversified Consumer Services — 0.7% | |||
Adtalem Global Education, Inc.(1) | 4,605 | $ 143,446 | |
American Public Education, Inc.(1) | 1,323 | 39,161 | |
Aspen Group, Inc. / CO(1) | 1,639 | 14,833 | |
Carriage Services, Inc. | 1,443 | 26,147 | |
Collectors Universe, Inc. | 706 | 24,202 | |
Franchise Group, Inc. | 1,693 | 37,043 | |
Houghton Mifflin Harcourt Co.(1) | 9,080 | 16,435 | |
K12, Inc.(1) | 3,520 | 95,885 | |
Laureate Education, Inc., Class A(1) | 9,838 | 98,036 | |
OneSpaWorld Holdings, Ltd.(1)(2) | 4,007 | 19,113 | |
Perdoceo Education Corp.(1) | 5,930 | 94,465 | |
Regis Corp.(1) | 2,003 | 16,384 | |
Strategic Education, Inc. | 1,941 | 298,234 | |
Universal Technical Institute, Inc.(1) | 2,549 | 17,715 | |
Vivint Smart Home, Inc.(1) | 6,163 | 106,805 | |
WW International, Inc.(1) | 4,197 | 106,520 | |
$ 1,154,424 | |||
Diversified Financial Services — 0.2% | |||
A-Mark Precious Metals, Inc.(1) | 433 | $ 8,248 | |
Banco Latinoamericano de Comercio Exterior S.A. | 2,614 | 30,061 | |
Cannae Holdings, Inc.(1) | 7,330 | 301,263 | |
GWG Holdings, Inc.(1)(2) | 160 | 1,227 | |
Marlin Business Services Corp. | 795 | 6,726 | |
SWK Holdings Corp.(1) | 313 | 3,750 | |
$ 351,275 | |||
Diversified Telecommunication Services — 0.8% | |||
Alaska Communications Systems Group, Inc. | 4,583 | $ 12,787 | |
Anterix, Inc. | 1,177 | 53,365 | |
ATN International, Inc. | 967 | 58,571 | |
Bandwidth, Inc., Class A(1) | 1,695 | 215,265 | |
Cincinnati Bell, Inc.(1) | 4,444 | 65,993 | |
Cogent Communications Holdings, Inc. | 3,769 | 291,570 | |
Consolidated Communications Holdings, Inc.(1) | 5,584 | 37,804 | |
IDT Corp., Class B(1) | 1,470 | 9,599 | |
Iridium Communications, Inc.(1) | 10,390 | 264,322 | |
Liberty Latin America, Ltd., Class A(1) | 4,144 | 40,280 | |
Liberty Latin America, Ltd., Class C(1) | 9,988 | 94,287 | |
Ooma, Inc.(1) | 1,488 | 24,522 | |
ORBCOMM, Inc.(1) | 5,583 | 21,494 | |
Vonage Holdings Corp.(1) | 20,117 | 202,377 | |
$ 1,392,236 | |||
Electric Utilities — 0.9% | |||
ALLETE, Inc. | 4,635 | $ 253,117 |
Table of Contents
Security | Shares | Value | |
Electric Utilities (continued) | |||
El Paso Electric Co. | 3,548 | $ 237,716 | |
Genie Energy, Ltd., Class B | 1,269 | 9,340 | |
MGE Energy, Inc. | 3,067 | 197,852 | |
Otter Tail Corp. | 3,441 | 133,476 | |
PNM Resources, Inc. | 6,933 | 266,505 | |
Portland General Electric Co. | 7,977 | 333,518 | |
Spark Energy, Inc., Class A | 1,012 | 7,155 | |
$ 1,438,679 | |||
Electrical Equipment — 0.9% | |||
Allied Motion Technologies, Inc. | 635 | $ 22,416 | |
American Superconductor Corp.(1) | 1,853 | 15,065 | |
Atkore International Group, Inc.(1) | 4,158 | 113,721 | |
AZZ, Inc. | 2,237 | 76,774 | |
Bloom Energy Corp., Class A(1) | 7,516 | 81,774 | |
Encore Wire Corp. | 1,778 | 86,802 | |
EnerSys | 3,716 | 239,236 | |
FuelCell Energy, Inc.(1) | 18,806 | 42,502 | |
LSI Industries, Inc. | 2,264 | 14,648 | |
Orion Energy Systems, Inc.(1) | 2,360 | 8,166 | |
Plug Power, Inc.(1)(2) | 28,635 | 235,093 | |
Powell Industries, Inc. | 811 | 22,213 | |
Preformed Line Products Co. | 222 | 11,102 | |
Sunrun, Inc.(1) | 9,929 | 195,800 | |
Thermon Group Holdings, Inc.(1) | 2,669 | 38,887 | |
TPI Composites, Inc.(1) | 2,500 | 58,425 | |
Ultralife Corp.(1) | 803 | 5,629 | |
Vicor Corp.(1) | 1,591 | 114,472 | |
Vivint Solar, Inc.(1)(2) | 3,955 | 39,155 | |
$ 1,421,880 | |||
Electronic Equipment, Instruments & Components — 2.1% | |||
Akoustis Technologies, Inc.(1)(2) | 2,215 | $ 18,362 | |
Arlo Technologies, Inc.(1) | 6,268 | 16,171 | |
Badger Meter, Inc. | 2,569 | 161,642 | |
Bel Fuse, Inc., Class B | 968 | 10,387 | |
Belden, Inc. | 3,899 | 126,912 | |
Benchmark Electronics, Inc. | 3,272 | 70,675 | |
CTS Corp. | 2,855 | 57,214 | |
Daktronics, Inc. | 2,960 | 12,876 | |
ePlus, Inc.(1) | 1,163 | 82,201 | |
Fabrinet (1) | 3,188 | 198,995 | |
FARO Technologies, Inc.(1) | 1,514 | 81,150 | |
Fitbit, Inc., Class A(1) | 21,096 | 136,280 | |
II-VI, Inc.(1)(2) | 7,871 | 371,669 | |
Insight Enterprises, Inc.(1) | 3,123 | 153,652 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Intellicheck, Inc.(1) | 1,405 | $ 10,608 | |
Iteris, Inc.(1) | 3,527 | 16,771 | |
Itron, Inc.(1) | 3,544 | 234,790 | |
Kimball Electronics, Inc.(1) | 2,097 | 28,393 | |
Knowles Corp.(1) | 7,824 | 119,394 | |
Luna Innovations, Inc.(1) | 2,558 | 14,939 | |
Methode Electronics, Inc. | 3,192 | 99,782 | |
MTS Systems Corp. | 1,475 | 25,945 | |
Napco Security Technologies, Inc.(1) | 1,045 | 24,443 | |
nLight, Inc.(1) | 2,790 | 62,105 | |
Novanta, Inc.(1) | 2,959 | 315,932 | |
OSI Systems, Inc.(1) | 1,463 | 109,198 | |
PAR Technology Corp.(1) | 1,420 | 42,501 | |
PC Connection, Inc. | 941 | 43,625 | |
Plexus Corp.(1) | 2,529 | 178,446 | |
Powerfleet, Inc.(1) | 2,416 | 11,162 | |
Research Frontiers, Inc.(1) | 2,344 | 9,517 | |
Rogers Corp.(1) | 1,620 | 201,852 | |
Sanmina Corp.(1) | 5,948 | 148,938 | |
ScanSource, Inc.(1) | 2,089 | 50,324 | |
TTM Technologies, Inc.(1) | 8,703 | 103,218 | |
Vishay Intertechnology, Inc. | 11,658 | 178,018 | |
Vishay Precision Group, Inc.(1) | 1,011 | 24,850 | |
Wrap Technologies, Inc.(1) | 671 | 7,032 | |
$ 3,559,969 | |||
Energy Equipment & Services — 0.7% | |||
Archrock, Inc. | 11,297 | $ 73,318 | |
Aspen Aerogels, Inc.(1) | 1,806 | 11,884 | |
Cactus, Inc., Class A | 4,031 | 83,160 | |
ChampionX Corp.(1) | 16,415 | 160,210 | |
DMC Global, Inc. | 1,264 | 34,886 | |
Dril-Quip, Inc.(1) | 3,250 | 96,818 | |
Exterran Corp.(1) | 2,624 | 14,143 | |
Frank's International NV(1) | 13,689 | 30,527 | |
Helix Energy Solutions Group, Inc.(1) | 12,468 | 43,264 | |
Liberty Oilfield Services, Inc., Class A | 4,426 | 24,255 | |
Matrix Service Co.(1) | 2,252 | 21,889 | |
Nabors Industries, Ltd. | 622 | 23,026 | |
National Energy Services Reunited Corp.(1) | 2,092 | 14,393 | |
Newpark Resources, Inc.(1) | 7,671 | 17,106 | |
NexTier Oilfield Solutions, Inc.(1) | 13,416 | 32,869 | |
Oceaneering International, Inc.(1) | 8,672 | 55,414 | |
Oil States International, Inc.(1) | 5,061 | 24,040 | |
Patterson-UTI Energy, Inc. | 16,181 | 56,148 | |
ProPetro Holding Corp.(1) | 6,820 | 35,055 | |
RPC Inc.(2) | 5,124 | 15,782 |
Table of Contents
Security | Shares | Value | |
Energy Equipment & Services (continued) | |||
SEACOR Holdings, Inc.(1) | 1,557 | $ 44,094 | |
Select Energy Services, Inc., Class A(1) | 5,076 | 24,872 | |
Solaris Oilfield Infrastructure, Inc., Class A | 2,541 | 18,854 | |
Tidewater, Inc.(1) | 3,229 | 18,050 | |
Transocean, Ltd.(1) | 51,662 | 94,541 | |
US Silica Holdings, Inc.(2) | 6,531 | 23,577 | |
$ 1,092,175 | |||
Entertainment — 0.3% | |||
AMC Entertainment Holdings, Inc., Class A(2) | 3,946 | $ 16,928 | |
Cinemark Holdings, Inc. | 9,444 | 109,078 | |
Eros International PLC(1)(2) | 6,068 | 19,175 | |
Gaia, Inc.(1) | 1,050 | 8,799 | |
GAN, Ltd.(1) | 654 | 16,644 | |
Glu Mobile, Inc.(1) | 11,451 | 106,151 | |
IMAX Corp.(1) | 4,366 | 48,943 | |
Liberty Braves Group, Series A(1) | 713 | 14,317 | |
Liberty Braves Group, Series C(1) | 3,012 | 59,457 | |
LiveXLive Media, Inc.(1) | 2,426 | 8,782 | |
Marcus Corp. (The) | 1,876 | 24,895 | |
$ 433,169 | |||
Equity Real Estate Investment Trusts (REITs) — 5.9% | |||
Acadia Realty Trust | 7,600 | $ 98,648 | |
Agree Realty Corp. | 4,702 | 308,968 | |
Alexander & Baldwin, Inc. | 6,134 | 74,773 | |
Alexander's, Inc. | 184 | 44,326 | |
Alpine Income Property Trust, Inc. | 598 | 9,723 | |
American Assets Trust, Inc. | 4,223 | 117,568 | |
American Finance Trust, Inc. | 9,434 | 74,859 | |
Armada Hoffler Properties, Inc. | 4,892 | 48,675 | |
Bluerock Residential Growth REIT, Inc. | 2,019 | 16,314 | |
BRT Apartments Corp. | 682 | 7,379 | |
CareTrust REIT, Inc. | 8,536 | 146,478 | |
CatchMark Timber Trust, Inc., Class A | 4,393 | 38,878 | |
Chatham Lodging Trust | 3,800 | 23,256 | |
CIM Commercial Trust Corp. | 1,033 | 11,136 | |
City Office REIT, Inc. | 4,586 | 46,135 | |
Clipper Realty, Inc. | 1,313 | 10,635 | |
Colony Capital, Inc. | 42,896 | 102,950 | |
Columbia Property Trust, Inc. | 10,118 | 132,951 | |
Community Healthcare Trust, Inc. | 1,862 | 76,156 | |
CoreCivic, Inc. | 10,458 | 97,887 | |
CorEnergy Infrastructure Trust, Inc. | 1,103 | 10,092 | |
CorePoint Lodging, Inc. | 3,663 | 15,421 | |
DiamondRock Hospitality Co. | 17,564 | 97,129 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Diversified Healthcare Trust | 21,033 | $ 93,071 | |
Easterly Government Properties, Inc. | 6,683 | 154,511 | |
EastGroup Properties, Inc. | 3,371 | 399,834 | |
Essential Properties Realty Trust, Inc. | 7,972 | 118,305 | |
Farmland Partners, Inc.(2) | 2,798 | 19,166 | |
Four Corners Property Trust, Inc. | 5,983 | 145,985 | |
Franklin Street Properties Corp. | 9,022 | 45,922 | |
Front Yard Residential Corp. | 4,415 | 38,411 | |
GEO Group, Inc. (The) | 10,640 | 125,871 | |
Getty Realty Corp. | 2,913 | 86,458 | |
Gladstone Commercial Corp. | 2,560 | 48,000 | |
Gladstone Land Corp. | 1,647 | 26,121 | |
Global Medical REIT, Inc. | 3,362 | 38,091 | |
Global Net Lease, Inc. | 8,088 | 135,312 | |
Healthcare Realty Trust, Inc. | 11,767 | 344,655 | |
Hersha Hospitality Trust | 3,227 | 18,588 | |
Independence Realty Trust, Inc. | 7,851 | 90,208 | |
Industrial Logistics Properties Trust | 5,794 | 119,067 | |
Innovative Industrial Properties, Inc.(2) | 1,407 | 123,844 | |
Investors Real Estate Trust | 989 | 69,715 | |
iStar, Inc. | 6,558 | 80,795 | |
Jernigan Capital, Inc. | 1,875 | 25,650 | |
Kite Realty Group Trust | 7,232 | 83,457 | |
Lexington Realty Trust | 22,614 | 238,578 | |
LTC Properties, Inc. | 3,459 | 130,301 | |
Macerich Co. (The) | 12,538 | 112,466 | |
Mack-Cali Realty Corp. | 7,612 | 116,387 | |
Monmouth Real Estate Investment Corp. | 8,073 | 116,978 | |
National Health Investors, Inc. | 3,785 | 229,825 | |
National Storage Affiliates Trust | 5,472 | 156,828 | |
New Senior Investment Group, Inc. | 7,208 | 26,093 | |
NexPoint Residential Trust, Inc. | 1,916 | 67,731 | |
Office Properties Income Trust | 4,192 | 108,866 | |
One Liberty Properties, Inc. | 1,287 | 22,677 | |
Pebblebrook Hotel Trust | 11,429 | 156,120 | |
Physicians Realty Trust | 17,946 | 314,414 | |
Piedmont Office Realty Trust, Inc., Class A | 11,004 | 182,776 | |
Plymouth Industrial REIT, Inc. | 1,301 | 16,653 | |
PotlatchDeltic Corp. | 5,812 | 221,030 | |
Preferred Apartment Communities, Inc., Class A | 3,903 | 29,663 | |
PS Business Parks, Inc. | 1,759 | 232,892 | |
QTS Realty Trust, Inc., Class A | 5,308 | 340,190 | |
Retail Opportunity Investments Corp. | 10,264 | 116,291 | |
Retail Properties of America, Inc., Class A | 18,948 | 138,699 | |
Retail Value, Inc. | 1,367 | 16,896 | |
RLJ Lodging Trust | 15,115 | 142,686 | |
RPT Realty | 6,804 | 47,356 |
Table of Contents
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Ryman Hospitality Properties, Inc. | 4,458 | $ 154,247 | |
Sabra Health Care REIT, Inc. | 18,151 | 261,919 | |
Safehold, Inc. | 1,528 | 87,845 | |
Saul Centers, Inc. | 978 | 31,560 | |
Seritage Growth Properties, Class A(1)(2) | 2,944 | 33,562 | |
Service Properties Trust | 14,487 | 102,713 | |
SITE Centers Corp. | 13,531 | 109,601 | |
STAG Industrial, Inc. | 13,243 | 388,285 | |
Summit Hotel Properties, Inc. | 8,982 | 53,263 | |
Sunstone Hotel Investors, Inc. | 18,993 | 154,793 | |
Tanger Factory Outlet Centers, Inc.(2) | 7,997 | 57,019 | |
Terreno Realty Corp. | 5,862 | 308,576 | |
UMH Properties, Inc. | 3,128 | 40,445 | |
Uniti Group, Inc. | 16,329 | 152,676 | |
Universal Health Realty Income Trust | 1,113 | 88,472 | |
Urban Edge Properties | 10,291 | 122,154 | |
Urstadt Biddle Properties, Inc., Class A | 2,599 | 30,876 | |
Washington Real Estate Investment Trust | 7,049 | 156,488 | |
Whitestone REIT(2) | 3,231 | 23,489 | |
Xenia Hotels & Resorts, Inc. | 9,886 | 92,236 | |
$ 9,773,989 | |||
Food & Staples Retailing — 0.8% | |||
Andersons, Inc. (The) | 2,690 | $ 37,014 | |
BJ's Wholesale Club Holdings, Inc.(1) | 12,099 | 450,930 | |
Chefs' Warehouse, Inc. (The)(1) | 2,031 | 27,581 | |
HF Foods Group, Inc.(1)(2) | 3,141 | 28,426 | |
Ingles Markets, Inc., Class A | 1,243 | 53,536 | |
Natural Grocers by Vitamin Cottage, Inc. | 875 | 13,020 | |
Performance Food Group Co.(1) | 11,575 | 337,295 | |
PriceSmart, Inc. | 1,964 | 118,488 | |
Rite Aid Corp.(1) | 4,943 | 84,328 | |
SpartanNash Co. | 3,190 | 67,788 | |
United Natural Foods, Inc.(1) | 4,650 | 84,676 | |
Village Super Market, Inc., Class A | 640 | 17,741 | |
Weis Markets, Inc. | 747 | 37,440 | |
$ 1,358,263 | |||
Food Products — 1.3% | |||
Alico, Inc. | 267 | $ 8,320 | |
B&G Foods, Inc. | 5,687 | 138,649 | |
BellRing Brands, Inc., Class A(1) | 3,419 | 68,175 | |
Bridgford Foods Corp.(1) | 153 | 2,534 | |
Calavo Growers, Inc. | 1,424 | 89,584 | |
Cal-Maine Foods, Inc.(1) | 2,682 | 119,295 | |
Darling Ingredients, Inc.(1) | 14,316 | 352,460 |
Security | Shares | Value | |
Food Products (continued) | |||
Farmer Bros. Co.(1) | 847 | $ 6,217 | |
Fresh Del Monte Produce, Inc. | 2,749 | 67,680 | |
Freshpet, Inc.(1) | 3,422 | 286,284 | |
Hostess Brands, Inc.(1) | 10,500 | 128,310 | |
J&J Snack Foods Corp. | 1,320 | 167,812 | |
John B. Sanfilippo & Son, Inc. | 716 | 61,096 | |
Lancaster Colony Corp. | 1,648 | 255,423 | |
Landec Corp.(1) | 2,282 | 18,165 | |
Limoneira Co. | 1,228 | 17,794 | |
Sanderson Farms, Inc. | 1,738 | 201,417 | |
Seneca Foods Corp., Class A(1) | 594 | 20,083 | |
Simply Good Foods Co. (The)(1) | 7,196 | 133,702 | |
Tootsie Roll Industries, Inc.(2) | 1,437 | 49,246 | |
$ 2,192,246 | |||
Gas Utilities — 1.1% | |||
Brookfield Infrastructure Corp., Class A | 2,874 | $ 130,882 | |
Chesapeake Utilities Corp. | 1,388 | 116,592 | |
New Jersey Resources Corp. | 8,280 | 270,342 | |
Northwest Natural Holding Co. | 2,642 | 147,397 | |
ONE Gas, Inc. | 4,549 | 350,500 | |
RGC Resources, Inc. | 587 | 14,188 | |
South Jersey Industries, Inc. | 8,112 | 202,719 | |
Southwest Gas Holdings, Inc. | 4,880 | 336,964 | |
Spire, Inc. | 4,335 | 284,853 | |
$ 1,854,437 | |||
Health Care Equipment & Supplies — 3.3% | |||
Accelerate Diagnostics, Inc.(1)(2) | 2,287 | $ 34,671 | |
Accuray, Inc.(1) | 6,420 | 13,033 | |
Alphatec Holdings, Inc.(1) | 2,633 | 12,375 | |
AngioDynamics, Inc.(1) | 3,206 | 32,605 | |
Antares Pharma, Inc.(1) | 14,209 | 39,075 | |
Apyx Medical Corp. | 2,938 | 16,306 | |
Aspira Women's Health, Inc.(1) | 4,166 | 15,997 | |
AtriCure, Inc.(1) | 3,396 | 152,650 | |
Atrion Corp. | 121 | 77,078 | |
Avanos Medical, Inc.(1) | 4,156 | 122,145 | |
AxoGen, Inc.(1) | 2,668 | 24,652 | |
Axonics Modulation Technologies, Inc.(1) | 2,690 | 94,446 | |
Bellerophon Therapeutics, Inc.(1) | 304 | 3,815 | |
Beyond Air, Inc.(1) | 1,155 | 8,374 | |
BioLife Solutions, Inc.(1) | 589 | 9,630 | |
BioSig Technologies, Inc.(1) | 1,382 | 9,950 | |
Cantel Medical Corp. | 3,351 | 148,215 | |
Cardiovascular Systems, Inc.(1) | 2,986 | 94,208 |
Table of Contents
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Cerus Corp.(1) | 14,314 | $ 94,472 | |
Chembio Diagnostics, Inc.(1) | 1,721 | 5,593 | |
Co-Diagnostics, Inc.(1)(2) | 2,291 | 44,331 | |
CONMED Corp. | 2,394 | 172,344 | |
CryoLife, Inc.(1) | 3,149 | 60,366 | |
CryoPort, Inc.(1)(2) | 2,963 | 89,631 | |
Cutera, Inc.(1) | 1,118 | 13,606 | |
CytoSorbents Corp.(1)(2) | 2,668 | 26,413 | |
Electromed, Inc.(1) | 615 | 9,465 | |
FONAR Corp.(1) | 557 | 11,903 | |
GenMark Diagnostics, Inc.(1) | 5,985 | 88,039 | |
Glaukos Corp.(1)(2) | 3,735 | 143,499 | |
Heska Corp.(1) | 603 | 56,182 | |
Inogen, Inc.(1) | 1,598 | 56,761 | |
Integer Holdings Corp.(1) | 2,856 | 208,631 | |
IntriCon Corp.(1) | 564 | 7,625 | |
Invacare Corp.(2) | 2,498 | 15,912 | |
iRadimed Corp.(1) | 282 | 6,545 | |
iRhythm Technologies, Inc.(1) | 2,390 | 276,977 | |
Lantheus Holdings, Inc.(1) | 5,360 | 76,647 | |
LeMaitre Vascular, Inc. | 1,302 | 34,373 | |
LivaNova PLC(1) | 4,365 | 210,087 | |
Meridian Bioscience, Inc.(1) | 3,556 | 82,819 | |
Merit Medical Systems, Inc.(1) | 4,789 | 218,618 | |
Mesa Laboratories, Inc. | 355 | 76,964 | |
Milestone Scientific, Inc.(1) | 3,097 | 6,039 | |
Misonix, Inc.(1) | 1,277 | 17,329 | |
Natus Medical, Inc.(1) | 3,019 | 65,875 | |
Nemaura Medical, Inc.(1) | 594 | 5,495 | |
Neogen Corp.(1) | 4,608 | 357,581 | |
Nevro Corp.(1) | 2,966 | 354,348 | |
NuVasive, Inc.(1) | 4,522 | 251,695 | |
OraSure Technologies, Inc.(1) | 5,361 | 62,348 | |
Orthofix Medical, Inc.(1) | 1,619 | 51,808 | |
OrthoPediatrics Corp.(1) | 1,056 | 46,211 | |
PAVmed, Inc.(1) | 3,168 | 6,685 | |
Pulse Biosciences, Inc.(1) | 800 | 8,368 | |
Quotient, Ltd.(1) | 5,345 | 39,553 | |
Repro-Med Systems, Inc.(1) | 2,153 | 19,334 | |
Retractable Technologies, Inc.(1) | 1,172 | 8,227 | |
Rockwell Medical, Inc.(1) | 3,471 | 6,768 | |
RTI Surgical Holdings, Inc.(1) | 4,427 | 14,078 | |
SeaSpine Holdings Corp.(1) | 1,888 | 19,767 | |
Shockwave Medical, Inc.(1) | 2,190 | 103,740 | |
SI-BONE, Inc.(1) | 2,242 | 35,738 | |
Sientra, Inc.(1) | 3,217 | 12,450 | |
Silk Road Medical, Inc.(1) | 2,807 | 117,585 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Soliton, Inc.(1) | 193 | $ 1,502 | |
STAAR Surgical Co.(1) | 3,982 | 245,052 | |
Stereotaxis, Inc.(1) | 3,905 | 17,416 | |
SurModics, Inc.(1) | 1,145 | 49,510 | |
Tactile Systems Technology, Inc.(1) | 1,650 | 68,360 | |
Tela Bio, Inc.(1) | 480 | 6,221 | |
TransMedics Group, Inc.(1) | 1,747 | 31,306 | |
Utah Medical Products, Inc. | 296 | 26,232 | |
Vapotherm, Inc.(1) | 1,694 | 69,437 | |
Varex Imaging Corp.(1) | 3,308 | 50,116 | |
Venus Concept, Inc.(1) | 1,627 | 5,678 | |
ViewRay, Inc.(1)(2) | 9,151 | 20,498 | |
VolitionRX, Ltd.(1) | 2,077 | 8,080 | |
Wright Medical Group NV(1) | 11,368 | 337,857 | |
Zynex, Inc.(1)(2) | 1,374 | 34,171 | |
$ 5,579,486 | |||
Health Care Providers & Services — 2.1% | |||
1Life Healthcare, Inc.(1)(2) | 1,670 | $ 60,654 | |
AdaptHealth Corp.(1) | 693 | 11,157 | |
Addus HomeCare Corp.(1) | 1,220 | 112,923 | |
American Renal Associates Holdings, Inc.(1) | 1,530 | 9,976 | |
AMN Healthcare Services, Inc.(1) | 4,036 | 182,589 | |
Apollo Medical Holdings, Inc.(1) | 575 | 9,487 | |
Avalon GloboCare Corp.(1) | 1,913 | 3,635 | |
BioTelemetry, Inc.(1) | 2,899 | 131,006 | |
Brookdale Senior Living, Inc.(1) | 15,634 | 46,120 | |
Community Health Systems, Inc.(1) | 8,353 | 25,142 | |
CorVel Corp.(1) | 831 | 58,910 | |
Covetrus, Inc.(1) | 8,670 | 155,106 | |
Cross Country Healthcare, Inc.(1) | 2,877 | 17,722 | |
Ensign Group, Inc. (The) | 4,495 | 188,116 | |
Enzo Biochem, Inc.(1) | 3,092 | 6,926 | |
Five Star Senior Living, Inc.(1) | 1,669 | 6,509 | |
Fulgent Genetics, Inc.(1) | 854 | 13,664 | |
Hanger, Inc.(1) | 3,196 | 52,926 | |
HealthEquity, Inc.(1) | 6,065 | 355,834 | |
InfuSystem Holdings, Inc.(1) | 1,278 | 14,748 | |
Joint Corp. (The)(1) | 1,152 | 17,591 | |
LHC Group, Inc.(1) | 2,682 | 467,526 | |
Magellan Health, Inc.(1) | 2,067 | 150,850 | |
MEDNAX, Inc.(1) | 7,329 | 125,326 | |
National HealthCare Corp. | 1,074 | 68,135 | |
National Research Corp. | 1,192 | 69,386 | |
Ontrak, Inc.(1) | 623 | 15,413 | |
Option Care Health, Inc.(1) | 2,427 | 33,687 | |
Owens & Minor, Inc. | 5,393 | 41,095 |
Table of Contents
Security | Shares | Value | |
Health Care Providers & Services (continued) | |||
Patterson Cos., Inc. | 7,473 | $ 164,406 | |
Pennant Group, Inc. (The)(1) | 2,149 | 48,567 | |
PetIQ, Inc.(1)(2) | 1,614 | 56,232 | |
Progyny, Inc.(1) | 2,328 | 60,086 | |
Providence Service Corp. (The)(1) | 1,045 | 82,461 | |
R1 RCM, Inc.(1) | 8,804 | 98,165 | |
RadNet, Inc.(1) | 3,530 | 56,021 | |
Select Medical Holdings Corp.(1) | 9,880 | 145,532 | |
Sharps Compliance Corp.(1) | 1,261 | 8,865 | |
Surgery Partners, Inc.(1) | 2,112 | 24,436 | |
Tenet Healthcare Corp.(1) | 9,038 | 163,678 | |
Tivity Health, Inc.(1) | 4,170 | 47,246 | |
Triple-S Management Corp., Class B(1)(2) | 1,726 | 32,828 | |
US Physical Therapy, Inc. | 1,104 | 89,446 | |
Viemed Healthcare, Inc.(1) | 3,037 | 29,155 | |
$ 3,559,283 | |||
Health Care Technology — 1.0% | |||
Allscripts Healthcare Solutions, Inc.(1) | 13,910 | $ 94,171 | |
Computer Programs and Systems, Inc. | 938 | 21,377 | |
Evolent Health, Inc., Class A(1) | 6,580 | 46,850 | |
Health Catalyst, Inc. | 2,850 | 83,134 | |
HealthStream, Inc.(1) | 2,289 | 50,656 | |
HMS Holdings Corp.(1) | 7,885 | 255,395 | |
iCad, Inc.(1) | 1,776 | 17,742 | |
Inovalon Holdings, Inc., Class A(1) | 6,512 | 125,421 | |
Inspire Medical Systems, Inc.(1) | 2,312 | 201,190 | |
NantHealth, Inc.(1) | 2,382 | 10,909 | |
NextGen Healthcare, Inc.(1) | 4,587 | 50,365 | |
Omnicell, Inc.(1) | 3,752 | 264,966 | |
OptimizeRx Corp.(1)(2) | 1,058 | 13,786 | |
Phreesia, Inc.(1) | 2,351 | 66,486 | |
Schrodinger, Inc.(1) | 1,200 | 109,884 | |
Simulations Plus, Inc. | 1,112 | 66,520 | |
Tabula Rasa HealthCare, Inc.(1)(2) | 1,809 | 99,007 | |
Vocera Communications, Inc.(1) | 2,799 | 59,339 | |
$ 1,637,198 | |||
Hotels, Restaurants & Leisure — 2.5% | |||
Accel Entertainment, Inc.(1) | 3,729 | $ 35,910 | |
BBX Capital Corp. | 5,432 | 13,797 | |
Biglari Holdings, Inc., Class A(1) | 6 | 2,010 | |
Biglari Holdings, Inc., Class B(1) | 80 | 5,518 | |
BJ's Restaurants, Inc. | 1,671 | 34,991 | |
Bloomin' Brands, Inc. | 7,647 | 81,517 | |
Bluegreen Vacations Corp. | 637 | 3,453 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Boyd Gaming Corp. | 7,160 | $ 149,644 | |
Brinker International, Inc. | 3,869 | 92,856 | |
Carrols Restaurant Group, Inc.(1) | 3,096 | 14,985 | |
Century Casinos, Inc.(1) | 1,662 | 6,897 | |
Cheesecake Factory, Inc. (The)(2) | 3,655 | 83,773 | |
Churchill Downs, Inc. | 3,358 | 447,118 | |
Chuy's Holdings, Inc.(1) | 1,271 | 18,913 | |
Cracker Barrel Old Country Store, Inc. | 2,135 | 236,793 | |
Dave & Buster's Entertainment, Inc.(2) | 4,104 | 54,706 | |
Del Taco Restaurants, Inc.(1) | 2,895 | 17,167 | |
Denny's Corp.(1) | 4,997 | 50,470 | |
Dine Brands Global, Inc. | 1,363 | 57,382 | |
El Pollo Loco Holdings, Inc.(1) | 1,580 | 23,321 | |
Eldorado Resorts, Inc.(1) | 7,389 | 296,003 | |
Everi Holdings, Inc.(1) | 6,157 | 31,770 | |
Fiesta Restaurant Group, Inc.(1) | 2,070 | 13,207 | |
Golden Entertainment, Inc.(1) | 1,501 | 13,389 | |
Hilton Grand Vacations, Inc.(1) | 7,526 | 147,133 | |
International Game Technology PLC | 8,782 | 78,160 | |
Jack in the Box, Inc. | 2,012 | 149,069 | |
Kura Sushi USA, Inc.(1)(2) | 280 | 3,998 | |
Lindblad Expeditions Holdings, Inc.(1) | 1,767 | 13,641 | |
Marriott Vacations Worldwide Corp. | 3,577 | 294,065 | |
Monarch Casino & Resort, Inc.(1) | 917 | 31,251 | |
Nathan's Famous, Inc. | 237 | 13,329 | |
Noodles & Co.(1) | 2,480 | 15,004 | |
Papa John's International, Inc. | 2,860 | 227,113 | |
Penn National Gaming, Inc.(1)(2) | 11,828 | 361,227 | |
PlayAGS, Inc.(1) | 1,838 | 6,212 | |
RCI Hospitality Holdings, Inc. | 797 | 11,046 | |
Red Robin Gourmet Burgers, Inc.(1) | 1,090 | 11,118 | |
Red Rock Resorts, Inc., Class A | 6,276 | 68,471 | |
Ruth's Hospitality Group, Inc. | 2,317 | 18,907 | |
