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Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments (Unaudited)
Common Stocks — 99.7% |
Security | Shares | Value | |
Aerospace & Defense — 0.6% | |||
Axon Enterprise, Inc.(1) | 1,422 | $ 174,238 | |
Curtiss-Wright Corp. | 939 | 109,253 | |
HEICO Corp. | 1,035 | 137,034 | |
Hexcel Corp. | 1,908 | 92,519 | |
Mercury Systems, Inc.(1) | 1,209 | 106,464 | |
Teledyne Technologies, Inc.(1) | 839 | 328,871 | |
$ 948,379 | |||
Air Freight & Logistics — 0.6% | |||
C.H. Robinson Worldwide, Inc. | 2,898 | $272,035 | |
Expeditors International of Washington, Inc. | 3,586 | 341,064 | |
XPO Logistics, Inc.(1) | 1,983 | 236,374 | |
$849,473 | |||
Airlines — 1.0% | |||
Alaska Air Group, Inc. | 2,569 | $133,588 | |
American Airlines Group, Inc.(2) | 12,447 | 196,289 | |
Delta Air Lines, Inc. | 13,550 | 544,846 | |
JetBlue Airways Corp.(1) | 5,607 | 81,526 | |
Southwest Airlines Co. | 12,525 | 583,790 | |
$1,540,039 | |||
Auto Components — 1.0% | |||
Aptiv PLC | 5,655 | $736,790 | |
Autoliv, Inc. | 1,903 | 175,266 | |
BorgWarner, Inc. | 5,066 | 195,750 | |
Gentex Corp. | 5,176 | 175,622 | |
Lear Corp. | 1,301 | 206,898 | |
$1,490,326 | |||
Automobiles — 0.6% | |||
Ford Motor Co. | 80,872 | $710,865 | |
Harley-Davidson, Inc. | 3,186 | 116,926 | |
Thor Industries, Inc.(2) | 1,189 | 110,565 | |
$938,356 | |||
Banks — 3.5% | |||
Bank OZK | 2,554 | $79,864 | |
BOK Financial Corp. | 689 | 47,183 | |
Citizens Financial Group, Inc. | 8,878 | 317,477 | |
Comerica, Inc. | 2,931 | 163,726 | |
Commerce Bancshares, Inc. | 2,441 | 160,374 | |
Community Bank System, Inc. | 1,076 | 67,046 | |
Cullen/Frost Bankers, Inc. | 1,191 | 103,891 |
Security | Shares | Value | |
Banks (continued) | |||
East West Bancorp, Inc. | 2,863 | $ 145,183 | |
Fifth Third Bancorp | 14,683 | 404,810 | |
First Citizens Bancshares, Inc., Class A | 118 | 67,764 | |
First Financial Bankshares, Inc. | 2,515 | 90,980 | |
First Horizon Corp. | 11,770 | 150,185 | |
First Republic Bank | 3,555 | 522,336 | |
Glacier Bancorp, Inc. | 1,916 | 88,155 | |
Huntington Bancshares, Inc. | 20,643 | 260,721 | |
KeyCorp | 20,291 | 332,975 | |
M&T Bank Corp. | 2,662 | 338,873 | |
People's United Financial, Inc. | 9,188 | 118,801 | |
Pinnacle Financial Partners, Inc. | 1,492 | 96,085 | |
Popular, Inc. | 1,627 | 91,633 | |
Prosperity Bancshares, Inc. | 1,883 | 130,605 | |
Regions Financial Corp. | 19,984 | 322,142 | |
Signature Bank | 1,101 | 148,954 | |
SVB Financial Group(1) | 1,068 | 414,202 | |
Synovus Financial Corp. | 3,038 | 98,340 | |
TCF Financial Corp. | 3,003 | 111,171 | |
United Bankshares, Inc. | 2,477 | 80,255 | |
Valley National Bancorp | 8,715 | 84,971 | |
Western Alliance Bancorp | 2,037 | 122,118 | |
Zions Bancorp NA | 3,492 | 151,692 | |
$5,312,512 | |||
Biotechnology — 4.1% | |||
ACADIA Pharmaceuticals, Inc.(1) | 2,305 | $123,225 | |
Acceleron Pharma, Inc.(1) | 1,051 | 134,465 | |
Agios Pharmaceuticals, Inc.(1) | 1,270 | 55,029 | |
Alexion Pharmaceuticals, Inc.(1) | 4,547 | 710,423 | |
Allakos, Inc.(1)(2) | 605 | 84,700 | |
Allogene Therapeutics, Inc.(1) | 1,583 | 39,955 | |
Alnylam Pharmaceuticals, Inc.(1) | 2,374 | 308,549 | |
Amicus Therapeutics, Inc.(1) | 5,507 | 127,157 | |
Arena Pharmaceuticals, Inc.(1) | 1,125 | 86,434 | |
Arrowhead Pharmaceuticals, Inc.(1) | 1,989 | 152,616 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 1,106 | 94,795 | |
BioMarin Pharmaceutical, Inc.(1) | 3,725 | 326,645 | |
Bluebird Bio, Inc.(1) | 1,485 | 64,256 | |
Blueprint Medicines Corp.(1) | 1,153 | 129,309 | |
Bridgebio Pharma, Inc.(1)(2) | 1,611 | 114,558 | |
ChemoCentryx, Inc.(1) | 1,119 | 69,288 | |
Deciphera Pharmaceuticals, Inc.(1) | 872 | 49,765 | |
Denali Therapeutics, Inc.(1) | 1,582 | 132,508 | |
Emergent BioSolutions, Inc.(1) | 900 | 80,640 | |
Exact Sciences Corp.(1)(2) | 3,220 | 426,618 | |
Exelixis, Inc.(1) | 6,433 | 129,110 |
1
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Biotechnology (continued) | |||
FibroGen, Inc.(1)(2) | 1,673 | $ 62,052 | |
Global Blood Therapeutics, Inc.(1) | 1,218 | 52,752 | |
Halozyme Therapeutics, Inc.(1)(2) | 2,654 | 113,352 | |
Incyte Corp.(1) | 3,759 | 326,958 | |
Ionis Pharmaceuticals, Inc.(1) | 2,704 | 152,884 | |
Iovance Biotherapeutics, Inc.(1) | 2,898 | 134,467 | |
Mirati Therapeutics, Inc.(1) | 962 | 211,294 | |
Moderna, Inc.(1) | 6,468 | 675,712 | |
Natera, Inc.(1) | 1,633 | 162,516 | |
Neurocrine Biosciences, Inc.(1) | 1,942 | 186,141 | |
