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Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments (Unaudited)
Common Stocks — 100.3% |
Security | Shares | Value | |
Aerospace & Defense — 0.5% | |||
Axon Enterprise, Inc.(1) | 3,857 | $ 359,357 | |
Curtiss-Wright Corp. | 2,192 | 289,475 | |
HEICO Corp. | 2,704 | 354,548 | |
Hexcel Corp. | 5,073 | 265,369 | |
Woodward, Inc. | 3,245 | 300,130 | |
$ 1,568,879 | |||
Air Freight & Logistics — 0.6% | |||
C.H. Robinson Worldwide, Inc. | 7,367 | $ 746,793 | |
Expeditors International of Washington, Inc. | 9,569 | 932,594 | |
GXO Logistics, Inc.(1) | 6,459 | 279,481 | |
$1,958,868 | |||
Airlines — 0.9% | |||
Alaska Air Group, Inc.(1) | 7,204 | $288,520 | |
American Airlines Group, Inc.(1) | 38,051 | 482,487 | |
Delta Air Lines, Inc.(1) | 34,204 | 990,890 | |
Southwest Airlines Co.(1) | 31,538 | 1,139,152 | |
$2,901,049 | |||
Auto Components — 0.9% | |||
Aptiv PLC(1) | 13,949 | $1,242,437 | |
Autoliv, Inc. | 5,371 | 384,403 | |
BorgWarner, Inc. | 14,410 | 480,862 | |
Gentex Corp. | 13,354 | 373,511 | |
Lear Corp. | 3,635 | 457,610 | |
$2,938,823 | |||
Automobiles — 0.2% | |||
Harley-Davidson, Inc. | 9,250 | $292,855 | |
Thor Industries, Inc. | 3,262 | 243,769 | |
$536,624 | |||
Banks — 5.0% | |||
Bank OZK | 5,689 | $213,508 | |
BOK Financial Corp. | 1,743 | 131,736 | |
Cadence Bank | 8,895 | 208,855 | |
Citizens Financial Group, Inc. | 23,914 | 853,491 | |
Comerica, Inc. | 6,307 | 462,808 | |
Commerce Bancshares, Inc. | 5,661 | 371,645 | |
Cullen/Frost Bankers, Inc. | 2,808 | 326,992 | |
East West Bancorp, Inc. | 6,833 | 442,778 | |
F.N.B. Corp. | 16,795 | 182,394 | |
Fifth Third Bancorp | 33,156 | 1,114,042 |
Security | Shares | Value | |
Banks (continued) | |||
First Citizens Bancshares, Inc., Class A | 582 | $ 380,500 | |
First Financial Bankshares, Inc. | 6,410 | 251,721 | |
First Horizon Corp. | 25,566 | 558,873 | |
First Interstate BancSystem, Inc., Class A | 4,415 | 168,256 | |
First Republic Bank | 8,720 | 1,257,424 | |
Glacier Bancorp, Inc. | 5,699 | 270,246 | |
Hancock Whitney Corp. | 4,147 | 183,836 | |
Home BancShares, Inc. | 7,338 | 152,410 | |
Huntington Bancshares, Inc. | 69,113 | 831,429 | |
KeyCorp | 45,096 | 777,004 | |
M&T Bank Corp. | 8,668 | 1,381,592 | |
Old National Bancorp | 14,073 | 208,140 | |
Pinnacle Financial Partners, Inc. | 3,852 | 278,538 | |
Popular, Inc. | 3,632 | 279,410 | |
Prosperity Bancshares, Inc. | 4,158 | 283,867 | |
Regions Financial Corp. | 45,267 | 848,756 | |
ServisFirst Bancshares, Inc. | 2,361 | 186,330 | |
Signature Bank | 3,044 | 545,515 | |
SouthState Corp. | 3,441 | 265,473 | |
SVB Financial Group(1) | 2,843 | 1,122,956 | |
Synovus Financial Corp. | 7,419 | 267,455 | |
UMB Financial Corp. | 2,006 | 172,717 | |
United Bankshares, Inc. | 6,430 | 225,500 | |
Valley National Bancorp | 22,193 | 231,029 | |
Webster Financial Corp. | 8,349 | 351,910 | |
Western Alliance Bancorp | 4,978 | 351,447 | |
Wintrust Financial Corp. | 2,965 | 237,645 | |
Zions Bancorp NA | 7,227 | 367,854 | |
$16,746,082 | |||
Beverages — 0.0%(2) | |||
Coca-Cola Consolidated, Inc. | 254 | $143,231 | |
$143,231 | |||
Biotechnology — 3.0% | |||
Alkermes PLC(1) | 8,655 | $257,832 | |
Alnylam Pharmaceuticals, Inc.(1) | 6,422 | 936,649 | |
Apellis Pharmaceuticals, Inc.(1) | 4,734 | 214,072 | |
Biogen, Inc.(1) | 7,543 | 1,538,319 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 3,384 | 493,083 | |
BioMarin Pharmaceutical, Inc.(1) | 10,033 | 831,435 | |
Exact Sciences Corp.(1) | 9,462 | 372,708 | |
Exelixis, Inc.(1) | 17,444 | 363,184 | |
Halozyme Therapeutics, Inc.(1) | 7,116 | 313,104 | |
Horizon Therapeutics PLC(1) | 12,038 | 960,151 | |
Incyte Corp.(1) | 10,185 | 773,755 |
1
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Biotechnology (continued) | |||
Ionis Pharmaceuticals, Inc.(1) | 7,708 | $ 285,350 | |
Neurocrine Biosciences, Inc.(1) | 4,919 | 479,504 | |
Sarepta Therapeutics, Inc.(1) | 4,695 | 351,937 | |
Seagen, Inc.(1) | 7,228 | 1,278,922 | |
United Therapeutics Corp.(1) | 2,475 | 583,209 | |
$ 10,033,214 | |||
Building Products — 2.7% | |||
Advanced Drainage Systems, Inc. | 3,797 | $ 341,996 | |
Allegion PLC | 5,212 | 510,255 | |
Carlisle Cos., Inc. | 3,246 | 774,528 | |
Carrier Global Corp. | 43,082 | 1,536,304 | |
Fortune Brands Home & Security, Inc. | 6,829 | 408,921 | |