Scientific Games Corp., Class A(1) | 4,901 | 75,770 | |
SeaWorld Entertainment, Inc.(1) | 4,190 | 62,054 | |
Shake Shack, Inc., Class A(1)(2) | 3,100 | 164,238 | |
Target Hospitality Corp.(1) | 2,913 | 4,923 | |
Texas Roadhouse, Inc. | 5,792 | 304,485 | |
Twin River Worldwide Holdings, Inc. | 1,497 | 33,368 | |
Wingstop, Inc. | 2,618 | 363,824 | |
$ 4,243,996 | |||
Household Durables — 1.9% | |||
Beazer Homes USA, Inc.(1) | 2,686 | $ 27,048 | |
Casper Sleep, Inc.(1)(2) | 590 | 5,292 | |
Cavco Industries, Inc.(1) | 750 | 144,637 | |
Century Communities, Inc.(1) | 2,337 | 71,652 |
Table of Contents
Security | Shares | Value | |
Household Durables (continued) | |||
Ethan Allen Interiors, Inc. | 1,924 | $ 22,761 | |
GoPro, Inc., Class A(1) | 10,449 | 49,737 | |
Green Brick Partners, Inc.(1) | 1,909 | 22,622 | |
Hamilton Beach Brands Holding Co., Class A | 584 | 6,950 | |
Helen of Troy, Ltd.(1) | 2,235 | 421,432 | |
Hooker Furniture Corp. | 834 | 16,221 | |
Installed Building Products, Inc.(1) | 2,012 | 138,385 | |
iRobot Corp.(1) | 2,456 | 206,058 | |
KB Home | 7,707 | 236,451 | |
La-Z-Boy, Inc. | 3,892 | 105,317 | |
Legacy Housing Corp.(1) | 380 | 5,404 | |
LGI Homes, Inc.(1) | 1,969 | 173,331 | |
Lifetime Brands, Inc. | 858 | 5,766 | |
Lovesac Co. (The)(1)(2) | 730 | 19,148 | |
M / I Homes, Inc.(1) | 2,434 | 83,827 | |
MDC Holdings, Inc. | 4,540 | 162,078 | |
Meritage Homes Corp.(1) | 3,219 | 245,030 | |
Purple Innovation, Inc.(1) | 1,263 | 22,734 | |
Skyline Champion Corp.(1) | 4,811 | 117,100 | |
Sonos, Inc.(1) | 6,981 | 102,132 | |
Taylor Morrison Home Corp.(1) | 11,152 | 215,122 | |
TopBuild Corp.(1) | 2,893 | 329,137 | |
TRI Pointe Group, Inc.(1) | 11,449 | 168,186 | |
Tupperware Brands Corp. | 4,044 | 19,209 | |
Turtle Beach Corp.(1) | 1,190 | 17,517 | |
Universal Electronics, Inc.(1) | 1,223 | 57,261 | |
$ 3,217,545 | |||
Household Products — 0.2% | |||
Central Garden & Pet Co.(1) | 789 | $ 28,396 | |
Central Garden & Pet Co., Class A(1) | 3,525 | 119,110 | |
Oil-Dri Corp. of America | 406 | 14,088 | |
WD-40 Co. | 1,200 | 237,960 | |
$ 399,554 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||
Atlantic Power Corp.(1) | 10,236 | $ 20,472 | |
Clearway Energy, Inc., Class A | 3,063 | 64,231 | |
Clearway Energy, Inc., Class C | 6,905 | 159,229 | |
Ormat Technologies, Inc. | 3,487 | 221,390 | |
Sunnova Energy International, Inc.(1) | 2,715 | 46,345 | |
TerraForm Power, Inc., Class A | 7,748 | 142,873 | |
$ 654,540 |
Security | Shares | Value | |
Industrial Conglomerates — 0.0%(4) | |||
Raven Industries, Inc. | 3,174 | $ 68,273 | |
$ 68,273 | |||
Insurance — 2.2% | |||
Ambac Financial Group, Inc.(1) | 3,798 | $ 54,387 | |
American Equity Investment Life Holding Co. | 7,921 | 195,728 | |
AMERISAFE, Inc. | 1,636 | 100,058 | |
Argo Group International Holdings, Ltd. | 2,857 | 99,509 | |
Benefytt Technologies, Inc.(1) | 983 | 20,112 | |
BRP Group, Inc., Class A(1) | 1,755 | 30,309 | |
Citizens, Inc.(1)(2) | 4,427 | 26,518 | |
CNO Financial Group, Inc. | 12,923 | 201,211 | |
Crawford & Co., Class A | 1,459 | 11,511 | |
Donegal Group, Inc., Class A | 916 | 13,026 | |
eHealth, Inc.(1) | 2,252 | 221,236 | |
Employers Holdings, Inc. | 2,835 | 85,475 | |
Enstar Group, Ltd.(1) | 1,028 | 157,048 | |
FBL Financial Group, Inc., Class A | 766 | 27,492 | |
FedNat Holding Co. | 1,014 | 11,225 | |
Genworth Financial, Inc., Class A(1) | 45,354 | 104,768 | |
Global Indemnity, Ltd. | 810 | 19,391 | |
Goosehead Insurance, Inc., Class A(1) | 1,140 | 85,682 | |
Greenlight Capital Re, Ltd., Class A(1) | 2,647 | 17,258 | |
HCI Group, Inc. | 611 | 28,216 | |
Heritage Insurance Holdings, Inc. | 1,906 | 24,950 | |
Horace Mann Educators Corp. | 3,697 | 135,791 | |
Independence Holding Co. | 394 | 12,052 | |
Investors Title Co. | 111 | 13,467 | |
James River Group Holdings, Ltd. | 2,526 | 113,670 | |
Kinsale Capital Group, Inc. | 1,839 | 285,431 | |
MBIA, Inc.(1) | 6,139 | 44,508 | |
National General Holdings Corp. | 5,773 | 124,755 | |
National Western Life Group, Inc., Class A | 193 | 39,216 | |
NI Holdings, Inc.(1) | 903 | 13,337 | |
Palomar Holdings, Inc.(1) | 1,705 | 146,221 | |
ProAssurance Corp. | 4,666 | 67,517 | |
ProSight Global, Inc.(1) | 758 | 6,746 | |
Protective Insurance Corp., Class B | 853 | 12,855 | |
RLI Corp. | 3,478 | 285,544 | |
Safety Insurance Group, Inc. | 1,323 | 100,892 | |
Selective Insurance Group, Inc. | 5,232 | 275,936 | |
State Auto Financial Corp. | 1,338 | 23,883 | |
Stewart Information Services Corp. | 1,974 | 64,175 | |
Third Point Reinsurance, Ltd.(1) | 6,160 | 46,262 | |
Tiptree, Inc. | 2,311 | 14,906 | |
Trupanion, Inc.(1)(2) | 2,626 | 112,104 |
Table of Contents
Security | Shares | Value | |
Insurance (continued) | |||
United Fire Group, Inc. | 1,866 | $ 51,707 | |
United Insurance Holdings Corp. | 1,483 | 11,597 | |
Universal Insurance Holdings, Inc. | 2,530 | 44,907 | |
Vericity, Inc. | 164 | 1,743 | |
Watford Holdings, Ltd.(1) | 1,786 | 29,808 | |
$ 3,614,140 | |||
Interactive Media & Services — 0.4% | |||
Cargurus, Inc.(1) | 7,630 | $ 193,421 | |
Cars.com, Inc.(1) | 5,846 | 33,673 | |
DHI Group, Inc.(1) | 4,512 | 9,475 | |
Eventbrite, Inc., Class A(1) | 5,612 | 48,095 | |
EverQuote, Inc., Class A(1) | 1,239 | 72,060 | |
Liberty TripAdvisor Holdings, Inc., Class A(1) | 6,271 | 13,357 | |
Meet Group, Inc. (The)(1) | 5,878 | 36,679 | |
QuinStreet, Inc.(1) | 4,141 | 43,315 | |
TrueCar, Inc.(1) | 7,838 | 20,222 | |
Yelp, Inc.(1) | 6,057 | 140,098 | |
$ 610,395 | |||
Internet & Direct Marketing Retail — 0.6% | |||
1-800-Flowers.com, Inc., Class A(1) | 2,081 | $ 41,662 | |
Duluth Holdings, Inc., Class B(1)(2) | 634 | 4,672 | |
Groupon, Inc.(1)(2) | 2,006 | 36,349 | |
Lands' End, Inc.(1) | 879 | 7,067 | |
Liquidity Services, Inc.(1) | 2,122 | 12,647 | |
Overstock.com, Inc.(1) | 3,551 | 100,955 | |
PetMed Express, Inc. | 1,778 | 63,368 | |
Quotient Technology, Inc.(1) | 7,590 | 55,559 | |
RealReal, Inc. (The)(1)(2) | 5,509 | 70,460 | |
Rubicon Project, Inc. (The)(1) | 8,240 | 54,961 | |
Shutterstock, Inc.(1) | 1,706 | 59,659 | |
Stamps.com, Inc.(1) | 1,448 | 265,983 | |
Stitch Fix, Inc., Class A(1)(2) | 4,967 | 123,877 | |
US Auto Parts Network, Inc.(1) | 1,863 | 16,133 | |
Waitr Holdings, Inc.(1) | 4,628 | 12,172 | |
$ 925,524 | |||
IT Services — 1.9% | |||
Brightcove, Inc.(1) | 3,175 | $ 25,019 | |
Cardtronics PLC, Class A(1) | 3,306 | 79,278 | |
Cass Information Systems, Inc. | 1,244 | 48,553 | |
Conduent, Inc.(1) | 15,269 | 36,493 | |
CSG Systems International, Inc. | 2,940 | 121,687 | |
Endurance International Group Holdings, Inc.(1) | 5,998 | 24,172 | |
EVERTEC, Inc. | 5,329 | 149,745 |
Security | Shares | Value | |
IT Services (continued) | |||
Evo Payments, Inc., Class A(1) | 3,485 | $ 79,562 | |
ExlService Holdings, Inc.(1) | 2,930 | 185,762 | |
GreenSky, Inc., Class A(1) | 5,489 | 26,896 | |
Grid Dynamics Holdings, Inc.(1) | 1,918 | 13,234 | |
GTT Communications, Inc.(1) | 2,822 | 23,027 | |
Hackett Group, Inc. (The) | 1,931 | 26,146 | |
I3 Verticals, Inc., Class A(1) | 1,204 | 36,421 | |
Information Services Group, Inc.(1) | 2,421 | 5,011 | |
International Money Express, Inc.(1) | 1,143 | 14,242 | |
KBR, Inc. | 12,334 | 278,132 | |
Limelight Networks, Inc.(1) | 10,253 | 75,462 | |
LiveRamp Holdings, Inc.(1) | 5,856 | 248,704 | |
ManTech International Corp. / VA, Class A | 2,379 | 162,938 | |
MAXIMUS, Inc. | 5,402 | 380,571 | |
MoneyGram International, Inc.(1) | 5,478 | 17,584 | |
NIC, Inc. | 5,910 | 135,694 | |
Paysign, Inc. | 2,627 | 25,508 | |
Perficient, Inc.(1) | 2,876 | 102,903 | |
Perspecta, Inc. | 12,429 | 288,726 | |
PFSweb, Inc.(1) | 1,235 | 8,250 | |
Priority Tehnology Holdings, Inc.(1) | 578 | 1,497 | |
Repay Holdings Corp.(1) | 3,233 | 79,629 | |
ServiceSource International, Inc.(1) | 7,675 | 12,126 | |
StarTek, Inc.(1) | 1,434 | 7,285 | |
Sykes Enterprises, Inc.(1) | 3,342 | 92,440 | |
TTEC Holdings, Inc. | 1,603 | 74,636 | |
Tucows, Inc., Class A(1) | 790 | 45,283 | |
Unisys Corp.(1) | 5,466 | 59,634 | |
Verra Mobility Corp.(1) | 11,432 | 117,521 | |
Virtusa Corp.(1) | 2,577 | 83,675 | |
$ 3,193,446 | |||
Leisure Products — 0.6% | |||
Acushnet Holdings Corp. | 3,081 | $ 107,188 | |
Callaway Golf Co. | 8,143 | 142,584 | |
Clarus Corp. | 1,808 | 20,937 | |
Escalade, Inc. | 888 | 12,396 | |
Johnson Outdoors, Inc., Class A | 405 | 36,863 | |
Malibu Boats, Inc., Class A(1) | 1,736 | 90,185 | |
Marine Products Corp. | 813 | 11,260 | |
MasterCraft Boat Holdings, Inc.(1) | 1,615 | 30,766 | |
Nautilus, Inc.(1) | 2,617 | 24,260 | |
Smith + Wesson Brands, Inc.(1) | 4,733 | 101,854 | |
Sturm Ruger & Co., Inc. | 1,458 | 110,808 | |
Vista Outdoor, Inc.(1) | 5,021 | 72,553 |
Table of Contents
Security | Shares | Value | |
Leisure Products (continued) | |||
YETI Holdings, Inc.(1) | 6,552 | $ 279,967 | |
$ 1,041,621 | |||
Life Sciences Tools & Services — 0.6% | |||
Champions Oncology, Inc.(1) | 637 | $ 6,090 | |
ChromaDex Corp.(1) | 3,310 | 15,193 | |
Codexis, Inc.(1) | 4,645 | 52,953 | |
Fluidigm Corp.(1) | 6,011 | 24,104 | |
Harvard Bioscience, Inc.(1) | 3,333 | 10,332 | |
Luminex Corp. | 3,659 | 119,027 | |
Medpace Holdings, Inc.(1) | 2,382 | 221,573 | |
NanoString Technologies, Inc.(1) | 3,339 | 98,000 | |
NeoGenomics, Inc.(1) | 9,152 | 283,529 | |
Pacific Biosciences of California, Inc.(1) | 12,737 | 43,943 | |
Personalis, Inc.(1) | 1,635 | 21,206 | |
Quanterix Corp.(1) | 1,674 | 45,851 | |
$ 941,801 | |||
Machinery — 3.4% | |||
Alamo Group, Inc. | 873 | $ 89,605 | |
Albany International Corp., Class A | 2,680 | 157,343 | |
Altra Industrial Motion Corp. | 5,751 | 183,227 | |
Astec Industries, Inc. | 1,870 | 86,600 | |
Barnes Group, Inc. | 4,223 | 167,062 | |
Blue Bird Corp.(1) | 1,311 | 19,652 | |
Chart Industries, Inc.(1) | 3,153 | 152,889 | |
CIRCOR International, Inc.(1) | 1,669 | 42,526 | |
Columbus McKinnon Corp. | 1,943 | 64,993 | |
Douglas Dynamics, Inc. | 1,952 | 68,554 | |
Eastern Co. (The) | 490 | 8,756 | |
Energy Recovery, Inc.(1) | 3,367 | 25,572 | |
Enerpac Tool Group Corp. | 4,678 | 82,333 | |
EnPro Industries, Inc. | 1,761 | 86,800 | |
ESCO Technologies, Inc. | 2,284 | 193,067 | |
Evoqua Water Technologies Corp.(1) | 7,574 | 140,876 | |
ExOne Co. (The)(1) | 993 | 8,490 | |
Federal Signal Corp. | 5,217 | 155,101 | |
Franklin Electric Co., Inc. | 4,132 | 217,013 | |
Gencor Industries, Inc.(1) | 603 | 7,622 | |
Gorman-Rupp Co. (The) | 1,579 | 49,075 | |
Graham Corp. | 863 | 10,995 | |
Greenbrier Cos., Inc. (The) | 2,874 | 65,384 | |
Harsco Corp.(1) | 6,801 | 91,882 | |
Helios Technologies, Inc. | 2,542 | 94,690 | |
Hillenbrand, Inc. | 6,378 | 172,652 | |
Hurco Cos., Inc. | 529 | 14,796 |
Security | Shares | Value | |
Machinery (continued) | |||
Hyster-Yale Materials Handling, Inc. | 907 | $ 35,065 | |
John Bean Technologies Corp. | 2,741 | 235,781 | |
Kadant, Inc. | 952 | 94,876 | |
Kennametal, Inc. | 7,167 | 205,765 | |
LB Foster Co., Class A(1) | 731 | 9,335 | |
Lindsay Corp. | 920 | 84,833 | |
Luxfer Holdings PLC | 2,400 | 33,960 | |
Lydall, Inc.(1) | 1,313 | 17,804 | |
Manitowoc Co., Inc. (The)(1) | 2,727 | 29,670 | |
Meritor, Inc.(1) | 6,195 | 122,661 | |
Miller Industries, Inc. | 1,050 | 31,259 | |
Mueller Industries, Inc. | 4,874 | 129,551 | |
Mueller Water Products, Inc., Class A | 14,064 | 132,624 | |
Navistar International Corp.(1) | 4,357 | 122,867 | |
NN, Inc. | 3,488 | 16,533 | |
Omega Flex, Inc. | 248 | 26,238 | |
Park-Ohio Holdings Corp. | 726 | 12,044 | |
Proto Labs, Inc.(1) | 2,351 | 264,417 | |
RBC Bearings, Inc.(1) | 2,155 | 288,856 | |
REV Group, Inc. | 2,574 | 15,701 | |
Rexnord Corp. | 9,454 | 275,584 | |
Shyft Group, Inc. (The) | 3,015 | 50,773 | |
SPX Corp.(1) | 3,905 | 160,691 | |
SPX FLOW, Inc.(1) | 3,637 | 136,169 | |
Standex International Corp. | 1,097 | 63,132 | |
Tennant Co. | 1,548 | 100,635 | |
Terex Corp. | 5,568 | 104,511 | |
TriMas Corp.(1) | 3,997 | 95,728 | |
Wabash National Corp. | 4,465 | 47,418 | |
Watts Water Technologies, Inc., Class A | 2,413 | 195,453 | |
Welbilt, Inc.(1) | 11,411 | 69,493 | |
$ 5,666,982 | |||
Marine — 0.1% | |||
Costamare, Inc. | 4,298 | $ 23,897 | |
Eagle Bulk Shipping, Inc.(1) | 3,373 | 7,387 | |
Genco Shipping & Trading, Ltd. | 675 | 4,239 | |
Matson, Inc. | 3,735 | 108,688 | |
Pangaea Logistics Solutions, Ltd. | 934 | 2,344 | |
Safe Bulkers, Inc.(1) | 4,225 | 5,155 | |
Scorpio Bulkers, Inc. | 424 | 6,487 | |
$ 158,197 | |||
Media — 0.7% | |||
AMC Networks, Inc., Class A(1) | 3,423 | $ 80,064 | |
Boston Omaha Corp., Class A(1) | 868 | 13,888 |
Table of Contents
Security | Shares | Value | |
Media (continued) | |||
Cardlytics, Inc.(1)(2) | 2,284 | $ 159,834 | |
Central European Media Enterprises, Ltd., Class A(1) | 6,603 | 23,375 | |
comScore, Inc.(1) | 4,319 | 13,389 | |
Daily Journal Corp.(1)(2) | 88 | 23,760 | |
Emerald Holding, Inc. | 2,053 | 6,323 | |
Entercom Communications Corp., Class A | 10,833 | 14,950 | |
Entravision Communications Corp., Class A | 5,618 | 8,034 | |
EW Scripps Co. (The), Class A | 4,675 | 40,906 | |
Fluent, Inc.(1) | 2,683 | 4,776 | |
Gannett Co., Inc.(2) | 10,067 | 13,892 | |
Gray Television, Inc.(1) | 8,185 | 114,181 | |
Hemisphere Media Group, Inc.(1) | 1,449 | 14,244 | |
iHeartMedia, Inc., Class A(1) | 5,288 | 44,155 | |
Loral Space & Communications, Inc.(1) | 1,011 | 19,735 | |
Meredith Corp.(2) | 3,558 | 51,769 | |
MSG Networks, Inc., Class A(1)(2) | 3,693 | 36,745 | |
National CineMedia, Inc. | 5,225 | 15,518 | |
Saga Communications, Inc., Class A | 394 | 10,086 | |
Scholastic Corp. | 2,583 | 77,335 | |
Sinclair Broadcast Group, Inc., Class A | 4,591 | 84,750 | |
TechTarget, Inc.(1) | 1,981 | 59,489 | |
TEGNA, Inc. | 19,073 | 212,473 | |
Tribune Publishing Co. | 1,415 | 14,136 | |
WideOpenWest, Inc.(1) | 4,622 | 24,358 | |
$ 1,182,165 | |||
Metals & Mining — 1.3% | |||
Alcoa Corp.(1) | 16,550 | $ 186,022 | |
Allegheny Technologies, Inc.(1) | 11,028 | 112,375 | |
Arconic Corp.(1) | 8,793 | 122,486 | |
Caledonia Mining Corp. PLC | 986 | 17,078 | |
Carpenter Technology Corp. | 4,139 | 100,495 | |
Century Aluminum Co.(1) | 4,377 | 31,208 | |
Cleveland-Cliffs, Inc.(2) | 34,534 | 190,628 | |
Coeur Mining, Inc.(1) | 20,477 | 104,023 | |
Commercial Metals Co. | 10,307 | 210,263 | |
Compass Minerals International, Inc. | 2,990 | 145,762 | |
Ferroglobe Representation & Warranty Insurance Trust(5) | 5,015 | 0 | |
Gold Resource Corp. | 5,333 | 21,919 | |
Haynes International, Inc. | 1,062 | 24,808 | |
Hecla Mining Co. | 45,185 | 147,755 | |
Kaiser Aluminum Corp. | 1,405 | 103,436 | |
Materion Corp. | 1,729 | 106,316 | |
Mayville Engineering Co., Inc.(1) | 556 | 4,392 | |
Novagold Resources, Inc.(1) | 20,420 | 187,456 | |
Olympic Steel, Inc. | 846 | 9,941 | |
Ryerson Holding Corp.(1) | 965 | 5,433 |
Security | Shares | Value | |
Metals & Mining (continued) | |||
Schnitzer Steel Industries, Inc., Class A | 2,273 | $ 40,096 | |
SunCoke Energy, Inc. | 6,534 | 19,341 | |
TimkenSteel Corp.(1) | 3,081 | 11,985 | |
United States Steel Corp. | 19,359 | 139,772 | |
Warrior Met Coal, Inc. | 4,424 | 68,085 | |
Worthington Industries, Inc. | 3,367 | 125,589 | |
$ 2,236,664 | |||
Mortgage Real Estate Investment Trusts (REITs) — 1.3% | |||
Anworth Mortgage Asset Corp.(2) | 8,089 | $ 13,751 | |
Apollo Commercial Real Estate Finance, Inc. | 13,478 | 132,219 | |
Arbor Realty Trust, Inc. | 9,110 | 84,176 | |
Ares Commercial Real Estate Corp. | 2,562 | 23,366 | |
Arlington Asset Investment Corp., Class A | 3,233 | 9,602 | |
ARMOUR Residential REIT, Inc. | 5,083 | 47,729 | |
Blackstone Mortgage Trust, Inc., Class A | 11,958 | 288,068 | |
Broadmark Realty Capital, Inc. | 11,367 | 107,646 | |
Capstead Mortgage Corp. | 8,164 | 44,820 | |
Cherry Hill Mortgage Investment Corp. | 1,050 | 9,471 | |
Chimera Investment Corp. | 16,958 | 162,966 | |
Colony Credit Real Estate, Inc. | 6,877 | 48,277 | |
Dynex Capital, Inc.(2) | 1,888 | 26,998 | |
Ellington Financial, Inc. | 3,471 | 40,888 | |
Ellington Residential Mortgage REIT | 796 | 8,199 | |
Granite Point Mortgage Trust, Inc. | 4,738 | 34,019 | |
Great Ajax Corp.(2) | 1,593 | 14,656 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 6,245 | 177,733 | |
Invesco Mortgage Capital, Inc.(2) | 15,874 | 59,369 | |
KKR Real Estate Finance Trust, Inc. | 2,170 | 35,979 | |
Ladder Capital Corp. | 9,254 | 74,957 | |
MFA Financial, Inc. | 40,096 | 99,839 | |
New York Mortgage Trust, Inc. | 32,719 | 85,397 | |
Orchid Island Capital, Inc.(2) | 5,266 | 24,803 | |
PennyMac Mortgage Investment Trust | 8,614 | 151,003 | |
Ready Capital Corp. | 2,975 | 25,853 | |
Redwood Trust, Inc. | 10,045 | 70,315 | |
TPG RE Finance Trust, Inc. | 5,301 | 45,589 | |
Two Harbors Investment Corp. | 24,200 | 121,968 | |
Western Asset Mortgage Capital Corp.(2) | 4,545 | 12,453 | |
$ 2,082,109 | |||
Multiline Retail — 0.2% | |||
Big Lots, Inc. | 3,466 | $ 145,572 | |
Dillard's, Inc., Class A(2) | 920 | 23,727 | |
Macy's, Inc. | 27,590 | 189,819 | |
$ 359,118 |
Table of Contents
Security | Shares | Value | |
Multi-Utilities — 0.5% | |||
Avista Corp. | 5,952 | $ 216,593 | |
Black Hills Corp. | 5,426 | 307,437 | |
NorthWestern Corp. | 4,442 | 242,178 | |
Unitil Corp. | 1,244 | 55,756 | |
$ 821,964 | |||
Oil, Gas & Consumable Fuels — 1.4% | |||
Adams Resources & Energy, Inc. | 194 | $ 5,193 | |
Antero Resources Corp.(1) | 21,446 | 54,473 | |
Arch Resources, Inc. | 1,294 | 36,763 | |
Ardmore Shipping Corp.(1) | 2,717 | 11,792 | |
Berry Corp. | 5,491 | 26,522 | |
Bonanza Creek Energy, Inc.(1) | 1,784 | 26,439 | |
Brigham Minerals, Inc., Class A | 2,460 | 30,381 | |
California Resources Corp.(1)(2) | 3,768 | 4,597 | |
Clean Energy Fuels Corp.(1) | 11,983 | 26,602 | |
CNX Resources Corp.(1) | 16,381 | 141,696 | |
Comstock Resources, Inc.(1) | 1,329 | 5,821 | |
CONSOL Energy, Inc.(1) | 2,417 | 12,254 | |
Contango Oil & Gas Co.(1) | 7,920 | 18,137 | |
CVR Energy, Inc. | 2,550 | 51,280 | |
Delek US Holdings, Inc. | 5,520 | 96,103 | |
DHT Holdings, Inc. | 9,630 | 49,402 | |
Diamond S Shipping, Inc.(1) | 1,939 | 15,493 | |
Dorian LPG, Ltd.(1) | 2,207 | 17,082 | |
Earthstone Energy, Inc., Class A(1) | 1,654 | 4,697 | |
Energy Fuels, Inc.(1)(2) | 5,894 | 8,900 | |
Evolution Petroleum Corp. | 1,370 | 3,836 | |
Falcon Minerals Corp. | 3,404 | 10,893 | |
Frontline, Ltd. / Bermuda | 10,421 | 72,739 | |
Golar LNG, Ltd. | 8,480 | 61,395 | |
Goodrich Petroleum Corp.(1) | 727 | 5,234 | |
Green Plains, Inc. | 3,369 | 34,414 | |
Gulfport Energy Corp.(1) | 14,500 | 15,805 | |
International Seaways, Inc.(1) | 2,158 | 35,262 | |
Kosmos Energy, Ltd. | 35,615 | 59,121 | |
Magnolia Oil & Gas Corp., Class A(1) | 11,072 | 67,096 | |
Matador Resources Co.(1) | 9,448 | 80,308 | |
Montage Resources Corp.(1) | 1,875 | 7,406 | |
NACCO Industries, Inc., Class A | 302 | 7,037 | |
NextDecade Corp.(1) | 638 | 1,378 | |
Nordic American Tankers, Ltd. | 11,683 | 47,433 | |
Overseas Shipholding Group, Inc., Class A(1) | 2,804 | 5,215 | |
Ovintiv, Inc. | 23,130 | 220,891 | |
Par Pacific Holdings, Inc.(1) | 3,112 | 27,977 | |
PBF Energy, Inc., Class A | 8,531 | 87,357 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
PDC Energy, Inc.(1) | 8,678 | $ 107,954 | |
Peabody Energy Corp. | 6,004 | 17,292 | |
Penn Virginia Corp.(1) | 1,007 | 9,597 | |
PrimeEnergy Resources Corp.(1) | 46 | 3,270 | |
Range Resources Corp. | 18,919 | 106,514 | |
Renewable Energy Group, Inc.(1) | 3,095 | 76,694 | |
REX American Resources Corp.(1) | 441 | 30,592 | |
Scorpio Tankers, Inc. | 4,520 | 57,901 | |
SFL Corp., Ltd. | 8,240 | 76,550 | |
SM Energy Co. | 9,886 | 37,072 | |
Southwestern Energy Co.(1) | 46,120 | 118,067 | |
Talos Energy, Inc.(1) | 1,713 | 15,760 | |
Tellurian, Inc.(1) | 8,061 | 9,270 | |
Uranium Energy Corp.(1) | 11,981 | 10,516 | |
W&T Offshore, Inc.(1)(2) | 8,233 | 18,771 | |
Whiting Petroleum Corp.(1) | 8,028 | 9,072 | |
World Fuel Services Corp. | 5,635 | 145,158 | |
$ 2,344,474 | |||
Paper & Forest Products — 0.5% | |||
Boise Cascade Co. | 3,372 | $ 126,821 | |
Clearwater Paper Corp.(1) | 1,465 | 52,930 | |
Domtar Corp. | 4,855 | 102,489 | |
Louisiana-Pacific Corp. | 9,807 | 251,550 | |
Neenah, Inc. | 1,433 | 70,876 | |
PH Glatfelter Co. | 3,755 | 60,268 | |
Schweitzer-Mauduit International, Inc. | 2,615 | 87,367 | |
Verso Corp., Class A | 2,960 | 35,402 | |
$ 787,703 | |||
Personal Products — 0.3% | |||
Edgewell Personal Care Co.(1) | 4,832 | $ 150,565 | |
elf Beauty, Inc.(1) | 2,305 | 43,956 | |
Inter Parfums, Inc. | 1,484 | 71,455 | |
Lifevantage Corp.(1) | 1,232 | 16,657 | |
Medifast, Inc.(2) | 975 | 135,301 | |
Nature's Sunshine Products, Inc.(1) | 1,018 | 9,172 | |
Revlon, Inc., Class A(1)(2) | 576 | 5,702 | |
USANA Health Sciences, Inc.(1) | 1,022 | 75,045 | |
Veru, Inc.(1) | 4,379 | 14,626 | |
$ 522,479 | |||
Pharmaceuticals — 1.9% | |||
AcelRx Pharmaceuticals, Inc.(1)(2) | 6,913 | $ 8,365 | |
Aerie Pharmaceuticals, Inc.(1) | 3,606 | 53,225 | |
Agile Therapeutics, Inc.(1) | 5,999 | 16,677 |
Table of Contents
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
AMAG Pharmaceuticals, Inc.(1) | 3,012 | $ 23,042 | |
Amneal Pharmaceuticals, Inc.(1)(2) | 10,162 | 48,371 | |
Amphastar Pharmaceuticals, Inc.(1) | 3,073 | 69,020 | |
ANI Pharmaceuticals, Inc.(1) | 781 | 25,258 | |
Aquestive Therapeutics, Inc.(1) | 1,755 | 8,529 | |
Arvinas Inc.(1) | 2,584 | 86,667 | |
Avenue Therapeutics, Inc.(1) | 589 | 6,344 | |
Axsome Therapeutics, Inc.(1)(2) | 2,354 | 193,687 | |
Aytu BioScience, Inc.(1) | 2,021 | 2,870 | |
BioDelivery Sciences International, Inc.(1) | 7,195 | 31,370 | |
Cassava Sciences, Inc.(1) | 2,047 | 6,305 | |
Cerecor, Inc.(1) | 1,893 | 4,922 | |
Chiasma, Inc.(1)(2) | 2,297 | 12,358 | |
Collegium Pharmaceutical, Inc.(1)(2) | 2,817 | 49,297 | |
Corcept Therapeutics, Inc.(1) | 8,144 | 136,982 | |
CorMedix, Inc.(1)(2) | 2,079 | 13,098 | |
Cymabay Therapeutics, Inc.(1) | 4,918 | 17,164 | |
Durect Corp.(1) | 17,472 | 40,535 | |
Eloxx Pharmaceuticals, Inc.(1) | 2,227 | 6,748 | |
Endo International PLC(1) | 19,971 | 68,501 | |
Eton Pharmaceuticals, Inc.(1) | 1,302 | 7,096 | |
Evofem Biosciences, Inc.(1) | 2,404 | 6,803 | |
Evolus, Inc.(1) | 1,256 | 6,657 | |
Fulcrum Therapeutics, Inc.(1)(2) | 1,100 | 20,119 | |
Harrow Health, Inc.(1) | 1,977 | 10,300 | |
IMARA, Inc.(1) | 437 | 12,074 | |
Innoviva, Inc.(1) | 5,742 | 80,273 | |
Intersect ENT, Inc.(1) | 2,690 | 36,423 | |
Intra-Cellular Therapies, Inc.(1) | 4,589 | 117,800 | |
Kala Pharmaceuticals, Inc.(1)(2) | 3,497 | 36,753 | |
Kaleido Biosciences, Inc.(1) | 445 | 3,306 | |
Lannett Co., Inc.(1)(2) | 2,393 | 17,373 | |
Liquidia Technologies, Inc.(1) | 1,190 | 10,020 | |
Lyra Therapeutics, Inc.(1) | 363 | 4,116 | |
Mallinckrodt PLC(1)(2) | 6,794 | 18,208 | |
Marinus Pharmaceuticals, Inc.(1)(2) | 7,154 | 18,171 | |
Menlo Therapeutics, Inc.(1) | 9,411 | 16,281 | |
MyoKardia, Inc.(1) | 4,391 | 424,258 | |
NGM Biopharmaceuticals, Inc.(1)(2) | 2,099 | 41,434 | |
