UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-09877
CALVERT RESPONSIBLE INDEX SERIES, 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 Services)
(202) 238-2200
(Registrant’s Telephone Number)
September 30
Date of Fiscal Year End
September 30, 2017
Date of Reporting Period
Item 1. Reports to Stockholders
Calvert US Large-Cap Core Responsible Index Fund (formerly, Calvert U.S. Large Cap Core Responsible Index Fund)
Calvert US Large-Cap Growth Responsible Index Fund (formerly, Calvert U.S. Large Cap Growth Responsible Index Fund)
Calvert US Large-Cap Value Responsible Index Fund (formerly, U.S. Large Cap Value Responsible Index Fund)
Calvert US Mid-Cap Core Responsible Index Fund (formerly, U.S. Mid Cap Core Responsible Index Fund)
Calvert International Responsible Index Fund (formerly, Calvert Developed Markets Ex-U.S. Responsible Index Fund)
Calvert US Large-Cap Core Responsible Index Fund | ||
Annual Report September 30, 2017 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Understanding Your Fund’s Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stocks delivered strong returns in the 12-month period ended September 30, 2017 behind an extended rally that began with Donald Trump's victory in the U.S. presidential election. After lagging early in the period, U.S stocks moved sharply higher following President Trump's election on November 8, 2016. While its effect was broad-based, the rally particularly favored financial stocks, which received another boost in mid-December when the U.S. Federal Reserve (the Fed) raised its benchmark interest rate amid continued economic growth. After a brief pullback in the final weeks of 2016, U.S. equities resumed their advance in early 2017. U.S. stocks slipped in March 2017, as the failure of President Trump's health care bill in Congress raised concerns about prospects for the rest of his policy agenda including tax reform and infrastructure spending. However, stocks quickly regained their upward momentum, advancing steadily despite additional Fed rate hikes in March and June. Encouraged by a range of economic indicators, particularly U.S. job market gains, many investors viewed the rate hikes as a sign of a strengthening economy. U.S. equities retreated again in August amid rising geopolitical tensions over the North Korea stand-off and the devastation in Texas left by Hurricane Harvey. Stocks soon resumed their upward trend, with some U.S. indexes reaching record highs in the final month of the period. From a sector perspective, energy stocks delivered notable performance in the quarter as oil prices rose and refinery damage from Hurricane Harvey constricted supplies. The massive flood damage from the hurricane also helped boost auto sales, which rose in September after declining for much of 2017. Major stock indexes recorded double-digit gains for the period. The blue-chip Dow Jones Industrial Average2 advanced 25.45%, while the broader U.S. equity market, as represented by the S&P 500 Index, rose 18.61%. The technology-laden NASDAQ Composite Index delivered a 23.68% gain. Small-cap U.S. stocks, as measured by the Russell 2000® Index, generally outperformed their large-cap counterparts as measured by the S&P 500 Index during the period. Growth stocks, as a group, outpaced value stocks in both the large- and small-cap categories, as measured by the Russell growth and value indexes. | Investment Strategy The Calvert US Large-Cap Core Responsible Index Fund (the Fund) uses a passive investment strategy to seek to track the performance of the Calvert US Large-Cap Core Responsible Index (the Index). This is accomplished by investing in all, or virtually all, of the stocks in the Index in approximately the same proportion. The Index is comprised of the largest stocks of mid- and large-cap companies domiciled in the United States, excluding real estate investment trusts, master limited partnerships, and similar types of securities that are selected based on their environmental, social and governance (ESG) profile that meets the Calvert Principles of Responsible Investing. The Index reconstitutes semi-annually and is rebalanced quarterly. Fund Performance For the fiscal year ending September 30, 2017, the Fund’s Class A shares at net asset value (NAV) had a total return of 17.71%. By comparison, the Fund’s primary benchmark, the Index, returned 18.43% during the period. The Fund's underperformance versus its benchmark was due to Fund expenses and fees, which the Index does not incur. Ten of the Fund's 11 economic sectors delivered positive returns for the 12-month period. The one sector that delivered a negative return was energy. The other weak performing sectors were consumer staples and telecommunications services. The strongest performing sectors were financials, information technology and real estate. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
2 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Thomas C. Seto of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class A at NAV | 06/30/2000 | 06/30/2000 | 17.71 | % | 14.01 | % | 6.99 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 12.10 | 12.91 | 6.47 | |||||||||
Class C at NAV | 06/30/2000 | 06/30/2000 | 16.85 | 13.10 | 6.04 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 15.85 | 13.10 | 6.04 | |||||||||
Class I at NAV | 06/30/2000 | 06/30/2000 | 18.17 | 14.53 | 7.53 | |||||||||
Class Y at NAV | 07/13/2012 | 06/30/2000 | 18.04 | 14.17 | 7.06 | |||||||||
Calvert US Large-Cap Core Responsible Index | — | — | 18.43 | % | 14.90 | % | 8.06 | % | ||||||
Russell 1000® Index | — | — | 18.54 | 14.26 | 7.54 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 0.70 | % | 1.52 | % | 0.37 | % | 0.48 | % | ||||||
Net | 0.54 | 1.29 | 0.19 | 0.29 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2007 | $17,982 | N.A. | ||||
Class I | $100,000 | 9/30/2007 | $206,734 | N.A. | ||||
Class Y | $10,000 | 9/30/2007 | $19,791 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 3
FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Information Technology | 25.4 | % | Apple, Inc. | 3.6 | % | ||
Financials | 15.8 | % | Alphabet, Inc., Class A | 3.0 | % | ||
Health Care | 15.0 | % | Microsoft Corp. | 2.6 | % | ||
Consumer Discretionary | 13.3 | % | Facebook, Inc., Class A | 2.2 | % | ||
Industrials | 11.4 | % | Amazon.com, Inc. | 2.0 | % | ||
Consumer Staples | 8.4 | % | Johnson & Johnson | 1.9 | % | ||
Materials | 3.5 | % | Bank of America Corp. | 1.5 | % | ||
Utilities | 3.5 | % | Procter & Gamble Co. (The) | 1.5 | % | ||
Telecommunication Services | 2.2 | % | General Electric Co. | 1.5 | % | ||
Energy | 1.0 | % | Citigroup, Inc. | 1.2 | % | ||
Time Deposit | 0.4 | % | Total | 21.0 | % | ||
Real Estate | 0.1 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures | ||
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements”. The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.2 Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Calvert US Large-Cap Core Responsible Index is comprised of mid and large capitalization U.S. stocks with growth characteristics that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. Russell 1000® Index is an unmanaged index of U.S. large-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.3 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.5 Does not include Short Term Investment of Cash Collateral for Securities Loaned.Important Notice to Shareholders Effective November 6, 2017 the name of Calvert US Large-Cap Core Responsible Index Fund was changed from Calvert U.S. Large Cap Core Responsible Index Fund. |
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 5
UNDERSTANDING YOUR FUND'S EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 to September 30, 2017).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class A | $1,000.00 | $1,068.90 | $2.80** | 0.54% |
Class C | $1,000.00 | $1,065.00 | $6.68** | 1.29% |
Class I | $1,000.00 | $1,071.30 | $0.99** | 0.19% |
Class Y | $1,000.00 | $1,070.40 | $1.51** | 0.29% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.36 | $2.74** | 0.54% |
Class C | $1,000.00 | $1,018.60 | $6.53** | 1.29% |
Class I | $1,000.00 | $1,024.12 | $0.96** | 0.19% |
Class Y | $1,000.00 | $1,023.61 | $1.47** | 0.29% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
6 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
COMMON STOCKS - 99.3% | ||
Aerospace & Defense - 0.2% | ||
HEICO Corp. | 3,765 | 338,135 |
Hexcel Corp. | 4,788 | 274,927 |
Rockwell Collins, Inc. | 11,210 | 1,465,259 |
2,078,321 | ||
Air Freight & Logistics - 0.9% | ||
C.H. Robinson Worldwide, Inc. | 9,979 | 759,402 |
Expeditors International of Washington, Inc. | 12,118 | 725,383 |
United Parcel Service, Inc., Class B | 56,854 | 6,827,597 |
8,312,382 | ||
Airlines - 0.8% | ||
Alaska Air Group, Inc. | 7,761 | 591,931 |
American Airlines Group, Inc. | 30,538 | 1,450,250 |
Delta Air Lines, Inc. | 48,328 | 2,330,376 |
JetBlue Airways Corp. * | 20,844 | 386,239 |
Southwest Airlines Co. | 36,721 | 2,055,642 |
Spirit Airlines, Inc. * | 3,515 | 117,436 |
United Continental Holdings, Inc. * | 15,784 | 960,930 |
7,892,804 | ||
Auto Components - 0.3% | ||
BorgWarner, Inc. | 8,826 | 452,156 |
Delphi Automotive plc | 13,354 | 1,314,034 |
Gentex Corp. | 14,355 | 284,229 |
Goodyear Tire & Rubber Co. (The) | 12,692 | 422,009 |
Tenneco, Inc. | 2,636 | 159,926 |
Visteon Corp. * | 1,681 | 208,057 |
2,840,411 | ||
Automobiles - 0.6% | ||
Ford Motor Co. | 195,097 | 2,335,311 |
Harley-Davidson, Inc. | 8,308 | 400,528 |
Tesla, Inc. * | 6,658 | 2,271,044 |
Thor Industries, Inc. | 2,757 | 347,134 |
5,354,017 | ||
Banks - 5.9% | ||
Associated Banc-Corp. | 8,126 | 197,056 |
Bank of America Corp. | 574,905 | 14,568,093 |
Bank of Hawaii Corp. | 2,336 | 194,729 |
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Bank of the Ozarks, Inc. | 7,271 | 349,372 |
BankUnited, Inc. | 7,529 | 267,807 |
BB&T Corp. | 46,227 | 2,169,895 |
BOK Financial Corp. | 1,110 | 98,879 |
Chemical Financial Corp. | 4,623 | 241,598 |
CIT Group, Inc. | 10,641 | 521,941 |
Citigroup, Inc. | 159,908 | 11,631,708 |
Citizens Financial Group, Inc. | 28,682 | 1,086,187 |
Comerica, Inc. | 9,741 | 742,849 |
Commerce Bancshares, Inc. | 7,377 | 426,169 |
Cullen/Frost Bankers, Inc. | 3,329 | 315,989 |
East West Bancorp, Inc. | 8,465 | 506,038 |
Fifth Third Bancorp | 41,257 | 1,154,371 |
First Citizens BancShares, Inc., Class A | 451 | 168,624 |
First Hawaiian, Inc. | 6,742 | 204,215 |
First Horizon National Corp. | 12,189 | 233,419 |
First Republic Bank | 9,289 | 970,329 |
FNB Corp. | 20,148 | 282,676 |
Fulton Financial Corp. | 9,397 | 176,194 |
Hancock Holding Co. | 4,887 | 236,775 |
Home BancShares, Inc. | 6,923 | 174,598 |
Huntington Bancshares, Inc. | 62,369 | 870,671 |
IBERIABANK Corp. | 2,315 | 190,177 |
Investors Bancorp, Inc. | 19,511 | 266,130 |
KeyCorp | 64,345 | 1,210,973 |
M&T Bank Corp. | 8,898 | 1,432,934 |
MB Financial, Inc. | 3,577 | 161,037 |
PacWest Bancorp | 7,891 | 398,574 |
People's United Financial, Inc. | 20,715 | 375,770 |
Pinnacle Financial Partners, Inc. | 3,433 | 229,839 |
PNC Financial Services Group, Inc. (The) | 27,787 | 3,744,854 |
Popular, Inc. | 5,710 | 205,217 |
Prosperity Bancshares, Inc. | 3,886 | 255,427 |
Regions Financial Corp. | 68,287 | 1,040,011 |
Signature Bank * | 2,803 | 358,896 |
Sterling Bancorp | 8,949 | 220,593 |
SVB Financial Group * | 3,071 | 574,553 |
Synovus Financial Corp. | 6,505 | 299,620 |
Texas Capital Bancshares, Inc. * | 3,496 | 299,957 |
UMB Financial Corp. | 2,437 | 181,532 |
Umpqua Holdings Corp. | 15,457 | 301,566 |
United Bankshares, Inc. | 4,146 | 154,024 |
US Bancorp | 91,138 | 4,884,085 |
Valley National Bancorp | 16,350 | 197,018 |
Webster Financial Corp. | 5,017 | 263,643 |
8 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Western Alliance Bancorp * | 5,224 | 277,290 |
Wintrust Financial Corp. | 4,286 | 335,637 |
Zions Bancorporation | 12,098 | 570,784 |
56,220,323 | ||
Beverages - 2.2% | ||
Coca-Cola Co. (The) | 230,870 | 10,391,459 |
Dr Pepper Snapple Group, Inc. | 10,672 | 944,152 |
PepsiCo, Inc. | 84,352 | 9,399,343 |
20,734,954 | ||
Biotechnology - 4.1% | ||
AbbVie, Inc. | 81,368 | 7,230,360 |
ACADIA Pharmaceuticals, Inc. *(a) | 5,094 | 191,891 |
Alexion Pharmaceuticals, Inc. * | 11,514 | 1,615,299 |
Alkermes plc * | 8,182 | 415,973 |
Alnylam Pharmaceuticals, Inc. * | 4,914 | 577,346 |
Amgen, Inc. | 37,219 | 6,939,483 |
Biogen, Inc. * | 10,771 | 3,372,616 |
BioMarin Pharmaceutical, Inc. * | 8,821 | 820,970 |
Bioverativ, Inc. * | 6,364 | 363,193 |
Bluebird Bio, Inc. * | 1,949 | 267,695 |
Celgene Corp. * | 39,874 | 5,814,427 |
Exelixis, Inc. * | 14,288 | 346,198 |
Gilead Sciences, Inc. | 65,882 | 5,337,760 |
Incyte Corp. * | 8,578 | 1,001,396 |
Intercept Pharmaceuticals, Inc. *(a) | 1,291 | 74,930 |
Ionis Pharmaceuticals, Inc. * | 5,418 | 274,693 |
Kite Pharma, Inc. * | 2,426 | 436,219 |
Regeneron Pharmaceuticals, Inc. * | 3,864 | 1,727,672 |
Seattle Genetics, Inc. * | 4,952 | 269,438 |
TESARO, Inc. * | 1,461 | 188,615 |
United Therapeutics Corp. * | 2,286 | 267,896 |
Vertex Pharmaceuticals, Inc. * | 12,400 | 1,885,296 |
39,419,366 | ||
Building Products - 0.6% | ||
Allegion plc | 6,094 | 526,948 |
Fortune Brands Home & Security, Inc. | 10,666 | 717,075 |
Johnson Controls International plc | 62,383 | 2,513,411 |
Masco Corp. | 22,020 | 859,000 |
Owens Corning | 7,564 | 585,076 |
USG Corp. * | 5,785 | 188,880 |
5,390,390 | ||
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Capital Markets - 4.6% | ||
Affiliated Managers Group, Inc. | 3,442 | 653,395 |
Ameriprise Financial, Inc. | 8,984 | 1,334,214 |
Bank of New York Mellon Corp. (The) | 59,831 | 3,172,240 |
BGC Partners, Inc., Class A | 11,269 | 163,062 |
BlackRock, Inc. | 7,043 | 3,148,855 |
CBOE Holdings, Inc. | 6,210 | 668,382 |
Charles Schwab Corp. (The) | 69,411 | 3,036,037 |
CME Group, Inc. | 19,944 | 2,706,002 |
E*Trade Financial Corp. * | 18,599 | 811,102 |
Evercore, Inc., Class A | 2,768 | 222,132 |
Federated Investors, Inc., Class B | 8,889 | 264,003 |
Franklin Resources, Inc. | 18,821 | 837,723 |
Goldman Sachs Group, Inc. (The) | 21,202 | 5,028,902 |
Interactive Brokers Group, Inc., Class A | 25,554 | 1,150,952 |
Intercontinental Exchange, Inc. | 34,359 | 2,360,463 |
Invesco Ltd. | 23,364 | 818,675 |
Legg Mason, Inc. | 5,350 | 210,309 |
LPL Financial Holdings, Inc. | 5,529 | 285,131 |
MarketAxess Holdings, Inc. | 2,226 | 410,719 |
Moody's Corp. | 10,113 | 1,407,831 |
Morgan Stanley | 83,459 | 4,020,220 |
Morningstar, Inc. | 1,011 | 85,925 |
MSCI, Inc. | 5,534 | 646,925 |
Nasdaq, Inc. | 7,521 | 583,404 |
Northern Trust Corp. | 12,502 | 1,149,309 |
Raymond James Financial, Inc. | 7,030 | 592,840 |
S&P Global, Inc. | 14,640 | 2,288,378 |
SEI Investments Co. | 8,571 | 523,345 |
State Street Corp. | 21,471 | 2,051,339 |
Stifel Financial Corp. | 3,687 | 197,107 |
T. Rowe Price Group, Inc. | 13,753 | 1,246,709 |
TD Ameritrade Holding Corp. | 14,310 | 698,328 |
Thomson Reuters Corp. | 16,986 | 779,318 |
43,553,276 | ||
Chemicals - 2.3% | ||
Air Products & Chemicals, Inc. | 23,498 | 3,553,367 |
Axalta Coating Systems Ltd. * | 24,242 | 701,079 |
Eastman Chemical Co. | 14,396 | 1,302,694 |
Ecolab, Inc. | 26,253 | 3,376,398 |
International Flavors & Fragrances, Inc. | 8,377 | 1,197,157 |
Mosaic Co. (The) | 38,061 | 821,737 |
PolyOne Corp. | 7,985 | 319,639 |
PPG Industries, Inc. | 26,913 | 2,924,367 |
10 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Praxair, Inc. | 29,746 | 4,156,706 |
Sensient Technologies Corp. | 4,452 | 342,448 |
Sherwin-Williams Co. (The) | 8,618 | 3,085,589 |
21,781,181 | ||
Commercial Services & Supplies - 0.6% | ||
Cintas Corp. | 5,724 | 825,859 |
Clean Harbors, Inc. * | 3,326 | 188,584 |
Copart, Inc. * | 11,386 | 391,337 |
Deluxe Corp. | 3,061 | 223,331 |
Healthcare Services Group, Inc. | 4,606 | 248,586 |
KAR Auction Services, Inc. | 9,458 | 451,525 |
MSA Safety, Inc. | 2,985 | 237,337 |
Pitney Bowes, Inc. | 16,029 | 224,566 |
Republic Services, Inc. | 14,685 | 970,091 |
UniFirst Corp. | 952 | 144,228 |
Waste Management, Inc. | 25,707 | 2,012,087 |
5,917,531 | ||
Communications Equipment - 1.2% | ||
Arista Networks, Inc. * | 1,788 | 339,023 |
ARRIS International plc * | 8,066 | 229,800 |
Brocade Communications Systems, Inc. | 18,304 | 218,733 |
Ciena Corp. * | 5,637 | 123,845 |
Cisco Systems, Inc. | 216,733 | 7,288,731 |
CommScope Holding Co., Inc. * | 6,808 | 226,094 |
EchoStar Corp., Class A * | 4,037 | 231,037 |
F5 Networks, Inc. * | 2,499 | 301,279 |
Finisar Corp. * | 4,579 | 101,516 |
Harris Corp. | 5,507 | 725,162 |
Juniper Networks, Inc. | 15,372 | 427,803 |
Lumentum Holdings, Inc. * | 2,188 | 118,918 |
Motorola Solutions, Inc. | 6,660 | 565,234 |
NetScout Systems, Inc. * | 3,994 | 129,206 |
Palo Alto Networks, Inc. * | 3,996 | 575,824 |
Ubiquiti Networks, Inc. *(a) | 1,817 | 101,788 |
11,703,993 | ||
Construction & Engineering - 0.1% | ||
Dycom Industries, Inc. * | 2,016 | 173,134 |
EMCOR Group, Inc. | 3,962 | 274,884 |
Quanta Services, Inc. * | 9,843 | 367,833 |
Valmont Industries, Inc. | 1,443 | 228,138 |
1,043,989 | ||
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 11
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Consumer Finance - 1.1% | ||
Ally Financial, Inc. | 25,803 | 625,981 |
American Express Co. | 42,977 | 3,887,699 |
Capital One Financial Corp. | 27,809 | 2,354,310 |
Credit Acceptance Corp. * | 692 | 193,878 |
Discover Financial Services | 21,523 | 1,387,803 |
OneMain Holdings, Inc. * | 7,413 | 208,973 |
SLM Corp. * | 23,908 | 274,225 |
Synchrony Financial | 43,788 | 1,359,617 |
10,292,486 | ||
Containers & Packaging - 0.9% | ||
AptarGroup, Inc. | 6,373 | 550,054 |
Avery Dennison Corp. | 9,562 | 940,327 |
Ball Corp. | 36,071 | 1,489,732 |
Berry Global Group, Inc. * | 12,948 | 733,504 |
Crown Holdings, Inc. * | 13,538 | 808,489 |
Greif, Inc., Class A | 5,962 | 349,016 |
Owens-Illinois, Inc. * | 15,985 | 402,183 |
Sealed Air Corp. | 20,563 | 878,451 |
Sonoco Products Co. | 9,690 | 488,861 |
WestRock Co. | 26,906 | 1,526,377 |
8,166,994 | ||
Distributors - 0.2% | ||
Genuine Parts Co. | 7,843 | 750,183 |
LKQ Corp. * | 14,296 | 514,513 |
Pool Corp. | 1,824 | 197,302 |
1,461,998 | ||
Diversified Consumer Services - 0.1% | ||
Bright Horizons Family Solutions, Inc. * | 2,219 | 191,300 |
Graham Holdings Co., Class B | 191 | 111,754 |
Grand Canyon Education, Inc. * | 2,982 | 270,825 |
Service Corp. International | 10,014 | 345,483 |
ServiceMaster Global Holdings, Inc. * | 6,779 | 316,783 |
1,236,145 | ||
Diversified Financial Services - 0.0% (b) | ||
Voya Financial, Inc. | 11,073 | 441,702 |
Diversified Telecommunication Services - 2.1% | ||
AT&T, Inc. | 255,775 | 10,018,707 |
CenturyLink, Inc. (a) | 16,693 | 315,497 |
12 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Level 3 Communications, Inc. * | 11,348 | 604,735 |
Verizon Communications, Inc. | 171,316 | 8,478,429 |
Zayo Group Holdings, Inc. * | 7,547 | 259,768 |
19,677,136 | ||
Electric Utilities - 1.0% | ||
Alliant Energy Corp. | 40,897 | 1,700,088 |
Eversource Energy | 52,415 | 3,167,963 |
Portland General Electric Co. | 14,826 | 676,659 |
Xcel Energy, Inc. | 83,155 | 3,934,894 |
9,479,604 | ||
Electrical Equipment - 1.0% | ||
Acuity Brands, Inc. | 3,186 | 545,698 |
AMETEK, Inc. | 15,170 | 1,001,827 |
Eaton Corp. plc | 29,259 | 2,246,799 |
Emerson Electric Co. | 42,547 | 2,673,653 |
EnerSys | 3,662 | 253,301 |
Hubbell, Inc. | 3,549 | 411,755 |
Regal-Beloit Corp. | 2,818 | 222,622 |
Rockwell Automation, Inc. | 8,125 | 1,447,956 |
Sensata Technologies Holding NV * | 10,855 | 521,800 |
9,325,411 | ||
Electronic Equipment, Instruments & Components - 0.7% | ||
Arrow Electronics, Inc. * | 4,356 | 350,266 |
Avnet, Inc. | 4,325 | 169,972 |
CDW Corp. | 5,986 | 395,076 |
Coherent, Inc. * | 1,065 | 250,456 |
Corning, Inc. | 40,234 | 1,203,801 |
Dolby Laboratories, Inc., Class A | 4,313 | 248,084 |
FLIR Systems, Inc. | 5,903 | 229,686 |
IPG Photonics Corp. * | 1,577 | 291,840 |
Jabil, Inc. | 8,312 | 237,308 |
Keysight Technologies, Inc. * | 7,881 | 328,322 |
National Instruments Corp. | 4,287 | 180,783 |
SYNNEX Corp. | 1,489 | 188,373 |
TE Connectivity Ltd. | 15,211 | 1,263,426 |
Tech Data Corp. * | 1,374 | 122,080 |
Trimble, Inc. * | 10,917 | 428,492 |
Universal Display Corp. | 1,805 | 232,574 |
Zebra Technologies Corp., Class A * | 2,084 | 226,281 |
6,346,820 | ||
Energy Equipment & Services - 1.0% | ||
Baker Hughes a GE Co. | 96,523 | 3,534,672 |
Core Laboratories NV (a) | 10,914 | 1,077,212 |
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
National Oilwell Varco, Inc. | 85,314 | 3,048,269 |
Oceaneering International, Inc. | 23,317 | 612,538 |
US Silica Holdings, Inc. | 17,397 | 540,525 |
Weatherford International plc * | 197,879 | 906,286 |
9,719,502 | ||
Food & Staples Retailing - 1.8% | ||
Casey's General Stores, Inc. | 2,327 | 254,690 |
Costco Wholesale Corp. | 26,807 | 4,404,122 |
CVS Health Corp. | 60,759 | 4,940,922 |
Kroger Co. (The) | 48,625 | 975,417 |
Performance Food Group Co. * | 4,785 | 135,176 |
PriceSmart, Inc. | 1,950 | 174,038 |
Rite Aid Corp. * | 47,735 | 93,561 |
Sprouts Farmers Market, Inc. * | 9,622 | 180,605 |
Sysco Corp. | 29,567 | 1,595,140 |
US Foods Holding Corp. * | 8,862 | 236,615 |
Walgreens Boots Alliance, Inc. | 53,923 | 4,163,934 |
17,154,220 | ||
Food Products - 1.8% | ||
B&G Foods, Inc. | 3,720 | 118,482 |
Blue Buffalo Pet Products, Inc. * | 5,947 | 168,597 |
Bunge Ltd. | 8,249 | 572,976 |
Campbell Soup Co. | 10,434 | 488,520 |
Conagra Brands, Inc. | 24,116 | 813,674 |
Flowers Foods, Inc. | 11,379 | 214,039 |
General Mills, Inc. | 35,395 | 1,832,045 |
Hain Celestial Group, Inc. (The) * | 7,528 | 309,777 |
Hershey Co. (The) | 11,716 | 1,279,036 |
Hormel Foods Corp. | 15,528 | 499,070 |
Ingredion, Inc. | 4,274 | 515,615 |
J. M. Smucker Co. (The) | 6,810 | 714,573 |
Kellogg Co. | 14,231 | 887,587 |
Kraft Heinz Co. (The) | 35,183 | 2,728,442 |
Lamb Weston Holdings, Inc. | 8,900 | 417,321 |
Lancaster Colony Corp. | 1,222 | 146,787 |
McCormick & Co., Inc. | 7,866 | 807,366 |
Mondelez International, Inc., Class A | 89,608 | 3,643,461 |
Pinnacle Foods, Inc. | 7,373 | 421,514 |
Post Holdings, Inc. * | 3,769 | 332,690 |
Snyder's-Lance, Inc. | 5,277 | 201,265 |
TreeHouse Foods, Inc. * | 3,541 | 239,832 |
17,352,669 | ||
14 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Gas Utilities - 0.6% | ||
Atmos Energy Corp. | 17,720 | 1,485,645 |
New Jersey Resources Corp. | 15,234 | 642,113 |
ONE Gas, Inc. | 9,309 | 685,515 |
Southwest Gas Holdings, Inc. | 7,298 | 566,471 |
Spire, Inc. | 8,313 | 620,565 |
UGI Corp. | 28,550 | 1,337,853 |
WGL Holdings, Inc. | 8,285 | 697,597 |
6,035,759 | ||
Health Care Equipment & Supplies - 2.1% | ||
Abbott Laboratories | 88,461 | 4,720,279 |
ABIOMED, Inc. * | 2,156 | 363,502 |
Alere, Inc. * | 4,339 | 221,246 |
Align Technology, Inc. * | 3,852 | 717,512 |
Becton Dickinson and Co. | 11,560 | 2,265,182 |
Boston Scientific Corp. * | 67,868 | 1,979,709 |
Cantel Medical Corp. | 1,174 | 110,556 |
Cooper Cos., Inc. (The) | 2,497 | 592,064 |
Danaher Corp. | 31,660 | 2,715,795 |
DENTSPLY SIRONA, Inc. | 12,155 | 726,990 |
DexCom, Inc. * | 4,395 | 215,025 |
Edwards Lifesciences Corp. * | 10,854 | 1,186,451 |
Globus Medical, Inc., Class A * | 5,233 | 155,525 |
Hill-Rom Holdings, Inc. | 3,014 | 223,036 |
Hologic, Inc. * | 13,636 | 500,305 |
ICU Medical, Inc. * | 522 | 97,014 |
IDEXX Laboratories, Inc. * | 4,364 | 678,558 |
Masimo Corp. * | 2,151 | 186,190 |
NuVasive, Inc. * | 2,566 | 142,310 |
ResMed, Inc. | 7,849 | 604,059 |
STERIS plc | 4,313 | 381,269 |
Teleflex, Inc. | 2,070 | 500,878 |
Varian Medical Systems, Inc. * | 5,322 | 532,519 |
West Pharmaceutical Services, Inc. | 4,803 | 462,337 |
20,278,311 | ||
Health Care Providers & Services - 1.7% | ||
Acadia Healthcare Co., Inc. *(a) | 3,557 | 169,882 |
AmerisourceBergen Corp. | 9,192 | 760,638 |
Anthem, Inc. | 13,809 | 2,622,053 |
Cardinal Health, Inc. | 15,348 | 1,027,088 |
Centene Corp. * | 8,597 | 831,932 |
Chemed Corp. | 853 | 172,349 |
DaVita, Inc. * | 8,617 | 511,764 |
Envision Healthcare Corp. * | 5,480 | 246,326 |
Express Scripts Holding Co. * | 28,665 | 1,815,068 |
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
HCA Healthcare, Inc. * | 14,014 | 1,115,374 |
HealthSouth Corp. | 4,461 | 206,767 |
Henry Schein, Inc. * | 7,734 | 634,111 |
Humana, Inc. | 7,311 | 1,781,179 |
Laboratory Corp. of America Holdings * | 5,277 | 796,669 |
McKesson Corp. | 11,075 | 1,701,231 |
Mednax, Inc. * | 3,427 | 147,772 |
Molina Healthcare, Inc. * | 1,719 | 118,198 |
Patterson Cos., Inc. | 4,216 | 162,948 |
Premier, Inc., Class A * | 6,888 | 224,342 |
Quest Diagnostics, Inc. | 6,915 | 647,521 |
WellCare Health Plans, Inc. * | 2,206 | 378,858 |
16,072,070 | ||
Health Care Technology - 0.2% | ||
athenahealth, Inc. * | 2,274 | 282,795 |
Cerner Corp. * | 15,651 | 1,116,229 |
Cotiviti Holdings, Inc. * | 2,345 | 84,373 |
Medidata Solutions, Inc. * | 2,930 | 228,716 |
Veeva Systems, Inc., Class A * | 7,335 | 413,767 |
2,125,880 | ||
Hotels, Restaurants & Leisure - 1.5% | ||
Aramark | 11,625 | 472,091 |
Buffalo Wild Wings, Inc. * | 930 | 98,301 |
Chipotle Mexican Grill, Inc. * | 1,283 | 394,946 |
Choice Hotels International, Inc. | 1,826 | 116,681 |
Cracker Barrel Old Country Store, Inc. | 1,217 | 184,522 |
Darden Restaurants, Inc. | 5,760 | 453,773 |
Domino's Pizza, Inc. | 2,624 | 520,995 |
Dunkin' Brands Group, Inc. | 4,512 | 239,497 |
Hilton Worldwide Holdings, Inc. | 9,632 | 668,942 |
Hyatt Hotels Corp., Class A * | 5,755 | 355,601 |
ILG, Inc. | 8,136 | 217,475 |
Jack in the Box, Inc. | 1,661 | 169,289 |
Marriott International, Inc., Class A | 15,492 | 1,708,148 |
Marriott Vacations Worldwide Corp. | 1,092 | 135,987 |
Papa John's International, Inc. | 1,124 | 82,131 |
Royal Caribbean Cruises Ltd. | 8,499 | 1,007,471 |
Six Flags Entertainment Corp. | 4,832 | 294,462 |
Starbucks Corp. | 71,432 | 3,836,613 |
Texas Roadhouse, Inc. | 4,128 | 202,850 |
Vail Resorts, Inc. | 1,809 | 412,669 |
Wendy's Co. (The) | 9,964 | 154,741 |
16 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Wyndham Worldwide Corp. | 4,999 | 526,945 |
Yum China Holdings, Inc. * | 20,018 | 800,119 |
Yum! Brands, Inc. | 17,532 | 1,290,531 |
14,344,780 | ||
Household Durables - 0.5% | ||
CalAtlantic Group, Inc. | 4,835 | 177,106 |
Garmin Ltd. | 5,378 | 290,251 |
Helen of Troy Ltd. * | 1,319 | 127,811 |
Leggett & Platt, Inc. | 7,725 | 368,714 |
Lennar Corp., Class A | 10,404 | 549,331 |
Mohawk Industries, Inc. * | 3,061 | 757,628 |
Newell Brands, Inc. | 25,862 | 1,103,532 |
Tempur Sealy International, Inc. * | 2,289 | 147,686 |
Toll Brothers, Inc. | 6,245 | 258,980 |
Tupperware Brands Corp. | 2,531 | 156,467 |
Whirlpool Corp. | 3,612 | 666,197 |
4,603,703 | ||
Household Products - 2.3% | ||
Church & Dwight Co., Inc. | 14,911 | 722,438 |
Clorox Co. (The) | 7,936 | 1,046,838 |
Colgate-Palmolive Co. | 52,139 | 3,798,326 |
Kimberly-Clark Corp. | 20,126 | 2,368,427 |
Procter & Gamble Co. (The) | 152,805 | 13,902,199 |
21,838,228 | ||
Independent Power and Renewable Electricity Producers - 0.1% | ||
NRG Yield, Inc., Class C | 33,530 | 647,129 |
Ormat Technologies, Inc. | 5,470 | 333,944 |
981,073 | ||
Industrial Conglomerates - 2.5% | ||
3M Co. | 38,561 | 8,093,954 |
Carlisle Cos., Inc. | 5,000 | 501,450 |
General Electric Co. | 571,193 | 13,811,447 |
Roper Technologies, Inc. | 6,951 | 1,691,873 |
24,098,724 | ||
Insurance - 4.1% | ||
Aflac, Inc. | 23,204 | 1,888,574 |
Alleghany Corp. * | 902 | 499,717 |
Allstate Corp. (The) | 20,742 | 1,906,397 |
American Financial Group, Inc. | 3,884 | 401,800 |
American International Group, Inc. | 52,158 | 3,201,980 |
American National Insurance Co. | 1,119 | 132,132 |
Aon plc | 15,699 | 2,293,624 |
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Arch Capital Group Ltd. * | 7,133 | 702,600 |
Arthur J. Gallagher & Co. | 10,395 | 639,812 |
Aspen Insurance Holdings Ltd. | 4,181 | 168,912 |
Assurant, Inc. | 3,367 | 321,616 |
Assured Guaranty Ltd. | 7,299 | 275,537 |
Axis Capital Holdings Ltd. | 5,009 | 287,066 |
Brown & Brown, Inc. | 5,705 | 274,924 |
Chubb Ltd. | 26,833 | 3,825,044 |
Cincinnati Financial Corp. | 8,790 | 673,050 |
CNO Financial Group, Inc. | 9,886 | 230,739 |
Enstar Group Ltd. * | 907 | 201,671 |
Everest Re Group Ltd. | 1,544 | 352,634 |
First American Financial Corp. | 6,015 | 300,570 |
Hanover Insurance Group, Inc. (The) | 2,959 | 286,816 |
Hartford Financial Services Group, Inc. (The) | 21,181 | 1,174,063 |
Lincoln National Corp. | 14,031 | 1,030,998 |
Loews Corp. | 15,217 | 728,286 |
Marsh & McLennan Cos., Inc. | 29,234 | 2,450,102 |
MetLife, Inc. | 48,628 | 2,526,225 |
Old Republic International Corp. | 13,335 | 262,566 |
Primerica, Inc. | 2,599 | 211,948 |
Principal Financial Group, Inc. | 15,860 | 1,020,432 |
Progressive Corp. (The) | 34,561 | 1,673,444 |
Prudential Financial, Inc. | 24,901 | 2,647,474 |
Reinsurance Group of America, Inc. | 3,604 | 502,866 |
RenaissanceRe Holdings Ltd. | 2,586 | 349,472 |
RLI Corp. | 2,205 | 126,479 |
Torchmark Corp. | 6,003 | 480,780 |
Travelers Cos., Inc. (The) | 15,861 | 1,943,290 |
Unum Group | 13,017 | 665,559 |
Validus Holdings Ltd. | 3,296 | 162,196 |
White Mountains Insurance Group Ltd. | 252 | 215,964 |
Willis Towers Watson plc | 7,621 | 1,175,387 |
XL Group Ltd. | 15,375 | 606,544 |
38,819,290 | ||
Internet & Direct Marketing Retail - 3.0% | ||
Amazon.com, Inc. * | 20,168 | 19,388,507 |
Expedia, Inc. | 6,213 | 894,299 |
Netflix, Inc. * | 21,777 | 3,949,259 |
Priceline Group, Inc. (The) * | 2,440 | 4,467,201 |
TripAdvisor, Inc. * | 5,656 | 229,238 |
Wayfair, Inc., Class A * | 2,456 | 165,534 |
29,094,038 | ||
18 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Internet Software & Services - 5.7% | ||
Akamai Technologies, Inc. * | 8,014 | 390,442 |
Alphabet, Inc., Class A * | 29,554 | 28,777,321 |
CoStar Group, Inc. * | 1,444 | 387,353 |
eBay, Inc. * | 43,597 | 1,676,740 |
Facebook, Inc., Class A * | 125,018 | 21,361,826 |
GrubHub, Inc. * | 3,712 | 195,474 |
IAC/InterActiveCorp * | 3,374 | 396,715 |
j2 Global, Inc. | 1,495 | 110,450 |
LogMeIn, Inc. | 2,037 | 224,172 |
Twitter, Inc. * | 28,279 | 477,067 |
VeriSign, Inc. * | 3,561 | 378,855 |
Zillow Group, Inc., Class C * | 6,182 | 248,578 |
54,624,993 | ||
IT Services - 4.7% | ||
Accenture plc, Class A | 27,298 | 3,687,141 |
Alliance Data Systems Corp. | 2,204 | 488,296 |
Amdocs Ltd. | 5,720 | 367,910 |
Automatic Data Processing, Inc. | 19,198 | 2,098,725 |
Black Knight Financial Services, Inc., Class A * | 2,117 | 91,137 |
Booz Allen Hamilton Holding Corp. | 5,160 | 192,932 |
Broadridge Financial Solutions, Inc. | 4,418 | 357,063 |
CACI International, Inc., Class A * | 1,057 | 147,293 |
Cognizant Technology Solutions Corp., Class A | 24,905 | 1,806,609 |
Conduent, Inc. * | 8,020 | 125,673 |
CoreLogic, Inc. * | 6,414 | 296,455 |
CSRA, Inc. | 6,321 | 203,979 |
DST Systems, Inc. | 2,858 | 156,847 |
DXC Technology Co. | 12,608 | 1,082,775 |
EPAM Systems, Inc. * | 1,798 | 158,098 |
Euronet Worldwide, Inc. * | 1,922 | 182,186 |
Fidelity National Information Services, Inc. | 13,673 | 1,276,922 |
First Data Corp., Class A * | 34,592 | 624,040 |
Fiserv, Inc. * | 9,214 | 1,188,237 |
FleetCor Technologies, Inc. * | 3,995 | 618,306 |
Gartner, Inc. * | 3,608 | 448,871 |
Genpact Ltd. | 6,201 | 178,279 |
International Business Machines Corp. | 37,498 | 5,440,210 |
Jack Henry & Associates, Inc. | 2,819 | 289,765 |
Leidos Holdings, Inc. | 6,496 | 384,693 |
MasterCard, Inc., Class A | 41,736 | 5,893,123 |
MAXIMUS, Inc. | 2,843 | 183,374 |
Paychex, Inc. | 14,490 | 868,820 |
PayPal Holdings, Inc. * | 47,882 | 3,065,884 |
Sabre Corp. | 7,738 | 140,058 |
Science Applications International Corp. | 1,701 | 113,712 |
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 19
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Square, Inc., Class A * | 16,245 | 468,018 |
Teradata Corp. * | 5,573 | 188,312 |
Total System Services, Inc. | 7,668 | 502,254 |
Vantiv, Inc., Class A * | 7,780 | 548,257 |
Visa, Inc., Class A | 99,836 | 10,506,741 |
Western Union Co. (The) | 21,143 | 405,946 |
WEX, Inc. * | 1,937 | 217,370 |
44,994,311 | ||
Leisure Products - 0.1% | ||
Brunswick Corp. | 4,516 | 252,760 |
Hasbro, Inc. | 5,165 | 504,466 |
Mattel, Inc. | 16,419 | 254,166 |
Polaris Industries, Inc. | 2,940 | 307,612 |
1,319,004 | ||
Life Sciences Tools & Services - 1.1% | ||
Agilent Technologies, Inc. | 16,833 | 1,080,679 |
Bio-Rad Laboratories, Inc., Class A * | 1,094 | 243,109 |
Bio-Techne Corp. | 1,816 | 219,536 |
Bruker Corp. | 5,042 | 149,999 |
Charles River Laboratories International, Inc. * | 2,344 | 253,199 |
Illumina, Inc. * | 7,602 | 1,514,318 |
INC Research Holdings, Inc., Class A * | 2,354 | 123,114 |
Mettler-Toledo International, Inc. * | 1,293 | 809,625 |
PAREXEL International Corp. * | 2,637 | 232,267 |
PerkinElmer, Inc. | 5,903 | 407,130 |
PRA Health Sciences, Inc. * | 2,083 | 158,662 |
Quintiles IMS Holdings, Inc. * | 7,751 | 736,887 |
Thermo Fisher Scientific, Inc. | 19,774 | 3,741,241 |
VWR Corp. * | 4,633 | 153,399 |
Waters Corp. * | 3,992 | 716,644 |
10,539,809 | ||
Machinery - 2.7% | ||
AGCO Corp. | 4,215 | 310,941 |
Allison Transmission Holdings, Inc. | 10,692 | 401,271 |
Barnes Group, Inc. | 3,021 | 212,799 |
Colfax Corp. * | 7,886 | 328,373 |
Crane Co. | 3,109 | 248,689 |
Cummins, Inc. | 10,274 | 1,726,340 |
Deere & Co. | 20,669 | 2,595,820 |
Donaldson Co., Inc. | 8,477 | 389,433 |
Dover Corp. | 10,229 | 934,828 |
Flowserve Corp. | 10,839 | 461,633 |
Fortive Corp. | 19,352 | 1,369,928 |
Graco, Inc. | 3,571 | 441,697 |
20 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
IDEX Corp. | 5,017 | 609,415 |
Illinois Tool Works, Inc. | 20,217 | 2,991,307 |
Ingersoll-Rand plc | 16,131 | 1,438,401 |
ITT, Inc. | 4,976 | 220,288 |
Kennametal, Inc. | 5,049 | 203,677 |
Lincoln Electric Holdings, Inc. | 3,957 | 362,778 |
Middleby Corp. (The) * | 4,371 | 560,231 |
Nordson Corp. | 3,381 | 400,648 |
Oshkosh Corp. | 4,690 | 387,113 |
PACCAR, Inc. | 22,156 | 1,602,765 |
Parker-Hannifin Corp. | 8,568 | 1,499,571 |
Pentair plc | 11,402 | 774,880 |
Snap-on, Inc. | 3,484 | 519,151 |
Stanley Black & Decker, Inc. | 10,298 | 1,554,689 |
Terex Corp. | 6,602 | 297,222 |
Timken Co. (The) | 4,905 | 238,138 |
Toro Co. (The) | 6,841 | 424,552 |
WABCO Holdings, Inc. * | 3,313 | 490,324 |
Wabtec Corp. (a) | 6,063 | 459,272 |
Woodward, Inc. | 3,228 | 250,525 |
Xylem, Inc. | 12,331 | 772,291 |
25,478,990 | ||
Media - 3.0% | ||
AMC Entertainment Holdings, Inc., Class A | 7,590 | 111,573 |
AMC Networks, Inc., Class A * | 2,657 | 155,355 |
Cable One, Inc. | 241 | 174,031 |
CBS Corp., Class B | 22,518 | 1,306,044 |
Cinemark Holdings, Inc. | 4,148 | 150,199 |
Comcast Corp., Class A | 233,091 | 8,969,342 |
Discovery Communications, Inc., Class A * | 20,116 | 428,270 |
DISH Network Corp., Class A * | 24,081 | 1,305,913 |
Interpublic Group of Cos., Inc. (The) | 18,051 | 375,280 |
John Wiley & Sons, Inc., Class A | 1,833 | 98,065 |
Liberty Broadband Corp., Class C * | 8,516 | 811,575 |
Lions Gate Entertainment Corp., Class A * | 10,398 | 347,813 |
Live Nation Entertainment, Inc. * | 7,066 | 307,724 |
Madison Square Garden Co. (The), Class A * | 1,136 | 243,217 |
Omnicom Group, Inc. | 10,752 | 796,401 |
Regal Entertainment Group, Class A | 9,821 | 157,136 |
Scripps Networks Interactive, Inc., Class A | 6,779 | 582,248 |
Sinclair Broadcast Group, Inc., Class A | 4,249 | 136,180 |
Sirius XM Holdings, Inc. | 87,579 | 483,436 |
TEGNA, Inc. | 12,266 | 163,506 |
Time Warner, Inc. | 39,200 | 4,016,040 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Tribune Media Co., Class A | 3,927 | 160,457 |
Viacom, Inc., Class B | 20,777 | 578,432 |
Walt Disney Co. (The) | 72,668 | 7,162,885 |
29,021,122 | ||
Metals & Mining - 0.4% | ||
Nucor Corp. | 33,992 | 1,904,912 |
Reliance Steel & Aluminum Co. | 7,680 | 584,986 |
Steel Dynamics, Inc. | 24,820 | 855,545 |
Worthington Industries, Inc. | 4,126 | 189,796 |
3,535,239 | ||
Multi-Utilities - 1.4% | ||
CenterPoint Energy, Inc. | 73,595 | 2,149,710 |
CMS Energy Corp. | 45,289 | 2,097,787 |
Consolidated Edison, Inc. | 50,202 | 4,050,297 |
Sempra Energy | 40,914 | 4,669,515 |
12,967,309 | ||
Multiline Retail - 0.4% | ||
Dollar General Corp. | 13,083 | 1,060,377 |