PTC Therapeutics, Inc.(1) | 1,367 | 83,428 | |
Sarepta Therapeutics, Inc.(1) | 1,548 | 263,919 | |
Ultragenyx Pharmaceutical, Inc.(1) | 1,278 | 176,914 | |
United Therapeutics Corp.(1) | 885 | 134,334 | |
Vir Biotechnology, Inc.(1)(2) | 900 | 24,102 | |
$6,200,870 | |||
Building Products — 2.4% | |||
AAON, Inc. | 901 | $60,034 | |
Advanced Drainage Systems, Inc. | 1,123 | 93,860 | |
Allegion PLC | 2,185 | 254,290 | |
Armstrong World Industries, Inc. | 895 | 66,579 | |
Carrier Global Corp. | 17,380 | 655,574 | |
Fortune Brands Home & Security, Inc. | 2,810 | 240,873 | |
Johnson Controls International PLC | 15,108 | 703,882 | |
Masco Corp. | 5,140 | 282,340 | |
Owens Corning | 3,325 | 251,902 | |
Trane Technologies PLC | 4,970 | 721,445 | |
Trex Co., Inc.(1) | 2,281 | 190,965 | |
UFP Industries, Inc. | 1,258 | 69,882 | |
$3,591,626 | |||
Capital Markets — 3.3% | |||
Affiliated Managers Group, Inc. | 906 | $92,140 | |
Ameriprise Financial, Inc. | 2,444 | 474,943 | |
Ares Management Corp., Class A | 1,983 | 93,300 | |
Cboe Global Markets, Inc. | 2,236 | 208,216 | |
Cohen & Steers, Inc. | 563 | 41,831 | |
FactSet Research Systems, Inc. | 958 | 318,535 | |
Franklin Resources, Inc. | 6,023 | 150,515 | |
Hamilton Lane, Inc., Class A | 788 | 61,503 | |
Houlihan Lokey, Inc. | 1,144 | 76,911 | |
Interactive Brokers Group, Inc., Class A | 1,672 | 101,858 | |
Invesco, Ltd. | 7,516 | 131,004 | |
KKR & Co., Inc. | 11,324 | 458,509 | |
Lazard, Ltd., Class A | 2,227 | 94,202 |
Security | Shares | Value | |
Capital Markets (continued) | |||
LPL Financial Holdings, Inc. | 1,665 | $ 173,526 | |
MarketAxess Holdings, Inc. | 769 | 438,761 | |
Morningstar, Inc. | 582 | 134,774 | |
Nasdaq, Inc. | 2,366 | 314,063 | |
Northern Trust Corp. | 4,273 | 397,987 | |
Owl Rock Capital Corp. | 6,998 | 88,595 | |
Raymond James Financial, Inc. | 2,496 | 238,792 | |
SEI Investments Co. | 2,584 | 148,502 | |
State Street Corp. | 7,233 | 526,418 | |
Stifel Financial Corp. | 2,176 | 109,801 | |
Virtu Financial, Inc., Class A | 2,080 | 52,354 | |
$4,927,040 | |||
Chemicals — 1.8% | |||
Ashland Global Holdings, Inc. | 1,473 | $116,662 | |
Axalta Coating Systems, Ltd.(1) | 5,082 | 145,091 | |
Celanese Corp. | 2,696 | 350,318 | |
Eastman Chemical Co. | 3,108 | 311,670 | |
FMC Corp. | 2,961 | 340,308 | |
Huntsman Corp. | 4,534 | 113,985 | |
International Flavors & Fragrances, Inc.(2) | 2,457 | 267,420 | |
Mosaic Co. (The) | 7,923 | 182,308 | |
PPG Industries, Inc. | 4,909 | 707,976 | |
Quaker Chemical Corp.(2) | 291 | 73,736 | |
WR Grace & Co. | 1,389 | 76,145 | |
$2,685,619 | |||
Commercial Services & Supplies — 1.2% | |||
ADT, Inc. | 4,491 | $35,254 | |
Cintas Corp. | 1,751 | 618,908 | |
Copart, Inc.(1) | 4,188 | 532,923 | |
IAA, Inc.(1) | 2,666 | 173,237 | |
MSA Safety, Inc. | 866 | 129,372 | |
Tetra Tech, Inc. | 1,775 | 205,510 | |
UniFirst Corp. | 286 | 60,543 | |
$1,755,747 | |||
Communications Equipment — 1.1% | |||
Arista Networks, Inc.(1) | 1,134 | $329,506 | |
Ciena Corp.(1) | 3,217 | 170,019 | |
F5 Networks, Inc.(1) | 1,261 | 221,860 | |
Juniper Networks, Inc. | 7,045 | 158,583 | |
Lumentum Holdings, Inc.(1) | 1,590 | 150,732 | |
Motorola Solutions, Inc. | 3,562 | 605,754 | |
$1,636,454 |
2
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Construction & Engineering — 0.6% | |||
AECOM(1) | 4,780 | $ 237,948 | |
EMCOR Group, Inc. | 2,243 | 205,145 | |
MasTec, Inc.(1) | 2,383 | 162,473 | |
Quanta Services, Inc. | 4,045 | 291,321 | |
$ 896,887 | |||
Construction Materials — 0.6% | |||
Martin Marietta Materials, Inc. | 1,493 | $ 423,967 | |
Vulcan Materials Co. | 3,092 | 458,575 | |
$882,542 | |||
Consumer Finance — 1.1% | |||
Ally Financial, Inc. | 7,664 | $273,298 | |
Credit Acceptance Corp.(1)(2) | 276 | 95,535 | |
Discover Financial Services | 6,427 | 581,836 | |
FirstCash, Inc. | 842 | 58,974 | |
LendingTree, Inc.(1)(2) | 232 | 63,519 | |
OneMain Holdings, Inc. | 1,706 | 82,161 | |
Santander Consumer USA Holdings, Inc. | 1,228 | 27,041 | |
SLM Corp. | 7,967 | 98,711 | |
Synchrony Financial | 12,045 | 418,082 | |
$1,699,157 | |||
Containers & Packaging — 1.7% | |||
AptarGroup, Inc. | 1,464 | $200,407 | |
Avery Dennison Corp. | 1,908 | 295,950 | |
Ball Corp. | 6,883 | 641,358 | |
Berry Global Group, Inc.(1) | 3,028 | 170,143 | |
Crown Holdings, Inc.(1) | 3,041 | 304,708 | |
Graphic Packaging Holding Co. | 6,093 | 103,215 | |
Packaging Corp. of America | 2,150 | 296,507 | |
Silgan Holdings, Inc. | 1,901 | 70,489 | |
Sonoco Products Co. | 2,350 | 139,238 | |