Ocular Therapeutix, Inc.(1) | 4,529 | 37,727 | |
Odonate Therapeutics, Inc.(1) | 1,155 | 48,903 | |
Omeros Corp.(1)(2) | 4,139 | 60,926 | |
Optinose, Inc.(1)(2) | 2,084 | 15,505 | |
Osmotica Pharmaceuticals PLC(1) | 800 | 5,384 | |
Pacira BioSciences, Inc.(1) | 3,640 | 190,991 | |
Paratek Pharmaceuticals, Inc.(1) | 2,069 | 10,800 | |
Phathom Pharmaceuticals, Inc.(1) | 925 | 30,442 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Phibro Animal Health Corp., Class A | 1,619 | $ 42,531 | |
Prestige Consumer Healthcare, Inc.(1) | 4,518 | 169,696 | |
Provention Bio, Inc.(1) | 3,744 | 52,828 | |
Recro Pharma, Inc.(1) | 1,686 | 7,671 | |
Relmada Therapeutics, Inc.(1) | 1,242 | 55,579 | |
Revance Therapeutics, Inc.(1) | 5,017 | 122,515 | |
Satsuma Pharmaceuticals, Inc.(1) | 812 | 23,353 | |
scPharmaceuticals, Inc.(1) | 475 | 3,496 | |
SIGA Technologies, Inc.(1) | 4,584 | 27,091 | |
Strongbridge Biopharma PLC(1) | 3,193 | 12,070 | |
Supernus Pharmaceuticals, Inc.(1) | 4,418 | 104,927 | |
TherapeuticsMD, Inc.(1)(2) | 19,010 | 23,763 | |
Theravance Biopharma, Inc.(1)(2) | 4,282 | 89,879 | |
Tricida, Inc.(1) | 2,498 | 68,645 | |
Verrica Pharmaceuticals, Inc.(1)(2) | 1,080 | 11,891 | |
WaVe Life Sciences, Ltd.(1) | 1,666 | 17,343 | |
Xeris Pharmaceuticals, Inc.(1) | 3,103 | 8,254 | |
Zogenix, Inc.(1) | 4,910 | 132,619 | |
$ 3,191,629 | |||
Professional Services — 1.2% | |||
Acacia Research Corp.(1) | 4,242 | $ 17,350 | |
Akerna Corp. | 793 | 6,978 | |
ASGN, Inc.(1) | 4,454 | 296,993 | |
Barrett Business Services, Inc. | 606 | 32,197 | |
BG Staffing, Inc. | 608 | 6,882 | |
CBIZ, Inc.(1) | 4,490 | 107,625 | |
CRA International, Inc. | 707 | 27,926 | |
Exponent, Inc. | 4,510 | 364,994 | |
Forrester Research, Inc.(1) | 966 | 30,951 | |
Franklin Covey Co.(1) | 1,007 | 21,550 | |
GP Strategies Corp.(1) | 1,007 | 8,640 | |
Heidrick & Struggles International, Inc. | 1,525 | 32,970 | |
Huron Consulting Group, Inc.(1) | 2,004 | 88,677 | |
ICF International, Inc. | 1,595 | 103,404 | |
Insperity, Inc. | 3,205 | 207,460 | |
Kelly Services, Inc., Class A | 2,680 | 42,384 | |
Kforce, Inc. | 1,903 | 55,663 | |
Korn Ferry | 5,012 | 154,019 | |
Mastech Digital, Inc.(1) | 345 | 8,946 | |
Mistras Group, Inc.(1) | 1,338 | 5,285 | |
Red Violet, Inc.(1) | 572 | 10,090 | |
Resources Connection, Inc. | 2,400 | 28,728 | |
TriNet Group, Inc.(1) | 3,639 | 221,761 | |
TrueBlue, Inc.(1) | 3,417 | 52,178 | |
Upwork, Inc.(1) | 8,195 | 118,336 |
Table of Contents
Security | Shares | Value | |
Professional Services (continued) | |||
Willdan Group, Inc.(1) | 898 | $ 22,459 | |
$ 2,074,446 | |||
Real Estate Management & Development — 0.7% | |||
Altisource Portfolio Solutions S.A.(1) | 405 | $ 5,970 | |
American Realty Investors, Inc.(1) | 174 | 1,564 | |
CTO Realty Growth, Inc. | 377 | 14,892 | |
Cushman & Wakefield PLC(1)(2) | 10,096 | 125,796 | |
eXp World Holdings, Inc.(1) | 2,107 | 35,924 | |
Forestar Group, Inc.(1) | 995 | 15,005 | |
FRP Holdings, Inc.(1) | 588 | 23,861 | |
Griffin Industrial Realty, Inc. | 229 | 12,405 | |
Kennedy-Wilson Holdings, Inc. | 10,725 | 163,234 | |
Marcus & Millichap, Inc.(1) | 1,962 | 56,623 | |
Maui Land & Pineapple Co., Inc.(1) | 589 | 6,538 | |
Newmark Group, Inc., Class A | 12,362 | 60,079 | |
Rafael Holdings, Inc., Class B(1) | 930 | 13,364 | |
RE / MAX Holdings, Inc., Class A | 1,564 | 49,157 | |
Realogy Holdings Corp.(2) | 10,040 | 74,396 | |
Redfin Corp.(1) | 8,477 | 355,271 | |
RMR Group, Inc. (The), Class A | 1,361 | 40,109 | |
St. Joe Co. (The)(1) | 3,093 | 60,066 | |
Stratus Properties, Inc.(1) | 485 | 9,608 | |
Tejon Ranch Co.(1) | 1,572 | 22,637 | |
Transcontinental Realty Investors, Inc.(1) | 147 | 4,413 | |
$ 1,150,912 | |||
Road & Rail — 0.5% | |||
ArcBest Corp. | 2,213 | $ 58,667 | |
Avis Budget Group, Inc.(1) | 4,651 | 106,461 | |
Bristow Group, Inc.(1) | 578 | 8,052 | |
Covenant Transportation Group, Inc., Class A(1) | 905 | 13,059 | |
Daseke, Inc.(1) | 2,780 | 10,925 | |
Heartland Express, Inc. | 3,887 | 80,927 | |
Hertz Global Holdings, Inc.(1)(2) | 9,122 | 12,862 | |
Marten Transport, Ltd. | 3,366 | 84,689 | |
PAM Transportation Services, Inc.(1) | 187 | 5,750 | |
Saia, Inc.(1) | 2,258 | 251,044 | |
Universal Truckload Services, Inc. | 475 | 8,256 | |
US Xpress Enterprises, Inc., Class A(1) | 1,727 | 10,362 | |
Werner Enterprises, Inc. | 5,383 | 234,322 | |
$ 885,376 | |||
Semiconductors & Semiconductor Equipment — 2.6% | |||
Advanced Energy Industries, Inc.(1) | 3,403 | $ 230,689 | |
Alpha & Omega Semiconductor, Ltd.(1) | 1,700 | 18,496 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Ambarella, Inc.(1) | 2,923 | $ 133,873 | |
Amkor Technology, Inc.(1) | 8,647 | 106,445 | |
Atomera, Inc.(1) | 1,266 | 11,394 | |
Axcelis Technologies, Inc.(1) | 2,813 | 78,342 | |
AXT, Inc.(1) | 3,267 | 15,551 | |
Brooks Automation, Inc. | 6,417 | 283,888 | |
Cabot Microelectronics Corp. | 2,528 | 352,757 | |
CEVA, Inc.(1) | 1,882 | 70,425 | |
Cohu, Inc. | 3,598 | 62,389 | |
CyberOptics Corp.(1) | 621 | 20,002 | |
Diodes, Inc.(1) | 3,611 | 183,078 | |
DSP Group, Inc.(1) | 1,922 | 30,521 | |
FormFactor, Inc.(1) | 6,778 | 198,799 | |
GSI Technology, Inc.(1) | 1,348 | 9,679 | |
Ichor Holdings, Ltd.(1) | 1,836 | 48,801 | |
Impinj, Inc.(1) | 1,504 | 41,315 | |
Lattice Semiconductor Corp.(1) | 11,878 | 337,216 | |
MACOM Technology Solutions Holdings, Inc.(1)(2) | 4,015 | 137,915 | |
MaxLinear, Inc.(1) | 5,692 | 122,150 | |
NeoPhotonics Corp.(1) | 3,523 | 31,284 | |
NVE Corp. | 408 | 25,227 | |
Onto Innovation, Inc.(1) | 4,326 | 147,257 | |
PDF Solutions, Inc.(1) | 2,532 | 49,526 | |
Photronics, Inc.(1) | 5,437 | 60,514 | |
Pixelworks, Inc.(1) | 3,351 | 10,824 | |
Power Integrations, Inc. | 2,604 | 307,611 | |
Rambus, Inc.(1) | 9,662 | 146,862 | |
Semtech Corp.(1) | 5,631 | 294,051 | |
Silicon Laboratories, Inc.(1) | 3,819 | 382,931 | |
SiTime Corp.(1) | 426 | 20,197 | |
SMART Global Holdings, Inc.(1) | 1,094 | 29,735 | |
SunPower Corp.(1)(2) | 6,461 | 49,491 | |
Synaptics, Inc.(1) | 3,007 | 180,781 | |
Ultra Clean Holdings, Inc.(1) | 3,533 | 79,952 | |
Veeco Instruments, Inc.(1) | 4,143 | 55,889 | |
$ 4,365,857 | |||
Software — 5.1% | |||
8x8, Inc.(1) | 8,977 | $ 143,632 | |
A10 Networks, Inc.(1) | 4,968 | 33,832 | |
ACI Worldwide, Inc.(1) | 10,294 | 277,835 | |
Agilysys, Inc.(1) | 1,720 | 30,857 | |
Alarm.com Holdings, Inc.(1) | 4,000 | 259,240 | |
Altair Engineering, Inc., Class A(1) | 3,553 | 141,232 | |
American Software, Inc., Class A | 2,315 | 36,484 | |
Appfolio, Inc., Class A(1)(2) | 1,373 | 223,401 | |
Appian Corp.(1) | 2,902 | 148,728 |
Table of Contents
Security | Shares | Value | |
Software (continued) | |||
Asure Software, Inc.(1) | 1,187 | $ 7,632 | |
Avaya Holdings Corp.(1) | 8,269 | 102,205 | |
Benefitfocus, Inc.(1) | 2,338 | 25,157 | |
Blackbaud, Inc. | 4,257 | 242,990 | |
Blackline, Inc.(1) | 4,433 | 367,540 | |
Bottomline Technologies (de), Inc.(1) | 3,847 | 195,312 | |
Box, Inc., Class A(1) | 12,809 | 265,915 | |
Cerence, Inc.(1) | 3,247 | 132,607 | |
ChannelAdvisor Corp.(1) | 2,410 | 38,174 | |
Cloudera, Inc.(1) | 18,097 | 230,194 | |
Commvault Systems, Inc.(1) | 3,548 | 137,308 | |
Cornerstone OnDemand, Inc.(1) | 5,356 | 206,527 | |
Digimarc Corp.(1)(2) | 926 | 14,807 | |
Digital Turbine, Inc.(1) | 6,827 | 85,815 | |
Domo, Inc., Class B(1) | 2,252 | 72,447 | |
Ebix, Inc. | 2,069 | 46,263 | |
eGain Corp.(1) | 1,491 | 16,565 | |
Envestnet, Inc.(1) | 4,691 | 344,976 | |
ForeScout Technologies, Inc.(1)(2) | 4,246 | 90,015 | |
GlobalSCAPE, Inc. | 1,260 | 12,285 | |
GTY Technology Holdings, Inc.(1) | 2,663 | 11,091 | |
Intelligent Systems Corp.(1) | 601 | 20,482 | |
j2 Global, Inc. | 4,069 | 257,201 | |
LivePerson, Inc.(1) | 5,311 | 220,035 | |
Majesco (1) | 457 | 3,592 | |
MicroStrategy, Inc., Class A(1) | 712 | 84,222 | |
Mimecast, Ltd.(1) | 4,986 | 207,717 | |
Mitek Systems, Inc.(1) | 3,089 | 29,685 | |
MobileIron, Inc.(1) | 8,191 | 40,382 | |
Model N, Inc.(1) | 2,795 | 97,154 | |
OneSpan, Inc.(1) | 2,735 | 76,389 | |
Park City Group, Inc.(1) | 1,090 | 4,611 | |
Ping Identity Holding Corp.(1)(2) | 1,184 | 37,995 | |
Progress Software Corp. | 3,975 | 154,031 | |
PROS Holdings, Inc.(1) | 3,469 | 154,128 | |
Q2 Holdings, Inc.(1) | 4,382 | 375,932 | |
QAD, Inc., Class A | 961 | 39,670 | |
Qualys, Inc.(1) | 2,991 | 311,124 | |
Rapid7, Inc.(1) | 4,416 | 225,304 | |
Rimini Street, Inc.(1) | 770 | 3,966 | |
Rosetta Stone, Inc.(1) | 1,857 | 31,309 | |
SailPoint Technologies Holdings, Inc.(1) | 7,664 | 202,866 | |
Sapiens International Corp. NV | 2,264 | 63,347 | |
SeaChange International, Inc.(1) | 2,663 | 4,021 | |
SecureWorks Corp., Class A(1) | 472 | 5,395 | |
ShotSpotter, Inc.(1) | 604 | 15,221 | |
Smith Micro Software, Inc.(1) | 2,954 | 13,175 |
Security | Shares | Value | |
Software (continued) | |||
Sprout Social, Inc., Class A(1) | 830 | $ 22,410 | |
SPS Commerce, Inc.(1) | 3,056 | 229,567 | |
SVMK, Inc.(1) | 10,534 | 247,970 | |
Synchronoss Technologies, Inc.(1) | 3,376 | 11,917 | |
Telenav, Inc.(1) | 2,354 | 12,923 | |
Tenable Holdings, Inc.(1) | 5,379 | 160,348 | |
Upland Software, Inc.(1) | 1,927 | 66,983 | |
Varonis Systems, Inc.(1) | 2,753 | 243,585 | |
Verint Systems, Inc.(1) | 5,660 | 255,719 | |
Veritone, Inc.(1) | 2,028 | 30,136 | |
VirnetX Holding Corp.(1) | 5,078 | 33,007 | |
Workiva, Inc.(1) | 3,394 | 181,545 | |
Xperi Holding Corp. | 9,323 | 137,607 | |
Yext, Inc.(1) | 8,933 | 148,377 | |
Zix Corp.(1) | 5,001 | 34,507 | |
Zuora, Inc., Class A(1) | 8,630 | 110,033 | |
$ 8,546,654 | |||
Specialty Retail — 2.2% | |||
Aaron's, Inc. | 5,889 | $ 267,361 | |
Abercrombie & Fitch Co., Class A | 5,673 | 60,361 | |
American Eagle Outfitters, Inc.(2) | 13,324 | 145,232 | |
America's Car-Mart, Inc.(1) | 548 | 48,153 | |
Asbury Automotive Group, Inc.(1) | 1,683 | 130,146 | |
At Home Group, Inc.(1) | 3,637 | 23,604 | |
Bed Bath & Beyond, Inc.(2) | 10,664 | 113,038 | |
Boot Barn Holdings, Inc.(1) | 2,323 | 50,084 | |
Buckle, Inc. (The) | 2,523 | 39,561 | |
Caleres, Inc. | 3,593 | 29,966 | |
Camping World Holdings, Inc., Class A(2) | 2,899 | 78,737 | |
Cato Corp. (The), Class A | 2,030 | 16,605 | |
Chico's FAS, Inc. | 11,271 | 15,554 | |
Children's Place, Inc. (The)(2) | 1,345 | 50,330 | |
Citi Trends, Inc. | 958 | 19,371 | |
Conn's, Inc.(1) | 1,614 | 16,285 | |
Container Store Group, Inc. (The)(1) | 1,542 | 4,996 | |
Designer Brands, Inc., Class A | 5,812 | 39,347 | |
Envela Corp.(1) | 682 | 4,160 | |
Express, Inc.(1)(2) | 6,091 | 9,380 | |
GameStop Corp., Class A(1)(2) | 5,711 | 24,786 | |
Genesco, Inc.(1) | 1,328 | 28,764 | |
Group 1 Automotive, Inc. | 1,529 | 100,868 | |
GrowGeneration Corp.(1) | 2,535 | 17,339 | |
Guess?, Inc. | 4,178 | 40,401 | |
Haverty Furniture Cos., Inc. | 1,689 | 27,024 | |
Hibbett Sports, Inc.(1) | 1,464 | 30,656 | |
Hudson, Ltd., Class A(1) | 3,363 | 16,378 |
Table of Contents
Security | Shares | Value | |
Specialty Retail (continued) | |||
Lithia Motors, Inc., Class A | 1,949 | $ 294,942 | |
Lumber Liquidators Holdings, Inc.(1) | 2,470 | 34,234 | |
MarineMax, Inc.(1) | 2,047 | 45,832 | |
Michaels Cos., Inc. (The)(1)(2) | 7,538 | 53,294 | |
Monro, Inc. | 2,869 | 157,623 | |
Murphy USA, Inc.(1) | 2,437 | 274,382 | |
National Vision Holdings, Inc.(1) | 6,874 | 209,795 | |
Office Depot, Inc. | 48,585 | 114,175 | |
OneWater Marine, Inc., Class A(1) | 400 | 9,712 | |
Rent-A-Center, Inc. | 4,420 | 122,964 | |
RH (1) | 1,479 | 368,123 | |
Sally Beauty Holdings, Inc.(1) | 9,866 | 123,621 | |
Shoe Carnival, Inc. | 872 | 25,523 | |
Signet Jewelers, Ltd.(2) | 4,633 | 47,581 | |
Sleep Number Corp.(1) | 2,487 | 103,559 | |
Sonic Automotive, Inc., Class A | 2,180 | 69,564 | |
Sportsman's Warehouse Holdings, Inc.(1) | 3,542 | 50,474 | |
Tilly's, Inc., Class A | 1,890 | 10,716 | |
Urban Outfitters, Inc.(1) | 6,095 | 92,766 | |
Winmark Corp. | 223 | 38,187 | |
Zumiez, Inc.(1) | 1,698 | 46,491 | |
$ 3,742,045 | |||
Technology Hardware, Storage & Peripherals — 0.2% | |||
3D Systems Corp.(1)(2) | 10,106 | $ 70,641 | |
Avid Technology, Inc.(1) | 2,494 | 18,132 | |
Diebold Nixdorf, Inc.(1)(2) | 6,637 | 40,220 | |
Eastman Kodak Co.(1) | 1,361 | 3,035 | |
Immersion Corp.(1) | 2,323 | 14,472 | |
Intevac, Inc.(1) | 2,045 | 11,166 | |
Quantum Corp.(1) | 2,585 | 9,978 | |
Super Micro Computer, Inc.(1) | 3,928 | 111,516 | |
$ 279,160 | |||
Textiles, Apparel & Luxury Goods — 0.8% | |||
Crocs, Inc.(1) | 5,899 | $ 217,201 | |
Deckers Outdoor Corp.(1) | 2,448 | 480,763 | |
Fossil Group, Inc.(1) | 3,623 | 16,847 | |
G-III Apparel Group, Ltd.(1) | 3,957 | 52,589 | |
Kontoor Brands, Inc.(1)(2) | 4,552 | 81,071 | |
Lakeland Industries, Inc.(1) | 676 | 15,163 | |
Movado Group, Inc. | 1,238 | 13,420 | |
Oxford Industries, Inc. | 1,446 | 63,638 | |
Rocky Brands, Inc. | 588 | 12,089 | |
Steven Madden, Ltd. | 7,526 | 185,817 | |
Superior Group of Cos., Inc. | 573 | 7,678 |
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods (continued) | |||
Unifi, Inc.(1) | 1,199 | $ 15,443 | |
Vera Bradley, Inc.(1) | 1,814 | 8,054 | |
Wolverine World Wide, Inc. | 7,117 | 169,456 | |
$ 1,339,229 | |||
Thrifts & Mortgage Finance — 1.6% | |||
Axos Financial, Inc.(1) | 5,080 | $ 112,166 | |
Bogota Financial Corp.(1) | 511 | 4,466 | |
Bridgewater Bancshares, Inc.(1) | 1,907 | 19,547 | |
Capitol Federal Financial, Inc. | 11,605 | 127,771 | |
Columbia Financial, Inc.(1) | 4,649 | 64,877 | |
Dime Community Bancshares, Inc. | 2,786 | 38,252 | |
ESSA Bancorp, Inc. | 636 | 8,853 | |
Essent Group, Ltd. | 9,441 | 342,425 | |
Federal Agricultural Mortgage Corp., Class C | 788 | 50,440 | |
Flagstar Bancorp, Inc. | 2,981 | 87,731 | |
FS Bancorp, Inc. | 267 | 10,298 | |
Greene County Bancorp, Inc. | 235 | 5,241 | |
Hingham Institution for Savings (The) | 102 | 17,114 | |
Home Bancorp, Inc. | 638 | 17,066 | |
HomeStreet, Inc. | 2,092 | 51,484 | |
Kearny Financial Corp. | 7,280 | 59,550 | |
Luther Burbank Corp. | 1,786 | 17,860 | |
Merchants Bancorp | 731 | 13,516 | |
Meridian Bancorp, Inc. | 4,190 | 48,604 | |
Meta Financial Group, Inc. | 3,149 | 57,217 | |
MMA Capital Holdings, Inc.(1) | 433 | 10,011 | |
Mr. Cooper Group, Inc.(1) | 6,803 | 84,629 | |
NMI Holdings, Inc., Class A(1) | 5,689 | 91,479 | |
Northfield Bancorp, Inc. | 3,620 | 41,702 | |
Northwest Bancshares, Inc. | 9,836 | 100,573 | |
Oconee Federal Financial Corp. | 92 | 2,371 | |
OP Bancorp | 999 | 6,893 | |
Oportun Financial Corp.(1) | 1,717 | 23,076 | |
PCSB Financial Corp. | 1,589 | 20,149 | |
PennyMac Financial Services, Inc. | 4,104 | 171,506 | |
Pioneer Bancorp, Inc.(1) | 918 | 8,400 | |
Ponce de Leon Federal Bank(1) | 736 | 7,492 | |
Premier Financial Corp. | 3,134 | 55,378 | |
Provident Bancorp, Inc. | 695 | 5,463 | |
Provident Financial Holdings, Inc. | 517 | 6,933 | |
Provident Financial Services, Inc. | 5,275 | 76,224 | |
Prudential Bancorp, Inc. | 713 | 8,585 | |
Radian Group, Inc. | 16,913 | 262,321 | |
Riverview Bancorp, Inc. | 1,689 | 9,543 | |
Security National Financial Corp., Class A(1) | 821 | 5,538 | |
Southern Missouri Bancorp, Inc. | 690 | 16,767 |
Table of Contents
Security | Shares | Value | |
Thrifts & Mortgage Finance (continued) | |||
Standard AVB Financial Corp. | 341 | $ 7,911 | |
Sterling Bancorp, Inc. | 1,471 | 5,266 | |
Territorial Bancorp, Inc. | 665 | 15,820 | |
Timberland Bancorp, Inc. | 546 | 9,943 | |
TrustCo Bank Corp. | 7,825 | 49,532 | |
Walker & Dunlop, Inc. | 2,490 | 126,517 | |
Washington Federal, Inc. | 6,600 | 177,144 | |
Waterstone Financial, Inc. | 2,330 | 34,554 | |
Western New England Bancorp, Inc. | 2,115 | 12,246 | |
WSFS Financial Corp. | 4,470 | 128,289 | |
$ 2,736,733 | |||
Tobacco — 0.1% | |||
Turning Point Brands, Inc. | 663 | $ 16,515 | |
Universal Corp. | 2,076 | 88,251 | |
Vector Group, Ltd. | 11,919 | 119,905 | |
$ 224,671 | |||
Trading Companies & Distributors — 1.2% | |||
Alta Equipment Group, Inc.(1) | 1,505 | $ 11,694 | |
Applied Industrial Technologies, Inc. | 3,370 | 210,254 | |
Beacon Roofing Supply, Inc.(1) | 4,718 | 124,414 | |
BMC Stock Holdings, Inc.(1) | 5,982 | 150,388 | |
CAI International, Inc.(1) | 1,481 | 24,673 | |
DXP Enterprises, Inc.(1) | 1,272 | 25,326 | |
EVI Industries, Inc.(1)(2) | 308 | 6,687 | |
Foundation Building Materials, Inc.(1) | 1,746 | 27,255 | |
GATX Corp. | 3,131 | 190,928 | |
General Finance Corp.(1) | 827 | 5,549 | |
GMS, Inc.(1) | 3,426 | 84,245 | |
H&E Equipment Services, Inc. | 2,694 | 49,785 | |
Herc Holdings, Inc.(1) | 2,118 | 65,086 | |
Lawson Products, Inc.(1) | 447 | 14,420 | |
MRC Global, Inc.(1) | 6,928 | 40,944 | |
Nesco Holdings, Inc.(1) | 1,171 | 4,707 | |
NOW, Inc.(1) | 9,243 | 79,767 | |
Rush Enterprises, Inc., Class A | 2,335 | 96,809 | |
Rush Enterprises, Inc., Class B | 513 | 18,294 | |
SiteOne Landscape Supply, Inc.(1) | 3,691 | 420,663 | |
Systemax, Inc. | 1,000 | 20,540 | |
Textainer Group Holdings, Ltd.(1) | 4,237 | 34,659 | |
Titan Machinery, Inc.(1) | 1,521 | 16,518 | |
Transcat, Inc.(1) | 601 | 15,542 | |
Triton International, Ltd. | 4,511 | 136,413 | |
Veritiv Corp.(1) | 1,008 | 17,096 | |
WESCO International, Inc.(1) | 4,345 | 152,553 |
Security | Shares | Value | |
Trading Companies & Distributors (continued) | |||
Willis Lease Finance Corp.(1) | 332 | $ 8,061 | |
$ 2,053,270 | |||
Water Utilities — 0.5% | |||
American States Water Co. | 3,216 | $ 252,874 | |
Artesian Resources Corp., Class A | 703 | 25,512 | |
Cadiz, Inc.(1) | 1,074 | 10,912 | |
California Water Service Group | 4,213 | 200,960 | |
Consolidated Water Co., Ltd. | 1,137 | 16,407 | |
Global Water Resources, Inc. | 641 | 6,756 | |
Middlesex Water Co. | 1,398 | 93,918 | |
Pure Cycle Corp.(1) | 1,502 | 13,803 | |
SJW Group | 2,366 | 146,952 | |
York Water Co. (The) | 1,157 | 55,490 | |
$ 823,584 | |||
Wireless Telecommunication Services — 0.2% | |||
Boingo Wireless, Inc.(1) | 3,894 | $ 51,868 | |
Gogo, Inc.(1)(2) | 5,004 | 15,813 | |
Shenandoah Telecommunications Co. | 4,181 | 206,081 | |
Spok Holdings, Inc. | 1,597 | 14,932 | |
$ 288,694 | |||
Total Common Stocks (identified cost $140,395,872) | $ 154,142,198 |
Exchange-Traded Funds — 1.9% |
Security | Shares | Value | |
iShares Russell 2000 ETF(2) | 22,000 | $ 3,149,960 | |
Total Exchange-Traded Funds (identified cost $3,306,019) | $ 3,149,960 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Capital Markets — 0.0% | |||
Calamos Asset Management, Inc., Escrow Certificates(1)(5)(6) | 1,559 | $ 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Rights — 0.0%(4) |
Security | Shares | Value | |
Biotechnology — 0.0%(4) | |||
GTx, Inc. CVR(1)(5)(6) | 57 | $ 0 |
Table of Contents
Security | Shares | Value | |
Biotechnology (continued) | |||
Tobira Therapeutics, Inc. CVR(1)(5)(6) | 690 | $ 9,481 | |
$ 9,481 | |||
Health Care Equipment & Supplies — 0.0%(4) | |||
Elanco Animal Health, Inc. CVR(1)(5)(6) | 3,555 | $ 379 | |
$ 379 | |||
Pharmaceuticals — 0.0%(4) | |||
Omthera Pharmaceutical, Inc. CVR(1)(5)(6) | 508 | $ 305 | |
Progenic Pharmaceuticals, Inc. CVR(1)(5)(6) | 7,261 | 0 | |
$ 305 | |||
Total Rights (identified cost $248) | $ 10,165 |
Short-Term Investments — 9.3% | |||
Other — 4.9% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(7) | 8,072,761 | $ 8,072,761 | |
Total Other (identified cost $8,072,761) | $ 8,072,761 | ||
Securities Lending Collateral — 3.8% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(8) | 6,394,743 | $ 6,394,743 | |
Total Securities Lending Collateral (identified cost $6,394,743) | $ 6,394,743 |
U.S. Treasury Obligations — 0.6% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 8/13/20(9) | $ | 1,000 | $ 999,857 |
Total U.S. Treasury Obligations (identified cost $998,214) | $ 999,857 | ||
Total Short-Term Investments (identified cost $15,465,718) | $ 15,467,361 | ||
Total Investments — 103.5% (identified cost $159,167,857) | $ 172,769,684 |
Other Assets, Less Liabilities — (3.5)% | $ (5,826,441) | ||
Net Assets — 100.0% | $ 166,943,243 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $11,229,088. | |
(3) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $150,308, which represents 0.1% of the net assets of the Fund as of June 30, 2020. | |
(4) | Amount is less than 0.05%. | |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | |
(6) | Restricted security. Total market value of restricted securities amounts to $10,165, which represents less than 0.05% of the net assets of the Fund as of June 30, 2020. | |
(7) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2020. | |
(8) | Represents investment of cash collateral received in connection with securities lending. | |
(9) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini Russell 2000 Index | 129 | Long | 9/18/20 | $9,272,520 | $ 62,450 |
$62,450 |
Table of Contents
Description | Acquisition Dates | Cost |
Calamos Asset Management, Inc., Escrow Certificates | 1/17/20 | $ 0 |
Elanco Animal Health, Inc. CVR | 7/19/19 | 90 |
GTx, Inc. CVR | 6/10/19 | 117 |
Omthera Pharmaceutical, Inc. CVR | 7/19/13 | 0 |
Progenic Pharmaceuticals, Inc. CVR | 6/22/20 | 0 |
Tobira Therapeutics, Inc. CVR | 11/2/16 | 41 |
Abbreviations: | |
CVR | – Contingent Value Rights |
Table of Contents
June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $151,095,096) - including $11,229,088 of securities on loan | $ 164,696,923 |
Investments in securities of affiliated issuers, at value (identified cost $8,072,761) | 8,072,761 |
Receivable for variation margin on open futures contracts | 92,880 |
Cash | 553,273 |
Receivable for investments sold | 142,474 |
Receivable for capital shares sold | 91,403 |
Dividends receivable | 138,347 |
Dividends receivable - affiliated | 561 |
Securities lending income receivable | 15,747 |
Receivable from affiliate | 27,381 |
Directors' deferred compensation plan | 46,104 |
Total assets | $173,877,854 |
Liabilities | |
Payable for investments purchased | $ 119,263 |
Payable for capital shares redeemed | 141,544 |
Deposits for securities loaned | 6,394,743 |
Payable to affiliates: | |
Investment advisory fee | 34,082 |
Administrative fee | 16,360 |
Distribution and service fees | 6,005 |
Sub-transfer agency fee | 84 |
Directors' deferred compensation plan | 46,104 |
Accrued expenses | 176,426 |
Total liabilities | $ 6,934,611 |
Net Assets | $166,943,243 |
Sources of Net Assets | |
Paid-in capital | $ 136,014,898 |
Distributable earnings | 30,928,345 |
Total | $166,943,243 |
Class I Shares | |
Net Assets | $ 130,304,856 |
Shares Outstanding | 1,856,875 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 70.17 |
Class F Shares | |
Net Assets | $ 36,638,387 |
Shares Outstanding | 523,533 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 69.98 |
Table of Contents
Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $893) | $ 1,122,232 |
Dividend income - affiliated issuers | 561 |
Interest income | 22,565 |
Securities lending income, net | 82,190 |
Total investment income | $ 1,227,548 |
