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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments (Unaudited)
Common Stocks — 99.5% |
Security | Shares | Value | |
Aerospace & Defense — 0.1% | |||
Curtiss-Wright Corp. | 7,804 | $ 1,303,190 | |
Hexcel Corp. | 1,631 | 95,984 | |
Woodward, Inc. | 11,811 | 1,141,061 | |
$ 2,540,235 | |||
Air Freight & Logistics — 1.1% | |||
C.H. Robinson Worldwide, Inc. | 26,730 | $ 2,447,399 | |
FedEx Corp. | 48,084 | 8,328,149 | |
GXO Logistics, Inc.(1) | 11,160 | 476,420 | |
United Parcel Service, Inc., Class B | 49,883 | 8,671,661 | |
$19,923,629 | |||
Airlines — 0.2% | |||
Alaska Air Group, Inc.(1) | 33,105 | $1,421,529 | |
American Airlines Group, Inc.(1) | 137,609 | 1,750,386 | |
Southwest Airlines Co.(1) | 503 | 16,936 | |
$3,188,851 | |||
Auto Components — 0.4% | |||
Autoliv, Inc. | 22,941 | $1,756,822 | |
BorgWarner, Inc. | 62,666 | 2,522,306 | |
Gentex Corp. | 14,204 | 387,343 | |
Lear Corp. | 13,400 | 1,661,868 | |
$6,328,339 | |||
Automobiles — 1.3% | |||
Ford Motor Co. | 742,417 | $8,634,310 | |
General Motors Co. | 263,616 | 8,868,042 | |
Harley-Davidson, Inc. | 38,598 | 1,605,677 | |
Rivian Automotive, Inc., Class A(1) | 134,719 | 2,482,871 | |
Thor Industries, Inc. | 13,880 | 1,047,801 | |
$22,638,701 | |||
Banks — 14.1% | |||
Bank of America Corp. | 1,041,510 | $34,494,811 | |
Bank OZK | 30,556 | 1,224,073 | |
BOK Financial Corp. | 7,900 | 819,941 | |
Cadence Bank | 49,544 | 1,221,755 | |
Citigroup, Inc. | 322,262 | 14,575,910 | |
Citizens Financial Group, Inc. | 133,179 | 5,243,257 | |
Comerica, Inc. | 35,003 | 2,339,951 | |
Commerce Bancshares, Inc. | 32,368 | 2,203,290 | |
Cullen/Frost Bankers, Inc. | 16,007 | 2,140,136 | |
East West Bancorp, Inc. | 37,934 | 2,499,851 |
Security | Shares | Value | |
Banks (continued) | |||
F.N.B. Corp. | 93,643 | $ 1,222,041 | |
Fifth Third Bancorp | 171,643 | 5,631,607 | |
First Citizens Bancshares, Inc., Class A | 2,959 | 2,243,987 | |
First Financial Bankshares, Inc. | 21,449 | 737,846 | |
First Horizon Corp. | 141,818 | 3,474,541 | |
First Interstate BancSystem, Inc., Class A | 24,636 | 952,181 | |
First Republic Bank | 33,871 | 4,128,536 | |
Glacier Bancorp, Inc. | 28,341 | 1,400,612 | |
Hancock Whitney Corp. | 23,119 | 1,118,728 | |
Home BancShares, Inc. | 52,105 | 1,187,473 | |
Huntington Bancshares, Inc. | 384,225 | 5,417,573 | |
JPMorgan Chase & Co. | 421,144 | 56,475,410 | |
KeyCorp | 250,354 | 4,361,167 | |
M&T Bank Corp. | 39,914 | 5,789,925 | |
Old National Bancorp | 78,397 | 1,409,578 | |
Pinnacle Financial Partners, Inc. | 19,141 | 1,404,949 | |
PNC Financial Services Group, Inc. (The) | 71,845 | 11,347,199 | |
Popular, Inc. | 20,454 | 1,356,509 | |
Prosperity Bancshares, Inc. | 23,831 | 1,732,037 | |
Regions Financial Corp. | 251,243 | 5,416,799 | |
ServisFirst Bancshares, Inc. | 7,267 | 500,769 | |
Signature Bank | 16,905 | 1,947,794 | |
SouthState Corp. | 19,979 | 1,525,596 | |
SVB Financial Group(1) | 5,819 | 1,339,185 | |
Synovus Financial Corp. | 38,975 | 1,463,511 | |
Truist Financial Corp. | 238,453 | 10,260,633 | |
U.S. Bancorp | 264,247 | 11,523,812 | |
UMB Financial Corp. | 12,907 | 1,077,993 | |
United Bankshares, Inc. | 33,651 | 1,362,529 | |
Valley National Bancorp | 114,132 | 1,290,833 | |
Webster Financial Corp. | 47,482 | 2,247,798 | |
Wells Fargo & Co. | 583,729 | 24,102,170 | |
Western Alliance Bancorp | 28,337 | 1,687,752 | |
Wintrust Financial Corp. | 15,286 | 1,291,973 | |
Zions Bancorp NA | 40,141 | 1,973,332 | |
$247,167,353 | |||
Beverages — 2.6% | |||
Coca-Cola Co. (The) | 243,164 | $15,467,662 | |
Coca-Cola Consolidated, Inc. | 559 | 286,409 | |
Keurig Dr Pepper, Inc. | 187,899 | 6,700,478 | |
PepsiCo, Inc. | 128,060 | 23,135,320 | |
$45,589,869 | |||
Biotechnology — 2.1% | |||
AbbVie, Inc. | 55,698 | $9,001,354 |
1