Kohl's Corp. | 8,583 | 391,814 |
Macy's, Inc. | 17,574 | 383,465 |
Nordstrom, Inc. | 5,619 | 264,936 |
Target Corp. | 27,820 | 1,641,658 |
3,742,250 | ||
Personal Products - 0.3% | ||
Coty, Inc., Class A | 26,651 | 440,541 |
Edgewell Personal Care Co. * | 3,572 | 259,934 |
Estee Lauder Cos., Inc. (The), Class A | 22,622 | 2,439,557 |
3,140,032 | ||
Pharmaceuticals - 5.7% | ||
Akorn, Inc. * | 3,995 | 132,594 |
Allergan plc | 16,894 | 3,462,425 |
Bristol-Myers Squibb Co. | 83,183 | 5,302,084 |
Catalent, Inc. * | 6,497 | 259,360 |
Eli Lilly & Co. | 49,448 | 4,229,782 |
Endo International plc * | 11,357 | 97,273 |
Jazz Pharmaceuticals plc * | 3,031 | 443,284 |
Johnson & Johnson | 137,153 | 17,831,262 |
Medicines Co. (The) * | 3,788 | 140,307 |
Merck & Co., Inc. | 138,301 | 8,855,413 |
Nektar Therapeutics * | 7,376 | 177,024 |
Perrigo Co. plc | 6,767 | 572,827 |
22 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Pfizer, Inc. | 301,645 | 10,768,726 |
Prestige Brands Holdings, Inc. * | 2,852 | 142,857 |
Zoetis, Inc. | 25,359 | 1,616,890 |
54,032,108 | ||
Professional Services - 0.4% | ||
Dun & Bradstreet Corp. (The) | 2,474 | 287,998 |
Manpowergroup, Inc. | 4,645 | 547,274 |
Nielsen Holdings plc | 21,721 | 900,336 |
Robert Half International, Inc. | 8,862 | 446,113 |
TransUnion * | 9,579 | 452,704 |
Verisk Analytics, Inc. * | 10,517 | 874,909 |
3,509,334 | ||
Real Estate Management & Development - 0.1% | ||
CBRE Group, Inc., Class A * | 14,520 | 550,017 |
Jones Lang LaSalle, Inc. | 2,050 | 253,175 |
Realogy Holdings Corp. | 6,947 | 228,904 |
1,032,096 | ||
Road & Rail - 1.1% | ||
AMERCO | 548 | 205,445 |
Genesee & Wyoming, Inc., Class A * | 4,779 | 353,694 |
Kansas City Southern | 6,453 | 701,312 |
Landstar System, Inc. | 3,238 | 322,667 |
Norfolk Southern Corp. | 18,909 | 2,500,526 |
Ryder System, Inc. | 3,681 | 311,228 |
Union Pacific Corp. | 52,673 | 6,108,488 |
10,503,360 | ||
Semiconductors & Semiconductor Equipment - 3.5% | ||
Advanced Energy Industries, Inc. * | 1,217 | 98,285 |
Advanced Micro Devices, Inc. * | 32,364 | 412,641 |
Analog Devices, Inc. | 16,921 | 1,458,083 |
Applied Materials, Inc. | 45,380 | 2,363,844 |
Cavium, Inc. * | 2,926 | 192,940 |
Cirrus Logic, Inc. * | 2,763 | 147,323 |
Cree, Inc. * | 4,080 | 115,015 |
Cypress Semiconductor Corp. | 13,659 | 205,158 |
Entegris, Inc. * | 9,607 | 277,162 |
First Solar, Inc. * | 2,870 | 131,676 |
Integrated Device Technology, Inc. * | 5,776 | 153,526 |
Intel Corp. | 202,079 | 7,695,168 |
KLA-Tencor Corp. | 6,508 | 689,848 |
Lam Research Corp. | 7,193 | 1,330,993 |
Marvell Technology Group Ltd. | 18,448 | 330,219 |
Maxim Integrated Products, Inc. | 13,553 | 646,614 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Microchip Technology, Inc. | 9,825 | 882,089 |
Micron Technology, Inc. * | 48,541 | 1,909,118 |
NVIDIA Corp. | 25,817 | 4,615,305 |
ON Semiconductor Corp. * | 19,571 | 361,476 |
QUALCOMM, Inc. | 64,089 | 3,322,374 |
Silicon Laboratories, Inc. * | 1,510 | 120,649 |
Skyworks Solutions, Inc. | 7,478 | 762,008 |
Teradyne, Inc. | 8,676 | 323,528 |
Texas Instruments, Inc. | 42,286 | 3,790,517 |
Versum Materials, Inc. | 4,331 | 168,129 |
Xilinx, Inc. | 10,196 | 722,183 |
33,225,871 | ||
Software - 5.4% | ||
Adobe Systems, Inc. * | 21,398 | 3,192,154 |
ANSYS, Inc. * | 3,316 | 406,973 |
Aspen Technology, Inc. * | 3,411 | 214,245 |
Atlassian Corp. plc, Class A * | 9,398 | 330,340 |
Autodesk, Inc. * | 9,418 | 1,057,265 |
Blackbaud, Inc. | 1,922 | 168,752 |
CA, Inc. | 12,896 | 430,468 |
CDK Global, Inc. | 5,746 | 362,515 |
Citrix Systems, Inc. * | 6,654 | 511,160 |
Electronic Arts, Inc. * | 13,045 | 1,540,093 |
Ellie Mae, Inc. * | 1,252 | 102,827 |
Fair Isaac Corp. | 1,347 | 189,253 |
Fortinet, Inc. * | 6,178 | 221,419 |
Guidewire Software, Inc. * | 3,097 | 241,132 |
Intuit, Inc. | 10,416 | 1,480,530 |
Manhattan Associates, Inc. * | 3,106 | 129,116 |
Microsoft Corp. | 332,047 | 24,734,181 |
Oracle Corp. | 130,071 | 6,288,933 |
Paycom Software, Inc. * | 1,290 | 96,698 |
Proofpoint, Inc. * | 2,004 | 174,789 |
PTC, Inc. * | 4,914 | 276,560 |
Red Hat, Inc. * | 8,036 | 890,871 |
Salesforce.com, Inc. * | 29,561 | 2,761,589 |
ServiceNow, Inc. * | 7,323 | 860,672 |
Splunk, Inc. * | 6,428 | 427,012 |
Symantec Corp. | 24,502 | 803,911 |
Synopsys, Inc. * | 5,866 | 472,389 |
Tableau Software, Inc., Class A * | 3,318 | 248,485 |
Take-Two Interactive Software, Inc. * | 4,862 | 497,042 |
Ultimate Software Group, Inc. (The) * | 1,208 | 229,037 |
VMware, Inc., Class A * | 12,038 | 1,314,429 |
Workday, Inc., Class A * | 9,158 | 965,162 |
51,620,002 |
24 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Specialty Retail - 2.6% | ||
Advance Auto Parts, Inc. | 3,477 | 344,918 |
AutoNation, Inc. * | 4,233 | 200,898 |
AutoZone, Inc. * | 1,539 | 915,874 |
Bed Bath & Beyond, Inc. | 6,976 | 163,727 |
Best Buy Co., Inc. | 12,680 | 722,253 |
Burlington Stores, Inc. * | 3,569 | 340,697 |
CarMax, Inc. * | 8,829 | 669,327 |
Dick's Sporting Goods, Inc. | 4,875 | 131,674 |
Foot Locker, Inc. | 6,074 | 213,926 |
Gap, Inc. (The) | 8,565 | 252,925 |
Home Depot, Inc. (The) | 59,088 | 9,664,433 |
L Brands, Inc. | 11,898 | 495,076 |
Lowe's Cos., Inc. | 41,714 | 3,334,617 |
Michaels Cos., Inc. (The) * | 7,503 | 161,089 |
Murphy USA, Inc. * | 2,606 | 179,814 |
O'Reilly Automotive, Inc. * | 4,292 | 924,368 |
Penske Automotive Group, Inc. | 1,934 | 92,000 |
Ross Stores, Inc. | 19,484 | 1,258,082 |
Sally Beauty Holdings, Inc. * | 8,092 | 158,441 |
Signet Jewelers Ltd. (a) | 2,924 | 194,592 |
Tiffany & Co. | 4,866 | 446,602 |
TJX Cos., Inc. (The) | 31,158 | 2,297,279 |
Tractor Supply Co. | 6,176 | 390,879 |
Ulta Salon, Cosmetics & Fragrance, Inc. * | 3,032 | 685,414 |
Williams-Sonoma, Inc. | 3,966 | 197,745 |
24,436,650 | ||
Technology Hardware, Storage & Peripherals - 4.1% | ||
Apple, Inc. | 221,923 | 34,202,773 |
Hewlett Packard Enterprise Co. | 90,135 | 1,325,886 |
HP, Inc. | 73,020 | 1,457,479 |
NCR Corp. * | 5,197 | 194,992 |
NetApp, Inc. | 11,018 | 482,148 |
Seagate Technology plc | 11,772 | 390,477 |
Western Digital Corp. | 12,721 | 1,099,094 |
Xerox Corp. | 8,803 | 293,052 |
39,445,901 | ||
Textiles, Apparel & Luxury Goods - 0.9% | ||
Carter's, Inc. | 3,075 | 303,656 |
Coach, Inc. | 13,018 | 524,365 |
Columbia Sportswear Co. | 2,163 | 133,197 |
Hanesbrands, Inc. | 19,270 | 474,813 |
lululemon athletica, Inc. * | 6,601 | 410,912 |
Michael Kors Holdings Ltd. * | 7,562 | 361,842 |
NIKE, Inc., Class B | 80,980 | 4,198,813 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
PVH Corp. | 4,526 | 570,548 |
Ralph Lauren Corp. | 4,220 | 372,584 |
Skechers U.S.A., Inc., Class A * | 8,642 | 216,828 |
Under Armour, Inc., Class A *(a) | 22,867 | 376,848 |
VF Corp. | 15,294 | 972,240 |
8,916,646 | ||
Thrifts & Mortgage Finance - 0.1% | ||
Essent Group Ltd. * | 3,762 | 152,361 |
MGIC Investment Corp. * | 18,700 | 234,311 |
New York Community Bancorp, Inc. | 25,326 | 326,452 |
Radian Group, Inc. | 11,843 | 221,346 |
TFS Financial Corp. | 9,601 | 154,864 |
Washington Federal, Inc. | 6,113 | 205,702 |
1,295,036 | ||
Trading Companies & Distributors - 0.4% | ||
Air Lease Corp. | 6,021 | 256,615 |
Beacon Roofing Supply, Inc. * | 4,857 | 248,921 |
Fastenal Co. | 19,074 | 869,393 |
HD Supply Holdings, Inc. * | 13,891 | 501,049 |
MSC Industrial Direct Co., Inc., Class A | 4,072 | 307,721 |
United Rentals, Inc. * | 5,702 | 791,096 |
Univar, Inc. * | 6,309 | 182,519 |
W.W. Grainger, Inc. | 3,419 | 614,565 |
WESCO International, Inc. * | 3,575 | 208,244 |
3,980,123 | ||
Transportation Infrastructure - 0.0% (b) | ||
Macquarie Infrastructure Corp. | 4,685 | 338,163 |
Water Utilities - 0.4% | ||
American Water Works Co., Inc. | 29,816 | 2,412,412 |
Aqua America, Inc. | 29,330 | 973,463 |
3,385,875 | ||
Wireless Telecommunication Services - 0.1% | ||
Sprint Corp. * | 29,949 | 233,003 |
T-Mobile US, Inc. * | 11,189 | 689,914 |
Telephone & Data Systems, Inc. | 5,307 | 148,012 |
United States Cellular Corp. * | 2,698 | 95,509 |
1,166,438 | ||
Total Common Stocks (Cost $718,959,631) | 947,440,143 | |
26 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
RIGHTS - 0.0% (b) | ||
Biotechnology - 0.0% (b) | ||
Dyax Corp. CVR, Exp. 12/31/19 *(c)(d) | 4,124 | 4,577 |
Food & Staples Retailing - 0.0% (b) | ||
Safeway Casa Ley CVR *(c) | 7,013 | 0 |
Safeway PDC LLC CVR *(c) | 7,013 | 0 |
0 | ||
Total Rights (Cost $11,892) | 4,577 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 0.4% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 3,723,931 | 3,723,931 |
Total Time Deposit (Cost $3,723,931) | 3,723,931 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.1% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.92% | 1,350,597 | 1,350,597 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $1,350,597) | 1,350,597 | |
TOTAL INVESTMENTS (Cost $724,046,051) - 99.8% | 952,519,248 | |
Other assets and liabilities, net - 0.2% | 1,967,637 | |
NET ASSETS - 100.0% | 954,486,885 |
NOTES TO SCHEDULE OF INVESTMENTS | ||||
* Non-income producing security. | ||||
(a) Security, or portion of security, is on loan. Total value of securities on loan is $1,309,145 as of September 30, 2017. | ||||
(b) Amount is less than 0.05%. | ||||
(c) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). | ||||
(d) Restricted security, acquired on January 25, 2016 with an acquisition cost of $4,577. Total market value of the restricted security amounts to $4,577, which represents less than 0.05% of the net assets of the Fund as of September 30, 2017. | ||||
Abbreviations: | ||||
CVR: | Contingent Value Rights | |||
See notes to financial statements. |
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CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $724,046,051) - including $1,309,145 of securities on loan | $952,519,248 | ||
Receivable for capital shares sold | 3,052,405 | ||
Dividends and interest receivable | 789,605 | ||
Securities lending income receivable | 2,238 | ||
Receivable from affiliates | 70,688 | ||
Directors' deferred compensation plan | 419,452 | ||
Total assets | 956,853,636 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 95,957 | ||
Deposits for securities loaned | 1,350,597 | ||
Payable to affiliates: | |||
Investment advisory fee | 115,142 | ||
Administrative fee | 83,366 | ||
Distribution and service fees | 95,121 | ||
Sub-transfer agency fee | 4,686 | ||
Directors' deferred compensation plan | 419,452 | ||
Accrued expenses | 202,430 | ||
Total liabilities | 2,366,751 | ||
NET ASSETS | $954,486,885 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $718,570,760 | ||
Accumulated undistributed net investment income | 9,740,817 | ||
Accumulated net realized loss | (2,297,889) | ||
Net unrealized appreciation (depreciation) | 228,473,197 | ||
Total | $954,486,885 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $264,813,989 and 12,369,878 shares outstanding) | $21.41 | ||
Class C (based on net assets of $51,301,075 and 2,545,123 shares outstanding) | $20.16 | ||
Class I (based on net assets of $544,751,127 and 24,833,552 shares outstanding) | $21.94 | ||
Class Y (based on net assets of $93,620,694 and 4,366,308 shares outstanding) | $21.44 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $22.48 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
28 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $7,732) | $17,842,023 | ||
Interest income | 8,769 | ||
Securities lending income, net | 66,043 | ||
Other income | 234 | ||
Total investment income | 17,917,069 | ||
EXPENSES | |||
Investment advisory fee | 1,303,329 | ||
Administrative fee | 1,042,663 | ||
Distribution and service fees: | |||
Class A | 724,808 | ||
Class C | 482,605 | ||
Directors' fees and expenses | 63,599 | ||
Custodian fees | 103,440 | ||
Transfer agency fees and expenses: | |||
Class A | 282,490 | ||
Class C | 62,255 | ||
Class I | 16,458 | ||
Class Y | 48,912 | ||
Accounting fees | 202,862 | ||
Professional fees | 62,172 | ||
Registration fees: | |||
Class A | 22,996 | ||
Class C | 14,476 | ||
Class I | 34,217 | ||
Class Y | 19,142 | ||
Reports to shareholders | 52,541 | ||
Miscellaneous | 118,376 | ||
Total expenses | 4,657,341 | ||
Waiver and/or reimbursement of expenses by affiliates | (1,374,458) | ||
Reimbursement of expenses-other | (10,429) | ||
Net expenses | 3,272,454 | ||
Net investment income (loss) | 14,644,615 | ||
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CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017 - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities - unaffiliated issuers | 3,559,344 | ||
Foreign currency transactions | 90 | ||
3,559,434 | |||
Net change in unrealized appreciation (depreciation) on investment securities - unaffiliated issuers | 125,206,981 | ||
Net realized and unrealized gain (loss) | 128,766,415 | ||
Net increase (decrease) in net assets resulting from operations | $143,411,030 | ||
See notes to financial statements. |
30 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $14,644,615 | $10,655,857 | |||||
Net realized gain (loss) | 3,559,434 | 16,747,930 | |||||
Net change in unrealized appreciation (depreciation) | 125,206,981 | 52,217,493 | |||||
Net increase (decrease) in net assets resulting from operations | 143,411,030 | 79,621,280 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (3,720,741) | (2,953,205) | |||||
Class C shares | (144,890) | (194,986) | |||||
Class I shares | (7,056,349) | (3,977,636) | |||||
Class Y shares | (746,260) | (277,391) | |||||
Net realized gain: | |||||||
Class A shares | (7,031,592) | (17,083,274) | |||||
Class C shares | (1,057,085) | (2,440,131) | |||||
Class I shares | (9,076,731) | (16,343,727) | |||||
Class Y shares | (1,017,673) | (1,224,825) | |||||
Total distributions to shareholders | (29,851,321) | (44,495,175) | |||||
Capital share transactions: | |||||||
Class A shares | (92,117,279) | 35,380,845 | |||||
Class C shares | 1,422,650 | 5,299,455 | |||||
Class I shares | 96,441,971 | 184,973,555 | |||||
Class Y shares | 38,918,371 | 26,723,562 | |||||
Net increase (decrease) in net assets from capital share transactions | 44,665,713 | 252,377,417 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 158,225,422 | 287,503,522 | |||||
NET ASSETS | |||||||
Beginning of year | 796,261,463 | 508,757,941 | |||||
End of year (including accumulated undistributed net investment income of $9,740,817 and $8,679,700, respectively) | $954,486,885 | $796,261,463 | |||||
See notes to financial statements. |
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CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS A SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $18.80 | $17.90 | $18.30 | $15.90 | $13.27 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.30 | 0.26 | 0.23 | 0.18 | 0.17 | |||||||||
Net realized and unrealized gain (loss) | 2.95 | 1.94 | (0.01) | 2.73 | 2.61 | |||||||||
Total from investment operations | 3.25 | 2.20 | 0.22 | 2.91 | 2.78 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.22) | (0.18) | (0.13) | (0.14) | (0.15) | |||||||||
Net realized gain | (0.42) | (1.12) | (0.49) | (0.37) | — | |||||||||
Total distributions | (0.64) | (1.30) | (0.62) | (0.51) | (0.15) | |||||||||
Total increase (decrease) in net asset value | 2.61 | 0.90 | (0.40) | 2.40 | 2.63 | |||||||||
Net asset value, ending | $21.41 | $18.80 | $17.90 | $18.30 | $15.90 | |||||||||
Total return (b) | 17.71 | % | 12.68 | % | 1.06 | % | 18.65 | % | 21.16 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses | 0.70 | % | 0.71 | % | 0.77 | % | 0.87 | % | 1.02 | % | ||||
Net expenses | 0.54 | % | 0.54 | % | 0.68 | % | 0.75 | % | 0.75 | % | ||||
Net investment income | 1.51 | % | 1.46 | % | 1.21 | % | 1.02 | % | 1.15 | % | ||||
Portfolio turnover | 31 | % | 27 | % | 33 | % | 8 | % | 14 | % | ||||
Net assets, ending (in thousands) | $264,814 | $319,773 | $269,684 | $214,427 | $149,738 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. | ||||||||||||||
(c) 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. | ||||||||||||||
See notes to financial statements. |
32 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS C SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $17.71 | $16.97 | $17.41 | $15.15 | $12.65 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.15 | 0.12 | 0.08 | 0.03 | 0.03 | |||||||||
Net realized and unrealized gain (loss) | 2.78 | 1.82 | — | (b) | 2.62 | 2.50 | ||||||||
Total from investment operations | 2.93 | 1.94 | 0.08 | 2.65 | 2.53 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.06) | (0.08) | (0.03) | (0.02) | (0.03) | |||||||||
Net realized gain | (0.42) | (1.12) | (0.49) | (0.37) | — | |||||||||
Total distributions | (0.48) | (1.20) | (0.52) | (0.39) | (0.03) | |||||||||
Total increase (decrease) in net asset value | 2.45 | 0.74 | (0.44) | 2.26 | 2.50 | |||||||||
Net asset value, ending | $20.16 | $17.71 | $16.97 | $17.41 | $15.15 | |||||||||
Total return (c) | 16.85 | % | 11.78 | % | 0.30 | % | 17.75 | % | 20.02 | % | ||||
Ratios to average net assets: (d) | ||||||||||||||
Total expenses | 1.50 | % | 1.53 | % | 1.57 | % | 1.61 | % | 1.77 | % | ||||
Net expenses | 1.29 | % | 1.29 | % | 1.44 | % | 1.57 | % | 1.65 | % | ||||
Net investment income | 0.77 | % | 0.70 | % | 0.45 | % | 0.19 | % | 0.25 | % | ||||
Portfolio turnover | 31 | % | 27 | % | 33 | % | 8 | % | 14 | % | ||||
Net assets, ending (in thousands) | $51,301 | $43,579 | $36,398 | $25,864 | $15,259 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Amount is less than $0.005. | ||||||||||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. | ||||||||||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
See notes to financial statements. |
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CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $19.26 | $18.33 | $18.69 | $16.20 | $13.48 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.38 | 0.33 | 0.33 | 0.27 | 0.25 | |||||||||
Net realized and unrealized gain (loss) | 3.03 | 1.98 | (0.01) | 2.81 | 2.64 | |||||||||
Total from investment operations | 3.41 | 2.31 | 0.32 | 3.08 | 2.89 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.31) | (0.26) | (0.19) | (0.22) | (0.17) | |||||||||
Net realized gain | (0.42) | (1.12) | (0.49) | (0.37) | — | |||||||||
Total distributions | (0.73) | (1.38) | (0.68) | (0.59) | (0.17) | |||||||||
Total increase (decrease) in net asset value | 2.68 | 0.93 | (0.36) | 2.49 | 2.72 | |||||||||
Net asset value, ending | $21.94 | $19.26 | $18.33 | $18.69 | $16.20 | |||||||||
Total return (b) | 18.17 | % | 13.00 | % | 1.54 | % | 19.39 | % | 21.76 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses | 0.35 | % | 0.36 | % | 0.36 | % | 0.37 | % | 0.46 | % | ||||
Net expenses | 0.19 | % | 0.19 | % | 0.20 | % | 0.21 | % | 0.21 | % | ||||
Net investment income | 1.87 | % | 1.80 | % | 1.69 | % | 1.56 | % | 1.70 | % | ||||
Portfolio turnover | 31 | % | 27 | % | 33 | % | 8 | % | 14 | % | ||||
Net assets, ending (in thousands) | $544,751 | $387,043 | $186,257 | $122,405 | $66,818 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. | ||||||||||||||
(c) 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. | ||||||||||||||
See notes to financial statements. |
34 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | ||||||||||||||
CLASS Y SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||
Net asset value, beginning | $18.84 | $17.95 | $18.40 | $16.01 | $13.27 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (a) | 0.36 | 0.31 | 0.27 | 0.21 | 0.19 | |||||||||
Net realized and unrealized gain (loss) | 2.95 | 1.93 | (0.01) | 2.70 | 2.63 | |||||||||
Total from investment operations | 3.31 | 2.24 | 0.26 | 2.91 | 2.82 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.29) | (0.23) | (0.22) | (0.15) | (0.08) | |||||||||
Net realized gain | (0.42) | (1.12) | (0.49) | (0.37) | — | |||||||||
Total distributions | (0.71) | (1.35) | (0.71) | (0.52) | (0.08) | |||||||||
Total increase (decrease) in net asset value | 2.60 | 0.89 | (0.45) | 2.39 | 2.74 | |||||||||
Net asset value, ending | $21.44 | $18.84 | $17.95 | $18.40 | $16.01 | |||||||||
Total return (b) | 18.04 | % | 12.90 | % | 1.24 | % | 18.51 | % | 21.34 | % | ||||
Ratios to average net assets: (c) | ||||||||||||||
Total expenses | 0.44 | % | 0.49 | % | 0.62 | % | 0.65 | % | 0.72 | % | ||||
Net expenses | 0.29 | % | 0.29 | % | 0.46 | % | 0.60 | % | 0.60 | % | ||||
Net investment income | 1.78 | % | 1.70 | % | 1.43 | % | 1.14 | % | 1.29 | % | ||||
Portfolio turnover | 31 | % | 27 | % | 33 | % | 8 | % | 14 | % | ||||
Net assets, ending (in thousands) | $93,621 | $45,865 | $16,419 | $6,151 | $23,218 | |||||||||
(a) Computed using average shares outstanding. | ||||||||||||||
(b) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. | ||||||||||||||
(c) 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. | ||||||||||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Responsible Index Series, Inc. (the “Corporation”) was organized as a Maryland corporation on April 7, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates five (5) separate series, or mutual funds, each with its own investment objective(s) and strategies, which are accounted for separately. This report contains the financial statements and financial highlights of Calvert US Large-Cap Core Responsible Index Fund (formerly, Calvert U.S. Large Cap Core Responsible Index Fund) (the “Fund”). The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to the Fund.
The Fund is diversified. The investment objective of the Fund is to seek to track the performance of the Calvert US Large-Cap Core Responsible Index which measures the investment return of large-capitalization stocks.
As of September 30, 2017, the Fund offered four classes of shares. Effective October 3, 2017, the Fund began offering Class R6 shares, which are sold at net asset value and are not subject to a sales charge. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.25% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class Y shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the “Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Fund to the Fund’s investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market
36 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
The following table summarizes the market value of the Fund’s holdings as of September 30, 2017, based on the inputs used to value them:
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3* | TOTAL | |||||||||
Common Stocks | $947,440,143 | ** | $— | $— | $947,440,143 | ||||||||
Rights | — | — | 4,577 | 4,577 | |||||||||
Time Deposit | — | 3,723,931 | — | 3,723,931 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 1,350,597 | — | — | 1,350,597 | |||||||||
TOTAL | $948,790,740 | $3,723,931 | $4,577 | $952,519,248 | |||||||||
* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
** The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2017 is not presented. There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
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Share Class Accounting: Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included in the Schedule of Investments.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Fund following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Fund and CRM (the "Transaction").
For its services pursuant to the new investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.15% of the Fund’s average daily net assets. Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Fund. For its services, CIM received a fee at the same annual rate as the Fund’s investment advisory agreement with CRM. For the year ended September 30, 2017, the investment advisory fee amounted to $1,303,329, of which $995,133 was paid to CRM and $308,196 was paid to CIM.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.54%, 1.29%, 0.19% and 0.29% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2019. For the year ended September 30, 2017, CRM waived or reimbursed expenses of $1,005,217 and CIM waived or reimbursed expenses of $276,403.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class Y and is payable monthly. CRM has agreed to contractually waive 0.02% of the administrative fee on Class I through January 31, 2018. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Fund at an annual rate of 0.12% of the Fund’s average daily net assets, payable monthly. In addition, CIAS contractually waived the administrative fee on Class I for the period October 1, 2016 through December 30, 2016. For the year ended September 30, 2017, CRM was paid administrative fees of $796,106, of which $72,240 were waived and CIAS was paid administrative fees of $246,557, of which $20,598 were waived.
38 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
As of December 31, 2016, the Fund has in effect new distribution plans for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board and shareholders of the Fund. The Board approved an amended and restated distribution plan pursuant to Rule 12b-1 under the 1940 Act for Class C shares and the consolidation of such Class C Plan into a Master Class C Plan (Class C Plan), effective March 7, 2017. Pursuant to the Class A Plan and Class C Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Prior to December 31, 2016, the Fund had in effect a distribution plan for Class A shares and Class C shares which permitted the Fund to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.25% for Class A and 1.00% for Class C of the Fund’s average daily net assets with respect to such class. The fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Fund’s former distributor and principal underwriter. Distribution and service fees paid or accrued for the year ended September 30, 2017 amounted to $724,808 or 0.25% per annum of Class A’s average daily net assets, of which $525,258 was paid to EVD and $199,550 was paid to CID, and $482,605 or 1.00% per annum of Class C’s average daily net assets, of which $371,456 was paid to EVD and $111,149 was paid to CID.
The Fund was informed that EVD and CID received $71,896 and $23,730, respectively, as their portion of the sales charge on sales of Class A shares for the year ended September 30, 2017. The Fund was also informed that EVD and CID received $23,050 and $16,967, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Fund and received a fee at the same rate as is paid to EVM. For the year ended September 30, 2017, sub-transfer agency fees paid to EVM were $41,382 and shareholder servicing fees paid to CIS were $12,039. Such fees are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Fund who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert Funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert Funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by CIM and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the year ended September 30, 2017, the Fund’s allocated portion of such expense and reimbursement was $10,429, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year ended September 30, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $295,992,232 and $266,732,417, respectively.
www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 39
The tax character of distributions declared for the years ended September 30, 2017 and September 30, 2016 was as follows:
Year Ended September 30, | |||||||
2017 | 2016 | ||||||
Distributions declared from: | |||||||
Ordinary income | $11,773,557 | $9,474,108 | |||||
Long-term capital gains | $18,077,764 | $35,021,067 |
During the year ended September 30, 2017, accumulated undistributed net realized loss was increased by $1,213,335, accumulated undistributed net investment income was decreased by $1,915,258 and paid-in capital was increased by $3,128,593, due to the Fund’s use of equalization accounting and due to differences between book and tax accounting, primarily for foreign currency gain (loss) and return of capital distributions from securities. Tax equalization accounting allows the Fund to treat as a distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable income and net capital gains. These reclassifications had no effect on the net assets or net asset value per share of the Fund.
As of September 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ordinary income | $11,836,446 | ||
Undistributed long-term capital gains | $7,620,401 | ||
Net unrealized appreciation (depreciation) | $216,459,279 |
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in the Statement of Assets and Liabilities are primarily due to the tax treatment of short-term capital gains and temporary book-tax differences that will reverse in a subsequent period. These differences are primarily due to wash sales and return of capital distributions from securities.
The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2017, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $736,059,969 | ||
Gross unrealized appreciation | $226,235,581 | ||
Gross unrealized depreciation | (9,776,302) | ||
Net unrealized appreciation (depreciation) | $216,459,279 |
NOTE D — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At September 30, 2017, the total value of securities on loan was $1,309,145 and the total value of collateral received was $1,350,597.
40 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2017.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $1,350,597 | $— | $— | $— | $1,350,597 | ||||
Total | $1,350,597 |
The carrying amount of the liability for deposits for securities loaned at September 30, 2017 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note A) at September 30, 2017.
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and SSB. Under the agreement, which expires on August 7, 2018, SSB provides an unsecured line of credit facility in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no loans outstanding pursuant to this line of credit at September 30, 2017. Average borrowings and the weighted average interest rate (excluding fees) for the year ended September 30, 2017 were $506,381 and 2.05%, respectively.
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NOTE F — CAPITAL SHARES
Transactions in capital shares for the years ended September 30, 2017 and September 30, 2016 were as follows:
Year Ended September 30, 2017 | Year Ended September 30, 2016 | ||||||||
Shares | Amount | Shares | Amount | ||||||
Class A | |||||||||
Shares sold | 3,803,838 | $75,308,365 | 4,783,133 | $85,897,207 | |||||
Reinvestment of distributions | 532,295 | 10,164,996 | 1,030,313 | 18,496,804 | |||||
Shares redeemed | (8,979,714) | (177,590,640) | (3,863,305) | (69,013,166) | |||||
Net increase (decrease) | (4,643,581) | ($92,117,279 | ) | 1,950,141 | $35,380,845 | ||||
Class C | |||||||||
Shares sold | 645,389 | $12,006,782 | 680,876 | $11,524,763 | |||||
Reinvestment of distributions | 51,019 | 916,136 | 116,880 | 1,979,121 | |||||
Shares redeemed | (612,405) | (11,500,268) | (482,079) | (8,204,429) | |||||
Net increase | 84,003 | $1,422,650 | 315,677 | $5,299,455 | |||||
Class I | |||||||||
Shares sold | 10,362,382 | $209,219,521 | 11,244,540 | $209,014,931 | |||||
Reinvestment of distributions | 813,618 | 15,914,834 | 1,085,395 | 19,969,479 | |||||
Shares redeemed | (6,434,731) | (128,692,384) | (2,398,888) | (44,010,855) | |||||
Net increase | 4,741,269 | $96,441,971 | 9,931,047 | $184,973,555 | |||||
Class Y | |||||||||
Shares sold | 2,736,290 | $54,691,471 | 1,898,937 | $33,598,307 | |||||
Reinvestment of distributions | 78,679 | 1,504,827 | 82,513 | 1,485,355 | |||||
Shares redeemed | (882,540) | (17,277,927) | (462,096) | (8,360,100) | |||||
Net increase | 1,932,429 | $38,918,371 | 1,519,354 | $26,723,562 |
The Board approved the termination of the Fund’s Class Y shares. Effective December 8, 2017, Class Y shares of the Fund will convert to Class I shares at net asset value. Thereafter, Class Y shares will be terminated.
NOTE G — REGULATORY MATTERS
On May 2, 2017, the Securities and Exchange Commission (SEC) issued an administrative order (“Order”) relating to the improper use of Calvert Fund assets by CIM and CID, the Calvert Funds’ former adviser and principal underwriter, respectively, to pay for the distribution and marketing of fund shares outside of a Rule 12b-1 plan, as well as to pay expenses in excess of Fund expense caps. Pursuant to the Order, CIM and CID are required to pay $21,614,534 to affected shareholders of the Calvert Funds, including the Fund’s shareholders. The distributions required to be made by CIM and CID to affected shareholders are the obligations of CIM and CID and will not have an impact on the Fund’s net assets.
NOTE H — NAME CHANGE
Effective November 6, 2017, the name of Calvert US Large-Cap Core Responsible Index Fund was changed from Calvert U.S. Large Cap Core Responsible Index Fund.
42 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Directors of Calvert Responsible Index Series, Inc. and Shareholders of Calvert US Large-Cap Core Responsible Index Fund:
We have audited the accompanying statement of assets and liabilities of the Calvert US Large-Cap Core Responsible Index Fund (formerly, U.S. Large Cap Core Responsible Index Fund) (the “Fund”), a series of Calvert Responsible Index Series, Inc., including the schedule of investments, as of September 30, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian and brokers or by performing other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert US Large-Cap Core Responsible Index Fund as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 22, 2017
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FEDERAL TAX
The Form 1099-DIV you receive in February 2018 will show the tax status of all distributions paid to your account in calendar year 2017. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the dividends received deduction for corporations and capital gains dividends.
Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Fund designates approximately $17,317,821, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2017 ordinary income dividends, 98.76% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended September 30, 2017, $27,134,642 or, if subsequently determined to be different, the net capital gain of such year.
44 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Responsible Index Series, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 37 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Compliance Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Social Investment Foundation. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2000 | Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock(2) 1950 | Chair & Director | 2016 | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez(2) 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Ariel Funds (3) (asset management) (through December 31, 2011); Calvert Social Investment Foundation; Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (now Carr Riggs & Ingram) (public accounting firm), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (14) (asset management). |
Joy V. Jones 1950 | Director | 2000 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited (restaurant) (dissolved September 2016); Palm Management Restaurant Corporation. |
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Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Anthony A. Williams(2) 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present) (economic development non-profit organization); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (now Dentons) (law firm) (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (now Gartner Inc.) (global research and Advisory company) (January 2010 to January 2012); William H. Bloomberg Lecturer in Public Management at the Harvard Kennedy School (since 2009). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force (non-profit organization); Chesapeake Bay Foundation (independent conservation organization); Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Directors | |||
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 37 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma(3) 1960 | Secretary and Vice President | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Funds because of his positions with each Fund’s Adviser and certain affiliates.