Expenses | |
Investment advisory fee | $ 206,043 |
Administrative fee | 98,901 |
Distribution and service fees: | |
Class F | 36,440 |
Directors' fees and expenses | 4,592 |
Custodian fees | 6,072 |
Transfer agency fees and expenses | 67,526 |
Accounting fees | 20,552 |
Professional fees | 14,040 |
Reports to shareholders | 54,282 |
Licensing fees | 41,770 |
Miscellaneous | 10,164 |
Total expenses | $ 560,382 |
Waiver and/or reimbursement of expenses by affiliate | (202,305) |
Net expenses | $ 358,077 |
Net investment income | $ 869,471 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 4,717,277 |
Futures contracts | (907,465) |
Net realized gain | $ 3,809,812 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (30,482,888) |
Futures contracts | (54,118) |
Net change in unrealized appreciation (depreciation) | $(30,537,006) |
Net realized and unrealized loss | $(26,727,194) |
Net decrease in net assets from operations | $(25,857,723) |
Table of Contents
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 869,471 | $ 1,971,135 |
Net realized gain | 3,809,812 | 9,994,139 |
Net change in unrealized appreciation (depreciation) | (30,537,006) | 27,621,759 |
Net increase (decrease) in net assets from operations | $ (25,857,723) | $ 39,587,033 |
Distributions to shareholders: | ||
Class I | $ — | $ (12,492,232) |
Class F | — | (3,317,360) |
Total distributions to shareholders | $ — | $ (15,809,592) |
Capital share transactions: | ||
Class I | $ (4,166,863) | $ 7,653,177 |
Class F | (600,123) | 8,164,991 |
Net increase (decrease) in net assets from capital share transactions | $ (4,766,986) | $ 15,818,168 |
Net increase (decrease) in net assets | $ (30,624,709) | $ 39,595,609 |
Net Assets | ||
At beginning of period | $ 197,567,952 | $ 157,972,343 |
At end of period | $166,943,243 | $197,567,952 |
Table of Contents
Class I | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 80.81 | $ 71.03 | $ 84.82 | $ 77.43 | $ 69.72 | $ 75.83 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.37 | $ 0.90 | $ 0.98 | $ 0.93 | $ 0.90 | $ 0.55 |
Net realized and unrealized gain (loss) | (11.01) | 15.99 | (9.44) | 10.12 | 13.70 | (4.44) |
Total income (loss) from operations | $ (10.64) | $ 16.89 | $ (8.46) | $ 11.05 | $ 14.60 | $ (3.89) |
Less Distributions | ||||||
From net investment income | $ — | $ (0.77) | $ (0.96) | $ (0.64) | $ (0.41) | $ (0.12) |
From net realized gain | — | (6.34) | (4.37) | (3.02) | (6.48) | (2.10) |
Total distributions | $ — | $ (7.11) | $ (5.33) | $ (3.66) | $ (6.89) | $ (2.22) |
Net asset value — End of period | $ 70.17 | $ 80.81 | $ 71.03 | $ 84.82 | $ 77.43 | $ 69.72 |
Total Return(2) | (13.16)% (3) | 25.08% | (11.23)% | 14.37% | 20.92% | (5.19)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 130,305 | $ 154,335 | $ 127,473 | $ 158,646 | $ 149,739 | $ 119,674 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.64% (5) | 0.58% | 0.59% | 0.65% | 0.75% | 0.79% |
Net expenses | 0.39% (5) | 0.39% | 0.38% | 0.38% | 0.53% | 0.74% |
Net investment income | 1.10% (5) | 1.13% | 1.13% | 1.15% | 1.25% | 0.72% |
Portfolio Turnover | 12% (3) | 15% | 15% | 15% | 17% (6) | 14% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. |
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Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 80.67 | $ 71.07 | $ 85.07 | $ 77.84 | $ 70.13 | $ 76.31 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.31 | $ 0.73 | $ 0.77 | $ 0.74 | $ 0.73 | $ 0.40 |
Net realized and unrealized gain (loss) | (11.00) | 15.98 | (9.44) | 10.15 | 13.76 | (4.48) |
Total income (loss) from operations | $ (10.69) | $ 16.71 | $ (8.67) | $ 10.89 | $ 14.49 | $ (4.08) |
Less Distributions | ||||||
From net investment income | $ — | $ (0.77) | $ (0.96) | $ (0.64) | $ (0.30) | $ — |
From net realized gain | — | (6.34) | (4.37) | (3.02) | (6.48) | (2.10) |
Total distributions | $ — | $ (7.11) | $ (5.33) | $ (3.66) | $ (6.78) | $ (2.10) |
Net asset value — End of period | $ 69.98 | $ 80.67 | $ 71.07 | $ 85.07 | $ 77.84 | $ 70.13 |
Total Return(2) | (13.25)% (3) | 24.82% | (11.46)% | 14.08% | 20.63% | (5.40)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 36,638 | $ 43,233 | $ 30,499 | $ 32,547 | $ 24,959 | $ 17,439 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.84% (5) | 0.78% | 0.79% | 0.86% | 0.96% | 1.01% |
Net expenses | 0.59% (5) | 0.60% | 0.63% | 0.63% | 0.78% | 0.95% |
Net investment income | 0.90% (5) | 0.92% | 0.89% | 0.91% | 1.00% | 0.52% |
Portfolio Turnover | 12% (3) | 15% | 15% | 15% | 17% (6) | 14% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. |
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Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | $ 154,142,198(2) | $ — | $ — | $ 154,142,198 |
Exchange-Traded Funds | 3,149,960 | — | — | 3,149,960 |
Miscellaneous | — | — | 0 | 0 |
Rights | — | — | 10,165 | 10,165 |
Short-Term Investments: | ||||
Other | — | 8,072,761 | — | 8,072,761 |
Securities Lending Collateral | 6,394,743 | — | — | 6,394,743 |
U.S. Treasury Obligations | — | 999,857 | — | 999,857 |
Total Investments | $163,686,901 | $9,072,618 | $10,165 | $172,769,684 |
Futures Contracts | $ 62,450 | $ — | $ — | $ 62,450 |
Total | $163,749,351 | $9,072,618 | $10,165 | $172,832,134 |
(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. |
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Aggregate cost | $158,926,534 |
Gross unrealized appreciation | $ 43,181,477 |
Gross unrealized depreciation | (29,275,877) |
Net unrealized appreciation | $ 13,905,600 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $62,450 (1) | $— |
(1) | 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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Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $(907,465) | $(54,118) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $ 3,747,735 | $ — | $ — | $ — | $ 3,747,735 |
Exchange-Traded Funds | 2,647,008 | — | — | — | 2,647,008 |
Total | $6,394,743 | $ — | $ — | $ — | $6,394,743 |
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Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $10,174,987 | $(2,102,226) | $ — | $ — | $8,072,761 | $561 | 8,072,761 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 162,125 | $ 10,321,005 | 165,668 | $ 13,210,295 | |
Reinvestment of distributions | — | — | 174,765 | 12,492,232 | |
Shares redeemed | (215,041) | (14,487,868) | (225,259) | (18,049,350) | |
Net increase (decrease) | (52,916) | $ (4,166,863) | 115,174 | $ 7,653,177 | |
Class F | |||||
Shares sold | 67,589 | $ 4,467,625 | 133,706 | $ 10,758,734 | |
Reinvestment of distributions | — | — | 46,469 | 3,317,360 | |
Shares redeemed | (79,973) | (5,067,748) | (73,403) | (5,911,103) | |
Net increase (decrease) | (12,384) | $ (600,123) | 106,772 | $ 8,164,991 |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 11/12/2002 | 11/12/2002 | (10.81)% | (4.94)% | 1.68% | 5.16% |
Class F at NAV | 12/17/2007 | 11/12/2002 | (10.90) | (5.13) | 1.45 | 4.93 |
MSCI EAFE Index | — | — | (11.34)% | (5.13)% | 2.05% | 5.72% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.68% | 0.88% |
Net | 0.48 | 0.68 |
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Top 10 Holdings (% of net assets)* | |
Nestle S.A. | 2.5% |
Roche Holding AG | 1.8 |
Novartis AG | 1.4 |
ASML Holding NV | 1.2 |
SAP SE | 1.1 |
AstraZeneca PLC | 1.0 |
Toyota Motor Corp. | 1.0 |
LVMH Moet Hennessy Louis Vuitton SE | 0.9 |
Sanofi | 0.9 |
Novo Nordisk A/S, Class B | 0.9 |
Total | 12.7% |
* | Excludes cash and cash equivalents. |
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1 | MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. 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. 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 891.90 | $2.26 ** | 0.48% |
Class F | $1,000.00 | $ 891.00 | $3.20 ** | 0.68% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.48 | $2.41 ** | 0.48% |
Class F | $1,000.00 | $1,021.48 | $3.42 ** | 0.68% |
* | 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 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Common Stocks — 99.4% |
Security | Shares | Value | |
Australia — 6.7% | |||
Afterpay, Ltd.(1) | 1,797 | $ 77,608 | |
AGL Energy, Ltd. | 5,138 | 60,783 | |
AMP, Ltd.(1)(2) | 26,519 | 34,314 | |
Ampol, Ltd. | 1,867 | 38,043 | |
APA Group(2) | 9,428 | 72,900 | |
Aristocrat Leisure, Ltd. | 4,773 | 85,468 | |
ASX, Ltd. | 1,623 | 96,468 | |
Aurizon Holdings, Ltd. | 16,477 | 56,069 | |
AusNet Services(2) | 15,503 | 17,912 | |
Australia & New Zealand Banking Group, Ltd. | 23,711 | 307,654 | |
BGP Holdings PLC(1)(3) | 77,172 | 0 | |
BHP Group, Ltd.(2) | 24,754 | 616,322 | |
BlueScope Steel, Ltd. | 4,388 | 36,148 | |
Brambles, Ltd. | 12,551 | 95,167 | |
CIMIC Group, Ltd.(2) | 1,008 | 16,939 | |
Coca-Cola Amatil, Ltd. | 4,111 | 24,762 | |
Cochlear, Ltd. | 420 | 55,141 | |
Coles Group, Ltd. | 10,860 | 129,097 | |
Commonwealth Bank of Australia | 14,801 | 714,804 | |
Computershare, Ltd. | 3,586 | 33,204 | |
Crown Resorts, Ltd.(2) | 3,713 | 25,013 | |
CSL, Ltd. | 3,765 | 748,817 | |
Dexus | 9,023 | 57,913 | |
Evolution Mining, Ltd. | 13,620 | 54,105 | |
Fortescue Metals Group, Ltd. | 14,244 | 138,475 | |
Goodman Group | 13,350 | 137,748 | |
GPT Group (The) | 17,122 | 49,741 | |
Insurance Australia Group, Ltd.(2) | 18,559 | 74,484 | |
Lend Lease Group | 5,044 | 43,597 | |
Macquarie Group, Ltd. | 2,816 | 233,706 | |
Magellan Financial Group, Ltd. | 1,137 | 46,430 | |
Medibank Pvt, Ltd. | 21,199 | 43,951 | |
Mirvac Group | 34,491 | 52,102 | |
National Australia Bank, Ltd. | 26,399 | 334,538 | |
Newcrest Mining, Ltd. | 6,986 | 154,908 | |
Northern Star Resources, Ltd. | 6,225 | 58,708 | |
Oil Search, Ltd. | 18,069 | 40,044 | |
Orica, Ltd. | 3,401 | 39,331 | |
Origin Energy, Ltd. | 14,411 | 58,642 | |
Qantas Airways, Ltd. | 7,283 | 19,299 | |
QBE Insurance Group, Ltd. | 11,557 | 71,320 | |
Ramsay Health Care, Ltd. | 1,442 | 66,595 | |
REA Group, Ltd.(2) | 374 | 28,182 | |
Rio Tinto, Ltd. | 3,163 | 216,582 | |
Santos, Ltd. | 13,517 | 50,237 |
Security | Shares | Value | |
Australia (continued) | |||
Scentre Group | 45,895 | $ 69,675 | |
Seek, Ltd. | 2,474 | 37,849 | |
Sonic Healthcare, Ltd. | 4,020 | 84,890 | |
South32, Ltd.(2) | 39,130 | 55,397 | |
Stockland | 19,317 | 44,792 | |
Suncorp Group, Ltd.(2) | 11,330 | 72,805 | |
Sydney Airport | 8,748 | 34,525 | |
Tabcorp Holdings, Ltd. | 15,814 | 37,300 | |
Telstra Corp., Ltd. | 37,215 | 80,780 | |
TPG Telecom, Ltd.(1) | 3,460 | 21,251 | |
Transurban Group | 22,966 | 225,221 | |
Treasury Wine Estates, Ltd. | 6,449 | 46,922 | |
Tuas, Ltd.(1) | 1,730 | 806 | |
Vicinity Centres | 25,959 | 26,019 | |
Washington H. Soul Pattinson & Co., Ltd.(2) | 1,000 | 13,583 | |
Wesfarmers, Ltd. | 9,364 | 291,147 | |
Westpac Banking Corp. | 29,806 | 373,570 | |
WiseTech Global, Ltd.(2) | 1,431 | 19,359 | |
Woodside Petroleum, Ltd. | 8,018 | 121,173 | |
Woolworths Group, Ltd. | 10,713 | 276,147 | |
$ 7,346,482 | |||
Austria — 0.2% | |||
ANDRITZ AG | 669 | $ 24,392 | |
Erste Group Bank AG | 2,528 | 59,706 | |
OMV AG(1) | 1,294 | 43,664 | |
Raiffeisen Bank International AG(1) | 1,194 | 21,341 | |
Verbund AG | 502 | 22,546 | |
Voestalpine AG | 725 | 15,657 | |
$ 187,306 | |||
Belgium — 0.9% | |||
Ageas S.A./NV | 1,514 | $ 53,656 | |
Anheuser-Busch InBev S.A./NV | 6,291 | 310,124 | |
Colruyt S.A. | 493 | 27,095 | |
Elia Group S.A./NV | 260 | 28,286 | |
Galapagos NV(1) | 330 | 65,134 | |
Groupe Bruxelles Lambert S.A. | 989 | 82,857 | |
KBC Groep NV | 2,006 | 115,247 | |
Proximus S.A. | 1,301 | 26,510 | |
Sofina S.A. | 130 | 34,327 | |
Solvay S.A. | 647 | 51,906 | |
Telenet Group Holding NV | 270 | 11,125 | |
UCB S.A. | 1,094 | 126,955 | |
Umicore S.A. | 1,656 | 78,170 | |
$ 1,011,392 |
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Security | Shares | Value | |
Denmark — 2.3% | |||
Ambu A/S, Class B | 1,373 | $ 43,404 | |
AP Moller - Maersk A/S, Class A(2) | 24 | 26,243 | |
AP Moller - Maersk A/S, Class B | 53 | 62,116 | |
Carlsberg A/S, Class B | 888 | 117,756 | |
Chr. Hansen Holding A/S | 842 | 86,848 | |
Coloplast A/S, Class B | 997 | 155,400 | |
Danske Bank A/S | 5,328 | 71,227 | |
Demant A/S(1)(2) | 798 | 21,148 | |
DSV PANALPINA A/S | 1,800 | 221,103 | |
Genmab A/S(1) | 544 | 183,433 | |
GN Store Nord A/S | 1,077 | 57,652 | |
H Lundbeck A/S | 678 | 25,618 | |
Novo Nordisk A/S, Class B | 14,692 | 957,150 | |
Novozymes A/S, Class B | 1,720 | 99,719 | |
Orsted A/S(4) | 1,567 | 181,128 | |
Pandora A/S | 716 | 39,104 | |
Tryg A/S | 1,180 | 34,284 | |
Vestas Wind Systems A/S | 1,673 | 171,320 | |
$ 2,554,653 | |||
Finland — 1.2% | |||
Elisa Oyj | 1,213 | $ 73,813 | |
Fortum Oyj | 3,869 | 73,813 | |
Kone Oyj, Class B | 2,897 | 199,804 | |
Metso Oyj | 1,001 | 32,897 | |
Neste Oyj | 3,612 | 141,865 | |
Nokia Oyj | 46,422 | 202,858 | |
Nordea Bank Abp | 26,426 | 183,272 | |
Orion Oyj, Class B | 819 | 39,717 | |
Sampo Oyj, Class A(2) | 3,828 | 131,950 | |
Stora Enso Oyj, Class R | 4,859 | 58,159 | |
UPM-Kymmene Oyj | 4,370 | 126,576 | |
Wartsila Oyj Abp | 3,830 | 31,770 | |
$ 1,296,494 | |||
France — 10.4% | |||
Accor S.A. | 1,534 | $ 41,865 | |
Aeroports de Paris | 234 | 24,158 | |
Air Liquide S.A. | 3,935 | 568,949 | |
Alstom S.A. | 1,576 | 73,443 | |
Amundi S.A.(4) | 448 | 35,219 | |
ArcelorMittal S.A. | 5,939 | 62,905 | |
Arkema S.A. | 578 | 55,560 | |
Atos SE | 785 | 67,300 | |
AXA S.A. | 16,264 | 342,242 | |
BioMerieux | 321 | 44,084 | |
BNP Paribas S.A. | 9,334 | 372,931 |
Security | Shares | Value | |
France (continued) | |||
Bollore S.A. | 8,863 | $ 27,966 | |
Bouygues S.A. | 1,786 | 61,179 | |
Bureau Veritas S.A. | 2,318 | 49,164 | |
Capgemini SE | 1,303 | 150,368 | |
Carrefour S.A. | 5,333 | 82,704 | |
Casino Guichard-Perrachon S.A. | 386 | 14,301 | |
Cie de Saint-Gobain | 4,155 | 149,916 | |
Cie Generale des Etablissements Michelin SCA(2) | 1,392 | 145,092 | |
CNP Assurances | 1,220 | 14,150 | |
Covivio | 345 | 25,024 | |
Credit Agricole S.A. | 9,189 | 87,256 | |
Danone S.A. | 5,143 | 356,992 | |
Dassault Aviation S.A. | 17 | 15,597 | |
Dassault Systemes SE | 1,088 | 188,869 | |
Edenred | 2,118 | 92,892 | |
Eiffage S.A. | 600 | 55,000 | |
Electricite de France S.A. | 5,047 | 46,922 | |
Engie S.A. | 15,203 | 188,546 | |
EssilorLuxottica S.A. | 2,381 | 306,216 | |
Eurazeo SE | 286 | 14,696 | |
Eurofins Scientific SE | 111 | 70,012 | |
Faurecia SE | 714 | 28,052 | |
Gecina S.A. | 419 | 51,749 | |
Getlink SE | 3,977 | 57,510 | |
Hermes International | 270 | 226,694 | |
Icade S.A. | 224 | 15,641 | |
Iliad S.A. | 130 | 25,377 | |
Ingenico Group S.A. | 480 | 77,124 | |
Ipsen S.A. | 305 | 25,874 | |
JC Decaux S.A. | 757 | 14,141 | |
Kering S.A. | 640 | 349,900 | |
Klepierre S.A. | 1,482 | 29,623 | |
La Francaise des Jeux SAEM(4) | 723 | 22,347 | |
Legrand S.A. | 2,277 | 173,012 | |
L'Oreal S.A. | 2,082 | 671,958 | |
LVMH Moet Hennessy Louis Vuitton SE | 2,315 | 1,022,061 | |
Natixis S.A. | 7,719 | 20,359 | |
Orange S.A. | 16,675 | 199,399 | |
Orpea | 435 | 50,244 | |
Pernod-Ricard S.A. | 1,771 | 278,873 | |
Peugeot S.A. | 4,946 | 81,110 | |
Publicis Groupe S.A. | 1,677 | 54,477 | |
Remy Cointreau S.A. | 223 | 30,423 | |
Renault S.A. | 1,759 | 45,019 | |
Safran S.A. | 2,648 | 266,366 | |
Sanofi | 9,446 | 963,346 | |
Sartorius Stedim Biotech | 249 | 63,131 |
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Security | Shares | Value | |
France (continued) | |||
Schneider Electric SE | 4,616 | $ 513,468 | |
SCOR SE | 1,419 | 39,190 | |
SEB S.A. | 175 | 29,029 | |
SES S.A. FDR | 3,178 | 21,715 | |
Societe Generale S.A. | 6,891 | 115,215 | |
Sodexo S.A. | 778 | 52,755 | |
Suez S.A. | 2,939 | 34,544 | |
Teleperformance (1) | 483 | 123,011 | |
Thales S.A. | 840 | 67,986 | |
Total S.A. | 20,513 | 790,949 | |
Ubisoft Entertainment S.A.(1) | 812 | 67,242 | |
Unibail-Rodamco-Westfield (2) | 1,158 | 65,273 | |
Valeo S.A. | 1,737 | 45,814 | |
Veolia Environnement S.A. | 4,633 | 104,618 | |
Vinci S.A. | 4,261 | 395,094 | |
Vivendi S.A. | 7,077 | 182,867 | |
Wendel SE | 198 | 18,897 | |
Worldline S.A.(1)(4) | 1,193 | 104,017 | |
$ 11,447,012 | |||
Germany — 9.1% | |||
adidas AG | 1,602 | $ 422,370 | |
Allianz SE | 3,460 | 707,024 | |
Aroundtown S.A. | 9,738 | 55,816 | |
BASF SE | 7,691 | 431,998 | |
Bayer AG | 8,146 | 603,810 | |
Bayerische Motoren Werke AG | 2,757 | 176,009 | |
Bayerische Motoren Werke AG, PFC Shares | 555 | 26,960 | |
Beiersdorf AG | 834 | 94,838 | |
Brenntag AG | 1,331 | 70,570 | |
Carl Zeiss Meditec AG | 333 | 32,425 | |
Commerzbank AG | 8,316 | 37,063 | |
Continental AG | 958 | 94,182 | |
Covestro AG(4) | 1,407 | 53,590 | |
Daimler AG | 7,199 | 292,883 | |
Delivery Hero SE(1)(4) | 1,077 | 110,680 | |
Deutsche Bank AG | 15,919 | 151,869 | |
Deutsche Boerse AG | 1,607 | 290,830 | |
Deutsche Lufthansa AG | 2,376 | 23,837 | |
Deutsche Post AG | 8,335 | 306,060 | |
Deutsche Telekom AG | 27,698 | 464,751 | |
Deutsche Wohnen SE | 2,770 | 124,472 | |
E.ON SE | 19,124 | 215,865 | |
Evonik Industries AG | 1,690 | 43,044 | |
Fraport AG Frankfurt Airport Services Worldwide | 424 | 18,573 | |
Fresenius Medical Care AG & Co. KGaA | 1,770 | 152,273 | |
Fresenius SE & Co. KGaA | 3,406 | 169,288 |
Security | Shares | Value | |
Germany (continued) | |||
Fuchs Petrolub SE, PFC Shares | 708 | $ 28,457 | |
GEA Group AG | 1,175 | 37,292 | |
Hannover Rueck SE | 489 | 84,511 | |
HeidelbergCement AG | 1,195 | 63,970 | |
Henkel AG & Co. KGaA | 931 | 77,888 | |
Henkel AG & Co. KGaA, PFC Shares | 1,463 | 136,489 | |
HOCHTIEF AG | 211 | 18,775 | |
Infineon Technologies AG | 10,311 | 241,609 | |
KION Group AG | 472 | 29,061 | |
Knorr-Bremse AG(1) | 433 | 43,943 | |
Lanxess AG | 652 | 34,479 | |
LEG Immobilien AG | 580 | 73,565 | |
Merck KGaA | 1,049 | 122,154 | |
METRO AG | 1,662 | 15,773 | |
MTU Aero Engines AG | 460 | 80,086 | |
Muenchener Rueckversicherungs-Gesellschaft AG | 1,191 | 310,130 | |
Nemetschek SE | 486 | 33,394 | |
Porsche Automobil Holding SE, PFC Shares(1) | 1,254 | 72,630 | |
Puma SE | 706 | 54,740 | |
RWE AG | 4,894 | 171,324 | |
SAP SE | 8,707 | 1,217,146 | |
Sartorius AG, PFC Shares | 292 | 96,374 | |
Scout24 AG(4) | 905 | 70,018 | |
Siemens AG | 6,410 | 755,977 | |
Siemens Healthineers AG(4) | 1,212 | 58,258 | |
Symrise AG | 1,043 | 121,871 | |
TeamViewer AG(1)(4) | 1,093 | 59,556 | |
Telefonica Deutschland Holding AG(4) | 7,582 | 22,361 | |
ThyssenKrupp AG(1) | 3,750 | 26,753 | |
Uniper SE | 1,713 | 55,277 | |
United Internet AG | 763 | 32,418 | |
Volkswagen AG | 292 | 47,146 | |
Volkswagen AG, PFC Shares | 1,537 | 233,624 | |
Vonovia SE | 4,261 | 260,445 | |
Wirecard AG(1) | 954 | 7,079 | |
Zalando SE(1)(4) | 1,166 | 82,717 | |
$ 10,048,370 | |||
Hong Kong — 3.5% | |||
AIA Group, Ltd. | 100,766 | $ 942,928 | |
ASM Pacific Technology, Ltd. | 2,174 | 22,975 | |
Bank of East Asia, Ltd. (The) | 11,110 | 25,467 | |
BeiGene, Ltd. ADR(1) | 312 | 58,781 | |
BOC Hong Kong Holdings, Ltd. | 32,456 | 103,921 | |
Budweiser Brewing Co. APAC, Ltd.(4) | 12,300 | 36,007 | |
CK Asset Holdings, Ltd. | 21,709 | 130,184 | |
CK Hutchison Holdings, Ltd. | 22,847 | 147,948 |
Table of Contents
Security | Shares | Value | |
Hong Kong (continued) | |||
CK Infrastructure Holdings, Ltd. | 6,104 | $ 31,553 | |
CLP Holdings, Ltd. | 14,122 | 138,695 | |
Dairy Farm International Holdings, Ltd. | 3,000 | 14,018 | |
Galaxy Entertainment Group, Ltd. | 17,913 | 122,879 | |
Hang Lung Properties, Ltd. | 18,000 | 42,791 | |
Hang Seng Bank, Ltd. | 6,440 | 108,464 | |
Henderson Land Development Co., Ltd. | 11,806 | 45,025 | |
HK Electric Investments & HK Electric Investments, Ltd. | 27,027 | 28,073 | |
HKT Trust & HKT, Ltd. | 34,020 | 49,923 | |
Hong Kong & China Gas Co., Ltd. | 91,691 | 142,503 | |
Hong Kong Exchanges & Clearing, Ltd. | 9,906 | 421,913 | |
Hongkong Land Holdings, Ltd. | 9,294 | 38,659 | |
Jardine Matheson Holdings, Ltd. | 1,819 | 76,054 | |
Jardine Strategic Holdings, Ltd. | 1,900 | 40,985 | |
Kerry Properties, Ltd. | 6,621 | 17,199 | |
Link REIT | 17,589 | 144,409 | |
Melco Resorts & Entertainment Ltd. ADR | 1,940 | 30,109 | |
MTR Corp., Ltd. | 13,481 | 70,111 | |
New World Development Co., Ltd. | 12,107 | 57,485 | |
NWS Holdings, Ltd. | 15,628 | 13,594 | |
PCCW, Ltd. | 42,738 | 24,436 | |
Power Assets Holdings, Ltd. | 11,042 | 60,334 | |
Sands China, Ltd. | 19,483 | 76,748 | |
Sino Land Co., Ltd. | 23,433 | 29,647 | |
SJM Holdings, Ltd. | 21,000 | 23,544 | |
Sun Hung Kai Properties, Ltd. | 11,152 | 142,469 | |
Swire Pacific, Ltd., Class A | 4,537 | 24,113 | |
Swire Properties, Ltd. | 11,929 | 30,457 | |
Techtronic Industries Co., Ltd. | 11,025 | 109,087 | |
WH Group, Ltd.(4) | 81,549 | 70,474 | |
Wharf Real Estate Investment Co., Ltd.(2) | 8,832 | 42,399 | |
Wheelock & Co., Ltd. | 6,286 | 49,688 | |
Wynn Macau, Ltd. | 13,891 | 24,093 | |
$ 3,810,142 | |||
Ireland — 1.0% | |||
CRH PLC | 6,464 | $ 222,492 | |
DCC PLC | 788 | 65,754 | |
Experian PLC | 7,613 | 267,208 | |
Flutter Entertainment PLC(2) | 1,175 | 155,129 | |
James Hardie Industries PLC CDI | 3,691 | 71,120 | |
Kerry Group PLC, Class A | 1,291 | 160,377 | |
Kingspan Group PLC | 1,266 | 81,728 | |
Smurfit Kappa Group PLC | 1,963 | 65,968 | |
$ 1,089,776 |
Security | Shares | Value | |
Israel — 0.6% | |||
Azrieli Group, Ltd. | 315 | $ 14,357 | |
Bank Hapoalim BM | 9,053 | 54,120 | |
Bank Leumi Le-Israel B.M. | 13,251 | 66,625 | |
Check Point Software Technologies, Ltd.(1) | 1,014 | 108,934 | |
CyberArk Software, Ltd.(1) | 327 | 32,461 | |
Elbit Systems, Ltd. | 215 | 29,546 | |
ICL Group, Ltd. | 5,940 | 17,694 | |
Israel Discount Bank, Ltd., Class A | 9,880 | 30,134 | |
Mizrahi Tefahot Bank, Ltd. | 995 | 18,696 | |
Nice, Ltd.(1) | 498 | 93,874 | |
Teva Pharmaceutical Industries, Ltd. ADR(1) | 8,820 | 108,751 | |
Wix.com, Ltd.(1) | 425 | 108,893 | |
$ 684,085 | |||
Italy — 2.1% | |||
Assicurazioni Generali SpA | 9,368 | $ 142,302 | |
Atlantia SpA | 4,209 | 68,082 | |
Davide Campari-Milano SpA | 4,524 | 38,259 | |
DiaSorin SpA(2) | 212 | 40,714 | |
Enel SpA | 67,952 | 587,679 | |
Eni SpA | 21,660 | 207,633 | |
Ferrari NV | 1,060 | 181,573 | |
FinecoBank Banca Fineco SpA | 4,632 | 62,690 | |
Infrastrutture Wireless Italiane SpA(4) | 2,019 | 20,267 | |
Intesa Sanpaolo SpA | 124,213 | 238,699 | |
Leonardo SpA | 3,780 | 25,199 | |
Mediobanca Banca di Credito Finanziario SpA | 4,282 | 30,922 | |
Moncler SpA | 1,600 | 61,526 | |
Nexi SpA(1)(4) | 3,168 | 54,935 | |
Pirelli & C SpA(4) | 2,992 | 12,729 | |
Poste Italiane SpA(4) | 4,086 | 35,692 | |
Prysmian SpA | 1,988 | 46,118 | |
Recordati SpA | 964 | 48,237 | |
Snam SpA | 16,457 | 80,230 | |
Telecom Italia SpA | 81,247 | 32,038 | |
Telecom Italia SpA, PFC Shares | 61,458 | 23,919 | |
Tenaris S.A.(2) | 3,576 | 23,239 | |
Terna Rete Elettrica Nazionale SpA(2) | 11,610 | 80,081 | |
UniCredit SpA | 16,810 | 155,143 | |
$ 2,297,906 | |||
Japan — 25.2% | |||