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Biotechnology (continued) | |||
Alkermes PLC(1) | 29,278 | $ 765,034 | |
Amgen, Inc. | 9,035 | 2,372,953 | |
Apellis Pharmaceuticals, Inc.(1) | 32,518 | 1,681,506 | |
Biogen, Inc.(1) | 14,797 | 4,097,585 | |
Biohaven, Ltd.(1) | 10,940 | 151,847 | |
Exelixis, Inc.(1) | 16,145 | 258,966 | |
Gilead Sciences, Inc. | 144,032 | 12,365,147 | |
Ionis Pharmaceuticals, Inc.(1) | 14,919 | 563,491 | |
Moderna, Inc.(1) | 18,957 | 3,405,056 | |
Sarepta Therapeutics, Inc.(1) | 5,962 | 772,556 | |
United Therapeutics Corp.(1) | 6,937 | 1,929,110 | |
$37,364,605 | |||
Building Products — 1.5% | |||
Allegion PLC | 4,497 | $473,354 | |
Carlisle Cos., Inc. | 2,992 | 705,065 | |
Carrier Global Corp. | 166,074 | 6,850,552 | |
Fortune Brands Innovations, Inc. | 21,845 | 1,247,568 | |
Johnson Controls International PLC | 102,071 | 6,532,544 | |
Lennox International, Inc. | 179 | 42,822 | |
Masco Corp. | 2,147 | 100,200 | |
Masterbrand, Inc. | 21,845 | 164,930 | |
Owens Corning | 39,069 | 3,332,586 | |
Trane Technologies PLC | 35,432 | 5,955,765 | |
UFP Industries, Inc. | 12,131 | 961,382 | |
$26,366,768 | |||
Capital Markets — 6.6% | |||
Affiliated Managers Group, Inc. | 8,944 | $1,416,998 | |
Ameriprise Financial, Inc. | 21,601 | 6,725,903 | |
Bank of New York Mellon Corp. (The) | 171,352 | 7,799,943 | |
BlackRock, Inc. | 20,424 | 14,473,059 | |
Carlyle Group, Inc. (The) | 51,963 | 1,550,576 | |
Cboe Global Markets, Inc. | 5,492 | 689,081 | |
Charles Schwab Corp. (The) | 133,720 | 11,133,527 | |
CME Group, Inc. | 62,884 | 10,574,573 | |
Evercore, Inc., Class A | 9,918 | 1,081,855 | |
Franklin Resources, Inc. | 76,686 | 2,022,977 | |
Goldman Sachs Group, Inc. (The) | 53,654 | 18,423,711 | |
Houlihan Lokey, Inc. | 1,439 | 125,423 | |
Interactive Brokers Group, Inc., Class A | 25,408 | 1,838,269 | |
Intercontinental Exchange, Inc. | 81,332 | 8,343,850 | |
Invesco, Ltd. | 121,608 | 2,187,728 | |
Jefferies Financial Group, Inc. | 50,865 | 1,743,652 | |
KKR & Co., Inc. | 36,209 | 1,680,822 | |
Nasdaq, Inc. | 33,282 | 2,041,851 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Northern Trust Corp. | 54,123 | $ 4,789,344 | |
Raymond James Financial, Inc. | 45,930 | 4,907,621 | |
State Street Corp. | 85,002 | 6,593,605 | |
Stifel Financial Corp. | 27,875 | 1,627,064 | |
T. Rowe Price Group, Inc. | 32,037 | 3,493,955 | |
Tradeweb Markets, Inc., Class A | 2,500 | 162,325 | |
Virtu Financial, Inc., Class A | 24,490 | 499,841 | |
$ 115,927,553 | |||
Chemicals — 2.4% | |||
Air Products & Chemicals, Inc. | 25,630 | $7,900,704 | |
Ashland, Inc. | 18,661 | 2,006,617 | |
Avient Corp. | 34,690 | 1,171,135 | |
Axalta Coating Systems, Ltd.(1) | 47,943 | 1,221,108 | |
Cabot Corp. | 2,500 | 167,100 | |
Celanese Corp. | 32,567 | 3,329,650 | |
Eastman Chemical Co. | 46,427 | 3,781,015 | |
Ecolab, Inc. | 30,175 | 4,392,273 | |
Element Solutions, Inc. | 14,852 | 270,158 | |
FMC Corp. | 22,660 | 2,827,968 | |
Huntsman Corp. | 76,784 | 2,110,024 | |
International Flavors & Fragrances, Inc. | 40,582 | 4,254,617 | |
Mosaic Co. (The) | 87,508 | 3,838,976 | |
PPG Industries, Inc. | 34,087 | 4,286,099 | |
$41,557,444 | |||
Commercial Services & Supplies — 0.7% | |||
Cintas Corp. | 15 | $6,774 | |
Clean Harbors, Inc.(1) | 11,255 | 1,284,421 | |
IAA, Inc.(1) | 3,500 | 140,000 | |
Republic Services, Inc. | 31,328 | 4,040,999 | |
Stericycle, Inc.(1) | 36,140 | 1,803,024 | |
Tetra Tech, Inc. | 6,247 | 907,002 | |
Waste Management, Inc. | 30,591 | 4,799,116 | |
$12,981,336 | |||
Communications Equipment — 1.4% | |||
Ciena Corp.(1) | 11,616 | $592,184 | |
Cisco Systems, Inc. | 480,645 | 22,897,928 | |
Juniper Networks, Inc. | 52,585 | 1,680,616 | |
$25,170,728 | |||
Construction & Engineering — 0.6% | |||
AECOM | 30,059 | $2,552,911 | |
EMCOR Group, Inc. | 19,680 | 2,914,805 | |
MasTec, Inc.(1) | 16,069 | 1,371,167 |
2
