UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-3334
CALVERT SOCIAL INVESTMENT FUND
(Exact name of registrant as specified in charter)
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Address of Principal Executive Offices)
William M. Tartikoff, Esq.
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Name and Address of Agent for Service)
Registrant's telephone number, including area code: (301) 951-4800
Date of fiscal year end: September 30
Date of reporting period: Twelve months ended September 30, 2004
<PAGE>
Item 1. Report to Stockholders.
Calvert
Investments that make a difference (R)
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September 30, 2004
Annual Report
Calvert Social
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Table of Contents
Chairman's Letter
2
President's Letter
5
Portfolio Management Discussion
8
Shareholder Expense Example
28
Report of Independent Registered Public Accounting Firm
33
Statements of Net Assets
34
Notes to Statements of Net Assets
70
Statements of Operations
74
Statements of Changes in Net Assets
76
Notes to Financial Statements
84
Financial Highlights
93
Explanation of Financial Tables
111
Proxy Voting and Availability of Quarterly Portfolio Holdings
113
Trustee and Officer Information Table
114
Dear Shareholder:
As the reports from your CSIF Portfolio managers demonstrate, the markets made positive headway over the last 12 months, though most of the significant gains slowed or stopped in mid-January. The slowing resulted from concerns about extensive leveraging in the economy, fully priced assets, and record oil prices. These developments, combined with ever-growing trade and budget deficits, are keeping a lid on the prospects for continued strong returns in U.S. markets.
In My View
Political disregard of both the deficits and impending threats to Baby Boomers' expectations for their retirement years is pushing us toward an eventual fiscal crisis. America has been fortunate in getting cheap financing from the rest of the world, where mercantilist policies prevail for countries' own political needs.
East Asia, for example, lends to the U.S. so we can continue buying their goods, helping to address their need for social stability. But even the International Monetary Fund is indicating its concern that this trend is drifting into a dangerous imbalance, which is first showing signs in skyrocketing prices for commodities and a falling dollar.
Unfortunately, this situation -- much like the tech bubble -- can probably continue beyond what's rational for a while. While America's productivity has been a big plus in forestalling serious economic consequences, we must quickly put our immigration policies back on a track that ensures America as the world's source of innovation.
Solutions lie in cooperation, creative technology
We must continue to explore viable visions in which working together can lead to solutions for not only our own but the world's challenges. For example, Philadelphia is already considering providing free, high-speed Internet, including telephony. The cost to the city would be a tiny fraction of what users collectively pay today.
In another example, a personal one, I no longer own a car. Instead, I use electronic rental cars parked in my neighborhood. I jump in, drive, and pay about $9 per hour for the use of the vehicle. The company that provides the vehicles pays for insurance, maintenance, and fuel. Sharing is convenient, lower cost, and lowers negative environmental impact.
Grander opportunities can be provided by new technologies, if only we open the way for them. Some have suggested that new enzyme and membrane technologies could permit grain to be converted to fuel, fostering near-total energy independence for automobile fuel (although we may need to redesign our engines to be truly cost effective). Efforts like this, which address environmental and geopolitical problems, are encouraged by the kind of responsible investing practiced by your Fund.
Shareholder Activism
Calvert shareholder activism focuses on supporting good companies that can become even better at helping create a fair, sustainable society. Our advocacy efforts for this year included filing a record 34 shareholder proposals, of which 16 were successfully withdrawn when the companies agreed to our requests. Of the remaining proposals, three received SEC exemptions, 12 went to vote, two were not officially presented, and one is to be voted on in November 2004.
Key themes for this year's efforts were board diversity and social/environmental disclosure. Fourteen resolutions asked companies to prepare sustainability reports based on Global Reporting Initiative guidelines for voluntary corporate reporting on the economic, environmental, and social impacts of operations. We've been able to withdraw half of these resolutions after companies agreed to reporting. On resolutions that went to vote, support ranged from 20.3% to 42.2%.
Six of ten companies agreed to shareholder proposal requests that Calvert's Model Nominating Committee Charter Language on Board Diversity be adopted. The language helps ensure that women and minority candidates be included in every director search. Up next in our advocacy efforts: a focus on companies' adopting greenhouse-gas-emission reduction targets.
Special Equities
Your Fund makes small investments in young, innovative companies with compelling environmental or social stories and solid investment potential. We see broader interest building in the industries we've been involved with for many years through this program, and a number of our portfolio companies are emerging as leaders, particularly in health and clean technology. This year, we invested in Powerzyme, a maker of portable-electronics batteries that use enzymes much as living cells store and transport energy. Powerzyme has achieved from its prototypes results that compare very well to standard battery types in power density, battery life, weight, ease of use, and cost.
Another addition to our portfolio is Chesapeake PERL (CPERL), which has successfully developed a commercial process for producing customized complex proteins. Such proteins are needed for varied applications, particularly in diagnostic and drug research. They are, however, in short supply, given the time and expense required to create production facilities that use conventional fermentation and cell-culture methods. CPERL's low-cost, flexible, readily scaleable alternative production platform uses insect larvae as miniature bioreactors.
Community Investments
Your Fund invests 1% of its assets at below-market rates to community loan funds through the Calvert Social Investment Foundation. Our goal: fostering social equity and development. Recent Foundation investments include Manna, Inc., EcoLogic Finance, and XAC Bank.
Manna, Inc. seeks to rebuild District of Columbia neighborhoods by acquiring and renovating existing homes, constructing new homes, providing assistance to new homeowners, and operating a revolving loan fund. Among its programs is the Homebuyers Club, a recognized model for first-time homebuyers that focuses on savings, debt, and credit.
EcoLogic Finance offers affordable financial services to community-based businesses in environmentally sensitive areas of Latin America, Africa, and Asia. Through EcoLogic, Sonia Lopez, a single mother and coffee farmer (four acres in the Nicaraguan mountains), along with 40 other women farmers, receives a portion of Fair Trade proceeds from exports of specialty coffee.
A commercial bank in Mongolia, XAC Bank offers loans in amounts from $500 to $27,000 U.S., particularly in low-income and remote rural areas. Enhtuya Yansan, a stationery shop owner in the city of Nalayh, has used three different XAC loans to expand her business since she opened it in 2002.
Looking Forward
As the Fund's performance, social activism, Special Equities program, and community investment efforts demonstrate, vision and cooperation can provide strong positive models for the larger investment community. Our mission is to keep these models vibrant and a beacon for others. Thank you for your investment in the Fund and your involvement with an approach to mutual fund investing that's helping to create a more just and sustainable world.