ABC-Mart, Inc. | 336 | $ 19,711 | |
Acom Co., Ltd. | 4,068 | 15,567 | |
Advantest Corp. | 1,600 | 91,313 | |
AEON Co., Ltd. | 5,548 | 129,072 | |
Aeon Mall Co., Ltd. | 1,161 | 15,428 |
Table of Contents
Security | Shares | Value | |
Japan (continued) | |||
AGC, Inc.(2) | 1,656 | $ 47,477 | |
Air Water, Inc. | 1,519 | 21,462 | |
Aisin Seiki Co., Ltd. | 1,252 | 36,699 | |
Ajinomoto Co., Inc. | 3,399 | 56,406 | |
Alfresa Holdings Corp. | 1,516 | 31,777 | |
Amada Co., Ltd. | 2,469 | 20,216 | |
ANA Holdings, Inc. | 883 | 20,179 | |
Aozora Bank, Ltd. | 906 | 15,798 | |
Asahi Group Holdings, Ltd.(2) | 3,015 | 105,894 | |
Asahi Intecc Co., Ltd. | 1,600 | 45,665 | |
Asahi Kasei Corp. | 10,970 | 89,798 | |
Astellas Pharma, Inc. | 15,401 | 257,190 | |
Bandai Namco Holdings, Inc. | 1,737 | 91,432 | |
Bank of Kyoto, Ltd. (The) | 618 | 21,957 | |
Benesse Holdings, Inc. | 678 | 18,184 | |
Bridgestone Corp.(2) | 4,384 | 141,495 | |
Brother Industries, Ltd. | 1,905 | 34,418 | |
Calbee, Inc. | 818 | 22,609 | |
Canon, Inc.(2) | 8,500 | 169,558 | |
Casio Computer Co., Ltd. | 1,531 | 26,709 | |
Central Japan Railway Co. | 1,159 | 179,249 | |
Chiba Bank, Ltd. (The) | 5,241 | 24,778 | |
Chubu Electric Power Co., Inc. | 5,569 | 69,846 | |
Chugai Pharmaceutical Co., Ltd.(2) | 5,646 | 302,286 | |
Chugoku Electric Power Co., Inc. (The) | 2,137 | 28,491 | |
Coca-Cola Bottlers Japan Holdings, Inc. | 1,200 | 21,764 | |
Concordia Financial Group, Ltd. | 9,831 | 31,607 | |
Cosmos Pharmaceutical Corp. | 200 | 30,687 | |
CyberAgent, Inc.(2) | 900 | 44,238 | |
Dai Nippon Printing Co., Ltd. | 2,105 | 48,395 | |
Daicel Corp. | 1,554 | 12,044 | |
Daifuku Co., Ltd. | 900 | 78,869 | |
Dai-ichi Life Holdings, Inc. | 8,913 | 106,689 | |
Daiichi Sankyo Co., Ltd. | 4,700 | 384,421 | |
Daikin Industries, Ltd. | 2,058 | 332,984 | |
Daito Trust Construction Co., Ltd. | 516 | 47,555 | |
Daiwa House Industry Co., Ltd. | 4,632 | 109,384 | |
Daiwa House REIT Investment Corp. | 16 | 37,642 | |
Daiwa Securities Group, Inc. | 12,125 | 50,936 | |
Denso Corp. | 3,534 | 138,593 | |
Dentsu Group, Inc.(2) | 1,905 | 45,190 | |
Disco Corp. | 200 | 48,778 | |
East Japan Railway Co. | 2,550 | 176,703 | |
Eisai Co., Ltd. | 2,051 | 162,950 | |
Electric Power Development Co., Ltd. | 893 | 16,928 | |
ENEOS Holdings, Inc. | 26,738 | 95,309 | |
FamilyMart Co., Ltd.(2) | 2,032 | 34,885 |
Security | Shares | Value | |
Japan (continued) | |||
FANUC Corp. | 1,562 | $ 280,020 | |
Fast Retailing Co., Ltd. | 500 | 287,386 | |
Fuji Electric Co., Ltd. | 1,141 | 31,405 | |
FUJIFILM Holdings Corp. | 3,027 | 129,561 | |
Fujitsu, Ltd. | 1,652 | 193,422 | |
Fukuoka Financial Group, Inc. | 1,577 | 24,934 | |
GLP J-REIT | 31 | 44,797 | |
GMO Payment Gateway, Inc. | 300 | 31,378 | |
Hakuhodo DY Holdings, Inc. | 2,178 | 25,994 | |
Hamamatsu Photonics K.K.(2) | 1,151 | 50,120 | |
Hankyu Hanshin Holdings, Inc. | 2,062 | 69,651 | |
Hikari Tsushin, Inc. | 219 | 50,074 | |
Hino Motors, Ltd. | 2,636 | 17,884 | |
Hirose Electric Co., Ltd. | 242 | 26,574 | |
Hisamitsu Pharmaceutical Co., Inc. | 330 | 17,838 | |
Hitachi Construction Machinery Co., Ltd. | 1,096 | 30,446 | |
Hitachi Metals, Ltd.(2) | 1,286 | 15,414 | |
Hitachi, Ltd. | 8,184 | 260,127 | |
Honda Motor Co., Ltd. | 13,701 | 350,659 | |
Hoshizaki Corp. | 416 | 35,656 | |
HOYA Corp. | 3,123 | 299,055 | |
Hulic Co., Ltd.(2) | 3,040 | 28,701 | |
Idemitsu Kosan Co., Ltd. | 1,684 | 35,940 | |
Iida Group Holdings Co., Ltd. | 1,500 | 23,052 | |
INPEX Corp.(2) | 8,491 | 53,020 | |
Isetan Mitsukoshi Holdings, Ltd.(2) | 3,424 | 19,705 | |
Isuzu Motors, Ltd. | 5,055 | 45,936 | |
Ito En, Ltd. | 400 | 22,579 | |
ITOCHU Corp. | 11,448 | 247,710 | |
Itochu Techno-Solutions Corp. | 700 | 26,325 | |
Japan Airlines Co., Ltd. | 820 | 14,797 | |
Japan Airport Terminal Co., Ltd.(2) | 400 | 17,069 | |
Japan Exchange Group, Inc. | 4,118 | 95,373 | |
Japan Post Bank Co., Ltd. | 3,400 | 25,287 | |
Japan Post Holdings Co., Ltd. | 12,500 | 89,208 | |
Japan Post Insurance Co., Ltd. | 1,500 | 19,765 | |
Japan Prime Realty Investment Corp.(2) | 8 | 23,469 | |
Japan Real Estate Investment Corp. | 10 | 51,321 | |
Japan Retail Fund Investment Corp. | 20 | 25,016 | |
Japan Tobacco, Inc.(2) | 9,934 | 184,502 | |
JFE Holdings, Inc. | 4,025 | 29,099 | |
JGC Holdings Corp. | 2,113 | 22,281 | |
JSR Corp. | 1,459 | 28,304 | |
JTEKT Corp. | 2,275 | 17,764 | |
Kajima Corp. | 3,581 | 42,817 | |
Kakaku.com, Inc. | 955 | 24,328 | |
Kamigumi Co., Ltd. | 588 | 11,564 |
Table of Contents
Security | Shares | Value | |
Japan (continued) | |||
Kansai Electric Power Co., Inc. (The) | 6,078 | $ 58,896 | |
Kansai Paint Co., Ltd. | 1,523 | 32,184 | |
Kao Corp. | 4,001 | 317,511 | |
Kawasaki Heavy Industries, Ltd. | 1,447 | 20,900 | |
KDDI Corp. | 13,867 | 413,752 | |
Keihan Holdings Co., Ltd. | 838 | 37,424 | |
Keikyu Corp. | 1,589 | 24,315 | |
Keio Corp. | 779 | 44,582 | |
Keisei Electric Railway Co., Ltd. | 1,005 | 31,497 | |
Keyence Corp. | 1,560 | 653,736 | |
Kikkoman Corp. | 1,301 | 62,835 | |
Kintetsu Group Holdings Co., Ltd. | 1,346 | 60,394 | |
Kirin Holdings Co., Ltd.(2) | 6,726 | 141,782 | |
Kobayashi Pharmaceutical Co., Ltd. | 400 | 35,170 | |
Kobe Bussan Co., Ltd. | 500 | 28,393 | |
Koito Manufacturing Co., Ltd. | 947 | 38,315 | |
Komatsu, Ltd. | 7,546 | 154,546 | |
Konami Holdings Corp. | 651 | 21,723 | |
Kose Corp. | 308 | 37,282 | |
Kubota Corp.(2) | 8,411 | 125,818 | |
Kuraray Co., Ltd.(2) | 2,718 | 28,443 | |
Kurita Water Industries, Ltd. | 732 | 20,363 | |
Kyocera Corp. | 2,748 | 149,998 | |
Kyowa Kirin Co., Ltd.(2) | 1,944 | 51,175 | |
Kyushu Electric Power Co., Inc. | 3,051 | 25,571 | |
Kyushu Railway Co. | 1,200 | 31,180 | |
Lasertec Corp. | 600 | 56,718 | |
Lawson, Inc. | 500 | 25,150 | |
LINE Corp.(1) | 439 | 22,095 | |
Lion Corp.(2) | 1,722 | 41,417 | |
LIXIL Group Corp. | 2,113 | 29,676 | |
M3, Inc. | 3,758 | 159,644 | |
Makita Corp. | 1,948 | 70,838 | |
Marubeni Corp. | 13,733 | 62,381 | |
Marui Group Co., Ltd. | 1,730 | 31,294 | |
Maruichi Steel Tube, Ltd. | 575 | 14,332 | |
Mazda Motor Corp. | 4,510 | 27,249 | |
McDonald's Holdings Co. (Japan), Ltd.(2) | 577 | 31,185 | |
Mebuki Financial Group, Inc. | 9,500 | 22,130 | |
Medipal Holdings Corp. | 1,745 | 33,680 | |
MEIJI Holdings Co., Ltd. | 967 | 76,950 | |
Mercari, Inc.(1) | 600 | 18,631 | |
MINEBEA MITSUMI, Inc. | 2,859 | 52,113 | |
MISUMI Group, Inc. | 2,280 | 57,247 | |
Mitsubishi Chemical Holdings Corp. | 11,222 | 65,443 | |
Mitsubishi Corp. | 11,190 | 236,464 | |
Mitsubishi Electric Corp. | 15,560 | 203,233 |
Security | Shares | Value | |
Japan (continued) | |||
Mitsubishi Estate Co., Ltd. | 9,668 | $ 144,071 | |
Mitsubishi Gas Chemical Co., Inc. | 1,148 | 17,460 | |
Mitsubishi Heavy Industries, Ltd. | 2,844 | 67,147 | |
Mitsubishi Materials Corp. | 1,000 | 21,115 | |
Mitsubishi Motors Corp.(2) | 6,800 | 16,853 | |
Mitsubishi UFJ Financial Group, Inc. | 101,976 | 401,329 | |
Mitsubishi UFJ Lease & Finance Co., Ltd. | 2,866 | 13,676 | |
Mitsui & Co., Ltd. | 13,675 | 202,617 | |
Mitsui Chemicals, Inc. | 1,475 | 30,851 | |
Mitsui Fudosan Co., Ltd. | 7,831 | 139,116 | |
Miura Co., Ltd. | 700 | 29,169 | |
Mizuho Financial Group, Inc. | 205,214 | 252,422 | |
MonotaRO Co., Ltd.(2) | 1,100 | 44,196 | |
MS&AD Insurance Group Holdings, Inc. | 3,728 | 102,664 | |
Murata Manufacturing Co., Ltd. | 4,714 | 277,883 | |
Nabtesco Corp.(2) | 1,048 | 32,433 | |
Nagoya Railroad Co., Ltd. | 1,675 | 47,210 | |
NEC Corp. | 2,055 | 98,734 | |
Nexon Co., Ltd.(1) | 4,150 | 93,609 | |
NGK Insulators, Ltd. | 1,971 | 27,309 | |
NGK Spark Plug Co., Ltd. | 1,223 | 17,578 | |
NH Foods, Ltd. | 583 | 23,460 | |
Nidec Corp. | 3,828 | 257,888 | |
Nihon M&A Center, Inc. | 1,300 | 59,121 | |
Nikon Corp. | 2,874 | 24,137 | |
Nintendo Co., Ltd. | 921 | 411,750 | |
Nippon Building Fund, Inc. | 10 | 56,952 | |
Nippon Express Co., Ltd. | 576 | 29,868 | |
Nippon Paint Holdings Co., Ltd.(2) | 1,158 | 84,461 | |
Nippon Prologis REIT, Inc. | 18 | 54,695 | |
Nippon Shinyaku Co., Ltd. | 400 | 32,649 | |
Nippon Steel Corp | 6,475 | 61,185 | |
Nippon Telegraph & Telephone Corp. | 10,804 | 251,727 | |
Nippon Yusen KK(2) | 1,300 | 18,399 | |
Nissan Chemical Corp. | 1,047 | 53,867 | |
Nissan Motor Co., Ltd. | 20,743 | 76,924 | |
Nisshin Seifun Group, Inc. | 1,417 | 21,158 | |
Nissin Foods Holdings Co., Ltd. | 498 | 44,123 | |
Nitori Holdings Co., Ltd.(2) | 616 | 120,778 | |
Nitto Denko Corp. | 1,270 | 71,996 | |
Nomura Holdings, Inc. | 26,657 | 119,786 | |
Nomura Real Estate Holdings, Inc. | 870 | 16,197 | |
Nomura Real Estate Master Fund, Inc. | 37 | 44,315 | |
Nomura Research Institute, Ltd. | 2,500 | 68,282 | |
NSK, Ltd. | 3,396 | 25,343 | |
NTT Data Corp. | 5,530 | 61,827 | |
NTT DoCoMo, Inc. | 9,824 | 260,808 |
Table of Contents
Security | Shares | Value | |
Japan (continued) | |||
Obayashi Corp. | 5,320 | $ 50,016 | |
Obic Co., Ltd. | 560 | 98,694 | |
Odakyu Electric Railway Co., Ltd.(2) | 2,305 | 56,606 | |
Oji Holdings Corp. | 6,573 | 30,665 | |
Olympus Corp. | 9,576 | 184,362 | |
Omron Corp. | 1,563 | 104,687 | |
Ono Pharmaceutical Co., Ltd. | 3,005 | 87,705 | |
Oracle Corp. Japan | 289 | 34,279 | |
Oriental Land Co., Ltd. | 1,624 | 214,605 | |
ORIX Corp. | 11,402 | 141,581 | |
Orix JREIT, Inc. | 24 | 31,635 | |
Osaka Gas Co., Ltd. | 3,123 | 61,732 | |
Otsuka Corp. | 864 | 45,633 | |
Otsuka Holdings Co., Ltd. | 3,152 | 137,370 | |
Pan Pacific International Holdings Corp. | 3,636 | 80,053 | |
Panasonic Corp. | 18,647 | 163,516 | |
Park24 Co., Ltd.(2) | 1,041 | 17,848 | |
PeptiDream, Inc.(1) | 700 | 32,253 | |
Persol Holdings Co., Ltd. | 1,200 | 16,544 | |
Pigeon Corp.(2) | 900 | 34,835 | |
Pola Orbis Holdings, Inc. | 932 | 16,271 | |
Rakuten, Inc. | 6,900 | 60,948 | |
Recruit Holdings Co., Ltd. | 10,657 | 366,496 | |
Renesas Electronics Corp.(1) | 6,000 | 30,842 | |
Resona Holdings, Inc. | 16,411 | 56,157 | |
Ricoh Co., Ltd. | 5,835 | 41,869 | |
Rinnai Corp. | 346 | 28,975 | |
Rohm Co., Ltd. | 807 | 53,659 | |
Ryohin Keikaku Co., Ltd. | 1,730 | 24,607 | |
Santen Pharmaceutical Co., Ltd. | 2,900 | 53,387 | |
SBI Holdings, Inc. | 2,175 | 47,199 | |
SCSK Corp. | 400 | 19,570 | |
Secom Co., Ltd. | 1,748 | 153,374 | |
Sega Sammy Holdings, Inc. | 1,500 | 17,981 | |
Seibu Holdings, Inc. | 1,400 | 15,249 | |
Seiko Epson Corp.(2) | 2,252 | 25,798 | |
Sekisui Chemical Co., Ltd. | 3,264 | 46,766 | |
Sekisui House, Ltd. | 4,950 | 94,506 | |
Seven & i Holdings Co., Ltd. | 6,226 | 203,674 | |
Seven Bank, Ltd. | 6,071 | 16,640 | |
SG Holdings Co., Ltd. | 1,400 | 45,687 | |
Sharp Corp.(2) | 1,524 | 16,344 | |
Shimadzu Corp. | 2,014 | 53,768 | |
Shimamura Co., Ltd. | 225 | 15,240 | |
Shimano, Inc. | 650 | 124,988 | |
Shimizu Corp. | 4,127 | 33,999 | |
Shin-Etsu Chemical Co., Ltd. | 2,985 | 350,324 |
Security | Shares | Value | |
Japan (continued) | |||
Shinsei Bank, Ltd. | 922 | $ 11,152 | |
Shionogi & Co., Ltd. | 2,221 | 139,331 | |
Shiseido Co., Ltd.(2) | 3,374 | 214,993 | |
Shizuoka Bank, Ltd. (The) | 3,925 | 25,250 | |
Showa Denko KK(2) | 1,300 | 29,343 | |
SMC Corp. | 479 | 246,168 | |
SoftBank Corp. | 16,100 | 205,214 | |
SoftBank Group Corp. | 12,984 | 654,753 | |
Sohgo Security Services Co., Ltd. | 528 | 24,654 | |
Sompo Holdings, Inc. | 2,899 | 99,799 | |
Sony Corp. | 10,580 | 730,339 | |
Sony Financial Holdings, Inc. | 1,074 | 25,932 | |
Square Enix Holdings Co., Ltd. | 700 | 35,465 | |
Stanley Electric Co., Ltd. | 1,134 | 27,451 | |
Subaru Corp. | 5,128 | 107,379 | |
Sumco Corp.(2) | 2,300 | 35,360 | |
Sumitomo Chemical Co., Ltd. | 13,034 | 39,217 | |
Sumitomo Corp. | 10,225 | 117,602 | |
Sumitomo Dainippon Pharma Co., Ltd. | 1,622 | 22,477 | |
Sumitomo Electric Industries, Ltd. | 6,690 | 77,174 | |
Sumitomo Heavy Industries, Ltd. | 1,127 | 24,649 | |
Sumitomo Metal Mining Co., Ltd. | 2,120 | 59,720 | |
Sumitomo Mitsui Financial Group, Inc.(2) | 10,797 | 304,711 | |
Sumitomo Mitsui Trust Holdings, Inc. | 2,582 | 72,762 | |
Sumitomo Realty & Development Co., Ltd. | 2,668 | 73,644 | |
Sumitomo Rubber Industries, Ltd.(2) | 1,700 | 16,838 | |
Sundrug Co., Ltd. | 700 | 23,167 | |
Suntory Beverage & Food, Ltd. | 1,117 | 43,583 | |
Suzuken Co., Ltd. | 500 | 18,680 | |
Suzuki Motor Corp. | 2,978 | 101,687 | |
Sysmex Corp. | 1,393 | 106,929 | |
T&D Holdings, Inc. | 5,006 | 42,998 | |
Taiheiyo Cement Corp. | 1,231 | 28,601 | |
Taisei Corp. | 1,549 | 56,455 | |
Taisho Pharmaceutical Holdings Co., Ltd. | 267 | 16,385 | |
Taiyo Nippon Sanso Corp. | 1,324 | 22,141 | |
Takeda Pharmaceutical Co., Ltd. | 13,224 | 475,111 | |
TDK Corp. | 1,055 | 105,027 | |
Teijin, Ltd. | 1,307 | 20,810 | |
Terumo Corp. | 5,318 | 202,418 | |
THK Co., Ltd. | 828 | 20,615 | |
TIS, Inc. | 1,900 | 40,228 | |
Tobu Railway Co., Ltd. | 1,573 | 51,971 | |
Toho Co., Ltd. | 856 | 30,920 | |
Toho Gas Co., Ltd. | 572 | 28,590 | |
Tohoku Electric Power Co., Inc. | 3,514 | 33,381 | |
Tokio Marine Holdings, Inc. | 5,400 | 236,374 |
Table of Contents
Security | Shares | Value | |
Japan (continued) | |||
Tokyo Century Corp.(2) | 300 | $ 15,362 | |
Tokyo Electric Power Co. Holdings,, Inc.(1) | 11,600 | 35,684 | |
Tokyo Electron, Ltd. | 1,279 | 315,585 | |
Tokyo Gas Co., Ltd. | 3,362 | 80,502 | |
Tokyu Corp. | 4,384 | 61,719 | |
Tokyu Fudosan Holdings Corp. | 5,227 | 24,590 | |
Toppan Printing Co., Ltd. | 2,074 | 34,675 | |
Toray Industries, Inc. | 11,862 | 55,989 | |
Toshiba Corp. | 3,174 | 101,821 | |
Tosoh Corp. | 2,400 | 32,969 | |
TOTO, Ltd. | 1,143 | 43,946 | |
Toyo Suisan Kaisha, Ltd. | 704 | 39,335 | |
Toyoda Gosei Co., Ltd. | 662 | 13,831 | |
Toyota Industries Corp. | 1,161 | 61,710 | |
Toyota Motor Corp. | 17,730 | 1,114,934 | |
Toyota Tsusho Corp. | 1,765 | 45,010 | |
Trend Micro, Inc. | 1,144 | 63,932 | |
Tsuruha Holdings, Inc.(2) | 272 | 37,567 | |
Unicharm Corp.(2) | 3,314 | 135,915 | |
United Urban Investment Corp. | 22 | 23,695 | |
USS Co., Ltd. | 1,635 | 26,210 | |
Welcia Holdings Co., Ltd. | 400 | 32,315 | |
West Japan Railway Co. | 1,278 | 71,682 | |
Yakult Honsha Co., Ltd. | 996 | 58,599 | |
Yamada Denki Co., Ltd. | 6,405 | 31,771 | |
Yamaha Corp. | 1,109 | 52,306 | |
Yamaha Motor Co., Ltd. | 2,354 | 37,075 | |
Yamato Holdings Co., Ltd.(2) | 2,464 | 53,487 | |
Yamazaki Baking Co., Ltd. | 931 | 15,992 | |
Yaskawa Electric Corp. | 1,883 | 65,459 | |
Yokogawa Electric Corp. | 1,628 | 25,509 | |
Yokohama Rubber Co., Ltd. (The)(2) | 1,123 | 15,879 | |
Z Holdings Corp. | 23,117 | 113,452 | |
ZOZO, Inc. | 607 | 13,531 | |
$ 27,837,758 | |||
Netherlands — 5.2% | |||
ABN AMRO Group NV(4) | 3,966 | $ 34,130 | |
Adyen NV(1)(4) | 152 | 221,464 | |
Aegon NV | 16,563 | 48,960 | |
AerCap Holdings NV(1) | 863 | 26,580 | |
Airbus SE | 4,955 | 355,045 | |
Akzo Nobel NV | 1,647 | 147,967 | |
Altice Europe NV(1) | 5,630 | 21,774 | |
ASML Holding NV | 3,550 | 1,298,636 | |
CNH Industrial NV(2) | 9,151 | 64,291 | |
EXOR NV | 898 | 51,543 |
Security | Shares | Value | |
Netherlands (continued) | |||
Fiat Chrysler Automobiles NV | 9,199 | $ 93,076 | |
Heineken Holding NV | 927 | 75,820 | |
Heineken NV | 2,138 | 197,140 | |
ING Groep NV | 31,867 | 222,142 | |
Just Eat Takeaway.com NV(1)(4) | 698 | 72,958 | |
Koninklijke Ahold Delhaize NV(2) | 9,192 | 250,519 | |
Koninklijke DSM NV | 1,421 | 197,260 | |
Koninklijke KPN NV | 31,276 | 83,191 | |
Koninklijke Philips NV | 7,439 | 347,534 | |
Koninklijke Vopak NV | 531 | 28,107 | |
NN Group NV | 2,456 | 82,541 | |
Prosus NV(1) | 4,082 | 380,595 | |
QIAGEN NV(1) | 1,927 | 83,071 | |
Randstad NV | 975 | 43,597 | |
Royal Dutch Shell PLC, Class A | 34,341 | 549,843 | |
Royal Dutch Shell PLC, Class B | 30,962 | 469,393 | |
STMicroelectronics NV | 5,230 | 142,561 | |
Wolters Kluwer NV | 2,276 | 177,902 | |
$ 5,767,640 | |||
New Zealand — 0.3% | |||
a2 Milk Co., Ltd.(1) | 6,163 | $ 80,672 | |
Auckland International Airport, Ltd. | 10,988 | 46,729 | |
Fisher & Paykel Healthcare Corp., Ltd. | 4,693 | 108,112 | |
Mercury NZ, Ltd. | 4,384 | 13,356 | |
Meridian Energy, Ltd. | 9,757 | 30,416 | |
Ryman Healthcare, Ltd. | 3,823 | 32,434 | |
Spark New Zealand, Ltd. | 16,165 | 47,827 | |
$ 359,546 | |||
Norway — 0.5% | |||
DNB ASA | 8,213 | $ 109,623 | |
Equinor ASA | 8,130 | 117,118 | |
Gjensidige Forsikring ASA | 1,602 | 29,599 | |
Mowi ASA | 3,437 | 65,515 | |
Norsk Hydro ASA | 12,075 | 33,688 | |
Orkla ASA | 6,708 | 58,893 | |
Schibsted ASA, Class B | 908 | 21,447 | |
Telenor ASA | 5,788 | 84,510 | |
Yara International ASA | 1,585 | 55,257 | |
$ 575,650 | |||
Portugal — 0.2% | |||
EDP - Energias de Portugal S.A. | 21,198 | $ 101,184 | |
Galp Energia SGPS S.A. | 4,436 | 51,457 | |
Jeronimo Martins SGPS S.A.(1)(2) | 1,795 | 31,412 | |
$ 184,053 |
Table of Contents
Security | Shares | Value | |
Singapore — 1.1% | |||
Ascendas Real Estate Investment Trust | 23,731 | $ 54,449 | |
CapitaLand Commercial Trust | 21,099 | 25,822 | |
CapitaLand Mall Trust | 19,781 | 28,068 | |
CapitaLand, Ltd.(1) | 22,948 | 48,481 | |
City Developments, Ltd. | 4,171 | 25,489 | |
DBS Group Holdings, Ltd. | 15,248 | 229,434 | |
Genting Singapore, Ltd. | 48,954 | 26,933 | |
Jardine Cycle & Carriage, Ltd. | 1,007 | 14,696 | |
Keppel Corp., Ltd.(2) | 12,128 | 52,234 | |
Mapletree Commercial Trust | 19,300 | 27,005 | |
Mapletree Logistics Trust | 22,400 | 31,447 | |
Oversea-Chinese Banking Corp., Ltd. | 28,236 | 184,036 | |
Singapore Airlines, Ltd. | 12,400 | 33,470 | |
Singapore Exchange, Ltd. | 6,600 | 39,717 | |
Singapore Technologies Engineering, Ltd. | 13,918 | 33,219 | |
Singapore Telecommunications, Ltd. | 66,391 | 118,103 | |
Suntec Real Estate Investment Trust | 15,065 | 15,390 | |
United Overseas Bank, Ltd. | 9,714 | 141,940 | |
UOL Group, Ltd. | 4,870 | 23,944 | |
Venture Corp., Ltd. | 2,000 | 23,373 | |
Wilmar International, Ltd. | 15,000 | 44,366 | |
Yangzijiang Shipbuilding Holdings, Ltd. | 20,000 | 13,464 | |
$ 1,235,080 | |||
Spain — 2.4% | |||
ACS Actividades de Construccion y Servicios S.A. | 2,094 | $ 53,813 | |
Aena SME S.A.(4) | 543 | 72,622 | |
Amadeus IT Group S.A. | 3,651 | 191,685 | |
Banco Bilbao Vizcaya Argentaria S.A. | 55,710 | 191,807 | |
Banco Santander S.A. | 137,825 | 337,183 | |
Bankinter S.A. | 5,419 | 25,974 | |
CaixaBank S.A. | 28,587 | 61,156 | |
Cellnex Telecom S.A.(4) | 2,143 | 130,890 | |
Enagas S.A. | 1,961 | 47,973 | |
Endesa S.A. | 2,524 | 62,611 | |
Ferrovial S.A. | 4,215 | 112,667 | |
Grifols S.A. | 2,499 | 75,990 | |
Iberdrola S.A. | 48,123 | 561,821 | |
Industria de Diseno Textil S.A. | 9,008 | 239,013 | |
Mapfre S.A. | 10,989 | 19,623 | |
Naturgy Energy Group S.A. | 2,455 | 45,832 | |
Red Electrica Corp. S.A.(2) | 3,451 | 64,567 | |
Repsol S.A. | 12,197 | 107,772 | |
Siemens Gamesa Renewable Energy S.A.(2) | 1,846 | 32,868 | |
Telefonica S.A. | 39,538 | 189,101 | |
$ 2,624,968 |
Security | Shares | Value | |
Sweden — 2.9% | |||
Alfa Laval AB | 2,793 | $ 61,614 | |
Assa Abloy AB, Class B | 8,515 | 174,281 | |
Atlas Copco AB, Class A | 5,606 | 238,734 | |
Atlas Copco AB, Class B | 3,251 | 120,801 | |
Boliden AB | 2,356 | 54,038 | |
Electrolux AB, Series B | 1,958 | 32,943 | |
Epiroc AB, Class A | 5,827 | 73,015 | |
Epiroc AB, Class B | 3,558 | 43,696 | |
EQT AB(2) | 2,004 | 36,134 | |
Essity AB, Class B | 5,212 | 168,980 | |
Evolution Gaming Group AB(4) | 1,069 | 63,494 | |
Hennes & Mauritz AB, Class B(2) | 6,452 | 94,175 | |
Hexagon AB, Class B | 2,367 | 139,003 | |
Husqvarna AB, Class B | 3,160 | 26,007 | |
ICA Gruppen AB | 820 | 38,978 | |
Industrivarden AB, Class C(2) | 1,127 | 25,689 | |
Investment AB Latour, Class B(2) | 1,245 | 22,604 | |
Investor AB, Class B | 3,740 | 198,399 | |
Kinnevik AB, Class B | 1,988 | 52,478 | |
L E Lundbergforetagen AB, Class B | 737 | 33,595 | |
Lundin Energy AB | 1,724 | 42,075 | |
Nibe Industrier AB, Class B | 2,623 | 58,178 | |
Sandvik AB | 9,185 | 172,915 | |
Securitas AB, Class B | 2,909 | 39,336 | |
Skandinaviska Enskilda Banken AB, Class A | 14,185 | 123,134 | |
Skanska AB, Class B(1) | 2,734 | 55,815 | |
SKF AB, Class B | 3,325 | 62,156 | |
Svenska Cellulosa AB SCA, Class B | 5,096 | 60,954 | |
Svenska Handelsbanken AB, Class A(1) | 12,961 | 123,069 | |
Swedbank AB, Class A | 7,827 | 100,506 | |
Swedish Match AB | 1,369 | 96,591 | |
Tele2 AB, Class B | 4,378 | 58,279 | |
Telefonaktiebolaget LM Ericsson, Class B | 24,031 | 222,757 | |
Telia Co. AB | 20,293 | 75,920 | |
Volvo AB, Class B | 12,539 | 197,300 | |
$ 3,187,643 | |||
Switzerland — 10.4% | |||
ABB, Ltd. | 15,220 | $ 345,234 | |
Adecco Group AG | 1,241 | 58,495 | |
Alcon, Inc.(1) | 4,136 | 237,651 | |
Baloise Holding AG | 415 | 62,520 | |
Banque Cantonale Vaudoise | 253 | 24,638 | |
Barry Callebaut AG | 26 | 49,630 | |
Chocoladefabriken Lindt & Sprungli AG | 1 | 86,257 | |
Chocoladefabriken Lindt & Sprungli AG PC | 9 | 74,334 | |
Cie Financiere Richemont S.A. | 4,320 | 278,641 |
Table of Contents
Security | Shares | Value | |
Switzerland (continued) | |||
Clariant AG(1)(2) | 1,727 | $ 33,989 | |
Coca-Cola HBC AG | 1,844 | 46,161 | |
Credit Suisse Group AG | 20,425 | 212,519 | |
EMS-Chemie Holding AG | 64 | 49,722 | |
Geberit AG | 318 | 159,552 | |
Givaudan S.A. | 78 | 291,562 | |
Glencore PLC | 84,056 | 179,057 | |
Julius Baer Group, Ltd. | 1,776 | 74,588 | |
Kuehne & Nagel International AG | 428 | 71,291 | |
LafargeHolcim, Ltd. | 4,164 | 183,449 | |
Logitech International S.A. | 1,383 | 90,627 | |
Lonza Group AG | 615 | 325,764 | |
Nestle S.A. | 24,755 | 2,744,602 | |
Novartis AG | 17,887 | 1,558,334 | |
Partners Group Holding AG | 156 | 142,068 | |
Roche Holding AG | 5,864 | 2,031,580 | |
Schindler Holding AG | 160 | 37,932 | |
Schindler Holding AG PC | 344 | 81,411 | |
SGS S.A. | 49 | 120,033 | |
Sika AG | 1,193 | 229,977 | |
Sonova Holding AG(1) | 453 | 90,679 | |
Straumann Holding AG | 83 | 71,752 | |
Swatch Group AG (The) | 228 | 45,762 | |
Swatch Group AG (The), Bearer Shares | 505 | 19,860 | |
Swiss Life Holding AG | 256 | 95,237 | |
Swiss Prime Site AG | 646 | 59,926 | |
Swiss Re AG | 2,438 | 189,029 | |
Swisscom AG | 220 | 115,368 | |
Temenos AG | 527 | 81,908 | |
UBS Group AG | 30,837 | 356,138 | |
Vifor Pharma AG | 390 | 59,002 | |
Zurich Insurance Group AG | 1,238 | 438,661 | |
$ 11,504,940 | |||
United Kingdom — 13.2% | |||
3i Group PLC | 7,801 | $ 80,327 | |
Admiral Group PLC | 1,608 | 45,601 | |
Anglo American PLC | 10,331 | 238,163 | |
Antofagasta PLC | 3,041 | 35,198 | |
Ashtead Group PLC | 3,687 | 124,374 | |
Associated British Foods PLC | 2,895 | 68,450 | |
AstraZeneca PLC | 10,900 | 1,134,411 | |
Auto Trader Group PLC(4) | 8,362 | 54,443 | |
AVEVA Group PLC | 442 | 22,411 | |
Aviva PLC | 31,418 | 106,487 | |
BAE Systems PLC | 27,172 | 162,474 | |
Barclays PLC | 147,147 | 207,595 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Barratt Developments PLC | 8,797 | $ 54,068 | |
Berkeley Group Holdings PLC | 1,068 | 55,002 | |
BHP Group PLC | 17,453 | 357,142 | |
BP PLC | 169,832 | 650,633 | |