WestRock Co. | 6,045 | 263,139 | |
$2,485,154 | |||
Distributors — 0.5% | |||
Genuine Parts Co. | 2,785 | $279,698 | |
LKQ Corp.(1) | 5,882 | 207,282 | |
Pool Corp. | 771 | 287,197 | |
$774,177 | |||
Diversified Consumer Services — 0.8% | |||
Bright Horizons Family Solutions, Inc.(1) | 1,235 | $213,643 | |
Chegg, Inc.(1)(2) | 3,220 | 290,863 | |
frontdoor, Inc.(1) | 2,241 | 112,521 |
Security | Shares | Value | |
Diversified Consumer Services (continued) | |||
Grand Canyon Education, Inc.(1) | 1,127 | $ 104,935 | |
H&R Block, Inc. | 5,139 | 81,504 | |
Service Corp. International | 4,353 | 213,732 | |
Strategic Education, Inc. | 650 | 61,964 | |
Terminix Global Holdings, Inc.(1) | 3,258 | 166,191 | |
$ 1,245,353 | |||
Diversified Financial Services — 0.4% | |||
Cannae Holdings, Inc.(1) | 1,762 | $ 78,004 | |
Equitable Holdings, Inc. | 8,427 | 215,647 | |
Jefferies Financial Group, Inc. | 4,982 | 122,557 | |
Voya Financial, Inc. | 2,676 | 157,375 | |
$573,583 | |||
Diversified Telecommunication Services — 0.2% | |||
CenturyLink, Inc. | 22,469 | $219,073 | |
Cogent Communications Holdings, Inc. | 807 | 48,315 | |
Iridium Communications, Inc.(1) | 2,455 | 96,543 | |
$363,931 | |||
Electric Utilities — 0.5% | |||
Alliant Energy Corp. | 6,362 | $327,834 | |
Avangrid, Inc. | 2,226 | 101,172 | |
Hawaiian Electric Industries, Inc. | 4,550 | 161,024 | |
Portland General Electric Co. | 3,780 | 161,671 | |
$751,701 | |||
Electrical Equipment — 1.6% | |||
Acuity Brands, Inc. | 846 | $102,442 | |
AMETEK, Inc. | 4,968 | 600,830 | |
Generac Holdings, Inc.(1) | 1,467 | 333,610 | |
Hubbell, Inc. | 1,228 | 192,538 | |
nVent Electric PLC | 3,697 | 86,103 | |
Regal Beloit Corp. | 881 | 108,196 | |
Rockwell Automation, Inc. | 2,451 | 614,735 | |
Sensata Technologies Holding PLC(1) | 3,662 | 193,134 | |
Vertiv Holdings Co. | 5,468 | 102,088 | |
$2,333,676 | |||
Electronic Equipment, Instruments & Components — 2.2% | |||
Arrow Electronics, Inc.(1) | 1,549 | $150,718 | |
Avnet, Inc. | 2,109 | 74,047 | |
Coherent, Inc.(1) | 494 | 74,110 | |
Corning, Inc. | 16,079 | 578,844 | |
Dolby Laboratories, Inc., Class A | 1,383 | 134,331 | |
II-VI, Inc.(1) | 2,341 | 177,822 |
3
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
IPG Photonics Corp.(1) | 750 | $ 167,842 | |
Jabil, Inc. | 2,797 | 118,956 | |
Keysight Technologies, Inc.(1) | 4,121 | 544,343 | |
Littelfuse, Inc. | 552 | 140,572 | |
National Instruments Corp. | 2,524 | 110,905 | |
Novanta, Inc.(1) | 782 | 92,448 | |
SYNNEX Corp. | 769 | 62,627 | |
Trimble, Inc.(1) | 5,897 | 393,743 | |
Zebra Technologies Corp., Class A(1) | 1,109 | 426,222 | |
$3,247,530 | |||
Energy Equipment & Services — 0.2% | |||
Baker Hughes Co. | 17,142 | $357,411 | |
$357,411 | |||
Entertainment — 1.3% | |||
Liberty Formula One Group, Series C(1) | 5,047 | $215,002 | |
Live Nation Entertainment, Inc.(1) | 3,695 | 271,509 | |
Madison Square Garden Sports Corp., Class A(1) | 395 | 72,720 | |
Roku, Inc.(1) | 2,174 | 721,811 | |
Take-Two Interactive Software, Inc.(1) | 2,372 | 492,878 | |
Zynga, Inc., Class A(1) | 20,868 | 205,967 | |
$1,979,887 | |||
Food & Staples Retailing — 0.8% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 2,800 | $104,384 | |
Casey's General Stores, Inc. | 872 | 155,757 | |
Grocery Outlet Holding Corp.(1) | 2,013 | 79,010 | |
Kroger Co. (The) | 16,894 | 536,553 | |
Performance Food Group Co.(1) | 3,066 | 145,972 | |
Sprouts Farmers Market, Inc.(1) | 2,630 | 52,863 | |
US Foods Holding Corp.(1) | 4,986 | 166,084 | |
$1,240,623 | |||
Food Products — 2.5% | |||
Beyond Meat, Inc.(1)(2) | 1,173 | $146,625 | |
Bunge, Ltd. | 3,161 | 207,298 | |
Campbell Soup Co. | 4,786 | 231,403 | |
Conagra Brands, Inc. | 11,171 | 405,060 | |
Darling Ingredients, Inc.(1) | 3,631 | 209,436 | |
Flowers Foods, Inc. | 4,436 | 100,387 | |
Freshpet, Inc.(1) | 939 | 133,329 | |
Hain Celestial Group, Inc. (The)(1) | 1,765 | 70,865 | |
Hormel Foods Corp. | 6,567 | 306,088 | |
Ingredion, Inc. | 1,488 | 117,061 | |
JM Smucker Co. (The) | 2,615 | 302,294 |
Security | Shares | Value | |
Food Products (continued) | |||
Kellogg Co. | 5,804 | $ 361,183 | |
Lamb Weston Holdings, Inc. | 3,388 | 266,771 | |
Lancaster Colony Corp. | 427 | 78,453 | |
McCormick & Co., Inc. | 5,716 | 546,450 | |
Post Holdings, Inc.(1) | 1,455 | 146,969 | |
TreeHouse Foods, Inc.(1) | 1,271 | 54,005 | |
$ 3,683,677 | |||
Gas Utilities — 0.5% | |||
New Jersey Resources Corp. | 3,866 | $137,436 | |
ONE Gas, Inc. | 2,174 | 166,898 | |