Sincerely,
/s/D. Wayne Silby
Chairman (Non-Executive)
Calvert Social Investment Fund
October 2004
Dear Shareholder:
Through the reporting year ended September 30, 2004, economic growth and corporate profits have maintained strength, though markets have certainly been influenced by concerns about the war in Iraq, record oil prices, the U.S. Presidential election, and rising interest rates.
Against this backdrop, equities (as measured by the S&P 500) posted healthy 12-month returns of 13.86%, while the smaller-capitalization Russell 2000(TM) Index appreciated by 18.77% for the same period. Generally, value funds performed better than growth funds during this 12-month period.1 On the international front, overseas stocks (as measured by the MSCI EAFE (TM) Index), generally outperformed their U.S. counterparts, boosted in part by currency exchange rates.
Notably, the majority of gains in U.S. stocks occurred between October and December of 2003. With the new calendar year, caution over political and macroeconomic events resulted in a pull-back from stock investors' risk-embracing attitudes and a flatter stock market for most of 2004.
Bond-market enthusiasm was tempered during the reporting period by the three hikes in Fed funds target rates. However, apparently reflecting investor confidence in the Fed's tighter, more measured monetary policies, bonds posted their best quarterly performance in the second quarter of 2004, the period that saw the first rate hike.
Your Investments
In the stock market, lower-quality stocks led domestic-equity returns in 2003, and -- as our shareholders know and we believe appreciate -- our equity funds favor higher-quality stocks. We have begun to witness the reversing of this trend in 2004 as higher-quality stocks have gained some ground, an environment that gives us cause for optimism looking forward.
Calvert continued this year to strive toward our dual goals of favorable investment results and positive environmental, corporate governance, and social impact. On the investment side, we are very pleased that several Calvert funds have been recognized during the year by the industry for their excellence. Daniel Boone III, the manager of our largest stock fund, CSIF Equity Portfolio, won the "Excellence in Fund Management Award" from Standard & Poor's. As a result, BusinessWeek magazine included Boone among their "Best Fund Managers of 2004."2 In addition, CSIF Bond Portfolio--whose management team is headed by Greg Habeeb, a recognized fixed-income industry leader--won the 2004 Lipper Fund Award in the Corporate Debt A Rated category.3 Finally, we're pleased that John Montgomery, manager of Calvert Large Cap Growth Fund, was named to the USA Today "All Star Mutual Fund Team." 4
Two Additions to Our Fund Family
I'm proud to announce the fourth-quarter 2004 launch of two new Calvert funds--the Calvert Small Cap Value Fund and the Calvert Mid Cap Value Fund--offering investors additional diversification opportunities within the Calvert family of funds. Both are managed by Chicago-based Channing Capital Management LLC, whose founding principal Eric McKissack is formerly of Ariel Capital Management. At Ariel, Mr. McKissack was the lead manager of the Ariel Appreciation Fund, a mid-cap value portfolio. We believe the combination of Channing Capital's investment expertise and Calvert's industry-leading corporate social research make these attractive products for investors.
Other Calvert Initiatives
In June 2004, we launched the Calvert Women's Principles, the first global code of conduct for corporations that is focused on addressing gender inequalities and empowering, advancing, and investing in women worldwide. This landmark initiative has been making headlines in media in the U.S. and abroad, including The Wall Street Journal, BusinessWeek, The Christian Science Monitor, NPR Marketplace Morning Report, and Associated Press Worldstream.
With the introduction of several innovative tools for advisors and investors, Calvert once again received awards in 2004 for Web marketing excellence from the Web Marketing Association and Dalbar, a leading financial-services market research firm.
On the shareholder advocacy front, we made significant inroads during the 2004 proxy season in the areas of board diversity and corporate disclosure of key environmental information. As discussed in the Chairman's letter, of the 34 shareholder resolutions filed by Calvert, 16 were successfully withdrawn after the companies agreed to the terms of the specific resolutions.
As these achievements demonstrate, Calvert continues our leadership in investment management excellence and in encouraging corporate responsibility toward the environment and society globally.
As always, we encourage our shareholders to keep their long-term investment objectives front and center, avoiding reactions to short-term market and economic developments. Maintaining a sound, diversified strategy based on personal goals, individual risk tolerance, and investment time horizon is a time-tested, prudent approach. Working with a financial professional can help you gain important insights into investment markets, personal investment planning, and the discipline it takes to stay with a thoughtful strategy. Thank you for your continued investment with Calvert, and we look forward to serving you in the year ahead.
Sincerely,
/s/Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2004
1. For the 12-month period ended September 30, 2004, the Russell 3000 Value Index returned 20.89% versus 7.82% for the Russell 3000 Growth Index.
2. BusinessWeek, March 22, 2004. BusinessWeek evaluated funds for the best risk-adjusted total returns over the past five years. BusinessWeek considered funds open to new investors that had at least $100 million in assets, a minimum investment of no more than $26,000, and a fund manager at the helm of the portfolio for at least five years. S&P evaluated each fund's one-, three-, and five-year performance against its peer group. S&P also evaluated expenses, turnover, portfolio composition, investment style, and consistency.
3. The Lipper award was for CSIF Bond Portfolio Class I shares and was based on the fund in each Lipper classification that achieved the highest Consistent Return scores. The Portfolio is in the Lipper A-Rated Corporate Debt Funds category. A fund's Consistent Return score evaluates its risk-adjusted returns, adjusted for volatility, relative to peers, for the overall period ended December 31, 2003. The fund was chosen from among 149 funds. Lipper Fund Awards are not intended to predict future results, and Lipper does not guarantee the accuracy of this information.
4. USA Today, "Fund Manager All Star Mutual Fund Team," February 26, 2004. Using the Morningstar database, USA Today evaluated U.S. diversified stock funds for their risk-adjusted three- and five-year performance in their peer group category. The same manager had to have been at the helm of the fund for at least five years and the fund had to be open to new investors.
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Visit www.calvert.com to obtain performance data current to the most recent month-end.
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money
May lose value. Not FDIC Insured. No Bank Guarantee. Not NCUA/NCUSIF Insured. No Credit Union Guarantee.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member NASD, a subsidiary of Calvert Group, Ltd.
Portfolio Management Discussion
James B. O'Boyle
Portfolio Manager
Thomas A. Dailey
Portfolio Manager
of Calvert Asset Management Company
Performance
For the 12-month reporting period ended September 30, 2004, CSIF Money Market Portfolio shares returned 0.44%, versus the 0.42% return for the Lipper Money Market Funds Average.