British American Tobacco PLC | 19,191 | 736,029 | |
British Land Co. PLC (The) | 8,346 | 39,923 | |
BT Group PLC | 72,149 | 102,037 | |
Bunzl PLC | 2,897 | 77,707 | |
Burberry Group PLC | 3,124 | 61,731 | |
Coca-Cola European Partners PLC(5) | 369 | 13,933 | |
Coca-Cola European Partners PLC(5) | 1,278 | 48,499 | |
Compass Group PLC | 15,004 | 206,432 | |
Croda International PLC | 1,030 | 66,899 | |
Diageo PLC | 19,530 | 649,125 | |
Direct Line Insurance Group PLC | 11,922 | 39,975 | |
Evraz PLC | 3,425 | 12,135 | |
Ferguson PLC | 1,893 | 154,784 | |
GlaxoSmithKline PLC | 41,937 | 847,114 | |
GVC Holdings PLC | 4,677 | 42,869 | |
Halma PLC | 3,294 | 93,847 | |
Hargreaves Lansdown PLC | 2,659 | 53,622 | |
Hikma Pharmaceuticals PLC | 1,223 | 33,560 | |
HSBC Holdings PLC | 168,567 | 783,430 | |
Imperial Brands PLC | 7,723 | 147,020 | |
Informa PLC | 13,258 | 76,654 | |
InterContinental Hotels Group PLC | 1,518 | 67,012 | |
Intertek Group PLC | 1,422 | 95,773 | |
ITV PLC | 34,182 | 31,592 | |
J Sainsbury PLC | 15,059 | 38,972 | |
JD Sports Fashion PLC | 3,394 | 26,122 | |
Johnson Matthey PLC | 1,639 | 42,686 | |
Kingfisher PLC | 19,212 | 52,856 | |
Land Securities Group PLC | 5,555 | 37,955 | |
Legal & General Group PLC | 49,165 | 134,036 | |
Lloyds Banking Group PLC | 596,133 | 229,964 | |
London Stock Exchange Group PLC | 2,594 | 269,763 | |
M&G PLC | 22,322 | 46,350 | |
Melrose Industries PLC | 36,836 | 51,922 | |
Mondi PLC | 4,243 | 79,365 | |
National Grid PLC | 29,483 | 359,704 | |
Next PLC | 1,079 | 65,328 | |
NMC Health PLC(1)(3) | 541 | 0 | |
Ocado Group PLC(1) | 3,629 | 91,198 | |
Pearson PLC | 7,041 | 50,124 | |
Persimmon PLC | 2,734 | 77,376 | |
Prudential PLC | 21,561 | 324,882 | |
Reckitt Benckiser Group PLC | 5,879 | 540,859 |
Table of Contents
Security | Shares | Value | |
United Kingdom (continued) | |||
RELX PLC(5) | 9,789 | $ 226,574 | |
RELX PLC(5) | 6,194 | 143,505 | |
Rentokil Initial PLC | 15,508 | 98,060 | |
Rio Tinto PLC | 9,291 | 522,865 | |
Rolls-Royce Holdings PLC | 15,214 | 53,715 | |
Royal Bank of Scotland Group PLC | 37,001 | 55,548 | |
RSA Insurance Group PLC | 8,671 | 43,914 | |
Sage Group PLC (The) | 9,508 | 78,925 | |
Schroders PLC | 934 | 34,089 | |
Segro PLC | 9,491 | 104,970 | |
Severn Trent PLC | 1,999 | 61,177 | |
Smith & Nephew PLC | 7,488 | 139,529 | |
Smiths Group PLC | 3,491 | 61,029 | |
Spirax-Sarco Engineering PLC | 587 | 72,266 | |
SSE PLC | 8,419 | 142,560 | |
St. James's Place PLC | 4,702 | 55,288 | |
Standard Chartered PLC | 22,084 | 119,713 | |
Standard Life Aberdeen PLC | 18,626 | 61,721 | |
Taylor Wimpey PLC | 27,593 | 48,702 | |
Tesco PLC | 83,259 | 234,180 | |
Unilever NV | 12,159 | 648,290 | |
Unilever PLC | 9,829 | 530,187 | |
United Utilities Group PLC | 5,449 | 61,229 | |
Vodafone Group PLC | 221,196 | 351,648 | |
Whitbread PLC | 1,695 | 46,634 | |
WM Morrison Supermarkets PLC | 18,613 | 43,847 | |
WPP PLC | 10,799 | 84,192 | |
$ 14,522,300 | |||
Total Common Stocks (identified cost $86,880,058) | $ 109,573,196 |
Rights — 0.0%(6) |
Security | Shares | Value | |
Spain — 0.0%(6) | |||
ACS Actividades de Construccion y Servicios S.A., Exp. 7/10/20(1)(2) | 2,094 | $ 3,267 | |
Repsol S.A., Exp. 7/9/20(1) | 12,197 | 5,938 | |
Telefonica S.A., Exp. 7/6/20(1)(2) | 39,538 | 7,778 | |
Total Rights (identified cost $18,588) | $ 16,983 |
Short-Term Investments — 1.9% |
Other — 0.0%(6) | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(7) | 39,263 | $ 39,263 | |
Total Other (identified cost $39,263) | $ 39,263 |
Securities Lending Collateral — 1.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(8) | 2,082,198 | $ 2,082,198 | |
Total Securities Lending Collateral (identified cost $2,082,198) | $ 2,082,198 | ||
Total Short-Term Investments (identified cost $2,121,461) | $ 2,121,461 |
Total Investments — 101.3% (identified cost $89,020,107) | $ 111,711,640 | |
Other Assets, Less Liabilities — (1.3)% | $ (1,462,660) | |
Net Assets — 100.0% | $ 110,248,980 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $4,593,446. | |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | |
(4) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $1,679,996, which represents 1.5% of the net assets of the Fund as of June 30, 2020. | |
(5) | Securities are traded on separate exchanges for the same entity. | |
(6) | Amount is less than 0.05%. | |
(7) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2020. | |
(8) | Represents investment of cash collateral received in connection with securities lending. |
Table of Contents
Economic Sectors | % of Net Assets |
Financials | 16.0% |
Industrials | 14.5 |
Health Care | 14.3 |
Consumer Staples | 11.9 |
Consumer Discretionary | 11.3 |
Information Technology | 8.2 |
Materials | 7.2 |
Communication Services | 5.4 |
Utilities | 4.0 |
Energy | 3.4 |
Real Estate | 3.2 |
Total | 99.4% |
Abbreviations: | |
ADR | ��� American Depositary Receipt |
CDI | – CHESS Depositary Interest |
FDR | – Fiduciary Depositary Receipt |
PC | – Participation Certificate |
PFC Shares | – Preference Shares |
Table of Contents
June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $88,980,844) - including $4,593,446 of securities on loan | $ 111,672,377 |
Investments in securities of affiliated issuers, at value (identified cost $39,263) | 39,263 |
Cash denominated in foreign currency, at value (cost $171,295) | 170,803 |
Receivable for capital shares sold | 173,451 |
Dividends receivable | 133,135 |
Dividends receivable - affiliated | 9 |
Securities lending income receivable | 1,976 |
Tax reclaims receivable | 377,186 |
Receivable from affiliate | 26,619 |
Directors' deferred compensation plan | 29,693 |
Total assets | $112,624,512 |
Liabilities | |
Payable for investments purchased | $ 597 |
Payable for capital shares redeemed | 21,503 |
Deposits for securities loaned | 2,082,198 |
Payable to affiliates: | |
Investment advisory fee | 27,447 |
Administrative fee | 10,979 |
Distribution and service fees | 2,235 |
Sub-transfer agency fee | 178 |
Directors' deferred compensation plan | 29,693 |
Accrued expenses | 100,702 |
Demand note payable | 100,000 |
Total liabilities | $ 2,375,532 |
Net Assets | $110,248,980 |
Sources of Net Assets | |
Paid-in capital | $ 89,903,358 |
Distributable earnings | 20,345,622 |
Total | $110,248,980 |
Class I Shares | |
Net Assets | $ 96,768,626 |
Shares Outstanding | 1,205,255 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 80.29 |
Class F Shares | |
Net Assets | $ 13,480,354 |
Shares Outstanding | 168,023 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 80.23 |
Table of Contents
Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $175,000) | $ 1,662,585 |
Dividend income - affiliated issuers | 9 |
Interest income | 2,346 |
Securities lending income, net | 8,199 |
Total investment income | $ 1,673,139 |
Expenses | |
Investment advisory fee | $ 165,379 |
Administrative fee | 66,152 |
Distribution and service fees: | |
Class F | 12,514 |
Directors' fees and expenses | 56 |
Custodian fees | 4,175 |
Transfer agency fees and expenses | 36,186 |
Accounting fees | 22,919 |
Professional fees | 12,410 |
Reports to shareholders | 32,127 |
Licensing fees | 28,265 |
Miscellaneous | 44,029 |
Total expenses | $ 424,212 |
Waiver and/or reimbursement of expenses by affiliate | (145,427) |
Net expenses | $ 278,785 |
Net investment income | $ 1,394,354 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (1,452,102) |
Foreign currency transactions | (11,107) |
Net realized loss | $ (1,463,209) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (13,759,818) |
Foreign currency | 3,836 |
Net change in unrealized appreciation (depreciation) | $(13,755,982) |
Net realized and unrealized loss | $(15,219,191) |
Net decrease in net assets from operations | $(13,824,837) |
Table of Contents
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,394,354 | $ 3,453,248 |
Net realized loss | (1,463,209) | (146,336) |
Net change in unrealized appreciation (depreciation) | (13,755,982) | 19,825,931 |
Net increase (decrease) in net assets from operations | $ (13,824,837) | $ 23,132,843 |
Distributions to shareholders: | ||
Class I | $ — | $ (2,945,173) |
Class F | — | (298,614) |
Total distributions to shareholders | $ — | $ (3,243,787) |
Capital share transactions: | ||
Class I | $ (6,642,428) | $ (5,687,218) |
Class F | 1,875,791 | 3,826,505 |
Net decrease in net assets from capital share transactions | $ (4,766,637) | $ (1,860,713) |
Net increase (decrease) in net assets | $ (18,591,474) | $ 18,028,343 |
Net Assets | ||
At beginning of period | $ 128,840,454 | $ 110,812,111 |
At end of period | $110,248,980 | $128,840,454 |
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Class I | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 90.02 | $ 76.31 | $ 91.21 | $ 74.93 | $ 76.87 | $ 78.33 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 1.00 | $ 2.43 | $ 2.36 | $ 2.11 | $ 1.88 | $ 1.63 |
Net realized and unrealized gain (loss) | (10.73) | 13.55 | (14.36) | 16.39 | (1.54) | (2.88) |
Total income (loss) from operations | $ (9.73) | $ 15.98 | $ (12.00) | $ 18.50 | $ 0.34 | $ (1.25) |
Less Distributions | ||||||
From net investment income | $ — | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.28) | $ (0.21) |
Total distributions | $ — | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.28) | $ (0.21) |
Net asset value — End of period | $ 80.29 | $ 90.02 | $ 76.31 | $ 91.21 | $ 74.93 | $ 76.87 |
Total Return(2) | (10.81)% (3) | 21.26% | (13.58)% | 24.76% | 0.46% | (1.61)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 96,769 | $ 115,803 | $ 103,168 | $ 141,082 | $ 124,685 | $ 154,811 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.75% (5) | 0.68% | 0.69% (6) | 0.68% | 0.98% | 0.95% |
Net expenses | 0.48% (5) | 0.48% | 0.49% (6) | 0.48% | 0.97% | 0.95% |
Net investment income | 2.55% (5) | 2.87% | 2.67% | 2.49% | 2.50% | 2.01% |
Portfolio Turnover | 6% (3) | 7% | 6% | 3% | 22% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes interest expense of 0.01%. |
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Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 90.04 | $ 76.49 | $ 91.65 | $ 75.47 | $ 77.45 | $ 78.93 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.94 | $ 2.14 | $ 2.09 | $ 1.87 | $ 1.60 | $ 1.44 |
Net realized and unrealized gain (loss) | (10.75) | 13.68 | (14.35) | 16.53 | (1.43) | (2.90) |
Total income (loss) from operations | $ (9.81) | $ 15.82 | $ (12.26) | $ 18.40 | $ 0.17 | $ (1.46) |
Less Distributions | ||||||
From net investment income | $ — | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.15) | $ (0.02) |
Total distributions | $ — | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.15) | $ (0.02) |
Net asset value — End of period | $ 80.23 | $ 90.04 | $ 76.49 | $ 91.65 | $ 75.47 | $ 77.45 |
Total Return(2) | (10.90)% (3) | 21.00% | (13.80)% | 24.44% | 0.24% | (1.84)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 13,480 | $ 13,038 | $ 7,645 | $ 7,226 | $ 4,486 | $ 3,906 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.95% (5) | 0.88% | 0.89% (6) | 0.91% | 1.26% | 1.24% |
Net expenses | 0.68% (5) | 0.69% | 0.74% (6) | 0.73% | 1.19% | 1.19% |
Net investment income | 2.39% (5) | 2.52% | 2.37% | 2.18% | 2.11% | 1.75% |
Portfolio Turnover | 6% (3) | 7% | 6% | 3% | 22% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes interest expense of 0.01%. |
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Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | ||||
Australia | $ 22,057 | $ 7,324,425 | $ 0 | $ 7,346,482 |
Austria | — | 187,306 | — | 187,306 |
Belgium | — | 1,011,392 | — | 1,011,392 |
Denmark | — | 2,554,653 | — | 2,554,653 |
Finland | — | 1,296,494 | — | 1,296,494 |
France | — | 11,447,012 | — | 11,447,012 |
Germany | — | 10,048,370 | — | 10,048,370 |
Hong Kong | 146,375 | 3,663,767 | — | 3,810,142 |
Ireland | — | 1,089,776 | — | 1,089,776 |
Israel | 359,039 | 325,046 | — | 684,085 |
Italy | — | 2,297,906 | — | 2,297,906 |
Japan | — | 27,837,758 | — | 27,837,758 |
Netherlands | 26,580 | 5,741,060 | — | 5,767,640 |
New Zealand | — | 359,546 | — | 359,546 |
Norway | — | 575,650 | — | 575,650 |
Portugal | — | 184,053 | — | 184,053 |
Singapore | — | 1,235,080 | — | 1,235,080 |
Spain | — | 2,624,968 | — | 2,624,968 |
Sweden | — | 3,187,643 | — | 3,187,643 |
Switzerland | — | 11,504,940 | — | 11,504,940 |
United Kingdom | 13,933 | 14,508,367 | 0 | 14,522,300 |
Total Common Stocks | $ 567,984 | $109,005,212 (2) | $ 0 | $109,573,196 |
Rights | $ 16,983 | $ — | $ — | $ 16,983 |
Short-Term Investments: | ||||
Other | — | 39,263 | — | 39,263 |
Securities Lending Collateral | 2,082,198 | — | — | 2,082,198 |
Total Investments | $2,667,165 | $109,044,475 | $ 0 | $111,711,640 |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
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Aggregate cost | $ 92,146,043 |
Gross unrealized appreciation | $ 33,629,885 |
Gross unrealized depreciation | (14,064,288) |
Net unrealized appreciation | $ 19,565,597 |
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Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $ 2,070,193 | $ — | $ — | $ — | $ 2,070,193 |
Rights | 12,005 | — | — | — | 12,005 |
Total | $2,082,198 | $ — | $ — | $ — | $2,082,198 |
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Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $960,330 | $(921,067) | $ — | $ — | $39,263 | $9 | 39,263 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 89,030 | $ 6,484,893 | 73,012 | $ 6,133,994 | |
Reinvestment of distributions | — | — | 36,186 | 2,945,173 | |
Shares redeemed | (170,189) | (13,127,321) | (174,715) | (14,766,385) | |
Net decrease | (81,159) | $ (6,642,428) | (65,517) | $ (5,687,218) | |
Class F | |||||
Shares sold | 34,495 | $ 2,731,766 | 60,554 | $ 5,179,234 | |
Reinvestment of distributions | — | — | 3,666 | 298,614 | |
Shares redeemed | (11,267) | (855,975) | (19,363) | (1,651,343) | |
Net increase | 23,228 | $ 1,875,791 | 44,857 | $ 3,826,505 |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 03/31/2003 | 03/31/2003 | 6.13% | 8.58% | 4.05% | 3.60% |
Class F at NAV | 10/30/2015 | 03/31/2003 | 6.00 | 8.31 | 3.82 | 3.48 |
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | 6.14% | 8.74% | 4.30% | 3.82% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.43% | 0.68% |
Net | 0.32 | 0.57 |
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1 | Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.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 F is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,061.30 | $1.64 ** | 0.32% |
Class F | $1,000.00 | $1,060.00 | $2.92 ** | 0.57% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.27 | $1.61 ** | 0.32% |
Class F | $1,000.00 | $1,022.03 | $2.87 ** | 0.57% |
* | 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 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Asset-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
American Express Credit Account Master Trust, Series 2019-1, Class A, 2.87%, 10/15/24 | $ | 300 | $ 312,950 |
Avis Budget Rental Car Funding AESOP, LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(1) | 300 | 301,343 | |
MVW Owner Trust, Series 2013-1A, Class A, 2.15%, 4/22/30(1) | 8 | 7,584 | |
Total Asset-Backed Securities (identified cost $616,457) | $ 621,877 |
Commercial Mortgage-Backed Securities — 2.3% |
Security | Principal Amount (000's omitted) | Value | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-GC17, Class A4, 4.131%, 11/10/46 | $ | 422 | $ 452,061 |
Series 2014-GC21, Class A5, 3.855%, 5/10/47 | 645 | 699,451 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45 | 625 | 644,013 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/48 | 1,275 | 1,365,003 | |
Total Commercial Mortgage-Backed Securities (identified cost $3,008,933) | $ 3,160,528 |
Corporate Bonds — 28.9% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.7% | |||
Barrick North America Finance, LLC, 5.75%, 5/1/43 | $ | 100 | $ 140,308 |
Dow Chemical Co. (The), 4.375%, 11/15/42 | 100 | 111,063 | |
Ecolab, Inc., 4.35%, 12/8/21 | 122 | 129,007 | |
LYB International Finance BV, 5.25%, 7/15/43 | 100 | 120,720 | |
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 200 | 214,894 | |
Sherwin-Williams Co. (The), 4.20%, 1/15/22 | 300 | 311,948 | |
$ 1,027,940 | |||
Communications — 4.5% | |||
AT&T, Inc.: | |||
3.90%, 3/11/24 | $ | 200 | $ 221,061 |
4.00%, 1/15/22 | 290 | 304,646 | |
4.90%, 6/15/42 | 200 | 239,962 | |
5.375%, 10/15/41 | 100 | 125,698 | |
5.45%, 3/1/47 | 1,000 | 1,310,066 |
Security | Principal Amount (000's omitted) | Value | |
Communications (continued) | |||
Charter Communications Operating, LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | $ | 500 | $ 573,739 |
Comcast Corp., 3.125%, 7/15/22 | 100 | 105,572 | |
Discovery Communications, LLC, 4.125%, 5/15/29 | 200 | 228,476 | |
NBCUniversal Media, LLC: | |||
2.875%, 1/15/23 | 100 | 106,827 | |
4.45%, 1/15/43 | 200 | 251,890 | |
Rogers Communications, Inc., 3.625%, 12/15/25 | 1,000 | 1,134,978 | |
Verizon Communications, Inc., 5.15%, 9/15/23 | 300 | 341,674 | |
Walt Disney Co. (The), 5.40%, 10/1/43 | 100 | 136,038 | |
WPP Finance 2010, 3.75%, 9/19/24 | 1,000 | 1,079,984 | |
$ 6,160,611 | |||
Consumer, Cyclical — 2.1% | |||
Cintas Corp. No. 2, 3.25%, 6/1/22 | $ | 350 | $ 366,660 |
Ford Motor Credit Co., LLC, 5.875%, 8/2/21 | 200 | 202,344 | |
General Motors Co., 5.00%, 4/1/35 | 1,000 | 1,000,127 | |
Lowe's Cos., Inc., 3.875%, 9/15/23 | 100 | 109,598 | |
McDonald's Corp., 3.60%, 7/1/30 | 300 | 345,770 | |
Starbucks Corp., 3.75%, 12/1/47 | 250 | 269,649 | |
VF Corp., 2.95%, 4/23/30 | 225 | 240,713 | |
Wal-Mart Stores, Inc., 6.50%, 8/15/37 | 250 | 401,694 | |
$ 2,936,555 | |||
Consumer, Non-cyclical — 4.4% | |||
AbbVie, Inc.: | |||
2.90%, 11/6/22 | $ | 200 | $ 209,922 |
3.20%, 11/21/29(1) | 300 | 334,966 | |
Alcon Finance Corp., 3.00%, 9/23/29(1) | 350 | 372,210 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.00%, 1/17/43 | 100 | 109,318 | |
4.625%, 2/1/44 | 1,000 | 1,150,842 | |
CVS Health Corp., 4.30%, 3/25/28 | 500 | 584,927 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 70 | 79,574 | |
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30 | 400 | 419,949 | |
Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21 | 75 | 77,107 | |
Equifax, Inc., 3.30%, 12/15/22 | 450 | 472,301 | |
Gilead Sciences, Inc., 3.70%, 4/1/24 | 100 | 110,604 | |
Kroger Co. (The): | |||
3.85%, 8/1/23 | 100 | 108,610 | |
3.875%, 10/15/46 | 250 | 280,907 | |
Laboratory Corporation of America Holdings, 4.00%, 11/1/23 | 100 | 109,376 | |
Molson Coors Brewing Co., 5.00%, 5/1/42 | 100 | 106,487 | |
Pfizer, Inc., 4.40%, 5/15/44 | 1,000 | 1,301,561 | |
Tyson Foods, Inc., 3.95%, 8/15/24 | 100 | 110,847 |
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Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
Zoetis, Inc., 4.70%, 2/1/43 | $ | 100 | $ 132,279 |
$ 6,071,787 | |||
Energy — 3.8% | |||
BP Capital Markets America, Inc., 3.633%, 4/6/30 | $ | 200 | $ 226,337 |
CNOOC Curtis Funding No. 1 Pty., Ltd., 4.50%, 10/3/23(1) | 100 | 109,934 | |
Colonial Pipeline Co., 6.58%, 8/28/32(1) | 100 | 127,086 | |
HollyFrontier Corp., 5.875%, 4/1/26 | 1,000 | 1,106,970 | |
Shell International Finance BV: | |||
2.25%, 1/6/23 | 200 | 207,850 | |
4.125%, 5/11/35 | 1,350 | 1,648,217 | |
4.55%, 8/12/43 | 100 | 125,801 | |
Texas Eastern Transmission, L.P., 2.80%, 10/15/22(1) | 400 | 407,403 | |
TransCanada PipeLines, Ltd., 4.875%, 1/15/26 | 1,000 | 1,181,738 | |
TransContinental Gas Pipe Line Co., LLC, 4.45%, 8/1/42 | 100 | 109,761 | |
$ 5,251,097 | |||
Financial — 6.8% | |||
American International Group, Inc., 4.875%, 6/1/22 | $ | 250 | $ 269,695 |
Australia & New Zealand Banking Group, Ltd., 4.875%, 1/12/21(1) | 800 | 819,338 | |
Bank of America Corp.: | |||
2.592% to 4/29/30, 4/29/31(2) | 500 | 530,026 | |
4.125%, 1/22/24 | 300 | 332,509 | |
Berkshire Hathaway Finance Corp.: | |||
3.00%, 5/15/22 | 200 | 209,842 | |
4.30%, 5/15/43 | 1,000 | 1,306,846 | |
Boston Properties, L.P., 3.85%, 2/1/23 | 100 | 106,849 | |
Capital One Bank, 3.375%, 2/15/23 | 200 | 210,743 | |
Citigroup, Inc.: | |||
4.075% to 4/23/28, 4/23/29(2) | 500 | 570,713 | |
5.50%, 9/13/25 | 80 | 94,897 | |
Discover Financial Services, 3.85%, 11/21/22 | 200 | 212,015 | |
ERP Operating, L.P., 4.625%, 12/15/21 | 100 | 104,807 | |
Excalibur One 77B, LLC, 1.492%, 1/1/25 | 18 | 17,744 | |
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24 | 500 | 552,787 | |
HSBC Holdings PLC, 2.848% to 6/4/30, 6/4/31(2) | 400 | 409,923 | |
JPMorgan Chase & Co.: | |||
3.109% to 4/22/50, 4/22/51(2) | 300 | 324,470 | |
3.375%, 5/1/23 | 700 | 749,195 | |
MetLife, Inc., 4.875%, 11/13/43 | 100 | 129,625 | |
Morgan Stanley: | |||
4.10%, 5/22/23 | 500 | 540,617 | |
5.00%, 11/24/25 | 150 | 175,412 | |
Prudential Financial, Inc., 5.10%, 8/15/43 | 1,000 | 1,183,254 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
SunTrust Banks, Inc., 2.90%, 3/3/21 | $ | 200 | $ 203,046 |
Wells Fargo & Co., 2.625%, 7/22/22 | 400 | 416,908 | |
$ 9,471,261 | |||
Industrial — 2.8% | |||
BNSF Funding Trust I, 6.613% to 1/15/26, 12/15/55(2) | $ | 540 | $ 592,812 |
Boeing Co., 4.875%, 5/1/25 | 100 | 109,001 | |
Carrier Global Corp., 3.577%, 4/5/50(1) | 375 | 367,541 | |
Cummins, Inc., 4.875%, 10/1/43 | 100 | 132,813 | |
Deere & Co., 6.55%, 10/1/28 | 250 | 340,370 | |
GATX Corp., 4.85%, 6/1/21 | 900 | 933,348 | |
Parker-Hannifin Corp., 3.25%, 3/1/27 | 200 | 217,919 | |
Stanley Black & Decker, Inc., 2.90%, 11/1/22 | 650 | 686,062 | |
United Parcel Service, Inc., 6.20%, 1/15/38 | 250 | 376,254 | |
United Technologies Corp., 4.50%, 6/1/42 | 100 | 124,006 | |
$ 3,880,126 | |||
Technology — 2.2% | |||
Apple, Inc., 3.85%, 5/4/43 | $ | 1,100 | $ 1,366,476 |
Broadcom Corp. / Broadcom Cayman Finance, Ltd.: | |||
3.125%, 1/15/25 | 200 | 213,770 | |
3.875%, 1/15/27 | 500 | 540,985 | |
Dell International, LLC / EMC Corp., 5.30%, 10/1/29(1) | 250 | 276,961 | |
International Business Machines Corp., 3.625%, 2/12/24 | 100 | 110,336 | |
Lam Research Corp., 3.75%, 3/15/26 | 325 | 371,803 | |
NetApp, Inc., 3.25%, 12/15/22 | 100 | 104,199 | |
$ 2,984,530 | |||
Utilities — 1.6% | |||
DTE Electric Co., 2.25%, 3/1/30 | $ | 300 | $ 316,139 |
Duke Energy Corp., 3.15%, 8/15/27 | 500 | 554,449 | |
PacifiCorp, 4.10%, 2/1/42 | 100 | 119,531 | |
Public Service Electric & Gas Co., 3.95%, 5/1/42 | 1,000 | 1,204,962 | |
$ 2,195,081 | |||
Total Corporate Bonds (identified cost $35,440,995) | $ 39,978,988 |
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Sovereign Government Bonds — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
Mexico Government International Bond, 5.55%, 1/21/45(3) | $ | 500 | $ 591,805 |
Province of Ontario Canada, 2.45%, 6/29/22 | 400 | 416,200 | |