Southwest Gas Holdings, Inc. | 2,352 | 142,884 | |
Spire, Inc. | 2,203 | 141,080 | |
UGI Corp. | 6,623 | 231,540 | |
$819,838 | |||
Health Care Equipment & Supplies — 5.4% | |||
ABIOMED, Inc.(1) | 907 | $294,049 | |
Align Technology, Inc.(1) | 1,507 | 805,311 | |
Cooper Cos., Inc. (The) | 1,092 | 396,745 | |
DENTSPLY SIRONA, Inc. | 4,493 | 235,254 | |
Envista Holdings Corp.(1) | 3,280 | 110,634 | |
Globus Medical, Inc., Class A(1) | 1,495 | 97,504 | |
Haemonetics Corp.(1) | 1,005 | 119,344 | |
Hill-Rom Holdings, Inc. | 1,330 | 130,300 | |
Hologic, Inc.(1) | 5,276 | 384,251 | |
ICU Medical, Inc.(1) | 426 | 91,373 | |
IDEXX Laboratories, Inc.(1) | 1,707 | 853,278 | |
Insulet Corp.(1) | 1,343 | 343,311 | |
Integra LifeSciences Holdings Corp.(1) | 1,451 | 94,199 | |
iRhythm Technologies, Inc.(1) | 575 | 136,396 | |
Masimo Corp.(1) | 1,056 | 283,409 | |
Neogen Corp.(1) | 1,044 | 82,789 | |
Nevro Corp.(1) | 659 | 114,073 | |
Novocure, Ltd.(1) | 1,727 | 298,840 | |
NuVasive, Inc.(1) | 1,081 | 60,893 | |
Penumbra, Inc.(1) | 732 | 128,100 | |
Quidel Corp.(1) | 784 | 140,846 | |
ResMed, Inc. | 2,954 | 627,902 | |
STERIS PLC | 1,758 | 333,211 | |
Tandem Diabetes Care, Inc.(1) | 1,261 | 120,653 | |
Teleflex, Inc. | 955 | 393,049 | |
Varian Medical Systems, Inc.(1) | 1,886 | 330,069 | |
West Pharmaceutical Services, Inc. | 1,524 | 431,764 | |
Zimmer Biomet Holdings, Inc. | 4,321 | 665,823 | |
$8,103,370 |
4
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Health Care Providers & Services — 1.7% | |||
Amedisys, Inc.(1) | 675 | $ 197,998 | |
Chemed Corp. | 314 | 167,240 | |
DaVita, Inc.(1) | 1,716 | 201,458 | |
Encompass Health Corp. | 1,987 | 164,305 | |
Guardant Health, Inc.(1) | 1,775 | 228,762 | |
HealthEquity, Inc.(1) | 1,644 | 114,603 | |
Henry Schein, Inc.(1) | 2,922 | 195,365 | |
Laboratory Corp. of America Holdings(1) | 2,011 | 409,339 | |
LHC Group, Inc.(1) | 638 | 136,098 | |
Molina Healthcare, Inc.(1) | 1,225 | 260,533 | |
Premier, Inc., Class A | 2,371 | 83,222 | |
Quest Diagnostics, Inc. | 2,764 | 329,386 | |
$2,488,309 | |||
Health Care Technology — 0.8% | |||
Cerner Corp. | 6,340 | $497,563 | |
HMS Holdings Corp.(1) | 2,293 | 84,268 | |
Inovalon Holdings, Inc., Class A(1) | 1,832 | 33,287 | |
Omnicell, Inc.(1) | 852 | 102,257 | |
Teladoc Health, Inc.(1)(2) | 2,631 | 526,095 | |
$1,243,470 | |||
Hotels, Restaurants & Leisure — 2.6% | |||
Aramark | 5,935 | $228,379 | |
Choice Hotels International, Inc. | 921 | 98,298 | |
Darden Restaurants, Inc. | 3,054 | 363,792 | |
Domino's Pizza, Inc. | 908 | 348,182 | |
Hilton Worldwide Holdings, Inc. | 5,859 | 651,872 | |
Hyatt Hotels Corp., Class A | 905 | 67,196 | |
Marriott Vacations Worldwide Corp. | 1,044 | 143,258 | |
Planet Fitness, Inc., Class A(1) | 1,996 | 154,949 | |
Royal Caribbean Cruises, Ltd. | 4,039 | 301,673 | |
Texas Roadhouse, Inc. | 1,581 | 123,571 | |
Vail Resorts, Inc. | 1,002 | 279,518 | |
Wendy's Co. (The) | 3,882 | 85,093 | |
Wingstop, Inc. | 641 | 84,965 | |
Wyndham Destinations, Inc. | 2,038 | 91,425 | |
Wyndham Hotels & Resorts, Inc. | 2,358 | 140,160 | |
Yum! Brands, Inc. | 6,261 | 679,694 | |
$3,842,025 | |||
Household Durables — 1.1% | |||
Helen of Troy, Ltd.(1) | 523 | $116,205 | |
KB Home | 3,856 | 129,253 | |
Leggett & Platt, Inc. | 2,541 | 112,566 | |
Mohawk Industries, Inc.(1) | 1,177 | 165,898 |
Security | Shares | Value | |
Household Durables (continued) | |||
Newell Brands, Inc. | 8,319 | $ 176,613 | |
NVR, Inc.(1) | 88 | 359,028 | |
Tempur Sealy International, Inc.(1) | 4,193 | 113,211 | |
TopBuild Corp.(1) | 1,162 | 213,901 | |
Whirlpool Corp. | 1,181 | 213,159 | |
$ 1,599,834 | |||
Household Products — 0.7% | |||
Church & Dwight Co., Inc. | 4,892 | $ 426,729 | |
Clorox Co. (The) | 2,527 | 510,252 | |
Energizer Holdings, Inc. | 1,146 | 48,338 | |
$985,319 | |||
Independent Power and Renewable Electricity Producers — 0.5% | |||
AES Corp. (The) | 16,761 | $393,883 | |
Clearway Energy, Inc., Class C | 4,591 | 146,591 | |
Ormat Technologies, Inc. | 1,895 | 171,081 | |
$711,555 | |||
Industrial Conglomerates — 0.2% | |||
Carlisle Cos., Inc. | 1,697 | $265,037 | |
$265,037 | |||
Insurance — 4.7% | |||
Aflac, Inc. | 13,369 | $594,519 | |
Alleghany Corp. | 291 | 175,674 | |
American Financial Group, Inc. | 1,644 | 144,047 | |
American International Group, Inc. | 18,046 | 683,222 | |
Arch Capital Group, Ltd.(1) | 8,243 | 297,325 | |
Assurant, Inc. | 1,250 | 170,275 | |
Axis Capital Holdings, Ltd. | 1,664 | 83,849 | |