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Construction & Engineering (continued) | |||
Quanta Services, Inc. | 11,064 | $ 1,576,620 | |
Valmont Industries, Inc. | 2,427 | 802,536 | |
WillScot Mobile Mini Holdings Corp.(1) | 20,394 | 921,197 | |
$ 10,139,236 | |||
Construction Materials — 0.1% | |||
Vulcan Materials Co. | 10,907 | $ 1,909,925 | |
$ 1,909,925 | |||
Consumer Finance — 1.9% | |||
Ally Financial, Inc. | 79,558 | $1,945,193 | |
American Express Co. | 75,337 | 11,131,042 | |
Capital One Financial Corp. | 77,565 | 7,210,442 | |
Credit Acceptance Corp.(1)(2) | 852 | 404,189 | |
Discover Financial Services | 62,839 | 6,147,539 | |
OneMain Holdings, Inc. | 33,715 | 1,123,047 | |
SLM Corp. | 68,630 | 1,139,258 | |
SoFi Technologies, Inc.(1) | 191,398 | 882,345 | |
Synchrony Financial | 122,101 | 4,012,239 | |
$33,995,294 | |||
Containers & Packaging — 1.4% | |||
AptarGroup, Inc. | 14,255 | $1,567,765 | |
Avery Dennison Corp. | 9,768 | 1,768,008 | |
Ball Corp. | 63,330 | 3,238,696 | |
Berry Global Group, Inc. | 52,713 | 3,185,447 | |
Crown Holdings, Inc. | 18,725 | 1,539,382 | |
Graphic Packaging Holding Co. | 48,159 | 1,071,538 | |
Packaging Corp. of America | 30,001 | 3,837,428 | |
Silgan Holdings, Inc. | 34,097 | 1,767,588 | |
Sonoco Products Co. | 35,049 | 2,127,825 | |
WestRock Co. | 103,900 | 3,653,124 | |
$23,756,801 | |||
Distributors — 0.5% | |||
Genuine Parts Co. | 29,059 | $5,042,027 | |
LKQ Corp. | 55,978 | 2,989,785 | |
$8,031,812 | |||
Diversified Consumer Services — 0.1% | |||
ADT, Inc. | 34,762 | $315,291 | |
Service Corp. International | 33,677 | 2,328,428 | |
$2,643,719 | |||
Diversified Financial Services — 0.3% | |||
Equitable Holdings, Inc. | 101,161 | $2,903,321 |
Security | Shares | Value | |
Diversified Financial Services (continued) | |||
Voya Financial, Inc. | 27,251 | $ 1,675,664 | |
$ 4,578,985 | |||
Diversified Telecommunication Services — 2.8% | |||
AT&T, Inc. | 1,132,251 | $ 20,844,741 | |
Iridium Communications, Inc.(1) | 12,487 | 641,832 | |
Lumen Technologies, Inc. | 245,549 | 1,281,765 | |
Verizon Communications, Inc. | 650,400 | 25,625,760 | |
$ 48,394,098 | |||
Electric Utilities — 1.9% | |||
Alliant Energy Corp. | 81,861 | $4,519,546 | |
Avangrid, Inc. | 31,486 | 1,353,268 | |
Constellation Energy Corp. | 73,565 | 6,342,039 | |
Eversource Energy | 80,961 | 6,787,770 | |
Hawaiian Electric Industries, Inc. | 45,146 | 1,889,360 | |
NRG Energy, Inc. | 96,592 | 3,073,557 | |
Portland General Electric Co. | 36,935 | 1,809,815 | |
Xcel Energy, Inc. | 108,050 | 7,575,386 | |
$33,350,741 | |||
Electrical Equipment — 1.9% | |||
Acuity Brands, Inc. | 7,515 | $1,244,559 | |
AMETEK, Inc. | 20,557 | 2,872,224 | |
Atkore, Inc.(1) | 2,385 | 270,507 | |
ChargePoint Holdings, Inc.(1)(2) | 79,248 | 755,233 | |
Eaton Corp. PLC | 54,672 | 8,580,770 | |
Emerson Electric Co. | 82,535 | 7,928,312 | |
Hubbell, Inc. | 16,967 | 3,981,816 | |
nVent Electric PLC | 48,684 | 1,872,874 | |
Plug Power, Inc.(1)(2) | 101,765 | 1,258,833 | |
Regal Rexnord Corp. | 25,681 | 3,081,206 | |
Sensata Technologies Holding PLC | 25,362 | 1,024,118 | |
Sunrun, Inc.(1) | 37,757 | 906,923 | |
$33,777,375 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
Amphenol Corp., Class A | 10,984 | $836,322 | |
Arrow Electronics, Inc.(1) | 14,767 | 1,544,185 | |
Avnet, Inc. | 21,845 | 908,315 | |
CDW Corp. | 5,961 | 1,064,515 | |
Corning, Inc. | 104,701 | 3,344,150 | |
IPG Photonics Corp.(1) | 5,180 | 490,391 | |
Jabil, Inc. | 31,238 | 2,130,432 | |
Littelfuse, Inc. | 3,225 | 710,145 | |
National Instruments Corp. | 7,227 | 266,676 |
3
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Rogers Corp.(1) | 792 | $ 94,517 | |
TD SYNNEX Corp. | 9,713 | 919,918 | |
Teledyne Technologies, Inc.(1) | 2,671 | 1,068,160 | |
$ 13,377,726 | |||
Energy Equipment & Services — 0.1% | |||
Baker Hughes Co. | 33,819 | $ 998,675 | |