Province of Quebec Canada, 2.625%, 2/13/23 | 75 | 79,257 | |
Total Sovereign Government Bonds (identified cost $972,181) | $ 1,087,262 |
Taxable Municipal Obligations — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.8% | |||
New York, NY, 3.60%, 8/1/28 | $ | 1,000 | $ 1,079,220 |
Total Taxable Municipal Obligations (identified cost $991,934) | $ 1,079,220 |
U.S. Government Agencies and Instrumentalities — 3.1% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
1.625%, 9/29/20 | $ | 1,000 | $ 1,003,594 |
6.75%, 3/15/31 | 1,300 | 2,047,129 | |
Federal National Mortgage Association: | |||
0.50%, 4/14/25 | 500 | 501,058 | |
2.00%, 1/5/22 | 400 | 411,034 | |
2.125%, 4/24/26 | 300 | 327,114 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $3,871,384) | $ 4,289,929 |
U.S. Government Agency Mortgage-Backed Securities — 25.7% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
2.50%, with various maturities to 2050 | $ | 3,465 | $ 3,633,804 |
3.00%, with maturity at 1/1/43 | 770 | 824,799 | |
3.50%, with various maturities to 2048 | 1,366 | 1,469,091 | |
4.00%, with various maturities to 2048 | 928 | 995,169 | |
4.50%, with various maturities to 2044 | 1,267 | 1,400,265 | |
5.00%, with various maturities to 2040 | 857 | 985,167 | |
6.00%, with various maturities to 2040 | 66 | 78,807 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
6.50%, with maturity at 10/1/37 | $ | 14 | $ 16,143 |
Federal National Mortgage Association: | |||
2.50%, with various maturities to 2043 | 2,796 | 2,951,216 | |
3.00%, with various maturities to 2049 | 6,264 | 6,703,697 | |
3.50%, with various maturities to 2049 | 6,720 | 7,196,886 | |
3.933%, (1 yr. USD LIBOR + 1.723%) with maturity at 9/1/38(4) | 154 | 162,597 | |
4.00%, with various maturities to 2047 | 3,415 | 3,686,919 | |
4.50%, with various maturities to 2044 | 1,945 | 2,149,882 | |
5.00%, with various maturities to 2034 | 95 | 108,942 | |
5.50%, with various maturities to 2038 | 431 | 499,209 | |
6.00%, with various maturities to 2038 | 403 | 480,473 | |
6.50%, with various maturities to 2036 | 76 | 87,133 | |
Government National Mortgage Association: | |||
4.00%, with various maturities to 2042 | 1,018 | 1,118,516 | |
4.50%, with maturity at 7/20/33 | 106 | 115,858 | |
5.00%, with various maturities to 2039 | 461 | 525,850 | |
5.50%, with maturity at 7/20/34 | 52 | 60,050 | |
6.00%, with various maturities to 2038 | 329 | 388,530 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $33,914,480) | $ 35,639,003 |
U.S. Treasury Obligations — 36.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
2.25%, 8/15/49 | $ | 650 | $ 781,600 |
2.50%, 2/15/45 | 1,000 | 1,233,730 | |
3.00%, 5/15/47 | 1,000 | 1,362,773 | |
3.125%, 11/15/41 | 1,000 | 1,354,824 | |
3.125%, 8/15/44 | 1,600 | 2,182,188 | |
3.125%, 5/15/48 | 750 | 1,050,864 | |
3.75%, 11/15/43 | 1,045 | 1,555,601 | |
3.875%, 8/15/40 | 500 | 745,391 | |
4.375%, 5/15/41 | 700 | 1,113,574 | |
6.25%, 8/15/23 | 1,000 | 1,189,336 | |
8.00%, 11/15/21 | 1,000 | 1,107,539 | |
8.125%, 5/15/21 | 1,000 | 1,069,551 | |
U.S. Treasury Notes: | |||
1.50%, 2/15/30 | 1,400 | 1,513,531 | |
1.625%, 11/15/22 | 2,500 | 2,586,426 | |
1.75%, 5/15/22 | 1,600 | 1,647,750 | |
1.875%, 7/31/22 | 1,250 | 1,294,629 | |
1.875%, 7/31/26 | 1,100 | 1,197,066 |
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Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
2.00%, 2/15/22 | $ | 2,000 | $ 2,059,688 |
2.00%, 2/15/25 | 1,500 | 1,619,941 | |
2.125%, 8/15/21 | 150 | 153,275 | |
2.125%, 9/30/24 | 2,750 | 2,969,194 | |
2.25%, 3/31/21 | 200 | 203,156 | |
2.25%, 11/15/24 | 2,000 | 2,174,766 | |
2.25%, 3/31/26 | 1,000 | 1,106,875 | |
2.25%, 2/15/27 | 2,100 | 2,346,299 | |
2.25%, 11/15/27 | 1,750 | 1,971,245 | |
2.625%, 11/15/20 | 2,000 | 2,018,281 | |
2.625%, 6/30/23 | 600 | 643,922 | |
2.625%, 2/15/29 | 1,000 | 1,171,934 | |
2.75%, 11/15/23 | 1,000 | 1,086,035 | |
2.75%, 2/15/24 | 3,000 | 3,276,270 | |
3.125%, 5/15/21 | 3,500 | 3,590,303 | |
3.125%, 11/15/28 | 800 | 967,298 | |
Total U.S. Treasury Obligations (identified cost $44,556,642) | $ 50,344,855 |
Short-Term Investments — 1.7% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(5) | 2,330,510 | $ 2,330,510 | |
Total Short-Term Investments (identified cost $2,330,510) | $ 2,330,510 | ||
Total Investments — 100.1% (identified cost $125,703,516) | $ 138,532,172 | ||
Other Assets, Less Liabilities — (0.1)% | $ (173,554) | ||
Net Assets — 100.0% | $ 138,358,618 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $3,124,366, which represents 2.3% of the net assets of the Fund as of June 30, 2020. | |
(2) | Security converts to variable rate after the indicated fixed-rate coupon period. | |
(3) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $236,722. |
(4) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at June 30, 2020. |
(5) | 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 June 30, 2020. |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
Currency Abbreviations: | |
USD | – United States Dollar |
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June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $123,373,006) - including $236,722 of securities on loan | $ 136,201,662 |
Investments in securities of affiliated issuers, at value (identified cost $2,330,510) | 2,330,510 |
Receivable for capital shares sold | 174,505 |
Interest receivable | 842,207 |
Dividends receivable - affiliated | 142 |
Securities lending income receivable | 33 |
Receivable from affiliate | 14,278 |
Directors' deferred compensation plan | 34,240 |
Total assets | $139,597,577 |
Liabilities | |
Payable for investments purchased | $ 1,045,972 |
Payable for capital shares redeemed | 69,748 |
Payable to affiliates: | |
Investment advisory fee | 22,344 |
Administrative fee | 13,406 |
Distribution and service fees | 532 |
Sub-transfer agency fee | 89 |
Directors' deferred compensation plan | 34,240 |
Accrued expenses | 52,628 |
Total liabilities | $ 1,238,959 |
Net Assets | $138,358,618 |
Sources of Net Assets | |
Paid-in capital | $ 121,305,992 |
Distributable earnings | 17,052,626 |
Total | $138,358,618 |
Class I Shares | |
Net Assets | $ 135,703,074 |
Shares Outstanding | 2,296,684 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 59.09 |
Class F Shares | |
Net Assets | $ 2,655,544 |
Shares Outstanding | 45,577 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 58.27 |
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Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income - affiliated issuers | $ 142 |
Interest income | 1,947,287 |
Securities lending income, net | 1,497 |
Total investment income | $1,948,926 |
Expenses | |
Investment advisory fee | $ 139,884 |
Administrative fee | 83,930 |
Distribution and service fees: | |
Class F | 2,621 |
Directors' fees and expenses | 4,108 |
Custodian fees | 1,010 |
Transfer agency fees and expenses | 45,415 |
Accounting fees | 12,278 |
Professional fees | 10,857 |
Reports to shareholders | 16,824 |
Miscellaneous | 16,761 |
Total expenses | $ 333,688 |
Waiver and/or reimbursement of expenses by affiliate | (107,081) |
Net expenses | $ 226,607 |
Net investment income | $1,722,319 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 639,377 |
Net realized gain | $ 639,377 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 5,965,632 |
Net change in unrealized appreciation (depreciation) | $5,965,632 |
Net realized and unrealized gain | $6,605,009 |
Net increase in net assets resulting from operations | $8,327,328 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,722,319 | $ 3,833,169 |
Net realized gain | 639,377 | 79,167 |
Net change in unrealized appreciation (depreciation) | 5,965,632 | 7,563,201 |
Net increase in net assets from operations | $ 8,327,328 | $ 11,475,537 |
Distributions to shareholders: | ||
Class I | $ — | $ (4,426,996) |
Class F | — | (33,669) |
Total distributions to shareholders | $ — | $ (4,460,665) |
Capital share transactions: | ||
Class I | $ (12,678,498) | $ (6,563,466) |
Class F | 1,276,134 | 791,625 |
Net decrease in net assets from capital share transactions | $ (11,402,364) | $ (5,771,841) |
Net increase (decrease) in net assets | $ (3,075,036) | $ 1,243,031 |
Net Assets | ||
At beginning of period | $ 141,433,654 | $ 140,190,623 |
At end of period | $138,358,618 | $141,433,654 |
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Class I | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 55.68 | $ 53.01 | $ 54.93 | $ 54.60 | $ 54.84 | $ 54.90 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.71 | $ 1.50 | $ 1.50 | $ 1.44 | $ 1.33 | $ 1.19 |
Net realized and unrealized gain (loss) | 2.70 | 2.96 | (1.73) | 0.46 | 0.08 | (1.17) |
Total income (loss) from operations | $ 3.41 | $ 4.46 | $ (0.23) | $ 1.90 | $ 1.41 | $ 0.02 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.65) | $ (0.08) |
Total distributions | $ — | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.65) | $ (0.08) |
Net asset value — End of period | $ 59.09 | $ 55.68 | $ 53.01 | $ 54.93 | $ 54.60 | $ 54.84 |
Total Return(2) | 6.13% (3) | 8.41% | (0.37)% | 3.49% | 2.59% | 0.04% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 135,703 | $ 140,169 | $ 139,729 | $ 166,650 | $ 166,414 | $ 190,437 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.47% (5) | 0.43% | 0.44% | 0.45% | 0.54% | 0.52% |
Net expenses | 0.32% (5) | 0.32% | 0.32% | 0.32% | 0.46% | 0.52% |
Net investment income | 2.47% (5) | 2.71% | 2.81% | 2.60% | 2.34% | 2.16% |
Portfolio Turnover | 7% (3) | 10% | 7% | 14% | 10% | 6% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
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Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015(1) | ||||
2019 | 2018 | 2017 | 2016 | |||
Net asset value — Beginning of period | $ 54.97 | $ 52.48 | $ 54.53 | $ 54.36 | $ 54.79 | $ 55.33 |
Income (Loss) From Operations | ||||||
Net investment income(2) | $ 0.62 | $ 1.33 | $ 1.36 | $ 1.30 | $ 1.19 | $ 0.19 |
Net realized and unrealized gain (loss) | 2.68 | 2.95 | (1.72) | 0.44 | 0.09 | (0.62) |
Total income (loss) from operations | $ 3.30 | $ 4.28 | $ (0.36) | $ 1.74 | $ 1.28 | $ (0.43) |
Less Distributions | ||||||
From net investment income | $ — | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.71) | $ (0.11) |
Total distributions | $ — | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.71) | $ (0.11) |
Net asset value — End of period | $ 58.27 | $ 54.97 | $ 52.48 | $ 54.53 | $ 54.36 | $ 54.79 |
Total Return(3) | 6.00% (4) | 8.15% | (0.61)% | 3.21% | 2.36% | (0.78)% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 2,656 | $ 1,265 | $ 461 | $ 495 | $ 206 | $ 99 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Total expenses | 0.72% (6) | 0.68% | 0.69% | 1.21% | 3.18% | 0.78% (6) |
Net expenses | 0.57% (6) | 0.57% | 0.57% | 0.57% | 0.71% | 0.78% (6) |
Net investment income | 2.19% (6) | 2.42% | 2.57% | 2.37% | 2.09% | 2.01% (6) |
Portfolio Turnover | 7% (4) | 10% | 7% | 14% | 10% | 6% (4) |
(1) | From October 30, 2015 inception. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
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Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 621,877 | $ — | $ 621,877 |
Commercial Mortgage-Backed Securities | — | 3,160,528 | — | 3,160,528 |
Corporate Bonds | — | 39,978,988 | — | 39,978,988 |
Sovereign Government Bonds | — | 1,087,262 | — | 1,087,262 |
Taxable Municipal Obligations | — | 1,079,220 | — | 1,079,220 |
U.S. Government Agencies and Instrumentalities | — | 4,289,929 | — | 4,289,929 |
U.S. Government Agency Mortgage-Backed Securities | — | 35,639,003 | — | 35,639,003 |
U.S. Treasury Obligations | — | 50,344,855 | — | 50,344,855 |
Short-Term Investments | — | 2,330,510 | — | 2,330,510 |
Total Investments | $ — | $138,532,172 | $ — | $138,532,172 |
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Aggregate cost | $126,226,502 |
Gross unrealized appreciation | $ 12,341,284 |
Gross unrealized depreciation | (35,614) |
Net unrealized appreciation | $ 12,305,670 |
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund,LLC | $ — | $4,540,600 | $(2,210,090) | $ — | $ — | $2,330,510 | $142 | 2,330,510 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 168,275 | $ 9,721,557 | 156,495 | $ 8,596,436 | |
Reinvestment of distributions | — | — | 79,337 | 4,426,996 | |
Shares redeemed | (389,025) | (22,400,055) | (354,477) | (19,586,898) | |
Net decrease | (220,750) | $(12,678,498) | (118,645) | $ (6,563,466) | |
Class F | |||||
Shares sold | 24,630 | $ 1,393,283 | 14,986 | $ 834,093 | |
Reinvestment of distributions | — | — | 611 | 33,669 | |
Shares redeemed | (2,059) | (117,149) | (1,380) | (76,137) | |
Net increase | 22,571 | $ 1,276,134 | 14,217 | $ 791,625 |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class F at NAV | 04/30/2013 | 04/30/2013 | (7.85)% | (1.21)% | 3.65% | 4.41% |
S&P 500® Daily Risk Control 12% Index | — | — | (5.83)% | 2.45% | 8.50% | 9.44% |
Growth Portfolio Blended Benchmark | — | — | (3.01) | 4.67 | 7.39 | 8.14 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 0.98% |
Net | 0.92 |
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Top 10 Holdings (% of net assets)* | |
Vanguard S&P 500 ETF | 23.2% |
Vanguard FTSE Developed Markets ETF | 14.5 |
iShares Core U.S. Aggregate Bond ETF | 14.3 |
iShares S&P 500 Growth ETF | 10.9 |
iShares S&P 500 Value ETF | 9.3 |
iShares Core S&P Mid-Cap ETF | 5.7 |
iShares Russell 2000 ETF | 4.5 |
Vanguard REIT ETF | 3.7 |
Financial Select Sector SPDR Fund | 2.2 |
Vanguard FTSE Emerging Markets ETF | 2.0 |
Total | 90.3% |
* | Excludes cash and cash equivalents. |
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1 | S&P 500® Daily Risk Control 12% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 12%. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. 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. ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Growth Portfolio Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 58% Russell 3000® Index, 18% Bloomberg Barclays U.S. Aggregate Bond Index, 16% MSCI EAFE Index, 4% ICE BofA 3-Month U.S. Treasury Bill Index, and 4% MSCI USA IMI/Equity REITs Index, which 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.Fund profile subject to change due to active management. |
Important Notice to Shareholders | |
Effective January 1, 2020, the ICE BofAML indices were rebranded as ICE BofA indices. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $ 921.50 | $3.97 ** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.74 | $4.17 ** | 0.83% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. 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. |
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Exchange-Traded Funds — 91.2% |
Security | Shares | Value | |
Equity Exchange-Traded Funds — 76.9% | |||
Financial Select Sector SPDR Fund(1) | 128,000 | $ 2,961,920 | |
iShares Core S&P Mid-Cap ETF | 42,000 | 7,468,440 | |
iShares Russell 2000 ETF(1) | 41,000 | 5,870,380 | |
iShares S&P 500 Growth ETF(1) | 69,000 | 14,316,810 | |
iShares S&P 500 Value ETF | 113,000 | 12,227,730 | |
iShares S&P Mid-Cap 400 Value ETF(1) | 9,000 | 1,196,460 | |
Vanguard FTSE Developed Markets ETF | 494,000 | 19,162,260 | |
Vanguard FTSE Emerging Markets ETF | 67,000 | 2,653,870 | |
Vanguard REIT ETF(1) | 62,000 | 4,868,860 | |
Vanguard S&P 500 ETF | 108,000 | 30,610,440 | |
$ 101,337,170 | |||
Fixed-Income Exchange-Traded Fund — 14.3% | |||
iShares Core U.S. Aggregate Bond ETF | 160,000 | $ 18,913,600 | |
$ 18,913,600 | |||
Total Exchange-Traded Funds (identified cost $95,270,851) | $ 120,250,770 |
Short-Term Investments — 20.9% | |||
Other — 6.1% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(2) | 7,999,458 | $ 7,999,458 | |
Total Other (identified cost $7,999,458) | $ 7,999,458 | ||
Securities Lending Collateral — 14.8% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(3) | 19,582,695 | $ 19,582,695 | |
Total Securities Lending Collateral (identified cost $19,582,695) | $ 19,582,695 | ||
Total Short-Term Investments (identified cost $27,582,153) | $ 27,582,153 | ||
Total Investments — 112.1% (identified cost $122,853,004) | $ 147,832,923 | ||
Other Assets, Less Liabilities — (12.1)% | $ (16,015,009) | ||
Net Assets — 100.0% | $ 131,817,914 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $23,984,369. | |
(2) | 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 June 30, 2020. | |
(3) | Represents investment of cash collateral received in connection with securities lending. |
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Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini Russell 2000 Index | (101) | Short | 9/18/20 | $ (7,259,880) | $ (217,203) |
E-mini S&P 500 Index | (177) | Short | 9/18/20 | (27,348,270) | (317,516) |
E-mini S&P MidCap 400 Index | (29) | Short | 9/18/20 | (5,159,390) | (38,952) |
MSCI EAFE Index | (123) | Short | 9/18/20 | (10,937,160) | (42,422) |
$(616,093) |
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June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $114,853,546) - including $23,984,369 of securities on loan | $ 139,833,465 |
Investments in securities of affiliated issuers, at value (identified cost $7,999,458) | 7,999,458 |
Deposits at broker for futures contracts | 4,287,800 |
Receivable for investments sold | 42,574 |
Dividends receivable | 154,796 |
Dividends receivable - affiliated | 747 |
Securities lending income receivable | 4,009 |
Receivable from affiliate | 18,907 |
Directors' deferred compensation plan | 37,685 |
Total assets | $152,379,441 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 264,304 |
Payable for capital shares redeemed | 559,469 |
Deposits for securities loaned | 19,582,695 |
Payable to affiliates: | |
Investment advisory fee | 45,984 |
Administrative fee | 13,139 |
Distribution and service fees | 27,372 |
Sub-transfer agency fee | 10 |
Directors' deferred compensation plan | 37,685 |
Accrued expenses | 30,869 |
Total liabilities | $ 20,561,527 |
Net Assets | $131,817,914 |
Sources of Net Assets | |
Paid-in capital | $ 107,747,782 |
Distributable earnings | 24,070,132 |
Total | $131,817,914 |
Class F Shares | |
Net Assets | $ 131,817,914 |
Shares Outstanding | 6,885,570 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 19.14 |
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Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income | $ 1,134,574 |
Dividend income - affiliated issuers | 747 |
Interest income | 12,981 |
Securities lending income, net | 13,109 |
Total investment income | $ 1,161,411 |
Expenses | |
Investment advisory fee | $ 289,109 |
Administrative fee | 82,603 |
Distribution and service fees | 172,089 |
Directors' fees and expenses | 3,838 |
Custodian fees | 5,158 |
Transfer agency fees and expenses | 40,642 |
Accounting fees | 18,922 |
Professional fees | 10,760 |
Reports to shareholders | 7,677 |
Miscellaneous | 4,096 |
Total expenses | $ 634,894 |
Waiver and/or reimbursement of expenses by affiliate | (63,393) |
Net expenses | $ 571,501 |
Net investment income | $ 589,910 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 1,227,364 |
Futures contracts | (2,864,678) |
Net realized loss | $ (1,637,314) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (9,885,119) |
Futures contracts | (779,950) |
Net change in unrealized appreciation (depreciation) | $(10,665,069) |
Net realized and unrealized loss | $(12,302,383) |
Net decrease in net assets from operations | $(11,712,473) |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 589,910 | $ 2,291,375 |
Net realized gain (loss) | (1,637,314) | 719,877 |
Net change in unrealized appreciation (depreciation) | (10,665,069) | 23,819,537 |
Net increase (decrease) in net assets from operations | $ (11,712,473) | $ 26,830,789 |
Distributions to shareholders | $ — | $ (2,046,756) |
Net decrease in net assets from capital share transactions | $ (7,852,415) | $ (23,448,227) |
Net increase (decrease) in net assets | $ (19,564,888) | $ 1,335,806 |
Net Assets | ||
At beginning of period | $ 151,382,802 | $ 150,046,996 |
At end of period | $131,817,914 | $151,382,802 |
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Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 20.77 | $ 17.67 | $ 19.31 | $ 16.70 | $ 15.82 | $ 16.60 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.08 | $ 0.29 | $ 0.25 | $ 0.23 | $ 0.24 | $ 0.23 |
Net realized and unrealized gain (loss) | (1.71) | 3.08 | (1.68) | 2.59 | 0.64 | (0.82) |
Total income (loss) from operations | $ (1.63) | $ 3.37 | $ (1.43) | $ 2.82 | $ 0.88 | $ (0.59) |
Less Distributions | ||||||
From net investment income | $ — | $ (0.27) | $ (0.21) | $ (0.21) | $ — | $ (0.19) |
From net realized gain | — | — | — | — | — | — (2) |
Total distributions | $ — | $ (0.27) | $ (0.21) | $ (0.21) | $ — | $ (0.19) |
Net asset value — End of period | $ 19.14 | $ 20.77 | $ 17.67 | $ 19.31 | $ 16.70 | $ 15.82 |
Total Return(3) | (7.85)% (4) | 19.22% | (7.50)% | 16.92% | 5.56% | (3.51)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 131,818 | $ 151,383 | $ 150,047 | $ 156,279 | $ 128,460 | $ 113,084 |
Ratios (as a percentage of average daily net assets):(5)(6) | ||||||
Total expenses | 0.92% (7) | 0.89% | 0.87% | 0.87% | 0.90% | 0.86% |
Net expenses | 0.83% (7) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.86% (7) | 1.48% | 1.32% | 1.25% | 1.48% | 1.37% |
Portfolio Turnover | 6% (4) | 7% | 13% | 7% | 10% | 17% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $(0.005). |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
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Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 120,250,770 | $ — | $ — | $ 120,250,770 |
Short-Term Investments: | ||||
Other | — | 7,999,458 | — | 7,999,458 |
Securities Lending Collateral | 19,582,695 | — | — | 19,582,695 |
Total Investments | $139,833,465 | $7,999,458 | $ — | $147,832,923 |
Liability Description | ||||
Futures Contracts | $ (616,093) | $ — | $ — | $ (616,093) |
Total | $ (616,093) | $ — | $ — | $ (616,093) |
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Aggregate cost | $123,114,747 |
Gross unrealized appreciation | $ 24,813,254 |
Gross unrealized depreciation | (711,171) |
Net unrealized appreciation | $ 24,102,083 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $— | $(616,093) (1) |
(1) | 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. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $(2,864,678) | $(779,950) |
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Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $19,582,695 | $ — | $ — | $ — | $19,582,695 |
