Calvert
Investments that make a difference (registered trademark)
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September 30, 2003
Annual Report
Calvert Social
Investment Fund
Table of Contents
Chairman's Letter
2
President's Letter
5
Portfolio Management Discussion
6
Independent Auditors' Report
23
Schedules of Investments
24
Notes to Schedules of Investments
56
Statements of Assets and Liabilities
57
Statements of Operations
60
Statements of Changes in Net Assets
62
Notes to Financial Statements
71
Financial Highlights
80
Explanation of Financial Tables
98
Trustee and Officer Information Table
100
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Dear Shareholder,
This past year has seen financial markets rebound, providing good returns across many of our portfolios. Much of this rebound is attributable to the easy money policies of the Federal Reserve and cost-cutting programs within companies. The consumer income gains from tax cuts and mortgage refinancings have also given a temporary boost to the economy. Concerns remain, however, as to whether stock market gains can continue without sustained economic growth.
Continued sluggish or non-existent job growth hindered markets, while productivity gains have been the big positive. While some have blamed low-wage countries such as China for job losses, I believe this explanation is short sighted and simplistic. I believe that America continues to be challenged by an inappropriate response to emerging global realities. A unilateral, self-interested approach to a range of issues from global warming to trade issues to the war in Iraq has compromised US global leadership while other regions of the world, particularly Asia, are proceeding to heal old wounds and work to build their regional economies. The Group of 22 lesser-developed countries at the failed Doha round of trade negotiations expressed their exasperation by walking out. Although the walkout may hurt them in the short run, they have raised an important long-term issue about the need for better world leadership and cooperation.
In my view
America needs to invest in our social infrastructures, such as education, job training, and primary health care. In the area of energy, we need to find solutions that will reduce our reliance on foreign oil in particular and fossil fuels more generally. Today's job situation confounds me when there is so much valuable work to be done in these areas with initiatives that could fuel a positive, self-perpetuating cycle to enhance America's vitality. Instead, we continue to pursue unsustainable levels of consumption while amassing private and public debt, which will only further constrain our options in the future.
In the midst of these developments, your Fund continues its models of social investing, demonstrating how the private sector can learn and grow with best practices that enhance quality of life while providing decent financial returns to investors.
Shareholder Activism
The objective of our shareholder activism is to move companies that are already performing in a more socially responsible manner than their industry peers to a higher level of corporate responsibility. I'd like to highlight several recent results of Calvert's shareholder activism. First, two major pharmaceutical companies have agreed to amend and post their ethical policies regarding clinical research trials conducted in developing countries. Often, indigenous populations participating in these trials are not given adequate information about potential health risks or are promised but not given health care and drugs in exchange for their participation in the trials.
Second, in the area of board diversity, two of our portfolio companies agreed to adopt key language from Calvert's model board diversity charter. The charter reflects our belief that boards of directors should look like America, rather than a small slice of America. We have encouraged all companies in the Calvert Social Index to adopt this model language.
We have also achieved significant results with resolutions we have taken to vote at annual shareholder meetings. For example, we received 12% support on a resolution seeking inclusive diversity policies at Alltel Corporation and a remarkable 63% on a resolution for staggered board tenures at Gillette. In general, vote counts for active shareholders like Calvert have been much higher this year than in the past. For us, this is in part the result of our greater attention to making a strong business case for each resolution. We have become more effective in positioning our point of view in the context of shareholders' financial interests.
At any moment, we may have a few dozen major "dialogues" going on with companies in our various Funds. For example, we are asking Weyerhaeuser to establish a policy prohibiting the harvest of and trade in products from primary and old-growth forests. In another dialogue, Calpine has agreed to work with Indian tribes in the area of its proposed geothermal power plant to avoid destroying sacred sites. And we continue to work with Dell, Hewlett Packard, and other computer manufacturers to establish and improve responsible computer recycling programs and to implement designs that avoid incorporating hazardous substances in new computers.
Calvert also revamped its own proxy-voting guidelines in an effort to truly marry corporate social responsibility and corporate governance. You can review these new guidelines on the Calvert Web site, www.calvert.com.
Special Equities
This was an active year for our Special Equities program, which invests monies in private companies to promote the core values of the Fund while seeking venture-capital-like returns.
Among our new investments were Plethora Technology -- a minority founded, owned, and managed company with cutting-edge software for secure remote computing -- and Dragonfly Media, a company that is building a network of progressive, community-based monthly magazines.
You may be aware of Flu-Mist, a nasal flu vaccine for children and the aged, that is now on the market. This technology was developed by one of our earlier Special Equities companies, on which the Fund earned both strong social and financial returns.
Community Investments
As you know, your Fund invests one percent of assets in community loan funds at below-market rates to foster social equity and development. The program is managed through Calvert Social Investment Foundation. Two examples of recent investments by the Foundation illustrate the range and results of these efforts.
The Chicago Community Loan Fund concentrates its lending activity with organizations in low- and moderate-income communities where the majority of residents are minorities. Among these organizations, executive leadership is 50% female. Eighty-eight percent of end-use borrowers have household incomes at or below 80% of area median income. The client population is diverse, with 60% African American, 14% Caucasian, 24% Latino, and 2% Asian residents. One borrower, Carol White, says of the home loan she has received, "I have [rented] on this block for 15 years and I can't wait to move into my dream home."
The Low Income Investment Fund (LIIF), which is based in California, focuses on housing and community development strategies. One of LIIF's construction loan efforts made possible the Camino Nuevo Charter Academy, a kindergarten-grade five school providing a quality education in a safe learning environment for children formerly receiving substandard education simply because the school system could not afford to provide basic academic necessities.
Calvert
In an effort to expand Calvert's social vision and strategic leadership and move the field of socially responsible investing forward, we created a new position of Senior Advisor for Strategic Social Policy. Joe Keefe will work with Calvert in developing the direction and focus of social policy. The Fund board is very pleased with this staffing and to acknowledge the resource commitment of Calvert Asset Management, a private company, in meeting your Fund's social objectives. In acknowledgement of our growth, Calvert also created a new position of Senior Vice President and Chief Investment Officer, Equities. Steve Falci, CFA, is charged with evaluating and monitoring the performance of Calvert's socially-screened equity products and identifying products to expand Calvert's line-up. Mr. Falci is formerly Senior Portfolio Manager at Mellon Equity Associates.
We believe that you can be proud of your Fund investment, for which we again thank you.
Sincerely,
/s/D. Wayne Silby,
Chairman
November 2003
Dear Shareholders:
The markets have improved dramatically over the past year, with stocks showing substantial gains and bonds continuing to profit from an historically low interest-rate environment.
We believe that this year's broad-based market turnaround illustrates once again the value of diversification, asset allocation and long-term investing. Many investors who pursued an appropriate asset allocation, with investments in stocks, bonds and cash, were able to benefit from the rally in securities prices. Those who paid too much attention to short-term past performance and substantially reduced their stock holdings early in the year may well have missed the sharp rallies in the second quarter. At Calvert, we encourage all our shareholders to review their portfolios with their financial advisors to ensure that their investments remain in line with their specific risk tolerance, return expectations and financial goals.
A cloud on the otherwise bright performance of the markets and economy was the distressing news concerning recent market timing and illegal after-hours trading on the part of certain mutual funds. We want to assure Calvert shareholders that we have a long-standing policy of not accepting trades from market timers, which is strictly enforced. And, of course, we do not accept or execute trades after the market closes, which would be in violation of securities industry regulations.
Markets like the ones that we have seen over the past several years demonstrate that understanding risk -- at the security, fund, and asset-class level -- is an integral part of successful investing. This year, we have taken a number of steps to improve our ability to monitor and manage risk, and to prepare for further growth in our investor base. We have reorganized Calvert's investment activities into two departments, Equities and Fixed Income, each headed by Chief Investment Officers who will work closely with our Social Research Department. We believe that these changes will enhance our ability to deliver top-tier investment performance to our shareholders, while keeping investment risk at appropriate levels.
Thank you for your continued business, and we look forward to serving you in the year ahead.
Sincerely,
/s/Barbara J. Krumsiek
President and CEO
Calvert Asset Management Company, Inc.
November 2003
Portfolio Management Discussion
James O'Boyle and Tom Dailey
of Calvert Asset Management Company
Performance
For the 12 months ended September 30, 2003, CSIF Money Market Portfolio shares returned 0.63% versus 0.56% for the Lipper Money Market Funds Average.
Investment Climate
It appears that the US economy has been experiencing growth in most areas except labor as a result of the combination of low interest rates, federal tax cuts, and a weak dollar. We believe that consumer spending continued to be the main driver of the economy; however, without an increase in jobs, any economic growth will be hard pressed to maintain impetus.
At the beginning of the period, the spread between one-month London Interbank Offered Rate (LIBOR) and 12-month LIBOR was 0.09%, indicating that the market was anticipating the Fed would keep the Fed funds rate low for some time.
During the last three months of the period, the spread widened to 0.37% as 12-month LIBOR was at its high for the quarter at 1.49% on September 3rd. However, it appears that by month-end a weak payroll report in the beginning of September reduced the spread between one-month LIBOR and twelve-month LIBOR to 0.18%, indicating that the market believed the Fed would remain on the sidelines.
Money Market Portfolio Statistics
September 30, 2003
Investment Performance | |||||||
6 Months | 12 Months | ||||||
ended | ended | ||||||
9/30/03 | 9/30/03 | ||||||
Money Market Portfolio | 0.23% | 0.63% | |||||
Lipper Money Market Funds Avg.* | 0.21% | 0.56% | |||||
Maturity Schedule | |||||||
Weighted Average | |||||||
9/30/03 | 9/30/02 | ||||||
39 days | 49 days | ||||||
Average Annual Total Returns | |||||||
One year | 0.63% | ||||||
Five year | 3.34% | ||||||
Ten year | 3.98% | ||||||
Since inception | 5.51% | ||||||
(10/21/82) |
Total return assumes reinvestment of dividends.
Past performance is no guarantee of future results.
* Source: Lipper Analytical Services, Inc.
Portfolio Strategy
We continued to balance our short-term purchases with purchases of government agency securities in the 12- to 13-month range. Our short-term purchases focused on weekly variable-rate demand notes, which should reset upward quickly when the Fed begins to raise rates. At the same time, we continued our purchases of longer government agencies to protect the Portfolio's yield if the Fed remains on the sideline for an extended period.
Outlook
Recent economic data has been mixed and consumer confidence fell to 76.80 in September, its lowest level since the 61.40 low for the period in March of this year. The Fed position appears to indicate that it will keep target short-term interest rates low to spur economic growth. Therefore, we will continue our current strategy as we believe the Fed will remain on the sidelines for an extended period.
November 2003
Balanced Portfolio Statistics
September 30, 2003
Investment Performance | |||||||
(total return at NAV) | |||||||
6 Months | 12 Months | ||||||
ended | ended | ||||||
9/30/03 | 9/30/03 | ||||||
Class A | 11.87% | 15.28% | |||||
Class B | 11.26% | 14.06% | |||||
Class C | 11.22% | 14.02% | |||||
Class I** | 12.03% | 15.72% | |||||
Lehman Aggregate Bond Index TR* | 2.35% | 5.41% | |||||
Lehman U.S. Credit Index* | 4.65% | 10.47% | |||||
Russell 1000 Index* | 19.21% | 25.14% | |||||
Lipper Balanced Funds Avg* | 12.59% | 15.87% | |||||
Ten Largest Long-Term Holdings | |||||||
% of Net Assets | |||||||
Microsoft Corp. | 2.1% | ||||||
Pfizer, Inc. | 1.6% | ||||||
Johnson & Johnson | 1.5% | ||||||
International Business Machines Corp. | 1.5% | ||||||
Sovereign Bancorp., Inc., | |||||||
12.18%, 6/30/20 | 1.4% | ||||||
Intel Corp. | 1.4% | ||||||
Cisco Systems, Inc. | 1.4% | ||||||
American International Group, Inc. | 1.3% | ||||||
LCOR Alexandria LLC, | |||||||
6.625%, 9/15/19 | 1.2% | ||||||
American Public Energy Agency | |||||||
Gas Supply Revenue Bonds, | |||||||
6.875%, 12/1/04 | 1.2% | ||||||
Total | 14.6% |
Portfolio Management Discussion
John Nichols,
Vice President of Equities
Calvert Asset Management Company
Performance
For the 12 months ended September 30, 2003, Calvert Social Investment Fund Balanced Portfolio's Class A shares produced a total return of 15.28%. The Russell 1000, a measure of stock market performance, returned 25.14%, and the Lehman Aggregate Bond Index TR, a measure of the performance of bonds, returned 5.41%. A blend of these indices, weighted in the same way that stocks and bonds are weighted in the Fund, would have produced a total return of 17.25% for the period.
Investment Climate
Over the course of the past year, markets have taken on a decidedly different tone. Both stock and bond markets have been able to produce positive total returns, offering equity investors a respite from the ravages of the bear market. Investors in both stocks and bonds tended to show a more distinct disposition towards assuming more risk in their portfolios. Low interest rates with stable Fed monetary policy, stimulative U.S. fiscal policy, and modestly improving economic news combined to produce an environment in which investors appear to be more optimistic. As often happens in the early stages of a market recovery, investors expressed a preference for more speculative opportunities. In such an environment, high quality investments, whether stocks or bonds, tend to underperform lower quality investments. Some of the best-performing stocks were those with weak histories and weak prospects, stocks of companies that had been beaten down by the recession and the bear market. Junk bonds were among the best performers in the bond market.
US equity markets appear to have hit a low point on October 9, 2002, as the Russell 1000 bottomed out at 410.52. Virtually every other major U.S. equity index found a cyclical low point on that date. By the end of September 2003, the Russell 1000 had risen to 532.15, producing a total return, including the re-investment of dividends, of 25.14%. Small- and mid-cap stocks performed the best, though, with the Russell Mid Cap Index up 32.63% and the Russell 2000, a measure of small-cap stock performance, up 36.50% for the year ended September 30, 2003. This better performance of smaller stocks relative to larger is consistent with the general trend of investors taking on more risk. Similarly, growth stocks tended to outperformed value stocks over the period, with the difference between growth and value returns widening as one moved from large- to small-caps.
Although bond returns haven't been as robust as stock returns over the past year, performance there has been a strong positive as well. The character of bond market returns reflects the change in investor perspective evident in the performance of stocks. Throughout the equity bear market, US Treasury bonds generally outperformed corporate bonds of similar maturity. As equity investors decided to take on more risk, bond investors did so as well, shifting from Treasuries to corporate bond issues. This process of credit-yield-spread narrowing is clearly evident, as the Lehman US Treasury index returned 3.26% for the 12-month period, while the Lehman US Credit Index, a measure of investment-grade corporate bond performance was up 10.47%. High-yield, or junk bonds, as measured by the Lehman U.S. Corporate High Yield index, produced a total return of 29.28%.
** Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Investment Performance, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Investment Performance, the Class A performance at NAV was used during the period June 30, 2003 through September 30, 2003.
* Source: Lipper Analytical Services, Inc.
Investment performance does not reflect the deduction of any front-end or deferred sales charge. TR represents total return.
Balanced Portfolio Statistics
September 30, 2003
Average Annual Total Returns
(with max. load)
Class A Shares | ||||
One year | 9.75% | |||
Five year | 0.36% | |||
Ten year | 5.18% | |||
Since inception | 8.77% | |||
(10/21/82) | ||||
Class B Shares | ||||
One year | 9.06% | |||
Five year | 0.06% | |||
Since inception | (0.89%) | |||
(4/1/98) | ||||
Class C Shares | ||||
One year | 13.02% | |||
Five year | 0.30% | |||
Since inception | 4.77% | |||
(3/1/94) |
Balanced Portfolio Statistics
September 30, 2003
Average Annual Total Returns
(with max. load)
Class I Shares* | |
One year | 15.72% |
Since inception | (0.43%) |
(3/1/99) | |
Asset Allocation | |
Stocks | 60% |
Bonds | 39% |
Cash & Cash Equivalents | 1% |
100% |
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
[See Attached BALANCED PORTFOLIO LINE GRAPH]
* Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the period June 30, 2003 through September 30, 2003.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end or deferred sales charge. No sales charge has been applied to the index used for comparison. The value of an investment in Class A shares is plotted in the line graph. The value of an investment in another class of shares would be different. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. The Fund changed its primary benchmark to the Russell 1000 Index when SSgA Funds Management began as a new subadvisor effective March 2002. Earlier subadvisor changes occurred in July 1995.
Past performance is no guarantee of future results.
Portfolio Strategy
Throughout the period, the Portfolio's allocation between stocks and bonds stayed relatively on track compared to our long-term policy of investing 60% of assets in stocks and 40% in bonds.
The investment process used by our equity portfolio managers relies heavily on solid fundamentals as the basis for identifying superior investment opportunities. We favor higher quality and larger-cap stocks. The speculative tone of markets over the period, primarily rewarding low quality and smaller-cap issues, did not favor such an approach.
The Portfolio's equity investment is diversified across a broad number of economic sectors, with four sectors accounting for the bulk of the equity investments. These four sectors -- Technology, Health Care, Consumer Discretionary and Financial Services -- are the largest sectors in the Russell 1000 as well. The Technology sector was the best-performing sector in the market for the year. Here, the speculative tone of the market was particularly evident. The Fund's over-weighting of the sector relative to the Russell 1000 provided a solid boost to the equity portfolio's relative return. The biggest disappointments came from the Health Care sector, particularly from investments in the Drug and Pharmaceutical industry group. The two remaining prime sectors -- Financial Services and Consumer Discretionary -- performed more in line with the overall Index return. The Portfolio's holdings in these sectors underperformed the sectors in the Index, creating a drag on the equity portfolio's relative performance for the period.
The Portfolio's investments in bonds are focused more on investment-grade corporate bonds than US Treasuries and government agencies. Thus, our bond portfolio benefited from a credit-spread-narrowing environment in which riskier assets outperformed. As interest rates continued to decline throughout the early stages of the period, we lessened the overall market risk of the bond portfolio, as measured by the portfolio's duration, and improved the overall credit quality of the portfolio by selling lower-rated bonds and replacing them with higher-rated issues. While the decline in interest rates persisted longer than we expected, and reached lower rates than we expected, this policy served investors well when rates rose quickly later in the period.
Outlook
The bounce-back in performance for U.S. equities after the dismal second and third quarters of 2002 looks to us like the first leg of a new bull market for equities. Bonds, on the other hand, appear to us to be richly valued. Credit spreads for corporate bonds appear too narrow considering the inherent risks of owning corporate bonds, and mortgage securities offer too little yield for the volatility that market segment experiences. For good news to continue for both markets, investors will need to see some evidence that their optimism was warranted. We believe that speculative markets cannot be sustained and credit problems avoided in the absence of improving fundamentals. In the long run, investors demand tangible proof that the companies in which they invest produce financial and economic profits. With stimulative monetary policy (low interest rates) and stimulative fiscal policy (federal budget deficits and tax cuts), policy makers appear to be making concerted efforts to bolster economic growth.
November 2003
Portfolio Management Discussion
Greg Habeeb
and Matt Nottingham
of Calvert Asset Management Company
Performance
For the 12 months ended September 30, 2003, the Portfolio's Class A shares returned 8.20%, outperforming the Lehman Aggregate Bond Index TR by 279 basis points and the Lipper Corporate Debt Funds A Rated Average by 197 basis points.
Outperformance was primarily due to favorable credit selection, underweights to Treasury and mortgage- backed securities, opportune duration management, and relative-value trading.
Investment Climate
Overall, the investment climate for stocks and for bonds, particularly non-Treasuries, was very favorable for investors. Even though few would describe the current state of the economy as robust, it appears that many investors believe that the worst times are behind us. The corporate bond market has continued a rally that started about a year ago, with corporate bond yields relative to Treasuries narrowing to levels not seen since 1997. This can be seen in the Lehman US Credit Index, comprising corporate issues, exceeding the Lehman Aggregate Index.
Bond Portfolio Statistics
September 30, 2003
Investment Performance
(total return at NAV)
6 Months | 12 Months | ||||
ended | ended | ||||
9/30/03 | 9/30/03 | ||||
Class A | 5.51% | 8.20% | |||
Class B | 4.99% | 7.13% | |||
Class C | 5.00% | 7.21% | |||
Class I | 5.81% | 8.74% | |||
Lehman Aggregate Bond Index TR | 2.35% | 5.41% | |||
Lehman U.S. Credit Index | 4.65% | 10.47% | |||
Lipper Corporate Debt Funds A Rated Avg. | 2.84% | 6.23% | |||
Maturity Schedule | |||||
Weighted Average | |||||
9/30/03 | 9/30/02 | ||||
12 years | 11 years | ||||
SEC Yields | |||||
30 days ended | |||||
9/30/03 | 9/30/02 | ||||
Class A | 3.33% | 4.56% | |||
Class B | 2.58% | 3.81% | |||
Class C | 2.59% | 3.80% | |||
Class I | 4.03% | 5.36% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
TR represents total return.
Source: Lipper Analytical Services, Inc.
Bond Portfolio Statistics
September 30, 2003
Average Annual Total Returns
(with max. load)
Class A Shares | ||||
One year | 4.11% | |||
Five year | 5.87% | |||
Ten year | 5.81% | |||
Since inception | 7.80% | |||
(8/24/87) |
Bond Portfolio Statistics
September 30, 2003
Average Annual Total Returns
(with max. load)
Class B Shares | ||||
One year | 3.20% | |||
Five year | 5.55% | |||
Since inception | 5.66% | |||
(4/1/98) | ||||
Class C Shares | ||||
One year | 6.21% | |||
Five year | 5.45% | |||
Since inception | 5.47% | |||
(6/1/98) | ||||
Class I Shares | ||||
One year | 8.74% | |||
Since inception | 8.95% | |||
(3/31/00) |
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
[See attached BOND PORTFOLIO LINE GRAPH]
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end sales charge of 3.75%. No sales charge has been applied to the index used for comparison. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. The value of an investment in Class A shares is plotted in the line graph. The value of an investment in another class of shares would be different. Past performance is no guarantee of future results.
Portfolio Strategy
Our strategy has been to sell corporate bonds into this rally and replace them primarily with higher-rated securities such as insured taxable municipal bonds, which often trade more cheaply than corporates in spite of similar ratings. The result is that we have upgraded the credit quality of the Portfolio to the highest level since 1997. The average credit rating of the CSIF Bond Portfolio is AA (at September 30, 2003).
We also sought to lower our risk exposure by liquidating larger high-yield positions and replacing them with a more diversified selection of high-yield names.
Outlook
It's our belief that the prices of many non-Treasury bonds are fair to rich. Mortgages don't seem to offer enough yield compensation for what has been a very volatile period for interest rates. Corporate bond yields are too low relative to Treasuries to offer enough protection from the inherent credit risk of owning these securities. In both cases, we believe that lighter weightings in the categories are appropriate. Fortunately, we have found enough taxable municipals at cheaper prices than both corporates and mortgages that should result in outperformance of both classes, especially if the investment climate turns unfavorable. In general, we will continue to maintain a defensive posture until we see signs of significant improvement and growth in our economy.
November 2003
Portfolio Management Discussion
Dan Boone
of Atlanta Capital Management Company
Performance
CSIF Equity Portfolio Class A shares returned a solid 23.56% for the one-year period ended September 30, 2003. While the S&P 500 Index and Lipper Multi-Cap Core Funds Average did slightly better, at 24.37% and 23.86%, respectively, we feel very good about capturing over 95% of the upside given our high quality portfolio.
Our portfolio management team has now completed its fifth year as the Portfolio's investment subadvisor. During this time, Class A shares had an average annual return (at NAV) of 10.76% as compared to 1.00% for the S&P 500 Index and 4.11% for the Lipper Multi-Cap Core Funds Average. This performance ranks the Portfolio in the top 11% of our category.
We have made a good start towards our original goal of achieving above-average returns through investing in companies that meet socially responsible criteria. In fact, we believe that socially responsible companies offer a superior universe from which to build long-term portfolios. The social screens helped us avoid not only the bankruptcies, but also almost all of the companies with ethical or accounting problems that have come to light over the past few years. Atlanta Capital's disciplines of investing in companies with established earnings records and pursuing independent fundamental analysis contributed to this record.
Equity Portfolio Statistics
September 30, 2003
Investment Performance
(total return at NAV)
6 Months | 12 Months | ||||
ended | ended | ||||
9/30/03 | 9/30/03 | ||||
Class A | 16.46% | 23.56% | |||
Class B | 15.99% | 22.50% | |||
Class C | 16.03% | 22.56% | |||
Class I | 16.82% | 24.24% | |||
S&P 500 Index Mthly. Reinvested | 18.44% | 24.37% | |||
Lipper Multi-Cap Core Funds Avg | 20.35% | 23.86% | |||
Ten Largest Stock Holdings | |||||
% of Net Assets | |||||
Cisco Systems, Inc. | 3.4% | ||||
Microsoft Corp. | 3.1% | ||||
Pfizer, Inc. | 2.9% | ||||
American International Group, Inc. | 2.6% | ||||
Dell, Inc. | 2.6% | ||||
Amgen, Inc. | 2.5% | ||||
Emerson Electric Co. | 2.4% | ||||
Wellpoint Health Networks, Inc. | 2.3% | ||||
Home Depot, Inc. | 2.3% | ||||
Intel Corp. | 2.2% | ||||
Total | 26.3% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
Source: Lipper Analytical Services, Inc.
Equity Portfolio Statistics
September 30,2003
Average Annual Total Returns
(with max. load)
Class A Shares | ||||
One year | 17.69% | |||
Five year | 9.69% | |||
Ten year | 8.21% | |||
Since inception | 7.96% | |||
(8/24/87) | ||||
Class B Shares | ||||
One year | 17.44% | |||
Five year | 9.54% | |||
Since inception | 3.75% | |||
(4/1/98) |
Equity Portfolio Statistics
September 30, 2003
Average Annual Total Returns
(with max. load)
Class C Shares | ||||
One year | 21.56% | |||
Five year | 9.78% | |||
Since inception | 7.45% | |||
(3/1/94) | ||||
Class I Shares | ||||
One year | 24.24% | |||
Since inception | 4.82% | |||
(11/1/99) | ||||
Asset Allocation | ||||
Stocks | 97% | |||
Notes | 2% | |||
Cash & Cash Equivalents | 1% | |||
100% |
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
[See Attached EQUITY PORTFOLIO LINE GRAPH]
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end sales charge of 4.75%. No sales charge has been applied to the index used for comparison. The value of an investment in Class A shares is plotted in the line graph. The value of an investment in another class of shares would be different. New subadvisor assumed management of the Portfolio effective September 1998. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Investment Climate
What a difference a year makes! We have much to celebrate. First and foremost, the long and difficult bear market appears over. The bubbles in the economy and the markets have corrected, and we are well established in what we believe is at least a cyclical bull market.
Portfolio Strategy
Over the past 12 months, our decision to overweight the Information Technology sector was a significant benefit to the Portfolio. A year ago, Technology was extremely unpopular, and Wall Street was very negative about the outlook for this sector. We saw an opportunity because we believe that America's long-term competitive advantage is based on knowledge: workers armed with better, faster and deeper information. We felt confident that spending on technology would resume and that Technology would continue to be a significant growth sector of the economy.
We hedged our investments by buying the leaders in different technology industries and seeking strong balance sheets. In fact, most of our technology companies have net cash on the balance sheet -- that is, cash in excess of debt. Our Technology investments soared 55.7% over the 12 months. Also on the positive side, we underweighted the worst performing sector, Consumer Staples. On the other hand, our overweighting in Health Care detracted from relative performance, although the stocks increased over 10%. Overall, our sector strategy added more than 3% to performance.
As might be expected, our stock selection was not as positive because we stuck to our high-quality disciplines. As in Technology, the lowest-quality stocks tended to rebound the most as a better economic outlook reduced fears of continued depressed earnings and in some cases bankruptcy. The best-performing stocks were primarily those with no earnings, low stock prices, and high volatility. Our philosophy leads us to avoid those companies. Selection was good in Consumer Staples and Utilities, but lagged in Financials and Industrials. Overall, selection lagged about 2%, again primarily because of the quality effect.
Outlook
Over the shorter term
We remain optimistic about the course of the economy and the stock market for the year ahead for several reasons. We believe that we are in the "sweet spot" of an economic expansion. Consumer incomes are up significantly and, aided by the tax cuts, consumer spending is accelerating. Business profits have rebounded, with more to come as inventories are rebuilt and revenues increase. Costs appear under control, and modest sales gains may be leveraged at the profit line. Companies appear to have rationalized their previous investments in technology and are now beginning to implement major new technology projects in order to preserve or enhance their competitive position.