Investment Climate
Over the reporting period, the U.S. economy grew a reported 3.8% -- a solid performance compared to the long-term average of 3.3%. Despite a 70% run-up in the price of crude oil, core measures of inflation remained quite tame, rising 1.5%. Headline consumer price inflation, which includes foods and energy, was up around 2.5%.
The labor market, however, under-performed versus past expansions. Over the last year, the average monthly gain in payrolls was an anemic 143,000, and the pace decelerated to 103,000 per month in the last three months of the reporting period. A solid economic expansion typically features average monthly payroll gains in excess of 200,000. Consumption ran at a good pace, but stimulation from interest-rate and tax cuts has largely worked its way through the economy. In June, the Fed started removing some of its monetary policy accommodation and has since hiked the target Fed funds rate three-quarters of a point, bringing the targeted rate to a still-low 1.75%.
Market interest rates showed little movement year-over-year, with the benchmark ten-year Treasury note yield increasing about 0.25% and the 30-year conventional fixed-rate mortgage falling 0.25%. However, these measurements masked much volatility in interest rates. Market participants first drove interest rates substantially higher and then turned around and pushed them lower. Despite Fed rate hikes, the outlook for the economy became a bit clouded as a result of slow hiring, broadly higher energy prices, and a large load of household debt. That led to a consensus downgrade of prospects for economic growth from quite firm to just adequate. In addition, record cumulative purchases of U.S. Treasuries by foreign central banks were a powerful force that kept interest rates low and financed almost the entire U.S. budget deficit.
Money Market Portfolio Statistics
September 30, 2004
Investment Performance
| 6 Months | 12 Months |
| ended | ended |
| 9/30/04 | 9/30/04 |
Money |
|
|
Market Portfolio | 0.26% | 0.44% |
Lipper Money |
|
|
Market Funds Avg.** | 0.25% | 0.42% |
|
|
|
Maturity Schedule |
|
|
|
|
|
| Weighted Average |
|
9/30/04 | 9/30/03 |
|
34 days | 39 days |
|
|
|
|
Average Annual Total Returns |
|
|
|
|
|
|
|
|
One year | 0.44% |
|
Five year | 2.52% |
|
Ten year | 3.70% |
|
Since inception | 5.28% |
|
(10/21/82) |
|
|
|
|
|
| % of Total |
|
Investment Allocation | Investments |
|
Taxable Variable Rate |
|
|
Demand Notes | 83% |
|
U.S. Government Agencies |
|
|
and Instrumentalities | 14% |
|
Loans and Deposit Receipts |
|
|
Guaranteed by U.S. |
|
|
Government Agencies | 2% |
|
Certificates of Deposit | 1% |
|
Total | 100% |
|
Total return assumes reinvestment of dividends. Past performance is no guarantee of future results.
**Source: Lipper Analytical Services, Inc.
Portfolio Strategy
During the period, we reduced the average days-to-maturity of the Portfolio by focusing our purchases in the short end of the money-market yield curve. At the same time, we focused on adding variable-rate securities that reset as market rates rise. In doing so, we positioned the Portfolio to take advantage of rising money-market rates expected to result from market expectations and Fed tightening.
Outlook
Looking ahead, we expect to remain within an up cycle in interest rates. Thus far, this bear cycle has been gentle compared with those experienced in the three bear-market cycles since the mid-1980s. However, it has been punctuated by bouts of extreme price volatility. We continue to recommend that investors remain cautious with regard to interest-rate exposure and maintain a diversified portfolio to provide incremental income over credit-risk-free Treasuries.
October 2004
The performance data quoted represents past performance, which does not guarantee future results. Current performance may be higher or lower than the performance data quoted. Visit www.calvert.com to obtain performance data current to the most recent month-end. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
May lose value. Not FDIC Insured. No Bank Guarantee. Not NCUA/NCUSIF Insured. No Credit Union
Guarantee.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member NASD, a subsidiary of Calvert Group, Ltd.
Balanced Portfolio Statistics
September 30, 2004
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/04 | 9/30/04 |
Class A | (0.37%) | 8.77% |
Class B | (0.89%) | 7.63% |
Class C | (0.84%) | 7.71% |
Class I** | (0.37%) | 8.77% |
Lehman Aggregate Bond Index TR* | 0.68% | 3.68% |
Lehman U.S. Credit Index* | 0.64% | 4.44% |
Russell 1000 Index* | (0.43%) | 13.90% |
Lipper Balanced Funds Avg.* | (0.70%) | 9.20% |
Ten Largest Long-Term Holdings |
|
| % of Net Assets |
Microsoft Corp. | 1.8% |
Johnson & Johnson | 1.5% |
Pfizer, Inc. | 1.4% |
RBS Capital Trust I |
|
2.775%, 9/29/49 | 1.3% |
International Business Machines Corp. | 1.2% |
American International Group Inc. | 1.2% |
Bank of America Corp | 1.1% |
Bellsouth Corp | 1.1% |
EOG Resources, Inc. | 1.0% |
J.P. Morgan Chase & Co. | 1.0% |
Total | 12.6% |
Portfolio Management Discussion
Steve Falci,
Chief Investment Officer, Equities
of Calvert Asset Management Company
Performance
For the year ending September 30, 2004, Calvert Social Investment Fund Balanced Portfolio's Class A shares returned 8.77%. The Russell 1000 Index (TM) -- a measure of U.S. large-cap stock performance -- returned 13.90% for the period, and the Lehman U.S. Credit Index -- a measure of private-sector, investment-grade bond performance -- returned 4.44%. A blend of these indices in the same proportion as the Portfolio's long-term asset allocation target (60% to stocks and 40% to bonds) produces a total return of 10.12%.
On June 30 of this year, New Amsterdam Partners LLC replaced Brown Capital Management as an equity manager for the Portfolio. New Amsterdam was selected for its strong investment process, proven track record, experience in environmentally and socially screened portfolios, and investment style, which is complementary to that of the Portfolio's primary equity manager, State Street Global Advisors (SSgA).
We have also added Union Heritage, an African-American-owned firm, as our second manager in the Fund's Manager Discovery Program. This program seeks to identify top-performing minority and woman-owned investment management firms that, while small in size, are proving their capabilities as top-flight managers.
** Note Regarding Class I Shares Total Returns: During the reporting period 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, 2004.