Johnson Controls International PLC | 34,946 | 1,673,214 | |
Lennox International, Inc. | 1,860 | 384,257 | |
Masco Corp. | 12,573 | 636,194 | |
Owens Corning | 7,235 | 537,633 | |
Simpson Manufacturing Co., Inc. | 2,538 | 255,348 | |
Trane Technologies PLC | 12,070 | 1,567,531 | |
Trex Co., Inc.(1) | 5,824 | 316,942 | |
UFP Industries, Inc. | 3,197 | 217,844 | |
$9,160,967 | |||
Capital Markets — 5.3% | |||
Affiliated Managers Group, Inc. | 2,026 | $236,232 | |
Ameriprise Financial, Inc. | 5,317 | 1,263,745 | |
Ares Management Corp., Class A | 6,700 | 380,962 | |
Bank of New York Mellon Corp. (The) | 39,977 | 1,667,441 | |
Carlyle Group, Inc. (The) | 7,861 | 248,879 | |
Cboe Global Markets, Inc. | 5,129 | 580,551 | |
Coinbase Global, Inc., Class A(1) | 7,208 | 338,920 | |
Evercore, Inc., Class A | 1,990 | 186,284 | |
FactSet Research Systems, Inc. | 2,393 | 920,276 | |
Franklin Resources, Inc. | 13,799 | 321,655 | |
Houlihan Lokey, Inc. | 2,399 | 189,353 | |
Interactive Brokers Group, Inc., Class A | 4,698 | 258,437 | |
Invesco, Ltd. | 17,299 | 279,033 | |
Jefferies Financial Group, Inc. | 10,448 | 288,574 | |
KKR & Co., Inc. | 27,724 | 1,283,344 | |
LPL Financial Holdings, Inc. | 3,847 | 709,695 | |
MarketAxess Holdings, Inc. | 2,314 | 592,407 | |
Morningstar, Inc. | 1,560 | 377,255 | |
MSCI, Inc. | 3,966 | 1,634,587 | |
Nasdaq, Inc. | 5,551 | 846,749 | |
Northern Trust Corp. | 9,921 | 957,178 | |
Raymond James Financial, Inc. | 9,053 | 809,429 |
Security | Shares | Value | |
Capital Markets (continued) | |||
SEI Investments Co. | 5,895 | $ 318,448 | |
State Street Corp. | 17,751 | 1,094,349 | |
Stifel Financial Corp. | 5,013 | 280,828 | |
T. Rowe Price Group, Inc. | 10,812 | 1,228,351 | |
Tradeweb Markets, Inc., Class A | 5,053 | 344,867 | |
Virtu Financial, Inc., Class A | 5,167 | 120,959 | |
$ 17,758,788 | |||
Chemicals — 2.3% | |||
Ashland Global Holdings, Inc. | 3,334 | $343,569 | |
Avient Corp. | 5,200 | 208,416 | |
Axalta Coating Systems, Ltd.(1) | 13,889 | 307,086 | |
Cabot Corp. | 3,299 | 210,443 | |
Celanese Corp. | 6,315 | 742,707 | |
Eastman Chemical Co. | 7,584 | 680,816 | |
FMC Corp. | 7,406 | 792,516 | |
Huntsman Corp. | 11,838 | 335,607 | |
International Flavors & Fragrances, Inc. | 12,866 | 1,532,598 | |
Livent Corp.(1) | 9,488 | 215,283 | |
Mosaic Co. (The) | 19,616 | 926,463 | |
PPG Industries, Inc. | 12,124 | 1,386,258 | |
$7,681,762 | |||
Commercial Services & Supplies — 0.9% | |||
Clean Harbors, Inc.(1) | 4,677 | $410,033 | |
Copart, Inc.(1) | 11,414 | 1,240,245 | |
IAA, Inc.(1) | 7,118 | 233,257 | |
MSA Safety, Inc. | 2,156 | 261,027 | |
Stericycle, Inc.(1) | 8,134 | 356,676 | |
Tetra Tech, Inc. | 4,446 | 607,101 | |
$3,108,339 | |||
Communications Equipment — 1.4% | |||
Arista Networks, Inc.(1) | 12,695 | $1,190,029 | |
Ciena Corp.(1) | 8,899 | 406,684 | |
F5, Inc.(1) | 3,639 | 556,913 | |
Juniper Networks, Inc. | 19,485 | 555,322 | |
Lumentum Holdings, Inc.(1) | 3,840 | 304,973 | |
Motorola Solutions, Inc. | 8,448 | 1,770,701 | |
$4,784,622 | |||
Construction & Engineering — 0.8% | |||
AECOM | 9,742 | $635,373 | |
EMCOR Group, Inc. | 4,476 | 460,849 | |
MasTec, Inc.(1) | 5,413 | 387,896 | |
Quanta Services, Inc. | 8,292 | 1,039,319 |
2
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Construction & Engineering (continued) | |||
Valmont Industries, Inc. | 1,311 | $ 294,490 | |
$ 2,817,927 | |||
Construction Materials — 0.3% | |||
Vulcan Materials Co. | 7,468 | $ 1,061,203 | |
$ 1,061,203 | |||
Consumer Finance — 0.9% | |||
Ally Financial, Inc. | 15,588 | $ 522,354 | |
Credit Acceptance Corp.(1)(3) | 407 | 192,678 | |
Discover Financial Services | 13,592 | 1,285,531 | |
OneMain Holdings, Inc. | 5,295 | 197,927 | |
SLM Corp. | 12,832 | 204,542 | |
Synchrony Financial | 24,221 | 668,984 | |
Upstart Holdings, Inc.(1)(3) | 2,805 | 88,694 | |
$3,160,710 | |||
Containers & Packaging — 1.7% | |||
AptarGroup, Inc. | 3,762 | $388,276 | |
Avery Dennison Corp. | 4,751 | 769,044 | |
Ball Corp. | 17,609 | 1,210,971 | |
Berry Global Group, Inc.(1) | 7,527 | 411,275 | |
Crown Holdings, Inc. | 7,144 | 658,462 | |
Graphic Packaging Holding Co. | 18,283 | 374,802 | |
Packaging Corp. of America | 5,517 | 758,588 | |
Silgan Holdings, Inc. | 5,271 | 217,956 | |
Sonoco Products Co. | 6,004 | 342,468 | |
WestRock Co. | 14,649 | 583,616 | |