We do not believe that this expansion has been a "jobless recovery." The Bureau of Labor Statistics' household survey of employment indicates 1.4 million jobs have been created since the official end of the recession in November 2001. We believe this data is more accurate than the establishment survey, also a product of BLS, which shows a decline in jobs. The household survey includes new companies and self-employed persons, which typically expand the fastest during and immediately after a recession. While there is no question that job creation in this recovery has been below average so far, we expect a sharp acceleration in employment in the months ahead, which should add to the sustainability of the recovery.
We are not concerned about deflation and believe modestly accelerating inflation is more likely. This would not be positive for bonds and other fixed income investments. We are cognizant of, but not significantly worried about, the federal deficit, as this is the time of the economic cycle in which it is appropriate for the government to run deficits. We expect significantly fewer expenditures in Iraq in 2005. In addition, we cannot find a high correlation between deficits and the stock market.
Over the longer term
Our long-term concerns center on maintaining free trade and the possibility of excesses in the real estate market. Neither of these factors should keep the market from continuing its recovery, but we are keeping them on the watch list.
Valuation levels appear reasonable to us. The market is currently at about 16 times our estimate of 2004 earnings of $62 in the S&P 500. This is low for an expanding economy with continued low inflation and interest rates. We see the potential for continued strength over the next year for the S&P in the context of a cyclical bull market. Temporary corrections are possible, but we believe that the good earnings news to come is not fully reflected in today's prices, and should sustain the advance.
On a longer-term basis, we also disagree with those who characterize the current period as a "low return environment." Our work suggests a reasonable expectation for stock returns for the rest of the decade is in line with long-term historical averages.
We are positive about the prospects for the Portfolio. We believe that it is well diversified. The stocks are of companies that we believe are high quality and have high returns on capital, conservative balance sheets, and solid earnings growth histories and prospects. The companies are socially responsible, which we believe means that they tend to think long term. They have generally made prudent investments in their employees and in the environment, and they tend to have good corporate governance. We believe they will reap the benefit of these wise investments in the years ahead. Finally, we believe valuations currently afforded these socially responsible stocks are very attractive on a relative basis.
The Portfolio has grown significantly over the past year. We welcome our new shareholders and appreciate the continued investment by our longer-term shareholders.
November 2003
Portfolio Management Discussion
Arlene Rockefeller
of SSgA Funds Management
Performance
CSIF Enhanced Equity Portfolio Class A shares rose 23.94% during the year ended September 30, 2003, as compared with a rise of 25.14% for the Russell 1000 Index. The rally over the past year has been driven by primarily low-quality and low-priced stocks. Unfortunately, this type of rally can pose some problems for our strategy, as the Portfolio tends to focus on companies that generate high-quality earnings. Because of the primary nature of the rally, out strategy did not keep pace with the benchmark.
Investment Climate
The market appears to have turned a corner after reaching a low on October 9, 2002, and resumed its long-term march upward. From the peak of the bull market on March 27, 2000, to the low, the Russell 1000 Index declined over 47%. But just as the dramatic fall in the market predicted a slowing economy, we believe that the recent rise in the indices suggests a return to robust economic growth. Spurred on by highly stimulative fiscal and monetary policy, the economy has shown signs of promising growth. Low interest rates, rapid monetary growth, and tax cuts have all contributed to GDP growth of 3.4% in the second quarter and have many economists predicting growth of 4% to 5% in the third quarter.
Small-cap stocks primarily drove the market upward, which is normal in the early stages of a bull market when investors tend to initially feel more comfortable assuming risk, and the riskiest names were among the chief beneficiaries. In particular, low-quality, low-priced stocks bounced back dramatically over the past year. For example, stocks trading at less than $10 rose 84% on average over the past year, while stocks trading at over $50 rose roughly 10%.
A classic example is Corning, Inc. This company was a darling of the late 1990s due to its position as a leading manufacturer of fiber optic cable, a staple for advanced voice and data communications systems. At the height of the last stage of the tech "bubble," the stock traded at $113.33 (after adjusting for the effect of a subsequent stock split), but saw its stock price fall to almost $1 in the waning days of the bear market. Since then the price has jumped to $10, despite poor financial performance. Corning was not held by the Portfolio during the reporting period. It does not pass the social screens of the Portfolio, and the manager viewed it as a poor choice given cash flow and valuation problems at the company.
Enhanced Equity
Portfolio Statistics
September 30, 2003
Investment Performance
(total return at NAV)
6 Months | 12 Months | |||||
ended | ended | |||||
9/30/03 | 9/30/03 | |||||
Class A | 16.16% | 23.94% | ||||
Class B | 15.60% | 22.54% | ||||
Class C | 15.63% | 22.54% | ||||
Class I** | 16.16% | 23.94% | ||||
Russell 1000 Index* | 19.21% | 25.14% | ||||
Lipper Large-Cap Core Funds Avg.* | 16.92% | 20.86% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Source: Lipper Analytical Services, Inc.
Asset Allocation
Stocks | 100% | |||
Total | 100% |
** Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Investment Performance, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Investment Performance, the Class A performance at NAV was used during the period September 30, 2002 through September 30, 2003.
Enhanced Equity
Portfolio Statistics
September 30, 2003
Average Annual Total Returns
(with max. load)
Class A Shares
One year 18.05%
Five year 1.56%
Since inception (0.48%)
(4/15/98)
Class B Shares
One year 17.54%
Five year 1.16%
Since inception (0.91%)
(4/15/98)
Enhanced Equity
Portfolio Statistics
September 30, 2003
Average Annual Total Returns
(with max. load)
Class C Shares | ||||
One year | 21.54% | |||
Five year | 1.36% | |||
Since inception | (0.07%) | |||
(6/1/98) | ||||
Class I Shares* | ||||
One year | 23.94% | |||
Five year | 2.88% | |||
Since inception | 0.72% | |||
(4/15/98) |
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
[See attached ENHANCED EQUITY LINE GRAPH]
* Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the period January 18, 2002 through September 30, 2003.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end or deferred sales charge. No sales charge has been applied to the index used for comparison. The value of an investment in Class A, B and I shares is plotted in the line graph. The value of an investment in another class of shares would be different. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. The month-end date of 4/30/98 is used for comparison purposes only; actual Fund inception is 4/15/98. Past performance is no guarantee of future results.
Portfolio Strategy
Sector/industry
Sector allocation was a slight plus for the year. The strategy added value by carrying a slight overweight to Technology companies and an underweight to Non-cyclicals. Higher-beta tech stocks generally performed well, as they normally do in the early stages of the economic recovery. In fact, Technology stocks rose over 50% on average over the past year. In contrast, Non-cyclicals rose a mere 8%, as investors tended to sell these stocks to move into higher-octane growth companies. Nonetheless, the value added from sector allocation was minimal, as the strategy seeks to maintain a fairly neutral sector profile.
Enhanced Equity
Portfolio Statistics
September 30, 2003
Ten Largest Stock Holdings
% of Net Assets | |
Microsoft Corp. | 4.1% |
Pfizer, Inc. | 2.9% |
International Business Machines Corp. | 2.9% |
Johnson & Johnson | 2.8% |
American Int'l Group, Inc. | 2.8% |
Intel Corp. | 2.6% |
Bank of America Corp. | 2.5% |
Cisco Systems, Inc. | 2.4% |
Merck & Co., Inc. | 2.1% |
J.P. Morgan Chase & Co. | 2.1% |
Total | 27.3% |
Stock-specific
Stock selection detracted from the Portfolio's relative return. The main culprit was the tendency of the Portfolio to have an underweight to stocks with negative earnings. Stocks with negative return on equity and negative cash-flow generation led the market higher. On a company-by-company basis, there were no stocks that were significant individual detractors from Portfolio performance, but rather a series of smaller hits had a cumulative negative effect on relative performance.
Stock selection was weakest among Industrials and within service industries. However, few stocks stand out as major detractors from value added. For example, the two most harmful positions among industrials were an underweight to Caterpillar (+90%) and an overweight to Black and Decker (-2%). This tradeoff cost the Fund less than 20 basis points in excess return.
A slight overweight to Darden caused a slightly higher degree of pain. Darden, the operator of Red Lobster and The Olive Garden restaurants, continues to suffer from cost overruns and weak revenue growth. An overweight to this name cost the Fund roughly 20 basis points. In addition, the strategy suffered from a position in Eastman Kodak. Kodak recently announced a suspension of its dividend as it gears up to pursue new digital technology. The stock fell 18% over the past year, costing the Portfolio another 21 basis points in index-relative performance.
Positive stock selection among Cyclicals, Non-cyclicals, and Technology stocks helped mitigate the underperformance. NVR, an east-coast homebuilder, was a strong contributor (kicking in 20 basis points of relative performance), as its stock price jumped over 50%. In addition, the Portfolio benefited from the weapons screens, as Lockheed Martin, Northrop Grumman, and Boeing all saw flat-to-declining share prices. Avoiding these stocks was of benefit to the Portfolio.
Outlook
Despite rising over 31% since its low in October 2002, the Russell 1000 is still 31% lower than it was during the peak in March 2000. This brings into question some observers' comments that we are in another stock market "bubble." The recent market surge is a welcome relief from the constant southward march of the past three years, yet we are still well below the highs set during the Internet frenzy.
We are happy to see positive earnings growth return to support the rising market. We expect to see double-digit percentage earnings gains over the next two years, and that should help keep a lid on valuations.
Our main concern is that the lowest-quality stocks have responded the fastest to the recent spate of healthy economic news. We believe the market rally will move away from speculative names and into companies with sound fundamentals. The Portfolio is positioned to take advantage of that shift.
November 2003
Independent Auditors' Report
To the Board of Trustees and Shareholders of Calvert Social Investment Fund:
We have audited the accompanying statements of assets and liabilities including the schedules of investments of Calvert Social Investment Fund comprising the Money Market, Balanced, Bond, Equity and Enhanced Equity Portfolios (the "Funds"), as of September 30, 2003, and the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the years ended September 30, 2001 and 2000, were audited by other auditors who have ceased operations. Those auditors expressed an unqualified opinion on those financial statements in their report dated November 16, 2001. The financial highlights for the periods presented prior to September 30, 2000, were audited by other auditors, whose report dated November 10, 1999, expressed an unqualified opinion on those statements.
We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2003, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting the Calvert Social Investment Fund as of September 30, 2003, the results of their operations for the year then ended, the changes in their net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
KPMG LLP
Philadelphia, Pennsylvania
November 18, 2003
MONEY MARKET PORTFOLIO
Schedule Of Investments
September 30, 2003
U.S. Government Agencies | Principal | |||||
and Instrumentalities - 18.9% | Amount | Value | ||||
Fannie Mae Discount Notes, 4/30/04 | $5,000,000 | $4,966,286 | ||||
FHLB: | ||||||
3.18%, 12/3/03 | 5,000,000 | 5,014,801 | ||||
5.375%, 1/5/04 | 2,000,000 | 2,019,910 | ||||
FHLB Discount Notes: | ||||||
12/11/03 | 2,000,000 | 1,994,399 | ||||
4/26/04 | 5,000,000 | 4,967,644 | ||||
5/21/04 | 3,000,000 | 2,978,059 | ||||
Freddie Mac, 1.40%, 9/13/04 | 2,500,000 | 2,500,000 | ||||
Freddie Mac Discount Notes: | ||||||
11/6/03 | 5,000,000 | 4,993,000 | ||||
5/20/04 | 5,000,000 | 4,964,717 | ||||
Total U.S. Government Agencies | ||||||
and Instrumentalities (Cost $34,398,816) | 34,398,816 | |||||
Depository Receipts for | ||||||
U.S. Government Guaranteed Loans - 2.3% | ||||||
Colson Services Corporation Loan Sets: | ||||||
2.875%, 9/9/06 (c)(h) | 71,046 | 71,045 | ||||
2.844%, 7/26/10 (c)(h) | 123,165 | 123,221 | ||||
2.75%, 1/22/11 (c)(h) | 192,503 | 192,489 | ||||
3.00%, 3/23/12 (c)(h) | 145,156 | 145,604 | ||||
2.875%, 5/29/12 (c)(h) | 601,670 | 601,658 | ||||
2.75%, 8/10/12 (c)(h) | 2,026,766 | 2,039,336 | ||||
2.75%, 9/2/12 (c)(h) | 993,182 | 998,120 | ||||
Total Depository Receipts for | ||||||
U.S. Government Guaranteed Loans (Cost $4,171,473) | 4,171,473 | |||||
Variable Rate Loans Guaranteed | ||||||
by Agencies of the U.S. Government - 0.9% | ||||||
Loan Pools: | ||||||
1.75%, 3/1/07 (h) | 299,878 | 299,877 | ||||
2.50%, 8/15/12 (h) | 1,360,136 | 1,360,130 | ||||
Total Variable Rate Loans Guaranteed | ||||||
by Agencies of the U.S. Government (Cost $1,660,007) | 1,660,007 | |||||
Certificates of Deposit - 0.5% | ||||||
Bank of Cherokee County, 2.00%, 4/21/04 (k) | 100,000 | 100,000 | ||||
Broadway Federal Savings & Loan, 1.20%, 9/14/04 (k) | 100,000 | 100,000 | ||||
Community Bank of the Bay, 1.55%, 10/07/03 (k) | 100,000 | 100,000 | ||||
Community Capital Bank, 1.58%, 1/20/04 (k) | 100,000 | 100,000 | ||||
Elk Horn Bank & Trust, 2.35%, 12/18/03 (k) | 100,000 | 100,000 | ||||
Family Savings Bank, 1.10%, 8/20/04 (k) | 100,000 | 100,000 | ||||
Fleet National Bank, 1.25%, 4/24/04 (k) | $100,000 | $100,000 | ||||
One United Bank, 1.19%, 3/22/04 (k) | 100,000 | 100,000 | ||||
Seaway National Bank, 1.40%, 1/27/04 (k) | 100,000 | 100,000 | ||||
Self Help Credit Union, 1.14%, 7/15/04 (k) | 100,000 | 100,000 | ||||
Total Certificate of Deposit (Cost $1,000,000) | 1,000,000 | |||||
Taxable Variable Rate Demand Notes - 76.9% | ||||||
Alabama Incentives Financing Authority Revenue, | ||||||
1.15%, 10/1/29, BPA: Southtrust Bank, AL, AMBAC Insured | 3,955,000 | 3,955,000 | ||||
Alaska Housing Finance Corp. Revenue, 1.07%, 12/1/32, | ||||||
TOA: Alaska Housing Finance Corp., MBIA Insured | 7,525,000 | 7,525,000 | ||||
American Healthcare Funding LLC: | ||||||
1.10%, 5/1/27, LOC: LaSalle Bank | 1,590,000 | 1,590,000 | ||||
1.10%, 3/1/29, LOC: LaSalle Bank | 3,550,000 | 3,550,000 | ||||
Berks County Pennsylvania IDA Revenue, 1.24%, 6/1/15, | ||||||
LOC: Wachovia Bank, NA | 1,685,000 | 1,685,000 | ||||
California Pollution Control Financing Authority Revenue, | ||||||
1.35%, 9/1/05, LOC: Wells Fargo Bank, NA | 40,000 | 40,000 | ||||
California Statewide Communities Development Authority | ||||||
Special Tax Revenue, 1.13%, 3/15/34, LOC: FNMA | 3,150,000 | 3,150,000 | ||||
Colorado Housing & Finance Authority Revenue , | ||||||
1.07%, 11/1/35, BPA: Lloyds TSB Bank plc | 1,400,000 | 1,400,000 | ||||
Columbus Georgia Development Authority Revenue, | ||||||
1.17%, 12/1/19, LOC: Bank of Nova Scotia | 5,500,000 | 5,500,000 | ||||
Connecticut Housing Finance Authority Revenue, | ||||||
1.07%, 11/15/16, BPA: Landesbank Hessen-Thuringen | ||||||
Girozenrale & Toronto-Dominion, AMBAC Insured | 9,479,000 | 9,479,000 | ||||
Cotswold Village Associates LLC, 1.15%, 6/01/31, | ||||||
LOC: Columbus Bank & Trust | 5,260,000 | 5,260,000 | ||||
Dade County Florida Expressway Authority Toll System | ||||||
Revenue, 1.10%, 7/1/19, BPA: FGIC SPI, FGIC Insured | 825,000 | 825,000 | ||||
Florida Housing Finance Corp. MFH Revenue, 1.17%, 10/15/32, | ||||||
LOC: FNMA | 4,230,000 | 4,230,000 | ||||
Grove City Church of Nazarene, 1.20%, 2/1/24, | ||||||
LOC: National City Bank | 3,422,000 | 3,422,000 | ||||
Heritage Funeral Services LLC, 1.30%, 2/1/18, | ||||||
LOC: Northern Trust Co. | 2,400,000 | 2,400,000 | ||||
Jefferson County, Kentucky Health Facilities Revenue, | ||||||
1.32%, 12/1/25, LOC: Republic Bank & Trust, C/LOC: FHLB | 1,265,000 | 1,265,000 | ||||
Los Angeles County California MFH Revenue: | ||||||
1.07%, 4/15/33, LOC: FNMA | 1,100,000 | 1,100,000 | ||||
1.13%, 12/15/34, LOC: FNMA | 3,100,000 | 3,100,000 | ||||
Main & Walton Development Co. LLC, 1.10%, 9/1/26, | ||||||
LOC: Waypoint Bank, C/LOC: FHLB | 5,515,000 | 5,515,000 | ||||
Maricopa County Arizona IDA Revenue, 1.22%, 2/1/29, | ||||||
LOC: BNP Paribas | 1,745,000 | 1,745,000 | ||||
Matagorda County Texas Pollution Control Revenue, 1.32%, | ||||||
11/1/29, SWAP: Bank of New York | 2,000,000 | 2,000,000 | ||||
Meriter Hospital Revenue, 1.15%, 12/1/16, LOC: US Bank, NA | 5,200,000 | 5,200,000 | ||||
Meyer Cookware Industries, 1.10%, 5/1/27, LOC: BNP Paribas | 3,590,000 | 3,590,000 | ||||
Montgomery County Alabama Cancer Center LLC, | ||||||
1.15%, 10/1/12, LOC: SouthTrust Bank, AL | 105,000 | 105,000 | ||||
Montgomery County New York IDA Revenue, 1.15%, 5/1/25, | ||||||
LOC: FHLB | $3,380,000 | $3,380,000 | ||||
Nevada Housing MFH Revenue, 1.11%, 4/15/35, LOC: FNMA | 1,985,000 | 1,985,000 | ||||
New Jersey State Health Care Facilities Financing Authorities | ||||||
Revenue, 1.15%, 7/1/30, LOC: Fleet National Bank | 5,720,000 | 5,720,000 | ||||
New Jersey State Turnpike Authority Revenue, 1.15%, 1/1/04, | ||||||
MBIA Insured | 1,600,000 | 1,600,000 | ||||
New York City Housing Development Corp. MFH Revenue, | ||||||
1.11%, 6/1/33, LOC: Bayer-Landesbank | 4,900,000 | 4,900,000 | ||||
New York City Transitional Finance Authority Revenue, | ||||||
1.07%, 5/1/30, BPA: Westdeutsche Landesbank | 5,000,000 | 5,000,000 | ||||
Osprey Properties LP, 1.20%, 6/1/27, | ||||||
LOC: Wells Fargo Bank, NA | 2,400,000 | 2,400,000 | ||||
PeopLoungers Inc., 1.15%, 4/1/18, LOC: Bank of New Albany, | ||||||
C/LOC: FHLB | 1,600,000 | 1,600,000 | ||||
Portage Indiana Economic Development Revenue, | ||||||
1.27%, 3/1/20, LOC: FHLB | 2,190,000 | 2,190,000 | ||||
Post Apartment Homes LP MFH Revenue, 1.12%, 7/15/29, | ||||||
CA: FNMA | 1,200,000 | 1,200,000 | ||||
Racetrac Capital LLC, 1.17%, 9/1/20, LOC: Regions Bank | 4,000,000 | 4,000,000 | ||||
Richmond Virginia Redevelopment & Housing Authority Revenue, | ||||||
1.15%, 12/1/25, LOC: Wachovia Bank, NA | 2,310,000 | 2,310,000 | ||||
San Joaquin Mariners Association LP, 1.18%, 7/1/29, | ||||||
LOC: Credit Suisse First Boston | 1,325,000 | 1,325,000 | ||||
Scottsboro Alabama Industrial Development Board Revenue, | ||||||
1.15%, 10/1/10, LOC: SouthTrust Bank, AL | 1,025,000 | 1,025,000 | ||||
Sea Island Co., 1.22%, 2/1/21, LOC: Columbus Bank & Trust | 2,500,000 | 2,500,000 | ||||
Southeast Alabama Gas Distribution Revenue, 1.15%, 6/1/25, | ||||||
BPA: Amsouth Bank, AMBAC Insured | 3,120,000 | 3,120,000 | ||||
Southern Indiana Investments Company Two LLC, | ||||||
1.15%, 10/15/26, LOC: Old National Bank, C/LOC: FHLB | 1,610,000 | 1,610,000 | ||||
St. Paul Minnesota Housing & Redevelopment Authority Revenue: | ||||||
1.10%, 6/1/15, LOC: Dexia Credit Local | 1,600,000 | 1,600,000 | ||||
1.10%, 3/1/18, LOC: Dexia Credit Local | 1,670,000 | 1,670,000 | ||||
St. Paul Minnesota Port Authority Revenue, 1.30%, 3/1/21, | ||||||
LOC: Dexia Credit Local | 1,900,000 | 1,900,000 | ||||
Suffolk County New York IDA Revenue, 1.14%, 12/15/07, | ||||||
LOC: JP Morgan Chase Bank | 2,285,000 | 2,285,000 | ||||
Tyler Enterprises LLC, 1.15%, 10/1/22, LOC: Peoples Bank & Trust, | ||||||
C/LOC: FHLB | 2,650,000 | 2,650,000 | ||||
Washington State Housing Finance Commission MFH Revenue: | ||||||
1.18%, 1/1/30, LOC: Wells Fargo Bank, NA | 2,965,000 | 2,965,000 | ||||
1.13%, 6/15/32, CF: FNMA | 1,635,000 | 1,635,000 | ||||
1.13%, 7/15/32, CF: FNMA | 1,515,000 | 1,515,000 | ||||
Total Taxable Variable Rate Demand Notes (Cost $139,716,000) | 139,716,000 | |||||
Total Investments (Cost $180,946,296) - 99.5% | 180,946,296 | |||||
Other assets and liabilities, net - 0.5% | 841,442 | |||||
Net Assets - 100% | $181,787,738 |
See notes to schedules of investments and notes to financial statements.