* 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, 2004
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 3.62% |
Five year | (0.14%) |
Ten year | 6.39% |
|
|
| Class B Shares |
One year | 2.63% |
Five year | (0.40%) |
Since inception | 0.53% |
(4/1/98) |
|
| Class C Shares |
One year | 6.71% |
Five year | (0.20%) |
Ten year | 5.76% |
Balanced Portfolio Statistics
September 30, 2004
Average Annual Total Returns
(with max. load)
| Class I Shares* |
One year | 8.77% |
Five year | 1.16% |
Since inception | 1.13% |
(3/1/99) |
|
|
|
Asset Allocation |
|
Stocks | 61% |
Bonds | 34% |
Cash & Cash Equivalents | 5% |
| 100% |
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
* Note Regarding Class I Shares Total Returns: During the reporting period 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, 2004.
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. New subadvisors began effective June 30, 2004. Earlier subadvisor changes occurred in March 2002 and July 1995.
Past performance is no guarantee of future results.
Investment Environment
One year ago, investors were rejoicing at the first anniversary of the end of the post-technology-bubble bear market. Since the trough of that bear market, U.S. equity markets had posted solid double-digit returns, as many of the stocks that suffered the greatest distress in the bear market rebounded strongly. Bond investors displayed similar bullishness as credit spreads -- the difference in yield between corporate bonds and U.S. Treasuries -- narrowed. Very low interest rates, a profit recovery, and rebounding economic growth were the seeds of this widespread rally. Since the beginning of the reporting period, investors' enthusiasm has cooled, and the performance of both stock and bond markets moderated in the reporting period.
For bonds
For bonds, the reason for reduced investor enthusiasm is easy to identify: the Federal Reserve raised short-term interest rates for the first time since May 2000. First at the end of the June, and then twice more in the third quarter of this year, the Fed announced hikes of the Fed funds rate target. Each announcement was largely in line with investors' expectations. Interestingly, bonds turned in their best quarterly performance in the same quarter that the Fed raised rates. That performance appears to have been a vote of confidence in the Fed's measured, tighter monetary policies.
For stocks
Stock returns, while solidly positive for the period, lagged the prior 12-month period as well. For stocks, the first quarter of the reporting period was the strongest, accounting for the lion's share of annual returns. In the closing quarter of calendar 2003, the stock market continued to display the risk-embracing tone that had generally driven stocks upward since the bear-market bottom in October 2002. Early in 2004, investors pulled back. Caution, more than risk taking, set the tone. Certainly, the inevitable slowing of pace in year-over-year earnings growth limited the market's upside. Macroeconomic and political events joined to rein in investors' enthusiasm. Anticipation of rising interest rates limited upside potential for stocks as well as bonds. The rise in oil prices to $50 per barrel ate into consumers' discretionary funds. These factors, coupled with continued troubles in Iraq and a contentious Presidential election, have set a tone of caution in the face of uncertainty.
Portfolio Strategy
The Portfolio's mix of stocks and bonds was fairly stable over the course of the reporting period and was in line with our stated goal of allocating 60% of assets to stocks and 40% to bonds.
Stock investments
Through the porting period, the Portfolio's stock investments were distributed primarily across four key economic sectors: Financial Services (25.3%), Technology (14.8%), Consumer Discretionary (15.8%), and Health Care (13.8%), roughly reflecting the sector allocations of the Russell 1000™ Index. As a result, performance of the Portfolio's holdings in these key sectors dictated overall performance. Our investments in the Technology sector caused the greatest portion of stock-portfolio underperformance. Unlike last year, when Tech stocks led the way, Techs were the poorest performers in the Russell 1000 and in the Portfolio during the reporting period. Here, a slight overweighting to the sector relative to the Russell 1000 (i.e., sector selection) and the weaker performance of individual Portfolio holdings in the sector relative to Tech in the Russell 1000 (i.e., stock selection) combined to produce poor relative performance in the Portfolio as a whole. On the positive side, stock selection in both t he Consumer Discretionary and Financial Services sectors provided a boost to returns.
Bond investments
The Portfolio's bond investments performed well during the period, as our manager's decision to shorten bond portfolio duration to reduce exposure to interest-rate risk proved beneficial in the first three quarters of the period. (Duration is a measure of a bond fund's sensitivity to changes in the direction of interest rates. Generally, the longer the duration of the bond fund, the more sensitive it is to interest-rate changes.) Bonds posted weak relative returns as rates rose in anticipation of the Fed's reversal of easy monetary policies. The Portfolio further benefited from past decisions to raise overall credit quality. In the closing quarter of the period, long rates dropped and bond prices rose as investors expressed confidence in the Fed and anticipated future modest rate increases as economic growth moderates. While the bond portfolio was not ideally positioned to benefit from this strong bond bounce back, our portfolio structure -- which achieves duration target by mixing long bonds and very-sho rt-maturity issues -- weathered the period well.
Outlook
While both history and current market valuation would appear to support higher equity prices, market uncertainty remains as a result of competing influences. Good, but not great, economic growth (as measured by GDP), along with slowing but positive corporate profits, has given investors cause for reflection. Growth remains threatened by oil's trading in excess of $50 a barrel. However, the consensus view is that Fed rate hikes will be modest and measured. In addition, coming off of historical lows, a modestly higher interest rate environment bodes well for the economy and profits in the long run. While the short-term direction of the market remains uncertain, history tells us that equity investors with a long-term horizon and valuation perspective have been rewarded.
We are pleased with our new lineup of equity managers and feel confident that the complementary styles of SSgA and New Amsterdam can contribute to strong Portfolio performance going forward, along with the continued strong contribution from Calvert Asset Management Company (CAMCO), our industry-leading fixed-income team.
October 2004
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Visit www.calvert.com to obtain performance data current to the most recent month-end.
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
May lose value. Not FDIC Insured. No Bank Guarantee. Not NCUA/NCUSIF Insured. No Credit Union Guarantee.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member NASD, a subsidiary of Calvert Group, Ltd.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager
Matt Nottingham, CFA
Portfolio Manager
of Calvert Asset Management Company
Performance
For the 12-month period ended September 30, 2004, Calvert Social Investment Fund (CSIF) Bond Portfolio Class A shares returned 5.97%, outperforming the benchmark Lehman U.S. Credit Index's return of 4.44%. The Portfolio also outperformed its peer group, as measured by the Lipper Corporate Debt Funds A-Rated Average's return of 3.42% for the period. Relative performance was positively affected by favorable credit selection and strategic yield-curve positioning. As short-term interest rates rose more than did longer-term rates, the overweight to longer maturities, coupled with an underweight to the short end of the yield curve, enhanced returns. In addition, we saw positive results from our significant position in floating-rate securities, which re-set upwards as short-term rates rise.