$5,715,458 | |||
Distributors — 0.7% | |||
Genuine Parts Co. | 7,141 | $949,753 | |
LKQ Corp. | 14,871 | 730,017 | |
Pool Corp. | 2,059 | 723,183 | |
$2,402,953 | |||
Diversified Consumer Services — 0.5% | |||
ADT, Inc. | 12,284 | $75,546 | |
Bright Horizons Family Solutions, Inc.(1) | 3,582 | 302,751 | |
H&R Block, Inc. | 10,290 | 363,443 | |
Service Corp. International | 9,690 | 669,773 | |
Terminix Global Holdings, Inc.(1) | 7,906 | 321,379 | |
$1,732,892 | |||
Diversified Financial Services — 0.2% | |||
Equitable Holdings, Inc. | 18,439 | $480,705 |
Security | Shares | Value | |
Diversified Financial Services (continued) | |||
Voya Financial, Inc. | 4,901 | $ 291,756 | |
$ 772,461 | |||
Diversified Telecommunication Services — 0.3% | |||
Iridium Communications, Inc.(1) | 6,548 | $ 245,943 | |
Lumen Technologies, Inc. | 59,895 | 653,454 | |
$ 899,397 | |||
Electric Utilities — 1.3% | |||
Alliant Energy Corp. | 14,884 | $ 872,351 | |
Avangrid, Inc. | 6,170 | 284,560 | |
Constellation Energy Corp. | 18,196 | 1,041,903 | |
Eversource Energy | 17,450 | 1,474,002 | |
Hawaiian Electric Industries, Inc. | 9,365 | 383,029 | |
Portland General Electric Co. | 7,853 | 379,535 | |
$4,435,380 | |||
Electrical Equipment — 1.8% | |||
Acuity Brands, Inc. | 1,965 | $302,689 | |
AMETEK, Inc. | 12,011 | 1,319,889 | |
Atkore, Inc.(1) | 2,624 | 217,818 | |
ChargePoint Holdings, Inc.(1) | 9,896 | 135,476 | |
Generac Holdings, Inc.(1) | 3,810 | 802,310 | |
Hubbell, Inc. | 3,212 | 573,599 | |
nVent Electric PLC | 9,571 | 299,859 | |
Regal Rexnord Corp. | 4,098 | 465,205 | |
Rockwell Automation, Inc. | 6,184 | 1,232,533 | |
Sensata Technologies Holding PLC | 9,327 | 385,298 | |
Sunrun, Inc.(1) | 11,571 | 270,299 | |
Vertiv Holdings Co. | 18,207 | 149,662 | |
$6,154,637 | |||
Electronic Equipment, Instruments & Components — 2.6% | |||
Arrow Electronics, Inc.(1) | 3,575 | $400,722 | |
Avnet, Inc. | 4,977 | 213,414 | |
Coherent, Inc.(1) | 1,395 | 371,377 | |
Corning, Inc. | 40,541 | 1,277,447 | |
II-VI, Inc.(1)(3) | 6,489 | 330,614 | |
IPG Photonics Corp.(1) | 1,997 | 187,978 | |
Jabil, Inc. | 7,420 | 379,978 | |
Keysight Technologies, Inc.(1) | 9,419 | 1,298,409 | |
Littelfuse, Inc. | 1,517 | 385,379 | |
National Instruments Corp. | 7,382 | 230,540 | |
Novanta, Inc.(1) | 1,983 | 240,478 | |
Rogers Corp.(1) | 1,084 | 284,105 | |
TD SYNNEX Corp. | 2,318 | 211,170 |
3
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Teledyne Technologies, Inc.(1) | 2,686 | $ 1,007,545 | |
Trimble, Inc.(1) | 14,953 | 870,713 | |
Zebra Technologies Corp., Class A(1) | 3,087 | 907,424 | |
$ 8,597,293 | |||
Energy Equipment & Services — 0.4% | |||
Baker Hughes Co. | 49,716 | $ 1,435,301 | |
$ 1,435,301 | |||
Entertainment — 0.9% | |||
AMC Entertainment Holdings, Inc., Class A(1)(3) | 31,730 | $429,942 | |
Liberty Media Corp.-Liberty Formula One, Class A(1) | 1,656 | 95,998 | |
Live Nation Entertainment, Inc.(1) | 8,901 | 735,045 | |
Roku, Inc.(1) | 6,986 | 573,830 | |
Take-Two Interactive Software, Inc.(1) | 8,255 | 1,011,485 | |
Warner Music Group Corp., Class A | 7,708 | 187,767 | |
$3,034,067 | |||
Food & Staples Retailing — 1.0% | |||
Albertsons Cos., Inc., Class A | 6,971 | $186,265 | |
BJ's Wholesale Club Holdings, Inc.(1) | 7,239 | 451,134 | |
Casey's General Stores, Inc. | 1,970 | 364,411 | |
Kroger Co. (The) | 36,150 | 1,710,980 | |
Performance Food Group Co.(1) | 8,592 | 395,060 | |
US Foods Holding Corp.(1) | 12,553 | 385,126 | |
$3,492,976 | |||
Food Products — 2.3% | |||
Bunge, Ltd. | 7,702 | $698,494 | |
Campbell Soup Co. | 10,984 | 527,781 | |
Conagra Brands, Inc. | 26,058 | 892,226 | |
Darling Ingredients, Inc.(1) | 8,710 | 520,858 | |
Flowers Foods, Inc. | 11,276 | 296,784 | |
Hormel Foods Corp. | 15,643 | 740,853 | |
Ingredion, Inc. | 3,480 | 306,797 | |
JM Smucker Co. (The) | 5,739 | 734,650 | |
Kellogg Co. | 13,701 | 977,429 | |
Lamb Weston Holdings, Inc. | 7,653 | 546,883 | |
McCormick & Co., Inc. | 14,169 | 1,179,569 | |
Post Holdings, Inc.(1) | 3,000 | 247,050 | |
$7,669,374 | |||
Gas Utilities — 0.2% | |||
New Jersey Resources Corp. | 8,465 | $376,947 | |
ONE Gas, Inc. | 4,697 | 381,349 | |
$758,296 |
Security | Shares | Value | |
Health Care Equipment & Supplies — 4.9% | |||
ABIOMED, Inc.(1) | 2,356 | $ 583,134 | |
Align Technology, Inc.(1) | 3,961 | 937,450 | |