BALANCED PORTFOLIO
Schedule Of Investments
September 30, 2003
Equity Securities - 60.2% | Shares | Value | |||||
Air Freight - 0.3% | |||||||
FedEx Corp. | 9,300 | $599,199 | |||||
United Parcel Service, Inc. | 12,500 | 797,500 | |||||
1,396,699 | |||||||
Airlines - 0.0% | |||||||
Continental Airlines, Inc.* | 6,200 | 102,796 | |||||
Auto Parts & Equipment - 0.4% | |||||||
Autoliv, Inc. | 56,100 | 1,692,537 | |||||
Gentex Corp.* | 12,900 | 449,436 | |||||
Modine Manufacturing Co. | 1,900 | 45,220 | |||||
2,187,193 | |||||||
Banks - Major Regional - 2.2% | |||||||
Bank One Corp. | 31,800 | 1,229,070 | |||||
KeyCorp Ltd. | 35,400 | 905,178 | |||||
National City Corp. | 26,100 | 768,906 | |||||
Northern Trust Corp. | 8,800 | 373,472 | |||||
US Bancorp | 104,600 | 2,509,354 | |||||
Wells Fargo & Co. | 103,300 | 5,319,950 | |||||
11,105,930 | |||||||
Banks - Money Center - 1.7% | |||||||
Bank of America Corp. | 76,800 | 5,993,472 | |||||
Wachovia Corp. | 65,300 | 2,689,707 | |||||
8,683,179 | |||||||
Banks - Regional - 0.2% | |||||||
First Tennessee National Corp. | 22,000 | 934,120 | |||||
Biotechnology - 0.9% | |||||||
Amgen, Inc.* | 66,400 | 4,287,448 | |||||
Invitrogen Corp.* | 7,300 | 423,327 | |||||
Protein Design Labs, Inc.* | 5,000 | 69,300 | |||||
4,780,075 | |||||||
Broadcast - Television, Radio, & Cable - 0.5% | |||||||
Comcast Corp. Class A* | 7,000 | 216,160 | |||||
Comcast Corp. Special Class A* | 5,000 | 147,700 | |||||
COX Communications, Inc.* | 37,400 | 1,182,588 | |||||
InterActiveCorp* | 26,400 | 872,520 | |||||
2,418,968 | |||||||
Building Materials - 0.2% | |||||||
Masco Corp. | 39,800 | 974,304 | |||||
Chemicals - 0.5% | |||||||
Airgas, Inc. | 109,700 | $1,952,660 | |||||
Praxair, Inc. | 11,500 | 712,425 | |||||
2,665,085 | |||||||
Chemicals - Specialty - 0.2% | |||||||
Sigma-Aldrich Corp. | 22,600 | 1,173,844 | |||||
Communications Equipment - 0.4% | |||||||
Adtran, Inc. | 25,400 | 1,553,972 | |||||
Scientific-Atlanta, Inc. | 16,700 | 520,205 | |||||
Tellabs, Inc.* | 23,300 | 158,207 | |||||
2,232,384 | |||||||
Computers - Hardware - 2.5% | |||||||
Dell, Inc.* | 129,500 | 4,324,005 | |||||
Hewlett-Packard Co. | 36,900 | 714,384 | |||||
International Business Machines Corp. | 85,900 | 7,587,547 | |||||
McData Corp.* | 1 | 12 | |||||
Sun Microsystems, Inc.* | 70,400 | 233,024 | |||||
12,858,972 | |||||||
Computers - Networking - 1.6% | |||||||
Cisco Systems, Inc.* | 363,249 | 7,097,885 | |||||
Network Appliance, Inc.* | 69,000 | 1,416,570 | |||||
8,514,455 | |||||||
Computers - Peripherals - 0.2% | |||||||
EMC Corp.* | 78,800 | 995,244 | |||||
Computers - Software & Services - 3.7% | |||||||
Adobe Systems, Inc. | 44,600 | 1,750,996 | |||||
Citrix Systems, Inc.* | 9,200 | 203,136 | |||||
Compuware Corp.* | 65,600 | 351,616 | |||||
eBay, Inc.* | 13,900 | 743,789 | |||||
Electronic Arts, Inc.* | 800 | 73,784 | |||||
Fair, Issac & Co., Inc. | 14,100 | 831,336 | |||||
Intuit, Inc.* | 45,900 | 2,214,216 | |||||
Microsoft Corp. | 388,100 | 10,785,299 | |||||
Symantec Corp. * | 3,500 | 220,570 | |||||
Synopsys, Inc. * | 46,300 | 1,424,651 | |||||
Veritas Software Corp.* | 13,500 | 423,900 | |||||
19,023,293 | |||||||
Consumer Finance - 0.6% | |||||||
Capital One Financial Corp. | 20,500 | 1,169,320 | |||||
MBNA Corp. | 51,500 | 1,174,200 | |||||
Providian Financial Corp.* | 49,600 | 584,784 | |||||
2,928,304 | |||||||
Distributors - Food & Health - 1.6% | |||||||
AmerisourceBergen Corp. | 5,800 | 313,490 | |||||
Cardinal Health, Inc. | 50,300 | 2,937,017 | |||||
Performance Food Group Co.* | 23,600 | 960,756 | |||||
Supervalu, Inc. | 19,300 | $460,498 | |||||
Sysco Corp. | 114,900 | 3,758,379 | |||||
8,430,140 | |||||||
Electric Companies - 0.3% | |||||||
Cleco Corp. | 11,300 | 184,642 | |||||
Hawaiian Electric Industries, Inc. | 2,800 | 121,884 | |||||
IDACORP, Inc. | 6,700 | 170,850 | |||||
OGE Energy Corp. | 51,400 | 1,161,126 | |||||
Puget Energy, Inc. | 4,900 | 109,907 | |||||
1,748,409 | |||||||
Electrical Equipment - 0.6% | |||||||
Celestica, Inc.* | 56,900 | 902,434 | |||||
Cooper Industries Ltd | 6,000 | 288,180 | |||||
Harman International Industries, Inc. | 1,700 | 167,195 | |||||
Molex, Inc. | 50,700 | 1,449,513 | |||||
SPX Corp.* | 6,100 | 276,208 | |||||
3,083,530 | |||||||
Electronics - Instrument - 0.0% | |||||||
Agilent Technologies, Inc.* | 5,700 | 126,027 | |||||
Electronics - Semiconductors - 3.0% | |||||||
Altera Corp.* | 111,100 | 2,099,790 | |||||
Analog Devices, Inc.* | 58,000 | 2,205,160 | |||||
Intel Corp. | 266,600 | 7,334,166 | |||||
Texas Instruments, Inc. | 102,600 | 2,339,280 | |||||
Xilinx, Inc.* | 47,600 | 1,357,076 | |||||
15,335,472 | |||||||
Entertainment - 0.5% | |||||||
Time Warner, Inc.* | 158,700 | 2,397,957 | |||||
Equipment - Semiconductors - 0.6% | |||||||
Applied Materials, Inc.* | 80,825 | 1,466,166 | |||||
Cymer, Inc.* | 11,700 | 482,040 | |||||
Lam Research Corp.* | 27,500 | 609,125 | |||||
Novellus Systems, Inc.* | 12,600 | 425,250 | |||||
Photronics, Inc.* | 3,400 | 72,284 | |||||
3,054,865 | |||||||
Financial - Diversified - 3.8% | |||||||
AMBAC Financial Group, Inc. | 3,400 | 217,600 | |||||
American Express Co. | 123,700 | 5,573,930 | |||||
Equity Office Properties Trust | 50,900 | 1,401,277 | |||||
Fannie Mae | 70,800 | 4,970,160 | |||||
Freddie Mac | 3,500 | 183,225 | |||||
Goldman Sachs Group, Inc. | 17,100 | 1,434,690 | |||||
J.P. Morgan Chase & Co. | 136,500 | 4,686,045 | |||||
Principal Financial Group, Inc. | 33,100 | $1,025,769 | |||||
SLM Corp. | 3,900 | 151,944 | |||||
19,644,640 | |||||||
Foods - 1.3% | |||||||
General Mills, Inc. | 28,400 | 1,336,788 | |||||
H.J. Heinz Co. | 55,900 | 1,916,252 | |||||
Hershey Foods Corp. | 21,600 | 1,569,888 | |||||
Kellogg Co. | 59,600 | 1,987,660 | |||||
6,810,588 | |||||||
Footwear - 0.0% | |||||||
Timberland Co.* | 3,300 | 140,778 | |||||
Hardware & Tools - 0.1% | |||||||
Black & Decker Corp. | 19,100 | 774,505 | |||||
Healthcare - Diversified - 1.5% | |||||||
Johnson & Johnson | 155,500 | 7,700,360 | |||||
Healthcare - Drug - Generic, Other - 0.1% | |||||||
Barr Laboratories, Inc.* | 4,000 | 272,840 | |||||
Healthcare - Drug - Major Pharmaceutical - 2.9% | |||||||
Forest Laboratories, Inc.* | 9,400 | 483,630 | |||||
Merck & Co., Inc. | 103,100 | 5,218,922 | |||||
Pfizer, Inc. | 279,600 | 8,494,248 | |||||
Schering-Plough Corp. | 36,900 | 562,356 | |||||
14,759,156 | |||||||
Healthcare - Hospital Management - 0.2% | |||||||
Health Management Associates, Inc. | 56,000 | 1,221,360 | |||||
Healthcare - Managed Care - 0.6% | |||||||
Anthem, Inc.* | 8,100 | 577,773 | |||||
Coventry Health Care, Inc.* | 3,900 | 205,686 | |||||
Express Scripts, Inc.* | 5,600 | 342,440 | |||||
Health Net, Inc.* | 15,800 | 500,386 | |||||
Mid Atlantic Medical Services, Inc.* | 7,400 | 380,582 | |||||
Wellpoint Health Networks, Inc.* | 15,600 | 1,202,448 | |||||
3,209,315 | |||||||
Healthcare - Medical Products & Supplies - 1.3% | |||||||
Arrow International, Inc. | 8,900 | 204,700 | |||||
Beckman Coulter, Inc. | 1,700 | 77,418 | |||||
Becton Dickinson & Co. | 23,400 | 845,208 | |||||
Cytyc Corp.* | 11,000 | 165,440 | |||||
Medtronic, Inc. | 31,600 | 1,482,672 | |||||
St. Jude Medical, Inc.* | 12,500 | 672,125 | |||||
Stryker Corp. | 19,300 | 1,453,483 | |||||
Zimmer Holdings, Inc. * | 30,642 | 1,688,374 | |||||
6,589,420 | |||||||
Healthcare - Special Services - 0.4% | |||||||
DaVita, Inc.* | 13,800 | $439,254 | |||||
Lincare Holdings, Inc.* | 8,500 | 311,525 | |||||
Pediatrix Medical Group, Inc.* | 2,400 | 110,520 | |||||
Quest Diagnostics, Inc.* | 19,400 | 1,176,416 | |||||
2,037,715 | |||||||
Homebuilding - 0.9% | |||||||
DR Horton, Inc. | 13,000 | 425,100 | |||||
KB Home | 10,100 | 602,566 | |||||
NVR, Inc.* | 7,200 | 3,358,800 | |||||
Pulte Homes, Inc. | 3,700 | 251,637 | |||||
Ryland Group, Inc. | 1,700 | 124,287 | |||||
4,762,390 | |||||||
Household Furnishing & Appliances - 0.2% | |||||||
Whirlpool Corp. | 16,800 | 1,138,536 | |||||
Household Products - Non-Durable - 1.2% | |||||||
Church & Dwight, Inc. | 27,300 | 955,227 | |||||
Colgate-Palmolive Co. | 27,800 | 1,553,742 | |||||
Kimberly-Clark Corp. | 75,700 | 3,884,924 | |||||
6,393,893 | |||||||
Insurance - Life & Health - 1.0% | |||||||
Aflac, Inc. | 50,700 | 1,637,610 | |||||
Jefferson-Pilot Corp. | 7,800 | 346,164 | |||||
Lincoln National Corp. | 16,000 | 566,080 | |||||
Nationwide Financial Services | 7,100 | 222,514 | |||||
Protective Life Corp. | 27,500 | 820,875 | |||||
Prudential Financial, Inc. | 40,000 | 1,494,400 | |||||
5,087,643 | |||||||
Insurance - Multi-Line - 1.7% | |||||||
American International Group, Inc. | 118,500 | 6,837,450 | |||||
Conseco, Inc.* | 66,210 | 1,195,750 | |||||
Conseco, Inc. Warrants (Ex price $27.60/share, exp. 9/10/08) | 3,160 | 16,118 | |||||
Hartford Financial Services, Inc. | 10,500 | 552,615 | |||||
8,601,933 | |||||||
Insurance - Property & Casuality - 1.1% | |||||||
21st Century Insurance Group | 4,400 | 60,632 | |||||
Chubb Corp. | 45,400 | 2,945,552 | |||||
Commerce Group, Inc. | 6,600 | 250,536 | |||||
MGIC Investment Corp. | 7,000 | 364,490 | |||||
Progressive Corp. | 10,400 | 718,744 | |||||
Safeco Corp. | 38,400 | 1,353,984 | |||||
5,693,938 | |||||||
Insurance Brokers - 0.1% | |||||||
Marsh & McLennan Co.'s | 8,800 | 418,968 | |||||
Investment Banking / Brokerage - 0.4% | |||||||
Legg Mason, Inc. | 25,700 | 1,855,540 | |||||
Investment Management - 0.3% | |||||||
Franklin Resources, Inc. | 6,300 | $278,523 | |||||
Phoenix Co.'s, Inc. | 18,400 | 212,520 | |||||
T. Rowe Price Group, Inc. | 20,700 | 854,082 | |||||
1,345,125 | |||||||
Leisure Time - Products - 0.5% | |||||||
Callaway Golf Co. | 28,400 | 405,268 | |||||
Harley-Davidson, Inc. | 45,100 | 2,173,820 | |||||
2,579,088 | |||||||
Machinery - Diversified - 0.6% | |||||||
Actuant Corp.* | 12,200 | 685,030 | |||||
Deere & Co. | 34,800 | 1,855,188 | |||||
Dover Corp. | 8,000 | 282,960 | |||||
2,823,178 | |||||||
Manufacturing - Diversified - 1.2% | |||||||
Allstream, Inc.: | |||||||
Class A * | 1,214 | 47,079 | |||||
Class B * | 65,363 | 2,552,425 | |||||
Carlisle Co.'s, Inc. | 7,200 | 314,064 | |||||
Clarcor, Inc. | 9,900 | 386,100 | |||||
Danaher Corp. | 10,000 | 738,600 | |||||
Illinois Tool Works, Inc. | 20,300 | 1,345,078 | |||||
Medco Health Solutions, Inc.* | 1 | 26 | |||||
Parker Hannifin Corp. | 15,500 | 692,850 | |||||
6,076,222 | |||||||
Manufacturing - Specialized - 0.7% | |||||||
Jabil Circuit, Inc.* | 97,400 | 2,537,270 | |||||
Nordson Corp. | 10,500 | 271,845 | |||||
Sealed Air Corp. * | 12,500 | 590,375 | |||||
3,399,490 | |||||||
Natural Gas - 1.1% | |||||||
AGL Resources, Inc. | 23,800 | 670,446 | |||||
Equitable Resources, Inc. | 14,400 | 591,840 | |||||
Kinder Morgan, Inc. | 52,700 | 2,846,327 | |||||
NiSource, Inc. | 5,200 | 103,896 | |||||
Northwest Natural Gas Co. | 5,600 | 162,400 | |||||
Oneok, Inc. | 21,800 | 439,706 | |||||
Southwest Gas Corp. | 29,300 | 665,110 | |||||
5,479,725 | |||||||
Office Equipment & Supplies - 0.2% | |||||||
United Stationers, Inc. | 22,000 | 828,960 | |||||
Oil & Gas - Drilling & Equipment - 0.5% | |||||||
Smith International, Inc. | 65,200 | 2,345,896 | |||||
Veritas DGC, Inc.* | 38,400 | 306,432 | |||||
2,652,328 | |||||||
Oil & Gas - Exploration & Production - 0.9% | |||||||
EOG Resources, Inc. | 78,900 | $3,293,286 | |||||
Pioneer Natural Resources Co.* | 21,200 | 539,752 | |||||
XTO Energy, Inc. | 44,566 | 935,440 | |||||
4,768,478 | |||||||
Paper & Forest Products - 0.3% | |||||||
Weyerhaeuser Co. | 23,000 | 1,344,350 | |||||
Personal Care - 0.5% | |||||||
Gillette Co. | 74,200 | 2,372,916 | |||||
Photography / Imaging - 0.3% | |||||||
Eastman Kodak Co. | 56,000 | 1,172,640 | |||||
Xerox Corp.* | 38,000 | 389,880 | |||||
1,562,520 | |||||||
Publishing - 0.3% | |||||||
McGraw-Hill Co.'s, Inc. | 28,600 | 1,776,918 | |||||
Publishing - Newspapers - 0.3% | |||||||
Belo Corp. | 3,800 | 92,150 | |||||
Dow Jones & Co., Inc. | 9,900 | 468,765 | |||||
Lee Enterprises, Inc. | 2,300 | 88,941 | |||||
Media General, Inc. | 2,300 | 140,530 | |||||
New York Times Co. | 5,900 | 256,414 | |||||
Washington Post Co. | 600 | 399,000 | |||||
1,445,800 | |||||||
Restaurants - 0.1% | |||||||
Panera Bread Co.* | 17,500 | 716,800 | |||||
Retail - Building Supplies - 1.6% | |||||||
Home Depot, Inc. | 130,850 | 4,167,573 | |||||
Lowe's Co.'s, Inc. | 81,000 | 4,203,900 | |||||
8,371,473 | |||||||
Retail - Computers & Electronics - 0.2% | |||||||
Best Buy Co., Inc.* | 23,100 | 1,097,712 | |||||
Retail - Department Stores - 0.2% | |||||||
J.C. Penney Co., Inc. | 6,800 | 145,316 | |||||
Kohls Corp.* | 21,100 | 1,128,850 | |||||
1,274,166 | |||||||
Retail - Discounters - 0.6% | |||||||
Dollar General Corp. | 7,100 | 142,000 | |||||
Family Dollar Stores, Inc. | 72,600 | 2,896,014 | |||||
ShopKo Stores, Inc.* | 21,000 | 315,000 | |||||
3,353,014 | |||||||
Retail - Drug Stores - 0.8% | |||||||
Caremark Rx, Inc.* | 41,000 | $926,600 | |||||
CVS Corp. | 52,400 | 1,627,544 | |||||
Walgreen Co. | 44,800 | 1,372,672 | |||||
3,926,816 | |||||||
Retail - General Merchandise - 0.3% | |||||||
Costco Wholesale Corp.* | 9,400 | 292,152 | |||||
Target Corp. | 39,100 | 1,471,333 | |||||
1,763,485 | |||||||
Retail - Specialty - 0.9% | |||||||
Bed Bath & Beyond, Inc.* | 25,700 | 981,226 | |||||
Linens 'N Things, Inc.* | 11,000 | 261,580 | |||||
Staples, Inc.* | 140,500 | 3,336,875 | |||||
4,579,681 | |||||||
Retail - Specialty Apparel - 0.1% | |||||||
Gap, Inc. | 35,000 | 599,200 | |||||
Savings & Loan Companies - 0.5% | |||||||
Washington Mutual, Inc. | 70,600 | 2,779,522 | |||||
Services - Commercial & Consumer - 0.1% | |||||||
Brink's Co. | 23,200 | 402,752 | |||||
H & R Block, Inc. | 4,600 | 198,490 | |||||
601,242 | |||||||
Services - Computer Systems - 0.3% | |||||||
Electronic Data Systems Corp. | 54,900 | 1,108,980 | |||||
Ingram Micro, Inc.* | 17,400 | 227,070 | |||||
Sungard Data Systems, Inc. * | 17,500 | 460,425 | |||||
1,796,475 | |||||||
Services - Data Processing - 1.3% | |||||||
Automatic Data Processing, Inc. | 39,500 | 1,416,075 | |||||
Checkfree Corp.* | 50,300 | 1,006,000 | |||||
DST Systems, Inc.* | 7,700 | 289,520 | |||||
First Data Corp. | 99,200 | 3,964,032 | |||||
Fiserv, Inc.* | 2,700 | 97,821 | |||||
6,773,448 | |||||||
Services - Employment - 0.4% | |||||||
Manpower, Inc. | 55,200 | 2,047,920 | |||||
Specialty Printing - 0.1% | |||||||
R.R. Donnelley & Sons Co. | 15,600 | 387,972 | |||||
Telecommunications - Cell / Wireless - 0.1% | |||||||
AT&T Wireless Services, Inc.* | 43,400 | 355,012 | |||||
Nextel Communications, Inc.* | 13,900 | 273,691 | |||||
628,703 | |||||||
Telecommunications - Long Distance - 0.0% | |||||||
Covad Communications Group, Inc. * | 26,923 | $148,884 | |||||
Telephone - 2.0% | |||||||
Bellsouth Corp. | 176,100 | 4,170,048 | |||||
CenturyTel, Inc. | 26,500 | 898,085 | |||||
Citizens Communications Co.* | 34,900 | 391,229 | |||||
SBC Communications, Inc. | 213,700 | 4,754,825 | |||||
10,214,187 | |||||||
Truckers - 0.1% | |||||||
Swift Transportation Co., Inc.* | 23,200 | 526,408 | |||||
Venture Capital - 1.3% |
| ||||||
Agraquest, Inc: | |||||||
Series B, Preferred *(b)(i) | 190,477 | 266,668 | |||||
Series C, Preferred *(b)(i) | 124,615 | 174,461 | |||||
All Media Solutions, Inc., Series A, Preferred *(b)(i) | 479,652 | 1 | |||||
Allos Therapeutics * | 171,271 | 527,515 | |||||
CFBanc Corp. *(b)(i) | 27,000 | 270,000 | |||||
City Soft, Inc., Warrants: | |||||||
(Ex Price $0.21/share, exp. 5/31/12) *(b)(i) | 189,375 | -- | |||||
(Ex Price $0.01/share, exp. 10/15/12) *(b)(i) | 118,360 | -- | |||||
(Ex Price $0.14/share, exp. 10/15/12) *(b)(i) | 118,359 | -- | |||||
(Ex Price $0.28/share, exp. 10/15/12) *(b)(i) | 118,359 | -- | |||||
(Ex Price $0.01/share, exp. 2/28/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.14/share, exp. 2/28/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.28/share, exp. 2/28/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.01/share, exp. 6/1/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.14/share, exp. 6/1/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.28/share, exp. 6/1/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.01/share, exp. 8/31/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.14/share, exp. 8/31/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.28/share, exp. 8/31/13) *(b)(i) | 29,590 | -- | |||||
(Ex Price $0.01/share, exp. 9/4/13) *(b)(i) | 15,083 | -- | |||||
(Ex Price $0.14/share, exp. 9/4/13) *(b)(i) | 15,083 | -- | |||||
(Ex Price $0.21/share, exp. 9/4/13) *(b)(i) | 24,133 | -- | |||||
(Ex Price $0.28/share, exp. 9/4/13) *(b)(i) | 15,083 | -- | |||||
Community Bank of the Bay *(b)(i) | 4,000 | 32,000 | |||||
Community Growth Fund | 1,498,306 | 576,565 | |||||
Evergreen Solar, Inc.* | 133,672 | 276,701 | |||||
Frans Healthy Helpings, Series B, Convertible Preferred *(b)(i) | 505,051 | 1 | |||||
Gaiam, Inc.* | 12,500 | 71,875 | |||||
H2Gen Innovations, Inc.: | |||||||
Series A, Preferred *(b)(i) | 251,496 | 251,496 | |||||
Warrants (Ex Price $1.00/share, exp. 1/1/12) *(b)(i) | 20,833 | -- | |||||
Hayes Medical Series B, Convertible Preferred *(b)(i) | 326,797 | 245,098 | |||||
Medimmune, Inc.* | 39,855 | 1,315,599 | |||||
Neighborhood Bancorp *(b)(i) | 10,000 | 100,000 | |||||
Northern Power Systems: | |||||||
Series A-1, Preferred *(b)(i) | 313 | 1,565 | |||||
Series C, Preferred *(b)(i) | 3,981 | 19,905 | |||||
Series D, Preferred *(b)(i) | 35,000 | 175,000 | |||||
Pharmadigm, Inc.: | |||||||
Series B, Preferred *(b)(i) | 125,000 | $1 | |||||
Series C, Preferred *(b)(i) | 113,636 | 1 | |||||
Plethora Technology, Warrants | |||||||
(Ex Price $0.01/share, exp. 6/17/13) *(b)(i) | 30,000 | 47,100 | |||||
ProFund International S.A.: | |||||||
Common *(b)(i) | 7,500 | -- | |||||
Preferred *(b)(i) | 637,345 | 407,901 | |||||
Proton Energy Systems, Inc. | 25,073 | 65,190 | |||||
Seventh Generation, Inc.*(b)(i) | 200,295 | 1,001,475 | |||||
SMARTHINKING, Inc.: | |||||||
Series 1-A, Convertible Preferred *(b)(i) | 44,699 | 68,314 | |||||
Series 1-B, Convertible Preferred *(b)(i) | 163,588 | 31,050 | |||||
Warrants Exp. (Ex Price $1.53/share, exp. 10/20/05) *(b)(i) | 32,726 | -- | |||||
Wellspring International, Inc.: | |||||||
Series A, Preferred *(b)(i) | 129,032 | 116,222 | |||||
Series B, Preferred *(b)(i) | 108,267 | 112,170 | |||||
Series C, Preferred *(b)(i) | 277,778 | 150,000 | |||||
Warrants (Ex Price $0.01/share, exp. 8/15/12) *(b)(i) | 23,148 | -- | |||||
Wild Planet Toys, Inc.: | |||||||
Series B, Preferred *(b)(i) | 476,190 | 452,380 | |||||
Series E, Preferred *(b)(i) | 129,089 | 122,635 | |||||
Wind Harvest Co., Inc., Common *(b)(i) | 8,696 | 2,174 | |||||
WorldWater Corp.*(b) | 140,000 | 11,970 | |||||
6,893,033 | |||||||
| |||||||
Total Equity Securities (Cost $295,719,215) |
| 311,200,002 | |||||
| |||||||
Adjusted |
| ||||||
Limited Partnership Interest - 0.5% | Basis | ||||||
Angels With Attitude *(b)(i) | $200,000 | 185,931 | |||||
Coastal Venture Partners *(b)(i) | 186,494 | 148,673 | |||||
Commons Capital *(b)(i) | 237,428 | 212,633 | |||||
Environmental Private Equity Fund II *(b)(i) | 33,216 | 37,934 | |||||
First Analysis Private Equity Fund IV, *(b)(i) | 150,000 | 126,542 | |||||
GEEMF Partners *(a)(b)(i) | 185,003 | 94,986 | |||||
Global Environmental Emerging Markets Fund *(b)(i) | 814,997 | -- | |||||
Hambrecht & Quist Environmental Technology Fund *(b)(i) | 254,513 | 40,797 | |||||
Infrastructure and Environmental Private Equity Fund III *(b)(i) | 932,454 | 566,526 | |||||
Labrador Ventures III *(b)(i) | 429,736 | 158,359 | |||||
Labrador Ventures IV *(b)(i) | 635,563 | 290,866 | |||||
Liberty Environmental Partners *(b)(i) | 350,000 | -- | |||||
Milepost Ventures *(b)(i) | 500,000 | 1 | |||||
New Markets Growth Fund LLC *(b)(i) | 25,000 | 25,000 | |||||
Poland Partners *(b)(i) | 400,000 | 315,801 | |||||
Solstice Capital *(b)(i) | 185,512 | 111,176 | |||||
Ukraine Fund *(b)(i) | 71,399 | 49,857 | |||||
Utah Ventures *(b)(i) | 867,581 | -- | |||||
Venture Strategy Partners *(b)(i) | 206,058 | 19,488 | |||||
| |||||||
Total Limited Partnership Interest (Cost $6,664,953) | 2,384,570 | ||||||
Principal |
| ||||||
Corporate Bonds - 27.7% | Amount | Value |
| ||||
ACC Escrow Corp., 10.00%, 8/1/11 (e) | $1,000,000 | $1,072,500 | |||||
ACLC Business Loan Receivables Trust, 7.585%, 1/15/21 (e) | 1,499,907 | 1,513,408 | |||||
Airgas, Inc., 7.14%, 3/8/04 | 2,000,000 | 2,020,780 | |||||
Akron Hardware Consultants, Inc., VRDN, 1.21%, 11/1/22 | 292,000 | 292,000 | |||||
American Express Credit Corp., 1.26%, 9/19/06 (r) | 3,000,000 | 3,000,000 | |||||
ASIF Global Financing : | |||||||
1.39%, 3/14/06 (e)(r) | 5,000,000 | 5,000,000 | |||||
1.29%, 5/30/06 (e)(r) | 1,000,000 | 999,950 | |||||
Atherton Franchisee Loan Funding LLP, 6.72%, 8/15/10 (e) | 2,775,206 | 2,774,612 | |||||
Atlantic Mutual Insurance Co, 8.15%, 2/15/28 (e) | 8,250,000 | 5,265,150 | |||||
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) | 750,000 | 861,960 | |||||
Bank One Issuance Trust, 1.17%, 10/15/08 (r) | 3,000,000 | 3,001,950 | |||||
Berkshire Hathaway, Inc., 3.375%, 10/15/18 (e) | 2,500,000 | 2,514,375 | |||||
Brascan Corp., 7.125%, 12/16/03 | 3,500,000 | 3,523,135 | |||||
Camp Pendleton and Quantico Military Housing, | |||||||
5.937%, 10/1/43 (e) | 2,000,000 | 2,042,500 | |||||
Chase Funding Mortgage Loan, 4.045%, 5/25/36 | 5,000,000 | 5,089,250 | |||||
City Soft, Inc., Convertible Notes, 10.00%, 8/31/06 (b)(i) | 297,877 | 297,877 | |||||
City Soft, Inc., II Convertible Notes, 10.00%, 8/31/06 (b)(i) | 32,500 | 32,500 | |||||
CNL Funding, 7.721%, 8/25/09 (e) | 2,598,884 | 2,834,837 | |||||
Continental Airlines, Inc., 2.046%, 12/6/07 (r) | 2,500,000 | 2,499,775 | |||||
Credit Suisse First Boston (USA), Inc., 1.42%, 6/19/06 (r) | 1,500,000 | 1,499,130 | |||||
Delta Air Lines, Inc., 1.86%, 1/25/08 (e)(r) | 2,924,994 | 2,941,432 | |||||
EchoStar DBS Corp. 5.75%, 10/1/08 (e) | 1,500,000 | 1,500,000 | |||||
EOP Operating LP, 6.50%, 1/15/04 | 2,000,000 | 2,023,480 | |||||
Evangelical Lutheran Good Samaritan Fund, 6.78%, 11/1/05 | 3,000,000 | 3,274,008 | |||||
FFCA Secured Lending Corp., 6.37%, 9/18/25 (e) | 959,777 | 979,644 | |||||
Finova Group, Inc., 7.50%, 11/15/09 | 9,142,000 | 4,525,290 | |||||
Gap, Inc., 9.90%, 12/15/05 | 750,000 | 840,000 | |||||
Great Lakes Power, Inc.: | |||||||
9.00%, 8/1/04 | 1,000,000 | 1,045,630 | |||||
8.30%, 3/1/05 | 2,500,000 | 2,666,650 | |||||
Greater Bay Bancorp., 5.25%, 3/31/08 | 1,000,000 | 1,016,950 | |||||
Highwoods Realty LP, 6.75%, 12/1/03 | 1,000,000 | 1,005,420 | |||||
Impac CMB Trust, 1.58%, 8/25/32 (r) | 4,413,219 | 4,422,664 | |||||
Interpool, Inc.: | |||||||
7.20%, 8/1/07 | 3,600,000 | 3,474,000 | |||||
7.35%, 8/1/07 | 500,000 | 487,500 | |||||
KDM Development Corp., 2.41%, 12/31/07 (b)(i) | 746,900 | 652,352 | |||||
LCOR Alexandria LLC, 6.625%, 9/15/19 (e) | 5,750,000 | 6,436,032 | |||||
LG&E Capital Corp., 6.205%, 5/1/04 (e) | 1,500,000 | 1,532,655 | |||||
Liberty Mutual Insurance Co., 7.697%, 10/15/97 (e) | 4,500,000 | 3,386,250 | |||||
Lumbermens Mutual Casualty Co.: | |||||||
9.15%, 7/1/26 (e)(n) | 2,150,000 | 172,000 | |||||
8.30%, 12/1/37 (e)(m) | 6,630,000 | 530,400 | |||||
8.45%, 12/1/97 (e)(o) | 2,560,000 | 204,800 | |||||
Mack-Cali Realty LP, 7.00%, 3/15/04 | 1,000,000 | 1,021,630 | |||||
Mangrove Bay Pass Through Trust, 6.102%, 7/15/33 (e) | 2,000,000 | 1,995,000 | |||||
Montpelier Reinsurance Holdings Ltd, 6.125%, 8/15/13 | 2,000,000 | 2,052,100 | |||||
Nextel Communications, Inc., 7.375%, 8/1/15 | 2,000,000 | 2,015,000 | |||||
Nortel Networks Corp., 4.25%, 9/1/08 | 1,600,000 | 1,452,016 | |||||
PeopLoungers, Inc., VRDN, 1.15%, 4/1/18 | 2,000,000 | 2,000,000 | |||||
Plethora Technology, 8.00%, 12/18/04 (b)(i) | 250,000 | 210,460 | |||||
Poland Partners Zero Coupon, 4/13/04 (b)(i) | $120,325 | $119,236 | |||||
Preferred Term Securities IX Ltd.: | |||||||
1.759%, 4/3/33 (e)(r) | 1,000,000 | 1,011,060 | |||||
4.08%, 4/3/33 (e) | 1,250,000 | 1,264,862 | |||||
QBE Insurance Group Ltd, 5.647%, 7/1/23 (e) | 3,000,000 | 2,871,237 | |||||
Residential Asset Mortgage Products, Inc., 5.09%, 2/25/31 | 1,000,000 | 1,029,000 | |||||
SLM Corp., 1.06%, 7/25/35 (e)(r) | 5,000,000 | 4,880,850 | |||||
Sovereign Bancorp. Inc., 12.18%, 6/30/20 (e) | 5,136,550 | 7,465,411 | |||||
Texas Municipal Gas Corp., 2.60%, 7/1/07 (e) | 2,250,000 | 2,267,978 | |||||
Toll Road Investment Partnership II Zero Coupon: | |||||||
2/15/13 (e) | 8,000,000 | 4,996,032 | |||||
2/15/14 (e) | 5,000,000 | 2,969,450 | |||||
2/15/25 (e) | 6,000,000 | 1,540,098 | |||||
Tyler Enterprises LLC, VRDN, 1.15%, 10/1/22 | 2,945,000 | 2,945,000 | |||||
Unisys Corp., 6.875%, 3/15/10 | 200,000 | 206,500 | |||||
United Energy Ltd, 6.00%, 11/1/05 (e) | 1,000,000 | 1,086,830 | |||||
Valassis Communications, Inc., Zero Coupon, 6/6/21 | 500,000 | 289,720 | |||||
William Street Funding Corp., 1.41%, 4/23/06 (e)(r) | 4,000,000 | 4,004,966 | |||||
Xerox Corp., 5.25%, 12/15/03 | 500,000 | 500,000 | |||||
Total Corporate Bonds (Cost $145,459,864) | 139,447,282 | ||||||
U.S. Government Agencies | |||||||
and Instrumentalities - 1.1% | |||||||
Fannie Mae, 4.00%, 11/17/06 | 4,000,000 | 4,012,760 | |||||
Kingdom of Jordan, Guaranteed by the United States Agency | |||||||
of International Development, 8.75%, 9/1/19 | 1,176,706 | 1,505,206 | |||||
Total U.S. Government Agencies | |||||||
and Instrumentalities (Cost $5,432,374) | 5,517,966 | ||||||
Taxable Municipal Obligations - 9.8% | |||||||
American Public Energy Agency Gas Supply Revenue Bonds, | |||||||
6.875%, 12/1/04 (e) | 5,852,000 | 6,198,204 | |||||
Denver Colorado City & County Discount Notes, 12/15/16 | 2,000,000 | 967,400 | |||||
Harrisburg Authority Pennsylvania Daubhin County Facility | |||||||
Subordinate Revenue and Refunding Bonds, 5.50%, 9/1/25 | 2,500,000 | 2,466,525 | |||||
Hoboken New Jersey Pension Funding Zero Coupon Bonds, 4/1/27 | 570,000 | 120,566 | |||||
Illinois State Pension Authority Bonds, 5.10%, 6/1/33 | 5,050,000 | 4,694,632 | |||||
Maryland State Economic Development Corp. Revenue Bonds, | |||||||
8.625%, 10/1/19 (f) | 3,750,000 | 2,815,200 | |||||
Maryland State Health & Higher Educational Facilities Authority | |||||||
Revenue VRDN, 1.15%, 7/1/22 | 300,000 | 300,000 | |||||
New Jersey Economic Development Authority Revenue | |||||||
Zero Coupon Bonds: | |||||||
2/15/17 | 12,250,000 | 5,865,913 | |||||
2/15/24 | 4,000,000 | 1,171,000 | |||||
New York City GO VRDN, 1.05%, 11/1/23 | 4,000,000 | 4,000,000 | |||||
Ohio State Development Bonds, 4.79%, 10/1/14 | 1,100,000 | 1,095,347 | |||||
Orange Township New Jersey Water and Sewer | |||||||
Utility Bonds, 4.55%, 6/1/18 | 750,000 | 718,253 | |||||
Oregon School Boards Association Zero Coupon Bonds, 6/30/16 | $3,000,000 | $1,506,720 | |||||
Philadelphia Pennsylvania IDA Revenue Bonds, 6.488%, 6/15/04 | 5,128,306 | 5,289,437 | |||||
Phoenix Arizona IDA Revenue Bonds, 6.85%, 12/1/25 | 4,120,000 | 4,663,922 | |||||
Port St Lucie Florida Special Assessment Revenue Bonds, | |||||||
4.55%, 1/1/10 | 1,385,000 | 1,433,669 | |||||
Texas State Public Finance Authority Revenue Bonds, | |||||||
9.00%, 12/1/06 | 3,218,000 | 3,617,257 | |||||
Tucson Arizona Airport Authority, Inc. Revenue VRDN, | |||||||
1.20%, 12/1/18 | 3,180,000 | 3,180,000 | |||||
Virginia State Housing Development Authority Revenue Bonds, | |||||||
4.85%, 6/1/12 | 500,000 | 511,695 | |||||
Total Taxable Municipal Obligations (Cost $49,780,724) | 50,615,740 | ||||||
High Social Impact Investments - 0.9% | |||||||
Calvert Social Investment Foundation Notes, | |||||||
1.74%, 7/1/04 (b)(i) | 5,016,666 | 4,895,965 | |||||
Total High Social Impact Investments (Cost $5,016,666) | 4,895,965 | ||||||
Certificates of Deposit - 0.1% | |||||||
Alternative Federal Credit Union, 2.00%, 11/28/03 (b)(k) | 50,000 | 49,887 | |||||
Blackfeet National Bank, 2.00%, 11/13/03 (b)(k) | 92,000 | 91,690 | |||||
First American Credit Union, 1.80%, 12/23/03 (b)(k) | 92,000 | 92,000 | |||||
Mission Area Federal Credit Union, 1.50%, 11/18/03 (b)(k) | 50,000 | 49,897 | |||||
Northeast Community Federal Credit Union, 1.00%, 11/22/03 (b)(k) | 50,000 | 49,918 | |||||
ShoreBank & Trust Co., 1.40%, 12/6/03 (b)(k) | 100,000 | 99,820 | |||||
Total Certificates of Deposit (Cost $434,000) | 433,212 | ||||||
TOTAL INVESTMENTS (Cost $508,507,796) 99.6% |
| 514,494,737 | |||||
Other assets and liabilities, net - 0.4% | 1,960,491 | ||||||
Net Assets - 100% | $516,455,228 |
Underlying | Unrealized | |||||||||||||
# of | Expiration | Face Amount | Appreciation | |||||||||||
Futures | Contracts | Date | at Value | (Depreciation) | ||||||||||
Purchased: | ||||||||||||||
10 Year U.S. Treasury Notes | 44 | 12/03 | $5,043,500 | $23,905 | ||||||||||
U.S. Treasury Bonds | 46 | 12/03 | 5,159,188 | 248,316 | ||||||||||
Sold: | ||||||||||||||
2 Year U.S. Treasury Notes | 165 | 12/03 | 35,572,969 | (410,255) |
See notes to schedules of investments and notes to financial statements.