Bond Portfolio Statistics
September 30, 2004
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
|
| ended | ended |
|
| 9/30/04 | 9/30/04 |
|
Class A | 1.38% | 5.97% |
|
Class B | 0.93% | 5.11% |
|
Class C | 0.99% | 5.06% |
|
Class I | 1.71% | 6.62% |
|
Lehman Aggregate Bond Index TR** | 0.68% | 3.68% |
|
Lehman U.S. Credit Index** | 0.64% | 4.44% |
|
Lipper Corporate Debt Funds A Rated Avg.** | 0.34% | 3.42% |
|
|
|
|
|
|
|
|
|
Maturity Schedule |
|
|
|
Weighted Average |
|
| |
9/30/04 | 9/30/03 |
|
|
9 years | 12 years |
|
|
|
|
|
|
SEC Yields |
|
|
|
| 30 days ended |
|
|
| 9/30/04 | 9/30/03 |
|
Class A | 2.30% | 3.33% |
|
Class B | 1.50% | 2.58% |
|
Class C | 1.51% | 2.59% |
|
Class I | 2.97% | 4.03% |
|
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, 2004
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 2.03% |
Five year | 6.85% |
Ten year | 6.99% |
Bond Portfolio
Statistics
September 30, 2004
Average Annual Total Returns
(with max. load)
| Class B Shares |
One year | 1.05% |
Five year | 6.64% |
Since inception | 5.56% |
(4/1/98) |
|
|
|
|
|
| Class C Shares |
One year | 4.06% |
Five year | 6.57% |
Since inception | 5.38% |
(6/1/98) |
|
|
|
| Class I Shares |
One year | 6.62% |
Since inception | 8.42% |
(3/31/00) |
|
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
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 indices 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.
In recognition of the Portfolio's consistent quality and success, CSIF Bond Portfolio received a 2004 Lipper Fund Award for achieving the highest consistent return scores in its Lipper category.1
Investment Climate
Over the reporting period, the U.S. economy is reported to have grown 3.8% -- a solid performance compared to the long-term average of 3.3%. Despite a 70% run-up in the price of crude oil, core measures of inflation remained quite tame, rising 1.5%. Headline consumer price inflation, which includes food and energy, was up around 2.5%.
The labor market, however, under-performed versus past expansions. Over the last year, the average monthly gain in payrolls was an anemic 143,000, and the pace decelerated to 103,000 per month in the last three months of the reporting period. A solid economic expansion typically features average monthly payroll gains in excess of 200,000. Consumption ran at a good pace, but stimulation from interest-rate and tax cuts has largely worked its way through the economy. In June, the Fed started removing some of its monetary policy accommodation and has since hiked the target Fed funds rate three-quarters of point, bringing the targeted rate to a still-low 1.75%.
Market interest rates showed little movement year-over-year, with the benchmark ten-year Treasury note yield increasing about 25 basis points, or 0.25%, and the 30-year conventional fixed-rate mortgage falling 25 basis points, or 0.25%. However, these measurements masked much volatility in interest rates. Market participants first drove interest rates substantially higher and then turned around and pushed them lower. Despite Fed rate hikes, the outlook for the economy became a bit clouded as a result of slow hiring, broadly higher energy prices, and a large load of household debt. That led to a consensus downgrade of prospects for economic growth from quite firm to just adequate. In addition, record cumulative purchases of U.S. Treasuries by foreign central banks were a powerful force that kept interest rates low and financed almost the entire U.S. budget deficit.
Bond Portfolio Statistics
September 30, 2004
Economic Sectors | % of Investments |
Asset Backed Securities | 8.3% |
Bank | 10.0% |
Brokerage | 2.6% |
Equity Securities | 2.2% |
Finance | 7.3% |
Government Agency |
|
Obligations | 20.2% |
Industrial | 14.1% |
Industrial - Finance | 2.2% |
Insurance | 7.5% |
Municipal Obligations | 16.5% |
Real Estate Investment |
|
Trust | 3.0% |
Sovereign Obligations | 0.3% |
Transportation | 2.1% |
Utility | 3.3% |
Other | 0.4% |
Total | 100.0% |
Portfolio Strategy
For the reporting period
We positioned the portfolio for a rising-rate environment, maintaining a low average duration versus our benchmark and peer group. (Duration is a measure of a bond fund's sensitivity to changes in the direction of interest rates. Generally, the longer the duration of the bond fund, the more sensitive it is to interest-rate changes.) And, because we anticipated the flattening of what had been a very steep, positively sloped yield curve, we positioned the Portfolio with an overweight to longer-maturity, higher-yielding securities and an underweight to the short end of the curve. We employed what is referred to as a "barbell" strategy -- one in which investments are concentrated at two ends of the maturity curve.
In addition, we saw value in reducing our exposure to corporate bonds, which we viewed as relatively expensive, in favor of higher-quality, attractively priced taxable municipal bonds.
Overall, credit selection resulting from strong fundamental analysis, combined with screening for corporate, environmental, and social responsibility, added to performance. Our relative-value approach to seeking out undervalued or overlooked securities was also a driver of returns.
Going forward
We intend to maintain our current short-relative-duration position in anticipation of rising interest rates through 2005. Because we expect the yield curve to continue flattening as the Federal Reserve raises short-term interest rates, we will continue our barbell yield-curve strategy, though likely to a lesser degree than we have employed it through this reporting period.
Outlook
Looking ahead, we expect to remain within an up cycle in interest rates. Thus far, this bear cycle has been gentle compared with those experienced in the three bear-market cycles since the mid-1980s. However, it has been punctuated by bouts of extreme price volatility. We continue to recommend that investors remain cautious with regard to interest-rate exposure and maintain a diversified portfolio to provide incremental income.
October 2004
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Visit www.calvert.com to obtain performance data current to the most recent month-end.
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
May lose value. Not FDIC Insured. No Bank Guarantee. Not NCUA/NCUSIF Insured. No Credit Union Guarantee.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member NASD, a subsidiary of Calvert Group, Ltd.
Portfolio Management Discussion
Dan Boone
of Atlanta Capital Management Company
Performance
Calvert Social Investment Fund Equity Portfolio Class A shares returned 7.48% over the one-year period ended September 30, 2004. The Fund's benchmark, the Standard and Poor's 500 Index -- considered a barometer of the broad stock market, returned 13.86%, and the Lipper Multi-Cap Core Average, 12.80%. Despite short-term underperformance, discussed below, the Portfolio's long-term record remains excellent and we remain confident in our strategy going forward.