Baxter International, Inc. | 25,339 | 1,627,524 | |
Cooper Cos., Inc. (The) | 2,631 | 823,819 | |
DENTSPLY SIRONA, Inc. | 11,971 | 427,724 | |
DexCom, Inc.(1) | 20,479 | 1,526,300 | |
Envista Holdings Corp.(1) | 8,665 | 333,949 | |
Globus Medical, Inc., Class A(1) | 4,211 | 236,406 | |
Hologic, Inc.(1) | 13,214 | 915,730 | |
ICU Medical, Inc.(1) | 1,078 | 177,212 | |
IDEXX Laboratories, Inc.(1) | 4,210 | 1,476,573 | |
Insulet Corp.(1) | 3,791 | 826,211 | |
Integra LifeSciences Holdings Corp.(1) | 3,840 | 207,475 | |
iRhythm Technologies, Inc.(1) | 1,572 | 169,823 | |
Masimo Corp.(1) | 2,758 | 360,388 | |
Novocure, Ltd.(1) | 5,156 | 358,342 | |
Omnicell, Inc.(1) | 2,687 | 305,646 | |
Penumbra, Inc.(1) | 2,019 | 251,406 | |
ResMed, Inc. | 7,629 | 1,599,267 | |
STERIS PLC | 5,436 | 1,120,631 | |
Tandem Diabetes Care, Inc.(1) | 3,418 | 202,311 | |
Teleflex, Inc. | 2,596 | 638,227 | |
Zimmer Biomet Holdings, Inc. | 11,412 | 1,198,945 | |
$16,304,493 | |||
Health Care Providers & Services — 1.9% | |||
AMN Healthcare Services, Inc.(1) | 2,796 | $306,749 | |
Chemed Corp. | 833 | 391,002 | |
DaVita, Inc.(1) | 3,401 | 271,944 | |
Encompass Health Corp. | 5,473 | 306,762 | |
Ensign Group, Inc. (The) | 2,814 | 206,745 | |
Guardant Health, Inc.(1) | 5,436 | 219,288 | |
HealthEquity, Inc.(1) | 4,697 | 288,349 | |
Henry Schein, Inc.(1) | 7,184 | 551,300 | |
Laboratory Corp. of America Holdings | 5,012 | 1,174,612 | |
LHC Group, Inc.(1) | 1,585 | 246,848 | |
Molina Healthcare, Inc.(1) | 3,119 | 872,104 | |
Option Care Health, Inc.(1) | 7,623 | 211,843 | |
Premier, Inc., Class A | 6,290 | 224,427 | |
Quest Diagnostics, Inc. | 6,251 | 831,258 | |
R1 RCM, Inc.(1) | 9,123 | 191,218 | |
$6,294,449 | |||
Health Care Technology — 0.7% | |||
Change Healthcare, Inc.(1) | 16,280 | $375,417 | |
Doximity, Inc., Class A(1)(3) | 5,130 | 178,627 |
4
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Health Care Technology (continued) | |||
Teladoc Health, Inc.(1)(3) | 8,055 | $ 267,506 | |
Veeva Systems, Inc., Class A(1) | 7,478 | 1,480,943 | |
$ 2,302,493 | |||
Hotels, Restaurants & Leisure — 2.7% | |||
Aramark | 13,926 | $ 426,553 | |
Chipotle Mexican Grill, Inc.(1) | 1,378 | 1,801,404 | |
Choice Hotels International, Inc. | 2,337 | 260,879 | |
Darden Restaurants, Inc. | 6,774 | 766,275 | |
Domino's Pizza, Inc. | 1,953 | 761,104 | |
Expedia Group, Inc.(1) | 8,491 | 805,202 | |
Hilton Grand Vacations, Inc.(1) | 5,443 | 194,478 | |
Hyatt Hotels Corp., Class A(1) | 3,155 | 233,186 | |
Marriott Vacations Worldwide Corp. | 2,498 | 290,268 | |
Planet Fitness, Inc., Class A(1) | 5,530 | 376,095 | |
Texas Roadhouse, Inc. | 3,799 | 278,087 | |
Travel + Leisure Co. | 5,330 | 206,911 | |
Vail Resorts, Inc. | 2,574 | 561,261 | |
Wyndham Hotels & Resorts, Inc. | 5,872 | 385,908 | |
Yum! Brands, Inc. | 14,587 | 1,655,770 | |
$9,003,381 | |||
Household Durables — 1.9% | |||
D.R. Horton, Inc. | 16,946 | $1,121,656 | |
Helen of Troy, Ltd.(1) | 1,157 | 187,908 | |
Leggett & Platt, Inc. | 6,998 | 241,991 | |
Lennar Corp., Class A | 14,576 | 1,028,628 | |
Mohawk Industries, Inc.(1) | 2,628 | 326,109 | |
Newell Brands, Inc. | 21,155 | 402,791 | |
NVR, Inc.(1) | 193 | 772,799 | |
PulteGroup, Inc. | 16,692 | 661,504 | |
Tempur Sealy International, Inc. | 8,252 | 176,345 | |
Toll Brothers, Inc. | 9,988 | 445,465 | |
TopBuild Corp.(1) | 2,747 | 459,189 | |
Whirlpool Corp. | 2,890 | 447,574 | |
$6,271,959 | |||
Household Products — 0.6% | |||
Church & Dwight Co., Inc. | 12,721 | $1,178,728 | |
Clorox Co. (The) | 6,278 | 885,072 | |
Reynolds Consumer Products, Inc.(3) | 2,810 | 76,629 | |
$2,140,429 | |||
Independent Power and Renewable Electricity Producers — 0.6% | |||
AES Corp. (The) | 40,546 | $851,872 | |
Brookfield Renewable Corp., Class A | 14,615 | 520,440 |
Security | Shares | Value | |
Independent Power and Renewable Electricity Producers (continued) | |||
Clearway Energy, Inc., Class C | 7,227 | $ 251,789 | |
Ormat Technologies, Inc.(3) | 3,975 | 311,441 | |
$ 1,935,542 | |||
Insurance — 5.1% | |||
Aflac, Inc. | 28,942 | $ 1,601,361 | |
Alleghany Corp.(1) | 631 | 525,686 | |
Allstate Corp. (The) | 13,572 | 1,719,980 | |
American Financial Group, Inc. | 3,284 | 455,852 | |
Arch Capital Group, Ltd.(1) | 17,643 | 802,580 | |
Assurant, Inc. | 2,599 | 449,237 | |