BOND PORTFOLIO
Schedule Of Investments
September 30, 2003
Principal |
| ||||
Corporate Bonds - 61.9% | Amount | Value | |||
ACC Escrow Corp., 10.00%, 8/1/11 (e) | $1,000,000 | $1,072,500 | |||
ACLC Business Loan Receivables Trust, 7.585%, 1/15/21 (e) | 1,499,907 | 1,513,408 | |||
American Express Credit Corp., 1.26%, 9/19/06 (r) | 5,000,000 | 5,000,000 | |||
ASIF Global Financing: | |||||
1.39%, 3/14/06 (e)(r) | 5,000,000 | 5,000,000 | |||
1.28%, 5/30/06 (e)(r) | 900,000 | 899,955 | |||
Atherton Franchisee Loan Funding, 6.72%, 8/15/10 (e) | 2,810,847 | 2,810,247 | |||
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e) | 3,250,000 | 2,074,150 | |||
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) | 500,000 | 574,640 | |||
Bank One Issuance Trust, 1.17%, 10/15/08 (r) | 3,000,000 | 3,001,950 | |||
Berkshire Hathaway, Inc., 3.375%, 10/15/08 (e) | 2,500,000 | 2,514,375 | |||
Brascan Corp., 7.125%, 12/16/03 | 3,635,000 | 3,659,027 | |||
Camp Pendleton and Quantico Military Housing, | |||||
5.937%, 10/1/43 (e) | 2,000,000 | 2,042,500 | |||
Cascade Christian Schools, 7.65%, 12/1/09 | 852,000 | 923,355 | |||
Chase Funding Mortgage Loan Asset-Backed Certificates, | |||||
4.045%, 5/25/33 | 5,000,000 | 5,089,250 | |||
CNL Funding, 7.721%, 8/25/09 (e) | 1,920,915 | 2,095,314 | |||
Continental Airlines, Inc., 2.046%, 12/6/07 (e)(r) | 2,000,000 | 1,999,820 | |||
Credit Suisse First Boston (USA), Inc., 1.42%, 6/19/06 (r) | 1,500,000 | 1,499,130 | |||
Delta Air Lines, Inc., 1.86%, 1/25/08 (e)(r) | 2,924,994 | 2,941,432 | |||
EOP Operating LP: | |||||
7.375%, 11/15/03 | 2,000,000 | 2,011,760 | |||
6.50%, 1/15/04 | 1,000,000 | 1,011,740 | |||
6.50%, 6/15/04 | 1,002,717 | 1,030,683 | |||
FFCA Secured Lending Corp., 6.37%, 9/18/25 (e) | 959,777 | 979,644 | |||
Finova Group, Inc., 7.50%, 11/15/09 | 8,375,000 | 4,145,625 | |||
First Republic Bank, 7.75%, 9/15/12 | 870,000 | 919,720 | |||
Gap, Inc., 9.90%, 12/15/05 | 750,000 | 840,000 | |||
Great Lakes Power, 8.30%, 3/1/05 | 1,425,000 | 1,519,990 | |||
Greater Bay Bancorp., 5.25%, 3/31/08 | 1,000,000 | 1,016,950 | |||
Highwoods Realty LP, 6.75%, 12/1/03 | 1,000,000 | 1,005,420 | |||
Impac CMB Trust, 1.58%, 3/25/33 (r) | 3,530,575 | 3,538,131 | |||
Interpool Capital Trust, 9.875%, 2/15/27 | 1,620,000 | 1,296,000 | |||
Interpool, Inc., 7.35%, 8/1/07 | 2,300,000 | 2,242,500 | |||
LCOR Alexandria LLC, 6.625%, 9/15/19 (e) | 5,000,000 | 5,596,550 | |||
LG&E Capital Corp., 6.205%, 5/1/04 (e) | 1,500,000 | 1,532,655 | |||
Liberty Mutual Insurance Co., 7.697%, 10/15/97 (r) | 4,370,000 | 3,288,425 | |||
Lumbermens Mutual Casualty Co.: | |||||
9.15%, 7/1/26 (e)(n) | 3,400,000 | 272,000 | |||
8.30%, 12/1/37 (e)(m) | 4,000,000 | 320,000 | |||
Mack-Cali Realty LP, 7.00%, 3/15/04 | 1,000,000 | 1,021,630 | |||
Montpelier Reinsurance Holdings Ltd, 6.125%, 8/15/13 | 2,000,000 | 2,052,100 | |||
Nextel Communications, Inc., 7.375%, 8/1/15 | 2,000,000 | 2,015,000 | |||
Nortel Networks Corp., 4.25%, 9/1/08 | 1,500,000 | 1,361,265 | |||
Preferred Term Securities Ltd: | |||||
1.759%, 4/3/33 (e)(r) | 1,000,000 | 1,011,060 | |||
4.08%, 4/3/33 (e) | 1,250,000 | 1,264,862 | |||
QBE Insurance Group Ltd, 5.647%, 7/1/23 (e) | $3,000,000 | $2,871,237 | |||
Residential Asset Mortgage Products, Inc., 5.09%, 2/25/31 | 1,000,000 | 1,029,000 | |||
SLM Corp., 1.06%, 7/25/35 (e)(r) | 5,000,000 | 4,880,850 | |||
Sovereign Bank: | |||||
4.375%, 8/1/13 | 1,750,000 | 1,790,688 | |||
12.18%, 6/30/20 (e) | 3,476,011 | 5,051,999 | |||
State Street Capital Trust II, 1.63%, 2/15/08 (r) | 1,000,000 | 1,000,380 | |||
Texas Municipal Gas Corp., 2.60%, 7/1/07 (e) | 3,000,000 | 3,023,970 | |||
TIERS Trust, 8.45%, 12/01/17 (p) | 439,239 | 32,943 | |||
Toll Road Investment Partnership II, Zero Coupon: | |||||
2/15/10 (e) | 3,000,000 | 2,251,401 | |||
2/15/13 (e) | 1,000,000 | 624,504 | |||
2/15/14 (e) | 2,000,000 | 1,187,780 | |||
2/15/25 (e) | 14,200,000 | 3,644,899 | |||
2/15/26 (e) | 3,000,000 | 721,002 | |||
Unisys Corp., 6.875%, 3/15/10 | 200,000 | 206,500 | |||
United Energy Ltd, 6.00%, 11/1/05 (e) | 1,000,000 | 1,086,830 | |||
Valassis Communications, Inc., Zero Coupon, 6/6/21 | 500,000 | 289,720 | |||
William Street Funding Corp., 1.41%, 4/23/06 (e)(r) | 4,000,000 | 4,004,966 | |||
World Financial Network Credit Card Master Trust, | |||||
1.49%, 5/15/12 (r) | 1,000,000 | 999,999 | |||
Xerox Corp., 5.25%, 12/15/03 | 1,000,000 | 1,000,000 | |||
Total Corporate Bonds (Cost $123,118,356) | 121,703,431 | ||||
Taxable Municipal Obligations - 20.2% | |||||
Alameda California Corridor Transportation Authority Revenue | |||||
Bonds, 6.50%, 10/1/19 | 1,500,000 | 1,710,795 | |||
Brooklyn Park Minnesota GO Bonds, 4.75%, 2/1/13 | 710,000 | 718,776 | |||
Coos County Oregon GO Bonds, 4.33%, 6/1/17 | 1,000,000 | 953,300 | |||
Denver Colorado City & County School District Revenue Bonds, | |||||
Zero Coupon, 12/15/16 | 3,000,000 | 1,451,100 | |||
Greater Valley Medical Building Partnership LP Revenue Bonds, | |||||
6.86%, 3/01/21 | 1,935,000 | 1,974,532 | |||
Harrisburg Pennsylvania Authority Revenue | |||||
Bonds, 5.50%, 9/1/25 | 2,500,000 | 2,466,525 | |||
Hoboken New Jersey GO Bonds, Zero Coupon, 4/1/27 | 570,000 | 120,566 | |||
Illinois State GO Bonds, 5.10%, 6/1/33 | 5,000,000 | 4,648,150 | |||
Mangrove Bay Pass Through Trust, 6.102%, 7/15/33 (e) | 2,000,000 | 1,995,000 | |||
Marin County California GO Bonds, 4.97%, 8/1/17 | 1,000,000 | 1,002,910 | |||
New Jersey Economic Development Authority Revenue, | |||||
Zero Coupon: | |||||
2/15/17 | 10,250,000 | 4,908,213 | |||
2/15/24 | 5,000,000 | 1,463,750 | |||
Ohio State Development Bonds, 4.79%, 10/1/14 | 1,100,000 | 1,095,347 | |||
Orange Township New Jersey GO Bonds, 4.55%, 6/01/18 | 750,000 | 718,253 | |||
Oregon School Boards Association GO Bonds, Zero Coupon, | |||||
6/30/16 | 2,250,000 | 1,130,040 | |||
Philadelphia Pennsylvania IDA Revenue Bonds, 6.488%, 6/15/04 | 4,395,691 | 4,533,803 | |||
Phoenix Arizona IDA Revenue Bonds, 6.85%, 12/01/25 | 3,290,000 | 3,724,346 | |||
Port St. Lucie Florida Special Tax Assessment Revenue Bonds, | |||||
4.25%, 1/1/09 | $1,315,000 | $1,356,146 | |||
Texas State Public Finance Authority Revenue Bonds, | |||||
9.00%, 12/1/06 | 2,825,000 | 3,175,498 | |||
Virginia State Housing Development Authority Revenue Bonds, | |||||
4.85%, 6/1/12 | 570,000 | 583,332 | |||
Total Taxable Municipal Obligations (Cost $38,599,857) | 39,730,382 | ||||
Taxable Variable Rate Demand Notes - 10.1% | |||||
Alaska Housing Finance Corp. Revenue, 1.07%, 12/1/32 | 2,860,000 | 2,860,000 | |||
Butler County Alabama Industrial Development Authority | |||||
Revenue, 1.15%, 3/1/12 | 1,365,000 | 1,365,000 | |||
Connecticut HFA Revenue, 1.07%, 11/15/16 | 280,000 | 280,000 | |||
Hardin County Kentucky Industrial Building Authority Revenue, | |||||
1.32%, 3/1/27 | 300,000 | 300,000 | |||
Los Angeles California Community Redevelopment Agency | |||||
Revenue, 1.13%, 12/1/34 | 2,412,500 | 2,412,500 | |||
Milpitas California MFH Revenue, 1.13%, 8/15/33 | 200,000 | 200,000 | |||
New York City Housing Development Corp. MFH Revenue: | |||||
1.06%, 11/15/28 | 500,000 | 500,000 | |||
1.06%, 4/15/29 | 150,000 | 150,000 | |||
1.06%, 11/15/31 | 1,700,000 | 1,700,000 | |||
1.11%, 6/1/33 | 2,300,000 | 2,300,000 | |||
New York State HFA Revenue, | |||||
1.06%, 11/1/34 | 3,000,000 | 3,000,000 | |||
Post Apartment Homes LP MFH Revenue, 1.12%, 7/15/29 | 400,000 | 400,000 | |||
Washington State Housing Finance Commission Revenue, | |||||
1.13%, 7/15/34 | 1,300,000 | 1,300,000 | |||
Wenatchee Valley Clinic, 1.15%, 11/23/24 | 3,080,000 | 3,080,000 | |||
Total Taxable Variable Rate Demand Notes (Cost $19,847,500) | 19,847,500 | ||||
U.S. Government Agencies | |||||
and Instrumentalities - 5.8% | |||||
Fannie Mae: | |||||
2.375%, 7/21/05 | 3,000,000 | 3,009,660 | |||
4.00%, 11/17/06 | 5,000,000 | 5,015,950 | |||
Freddie Mac, 2.16%, 12/30/05 | 2,500,000 | 2,514,150 | |||
Kingdom of Jordan Guaranteed by the United States Agency | |||||
of International Development, 8.75%, 9/1/19 | 588,353 | 752,603 | |||
Total U.S. Government Agencies | |||||
and Instrumentalities (Cost $11,262,725) | 11,292,363 | ||||
Principal | |||||
High Social Impact Investments - 0.5% | Amount | Value | |||
Calvert Social Investment Foundation Notes, | |||||
1.74%, 7/1/06 (b)(i) |
| $1,050,000 | $1,024,737 | ||
Total High Social Impact Investments (Cost $1,050,000) | 1,024,737 | ||||
Equity Securities - 1.9% | Shares | ||||
Allstream, Inc.: | |||||
Class A* | 734 | 28,464 | |||
Class B* | 39,560 | 1,544,818 | |||
Conseco, Inc.* | 106,935 | 1,931,247 | |||
Northern Borders Partners, LP | 3,500 | 151,935 | |||
Total Equity Securities (Cost $4,343,518) | 3,656,464 | ||||
Total Investments (Cost $198,221,956) - 100.4% | 197,254,877 | ||||
Other assets and liabilities, net - (0.4%) | (756,713) | ||||
Net Assets - 100% | $196,498,164 |
Underlying | Unrealized | |||||||||||||
# of | Expiration | Face Amount | Appreciation | |||||||||||
Futures | Contracts | Date | at Value | (Depreciation) | ||||||||||
Purchased: | ||||||||||||||
10 Year U.S. Treasury Notes | 36 | 12/03 | $4,126,500 | $15,851 | ||||||||||
U.S. Treasury Bonds | 66 | 12/03 | 7,402,312 | 349,311 | ||||||||||
Sold: | ||||||||||||||
2 Year U.S. Treasury Notes | 168 | 12/03 | 36,219,750 | (418,646) |
See notes to schedules of investments and notes to financial statements.
EQUITY PORTFOLIO
Schedule Of Investments
September 30, 2003
Equity Securities - 97.1% | Shares | Value | ||||
Banks - Major Regional - 3.0% | ||||||
BB&T Corp. | 194,000 | $6,966,540 | ||||
Synovus Financial Corp. | 605,300 | 15,126,447 | ||||
| 22,092,987 | |||||
Biotechnology - 2.5% | ||||||
Amgen, Inc.* | 277,600 | 17,924,632 | ||||
Chemicals - 2.7% | ||||||
Air Products & Chemicals, Inc. | 300,000 | 13,530,000 | ||||
Ecolab, Inc. | 241,200 | 6,090,300 | ||||
| 19,620,300 | |||||
Computers - Hardware - 5.5% | ||||||
Dell, Inc.* | 565,300 | 18,875,367 | ||||
Hewlett-Packard Co. | 675,000 | 13,068,000 | ||||
Sun Microsystems, Inc.* | 2,317,100 | 7,669,601 | ||||
| 39,612,968 | |||||
Computers - Networking - 3.4% | ||||||
Cisco Systems, Inc.* | 1,250,000 | 24,425,000 | ||||
Computers - Peripherals - 1.6% | ||||||
EMC Corp.* | 900,000 | 11,367,000 | ||||
Computers - Software & Services - 3.1% | ||||||
Microsoft Corp. | 803,100 | 22,318,149 | ||||
Distributors - Food & Health - 1.7% | ||||||
Performance Food Group Co.* | 301,400 | 12,269,994 | ||||
Electrical Equipment - 3.9% | ||||||
Emerson Electric Co. | 325,600 | 17,142,840 | ||||
Molex, Inc. | 460,000 | 11,288,400 | ||||
28,431,240 | ||||||
Electronics - Semiconductors - 4.0% | ||||||
Intel Corp. | 591,800 | 16,280,418 | ||||
Microchip Technology, Inc. | 542,300 | 12,982,662 | ||||
29,263,080 | ||||||
Financial - Diversified - 3.7% | ||||||
American Express Co. | 302,000 | 13,608,120 | ||||
SEI Investments Co. | 402,200 | 13,071,500 | ||||
26,679,620 | ||||||
Healthcare - Diversified - 1.4% | ||||||
Johnson & Johnson | 201,400 | $9,973,328 | ||||
Healthcare - Drug - Major Pharmaceutical - 6.7% | ||||||
Merck & Co., Inc. | 271,600 | 13,748,392 | ||||
Pfizer, Inc. | 700,000 | 21,266,000 | ||||
Schering-Plough Corp. | 900,000 | 13,716,000 | ||||
| 48,730,392 | |||||
Healthcare - Hospital Management - 2.0% | ||||||
Health Management Associates, Inc. | 681,200 | 14,856,972 | ||||
Healthcare - Managed Care - 2.4% | ||||||
Wellpoint Health Networks, Inc.* | 222,000 | 17,111,760 | ||||
Healthcare - Medical Products & Supplies - 3.6% | ||||||
Dentsply International, Inc. | 271,800 | 12,187,512 | ||||
Medtronic, Inc. | 300,000 | 14,076,000 | ||||
| 26,263,512 | |||||
Insurance - Life & Health - 2.0% | ||||||
Aflac, Inc. | 450,000 | 14,535,000 | ||||
Insurance - Multi-Line - 2.6% | ||||||
American International Group, Inc. | 330,000 | 19,041,000 | ||||
Investment Banking / Brokerage - 1.7% | ||||||
A.G. Edwards, Inc. | 330,000 | 12,675,300 | ||||
Investment Management - 1.8% | ||||||
Franklin Resources, Inc. | 294,900 | 13,037,529 | ||||
Machinery - Diversified - 2.0% | ||||||
Dover Corp. | 411,900 | 14,568,903 | ||||
Manufacturing - Diversified - 3.0% | ||||||
Illinois Tool Works, Inc. | 203,000 | 13,450,780 | ||||
Pentair, Inc. | 201,600 | 8,037,792 | ||||
| 21,488,572 | |||||
Manufacturing - Specialized - 1.2% | ||||||
Aptargroup, Inc. | 241,700 | 8,867,973 | ||||
Natural Gas - 1.9% | ||||||
Questar Corp. | 456,200 | $14,055,522 | ||||
Oil & Gas - Exploration & Production - 2.1% | ||||||
EOG Resources, Inc. | 363,600 | 15,176,664 | ||||
Personal Care - 3.5% | ||||||
Alberto-Culver Co. | 251,500 | 14,433,585 | ||||
Estee Lauder Co.'s, Inc. | 324,200 | 11,055,220 | ||||
| 25,488,805 | |||||
Restaurants - 2.1% | ||||||
Brinker International, Inc.* | 450,000 | 15,012,000 | ||||
Retail - Building Supplies - 2.3% | ||||||
Home Depot, Inc. | 520,000 | 16,562,000 | ||||
Retail - Computers & Electronics - 1.2% | ||||||
CDW Corp. | 155,000 | 8,949,700 | ||||
Retail - Department Stores - 2.0% | ||||||
Kohls Corp.* | 270,000 | 14,445,000 | ||||
Retail - Discounters - 1.4% | ||||||
Family Dollar Stores, Inc. | 255,500 | 10,191,895 | ||||
Retail - Drug Stores - 2.0% | ||||||
Walgreen Co. | 480,000 | 14,707,200 | ||||
Retail - General Merchandise - 1.7% | ||||||
Costco Wholesale Corp.* | 400,000 | 12,432,000 | ||||
Retail - Specialty - 2.7% | ||||||
Bed Bath & Beyond, Inc.* | 296,200 | 11,308,916 | ||||
Staples, Inc.* | 350,000 | 8,312,500 | ||||
| 19,621,416 | |||||
Services - Advertising / Marketing - 1.3% | ||||||
Omnicom Group, Inc. | 132,000 | 9,484,200 | ||||
Services - Computer Systems - 1.7% | ||||||
Sungard Data Systems, Inc.* | 463,300 | 12,189,423 | ||||
Services - Data Processing - 3.7% | ||||||
Concord EFS, Inc.* | 960,000 | 13,123,200 | ||||
Fiserv, Inc.* | 377,400 | 13,673,202 | ||||
26,796,402 | ||||||
Telephone - 2.0% | ||||||
Alltel Corp. | 308,900 | 14,314,426 | ||||
Total Equity Securities (Cost $631,129,046) | 704,581,864 | |||||
Venture Capital - 0.0% | Shares | Value | ||||
20/20 Gene Systems, Inc., Warrants, Exp. 8/31/13 (b)(i)* | 30,000 | $14,700 | ||||
Cylex, Inc.: | ||||||
Series A (Preferred) (a)(b)(i)* | 1,017,424 | 151,744 | ||||
Warrants, Exp. 2/14/13 (b)(i)* | 40,470 | 1,279 | ||||
Warrants, Exp. 8/15/13 (b)(i)* | 18,182 | 574 | ||||
Dragonfly Media LLC (b)(i)* | 228,571 | 400,006 | ||||
H2Gen Innovations, Inc.: | ||||||
Series A (Preferred) (b)(i)* | 251,496 | 251,496 | ||||
Warrants, Exp. 1/1/12 (b)(i)* | 20,833 | -- | ||||
Total Venture Capital (Cost $1,015,471) | 819,799 | |||||
Principal | ||||||
Corporate Bonds - 0.0% | Amount | |||||
20/20 Gene Systems, Inc., 8.00%, 2/28/05 (b)(i) | $250,000 | 236,130 | ||||
Cylex, Inc.: | ||||||
8.00%, 12/31/03 (b)(i) | 66,775 | 66,775 | ||||
Series B, 8.00%, 2/15/04 (b)(i) | 30,000 | 29,566 | ||||
Total Corporate Bonds (Cost $332,531) | 332,471 | |||||
Taxable Variable Rate Demand Notes - 2.1% | ||||||
Alaska Housing Finance Corp.: | ||||||
Series C, 1.07%, 12/1/32 | 800,000 | 800,000 | ||||
Series D, 1.07%, 12/1/32 | 1,890,000 | 1,890,000 | ||||
Chambers County Alabama IDA VRDN, 1.15%, 2/1/28 | 1,730,000 | 1,730,000 | ||||
New York City Housing Development Corp. MFH Revenue, | ||||||
1.06%, 4/15/29 | 500,000 | 500,000 | ||||
New York State Housing Finance Agency Revenue, | ||||||
1.11%, 11/1/33 | 2,000,000 | 2,000,000 | ||||
Omaha Nebraska SO Bond, 1.22%, 2/1/26 | 2,000,000 | 2,000,000 | ||||
Post Apartment Homes LP MFH Revenue, | ||||||
1.12%, 7/15/29 | 1,200,000 | 1,200,000 | ||||
Southern Indiana Investments Company Two LLC, | ||||||
1.15%, 10/15/26 | 1,000,000 | 1,000,000 | ||||
StorageMax Midtown LLC, 1.15%, 5/20/23 | 3,215,000 | 3,215,000 | ||||
Tyler Enterprises LLC, 1.15%, 10/1/22 | 390,000 | 390,000 | ||||
Washington State MFH Revenue, 1.13%, 2/1/28 | 545,000 | 545,000 | ||||
Total Taxable Variable Rate Demand Notes (Cost $15,270,000) | 15,270,000 | |||||
High Social Impact Investments - 0.3% | ||||||
Calvert Social Investment Foundation Notes, | ||||||
1.74%, 7/1/06 (b)(i) | 1,800,000 | 1,756,692 | ||||
Total High Social Impact Investments (Cost $1,800,000) | 1,756,692 | |||||
TOTAL INVESTMENTS (Cost $649,547,048) - 99.6% | 722,760,826 | |||||
Other assets and liabilities, net - 0.4% | 3,232,639 | |||||
Net Assets - 100% | $725,993,465 |
See notes to schedules of investments and notes to financial statements.