$ 998,675 | |||
Entertainment — 0.5% | |||
AMC Entertainment Holdings, Inc., Class A(1)(2) | 108,932 | $443,353 | |
Liberty Media Corp.-Liberty Formula One, Class A(1) | 6,526 | 348,684 | |
Live Nation Entertainment, Inc.(1) | 38,925 | 2,714,630 | |
Warner Bros. Discovery, Inc.(1) | 547,010 | 5,185,655 | |
Warner Music Group Corp., Class A | 9,351 | 327,472 | |
$9,019,794 | |||
Food & Staples Retailing — 3.5% | |||
Albertsons Cos., Inc., Class A | 45,596 | $945,661 | |
BJ's Wholesale Club Holdings, Inc.(1) | 24,781 | 1,639,511 | |
Casey's General Stores, Inc. | 8,980 | 2,014,663 | |
Costco Wholesale Corp. | 35,072 | 16,010,368 | |
Kroger Co. (The) | 150,894 | 6,726,854 | |
Sysco Corp. | 74,553 | 5,699,577 | |
US Foods Holding Corp.(1) | 36,306 | 1,235,130 | |
Walmart, Inc. | 190,305 | 26,983,346 | |
$61,255,110 | |||
Food Products — 3.5% | |||
Bunge, Ltd. | 43,725 | $4,362,443 | |
Campbell Soup Co. | 57,723 | 3,275,780 | |
Conagra Brands, Inc. | 135,043 | 5,226,164 | |
Flowers Foods, Inc. | 48,807 | 1,402,713 | |
General Mills, Inc. | 103,573 | 8,684,596 | |
Hershey Co. (The) | 3,047 | 705,594 | |
Hormel Foods Corp. | 47,377 | 2,158,023 | |
Ingredion, Inc. | 18,945 | 1,855,284 | |
JM Smucker Co. (The) | 30,266 | 4,795,951 | |
Kellogg Co. | 72,543 | 5,167,963 | |
Kraft Heinz Co. (The) | 179,982 | 7,327,067 | |
McCormick & Co., Inc. | 30,723 | 2,546,630 | |
Mondelez International, Inc., Class A | 181,265 | 12,081,312 | |
Post Holdings, Inc.(1) | 16,470 | 1,486,582 | |
$61,076,102 |
Security | Shares | Value | |
Gas Utilities — 0.2% | |||
New Jersey Resources Corp. | 25,596 | $ 1,270,073 | |
ONE Gas, Inc. | 22,090 | 1,672,655 | |
$ 2,942,728 | |||
Health Care Equipment & Supplies — 1.7% | |||
Abbott Laboratories | 55,137 | $ 6,053,491 | |
Baxter International, Inc. | 12,240 | 623,873 | |
Becton, Dickinson and Co. | 21,823 | 5,549,589 | |
DENTSPLY SIRONA, Inc. | 59,437 | 1,892,474 | |
Envista Holdings Corp.(1) | 48,801 | 1,643,130 | |
Integra LifeSciences Holdings Corp.(1) | 2,416 | 135,465 | |
iRhythm Technologies, Inc.(1) | 8,234 | 771,279 | |
Medtronic PLC | 166,696 | 12,955,613 | |
Teleflex, Inc. | 2,686 | 670,506 | |
$30,295,420 | |||
Health Care Providers & Services — 4.1% | |||
agilon health, Inc.(1) | 71,224 | $1,149,555 | |
AMN Healthcare Services, Inc.(1) | 2,991 | 307,535 | |
Centene Corp.(1) | 106,311 | 8,718,565 | |
CVS Health Corp. | 207,387 | 19,326,395 | |
DaVita, Inc.(1) | 2,388 | 178,312 | |
Elevance Health, Inc. | 25,150 | 12,901,195 | |
Encompass Health Corp. | 29,768 | 1,780,424 | |
Enhabit, Inc.(1) | 14,884 | 195,873 | |
Ensign Group, Inc. (The) | 6,741 | 637,766 | |
Henry Schein, Inc.(1) | 33,404 | 2,667,977 | |
Humana, Inc. | 16,730 | 8,568,939 | |
Laboratory Corp. of America Holdings | 20,223 | 4,762,112 | |
LHC Group, Inc.(1) | 597 | 96,529 | |
Molina Healthcare, Inc.(1) | 5,958 | 1,967,451 | |
Option Care Health, Inc.(1) | 37,108 | 1,116,580 | |
Premier, Inc., Class A | 39,163 | 1,369,922 | |
Quest Diagnostics, Inc. | 32,593 | 5,098,849 | |
$70,843,979 | |||
Hotels, Restaurants & Leisure — 1.2% | |||
Airbnb, Inc., Class A(1) | 2,309 | $197,419 | |
Aramark | 45,200 | 1,868,568 | |
Darden Restaurants, Inc. | 33,973 | 4,699,485 | |
Hilton Grand Vacations, Inc.(1) | 13,156 | 507,032 | |
Marriott International, Inc., Class A | 18,667 | 2,779,330 | |
Starbucks Corp. | 72,181 | 7,160,355 | |
Texas Roadhouse, Inc. | 9,743 | 886,126 | |
Travel + Leisure Co. | 24,329 | 885,576 | |
Vail Resorts, Inc. | 2,313 | 551,303 |
4
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Wyndham Hotels & Resorts, Inc. | 16,847 | $ 1,201,360 | |
$ 20,736,554 | |||
Household Durables — 1.3% | |||
D.R. Horton, Inc. | 74,377 | $ 6,629,966 | |
Helen of Troy, Ltd.(1) | 463 | 51,351 | |
Leggett & Platt, Inc. | 29,726 | 958,069 | |
Lennar Corp., Class A | 67,388 | 6,098,614 | |