Brighthouse Financial, Inc.(1) | 1,847 | 66,871 | |
Brown & Brown, Inc. | 6,026 | 285,693 | |
eHealth, Inc.(1) | 614 | 43,355 | |
Enstar Group, Ltd.(1) | 227 | 46,510 | |
Erie Indemnity Co., Class A | 505 | 124,028 | |
Everest Re Group, Ltd. | 814 | 190,549 | |
First American Financial Corp. | 2,289 | 118,181 | |
Globe Life, Inc. | 2,153 | 204,449 | |
Hanover Insurance Group, Inc. (The) | 760 | 88,859 | |
Hartford Financial Services Group, Inc. (The) | 7,410 | 362,942 | |
Kemper Corp. | 1,297 | 99,648 | |
Kinsale Capital Group, Inc. | 425 | 85,055 | |
Lincoln National Corp. | 3,812 | 191,782 | |
Primerica, Inc. | 780 | 104,465 | |
Principal Financial Group, Inc. | 5,703 | 282,926 |
5
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Insurance (continued) | |||
Prudential Financial, Inc. | 8,313 | $ 648,996 | |
Reinsurance Group of America, Inc. | 1,429 | 165,621 | |
RenaissanceRe Holdings, Ltd. | 1,047 | 173,614 | |
RLI Corp. | 825 | 85,924 | |
Selective Insurance Group, Inc. | 1,162 | 77,831 | |
Travelers Cos., Inc. (The) | 5,225 | 733,433 | |
Unum Group | 3,980 | 91,301 | |
White Mountains Insurance Group, Ltd. | 67 | 67,044 | |
Willis Towers Watson PLC | 2,789 | 587,586 | |
$7,075,574 | |||
Interactive Media & Services — 1.1% | |||
ANGI Homeservices, Inc., Class A(1)(2) | 979 | $12,918 | |
CarGurus, Inc.(1) | 1,556 | 49,372 | |
IAC/InterActiveCorp.(1) | 1,577 | 298,605 | |
Match Group, Inc.(1) | 5,124 | 774,697 | |
Zillow Group, Inc., Class C(1)(2) | 4,304 | 558,659 | |
$1,694,251 | |||
Internet & Direct Marketing Retail — 1.0% | |||
Chewy, Inc., Class A(1)(2) | 1,439 | $129,352 | |
Etsy, Inc.(1) | 2,483 | 441,750 | |
Expedia Group, Inc. | 2,806 | 371,514 | |
GrubHub, Inc.(1) | 1,984 | 147,352 | |
Qurate Retail, Inc., Series A | 7,492 | 82,187 | |
Stamps.com, Inc.(1) | 347 | 68,078 | |
Wayfair, Inc., Class A(1)(2) | 1,311 | 296,037 | |
$1,536,270 | |||
IT Services — 4.1% | |||
Akamai Technologies, Inc.(1) | 3,319 | $348,462 | |
Amdocs, Ltd. | 2,783 | 197,398 | |
Black Knight, Inc.(1) | 3,136 | 277,066 | |
Booz Allen Hamilton Holding Corp., Class A | 3,430 | 299,027 | |
Broadridge Financial Solutions, Inc. | 2,389 | 365,995 | |
Concentrix Corp.(1) | 1,275 | 125,842 | |
DXC Technology Co. | 5,466 | 140,749 | |
EPAM Systems, Inc.(1) | 1,122 | 402,069 | |
Fastly, Inc., Class A(1)(2) | 1,937 | 169,236 | |
Gartner, Inc.(1) | 2,174 | 348,253 | |
Genpact, Ltd. | 3,703 | 153,156 | |
GoDaddy, Inc., Class A(1) | 3,457 | 286,758 | |
Jack Henry & Associates, Inc. | 1,564 | 253,352 | |
LiveRamp Holdings, Inc.(1) | 1,254 | 91,780 | |
ManTech International Corp. / VA, Class A | 584 | 51,941 | |
MAXIMUS, Inc. | 1,503 | 110,005 |
Security | Shares | Value | |
IT Services (continued) | |||
MongoDB, Inc.(1)(2) | 1,149 | $ 412,537 | |
Okta, Inc.(1) | 2,529 | 643,024 | |
Paychex, Inc. | 6,770 | 630,829 | |
Perspecta, Inc. | 2,753 | 66,292 | |
Science Applications International Corp. | 1,259 | 119,152 | |
Switch, Inc., Class A | 3,936 | 64,432 | |
VeriSign, Inc.(1) | 2,125 | 459,850 | |
WEX, Inc.(1) | 921 | 187,451 | |
$6,204,656 | |||
Leisure Products — 0.9% | |||
Brunswick Corp. | 1,881 | $143,407 | |
Hasbro, Inc. | 2,468 | 230,857 | |
Mattel, Inc.(1) | 7,195 | 125,553 | |
Peloton Interactive, Inc., Class A(1) | 4,921 | 746,614 | |
YETI Holdings, Inc.(1) | 1,533 | 104,965 | |
$1,351,396 | |||
Life Sciences Tools & Services — 2.2% | |||
10X Genomics, Inc., Class A(1) | 1,271 | $179,973 | |
Adaptive Biotechnologies Corp.(1) | 1,497 | 88,518 | |
Avantor, Inc.(1) | 11,626 | 327,272 | |
Bio-Rad Laboratories, Inc., Class A(1) | 446 | 259,991 | |
Bio-Techne Corp. | 784 | 248,959 | |
Bruker Corp. | 1,990 | 107,719 | |
Charles River Laboratories International, Inc.(1) | 1,008 | 251,859 | |
Medpace Holdings, Inc.(1) | 596 | 82,963 | |
Mettler-Toledo International, Inc.(1) | 482 | 549,326 | |
NeoGenomics, Inc.(1)(2) | 2,192 | 118,017 | |
PerkinElmer, Inc. | 2,299 | 329,906 | |
PRA Health Sciences, Inc.(1) | 1,347 | 168,968 | |
Repligen Corp.(1) | 1,006 | 192,780 | |
Syneos Health, Inc.(1) | 1,345 | 91,635 | |
Waters Corp.(1) | 1,278 | 316,203 | |
$3,314,089 | |||
Machinery — 6.1% | |||
AGCO Corp. | 1,438 | $148,243 | |
Allison Transmission Holdings, Inc. | 2,484 | 107,135 | |
CNH Industrial NV(1) | 23,471 | 301,368 | |
Colfax Corp.(1) | 2,349 | 89,826 | |
Crane Co. | 1,114 | 86,513 | |
Cummins, Inc. | 2,995 | 680,165 | |
Donaldson Co., Inc. | 2,925 | 163,449 | |
Dover Corp. | 3,321 | 419,276 | |
Flowserve Corp. | 3,054 | 112,540 |