ENHANCED EQUITY PORTFOLIO
Schedule Of Investments
September 30, 2003
Equity Securities - 99.5% | Shares | Value | ||
Air Freight - 0.5% | ||||
FedEx Corp. | 1,300 | $83,759 | ||
United Parcel Service, Inc. (Class B) | 2,400 | 153,120 | ||
| 236,879 | |||
Airlines - 0.0% | ||||
Continental Airlines, Inc. (Class B)* | 1,500 | 24,870 | ||
Auto Parts & Equipment - 0.9% | ||||
Autoliv, Inc. | 12,100 | 365,057 | ||
Genuine Parts Co. | 1,500 | 47,970 | ||
Modine Manufacturing Co. | 1,700 | 40,460 | ||
| 453,487 | |||
Banks - Major Regional - 4.2% | ||||
Amsouth BanCorp. | 2,300 | 48,806 | ||
Bank One Corp. | 7,700 | 297,605 | ||
FleetBoston Financial Corp. | 1,800 | 54,270 | ||
KeyCorp Ltd. | 9,000 | 230,130 | ||
National City Corp. | 6,600 | 194,436 | ||
US Bancorp | 23,400 | 561,366 | ||
Wells Fargo & Co. | 14,100 | 726,150 | ||
| 2,112,763 | |||
Banks - Money Center - 3.6% | ||||
Bank of America Corp. | 16,047 | 1,252,308 | ||
Wachovia Corp. | 14,100 | 580,779 | ||
1,833,087 | ||||
Banks - Regional - 0.1% | ||||
First Tennessee National Corp. | 1,400 | 59,444 | ||
Biotechnology - 1.3% | ||||
Amgen, Inc.* | 9,000 | 581,130 | ||
Invitrogen Corp.* | 1,700 | 98,583 | ||
679,713 | ||||
Broadcast - Television, Radio, & Cable - 0.8% | ||||
COX Communications, Inc.* | 8,500 | 268,770 | ||
InterActiveCorp* | 3,800 | 125,590 | ||
394,360 | ||||
Building Materials - 0.4% | ||||
Masco Corp. | 9,200 | 225,216 | ||
Chemicals - 0.9% | ||||
Airgas, Inc. | 17,300 | 307,940 | ||
Praxair, Inc. | 2,500 | 154,875 | ||
462,815 | ||||
Chemicals - Specialty - 0.5% | ||||
Sigma-Aldrich Corp. | 5,000 | $259,700 | ||
Communications Equipment - 1.0% | ||||
Adtran, Inc. | 5,700 | 348,726 | ||
Scientific-Atlanta, Inc. | 3,700 | 115,255 | ||
Tellabs, Inc.* | 5,300 | 35,987 | ||
499,968 | ||||
Computers - Hardware - 4.7% | ||||
Dell, Inc.* | 19,900 | 664,461 | ||
Hewlett-Packard Co. | 10,000 | 193,600 | ||
International Business Machines Corp. | 16,700 | 1,475,111 | ||
Sun Microsystems, Inc.* | 15,800 | 52,298 | ||
2,385,470 | ||||
Computers - Networking - 2.4% | ||||
Cisco Systems, Inc.* | 62,400 | 1,219,296 | ||
Computers - Peripherals - 0.3% | ||||
EMC Corp.* | 11,600 | 146,508 | ||
Computers - Software & Services - 4.8% | ||||
Adobe Systems, Inc. | 3,200 | 125,632 | ||
Citrix Systems, Inc.* | 2,000 | 44,160 | ||
Compuware Corp.* | 14,400 | 77,184 | ||
Electronic Arts, Inc.* | 400 | 36,892 | ||
Intuit, Inc.* | 600 | 28,944 | ||
Microsoft Corp. | 73,400 | 2,039,786 | ||
Veritas Software Corp.* | 3,000 | 94,200 | ||
2,446,798 | ||||
Consumer Finance - 1.3% | ||||
Capital One Financial Corp. | 4,700 | 268,089 | ||
MBNA Corp. | 11,600 | 264,480 | ||
Providian Financial Corp.* | 11,100 | 130,869 | ||
663,438 | ||||
Distributors - Food & Health - 1.9% | ||||
Cardinal Health, Inc. | 7,150 | 417,489 | ||
Supervalu, Inc. | 4,700 | 112,142 | ||
Sysco Corp. | 13,700 | 448,127 | ||
977,758 | ||||
Electric Companies - 0.8% | ||||
Cleco Corp. | 4,000 | 65,360 | ||
Hawaiian Electric Industries | 1,500 | 65,295 | ||
OGE Energy Corp. | 11,400 | 257,526 | ||
388,181 | ||||
Electrical Equipment - 0.6% | ||||
Cooper Industries Ltd | 1,100 | 52,833 | ||
Harman International Industries, Inc. | 300 | 29,505 | ||
Molex, Inc. | 7,400 | 211,566 | ||
293,904 | ||||
Electronics - Component Distribution - 0.1% | ||||
W.W. Grainger, Inc. | 1,300 | $61,815 | ||
Electronics - Instrument - 0.0% | ||||
Agilent Technologies, Inc.* | 1,149 | 25,404 | ||
Electronics - Semiconductors - 4.1% | ||||
Altera Corp.* | 10,900 | 206,010 | ||
Analog Devices, Inc.* | 5,700 | 216,714 | ||
Intel Corp. | 48,200 | 1,325,982 | ||
LSI Logic Corp.* | 300 | 2,697 | ||
Texas Instruments, Inc. | 10,300 | 234,840 | ||
Xilinx, Inc.* | 2,100 | 59,871 | ||
2,046,114 | ||||
Entertainment - 1.1% | ||||
Time Warner, Inc.* | 36,800 | 556,048 | ||
Equipment - Semiconductors - 0.4% | ||||
Applied Materials, Inc.* | 11,500 | 208,610 | ||
Financial - Diversified - 7.8% | ||||
AMBAC Financial Group, Inc. | 1,700 | 108,800 | ||
American Express Co. | 22,100 | 995,826 | ||
Equity Office Properties Trust | 10,300 | 283,559 | ||
Fannie Mae | 15,000 | 1,053,000 | ||
Freddie Mac | 1,300 | 68,055 | ||
Goldman Sachs Group, Inc. | 800 | 67,120 | ||
J.P. Morgan Chase & Co. | 30,900 | 1,060,797 | ||
Principal Financial Group, Inc. | 6,700 | 207,633 | ||
Public Storage, Inc. | 1,300 | 50,999 | ||
SLM Corp. | 1,200 | 46,752 | ||
3,942,541 | ||||
Foods - 3.0% | ||||
General Mills, Inc. | 5,200 | 244,764 | ||
H.J. Heinz Co. | 12,200 | 418,216 | ||
Hershey Foods Corp. | 4,800 | 348,864 | ||
Kellogg Co. | 15,400 | 513,590 | ||
1,525,434 | ||||
Footwear - 0.1% | ||||
Timberland Co.* | 800 | 34,128 | ||
Hardware & Tools - 0.2% | ||||
Black & Decker Corp. | 2,000 | 81,100 | ||
Healthcare - Diversified - 2.8% | ||||
Johnson & Johnson | 28,800 | 1,426,176 | ||
Healthcare - Drug - Major Pharmaceutical - 5.6% | ||||
Forest Laboratories, Inc.* | 2,500 | $128,625 | ||
Merck & Co., Inc. | 21,700 | 1,098,454 | ||
Pfizer, Inc. | 48,700 | 1,479,506 | ||
Schering-Plough Corp. | 7,900 | 120,396 | ||
| 2,826,981 | |||
Healthcare - Hospital Management - 0.1% | ||||
Health Management Associates, Inc. | 1,300 | 28,353 | ||
Healthcare - Managed Care - 1.3% | ||||
Anthem, Inc.* | 1,800 | 128,394 | ||
Coventry Health Care, Inc.* | 700 | 36,918 | ||
Health Net, Inc.* | 4,000 | 126,680 | ||
Mid Atlantic Medical Services* | 2,000 | 102,860 | ||
Wellpoint Health Networks, Inc.* | 3,300 | 254,364 | ||
649,216 | ||||
Healthcare - Medical Products & Supplies - 2.1% | ||||
Arrow International, Inc. | 1,600 | 36,800 | ||
Beckman Coulter, Inc. | 1,100 | 50,094 | ||
Becton Dickinson & Co. | 5,000 | 180,600 | ||
Medtronic, Inc. | 6,800 | 319,056 | ||
St. Jude Medical, Inc.* | 600 | 32,262 | ||
Stryker Corp. | 2,600 | 195,806 | ||
Zimmer Holdings, Inc.* | 4,600 | 253,460 | ||
1,068,078 | ||||
Healthcare - Special Services - 0.2% | ||||
DaVita, Inc.* | 2,600 | 82,758 | ||
Quest Diagnostics, Inc.* | 400 | 24,256 | ||
107,014 | ||||
Homebuilding - 1.8% | ||||
KB Home | 2,300 | 137,218 | ||
NVR, Inc.* | 1,700 | 793,050 | ||
930,268 | ||||
Household Furnishing & Appliances - 0.5% | ||||
Whirlpool Corp. | 3,500 | 237,195 | ||
Household Products - Non-Durable - 2.4% | ||||
Church & Dwight, Inc. | 1,600 | 55,984 | ||
Colgate-Palmolive Co. | 6,900 | 385,641 | ||
Kimberly-Clark Corp. | 15,000 | 769,800 | ||
1,211,425 | ||||
Insurance - Life & Health - 2.0% | ||||
Aflac, Inc. | 6,900 | 222,870 | ||
Jefferson-Pilot Corp. | 1,600 | 71,008 | ||
Lincoln National Corp. | 3,000 | 106,140 | ||
Nationwide Financial Services | 1,900 | 59,546 | ||
Protective Life Corp. | 5,200 | 155,220 | ||
Prudential Financial, Inc. | 10,100 | 377,336 | ||
992,120 | ||||
| ||||
Insurance - Multi-Line - 2.9% | ||||
American International Group, Inc. | 24,340 | $1,404,418 | ||
Hartford Financial Services, Inc. | 1,300 | 68,419 | ||
1,472,837 | ||||
Insurance - Property & Casualty - 1.6% | ||||
Chubb Corp. | 6,800 | 441,184 | ||
Commerce Group, Inc. | 1,800 | 68,328 | ||
Progressive Corp. | 2,400 | 165,864 | ||
Safeco Corp. | 3,100 | 109,306 | ||
784,682 | ||||
Insurance Brokers - 0.2% | ||||
Marsh & McLennan Co.'s | 2,200 | 104,742 | ||
Investment Banking / Brokerage - 0.1% | ||||
Charles Schwab Corp. | 2,700 | 32,157 | ||
Investment Management - 0.2% | ||||
Franklin Resources, Inc. | 1,600 | 70,736 | ||
The Phoenix Co.'s, Inc. | 4,100 | 47,355 | ||
118,091 | ||||
Leisure Time - Products - 0.8% | ||||
Callaway Golf Co. | 5,800 | 82,766 | ||
Handleman Co. | 300 | 5,064 | ||
Harley-Davidson, Inc. | 6,200 | 298,840 | ||
386,670 | ||||
Machinery - Diversified - 1.3% | ||||
Actuant Corp.* | 2,500 | 140,375 | ||
Deere & Co. | 7,700 | 410,487 | ||
Dover Corp. | 2,700 | 95,499 | ||
646,361 | ||||
Manufacturing - Diversified - 1.5% | ||||
Carlisle Co.'s, Inc. | 1,800 | 78,516 | ||
Danaher Corp. | 2,800 | 206,808 | ||
Illinois Tool Works, Inc. | 4,370 | 289,556 | ||
Parker Hannifin Corp. | 3,600 | 160,920 | ||
735,800 | ||||
Manufacturing - Specialized - 0.8% | ||||
Jabil Circuit, Inc.* | 9,700 | 252,685 | ||
Nordson Corp. | 1,200 | 31,068 | ||
Sealed Air Corp.* | 3,000 | 141,690 | ||
425,443 | ||||
Natural Gas - 2.5% | ||||
AGL Resources, Inc. | 6,000 | $169,020 | ||
Equitable Resources, Inc. | 3,400 | 139,740 | ||
Kinder Morgan, Inc. | 11,900 | 642,719 | ||
NiSource, Inc. | 3,600 | 71,928 | ||
Oneok, Inc. | 4,600 | 92,782 | ||
Southwest Gas Corp. | 6,400 | 145,280 | ||
1,261,469 | ||||
Office Equipment & Supplies - 0.5% | ||||
Pitney Bowes, Inc. | 1,000 | 38,320 | ||
United Stationers, Inc.* | 5,500 | 207,240 | ||
245,560 | ||||
Oil & Gas - Drilling & Equipment - 0.9% | ||||
Smith International, Inc.* | 10,500 | 377,790 | ||
Veritas DGC, Inc.* | 10,400 | 82,992 | ||
460,782 | ||||
Oil & Gas - Exploration & Production - 2.0% | ||||
EOG Resources, Inc. | 16,900 | 705,406 | ||
Pioneer Natural Resources Co.* | 1,200 | 30,552 | ||
XTO Energy, Inc. | 12,166 | 255,364 | ||
991,322 | ||||
Paper & Forest Products - 0.6% | ||||
Weyerhaeuser Co. | 5,100 | 298,095 | ||
Personal Care - 1.2% | ||||
Avon Products, Inc. | 600 | 38,736 | ||
Gillette Co. | 17,900 | 572,442 | ||
611,178 | ||||
Photography / Imaging - 0.6% | ||||
Eastman Kodak Co. | 11,300 | 236,622 | ||
Xerox Corp.* | 8,600 | 88,236 | ||
324,858 | ||||
Publishing - 0.7% | ||||
McGraw-Hill Co.'s, Inc. | 6,000 | 372,780 | ||
Publishing - Newspapers - 0.7% | ||||
Dow Jones & Co., Inc. | 2,700 | 127,845 | ||
Media General, Inc. | 1,200 | 73,320 | ||
New York Times Co. | 1,700 | 73,882 | ||
Washington Post (Class B)* | 100 | 66,500 | ||
341,547 | ||||
Retail - Building Supplies - 2.1% | ||||
Home Depot, Inc. | 19,600 | 624,260 | ||
Lowe's Co.'s, Inc. | 8,100 | 420,390 | ||
1,044,650 | ||||
Retail - Department Stores - 0.1% | ||||
J.C. Penney Co., Inc. | 2,800 | $59,836 | ||
Retail - Discounters - 0.7% | ||||
Dollar General Corp. | 1,800 | 36,000 | ||
Family Dollar Stores, Inc. | 6,500 | 259,285 | ||
ShopKo Stores, Inc.* | 3,700 | 55,500 | ||
350,785 | ||||
Retail - Drug Stores - 0.7% | ||||
Caremark Rx, Inc.* | 3,800 | 85,880 | ||
CVS Corp. | 900 | 27,954 | ||
Walgreen Co. | 7,300 | 223,672 | ||
337,506 | ||||
Retail - General Merchandise - 0.3% | ||||
Costco Wholesale Corp.* | 2,700 | 83,916 | ||
Target Corp. | 2,100 | 79,023 | ||
162,939 | ||||
Retail - Specialty - 1.1% | ||||
Bed Bath & Beyond, Inc.* | 5,700 | 217,626 | ||
Staples, Inc.* | 14,400 | 342,000 | ||
559,626 | ||||
Retail - Specialty Apparel - 0.3% | ||||
Gap, Inc. | 7,525 | 128,828 | ||
Savings & Loan Companies - 1.1% | ||||
Washington Mutual, Inc. | 13,700 | 539,369 | ||
Services - Commercial & Consumer - 0.2% | ||||
Brink's Co. | 4,800 | 83,328 | ||
Services - Computer Systems - 0.7% | ||||
Electronic Data Systems Corp. | 12,900 | 260,580 | ||
Ingram Micro, Inc.* | 5,000 | 65,250 | ||
Sungard Data Systems, Inc.* | 1,400 | 36,834 | ||
362,664 | ||||
Services - Data Processing - 2.1% | ||||
Automatic Data Processing, Inc. | 8,800 | 315,480 | ||
DST Systems, Inc.* | 1,900 | 71,440 | ||
First Data Corp. | 16,300 | 651,348 | ||
Fiserv, Inc.* | 1,000 | 36,230 | ||
1,074,498 | ||||
Specialty Printing - 0.2% | ||||
R.R. Donnelley & Sons Co. | 3,900 | 96,993 | ||
Telecommunications - Cell / Wireless - 0.3% | ||||
AT&T Wireless Services, Inc.* | 9,720 | 79,510 | ||
Nextel Communications, Inc.* | 3,400 | 66,946 | ||
146,456 | ||||
Telephone - 3.9% | ||||
Bellsouth Corp. | 36,800 | $871,424 | ||
Citizens Communications Co.* | 8,000 | 89,680 | ||
SBC Communications, Inc. | 45,638 | 1,015,446 | ||
1,976,550 | ||||
Total Investments (Cost $49,135,023) - 99.5% | 50,260,076 | |||
Other assets and liabilities, net - 0.5% | 254,182 | |||
Net Assets - 100% | $50,514,258 |
See notes to schedules of investments and notes to financial statements.
Notes to Schedules of Investments
(a) Affiliated company.
(b) This security was valued by the Board of Trustees. See note A.
(c) Colson Services Corporation is the collection and transfer agent for certain U.S. Government guaranteed variable rate loans. Each depository receipt pertains to a set, grouped by interest rate, of these loans.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(f) Future Interest payments have been deferred until July 1, 2004.
(h) Represents rate in effect at September 30, 2003, after regularly scheduled adjustments on such date. Interest rates adjust generally at the beginning of the month, calendar quarter, or semiannually based on prime plus contracted adjustments. As of September 30, 2003, the prime rate was 4.00%.
(i) Restricted securities represent 2.5% of the net assets for Balanced Portfolio, 0.5% for Bond Portfolio, and 0.4% for Equity Portfolio.
(k) These certificates of deposit are fully insured by agencies of the federal government.
(m) The Illinois Insurance Department has prohibited Lumbermens from making interest payments due in June and July 2003. Subsequent to September 30, 2003, the Illinois Insurance Department has prohibited Lumbermens from making interest payments due in December 2003 and January 2004. This security is no longer accruing interest and the Balanced and Bond portfolios have written off $175,787 and $92,799 in accrued interest, respectively, as of September 30, 2003.
(n) The Illinois Insurance Department has prohibited Lumbermens from making interest payments due in June and July 2003. Subsequent to September 30, 2003, the Illinois Insurance Department has prohibited Lumbermens from making interest payments due in December 2003 and January 2004. This security is no longer accruing interest and the Balanced and Bond portfolios have written off $46,449 and $73,454 in accrued interest, respectively, as of September 30, 2003.
(o) The Illinois Insurance Department has prohibited Lumbermens from making interest payments due in June and July 2003. Subsequent to September 30, 2003, the Illinois Insurance Department has prohibited Lumbermens from making interest payments due in December 2003 and January 2004. This security is no longer accruing interest and the Balanced portfolio has written off $69,102 in accrued interest as of September 30, 2003.
(p) The Illinois Insurance Department has prohibited Lumbermens from making interest payments due in June and July 2003. Subsequent to September 30, 2003, the Illinois Insurance Department has prohibited Lumbermens from making interest payments due in December 2003 and January 2004. This security is no longer accruing interest and the Bond portfolio has written off $7,320 accrued interest and increased the cost basis of the security by interest purchased in the amount of $4,536 as of September 30, 2003.
(r) Adjustable rate security.
* Non-income producing security.
Explanation of Guarantees: | Abbreviations: | ||||
BPA: Bond Purchase Agreement | ADR: American Depository Receipt | ||||
CA: Collateral Agreement | AMBAC: American Municipal Bond Assurance Corp. | ||||
CF: Credit Facility | COPs: Certificates of Participation | ||||
C/LOC: Confirming Letter of Credit | FGIC: Financial Guaranty Insurance Company | ||||
INSUR: Insurance | FHLB: Federal Home Loan Bank | ||||
LOC: Letter of Credit | FNMA: Federal National Mortgage Association | ||||
SWAP: Swap Agreement | GO: General Obligation | ||||
TOA: Tender Option Agreement | IDA: Industrial Development Authority | ||||
LLC: Limited Liability Corporation | |||||
LP: Limited Partnership | |||||
MBIA: Municipal Bond Insurance Association | |||||
MFH: Multi-Family Housing | |||||
SPI: Securities Purchase, Inc. | |||||
VRDN: Variable Rate Demand Notes |
See notes to financial statements.
Statements of Assets and Liabilities
September 30, 2003
Money | |||||||||||
Market | Balanced | Bond | |||||||||
Assets | Portfolio | Portfolio | Portfolio | ||||||||
Investments in securities, at value - | |||||||||||
(Cost $180,946,296, $508,507,796 | |||||||||||
and $198,221,956, respectively) | |||||||||||
see accompanying schedules | $180,946,296 | $514,494,737 | $197,254,877 | ||||||||
Cash | 528,041 | 7,448,217 | 2,919,641 | ||||||||
Receivable for securities sold | 255,000 | 11,221,503 | 13,977,410 | ||||||||
Receivable for futures variation margin | -- | 74,381 | 103,257 | ||||||||
Receivable for shares sold | 292,540 | 396,740 | 232,181 | ||||||||
Interest & dividends receivable | 286,749 | 2,414,164 | 1,766,334 | ||||||||
Collateral at broker for futures (cash) | -- | 70,500 | 101,700 | ||||||||
Other assets | 43,142 | 14,059 | 13,193 | ||||||||
Total assets | 182,351,768 | 536,134,301 | 216,368,593 | ||||||||
Liabilities | |||||||||||
Payable for securities purchased | -- | 15,856,645 | 19,340,492 | ||||||||
Payable for shares redeemed | 300,985 | 3,066,507 | 274,078 | ||||||||
Payable to Calvert Asset Management Co., Inc. | 136,098 | 312,860 | 97,069 | ||||||||
Payable to Calvert Administrative Services Co. | 30,168 | 118,754 | 45,020 | ||||||||
Payable to Calvert Shareholders Services, Inc. | 18,009 | 18,886 | 6,215 | ||||||||
Payable to Calvert Distributors, Inc. | -- | 124,202 | 48,793 | ||||||||
Accrued expenses and other liabilities | 78,770 | 181,219 | 58,762 | ||||||||
Total liabilities | 564,030 | 19,679,073 | 19,870,429 | ||||||||
Net Assets | $181,787,738 | $516,455,228 | $196,498,164 | ||||||||
Net Assets Consist of: | |||||||||||
Paid-in capital applicable to the following shares of beneficial | |||||||||||
interest, unlimited number of no par value shares authorized: | |||||||||||
Money Market Portfolio: | |||||||||||
181,891,702 shares outstanding | $181,848,605 | ||||||||||
Balanced Portfolio: | |||||||||||
Class A: 19,717,469 shares outstanding | $533,869,415 | ||||||||||
Class B: 813,624 shares outstanding | 23,986,317 | ||||||||||
Class C: 692,423 shares outstanding | 20,266,595 | ||||||||||
Class I: 0 shares outstanding | 15,099,592 | ||||||||||
Bond Portfolio: | |||||||||||
Class A: 9,136,107 shares outstanding | $146,830,392 | ||||||||||
Class B: 1,162,430 shares outstanding | 18,441,647 | ||||||||||
Class C: 698,517 shares outstanding | 11,085,913 | ||||||||||
Class I: 1,076,043 shares outstanding | 16,755,583 | ||||||||||
Undistributed net investment income | 8,003 | 390,443 | 104,942 | ||||||||
Accumulated net realized gain (loss) on investments | (68,870) | (83,006,041) | 4,300,250 | ||||||||
Net unrealized appreciation (depreciation) | |||||||||||
on investments | -- | 5,848,907 | (1,020,563) | ||||||||
Net Assets | $181,787,738 | $516,455,228 | $196,498,164 | ||||||||
Net Asset Value Per Share | |||||||||||
Money Market Portfolio | $1.00 | ||||||||||
Balanced Portfolio: | |||||||||||
Class A: (based on net assets of $480,200,527) | $24.35 | ||||||||||
Class B: (based on net assets of $19,669,981) | $24.18 | ||||||||||
Class C: (based on net assets of $16,584,720) | $23.95 | ||||||||||
Class I: (based on net assets of $0) | N/A | ||||||||||
Bond Portfolio: | |||||||||||
Class A: (based on net assets of $148,791,169) | $16.29 | ||||||||||
Class B: (based on net assets of $18,860,400) | $16.22 | ||||||||||
Class C: (based on net assets of $11,319,509) | $16.21 | ||||||||||
Class I: (based on net assets of $17,527,086) | $16.29 |
See notes to financial statements.