Mohawk Industries, Inc.(1) | 11,697 | 1,195,667 | |
Newell Brands, Inc. | 92,523 | 1,210,201 | |
PulteGroup, Inc. | 92,692 | 4,220,267 | |
Tempur Sealy International, Inc. | 148 | 5,081 | |
TopBuild Corp.(1) | 208 | 32,550 | |
Whirlpool Corp. | 12,346 | 1,746,465 | |
$22,148,231 | |||
Household Products — 1.8% | |||
Church & Dwight Co., Inc. | 9,690 | $781,111 | |
Clorox Co. (The) | 6,906 | 969,119 | |
Colgate-Palmolive Co. | 17,036 | 1,342,266 | |
Kimberly-Clark Corp. | 41,460 | 5,628,195 | |
Procter & Gamble Co. (The) | 145,502 | 22,052,283 | |
$30,772,974 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||
AES Corp. (The) | 165,315 | $4,754,460 | |
Brookfield Renewable Corp., Class A | 48,402 | 1,332,991 | |
Ormat Technologies, Inc.(2) | 10,548 | 912,191 | |
$6,999,642 | |||
Insurance — 7.3% | |||
Aflac, Inc. | 116,156 | $8,356,263 | |
Allstate Corp. (The) | 56,963 | 7,724,183 | |
American Financial Group, Inc. | 18,229 | 2,502,477 | |
American International Group, Inc. | 146,004 | 9,233,293 | |
Arch Capital Group, Ltd.(1) | 94,449 | 5,929,508 | |
Assurant, Inc. | 11,498 | 1,437,940 | |
Axis Capital Holdings, Ltd. | 20,984 | 1,136,703 | |
Brown & Brown, Inc. | 14,187 | 808,233 | |
Cincinnati Financial Corp. | 42,278 | 4,328,844 | |
Enstar Group, Ltd.(1) | 3,649 | 843,065 | |
Erie Indemnity Co., Class A | 3,081 | 766,306 | |
Everest Re Group, Ltd. | 10,412 | 3,449,183 | |
F&G Annuities & Life, Inc.(1) | 4,856 | 97,169 | |
Fidelity National Financial, Inc. | 71,421 | 2,686,858 | |
First American Financial Corp. | 30,943 | 1,619,557 |
Security | Shares | Value | |
Insurance (continued) | |||
Globe Life, Inc. | 25,963 | $ 3,129,840 | |
Hanover Insurance Group, Inc. (The) | 9,504 | 1,284,275 | |
Hartford Financial Services Group, Inc. (The) | 79,788 | 6,050,324 | |
Lincoln National Corp. | 41,853 | 1,285,724 | |
Markel Corp.(1) | 3,581 | 4,717,932 | |
Marsh & McLennan Cos., Inc. | 23,547 | 3,896,558 | |
MetLife, Inc. | 127,707 | 9,242,156 | |
Old Republic International Corp. | 76,999 | 1,859,526 | |
Primerica, Inc. | 8,262 | 1,171,717 | |
Principal Financial Group, Inc. | 65,581 | 5,503,557 | |
Progressive Corp. (The) | 38,319 | 4,970,357 | |
Prudential Financial, Inc. | 77,894 | 7,747,337 | |
Reinsurance Group of America, Inc. | 17,985 | 2,555,489 | |
RenaissanceRe Holdings, Ltd. | 651 | 119,934 | |
RLI Corp. | 4,498 | 590,452 | |
Selective Insurance Group, Inc. | 16,010 | 1,418,646 | |
Travelers Cos., Inc. (The) | 46,747 | 8,764,595 | |
Unum Group | 53,933 | 2,212,871 | |
W.R. Berkley Corp. | 48,224 | 3,499,616 | |
Willis Towers Watson PLC | 25,807 | 6,311,876 | |
$127,252,364 | |||
Interactive Media & Services — 0.0%(3) | |||
IAC, Inc.(1) | 6,068 | $269,419 | |
$269,419 | |||
Internet & Direct Marketing Retail — 0.0%(3) | |||
Wayfair, Inc., Class A(1) | 6,016 | $197,866 | |
$197,866 | |||
IT Services — 2.8% | |||
Affirm Holdings, Inc.(1)(2) | 46,761 | $452,179 | |
Amdocs, Ltd. | 14,799 | 1,345,229 | |
Automatic Data Processing, Inc. | 25,717 | 6,142,763 | |
Broadridge Financial Solutions, Inc. | 3,048 | 408,828 | |
Cloudflare, Inc., Class A(1) | 66,125 | 2,989,511 | |
Cognizant Technology Solutions Corp., Class A | 62,961 | 3,600,740 | |
Concentrix Corp. | 2,920 | 388,827 | |
DXC Technology Co.(1) | 51,865 | 1,374,422 | |
Genpact, Ltd. | 10,315 | 477,791 | |
International Business Machines Corp. | 135,937 | 19,152,164 | |
Marqeta, Inc., Class A(1) | 91,289 | 557,776 | |
Paychex, Inc. | 17,618 | 2,035,936 | |
Snowflake, Inc., Class A(1) | 57,083 | 8,193,694 | |
SS&C Technologies Holdings, Inc. | 9,900 | 515,394 | |
Thoughtworks Holding, Inc.(1)(2) | 5,000 | 50,950 |
5
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
IT Services (continued) | |||
Toast, Inc., Class A(1)(2) | 60,806 | $ 1,096,332 | |
$ 48,782,536 | |||
Leisure Products — 0.2% | |||
Brunswick Corp. | 25,576 | $ 1,843,518 | |