(2) Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Fund includes additional information about the Directors and officers of the Fund and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
46 www.calvert.com CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT US LARGE-CAP CORE RESPONSIBLE INDEX FUND | CALVERT FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS, P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS, 330 West 9th Street Kansas City, MO 64105 Web Site www.calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Responsible Municipal Income Fund Taxable Bond Funds Bond Fund Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Duration Income Fund High Yield Bond Fund Green Bond Fund Absolute Return Bond Fund Floating-Rate Advantage Fund Balanced and Asset Allocation Funds Balanced Fund Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Fund US Large-Cap Core Responsible Index Fund US Large-Cap Value Responsible Index Fund US Large-Cap Growth Responsible Index Fund US Mid-Cap Core Responsible Index Fund International Responsible Index Fund Mid-Cap Fund International Equity Fund Small-Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24187 9.30.17 |
Calvert US Large-Cap Growth Responsible Index Fund | ||
Annual Report September 30, 2017 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Understanding Your Fund’s Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stocks delivered strong returns in the 12-month period ended September 30, 2017 behind an extended rally that began with Donald Trump's victory in the U.S. presidential election. After lagging early in the period, U.S stocks moved sharply higher following President Trump's election on November 8, 2016. While its effect was broad-based, the rally particularly favored financial stocks, which received another boost in mid-December when the U.S. Federal Reserve (the Fed) raised its benchmark interest rate amid continued economic growth. After a brief pullback in the final weeks of 2016, U.S. equities resumed their advance in early 2017. U.S. stocks slipped in March 2017, as the failure of President Trump's health care bill in Congress raised concerns about prospects for the rest of his policy agenda including tax reform and infrastructure spending. However, stocks quickly regained their upward momentum, advancing steadily despite additional Fed rate hikes in March and June. Encouraged by a range of economic indicators, particularly U.S. job market gains, many investors viewed the rate hikes as a sign of a strengthening economy. U.S. equities retreated again in August amid rising geopolitical tensions over the North Korea stand-off and the devastation in Texas left by Hurricane Harvey. Stocks soon resumed their upward trend, with some U.S. indexes reaching record highs in the final month of the period. From a sector perspective, energy stocks delivered notable performance in the quarter as oil prices rose and refinery damage from Hurricane Harvey constricted supplies. The massive flood damage from the hurricane also helped boost auto sales, which rose in September after declining for much of 2017. Major stock indexes recorded double-digit gains for the period. The blue-chip Dow Jones Industrial Average2 advanced 25.45%, while the broader U.S. equity market, as represented by the S&P 500 Index, rose 18.61%. The technology-laden NASDAQ Composite Index delivered a 23.68% gain. Small-cap U.S. stocks, as measured by the Russell 2000® Index, generally outperformed their large-cap counterparts as measured by the S&P 500 Index during the period. Growth stocks, as a group, outpaced value stocks in both the large- and small-cap categories, as measured by the Russell growth and value indexes. | Investment Strategy The Calvert US Large-Cap Growth Responsible Index Fund (the Fund) uses a passive investment strategy to seek to track the performance of the Calvert US Large-Cap Growth Responsible Index (the Index). This is accomplished by investing in all, or virtually all, of the stocks in the Index in approximately the same proportion. The Index is comprised of the largest stocks of mid- and large-cap companies domiciled in the United States, excluding real estate investment trusts, master limited partnerships, and similar types of securities that are selected based on their environmental, social and governance (ESG) profile that meets the Calvert Principles of Responsible Investing. The companies are scored and ranked for growth factors to determine placement and weight in the Index. The Index reconstitutes semi-annually and is rebalanced quarterly. Fund Performance For the fiscal year ending September 30, 2017, the Fund’s Class A shares at net asset value (NAV) had a total return of 18.76%. By comparison, the Fund’s primary benchmark, the Index, returned 19.45% during the period. The Fund's underperformance versus its benchmark was due to Fund expenses and fees, which the Index does not incur. Ten of the Fund's 11 economic sectors delivered positive returns for the 12-month period. The one sector that delivered a negative return was energy. Other weak-performing sectors included consumer staples and telecommunications services. The strongest performing sectors were information technology, financials and real estate. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
2 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Thomas C. Seto of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | |||||||||
Class A at NAV | 06/19/2015 | 06/19/2015 | 18.76 | % | — | % | 9.47 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 13.13 | — | 7.16 | |||||||||
Class C at NAV | 06/19/2015 | 06/19/2015 | 17.90 | — | 8.66 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 16.90 | — | 8.66 | |||||||||
Class I at NAV | 06/19/2015 | 06/19/2015 | 19.20 | — | 9.86 | |||||||||
Class Y at NAV | 06/19/2015 | 06/19/2015 | 19.07 | — | 9.73 | |||||||||
Calvert US Large-Cap Growth Responsible Index | — | — | 19.45 | % | — | % | 10.07 | % | ||||||
Russell 1000® Growth Index | — | — | 21.94 | 15.25 | 11.60 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 1.48 | % | 4.08 | % | 0.65 | % | 1.15 | % | ||||||
Net | 0.57 | 1.32 | 0.22 | 0.32 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 6/19/2015 | $12,089 | N.A. | ||||
Class I | $100,000 | 6/19/2015 | $123,979 | N.A. | ||||
Class Y | $10,000 | 6/19/2015 | $12,364 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 3
FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Information Technology | 35.2 | % | Apple, Inc. | 6.6 | % | ||
Health Care | 17.3 | % | Alphabet, Inc., Class A | 5.5 | % | ||
Consumer Discretionary | 16.2 | % | Facebook, Inc., Class A | 4.1 | % | ||
Industrials | 11.6 | % | Amazon.com. Inc. | 3.7 | % | ||
Consumer Staples | 7.1 | % | Microsoft Corp. | 2.4 | % | ||
Financials | 6.0 | % | Visa, Inc., Class A | 2.0 | % | ||
Time Deposit | 2.5 | % | Johnson & Johnson | 1.9 | % | ||
Materials | 2.4 | % | 3M Co. | 1.9 | % | ||
Utilities | 0.8 | % | Home Depot, Inc. (The) | 1.8 | % | ||
Energy | 0.5 | % | Amgen, Inc. | 1.4 | % | ||
Telecommunication Services | 0.3 | % | Total | 31.3 | % | ||
Real Estate | 0.1 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures | ||
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements”. The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.2 Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Calvert US Large-Cap Growth Responsible Index is comprised of mid and large capitalization U.S. stocks with growth characteristics that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. Russell 1000® Growth Index is an unmanaged index of U.S. large-cap growth 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.3 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.5 Does not include Short Term Investment of Cash Collateral for Securities Loaned.Important Notice to Shareholders Effective November 6, 2017, the name of Calvert US Large-Cap Growth Responsible Index Fund was changed from Calvert U.S. Large Cap Growth Responsible Index Fund. |
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 5
UNDERSTANDING YOUR FUND’S EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 to September 30, 2017).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class A | $1,000.00 | $1,098.80 | $3.00** | 0.57% |
Class C | $1,000.00 | $1,095.00 | $6.93** | 1.32% |
Class I | $1,000.00 | $1,100.90 | $1.16** | 0.22% |
Class Y | $1,000.00 | $1,100.00 | $1.68** | 0.32% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.21 | $2.89** | 0.57% |
Class C | $1,000.00 | $1,018.45 | $6.68** | 1.32% |
Class I | $1,000.00 | $1,023.97 | $1.12** | 0.22% |
Class Y | $1,000.00 | $1,023.46 | $1.62** | 0.32% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
6 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
COMMON STOCKS - 100.0% | ||
Aerospace & Defense - 0.4% | ||
HEICO Corp. | 461 | 41,402 |
Hexcel Corp. | 417 | 23,944 |
Rockwell Collins, Inc. | 1,218 | 159,205 |
224,551 | ||
Air Freight & Logistics - 0.9% | ||
C.H. Robinson Worldwide, Inc. | 394 | 29,983 |
Expeditors International of Washington, Inc. | 788 | 47,170 |
United Parcel Service, Inc., Class B | 3,275 | 393,295 |
470,448 | ||
Airlines - 0.2% | ||
Southwest Airlines Co. | 2,273 | 127,243 |
Auto Components - 0.2% | ||
Delphi Automotive plc | 772 | 75,965 |
Gentex Corp. | 635 | 12,573 |
88,538 | ||
Automobiles - 0.5% | ||
Tesla, Inc. * | 646 | 220,350 |
Thor Industries, Inc. | 223 | 28,078 |
248,428 | ||
Banks - 0.8% | ||
Bank of Hawaii Corp. | 117 | 9,753 |
Bank of the Ozarks, Inc. | 227 | 10,907 |
BOK Financial Corp. | 133 | 11,848 |
Comerica, Inc. | 463 | 35,308 |
Commerce Bancshares, Inc. | 207 | 11,958 |
Cullen/Frost Bankers, Inc. | 117 | 11,106 |
East West Bancorp, Inc. | 216 | 12,912 |
First Citizens BancShares, Inc., Class A | 18 | 6,730 |
First Republic Bank | 508 | 53,066 |
Hancock Holding Co. | 230 | 11,143 |
Home BancShares, Inc. | 406 | 10,239 |
M&T Bank Corp. | 294 | 47,346 |
Pinnacle Financial Partners, Inc. | 168 | 11,248 |
Signature Bank * | 191 | 24,456 |
SVB Financial Group * | 288 | 53,882 |
Synovus Financial Corp. | 259 | 11,930 |
Texas Capital Bancshares, Inc. * | 183 | 15,701 |
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Webster Financial Corp. | 222 | 11,666 |
Western Alliance Bancorp * | 269 | 14,279 |
Wintrust Financial Corp. | 147 | 11,512 |
386,990 | ||
Beverages - 2.0% | ||
Coca-Cola Co. (The) | 9,245 | 416,117 |
Dr Pepper Snapple Group, Inc. | 518 | 45,828 |
PepsiCo, Inc. | 4,908 | 546,898 |
1,008,843 | ||
Biotechnology - 5.9% | ||
AbbVie, Inc. | 3,313 | 294,393 |
ACADIA Pharmaceuticals, Inc. * | 399 | 15,030 |
Alexion Pharmaceuticals, Inc. * | 1,173 | 164,560 |
Alkermes plc * | 841 | 42,756 |
Alnylam Pharmaceuticals, Inc. * | 418 | 49,111 |
Amgen, Inc. | 3,842 | 716,341 |
Biogen, Inc. * | 1,124 | 351,947 |
BioMarin Pharmaceutical, Inc. * | 890 | 82,832 |
Bioverativ, Inc. * | 624 | 35,612 |
Bluebird Bio, Inc. * | 103 | 14,147 |
Celgene Corp. * | 4,118 | 600,487 |
Exelixis, Inc. * | 1,299 | 31,475 |
Incyte Corp. * | 898 | 104,833 |
Intercept Pharmaceuticals, Inc. * | 107 | 6,210 |
Ionis Pharmaceuticals, Inc. * | 651 | 33,006 |
Kite Pharma, Inc. * | 283 | 50,886 |
Regeneron Pharmaceuticals, Inc. * | 413 | 184,661 |
Seattle Genetics, Inc. * | 276 | 15,017 |
TESARO, Inc. * | 219 | 28,273 |
United Therapeutics Corp. * | 247 | 28,946 |
Vertex Pharmaceuticals, Inc. * | 1,330 | 202,213 |
3,052,736 | ||
Building Products - 0.4% | ||
Allegion plc | 724 | 62,605 |
Fortune Brands Home & Security, Inc. | 740 | 49,750 |
Masco Corp. | 1,606 | 62,650 |
Owens Corning | 215 | 16,630 |
USG Corp. * | 480 | 15,672 |
207,307 | ||
Capital Markets - 3.6% | ||
Affiliated Managers Group, Inc. | 307 | 58,278 |
Ameriprise Financial, Inc. | 442 | 65,642 |
BlackRock, Inc. | 668 | 298,656 |
8 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
CBOE Holdings, Inc. | 381 | 41,007 |
Charles Schwab Corp. (The) | 3,815 | 166,868 |
CME Group, Inc. | 649 | 88,056 |
E*Trade Financial Corp. * | 355 | 15,482 |
Evercore, Inc., Class A | 169 | 13,562 |
Goldman Sachs Group, Inc. (The) | 1,231 | 291,981 |
Intercontinental Exchange, Inc. | 1,479 | 101,607 |
MarketAxess Holdings, Inc. | 192 | 35,426 |
Moody's Corp. | 908 | 126,403 |
Morningstar, Inc. | 90 | 7,649 |
MSCI, Inc. | 496 | 57,983 |
Nasdaq, Inc. | 279 | 21,642 |
Northern Trust Corp. | 463 | 42,564 |
Raymond James Financial, Inc. | 313 | 26,395 |
S&P Global, Inc. | 1,372 | 214,457 |
SEI Investments Co. | 656 | 40,055 |
State Street Corp. | 582 | 55,604 |
T. Rowe Price Group, Inc. | 494 | 44,781 |
TD Ameritrade Holding Corp. | 581 | 28,353 |
Thomson Reuters Corp. | 715 | 32,804 |
1,875,255 | ||
Chemicals - 1.8% | ||
Air Products & Chemicals, Inc. | 784 | 118,557 |
Axalta Coating Systems Ltd. * | 930 | 26,896 |
Ecolab, Inc. | 1,502 | 193,172 |
International Flavors & Fragrances, Inc. | 428 | 61,165 |
PPG Industries, Inc. | 864 | 93,882 |
Praxair, Inc. | 1,131 | 158,046 |
Sensient Technologies Corp. | 152 | 11,692 |
Sherwin-Williams Co. (The) | 678 | 242,751 |
906,161 | ||
Commercial Services & Supplies - 0.9% | ||
Cintas Corp. | 645 | 93,061 |
Clean Harbors, Inc. * | 428 | 24,268 |
Copart, Inc. * | 1,578 | 54,236 |
Deluxe Corp. | 180 | 13,133 |
Healthcare Services Group, Inc. | 538 | 29,036 |
KAR Auction Services, Inc. | 557 | 26,591 |
MSA Safety, Inc. | 148 | 11,767 |
Republic Services, Inc. | 800 | 52,848 |
UniFirst Corp. | 79 | 11,968 |
Waste Management, Inc. | 1,627 | 127,345 |
444,253 | ||
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Communications Equipment - 0.6% | ||
Arista Networks, Inc. * | 202 | 38,301 |
ARRIS International plc * | 562 | 16,011 |
Brocade Communications Systems, Inc. | 898 | 10,731 |
Ciena Corp. * | 586 | 12,875 |
CommScope Holding Co., Inc. * | 835 | 27,730 |
F5 Networks, Inc. * | 261 | 31,466 |
Finisar Corp. * | 494 | 10,952 |
Harris Corp. | 203 | 26,731 |
Juniper Networks, Inc. | 709 | 19,732 |
Lumentum Holdings, Inc. * | 243 | 13,207 |
Motorola Solutions, Inc. | 703 | 59,664 |
NetScout Systems, Inc. * | 258 | 8,346 |
Palo Alto Networks, Inc. * | 381 | 54,902 |
330,648 | ||
Construction & Engineering - 0.1% | ||
Dycom Industries, Inc. * | 226 | 19,409 |
EMCOR Group, Inc. | 194 | 13,460 |
Quanta Services, Inc. * | 438 | 16,368 |
Valmont Industries, Inc. | 75 | 11,857 |
61,094 | ||
Consumer Finance - 0.0% (a) | ||
Credit Acceptance Corp. * | 64 | 17,931 |
Containers & Packaging - 0.5% | ||
AptarGroup, Inc. | 318 | 27,446 |
Avery Dennison Corp. | 425 | 41,794 |
Ball Corp. | 1,536 | 63,437 |
Berry Global Group, Inc. * | 1,109 | 62,825 |
Crown Holdings, Inc. * | 443 | 26,456 |
Sealed Air Corp. | 565 | 24,137 |
246,095 | ||
Distributors - 0.1% | ||
Genuine Parts Co. | 210 | 20,087 |
LKQ Corp. * | 692 | 24,905 |
Pool Corp. | 184 | 19,903 |
64,895 | ||
Diversified Consumer Services - 0.1% | ||
Bright Horizons Family Solutions, Inc. * | 241 | 20,776 |
Grand Canyon Education, Inc. * | 241 | 21,888 |
Service Corp. International | 350 | 12,075 |
ServiceMaster Global Holdings, Inc. * | 367 | 17,150 |
71,889 |
10 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Diversified Telecommunication Services - 0.1% | ||
Level 3 Communications, Inc. * | 700 | 37,303 |
Zayo Group Holdings, Inc. * | 659 | 22,683 |
59,986 | ||
Electrical Equipment - 0.6% | ||
Acuity Brands, Inc. | 301 | 51,555 |
AMETEK, Inc. | 1,136 | 75,021 |
EnerSys | 142 | 9,822 |
Hubbell, Inc. | 179 | 20,768 |
Rockwell Automation, Inc. | 628 | 111,916 |
Sensata Technologies Holding NV * | 800 | 38,456 |
307,538 | ||
Electronic Equipment, Instruments & Components - 0.7% | ||
CDW Corp. | 310 | 20,460 |
Coherent, Inc. * | 105 | 24,693 |
Corning, Inc. | 1,740 | 52,061 |
Dolby Laboratories, Inc., Class A | 308 | 17,716 |
FLIR Systems, Inc. | 328 | 12,762 |
IPG Photonics Corp. * | 179 | 33,126 |
Keysight Technologies, Inc. * | 461 | 19,205 |
National Instruments Corp. | 251 | 10,585 |
SYNNEX Corp. | 91 | 11,512 |
TE Connectivity Ltd. | 935 | 77,661 |
Trimble, Inc. * | 946 | 37,131 |
Universal Display Corp. | 206 | 26,543 |
Zebra Technologies Corp., Class A * | 239 | 25,951 |
369,406 | ||
Energy Equipment & Services - 0.5% | ||
Baker Hughes a GE Co. | 4,976 | 182,221 |
Core Laboratories NV | 448 | 44,218 |
US Silica Holdings, Inc. | 1,514 | 47,040 |
273,479 | ||
Food & Staples Retailing - 1.4% | ||
Costco Wholesale Corp. | 1,282 | 210,620 |
CVS Health Corp. | 2,219 | 180,449 |
PriceSmart, Inc. | 111 | 9,907 |
Sprouts Farmers Market, Inc. * | 709 | 13,308 |
Sysco Corp. | 1,534 | 82,759 |
Walgreens Boots Alliance, Inc. | 3,018 | 233,050 |
730,093 | ||
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT 11
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Food Products - 1.3% | ||
Blue Buffalo Pet Products, Inc. * | 586 | 16,613 |
Campbell Soup Co. | 322 | 15,076 |
Hain Celestial Group, Inc. (The) * | 260 | 10,699 |
Hershey Co. (The) | 925 | 100,982 |
Hormel Foods Corp. | 580 | 18,641 |
Ingredion, Inc. | 230 | 27,747 |
J. M. Smucker Co. (The) | 353 | 37,040 |
Kraft Heinz Co. (The) | 1,750 | 135,713 |
Lamb Weston Holdings, Inc. | 588 | 27,571 |
Lancaster Colony Corp. | 96 | 11,532 |
McCormick & Co., Inc. | 541 | 55,528 |
Mondelez International, Inc., Class A | 3,634 | 147,758 |
Pinnacle Foods, Inc. | 410 | 23,440 |
Post Holdings, Inc. * | 465 | 41,046 |
TreeHouse Foods, Inc. * | 157 | 10,634 |
680,020 | ||
Gas Utilities - 0.2% | ||
ONE Gas, Inc. | 261 | 19,220 |
Southwest Gas Holdings, Inc. | 216 | 16,766 |
UGI Corp. | 681 | 31,912 |
WGL Holdings, Inc. | 181 | 15,240 |
83,138 | ||
Health Care Equipment & Supplies - 2.7% | ||
Abbott Laboratories | 3,408 | 181,851 |
ABIOMED, Inc. * | 216 | 36,418 |
Alere, Inc. * | 342 | 17,438 |
Align Technology, Inc. * | 400 | 74,508 |
Becton Dickinson and Co. | 1,211 | 237,295 |
Boston Scientific Corp. * | 4,752 | 138,616 |
Cantel Medical Corp. | 207 | 19,493 |
Cooper Cos., Inc. (The) | 273 | 64,731 |
Danaher Corp. | 1,056 | 90,584 |
DENTSPLY SIRONA, Inc. | 409 | 24,462 |
DexCom, Inc. * | 381 | 18,640 |
Edwards Lifesciences Corp. * | 1,110 | 121,334 |
Globus Medical, Inc., Class A * | 347 | 10,313 |
Hill-Rom Holdings, Inc. | 146 | 10,804 |
Hologic, Inc. * | 1,381 | 50,669 |
ICU Medical, Inc. * | 67 | 12,452 |
IDEXX Laboratories, Inc. * | 490 | 76,190 |
Masimo Corp. * | 269 | 23,285 |
NuVasive, Inc. * | 215 | 11,924 |
ResMed, Inc. | 495 | 38,095 |
STERIS plc | 184 | 16,266 |
12 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Teleflex, Inc. | 250 | 60,492 |
Varian Medical Systems, Inc. * | 327 | 32,720 |
West Pharmaceutical Services, Inc. | 395 | 38,023 |
1,406,603 | ||
Health Care Providers & Services - 2.0% | ||
Acadia Healthcare Co., Inc. * | 258 | 12,322 |
AmerisourceBergen Corp. | 424 | 35,086 |
Anthem, Inc. | 1,382 | 262,414 |
Centene Corp. * | 547 | 52,933 |
Chemed Corp. | 83 | 16,770 |
DaVita, Inc. * | 344 | 20,430 |
HCA Healthcare, Inc. * | 1,543 | 122,807 |
HealthSouth Corp. | 232 | 10,753 |
Henry Schein, Inc. * | 864 | 70,839 |
Humana, Inc. | 772 | 188,082 |
Laboratory Corp. of America Holdings * | 554 | 83,638 |
McKesson Corp. | 364 | 55,914 |
Mednax, Inc. * | 246 | 10,608 |
Molina Healthcare, Inc. * | 222 | 15,265 |
Premier, Inc., Class A * | 536 | 17,458 |
Quest Diagnostics, Inc. | 357 | 33,430 |
WellCare Health Plans, Inc. * | 238 | 40,874 |
1,049,623 | ||
Health Care Technology - 0.4% | ||
athenahealth, Inc. * | 196 | 24,374 |
Cerner Corp. * | 1,668 | 118,962 |
Cotiviti Holdings, Inc. * | 301 | 10,830 |
Medidata Solutions, Inc. * | 294 | 22,950 |
Veeva Systems, Inc., Class A * | 659 | 37,174 |
214,290 | ||
Hotels, Restaurants & Leisure - 2.2% | ||
Buffalo Wild Wings, Inc. * | 102 | 10,781 |
Chipotle Mexican Grill, Inc. * | 126 | 38,787 |
Choice Hotels International, Inc. | 199 | 12,716 |
Cracker Barrel Old Country Store, Inc. | 62 | 9,400 |
Darden Restaurants, Inc. | 556 | 43,802 |
Domino's Pizza, Inc. | 241 | 47,851 |
Dunkin' Brands Group, Inc. | 355 | 18,843 |
Hilton Worldwide Holdings, Inc. | 383 | 26,599 |
Hyatt Hotels Corp., Class A * | 325 | 20,082 |
ILG, Inc. | 405 | 10,826 |
Jack in the Box, Inc. | 129 | 13,148 |
Marriott International, Inc., Class A | 1,538 | 169,580 |
Marriott Vacations Worldwide Corp. | 121 | 15,068 |
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Papa John's International, Inc. | 145 | 10,595 |
Royal Caribbean Cruises Ltd. | 847 | 100,403 |
Six Flags Entertainment Corp. | 209 | 12,737 |
Starbucks Corp. | 7,175 | 385,369 |
Texas Roadhouse, Inc. | 231 | 11,351 |
Vail Resorts, Inc. | 206 | 46,993 |
Wendy's Co. (The) | 708 | 10,995 |
Wyndham Worldwide Corp. | 271 | 28,566 |
Yum China Holdings, Inc. * | 1,038 | 41,489 |
Yum! Brands, Inc. | 893 | 65,734 |
1,151,715 | ||
Household Durables - 0.4% | ||
Helen of Troy Ltd. * | 129 | 12,500 |
Leggett & Platt, Inc. | 369 | 17,612 |
Lennar Corp., Class A | 283 | 14,943 |
Mohawk Industries, Inc. * | 311 | 76,976 |
Newell Brands, Inc. | 861 | 36,739 |
Tempur Sealy International, Inc. * | 216 | 13,936 |
Whirlpool Corp. | 118 | 21,764 |
194,470 | ||
Household Products - 2.3% | ||
Church & Dwight Co., Inc. | 1,081 | 52,374 |
Clorox Co. (The) | 502 | 66,219 |
Colgate-Palmolive Co. | 3,837 | 279,526 |
Kimberly-Clark Corp. | 1,199 | 141,098 |
Procter & Gamble Co. (The) | 6,952 | 632,493 |
1,171,710 | ||
Independent Power and Renewable Electricity Producers - 0.0% (a) | ||
Ormat Technologies, Inc. | 186 | 11,355 |
Industrial Conglomerates - 3.3% | ||
3M Co. | 4,643 | 974,565 |
Carlisle Cos., Inc. | 234 | 23,468 |
General Electric Co. | 21,112 | 510,488 |
Roper Technologies, Inc. | 772 | 187,905 |
1,696,426 | ||
Insurance - 1.7% | ||
Alleghany Corp. * | 19 | 10,526 |
Allstate Corp. (The) | 1,223 | 112,406 |
American Financial Group, Inc. | 111 | 11,483 |
American International Group, Inc. | 2,021 | 124,069 |
Aon plc | 1,385 | 202,348 |
Arch Capital Group Ltd. * | 304 | 29,944 |
14 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Arthur J. Gallagher & Co. | 356 | 21,912 |
Brown & Brown, Inc. | 256 | 12,337 |
Enstar Group Ltd. * | 57 | 12,674 |
Marsh & McLennan Cos., Inc. | 1,758 | 147,338 |
Primerica, Inc. | 174 | 14,190 |
Progressive Corp. (The) | 1,252 | 60,622 |
Reinsurance Group of America, Inc. | 139 | 19,395 |
RenaissanceRe Holdings Ltd. | 92 | 12,433 |
Torchmark Corp. | 147 | 11,773 |
White Mountains Insurance Group Ltd. | 23 | 19,711 |
Willis Towers Watson plc | 336 | 51,821 |
XL Group Ltd. | 474 | 18,699 |
893,681 | ||
Internet & Direct Marketing Retail - 5.5% | ||
Amazon.com, Inc. * | 1,964 | 1,888,092 |
Expedia, Inc. | 624 | 89,819 |
Netflix, Inc. * | 2,142 | 388,452 |
Priceline Group, Inc. (The) * | 243 | 444,889 |
TripAdvisor, Inc. * | 412 | 16,698 |
Wayfair, Inc., Class A * | 351 | 23,657 |
2,851,607 | ||
Internet Software & Services - 10.5% | ||
Akamai Technologies, Inc. * | 512 | 24,945 |
Alphabet, Inc., Class A * | 2,936 | 2,858,842 |
CoStar Group, Inc. * | 146 | 39,165 |
eBay, Inc. * | 4,304 | 165,532 |
Facebook, Inc., Class A * | 12,405 | 2,119,642 |
GrubHub, Inc. * | 349 | 18,378 |
IAC/InterActiveCorp * | 324 | 38,096 |
j2 Global, Inc. | 171 | 12,633 |
LogMeIn, Inc. | 239 | 26,302 |
Twitter, Inc. * | 2,599 | 43,845 |
VeriSign, Inc. * | 377 | 40,109 |
Zillow Group, Inc., Class C * | 749 | 30,117 |
5,417,606 | ||
IT Services - 6.9% | ||
Accenture plc, Class A | 2,751 | 371,578 |
Alliance Data Systems Corp. | 214 | 47,412 |
Amdocs Ltd. | 306 | 19,682 |
Automatic Data Processing, Inc. | 1,247 | 136,322 |
Black Knight Financial Services, Inc., Class A * | 261 | 11,236 |
Booz Allen Hamilton Holding Corp. | 355 | 13,273 |
Broadridge Financial Solutions, Inc. | 362 | 29,257 |
CACI International, Inc., Class A * | 90 | 12,541 |
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Cognizant Technology Solutions Corp., Class A | 2,555 | 185,340 |
Conduent, Inc. * | 725 | 11,361 |
CoreLogic, Inc. * | 265 | 12,248 |
CSRA, Inc. | 353 | 11,391 |
DST Systems, Inc. | 204 | 11,196 |
DXC Technology Co. | 1,219 | 104,688 |
EPAM Systems, Inc. * | 230 | 20,224 |
Euronet Worldwide, Inc. * | 216 | 20,475 |
Fidelity National Information Services, Inc. | 843 | 78,728 |
First Data Corp., Class A * | 1,525 | 27,511 |
Fiserv, Inc. * | 887 | 114,387 |
FleetCor Technologies, Inc. * | 371 | 57,420 |
Gartner, Inc. * | 346 | 43,046 |
Genpact Ltd. | 418 | 12,017 |
Jack Henry & Associates, Inc. | 289 | 29,706 |
MasterCard, Inc., Class A | 4,044 | 571,013 |
MAXIMUS, Inc. | 318 | 20,511 |
Paychex, Inc. | 805 | 48,268 |
PayPal Holdings, Inc. * | 4,843 | 310,097 |
Sabre Corp. | 462 | 8,362 |
Science Applications International Corp. | 168 | 11,231 |
Square, Inc., Class A * | 1,490 | 42,927 |
Total System Services, Inc. | 734 | 48,077 |
Vantiv, Inc., Class A * | 877 | 61,802 |
Visa, Inc., Class A | 9,755 | 1,026,616 |
WEX, Inc. * | 128 | 14,364 |
3,544,307 | ||
Leisure Products - 0.1% | ||
Hasbro, Inc. | 393 | 38,384 |
Life Sciences Tools & Services - 1.9% | ||
Agilent Technologies, Inc. | 1,055 | 67,731 |
Bio-Rad Laboratories, Inc., Class A * | 107 | 23,778 |
Bio-Techne Corp. | 140 | 16,925 |
Bruker Corp. | 358 | 10,650 |
Charles River Laboratories International, Inc. * | 276 | 29,813 |
Illumina, Inc. * | 778 | 154,978 |
INC Research Holdings, Inc., Class A * | 295 | 15,428 |
Mettler-Toledo International, Inc. * | 135 | 84,532 |
PAREXEL International Corp. * | 228 | 20,082 |
PerkinElmer, Inc. | 330 | 22,760 |
PRA Health Sciences, Inc. * | 235 | 17,900 |
Quintiles IMS Holdings, Inc. * | 299 | 28,426 |
16 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Thermo Fisher Scientific, Inc. | 2,121 | 401,293 |
VWR Corp. * | 224 | 7,417 |
Waters Corp. * | 413 | 74,142 |
975,855 | ||
Machinery - 3.1% | ||
Allison Transmission Holdings, Inc. | 710 | 26,646 |
Barnes Group, Inc. | 192 | 13,525 |
Crane Co. | 138 | 11,039 |
Cummins, Inc. | 740 | 124,342 |
Donaldson Co., Inc. | 544 | 24,991 |
Dover Corp. | 554 | 50,630 |
Fortive Corp. | 2,358 | 166,923 |
Graco, Inc. | 304 | 37,602 |
IDEX Corp. | 401 | 48,710 |
Illinois Tool Works, Inc. | 2,400 | 355,104 |
Ingersoll-Rand plc | 1,272 | 113,424 |
Lincoln Electric Holdings, Inc. | 279 | 25,579 |
Middleby Corp. (The) * | 424 | 54,344 |
Nordson Corp. | 360 | 42,660 |
Parker-Hannifin Corp. | 697 | 121,989 |
Snap-on, Inc. | 407 | 60,647 |
Stanley Black & Decker, Inc. | 755 | 113,982 |
Timken Co. (The) | 248 | 12,040 |
Toro Co. (The) | 768 | 47,662 |
WABCO Holdings, Inc. * | 217 | 32,116 |
Wabtec Corp. (b) | 308 | 23,331 |
Woodward, Inc. | 264 | 20,489 |
Xylem, Inc. | 843 | 52,797 |
1,580,572 | ||
Media - 2.7% | ||
Cable One, Inc. | 26 | 18,775 |
CBS Corp., Class B | 974 | 56,492 |
Comcast Corp., Class A | 11,752 | 452,217 |
Discovery Communications, Inc., Class A * | 629 | 13,391 |
DISH Network Corp., Class A * | 1,028 | 55,748 |
Interpublic Group of Cos., Inc. (The) | 626 | 13,015 |
Liberty Broadband Corp., Class C * | 403 | 38,406 |
Live Nation Entertainment, Inc. * | 581 | 25,303 |
Madison Square Garden Co. (The), Class A * | 73 | 15,629 |
Omnicom Group, Inc. | 360 | 26,665 |
Sirius XM Holdings, Inc. | 7,296 | 40,274 |
Time Warner, Inc. | 1,933 | 198,036 |
Walt Disney Co. (The) | 4,246 | 418,528 |
1,372,479 | ||
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Metals & Mining - 0.2% | ||
Nucor Corp. | 1,870 | 104,795 |
Steel Dynamics, Inc. | 686 | 23,646 |
128,441 | ||
Multi-Utilities - 0.4% | ||
CMS Energy Corp. | 1,058 | 49,006 |
Sempra Energy | 1,243 | 141,864 |
190,870 | ||
Multiline Retail - 0.1% | ||
Dollar General Corp. | 752 | 60,950 |
Personal Products - 0.3% | ||
Estee Lauder Cos., Inc. (The), Class A | 1,649 | 177,828 |
Pharmaceuticals - 4.8% | ||
Akorn, Inc. * | 440 | 14,604 |
Allergan plc | 1,773 | 363,376 |
Bristol-Myers Squibb Co. | 4,484 | 285,810 |
Catalent, Inc. * | 623 | 24,870 |
Eli Lilly & Co. | 2,247 | 192,208 |
Jazz Pharmaceuticals plc * | 306 | 44,753 |
Johnson & Johnson | 7,587 | 986,386 |
Medicines Co. (The) * | 283 | 10,482 |
Merck & Co., Inc. | 5,566 | 356,391 |
Nektar Therapeutics * | 487 | 11,688 |
Prestige Brands Holdings, Inc. * | 193 | 9,667 |
Zoetis, Inc. | 2,615 | 166,733 |
2,466,968 | ||
Professional Services - 0.4% | ||
Nielsen Holdings plc | 918 | 38,051 |
Robert Half International, Inc. | 523 | 26,328 |
TransUnion * | 1,178 | 55,672 |
Verisk Analytics, Inc. * | 1,107 | 92,091 |
212,142 | ||
Real Estate Management & Development - 0.1% | ||
CBRE Group, Inc., Class A * | 1,018 | 38,562 |
Jones Lang LaSalle, Inc. | 102 | 12,597 |
51,159 | ||
Road & Rail - 1.2% | ||
AMERCO | 28 | 10,497 |
Kansas City Southern | 379 | 41,190 |
18 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Landstar System, Inc. | 331 | 32,984 |
Norfolk Southern Corp. | 1,032 | 136,472 |
Union Pacific Corp. | 3,287 | 381,193 |
602,336 | ||
Semiconductors & Semiconductor Equipment - 3.9% | ||
Advanced Energy Industries, Inc. * | 143 | 11,549 |
Advanced Micro Devices, Inc. * | 2,004 | 25,551 |
Analog Devices, Inc. | 1,030 | 88,755 |
Applied Materials, Inc. | 4,579 | 238,520 |
Cavium, Inc. * | 263 | 17,342 |
Cirrus Logic, Inc. * | 324 | 17,276 |
Cree, Inc. * | 183 | 5,159 |
Cypress Semiconductor Corp. | 934 | 14,029 |
Entegris, Inc. * | 472 | 13,617 |
Integrated Device Technology, Inc. * | 485 | 12,891 |
KLA-Tencor Corp. | 634 | 67,204 |
Lam Research Corp. | 726 | 134,339 |
Marvell Technology Group Ltd. | 807 | 14,445 |
Maxim Integrated Products, Inc. | 788 | 37,595 |
Microchip Technology, Inc. | 984 | 88,344 |
Micron Technology, Inc. * | 4,797 | 188,666 |
NVIDIA Corp. | 2,549 | 455,685 |
ON Semiconductor Corp. * | 798 | 14,739 |
Silicon Laboratories, Inc. * | 148 | 11,825 |
Skyworks Solutions, Inc. | 771 | 78,565 |
Teradyne, Inc. | 350 | 13,051 |
Texas Instruments, Inc. | 4,271 | 382,852 |
Versum Materials, Inc. | 480 | 18,634 |
Xilinx, Inc. | 644 | 45,615 |
1,996,248 | ||
Software - 6.7% | ||
Adobe Systems, Inc. * | 2,133 | 318,201 |
ANSYS, Inc. * | 366 | 44,919 |
Aspen Technology, Inc. * | 311 | 19,534 |
Atlassian Corp. plc, Class A * | 850 | 29,878 |
Autodesk, Inc. * | 405 | 45,465 |
Blackbaud, Inc. | 229 | 20,106 |
CDK Global, Inc. | 459 | 28,958 |
Citrix Systems, Inc. * | 582 | 44,709 |
Electronic Arts, Inc. * | 1,329 | 156,902 |
Ellie Mae, Inc. * | 144 | 11,827 |
Fair Isaac Corp. | 117 | 16,439 |
Fortinet, Inc. * | 678 | 24,300 |
Guidewire Software, Inc. * | 328 | 25,538 |
Intuit, Inc. | 1,049 | 149,105 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Manhattan Associates, Inc. * | 361 | 15,007 |
Microsoft Corp. | 16,925 | 1,260,743 |
Oracle Corp. | 5,950 | 287,682 |
Paycom Software, Inc. * | 167 | 12,518 |
Proofpoint, Inc. * | 191 | 16,659 |
PTC, Inc. * | 389 | 21,893 |
Red Hat, Inc. * | 762 | 84,475 |
Salesforce.com, Inc. * | 2,940 | 274,655 |
ServiceNow, Inc. * | 713 | 83,799 |
Splunk, Inc. * | 556 | 36,935 |
Symantec Corp. | 1,432 | 46,984 |
Synopsys, Inc. * | 636 | 51,217 |
Tableau Software, Inc., Class A * | 350 | 26,212 |
Take-Two Interactive Software, Inc. * | 473 | 48,355 |
Ultimate Software Group, Inc. (The) * | 117 | 22,183 |
VMware, Inc., Class A *(b) | 1,239 | 135,286 |
Workday, Inc., Class A * | 913 | 96,221 |
3,456,705 | ||
Specialty Retail - 3.7% | ||
Advance Auto Parts, Inc. | 111 | 11,011 |
AutoZone, Inc. * | 141 | 83,910 |
Burlington Stores, Inc. * | 339 | 32,361 |
CarMax, Inc. * | 491 | 37,223 |
Foot Locker, Inc. | 289 | 10,179 |
Home Depot, Inc. (The) | 5,808 | 949,956 |
Lowe's Cos., Inc. | 4,166 | 333,030 |
Michaels Cos., Inc. (The) * | 491 | 10,542 |
O'Reilly Automotive, Inc. * | 429 | 92,394 |
Ross Stores, Inc. | 1,879 | 121,327 |
Tiffany & Co. | 206 | 18,907 |
TJX Cos., Inc. (The) | 2,135 | 157,413 |
Tractor Supply Co. | 266 | 16,835 |
Ulta Salon, Cosmetics & Fragrance, Inc. * | 277 | 62,619 |
1,937,707 | ||
Technology Hardware, Storage & Peripherals - 6.9% | ||
Apple, Inc. | 22,060 | 3,399,887 |
NCR Corp. * | 289 | 10,843 |
NetApp, Inc. | 600 | 26,256 |
Western Digital Corp. | 1,264 | 109,210 |
3,546,196 | ||
Textiles, Apparel & Luxury Goods - 1.0% | ||
Carter's, Inc. | 154 | 15,207 |
Columbia Sportswear Co. | 151 | 9,299 |
lululemon athletica, Inc. * | 476 | 29,631 |
20 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
NIKE, Inc., Class B | 8,104 | 420,192 |
Skechers U.S.A., Inc., Class A * | 366 | 9,183 |
Under Armour, Inc., Class A * | 1,022 | 16,843 |
500,355 | ||
Thrifts & Mortgage Finance - 0.0% (a) | ||
Essent Group Ltd. * | 310 | 12,555 |
TFS Financial Corp. | 711 | 11,468 |
24,023 | ||
Trading Companies & Distributors - 0.4% | ||
Beacon Roofing Supply, Inc. * | 252 | 12,915 |
Fastenal Co. | 1,073 | 48,907 |
HD Supply Holdings, Inc. * | 1,064 | 38,379 |
MSC Industrial Direct Co., Inc., Class A | 230 | 17,381 |
United Rentals, Inc. * | 615 | 85,325 |
Univar, Inc. * | 220 | 6,365 |
209,272 | ||
Transportation Infrastructure - 0.0% (a) | ||
Macquarie Infrastructure Corp. | 298 | 21,510 |
Water Utilities - 0.2% | ||
American Water Works Co., Inc. | 1,031 | 83,418 |
Aqua America, Inc. | 913 | 30,303 |
113,721 | ||
Wireless Telecommunication Services - 0.2% | ||
Sprint Corp. * | 1,629 | 12,673 |
T-Mobile US, Inc. * | 1,342 | 82,748 |
95,421 | ||
Total Common Stocks (Cost $41,263,816) | 51,699,500 | |
RIGHTS - 0.0% (a) | ||
Biotechnology - 0.0% (a) | ||
Dyax Corp. CVR, Exp. 12/31/19*(c)(d) | 565 | 627 |
Total Rights (Cost $627) | 627 |
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PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 2.6% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 1,348,009 | 1,348,009 |
Total Time Deposit (Cost $1,348,009) | 1,348,009 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.3% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.92% | 148,440 | 148,440 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $148,440) | 148,440 | |
TOTAL INVESTMENTS (Cost $42,760,892) - 102.9% | 53,196,576 | |
Other assets and liabilities, net - (2.9%) | (1,491,301) | |
NET ASSETS - 100.0% | 51,705,275 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
* Non-income producing security. | ||
(a) Amount is less than 0.05%. | ||
(b) Security, or portion of security, is on loan. Total value of securities on loan is $145,321 as of September 30, 2017. | ||
(c) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). | ||
(d) Restricted security, acquired on January 25, 2016 with an acquisition cost of $627. Total market value of the restricted security amounts to $627, which represents less than 0.05% of the net assets of the Fund as of September 30, 2017. | ||
Abbreviations: | ||
CVR: | Contingent Value Rights | |
See notes to financial statements. |
22 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $42,760,892) - including $145,321 of securities on loan | $53,196,576 | ||
Cash | 218 | ||
Receivable for investments sold | 129,819 | ||
Receivable for capital shares sold | 102,459 | ||
Dividends and interest receivable | 28,494 | ||
Securities lending income receivable | 62 | ||
Receivable from affiliates | 17,019 | ||
Directors' deferred compensation plan | 27,449 | ||
Total assets | 53,502,096 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 8,738 | ||
Deposits for securities loaned | 148,440 | ||
Demand note payable | 1,544,683 | ||
Payable to affiliates: | |||
Investment advisory fee | 6,690 | ||
Distribution and service fees | 2,591 | ||
Sub-transfer agency fee | 256 | ||
Directors' deferred compensation plan | 27,449 | ||
Accrued expenses | 57,974 | ||
Total liabilities | 1,796,821 | ||
NET ASSETS | $51,705,275 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $40,662,492 | ||
Accumulated undistributed net investment income | 347,835 | ||
Accumulated undistributed net realized gain | 259,264 | ||
Net unrealized appreciation (depreciation) | 10,435,684 | ||
Total | $51,705,275 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $6,213,802 and 255,192 shares outstanding) | $24.35 | ||
Class C (based on net assets of $1,308,793 and 54,301 shares outstanding) | $24.10 | ||
Class I (based on net assets of $40,820,677 and 1,669,854 shares outstanding) | $24.45 | ||
Class Y (based on net assets of $3,362,003 and 137,722 shares outstanding) | $24.41 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $25.56 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
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CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $288) | $737,610 | ||
Interest income | 484 | ||
Securities lending income, net | 4,516 | ||
Total investment income | 742,610 | ||
EXPENSES | |||
Investment advisory fee | 75,143 | ||
Administrative fee | 60,115 | ||
Distribution and service fees: | |||
Class A | 13,332 | ||
Class C | 9,435 | ||
Directors' fees and expenses | 3,930 | ||
Custodian fees | 47,007 | ||
Transfer agency fees and expenses: | |||
Class A | 26,398 | ||
Class C | 2,557 | ||
Class I | 2,411 | ||
Class Y | 2,091 | ||
Accounting fees | 22,891 | ||
Professional fees | 23,421 | ||
Registration fees: | |||
Class A | 13,852 | ||
Class C | 13,254 | ||
Class I | 19,286 | ||
Class Y | 13,731 | ||
Reports to shareholders | 7,469 | ||
Miscellaneous | 24,493 | ||
Total expenses | 380,816 | ||
Waiver and/or reimbursement of expenses by affiliates | (237,075) | ||
Reimbursement of expenses-other | (674) | ||
Net expenses | 143,067 | ||
Net investment income (loss) | 599,543 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities - unaffiliated issuers | 962,045 | ||
Foreign currency transactions | 5 | ||
962,050 | |||
Net change in unrealized appreciation (depreciation) on investment securities - unaffiliated issuers | 7,203,810 | ||
Net realized and unrealized gain (loss) | 8,165,860 | ||
Net increase (decrease) in net assets resulting from operations | $8,765,403 | ||
See notes to financial statements. |
24 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $599,543 | $448,915 | |||||
Net realized gain (loss) | 962,050 | (558,575) | |||||
Net change in unrealized appreciation (depreciation) | 7,203,810 | 3,674,381 | |||||
Net increase (decrease) in net assets resulting from operations | 8,765,403 | 3,564,721 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (37,111) | (6,546) | |||||
Class C shares | (731) | (1,085) | |||||
Class I shares | (422,097) | (106,654) | |||||
Class Y shares | (25,744) | (5,032) | |||||
Net realized gain: | |||||||
Class A shares | — | (298) | |||||
Class C shares | — | (19) | |||||
Class I shares | — | (3,812) | |||||
Class Y shares | — | (189) | |||||
Total distributions to shareholders | (485,683) | (123,635) | |||||
Capital share transactions: | |||||||
Class A shares | 975,904 | 2,008,853 | |||||
Class C shares | 431,146 | 540,103 | |||||
Class I shares | (4,700,836) | 33,769,103 | |||||
Class Y shares | 834,816 | 314,917 | |||||
Net increase (decrease) in net assets from capital share transactions | (2,458,970) | 36,632,976 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 5,820,750 | 40,074,062 | |||||
NET ASSETS | |||||||
Beginning of year | 45,884,525 | 5,810,463 | |||||
End of year (including accumulated undistributed net investment income of $347,835 and $339,567, respectively) | $51,705,275 | $45,884,525 | |||||
See notes to financial statements. |
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CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS A SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $20.66 | $18.55 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.21 | 0.15 | 0.03 | |||||||
Net realized and unrealized gain (loss) | 3.64 | 2.00 | (1.48) | |||||||
Total from investment operations | 3.85 | 2.15 | (1.45) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.16) | (0.04) | — | |||||||
Net realized gain | — | — | (c) | — | ||||||
Total distributions | (0.16) | (0.04) | — | |||||||
Total increase (decrease) in net asset value | 3.69 | 2.11 | (1.45) | |||||||
Net asset value, ending | $24.35 | $20.66 | $18.55 | |||||||
Total return (d) | 18.76 | % | 11.63 | % | (7.25 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 1.53 | % | 1.45 | % | 7.70 | % | (f) | |||
Net expenses | 0.57 | % | 0.57 | % | 0.57 | % | (f) | |||
Net investment income | 0.92 | % | 0.77 | % | 0.60 | % | (f) | |||
Portfolio turnover | 75 | % | 43 | % | 3 | % | ||||
Net assets, ending (in thousands) | $6,214 | $4,403 | $2,100 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
26 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS C SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $20.46 | $18.51 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (loss) (b) | 0.04 | �� | — | (c) | (0.01) | |||||
Net realized and unrealized gain (loss) | 3.62 | 1.99 | (1.48) | |||||||
Total from investment operations | 3.66 | 1.99 | (1.49) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.02) | (0.04) | — | |||||||
Net realized gain | — | — | (c) | — | ||||||
Total distributions | (0.02) | (0.04) | — | |||||||
Total increase (decrease) in net asset value | 3.64 | 1.95 | (1.49) | |||||||
Net asset value, ending | $24.10 | $20.46 | $18.51 | |||||||
Total return (d) | 17.90 | % | 10.79 | % | (7.45 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 3.20 | % | 4.06 | % | 67.14 | % | (f) | |||
Net expenses | 1.32 | % | 1.32 | % | 1.32 | % | (f) | |||
Net investment income (loss) | 0.16 | % | 0.02 | % | (0.17 | %) | (f) | |||
Portfolio turnover | 75 | % | 43 | % | 3 | % | ||||
Net assets, ending (in thousands) | $1,309 | $718 | $145 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
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CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS I SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $20.74 | $18.57 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.28 | 0.22 | 0.05 | |||||||
Net realized and unrealized gain (loss) | 3.66 | 2.01 | (1.48) | |||||||
Total from investment operations | 3.94 | 2.23 | (1.43) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.23) | (0.06) | — | |||||||
Net realized gain | — | — | (c) | — | ||||||
Total distributions | (0.23) | (0.06) | — | |||||||
Total increase (decrease) in net asset value | 3.71 | 2.17 | (1.43) | |||||||
Net asset value, ending | $24.45 | $20.74 | $18.57 | |||||||
Total return (d) | 19.20 | % | 12.02 | % | (7.15 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 0.58 | % | 0.61 | % | 7.16 | % | (f) | |||
Net expenses | 0.22 | % | 0.22 | % | 0.22 | % | (f) | |||
Net investment income | 1.26 | % | 1.12 | % | 0.95 | % | (f) | |||
Portfolio turnover | 75 | % | 43 | % | 3 | % | ||||
Net assets, ending (in thousands) | $40,821 | $38,646 | $1,964 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
28 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS Y SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $20.71 | $18.56 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.26 | 0.20 | 0.05 | |||||||
Net realized and unrealized gain (loss) | 3.65 | 2.00 | (1.49) | |||||||
Total from investment operations | 3.91 | 2.20 | (1.44) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.21) | (0.05) | — | |||||||
Net realized gain | — | — | (c) | — | ||||||
Total distributions | (0.21) | (0.05) | — | |||||||
Total increase (decrease) in net asset value | 3.70 | 2.15 | (1.44) | |||||||
Net asset value, ending | $24.41 | $20.71 | $18.56 | |||||||
Total return (d) | 19.07 | % | 11.89 | % | (7.20 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 1.16 | % | 1.11 | % | 9.87 | % | (f) | |||
Net expenses | 0.32 | % | 0.32 | % | 0.32 | % | (f) | |||
Net investment income | 1.16 | % | 1.02 | % | 0.90 | % | (f) | |||
Portfolio turnover | 75 | % | 43 | % | 3 | % | ||||
Net assets, ending (in thousands) | $3,362 | $2,117 | $1,601 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Responsible Index Series, Inc. (the “Corporation”) was organized as a Maryland corporation on April 7, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates five (5) separate series, each with its own investment objective(s) and strategies, which are accounted for separately. This report contains the financial statements and financial highlights of Calvert US Large-Cap Growth Responsible Index Fund (formerly, Calvert U.S. Large Cap Growth Responsible Index Fund) (the “Fund”). The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to the Fund.