Axis Capital Holdings, Ltd. | 3,767 | 215,058 | |
Brown & Brown, Inc. | 14,475 | 844,472 | |
Cincinnati Financial Corp. | 7,619 | 906,509 | |
Enstar Group, Ltd.(1) | 746 | 159,629 | |
Erie Indemnity Co., Class A | 1,217 | 233,895 | |
Everest Re Group, Ltd. | 1,882 | 527,487 | |
Fidelity National Financial, Inc. | 12,867 | 475,564 | |
First American Financial Corp. | 6,448 | 341,228 | |
Globe Life, Inc. | 4,677 | 455,867 | |
Hanover Insurance Group, Inc. (The) | 1,789 | 261,641 | |
Hartford Financial Services Group, Inc. (The) | 15,908 | 1,040,860 | |
Kinsale Capital Group, Inc. | 1,049 | 240,892 | |
Lincoln National Corp. | 7,352 | 343,853 | |
Markel Corp.(1) | 645 | 834,146 | |
Old Republic International Corp. | 13,851 | 309,708 | |
Primerica, Inc. | 1,779 | 212,929 | |
Principal Financial Group, Inc. | 12,209 | 815,439 | |
Reinsurance Group of America, Inc. | 3,450 | 404,651 | |
RenaissanceRe Holdings, Ltd. | 2,050 | 320,559 | |
RLI Corp. | 1,863 | 217,207 | |
Ryan Specialty Holdings, Inc.(1) | 2,828 | 110,829 | |
Selective Insurance Group, Inc. | 2,875 | 249,953 | |
Unum Group | 9,705 | 330,164 | |
W.R. Berkley Corp. | 10,269 | 700,962 | |
Willis Towers Watson PLC | 5,380 | 1,061,958 | |
$17,170,156 | |||
Interactive Media & Services — 1.1% | |||
IAC/InterActiveCorp.(1) | 4,857 | $368,987 | |
Match Group, Inc.(1) | 15,487 | 1,079,289 | |
Pinterest, Inc., Class A(1) | 32,807 | 595,775 | |
Snap, Inc., Class A(1) | 64,809 | 850,942 | |
ZoomInfo Technologies, Inc., Class A(1) | 18,696 | 621,455 | |
$3,516,448 |
5
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Internet & Direct Marketing Retail — 0.6% | |||
Chewy, Inc., Class A(1)(3) | 5,185 | $ 180,023 | |
eBay, Inc. | 31,997 | 1,333,315 | |
Etsy, Inc.(1) | 6,752 | 494,314 | |
Wayfair, Inc., Class A(1)(3) | 3,631 | 158,166 | |
$ 2,165,818 | |||
IT Services — 4.0% | |||
Affirm Holdings, Inc.(1) | 11,333 | $ 204,674 | |
Akamai Technologies, Inc.(1) | 9,442 | 862,338 | |
Amdocs, Ltd. | 7,427 | 618,743 | |
Broadridge Financial Solutions, Inc. | 6,794 | 968,485 | |
Cognizant Technology Solutions Corp., Class A | 25,721 | 1,735,910 | |
Concentrix Corp. | 2,650 | 359,446 | |
DXC Technology Co.(1) | 13,187 | 399,698 | |
EPAM Systems, Inc.(1) | 3,163 | 932,389 | |
Euronet Worldwide, Inc.(1) | 2,982 | 299,959 | |
ExlService Holdings, Inc.(1) | 1,876 | 276,391 | |
Gartner, Inc.(1) | 4,446 | 1,075,176 | |
Genpact, Ltd. | 9,970 | 422,329 | |
Jack Henry & Associates, Inc. | 4,372 | 787,048 | |
Marqeta, Inc., Class A(1) | 22,129 | 179,466 | |
Okta, Inc.(1) | 8,460 | 764,784 | |
SS&C Technologies Holdings, Inc. | 13,380 | 776,977 | |
Switch, Inc., Class A | 12,353 | 413,826 | |
Toast, Inc., Class A(1) | 12,198 | 157,842 | |
Twilio, Inc., Class A(1) | 9,782 | 819,829 | |
VeriSign, Inc.(1) | 5,805 | 971,351 | |
WEX, Inc.(1) | 2,722 | 423,434 | |
$13,450,095 | |||
Leisure Products — 0.4% | |||
Brunswick Corp. | 4,644 | $303,625 | |
Hasbro, Inc. | 6,914 | 566,118 | |
Mattel, Inc.(1) | 18,152 | 405,334 | |
$1,275,077 | |||
Life Sciences Tools & Services — 3.8% | |||
10X Genomics, Inc., Class A(1) | 4,395 | $198,874 | |
Agilent Technologies, Inc. | 15,078 | 1,790,814 | |
Avantor, Inc.(1) | 32,560 | 1,012,616 | |
Azenta, Inc. | 4,170 | 300,657 | |
Bio-Rad Laboratories, Inc., Class A(1) | 1,133 | 560,835 | |
Bio-Techne Corp. | 2,078 | 720,318 | |
Bruker Corp. | 5,585 | 350,514 | |
Charles River Laboratories International, Inc.(1) | 2,759 | 590,343 | |
Illumina, Inc.(1) | 7,731 | 1,425,287 |
Security | Shares | Value | |
Life Sciences Tools & Services (continued) | |||
Medpace Holdings, Inc.(1) | 1,573 | $ 235,431 | |
Mettler-Toledo International, Inc.(1) | 1,184 | 1,360,144 | |
PerkinElmer, Inc. | 6,751 | 960,127 | |
Repligen Corp.(1) | 2,922 | 474,533 | |
Syneos Health, Inc.(1) | 5,754 | 412,447 | |
Waters Corp.(1) | 3,211 | 1,062,777 | |
West Pharmaceutical Services, Inc. | 4,023 | 1,216,434 | |
$ 12,672,151 | |||
Machinery — 5.9% | |||
AGCO Corp. | 3,538 | $349,201 | |
Chart Industries, Inc.(1) | 2,275 | 380,790 | |
CNH Industrial NV | 58,292 | 675,604 | |
Crane Holdings Co. | 2,975 | 260,491 | |
Cummins, Inc. | 7,102 | 1,374,450 | |
Donaldson Co., Inc. | 7,690 | 370,197 | |
Dover Corp. | 8,106 | 983,420 | |
Evoqua Water Technologies Corp.(1) | 7,061 | 229,553 | |
Flowserve Corp. | 7,555 | 216,300 | |
Fortive Corp. | 19,380 | 1,053,884 | |