For the past six years, since we began managing the Portfolio, Class A shares have a cumulative return of 79% (an average annual return of 10.16%). This performance compares to S&P 500 Index cumulative returns of 19.7% (3.03% average annual return). We are proud of this record on behalf of our shareholders and believe it stems directly from the combination of Atlanta Capital's high-quality growth approach and Calvert's screening for socially responsible companies.
Equity
Portfolio Statistics
September 30, 2004
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/04 | 9/30/04 |
Class A | (1.25%) | 7.48% |
Class B | (1.66%) | 6.59% |
Class C | (1.64%) | 6.64% |
Class I | (0.98%) | 8.08% |
S&P 500 Index Mthly. Reinvested | (0.18%) | 13.86% |
Lipper Multi-Cap Core Funds Avg. | (1.60%) | 12.80% |
Ten Largest Stock Holdings
| % of Net Assets |
Amgen, Inc. | 3.5% |
Illinois Tool Works, Inc. | 3.2% |
American International |
|
Group, Inc. | 3.0% |
Pfizer, Inc. | 3.0% |
Microsoft Corp. | 3.0% |
Medtronic, Inc. | 3.0% |
Cisco Systems, Inc. | 2.8% |
EOG Resources, Inc. | 2.6% |
Dell, Inc. | 2.6% |
Kohl's Corp. | 2.6% |
Total | 29.3% |
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, 2004
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 2.36% |
Five year | 5.07% |
Ten year | 9.48% |
|
|
| Class B Shares |
One year | 1.59% |
Five year | 4.99% |
Since inception | 4.31% |
(4/1/98) |
|
Equity Portfolio Statistics
September 30, 2004
Average Annual Total Returns
(with max. load)
| Class C Shares |
One year | 5.64% |
Five year | 5.22% |
Ten Year | 8.93% |
|
|
| Class I Shares |
One year | 8.08% |
Since inception | 5.47% |
(11/1/99) |
|
|
|
Asset Allocation |
|
Stocks | 99% |
Notes | 1% |
| 100% |
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
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.
Equity Portfolio Statistics |
|
Economic Sectors | % of Investments |
Consumer Discretionary | 19.7% |
Consumer Staples | 6.3% |
Financial Services | 21.5% |
Health Care | 18.8% |
Materials & Processing | 4.2% |
Non Equity Securities | 1.1% |
Other | 1.9% |
Other Energy | 2.7% |
Producer Durables | 10.3% |
Technology | 11.3% |
Utilities | 2.2% |
Total | 100.0% |
Investment Climate
During the 12-month reporting period, we have experienced the maturing of the cyclical bull market which we believe began March 2003. While the fundamentals of economic growth and profits have been strong though decelerating in 2004, the stock market has been stalled over the last six months as a result of concerns about soaring oil prices, deterioration in the war in Iraq, rising short-term interest rates, and uncertainty over U.S. election outcomes.
Through the reporting period, there were strong differences in performance according to stock size (as measured by market capitalization) and investment style. Small-cap and mid-cap stocks led the rebound with returns 3% to 10% higher than those of the largest-cap stocks. Across all capitalization ranges, growth stocks significantly lagged value stocks. For example, the S&P 500/Barra Growth Index increased 7.5% compared to an increase in the S&P 500/Barra Value Index of 20.5% -- a difference of 13%.
Portfolio Strategy
Sector performance
During the reporting period, the best-performing sectors in the S&P 500 Index were cyclicals, including Other Energy (returning 47%), Integrated Oils (43%), Materials and Processing (33%), and Producer Durables (23%). The lagging sectors were Technology (1%), Health Care (5%), and Consumer Staples (9%). In contrast to the prior reporting year, our sector weights detracted from relative performance by about 1.2%, as we were overweight in Health Care and underweight in Integrated Oils.
Stock selection
Within the sectors, our stock selection was very positive in Other Energy (where the Portfolio's holdings returned 58%) and in Producer Durables (33%) but poor in Consumer Staples (-8%) and Technology (-8%). Leading the good picks were Pentair, a Diversified Industrial (returning 78%) and our two Energy stocks, EOG Resources (58%) and Questar (52%). On the downside, QLogic (-49%), Intel (-27%), and Cisco (-7%) were particularly disappointing in Technology. In Health Care, Merck (-33%) and Amgen (-12%) more than offset solid gains in Wellpoint Health (22%) and Schering Plough (19%). With the exception of QLogic and Merck -- which was hit by the withdrawal of Vioxx from the market and by elimination of two promising phase III drugs from the future drug pipeline -- positive fundamentals remain intact. We have taken advantage of the weakness in Cisco, Amgen, and Intel to add to the Portfolio's position in each.
Other factors affecting performance
Another factor of influence during the reporting period was a negative contribution by our high-quality philosophy. Importantly, this negative turned into a small positive contribution over the last six months, beginning what we believe will be an increasingly positive trend over the next several years. Our analysis indicates that high-quality stocks are significantly undervalued relative to low-quality stocks, while they normally sell at a premium. Historically, when earnings gains decelerate and interest rates rise -- both of which are happening now -- high-quality stocks outperform.
Also negatively contributing to relative performance was the higher-growth profile of Portfolio stocks. While Technology had some of the highest earnings gains, the stocks languished as investors questioned their long-term growth prospects. Our position is that while some technology products are becoming increasingly competitive, leading companies (with strong research and engineering) can achieve well-above-average earnings growth over the cycle. We expect Technology to remain an above-average growth sector
Outlook
We remain bullish in our outlook for the markets. History suggests our philosophy should be in increasing favor over the next few years. In the second half of 2004 and into 2005, we expect quarterly earnings growth to slow to 7% to 9%. We expect our Portfolio companies to grow their earnings over 15% annually.
With increasing signs of inflation, our number-one concern, we also expect short-term interest rates to continue rising. Our companies have lower debt, so they should not be impacted as much by the higher interest rates. We have also taken rising interest rates into consideration in managing the Portfolio. As a result, we are underweight in Financials and other interest-rate-sensitive areas such as Telecom and Utilities and maintain an overweight position in the Health Care and Technology sectors. As the economic cycle matures, attention normally turns to higher-growth, more stable companies. Up until now, the market has been particularly inattentive to those higher-growth companies, as the value style has prevailed for much of the last four years. Finally, higher-quality stocks are generally selling at price/earnings discounts to lower-quality companies -- an abnormal and we think temporary relationship. Thus, we believe the winds are about the change in favor of higher-quality stocks. The evidence and h istory leave little room for any other conclusion.