Statements of Assets and Liabilities
September 30, 2003
Enhanced | |||||
Equity | Equity | ||||
Assets | Portfolio | Portfolio | |||
Investments in securities, at value | |||||
(Cost $649,547,048, and $49,135,023, respectively) | |||||
- see accompanying schedules | $722,760,826 | $50,260,076 | |||
Cash | 4,306,403 | 994,336 | |||
Receivable for securities sold | 943,312 | 1,286,036 | |||
Receivable for shares sold | 4,068,620 | 172,715 | |||
Interest & dividends receivable | 644,850 | 41,308 | |||
Other assets | 21,910 | 6,237 | |||
Total assets | 732,745,921 | 52,760,708 | |||
Liabilities | |||||
Payable for securities purchased | 5,131,427 | 2,144,689 | |||
Payable for shares redeemed | 615,017 | 1,354 | |||
Payable to Calvert Asset Management, Inc. | 448,605 | 46,112 | |||
Payable to Calvert Administrative Services Company | 116,431 | 6,265 | |||
Payable to Calvert Shareholders Services, Inc. | 29,122 | 2,024 | |||
Payable to Calvert Distributors, Inc. | 222,481 | 17,546 | |||
Accrued expenses and other liabilities | 189,373 | 28,460 | |||
Total liabilities | 6,752,456 | 2,246,450 | |||
Net Assets | $725,993,465 | $50,514,258 | |||
Net assets consist of: | |||||
Paid-in capital applicable to the following shares of beneficial | |||||
interest, unlimited number of no par value shares authorized: | |||||
Equity Portfolio | |||||
Class A: 18,016,995 shares outstanding | $467,255,905 | ||||
Class B: 2,549,286 shares outstanding | 71,026,424 | ||||
Class C: 2,388,012 shares outstanding | 60,683,956 | ||||
Class I: 2,102,391 shares outstanding | 59,187,930 | ||||
Enhanced Equity Portfolio | |||||
Class A: 2,579,795 shares outstanding | $40,798,231 | ||||
Class B: 484,864 shares outstanding | 7,551,417 | ||||
Class C: 308,896 shares outstanding | 4,956,664 | ||||
Class I: 0 shares outstanding | -- | ||||
Accumulated net realized gain (loss) on investments | (5,374,528) | (3,917,107) | |||
Net unrealized appreciation (depreciation) on investments | 73,213,778 | 1,125,053 | |||
Net Assets | $725,993,465 | $50,514,258 | |||
Net asset value per share | |||||
Equity Portfolio: | |||||
Class A (based on net assets of $530,322,324) | $29.43 | ||||
Class B (based on net assets of $70,823,519) | $27.78 | ||||
Class C (based on net assets of $61,896,876) | $25.92 | ||||
Class I (based on net assets of $62,950,746) | $29.94 | ||||
Enhanced Equity Portfolio: | |||||
Class A (based on net assets of $39,145,405) | $15.17 | ||||
Class B (based on net assets of $6,935,956) | $14.30 | ||||
Class C (based on net assets of $4,432,897) | $14.35 | ||||
Class I (based on net assets of $0) | N/A |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2003
Money | |||||||||||
Market | Balanced | Bond | |||||||||
Net Investment Income | Portfolio | Portfolio | Portfolio | ||||||||
Investment Income: | |||||||||||
Interest income | $2,821,213 | $11,186,298 | $8,654,460 | ||||||||
Dividend income | -- | 4,064,556 | -- | ||||||||
Total investment income | 2,821,213 | 15,250,854 | 8,654,460 | ||||||||
Expenses: | |||||||||||
Investment advisory fee | 562,642 | 2,221,400 | 633,028 | ||||||||
Transfer agency fees and expenses | 474,285 | 959,545 | 384,387 | ||||||||
Administrative fees | 375,095 | 1,409,639 | 511,647 | ||||||||
Distribution Plan expenses: | |||||||||||
Class A | -- | 1,104,703 | 275,246 | ||||||||
Class B | -- | 169,397 | 176,399 | ||||||||
Class C | -- | 141,882 | 101,279 | ||||||||
Trustees' fees and expenses | 39,198 | 107,614 | 38,295 | ||||||||
Custodian fees | 29,785 | 105,574 | 39,063 | ||||||||
Registration fees | 23,310 | 42,415 | 41,389 | ||||||||
Reports to shareholders | 88,100 | 243,252 | 49,198 | ||||||||
Professional fees | 29,338 | 91,429 | 34,932 | ||||||||
Miscellaneous | 74,999 | 158,159 | 11,011 | ||||||||
Total expenses | 1,696,752 | 6,755,009 | 2,295,874 | ||||||||
Reimbursement from Advisor | (50,133) | -- | -- | ||||||||
Fees paid indirectly | (5,580) | (15,497) | (16,516) | ||||||||
Net expenses | 1,641,039 | 6,739,512 | 2,279,358 | ||||||||
Net Investment Income | 1,180,174 | 8,511,342 | 6,375,102 | ||||||||
Realized and Unrealized Gain (Loss) | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | (6,708) | (24,927,882) | 3,903,496 | ||||||||
Futures | -- | 1,449,349 | 1,947,610 | ||||||||
(6,708) | (23,478,533) | 5,851,106 | |||||||||
Change in unrealized appreciation or (depreciation): | |||||||||||
Securities | -- | 89,626,967 | 2,240,100 | ||||||||
Futures | -- | (215,520) | (319,255) | ||||||||
-- | 89,411,447 | 1,920,845 | |||||||||
Net Realized and Unrealized | |||||||||||
Gain (Loss) on Investments | (6,708) | 65,932,914 | 7,771,951 | ||||||||
Increase (Decrease) in Net Assets | |||||||||||
Resulting From Operations | $1,173,466 | $74,444,256 | $14,147,053 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2003
Enhanced | ||||
Equity | Equity | |||
Net Investment Income | Portfolio | Portfolio | ||
Investment Income: | ||||
Interest income | $204,534 | $219 | ||
Dividend income | 5,706,451 | 721,005 | ||
Total investment income | 5,910,985 | 721,224 | ||
Expenses: | ||||
Investment advisory fee | 2,868,511 | 258,493 | ||
Transfer agency fees and expenses | 1,498,547 | 141,934 | ||
Administrative fees | 1,112,359 | 64,623 | ||
Distribution Plan expenses: | ||||
Class A | 1,078,866 | 83,404 | ||
Class B | 573,129 | 60,562 | ||
Class C | 497,971 | 36,643 | ||
Trustees' fees and expenses | 117,419 | 8,622 | ||
Custodian fees | 37,904 | 42,364 | ||
Registration fees | 50,624 | 28,790 | ||
Reports to shareholders | 168,432 | 17,017 | ||
Professional fees | 61,892 | 16,564 | ||
Miscellaneous | 38,527 | 3,756 | ||
Total expenses | 8,104,181 | 762,772 | ||
Reimbursement from Advisor: | ||||
Class A | -- | (31,134) | ||
Class B | -- | (2,167) | ||
Class C | -- | (1,768) | ||
Fees paid indirectly | (20,082) | (5,032) | ||
Net expenses | 8,084,099 | 722,671 | ||
Net Investment Income (Loss) | (2,173,114) | (1,447) | ||
Realized and Unrealized | ||||
Gain (Loss) on Investments | ||||
Net realized gain (loss) | (2,859,532) | (1,330,367) | ||
Change in unrealized appreciation or (depreciation) | 115,478,059 | 9,792,252 | ||
Net Realized and Unrealized | ||||
Gain (Loss) on Investments | 112,618,527 | 8,461,885 | ||
Increase (Decrease) in Net Assets | ||||
Resulting From Operations | $110,445,413 | $8,460,438 |
See notes to financial statements.
Money Market Portfolio
Statements of Changes in Net Assets
Year Ended | Year Ended | ||||||||
September 30, | September 30, | ||||||||
Increase (Decrease) in Net Assets | 2003 | 2002 | |||||||
Operations: | |||||||||
Net investment income | $1,180,174 | $2,978,764 | |||||||
Net realized gain (loss) | (6,708) | (4,511) | |||||||
Increase (Decrease) in Net Assets | |||||||||
Resulting From Operations | 1,173,466 | 2,974,253 | |||||||
Distributions to shareholders from | |||||||||
Net investment income | (1,183,236) | (2,974,404) | |||||||
Capital share transactions: | |||||||||
Shares sold | 136,993,446 | 167,625,802 | |||||||
Reinvestment of distributions | 1,153,796 | 2,897,278 | |||||||
Shares redeemed | (149,029,866) | (183,903,730) | |||||||
Total capital share transactions | (10,882,624) | (13,380,650) | |||||||
Total Increase (Decrease) in Net Assets | (10,892,394) | (13,380,801) | |||||||
Net Assets | |||||||||
Beginning of year | 192,680,132 | 206,060,933 | |||||||
End of year (including undistributed net investment | |||||||||
income of $8,003 and $11,065, respectively.) | $181,787,738 | $192,680,132 | |||||||
Capital Share Activity | |||||||||
Shares sold | 136,993,409 | 167,625,749 | |||||||
Reinvestment of distributions | 1,153,796 | 2,897,278 | |||||||
Shares redeemed | (149,029,866) | (183,903,730) | |||||||
Total capital share activity | (10,882,661) | (13,380,703) |
See notes to financial statements.
Balanced Portfolio
Statements of Changes in Net Assets
Year Ended | Year Ended | ||||||||
September 30, | September 30, | ||||||||
Increase (Decrease) in Net Assets | 2003 | 2002 | |||||||
Operations: | |||||||||
Net investment income | $8,511,342 | $13,124,743 | |||||||
Net realized gain (loss) | (23,478,533) | (52,223,324) | |||||||
Change in net unrealized appreciation or (depreciation) | 89,411,447 | (20,791,613) | |||||||
Increase (Decrease) in Net Assets | |||||||||
Resulting From Operations | 74,444,256 | (59,890,194) | |||||||
Distributions to shareholders from | |||||||||
Net investment income: | |||||||||
Class A Shares | (7,022,041) | (12,080,048) | |||||||
Class B Shares | (86,335) | (198,151) | |||||||
Class C Shares | (76,361) | (179,091) | |||||||
Class I Shares | (431,789) | (858,222) | |||||||
Total distributions | (7,616,526) | (13,315,512) | |||||||
Capital share transactions: | |||||||||
Shares sold: | |||||||||
Class A Shares | 32,009,151 | 38,537,439 | |||||||
Class B Shares | 4,758,501 | 4,544,630 | |||||||
Class C Shares | 4,103,849 | 4,497,296 | |||||||
Class I Shares | 2,623,731 | 3,316,028 | |||||||
Reinvestment of distributions: | |||||||||
Class A Shares | 6,515,212 | 11,186,195 | |||||||
Class B Shares | 75,480 | 171,464 | |||||||
Class C Shares | 64,973 | 157,780 | |||||||
Class I Shares | 431,789 | 858,222 | |||||||
Shares redeemed: | |||||||||
Class A Shares | (77,038,145) | (57,498,065) | |||||||
Class B Shares | (2,068,460) | (2,095,512) | |||||||
Class C Shares | (1,967,269) | (3,036,290) | |||||||
Class I Shares | (32,870,878) | (3,100,859) | |||||||
Total capital share transactions | (63,362,066) | (2,461,672) | |||||||
Total Increase (Decrease) in Net Assets | 3,465,664 | (75,667,378) | |||||||
Net Assets | |||||||||
Beginning of year | 512,989,564 | 588,656,942 | |||||||
End of year (including undistributed (distributions in excess of) net | |||||||||
investment income of $390,443 and ($181,671), respectively.) | $516,455,228 | $512,989,564 |
See notes to financial statements.
Balanced Portfolio
Statements of Changes in Net Assets
Balanced Portfolio (Cont'd)
Year Ended | Year Ended | |||||||
September 30, | September 30, | |||||||
Capital Share Activity | 2003 | 2002 | ||||||
Shares sold: | ||||||||
Class A Shares | 1,391,880 | 1,551,982 | ||||||
Class B Shares | 207,524 | 183,840 | ||||||
Class C Shares | 179,578 | 182,958 | ||||||
Class I Shares | 116,021 | 134,818 | ||||||
Reinvestment of distributions: | ||||||||
Class A Shares | 283,374 | 459,626 | ||||||
Class B Shares | 3,330 | 7,084 | ||||||
Class C Shares | 2,898 | 6,553 | ||||||
Class I Shares | 19,180 | 35,505 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (3,360,775) | (2,342,495) | ||||||
Class B Shares | (91,961) | (86,555) | ||||||
Class C Shares | (87,964) | (126,313) | ||||||
Class I Shares | (1,382,999) | (129,849) | ||||||
Total capital share activity | (2,719,914) | 3,704,586 |
See notes to financial statements.
Bond Portfolio
Statements of Changes in Net Assets
Year Ended | Year Ended | |||||||
September 30, | September 30, | |||||||
Increase (Decrease) in Net Assets | 2003 | 2002 | ||||||
Operations: | ||||||||
Net investment income | $6,375,102 | $6,758,841 | ||||||
Net realized gain (loss) | 5,851,106 | 2,580,598 | ||||||
Change in net unrealized appreciation or (depreciation) | 1,920,845 | (2,064,761) | ||||||
Increase (Decrease) in Net Assets | ||||||||
Resulting From Operations | 14,147,053 | 7,274,678 | ||||||
Distributions to shareholders from | ||||||||
Net investment income: | ||||||||
Class A Shares | (4,852,201) | (5,778,068) | ||||||
Class B Shares | (463,148) | (461,968) | ||||||
Class C Shares | (267,241) | (269,879) | ||||||
Class I Shares | (626,689) | (423,763) | ||||||
Net realized gain: | ||||||||
Class A Shares | (1,655,883) | (3,478,070) | ||||||
Class B Shares | (202,970) | (312,217) | ||||||
Class C Shares | (112,284) | (147,794) | ||||||
Class I shares | (172,074) | (50,280) | ||||||
Total distributions | (8,352,490) | (10,922,039) | ||||||
Capital share transactions: | ||||||||
Shares sold: | ||||||||
Class A Shares | 44,778,012 | 47,052,951 | ||||||
Class B Shares | 7,214,442 | 8,169,731 | ||||||
Class C Shares | 4,862,807 | 7,016,592 | ||||||
Class I Shares | 5,734,178 | 10,745,126 | ||||||
Reinvestment of distributions: | ||||||||
Class A Shares | 5,450,296 | 7,630,333 | ||||||
Class B Shares | 464,031 | 507,577 | ||||||
Class C Shares | 253,355 | 309,121 | ||||||
Class I Shares | 798,763 | 474,043 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (33,848,656) | (19,952,783) | ||||||
Class B Shares | (3,719,151) | (2,129,135) | ||||||
Class C Shares | (3,399,056) | (1,449,514) | ||||||
Class I Shares | (2,309,181) | (82,174) | ||||||
Total capital share transactions | 26,279,840 | 58,291,868 | ||||||
Total Increase (Decrease) In Net Assets | 32,074,403 | 54,644,507 | ||||||
Net Assets | ||||||||
Beginning of year | 164,423,761 | 109,779,254 | ||||||
End of year (including undistributed (distributions in excess of) | ||||||||
net investment income of $104,942 and ($151,052), respectively.) | $196,498,164 | $164,423,761 |
See notes to financial statements.
Bond Portfolio
Statements of Changes in Net Assets
Bond Portfolio (Cont'd)
Year Ended | Year Ended | |||||||
September 30, | September 30, | |||||||
Capital Share Activity | 2003 | 2002 | ||||||
Shares sold: | ||||||||
Class A Shares | 2,826,588 | 2,975,652 | ||||||
Class B Shares | 459,463 | 518,552 | ||||||
Class C Shares | 308,631 | 446,106 | ||||||
Class I Shares | 363,103 | 692,561 | ||||||
Reinvestment of distributions: | ||||||||
Class A Shares | 346,579 | 486,639 | ||||||
Class B Shares | 29,644 | 32,498 | ||||||
Class C Shares | 16,205 | 19,824 | ||||||
Class I Shares | 50,703 | 30,257 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (2,140,803) | (1,264,480) | ||||||
Class B Shares | (235,013) | (135,617) | ||||||
Class C Shares | (216,161) | (92,241) | ||||||
Class I Shares | (145,333) | (5,165) | ||||||
Total capital share activity | 1,663,606 | 3,704,586 |
See notes to financial statements.
Equity Portfolio
Statements of Changes in Net Assets
Year Ended | Year Ended | |||||||
September 30, | September 30, | |||||||
Increase (Decrease) in Net Assets | 2003 | 2002 | ||||||
Operations: | ||||||||
Net investment income (loss) | ($2,173,114) | ($1,309,512) | ||||||
Net realized gain (loss) | (2,859,532) | (1,251,469) | ||||||
Change in net unrealized appreciation or (depreciation) | 115,478,059 | (64,499,425) | ||||||
Increase (Decrease) in Net Assets | ||||||||
Resulting From Operations | 110,445,413 | (67,060,406) | ||||||
Distributions to shareholders from | ||||||||
Net realized gain: | ||||||||
Class A Shares | (343,501) | (8,466,475) | ||||||
Class B Shares | (48,590) | (1,071,117) | ||||||
Class C Shares | (45,035) | (1,009,697) | ||||||
Class I Shares | (23,882) | (239,515) | ||||||
Total distributions | (461,008) | (10,786,804) | ||||||
Capital share transactions: | ||||||||
Shares sold: | ||||||||
Class A Shares | 188,875,196 | 171,119,126 | ||||||
Class B Shares | 22,444,235 | 26,387,165 | ||||||
Class C Shares | 22,060,035 | 22,618,536 | ||||||
Class I Shares | 55,976,118 | 7,697,698 | ||||||
Reinvestment of distributions: | ||||||||
Class A Shares | 324,506 | 7,747,018 | ||||||
Class B Shares | 40,975 | 894,503 | ||||||
Class C Shares | 35,506 | 824,198 | ||||||
Class I Shares | 23,882 | 239,514 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (69,783,998) | (45,196,199) | ||||||
Class B Shares | (5,355,711) | (5,166,689) | ||||||
Class C Shares | (6,560,269) | (4,949,402) | ||||||
Class I Shares | (7,227,990) | (250,000) | ||||||
Total capital share transactions | 200,852,485 | 181,965,468 | ||||||
Total Increase (Decrease) in Net Assets | 310,836,890 | 104,118,258 | ||||||
Net Assets | ||||||||
Beginning of year | 415,156,575 | 311,038,317 | ||||||
End of year | $725,993,465 | $415,156,575 |
See notes to financial statements.
Equity Portfolio
Statements of Changes in Net Assets
Equity Portfolio (Cont'd)
Year Ended | Year Ended | |||||||
September 30, | September 30, | |||||||
Capital Share Activity | 2003 | 2002 | ||||||
Shares sold: | ||||||||
Class A Shares | 6,920,646 | 5,923,878 | ||||||
Class B Shares | 862,336 | 933,259 | ||||||
Class C Shares | 908,686 | 853,934 | ||||||
Class I Shares | 2,007,719 | 277,321 | ||||||
Reinvestment of distributions: | ||||||||
Class A Shares | 12,066 | 246,646 | ||||||
Class B Shares | 1,600 | 29,675 | ||||||
Class C Shares | 1,486 | 29,341 | ||||||
Class I Shares | 875 | 7,565 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (2,594,683) | (1,583,963) | ||||||
Class B Shares | (212,539) | (190,381) | ||||||
Class C Shares | (274,896) | (192,612) | ||||||
Class I Shares | (272,880) | (7,810) | ||||||
Total capital share activity | 7,360,416 | 6,326,853 |
See notes to financial statements.
Enhanced Equity Portfolio
Statements of Changes in Net Assets
Year Ended | Year Ended | |||||||
September 30, | September 30, | |||||||
Increase (Decrease) in Net Assets | 2003 | 2002 | ||||||
Operations: | ||||||||
Net investment income (loss) | ($1,447) | ($78,282) | ||||||
Net realized gain (loss) | (1,330,367) | (1,250,222) | ||||||
Change in net unrealized appreciation or (depreciation) | 9,792,252 | (5,725,927) | ||||||
Increase (Decrease) in Net Assets | ||||||||
Resulting From Operations | 8,460,438 | (7,054,431) | ||||||
Distributions to shareholders from | ||||||||
Net realized gain: | ||||||||
Class A Shares | -- | (9,756) | ||||||
Class B Shares | -- | (1,841) | ||||||
Class C Shares | -- | (1,084) | ||||||
Total distributions | -- | (12,681) | ||||||
Capital share transactions: | ||||||||
Shares sold: | ||||||||
Class A Shares | 10,667,090 | 7,931,297 | ||||||
Class B Shares | 1,757,576 | 1,524,637 | ||||||
Class C Shares | 1,401,622 | 1,070,721 | ||||||
Reinvestment of distributions: | ||||||||
Class A Shares | -- | 9,462 | ||||||
Class B Shares | -- | 1,645 | ||||||
Class C Shares | -- | 894 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (4,998,202) | (6,336,926) | ||||||
Class B Shares | (941,303) | (941,437) | ||||||
Class C Shares | (714,873) | (699,788) | ||||||
Class I Shares | -- | (1,075) | ||||||
Total capital share transactions | 7,171,910 | 2,559,430 | ||||||
Total Increase (Decrease) in Net Assets | 15,632,348 | (4,507,682) | ||||||
Net Assets | ||||||||
Beginning of year | 34,881,910 | 39,389,592 | ||||||
End of year | $50,514,258 | $34,881,910 |
See notes to financial statements.
Enhanced Equity Portfolio
Statements of Changes in Net Assets
Enhanced Equity Portfolio (Cont'd)
Six Months Ended | Year Ended | |||||||
September 30, | September 30, | |||||||
Capital Share Activity | 2003 | 2002 | ||||||
Shares sold: | ||||||||
Class A Shares | 749,975 | 515,803 | ||||||
Class B Shares | 130,219 | 103,424 | ||||||
Class C Shares | 102,217 | 73,348 | ||||||
Reinvestment of distributions: | ||||||||
Class A Shares | -- | 567 | ||||||
Class B Shares | -- | 102 | ||||||
Class C Shares | -- | 55 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (362,241) | (409,782) | ||||||
Class B Shares | (71,972) | (65,613) | ||||||
Class C Shares | (54,615) | (50,427) | ||||||
Class I Shares | -- | (65) | ||||||
Total capital share activity | 493,583 | 167,412 |
See notes to financial statements.
Notes to Financial Statements
Note A -- Significant Accounting Policies
General: The Calvert Social Investment Fund (the "Fund") is registered under the Investment Company Act of 1940 as an open-end management investment company. The Fund operates as a series fund with five separate portfolios: Money Market, Balanced, Bond, Equity, and Enhanced Equity (formerly Managed Index). Money Market, Balanced, Equity and Enhanced Equity are registered as diversified portfolios. Bond is registered as a non-diversified portfolio. Money Market shares are sold without a sales charge. Balanced, Bond, Equity, and Enhanced Equity have Class A, Class B, Class C, and Class I shares. Class A shares are sold with a maximum front-end sales charge of 4.75% (3.75% for Bond). Class B shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge at the time of redemption, depending on how long investors have owned the shares. Class C shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment may be waived for certain institutional accounts, where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge. The last remaining shareholder in Class I redeemed in Enhanced Equity on January 18, 2002 and in Balanced on June 30, 2003. Shares are still available for public sale and will resume upon shareholder investment. Shares are still available for public sale and operations will resume upon shareholder investment. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges and (c) class-specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time), and at such other times as may be necessary or appropriate. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Unlisted securities and listed securities for which a market quotation is not available are valued at the most recent bid price or based on a yield equivalent obtained from the securities' market maker. Municipal securities are valued utilizing the average of bid prices or at bid prices based on a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Foreign securities are valued based on quotations from the principle market in which such securities are normally traded. If events occur after the close of the principle market in which foreign securities are traded, and before the close of business of the Fund, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. All securities held by Money Market are valued at amortized cost which approximates market in accordance with Rule 2a-7 of the Investment Company Act of 1940. The Fund may invest in securities whose resale is subject to restrictions. Restricted securities and other securities for which market quotations are not available or deemed inappropriate are valued in good faith under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
The following securities were valued by the Board of Trustees as of September 30, 2003:
Total Investments | % of Net Assets | ||||||
Balanced | $13,085,760 | 2.6% | |||||
Bond | 1,024,737 | 0.5% | |||||
Equity | 2,908,962 | 0.4% |
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Options: The Fund may write or purchase option securities. The option premium is the basis for recognition of unrealized or realized gain or loss on the option. The cost of securities acquired or the proceeds from securities sold through the exercise of the option is adjusted by the amount of the premium. Risks from writing or purchasing option securities arise from possible illiquidity of the options market and the movement in the value of the investment or in interest rates. The risk associated with purchasing options is limited to the premium originally paid.
Futures Contracts: The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms.
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets.
Foreign Currency Transactions: The Fund's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are translated into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities is included in the net realized and unrealized gain or loss on securities.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are accrued daily and paid monthly by Money Market. Dividends from net investment income are paid monthly by Bond, quarterly by Balanced and annually by Equity and Enhanced Equity. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Expense Offset Arrangements: The Fund has an arrangement with its custodian bank whereby the custodian's and transfer agent's fees are paid indirectly by credits earned on each Portfolio's cash on deposit with the bank. Such a deposit arrangement is an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Money Market Insurance: The Fund has obtained private insurance that partially protects it against default of principal or interest payments on the instruments it holds. U.S. government securities held by the Fund are excluded from this coverage. Coverage under the policy is subject to certain conditions and may not be renewable upon expiration. While the policy is intended to provide some protection against credit risk and to help the fund maintain a constant price per share of $1.00, there is no guarantee that the insurance will do so.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by Ameritas Acacia Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and affiliated Trustees of the Fund. For its services, the Advisor receives monthly fees based on the following annual rates of average daily net assets:
Money Market | .30% | ||||
Balanced: | |||||
First $500 Million | .425% | ||||
Next $500 Million | .40% | ||||
Over $1 Billion | .375% | ||||
Bond | .35% | ||||
Equity | .50% | ||||
Enhanced Equity | .60% |
The Advisor has agreed to limit annual fund operating expenses (net of expense offset arrangements) through January 31, 2004 for Money Market, Bond (Class I), Equity (Class I), and Enhanced Equity (Class B and C). For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, extraordinary expenses and capital items.
The contractual expense caps are as follows: for Money Market, .875%, for Bond, .68% for Class I (effective February 1, 2003), for Equity, .80% for Class I, and for Enhanced Equity 2.50% for Class B and C.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. Distribution Plans, adopted by Class A, Class B, and Class C shares, allow the Portfolios to pay the Distributor for expenses and services associated with distribution of shares. The expenses of Money Market are limited to .25% annually of average daily net assets. The Distributor currently does not charge any Distribution Plan expenses for Money Market. The expenses paid may not exceed .35%, 1.00%, and 1.00% annually of average daily net assets of each Class A, Class B, and Class C for Balanced, Bond and Equity, respectively. The expenses paid may not exceed .25%, 1.00%, and 1.00% annually of average daily net assets of each Class A, Class B, and Class C for Enhanced Equity. Class I for Balanced, Bond and Equity does not have Distribution Plan expenses.
The Distributor received the following amounts as its portion of the commissions charged on sales of the Funds' Class A shares for the year ended September 30, 2003: $161,922 for Balanced, $105,124 for Bond, $290,526 for Equity and $25,108 for Enhanced Equity.
Calvert Shareholder Services, Inc. (CSSI), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received fees of $222,374, $222,081, $71,181, $314,346, and $22,799 for the year ended September 30, 2003 for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Calvert Administrative Services Company (CASC), an affiliate of the Advisor, provides administrative services for the Fund. For providing such services, CASC receives an annual fee, payable monthly, based on the following annual rates of average daily net assets:
Money Market | .20% | |||
Balanced (Class A, B, & C) | .275% | |||
Balanced (Class I) | .125% | |||
Bond (Class A, B, & C) | .30% | |||
Bond (Class I) | .10% | |||
Equity (Class A, B, & C) | .20% | |||
Equity (Class I) | .10% | |||
Enhanced Equity (Class A, B, & C) | .15% | |||
Enhanced Equity (Class I) | .10% |
The Fund invests in Community Investment Notes issued by the Calvert Social Investment Foundation (the "CSI Foundation"). The CSI Foundation is a 501(c)(3) non-profit organization that receives in-kind support from the Calvert Group, Ltd. and its subsidiaries. The Fund has received from the Securities and Exchange Commission an exemptive order permitting the Fund to make investments in these notes under certain conditions.
Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $15,430 plus $600 for each Board and Committee meeting attended. Additional fees of up to $10,000 annually may be paid to the Chairperson of special committees of the Board and the lead disinterested Trustee. Trustees' fees are allocated to each of the funds served.
Note C -- Investment Activity
During the year, purchases and sales of investments, other than short-term securities, were:
Enhanced | |||||||||||||||
Balanced | Bond | Equity | Equity | ||||||||||||
Purchases: | $824,273,296 | $582,100,125 | $350,970,865 | $25,117,093 | |||||||||||
Sales: | 821,735,525 | 503,755,823 | 159,904,242 | 17,838,116 |
Money Market held only short-term investments.
The following tables present the cost of investments for federal income tax purposes, and the components of net unrealized appreciation (depreciation) at September 30, 2003, and net realized capital loss carryforwards as of September 30, 2003 with expiration dates:
Money | ||||||||||||||
Market | Balanced | Bond | ||||||||||||
Federal income tax cost of investments | $180,946,296 | $516,549,143 | $199,395,813 | |||||||||||
Unrealized appreciation | -- | 36,783,032 | 5,265,329 | |||||||||||
Unrealized (depreciation) | -- | (38,837,438) | (7,406,265) | |||||||||||
Net appreciation/(depreciation) | -- | (2,054,406) | (2,140,936) | |||||||||||
Enhanced | ||||||||||||||
Equity | Equity | |||||||||||||
Federal income tax cost of investments | $650,331,210 | $49,373,084 | ||||||||||||
Unrealized appreciation | 97,234,518 | 4,823,914 | ||||||||||||
Unrealized (depreciation) | (24,804,902) | (3,936,922) | ||||||||||||
Net appreciation/(depreciation) | 72,429,616 | 886,992 |
Capital Loss Carryforwards
Money | Enhanced | |||||||||||||||
Expiration Date | Market | Balanced | Equity | Equity | ||||||||||||
30-Sep-04 | $1,688 | -- | -- | -- | ||||||||||||
30-Sep-08 | 41,585 | -- | -- | -- | ||||||||||||
30-Sep-10 | 14,601 | $7,136,346 | -- | $1,258,141 | ||||||||||||
30-Sep-11 | 6,847 | 54,896,622 | $1,994,892 | 1,425,140 | ||||||||||||
$64,721 | $62,032,968 | $1,994,892 | $2,683,281 |
Capital losses may be utilized to offset current and future capital gains until expiration.