The Fund is diversified. The investment objective of the Fund is to seek to track the performance of the Calvert US Large-Cap Growth Responsible Index, which measures the investment return of large-capitalization stocks.
The Fund offers four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.25% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class Y shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the “Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Fund to the Fund’s investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
30 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
The following table summarizes the market value of the Fund’s holdings as of September 30, 2017, based on the inputs used to value them:
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3* | TOTAL | |||||||||
Common Stocks | $51,699,500 | ** | $— | $— | $51,699,500 | ||||||||
Rights | — | — | 627 | 627 | |||||||||
Time Deposit | — | 1,348,009 | — | 1,348,009 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 148,440 | — | — | 148,440 | |||||||||
TOTAL | $51,847,940 | $1,348,009 | $627 | $53,196,576 | |||||||||
* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
** The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2017 is not presented. There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
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Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Share Class Accounting: Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included in the Schedule of Investments.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Fund following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Fund and CRM (the "Transaction").
For its services pursuant to the new investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.15% of the Fund’s average daily net assets. Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Fund. For its services, CIM received a fee at the same annual rate as the Fund’s investment advisory agreement with CRM. For the year ended September 30, 2017, the investment advisory fee amounted to $75,143, of which $58,244 was paid to CRM and $16,899 was paid to CIM.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.57%, 1.32%, 0.22% and 0.32% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2019. For the year ended September 30, 2017, CRM waived or reimbursed expenses of $138,759 and CIM waived or reimbursed expenses of $38,201.
32 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class Y and is payable monthly. CRM has agreed to contractually waive the administrative fee through January 31, 2018. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Fund at an annual rate of 0.12% of the Fund’s average daily net assets, payable monthly. In addition, CIAS contractually waived the administrative fee for the period October 1, 2016 through December 30, 2016. For the year ended September 30, 2017, CRM was paid administrative fees of $46,595, all of which were waived and CIAS was paid administrative fees of $13,520, all of which were waived.
As of December 31, 2016, the Fund has in effect new distribution plans for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board and shareholders of the Fund. Pursuant to the Class A Plan and Class C Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Prior to December 31, 2016, the Fund had in effect a distribution plan for Class A shares and Class C shares which permitted the Fund to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.50% for Class A and 1.00% for Class C of the Fund’s average daily net assets with respect to such class. The fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Fund’s former distributor and principal underwriter. Distribution and service fees paid or accrued for the year ended September 30, 2017 amounted to $13,332 or 0.25% per annum of Class A’s average daily net assets, of which $10,536 was paid to EVD and $2,796 was paid to CID, and $9,435 or 1.00% per annum of Class C’s average daily net assets, of which $7,611 was paid to EVD and $1,824 was paid to CID.
The Fund was informed that EVD and CID received $6,997 and $915, respectively, as their portion of the sales charge on sales of Class A shares for the year ended September 30, 2017. The Fund was also informed that EVD and CID received $1,325 and $1,220, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Fund and received a fee at the same rate as is paid to EVM. For the year ended September 30, 2017, sub-transfer agency fees paid to EVM were $1,984 and shareholder servicing fees paid to CIS were $295. Such fees are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Fund who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert Funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert Funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by CIM and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the year ended September 30, 2017, the Fund’s allocated portion of such expense and reimbursement was $674, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
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NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year ended September 30, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $37,593,507 and $39,679,468, respectively.
The tax character of distributions declared for the years ended September 30, 2017 and September 30, 2016 was as follows:
Year Ended September 30, | |||||||
2017 | 2016 | ||||||
Distributions declared from: | |||||||
Ordinary income | $485,683 | $123,635 |
During the year ended September 30, 2017, accumulated undistributed net realized gain was decreased by $140,740, accumulated undistributed net investment income was decreased by $105,592 and paid-in capital was increased by $246,332 due to the Fund’s use of equalization accounting and differences between book and tax accounting, primarily for foreign currency gain (loss) and return of capital distributions from securities. Tax equalization accounting allows the Fund to treat as a distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable income and net capital gains. These reclassifications had no effect on the net assets or net asset value per share of the Fund.
As of September 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ordinary income | $774,178 | ||
Undistributed long-term capital gains | $184,595 | ||
Net unrealized appreciation (depreciation) | $10,084,010 |
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in the Statement of Assets and Liabilities are primarily due to the tax treatment of short-term capital gains and temporary book-tax differences that will reverse in a subsequent period. These differences are primarily due to wash sales and return of capital distributions from securities.
The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2017, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $43,112,566 | ||
Gross unrealized appreciation | $10,629,127 | ||
Gross unrealized depreciation | (545,117) | ||
Net unrealized appreciation (depreciation) | $10,084,010 |
NOTE D — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
34 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
At September 30, 2017, the total value of securities on loan was $145,321 and the total value of collateral received was $148,440.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2017.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $148,440 | $— | $— | $— | $148,440 | ||||
Total | $148,440 |
The carrying amount of the liability for deposits for securities loaned at September 30, 2017 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note A) at September 30, 2017.
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and SSB. Under the agreement, which expires on August 7, 2018, SSB provides an unsecured line of credit facility in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. At September 30, 2017, the Fund had a balance outstanding pursuant to this line of credit of $1,544,683 at an interest rate of 2.48%. Based on the short-term nature of the borrowings under the line of credit and variable interest rate, the carrying value of the borrowings approximated its fair value at September 30, 2017. If measured at fair value, borrowings under the line of credit would have been considered as Level 2 in the fair value hierarchy (see Note A) at September 30, 2017. Average borrowings and the weighted average interest rate (excluding fees) for the year ended September 30, 2017 were $54,702 and 2.44%, respectively.
www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT 35
NOTE F — CAPITAL SHARES
Transactions in capital shares for the years ended September 30, 2017 and September 30, 2016 were as follows:
Year Ended September 30, 2017 | Year Ended September 30, 2016 | ||||||||
Shares | Amount | Shares | Amount | ||||||
Class A | |||||||||
Shares sold | 232,814 | $5,276,796 | 124,446 | $2,490,252 | |||||
Reinvestment of distributions | 1,696 | 35,153 | 333 | 6,695 | |||||
Shares redeemed | (192,452) | (4,336,045) | (24,844) | (488,094) | |||||
Net increase | 42,058 | $975,904 | 99,935 | $2,008,853 | |||||
Class C | |||||||||
Shares sold | 27,569 | $610,708 | 28,006 | $554,462 | |||||
Reinvestment of distributions | 25 | 520 | 30 | 601 | |||||
Shares redeemed | (8,390) | (180,082) | (756) | (14,960) | |||||
Net increase | 19,204 | $431,146 | 27,280 | $540,103 | |||||
Class I | |||||||||
Shares sold | 627,565 | $13,840,045 | 1,951,349 | $37,585,244 | |||||
Reinvestment of distributions | 20,284 | 421,090 | 5,491 | 110,466 | |||||
Shares redeemed | (841,420) | (18,961,971) | (199,205) | (3,926,607) | |||||
Net increase (decrease) | (193,571) | ($4,700,836) | 1,757,635 | $33,769,103 | |||||
Class Y | |||||||||
Shares sold | 104,325 | $2,336,543 | 21,008 | $415,536 | |||||
Reinvestment of distributions | 1,241 | 25,744 | 260 | 5,221 | |||||
Shares redeemed | (70,065) | (1,527,471) | (5,311) | (105,840) | |||||
Net increase | 35,501 | $834,816 | 15,957 | $314,917 |
At September 30, 2017, Calvert Aggressive Allocation Fund, Calvert Conservative Allocation Fund and Calvert Moderate Allocation Fund owned in the aggregate 76.7% of the value of the outstanding shares of the Fund.
The Board approved the termination of the Fund’s Class C and Class Y shares. Effective December 8, 2017, Class C shares of the Fund will convert to Class A shares and Class Y shares will convert to Class I shares at net asset value. Thereafter, Class C shares and Class Y shares will be terminated.
NOTE G — NAME CHANGE
Effective November 6, 2017, the name of Calvert US Large-Cap Growth Responsible Index Fund was changed from Calvert U.S. Large Cap Growth Responsible Index Fund.
36 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Directors of The Calvert Responsible Index Series, Inc. and Shareholders of Calvert US Large-Cap Growth Responsible Index Fund:
We have audited the accompanying statement of assets and liabilities of the Calvert US Large-Cap Growth Responsible Index Fund (formerly, Calvert U.S. Large Cap Growth Responsible Index Fund) (the “Fund”), a series of Calvert Responsible Index Series, Inc., including the schedule of investments, as of September 30, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian and brokers or by performing other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert US Large-Cap Growth Responsible Index Fund as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 22, 2017
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FEDERAL TAX INFORMATION
The Form 1099-DIV you receive in February 2018 will show the tax status of all distributions paid to your account in calendar year 2017. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the dividends received deduction for corporations and capital gains dividends.
Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Fund designates approximately $618,522, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2017 ordinary income dividends, 75.35% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended September 30, 2017, $232,022 or, if subsequently determined to be different, the net capital gain of such year.
38 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Responsible Index Series, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 37 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Compliance Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Social Investment Foundation. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2000 | Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock(2) 1950 | Chair & Director | 2016 | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez(2) 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Ariel Funds (3) (asset management) (through December 31, 2011); Calvert Social Investment Foundation; Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (now Carr Riggs & Ingram) (public accounting firm), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (14) (asset management). |
Joy V. Jones 1950 | Director | 2000 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited (restaurant) (dissolved September 2016); Palm Management Restaurant Corporation. |
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Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Anthony A. Williams(2) 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present) (economic development non-profit organization); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (now Dentons) (law firm) (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (now Gartner Inc.) (global research and Advisory company) (January 2010 to January 2012); William H. Bloomberg Lecturer in Public Management at the Harvard Kennedy School (since 2009). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force (non-profit organization); Chesapeake Bay Foundation (independent conservation organization); Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Directors | |||
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 37 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma(3) 1960 | Secretary and Vice President | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Funds because of his positions with each Fund’s Adviser and certain affiliates.
(2) Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Fund includes additional information about the Directors and officers of the Fund and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
40 www.calvert.com CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT US LARGE-CAP GROWTH RESPONSIBLE INDEX FUND | CALVERT FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS, P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS, 330 West 9th Street Kansas City, MO 64105 Web Site www.calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Responsible Municipal Income Fund Taxable Bond Funds Bond Fund Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Duration Income Fund High Yield Bond Fund Green Bond Fund Absolute Return Bond Fund Floating-Rate Advantage Fund Balanced and Asset Allocation Funds Balanced Fund Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Fund US Large-Cap Core Responsible Index Fund US Large-Cap Value Responsible Index Fund US Large-Cap Growth Responsible Index Fund US Mid-Cap Core Responsible Index Fund International Responsible Index Fund Mid-Cap Fund International Equity Fund Small-Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24189 9.30.17 |
Calvert US Large-Cap Value Responsible Index Fund | ||
Annual Report September 30, 2017 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Understanding Your Fund’s Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stocks delivered strong returns in the 12-month period ended September 30, 2017 behind an extended rally that began with Donald Trump's victory in the U.S. presidential election. After lagging early in the period, U.S stocks moved sharply higher following President Trump's election on November 8, 2016. While its effect was broad-based, the rally particularly favored financial stocks, which received another boost in mid-December when the U.S. Federal Reserve (the Fed) raised its benchmark interest rate amid continued economic growth. After a brief pullback in the final weeks of 2016, U.S. equities resumed their advance in early 2017. U.S. stocks slipped in March 2017, as the failure of President Trump's health care bill in Congress raised concerns about prospects for the rest of his policy agenda including tax reform and infrastructure spending. However, stocks quickly regained their upward momentum, advancing steadily despite additional Fed rate hikes in March and June. Encouraged by a range of economic indicators, particularly U.S. job market gains, many investors viewed the rate hikes as a sign of a strengthening economy. U.S. equities retreated again in August amid rising geopolitical tensions over the North Korea stand-off and the devastation in Texas left by Hurricane Harvey. Stocks soon resumed their upward trend, with some U.S. indexes reaching record highs in the final month of the period. From a sector perspective, energy stocks delivered notable performance in the quarter as oil prices rose and refinery damage from Hurricane Harvey constricted supplies. The massive flood damage from the hurricane also helped boost auto sales, which rose in September after declining for much of 2017. Major stock indexes recorded double-digit gains for the period. The blue-chip Dow Jones Industrial Average2 advanced 25.45%, while the broader U.S. equity market, as represented by the S&P 500 Index, rose 18.61%. The technology-laden NASDAQ Composite Index delivered a 23.68% gain. Small-cap U.S. stocks, as measured by the Russell 2000® Index, generally outperformed their large-cap counterparts as measured by the S&P 500 Index during the period. Growth stocks, as a group, outpaced value stocks in both the large- and small-cap categories, as measured by the Russell growth and value indexes. | Investment Strategy The Calvert US Large-Cap Value Responsible Index Fund (the Fund) uses a passive investment strategy to seek to track the performance of the Calvert US Large-Cap Value Responsible Index (the Index). This is accomplished by investing in all, or virtually all, of the stocks in the Index in approximately the same proportion. The Index is comprised of the largest stocks of mid- and large-cap companies domiciled in the United States, excluding real estate investment trusts, master limited partnerships, and similar types of securities that are selected based on their environmental, social and governance (ESG) profile that meets the Calvert Principles of Responsible Investing. The companies are scored and ranked for value factors to determine placement and weight in the Index. The Index reconstitutes semi-annually and is rebalanced quarterly. Fund Performance For the fiscal year ending September 30, 2017, the Fund’s Class A shares at net asset value (NAV) had a total return of 16.72%. By comparison, the Fund's primary benchmark, the Index, returned 17.75% during the period. The Fund's underperformance versus its benchmark was due to Fund expenses and fees, which the Index does not incur. Ten of the Fund's 11 economic sectors delivered positive returns for the 12-month period. The one sector that delivered a negative return was energy. Other weak-performing sectors included telecommunications services and consumer staples. The strongest performing sectors were financials, real estate and information technology. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
2 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Thomas C. Seto of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | |||||||||
Class A at NAV | 06/19/2015 | 06/19/2015 | 16.72 | % | — | % | 7.50 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 11.19 | — | 5.23 | |||||||||
Class C at NAV | 06/19/2015 | 06/19/2015 | 15.88 | — | 6.71 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 14.88 | — | 6.71 | |||||||||
Class I at NAV | 06/19/2015 | 06/19/2015 | 17.15 | — | 7.87 | |||||||||
Class Y at NAV | 06/19/2015 | 06/19/2015 | 16.98 | — | 7.75 | |||||||||
Calvert US Large-Cap Value Responsible Index | — | — | 17.75 | % | — | % | 8.35 | % | ||||||
Russell 1000® Value Index | — | — | 15.12 | 13.19 | 8.23 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 0.86 | % | 7.48 | % | 0.51 | % | 0.79 | % | ||||||
Net | 0.57 | 1.32 | 0.22 | 0.32 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 9/30/2006 | $11,599 | N.A. | ||||
Class I | $100,000 | 9/30/2006 | $118,902 | N.A. | ||||
Class Y | $10,000 | 9/30/2006 | $11,859 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
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FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Financials | 27.8 | % | Bank of America Corp. | 3.5 | % | ||
Information Technology | 12.3 | % | Citigroup, Inc. | 2.8 | % | ||
Health Care | 11.6 | % | Microsoft Corp. | 2.7 | % | ||
Industrials | 10.7 | % | AT&T, Inc. | 2.3 | % | ||
Consumer Staples | 9.8 | % | Pfizer, Inc. | 2.3 | % | ||
Consumer Discretionary | 9.2 | % | Verizon Communications, Inc. | 2.0 | % | ||
Utilities | 6.8 | % | General Electric Co. | 1.8 | % | ||
Materials | 4.8 | % | Johnson & Johnson | 1.8 | % | ||
Telecommunication Services | 4.5 | % | Procter & Gamble Co. (The) | 1.7 | % | ||
Energy | 1.7 | % | Intel Corp. | 1.7 | % | ||
Time Deposit | 0.7 | % | Total | 22.6 | % | ||
Real Estate | 0.1 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures | ||
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements”. The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.2 Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Calvert US Large-Cap Value Responsible Index is comprised of mid and large capitalization U.S. stocks with value characteristics that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. Russell 1000® Value Index is an unmanaged index of U.S. large-cap value 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.3 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.5 Does not include Short Term Investment of Cash Collateral for Securities Loaned.Important Notice to Shareholders Effective November 6, 2017, the name of Calvert US Large-Cap Value Responsible Index Fund was changed from Calvert U.S. Large Cap Value Responsible Index Fund. |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 5
UNDERSTANDING YOUR FUND'S EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 to September 30, 2017).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class A | $1,000.00 | $1,040.70 | $2.92** | 0.57% |
Class C | $1,000.00 | $1,036.90 | $6.74** | 1.32% |
Class I | $1,000.00 | $1,042.90 | $1.13** | 0.22% |
Class Y | $1,000.00 | $1,042.00 | $1.64** | 0.32% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.21 | $2.89** | 0.57% |
Class C | $1,000.00 | $1,018.45 | $6.68** | 1.32% |
Class I | $1,000.00 | $1,023.97 | $1.12** | 0.22% |
Class Y | $1,000.00 | $1,023.46 | $1.62** | 0.32% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
6 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
COMMON STOCKS - 98.9% | ||
Aerospace & Defense - 0.0% (a) | ||
Hexcel Corp. | 546 | 31,351 |
Air Freight & Logistics - 0.8% | ||
C.H. Robinson Worldwide, Inc. | 1,406 | 106,997 |
Expeditors International of Washington, Inc. | 1,263 | 75,603 |
United Parcel Service, Inc., Class B | 7,551 | 906,799 |
1,089,399 | ||
Airlines - 1.3% | ||
Alaska Air Group, Inc. | 2,083 | 158,870 |
American Airlines Group, Inc. | 7,988 | 379,350 |
Delta Air Lines, Inc. | 11,841 | 570,973 |
JetBlue Airways Corp. * | 5,573 | 103,268 |
Southwest Airlines Co. | 4,475 | 250,511 |
Spirit Airlines, Inc. * | 943 | 31,506 |
United Continental Holdings, Inc. * | 4,039 | 245,894 |
1,740,372 | ||
Auto Components - 0.5% | ||
BorgWarner, Inc. | 3,119 | 159,786 |
Delphi Automotive plc | 1,824 | 179,482 |
Gentex Corp. | 2,905 | 57,519 |
Goodyear Tire & Rubber Co. (The) | 4,016 | 133,532 |
Tenneco, Inc. | 879 | 53,329 |
Visteon Corp. * | 442 | 54,706 |
638,354 | ||
Automobiles - 0.7% | ||
Ford Motor Co. | 61,700 | 738,549 |
Harley-Davidson, Inc. | 2,767 | 133,397 |
871,946 | ||
Banks - 12.5% | ||
Associated Banc-Corp. | 3,049 | 73,938 |
Bank of America Corp. | 184,179 | 4,667,096 |
Bank of Hawaii Corp. | 497 | 41,430 |
Bank of the Ozarks, Inc. | 1,438 | 69,096 |
BankUnited, Inc. | 1,847 | 65,698 |
BB&T Corp. | 15,233 | 715,037 |
BOK Financial Corp. | 259 | 23,072 |
Chemical Financial Corp. | 1,376 | 71,910 |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
CIT Group, Inc. | 2,877 | 141,117 |
Citigroup, Inc. | 51,154 | 3,720,942 |
Citizens Financial Group, Inc. | 9,243 | 350,032 |
Comerica, Inc. | 1,389 | 105,925 |
Commerce Bancshares, Inc. | 1,289 | 74,465 |
Cullen/Frost Bankers, Inc. | 755 | 71,665 |
East West Bancorp, Inc. | 1,656 | 98,996 |
Fifth Third Bancorp | 13,717 | 383,802 |
First Citizens BancShares, Inc., Class A | 75 | 28,042 |
First Hawaiian, Inc. | 2,394 | 72,514 |
First Horizon National Corp. | 4,239 | 81,177 |
First Republic Bank | 1,134 | 118,458 |
FNB Corp. | 5,520 | 77,446 |
Fulton Financial Corp. | 3,349 | 62,794 |
Hancock Holding Co. | 687 | 33,285 |
Home BancShares, Inc. | 1,342 | 33,845 |
Huntington Bancshares, Inc. | 20,284 | 283,165 |
IBERIABANK Corp. | 928 | 76,235 |
Investors Bancorp, Inc. | 5,322 | 72,592 |
KeyCorp | 20,218 | 380,503 |
M&T Bank Corp. | 1,640 | 264,105 |
MB Financial, Inc. | 1,469 | 66,134 |
PacWest Bancorp | 2,203 | 111,273 |
People's United Financial, Inc. | 6,548 | 118,781 |
Pinnacle Financial Partners, Inc. | 732 | 49,007 |
PNC Financial Services Group, Inc. (The) | 9,018 | 1,215,356 |
Popular, Inc. | 1,755 | 63,075 |
Prosperity Bancshares, Inc. | 1,310 | 86,106 |
Regions Financial Corp. | 22,831 | 347,716 |
Signature Bank * | 354 | 45,326 |
Sterling Bancorp | 2,600 | 64,090 |
Synovus Financial Corp. | 1,647 | 75,861 |
Texas Capital Bancshares, Inc. * | 364 | 31,231 |
UMB Financial Corp. | 529 | 39,405 |
Umpqua Holdings Corp. | 3,789 | 73,923 |
United Bankshares, Inc. | 1,572 | 58,400 |
US Bancorp | 29,882 | 1,601,376 |
Valley National Bancorp | 5,072 | 61,118 |
Webster Financial Corp. | 1,046 | 54,967 |
Western Alliance Bancorp * | 952 | 50,532 |
Wintrust Financial Corp. | 673 | 52,703 |
Zions Bancorporation | 3,732 | 176,076 |
16,700,838 | ||
8 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Beverages - 2.5% | ||
Coca-Cola Co. (The) | 41,963 | 1,888,754 |
Dr Pepper Snapple Group, Inc. | 1,553 | 137,394 |
PepsiCo, Inc. | 11,569 | 1,289,134 |
3,315,282 | ||
Biotechnology - 2.2% | ||
AbbVie, Inc. | 13,950 | 1,239,597 |
ACADIA Pharmaceuticals, Inc. * | 639 | 24,071 |
Bluebird Bio, Inc. * | 378 | 51,918 |
Gilead Sciences, Inc. | 18,889 | 1,530,387 |
Seattle Genetics, Inc. * | 695 | 37,815 |
2,883,788 | ||
Building Products - 0.7% | ||
Fortune Brands Home & Security, Inc. | 734 | 49,347 |
Johnson Controls International plc | 15,983 | 643,955 |
Masco Corp. | 1,603 | 62,533 |
Owens Corning | 1,157 | 89,494 |
USG Corp. * | 832 | 27,165 |
872,494 | ||
Capital Markets - 5.5% | ||
Ameriprise Financial, Inc. | 1,155 | 171,529 |
Bank of New York Mellon Corp. (The) | 19,321 | 1,024,400 |
BGC Partners, Inc., Class A | 5,905 | 85,445 |
CBOE Holdings, Inc. | 872 | 93,853 |
Charles Schwab Corp. (The) | 8,931 | 390,642 |
CME Group, Inc. | 4,122 | 559,273 |
E*Trade Financial Corp. * | 3,717 | 162,098 |
Federated Investors, Inc., Class B | 2,114 | 62,786 |
Franklin Resources, Inc. | 6,436 | 286,466 |
Goldman Sachs Group, Inc. (The) | 2,441 | 578,981 |
Interactive Brokers Group, Inc., Class A | 7,785 | 350,637 |
Intercontinental Exchange, Inc. | 5,770 | 396,399 |
Invesco Ltd. | 7,429 | 260,312 |
Legg Mason, Inc. | 1,484 | 58,336 |
LPL Financial Holdings, Inc. | 1,774 | 91,485 |
Morgan Stanley | 26,552 | 1,279,010 |
Morningstar, Inc. | 222 | 18,868 |
Nasdaq, Inc. | 1,476 | 114,493 |
Northern Trust Corp. | 2,302 | 211,623 |
Raymond James Financial, Inc. | 1,045 | 88,125 |
State Street Corp. | 4,905 | 468,624 |
Stifel Financial Corp. | 1,231 | 65,809 |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
T. Rowe Price Group, Inc. | 2,854 | 258,715 |
TD Ameritrade Holding Corp. | 2,750 | 134,200 |
Thomson Reuters Corp. | 2,647 | 121,444 |
7,333,553 | ||
Chemicals - 2.8% | ||
Air Products & Chemicals, Inc. | 4,934 | 746,119 |
Axalta Coating Systems Ltd. * | 4,150 | 120,018 |
Eastman Chemical Co. | 5,461 | 494,166 |
Ecolab, Inc. | 3,123 | 401,649 |
International Flavors & Fragrances, Inc. | 1,170 | 167,205 |
Mosaic Co. (The) | 14,233 | 307,290 |
PolyOne Corp. | 3,285 | 131,499 |
PPG Industries, Inc. | 5,399 | 586,655 |
Praxair, Inc. | 5,617 | 784,920 |
Sensient Technologies Corp. | 899 | 69,151 |
3,808,672 | ||
Commercial Services & Supplies - 0.5% | ||
Clean Harbors, Inc. * | 564 | 31,979 |
Deluxe Corp. | 528 | 38,523 |
KAR Auction Services, Inc. | 1,167 | 55,712 |
MSA Safety, Inc. | 140 | 11,131 |
Pitney Bowes, Inc. | 2,965 | 41,540 |
Republic Services, Inc. | 2,045 | 135,093 |
UniFirst Corp. | 158 | 23,937 |
Waste Management, Inc. | 3,324 | 260,169 |
598,084 | ||
Communications Equipment - 1.9% | ||
Brocade Communications Systems, Inc. | 3,233 | 38,634 |
Cisco Systems, Inc. | 65,393 | 2,199,167 |
EchoStar Corp., Class A * | 1,204 | 68,905 |
Finisar Corp. * | 596 | 13,213 |
Harris Corp. | 969 | 127,598 |
Juniper Networks, Inc. | 2,814 | 78,314 |
NetScout Systems, Inc. * | 740 | 23,939 |
Ubiquiti Networks, Inc. *(b) | 220 | 12,324 |
2,562,094 | ||
Construction & Engineering - 0.1% | ||
EMCOR Group, Inc. | 763 | 52,937 |
Quanta Services, Inc. * | 1,275 | 47,647 |
Valmont Industries, Inc. | 269 | 42,529 |
143,113 | ||
10 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Consumer Finance - 2.4% | ||
Ally Financial, Inc. | 8,689 | 210,795 |
American Express Co. | 13,964 | 1,263,184 |
Capital One Financial Corp. | 8,988 | 760,924 |
Discover Financial Services | 6,848 | 441,559 |
OneMain Holdings, Inc. * | 2,209 | 62,272 |
SLM Corp. * | 8,262 | 94,765 |
Synchrony Financial | 13,941 | 432,868 |
3,266,367 | ||
Containers & Packaging - 1.4% | ||
AptarGroup, Inc. | 1,097 | 94,682 |
Avery Dennison Corp. | 1,509 | 148,395 |
Ball Corp. | 6,037 | 249,328 |
Crown Holdings, Inc. * | 3,093 | 184,714 |
Greif, Inc., Class A | 1,958 | 114,621 |
Owens-Illinois, Inc. * | 6,483 | 163,112 |
Sealed Air Corp. | 4,527 | 193,394 |
Sonoco Products Co. | 3,939 | 198,723 |
WestRock Co. | 9,915 | 562,478 |
1,909,447 | ||
Distributors - 0.2% | ||
Genuine Parts Co. | 1,555 | 148,736 |
LKQ Corp. * | 2,488 | 89,543 |
238,279 | ||
Diversified Consumer Services - 0.1% | ||
Graham Holdings Co., Class B | 96 | 56,170 |
Service Corp. International | 1,462 | 50,439 |
ServiceMaster Global Holdings, Inc. * | 818 | 38,225 |
144,834 | ||
Diversified Financial Services - 0.1% | ||
Voya Financial, Inc. | 3,448 | 137,541 |
Diversified Telecommunication Services - 4.5% | ||
AT&T, Inc. | 80,465 | 3,151,814 |
CenturyLink, Inc. (b) | 6,678 | 126,214 |
Level 3 Communications, Inc. * | 1,883 | 100,345 |
Verizon Communications, Inc. | 53,296 | 2,637,619 |
6,015,992 | ||
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 11
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Electric Utilities - 2.3% | ||
Alliant Energy Corp. | 12,709 | 528,313 |
Eversource Energy | 17,256 | 1,042,953 |
Portland General Electric Co. | 5,208 | 237,693 |
Xcel Energy, Inc. | 27,612 | 1,306,600 |
3,115,559 | ||
Electrical Equipment - 1.3% | ||
AMETEK, Inc. | 1,662 | 109,758 |
Eaton Corp. plc | 7,568 | 581,147 |
Emerson Electric Co. | 10,824 | 680,180 |
EnerSys | 551 | 38,113 |
Hubbell, Inc. | 434 | 50,353 |
Regal-Beloit Corp. | 825 | 65,175 |
Rockwell Automation, Inc. | 751 | 133,836 |
Sensata Technologies Holding NV * | 1,049 | 50,425 |
1,708,987 | ||
Electronic Equipment, Instruments & Components - 0.6% | ||
Arrow Electronics, Inc. * | 1,143 | 91,909 |
Avnet, Inc. | 1,526 | 59,972 |
CDW Corp. | 717 | 47,322 |
Corning, Inc. | 6,616 | 197,951 |
Dolby Laboratories, Inc., Class A | 410 | 23,583 |
FLIR Systems, Inc. | 737 | 28,677 |
Jabil, Inc. | 2,204 | 62,924 |
Keysight Technologies, Inc. * | 957 | 39,868 |
National Instruments Corp. | 476 | 20,073 |
SYNNEX Corp. | 149 | 18,850 |
TE Connectivity Ltd. | 1,869 | 155,239 |
Tech Data Corp. * | 502 | 44,603 |
790,971 | ||
Energy Equipment & Services - 1.7% | ||
Baker Hughes a GE Co. | 13,662 | 500,302 |
Core Laboratories NV | 2,328 | 229,774 |
National Oilwell Varco, Inc. | 28,665 | 1,024,201 |
Oceaneering International, Inc. | 7,346 | 192,979 |
Weatherford International plc *(b) | 74,719 | 342,213 |
2,289,469 | ||
Food & Staples Retailing - 2.3% | ||
Casey's General Stores, Inc. | 702 | 76,834 |
Costco Wholesale Corp. | 4,266 | 700,861 |
CVS Health Corp. | 11,681 | 949,899 |
Kroger Co. (The) | 14,336 | 287,580 |
Performance Food Group Co. * | 1,553 | 43,872 |
12 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
PriceSmart, Inc. | 131 | 11,692 |
Rite Aid Corp. * | 21,982 | 43,085 |
Sprouts Farmers Market, Inc. * | 976 | 18,319 |
Sysco Corp. | 4,365 | 235,492 |
US Foods Holding Corp. * | 2,304 | 61,517 |
Walgreens Boots Alliance, Inc. | 7,653 | 590,964 |
3,020,115 | ||
Food Products - 2.4% | ||
B&G Foods, Inc. | 836 | 26,627 |
Bunge Ltd. | 2,494 | 173,233 |
Campbell Soup Co. | 1,714 | 80,250 |
Conagra Brands, Inc. | 7,204 | 243,063 |
Flowers Foods, Inc. | 3,493 | 65,703 |
General Mills, Inc. | 10,022 | 518,739 |
Hain Celestial Group, Inc. (The) * | 1,133 | 46,623 |
Hershey Co. (The) | 1,161 | 126,746 |
Hormel Foods Corp. | 2,224 | 71,479 |
Ingredion, Inc. | 697 | 84,086 |
J. M. Smucker Co. (The) | 824 | 86,462 |
Kellogg Co. | 4,415 | 275,364 |
Kraft Heinz Co. (The) | 5,881 | 456,072 |
Lamb Weston Holdings, Inc. | 875 | 41,029 |
McCormick & Co., Inc. | 708 | 72,669 |
Mondelez International, Inc., Class A | 16,895 | 686,951 |
Pinnacle Foods, Inc. | 920 | 52,596 |
Snyder's-Lance, Inc. | 1,509 | 57,553 |
TreeHouse Foods, Inc. * | 363 | 24,586 |
3,189,831 | ||
Gas Utilities - 1.2% | ||
Atmos Energy Corp. | 5,625 | 471,600 |
New Jersey Resources Corp. | 4,810 | 202,742 |
ONE Gas, Inc. | 1,879 | 138,370 |
Southwest Gas Holdings, Inc. | 1,733 | 134,515 |
Spire, Inc. | 2,793 | 208,497 |
UGI Corp. | 6,658 | 311,994 |
WGL Holdings, Inc. | 1,960 | 165,032 |
1,632,750 | ||
Health Care Equipment & Supplies - 1.4% | ||
Abbott Laboratories | 15,874 | 847,037 |
Boston Scientific Corp. * | 6,958 | 202,965 |
Danaher Corp. | 6,053 | 519,226 |
DENTSPLY SIRONA, Inc. | 2,131 | 127,455 |
Globus Medical, Inc., Class A * | 339 | 10,075 |
Hill-Rom Holdings, Inc. | 372 | 27,528 |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
ResMed, Inc. | 718 | 55,257 |
STERIS plc | 821 | 72,577 |
Varian Medical Systems, Inc. * | 505 | 50,530 |
1,912,650 | ||
Health Care Providers & Services - 1.3% | ||
Acadia Healthcare Co., Inc. * | 1,118 | 53,396 |
AmerisourceBergen Corp. | 1,188 | 98,307 |
Cardinal Health, Inc. | 4,556 | 304,887 |
Centene Corp. * | 1,073 | 103,834 |
DaVita, Inc. * | 1,168 | 69,367 |
Envision Healthcare Corp. * | 1,643 | 73,853 |
Express Scripts Holding Co. * | 8,365 | 529,672 |
HealthSouth Corp. | 796 | 36,895 |
McKesson Corp. | 2,039 | 313,211 |
Mednax, Inc. * | 637 | 27,467 |
Patterson Cos., Inc. | 931 | 35,983 |
Quest Diagnostics, Inc. | 929 | 86,992 |
1,733,864 | ||
Hotels, Restaurants & Leisure - 0.6% | ||
Aramark | 3,872 | 157,242 |
Cracker Barrel Old Country Store, Inc. | 180 | 27,292 |
Dunkin' Brands Group, Inc. | 547 | 29,035 |
Hilton Worldwide Holdings, Inc. | 1,759 | 122,162 |
Hyatt Hotels Corp., Class A * | 935 | 57,774 |
ILG, Inc. | 978 | 26,142 |
Six Flags Entertainment Corp. | 751 | 45,766 |
Texas Roadhouse, Inc. | 230 | 11,302 |
Wendy's Co. (The) | 1,314 | 20,406 |
Wyndham Worldwide Corp. | 688 | 72,522 |
Yum China Holdings, Inc. * | 2,704 | 108,079 |
Yum! Brands, Inc. | 2,288 | 168,420 |
846,142 | ||
Household Durables - 0.6% | ||
CalAtlantic Group, Inc. | 1,477 | 54,102 |
Garmin Ltd. | 1,958 | 105,673 |
Helen of Troy Ltd. * | 121 | 11,725 |
Leggett & Platt, Inc. | 1,038 | 49,544 |
Lennar Corp., Class A | 2,004 | 105,811 |
Newell Brands, Inc. | 4,658 | 198,757 |
Tempur Sealy International, Inc. * | 488 | 31,486 |
Toll Brothers, Inc. | 2,291 | 95,008 |
Tupperware Brands Corp. | 724 | 44,758 |
Whirlpool Corp. | 694 | 128,001 |
824,865 | ||
14 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Household Products - 2.4% | ||
Church & Dwight Co., Inc. | 1,389 | 67,297 |
Clorox Co. (The) | 705 | 92,996 |
Colgate-Palmolive Co. | 4,935 | 359,515 |
Kimberly-Clark Corp. | 2,673 | 314,559 |
Procter & Gamble Co. (The) | 25,667 | 2,335,184 |
3,169,551 | ||
Independent Power and Renewable Electricity Producers - 0.2% | ||
NRG Yield, Inc., Class C | 9,943 | 191,900 |
Ormat Technologies, Inc. | 979 | 59,768 |
251,668 | ||
Industrial Conglomerates - 1.9% | ||
Carlisle Cos., Inc. | 902 | 90,462 |
General Electric Co. | 100,267 | 2,424,456 |
2,514,918 | ||
Insurance - 7.0% | ||
Aflac, Inc. | 7,394 | 601,798 |
Alleghany Corp. * | 172 | 95,290 |
Allstate Corp. (The) | 2,436 | 223,893 |
American Financial Group, Inc. | 1,047 | 108,312 |
American International Group, Inc. | 9,760 | 599,166 |
American National Insurance Co. | 348 | 41,092 |
Arch Capital Group Ltd. * | 1,294 | 127,459 |
Arthur J. Gallagher & Co. | 2,367 | 145,689 |
Aspen Insurance Holdings Ltd. | 804 | 32,482 |
Assurant, Inc. | 981 | 93,705 |
Assured Guaranty Ltd. | 2,319 | 87,542 |
Axis Capital Holdings Ltd. | 1,534 | 87,913 |
Brown & Brown, Inc. | 1,317 | 63,466 |
Chubb Ltd. | 8,800 | 1,254,440 |
Cincinnati Financial Corp. | 2,717 | 208,041 |
CNO Financial Group, Inc. | 3,087 | 72,051 |
Enstar Group Ltd. * | 121 | 26,904 |
Everest Re Group Ltd. | 459 | 104,831 |
First American Financial Corp. | 1,941 | 96,992 |
Hanover Insurance Group, Inc. (The) | 773 | 74,927 |
Hartford Financial Services Group, Inc. (The) | 6,717 | 372,323 |
Lincoln National Corp. | 4,087 | 300,313 |
Loews Corp. | 5,033 | 240,879 |
Marsh & McLennan Cos., Inc. | 3,450 | 289,144 |
MetLife, Inc. | 15,812 | 821,433 |
Old Republic International Corp. | 4,685 | 92,248 |
Primerica, Inc. | 454 | 37,024 |
Principal Financial Group, Inc. | 5,099 | 328,070 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Progressive Corp. (The) | 6,079 | 294,345 |
Prudential Financial, Inc. | 8,046 | 855,451 |
Reinsurance Group of America, Inc. | 758 | 105,764 |
RenaissanceRe Holdings Ltd. | 416 | 56,218 |
RLI Corp. | 734 | 42,102 |
Torchmark Corp. | 1,400 | 112,126 |
Travelers Cos., Inc. (The) | 5,203 | 637,472 |
Unum Group | 4,134 | 211,371 |
Validus Holdings Ltd. | 1,428 | 70,272 |
Willis Towers Watson plc | 1,113 | 171,658 |
XL Group Ltd. | 3,611 | 142,454 |
9,326,660 | ||
Internet & Direct Marketing Retail - 0.0% (a) | ||
TripAdvisor, Inc. * | 663 | 26,871 |
Internet Software & Services - 0.0% (a) | ||
Akamai Technologies, Inc. * | 777 | 37,855 |
IT Services - 2.1% | ||
Amdocs Ltd. | 981 | 63,098 |
Automatic Data Processing, Inc. | 1,925 | 210,441 |
Booz Allen Hamilton Holding Corp. | 936 | 34,997 |
Broadridge Financial Solutions, Inc. | 520 | 42,026 |
CACI International, Inc., Class A * | 163 | 22,714 |
Conduent, Inc. * | 1,067 | 16,720 |
CoreLogic, Inc. * | 569 | 26,299 |
CSRA, Inc. | 1,291 | 41,661 |
DST Systems, Inc. | 236 | 12,952 |
Fidelity National Information Services, Inc. | 1,587 | 148,210 |
First Data Corp., Class A * | 4,410 | 79,556 |
Genpact Ltd. | 993 | 28,549 |
International Business Machines Corp. | 11,292 | 1,638,243 |
Leidos Holdings, Inc. | 1,943 | 115,065 |
Paychex, Inc. | 1,673 | 100,313 |
Sabre Corp. | 1,492 | 27,005 |
Science Applications International Corp. | 193 | 12,902 |
Teradata Corp. * | 1,667 | 56,328 |
Western Union Co. (The) | 5,772 | 110,822 |
WEX, Inc. * | 131 | 14,701 |
2,802,602 | ||
Leisure Products - 0.2% | ||
Brunswick Corp. | 1,408 | 78,806 |
Hasbro, Inc. | 554 | 54,109 |
16 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Mattel, Inc. | 5,292 | 81,920 |
Polaris Industries, Inc. | 875 | 91,551 |
306,386 | ||
Life Sciences Tools & Services - 0.2% | ||
Agilent Technologies, Inc. | 1,882 | 120,824 |
Bio-Techne Corp. | 145 | 17,529 |
Bruker Corp. | 350 | 10,413 |
PerkinElmer, Inc. | 719 | 49,589 |
Quintiles IMS Holdings, Inc. * | 1,052 | 100,014 |
VWR Corp. * | 889 | 29,435 |
327,804 | ||
Machinery - 2.3% | ||
AGCO Corp. | 1,161 | 85,647 |
Allison Transmission Holdings, Inc. | 1,054 | 39,557 |
Barnes Group, Inc. | 327 | 23,034 |
Colfax Corp. * | 1,434 | 59,712 |
Crane Co. | 459 | 36,715 |
Cummins, Inc. | 1,025 | 172,231 |
Deere & Co. | 5,372 | 674,670 |
Donaldson Co., Inc. | 1,279 | 58,757 |