6
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Machinery (continued) | |||
Fortive Corp. | 7,276 | $ 515,286 | |
Gates Industrial Corp. PLC(1) | 1,385 | 17,673 | |
Graco, Inc. | 3,900 | 282,165 | |
IDEX Corp. | 1,773 | 353,182 | |
Ingersoll Rand, Inc.(1) | 8,799 | 400,882 | |
ITT, Inc. | 2,004 | 154,348 | |
Lincoln Electric Holdings, Inc. | 1,326 | 154,148 | |
Middleby Corp.(1) | 1,265 | 163,084 | |
Nordson Corp. | 1,277 | 256,613 | |
Oshkosh Corp. | 1,564 | 134,614 | |
Otis Worldwide Corp. | 9,155 | 618,420 | |
PACCAR, Inc. | 7,263 | 626,652 | |
Parker-Hannifin Corp. | 2,670 | 727,335 | |
Pentair PLC | 3,775 | 200,415 | |
Proto Labs, Inc.(1) | 613 | 94,034 | |
RBC Bearings, Inc.(1) | 577 | 103,306 | |
Rexnord Corp. | 2,856 | 112,783 | |
Snap-on, Inc. | 1,053 | 180,210 | |
Stanley Black & Decker, Inc. | 3,416 | 609,961 | |
Timken Co. (The) | 1,550 | 119,908 | |
Toro Co. (The) | 2,550 | 241,842 | |
Watts Water Technologies, Inc., Class A | 613 | 74,602 | |
Westinghouse Air Brake Technologies Corp. | 4,130 | 302,316 | |
Woodward, Inc. | 1,399 | 170,020 | |
Xylem, Inc. | 4,151 | 422,530 | |
$9,144,844 | |||
Media — 2.1% | |||
Altice USA, Inc., Class A(1) | 6,435 | $243,693 | |
Cable One, Inc. | 114 | 253,960 | |
Discovery, Inc., Class A(1)(2) | 10,911 | 328,312 | |
DISH Network Corp., Class A(1) | 5,200 | 168,168 | |
Interpublic Group of Cos., Inc. (The) | 9,838 | 231,390 | |
Liberty Broadband Corp., Class C(1) | 4,585 | 726,127 | |
New York Times Co. (The), Class A | 3,648 | 188,857 | |
Omnicom Group, Inc. | 5,403 | 336,985 | |
Sirius XM Holdings, Inc.(2) | 27,797 | 177,067 | |
ViacomCBS, Inc., Class B | 12,697 | 473,090 | |
$3,127,649 | |||
Metals & Mining — 0.6% | |||
Nucor Corp. | 7,203 | $383,128 | |
Reliance Steel & Aluminum Co. | 2,060 | 246,685 | |
Steel Dynamics, Inc. | 6,530 | 240,761 | |
$870,574 |
Security | Shares | Value | |
Multiline Retail — 0.1% | |||
Kohl's Corp. | 2,992 | $ 121,744 | |
Ollie's Bargain Outlet Holdings, Inc.(1)(2) | 1,122 | 91,746 | |
$ 213,490 | |||
Multi-Utilities — 1.1% | |||
Ameren Corp. | 5,700 | $ 444,942 | |
CenterPoint Energy, Inc. | 13,824 | 299,151 | |
CMS Energy Corp. | 6,668 | 406,815 | |
Consolidated Edison, Inc. | 7,243 | 523,452 | |
$1,674,360 | |||
Personal Products — 0.0%(3) | |||
BellRing Brands, Inc., Class A(1) | 577 | $14,027 | |
Coty, Inc., Class A | 6,350 | 44,577 | |
$58,604 | |||
Pharmaceuticals — 0.9% | |||
Axsome Therapeutics, Inc.(1)(2) | 634 | $51,652 | |
Catalent, Inc.(1) | 3,336 | 347,177 | |
Elanco Animal Health, Inc.(1) | 8,282 | 254,009 | |
Horizon Therapeutics PLC(1) | 4,496 | 328,882 | |
Jazz Pharmaceuticals PLC(1) | 1,124 | 185,516 | |
Nektar Therapeutics(1) | 3,772 | 64,124 | |
Perrigo Co. PLC | 2,933 | 131,164 | |
Reata Pharmaceuticals, Inc., Class A(1)(2) | 514 | 63,541 | |
$1,426,065 | |||
Professional Services — 1.5% | |||
ASGN, Inc.(1) | 1,326 | $110,761 | |
CoreLogic, Inc. | 1,617 | 125,026 | |
CoStar Group, Inc.(1) | 807 | 745,894 | |
Exponent, Inc. | 1,230 | 110,737 | |
FTI Consulting, Inc.(1) | 869 | 97,085 | |
ManpowerGroup, Inc. | 1,471 | 132,655 | |
Nielsen Holdings PLC | 8,791 | 183,468 | |
Robert Half International, Inc. | 2,819 | 176,131 | |
TransUnion | 4,550 | 451,451 | |
TriNet Group, Inc.(1) | 1,027 | 82,776 | |
$2,215,984 | |||
Real Estate Management & Development — 0.8% | |||
CBRE Group, Inc., Class A(1) | 7,547 | $473,348 | |
Howard Hughes Corp. (The)(1) | 1,839 | 145,152 | |
Jones Lang LaSalle, Inc. | 1,737 | 257,719 | |
Redfin Corp.(1) | 4,014 | 275,481 | |
$1,151,700 |
7
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Road & Rail — 1.1% | |||
AMERCO | 179 | $ 81,259 | |
J.B. Hunt Transport Services, Inc. | 1,814 | 247,883 | |
Kansas City Southern | 2,000 | 408,260 | |
Knight-Swift Transportation Holdings, Inc. | 3,367 | 140,808 | |
Landstar System, Inc. | 803 | 108,132 | |
Old Dominion Freight Line, Inc. | 2,235 | 436,227 | |
Saia, Inc.(1) | 562 | 101,610 | |
Schneider National, Inc., Class B | 953 | 19,727 | |
Werner Enterprises, Inc. | 1,328 | 52,084 | |
$1,595,990 | |||
Semiconductors & Semiconductor Equipment — 4.8% | |||
Brooks Automation, Inc. | 1,465 | $99,400 | |
Cirrus Logic, Inc.(1) | 1,177 | 96,749 | |
CMC Materials, Inc. | 586 | 88,662 | |
Cree, Inc.(1) | 2,266 | 239,969 | |
Enphase Energy, Inc.(1) | 2,216 | 388,842 | |
Entegris, Inc. | 2,746 | 263,891 | |
First Solar, Inc.(1) | 1,641 | 162,328 | |
Inphi Corp.(1) | 1,081 | 173,468 | |
Lattice Semiconductor Corp.(1) | 2,934 | 134,436 | |