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $14,179,601 | $(6,180,143) | $ — | $ — | $7,999,458 | $747 | 7,999,458 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 19,600 | $ 400,322 | 296,898 | $ 5,709,104 | |
Reinvestment of distributions | — | — | 107,951 | 2,046,756 | |
Shares redeemed | (421,126) | (8,252,737) | (1,607,914) | (31,204,087) | |
Net decrease | (401,526) | $(7,852,415) | (1,203,065) | $(23,448,227) |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class F at NAV | 04/30/2013 | 04/30/2013 | (3.55)% | 2.26% | 4.50% | 4.53% |
S&P 500® Daily Risk Control 7.5% Index | — | — | (2.98)% | 2.77% | 6.31% | 6.66% |
Moderate Portfolio Blended Benchmark | — | — | 0.67 | 6.52 | 6.33 | 6.40 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 0.97% |
Net | 0.90 |
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Top 10 Holdings (% of net assets)* | |
Vanguard Total Bond Market ETF | 22.2% |
iShares Core U.S. Aggregate Bond ETF | 22.1 |
Vanguard S&P 500 ETF | 20.2 |
Vanguard FTSE Developed Markets ETF | 8.8 |
iShares S&P 500 Growth ETF | 3.7 |
iShares S&P 500 Value ETF | 3.2 |
iShares Russell 2000 ETF | 2.7 |
iShares Core S&P Mid-Cap ETF | 2.6 |
Vanguard REIT ETF | 1.7 |
Vanguard FTSE Emerging Markets ETF | 1.5 |
Total | 88.7% |
* | Excludes cash and cash equivalents. |
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1 | S&P 500® Daily Risk Control 7.5% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 7.5%. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. 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 EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. 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. ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Moderate Portfolio Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 48% Bloomberg Barclays U.S. Aggregate Bond Index, 36% Russell 3000® Index, 10% MSCI EAFE Index, 4% ICE BofA 3-Month U.S. Treasury Bill Index, and 2% MSCI USA IMI/Equity REITs Index, which 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
Effective January 1, 2020, the ICE BofAML indices were rebranded as ICE BofA indices. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $ 964.50 | $4.05 ** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.74 | $4.17 ** | 0.83% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. 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. |
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Exchange-Traded Funds — 90.8% |
Security | Shares | Value | |
Equity Exchange-Traded Funds — 46.5% | |||
Financial Select Sector SPDR Fund(1) | 58,000 | $ 1,342,120 | |
iShares Core S&P Mid-Cap ETF | 15,000 | 2,667,300 | |
iShares Russell 2000 ETF(1) | 19,000 | 2,720,420 | |
iShares S&P 500 Growth ETF | 18,000 | 3,734,820 | |
iShares S&P 500 Value ETF | 30,000 | 3,246,300 | |
iShares S&P Mid-Cap 400 Value ETF | 6,000 | 797,640 | |
Vanguard FTSE Developed Markets ETF | 229,000 | 8,882,910 | |
Vanguard FTSE Emerging Markets ETF | 38,000 | 1,505,180 | |
Vanguard REIT ETF(1) | 22,000 | 1,727,660 | |
Vanguard S&P 500 ETF | 72,000 | 20,406,960 | |
$ 47,031,310 | |||
Fixed-Income Exchange-Traded Funds — 44.3% | |||
iShares Core U.S. Aggregate Bond ETF | 189,000 | $ 22,341,690 | |
Vanguard Total Bond Market ETF(1) | 254,000 | 22,438,360 | |
$ 44,780,050 | |||
Total Exchange-Traded Funds (identified cost $77,935,827) | $ 91,811,360 |
Short-Term Investments — 10.6% | |||
Other — 8.0% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(2) | 8,148,514 | $ 8,148,514 | |
Total Other (identified cost $8,148,514) | $ 8,148,514 | ||
Securities Lending Collateral — 2.6% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(3) | 2,636,034 | $ 2,636,034 | |
Total Securities Lending Collateral (identified cost $2,636,034) | $ 2,636,034 | ||
Total Short-Term Investments (identified cost $10,784,548) | $ 10,784,548 | ||
Total Investments — 101.4% (identified cost $88,720,375) | $ 102,595,908 | ||
Other Assets, Less Liabilities — (1.4)% | $ (1,461,229) | ||
Net Assets — 100.0% | $ 101,134,679 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $7,144,855. | |
(2) | 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 June 30, 2020. | |
(3) | Represents investment of cash collateral received in connection with securities lending. |
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Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini Russell 2000 Index | (25) | Short | 9/18/20 | $(1,797,000) | $ (57,859) |
E-mini S&P 500 Index | (53) | Short | 9/18/20 | (8,189,030) | (133,695) |
E-mini S&P MidCap 400 Index | (7) | Short | 9/18/20 | (1,245,370) | (13,425) |
MSCI EAFE Index | (35) | Short | 9/18/20 | (3,112,200) | (13,071) |
$(218,050) |
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June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $80,571,861) - including $7,144,855 of securities on loan | $ 94,447,394 |
Investments in securities of affiliated issuers, at value (identified cost $8,148,514) | 8,148,514 |
Deposits at broker for futures contracts | 1,209,000 |
Receivable for capital shares sold | 17,220 |
Dividends receivable | 103,197 |
Dividends receivable - affiliated | 719 |
Securities lending income receivable | 1,544 |
Receivable from affiliate | 7,210 |
Directors' deferred compensation plan | 26,387 |
Total assets | $103,961,185 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 66,078 |
Payable for capital shares redeemed | 2,266 |
Deposits for securities loaned | 2,636,034 |
Payable to affiliates: | |
Investment advisory fee | 34,552 |
Administrative fee | 9,872 |
Distribution and service fees | 20,567 |
Sub-transfer agency fee | 9 |
Directors' deferred compensation plan | 26,387 |
Accrued expenses | 30,741 |
Total liabilities | $ 2,826,506 |
Net Assets | $101,134,679 |
Sources of Net Assets | |
Paid-in capital | $ 85,501,275 |
Distributable earnings | 15,633,404 |
Total | $101,134,679 |
Class F Shares | |
Net Assets | $ 101,134,679 |
Shares Outstanding | 5,559,267 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 18.19 |
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Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income | $ 910,032 |
Dividend income - affiliated issuers | 719 |
Interest income | 8,573 |
Securities lending income, net | 6,353 |
Total investment income | $ 925,677 |
Expenses | |
Investment advisory fee | $ 214,819 |
Administrative fee | 61,377 |
Distribution and service fees | 127,868 |
Directors' fees and expenses | 2,918 |
Custodian fees | 561 |
Transfer agency fees and expenses | 30,330 |
Accounting fees | 10,809 |
Professional fees | 9,793 |
Reports to shareholders | 9,689 |
Miscellaneous | 3,298 |
Total expenses | $ 471,462 |
Waiver and/or reimbursement of expenses by affiliate | (46,812) |
Net expenses | $ 424,650 |
Net investment income | $ 501,027 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 251,526 |
Futures contracts | (2,285,329) |
Net realized loss | $(2,033,803) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (2,187,329) |
Futures contracts | (343,878) |
Net change in unrealized appreciation (depreciation) | $(2,531,207) |
Net realized and unrealized loss | $(4,565,010) |
Net decrease in net assets from operations | $(4,063,983) |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 501,027 | $ 1,767,750 |
Net realized gain (loss) | (2,033,803) | 2,301,853 |
Net change in unrealized appreciation (depreciation) | (2,531,207) | 12,837,725 |
Net increase (decrease) in net assets from operations | $ (4,063,983) | $ 16,907,328 |
Distributions to shareholders | $ — | $ (2,410,264) |
Net decrease in net assets from capital share transactions | $ (4,932,260) | $ (7,571,178) |
Net increase (decrease) in net assets | $ (8,996,243) | $ 6,925,886 |
Net Assets | ||
At beginning of period | $ 110,130,922 | $ 103,205,036 |
At end of period | $101,134,679 | $110,130,922 |
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Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 18.86 | $ 16.49 | $ 18.18 | $ 16.52 | $ 15.50 | $ 16.01 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.09 | $ 0.29 | $ 0.27 | $ 0.23 | $ 0.24 | $ 0.23 |
Net realized and unrealized gain (loss) | (0.76) | 2.49 | (1.26) | 1.77 | 0.78 | (0.42) |
Total income (loss) from operations | $ (0.67) | $ 2.78 | $ (0.99) | $ 2.00 | $ 1.02 | $ (0.19) |
Less Distributions | ||||||
From net investment income | $ — | $ (0.28) | $ (0.25) | $ (0.23) | $ —(2) | $ (0.22) |
From net realized gain | — | (0.13) | (0.45) | (0.11) | — (2) | (0.10) |
Total distributions | $ — | $ (0.41) | $ (0.70) | $ (0.34) | $ —(2) | $ (0.32) |
Net asset value — End of period | $ 18.19 | $ 18.86 | $ 16.49 | $ 18.18 | $ 16.52 | $ 15.50 |
Total Return(3) | (3.55)% (4) | 17.02% | (5.73)% | 12.16% | 6.61% | (1.22)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 101,135 | $ 110,131 | $ 103,205 | $ 118,478 | $ 110,067 | $ 96,245 |
Ratios (as a percentage of average daily net assets):(5)(6) | ||||||
Total expenses | 0.92% (7) | 0.90% | 0.89% | 0.89% | 0.90% | 0.88% |
Net expenses | 0.83% (7) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.98% (7) | 1.63% | 1.51% | 1.33% | 1.48% | 1.42% |
Portfolio Turnover | 6% (4) | 6% | 11% | 9% | 10% | 21% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $(0.005). |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
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Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 91,811,360 | $ — | $ — | $ 91,811,360 |
Short-Term Investments: | ||||
Other | — | 8,148,514 | — | 8,148,514 |
Securities Lending Collateral | 2,636,034 | — | — | 2,636,034 |
Total Investments | $94,447,394 | $8,148,514 | $ — | $102,595,908 |
Liability Description | ||||
Futures Contracts | $ (218,050) | $ — | $ — | $ (218,050) |
Total | $ (218,050) | $ — | $ — | $ (218,050) |
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Aggregate cost | $89,113,860 |
Gross unrealized appreciation | $ 13,529,089 |
Gross unrealized depreciation | (265,091) |
Net unrealized appreciation | $13,263,998 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $— | $(218,050) (1) |
(1) | 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. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $(2,285,329) | $(343,878) |
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Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $2,636,034 | $ — | $ — | $ — | $2,636,034 |
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $9,928,289 | $(1,779,775) | $ — | $ — | $8,148,514 | $719 | 8,148,514 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 112,408 | $ 2,046,922 | 59,653 | $ 1,048,610 | |
Reinvestment of distributions | — | — | 135,713 | 2,410,264 | |
Shares redeemed | (391,815) | (6,979,182) | (614,232) | (11,030,052) | |
Net decrease | (279,407) | $(4,932,260) | (418,866) | $ (7,571,178) |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class F at NAV | 04/30/2013 | 04/30/2013 | (6.06)% | 0.34% | 4.18% | 4.61% |
S&P 500® Daily Risk Control 10% Index | — | — | (4.74)% | 2.40% | 7.91% | 8.46% |
Moderate Growth Portfolio Blended Benchmark | — | — | (1.13) | 5.65 | 6.89 | 7.29 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 0.98% |
Net | 0.90 |
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Top 10 Holdings (% of net assets)* | |
Vanguard S&P 500 ETF | 23.3% |
iShares Core U.S. Aggregate Bond ETF | 18.7 |
Vanguard FTSE Developed Markets ETF | 11.7 |
Vanguard Total Bond Market ETF | 10.4 |
iShares S&P 500 Growth ETF | 6.2 |
iShares S&P 500 Value ETF | 5.4 |
iShares Core S&P Mid-Cap ETF | 4.0 |
iShares Russell 2000 ETF | 3.4 |
Vanguard REIT ETF | 2.9 |
Vanguard FTSE Emerging Markets ETF | 1.8 |
Total | 87.8% |
* | Excludes cash and cash equivalents. |
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1 | S&P 500® Daily Risk Control 10% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 10%. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. 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. ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Moderate Growth Portfolio Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 47% Russell 3000® Index, 33% Bloomberg Barclays U.S. Aggregate Bond Index, 13% MSCI EAFE Index, 4% ICE BofA 3-Month U.S. Treasury Bill Index, and 3% MSCI USA IMI/Equity REITs Index, which 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 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
Effective January 1, 2020, the ICE BofAML indices were rebranded as ICE BofA indices. |
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Beginning Account Value (1/1/20) | Ending Account Value (6/30/20) | Expenses Paid During Period* (1/1/20 – 6/30/20) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $ 939.40 | $4.00 ** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.74 | $4.17 ** | 0.83% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2019. Expenses shown do not include insurance-related charges. 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. |
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Exchange-Traded Funds — 90.2% |
Security | Shares | Value | |
Equity Exchange-Traded Funds — 61.1% | |||
Financial Select Sector SPDR Fund(1) | 60,000 | $ 1,388,400 | |
iShares Core S&P Mid-Cap ETF | 18,000 | 3,200,760 | |
iShares Russell 2000 ETF(1) | 19,000 | 2,720,420 | |
iShares S&P 500 Growth ETF(1) | 24,000 | 4,979,760 | |
iShares S&P 500 Value ETF | 40,300 | 4,360,863 | |
iShares S&P Mid-Cap 400 Value ETF | 4,000 | 531,760 | |
Vanguard FTSE Developed Markets ETF | 243,000 | 9,425,970 | |
Vanguard FTSE Emerging Markets ETF | 36,000 | 1,425,960 | |
Vanguard REIT ETF(1) | 30,000 | 2,355,900 | |
Vanguard S&P 500 ETF | 66,000 | 18,706,380 | |
$ 49,096,173 | |||
Fixed-Income Exchange-Traded Funds — 29.1% | |||
iShares Core U.S. Aggregate Bond ETF | 127,000 | $ 15,012,670 | |
Vanguard Total Bond Market ETF | 95,000 | 8,392,300 | |
$ 23,404,970 | |||
Total Exchange-Traded Funds (identified cost $59,912,008) | $ 72,501,143 |
Short-Term Investments — 14.7% | |||
Other — 7.8% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(2) | 6,218,338 | $ 6,218,338 | |
Total Other (identified cost $6,218,338) | $ 6,218,338 | ||
Securities Lending Collateral — 6.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(3) | 5,540,608 | $ 5,540,608 | |
Total Securities Lending Collateral (identified cost $5,540,608) | $ 5,540,608 | ||
Total Short-Term Investments (identified cost $11,758,946) | $ 11,758,946 | ||
Total Investments — 104.9% (identified cost $71,670,954) | $ 84,260,089 | ||
Other Assets, Less Liabilities — (4.9)% | $ (3,902,114) | ||
Net Assets — 100.0% | $ 80,357,975 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $10,342,383. | |
(2) | 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 June 30, 2020. | |
(3) | Represents investment of cash collateral received in connection with securities lending. |
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Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini Russell 2000 Index | (36) | Short | 9/18/20 | $ (2,587,680) | $ (92,945) |
E-mini S&P 500 Index | (70) | Short | 9/18/20 | (10,815,700) | (180,290) |
E-mini S&P MidCap 400 Index | (10) | Short | 9/18/20 | (1,779,100) | 5,238 |
MSCI EAFE Index | (48) | Short | 9/18/20 | (4,268,160) | (25,311) |
$(293,308) |
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June 30, 2020 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $65,452,616) - including $10,342,383 of securities on loan | $ 78,041,751 |
Investments in securities of affiliated issuers, at value (identified cost $6,218,338) | 6,218,338 |
Deposits at broker for futures contracts | 1,642,800 |
Receivable for capital shares sold | 77,320 |
Dividends receivable | 94,598 |
Dividends receivable - affiliated | 590 |
Securities lending income receivable | 1,743 |
Receivable from affiliate | 10,320 |
Directors' deferred compensation plan | 21,384 |
Total assets | $86,108,844 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 103,263 |
Payable for capital shares redeemed | 1,652 |
Deposits for securities loaned | 5,540,608 |
Payable to affiliates: | |
Investment advisory fee | 27,694 |
Administrative fee | 7,912 |
Distribution and service fees | 16,484 |
Sub-transfer agency fee | 38 |
Directors' deferred compensation plan | 21,384 |
Accrued expenses | 31,834 |
Total liabilities | $ 5,750,869 |
Net Assets | $80,357,975 |
Sources of Net Assets | |
Paid-in capital | $ 67,482,640 |
Distributable earnings | 12,875,335 |
Total | $80,357,975 |
Class F Shares | |
Net Assets | $ 80,357,975 |
Shares Outstanding | 4,317,829 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 18.61 |
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Six Months Ended | |
June 30, 2020 | |
Investment Income | |
Dividend income | $ 705,637 |
Dividend income - affiliated issuers | 590 |
Interest income | 7,139 |
Securities lending income, net | 6,802 |
Total investment income | $ 720,168 |
Expenses | |
Investment advisory fee | $ 172,482 |
Administrative fee | 49,281 |
Distribution and service fees | 102,668 |
Directors' fees and expenses | 2,314 |
Custodian fees | 4,413 |
Transfer agency fees and expenses | 24,397 |
Accounting fees | 8,784 |
Professional fees | 9,083 |
Reports to shareholders | 10,743 |
Miscellaneous | 2,993 |
Total expenses | $ 387,158 |
Waiver and/or reimbursement of expenses by affiliate | (46,199) |
Net expenses | $ 340,959 |
Net investment income | $ 379,209 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 219,043 |
Futures contracts | (2,059,804) |
Net realized loss | $(1,840,761) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (3,527,336) |
Futures contracts | (381,994) |
Net change in unrealized appreciation (depreciation) | $(3,909,330) |
Net realized and unrealized loss | $(5,750,091) |
Net decrease in net assets from operations | $(5,370,882) |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 379,209 | $ 1,362,637 |
Net realized gain (loss) | (1,840,761) | 1,363,817 |
Net change in unrealized appreciation (depreciation) | (3,909,330) | 12,151,537 |
Net increase (decrease) in net assets from operations | $ (5,370,882) | $14,877,991 |
Distributions to shareholders | $ — | $ (2,326,382) |
Net decrease in net assets from capital share transactions | $ (3,451,876) | $ (6,715,494) |
Net increase (decrease) in net assets | $ (8,822,758) | $ 5,836,115 |
Net Assets | ||
At beginning of period | $ 89,180,733 | $ 83,344,618 |
At end of period | $80,357,975 | $89,180,733 |
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Class F | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net asset value — Beginning of period | $ 19.81 | $ 17.18 | $ 18.90 | $ 16.69 | $ 15.65 | $ 16.20 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.09 | $ 0.29 | $ 0.26 | $ 0.23 | $ 0.24 | $ 0.24 |
Net realized and unrealized gain (loss) | (1.29) | 2.86 | (1.49) | 2.19 | 0.82 | (0.61) |
Total income (loss) from operations | $ (1.20) | $ 3.15 | $ (1.23) | $ 2.42 | $ 1.06 | $ (0.37) |
Less Distributions | ||||||
From net investment income | $ — | $ (0.28) | $ (0.23) | $ (0.21) | $ (0.02) | $ (0.16) |
From net realized gain | — | (0.24) | (0.26) | — | — | (0.02) |
Total distributions | $ — | $ (0.52) | $ (0.49) | $ (0.21) | $ (0.02) | $ (0.18) |
Net asset value — End of period | $ 18.61 | $ 19.81 | $ 17.18 | $ 18.90 | $ 16.69 | $ 15.65 |
Total Return(2) | (6.06)% (3) | 18.56% | (6.69)% | 14.55% | 6.78% | (2.29)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 80,358 | $ 89,181 | $ 83,345 | $ 94,689 | $ 81,859 | $ 64,310 |
Ratios (as a percentage of average daily net assets):(4)(5) | ||||||
Total expenses | 0.94% (6) | 0.91% | 0.89% | 0.91% | 0.94% | 0.90% |
Net expenses | 0.83% (6) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.92% (6) | 1.56% | 1.40% | 1.29% | 1.49% | 1.48% |
Portfolio Turnover | 7% (3) | 7% | 14% | 8% | 6% | 16% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
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Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 72,501,143 | $ — | $ — | $ 72,501,143 |
Short-Term Investments: | ||||
Other | — | 6,218,338 | — | 6,218,338 |
Securities Lending Collateral | 5,540,608 | — | — | 5,540,608 |
Total Investments | $78,041,751 | $6,218,338 | $ — | $84,260,089 |
Futures Contracts | $ 5,238 | $ — | $ — | $ 5,238 |
Total | $78,046,989 | $6,218,338 | $ — | $84,265,327 |
Liability Description | ||||
Futures Contracts | $ (298,546) | $ — | $ — | $ (298,546) |
Total | $ (298,546) | $ — | $ — | $ (298,546) |
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Aggregate cost | $71,796,149 |
Gross unrealized appreciation | $ 12,498,321 |
Gross unrealized depreciation | (327,689) |
Net unrealized appreciation | $12,170,632 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $5,238 (1) | $(298,546) (1) |
(1) | 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. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $(2,059,804) | $(381,994) |
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Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $5,540,608 | $ — | $ — | $ — | $5,540,608 |
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $ — | $8,764,114 | $(2,545,776) | $ — | $ — | $6,218,338 | $590 | 6,218,338 |
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Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 61,888 | $ 1,126,716 | 119,457 | $ 2,227,334 | |
Reinvestment of distributions | — | — | 126,709 | 2,326,382 | |
Shares redeemed | (245,545) | (4,578,592) | (596,765) | (11,269,210) | |
Net decrease | (183,657) | $(3,451,876) | (350,599) | $ (6,715,494) |
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Officers |
Hope L. Brown Chief Compliance Officer |
Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
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 Director and President |
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• | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
• | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
• | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
• | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.calvert.com. |
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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.
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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 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.
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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. |
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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 Variable Products, Inc.
By: | /s/ John H. Streur | |
John H. Streur | ||
President |
Date: August 19, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John H. Streur | |
John H. Streur | ||
President |
Date: August 19, 2020
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer |
Date: August 19, 2020