Balanced, Enhanced Equity, Equity, and Money Market Portfolios intend to elect to defer post-October losses of $13,089,836, $995,765, $2,595,475, and $4,149, respectively to fiscal year ending September 30, 2004. Such losses if unutilized will expire in 2012.
The tax character of dividends and distributions paid during the years ended September 30, 2003, and September 30, 2002 were as follows:
Money Market |
| |||||||
Distributions paid from: | 2003 | 2002 |
| |||||
Ordinary income | $1,183,236 | $2,974,404 |
| |||||
Total | $1,183,236 | $2,974,404 |
| |||||
| ||||||||
Balanced |
| |||||||
Distributions paid from: | 2003 | 2002 |
| |||||
Ordinary income | $7,616,526 | $13,315,512 |
| |||||
Total | $7,616,526 | $13,315,512 |
| |||||
| ||||||||
Bond |
| |||||||
Distributions paid from: | 2003 | 2002 |
| |||||
Ordinary income | $8,224,569 | $10,922,039 |
| |||||
Long-term capital gain | 127,921 | -- |
| |||||
Total | $8,352,490 | $10,922,039 |
| |||||
| ||||||||
| ||||||||
Equity | ||||||||
Distributions paid from: | 2003 | 2002 | ||||||
Long-term capital gain | $461,008 | $10,786,804 | ||||||
Total | $461,008 | $10,786,804 | ||||||
Total | $461,008 | $10,786,804 | ||||||
Enhanced Equity | ||||||||
Distributions paid from: | 2003 | 2002 | ||||||
Long-term capital gain | -- | $12,681 | ||||||
Total | -- | $12,681 |
As of September 30, 2003, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
Money | |||||||||||
Market | Balanced | Bond | |||||||||
Undistributed ordinary income | $8,003 | $410,518 | $4,793,607 | ||||||||
Undistributed long-term capital gain | -- | -- | 731,957 | ||||||||
Capital loss carryforward | (64,721) | (62,032,968) | -- | ||||||||
Unrealized appreciation (depreciation) | -- | (2,054,406) | (2,140,936) | ||||||||
Total | ($56,718) | ($63,676,856) | $3,384,628 | ||||||||
Enhanced | |||||||||||
Equity | Equity | ||||||||||
Capital loss carryforward | ($1,994,892) | ($2,683,281) | |||||||||
Unrealized appreciation (depreciation) | 72,429,616 | 886,992 | |||||||||
Total | $70,434,724 | ($1,796,289) |
Reclassifications have been made to the Funds' components of net assets to reflect income and gains available for distribution (or available capital loss carryovers, as applicable) under income tax law and regulations. The primary permanent differences causing such reclassifications are due the treatment of partnerships and real estate investment trusts, treatment of accrued interest and market discount on defaulted securities, and treatment of tax-exempt securities for federal tax purposes for the Balanced Portfolio, the treatment of partnerships and the treatment of accrued interest and market discount on defaulted securities for federal tax purposes for the Bond Portfolio, and the disallowance of net operating losses and the treatment of real estate investment trusts for federal income tax purposes for Enhanced Equity Portfolio and the disallowance of net operating losses for federal income tax purposes for Equity Portfolio.
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the statement of assets and liabilities are primarily due to wash sales for the Balanced, Bond, Enhanced Equity and Equity Portfolios and post-October losses for Money Market, Balanced, Enhanced Equity and Equity Portfolios.
The Portfolios may sell or purchase securities to and from other Portfolios managed by the Advisor, typically short-term variable rate demand notes. Interportfolio transactions are primarily used for cash management purposes. In addition, the Portfolios effected transactions with other Calvert Portfolios, which resulted in net realized losses on sales of securities. Interportfolio transactions were made pursuant to Rule 17a-7 of the Investment Company Act of 1940. For the year ended September 30, 2003, purchases and sales transactions and net realized losses on sales of securities were:
Money | ||||||||||||
Market | Balanced | Bond | ||||||||||
Purchases | $142,111,000 | $183,356,690 | $91,286,950 | |||||||||
Sales | 124,756,500 | 171,346,257 | 65,920,895 | |||||||||
Net realized gains | -- | 2,106,457 | 560,029 | |||||||||
Enhanced | ||||||||||||
Equity | Equity | |||||||||||
Purchases | $32,136,636 | -- | ||||||||||
Sales | 11,210,000 | -- |
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds (except for the Calvert Social Investment Fund's Balanced and Enhanced Equity Portfolios and the CVS Social Balanced Portfolio and the CVS Ameritas Index 500 Portfolio) and State Street Bank and Trust Company ("the Bank"). Under the agreement, the Bank is providing an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), to be accessed by the Funds for temporary or emergency purposes only. Borrowings under this facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum will be incurred on the unused portion of the committed facility which will be allocated to all participating funds. The Portfolios had no loans outstanding pursuant to this line of credit at September 30, 2003. For the year ended September 30, 2003, borrowings by the Portfolios under the Agreement were as follows:
Weighted | Month of | |||||||||||||||
Average | Average | Maximum | Maximum | |||||||||||||
Daily | Interest | Amount | Amount | |||||||||||||
Portfolio | Balance | Rate | Borrowed | Borrowed | ||||||||||||
Money Market | $23,114 | 1.80% | $871,848 | December 2002 | ||||||||||||
Bond | 195,189 | 1.68% | 7,755,126 | July 2003 | ||||||||||||
Equity | 47,681 | 1.85% | 4,148,013 | February 2003 |
Note E -- Affiliated Companies
An affiliated company is a company in which the Portfolios have a direct or indirect ownership of, control of, or voting power over 5 percent or more of the outstanding voting shares.
Affiliated companies of the Balanced Portfolio are as follows:
Affiliates | Cost | Value | ||||||
Angels With Attitude LP | $200,000 | $185,931 | ||||||
GEEMF Partners LP | 185,003 | 94,986 | ||||||
Liberty Environmental Partners LP | 350,000 | -- | ||||||
Milepost Ventures LP | 500,000 | 1 | ||||||
TOTALS | $1,235,003 | $280,918 | ||||||
Affiliated company of the Equity Portfolio is as follows: | ||||||||
Affiliate | Cost | Value | ||||||
Cylex, Inc. | $335,750 | $151,744 |
Tax Information (Unaudited)
Bond Portfolio and Equity Portfolio designate $127,921 and $461,008, respectively as 20%-rate capital gain dividends paid during fiscal year ended September 30, 2003.
For corporate shareholders of CSIF Balanced Portfolio, a total of 51.41% of the ordinary distributions paid during fiscal year ended September 30, 2003 qualify for the corporate dividends received deduction. Additional information will be provided to shareholders in January 2004 for use in preparing 2003 income tax returns.
Money Market Portfolio
Financial Highlights
Years Ended | |||||||||
September 30, | September 30, | ||||||||
2003 | 2002 | ||||||||
Net asset value, beginning | $1.00 | $1.00 | |||||||
Income from investment operations | |||||||||
Net investment income | .006 | .015 | |||||||
Distributions from | |||||||||
Net investment income | (.006) | (.015) | |||||||
Net asset value, ending | $1.00 | $1.00 | |||||||
Total return* | .63% | 1.49% | |||||||
Ratios to average net assets: | |||||||||
Net investment income | .63% | 1.48% | |||||||
Total expenses | .90% | .89% | |||||||
Expenses before offsets | .88% | .88% | |||||||
Net expenses | .87% | .87% | |||||||
Net assets, ending (in thousands) | $181,788 | $192,680 |
Years Ended | |||||||||||
September 30, | September 30, | September 30, | |||||||||
2001 | 2000 | 1999 | |||||||||
Net asset value, beginning | $1.00 | $1.00 | $1.00 | ||||||||
Income from investment operations | |||||||||||
Net investment income | .045 | .054 | .045 | ||||||||
Distributions from | |||||||||||
Net investment income | (.045) | (.054) | (.045) | ||||||||
Net asset value, ending | $1.00 | $1.00 | $1.00 | ||||||||
Total return* | 4.63% | 5.53% | 4.54% | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income | 4.52% | 5.39% | 4.43% | ||||||||
Total expenses | .84% | .84% | .90% | ||||||||
Expenses before offsets | .84% | .84% | .89% | ||||||||
Net expenses | .83% | .82% | .87% | ||||||||
Net assets, ending (in thousands) | $206,061 | $206,753 | $193,941 |
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class A Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $21.44 | $24.48 | |||||||
Income from investment operations | |||||||||
Net investment income | .38 | .56 | |||||||
Net realized and unrealized gain (loss) | 2.87 | (3.04) | |||||||
Total from investment operations | 3.25 | (2.48) | |||||||
Distributions from | |||||||||
Net investment income | (.34) | (.56) | |||||||
Total distributions | (.34) | (.56) | |||||||
Total increase (decrease) in net asset value | 2.91 | (3.04) | |||||||
Net asset value, ending | $24.35 | $21.44 | |||||||
Total return* | 15.28% | (10.38%) | |||||||
Ratios to average net assets: | |||||||||
Net investment income | 1.67% | 2.23% | |||||||
Total expenses | 1.25% | 1.25% | |||||||
Expenses before offsets | 1.25% | 1.25% | |||||||
Net expenses | 1.24% | 1.25% | |||||||
Portfolio turnover | 175% | 192% | |||||||
Net assets, ending (in thousands) | $480,201 | $458,947 |
Years Ended | ||||||||||||||
September 30, | September 30, | September 30, | ||||||||||||
Class A Shares | 2001 | 2000 | 1999 | |||||||||||
Net asset value, beginning | $33.23 | $32.14 | $32.45 | |||||||||||
Income from investment operations | ||||||||||||||
Net investment income | .84 | .86 | .68 | |||||||||||
Net realized and unrealized gain | (6.37) | 3.08 | 3.03 | |||||||||||
Total from investment operations | (5.53) | 3.94 | 3.71 | |||||||||||
Distributions from | ||||||||||||||
Net investment income | (.82) | (.80) | (.66) | |||||||||||
Net realized gains | (2.40) | (2.05) | (3.36) | |||||||||||
Total distributions | (3.22) | (2.85) | (4.02) | |||||||||||
Total increase (decrease) in net asset value | (8.75) | 1.09 | (.31) | |||||||||||
Net asset value, ending | $24.48 | $33.23 | $32.14 | |||||||||||
Total return* | (17.74%) | 12.75% | 11.52% | |||||||||||
Ratios to average net assets: | ||||||||||||||
Net investment income | 2.98% | 2.58% | 2.05% | |||||||||||
Total expenses | 1.20% | 1.19% | 1.17% | |||||||||||
Expenses before offsets | 1.20% | 1.19% | 1.17% | |||||||||||
Net expenses | 1.19% | 1.17% | 1.15% | |||||||||||
Portfolio turnover | 214% | 184% | 175% | |||||||||||
Net assets, ending (in thousands) | $532,008 | $705,355 | $708,655 |
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class B Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $21.31 | $24.33 | |||||||
Income from investment operations | |||||||||
Net investment income | .13 | .29 | |||||||
Net realized and unrealized gain (loss) | 2.86 | (3.01) | |||||||
Total from investment operations | 2.99 | (2.72) | |||||||
Distributions from | |||||||||
Net investment income | (.12) | (.30) | |||||||
Total distributions | (.12) | (.30) | |||||||
Total increase (decrease) in net asset value | 2.87 | (3.02) | |||||||
Net asset value, ending | $24.18 | $21.31 | |||||||
Total return* | 14.06% | (11.31%) | |||||||
Ratios to average net assets: | |||||||||
Net investment income | .55% | 1.17% | |||||||
Total expenses | 2.34% | 2.31% | |||||||
Expenses before offsets | 2.34% | 2.31% | |||||||
Net expenses | 2.34% | 2.31% | |||||||
Portfolio turnover | 175% | 192% | |||||||
Net assets, ending (in thousands) | $19,670 | $14,805 |
Years Ended | ||||||||||
September 30, | September 30, | September 30, | ||||||||
Class B Shares | 2001 | 2000 | 1999 | |||||||
Net asset value, beginning | $33.02 | $31.97 | $32.38 | |||||||
Income from investment operations | ||||||||||
Net investment income | .56 | .53 | .35 | |||||||
Net realized and unrealized gain (loss) | (6.32) | 3.06 | 2.94 | |||||||
Total from investment operations | (5.76) | 3.59 | 3.29 | |||||||
Distributions from | ||||||||||
Net investment income | (.53) | (.49) | (.34) | |||||||
Net realized gains | (2.40) | (2.05) | (3.36) | |||||||
Total distributions | (2.93) | (2.54) | (3.70) | |||||||
Total increase (decrease) in net asset value | (8.69) | 1.05 | (.41) | |||||||
Net asset value, ending | $24.33 | $33.02 | $31.97 | |||||||
Total return* | (18.54%) | 11.63% | 10.15% | |||||||
Ratios to average net assets: | ||||||||||
Net investment income | 1.95% | 1.60% | .85% | |||||||
Total expenses | 2.22% | 2.20% | 2.40% | |||||||
Expenses before offsets | 2.22% | 2.20% | 2.40% | |||||||
Net expenses | 2.20% | 2.18% | 2.38% | |||||||
Portfolio turnover | 214% | 184% | 175% | |||||||
Net assets, ending (in thousands) | $14,361 | $13,580 | $9,910 |
Years Ended | ||||||||
September 30, | September 30, | |||||||
Class C Shares | 2003 | 2002 | ||||||
Net asset value, beginning | $21.12 | $24.10 | ||||||
Income from investment operations | ||||||||
Net investment income | .13 | .29 | ||||||
Net realized and unrealized gain (loss) | 2.82 | (2.96) | ||||||
Total from investment operations | 2.95 | (2.67) | ||||||
Distributions from | ||||||||
Net investment income | (.12) | (.31) | ||||||
Total distributions | (.12) | (.31) | ||||||
Total increase (decrease) in net asset value | 2.83 | (2.98) | ||||||
Net asset value, ending | $23.95 | $21.12 | ||||||
Total return* | 14.02% | (11.25%) | ||||||
Ratios to average net assets: | ||||||||
Net investment income | .59% | 1.20% | ||||||
Total expenses | 2.31% | 2.29% | ||||||
Expenses before offsets | 2.31% | 2.29% | ||||||
Net expenses | 2.30% | 2.28% | ||||||
Portfolio turnover | 175% | 192% | ||||||
Net assets, ending (in thousands) | $16,585 | $12,626 |
Years Ended | ||||||||||||
September 30, | September 30, | September 30, | ||||||||||
Class C Shares | 2001 | 2000 | 1999 | |||||||||
Net asset value, beginning | $32.74 | $31.70 | $32.05 | |||||||||
Income from investment operations | ||||||||||||
Net investment income | .56 | .51 | .36 | |||||||||
Net realized and unrealized gain | (6.29) | 3.05 | 2.98 | |||||||||
Total from investment operations | (5.73) | 3.56 | 3.34 | |||||||||
Distributions from | ||||||||||||
Net investment income | (.51) | (.47) | (.33) | |||||||||
Net realized gains | (2.40) | (2.05) | (3.36) | |||||||||
Total distributions | (2.91) | (2.52) | (3.69) | |||||||||
Total increase (decrease) in net asset value | (8.64) | 1.04 | (.35) | |||||||||
Net asset value, ending | $24.10 | $32.74 | $31.70 | |||||||||
Total return* | (18.60%) | 11.64% | 10.43% | |||||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 1.98% | 1.58% | 1.04% | |||||||||
Total expenses | 2.19% | 2.19% | 2.19% | |||||||||
Expenses before offsets | 2.19% | 2.19% | 2.19% | |||||||||
Net expenses | 2.18% | 2.17% | 2.17% | |||||||||
Portfolio turnover | 214% | 184% | 175% | |||||||||
Net assets, ending (in thousands) | $12,889 | $15,263 | $13,646 |
Periods Ended | |||||||||||
June 30, | September 30, | September 30 | |||||||||
Class I Shares | 2003 (y) | 2002 | 2001 | ||||||||
Net asset value, beginning | $21.33 | $24.35 | $33.10 | ||||||||
Income from investment operations | |||||||||||
Net investment income | .38 | .68 | .94 | ||||||||
Net realized and unrealized gain (loss) | 2.49 | (3.01) | (6.31) | ||||||||
Total from investment operations | 2.87 | (2.33) | (5.37) | ||||||||
Distributions from | |||||||||||
Net investment income | (.33) | (.69) | (.98) | ||||||||
Net realized gains | -- | -- | (2.40) | ||||||||
Total distributions | (.33) | (.69) | (3.38) | ||||||||
Total increase (decrease) in net asset value | 2.54 | (3.02) | (8.75) | ||||||||
Net asset value, ending | $23.87 | $21.33 | $24.35 | ||||||||
Total return* | 13.63% | (9.87%) | (17.33%) | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income | 2.25% | 2.77% | 3.55% | ||||||||
Total expenses | .72% | .72% | .67% | ||||||||
Expenses before offsets | .72% | .72% | .67% | ||||||||
Net expenses | .72% | .71% | .66% | ||||||||
Portfolio turnover | 140% | 192% | 214% | ||||||||
Net assets, ending (in thousands) | $0 | $26,612 | $29,399 |
Periods Ended | ||||||||
September 30, | September 30, | |||||||
Class I Shares | 2000 | 1999## | ||||||
Net asset value, beginning | $32.13 | $32.52 | ||||||
Income from investment operations | ||||||||
Net investment income | .88 | .52 | ||||||
Net realized and unrealized gain (loss) | 3.12 | (.35) | ||||||
Total from investment operations | 4.00 | .17 | ||||||
Distributions from | ||||||||
Net investment income | (.99) | (.56) | ||||||
Net realized gains | (2.04) | -- | ||||||
Total distributions | (3.03) | (.56) | ||||||
Total increase (decrease) in net asset value | .97 | (.39) | ||||||
Net asset value, ending | $33.10 | $32.13 | ||||||
Total return* | 12.97% | .52% | ||||||
Ratios to average net assets: | ||||||||
Net investment income | 2.97% | 2.54% (a) | ||||||
Total expenses | .71% | .74% (a) | ||||||
Expenses before offsets | .71% | .74% (a) | ||||||
Net expenses | .69% | .73% (a) | ||||||
Portfolio turnover | 184% | 175% | ||||||
Net assets, ending (in thousands) | $49,530 | $13,458 |
See notes to financial highlights.
Bond Portfolio
Financial Highlights
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class A Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $15.80 | $16.38 | |||||||
Income from investment operations | |||||||||
Net investment income | .58 | .80 | |||||||
Net realized and unrealized gain (loss) | .67 | (.01) | |||||||
Total from investment operations | 1.25 | .79 | |||||||
Distributions from | |||||||||
Net investment income | (.56) | (.82) | |||||||
Net realized gains | (.20) | (.55) | |||||||
Total distributions | (.76) | (1.37) | |||||||
Total increase (decrease) in net asset value | .49 | (.58) | |||||||
Net asset value, ending | $16.29 | $15.80 | |||||||
Total return* | 8.20% | 5.18% | |||||||
Ratios to average net assets: | |||||||||
Net investment income | 3.62% | 5.07% | |||||||
Total expenses | 1.18% | 1.19% | |||||||
Expenses before offsets | 1.18% | 1.19% | |||||||
Net expenses | 1.17% | 1.18% | |||||||
Portfolio turnover | 395% | 607% | |||||||
Net assets, ending (in thousands) | $148,791 | $128,077 |
Years Ended | ||||||||||||
September 30, | September 30, | September 30, | ||||||||||
Class A Shares | 2001 | 2000 | 1999 | |||||||||
Net asset value, beginning | $15.38 | $15.59 | $16.88 | |||||||||
Income from investment operations | ||||||||||||
Net investment income | 1.01 | 1.06 | .93 | |||||||||
Net realized and unrealized gain (loss) | .99 | (.20) | (.74) | |||||||||
Total from investment operations | 2.00 | .86 | .19 | |||||||||
Distributions from | ||||||||||||
Net investment income | (1.00) | (1.06) | (.93) | |||||||||
Net realized gains | -- | (.01) | (.55) | |||||||||
Total distributions | (1.00) | (1.07) | (1.48) | |||||||||
Total increase (decrease) in net asset value | 1.00 | (.21) | (1.29) | |||||||||
Net asset value, ending | $16.38 | $15.38 | $15.59 | |||||||||
Total return* | 13.46% | 5.76% | 1.18% | |||||||||
Ratios to average net assets: | ||||||||||||
Net investment income | 6.32% | 6.90% | 5.79% | |||||||||
Total expenses | 1.19% | 1.20% | 1.13% | |||||||||
Expenses before offsets | 1.19% | 1.20% | 1.13% | |||||||||
Net expenses | 1.17% | 1.16% | 1.09% | |||||||||
Portfolio turnover | 955% | 1,011% | 570% | |||||||||
Net assets, ending (in thousands) | $96,736 | $71,525 | $66,944 |
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class B Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $15.75 | $16.32 | |||||||
Income from investment operations | |||||||||
Net investment income | .43 | .65 | |||||||
Net realized and unrealized gain (loss) | .66 | -- | |||||||
Total from investment operations | 1.09 | .65 | |||||||
Distributions from | |||||||||
Net investment income | (.42) | (.67) | |||||||
Net realized gains | (.20) | (.55) | |||||||
Total distributions | (.62) | (1.22) | |||||||
Total increase (decrease) in net asset value | .47 | (.57) | |||||||
Net asset value, ending | $16.22 | $15.75 | |||||||
Total return* | 7.13% | 4.26% |
| ||||||
Ratios to average net assets: | |||||||||
Net investment income | 2.70% (a) | 4.10% | |||||||
Total expenses | 2.08% (a) | 2.13% | |||||||
Expenses before offsets | 2.08% (a) | 2.13% | |||||||
Net expenses | 2.07% (a) | 2.12% | |||||||
Portfolio turnover | 395% | 607% | |||||||
Net assets, ending (in thousands) | $18,860 | $14,305 |
Years Ended | |||||
September 30, | September 30, | September 30, | |||
Class B Shares | 2001 | 2000 | 1999 | ||
Net asset value, beginning | $15.33 | $15.53 | $16.84 | ||
Income from investment operations | |||||
Net investment income | .85 | .90 | .74 | ||
Net realized and unrealized gain (loss) | .98 | (.20) | (.79) | ||
Total from investment operations | 1.83 | .70 | (.05) | ||
Distributions from | |||||
Net investment income | (0.84) | (.89) | (.71) | ||
Net realized gains | -- | (.01) | (.55) | ||
Total distributions | (0.84) | (.90) | (1.26) | ||
Total increase (decrease) in net asset value | 0.99 | (.20) | (1.31) | ||
Net asset value, ending | $16.32 | $15.33 | $15.53 | ||
Total return* | 12.31% | 4.61% | (.29%) | ||
Ratios to average net assets: | |||||
Net investment income | 5.21% | 5.89% | 4.43% | ||
Total expenses | 2.19% | 2.26% | 2.72% | ||
Expenses before offsets | 2.19% | 2.26% | 2.56 | ||
Net expenses | 2.17% | 2.20% | 2.50% | ||
Portfolio turnover | 955% | 1,011% | 570% | ||
Net assets, ending (in thousands) | $8,046 | $3,220 | $2,773 |
Years Ended | ||||||||
September 30, | September 30, | |||||||
Class C Shares | 2003 | 2002 | ||||||
Net asset value, beginning | $15.73 | $16.30 | ||||||
Income from investment operations | ||||||||
Net investment income | .43 | .63 | ||||||
Net realized and unrealized gain (loss) | .67 | .01 | ||||||
Total from investment operations | 1.10 | .64 | ||||||
Distributions from | ||||||||
Net investment income | (.42) | (.66) | ||||||
Net realized gains | (.20) | (.55) | ||||||
Total distributions | (.62) | (1.21) | ||||||
Total increase (decrease) in net asset value | .48 | (.57) | ||||||
Net asset value, ending | $16.21 | $15.73 | ||||||
Total return* | 7.21% | 4.24% | ||||||
Ratios to average net assets: | ||||||||
Net investment income | 2.71% | 4.07% | ||||||
Total expenses | 2.07% | 2.13% | ||||||
Expenses before offsets | 2.07% | 2.13% | ||||||
Net expenses | 2.06% | 2.12% | ||||||
Portfolio turnover | 395% | 607% | ||||||
Net assets, ending (in thousands) | $11,320 | $9,278 |
Years Ended | |||||||||||
September 30, | September 30, | September 30, | |||||||||
Class C Shares | 2001 | 2000 | 1999 | ||||||||
Net asset value, beginning | $15.31 | $15.51 | $16.84 | ||||||||
Income from investment operations | |||||||||||
Net investment income | .84 | .86 | .74 | ||||||||
Net realized and unrealized gain (loss) | .96 | (.18) | (.80) | ||||||||
Total from investment operations | 1.80 | .68 | (.06) | ||||||||
Distributions from | |||||||||||
Net investment income | (.81) | (.87) | (.72) | ||||||||
Net realized gains | -- | (.01) | (.55) | ||||||||
Total distributions | (.81) | (.88) | (1.27) | ||||||||
Total increase (decrease) in net asset value | .99 | (.20) | (1.33) | ||||||||
Net asset value, ending | $16.30 | $15.31 | $15.51 | ||||||||
Total return* | 12.06% | 4.48% | (.40%) | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income | 5.10% | 5.64% | 4.41% | ||||||||
Total expenses | 2.38% | 2.45% | 2.85% | ||||||||
Expenses before offsets | 2.38% | 2.45% | 2.55% | ||||||||
Net expenses | 2.36% | 2.40% | 2.50% | ||||||||
Portfolio turnover | 955% | 1,011% | 570% | ||||||||
Net assets, ending (in thousands) | $3,524 | $1,810 | $1,779 |
Years Ended | ||||||||
September 30, | September 30, | |||||||
Class I Shares | 2003 | 2002 | ||||||
Net asset value, beginning | $15.81 | $16.39 | ||||||
Income from investment operations | ||||||||
Net investment income | .67 | .87 | ||||||
Net realized and unrealized gain (loss) | .66 | .02 | ||||||
Total from investment operations | 1.33 | .89 | ||||||
Distributions from | ||||||||
Net investment income | (.65) | (.91) | ||||||
Net realized gains | (.20) | (.56) | ||||||
Total distributions | (.85) | (1.47) | ||||||
Total increase (decrease) in net asset value | .48 | (.58) | ||||||
Net asset value, ending | $16.29 | $15.81 | ||||||
Total return* | 8.74% | 5.83% | ||||||
Ratios to average net assets: | ||||||||
Net investment income | 4.14% | 5.44% | ||||||
Total expenses | .61% | .69% | ||||||
Expenses before offsets | .61% | .61% | ||||||
Net expenses | .60% | .60% | ||||||
Portfolio turnover | 395% | 607% | ||||||
Net assets, ending (in thousands) | $17,527 | $12,764 |
Periods Ended | ||||||||
September 30, | September 30, | |||||||
Class I Shares | 2001 | 2000#### | ||||||
Net asset value, beginning | $15.39 | $15.56 | ||||||
Income from investment operations | ||||||||
Net investment income | 1.11 | .60 | ||||||
Net realized and unrealized gain (loss) | .99 | (.18) | ||||||
Total from investment operations | 2.10 | .42 | ||||||
Distributions from | ||||||||
Net investment income | (1.10) | (.59) | ||||||
Total increase (decrease) in net asset value | 1.00 | (.17) | ||||||
Net asset value, ending | $16.39 | $15.39 | ||||||
Total return* | 14.12% | 2.83% | ||||||
Ratios to average net assets: | ||||||||
Net investment income | 6.82% | 7.85% (a) | ||||||
Total expenses | 1.28% | 1.19% (a) | ||||||
Expenses before offsets | .62% | .65% (a) | ||||||
Net expenses | .60% | .60% (a) | ||||||
Portfolio turnover | 955% | 1,011% | ||||||
Net assets, ending (in thousands) | $1,473 | $1,028 |
See notes to financial highlights.