Marvell Technology Group, Ltd. | 13,995 | 665,322 | |
Maxim Integrated Products, Inc. | 5,530 | 490,234 | |
Microchip Technology, Inc. | 5,310 | 733,364 | |
MKS Instruments, Inc. | 1,287 | 193,629 | |
Monolithic Power Systems, Inc. | 893 | 327,043 | |
ON Semiconductor Corp.(1) | 8,331 | 272,674 | |
Power Integrations, Inc. | 1,205 | 98,641 | |
Qorvo, Inc.(1) | 2,359 | 392,231 | |
Semtech Corp.(1) | 1,340 | 96,601 | |
Silicon Laboratories, Inc.(1) | 852 | 108,494 | |
Skyworks Solutions, Inc. | 3,427 | 523,920 | |
SolarEdge Technologies, Inc.(1) | 921 | 293,910 | |
Teradyne, Inc. | 3,828 | 458,939 | |
Universal Display Corp. | 903 | 207,509 | |
Xilinx, Inc. | 5,069 | 718,632 | |
$7,228,888 | |||
Software — 9.5% | |||
ACI Worldwide, Inc.(1) | 2,466 | $94,768 | |
Altair Engineering, Inc., Class A(1) | 880 | 51,198 | |
Alteryx, Inc., Class A(1) | 1,113 | 135,552 | |
Anaplan, Inc.(1) | 2,571 | 184,726 | |
ANSYS, Inc.(1) | 1,780 | 647,564 | |
Appfolio, Inc., Class A(1) | 319 | 57,433 | |
Appian Corp.(1)(2) | 752 | 121,892 |
Security | Shares | Value | |
Software (continued) | |||
Aspen Technology, Inc.(1) | 1,408 | $ 183,392 | |
Avalara, Inc.(1) | 1,672 | 275,696 | |
Blackbaud, Inc. | 1,103 | 63,489 | |
Blackline, Inc.(1) | 1,089 | 145,251 | |
Box, Inc., Class A(1) | 3,436 | 62,020 | |
Cadence Design Systems, Inc.(1) | 5,788 | 789,657 | |
CDK Global, Inc. | 2,482 | 128,642 | |
Ceridian HCM Holding, Inc.(1) | 2,806 | 299,007 | |
Citrix Systems, Inc. | 2,540 | 330,454 | |
Cloudera, Inc.(1) | 4,128 | 57,421 | |
Coupa Software, Inc.(1) | 1,408 | 477,185 | |
CrowdStrike Holdings, Inc., Class A(1) | 3,188 | 675,282 | |
DocuSign, Inc.(1) | 3,655 | 812,507 | |
Dropbox, Inc., Class A(1) | 6,186 | 137,267 | |
Dynatrace, Inc.(1) | 3,421 | 148,027 | |
Elastic NV(1) | 1,265 | 184,854 | |
Envestnet, Inc.(1) | 1,104 | 90,848 | |
Everbridge, Inc.(1) | 687 | 102,411 | |
Fair Isaac Corp.(1) | 712 | 363,861 | |
Five9, Inc.(1) | 1,333 | 232,475 | |
Fortinet, Inc.(1) | 2,810 | 417,369 | |
Guidewire Software, Inc.(1) | 1,731 | 222,832 | |
HubSpot, Inc.(1) | 916 | 363,139 | |
j2 Global, Inc.(1) | 840 | 82,060 | |
Manhattan Associates, Inc.(1) | 1,333 | 140,205 | |
Medallia, Inc.(1)(2) | 1,772 | 58,866 | |
New Relic, Inc.(1) | 1,161 | 75,929 | |
NortonLifeLock, Inc. | 12,075 | 250,919 | |
Nuance Communications, Inc.(1) | 5,743 | 253,209 | |
Nutanix, Inc., Class A(1) | 3,998 | 127,416 | |
Palo Alto Networks, Inc.(1) | 1,946 | 691,589 | |
Paycom Software, Inc.(1) | 1,022 | 462,200 | |
Paylocity Holding Corp.(1) | 787 | 162,051 | |
Pegasystems, Inc. | 831 | 110,739 | |
Pluralsight, Inc., Class A(1) | 2,431 | 50,954 | |
Proofpoint, Inc.(1) | 1,199 | 163,556 | |
PTC, Inc.(1) | 2,158 | 258,118 | |
Q2 Holdings, Inc.(1) | 1,091 | 138,044 | |
Qualys, Inc.(1) | 687 | 83,725 | |
RealPage, Inc.(1) | 1,921 | 167,588 | |
RingCentral, Inc., Class A(1) | 1,618 | 613,173 | |
Smartsheet, Inc., Class A(1) | 2,368 | 164,079 | |
SS&C Technologies Holdings, Inc. | 4,665 | 339,379 | |
SVMK, Inc.(1) | 2,476 | 63,262 | |
Tenable Holdings, Inc.(1) | 1,559 | 81,473 | |
Trade Desk, Inc. (The), Class A(1) | 856 | 685,656 | |
Tyler Technologies, Inc.(1) | 820 | 357,946 |
8
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Software (continued) | |||
Verint Systems, Inc.(1) | 1,271 | $ 85,386 | |
Zendesk, Inc.(1) | 2,369 | 339,051 | |
Zscaler, Inc.(1) | 1,557 | 310,948 | |
$ 14,173,740 | |||
Specialty Retail — 2.8% | |||
Advance Auto Parts, Inc. | 1,345 | $ 211,851 | |
AutoNation, Inc.(1) | 1,212 | 84,585 | |
AutoZone, Inc.(1) | 464 | 550,044 | |
Best Buy Co., Inc. | 4,642 | 463,225 | |
Burlington Stores, Inc.(1) | 1,295 | 338,707 | |
CarMax, Inc.(1) | 3,200 | 302,272 | |
Dick's Sporting Goods, Inc. | 1,298 | 72,961 | |
Five Below, Inc.(1) | 1,081 | 189,153 | |
Floor & Decor Holdings, Inc., Class A(1) | 1,930 | 179,200 | |
Foot Locker, Inc. | 2,155 | 87,148 | |
Gap, Inc. (The) | 3,866 | 78,055 | |
L Brands, Inc. | 4,619 | 171,781 | |
Lithia Motors, Inc., Class A | 516 | 151,018 | |
Penske Automotive Group, Inc. | 734 | 43,592 | |
RH(1)(2) | 298 | 133,361 | |
Tiffany & Co. | 2,357 | 309,828 | |
Tractor Supply Co. | 2,340 | 328,957 | |
Ulta Beauty, Inc.(1) | 1,061 | 304,677 | |
Williams-Sonoma, Inc. | 1,521 | 154,899 | |
$4,155,314 | |||
Technology Hardware, Storage & Peripherals — 1.5% | |||
Hewlett Packard Enterprise Co. | 26,875 | $318,469 | |
HP, Inc. | 28,867 | 709,839 | |
NetApp, Inc. | 4,561 | 302,121 | |
Pure Storage, Inc., Class A(1) | 4,911 | 111,038 | |