Graco, Inc. | 9,967 | 592,139 | |
IDEX Corp. | 4,482 | 814,066 | |
Ingersoll Rand, Inc. | 23,166 | 974,825 | |
ITT, Inc. | 5,267 | 354,153 | |
Lincoln Electric Holdings, Inc. | 3,263 | 402,524 | |
Middleby Corp. (The)(1) | 3,171 | 397,517 | |
Nordson Corp. | 3,102 | 627,969 | |
Oshkosh Corp. | 4,121 | 338,499 | |
Otis Worldwide Corp. | 21,564 | 1,523,928 | |
PACCAR, Inc. | 17,974 | 1,479,979 | |
Parker-Hannifin Corp. | 6,447 | 1,586,284 | |
Pentair PLC | 9,877 | 452,070 | |
RBC Bearings, Inc.(1) | 1,631 | 301,653 | |
Snap-on, Inc. | 3,137 | 618,083 | |
Stanley Black & Decker, Inc. | 8,827 | 925,599 | |
Timken Co. (The) | 4,265 | 226,258 | |
Toro Co. (The) | 6,218 | 471,262 | |
Watts Water Technologies, Inc., Class A | 1,531 | 188,068 | |
Westinghouse Air Brake Technologies Corp. | 10,546 | 865,616 | |
Xylem, Inc. | 10,605 | 829,099 | |
$19,863,481 | |||
Media — 1.4% | |||
Altice USA, Inc., Class A(1) | 14,213 | $131,470 | |
Cable One, Inc. | 284 | 366,167 | |
Interpublic Group of Cos., Inc. (The) | 24,490 | 674,210 |
6
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Media (continued) | |||
Liberty Broadband Corp., Class C(1) | 8,615 | $ 996,239 | |
New York Times Co. (The), Class A | 10,901 | 304,138 | |
Omnicom Group, Inc. | 12,397 | 788,573 | |
Paramount Global, Class B | 32,957 | 813,379 | |
Sirius XM Holdings, Inc.(3) | 57,427 | 352,027 | |
TEGNA, Inc. | 13,904 | 291,567 | |
$ 4,717,770 | |||
Metals & Mining — 0.9% | |||
Commercial Metals Co. | 12,021 | $397,895 | |
Nucor Corp. | 13,226 | 1,380,927 | |
Reliance Steel & Aluminum Co. | 4,003 | 679,949 | |
Steel Dynamics, Inc. | 10,747 | 710,914 | |
$3,169,685 | |||
Multiline Retail — 0.2% | |||
Dillard's, Inc., Class A(3) | 207 | $45,658 | |
Kohl's Corp. | 6,798 | 242,621 | |
Macy's, Inc. | 15,009 | 274,965 | |
Nordstrom, Inc. | 5,840 | 123,399 | |
$686,643 | |||
Multi-Utilities — 1.2% | |||
Ameren Corp. | 13,718 | $1,239,558 | |
CMS Energy Corp. | 16,049 | 1,083,308 | |
Consolidated Edison, Inc. | 18,068 | 1,718,267 | |
$4,041,133 | |||
Oil, Gas & Consumable Fuels — 0.1% | |||
Enviva, Inc.(3) | 1,971 | $112,781 | |
New Fortress Energy, Inc.(3) | 9,530 | 377,102 | |
$489,883 | |||
Paper & Forest Products — 0.1% | |||
Louisiana-Pacific Corp. | 3,987 | $208,959 | |
$208,959 | |||
Personal Products — 0.1% | |||
Coty, Inc., Class A(1) | 16,940 | $135,690 | |
Olaplex Holdings, Inc.(1)(3) | 6,379 | 89,880 | |
$225,570 | |||
Pharmaceuticals — 1.1% | |||
Catalent, Inc.(1) | 9,040 | $969,902 | |
Elanco Animal Health, Inc.(1) | 25,353 | 497,679 | |
Jazz Pharmaceuticals PLC(1) | 3,319 | 517,797 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Organon & Co. | 13,603 | $ 459,101 | |
Perrigo Co. PLC | 7,097 | 287,925 | |
Royalty Pharma PLC, Class A | 19,987 | 840,254 | |
$ 3,572,658 | |||
Professional Services — 2.5% | |||
ASGN, Inc.(1) | 3,153 | $ 284,558 | |
Booz Allen Hamilton Holding Corp. | 8,151 | 736,524 | |
CoStar Group, Inc.(1) | 21,295 | 1,286,431 | |
Dun & Bradstreet Holdings, Inc.(1) | 8,774 | 131,873 | |
Equifax, Inc. | 6,493 | 1,186,791 | |
Exponent, Inc. | 3,471 | 317,492 | |
FTI Consulting, Inc.(1) | 2,063 | 373,094 | |
ManpowerGroup, Inc. | 3,336 | 254,904 | |
Nielsen Holdings PLC | 22,074 | 512,558 | |
Robert Half International, Inc. | 6,660 | 498,767 | |
Science Applications International Corp. | 3,252 | 302,761 | |
TransUnion | 11,453 | 916,126 | |
TriNet Group, Inc.(1) | 2,621 | 203,442 | |
Verisk Analytics, Inc. | 8,166 | 1,413,453 | |
$8,418,774 | |||
Real Estate Management & Development — 0.7% | |||
CBRE Group, Inc., Class A(1) | 17,573 | $1,293,548 | |
Howard Hughes Corp. (The)(1) | 3,952 | 268,934 | |
Jones Lang LaSalle, Inc.(1) | 3,474 | 607,464 | |
Zillow Group, Inc., Class C(1)(3) | 10,310 | 327,342 | |
$2,497,288 | |||
Road & Rail — 1.2% | |||
Avis Budget Group, Inc.(1) | 2,418 | $355,639 | |
J.B. Hunt Transport Services, Inc. | 4,920 | 774,752 | |
Knight-Swift Transportation Holdings, Inc. | 9,144 | 423,276 | |
Landstar System, Inc. | 2,197 | 319,488 | |
Old Dominion Freight Line, Inc. | 5,286 | 1,354,696 | |
Ryder System, Inc. | 2,924 | 207,779 | |
Saia, Inc.(1) | 1,507 | 283,316 | |
Schneider National, Inc., Class B | 3,144 | 70,363 | |
XPO Logistics, Inc.(1) | 6,416 | 308,995 | |
$4,098,304 | |||
Semiconductors & Semiconductor Equipment — 3.3% | |||