Equity Portfolio
Financial Highlights
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class A Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $23.84 | $27.72 | |||||||
Income from investment operations | |||||||||
Net investment income (loss) | (.06) | (.04) | |||||||
Net realized and unrealized gain (loss) | 5.67 | (2.96) | |||||||
Total from investment operations | 5.61 | (3.00) | |||||||
Distributions from | |||||||||
Net realized gains | (.02) | (.88) | |||||||
Total increase (decrease) in net asset value | 5.59 | (3.88) | |||||||
Net asset value, ending | $29.43 | $23.84 | |||||||
Total return* | 23.56% | (11.58%) | |||||||
Ratios to average net assets: | |||||||||
Net investment income (loss) | (.26%) | (.12%) | |||||||
Total expenses | 1.29% | 1.29% | |||||||
Expenses before offsets | 1.29% | 1.29% | |||||||
Net expenses | 1.29% | 1.29% | |||||||
Portfolio turnover | 29% | 28% | |||||||
Net assets, ending (in thousands) | $530,322 | $326,112 |
Years Ended | ||||||||||||
September 30, | September 30, | September 30, | ||||||||||
Class A Shares | 2001 | 2000 | 1999 | |||||||||
Net asset value, beginning | $33.05 | $27.06 | $20.36 | |||||||||
Income from investment operations | ||||||||||||
Net investment income (loss) | (.02) | (.06) | (.07) | |||||||||
Net realized and unrealized gain (loss) | (3.68) | 7.88 | 6.78 | |||||||||
Total from investment operations | (3.70) | 7.82 | 6.71 | |||||||||
Distributions from | ||||||||||||
Net realized gains | (1.63) | (1.83) | (.01) | |||||||||
Total increase (decrease) in net asset value | (5.33) | 5.99 | 6.70 | |||||||||
Net asset value, ending | $27.72 | $33.05 | $27.06 | |||||||||
Total return* | (11.82%) | 29.91% | 32.98% | |||||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | (.07%) | (.20%) | (.28%) | |||||||||
Total expenses | 1.26% | 1.26% | 1.22% | |||||||||
Expenses before offsets | 1.26% | 1.26% | 1.22% | |||||||||
Net expenses | 1.24% | 1.13% | 1.10% | |||||||||
Portfolio turnover | 43% | 49% | 51% | |||||||||
Net assets, ending (in thousands) | $252,068 | $240,844 | $166,716 |
Years Ended | ||||||||
September 30, | September 30, | |||||||
Class B Shares | 2003 | 2002 | ||||||
Net asset value, beginning | $22.70 | $26.67 | ||||||
Income from investment operations | ||||||||
Net investment income (loss) | (.25) | (.24) | ||||||
Net realized and unrealized gain (loss) | 5.35 | (2.85) | ||||||
Total from investment operations | 5.10 | (3.09) | ||||||
Distributions from | ||||||||
Net realized gains | (.02) | (.88) | ||||||
Total increase (decrease) in net asset value | 5.08 | (3.97) | ||||||
Net asset value, ending | $27.78 | $22.70 | ||||||
Total return* | 22.50% | (12.39%) | ||||||
Ratios to average net assets: | ||||||||
Net investment income (loss) | (1.12%) | (1.02%) | ||||||
Total expenses | 2.15% | 2.19% | ||||||
Expenses before offsets | 2.15% | 2.19% | ||||||
Net expenses | 2.15% | 2.19% | ||||||
Portfolio turnover | 29% | 28% | ||||||
Net assets, ending (in thousands) | $70,824 | $43,091 |
Years Ended | |||||||||||
September 30, | September 30, | September 30, | |||||||||
Class B Shares | 2001 | 2000 | 1999 | ||||||||
Net asset value, beginning | $32.17 | $26.60 | $20.26 | ||||||||
Income from investment operations | |||||||||||
Net investment income (loss) | (.24) | (.23) | (.15) | ||||||||
Net realized and unrealized gain (loss) | (3.63) | 7.63 | 6.50 | ||||||||
Total from investment operations | (3.87) | 7.40 | 6.35 | ||||||||
Distributions from | |||||||||||
Net realized gains | (1.63) | (1.83) | (.01) | ||||||||
Total increase (decrease) in net asset value | (5.50) | 5.57 | 6.34 | ||||||||
Net asset value, ending | $26.67 | $32.17 | $26.60 | ||||||||
Total return* | (12.71%) | 28.78% | 31.37% | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income (loss) | (1.00%) | (1.04%) | (1.41%) | ||||||||
Total expenses | 2.20% | 2.20% | 2.43% | ||||||||
Expenses before offsets | 2.20% | 2.20% | 2.43% | ||||||||
Net expenses | 2.17% | 1.97% | 2.21% | ||||||||
Portfolio turnover | 43% | 49% | 51% | ||||||||
Net assets, ending (in thousands) | $30,015 | $21,416 | $8,038 |
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class C Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $21.17 | $24.91 | |||||||
Income from investment operations. | |||||||||
Net investment income (loss) | (.22) | (.21) | |||||||
Net realized and unrealized gain (loss) | 4.99 | (2.65) | |||||||
Total from investment operations | 4.77 | (2.86) | |||||||
Distributions from | |||||||||
Net realized gains | (.02) | (.88) | |||||||
Total increase (decrease) in net asset value | 4.75 | (3.74) | |||||||
Net asset value, ending | $25.92 | $21.17 | |||||||
Total return* | 22.56% | (12.34%) | |||||||
Ratios to average net assets: | |||||||||
Net investment income (loss) | (1.06%) | (.96%) | |||||||
Total expenses | 2.10% | 2.14% | |||||||
Expenses before offsets | 2.10% | 2.14% | |||||||
Net expenses | 2.09% | 2.13% | |||||||
Portfolio turnover | 29% | 28% | |||||||
Net assets, ending (in thousands) | $61,897 | $37,109 |
Years Ended | |||||||||||
September 30, | September 30, | September 30, | |||||||||
Class C Shares | 2001 | 2000 | 1999 | ||||||||
Net asset value, beginning | $30.13 | $25.00 | $19.00 | ||||||||
Income from investment operations. | |||||||||||
Net investment income (loss) | (.22) | (.24) | (.11) | ||||||||
Net realized and unrealized gain (loss) | (3.37) | 7.20 | 6.12 | ||||||||
Total from investment operations | (3.59) | 6.96 | 6.01 | ||||||||
Distributions from | |||||||||||
Net realized gains | (1.63) | (1.83) | (.01) | ||||||||
Total increase (decrease) in net asset value | (5.22) | 5.13 | 6.00 | ||||||||
Net asset value, ending | $24.91 | $30.13 | $25.00 | ||||||||
Total return* | (12.63%) | 28.87% | 31.66% | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income (loss) | (.94%) | (1.01%) | (1.21%) | ||||||||
Total expenses | 2.14% | 2.15% | 2.22% | ||||||||
Expenses before offsets | 2.14% | 2.15% | 2.22% | ||||||||
Net expenses | 2.11% | 1.94% | 2.01% | ||||||||
Portfolio turnover | 43% | 49% | 51% | ||||||||
Net assets, ending (in thousands) | $26,455 | $20,086 | $10,413 |
Years Ended | ||||||||
September 30, | September 30, | |||||||
Class I Shares | 2003 | 2002 | ||||||
Net asset value, beginning | $24.12 | $27.91 | ||||||
Income from investment operations | ||||||||
Net investment income | .05 | .08 | ||||||
Net realized and unrealized gain (loss) | 5.79 | (2.99) | ||||||
Total from investment operations | 5.84 | (2.91) | ||||||
Distributions from | ||||||||
Net realized gains | (.02) | (.88) | ||||||
Total increase (decrease) in net asset value | 5.82 | (3.79) | ||||||
Net asset value, ending | $29.94 | $24.12 | ||||||
Total return* | 24.24% | (11.17%) | ||||||
Ratios to average net assets: | ||||||||
Net investment income | .32% | .36% | ||||||
Total expenses | .70% | .81% | ||||||
Expenses before offsets | .70% | .80% | ||||||
Net expenses | .70% | .80% | ||||||
Portfolio turnover | 29% | 28% | ||||||
Net assets, ending (in thousands) | $62,951 | $8,844 |
Periods Ended | ||||||||
September 30, | September 30, | |||||||
Class I Shares | 2001 | 2000 ##### | ||||||
Net asset value, beginning | $33.15 | $28.64 | ||||||
Income from investment operations | ||||||||
Net investment income | .11 | .05 | ||||||
Net realized and unrealized gain (loss) | (3.72) | 6.29 | ||||||
Total from investment operations | (3.61) | 6.34 | ||||||
Distributions from | ||||||||
Net realized gains | (1.63) | (1.83) | ||||||
Total increase (decrease) in net asset value | (5.24) | 4.51 | ||||||
Net asset value, ending | $27.91 | $33.15 | ||||||
Total return* | (11.49%) | 23.10% | ||||||
Ratios to average net assets: | ||||||||
Net investment income | .36% | .16% (a) | ||||||
Total expenses | 1.07% | 1.18% (a) | ||||||
Expenses before offsets | .82% | .86% (a) | ||||||
Net expenses | .80% | .80% (a) | ||||||
Portfolio turnover | 43% | 49% | ||||||
Net assets, ending (in thousands) | $2,501 | $2,826 |
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class A Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $12.24 | $14.64 | |||||||
Income from investment operations | |||||||||
Net investment income (loss) | .03 | .01 | |||||||
Net realized and unrealized gain (loss) | 2.90 | (2.41) | |||||||
Total from investment operations | 2.93 | (2.40) | |||||||
Total increase (decrease) in net asset value | 2.93 | (2.40) | |||||||
Net asset value, ending | $15.17 | $12.24 | |||||||
Total return* | 23.94% | (16.37%) | |||||||
Ratios to average net assets: | |||||||||
Net investment income (loss) | .24% | .09% | |||||||
Total expenses | 1.54% | 1.46% | |||||||
Expenses before offsets | 1.45% | 1.27% | |||||||
Net expenses | 1.44% | 1.25% | |||||||
Portfolio turnover | 42% | 36% | |||||||
Net assets, ending (in thousands) | $39,145 | $26,842 |
Years Ended | |||||||||||
September 30, | September 30, | September 30, | |||||||||
Class A Shares | 2001 | 2000 | 1999 | ||||||||
Net asset value, beginning | $19.91 | $16.83 | $13.54 | ||||||||
Income from investment operations | |||||||||||
Net investment income (loss) | (.01) | (.02) | .03 | ||||||||
Net realized and unrealized gain (loss) | (5.12) | 3.11 | 3.31 | ||||||||
Total from investment operations | (5.13) | 3.09 | 3.34 | ||||||||
Distributions from | |||||||||||
Net investment income | -- | (.01) | (.05) | ||||||||
Net realized gain | (.14) | -- | -- | ||||||||
Total increase (decrease) in net asset value | (5.27) | 3.08 | 3.29 | ||||||||
Net asset value, ending | $14.64 | $19.91 | $16.83 | ||||||||
Total return* | (25.93%) | 18.39% | 24.68% | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income (loss) | (.06%) | (.14%) | .14% | ||||||||
Total expenses | 1.43% | 1.52% | 1.59% | ||||||||
Expenses before offsets | 1.32% | 1.33% | 1.31% | ||||||||
Net expenses | 1.25% | 1.25% | 1.25% | ||||||||
Portfolio turnover | 39% | 43% | 56% | ||||||||
Net assets, ending (in thousands) | $30,525 | $21,239 | $12,257 |
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class B Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $11.67 | $14.12 | |||||||
Income from investment operations | |||||||||
Net investment income (loss) | (.10) | (.16) | |||||||
Net realized and unrealized gain (loss) | 2.73 | (2.29) | |||||||
Total from investment operations | 2.63 | (2.45) | |||||||
Total increase (decrease) in net asset value | 2.63 | (2.45) | |||||||
Net asset value, ending | $14.30 | $11.67 | |||||||
Total return* | 22.54% | (17.33%) | |||||||
Ratios to average net assets: | |||||||||
Net investment income (loss) | (82%) | (1.11%) | |||||||
Total expenses | 2.55% | 2.47% | |||||||
Expenses before offsets | 2.51% | 2.47% | |||||||
Net expenses | 2.50% | 2.45% | |||||||
Portfolio turnover | 42% | 36% | |||||||
Net assets, ending (in thousands) | $6,936 | $4,980 |
Years Ended | |||||||||||
September 30, | September 30, | September 30, | |||||||||
Class B Shares | 2001 | 2000 | 1999 | ||||||||
Net asset value, beginning | $19.41 | $16.58 | $13.48 | ||||||||
Income from investment operations | |||||||||||
Net investment income (loss) | (.20) | (.16) | (.11) | ||||||||
Net realized and unrealized gain (loss) | (4.95) | 2.99 | 3.21 | ||||||||
Total from investment operations | (5.15) | 2.83 | 3.10 | ||||||||
Distributions from | |||||||||||
Net realized gain | (.14) | -- | -- | ||||||||
Total increase (decrease) in net asset value | (5.29) | 2.83 | 3.10 | ||||||||
Net asset value, ending | $14.12 | $19.41 | $16.58 | ||||||||
Total return* | (26.70%) | 17.07% | 23.00% | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income (loss) | (1.18%) | (1.21%) | (1.11%) | ||||||||
Total expenses | 2.42% | 2.41% | 2.67% | ||||||||
Expenses before offsets | 2.42% | 2.41% | 2.56% | ||||||||
Net expenses | 2.36% | 2.32% | 2.50% | ||||||||
Portfolio turnover | 39% | 43% | 56% | ||||||||
Net assets, ending (in thousands) | $5,488 | $6,531 | $4,078 |
Years Ended | |||||||||
September 30, | September 30, | ||||||||
Class C Shares | 2003 | 2002 | |||||||
Net asset value, beginning | $11.71 | $14.16 | |||||||
Income from investment operations | |||||||||
Net investment income (loss) | (.10) | (.16) | |||||||
Net realized and unrealized gain (loss) | 2.74 | (2.29) | |||||||
Total from investment operations | 2.64 | (2.45) | |||||||
Total increase (decrease) in net asset value | 2.64 | (2.45) | |||||||
Net asset value, ending | $14.35 | $11.71 | |||||||
Total return* | 22.54% | (17.28%) | |||||||
Ratios to average net assets: | |||||||||
Net investment income (loss) | (.83%) | (1.10%) | |||||||
Total expenses | 2.56% | 2.47% | |||||||
Expenses before offsets | 2.51% | 2.47% | |||||||
Net expenses | 2.50% | 2.45% | |||||||
Portfolio turnover | 42% | 36% | |||||||
Net assets, ending (in thousands) | $4,433 | $3,060 |
Periods Ended | |||||||||||
September 30, | September 30, | September 30, | |||||||||
Class C Shares | 2001 | 2000 | 1999 | ||||||||
Net asset value, beginning | $19.48 | $16.62 | $13.52 | ||||||||
Income from investment operations | |||||||||||
Net investment income (loss) | (.19) | (.14) | (.09) | ||||||||
Net realized and unrealized gain (loss) | (4.99) | 3.00 | 3.19 | ||||||||
Total from investment operations | (5.18) | 2.86 | 3.10 | ||||||||
Distributions from | |||||||||||
Net realized gain | (.14) | -- | -- | ||||||||
Total increase (decrease) in net asset value | (5.32) | 2.86 | 3.10 | ||||||||
Net asset value, ending | $14.16 | $19.48 | $16.62 | ||||||||
Total return* | (26.76%) | 17.21% | 22.93% | ||||||||
Ratios to average net assets: | |||||||||||
Net investment income (loss) | (1.14%) | (1.15%) | (1.12%) | ||||||||
Total expenses | 2.38% | 2.35% | 2.68% | ||||||||
Expenses before offsets | 2.38% | 2.35% | 2.56% | ||||||||
Net expenses | 2.32% | 2.27% | 2.50% | ||||||||
Portfolio turnover | 39% | 43% | 56% | ||||||||
Net assets, ending (in thousands) | $3,376 | $4,674 | $2,454 |
Periods Ended | ||||
January 18, | September 30, | September 30, | ||
Class I Shares | 2002(z) | 2001 | 2000 | |
Net asset value, beginning | $14.84 | $20.04 | $16.89 | |
Income from investment operations | ||||
Net investment income | .02 | .07 | .07 | |
Net realized and unrealized gain (loss) | 1.62 | (5.13) | 3.13 | |
Total from investment operations | 1.64 | (5.06) | 3.20 | |
Distributions from | ||||
Net investment income | -- | -- | (.05) | |
Net realized gain | -- | (.14) | -- | |
Total increase (decrease) in net asset value | 1.64 | (5.20) | 3.15 | |
Net asset value, ending | $16.48 | $14.84 | $20.04 | |
Total return* | 11.08% | (25.40%) | 18.94% | |
Ratios to average net assets: | ||||
Net investment income | .53% (a) | .38% | .37% | |
Total expenses | 1,022.38%(a) | 1.00% | .95% | |
Expenses before offsets | .77% (a) | .82% | .83% | |
Net expenses | .75% (a) | .75% | .75% | |
Portfolio turnover | 10% | 39% | 43% | |
Net assets, ending (in thousands) | $0 | $1 | $22,163 |
Periods Ended | |||||||
September 30, | September 30, | ||||||
Class I Shares | 1999 | 1998 + | |||||
Net asset value, beginning | $13.54 | $15.00 | |||||
Income from investment operations | |||||||
Net investment income | .11 | .04 | |||||
Net realized and unrealized gain (loss) | 3.29 | (1.50) | |||||
Total from investment operations | 3.40 | (1.46) | |||||
Distributions from | |||||||
Net investment income | (.05) | ---- | |||||
Total increase (decrease) in net asset value | 3.35 | (1.46) | |||||
Net asset value, ending | $16.89 | $13.54 | |||||
Total return* | 25.09% | (9.73%) | |||||
Ratios to average net assets: | |||||||
Net investment income | .65% | .54% (a) | |||||
Total expenses | .91% | 1.03% (a) | |||||
Expenses before offsets | .81% | .81% (a) | |||||
Net expenses | .75% | .75% (a) | |||||
Portfolio turnover | 56% | 27% | |||||
Net assets, ending (in thousands) | $18,652 | $14,897 |
See notes to financial highlights.
Notes to Financial highlights
(a) |
| Annualized | |
* | Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge. | ||
# | From April 1, 1998 inception. | ||
## | From March 1, 1999 inception. | ||
### | From June 1, 1998 inception. | ||
#### | From March 31, 2000 inception. | ||
##### | From November 1, 1999 inception. | ||
+ | From April 15, 1998 inception. | ||
++ | From October 31, 2000 inception. | ||
(y) | The last remaining shareholder in Class I redeemed on June 30, 2003. | ||
(z) | The last remaining shareholder in Class I redeemed on January 18, 2002. | ||
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
Trustee and Officer Information Table
# of Calvert | |||||
Position | Position | Portfolios | Other | ||
Name & | with | Start | Principal Occupation | Overseen | Directorships |
Date of Birth | Fund | Date | During Last 5 Years | (Not Applicable to Officers) |
REBECCA ADAMSONDOB: 09/10/49 | Trustee
| 1989 | President of the national non-profit, First Nations Financial Project. Founded by her in 1980, First Nations is the only American Indian alternative development institute in the country. | 7 | Tom's of Maine Calvert Foundation |
RICHARD L. BAIRD, JR. DOB: 05/09/48 | Trustee
| 1982 | President and CEO of the Family Health Council, Inc. in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services. | 18 | |
FREDERICK A. DAVIE, JR. DOB: 04/15/56 | Trustee
| 2001 | Vice President of Public/Private Ventures since June, 2001. He was formerly Program Officer for the Ford Foundation and prior to that he served as Deputy Borough President for the Borough of Manhattan. | 6 | Auburn Seminary |
JOHN GUFFEY, JR. DOB: 05/15/48 | Trustee | 1982 | Treasurer and Director of Silby, Guffey and Co., Inc. a venture capital firm. | 20 | Ariel Funds Calvert Foundation Calvert Ventures, LLC |
Joy V. JOnes DOB: 07/02/50 | Trustee
| 1990 | Attorney and entertainment manager in New York City. | 7 | |
TERRENCE J. MOLLNER, Ed.D. DOB: 12/13/44 | Trustee | 1982 | Founder, Chairperson, and President of Trusteeship Institute, Inc., a diverse foundation known principally for its consultation to corporations converting to cooperative employee-ownership and the development of socially and spiritually responsible investment vehicles. | 8 | Hampshire County United Way Cyberlore Studies, Inc. Calvert Foundation Ben & Jerry's Homemade, Inc. |
SYDNEY AMARA MORRIS DOB: 09/07/49 | Trustee
| 1982 | She currently serves as Parish Minister to the Northwoods Unitarian Universalist Fellowship in Woodruff, WI, and the Keweenaw Unitarian Universalist Fellowship in Houghton, MI. She also has a private practice as a mediator. She previously served as Senior Minister of the Unitarian Church of Vancouver and as Minister of the Unitarian-Universalist Fellowship of Ames, IA. Rev. Morris is a graduate of Harvard Divinity School. | 6 | |
BARBARA J. KRUMSIEK DOB: 08/09/52 (interested Trustee) | Trustee & Senior Vice President | 1997 | President, Chief Executive Officer and Vice Chairman of Calvert Group, Ltd. Prior to joining Calvert in 1997, Ms. Krumsiek had served as a Managing Director of Alliance Fund Distributors, Inc. | 37 | Calvert Foundation |
CHARLES T. NASON DOB: 04/22/46 (interested Trustee) | Trustee | 1990 | Vice Chairman of Ameritas Acacia Mutual Holding Company, and Chairman of Acacia Life Insurance Company. | 6 | Washington Real Estate Investment Trust Chairman, Acacia Federal Savings Bank |
D. Wayne Silby, Esq. DOB: 07/20/48(interested Trustee) | Trustee & President | 1982 | Mr. Silby is Chairman of GroupServe Foundation, a software company focused on collaborative tools for non-profit groups. He is an officer and director of Silby, Guffey and Co., Inc., a private investment company. | 21 | Ameritas Acacia Mutual Life Insurance Company Calvert Foundation Grameen Foundation USA |
CATHERINE S. BARDSLEY, Esq. DOB: 10/04/49 | Officer | 1982 | Partner, Kirkpatrick & Lockhart LLP, the Fund’s legal counsel. | ||
SUSAN walker Bender, Esq. DOB: 01/29/59 | Officer
| 1988 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. | ||
IVY WAFFORD DUKE, Esq. DOB: 09/07/68 | Officer
| 1996 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. | ||
Daniel K. Hayes DOB: 09/09/50 | Officer
| 1996 | Senior Vice President of Calvert Asset Management Company, Inc. | ||
HUI PING HO, CPA DOB: 01/06/65 | Officer
| 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. | ||
Gregory J. Keifer DOB: 08/22/64 | Officer | 2003 | Compliance Officer and Assistant Secretary of the Funds. Prior to working at Calvert Group, Mr. Keifer was Assistant Director of Compliance with Legg Mason Wood Walker, Incorporated and a senior compliance analyst with BISYS Fund Services. | ||
LANCELOT A. KING, Esq. DOB: 07/19/70 | Officer | 2002 | Assistant Secretary and Assistant General Counsel of Calvert Group, Ltd. Prior to working at Calvert Group, Mr. King was an associate with Mintz, Levin, Cohn, Ferris, Glovsky & Popeo, and also with Kirkpatrick & Lockhart. | ||
William M. Tartikoff, Esq. DOB: 08/12/47 | Officer
| 1990 | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd. | ||
Ronald M. Wolfsheimer, CPA DOB: 07/24/52 | Officer
| 1982 | Senior Vice President and Chief Financial Officer of Calvert Group, Ltd. and Fund Treasurer. | ||
MICHAEL V. YUHAS JR., CPA DOB: 08/04/61 | Officer
| 1999 | Director of Fund Administration of Calvert Group, Ltd. and Fund Controller. |
The address of Trustees and Officers is 4550 Montgomery Avenue, Suite 1000N, Bethesda, Maryland 20814, except Mr. Silby's address is 1715 18th Street, N.W., Washington, DC 20009. Ms. Krumsiek is an interested person of the Fund since she is an officer and director of the Fund's advisor and its affiliates. Mr. Silby is an interested person of the Fund since he is a director of the parent company of the Fund's advisor. Mr. Nason is an interested person of the Fund since he is a director of the parent company of the Fund's advisor.
Additional information about the Fund's Trustees can be found in the Statement of Additional Information (SAI). You can get a free copy of the SAI by contacting your broker, or the Fund at 1-800-368-2745.
SUPPLEMENT TO
CLASS I (INSTITUTIONAL) SHARES PROSPECTUS
Calvert Social Investment Fund Portfolios
Calvert Social Index Fund
Calvert Large Cap Growth Fund
Calvert Capital Accumulation Fund
Calvert World Values International Equity Fund
Calvert New Vision Small Cap Fund
Calvert Income Fund
Calvert Short Duration Income Fund
Prospectus dated: January 31, 2003
Date of Supplement: June 9, 2003
The $1 million minimum initial investment may be waived for certain institutional accounts, where it is believed to be in the best interest of the Fund and its shareholders.
Please note this change in the prospectus.
SUPPLEMENT TO
PROSPECTUS
Calvert Social Investment Fund (CSIF) Balanced Portfolio
CSIF Equity Portfolio
CSIF Enhanced Equity Portfolio
CSIF Bond Portfolio
CSIF Money Market Portfolio
Calvert Social Index Fund
Calvert Large Cap Growth Fund
Calvert Capital Accumulation Fund
Calvert World Values International Equity Fund
Calvert New Vision Small Cap Fund
Date of Prospectus: January 31, 2003 as revised June 30, 2003
Class I (Institutional) Shares
(All Portfolios)
Date of Prospectus: January 31, 2003
Calvert Income Fund
Calvert Short Duration Income Fund
Date of Prospectus: January 31, 2003 as revised September 15, 2003
CALVERT VARIABLE SERIES, INC.
PROSPECTUS
Calvert Social Balanced Portfolio
Calvert Income Portfolio
Date of Prospectus: April 30, 2003
Date of This Supplement: October 30, 2003
Please replace the second paragraph under "About Calvert" with the following: (for Calvert Variable Series Social Balanced and Income Portfolios replace the third paragraph under "The Fund and Its Management" with the following:)
Steven Falci serves as Calvert's Chief Investment Officer, Equities and oversees the investment strategy and management of all Calvert equity and balanced portfolios. Calvert uses a team approach to its management of the fixed-income portfolios. Gregory Habeeb heads this team for Calvert's taxable fixed-income portfolios. Mr. Habeeb has over 20 years of experience as an analyst, trader, and portfolio manager. Matt Nottingham is also a member of the fixed-income management team. Mr. Nottingham has 7 1/2 years of experience as an analyst, trader, and portfolio manager.
Calvert Social Investment Fund
To Open an Account
800-368-2748
Yields and Prices
Calvert Information Network
(24 hours, 7 days a week)
800-368-2745
Service for Existing Account
Shareholders: 800-368-2745
Brokers: 800-368-2746
TDD for Hearing Impaired
800-541-1524
Branch Office
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
Registered, Certified
or Overnight Mail
Calvert Group
c/o BFDS
330 West 9th Street
Kansas City, MO 64105
Web Site
http://www.calvert.com
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
Tax-Exempt Money Market Funds
CTFR Money Market Portfolio
CTFR California Money Market Portfolio
Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio
Balanced Fund
CSIF Balanced Portfolio
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
CTFR Vermont Municipal Portfolio
National Muni. Intermediate Portfolio
California Muni. Intermediate Portfolio
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Calvert Social Index Fund
printed on recycled paper using soy-based inks
<page>
SIGNATURE PAGE FOR FORM N-CSR
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVert social investment fund
By: /s/Barbara Krumsiek
Barbara Krumsiek
Senior Vice President -- Principal Executive Officer
Date: November 25, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/Barbara Krumsiek
Barbara Krumsiek
Senior Vice President -- Principal Executive Officer
Date: November 25, 2003
/s/D. Wayne Silby
D. Wayne Silby
President -- Principal Executive Officer
Date: November 26, 2003
/s/Ronald Wolfsheimer
Ronald Wolfsheimer
Treasurer -- Principal Financial Officer
Date: November 30, 2003