Hasbro, Inc. | 12,009 | 732,669 | |
Mattel, Inc.(1) | 72,261 | 1,289,136 | |
$ 3,865,323 | |||
Life Sciences Tools & Services — 0.0%(3) | |||
Azenta, Inc. | 5,587 | $325,275 | |
Illumina, Inc.(1) | 1,896 | 383,371 | |
PerkinElmer, Inc. | 1,000 | 140,220 | |
$848,866 | |||
Machinery — 5.8% | |||
AGCO Corp. | 25,025 | $3,470,717 | |
Caterpillar, Inc. | 62,698 | 15,019,933 | |
CNH Industrial NV | 304,088 | 4,883,653 | |
Cummins, Inc. | 28,072 | 6,801,565 | |
Deere & Co. | 22,198 | 9,517,615 | |
Donaldson Co., Inc. | 23,424 | 1,378,971 | |
Dover Corp. | 27,101 | 3,669,746 | |
Flowserve Corp. | 37,508 | 1,150,745 | |
Fortive Corp. | 69,159 | 4,443,466 | |
IDEX Corp. | 6,180 | 1,411,079 | |
Illinois Tool Works, Inc. | 21,867 | 4,817,300 | |
Ingersoll Rand, Inc. | 98,059 | 5,123,583 | |
ITT, Inc. | 21,852 | 1,772,197 | |
Lincoln Electric Holdings, Inc. | 3,859 | 557,587 | |
Middleby Corp. (The)(1) | 9,101 | 1,218,624 | |
Nordson Corp. | 2,563 | 609,276 | |
Oshkosh Corp. | 26,859 | 2,368,695 | |
PACCAR, Inc. | 73,157 | 7,240,348 | |
Parker-Hannifin Corp. | 17,385 | 5,059,035 | |
Pentair PLC | 32,606 | 1,466,618 | |
Snap-on, Inc. | 17,327 | 3,959,046 | |
Stanley Black & Decker, Inc. | 54,675 | 4,107,186 | |
Timken Co. (The) | 26,695 | 1,886,536 | |
Watts Water Technologies, Inc., Class A | 4,099 | 599,397 | |
Westinghouse Air Brake Technologies Corp. | 45,422 | 4,533,570 | |
Xylem, Inc. | 38,478 | 4,254,513 | |
$101,321,001 | |||
Media — 2.3% | |||
Altice USA, Inc., Class A(1) | 50,749 | $233,446 |
Security | Shares | Value | |
Media (continued) | |||
Cable One, Inc. | 426 | $ 303,252 | |
Charter Communications, Inc., Class A(1) | 4,493 | 1,523,576 | |
Comcast Corp., Class A | 666,189 | 23,296,629 | |
Interpublic Group of Cos., Inc. (The) | 130,881 | 4,359,646 | |
New York Times Co. (The), Class A | 16,394 | 532,149 | |
Omnicom Group, Inc. | 64,132 | 5,231,247 | |
Paramount Global, Class B | 200,280 | 3,380,727 | |
Sirius XM Holdings, Inc. | 20,000 | 116,800 | |
TEGNA, Inc. | 75,040 | 1,590,098 | |
$40,567,570 | |||
Metals & Mining — 1.1% | |||
Commercial Metals Co. | 49,882 | $2,409,301 | |
Nucor Corp. | 53,547 | 7,058,030 | |
Reliance Steel & Aluminum Co. | 21,050 | 4,261,362 | |
Steel Dynamics, Inc. | 49,276 | 4,814,265 | |
$18,542,958 | |||
Multiline Retail — 1.0% | |||
Dillard's, Inc., Class A(2) | 779 | $251,773 | |
Dollar General Corp. | 9,758 | 2,402,907 | |
Dollar Tree, Inc.(1) | 17,334 | 2,451,721 | |
Kohl's Corp. | 25,589 | 646,122 | |
Macy's, Inc. | 58,581 | 1,209,698 | |
Nordstrom, Inc.(2) | 29,251 | 472,111 | |
Target Corp. | 65,438 | 9,752,880 | |
$17,187,212 | |||
Multi-Utilities — 1.3% | |||
Ameren Corp. | 64,422 | $5,728,404 | |
CMS Energy Corp. | 84,994 | 5,382,670 | |
Consolidated Edison, Inc. | 76,515 | 7,292,645 | |
Sempra Energy | 30,392 | 4,696,780 | |
$23,100,499 | |||
Oil, Gas & Consumable Fuels — 0.1% | |||
Enviva, Inc.(2) | 7,750 | $410,518 | |
New Fortress Energy, Inc.(2) | 13,734 | 582,596 | |
$993,114 | |||
Paper & Forest Products — 0.0%(3) | |||
Louisiana-Pacific Corp. | 603 | $35,698 | |
$35,698 |
6
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Personal Products — 0.0%(3) | |||
Coty, Inc., Class A(1) | 71,499 | $ 612,031 | |
$ 612,031 | |||
Pharmaceuticals — 2.6% | |||
Elanco Animal Health, Inc.(1) | 123,944 | $ 1,514,596 | |
Merck & Co., Inc. | 181,024 | 20,084,613 | |
Organon & Co. | 49,190 | 1,373,877 | |
Perrigo Co. PLC | 44,704 | 1,523,959 | |
Pfizer, Inc. | 395,506 | 20,265,727 | |
$44,762,772 | |||
Professional Services — 0.5% | |||
Alight, Inc., Class A(1) | 62,528 | $522,734 | |
ASGN, Inc.(1) | 14,928 | 1,216,333 | |
Booz Allen Hamilton Holding Corp. | 16,429 | 1,717,159 | |
Dun & Bradstreet Holdings, Inc. | 40,531 | 496,910 | |
FTI Consulting, Inc.(1) | 1,651 | 262,179 | |
ManpowerGroup, Inc. | 15,818 | 1,316,216 | |