We are confident and enthusiastic about the companies we own for you, and we appreciate your investment in the Portfolio.
October 2004
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Visit www.calvert.com to obtain performance data current to the most recent month-end.
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
May lose value. Not FDIC Insured. No Bank Guarantee. Not NCUA/NCUSIF Insured. No Credit Union Guarantee.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member NASD, a subsidiary of Calvert Group, Ltd.
Portfolio Management Discussion
Arlene Rockefeller
of SSgA Funds Management
Performance
Calvert Social Investment Fund (CSIF) Enhanced Equity Portfolio Class A shares returned 11.80% for the year ended September 30, 2004. The benchmark Russell 1000™ Index returned 13.90% for the same period. The Portfolio lost ground to the benchmark principally as a result of lagging stock selection among Technology stocks and an underweight to the Energy sector.
Investment Climate
During the reporting period, the U.S. economy continued its long and slow rebound from the 2001 recession. Gross domestic product reports suggest the economy is currently growing at 4%, up from 3% in 2003. The faster rate of economic growth caused the unemployment rate to dip to 5.4% in September after peaking at 6.3% in June 2003. The Federal Reserve took note of the firming economic conditions and began boosting short-term interest rates in June 2004. Finally, rising oil prices had a significant impact on markets during the year. Stronger world-wide demand as well as significant supply disruptions pushed oil prices above $50 per barrel for the first time in history.
Stronger economic growth translated into surging corporate profits and higher stock prices early in the reporting period. The large-cap Russell 1000 benchmark returned 13.9% over the past year after returning 25.1% for the year ending September 2003. During 2004, equity prices lagged the growth in corporate profits, leading to improved valuations for equity markets.
Enhanced Equity
Portfolio Statistics
September 30, 2004
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/04 | 9/30/04 |
Class A | (1.05%) | 11.80% |
Class B | (1.49%) | 10.77% |
Class C | (1.49%) | 10.80% |
Class I** | (1.05%) | 11.80% |
Russell 1000 Index* | (0.43%) | 13.90% |
Lipper Large-Cap Core Funds Avg.* | (2.05%) | 10.19% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Source: Lipper Analytical Services, Inc.
Asset Allocation |
|
Stocks | 99.3% |
Cash & Cash Equivalents | 0.7% |
Total | 100% |
** Note Regarding Class I Shares Total Returns: During the reporting period 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, 2003 through September 30, 2004.
Enhanced Equity
Portfolio Statistics
September 30, 2004
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 6.47% |
Five year | (0.65%) |
Since inception | 1.33% |
(4/15/98) |
|
|
|
|
|
| Class B Shares |
One year | 5.77% |
Five year | (0.95%) |
Since inception | 0.97% |
(4/15/98) |
|
Enhanced Equity
Portfolio Statistics
September 30, 2004
Average Annual Total Returns
(with max. load)
| Class C Shares |
One year | 9.73% |
Five year | (0.74%) |
Since inception | 1.58% |
(6/1/98) |
|
|
|
|
|
| Class I Shares* |
One year | 11.80% |
Five year | 0.59% |
Since inception | 2.36% |
(4/15/98) |
|
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
* Note Regarding Class I Shares Total Returns: During the reporting period 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, 2004.
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.
Enhanced Equity
Portfolio Statistics
September 30, 2004
Ten Largest Stock Holdings
| % of Net Assets |
Microsoft Corp. | 3.5% |
Johnson & Johnson | 2.9% |
Pfizer, Inc. | 2.9% |
American International Group, Inc. | 2.8% |
International Business |
|
Machines Corp | 2.8% |
Bank of America Corp. | 2.4% |
J.P. Morgan Chase & Co. | 2.3% |
American Express Co. | 2.1% |
Cisco Systems, Inc. | 2.0% |
Wachovia Corp. | 2.0% |
Total | 25.7% |
|
|
| % of Total |
Economic Sectors | Investments |
Auto & Transportation | 2.0% |
Consumer Discretionary | 14.7% |
Consumer Staples | 5.0% |
Financial Services | 27.7% |
Health Care | 13.3% |
Materials & Processing | 2.7% |
Other Energy | 4.8% |
Producer Durables | 5.9% |
Technology | 16.2% |
Utilities | 7.7% |
Total | 100% |
Portfolio Strategy
Sector and industry performance
Sector allocation was a net drag on Portfolio performance during the reporting period. Our strategy carries a natural underweight to Integrated Oil stocks as well as to the Basic Materials and Processing sector. Surging oil prices and consistently rising commodity prices propelled each of these sectors higher. In fact, Integrated Oils was one of the top-performing areas of the market, rising more than 43% through the reporting period. Stocks providing basic materials returned over 29%, representing the third-strongest sector in the Russell 1000 Index (TM).
Stock-specific performance
Stock selection detracted from the Portfolio's performance over the past year. In particular, the strategy's growth model led to disappointing stock selection among
Technology stocks.
We carried significant weights in some of the larger-cap Technology stocks that ranked highly in our stock selection model. These larger-cap Tech stocks are viewed as anchors to the Fund's construction, allowing the strategy to maintain a large-cap profile similar to that of the benchmark Russell 1000 Index. Unfortunately, these positions detracted from the Portfolio's return. For example, the Portfolio carried overweights to Intel, IBM, Microsoft, and Cisco throughout the year. Among these, only Microsoft was able to post a positive return, squeaking out a gain of 0.30%. All the other stocks in this list declined in value during a year when Tech stocks overall rose more than 4%.
One of the largest detractors from overall performance was Merck. The Portfolio was hurt after Merck's Vioxx showed an association with heart attacks and strokes and the company withdrew the product from the market. Merck fell more than 32%, with most of the loss coming after the announcement in late September. Merck alone cost the Portfolio more than 0.50%.
Energy-related issues produced a mixed bag of results for the Portfolio. Exxon-Mobil, one of the largest companies in the Integrated Oil sector does not meet the Portfolio's social criteria, and we did not hold it. Unfortunately, the stock performed particularly well with rising oil prices. The Portfolio held a number of small energy-related firms such as EOG Resources, Smith International, XTO Energy and Veritas DGC, which are included in the Other Energy sector. These holdings benefited substantially from rising energy prices, partially offsetting the Portfolio's lack of holdings in the Integrated Oil sector.
Stock selection was strongest in more value-oriented sectors. In particular, we were able to add value in the Financial Services sector. We did this by avoiding some key underperformers and overweighting some stocks that did exceptionally well. Citibank lagged the market this year, and the Portfolio did not hold the stock as a result of our screens. Alternative investments in the Financial Services sector, such as our overweight to NVR Inc. further boosted Index-relative performance. This east-coast-based home builder benefited from persistently low interest rates and robust housing demand in their key markets.