Dover Corp. | 1,453 | 132,790 |
Flowserve Corp. | 2,494 | 106,219 |
Graco, Inc. | 262 | 32,407 |
IDEX Corp. | 326 | 39,599 |
Ingersoll-Rand plc | 1,520 | 135,538 |
ITT, Inc. | 1,303 | 57,684 |
Kennametal, Inc. | 1,427 | 57,565 |
Lincoln Electric Holdings, Inc. | 453 | 41,531 |
Oshkosh Corp. | 1,180 | 97,397 |
PACCAR, Inc. | 5,778 | 417,981 |
Parker-Hannifin Corp. | 871 | 152,442 |
Pentair plc | 2,748 | 186,754 |
Stanley Black & Decker, Inc. | 987 | 149,007 |
Terex Corp. | 1,653 | 74,418 |
Timken Co. (The) | 1,004 | 48,744 |
WABCO Holdings, Inc. * | 380 | 56,240 |
Wabtec Corp. (b) | 849 | 64,312 |
Woodward, Inc. | 524 | 40,668 |
Xylem, Inc. | 1,524 | 95,448 |
3,137,067 | ||
Media - 3.5% | ||
AMC Entertainment Holdings, Inc., Class A | 2,786 | 40,954 |
AMC Networks, Inc., Class A * | 1,055 | 61,686 |
CBS Corp., Class B | 3,978 | 230,724 |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Cinemark Holdings, Inc. | 1,661 | 60,145 |
Comcast Corp., Class A | 36,604 | 1,408,522 |
Discovery Communications, Inc., Class A * | 4,100 | 87,289 |
DISH Network Corp., Class A * | 3,997 | 216,757 |
Interpublic Group of Cos., Inc. (The) | 4,236 | 88,066 |
John Wiley & Sons, Inc., Class A | 695 | 37,183 |
Liberty Broadband Corp., Class C * | 1,344 | 128,083 |
Lions Gate Entertainment Corp., Class A * | 2,684 | 89,780 |
Madison Square Garden Co. (The), Class A * | 112 | 23,979 |
Omnicom Group, Inc. | 2,157 | 159,769 |
Regal Entertainment Group, Class A | 2,678 | 42,848 |
Scripps Networks Interactive, Inc., Class A | 1,958 | 168,173 |
Sinclair Broadcast Group, Inc., Class A | 1,748 | 56,023 |
TEGNA, Inc. | 3,166 | 42,203 |
Time Warner, Inc. | 6,404 | 656,090 |
Tribune Media Co., Class A | 1,250 | 51,075 |
Viacom, Inc., Class B | 6,732 | 187,419 |
Walt Disney Co. (The) | 9,199 | 906,745 |
4,743,513 | ||
Metals & Mining - 0.5% | ||
Nucor Corp. | 4,279 | 239,795 |
Reliance Steel & Aluminum Co. | 2,884 | 219,674 |
Steel Dynamics, Inc. | 5,113 | 176,245 |
Worthington Industries, Inc. | 1,820 | 83,720 |
719,434 | ||
Multi-Utilities - 2.6% | ||
CenterPoint Energy, Inc. | 23,919 | 698,674 |
CMS Energy Corp. | 10,138 | 469,592 |
Consolidated Edison, Inc. | 16,868 | 1,360,910 |
Sempra Energy | 7,716 | 880,627 |
3,409,803 | ||
Multiline Retail - 0.7% | ||
Dollar General Corp. | 1,721 | 139,487 |
Kohl's Corp. | 2,704 | 123,438 |
Macy's, Inc. | 5,224 | 113,988 |
Nordstrom, Inc. (b) | 1,881 | 88,689 |
Target Corp. | 8,736 | 515,511 |
981,113 | ||
Personal Products - 0.3% | ||
Coty, Inc., Class A | 8,266 | 136,637 |
Edgewell Personal Care Co. * | 980 | 71,315 |
Estee Lauder Cos., Inc. (The), Class A | 2,174 | 234,444 |
442,396 | ||
18 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Pharmaceuticals - 6.4% | ||
Akorn, Inc. * | 669 | 22,204 |
Bristol-Myers Squibb Co. | 11,275 | 718,669 |
Eli Lilly & Co. | 7,749 | 662,849 |
Endo International plc * | 2,399 | 20,547 |
Johnson & Johnson | 18,071 | 2,349,411 |
Merck & Co., Inc. | 24,098 | 1,542,995 |
Nektar Therapeutics * | 627 | 15,048 |
Perrigo Co. plc | 2,024 | 171,332 |
Pfizer, Inc. | 85,879 | 3,065,880 |
Prestige Brands Holdings, Inc. * | 288 | 14,426 |
8,583,361 | ||
Professional Services - 0.3% | ||
Dun & Bradstreet Corp. (The) | 574 | 66,819 |
Manpowergroup, Inc. | 1,073 | 126,421 |
Nielsen Holdings plc | 3,658 | 151,624 |
Robert Half International, Inc. | 1,150 | 57,891 |
402,755 | ||
Real Estate Management & Development - 0.1% | ||
CBRE Group, Inc., Class A * | 1,566 | 59,320 |
Jones Lang LaSalle, Inc. | 358 | 44,213 |
Realogy Holdings Corp. | 1,644 | 54,170 |
157,703 | ||
Road & Rail - 1.0% | ||
AMERCO | 86 | 32,241 |
Genesee & Wyoming, Inc., Class A * | 1,150 | 85,112 |
Kansas City Southern | 853 | 92,704 |
Norfolk Southern Corp. | 2,665 | 352,420 |
Ryder System, Inc. | 836 | 70,684 |
Union Pacific Corp. | 6,420 | 744,527 |
1,377,688 | ||
Semiconductors & Semiconductor Equipment - 3.0% | ||
Advanced Micro Devices, Inc. * | 4,101 | 52,288 |
Analog Devices, Inc. | 1,545 | 133,133 |
Cree, Inc. * | 582 | 16,407 |
Cypress Semiconductor Corp. | 2,199 | 33,029 |
Entegris, Inc. * | 930 | 26,830 |
First Solar, Inc. * | 1,038 | 47,623 |
Integrated Device Technology, Inc. * | 465 | 12,360 |
Intel Corp. | 61,230 | 2,331,638 |
Marvell Technology Group Ltd. | 3,217 | 57,584 |
Maxim Integrated Products, Inc. | 1,501 | 71,613 |
ON Semiconductor Corp. * | 2,815 | 51,993 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
QUALCOMM, Inc. | 19,262 | 998,542 |
Teradyne, Inc. | 1,572 | 58,620 |
Xilinx, Inc. | 1,210 | 85,704 |
3,977,364 | ||
Software - 3.8% | ||
Autodesk, Inc. * | 1,609 | 180,626 |
CA, Inc. | 4,234 | 141,331 |
Microsoft Corp. | 48,748 | 3,631,239 |
Oracle Corp. | 21,370 | 1,033,239 |
Symantec Corp. | 3,739 | 122,677 |
5,109,112 | ||
Specialty Retail - 1.1% | ||
Advance Auto Parts, Inc. | 749 | 74,301 |
AutoNation, Inc. * | 1,118 | 53,060 |
Bed Bath & Beyond, Inc. | 2,269 | 53,253 |
Best Buy Co., Inc. | 4,019 | 228,922 |
CarMax, Inc. * | 1,272 | 96,430 |
Dick's Sporting Goods, Inc. | 1,503 | 40,596 |
Foot Locker, Inc. | 1,074 | 37,826 |
Gap, Inc. (The) | 3,118 | 92,075 |
L Brands, Inc. | 4,010 | 166,856 |
Michaels Cos., Inc. (The) * | 1,132 | 24,304 |
Murphy USA, Inc. * | 570 | 39,330 |
Penske Automotive Group, Inc. | 738 | 35,107 |
Sally Beauty Holdings, Inc. * | 2,059 | 40,315 |
Signet Jewelers Ltd. (b) | 992 | 66,018 |
Tiffany & Co. | 1,091 | 100,132 |
TJX Cos., Inc. (The) | 3,057 | 225,393 |
Tractor Supply Co. | 951 | 60,189 |
Williams-Sonoma, Inc. | 1,148 | 57,239 |
1,491,346 | ||
Technology Hardware, Storage & Peripherals - 0.8% | ||
Hewlett Packard Enterprise Co. | 21,478 | 315,941 |
HP, Inc. | 21,974 | 438,601 |
NCR Corp. * | 737 | 27,652 |
NetApp, Inc. | 1,550 | 67,828 |
Seagate Technology plc | 3,597 | 119,313 |
Xerox Corp. | 2,847 | 94,777 |
1,064,112 | ||
Textiles, Apparel & Luxury Goods - 0.9% | ||
Carter's, Inc. | 376 | 37,130 |
Coach, Inc. | 4,257 | 171,472 |
Columbia Sportswear Co. | 197 | 12,131 |
20 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Hanesbrands, Inc. | 5,586 | 137,639 |
Michael Kors Holdings Ltd. * | 2,507 | 119,960 |
PVH Corp. | 1,186 | 149,507 |
Ralph Lauren Corp. | 1,296 | 114,424 |
Skechers U.S.A., Inc., Class A * | 1,504 | 37,735 |
Under Armour, Inc., Class A * | 3,587 | 59,114 |
VF Corp. | 4,914 | 312,383 |
1,151,495 | ||
Thrifts & Mortgage Finance - 0.3% | ||
Essent Group Ltd. * | 638 | 25,839 |
MGIC Investment Corp. * | 6,628 | 83,049 |
New York Community Bancorp, Inc. | 9,139 | 117,802 |
Radian Group, Inc. | 4,264 | 79,694 |
TFS Financial Corp. | 741 | 11,952 |
Washington Federal, Inc. | 1,820 | 61,243 |
379,579 | ||
Trading Companies & Distributors - 0.4% | ||
Air Lease Corp. | 1,686 | 71,857 |
Beacon Roofing Supply, Inc. * | 617 | 31,621 |
Fastenal Co. | 2,406 | 109,666 |
HD Supply Holdings, Inc. * | 1,271 | 45,845 |
MSC Industrial Direct Co., Inc., Class A | 590 | 44,586 |
Univar, Inc. * | 1,015 | 29,364 |
W.W. Grainger, Inc. | 899 | 161,595 |
WESCO International, Inc. * | 902 | 52,542 |
547,076 | ||
Transportation Infrastructure - 0.0% (a) | ||
Macquarie Infrastructure Corp. | 749 | 54,063 |
Water Utilities - 0.5% | ||
American Water Works Co., Inc. | 5,171 | 418,386 |
Aqua America, Inc. | 6,260 | 207,769 |
626,155 | ||
Wireless Telecommunication Services - 0.0% (a) | ||
Telephone & Data Systems, Inc. | 1,314 | 36,647 |
United States Cellular Corp. * | 397 | 14,054 |
50,701 | ||
Total Common Stocks (Cost $117,596,659) | 132,537,154 |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 21
PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 0.7% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 898,357 | 898,357 |
Total Time Deposit (Cost $898,357) | 898,357 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.3% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.92% | 329,217 | 329,217 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $329,217) | 329,217 | |
TOTAL INVESTMENTS (Cost $118,824,233) - 99.9% | 133,764,728 | |
Other assets and liabilities, net - 0.1% | 187,515 | |
NET ASSETS - 100.0% | 133,952,243 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
* Non-income producing security. | ||
(a) Amount is less than 0.05%. | ||
(b) Security, or portion of security, is on loan. Total value of securities on loan is $318,462 as of September 30, 2017. | ||
See notes to financial statements. |
22 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $118,824,233) - including $318,462 of securities on loan | $133,764,728 | ||
Receivable for capital shares sold | 473,713 | ||
Dividends and interest receivable | 156,729 | ||
Securities lending income receivable | 212 | ||
Receivable from affiliates | 11,865 | ||
Directors' deferred compensation plan | 45,837 | ||
Total assets | 134,453,084 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 32,804 | ||
Deposits for securities loaned | 329,217 | ||
Payable to affiliates: | |||
Investment advisory fee | 15,733 | ||
Distribution and service fees | 7,546 | ||
Sub-transfer agency fee | 421 | ||
Directors' deferred compensation plan | 45,837 | ||
Accrued expenses | 69,283 | ||
Total liabilities | 500,841 | ||
NET ASSETS | $133,952,243 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $111,730,097 | ||
Accumulated undistributed net investment income | 1,581,890 | ||
Accumulated undistributed net realized gain | 5,699,761 | ||
Net unrealized appreciation (depreciation) | 14,940,495 | ||
Total | $133,952,243 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $33,233,362 and 1,443,727 shares outstanding) | $23.02 | ||
Class C (based on net assets of $1,044,470 and 45,864 shares outstanding) | $22.77 | ||
Class I (based on net assets of $85,240,246 and 3,687,597 shares outstanding) | $23.12 | ||
Class Y (based on net assets of $14,434,165 and 625,164 shares outstanding) | $23.09 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $24.17 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 23
CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $1,357) | $2,940,626 | ||
Interest income | 1,425 | ||
Securities lending income, net | 3,543 | ||
Total investment income | 2,945,594 | ||
EXPENSES | |||
Investment advisory fee | 166,264 | ||
Administrative fee | 133,011 | ||
Distribution and service fees: | |||
Class A | 70,468 | ||
Class C | 7,771 | ||
Directors' fees and expenses | 8,607 | ||
Custodian fees | 57,992 | ||
Transfer agency fees and expenses: | |||
Class A | 28,722 | ||
Class C | 4,778 | ||
Class I | 3,634 | ||
Class Y | 18,185 | ||
Accounting fees | 38,393 | ||
Professional fees | 26,436 | ||
Registration fees: | |||
Class A | 16,118 | ||
Class C | 13,315 | ||
Class I | 19,201 | ||
Class Y | 15,462 | ||
Reports to shareholders | 14,059 | ||
Miscellaneous | 35,924 | ||
Total expenses | 678,340 | ||
Waiver and/or reimbursement of expenses by affiliates | (315,266) | ||
Reimbursement of expenses-other | (1,338) | ||
Net expenses | 361,736 | ||
Net investment income (loss) | 2,583,858 | ||
24 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017 - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities - unaffiliated issuers | 7,378,384 | ||
Foreign currency transactions | 13 | ||
7,378,397 | |||
Net change in unrealized appreciation (depreciation) on investment securities - unaffiliated issuers | 7,938,874 | ||
Net realized and unrealized gain (loss) | 15,317,271 | ||
Net increase (decrease) in net assets resulting from operations | $17,901,129 | ||
See notes to financial statements. |
www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT 25
CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||
Operations: | |||||||
Net investment income (loss) | $2,583,858 | $1,863,122 | |||||
Net realized gain (loss) | 7,378,397 | (272,686) | |||||
Net change in unrealized appreciation (depreciation) | 7,938,874 | 7,678,523 | |||||
Net increase (decrease) in net assets resulting from operations | 17,901,129 | 9,268,959 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (411,874) | (25,821) | |||||
Class C shares | (7,433) | (403) | |||||
Class I shares | (1,611,803) | (363,525) | |||||
Class Y shares | (123,770) | (8,192) | |||||
Net realized gain: | |||||||
Class A shares | (63,107) | (209) | |||||
Class C shares | (1,357) | (5) | |||||
Class I shares | (208,717) | (2,858) | |||||
Class Y shares | (16,172) | (56) | |||||
Total distributions to shareholders | (2,444,233) | (401,069) | |||||
Capital share transactions: | |||||||
Class A shares | 7,289,279 | 15,777,662 | |||||
Class C shares | 577,018 | 255,414 | |||||
Class I shares | 7,846,089 | 60,085,803 | |||||
Class Y shares | (882,919) | 11,783,670 | |||||
Net increase (decrease) in net assets from capital share transactions | 14,829,467 | 87,902,549 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 30,286,363 | 96,770,439 | |||||
NET ASSETS | |||||||
Beginning of year | 103,665,880 | 6,895,441 | |||||
End of year (including accumulated undistributed net investment income of $1,581,890 and $1,480,940, respectively) | $133,952,243 | $103,665,880 | |||||
See notes to financial statements. |
26 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS A SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $20.10 | $17.85 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.46 | 0.38 | 0.09 | |||||||
Net realized and unrealized gain (loss) | 2.87 | 1.98 | (2.24) | |||||||
Total from investment operations | 3.33 | 2.36 | (2.15) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.35) | (0.11) | — | |||||||
Net realized gain | (0.06) | — | (c) | — | ||||||
Total distributions | (0.41) | (0.11) | — | |||||||
Total increase (decrease) in net asset value | 2.92 | 2.25 | (2.15) | |||||||
Net asset value, ending | $23.02 | $20.10 | $17.85 | |||||||
Total return (d) | 16.72 | % | 13.24 | % | (10.75 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 0.84 | % | 0.85 | % | 7.30 | % | (f) | |||
Net expenses | 0.57 | % | 0.57 | % | 0.57 | % | (f) | |||
Net investment income | 2.09 | % | 2.04 | % | 1.79 | % | (f) | |||
Portfolio turnover | 73 | % | 53 | % | 3 | % | ||||
Net assets, ending (in thousands) | $33,233 | $22,309 | $3,547 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
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CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS C SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $19.95 | $17.81 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.29 | 0.24 | 0.05 | |||||||
Net realized and unrealized gain (loss) | 2.86 | 1.96 | (2.24) | |||||||
Total from investment operations | 3.15 | 2.20 | (2.19) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.27) | (0.06) | — | |||||||
Net realized gain | (0.06) | — | (c) | — | ||||||
Total distributions | (0.33) | (0.06) | — | |||||||
Total increase (decrease) in net asset value | 2.82 | 2.14 | (2.19) | |||||||
Net asset value, ending | $22.77 | $19.95 | $17.81 | |||||||
Total return (d) | 15.88 | % | 12.41 | % | (10.95 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 3.76 | % | 7.46 | % | 76.12 | % | (f) | |||
Net expenses | 1.32 | % | 1.32 | % | 1.32 | % | (f) | |||
Net investment income | 1.34 | % | 1.26 | % | 0.99 | % | (f) | |||
Portfolio turnover | 73 | % | 53 | % | 3 | % | ||||
Net assets, ending (in thousands) | $1,044 | $375 | $97 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
28 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS I SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $20.18 | $17.87 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.53 | 0.45 | 0.11 | |||||||
Net realized and unrealized gain (loss) | 2.89 | 1.97 | (2.24) | |||||||
Total from investment operations | 3.42 | 2.42 | (2.13) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.42) | (0.11) | — | |||||||
Net realized gain | (0.06) | — | (c) | — | ||||||
Total distributions | (0.48) | (0.11) | — | |||||||
Total increase (decrease) in net asset value | 2.94 | 2.31 | (2.13) | |||||||
Net asset value, ending | $23.12 | $20.18 | $17.87 | |||||||
Total return (d) | 17.15 | % | 13.60 | % | (10.65 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 0.46 | % | 0.47 | % | 6.88 | % | (f) | |||
Net expenses | 0.22 | % | 0.22 | % | 0.22 | % | (f) | |||
Net investment income | 2.43 | % | 2.38 | % | 2.09 | % | (f) | |||
Portfolio turnover | 73 | % | 53 | % | 3 | % | ||||
Net assets, ending (in thousands) | $85,240 | $67,315 | $2,144 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
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CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | |||||||||
CLASS Y SHARES | 2017 | 2016 | 2015(a) | |||||||
Net asset value, beginning | $20.16 | $17.86 | $20.00 | |||||||
Income from investment operations: | ||||||||||
Net investment income (b) | 0.53 | 0.42 | 0.11 | |||||||
Net realized and unrealized gain (loss) | 2.86 | 1.99 | (2.25) | |||||||
Total from investment operations | 3.39 | 2.41 | (2.14) | |||||||
Distributions from: | ||||||||||
Net investment income | (0.40) | (0.11) | — | |||||||
Net realized gain | (0.06) | — | (c) | — | ||||||
Total distributions | (0.46) | (0.11) | — | |||||||
Total increase (decrease) in net asset value | 2.93 | 2.30 | (2.14) | |||||||
Net asset value, ending | $23.09 | $20.16 | $17.86 | |||||||
Total return (d) | 16.98 | % | 13.53 | % | (10.70 | %) | ||||
Ratios to average net assets: (e) | ||||||||||
Total expenses | 0.75 | % | 0.78 | % | 11.25 | % | (f) | |||
Net expenses | 0.32 | % | 0.32 | % | 0.32 | % | (f) | |||
Net investment income | 2.42 | % | 2.17 | % | 2.00 | % | (f) | |||
Portfolio turnover | 73 | % | 53 | % | 3 | % | ||||
Net assets, ending (in thousands) | $14,434 | $13,667 | $1,108 | |||||||
(a) From June 19, 2015 inception. | ||||||||||
(b) Computed using average shares outstanding. | ||||||||||
(c) Amount is less than $0.005. | ||||||||||
(d) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | ||||||||||
(e) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||
(f) Annualized. | ||||||||||
See notes to financial statements. |
30 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Responsible Index Series, Inc. (the “Corporation”) was organized as a Maryland corporation on April 7, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates five (5) separate series, each with its own investment objective(s) and strategies, which are accounted for separately. This report contains the financial statements and financial highlights of Calvert US Large-Cap Value Responsible Index Fund (formerly, Calvert U.S. Large Cap Value Responsible Index Fund) (the “Fund”). The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to the Fund.
The Fund is diversified. The investment objective of the Fund is to seek to track the performance of the Calvert US Large-Cap Value Responsible Index, which measures the investment return of large-capitalization stocks.
The Fund offers four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.25% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class Y shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the “Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Fund to the Fund’s investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for
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which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
The following table summarizes the market value of the Fund’s holdings as of September 30, 2017, based on the inputs used to value them:
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||
Common Stocks | $132,537,154 | * | $— | $— | $132,537,154 | |||||||
Time Deposit | — | 898,357 | — | 898,357 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 329,217 | — | — | 329,217 | ||||||||
TOTAL | $132,866,371 | $898,357 | $— | $133,764,728 | ||||||||
* The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Share Class Accounting: Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
32 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Fund following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Fund and CRM (the “Transaction”).
For its services pursuant to the new investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.15% of the Fund’s average daily net assets. Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment adviser services to the Fund. For its services, CIM received a fee at the same annual rate as the Fund’s investment advisory agreement with CRM. For the year ended September 30, 2017, the investment advisory fee amounted to $166,264, of which $125,983 was paid to CRM and $40,281 was paid to CIM.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.57%, 1.32%, 0.22% and 0.32% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2019. For the year ended September 30, 2017, CRM waived or reimbursed expenses of $152,541 and CIM waived or reimbursed expenses of $29,714.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class Y and is payable monthly. CRM has agreed to contractually waive the administrative fee through January 31, 2018. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Fund at an annual rate of 0.12% of the Fund’s average daily net assets, payable monthly. In addition, CIAS contractually waived the administrative fee for the period October 1, 2016 through December 30, 2016. For the year ended September 30, 2017, CRM was paid administrative fees of $100,786, all of which were waived and CIAS was paid administrative fees of $32,225, all of which were waived.
As of December 31, 2016, the Fund has in effect new distribution plans for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board and shareholders of the Fund. Pursuant to the Class A Plan and Class C Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Prior to December 31, 2016, the Fund had in effect a distribution plan for Class A shares and Class C shares which permitted the Fund to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.50%
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for Class A and 1.00% for Class C of the Fund’s average daily net assets with respect to such class. The fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Fund’s former distributor and principal underwriter. Distribution and service fees paid or accrued for the year ended September 30, 2017 amounted to $70,468 or 0.25% per annum of Class A’s average daily net assets, of which $55,879 was paid to EVD and $14,589 was paid to CID, and $7,771 or 1.00% per annum of Class C’s average daily net assets, of which $6,604 was paid to EVD and $1,167 was paid to CID.
The Fund was informed that EVD and CID received $8,813 and $2,712, respectively, as their portion of the sales charge on sales of Class A shares for the year ended September 30, 2017. The Fund was also informed that EVD and CID received $1,391 and $1,219, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Fund and received a fee at the same rate as is paid to EVM. For the year ended September 30, 2017, sub-transfer agency fees paid to EVM were $3,446 and shareholder servicing fees paid to CIS were $356. Such fees are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Fund who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert Funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert Funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by CIM and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the year ended September 30, 2017, the Fund’s allocated portion of such expense and reimbursement was $1,338, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year ended September 30, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $94,414,740 and $80,158,054, respectively.
The tax character of distributions declared for the years ended September 30, 2017 and September 30, 2016 was as follows:
Year Ended September 30, | |||||||
2017 | 2016 | ||||||
Distributions declared from: | |||||||
Ordinary income | $2,444,233 | $401,069 |
During the year ended September 30, 2017, accumulated undistributed net realized gain was decreased by $1,117,272, accumulated undistributed net investment income was decreased by $328,028 and paid-in capital was increased by $1,445,300 due to the Fund’s use of equalization accounting and differences between book and tax accounting, primarily for foreign currency gain (loss) and return of capital distributions from securities. Tax equalization accounting allows the Fund to treat as a distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable income and net capital gains. These reclassifications had no effect on the net assets or net asset value per share of the Fund.
34 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
As of September 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ordinary income | $4,677,528 | ||
Undistributed long-term capital gains | $3,767,121 | ||
Net unrealized appreciation (depreciation) | $13,777,497 |
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in the Statement of Assets and Liabilities are primarily due to the tax treatment of short-term capital gains and temporary book-tax differences that will reverse in a subsequent period. These differences are primarily due to wash sales and return of capital distributions from securities.
The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2017, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $119,987,231 | ||
Gross unrealized appreciation | $15,767,736 | ||
Gross unrealized depreciation | (1,990,239) | ||
Net unrealized appreciation (depreciation) | $13,777,497 |
NOTE D — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At September 30, 2017, the total value of securities on loan was $318,462 and the total value of collateral received was $329,217.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2017.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $329,217 | $— | $— | $— | $329,217 | ||||
Total | $329,217 |
The carrying amount of the liability for deposits for securities loaned at September 30, 2017 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note A) at September 30, 2017.
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NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and SSB. Under the agreement, which expires on August 7, 2018, SSB provides an unsecured line of credit facility in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no loans outstanding pursuant to this line of credit at September 30, 2017. Average borrowings and the weighted average interest rate (excluding fees) for the year ended September 30, 2017 were $32,908 and 2.19%, respectively.
NOTE F — CAPITAL SHARES
Transactions in capital shares for the years ended September 30, 2017 and September 30, 2016 were as follows:
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Class A | ||||||||||
Shares sold | 759,716 | $16,617,916 | 1,012,606 | $17,705,674 | ||||||
Reinvestment of distributions | 21,348 | 459,370 | 1,313 | 24,675 | ||||||
Shares redeemed | (447,464) | (9,788,007) | (102,515) | (1,952,687) | ||||||
Net increase | 333,600 | $7,289,279 | 911,404 | $15,777,662 | ||||||
Class C | ||||||||||
Shares sold | 34,615 | $741,602 | 15,089 | $289,407 | ||||||
Reinvestment of distributions | 393 | 8,404 | 22 | 408 | ||||||
Shares redeemed | (7,952) | (172,988) | (1,726) | (34,401) | ||||||
Net increase | 27,056 | $577,018 | 13,385 | $255,414 | ||||||
Class I | ||||||||||
Shares sold | 2,003,087 | $43,908,877 | 3,539,395 | $66,186,407 | ||||||
Reinvestment of distributions | 84,223 | 1,815,332 | 19,468 | 366,383 | ||||||
Shares redeemed | (1,735,885) | (37,878,120) | (342,661) | (6,466,987) | ||||||
Net increase | 351,425 | $7,846,089 | 3,216,202 | $60,085,803 | ||||||
Class Y | ||||||||||
Shares sold | 547,783 | $11,927,658 | 630,963 | $12,077,228 | ||||||
Reinvestment of distributions | 6,427 | 138,442 | 439 | 8,248 | ||||||
Shares redeemed | (607,131) | (12,949,019) | (15,343) | (301,806) | ||||||
Net increase (decrease) | (52,921 | ) | ($882,919 | ) | 616,059 | $11,783,670 |
At September 30, 2017, Calvert Aggressive Allocation Fund and Calvert Moderate Allocation Fund owned in the aggregate 32.5% of the value of the outstanding shares of the Fund.
The Board approved the termination of the Fund’s Class C and Class Y shares. Effective December 8, 2017, Class C shares of the Fund will convert to Class A shares and Class Y shares will convert to Class I shares at net asset value. Thereafter, Class C shares and Class Y shares will be terminated.
NOTE G — NAME CHANGE
Effective November 6, 2017, the name of Calvert US Large-Cap Value Responsible Index Fund was changed from Calvert U.S. Large Cap Value Responsible Index Fund.
36 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Directors of Calvert Responsible Index Series, Inc. and Shareholders of Calvert US Large-Cap Value Responsible Index Fund:
We have audited the accompanying statement of assets and liabilities of the Calvert US Large-Cap Value Responsible Index Fund (formerly, Calvert U.S. Large Cap Value Responsible Index Fund) (the “Fund”), a series of Calvert Responsible Index Series, Inc., including the schedule of investments, as of September 30, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian and brokers or by performing other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert US Large-Cap Value Responsible Index Fund as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 22, 2017
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FEDERAL TAX
The Form 1099-DIV you receive in February 2018 will show the tax status of all distributions paid to your account in calendar year 2017. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the dividends received deduction for corporations and capital gains dividends.
Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Fund designates approximately $2,841,924, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2017 ordinary income dividends, 70.53% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended September 30, 2017, $4,411,863 or, if subsequently determined to be different, the net capital gain of such year.
38 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Responsible Index Series, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 37 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Compliance Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Social Investment Foundation. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2000 | Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock(2) 1950 | Chair & Director | 2016 | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez(2) 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Ariel Funds (3) (asset management) (through December 31, 2011); Calvert Social Investment Foundation; Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (now Carr Riggs & Ingram) (public accounting firm), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (14) (asset management). |
Joy V. Jones 1950 | Director | 2000 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited (restaurant) (dissolved September 2016); Palm Management Restaurant Corporation. |
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Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Anthony A. Williams(2) 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present) (economic development non-profit organization); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (now Dentons) (law firm) (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (now Gartner Inc.) (global research and Advisory company) (January 2010 to January 2012); William H. Bloomberg Lecturer in Public Management at the Harvard Kennedy School (since 2009). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force (non-profit organization); Chesapeake Bay Foundation (independent conservation organization); Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Directors | |||
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 37 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma(3) 1960 | Secretary and Vice President | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Funds because of his positions with each Fund’s Adviser and certain affiliates.
(2) Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Fund includes additional information about the Directors and officers of the Fund and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
40 www.calvert.com CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT US LARGE-CAP VALUE RESPONSIBLE INDEX FUND | CALVERT FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS, P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS, 330 West 9th Street Kansas City, MO 64105 Web Site www.calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Responsible Municipal Income Fund Taxable Bond Funds Bond Fund Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Duration Income Fund High Yield Bond Fund Green Bond Fund Absolute Return Bond Fund Floating-Rate Advantage Fund Balanced and Asset Allocation Funds Balanced Fund Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Fund US Large-Cap Core Responsible Index Fund US Large-Cap Value Responsible Index Fund US Large-Cap Growth Responsible Index Fund US Mid-Cap Core Responsible Index Fund International Responsible Index Fund Mid-Cap Fund International Equity Fund Small-Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24191 9.30.17 |
Calvert US Mid-Cap Core Responsible Index Fund | ||
Annual Report September 30, 2017 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Understanding Your Fund’s Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stocks delivered strong returns in the 12-month period ended September 30, 2017 behind an extended rally that began with Donald Trump's victory in the U.S. presidential election. After lagging early in the period, U.S stocks moved sharply higher following President Trump's election on November 8, 2016. While its effect was broad-based, the rally particularly favored financial stocks, which received another boost in mid-December when the U.S. Federal Reserve (the Fed) raised its benchmark interest rate amid continued economic growth. After a brief pullback in the final weeks of 2016, U.S. equities resumed their advance in early 2017. U.S. stocks slipped in March 2017, as the failure of President Trump's health care bill in Congress raised concerns about prospects for the rest of his policy agenda including tax reform and infrastructure spending. However, stocks quickly regained their upward momentum, advancing steadily despite additional Fed rate hikes in March and June. Encouraged by a range of economic indicators, particularly U.S. job market gains, many investors viewed the rate hikes as a sign of a strengthening economy. U.S. equities retreated again in August amid rising geopolitical tensions over the North Korea stand-off and the devastation in Texas left by Hurricane Harvey. Stocks soon resumed their upward trend, with some U.S. indexes reaching record highs in the final month of the period. From a sector perspective, energy stocks delivered notable performance in the quarter as oil prices rose and refinery damage from Hurricane Harvey constricted supplies. The massive flood damage from the hurricane also helped boost auto sales, which rose in September after declining for much of 2017. Major stock indexes recorded double-digit gains for the period. The blue-chip Dow Jones Industrial Average2 advanced 25.45%, while the broader U.S. equity market, as represented by the S&P 500 Index, rose 18.61%. The technology-laden NASDAQ Composite Index delivered a 23.68% gain. Small-cap U.S. stocks, as measured by the Russell 2000® Index, generally outperformed their large-cap counterparts as measured by the S&P 500 Index during the period. Growth stocks, as a group, outpaced value stocks in both the large- and small-cap categories, as measured by the Russell growth and value indexes. | Investment Strategy The Calvert US Mid-Cap Core Responsible Index Fund (the Fund) uses a passive investment strategy to seek to track the performance of the Calvert US Mid-Cap Core Responsible Index (the Index). This is accomplished by investing in all, or virtually all, of the stocks in the Index in approximately in the same proportion. The Index is comprised of mid-cap companies that operate their businesses consistent with the environmental, social and governance (ESG) profile that meet the Calvert Principles of Responsible Investing. The companies are scored and ranked for growth factors to determine placement and weight in the Index. The Index reconstitutes semiannually and is rebalanced quarterly. Fund Performance For the fiscal year ending September 30, 2017, the Fund’s Class A shares at net asset value (NAV) had a total return of 17.12%. By comparison, the Fund’s primary benchmark, which is the Index, returned 17.92% during the period. The Fund's underperformance versus the benchmark was due to Fund expenses and fees, which the Index does not incur. Eight of the Fund's 11 economic sectors delivered positive results for the 12-month period. The weakest performing sectors were telecommunications services, energy and consumer staples. The strongest performing sectors were financials, information technology and real estate. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
2 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | |||||||||||||||
Portfolio Manager Thomas C. Seto of Calvert Research and Management | |||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | ||||||||||
Class A at NAV | 10/30/2015 | 10/30/2015 | 17.12 | % | — | % | 12.22 | % | |||||||
Class A with 4.75% Maximum Sales Charge | — | — | 11.55 | — | 9.41 | ||||||||||
Class C at NAV | 10/30/2015 | 10/30/2015 | 16.28 | — | 11.40 | ||||||||||
Class C with 1% Maximum Sales Charge | — | — | 15.28 | — | 11.40 | ||||||||||
Class I at NAV | 10/30/2015 | 10/30/2015 | 17.50 | — | 12.61 | ||||||||||
Class Y at NAV | 10/30/2015 | 10/30/2015 | 17.44 | — | 12.52 | ||||||||||
Calvert US Mid-Cap Core Responsible Index | — | — | 17.92 | % | — | % | 13.08 | % | |||||||
Russell Midcap® Index | — | — | 15.32 | 14.25 | 11.88 | ||||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | |||||||||||
Gross | 3.22 | % | 17.57 | % | 2.74 | % | 3.95 | % | |||||||
Net | 0.57 | 1.32 | 0.22 | 0.32 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 10/30/2015 | $12,305 | N.A. | ||||
Class I | $100,000 | 10/30/2015 | $125,627 | N.A. | ||||
Class Y | $10,000 | 10/30/2015 | $12,542 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 3
FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Information Technology | 17.9 | % | Baker Hughes a GE Co. | 1.3 | % | ||
Financials | 16.2 | % | National Oilwell Varco, Inc. | 1.1 | % | ||
Industrials | 15.7 | % | Consolidated Edison, Inc. | 0.9 | % | ||
Consumer Discretionary | 15.4 | % | Xcel Energy, Inc. | 0.8 | % | ||
Health Care | 12.0 | % | Nucor Corp. | 0.7 | % | ||
Materials | 6.6 | % | Eversource Energy | 0.7 | % | ||
Utilities | 6.0 | % | WestRock Co. | 0.6 | % | ||
Consumer Staples | 4.7 | % | Ball Corp. | 0.6 | % | ||
Energy | 3.6 | % | Alexion Pharmaceuticals, Inc. | 0.6 | % | ||
Time Deposit | 0.9 | % | Lam Research Corp. | 0.6 | % | ||
Telecommunication Services | 0.6 | % | Total | 7.9 | % | ||
Real Estate | 0.4 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures | ||
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements”. The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.2 Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Calvert US Mid-Cap Core Responsible Index is comprised of mid capitalization U.S. stocks that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. Russell Midcap® Index is an unmanaged index of U.S. mid-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.3 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.5 Does not include Short Term Investment of Cash Collateral for Securities Loaned.Important Notice to Shareholders Effective November 6, 2017, the name of Calvert US Mid-Cap Core Responsible Index Fund was changed from Calvert U.S. Mid Cap Core Responsible Index Fund. |
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 5
UNDERSTANDING YOUR FUND'S EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 to September 30, 2017).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class A | $1,000.00 | $1,053.40 | $2.88** | 0.56% |
Class C | $1,000.00 | $1,049.40 | $6.73** | 1.31% |
Class I | $1,000.00 | $1,055.00 | $1.13** | 0.22% |
Class Y | $1,000.00 | $1,054.80 | $1.65** | 0.32% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.26 | $2.84** | 0.56% |
Class C | $1,000.00 | $1,018.50 | $6.63** | 1.31% |
Class I | $1,000.00 | $1,023.97 | $1.12** | 0.22% |