Allegro MicroSystems, Inc.(1) | 4,112 | $85,077 | |
Amkor Technology, Inc. | 6,095 | 103,310 | |
Cirrus Logic, Inc.(1) | 3,258 | 236,335 | |
CMC Materials, Inc. | 1,656 | 288,956 |
7
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Enphase Energy, Inc.(1) | 7,014 | $ 1,369,413 | |
Entegris, Inc. | 8,104 | 746,622 | |
First Solar, Inc.(1) | 5,463 | 372,194 | |
Lattice Semiconductor Corp.(1) | 8,328 | 403,908 | |
MKS Instruments, Inc. | 3,197 | 328,108 | |
Monolithic Power Systems, Inc. | 2,450 | 940,898 | |
ON Semiconductor Corp.(1) | 22,977 | 1,155,973 | |
Power Integrations, Inc. | 3,399 | 254,959 | |
Qorvo, Inc.(1) | 6,369 | 600,724 | |
Semtech Corp.(1) | 3,709 | 203,884 | |
Silicon Laboratories, Inc.(1) | 2,128 | 298,388 | |
Skyworks Solutions, Inc. | 9,519 | 881,840 | |
SolarEdge Technologies, Inc.(1) | 2,975 | 814,198 | |
Synaptics, Inc.(1) | 2,286 | 269,862 | |
Teradyne, Inc. | 9,400 | 841,770 | |
Universal Display Corp. | 2,571 | 260,031 | |
Wolfspeed, Inc.(1)(3) | 7,481 | 474,670 | |
$10,931,120 | |||
Software — 6.4% | |||
Altair Engineering, Inc., Class A(1) | 3,186 | $167,265 | |
ANSYS, Inc.(1) | 4,805 | 1,149,788 | |
AppLovin Corp., Class A(1)(3) | 6,479 | 223,137 | |
Aspen Technology, Inc.(1) | 1,729 | 317,583 | |
Avalara, Inc.(1) | 5,256 | 371,074 | |
Bill.com Holdings, Inc.(1) | 5,694 | 625,998 | |
Black Knight, Inc.(1) | 9,116 | 596,095 | |
Blackline, Inc.(1) | 3,096 | 206,194 | |
CDK Global, Inc. | 6,369 | 348,830 | |
Citrix Systems, Inc. | 7,319 | 711,187 | |
Clear Secure, Inc., Class A(1)(3) | 3,282 | 65,640 | |
Coupa Software, Inc.(1) | 4,704 | 268,598 | |
CrowdStrike Holdings, Inc., Class A(1) | 10,627 | 1,791,287 | |
DocuSign, Inc.(1) | 11,487 | 659,124 | |
Dolby Laboratories, Inc., Class A | 3,612 | 258,475 | |
Dropbox, Inc., Class A(1) | 17,306 | 363,253 | |
Dynatrace, Inc.(1) | 11,191 | 441,373 | |
Elastic NV(1) | 4,263 | 288,477 | |
Fair Isaac Corp.(1) | 1,594 | 639,035 | |
Five9, Inc.(1) | 3,970 | 361,826 | |
Guidewire Software, Inc.(1) | 5,118 | 363,327 | |
HubSpot, Inc.(1) | 2,643 | 794,618 | |
Manhattan Associates, Inc.(1) | 3,806 | 436,168 | |
NCR Corp.(1) | 7,550 | 234,880 | |
NortonLifeLock, Inc. | 33,772 | 741,633 | |
Paycom Software, Inc.(1) | 3,065 | 858,568 | |
Paycor HCM, Inc.(1) | 2,753 | 71,578 |
Security | Shares | Value | |
Software (continued) | |||
Paylocity Holding Corp.(1) | 2,331 | $ 406,573 | |
PTC, Inc.(1) | 6,140 | 652,928 | |
Qualys, Inc.(1) | 2,032 | 256,316 | |
Rapid7, Inc.(1) | 3,244 | 216,699 | |
RingCentral, Inc., Class A(1) | 5,206 | 272,065 | |
SailPoint Technologies Holdings, Inc.(1) | 5,386 | 337,594 | |
SentinelOne, Inc., Class A(1) | 9,926 | 231,574 | |
Smartsheet, Inc., Class A(1) | 6,792 | 213,473 | |
Splunk, Inc.(1) | 8,823 | 780,483 | |
Tenable Holdings, Inc.(1) | 5,352 | 243,034 | |
Trade Desk, Inc. (The), Class A(1) | 23,748 | 994,804 | |
Tyler Technologies, Inc.(1) | 2,475 | 822,888 | |
Vonage Holdings Corp.(1) | 14,743 | 277,758 | |
Zendesk, Inc.(1) | 7,395 | 547,748 | |
Zoom Video Communications, Inc., Class A(1) | 11,320 | 1,222,220 | |
Zscaler, Inc.(1) | 4,970 | 743,065 | |
$21,574,233 | |||
Specialty Retail — 2.7% | |||
Advance Auto Parts, Inc. | 3,239 | $560,638 | |
AutoNation, Inc.(1) | 1,935 | 216,256 | |
Bath & Body Works, Inc. | 12,339 | 332,166 | |
Best Buy Co., Inc. | 10,285 | 670,479 | |
Burlington Stores, Inc.(1) | 3,407 | 464,136 | |
CarMax, Inc.(1) | 8,452 | 764,737 | |
Carvana Co.(1)(3) | 5,113 | 115,451 | |
Dick's Sporting Goods, Inc.(3) | 3,024 | 227,919 | |
Five Below, Inc.(1) | 2,812 | 318,965 | |
Floor & Decor Holdings, Inc., Class A(1) | 5,103 | 321,285 | |
GameStop Corp., Class A(1)(3) | 3,400 | 415,820 | |
Gap, Inc. (The) | 9,385 | 77,332 | |
Lithia Motors, Inc., Class A | 1,475 | 405,345 | |
Penske Automotive Group, Inc. | 1,372 | 143,635 | |
Petco Health & Wellness Co., Inc.(1) | 7,738 | 114,058 | |
RH(1) | 906 | 192,308 | |
Ross Stores, Inc. | 17,683 | 1,241,877 | |
Tractor Supply Co. | 5,843 | 1,132,666 | |
Ulta Beauty, Inc.(1) | 2,636 | 1,016,125 | |
Williams-Sonoma, Inc. | 3,754 | 416,506 | |
$9,147,704 | |||
Technology Hardware, Storage & Peripherals — 1.4% | |||
Dell Technologies, Inc., Class C | 16,242 | $750,543 | |
Hewlett Packard Enterprise Co. | 74,425 | 986,876 | |
NetApp, Inc. | 13,301 | 867,757 | |
Pure Storage, Inc., Class A(1) | 15,970 | 410,589 |