Seagate Technology PLC | 4,753 | 295,446 | |
Western Digital Corp. | 6,294 | 348,625 | |
Xerox Holdings Corp. | 4,136 | 95,914 | |
$2,181,452 | |||
Textiles, Apparel & Luxury Goods — 1.1% | |||
Carter's, Inc. | 799 | $75,162 | |
Columbia Sportswear Co. | 647 | 56,535 | |
Deckers Outdoor Corp.(1) | 569 | 163,178 | |
Hanesbrands, Inc.(2) | 7,050 | 102,789 | |
Levi Strauss & Co., Class A | 1,537 | 30,863 | |
PVH Corp. | 1,452 | 136,328 | |
Ralph Lauren Corp., Class A | 901 | 93,470 | |
Skechers USA, Inc., Class A(1) | 2,329 | 83,704 |
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods (continued) | |||
Tapestry, Inc. | 5,458 | $ 169,635 | |
Under Armour, Inc., Class A(1) | 7,283 | 125,049 | |
VF Corp. | 6,457 | 551,492 | |
$ 1,588,205 | |||
Thrifts & Mortgage Finance — 0.2% | |||
Essent Group, Ltd. | 2,179 | $ 94,133 | |
MGIC Investment Corp. | 6,717 | 84,298 | |
New York Community Bancorp, Inc. | 8,855 | 93,420 | |
Radian Group, Inc. | 3,856 | 78,084 | |
TFS Financial Corp. | 1,057 | 18,635 | |
$368,570 | |||
Trading Companies & Distributors — 1.1% | |||
Air Lease Corp. | 2,508 | $111,405 | |
Fastenal Co. | 11,492 | 561,154 | |
MSC Industrial Direct Co., Inc., Class A | 1,051 | 88,694 | |
SiteOne Landscape Supply, Inc.(1) | 878 | 139,277 | |
United Rentals, Inc.(1) | 1,667 | 386,594 | |
W.W. Grainger, Inc. | 922 | 376,490 | |
$1,663,614 | |||
Water Utilities — 0.7% | |||
American States Water Co. | 1,456 | $115,767 | |
American Water Works Co., Inc. | 3,867 | 593,468 | |
Essential Utilities, Inc. | 6,771 | 320,201 | |
$1,029,436 | |||
Wireless Telecommunication Services — 0.0%(3) | |||
United States Cellular Corp.(1) | 308 | $9,452 | |
$9,452 | |||
Total Common Stocks (identified cost $110,750,274) | $149,504,654 |
9
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
Short-Term Investments — 1.2% | |||
Other — 0.3% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.12%(4) | 430,050 | $ 430,093 | |
Total Other (identified cost $430,093) | $ 430,093 | ||
Securities Lending Collateral — 0.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.08%(5) | 1,400,437 | $ 1,400,437 | |
Total Securities Lending Collateral (identified cost $1,400,437) | $ 1,400,437 | ||
Total Short-Term Investments (identified cost $1,830,530) | $ 1,830,530 | ||
Total Investments — 100.9% (identified cost $112,580,804) | $151,335,184 | ||
Other Assets, Less Liabilities — (0.9)% | $ (1,381,450) | ||
Net Assets — 100.0% | $149,953,734 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
(1) | Non-income producing security. | |
(2) | All or a portion of this security was on loan at December 31, 2020. The aggregate market value of securities on loan at December 31, 2020 was $4,861,907 and the total market value of the collateral received by the Fund was $5,036,535, comprised of cash of $1,400,437 and U.S. government and/or agencies securities of $3,636,098. | |
(3) | Amount is less than 0.05%. | |
(4) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of December 31, 2020. | |
(5) | Represents investment of cash collateral received in connection with securities lending. |
10
Calvert
US Mid-Cap Core Responsible Index
Fund
December 31, 2020
Schedule of Investments
(Unaudited) — continued
At December 31, 2020, the value of
the Fund’s investment in affiliated funds was $430,093, which represents 0.3% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended December 31, 2020 were
as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $28,581 | $19,846,773 | $(19,445,261) | $ — | $ — | $430,093 | $212 | 430,050 |
U.S. generally accepted accounting
principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad
levels listed below:
Level 1 - quoted prices in active
markets for identical securities
Level 2 - other significant
observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable
inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for
valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the
market value of the Fund's holdings as of December 31, 2020, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $149,504,654(1) | $— | $— | $149,504,654 |
Short-Term Investments: | ||||
Other | — | 430,093 | — | 430,093 |
Securities Lending Collateral | 1,400,437 | — | — | 1,400,437 |
Total Investments | $150,905,091 | $430,093 | $ — | $151,335,184 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
For information on the Fund’s
policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to
shareholders.
11