Class Y | $1,000.00 | $1,023.46 | $1.62** | 0.32% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
6 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
COMMON STOCKS - 98.8% | ||
Aerospace & Defense - 0.6% | ||
HEICO Corp. | 596 | 53,526 |
Hexcel Corp. | 795 | 45,649 |
Rockwell Collins, Inc. | 1,418 | 185,347 |
284,522 | ||
Air Freight & Logistics - 0.4% | ||
C.H. Robinson Worldwide, Inc. | 1,286 | 97,865 |
Expeditors International of Washington, Inc. | 1,596 | 95,536 |
193,401 | ||
Airlines - 1.1% | ||
Alaska Air Group, Inc. | 1,229 | 93,736 |
American Airlines Group, Inc. | 4,013 | 190,577 |
JetBlue Airways Corp. * | 3,034 | 56,220 |
Spirit Airlines, Inc. * | 532 | 17,774 |
United Continental Holdings, Inc. * | 2,361 | 143,738 |
502,045 | ||
Auto Components - 1.0% | ||
BorgWarner, Inc. | 1,630 | 83,505 |
Delphi Automotive plc | 2,293 | 225,631 |
Gentex Corp. | 2,170 | 42,966 |
Goodyear Tire & Rubber Co. (The) | 2,220 | 73,815 |
Tenneco, Inc. | 428 | 25,967 |
Visteon Corp. * | 259 | 32,056 |
483,940 | ||
Automobiles - 0.3% | ||
Harley-Davidson, Inc. | 1,445 | 69,663 |
Thor Industries, Inc. | 417 | 52,505 |
122,168 | ||
Banks - 5.5% | ||
Associated Banc-Corp. | 1,093 | 26,505 |
Bank of Hawaii Corp. | 321 | 26,759 |
Bank of the Ozarks, Inc. | 848 | 40,746 |
BankUnited, Inc. | 785 | 27,922 |
BOK Financial Corp. | 234 | 20,845 |
Chemical Financial Corp. | 556 | 29,057 |
CIT Group, Inc. | 1,052 | 51,601 |
Citizens Financial Group, Inc. | 3,804 | 144,057 |
Comerica, Inc. | 1,342 | 102,341 |
Commerce Bancshares, Inc. | 752 | 43,443 |
Cullen/Frost Bankers, Inc. | 417 | 39,582 |
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
East West Bancorp, Inc. | 1,223 | 73,111 |
Fifth Third Bancorp | 5,702 | 159,542 |
First Citizens BancShares, Inc., Class A | 71 | 26,546 |
First Hawaiian, Inc. | 1,031 | 31,229 |
First Horizon National Corp. | 1,671 | 32,000 |
First Republic Bank | 1,241 | 129,635 |
FNB Corp. | 2,535 | 35,566 |
Fulton Financial Corp. | 1,325 | 24,844 |
Hancock Holding Co. | 659 | 31,929 |
Home BancShares, Inc. | 881 | 22,219 |
Huntington Bancshares, Inc. | 8,246 | 115,114 |
IBERIABANK Corp. | 380 | 31,217 |
Investors Bancorp, Inc. | 2,175 | 29,667 |
KeyCorp | 8,629 | 162,398 |
M&T Bank Corp. | 1,155 | 186,001 |
MB Financial, Inc. | 563 | 25,346 |
PacWest Bancorp | 1,000 | 50,510 |
People's United Financial, Inc. | 2,663 | 48,307 |
Pinnacle Financial Partners, Inc. | 608 | 40,706 |
Popular, Inc. | 763 | 27,422 |
Prosperity Bancshares, Inc. | 529 | 34,771 |
Regions Financial Corp. | 9,685 | 147,503 |
Signature Bank * | 399 | 51,088 |
Sterling Bancorp | 1,034 | 25,488 |
SVB Financial Group * | 401 | 75,023 |
Synovus Financial Corp. | 847 | 39,013 |
Texas Capital Bancshares, Inc. * | 393 | 33,719 |
UMB Financial Corp. | 297 | 22,123 |
Umpqua Holdings Corp. | 1,938 | 37,810 |
United Bankshares, Inc. | 940 | 34,921 |
Valley National Bancorp | 2,110 | 25,425 |
Webster Financial Corp. | 632 | 33,212 |
Western Alliance Bancorp * | 703 | 37,315 |
Wintrust Financial Corp. | 440 | 34,456 |
Zions Bancorporation | 1,549 | 73,082 |
2,541,116 | ||
Beverages - 0.4% | ||
Dr Pepper Snapple Group, Inc. | 1,881 | 166,412 |
Biotechnology - 2.5% | ||
ACADIA Pharmaceuticals, Inc. * | 779 | 29,345 |
Alexion Pharmaceuticals, Inc. * | 1,885 | 264,447 |
Alkermes plc * | 1,276 | 64,872 |
Alnylam Pharmaceuticals, Inc. * | 636 | 74,724 |
BioMarin Pharmaceutical, Inc. * | 1,496 | 139,233 |
Bioverativ, Inc. * | 851 | 48,567 |
8 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Bluebird Bio, Inc. * | 403 | 55,352 |
Exelixis, Inc. * | 2,295 | 55,608 |
Incyte Corp. * | 1,452 | 169,506 |
Intercept Pharmaceuticals, Inc. * | 185 | 10,737 |
Ionis Pharmaceuticals, Inc. * | 1,023 | 51,866 |
Kite Pharma, Inc. * | 436 | 78,397 |
Seattle Genetics, Inc. * | 749 | 40,753 |
TESARO, Inc. * | 330 | 42,603 |
United Therapeutics Corp. * | 412 | 48,282 |
1,174,292 | ||
Building Products - 0.9% | ||
Allegion plc | 885 | 76,526 |
Fortune Brands Home & Security, Inc. | 1,392 | 93,584 |
Masco Corp. | 3,150 | 122,882 |
Owens Corning | 1,058 | 81,836 |
USG Corp. * | 923 | 30,136 |
404,964 | ||
Capital Markets - 4.3% | ||
Affiliated Managers Group, Inc. | 445 | 84,474 |
Ameriprise Financial, Inc. | 1,179 | 175,093 |
BGC Partners, Inc., Class A | 1,976 | 28,593 |
CBOE Holdings, Inc. | 880 | 94,714 |
E*Trade Financial Corp. * | 2,136 | 93,151 |
Evercore, Inc., Class A | 322 | 25,841 |
Federated Investors, Inc., Class B | 960 | 28,512 |
Franklin Resources, Inc. | 2,551 | 113,545 |
Interactive Brokers Group, Inc., Class A | 3,283 | 147,866 |
Invesco Ltd. | 3,093 | 108,379 |
Legg Mason, Inc. | 733 | 28,814 |
LPL Financial Holdings, Inc. | 796 | 41,050 |
MarketAxess Holdings, Inc. | 312 | 57,567 |
Moody's Corp. | 1,306 | 181,808 |
Morningstar, Inc. | 129 | 10,964 |
MSCI, Inc. | 714 | 83,467 |
Nasdaq, Inc. | 916 | 71,054 |
Northern Trust Corp. | 1,653 | 151,960 |
Raymond James Financial, Inc. | 971 | 81,885 |
SEI Investments Co. | 1,019 | 62,220 |
Stifel Financial Corp. | 513 | 27,425 |
T. Rowe Price Group, Inc. | 1,732 | 157,006 |
TD Ameritrade Holding Corp. | 2,079 | 101,455 |
1,956,843 | ||
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Chemicals - 1.9% | ||
Axalta Coating Systems Ltd. * | 4,071 | 117,733 |
Eastman Chemical Co. | 2,712 | 245,409 |
International Flavors & Fragrances, Inc. | 1,472 | 210,364 |
Mosaic Co. (The) | 6,898 | 148,928 |
PolyOne Corp. | 1,696 | 67,891 |
Sensient Technologies Corp. | 811 | 62,382 |
852,707 | ||
Commercial Services & Supplies - 1.2% | ||
Cintas Corp. | 828 | 119,464 |
Clean Harbors, Inc. * | 425 | 24,097 |
Copart, Inc. * | 1,951 | 67,056 |
Deluxe Corp. | 437 | 31,884 |
Healthcare Services Group, Inc. | 722 | 38,966 |
KAR Auction Services, Inc. | 1,333 | 63,637 |
MSA Safety, Inc. | 317 | 25,205 |
Pitney Bowes, Inc. | 1,991 | 27,894 |
Republic Services, Inc. | 2,231 | 147,380 |
UniFirst Corp. | 178 | 26,967 |
572,550 | ||
Communications Equipment - 1.9% | ||
Arista Networks, Inc. * | 363 | 68,828 |
ARRIS International plc * | 1,441 | 41,054 |
Brocade Communications Systems, Inc. | 3,205 | 38,300 |
Ciena Corp. * | 1,090 | 23,947 |
CommScope Holding Co., Inc. * | 1,611 | 53,501 |
EchoStar Corp., Class A * | 863 | 49,390 |
F5 Networks, Inc. * | 498 | 60,039 |
Finisar Corp. * | 954 | 21,150 |
Harris Corp. | 997 | 131,285 |
Juniper Networks, Inc. | 3,070 | 85,438 |
Lumentum Holdings, Inc. * | 493 | 26,795 |
Motorola Solutions, Inc. | 1,417 | 120,261 |
NetScout Systems, Inc. * | 717 | 23,195 |
Palo Alto Networks, Inc. * | 799 | 115,136 |
Ubiquiti Networks, Inc. *(a) | 205 | 11,484 |
869,803 | ||
Construction & Engineering - 0.3% | ||
Dycom Industries, Inc. * | 302 | 25,936 |
EMCOR Group, Inc. | 571 | 39,616 |
Quanta Services, Inc. * | 1,360 | 50,823 |
Valmont Industries, Inc. | 285 | 45,058 |
161,433 | ||
10 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Consumer Finance - 1.2% | ||
Ally Financial, Inc. | 3,695 | 89,641 |
Credit Acceptance Corp. * | 97 | 27,176 |
Discover Financial Services | 2,985 | 192,473 |
OneMain Holdings, Inc. * | 933 | 26,301 |
SLM Corp. * | 3,111 | 35,683 |
Synchrony Financial | 5,960 | 185,058 |
556,332 | ||
Containers & Packaging - 3.3% | ||
AptarGroup, Inc. | 1,313 | 113,325 |
Avery Dennison Corp. | 1,705 | 167,670 |
Ball Corp. | 6,734 | 278,114 |
Berry Global Group, Inc. * | 2,507 | 142,021 |
Crown Holdings, Inc. * | 2,501 | 149,360 |
Greif, Inc., Class A | 927 | 54,267 |
Owens-Illinois, Inc. * | 2,917 | 73,392 |
Sealed Air Corp. | 3,570 | 152,510 |
Sonoco Products Co. | 1,933 | 97,520 |
WestRock Co. | 4,978 | 282,402 |
1,510,581 | ||
Distributors - 0.5% | ||
Genuine Parts Co. | 1,186 | 113,441 |
LKQ Corp. * | 2,566 | 92,350 |
Pool Corp. | 324 | 35,047 |
240,838 | ||
Diversified Consumer Services - 0.4% | ||
Bright Horizons Family Solutions, Inc. * | 405 | 34,915 |
Graham Holdings Co., Class B | 41 | 23,989 |
Grand Canyon Education, Inc. * | 441 | 40,052 |
Service Corp. International | 1,531 | 52,819 |
ServiceMaster Global Holdings, Inc. * | 1,051 | 49,113 |
200,888 | ||
Diversified Financial Services - 0.1% | ||
Voya Financial, Inc. | 1,359 | 54,211 |
Diversified Telecommunication Services - 0.5% | ||
CenturyLink, Inc. (a) | 3,880 | 73,332 |
Level 3 Communications, Inc. * | 2,187 | 116,545 |
Zayo Group Holdings, Inc. * | 1,225 | 42,165 |
232,042 | ||
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 11
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Electric Utilities - 2.0% | ||
Alliant Energy Corp. | 3,849 | 160,003 |
Eversource Energy | 5,162 | 311,991 |
Portland General Electric Co. | 1,487 | 67,867 |
Xcel Energy, Inc. | 8,228 | 389,349 |
929,210 | ||
Electrical Equipment - 1.3% | ||
Acuity Brands, Inc. | 400 | 68,512 |
AMETEK, Inc. | 2,136 | 141,061 |
EnerSys | 421 | 29,121 |
Hubbell, Inc. | 517 | 59,982 |
Regal-Beloit Corp. | 406 | 32,074 |
Rockwell Automation, Inc. | 1,209 | 215,456 |
Sensata Technologies Holding NV * | 1,571 | 75,518 |
621,724 | ||
Electronic Equipment, Instruments & Components - 1.7% | ||
Arrow Electronics, Inc. * | 807 | 64,891 |
Avnet, Inc. | 945 | 37,139 |
CDW Corp. | 1,269 | 83,754 |
Coherent, Inc. * | 187 | 43,977 |
Dolby Laboratories, Inc., Class A | 892 | 51,308 |
FLIR Systems, Inc. | 1,139 | 44,318 |
IPG Photonics Corp. * | 323 | 59,774 |
Jabil, Inc. | 1,626 | 46,422 |
Keysight Technologies, Inc. * | 1,535 | 63,948 |
National Instruments Corp. | 832 | 35,085 |
SYNNEX Corp. | 257 | 32,513 |
Tech Data Corp. * | 253 | 22,479 |
Trimble, Inc. * | 2,053 | 80,580 |
Universal Display Corp. | 350 | 45,098 |
Zebra Technologies Corp., Class A * | 479 | 52,010 |
763,296 | ||
Energy Equipment & Services - 3.6% | ||
Baker Hughes a GE Co. | 16,515 | 604,779 |
Core Laboratories NV | 1,742 | 171,935 |
National Oilwell Varco, Inc. | 14,507 | 518,335 |
Oceaneering International, Inc. | 3,755 | 98,644 |
US Silica Holdings, Inc. | 2,995 | 93,055 |
Weatherford International plc *(a) | 37,243 | 170,573 |
1,657,321 | ||
Food & Staples Retailing - 0.4% | ||
Casey's General Stores, Inc. | 367 | 40,168 |
Performance Food Group Co. * | 867 | 24,493 |
12 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
PriceSmart, Inc. | 259 | 23,116 |
Rite Aid Corp. * | 9,195 | 18,022 |
Sprouts Farmers Market, Inc. * | 1,532 | 28,755 |
US Foods Holding Corp. * | 1,504 | 40,157 |
174,711 | ||
Food Products - 3.1% | ||
B&G Foods, Inc. | 695 | 22,136 |
Blue Buffalo Pet Products, Inc. * | 1,112 | 31,525 |
Bunge Ltd. | 1,405 | 97,591 |
Campbell Soup Co. | 1,750 | 81,935 |
Conagra Brands, Inc. | 4,288 | 144,677 |
Flowers Foods, Inc. | 2,047 | 38,504 |
Hain Celestial Group, Inc. (The) * | 1,124 | 46,253 |
Hershey Co. (The) | 2,049 | 223,689 |
Hormel Foods Corp. | 2,829 | 90,924 |
Ingredion, Inc. | 747 | 90,118 |
J. M. Smucker Co. (The) | 1,137 | 119,306 |
Lamb Weston Holdings, Inc. | 1,463 | 68,600 |
Lancaster Colony Corp. | 192 | 23,063 |
McCormick & Co., Inc. | 1,342 | 137,743 |
Pinnacle Foods, Inc. | 1,168 | 66,775 |
Post Holdings, Inc. * | 680 | 60,024 |
Snyder's-Lance, Inc. | 930 | 35,470 |
TreeHouse Foods, Inc. * | 543 | 36,777 |
1,415,110 | ||
Gas Utilities - 1.3% | ||
Atmos Energy Corp. | 1,719 | 144,121 |
New Jersey Resources Corp. | 1,301 | 54,837 |
ONE Gas, Inc. | 853 | 62,815 |
Southwest Gas Holdings, Inc. | 858 | 66,598 |
Spire, Inc. | 781 | 58,302 |
UGI Corp. | 2,792 | 130,833 |
WGL Holdings, Inc. | 851 | 71,654 |
589,160 | ||
Health Care Equipment & Supplies - 3.0% | ||
ABIOMED, Inc. * | 374 | 63,056 |
Alere, Inc. * | 694 | 35,387 |
Align Technology, Inc. * | 607 | 113,066 |
Cantel Medical Corp. | 307 | 28,910 |
Cooper Cos., Inc. (The) | 404 | 95,792 |
DENTSPLY SIRONA, Inc. | 1,852 | 110,768 |
DexCom, Inc. * | 805 | 39,385 |
Edwards Lifesciences Corp. * | 1,740 | 190,199 |
Globus Medical, Inc., Class A * | 809 | 24,043 |
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Hill-Rom Holdings, Inc. | 521 | 38,554 |
Hologic, Inc. * | 2,482 | 91,065 |
ICU Medical, Inc. * | 142 | 26,391 |
IDEXX Laboratories, Inc. * | 708 | 110,087 |
Masimo Corp. * | 449 | 38,865 |
NuVasive, Inc. * | 361 | 20,021 |
ResMed, Inc. | 1,160 | 89,274 |
STERIS plc | 734 | 64,886 |
Teleflex, Inc. | 371 | 89,771 |
Varian Medical Systems, Inc. * | 770 | 77,046 |
West Pharmaceutical Services, Inc. | 583 | 56,120 |
1,402,686 | ||
Health Care Providers & Services - 2.6% | ||
Acadia Healthcare Co., Inc. * | 645 | 30,805 |
AmerisourceBergen Corp. | 1,436 | 118,829 |
Cardinal Health, Inc. | 2,699 | 180,617 |
Centene Corp. * | 1,470 | 142,252 |
Chemed Corp. | 129 | 26,064 |
DaVita, Inc. * | 1,216 | 72,218 |
Envision Healthcare Corp. * | 921 | 41,399 |
HealthSouth Corp. | 787 | 36,478 |
Henry Schein, Inc. * | 1,282 | 105,111 |
Laboratory Corp. of America Holdings * | 839 | 126,664 |
Mednax, Inc. * | 887 | 38,247 |
Molina Healthcare, Inc. * | 370 | 25,441 |
Patterson Cos., Inc. | 667 | 25,780 |
Premier, Inc., Class A * | 1,332 | 43,383 |
Quest Diagnostics, Inc. | 1,111 | 104,034 |
WellCare Health Plans, Inc. * | 348 | 59,766 |
1,177,088 | ||
Health Care Technology - 0.7% | ||
athenahealth, Inc. * | 314 | 39,049 |
Cerner Corp. * | 2,654 | 189,283 |
Cotiviti Holdings, Inc. * | 236 | 8,491 |
Medidata Solutions, Inc. * | 443 | 34,581 |
Veeva Systems, Inc., Class A * | 1,211 | 68,313 |
339,717 | ||
Hotels, Restaurants & Leisure - 2.7% | ||
Aramark | 2,052 | 83,332 |
Buffalo Wild Wings, Inc. * | 149 | 15,749 |
Chipotle Mexican Grill, Inc. * | 200 | 61,566 |
Choice Hotels International, Inc. | 238 | 15,208 |
Cracker Barrel Old Country Store, Inc. | 194 | 29,414 |
Darden Restaurants, Inc. | 1,006 | 79,253 |
14 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Domino's Pizza, Inc. | 416 | 82,597 |
Dunkin' Brands Group, Inc. | 710 | 37,687 |
Hilton Worldwide Holdings, Inc. | 1,707 | 118,551 |
Hyatt Hotels Corp., Class A * | 1,068 | 65,992 |
ILG, Inc. | 999 | 26,703 |
Jack in the Box, Inc. | 263 | 26,805 |
Marriott Vacations Worldwide Corp. | 176 | 21,917 |
Papa John's International, Inc. | 241 | 17,610 |
Royal Caribbean Cruises Ltd. | 1,470 | 174,254 |
Six Flags Entertainment Corp. | 650 | 39,611 |
Texas Roadhouse, Inc. | 627 | 30,811 |
Vail Resorts, Inc. | 339 | 77,333 |
Wendy's Co. (The) | 2,110 | 32,768 |
Wyndham Worldwide Corp. | 882 | 92,972 |
Yum China Holdings, Inc. * | 3,117 | 124,586 |
1,254,719 | ||
Household Durables - 1.7% | ||
CalAtlantic Group, Inc. | 706 | 25,861 |
Garmin Ltd. | 1,004 | 54,186 |
Helen of Troy Ltd. * | 228 | 22,093 |
Leggett & Platt, Inc. | 1,220 | 58,231 |
Lennar Corp., Class A | 2,103 | 111,038 |
Mohawk Industries, Inc. * | 539 | 133,408 |
Newell Brands, Inc. | 4,192 | 178,873 |
Tempur Sealy International, Inc. * | 404 | 26,066 |
Toll Brothers, Inc. | 1,141 | 47,317 |
Tupperware Brands Corp. | 442 | 27,324 |
Whirlpool Corp. | 589 | 108,635 |
793,032 | ||
Household Products - 0.6% | ||
Church & Dwight Co., Inc. | 2,483 | 120,301 |
Clorox Co. (The) | 1,350 | 178,079 |
298,380 | ||
Independent Power and Renewable Electricity Producers - 0.2% | ||
NRG Yield, Inc., Class C | 3,033 | 58,537 |
Ormat Technologies, Inc. | 589 | 35,958 |
94,495 | ||
Industrial Conglomerates - 0.6% | ||
Carlisle Cos., Inc. | 562 | 56,363 |
Roper Technologies, Inc. | 957 | 232,934 |
289,297 | ||
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Insurance - 4.7% | ||
Alleghany Corp. * | 113 | 62,603 |
American Financial Group, Inc. | 503 | 52,035 |
American National Insurance Co. | 171 | 20,192 |
Arch Capital Group Ltd. * | 1,020 | 100,470 |
Arthur J. Gallagher & Co. | 1,405 | 86,478 |
Aspen Insurance Holdings Ltd. | 363 | 14,665 |
Assurant, Inc. | 391 | 37,348 |
Assured Guaranty Ltd. | 861 | 32,503 |
Axis Capital Holdings Ltd. | 628 | 35,991 |
Brown & Brown, Inc. | 894 | 43,082 |
Cincinnati Financial Corp. | 1,162 | 88,974 |
CNO Financial Group, Inc. | 1,212 | 28,288 |
Enstar Group Ltd. * | 91 | 20,234 |
Everest Re Group Ltd. | 213 | 48,647 |
First American Financial Corp. | 848 | 42,375 |
Hanover Insurance Group, Inc. (The) | 370 | 35,864 |
Hartford Financial Services Group, Inc. (The) | 2,758 | 152,876 |
Lincoln National Corp. | 1,688 | 124,034 |
Loews Corp. | 2,247 | 107,541 |
Old Republic International Corp. | 2,054 | 40,443 |
Primerica, Inc. | 378 | 30,826 |
Principal Financial Group, Inc. | 2,197 | 141,355 |
Progressive Corp. (The) | 4,497 | 217,745 |
Reinsurance Group of America, Inc. | 510 | 71,160 |
RenaissanceRe Holdings Ltd. | 297 | 40,137 |
RLI Corp. | 324 | 18,585 |
Torchmark Corp. | 826 | 66,154 |
Unum Group | 1,726 | 88,250 |
Validus Holdings Ltd. | 628 | 30,904 |
White Mountains Insurance Group Ltd. | 38 | 32,566 |
Willis Towers Watson plc | 1,057 | 163,021 |
XL Group Ltd. | 1,966 | 77,559 |
2,152,905 | ||
Internet & Direct Marketing Retail - 0.5% | ||
Expedia, Inc. | 1,148 | 165,243 |
TripAdvisor, Inc. * | 1,046 | 42,394 |
Wayfair, Inc., Class A * | 477 | 32,150 |
239,787 | ||
Internet Software & Services - 1.2% | ||
Akamai Technologies, Inc. * | 1,347 | 65,626 |
CoStar Group, Inc. * | 268 | 71,891 |
GrubHub, Inc. * | 734 | 38,652 |
IAC/InterActiveCorp * | 674 | 79,249 |
j2 Global, Inc. | 367 | 27,114 |
16 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
LogMeIn, Inc. | 404 | 44,460 |
Twitter, Inc. * | 5,138 | 86,678 |
VeriSign, Inc. * | 748 | 79,580 |
Zillow Group, Inc., Class C * | 1,299 | 52,233 |
545,483 | ||
IT Services - 4.3% | ||
Alliance Data Systems Corp. | 381 | 84,411 |
Amdocs Ltd. | 1,200 | 77,184 |
Black Knight Financial Services, Inc., Class A * | 441 | 18,985 |
Booz Allen Hamilton Holding Corp. | 1,179 | 44,083 |
Broadridge Financial Solutions, Inc. | 1,043 | 84,295 |
CACI International, Inc., Class A * | 201 | 28,009 |
Conduent, Inc. * | 1,754 | 27,485 |
CoreLogic, Inc. * | 770 | 35,589 |
CSRA, Inc. | 1,496 | 48,276 |
DST Systems, Inc. | 474 | 26,013 |
DXC Technology Co. | 2,318 | 199,070 |
EPAM Systems, Inc. * | 367 | 32,270 |
Euronet Worldwide, Inc. * | 466 | 44,172 |
First Data Corp., Class A * | 7,121 | 128,463 |
FleetCor Technologies, Inc. * | 794 | 122,887 |
Gartner, Inc. * | 728 | 90,571 |
Genpact Ltd. | 1,023 | 29,411 |
Jack Henry & Associates, Inc. | 661 | 67,944 |
Leidos Holdings, Inc. | 1,192 | 70,590 |
MAXIMUS, Inc. | 505 | 32,573 |
Paychex, Inc. | 2,701 | 161,952 |
Sabre Corp. | 1,847 | 33,431 |
Science Applications International Corp. | 334 | 22,328 |
Square, Inc., Class A * | 3,322 | 95,707 |
Teradata Corp. * | 1,063 | 35,919 |
Total System Services, Inc. | 1,334 | 87,377 |
Vantiv, Inc., Class A * | 1,658 | 116,839 |
Western Union Co. (The) | 4,044 | 77,645 |
WEX, Inc. * | 295 | 33,105 |
1,956,584 | ||
Leisure Products - 0.5% | ||
Brunswick Corp. | 760 | 42,537 |
Hasbro, Inc. | 996 | 97,279 |
Mattel, Inc. | 2,719 | 42,090 |
Polaris Industries, Inc. (a) | 526 | 55,036 |
236,942 | ||
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Life Sciences Tools & Services - 2.4% | ||
Agilent Technologies, Inc. | 2,732 | 175,394 |
Bio-Rad Laboratories, Inc., Class A * | 209 | 46,444 |
Bio-Techne Corp. | 293 | 35,421 |
Bruker Corp. | 755 | 22,461 |
Charles River Laboratories International, Inc. * | 422 | 45,584 |
Illumina, Inc. * | 1,239 | 246,809 |
INC Research Holdings, Inc., Class A * | 413 | 21,600 |
Mettler-Toledo International, Inc. * | 210 | 131,494 |
PAREXEL International Corp. * | 424 | 37,346 |
PerkinElmer, Inc. | 884 | 60,969 |
PRA Health Sciences, Inc. * | 399 | 30,392 |
Quintiles IMS Holdings, Inc. * | 1,251 | 118,933 |
VWR Corp. * | 781 | 25,859 |
Waters Corp. * | 648 | 116,329 |
1,115,035 | ||
Machinery - 6.1% | ||
AGCO Corp. | 581 | 42,860 |
Allison Transmission Holdings, Inc. | 1,433 | 53,780 |
Barnes Group, Inc. | 454 | 31,980 |
Colfax Corp. * | 897 | 37,351 |
Crane Co. | 500 | 39,995 |
Cummins, Inc. | 1,432 | 240,619 |
Donaldson Co., Inc. | 1,288 | 59,171 |
Dover Corp. | 1,466 | 133,978 |
Flowserve Corp. | 1,387 | 59,072 |
Fortive Corp. | 2,794 | 197,787 |
Graco, Inc. | 536 | 66,298 |
IDEX Corp. | 677 | 82,235 |
Ingersoll-Rand plc | 2,356 | 210,085 |
ITT, Inc. | 795 | 35,195 |
Kennametal, Inc. | 691 | 27,875 |
Lincoln Electric Holdings, Inc. | 574 | 52,624 |
Middleby Corp. (The) * | 518 | 66,392 |
Nordson Corp. | 444 | 52,614 |
Oshkosh Corp. | 665 | 54,889 |
PACCAR, Inc. | 3,251 | 235,177 |
Parker-Hannifin Corp. | 1,267 | 221,750 |
Pentair plc | 1,467 | 99,697 |
Snap-on, Inc. | 514 | 76,591 |
Stanley Black & Decker, Inc. | 1,438 | 217,095 |
Terex Corp. | 829 | 37,322 |
Timken Co. (The) | 692 | 33,597 |
Toro Co. (The) | 971 | 60,260 |
WABCO Holdings, Inc. * | 488 | 72,224 |
18 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Wabtec Corp. (a) | 834 | 63,176 |
Woodward, Inc. | 614 | 47,653 |
Xylem, Inc. | 1,614 | 101,085 |
2,810,427 | ||
Media - 2.3% | ||
AMC Entertainment Holdings, Inc., Class A | 1,154 | 16,964 |
AMC Networks, Inc., Class A * | 539 | 31,515 |
Cable One, Inc. | 41 | 29,607 |
Cinemark Holdings, Inc. | 817 | 29,584 |
Discovery Communications, Inc., Class A * | 3,080 | 65,573 |
Interpublic Group of Cos., Inc. (The) | 3,139 | 65,260 |
John Wiley & Sons, Inc., Class A | 386 | 20,651 |
Liberty Broadband Corp., Class C * | 1,437 | 136,946 |
Lions Gate Entertainment Corp., Class A * | 1,376 | 46,027 |
Live Nation Entertainment, Inc. * | 1,221 | 53,175 |
Madison Square Garden Co. (The), Class A * | 164 | 35,112 |
Omnicom Group, Inc. | 2,058 | 152,436 |
Regal Entertainment Group, Class A | 1,388 | 22,208 |
Scripps Networks Interactive, Inc., Class A | 1,072 | 92,074 |
Sinclair Broadcast Group, Inc., Class A | 916 | 29,358 |
Sirius XM Holdings, Inc. | 11,766 | 64,948 |
TEGNA, Inc. | 1,811 | 24,141 |
Tribune Media Co., Class A | 504 | 20,593 |
Viacom, Inc., Class B | 3,722 | 103,621 |
1,039,793 | ||
Metals & Mining - 1.4% | ||
Nucor Corp. | 5,928 | 332,205 |
Reliance Steel & Aluminum Co. | 1,390 | 105,876 |
Steel Dynamics, Inc. | 4,698 | 161,940 |
Worthington Industries, Inc. | 886 | 40,756 |
640,777 | ||
Multi-Utilities - 1.8% | ||
CenterPoint Energy, Inc. | 6,989 | 204,149 |
CMS Energy Corp. | 4,594 | 212,794 |
Consolidated Edison, Inc. | 5,060 | 408,241 |
825,184 | ||
Multiline Retail - 0.8% | ||
Dollar General Corp. | 2,284 | 185,118 |
Kohl's Corp. | 1,484 | 67,745 |
Macy's, Inc. | 2,431 | 53,044 |
Nordstrom, Inc. | 938 | 44,227 |
350,134 | ||
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 19
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Personal Products - 0.3% | ||
Coty, Inc., Class A | 4,854 | 80,237 |
Edgewell Personal Care Co. * | 544 | 39,587 |
119,824 | ||
Pharmaceuticals - 0.7% | ||
Akorn, Inc. * | 633 | 21,009 |
Catalent, Inc. * | 1,103 | 44,032 |
Endo International plc * | 1,420 | 12,162 |
Jazz Pharmaceuticals plc * | 513 | 75,026 |
Medicines Co. (The) * | 521 | 19,298 |
Nektar Therapeutics * | 1,302 | 31,248 |
Perrigo Co. plc | 1,091 | 92,353 |
Prestige Brands Holdings, Inc. * | 385 | 19,285 |
314,413 | ||
Professional Services - 1.1% | ||
Dun & Bradstreet Corp. (The) | 372 | 43,305 |
Manpowergroup, Inc. | 619 | 72,931 |
Nielsen Holdings plc | 3,134 | 129,904 |
Robert Half International, Inc. | 1,072 | 53,964 |
TransUnion * | 1,363 | 64,415 |
Verisk Analytics, Inc. * | 1,440 | 119,794 |
484,313 | ||
Real Estate Management & Development - 0.4% | ||
CBRE Group, Inc., Class A * | 2,597 | 98,374 |
Jones Lang LaSalle, Inc. | 407 | 50,265 |
Realogy Holdings Corp. | 1,205 | 39,705 |
188,344 | ||
Road & Rail - 0.6% | ||
AMERCO | 82 | 30,742 |
Genesee & Wyoming, Inc., Class A * | 572 | 42,334 |
Kansas City Southern | 952 | 103,463 |
Landstar System, Inc. | 415 | 41,355 |
Ryder System, Inc. | 441 | 37,286 |
255,180 | ||
Semiconductors & Semiconductor Equipment - 3.4% | ||
Advanced Energy Industries, Inc. * | 321 | 25,924 |
Advanced Micro Devices, Inc. * | 6,957 | 88,702 |
Cavium, Inc. * | 573 | 37,784 |
Cirrus Logic, Inc. * | 522 | 27,833 |
Cree, Inc. * | 737 | 20,776 |
Cypress Semiconductor Corp. | 2,741 | 41,170 |
Entegris, Inc. * | 1,214 | 35,024 |
20 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
First Solar, Inc. * | 622 | 28,537 |
Integrated Device Technology, Inc. * | 1,013 | 26,926 |
KLA-Tencor Corp. | 1,349 | 142,994 |
Lam Research Corp. | 1,364 | 252,395 |
Marvell Technology Group Ltd. | 3,772 | 67,519 |
Maxim Integrated Products, Inc. | 2,347 | 111,975 |
Microchip Technology, Inc. | 1,928 | 173,096 |
ON Semiconductor Corp. * | 3,641 | 67,249 |
Silicon Laboratories, Inc. * | 375 | 29,962 |
Skyworks Solutions, Inc. | 1,475 | 150,302 |
Teradyne, Inc. | 1,553 | 57,911 |
Versum Materials, Inc. | 931 | 36,141 |
Xilinx, Inc. | 2,019 | 143,006 |
1,565,226 | ||
Software - 4.4% | ||
ANSYS, Inc. * | 690 | 84,684 |
Aspen Technology, Inc. * | 610 | 38,314 |
Atlassian Corp. plc, Class A * | 1,819 | 63,938 |
Autodesk, Inc. * | 1,857 | 208,467 |
Blackbaud, Inc. | 376 | 33,013 |
CA, Inc. | 2,656 | 88,657 |
CDK Global, Inc. | 1,082 | 68,263 |
Citrix Systems, Inc. * | 1,161 | 89,188 |
Ellie Mae, Inc. * | 247 | 20,286 |
Fair Isaac Corp. | 251 | 35,266 |
Fortinet, Inc. * | 1,317 | 47,201 |
Guidewire Software, Inc. * | 568 | 44,225 |
Manhattan Associates, Inc. * | 493 | 20,494 |
Paycom Software, Inc. * | 465 | 34,856 |
Proofpoint, Inc. * | 328 | 28,608 |
PTC, Inc. * | 905 | 50,933 |
Red Hat, Inc. * | 1,528 | 169,394 |
ServiceNow, Inc. * | 1,416 | 166,423 |
Splunk, Inc. * | 1,169 | 77,657 |
Symantec Corp. | 5,042 | 165,428 |
Synopsys, Inc. * | 1,317 | 106,058 |
Tableau Software, Inc., Class A * | 623 | 46,657 |
Take-Two Interactive Software, Inc. * | 871 | 89,042 |
Ultimate Software Group, Inc. (The) * | 235 | 44,556 |
Workday, Inc., Class A * | 1,742 | 183,589 |
2,005,197 | ||
Specialty Retail - 2.9% | ||
Advance Auto Parts, Inc. | 660 | 65,472 |
AutoNation, Inc. * | 655 | 31,086 |
AutoZone, Inc. * | 228 | 135,685 |
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 21
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Bed Bath & Beyond, Inc. | 1,072 | 25,160 |
Best Buy Co., Inc. | 2,263 | 128,901 |
Burlington Stores, Inc. * | 621 | 59,281 |
CarMax, Inc. * | 1,539 | 116,672 |
Dick's Sporting Goods, Inc. | 958 | 25,876 |
Foot Locker, Inc. | 1,148 | 40,433 |
Gap, Inc. (The) | 1,940 | 57,288 |
L Brands, Inc. | 2,002 | 83,303 |
Michaels Cos., Inc. (The) * | 984 | 21,126 |
Murphy USA, Inc. * | 250 | 17,250 |
O'Reilly Automotive, Inc. * | 743 | 160,020 |
Penske Automotive Group, Inc. | 348 | 16,554 |
Sally Beauty Holdings, Inc. * | 1,140 | 22,321 |
Signet Jewelers Ltd. (a) | 544 | 36,203 |
Tiffany & Co. | 885 | 81,225 |
Tractor Supply Co. | 1,041 | 65,885 |
Ulta Salon, Cosmetics & Fragrance, Inc. * | 502 | 113,482 |
Williams-Sonoma, Inc. | 662 | 33,007 |
1,336,230 | ||
Technology Hardware, Storage & Peripherals - 1.1% | ||
NCR Corp. * | 991 | 37,182 |
NetApp, Inc. | 2,340 | 102,398 |
Seagate Technology plc | 2,269 | 75,263 |
Western Digital Corp. | 2,491 | 215,223 |
Xerox Corp. | 1,656 | 55,128 |
485,194 | ||
Textiles, Apparel & Luxury Goods - 1.6% | ||
Carter's, Inc. | 402 | 39,697 |
Coach, Inc. | 2,293 | 92,362 |
Columbia Sportswear Co. | 208 | 12,809 |
Hanesbrands, Inc. | 2,992 | 73,723 |
lululemon athletica, Inc. * | 868 | 54,033 |
Michael Kors Holdings Ltd. * | 1,364 | 65,267 |
PVH Corp. | 669 | 84,334 |
Ralph Lauren Corp. | 663 | 58,536 |
Skechers U.S.A., Inc., Class A * | 1,340 | 33,621 |
Under Armour, Inc., Class A * | 3,394 | 55,933 |
VF Corp. | 2,784 | 176,979 |
747,294 | ||
Thrifts & Mortgage Finance - 0.4% | ||
Essent Group Ltd. * | 644 | 26,082 |
MGIC Investment Corp. * | 3,031 | 37,978 |
New York Community Bancorp, Inc. | 4,142 | 53,390 |
22 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Radian Group, Inc. | 1,901 | 35,530 |
TFS Financial Corp. | 652 | 10,517 |
Washington Federal, Inc. | 707 | 23,791 |
187,288 | ||
Trading Companies & Distributors - 1.2% | ||
Air Lease Corp. | 827 | 35,247 |
Beacon Roofing Supply, Inc. * | 564 | 28,905 |
Fastenal Co. | 2,768 | 126,165 |
HD Supply Holdings, Inc. * | 1,680 | 60,598 |
MSC Industrial Direct Co., Inc., Class A | 535 | 40,430 |
United Rentals, Inc. * | 744 | 103,223 |
Univar, Inc. * | 1,057 | 30,579 |
W.W. Grainger, Inc. | 488 | 87,718 |
WESCO International, Inc. * | 485 | 28,251 |
541,116 | ||
Transportation Infrastructure - 0.1% | ||
Macquarie Infrastructure Corp. | 851 | 61,425 |
Water Utilities - 0.7% | ||
American Water Works Co., Inc. | 2,915 | 235,853 |
Aqua America, Inc. | 2,992 | 99,304 |
335,157 | ||
Wireless Telecommunication Services - 0.1% | ||
Telephone & Data Systems, Inc. | 701 | 19,551 |
United States Cellular Corp. * | 370 | 13,098 |
32,649 | ||
Total Common Stocks (Cost $41,691,906) | 45,452,935 | |
RIGHTS - 0.0% (b) | ||
Biotechnology - 0.0% (b) | ||
Dyax Corp. CVR, Exp. 12/31/19 *(c)(d) | 151 | 167 |
Total Rights (Cost $167) | 167 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 0.9% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 407,011 | 407,011 |
Total Time Deposit (Cost $407,011) | 407,011 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.5% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.92% | 233,542 | 233,542 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $233,542) | 233,542 | |
TOTAL INVESTMENTS (Cost $42,332,626) - 100.2% | 46,093,655 | |
Other assets and liabilities, net - (0.2%) | (87,033) | |
NET ASSETS - 100.0% | 46,006,622 |
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 23
NOTES TO SCHEDULE OF INVESTMENTS | ||
* Non-income producing security. | ||
(a) Security, or portion of security, is on loan. Total value of securities on loan is $225,813 as of September 30, 2017. | ||
(b) Amount is less than 0.05%. | ||
(c) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note A). | ||
(d) Restricted security, acquired on January 25, 2016 with an acquisition cost of $167. Total market value of the restricted security amounts to $167, which represents less than 0.05% of the net assets of the Fund as of September 30, 2017. | ||
Abbreviations: | ||
CVR: | Contingent Value Rights | |
See notes to financial statements. |
24 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $42,332,626) - including $225,813 of securities on loan | $46,093,655 | ||
Receivable for capital shares sold | 1,551,926 | ||
Dividends and interest receivable | 37,949 | ||
Securities lending income receivable | 141 | ||
Receivable from affiliates | 1,369 | ||
Directors' deferred compensation plan | 4,281 | ||
Total assets | 47,689,321 | ||
LIABILITIES | |||
Payable for investments purchased | 1,375,956 | ||
Payable for capital shares redeemed | 26,364 | ||
Deposits for securities loaned | 233,542 | ||
Payable to affiliates: | |||
Investment advisory fee | 5,341 | ||
Distribution and service fees | 3,473 | ||
Sub-transfer agency fee | 284 | ||
Directors' deferred compensation plan | 4,281 | ||
Accrued expenses | 33,458 | ||
Total liabilities | 1,682,699 | ||
NET ASSETS | $46,006,622 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $41,537,961 | ||
Accumulated undistributed net investment income | 379,856 | ||
Accumulated undistributed net realized gain | 327,776 | ||
Net unrealized appreciation (depreciation) | 3,761,029 | ||
Total | $46,006,622 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $14,339,343 and 586,654 shares outstanding) | $24.44 | ||
Class C (based on net assets of $801,921 and 33,141 shares outstanding) | $24.20 | ||
Class I (based on net assets of $21,074,971 and 858,022 shares outstanding) | $24.56 | ||
Class Y (based on net assets of $9,790,387 and 400,834 shares outstanding) | $24.43 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $25.66 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 25
CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $426) | $625,763 | ||
Interest income | 922 | ||
Securities lending income, net | 3,666 | ||
Total investment income | 630,351 | ||
EXPENSES | |||
Investment advisory fee | 40,443 | ||
Administrative fee | 32,354 | ||
Distribution and service fees: | |||
Class A | 18,723 | ||
Class C | 5,430 | ||
Directors' fees and expenses | 2,331 | ||
Custodian fees | 67,153 | ||
Transfer agency fees and expenses: | |||
Class A | 15,571 | ||
Class C | 4,028 | ||
Class I | 3,413 | ||
Class Y | 8,209 | ||
Accounting fees | 16,859 | ||
Professional fees | 23,712 | ||
Registration fees: | |||
Class A | 18,212 | ||
Class C | 18,504 | ||
Class I | 17,712 | ||
Class Y | 18,276 | ||
Reports to shareholders | 8,538 | ||
Miscellaneous | 20,310 | ||
Total expenses | 339,778 | ||
Waiver and/or reimbursement of expenses by affiliates | (239,641) | ||
Reimbursement of expenses-other | (387) | ||
Net expenses | 99,750 | ||
Net investment income (loss) | 530,601 | ||
26 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017 - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities - unaffiliated issuers | 565,392 | ||
Foreign currency transactions | 10 | ||
565,402 | |||
Net change in unrealized appreciation (depreciation) on investment securities - unaffiliated issuers | 2,918,019 | ||
Net realized and unrealized gain (loss) | 3,483,421 | ||
Net increase (decrease) in net assets resulting from operations | $4,014,022 | ||
See notes to financial statements. |
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 27
CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Year Ended September 30, 2016 (a) | |||||
Operations: | |||||||
Net investment income (loss) | $530,601 | $122,566 | |||||
Net realized gain (loss) | 565,402 | 121,504 | |||||
Net change in unrealized appreciation (depreciation) | 2,918,019 | 843,010 | |||||
Net increase (decrease) in net assets resulting from operations | 4,014,022 | 1,087,080 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (45,214) | (5,576) | |||||
Class C shares | (1,752) | (164) | |||||
Class I shares | (41,532) | (7,271) | |||||
Class Y shares | (94,169) | (3,174) | |||||
Net realized gain: | |||||||
Class A shares | (68,772) | — | |||||
Class C shares | (4,314) | — | |||||
Class I shares | (55,130) | — | |||||
Class Y shares | (82,385) | — | |||||
Total distributions to shareholders | (393,268) | (16,185) | |||||
Capital share transactions: | |||||||
Class A shares | 7,880,416 | 5,046,250 | |||||
Class C shares | 470,016 | 248,290 | |||||
Class I shares | 14,896,589 | 4,271,708 | |||||
Class Y shares | 2,782,466 | 5,719,238 | |||||
Net increase (decrease) in net assets from capital share transactions | 26,029,487 | 15,285,486 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 29,650,241 | 16,356,381 | |||||
NET ASSETS | |||||||
Beginning of year | 16,356,381 | — | |||||
End of year (including accumulated undistributed net investment income of $379,856 and $106,381, respectively) | $46,006,622 | $16,356,381 | |||||
(a) From October 30, 2015 inception. | |||||||
See notes to financial statements. |
28 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS A SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $21.25 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.38 | 0.23 | |||||
Net realized and unrealized gain (loss) | 3.22 | 1.08 | |||||
Total from investment operations | 3.60 | 1.31 | |||||
Distributions from: | |||||||
Net investment income | (0.16) | (0.06) | |||||
Net realized gain | (0.25) | — | |||||
Total distributions | (0.41) | (0.06) | |||||
Total increase (decrease) in net asset value | 3.19 | 1.25 | |||||
Net asset value, ending | $24.44 | $21.25 | |||||
Total return (c) | 17.12 | % | 6.55 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 1.53 | % | 3.20 | % | (e) | ||
Net expenses | 0.57 | % | 0.57 | % | (e) | ||
Net investment income | 1.64 | % | 1.26 | % | (e) | ||
Portfolio turnover | 63 | % | 42 | % | |||
Net assets, ending (in thousands) | $14,339 | $5,442 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
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CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS C SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $21.13 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.23 | 0.09 | |||||
Net realized and unrealized gain (loss) | 3.18 | 1.07 | |||||
Total from investment operations | 3.41 | 1.16 | |||||
Distributions from: | |||||||
Net investment income | (0.09) | (0.03) | |||||
Net realized gain | (0.25) | — | |||||
Total distributions | (0.34) | (0.03) | |||||
Total increase (decrease) in net asset value | 3.07 | 1.13 | |||||
Net asset value, ending | $24.20 | $21.13 | |||||
Total return (c) | 16.28 | % | 5.82 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 5.92 | % | 17.55 | % | (e) | ||
Net expenses | 1.32 | % | 1.32 | % | (e) | ||
Net investment income | 1.02 | % | 0.52 | % | (e) | ||
Portfolio turnover | 63 | % | 42 | % | |||
Net assets, ending (in thousands) | $802 | $261 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
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CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS I SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $21.31 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.52 | 0.29 | |||||
Net realized and unrealized gain (loss) | 3.17 | 1.09 | |||||
Total from investment operations | 3.69 | 1.38 | |||||
Distributions from: | |||||||
Net investment income | (0.19) | (0.07) | |||||
Net realized gain | (0.25) | — | |||||
Total distributions | (0.44) | (0.07) | |||||
Total increase (decrease) in net asset value | 3.25 | 1.31 | |||||
Net asset value, ending | $24.56 | $21.31 | |||||
Total return (c) | 17.50 | % | 6.91 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 0.87 | % | 2.72 | % | (e) | ||
Net expenses | 0.22 | % | 0.22 | % | (e) | ||
Net investment income | 2.21 | % | 1.62 | % | (e) | ||
Portfolio turnover | 63 | % | 42 | % | |||
Net assets, ending (in thousands) | $21,075 | $4,791 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
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CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS Y SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $21.29 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.45 | 0.29 | |||||
Net realized and unrealized gain (loss) | 3.21 | 1.06 | |||||
Total from investment operations | 3.66 | 1.35 | |||||
Distributions from: | |||||||
Net investment income | (0.27) | (0.06) | |||||
Net realized gain | (0.25) | — | |||||
Total distributions | (0.52) | (0.06) | |||||
Total increase (decrease) in net asset value | 3.14 | 1.29 | |||||
Net asset value, ending | $24.43 | $21.29 | |||||
Total return (c) | 17.44 | % | 6.79 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 1.20 | % | 3.93 | % | (e) | ||
Net expenses | 0.32 | % | 0.32 | % | (e) | ||
Net investment income | 1.97 | % | 1.59 | % | (e) | ||
Portfolio turnover | 63 | % | 42 | % | |||
Net assets, ending (in thousands) | $9,790 | $5,863 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
32 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Responsible Index Series, Inc. (the “Corporation”) was organized as a Maryland corporation on April 7, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates five (5) separate series, each with its own investment objective(s) and strategies, which are accounted for separately. This report contains the financial statements and financial highlights of Calvert US Mid-Cap Core Responsible Index Fund (formerly, Calvert U.S. Mid Cap Core Responsible Index Fund) (the “Fund”). The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to the Fund.
The Fund is diversified. The investment objective of the Fund is to seek to track the performance of the Calvert US Mid-Cap Core Responsible Index, which measures the investment return of mid-capitalization stocks.
The Fund offers four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.25% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class Y shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the “Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Fund to the Fund’s investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for
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which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
The following table summarizes the market value of the Fund’s holdings as of September 30, 2017, based on the inputs used to value them:
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3* | TOTAL | |||||||||
Common Stocks | $45,452,935 | ** | $— | $— | $45,452,935 | ||||||||
Rights | — | — | 167 | 167 | |||||||||
Time Deposit | — | 407,011 | — | 407,011 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 233,542 | — | — | 233,542 | |||||||||
TOTAL | $45,686,477 | $407,011 | $167 | $46,093,655 | |||||||||
* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
** The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2017 is not presented. There were no transfers between Level 1 and Level 2 during the year ended September 30, 2017.
Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
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Share Class Accounting: Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included in the Schedule of Investments.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Fund following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Fund and CRM (the "Transaction").
For its services pursuant to the new investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.15% of the Fund’s average daily net assets. Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Fund. For its services, CIM received a fee at the same annual rate as the Fund’s investment advisory agreement with CRM. For the year ended September 30, 2017, the investment advisory fee amounted to $40,443, of which $33,807 was paid to CRM and $6,636 was paid to CIM.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.57%, 1.32%, 0.22% and 0.32% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2019. For the year ended September 30, 2017, CRM waived or reimbursed expenses of $135,633 and CIM waived or reimbursed expenses of $71,654.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class Y and is payable monthly. CRM has agreed to contractually waive the administrative fee through January 31, 2018. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Fund at an annual rate of 0.12% of the Fund’s average daily net assets, payable monthly. In addition, CIAS contractually waived the administrative fee for the period October 1, 2016 through December 30, 2016. For the year ended September 30, 2017, CRM was paid administrative fees of $27,046, all of which were waived and CIAS was paid administrative fees of $5,308, all of which were waived.
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As of December 31, 2016, the Fund has in effect new distribution plans for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board and shareholders of the Fund. Pursuant to the Class A Plan and Class C Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Prior to December 31, 2016, the Fund had in effect a distribution plan for Class A shares and Class C shares which permitted the Fund to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.50% for Class A and 1.00% for Class C of the Fund’s average daily net assets with respect to such class. The fees were paid to Calvert Investment Distributors, Inc. (CID), an affiliate of CIM and the Fund’s former distributor and principal underwriter. Distribution and service fees paid or accrued for the year ended September 30, 2017 amounted to $18,723 or 0.25% per annum of Class A’s average daily net assets, of which $15,107 was paid to EVD and $3,616 was paid to CID, and $5,430 or 1.00% per annum of Class C’s average daily net assets, of which $4,603 was paid to EVD and $827 was paid to CID.
The Fund was informed that EVD and CID received $5,467 and $863, respectively, as their portion of the sales charge on sales of Class A shares for the year ended September 30, 2017. The Fund was also informed that EVD and CID received $1,642 and $1,518, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Fund and received a fee at the same rate as is paid to EVM. For the year ended September 30, 2017, sub-transfer agency fees paid to EVM were $2,374 and shareholder servicing fees paid to CIS were $230. Such fees are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Fund who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert Funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert Funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by CIM and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the year ended September 30, 2017, the Fund’s allocated portion of such expense and reimbursement was $387, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year ended September 30, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $42,815,585 and $17,049,575, respectively.
The tax character of distributions declared for the year ended September 30, 2017 and the period ended September 30, 2016 was as follows:
Year Ended September 30, 2017 | Period Ended September 30, 2016 (a) | ||||||
Distributions declared from: | |||||||
Ordinary income | $393,268 | $16,185 | |||||
(a) From October 30, 2015 inception. |
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During the year ended September 30, 2017, accumulated undistributed net realized gain was decreased by $148,529, accumulated undistributed net investment income was decreased by $74,459 and paid-in capital was increased by $222,988 due to the Fund’s use of equalization accounting and differences between book and tax accounting, primarily for foreign currency gain (loss), distributions from real estate investment trusts (REITs) and return of capital distributions from securities. Tax equalization accounting allows the Fund to treat as a distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable income and net capital gains. These reclassifications had no effect on the net assets or net asset value per share of the Fund.
As of September 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ordinary income | $882,729 | ||
Undistributed long-term capital gains | $414,918 | ||
Net unrealized appreciation (depreciation) | $3,171,014 |
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in the Statement of Assets and Liabilities are primarily due to the tax treatment of short-term capital gains and temporary book-tax differences that will reverse in a subsequent period. These differences are primarily due to wash sales and distributions from REITs.
The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2017, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $42,922,641 | ||
Gross unrealized appreciation | $4,214,364 | ||
Gross unrealized depreciation | (1,043,350) | ||
Net unrealized appreciation (depreciation) | $3,171,014 |
NOTE D — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At September 30, 2017, the total value of securities on loan was $225,813 and the total value of collateral received was $233,542.
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The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2017.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $233,542 | $— | $— | $— | $233,542 | ||||
Total | $233,542 |
The carrying amount of the liability for deposits for securities loaned at September 30, 2017 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note A) at September 30, 2017.
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and SSB. Under the agreement, which expires on August 7, 2018, SSB provides an unsecured line of credit facility in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no loans outstanding pursuant to this line of credit at September 30, 2017. Average borrowings and the weighted average interest rate (excluding fees) for the year ended September 30, 2017 were $11,485 and 2.05%, respectively.
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NOTE F — CAPITAL SHARES
Transactions in capital shares for the year ended September 30, 2017 and the period ended September 30, 2016 were as follows:
Year Ended September 30, 2017 | Period Ended September 30, 2016 (a) | ||||||||
Shares | Amount | Shares | Amount | ||||||
Class A | |||||||||
Shares sold | 474,805 | $11,202,036 | 322,416 | $6,222,322 | |||||
Reinvestment of distributions | 4,970 | 110,513 | 284 | 5,576 | |||||
Shares redeemed | (149,201) | (3,432,133) | (66,620) | (1,181,648) | |||||
Net increase | 330,574 | $7,880,416 | 256,080 | $5,046,250 | |||||
Class C | |||||||||
Shares sold | 26,212 | $592,894 | 13,175 | $265,418 | |||||
Reinvestment of distributions | 274 | 6,066 | 8 | 164 | |||||
Shares redeemed | (5,706) | (128,944) | (822) | (17,292) | |||||
Net increase | 20,780 | $470,016 | 12,361 | $248,290 | |||||
Class I | |||||||||
Shares sold | 834,909 | $19,565,148 | 264,246 | $5,090,248 | |||||
Reinvestment of distributions | 4,336 | 96,662 | 371 | 7,271 | |||||
Shares redeemed | (206,075) | (4,765,221) | (39,765) | (825,811) | |||||
Net increase | 633,170 | $14,896,589 | 224,852 | $4,271,708 | |||||
Class Y | |||||||||
Shares sold | 238,503 | $5,387,393 | 277,213 | $5,757,428 | |||||
Reinvestment of distributions | 7,945 | 176,424 | 162 | 3,174 | |||||
Shares redeemed | (121,036) | (2,781,351) | (1,953) | (41,364) | |||||
Net increase | 125,412 | $2,782,466 | 275,422 | $5,719,238 | |||||
(a) From October 30, 2015 inception. |
At September 30, 2017, Calvert Moderate Allocation Fund owned 18.5% of the value of the outstanding shares of the Fund.
The Board approved the termination of the Fund’s Class C and Class Y shares. Effective December 8, 2017, Class C shares of the Fund will convert to Class A shares and Class Y shares will convert to Class I shares at net asset value. Thereafter, Class C shares and Class Y shares will be terminated.
NOTE G — NAME CHANGE
Effective November 6, 2017, the name of Calvert US Mid-Cap Core Responsible Index Fund was changed from Calvert U.S. Mid Cap Core Responsible Index Fund.
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT 39
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Directors of Calvert Responsible Index Series, Inc. and Shareholders of Calvert US Mid-Cap Core Responsible Index Fund:
We have audited the accompanying statement of assets and liabilities of the Calvert US Mid-Cap Core Responsible Index Fund (formerly, Calvert U.S. Mid Cap Core Responsible Index Fund) (the “Fund”), a series of Calvert Responsible Index Series, Inc., including the schedule of investments, as of September 30, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian and brokers or by performing other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert US Mid-Cap Core Responsible Index Fund as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the two-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 22, 2017
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FEDERAL TAX
The Form 1099-DIV you receive in February 2018 will show the tax status of all distributions paid to your account in calendar year 2017. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the dividends received deduction for corporations and capital gains dividends.
Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Fund designates approximately $382,142, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2017 ordinary income dividends, 36.97% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended September 30, 2017, $486,218 or, if subsequently determined to be different, the net capital gain of such year.
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 41
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Responsible Index Series, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 37 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Compliance Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Social Investment Foundation. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2000 | Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock(2) 1950 | Chair & Director | 2016 | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez(2) 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Ariel Funds (3) (asset management) (through December 31, 2011); Calvert Social Investment Foundation; Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (now Carr Riggs & Ingram) (public accounting firm), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (14) (asset management). |
Joy V. Jones 1950 | Director | 2000 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited (restaurant) (dissolved September 2016); Palm Management Restaurant Corporation. |
42 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Anthony A. Williams(2) 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present) (economic development non-profit organization); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (now Dentons) (law firm) (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (now Gartner Inc.) (global research and Advisory company) (January 2010 to January 2012); William H. Bloomberg Lecturer in Public Management at the Harvard Kennedy School (since 2009). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force (non-profit organization); Chesapeake Bay Foundation (independent conservation organization); Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Directors | |||
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 37 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma(3) 1960 | Secretary and Vice President | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Funds because of his positions with each Fund’s Adviser and certain affiliates.
(2) Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Fund includes additional information about the Directors and officers of the Fund and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 43
IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
44 www.calvert.com CALVERT US MID-CAP CORE RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
CALVERT U.S. MID-CAP CORE RESPONSIBLE INDEX FUND | CALVERT FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS, P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS, 330 West 9th Street Kansas City, MO 64105 Web Site www.calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Responsible Municipal Income Fund Taxable Bond Funds Bond Fund Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Duration Income Fund High Yield Bond Fund Green Bond Fund Absolute Return Bond Fund Floating-Rate Advantage Fund Balanced and Asset Allocation Funds Balanced Fund Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Fund US Large-Cap Core Responsible Index Fund US Large-Cap Value Responsible Index Fund US Large-Cap Growth Responsible Index Fund US Mid-Cap Core Responsible Index Fund International Responsible Index Fund Mid-Cap Fund International Equity Fund Small-Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24193 9.30.17 |
Calvert International Responsible Index Fund | ||
Annual Report September 30, 2017 E-Delivery Sign-Up — Details Inside |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to www.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Understanding Your Fund’s Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stocks delivered strong returns in the 12-month period ended September 30, 2017 behind an extended rally that began with Donald Trump's victory in the U.S. presidential election. After lagging early in the period, U.S stocks moved sharply higher following President Trump's election on November 8, 2016. While its effect was broad-based, the rally particularly favored financial stocks, which received another boost in mid-December when the U.S. Federal Reserve (the Fed) raised its benchmark interest rate amid continued economic growth. After a brief pullback in the final weeks of 2016, U.S. equities resumed their advance in early 2017. U.S. stocks slipped in March 2017, as the failure of President Trump's health care bill in Congress raised concerns about prospects for the rest of his policy agenda including tax reform and infrastructure spending. However, stocks quickly regained their upward momentum, advancing steadily despite additional Fed rate hikes in March and June. Encouraged by a range of economic indicators, particularly U.S. job market gains, many investors viewed the rate hikes as a sign of a strengthening economy. U.S. equities retreated again in August amid rising geopolitical tensions over the North Korea stand-off and the devastation in Texas left by Hurricane Harvey. Stocks soon resumed their upward trend, with some U.S. indexes reaching record highs in the final month of the period. From a sector perspective, energy stocks delivered notable performance in the quarter as oil prices rose and refinery damage from Hurricane Harvey constricted supplies. The massive flood damage from the hurricane also helped boost auto sales, which rose in September after declining for much of 2017. Major stock indexes recorded double-digit gains for the period. The blue-chip Dow Jones Industrial Average2 advanced 25.45%, while the broader U.S. equity market, as represented by the S&P 500 Index, rose 18.61%. The technology-laden NASDAQ Composite Index delivered a 23.68% gain. Small-cap U.S. stocks, as measured by the Russell 2000® Index, generally outperformed their large-cap counterparts as measured by the S&P 500 Index during the period. Growth stocks, as a group, outpaced value stocks in both the large- and small-cap categories, as measured by the Russell growth and value indexes. | Investment Strategy The Calvert International Responsible Index Fund (the Fund) uses a passive investment strategy to seek to track the performance of the Calvert International Responsible Index (the Index). This is accomplished by investing in all, or virtually all, of the stocks in the Index in approximately the same proportion. The Index is comprised of stocks of companies located in major markets in Europe, the Pacific, Asia and Canada that are selected based on their environmental, social and government (ESG) profile that meet the Calvert Principles for Responsible Investing. The Index reconstitutes semi-annually and is rebalanced quarterly. Fund Performance For the fiscal year ending September 30, 2017, the Fund’s Class A shares at net asset value (NAV) had a total return of 17.98%. By comparison, the Fund’s primary benchmark, which is the Index, returned 18.87% during the period. The Fund's underperformance versus its benchmark was due to Fund expenses and fees, which the Index does not incur. All of the Fund's 11 economic sectors delivered positive results for the 12-month period. The weakest performing sectors were telecommunications services, energy and consumer staples. The strongest performing sectors were financials, information technology and materials. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
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PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Thomas C. Seto of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | |||||||||
Class A at NAV | 10/30/2015 | 10/30/2015 | 17.98 | % | — | % | 9.13 | % | ||||||
Class A with 4.75% Maximum Sales Charge | — | — | 12.37 | — | 6.40 | |||||||||
Class C at NAV | 10/30/2015 | 10/30/2015 | 17.08 | — | 8.33 | |||||||||
Class C with 1% Maximum Sales Charge | — | — | 16.08 | — | 8.33 | |||||||||
Class I at NAV | 10/30/2015 | 10/30/2015 | 18.42 | — | 9.52 | |||||||||
Class Y at NAV | 10/30/2015 | 10/30/2015 | 18.28 | — | 9.41 | |||||||||
Calvert International Responsible Index | — | — | 18.87 | % | — | % | 9.22 | % | ||||||
MSCI World ex USA Index | — | — | 18.73 | 7.80 | 9.16 | |||||||||
% Total Annual Operating Expense Ratios4 | Class A | Class C | Class I | Class Y | ||||||||||
Gross | 5.57 | % | 20.71 | % | 4.85 | % | 5.67 | % | ||||||
Net | 0.63 | 1.38 | 0.28 | 0.38 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class C | $10,000 | 10/30/2015 | $11,662 | N.A. | ||||
Class I | $100,000 | 10/30/2015 | $119,088 | N.A. | ||||
Class Y | $10,000 | 10/30/2015 | $11,886 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted. For performance as of the most recent month-end, please refer to www.calvert.com.
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 3
FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST STOCK HOLDINGS (% of net assets) | ||||||
Financials | 23.1 | % | Nestle SA | 2.0 | % | ||
Industrials | 14.1 | % | Unilever plc | 1.9 | % | ||
Consumer Discretionary | 11.8 | % | Novartis AG | 1.3 | % | ||
Information Technology | 10.4 | % | Roche Holding AG | 1.3 | % | ||
Consumer Staples | 10.1 | % | Toyota Motor Corp. | 1.2 | % | ||
Health Care | 9.9 | % | Royal Bank of Canada | 0.9 | % | ||
Materials | 8.3 | % | Siemens AG | 0.9 | % | ||
Telecommunication Services | 4.6 | % | Taiwan Semiconductor Manufacturing Co. Ltd. | 0.9 | % | ||
Utilities | 3.3 | % | Sanofi SA | 0.9 | % | ||
Energy | 2.0 | % | Toronto-Dominion Bank (The) | 0.9 | % | ||
Real Estate | 1.8 | % | Total | 12.2 | % | ||
Time Deposit | 0.6 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
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Endnotes and Additional Disclosures | ||
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements”. The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. 2 Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Calvert International Responsible Index is comprised of stocks in developed markets outside of the U.S. that operate their businesses in a manner that is consistent with the Calvert Principles for Responsible Investment. MSCI World ex USA Index is an unmanaged index of equity securities in the developed markets, excluding the United States. 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. 3 Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. 4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. 5 Does not include Short Term Investment of Cash Collateral for Securities Loaned. | Important Notice to Shareholders Effective November 6, 2017, the name of Calvert International Responsible Index Fund was changed from Calvert Developed Markets Ex-U.S. Responsible Index Fund. In addition, the name of Calvert International Responsible Index was changed from Calvert Developed Markets Ex-U.S. Responsible Index. |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited) 5
UNDERSTANDING YOUR FUND'S EXPENSES
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 to September 30, 2017).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
BEGINNING ACCOUNT VALUE (4/1/17) | ENDING ACCOUNT VALUE (9/30/17) | EXPENSES PAID DURING PERIOD* (4/1/17 - 9/30/17) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class A | $1,000.00 | $1,118.60 | $3.29** | 0.62% |
Class C | $1,000.00 | $1,114.40 | $7.21** | 1.36% |
Class I | $1,000.00 | $1,120.10 | $1.43** | 0.27% |
Class Y | $1,000.00 | $1,119.70 | $1.97** | 0.37% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.96 | $3.14** | 0.62% |
Class C | $1,000.00 | $1,018.25 | $6.88** | 1.36% |
Class I | $1,000.00 | $1,023.71 | $1.37** | 0.27% |
Class Y | $1,000.00 | $1,023.21 | $1.88** | 0.37% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2017. | ||||
** Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
6 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT (Unaudited)
CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
SHARES | VALUE ($) | |
COMMON STOCKS - 99.2% | ||
Australia - 4.9% | ||
Amcor Ltd. | 9,153 | 109,473 |
AMP Ltd. | 11,742 | 44,587 |
ASX Ltd. | 698 | 28,769 |
Australia & New Zealand Banking Group Ltd. | 11,105 | 258,675 |
Boral Ltd. | 10,023 | 53,442 |
Brambles Ltd. | 5,416 | 38,335 |
Coca-Cola Amatil Ltd. | 2,321 | 14,089 |
Cochlear Ltd. | 164 | 20,514 |
Commonwealth Bank of Australia | 6,618 | 391,873 |
Computershare Ltd. | 2,726 | 31,014 |
CSL Ltd. | 1,786 | 188,018 |
Insurance Australia Group Ltd. | 8,631 | 43,227 |
Medibank Pvt Ltd. | 8,009 | 18,376 |
National Australia Bank Ltd. | 10,145 | 251,524 |
Qantas Airways Ltd. | 8,972 | 41,095 |
QBE Insurance Group Ltd. | 4,435 | 34,964 |
Ramsay Health Care Ltd. | 338 | 16,538 |
REA Group Ltd. | 593 | 31,235 |
Sonic Healthcare Ltd. | 1,982 | 32,570 |
Suncorp Group Ltd. | 4,768 | 48,958 |
Telstra Corp. Ltd. | 39,445 | 108,058 |
Westpac Banking Corp. (a) | 12,877 | 323,902 |
Woolworths Ltd. | 7,052 | 139,656 |
2,268,892 | ||
Austria - 0.3% | ||
ams AG | 313 | 22,727 |
Andritz AG | 266 | 15,373 |
Erste Group Bank AG | 886 | 38,280 |
Raiffeisen Bank International AG * | 604 | 20,244 |
Voestalpine AG | 847 | 43,191 |
139,815 | ||
Belgium - 1.1% | ||
Ackermans & van Haaren NV | 118 | 20,698 |
Ageas | 1,283 | 60,344 |
bpost SA | 432 | 12,848 |
Colruyt SA | 492 | 25,209 |
KBC Groep NV | 1,748 | 148,300 |
Proximus | 907 | 31,268 |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Sofina SA | 195 | 29,961 |
Telenet Group Holding NV * | 289 | 19,130 |
UCB SA | 811 | 57,799 |
Umicore SA | 1,109 | 91,809 |
497,366 | ||
Canada - 7.6% | ||
Alimentation Couche-Tard, Inc., Class B | 2,780 | 126,774 |
Bank of Montreal | 2,306 | 174,519 |
Bank of Nova Scotia (The) | 4,475 | 287,634 |
BCE, Inc. | 2,631 | 123,268 |
Canadian Imperial Bank of Commerce | 1,520 | 132,990 |
Canadian National Railway Co. | 3,459 | 286,589 |
Canadian Pacific Railway Ltd. | 588 | 98,764 |
Canadian Tire Corp. Ltd., Class A | 235 | 29,257 |
CGI Group, Inc., Class A * | 865 | 44,853 |
CI Financial Corp. | 836 | 18,284 |
Constellation Software, Inc. | 85 | 46,374 |
Dollarama, Inc. | 453 | 49,568 |
Fairfax Financial Holdings Ltd. | 87 | 45,275 |
George Weston Ltd. | 196 | 17,067 |
Gildan Activewear, Inc. | 1,537 | 48,029 |
Great-West Lifeco, Inc. | 859 | 24,722 |
IGM Financial, Inc. | 706 | 23,730 |
Intact Financial Corp. | 702 | 57,988 |
Loblaw Cos. Ltd. | 1,064 | 58,071 |
Magna International, Inc. | 1,483 | 79,162 |
Metro, Inc. | 1,245 | 42,815 |
National Bank of Canada | 1,120 | 53,902 |
Open Text Corp. | 1,159 | 37,396 |
Pembina Pipeline Corp. | 5,894 | 206,804 |
Power Corp. of Canada | 1,586 | 40,306 |
Power Financial Corp. | 1,051 | 29,153 |
Restaurant Brands International, Inc. | 1,679 | 107,254 |
Rogers Communications, Inc., Class B | 1,352 | 69,716 |
Royal Bank of Canada | 5,493 | 425,000 |
Saputo, Inc. | 1,247 | 43,164 |
Shaw Communications, Inc., Class B | 1,811 | 41,685 |
Sun Life Financial, Inc. | 2,309 | 91,953 |
TELUS Corp. | 1,856 | 66,758 |
Toronto-Dominion Bank (The) | 7,132 | 401,541 |
Waste Connections, Inc. | 1,211 | 84,722 |
3,515,087 | ||
8 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Denmark - 1.6% | ||
Chr Hansen Holding A/S | 433 | 37,170 |
Coloplast A/S, Class B | 324 | 26,343 |
Danske Bank A/S | 2,167 | 86,839 |
DONG Energy A/S (b) | 695 | 39,839 |
DSV A/S | 619 | 46,893 |
Genmab A/S * | 132 | 29,191 |
H Lundbeck A/S | 46 | 2,659 |
ISS A/S | 734 | 29,592 |
Jyske Bank A/S | 377 | 21,795 |
Novo Nordisk A/S, Class B | 4,873 | 234,288 |
Novozymes A/S, Class B | 1,160 | 59,587 |
Pandora A/S | 337 | 33,320 |
Rockwool International A/S, Class B | 58 | 15,748 |
TDC A/S | 558 | 3,272 |
Tryg A/S | 75 | 1,734 |
Vestas Wind Systems A/S | 783 | 70,381 |
William Demant Holding A/S * | 561 | 14,832 |
753,483 | ||
Finland - 1.2% | ||
Elisa Oyj | 412 | 17,749 |
Huhtamaki Oyj | 757 | 30,573 |
Kesko Oyj, Class B | 218 | 11,695 |
Kone Oyj, Class B | 1,483 | 78,613 |
Metso Oyj | 296 | 10,863 |
Neste Oyj | 1,234 | 53,931 |
Nokia Oyj | 17,422 | 104,680 |
Nokian Renkaat Oyj | 359 | 15,975 |
Orion Oyj, Class B | 545 | 25,306 |
Sampo Oyj, Class A | 1,093 | 57,846 |
Stora Enso Oyj, Class R | 2,924 | 41,360 |
UPM-Kymmene Oyj | 1,762 | 47,805 |
Wartsila Oyj Abp | 546 | 38,655 |
535,051 | ||
France - 8.8% | ||
Accor SA | 887 | 44,114 |
Aeroports de Paris | 127 | 20,530 |
Air Liquide SA | 2,661 | 354,860 |
Alstom SA | 624 | 26,513 |
Amundi SA (b) | 352 | 29,268 |
Arkema SA | 486 | 59,633 |
Atos SE | 370 | 57,390 |
AXA SA | 7,004 | 211,746 |
BioMerieux | 183 | 14,897 |
Bouygues SA | 812 | 38,546 |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Bureau Veritas SA | 893 | 23,046 |
Capgemini SE | 772 | 90,497 |
Carrefour SA | 2,607 | 52,628 |
Casino Guichard-Perrachon SA | 252 | 14,945 |
Cie de Saint-Gobain | 2,259 | 134,591 |
Cie Generale des Etablissements Michelin | 647 | 94,398 |
Cie Plastic Omnium SA | 77 | 3,294 |
CNP Assurances | 437 | 10,245 |
Credit Agricole SA | 4,493 | 81,791 |
Danone SA | 3,094 | 243,015 |
Dassault Systemes SE | 542 | 54,836 |
Edenred | 748 | 20,334 |
Eiffage SA | 323 | 33,451 |
Elior Group SA (b) | 831 | 22,017 |
Essilor International SA | 632 | 78,328 |
Eutelsat Communications SA | 616 | 18,235 |
Faurecia | 294 | 20,402 |
Groupe Eurotunnel SE | 1,725 | 20,796 |
Hermes International | 115 | 58,021 |
Iliad SA | 67 | 17,809 |
Imerys SA | 191 | 17,258 |
Ingenico Group | 222 | 21,046 |
Ipsen SA | 125 | 16,632 |
JC Decaux SA | 209 | 7,836 |
Kering | 320 | 127,478 |
L'Oreal SA | 1,195 | 253,392 |
Legrand SA | 1,145 | 82,635 |
Natixis SA | 2,709 | 21,680 |
Orange SA | 5,735 | 93,905 |
Orpea | 149 | 17,661 |
Peugeot SA | 2,099 | 49,967 |
Publicis Groupe SA | 805 | 56,315 |
Rexel SA | 1,290 | 22,316 |
Rubis SCA | 369 | 23,523 |
Sanofi SA | 4,054 | 403,562 |
Sartorius Stedim Biotech | 26 | 1,802 |
Schneider Electric SE | 2,183 | 190,098 |
SCOR SE | 819 | 34,348 |
SEB SA | 95 | 17,434 |
Societe BIC SA | 128 | 15,343 |
Societe Generale SA | 2,700 | 158,224 |
Sodexo SA | 395 | 49,241 |
Suez | 3,758 | 68,617 |
Teleperformance | 302 | 45,055 |
Ubisoft Entertainment SA * | 309 | 21,267 |
Valeo SA | 962 | 71,381 |
Veolia Environnement SA | 4,756 | 109,902 |
10 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Vivendi SA | 3,573 | 90,518 |
Wendel SA | 93 | 15,065 |
Zodiac Aerospace | 695 | 20,093 |
4,073,770 | ||
Germany - 7.9% | ||
adidas AG | 626 | 141,768 |
Allianz SE | 1,357 | 304,764 |
Axel Springer SE | 183 | 11,770 |
Bayerische Motoren Werke AG | 1,170 | 118,748 |
Beiersdorf AG | 586 | 63,092 |
Brenntag AG | 513 | 28,598 |
CECONOMY AG | 986 | 11,611 |
Commerzbank AG * | 3,091 | 42,153 |
Continental AG | 332 | 84,318 |
Daimler AG | 3,512 | 280,345 |
Deutsche Boerse AG | 487 | 52,874 |
Deutsche Lufthansa AG | 1,767 | 49,138 |
Deutsche Post AG | 3,833 | 170,853 |
Deutsche Telekom AG | 8,031 | 149,973 |
Deutsche Wohnen SE | 1,125 | 47,811 |
Evonik Industries AG | 1,031 | 36,861 |
Fielmann AG | 26 | 2,254 |
Fraport AG Frankfurt Airport Services Worldwide | 241 | 22,906 |
Freenet AG | 568 | 19,009 |
Fresenius Medical Care AG & Co. KGaA | 554 | 54,163 |
GEA Group AG | 450 | 20,486 |
Hannover Rueck SE | 148 | 17,850 |
HeidelbergCement AG | 855 | 87,988 |
Hugo Boss AG | 202 | 17,824 |
Infineon Technologies AG | 4,026 | 101,505 |
K&S AG | 1,120 | 30,532 |
KION Group AG | 239 | 22,895 |
Lanxess AG | 487 | 38,459 |
Linde AG | 1,120 | 232,902 |
MAN SE | 126 | 14,223 |
Merck KGAA | 413 | 45,997 |
MTU Aero Engines AG | 211 | 33,695 |
Muenchener Rueckversicherungs-Gesellschaft AG | 493 | 105,515 |
OSRAM Licht AG | 278 | 22,204 |
ProSiebenSat.1 Media SE | 910 | 31,054 |
Rational AG | 5 | 3,442 |
SAP SE | 3,436 | 376,741 |
Siemens AG | 2,963 | 418,107 |
Symrise AG | 623 | 47,364 |
Talanx AG | 38 | 1,537 |
Telefonica Deutschland Holding AG (b) | 2,447 | 13,751 |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 11
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
ThyssenKrupp AG | 2,346 | 69,676 |
TUI AG | 1,226 | 20,804 |
United Internet AG | 531 | 33,099 |
Vonovia SE | 1,633 | 69,546 |
Wacker Chemie AG | 125 | 17,948 |
Wirecard AG | 308 | 28,216 |
Zalando SE *(b) | 354 | 17,768 |
3,634,137 | ||
Greece - 0.0% (c) | ||
Hellenic Telecommunications Organization SA | 784 | 9,495 |
Hong Kong - 2.7% | ||
AIA Group Ltd. | 44,400 | 328,706 |
Bank of East Asia Ltd. (The) | 6,566 | 28,461 |
BOC Hong Kong Holdings Ltd. | 19,350 | 94,254 |
Cathay Pacific Airways Ltd. * | 12,904 | 19,550 |
China Everbright International Ltd. | 13,000 | 16,382 |
China Taiping Insurance Holdings Co. Ltd. | 7,400 | 19,912 |
Guangdong Investment Ltd. | 6,000 | 8,567 |
Hang Lung Group Ltd. | 4,000 | 14,404 |
Hang Lung Properties Ltd. | 7,000 | 16,666 |
Hang Seng Bank Ltd. | 2,679 | 65,495 |
Henderson Land Development Co. Ltd. | 8,211 | 54,614 |
Hong Kong Exchanges & Clearing Ltd. | 5,099 | 137,714 |
Hysan Development Co. Ltd. | 2,881 | 13,593 |
I-CABLE Communications Ltd. * | 2,132 | 71 |
MTR Corp. Ltd. | 5,376 | 31,478 |
New World Development Co. Ltd. | 19,637 | 28,335 |
NWS Holdings Ltd. | 9,000 | 17,592 |
PCCW Ltd. | 6,684 | 3,628 |
Sino Land Co. Ltd. | 6,000 | 10,578 |
Sun Hung Kai Properties Ltd. | 7,848 | 127,846 |
Swire Pacific Ltd., Class A | 3,893 | 37,900 |
Techtronic Industries Co. Ltd. | 6,493 | 34,758 |
WH Group Ltd. (b) | 36,502 | 38,875 |
Wharf Holdings Ltd. (The) | 6,779 | 60,646 |
Wheelock & Co. Ltd. | 3,000 | 21,177 |
1,231,202 | ||
Ireland - 1.4% | ||
Adient plc | 592 | 49,722 |
Bank of Ireland Group plc * | 2,821 | 23,106 |
CRH plc | 4,642 | 176,599 |
DCC plc | 195 | 18,935 |
Glanbia plc | 1,339 | 25,242 |
ICON plc * | 196 | 22,321 |
12 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Kerry Group plc, Class A | 894 | 85,791 |
Kingspan Group plc | 602 | 25,600 |
Shire plc | 3,449 | 175,670 |
Smurfit Kappa Group plc | 1,896 | 59,383 |
662,369 | ||
Israel - 0.2% | ||
Azrieli Group Ltd. | 263 | 14,627 |
Bank Hapoalim BM | 3,904 | 27,319 |
Bank Leumi Le-Israel BM | 5,885 | 31,276 |
Bezeq The Israeli Telecommunication Corp. Ltd. | 9,544 | 13,638 |
Israel Chemicals Ltd. | 4,117 | 18,329 |
Taro Pharmaceutical Industries Ltd. * | 87 | 9,804 |
114,993 | ||
Italy - 2.5% | ||
A2A SpA | 12,205 | 20,999 |
Assicurazioni Generali SpA | 3,956 | 73,785 |
Atlantia SpA | 1,477 | 46,670 |
Banca Mediolanum SpA | 1,415 | 12,387 |
Banco BPM SpA * | 5,911 | 24,585 |
Buzzi Unicem SpA | 584 | 15,782 |
Enel SpA | 41,937 | 252,642 |
FinecoBank Banca Fineco SpA | 1,937 | 17,198 |
Hera SpA | 4,875 | 15,332 |
Intesa Sanpaolo SpA | 50,907 | 180,226 |
Luxottica Group SpA | 573 | 32,065 |
Mediobanca SpA | 1,564 | 16,807 |
Moncler SpA | 608 | 17,567 |
Prysmian SpA | 704 | 23,786 |
Salvatore Ferragamo SpA | 53 | 1,490 |
Snam SpA | 36,008 | 173,524 |
Telecom Italia SpA * | 29,389 | 27,568 |
Terna Rete Elettrica Nazionale SpA | 9,250 | 54,048 |
UniCredit SpA * | 6,432 | 137,257 |
UnipolSai Assicurazioni SpA | 1,310 | 3,063 |
1,146,781 | ||
Japan - 18.8% | ||
AEON Co. Ltd. (a) | 3,079 | 45,509 |
Aisin Seiki Co. Ltd. | 500 | 26,361 |
Ajinomoto Co. Inc. | 2,008 | 39,185 |
Alps Electric Co. Ltd. | 766 | 20,244 |
ANA Holdings, Inc. | 1,467 | 55,576 |
Aozora Bank Ltd. | 289 | 11,007 |
Asahi Glass Co. Ltd. | 855 | 31,757 |
Astellas Pharma, Inc. | 5,671 | 72,178 |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Bandai Namco Holdings, Inc. | 575 | 19,754 |
Bridgestone Corp. | 2,100 | 95,348 |
Calbee, Inc. (a) | 500 | 17,561 |
Canon, Inc. | 3,968 | 135,789 |
Central Japan Railway Co. | 667 | 117,052 |
Chiba Bank Ltd. (The) | 2,628 | 18,820 |
Chugai Pharmaceutical Co. Ltd. | 552 | 22,939 |
Coca-Cola Bottlers Japan, Inc. | 600 | 19,434 |
Dai Nippon Printing Co. Ltd. | 830 | 19,893 |
Dai-ichi Life Holdings, Inc. | 3,494 | 62,674 |
Daiichi Sankyo Co. Ltd. | 2,113 | 47,683 |
Daikin Industries Ltd. | 1,000 | 101,272 |
Daiwa House Industry Co. Ltd. | 2,037 | 70,363 |
Daiwa Securities Group, Inc. | 9,000 | 51,019 |
Denso Corp. | 1,547 | 78,294 |
Disco Corp. | 100 | 20,380 |
Don Quijote Holdings Co. Ltd. | 792 | 29,603 |
East Japan Railway Co. | 1,426 | 131,632 |
Eisai Co. Ltd. | 925 | 47,501 |
FamilyMart UNY Holdings Co. Ltd. | 463 | 24,392 |
FANUC Corp. | 651 | 131,993 |
Fast Retailing Co. Ltd. | 249 | 73,444 |
FUJIFILM Holdings Corp. | 1,726 | 67,057 |
Fujitsu Ltd. | 5,624 | 41,857 |
Hamamatsu Photonics KK | 421 | 12,736 |
Hankyu Hanshin Holdings, Inc. | 800 | 30,373 |
Hino Motors Ltd. | 686 | 8,395 |
Hirose Electric Co. Ltd. | 130 | 18,305 |
Hitachi High-Technologies Corp. | 100 | 3,632 |
Hitachi Ltd. | 15,247 | 107,504 |
Hitachi Metals Ltd. | 2,092 | 29,154 |
Hoshizaki Corp. | 152 | 13,352 |
HOYA Corp. | 1,187 | 64,192 |
Hulic Co. Ltd. | 3,500 | 34,319 |
IHI Corp. | 600 | 20,915 |
Japan Airlines Co. Ltd. | 1,789 | 60,560 |
Japan Exchange Group, Inc. | 1,200 | 21,257 |
JTEKT Corp. | 1,400 | 19,380 |
Kansai Paint Co. Ltd. | 1,528 | 38,492 |
Kao Corp. | 1,863 | 109,681 |
KDDI Corp. | 5,218 | 137,546 |
Keikyu Corp. | 779 | 15,788 |
Keio Corp. | 323 | 13,330 |
Kikkoman Corp. | 509 | 15,639 |
Kintetsu Group Holdings Co. Ltd. | 506 | 18,817 |
Komatsu Ltd. | 3,246 | 91,917 |
Kose Corp. | 131 | 15,015 |
14 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Kubota Corp. | 4,494 | 81,749 |
Kuraray Co. Ltd. | 2,100 | 39,291 |
Kyocera Corp. | 1,213 | 75,286 |
Kyowa Hakko Kirin Co. Ltd. | 906 | 15,437 |
Lawson, Inc. | 73 | 4,834 |
Lion Corp. | 900 | 16,445 |
M3, Inc. | 700 | 19,958 |
Makita Corp. | 992 | 40,038 |
Mazda Motor Corp. | 3,106 | 47,584 |
MEIJI Holdings Co. Ltd. | 671 | 53,135 |
MINEBEA MITSUMI, Inc. | 1,000 | 15,662 |
MISUMI Group, Inc. | 900 | 23,721 |
Mitsubishi Chemical Holdings Corp. | 8,860 | 84,471 |
Mitsubishi Electric Corp. | 7,907 | 123,692 |
Mitsubishi Estate Co. Ltd. | 4,308 | 74,870 |
Mitsubishi Tanabe Pharma Corp. | 977 | 22,429 |
Mitsubishi UFJ Financial Group, Inc. | 43,957 | 285,801 |
Mitsui Fudosan Co. Ltd. | 3,000 | 65,049 |
Mizuho Financial Group, Inc. (a) | 77,073 | 135,112 |
Murata Manufacturing Co. Ltd. | 726 | 106,880 |
NEC Corp. | 731 | 19,827 |
NGK Insulators Ltd. | 900 | 16,863 |
NGK Spark Plug Co. Ltd. | 649 | 13,821 |
NH Foods Ltd. | 1,000 | 27,484 |
Nidec Corp. | 990 | 121,702 |
Nikon Corp. | 1,613 | 27,972 |
Nintendo Co. Ltd. | 429 | 158,187 |
Nippon Express Co. Ltd. | 595 | 38,763 |
Nippon Paint Holdings Co. Ltd. | 1,009 | 34,325 |
Nippon Telegraph & Telephone Corp. | 3,720 | 170,453 |
Nissan Motor Co. Ltd. | 6,985 | 69,198 |
Nisshin Seifun Group, Inc. | 2,086 | 34,919 |
Nissin Foods Holdings Co. Ltd. | 299 | 18,167 |
Nitori Holdings Co. Ltd. | 268 | 38,327 |
Nitto Denko Corp. | 959 | 79,991 |
Nomura Holdings, Inc. | 10,600 | 59,476 |
Nomura Research Institute Ltd. | 300 | 11,716 |
NSK Ltd. | 1,512 | 20,414 |
NTT Data Corp. | 2,035 | 21,777 |
NTT DoCoMo, Inc. | 3,597 | 82,216 |
Obayashi Corp. | 2,100 | 25,188 |
Obic Co. Ltd. | 200 | 12,592 |
Odakyu Electric Railway Co. Ltd. | 946 | 17,950 |
Oji Holdings Corp. | 6,454 | 34,849 |
Omron Corp. | 682 | 34,777 |
Ono Pharmaceutical Co. Ltd. (a) | 1,622 | 36,817 |
Oracle Corp. Japan | 26 | 2,044 |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Oriental Land Co. Ltd. | 797 | 60,763 |
ORIX Corp. | 4,167 | 67,273 |
Otsuka Corp. | 244 | 15,649 |
Otsuka Holdings Co. Ltd. | 1,520 | 60,438 |
Pola Orbis Holdings, Inc. | 300 | 9,071 |
Rakuten, Inc. | 3,249 | 35,472 |
Recruit Holdings Co. Ltd. | 5,379 | 116,474 |
Resona Holdings, Inc. | 7,333 | 37,702 |
Ricoh Co. Ltd. | 1,984 | 19,293 |
Rinnai Corp. | 130 | 11,136 |
Rohm Co. Ltd. | 276 | 23,683 |
Santen Pharmaceutical Co. Ltd. | 2,600 | 41,023 |
Seiko Epson Corp. | 1,559 | 37,753 |
Sekisui Chemical Co. Ltd. | 2,072 | 40,822 |
Sekisui House Ltd. | 1,770 | 29,835 |
Seven & I Holdings Co. Ltd. | 3,401 | 131,396 |
Sharp Corp. *(a) | 600 | 18,146 |
Shimadzu Corp. | 826 | 16,292 |
Shimano, Inc. | 272 | 36,236 |
Shimizu Corp. | 2,000 | 22,179 |
Shin-Etsu Chemical Co. Ltd. | 2,537 | 227,061 |
Shionogi & Co. Ltd. | 754 | 41,219 |
Shiseido Co. Ltd. | 1,641 | 65,676 |
Shizuoka Bank Ltd. (The) | 3,469 | 31,220 |
SMC Corp. | 272 | 96,114 |
SoftBank Group Corp. | 2,245 | 182,061 |
Sohgo Security Services Co. Ltd. | 400 | 18,361 |
Sompo Holdings, Inc. | 1,337 | 52,102 |
Sony Financial Holdings, Inc. | 232 | 3,807 |
Stanley Electric Co. Ltd. | 1,100 | 37,728 |
Start Today Co. Ltd. | 700 | 22,183 |
Subaru Corp. | 2,153 | 77,652 |
Sumitomo Chemical Co. Ltd. | 9,000 | 56,305 |
Sumitomo Dainippon Pharma Co. Ltd. (a) | 1,721 | 22,420 |
Sumitomo Electric Industries Ltd. | 2,773 | 45,333 |
Sumitomo Mitsui Financial Group, Inc. | 4,153 | 159,638 |
Sumitomo Mitsui Trust Holdings, Inc. | 1,016 | 36,701 |
Sysmex Corp. | 426 | 27,218 |
T&D Holdings, Inc. | 1,319 | 19,135 |
Taisho Pharmaceutical Holdings Co. Ltd. | 500 | 37,992 |
Taiyo Nippon Sanso Corp. | 1,900 | 22,517 |
Takeda Pharmaceutical Co. Ltd. | 2,159 | 119,384 |
TDK Corp. | 414 | 28,133 |
Terumo Corp. | 1,073 | 42,205 |
Tobu Railway Co. Ltd. | 1,218 | 33,460 |
Tokyo Electron Ltd. | 536 | 82,517 |
Tokyu Corp. | 2,632 | 37,276 |
16 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Toppan Printing Co. Ltd. | 1,650 | 16,368 |
Toray Industries, Inc. | 9,850 | 95,578 |
TOTO Ltd. | 564 | 23,769 |
Toyota Industries Corp. | 775 | 44,572 |
Toyota Motor Corp. | 9,435 | 562,594 |
Trend Micro, Inc. | 293 | 14,435 |
Tsuruha Holdings, Inc. | 100 | 11,957 |
Unicharm Corp. | 1,302 | 29,823 |
USS Co. Ltd. | 1,000 | 20,183 |
West Japan Railway Co. | 610 | 42,409 |
Yahoo Japan Corp. (a) | 4,700 | 22,339 |
Yakult Honsha Co. Ltd. | 586 | 42,170 |
Yamada Denki Co. Ltd. (a) | 6,123 | 33,481 |
Yamaha Corp. | 544 | 20,085 |
Yamaha Motor Co. Ltd. | 1,025 | 30,683 |
Yamato Holdings Co. Ltd. | 1,095 | 22,119 |
Yamazaki Baking Co. Ltd. | 800 | 14,440 |
8,712,188 | ||
Luxembourg - 0.3% | ||
B&M European Value Retail SA | 2,325 | 12,078 |
Eurofins Scientific SE | 31 | 19,614 |
Tenaris SA | 6,825 | 96,744 |
128,436 | ||
Netherlands - 4.1% | ||
Aegon NV | 7,405 | 43,164 |
AerCap Holdings NV * | 1,029 | 52,592 |
Akzo Nobel NV | 2,041 | 188,240 |
ASML Holding NV | 2,043 | 349,103 |
CNH Industrial NV | 3,731 | 44,792 |
ING Groep NV | 16,200 | 298,604 |
Koninklijke Ahold Delhaize NV | 6,429 | 120,124 |
Koninklijke DSM NV | 1,426 | 116,741 |
Koninklijke KPN NV | 13,252 | 45,478 |
Koninklijke Philips NV | 5,144 | 212,241 |
Koninklijke Vopak NV | 894 | 39,205 |
NN Group NV | 1,188 | 49,749 |
NXP Semiconductors NV * | 1,255 | 141,928 |
Philips Lighting NV (b) | 531 | 21,432 |
QIAGEN NV * | 669 | 21,147 |
Randstad Holding NV | 425 | 26,267 |
STMicroelectronics NV | 1,914 | 37,130 |
Wolters Kluwer NV | 1,625 | 75,100 |
1,883,037 | ||
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
New Zealand - 0.0% (c) | ||
Auckland International Airport Ltd. | 2,877 | 13,395 |
Norway - 0.6% | ||
DNB ASA | 2,934 | 59,238 |
Gjensidige Forsikring ASA | 1,120 | 19,509 |
Marine Harvest ASA | 1,725 | 34,112 |
Norsk Hydro ASA | 8,731 | 63,708 |
Orkla ASA | 2,230 | 22,884 |
Schibsted ASA, Class A | 393 | 10,132 |
Telenor ASA | 1,649 | 34,933 |
Yara International ASA | 1,200 | 53,809 |
298,325 | ||
Portugal - 0.2% | ||
EDP - Energias de Portugal SA | 19,278 | 72,691 |
Jeronimo Martins SGPS SA | 801 | 15,811 |
88,502 | ||
Singapore - 1.3% | ||
Broadcom Ltd. | 1,113 | 269,947 |
CapitaLand Ltd. | 11,941 | 31,594 |
City Developments Ltd. | 330 | 2,765 |
DBS Group Holdings Ltd. | 4,429 | 68,180 |
Global Logistic Properties Ltd. | 8,900 | 21,685 |
Oversea-Chinese Banking Corp. Ltd. | 7,471 | 61,608 |
Singapore Airlines Ltd. | 2,056 | 15,246 |
Singapore Exchange Ltd. | 3,647 | 19,899 |
Singapore Telecommunications Ltd. | 17,612 | 47,877 |
United Overseas Bank Ltd. | 3,059 | 53,122 |
591,923 | ||
South Africa - 0.2% | ||
Steinhoff International Holdings NV | 15,875 | 70,813 |
South Korea - 4.1% | ||
Amorepacific Corp. | 236 | 53,573 |
AMOREPACIFIC Group | 228 | 24,620 |
CJ CheilJedang Corp. | 49 | 15,172 |
Coway Co. Ltd. | 376 | 30,907 |
Hana Financial Group, Inc. | 1,434 | 59,492 |
Hankook Tire Co. Ltd. | 571 | 30,069 |
Hanon Systems | 1,526 | 16,830 |
Hanwha Life Insurance Co. Ltd. | 2,369 | 14,191 |
Hyundai Mobis Co. Ltd. | 420 | 88,182 |
Hyundai Motor Co. | 1,000 | 131,552 |
Industrial Bank of Korea | 1,327 | 16,729 |
18 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Kakao Corp. | 185 | 23,340 |
KB Financial Group, Inc. | 1,673 | 82,310 |
Kia Motors Corp. | 1,053 | 29,133 |
KT Corp. | 975 | 24,857 |
LG Chem Ltd. | 458 | 157,347 |
LG Corp. | 1,009 | 71,247 |
LG Display Co. Ltd. | 1,578 | 42,272 |
LG Electronics, Inc. | 665 | 48,027 |
LG Household & Health Care Ltd. | 83 | 67,829 |
Lotte Chemical Corp. | 163 | 53,969 |
NAVER Corp. | 166 | 108,304 |
NCSoft Corp. | 94 | 38,216 |
Samsung Biologics Co. Ltd. *(b) | 54 | 15,979 |
Samsung C&T Corp. | 452 | 53,436 |
Samsung Fire & Marine Insurance Co. Ltd. | 249 | 61,020 |
Samsung Life Insurance Co. Ltd. | 435 | 42,998 |
Samsung SDI Co. Ltd. | 262 | 45,585 |
Samsung SDS Co. Ltd. | 184 | 27,172 |