8
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Technology Hardware, Storage & Peripherals (continued) | |||
Seagate Technology Holdings PLC | 12,655 | $ 904,073 | |
Western Digital Corp.(1) | 17,417 | 780,804 | |
$ 4,700,642 | |||
Textiles, Apparel & Luxury Goods — 0.9% | |||
Capri Holdings, Ltd.(1) | 7,358 | $ 301,751 | |
Columbia Sportswear Co. | 1,821 | 130,347 | |
Deckers Outdoor Corp.(1) | 1,346 | 343,701 | |
Hanesbrands, Inc. | 16,584 | 170,649 | |
Levi Strauss & Co., Class A | 3,630 | 59,242 | |
PVH Corp. | 3,458 | 196,760 | |
Ralph Lauren Corp. | 2,229 | 199,830 | |
Skechers USA, Inc., Class A(1) | 6,891 | 245,182 | |
Tapestry, Inc. | 13,179 | 402,223 | |
Under Armour, Inc., Class A(1) | 8,054 | 67,090 | |
VF Corp. | 16,569 | 731,853 | |
$2,848,628 | |||
Thrifts & Mortgage Finance — 0.2% | |||
Essent Group, Ltd. | 5,509 | $214,300 | |
MGIC Investment Corp. | 15,523 | 195,590 | |
New York Community Bancorp, Inc.(3) | 21,046 | 192,150 | |
TFS Financial Corp. | 2,718 | 37,318 | |
$639,358 | |||
Trading Companies & Distributors — 1.5% | |||
Air Lease Corp. | 6,547 | $218,866 | |
Beacon Roofing Supply, Inc.(1) | 2,779 | 142,729 | |
Core & Main, Inc., Class A(1) | 3,552 | 79,210 | |
Fastenal Co. | 29,793 | 1,487,267 | |
MSC Industrial Direct Co., Inc., Class A | 2,678 | 201,145 | |
SiteOne Landscape Supply, Inc.(1) | 2,376 | 282,435 | |
United Rentals, Inc.(1) | 4,015 | 975,284 | |
Univar Solutions, Inc.(1) | 9,772 | 243,030 | |
W.W. Grainger, Inc. | 2,424 | 1,101,538 | |
WESCO International, Inc.(1) | 2,504 | 268,178 | |
$4,999,682 | |||
Water Utilities — 0.6% | |||
American Water Works Co., Inc. | 9,565 | $1,422,985 | |
Essential Utilities, Inc. | 15,673 | 718,607 | |
$2,141,592 | |||
Total Common Stocks (identified cost $355,153,558) | $336,937,171 |
Short-Term Investments — 1.3% | |||
Affiliated Fund — 0.5% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(4) | 1,672,323 | $ 1,672,323 | |
Total Affiliated Fund (identified cost $1,672,323) | $ 1,672,323 | ||
Securities Lending Collateral — 0.8% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(5) | 2,773,607 | $ 2,773,607 | |
Total Securities Lending Collateral (identified cost $2,773,607) | $ 2,773,607 | ||
Total Short-Term Investments (identified cost $4,445,930) | $ 4,445,930 | ||
Total Investments — 101.6% (identified cost $359,599,488) | $341,383,101 | ||
Other Assets, Less Liabilities — (1.6)% | $ (5,260,960) | ||
Net Assets — 100.0% | $336,122,141 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Amount is less than 0.05%. |
(3) | All or a portion of this security was on loan at June 30, 2022. The aggregate market value of securities on loan at June 30, 2022 was $4,897,774 and the total market value of the collateral received by the Fund was $5,079,025, comprised of cash of $2,773,607 and U.S. government and/or agencies securities of $2,305,418. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(5) | Represents investment of cash collateral received in connection with securities lending. |
9
Calvert
US Mid-Cap Core Responsible Index
Fund
June 30, 2022
Schedule of Investments
(Unaudited) — continued
The Fund did not have any open
derivative instruments at June 30, 2022.
Affiliated Investments
At June 30, 2022, the value of the
Fund's investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio (Liquidity Fund) and Calvert Cash Reserves Fund, LLC (Cash Reserves Fund) was $1,672,323, which represents 0.5% of the Fund's
net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended June 30, 2022 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/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $410,422 | $71,666,412 | $(72,076,164) | $(629) | $(41) | $ — | $ 620 | — |
Liquidity Fund | — | 18,152,120 | (16,479,797) | — | — | 1,672,323 | 1,582 | 1,672,323 |
Total | $(629) | $(41) | $1,672,323 | $2,202 |
Fair Value Measurements
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 June 30, 2022, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $336,937,171(1) | $ — | $ — | $336,937,171 |
Short-Term Investments: | ||||
Affiliated Fund | 1,672,323 | — | — | 1,672,323 |
Securities Lending Collateral | 2,773,607 | — | — | 2,773,607 |
Total Investments | $341,383,101 | $ — | $ — | $341,383,101 |
(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.
10