Robert Half International, Inc. | 8,347 | 616,259 | |
Science Applications International Corp. | 12,992 | 1,441,203 | |
TriNet Group, Inc.(1) | 5,550 | 376,290 | |
Verisk Analytics, Inc. | 3,845 | 678,335 | |
$8,643,618 | |||
Real Estate Management & Development — 0.5% | |||
CBRE Group, Inc., Class A(1) | 64,136 | $4,935,907 | |
Howard Hughes Corp. (The)(1) | 15,810 | 1,208,200 | |
Jones Lang LaSalle, Inc.(1) | 20,208 | 3,220,549 | |
$9,364,656 | |||
Road & Rail — 1.3% | |||
Avis Budget Group, Inc.(1) | 6,042 | $990,465 | |
J.B. Hunt Transport Services, Inc. | 3,349 | 583,932 | |
Knight-Swift Transportation Holdings, Inc. | 40,366 | 2,115,582 | |
Landstar System, Inc. | 2,205 | 359,194 | |
Norfolk Southern Corp. | 29,599 | 7,293,786 | |
RXO, Inc.(1) | 28,243 | 485,780 | |
Ryder System, Inc. | 13,212 | 1,104,127 | |
Schneider National, Inc., Class B | 14,425 | 337,545 | |
Union Pacific Corp. | 41,114 | 8,513,476 | |
XPO, Inc.(1) | 28,243 | 940,209 | |
$22,724,096 | |||
Semiconductors & Semiconductor Equipment — 2.1% | |||
Amkor Technology, Inc. | 23,110 | $554,178 | |
Broadcom, Inc. | 543 | 303,608 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
First Solar, Inc.(1) | 21,223 | $ 3,178,993 | |
GlobalFoundries, Inc.(1)(2) | 9,745 | 525,158 | |
Intel Corp. | 661,087 | 17,472,529 | |
Marvell Technology, Inc. | 29,429 | 1,090,050 | |
Micron Technology, Inc. | 192,135 | 9,602,907 | |
MKS Instruments, Inc. | 15,963 | 1,352,545 | |
ON Semiconductor Corp.(1) | 1,850 | 115,384 | |
Silicon Laboratories, Inc.(1) | 2,095 | 284,229 | |
Skyworks Solutions, Inc. | 1,738 | 158,384 | |
Wolfspeed, Inc.(1)(2) | 29,322 | 2,024,391 | |
$36,662,356 | |||
Software — 0.5% | |||
Altair Engineering, Inc., Class A(1) | 511 | $23,235 | |
AppLovin Corp., Class A(1)(2) | 3,000 | 31,590 | |
Bill.com Holdings, Inc.(1) | 8,824 | 961,463 | |
Black Knight, Inc.(1) | 14,663 | 905,440 | |
Clear Secure, Inc., Class A(2) | 11,469 | 314,595 | |
Dolby Laboratories, Inc., Class A | 3,302 | 232,923 | |
Elastic NV(1) | 9,713 | 500,220 | |
Guidewire Software, Inc.(1) | 6,592 | 412,396 | |
Informatica, Inc., Class A(1) | 1,000 | 16,290 | |
Paycor HCM, Inc.(1) | 5,415 | 132,505 | |
Rapid7, Inc.(1) | 2,000 | 67,960 | |
Roper Technologies, Inc. | 4,264 | 1,842,432 | |
SentinelOne, Inc., Class A(1) | 40,909 | 596,862 | |
Splunk, Inc.(1) | 27,836 | 2,396,401 | |
Tenable Holdings, Inc.(1) | 2,000 | 76,300 | |
$8,510,612 | |||
Specialty Retail — 1.6% | |||
Advance Auto Parts, Inc. | 9,243 | $1,358,998 | |
AutoNation, Inc.(1) | 7,551 | 810,222 | |
Bath & Body Works, Inc. | 47,879 | 2,017,621 | |
Best Buy Co., Inc. | 44,814 | 3,594,531 | |
Burlington Stores, Inc.(1) | 3,494 | 708,444 | |
CarMax, Inc.(1)(2) | 35,828 | 2,181,567 | |
Dick's Sporting Goods, Inc. | 12,122 | 1,458,155 | |
GameStop Corp., Class A(1)(2) | 55,640 | 1,027,114 | |
Gap, Inc. (The)(2) | 40,507 | 456,919 | |
Lithia Motors, Inc., Class A | 6,443 | 1,319,140 | |
Penske Automotive Group, Inc. | 6,216 | 714,405 | |
Petco Health & Wellness Co., Inc.(1) | 34,160 | 323,837 | |
Ross Stores, Inc. | 32,528 | 3,775,525 | |
TJX Cos., Inc. (The) | 87,508 | 6,965,637 |
7
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Specialty Retail (continued) | |||
Williams-Sonoma, Inc. | 7,279 | $ 836,503 | |
$ 27,548,618 | |||
Technology Hardware, Storage & Peripherals — 1.1% | |||
Dell Technologies, Inc., Class C | 61,210 | $ 2,461,866 | |
Hewlett Packard Enterprise Co. | 297,226 | 4,743,727 | |
HP, Inc. | 230,877 | 6,203,665 | |
NetApp, Inc. | 29,672 | 1,782,100 | |
Pure Storage, Inc., Class A(1) | 23,514 | 629,235 | |
Seagate Technology Holdings PLC | 31,532 | 1,658,898 | |
Western Digital Corp.(1) | 61,941 | 1,954,239 | |
$19,433,730 | |||
Textiles, Apparel & Luxury Goods — 0.6% | |||
Capri Holdings, Ltd.(1) | 28,209 | $1,616,940 | |
Columbia Sportswear Co. | 5,937 | 519,962 | |