Shinhan Financial Group Co. Ltd. | 2,042 | 90,253 |
SK Hynix, Inc. | 3,721 | 271,374 |
SK Telecom Co. Ltd. | 171 | 38,155 |
Woori Bank | 2,235 | 34,892 |
1,909,032 | ||
Spain - 3.0% | ||
Abertis Infraestructuras SA | 2,039 | 41,222 |
Acciona SA | 93 | 7,487 |
Aena SME SA (b) | 205 | 37,049 |
Amadeus IT Group SA, Class A | 1,206 | 78,437 |
Banco Bilbao Vizcaya Argentaria SA | 16,254 | 145,317 |
Banco de Sabadell SA | 16,213 | 33,894 |
Banco Santander SA | 40,964 | 286,537 |
Bankia SA | 827 | 3,993 |
Bankinter SA | 1,732 | 16,404 |
CaixaBank SA | 6,925 | 34,760 |
Enagas SA | 2,630 | 74,108 |
Grifols SA | 1,568 | 45,759 |
Iberdrola SA | 32,899 | 255,810 |
Industria de Diseno Textil SA | 3,360 | 126,673 |
Mapfre SA | 5,102 | 16,625 |
Mediaset Espana Comunicacion SA | 143 | 1,616 |
Red Electrica Corp. SA | 2,565 | 53,954 |
Siemens Gamesa Renewable Energy SA | 672 | 8,780 |
Telefonica SA | 10,465 | 113,724 |
1,382,149 | ||
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 19
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Sweden - 2.6% | ||
Alfa Laval AB | 744 | 18,198 |
Assa Abloy AB, Class B | 2,921 | 66,877 |
Atlas Copco AB, Class A | 3,215 | 136,388 |
Autoliv, Inc. | 240 | 29,664 |
Boliden AB | 1,288 | 43,688 |
Electrolux AB, Series B | 607 | 20,660 |
Hennes & Mauritz AB, Class B | 2,761 | 71,720 |
Hexagon AB, Class B | 743 | 36,859 |
Husqvarna AB, Class B | 1,515 | 15,602 |
ICA Gruppen AB | 534 | 20,089 |
Industrivarden AB, Class C | 1,155 | 29,300 |
Kinnevik AB, Class B | 648 | 21,169 |
Nordea Bank AB | 8,712 | 118,285 |
Sandvik AB | 4,242 | 73,262 |
Securitas AB, Class B | 1,044 | 17,505 |
Skandinaviska Enskilda Banken AB, Class A | 4,164 | 54,936 |
Skanska AB, Class B | 338 | 7,838 |
SKF AB, Class B | 875 | 19,103 |
Svenska Cellulosa AB SCA, Class B | 2,650 | 22,463 |
Svenska Handelsbanken AB, Class A | 5,265 | 79,545 |
Swedbank AB, Class A | 2,776 | 76,872 |
Tele2 AB, Class B | 260 | 2,979 |
Telefonaktiebolaget LM Ericsson, Class B | 7,070 | 40,759 |
Telia Co. AB | 4,011 | 18,914 |
Trelleborg AB, Class B | 877 | 21,982 |
Volvo AB, Class B | 7,400 | 142,879 |
1,207,536 | ||
Switzerland - 7.9% | ||
ABB Ltd. | 6,119 | 151,311 |
Adecco Group AG | 565 | 44,016 |
Baloise Holding AG | 211 | 33,413 |
Banque Cantonale Vaudoise | 3 | 2,231 |
Barry Callebaut AG | 14 | 21,433 |
Chocoladefabriken Lindt & Sprungli AG PC | 9 | 51,350 |
Cie Financiere Richemont SA | 1,536 | 140,599 |
Clariant AG | 1,437 | 34,445 |
Coca-Cola HBC AG | 640 | 21,670 |
Dufry AG * | 93 | 14,783 |
Ferguson plc | 630 | 41,334 |
Flughafen Zuerich AG | 80 | 18,105 |
Geberit AG | 143 | 67,699 |
Givaudan SA | 49 | 106,672 |
Helvetia Holding AG | 25 | 13,587 |
Julius Baer Group Ltd. | 425 | 25,220 |
Kuehne & Nagel International AG | 234 | 43,360 |
20 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Logitech International SA | 464 | 16,952 |
Lonza Group AG | 169 | 44,407 |
Nestle SA | 11,358 | 953,405 |
Novartis AG | 6,992 | 599,738 |
Partners Group Holding AG | 26 | 17,651 |
Roche Holding AG | 2,308 | 589,971 |
Schindler Holding AG | 92 | 19,813 |
Schindler Holding AG PC | 156 | 34,475 |
SGS SA | 18 | 43,223 |
Sika AG | 13 | 96,794 |
Sonova Holding AG | 219 | 37,172 |
Straumann Holding AG | 29 | 18,650 |
Swatch Group AG (The), Bearer Shares | 169 | 70,425 |
Swiss Life Holding AG | 82 | 28,908 |
Swiss Prime Site AG | 166 | 14,923 |
Swiss Re AG | 743 | 67,349 |
Swisscom AG | 70 | 35,889 |
Temenos Group AG | 171 | 17,466 |
Vifor Pharma AG | 131 | 15,451 |
Zurich Insurance Group AG | 388 | 118,565 |
3,672,455 | ||
Taiwan - 2.4% | ||
Advanced Semiconductor Engineering, Inc. | 15,808 | 19,391 |
Advantech Co. Ltd. | 1,555 | 11,101 |
Asustek Computer, Inc. | 3,769 | 31,060 |
Cathay Financial Holding Co. Ltd. | 26,952 | 42,951 |
China Steel Corp. | 54,631 | 43,919 |
Chunghwa Telecom Co. Ltd. | 15,111 | 52,056 |
Delta Electronics, Inc. | 8,319 | 42,922 |
E.Sun Financial Holding Co. Ltd. | 29,775 | 17,795 |
Far EasTone Telecommunications Co. Ltd. | 5,073 | 12,069 |
First Financial Holding Co. Ltd. | 27,199 | 17,469 |
Fubon Financial Holding Co. Ltd. | 12,000 | 18,753 |
Hon Hai Precision Industry Co. Ltd. | 42,000 | 145,862 |
Hua Nan Financial Holdings Co. Ltd. | 8,832 | 4,797 |
MediaTek, Inc. | 6,883 | 64,768 |
Mega Financial Holding Co. Ltd. | 25,668 | 20,091 |
Pegatron Corp. | 5,000 | 13,019 |
President Chain Store Corp. | 3,828 | 32,309 |
Quanta Computer, Inc. | 8,398 | 19,375 |
Siliconware Precision Industries Co. Ltd. | 12,188 | 19,498 |
Taiwan Cooperative Financial Holding Co. Ltd. | 24,664 | 12,743 |
Taiwan Mobile Co. Ltd. | 6,748 | 24,051 |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 21
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 58,240 | 417,141 |
United Microelectronics Corp. | 39,518 | 19,799 |
Yuanta Financial Holding Co. Ltd. | 12,616 | 5,440 |
1,108,379 | ||
United Kingdom - 13.4% | ||
3i Group plc | 2,978 | 36,460 |
Admiral Group plc | 556 | 13,548 |
Ashtead Group plc | 1,687 | 40,697 |
ASOS plc * | 41 | 3,275 |
Associated British Foods plc | 1,819 | 77,874 |
AstraZeneca plc | 4,766 | 316,946 |
Auto Trader Group plc (b) | 5,281 | 27,783 |
Aviva plc | 14,061 | 97,048 |
Barratt Developments plc | 4,124 | 33,974 |
Bellway plc | 625 | 27,647 |
Berkeley Group Holdings plc | 429 | 21,380 |
Booker Group plc | 7,138 | 19,618 |
BT Group plc | 20,480 | 77,896 |
Bunzl plc | 1,341 | 40,739 |
Burberry Group plc | 1,605 | 37,896 |
Capita plc | 3,267 | 24,719 |
Coca-Cola European Partners plc | 1,230 | 51,193 |
Compass Group plc | 6,035 | 128,048 |
ConvaTec Group plc (b) | 4,234 | 15,558 |
Croda International plc | 1,009 | 51,306 |
Direct Line Insurance Group plc | 3,934 | 19,179 |
DS Smith plc | 8,358 | 55,254 |
easyJet plc | 1,669 | 27,236 |
GKN plc | 6,006 | 27,829 |
GlaxoSmithKline plc | 17,177 | 343,379 |
Halma plc | 1,243 | 18,651 |
Hargreaves Lansdown plc | 807 | 16,013 |
IHS Markit Ltd. * | 1,244 | 54,835 |
Inchcape plc | 1,367 | 15,811 |
Informa plc | 4,961 | 44,707 |
Inmarsat plc | 1,378 | 11,893 |
InterContinental Hotels Group plc | 561 | 29,677 |
International Consolidated Airlines Group SA | 5,841 | 46,444 |
Intertek Group plc | 906 | 60,560 |
Investec plc | 4,688 | 34,271 |
ITV plc | 14,755 | 34,570 |
J Sainsbury plc | 9,883 | 31,510 |
Janus Henderson Group plc | 249 | 8,675 |
Johnson Matthey plc | 1,868 | 85,657 |
Just Eat plc * | 1,752 | 15,693 |
Kingfisher plc | 8,876 | 35,537 |
22 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Legal & General Group plc | 22,029 | 76,782 |
Lloyds Banking Group plc | 220,854 | 200,703 |
London Stock Exchange Group plc | 1,160 | 59,561 |
Marks & Spencer Group plc | 7,046 | 33,361 |
Melrose Industries plc | 8,763 | 25,000 |
Merlin Entertainments plc (b) | 3,054 | 18,226 |
Micro Focus International plc | 1,394 | 44,619 |
Mondi plc | 3,514 | 94,474 |
National Grid plc | 21,526 | 266,611 |
Next plc | 520 | 36,656 |
NMC Health plc | 585 | 21,642 |
Old Mutual plc | 16,018 | 41,726 |
Pearson plc | 3,727 | 30,564 |
Pennon Group plc | 3,647 | 38,940 |
Persimmon plc | 970 | 33,569 |
Provident Financial plc (a) | 376 | 4,187 |
Prudential plc | 9,831 | 235,261 |
RELX plc | 8,912 | 195,585 |
Rentokil Initial plc | 10,488 | 42,259 |
Rightmove plc | 266 | 14,425 |
Royal Mail plc | 4,268 | 21,976 |
RPC Group plc | 3,668 | 48,710 |
RSA Insurance Group plc | 3,542 | 29,593 |
Sage Group plc (The) | 4,662 | 43,659 |
Schroders plc | 756 | 34,010 |
Severn Trent plc | 1,955 | 56,946 |
Sky plc * | 4,281 | 52,519 |
Smiths Group plc | 1,604 | 33,924 |
Spirax-Sarco Engineering plc | 462 | 34,229 |
SSE plc | 6,639 | 124,230 |
St James's Place plc | 2,170 | 33,352 |
Standard Chartered plc * | 9,702 | 96,468 |
Standard Life Aberdeen plc | 12,902 | 74,998 |
Subsea 7 SA | 3,724 | 61,282 |
Tate & Lyle plc | 1,738 | 15,091 |
Taylor Wimpey plc | 9,845 | 25,803 |
TechnipFMC plc * | 7,235 | 202,001 |
Tesco plc * | 40,006 | 100,325 |
Travis Perkins plc | 812 | 15,755 |
Unilever plc | 15,054 | 871,315 |
United Utilities Group plc | 4,321 | 49,477 |
Vodafone Group plc | 84,622 | 236,957 |
Weir Group plc (The) | 1,298 | 34,165 |
Whitbread plc | 696 | 35,132 |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 23
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
WM Morrison Supermarkets plc | 14,155 | 44,403 |
Worldpay Group plc (b) | 8,890 | 48,523 |
WPP plc | 4,892 | 90,776 |
6,190,756 | ||
United States - 0.1% | ||
Flex Ltd. * | 1,369 | 22,684 |
Total Common Stocks (Cost $41,187,800) | 45,862,051 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 0.7% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.12%, 10/2/17 | 300,269 | 300,269 |
Total Time Deposit (Cost $300,269) | 300,269 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.6% | ||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.92% | 295,184 | 295,184 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $295,184) | 295,184 | |
TOTAL INVESTMENTS (Cost $41,783,253) - 100.5% | 46,457,504 | |
Other assets and liabilities, net - (0.5%) | (235,742) | |
NET ASSETS - 100.0% | 46,221,762 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
* Non-income producing security. | ||
(a) Security, or portion of security, is on loan. Total value of securities on loan is $280,300 as of September 30, 2017. | ||
(b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $346,068, which represents 0.8% of the net assets of the Fund as of September 30, 2017. | ||
(c) Amount is less than 0.05%. |
24 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
At September 30, 2017, the concentration of the Fund’s investments in the various sectors, determined as a percentage of total | |
investments, was as follows: | |
% OF TOTAL INVESTMENTS* | |
ECONOMIC SECTORS | |
Financials | 23.1% |
Industrials | 14.1% |
Consumer Discretionary | 11.8% |
Information Technology | 10.4% |
Consumer Staples | 10.1% |
Health Care | 9.9% |
Materials | 8.3% |
Telecommunication Services | 4.6% |
Utilities | 3.3% |
Energy | 2.0% |
Real Estate | 1.8% |
Time Deposit | 0.6% |
Total | 100.0% |
* Does not include Short Term Investment of Cash Collateral for Securities Loaned. | |
See notes to financial statements. |
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 25
CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2017
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $41,783,253) - including $280,300 of securities on loan | $46,457,504 | ||
Cash denominated in foreign currency, at value (cost $108,768) | 108,325 | ||
Receivable for capital shares sold | 81,214 | ||
Dividends and interest receivable | 93,005 | ||
Securities lending income receivable | 387 | ||
Tax reclaims receivable | 17,628 | ||
Receivable from affiliates | 56,850 | ||
Directors' deferred compensation plan | 4,076 | ||
Total assets | 46,818,989 | ||
LIABILITIES | |||
Payable for investments purchased | 211,277 | ||
Payable for capital shares redeemed | 25 | ||
Deposits for securities loaned | 295,184 | ||
Payable to affiliates: | |||
Investment advisory fee | 5,595 | ||
Distribution and service fees | 1,503 | ||
Sub-transfer agency fee | 167 | ||
Directors' deferred compensation plan | 4,076 | ||
Accrued expenses | 79,400 | ||
Total liabilities | 597,227 | ||
NET ASSETS | $46,221,762 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(250,000,000 shares of $0.01 par value authorized) | $41,169,934 | ||
Accumulated undistributed net investment income | 639,641 | ||
Accumulated net realized loss | (262,482) | ||
Net unrealized appreciation (depreciation) | 4,674,669 | ||
Total | $46,221,762 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $5,968,223 and 258,212 shares outstanding) | $23.11 | ||
Class C (based on net assets of $429,306 and 18,756 shares outstanding) | $22.89 | ||
Class I (based on net assets of $30,814,856 and 1,321,659 shares outstanding) | $23.32 | ||
Class Y (based on net assets of $9,009,377 and 389,993 shares outstanding) | $23.10 | ||
OFFERING PRICE PER SHARE* | |||
Class A (100/95.25 of net asset value per share) | $24.26 | ||
* On sales of $50,000 or more, the offering price of Class A shares is reduced. | |||
See notes to financial statements. |
26 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $83,351) | $752,247 | ||
Interest income | 563 | ||
Securities lending income, net | 5,443 | ||
Total investment income | 758,253 | ||
EXPENSES | |||
Investment advisory fee | 38,662 | ||
Administrative fee | 30,930 | ||
Distribution and service fees: | |||
Class A | 9,983 | ||
Class C | 2,554 | ||
Directors' fees and expenses | 2,107 | ||
Custodian fees | 255,040 | ||
Transfer agency fees and expenses: | |||
Class A | 10,148 | ||
Class C | 2,770 | ||
Class I | 2,423 | ||
Class Y | 8,606 | ||
Accounting fees | 12,506 | ||
Professional fees | 24,492 | ||
Registration fees: | |||
Class A | 18,649 | ||
Class C | 15,225 | ||
Class I | 20,926 | ||
Class Y | 19,745 | ||
Reports to shareholders | 7,962 | ||
Miscellaneous | 44,020 | ||
Total expenses | 526,748 | ||
Waiver and/or reimbursement of expenses by affiliates | (433,228) | ||
Reimbursement of expenses-other | (490) | ||
Net expenses | 93,030 | ||
Net investment income (loss) | 665,223 | ||
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 27
CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2017 - CONT’D
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities - unaffiliated issuers | (174,545) | ||
Foreign currency transactions | (297) | ||
(174,842) | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities - unaffiliated issuers | 4,494,008 | ||
Foreign currency | 607 | ||
4,494,615 | |||
Net realized and unrealized gain (loss) | 4,319,773 | ||
Net increase (decrease) in net assets resulting from operations | $4,984,996 | ||
See notes to financial statements. |
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CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended September 30, 2017 | Period Ended September 30, 2016(a) | |||||
Operations: | |||||||
Net investment income (loss) | $665,223 | $197,238 | |||||
Net realized gain (loss) | (174,842) | (8,074) | |||||
Net change in unrealized appreciation (depreciation) | 4,494,615 | 180,054 | |||||
Net increase (decrease) in net assets resulting from operations | 4,984,996 | 369,218 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (83,082) | (1,985) | |||||
Class C shares | (4,826) | — | |||||
Class I shares | (47,539) | (3,329) | |||||
Class Y shares | (160,208) | (1,418) | |||||
Total distributions to shareholders | (295,655) | (6,732) | |||||
Capital share transactions: | |||||||
Class A shares | 1,683,167 | 3,646,185 | |||||
Class C shares | 170,293 | 219,550 | |||||
Class I shares | 25,132,536 | 2,521,692 | |||||
Class Y shares | 2,422,866 | 5,373,646 | |||||
Net increase in net assets from capital share transactions | 29,408,862 | 11,761,073 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 34,098,203 | 12,123,559 | |||||
NET ASSETS | |||||||
Beginning of year | 12,123,559 | — | |||||
End of year (including accumulated undistributed net investment income of $639,641 and $267,149, respectively) | $46,221,762 | $12,123,559 | |||||
(a) From October 30, 2015 inception. | |||||||
See notes to financial statements. |
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CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS A SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $20.03 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.41 | 0.43 | |||||
Net realized and unrealized gain (loss) | 3.10 | (0.38) | |||||
Total from investment operations | 3.51 | 0.05 | |||||
Distributions from: | |||||||
Net investment income | (0.43) | (0.02) | |||||
Total distributions | (0.43) | (0.02) | |||||
Total increase (decrease) in net asset value | 3.08 | 0.03 | |||||
Net asset value, ending | $23.11 | $20.03 | |||||
Total return (c) | 17.98 | % | 0.25 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 3.00 | % | 5.53 | % | (e) | ||
Net expenses | 0.62 | % | 0.62 | % | (e) | ||
Net investment income | 1.96 | % | 2.47 | % | (e) | ||
Portfolio turnover | 26 | % | 35 | % | |||
Net assets, ending (in thousands) | $5,968 | $3,714 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
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CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS C SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $19.92 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.25 | 0.28 | |||||
Net realized and unrealized gain (loss) | 3.08 | (0.36) | |||||
Total from investment operations | 3.33 | (0.08) | |||||
Distributions from: | |||||||
Net investment income | (0.36) | — | |||||
Total distributions | (0.36) | — | |||||
Total increase (decrease) in net asset value | 2.97 | (0.08) | |||||
Net asset value, ending | $22.89 | $19.92 | |||||
Total return (c) | 17.08 | % | (0.40 | %) | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 10.12 | % | 20.68 | % | (e) | ||
Net expenses | 1.37 | % | 1.37 | % | (e) | ||
Net investment income | 1.18 | % | 1.61 | % | (e) | ||
Portfolio turnover | 26 | % | 35 | % | |||
Net assets, ending (in thousands) | $429 | $223 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
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CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS I SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $20.08 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.63 | 0.51 | |||||
Net realized and unrealized gain (loss) | 3.00 | (0.40) | |||||
Total from investment operations | 3.63 | 0.11 | |||||
Distributions from: | |||||||
Net investment income | (0.39) | (0.03) | |||||
Total distributions | (0.39) | (0.03) | |||||
Total increase (decrease) in net asset value | 3.24 | 0.08 | |||||
Net asset value, ending | $23.32 | $20.08 | |||||
Total return (c) | 18.42 | % | 0.56 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 1.43 | % | 4.81 | % | (e) | ||
Net expenses | 0.27 | % | 0.27 | % | (e) | ||
Net investment income | 2.85 | % | 2.90 | % | (e) | ||
Portfolio turnover | 26 | % | 35 | % | |||
Net assets, ending (in thousands) | $30,815 | $2,571 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
32 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND
FINANCIAL HIGHLIGHTS
Year Ended September 30, | Period Ended September 30, | ||||||
CLASS Y SHARES | 2017 | 2016(a) | |||||
Net asset value, beginning | $20.07 | $20.00 | |||||
Income from investment operations: | |||||||
Net investment income (b) | 0.49 | 0.55 | |||||
Net realized and unrealized gain (loss) | 3.07 | (0.45) | |||||
Total from investment operations | 3.56 | 0.10 | |||||
Distributions from: | |||||||
Net investment income | (0.53) | (0.03) | |||||
Total distributions | (0.53) | (0.03) | |||||
Total increase (decrease) in net asset value | 3.03 | 0.07 | |||||
Net asset value, ending | $23.10 | $20.07 | |||||
Total return (c) | 18.28 | % | 0.49 | % | |||
Ratios to average net assets: (d) | |||||||
Total expenses | 2.50 | % | 5.65 | % | (e) | ||
Net expenses | 0.37 | % | 0.37 | % | (e) | ||
Net investment income | 2.32 | % | 3.14 | % | (e) | ||
Portfolio turnover | 26 | % | 35 | % | |||
Net assets, ending (in thousands) | $9,009 | $5,615 | |||||
(a) From October 30, 2015 inception. | |||||||
(b) Computed using average shares outstanding. | |||||||
(c) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. Total return is not annualized for periods of less than one year. | |||||||
(d) Total expenses do not reflect amounts reimbursed and/or waived by the Adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||
(e) Annualized. | |||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert Responsible Index Series, Inc. (the “Corporation”) was organized as a Maryland corporation on April 7, 2000, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation operates five (5) separate series, each with its own investment objective(s) and strategies, which are accounted for separately. This report contains the financial statements and financial highlights of Calvert International Responsible Index Fund (formerly, Calvert Developed Markets Ex-U.S. Responsible Index Fund) (the “Fund”). The Corporation is authorized to issue two billion shares of common stock, $0.01 par value per share, of which 250 million shares have been allocated to the Fund.
The Fund is diversified. The investment objective of the Fund is to seek to track the performance of the Calvert International Responsible Index, which measures the investment return of stocks issued by companies that are located in countries (other than the U.S.) with developed markets.
The Fund offers four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.25% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within one year of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within one year of purchase. Class C shares are only available for purchase through a financial intermediary. Class I and Class Y shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the “Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of securities and financial instruments of the Fund to the Fund’s investment adviser (the “Adviser”) and has provided these Procedures to govern the Adviser in its valuation duties.
The Adviser has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated. The Valuation Committee meets on a regular basis to review investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market
34 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Fund’s Board has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Such securities are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
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The following table summarizes the market value of the Fund’s holdings as of September 30, 2017, based on the inputs used to value them:
INVESTMENTS IN SECURITIES - ASSETS | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||||
Common Stocks | |||||||||||||
Austria | $43,191 | $96,624 | $— | $139,815 | |||||||||
Belgium | 29,961 | 467,405 | — | 497,366 | |||||||||
Canada | 3,515,087 | — | — | 3,515,087 | |||||||||
Finland | 38,655 | 496,396 | — | 535,051 | |||||||||
France | 20,796 | 4,052,974 | — | 4,073,770 | |||||||||
Ireland | 205,374 | 456,995 | — | 662,369 | |||||||||
Israel | 23,442 | 91,551 | — | 114,993 | |||||||||
Netherlands | 215,952 | 1,667,085 | — | 1,883,037 | |||||||||
Norway | 34,112 | 264,213 | — | 298,325 | |||||||||
Singapore | 269,947 | 321,976 | — | 591,923 | |||||||||
South Korea | 67,829 | 1,841,203 | — | 1,909,032 | |||||||||
Sweden | 29,664 | 1,177,872 | — | 1,207,536 | |||||||||
Switzerland | 66,273 | 3,606,182 | — | 3,672,455 | |||||||||
United Kingdom | 376,862 | 5,813,894 | — | 6,190,756 | |||||||||
United States | 22,684 | — | — | 22,684 | |||||||||
Other Countries* | — | 20,547,852 | — | 20,547,852 | |||||||||
Total Common Stocks | $4,959,829 | $40,902,222 | ** | $— | $45,862,051 | ||||||||
Time Deposit | — | 300,269 | — | 300,269 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 295,184 | — | — | 295,184 | |||||||||
TOTAL | $5,255,013 | $41,202,491 | $— | $46,457,504 | |||||||||
* For further breakdown of equity securities by country, please refer to the Schedule of Investments. | |||||||||||||
** 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. |
At September 30, 2017, the value of investments transferred between Level 1 and Level 2 during the year then ended was not significant.
Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Share Class Accounting: Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses common to the classes are also allocated to each class in proportion to their relative net assets. Expenses arising in connection with a specific class are charged directly to that class.
Foreign Currency Transactions: The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income, and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined
36 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE B — RELATED PARTY TRANSACTIONS
Effective December 31, 2016, Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), became the investment adviser to the Fund following a transaction between CRM and certain of its affiliates and Calvert Investment Management, Inc. (CIM) and certain of its affiliates, pursuant to which CRM acquired substantially all of the business assets of CIM after satisfying various closing conditions, including shareholder approval of a new investment advisory agreement between the Fund and CRM (the "Transaction").
For its services pursuant to the new investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.15% of the Fund’s average daily net assets. Prior to December 31, 2016, CIM, a direct subsidiary of Calvert Investments, Inc. and an indirect subsidiary of Ameritas Holding Company, provided investment advisory services to the Fund. For its services, CIM received a fee at the same annual rate as the Fund’s investment advisory agreement with CRM. For the year ended September 30, 2017, the investment advisory fee amounted to $38,662, of which $34,152 was paid to CRM and $4,510 was paid to CIM.
CRM (CIM for the period October 1, 2016 through December 30, 2016) has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.62%, 1.37%, 0.27% and 0.37% for Class A, Class C, Class I and Class Y, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2019. For the year ended September 30, 2017, CRM waived or reimbursed expenses of $300,356 and CIM waived or reimbursed expenses of $101,942.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class Y and is payable monthly. CRM has agreed to contractually waive the administrative fee through January 31, 2018. Prior to December 31, 2016, Calvert Investment Administrative Services, Inc. (CIAS), an affiliate of CIM, provided administrative services to the Fund at an annual rate of 0.12% of the Fund’s average daily net assets, payable monthly. In addition, CIAS contractually waived the administrative fee for the period October 1, 2016 through December 30, 2016. For the year ended September 30, 2017, CRM was paid administrative fees of $27,322, all of which were waived and CIAS was paid administrative fees of $3,608, all of which were waived.
As of December 31, 2016, the Fund has in effect new distribution plans for Class A shares (Class A Plan) and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act, which were approved by the Board and shareholders of the Fund. Pursuant to the Class A Plan and Class C Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution fee of 0.25% and 0.75% per annum for Class A and Class C, respectively, and a service fee of 0.25% per annum for Class C of its average daily net assets attributable to such class for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Prior to December 31, 2016, the Fund had in effect a distribution plan for Class A shares and Class C shares which permitted the Fund to pay certain expenses associated with the distribution and servicing of its Class A and Class C shares not to exceed 0.50% for Class A and 1.00% for Class C of the Fund’s average daily net assets with respect to such class. The fees were paid to Calvert
www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT 37
Investment Distributors, Inc. (CID), an affiliate of CIM and the Fund’s former distributor and principal underwriter. Distribution and service fees paid or accrued for the year ended September 30, 2017 amounted to $9,983 or 0.25% per annum of Class A’s average daily net assets, of which $7,669 was paid to EVD and $2,314 was paid to CID, and $2,554 or 1.00% per annum of Class C’s average daily net assets, of which $1,973 was paid to EVD and $581 was paid to CID.
The Fund was informed that EVD and CID received $2,566 and $371, respectively, as their portion of the sales charge on sales of Class A shares for the year ended September 30, 2017. The Fund was also informed that EVD and CID received $243 and $243, respectively, of contingent deferred sales charges paid by Fund shareholders for the same period.
Effective December 31, 2016, EVM provides sub-transfer agency services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For its services, EVM receives an annual fee of $8 per shareholder account. Prior to December 31, 2016, Calvert Investment Services, Inc. (CIS), an affiliate of CIM, acted as the shareholder servicing agent for the Fund and received a fee at the same rate as is paid to EVM. For the year ended September 30, 2017, sub-transfer agency fees paid to EVM were $1,329 and shareholder servicing fees paid to CIS were $98. Such fees are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Prior to December 31, 2016, each Director of the Fund who was not an employee of CIM or its affiliates received a fee of $3,000 for each Board meeting attended plus an annual fee of $52,000. Committee members received $500 for each Committee meeting attended plus an annual fee of $2,500. Committee chairs received an additional annual retainer ranging from $6,000 to $10,000. Eligible Directors may participate in a Deferred Compensation Plan (the “Plan”). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert Funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert Funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM and, prior to December 31, 2016, of CIM or their affiliates are/were paid by CRM and CIM, respectively. In addition, in connection with the Transaction, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by CIM and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the year ended September 30, 2017, the Fund’s allocated portion of such expense and reimbursement was $490, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year ended September 30, 2017, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $36,148,818 and $6,603,480, respectively.
The tax character of distributions declared for the years ended September 30, 2017 and September 30, 2016 was as follows:
Year Ended September 30, | Period Ended September 30, | ||||||
2017 | 2016 (a) | ||||||
Distributions declared from: | |||||||
Ordinary income | $295,655 | $6,732 | |||||
(a) From October 30, 2015 inception. |
During the year ended September 30, 2017, accumulated undistributed net realized loss was increased by $2,924 and accumulated undistributed net investment income was increased by $2,924 due to differences between book and tax accounting, primarily for foreign currency gain (loss) and investments in passive foreign investment companies (PFICs). These reclassifications had no effect on the net assets or net asset value per share of the Fund.
38 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
As of September 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ordinary income | $707,226 | ||
Post-October and deferred capital losses | ($68,105) | ||
Net unrealized appreciation (depreciation) | $4,412,707 |
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in the Statement of Assets and Liabilities are primarily due to temporary book-tax differences that will reverse in a subsequent period. These differences are primarily due to wash sales, foreign currency transactions and investments in PFICs.
At September 30, 2017, the Fund, for federal income tax purposes, had deferred capital losses of $33,710 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2017, $33,710 are short-term.
Additionally, at September 30, 2017, the Fund had a capital loss of $34,395 attributable to security transactions incurred after October 31, 2016 that it has elected to defer. This net capital loss is treated as arising on the first day of the Fund’s taxable year ending September 30, 2018.
The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2017, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $42,045,198 | ||
Gross unrealized appreciation | $4,845,212 | ||
Gross unrealized depreciation | (432,906) | ||
Net unrealized appreciation (depreciation) | $4,412,306 |
NOTE D — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”) that is managed by an affiliate of the custodian. The U.S. Government Fund is a registered money market fund that invests in a variety of high-quality, U.S. dollar denominated instruments. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At September 30, 2017, the total value of securities on loan was $280,300 and the total value of collateral received was $295,184.
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The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2017.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $295,184 | $— | $— | $— | $295,184 | ||||
Total | $295,184 |
The carrying amount of the liability for deposits for securities loaned at September 30, 2017 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note A) at September 30, 2017.
NOTE E — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and SSB. Under the agreement, which expires on August 7, 2018, SSB provides an unsecured line of credit facility in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Calvert Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no loans outstanding pursuant to this line of credit at September 30, 2017. Average borrowings and the weighted average interest rate (excluding fees) for the year ended September 30, 2017 were $6,816 and 2.09%, respectively.
40 www.calvert.com CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND ANNUAL REPORT
NOTE F — CAPITAL SHARES
Transactions in capital shares for the years ended September 30, 2017 and September 30, 2016 were as follows:
Year Ended September 30, 2017 | Period Ended September 30, 2016 (a) | |||||||||
Shares | Amount | Shares | Amount | |||||||
Class A | ||||||||||
Shares sold | 190,314 | $4,046,473 | 186,599 | $3,667,456 | ||||||
Reinvestment of distributions | 4,263 | 81,457 | 100 | 1,985 | ||||||
Shares redeemed | (121,822) | (2,444,763) | (1,242) | (23,256) | ||||||
Net increase | 72,755 | $1,683,167 | 185,457 | $3,646,185 | ||||||
Class C | ||||||||||
Shares sold | 12,399 | $266,656 | 11,201 | $219,550 | ||||||
Reinvestment of distributions | 253 | 4,826 | — | — | ||||||
Shares redeemed | (5,097) | (101,189) | — | — | ||||||
Net increase | 7,555 | $170,293 | 11,201 | $219,550 | ||||||
Class I | ||||||||||
Shares sold | 1,366,993 | $28,762,562 | 127,871 | $2,518,363 | ||||||
Reinvestment of distributions | 2,472 | 47,539 | 167 | 3,329 | ||||||
Shares redeemed | (175,844) | (3,677,565) | — | — | ||||||
Net increase | 1,193,621 | $25,132,536 | 128,038 | $2,521,692 | ||||||
Class Y | ||||||||||
Shares sold | 196,477 | $4,230,805 | 282,431 | $5,425,902 | ||||||
Reinvestment of distributions | 8,401 | 160,208 | 71 | 1,418 | ||||||
Shares redeemed | (94,660) | (1,968,147) | (2,727) | (53,674) | ||||||
Net increase | 110,218 | $2,422,866 | 279,775 | $5,373,646 | ||||||
(a) From October 30, 2015 inception. |
At September 30, 2017, Calvert Aggressive Allocation Fund, Calvert Conservative Allocation Fund and Calvert Moderate Allocation Fund owned in aggregate 58.7% of the value of the outstanding shares of the Fund.
The Board approved the termination of the Fund’s Class C and Class Y shares. Effective December 8, 2017, Class C shares of the Fund will convert to Class A shares and Class Y shares will convert to Class I shares at net asset value. Thereafter, Class C shares and Class Y shares will be terminated.
NOTE G — RISKS ASSOCIATED WITH FOREIGN INVESTMENTS
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
NOTE H — NAME CHANGE
Effective November 6, 2017, the name of Calvert International Responsible Index Fund was changed from Calvert Developed Markets Ex-U.S. Responsible Index Fund.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Directors of Calvert Responsible Index Series, Inc. and Shareholders of Calvert International Responsible Index Fund:
We have audited the accompanying statement of assets and liabilities of the Calvert International Responsible Index Fund (formerly, Calvert Developed Markets Ex-U.S. Responsible Index Fund) (the “Fund”), a series of Calvert Responsible Index Series, Inc., including the schedule of investments, as of September 30, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian and brokers or by performing other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert International Responsible Index Fund as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the two-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 22, 2017
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FEDERAL TAX
The Form 1099-DIV you receive in February 2018 will show the tax status of all distributions paid to your account in calendar year 2017. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals and the foreign tax credit.
Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Fund designates approximately $651,230, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.
Foreign Tax Credit. For the fiscal year ended September 30, 2017, the Fund paid foreign taxes of $44,046 and recognized foreign source income of $838,368.
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MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Responsible Index Series, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 37 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director & President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Compliance Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Social Investment Foundation. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2000 | Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock(2) 1950 | Chair & Director | 2016 | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez(2) 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2000 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Ariel Funds (3) (asset management) (through December 31, 2011); Calvert Social Investment Foundation; Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (now Carr Riggs & Ingram) (public accounting firm), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (14) (asset management). |
Joy V. Jones 1950 | Director | 2000 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited (restaurant) (dissolved September 2016); Palm Management Restaurant Corporation. |
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Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Anthony A. Williams(2) 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present) (economic development non-profit organization); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (now Dentons) (law firm) (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (now Gartner Inc.) (global research and Advisory company) (January 2010 to January 2012); William H. Bloomberg Lecturer in Public Management at the Harvard Kennedy School (since 2009). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force (non-profit organization); Chesapeake Bay Foundation (independent conservation organization); Catholic University of America; Urban Institute (research organization). |
Principal Officers who are not Directors | |||
Name and Year of Birth | Position with Corporation | Position Start Date | Principal Occupation During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 37 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma(3) 1960 | Secretary and Vice President | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
James F. Kirchner(3) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 37 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 176 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Funds because of his positions with each Fund’s Adviser and certain affiliates.
(2) Mmes. Bullock and Dominguez and Mr. Williams began serving as Directors effective December 23, 2016.
(3) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Fund includes additional information about the Directors and officers of the Fund and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
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IMPORTANT NOTICES
Privacy. The Calvert organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, the Calvert organization may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities within the Calvert organization: the Calvert family of funds and Calvert Research and Management. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT INTERNATIONAL RESPONSIBLE INDEX FUND | CALVERT FUNDS | |||
Service for Existing Account Shareholders: 800-368-2745 Brokers: 800-368-2746 Regular Mail Calvert Funds c/o BFDS, P.O. Box 219544 Kansas City, MO 64121-9544 Overnight Mail Calvert Funds c/o BFDS, 330 West 9th Street Kansas City, MO 64105 Web Site www.calvert.com Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 | Municipal Funds Responsible Municipal Income Fund Taxable Bond Funds Bond Fund Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Duration Income Fund High Yield Bond Fund Green Bond Fund Absolute Return Bond Fund Floating-Rate Advantage Fund Balanced and Asset Allocation Funds Balanced Fund Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Equity Fund US Large-Cap Core Responsible Index Fund US Large-Cap Value Responsible Index Fund US Large-Cap Growth Responsible Index Fund US Mid-Cap Core Responsible Index Fund International Responsible Index Fund Mid-Cap Fund International Equity Fund Small-Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Emerging Markets Equity Fund |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert funds at 800-368-2745. Printed on recycled paper. | |
24195 9.30.17 |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has amended the code of ethics as described in Form N-CSR during the period covered by this report to make immaterial changes. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant's Board of Directors has determined that Miles D. Harper III, an “independent” Director serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Directors in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services
(a) –(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended September 30, 2016 and September 30, 2017 by KPMG for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by KPMG during such periods.
Fiscal Years Ended | 9/30/16 | %* | 9/30/17 | %* | ||||||
Audit Fees | $97,625 | 0 | % | $98,315 | 0 | % | ||||
Audit-Related Fees | $0 | 0 | % | $0 | 0 | % | ||||
Tax Fees | $23,500 | 0 | % | $22,500 | 0 | % | ||||
All Other Fees | $0 | 0 | % | $0 | 0 | % | ||||
Total | $121,125 | 0 | % | $120,815 | 0 | % |
*Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve)
(e) The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment adviser in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant:
Fiscal Year ended 9/30/16 | Fiscal Year ended 9/30/17 | ||
$ | %* | $ | %* |
$0 | 0% | $67,500 | 0% |
*Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve)
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits
(a)(1) Registrant’s Code of Ethics – Not applicable (please see Item 2).
(a)(2)(i) Treasurer’s Section 302 certification.
(a)(2)(ii) President’s Section 302 certification.
(b) Combined Section 906 certification.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT RESPONSIBLE INDEX SERIES, INC.
By: /s/ John H. Streur
John H. Streur
President
Date: November 22, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ James F. Kirchner
James F. Kirchner
Treasurer
Date: November 22, 2017
By: /s/ John H. Streur
John H. Streur
President
Date: November 22, 2017