Hanesbrands, Inc.(2) | 78,117 | 496,824 | |
Levi Strauss & Co., Class A(2) | 20,110 | 312,107 | |
PVH Corp. | 15,257 | 1,076,992 | |
Ralph Lauren Corp. | 10,265 | 1,084,703 | |
Skechers USA, Inc., Class A(1) | 29,851 | 1,252,249 | |
Tapestry, Inc. | 43,744 | 1,665,772 | |
Under Armour, Inc., Class A(1) | 8,707 | 88,463 | |
VF Corp. | 84,061 | 2,320,924 | |
$10,434,936 | |||
Thrifts & Mortgage Finance — 0.2% | |||
Essent Group, Ltd. | 26,017 | $1,011,541 | |
MGIC Investment Corp. | 84,741 | 1,101,633 | |
New York Community Bancorp, Inc. | 122,715 | 1,055,349 | |
Rocket Cos, Inc., Class A | 29,308 | 205,156 | |
TFS Financial Corp. | 12,192 | 175,687 | |
$3,549,366 | |||
Trading Companies & Distributors — 0.7% | |||
Air Lease Corp. | 35,290 | $1,355,842 | |
Beacon Roofing Supply, Inc.(1) | 8,934 | 471,626 | |
Core & Main, Inc., Class A(1) | 19,620 | 378,862 | |
MSC Industrial Direct Co., Inc., Class A | 18,296 | 1,494,783 | |
United Rentals, Inc.(1) | 12,265 | 4,359,226 | |
Univar Solutions, Inc.(1) | 67,858 | 2,157,885 | |
W.W. Grainger, Inc. | 448 | 249,200 | |
WESCO International, Inc.(1) | 10,145 | 1,270,154 | |
$11,737,578 |
Security | Shares | Value | |
Water Utilities — 0.5% | |||
American Water Works Co., Inc. | 36,125 | $ 5,506,173 | |
Essential Utilities, Inc. | 66,322 | 3,165,549 | |
$ 8,671,722 | |||
Wireless Telecommunication Services — 0.3% | |||
T-Mobile US, Inc.(1) | 38,399 | $ 5,375,860 | |
$ 5,375,860 | |||
Total Common Stocks (identified cost $1,559,972,075) | $1,738,786,709 |
Short-Term Investments — 0.5% | |||
Affiliated Fund — 0.2% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.11%(4) | 3,110,482 | $ 3,110,482 | |
Total Affiliated Fund (identified cost $3,110,482) | $ 3,110,482 | ||
Securities Lending Collateral — 0.3% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 4.34%(5) | 4,892,859 | $ 4,892,859 | |
Total Securities Lending Collateral (identified cost $4,892,859) | $ 4,892,859 | ||
Total Short-Term Investments (identified cost $8,003,341) | $ 8,003,341 | ||
Total Investments — 100.0% (identified cost $1,567,975,416) | $1,746,790,050 | ||
Other Assets, Less Liabilities — 0.0%(3) | $ 449,140 | ||
Net Assets — 100.0% | $1,747,239,190 |
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, 2022. The aggregate market value of securities on loan at December 31, 2022 was $13,665,431 and the total market value of the collateral received by the Fund was $13,943,306, comprised of cash of $4,892,859 and U.S. government and/or agencies securities of $9,050,447. |
(3) | Amount is less than 0.05%. |
8
Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2022
Schedule of Investments
(Unaudited) — continued
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2022. |
(5) | Represents investment of cash collateral received in connection with securities lending. |
The Fund did not have any
open derivative instruments at December 31, 2022.
Affiliated Investments
At December 31, 2022, the
value of the Fund’s investment in funds that may be deemed to be affiliated was $3,110,482, which represents 0.2% of the Fund’s net assets. Transactions in such funds by the Fund for the fiscal year to
date ended December 31, 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 | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $2,436,597 | $40,725,232 | $(40,051,347) | $ — | $ — | $3,110,482 | $25,835 | 3,110,482 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
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 December 31, 2022, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $1,738,786,709(1) | $ — | $ — | $1,738,786,709 |
Short-Term Investments: | ||||
Affiliated Fund | 3,110,482 | — | — | 3,110,482 |
Securities Lending Collateral | 4,892,859 | — | — | 4,892,859 |
Total Investments | $1,746,790,050 | $ — | $ — | $1,746,790,050 |
(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.
9