Outlook
The next year should provide a few challenges to market participants. Hostilities in the Middle East and rising oil prices are currently the two main concerns, though they may be tempered by a growing U.S. economy and continued corporate profit growth.
The CSIF Enhanced Equity Portfolio is designed to refrain from taking thematic bets that would seek to capitalize on these macro concerns. We will continue to provide investors with a highly diversified portfolio that is exposed to all sectors.
October 2004
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Visit www.calvert.com to obtain performance data current to the most recent month-end.
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
May lose value. Not FDIC Insured. No Bank Guarantee. Not NCUA/NCUSIF Insured. No Credit Union Guarantee.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member NASD, a subsidiary of Calvert Group, Ltd.
Shareholder Expense Example
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges and redemption fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Money Market Portfolio charges a monthly low balance account fee of $3 to those shareholders whose account balance is less than $1,000. The Enhanced Equity Portfolio charges an annual low balance account fee of $15 to those shareholders whose regular account balance is less than $5,000. The Balanced, Equity, and Enhanced Equity Portfolios charge an annual low balance account fee of $15 to those shareholders whose IRA account balance is less than $1,000. If the low balance fees apply to your account, you should subtract the fees from the ending account value in the chart below.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio's actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads)or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning | Ending Account | Expenses Paid |
|
|
| Account Value | Value | During Period* |
|
|
CSIF Money Market | 4/1/04 | 9/30/04 | 4/1/04 - 9/30/04 |
|
|
Actual | $1,000.00 | $1,002.60 | $4.38 | ||
Hypothetical | $1,000.00 | $1,020.63 | $4.42 |
|
|
(5% return per |
|
|
|
|
|
year before taxes) |
|
|
|
|
|
*Expenses for Money Market are equal to the annualized expense ratio of 0.87%, multiplied by the average account value over the period, multiplied by 183/366.
| Beginning | Ending Account | Expenses Paid |
|
|
| Account Value | Value | During Period* |
|
|
CSIF Balanced | 4/1/04 | 9/30/04 | 4/1/04 - 9/30/04 |
|
|
Class A |
|
|
|
|
|
Actual | $1,000.00 | $996.30 | $6.18 | ||
Hypothetical | $1,000.00 | $1,018.80 | $6.25 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class B |
|
|
|
|
|
Actual | $1,000.00 | $991.10 | $11.27 | ||
Hypothetical | $1,000.00 | $1,013.68 | $11.40 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class C |
|
|
|
|
|
Actual | $1,000.00 | $991.60 | $11.05 | ||
Hypothetical | $1,000.00 | $1,013.90 | $11.18 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
*Expenses for Balanced are equal to the annualized expense ratios of 1.24%, 2.26%, and 2.22% for Class A, Class B, and Class C, respectively, multiplied by the average account value over the period, multiplied by 183/366.
| Beginning | Ending Account | Expenses Paid |
|
|
| Account Value | Value | During Period* |
|
|
CSIF Bond | 4/1/04 | 9/30/04 | 4/1/04 - 9/30/04 |
|
|
Class A |
|
|
|
|
|
Actual | $1,000.00 | $1,013.80 | $5.96 | ||
Hypothetical | $1,000.00 | $1,019.08 | $5.98 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class B |
|
|
|
|
|
Actual | $1,000.00 | $1,009.30 | $10.58 | ||
Hypothetical | $1,000.00 | $1,014.47 | $10.60 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class C |
|
|
|
|
|
Actual | $1,000.00 | $1,009.90 | $10.43 | ||
Hypothetical | $1,000.00 | $1,014.62 | $10.46 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class I |
|
|
|
|
|
Actual | $1,000.00 | $1,017.10 | $3.02 | ||
Hypothetical | $1,000.00 | $1,022.01 | $3.02 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
*Expenses for Bond are equal to the annualized expense ratios of 1.18%, 2.11%, 2.08%, and 0.60% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/366.
| Beginning | Ending Account | Expenses Paid |
|
|
| Account Value | Value | During Period* |
|
|
CSIF Equity | 4/1/04 | 9/30/04 | 4/1/04 - 9/30/04 |
|
|
Class A |
|
|
|
|
|
Actual | $1,000.00 | $987.50 | $6.21 | ||
Hypothetical | $1,000.00 | $1,018.75 | $6.31 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class B |
|
|
|
|
|
Actual | $1,000.00 | $983.40 | $10.39 | ||
Hypothetical | $1,000.00 | $1,014.53 | $10.55 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class C |
|
|
|
|
|
Actual | $1,000.00 | $983.60 | $10.06 | ||
Hypothetical | $1,000.00 | $1,014.86 | $10.22 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class I |
|
|
|
|
|
Actual | $1,000.00 | $990.20 | $3.35 | ||
Hypothetical | $1,000.00 | $1,021.63 | $3.41 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
*Expenses for Equity are equal to the annualized expense ratios of 1.25%, 2.09%, 2.03%, and 0.67% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/366.
| Beginning | Ending Account | Expenses Paid |
|
|
| Account Value | Value | During Period* |
|
|
CSIF Enhanced Equity | 4/1/04 | 9/30/04 | 4/1/04 - 9/30/04 |
|
|
Class A |
|
|
|
|
|
Actual | $1,000.00 | $989.50 | $6.98 | ||
Hypothetical | $1,000.00 | $1,017.99 | $7.08 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class B |
|
|
|
|
|
Actual | $1,000.00 | $985.10 | $11.67 | ||
Hypothetical | $1,000.00 | $1,013.24 | $11.84 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
Class C |
|
|
|
|
|
Actual | $1,000.00 | $985.10 | $11.51 | ||
Hypothetical | $1,000.00 | $1,013.40 | $11.68 |
|
|
(5% return per year before taxes) |
|
|
|
|
|
*Expenses for Enhanced Equity are equal to the annualized expense ratios of 1.40%, 2.35%, and 2.32% for Class A, Class B, and Class C, respectively, multiplied by the average account value over the period, multiplied by 183/366.
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders of Calvert Social Investment Fund:
We have audited the accompanying statements of net assets of the Calvert Money Market, Balanced, Bond, Equity, and Enhanced Equity Portfolios, each a series of the Calvert Social Investment Fund, as of September 30, 2004, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the three year period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. 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 highlights in their report dated November 16, 2001.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and broker. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios of the Calvert Social Investment Fund as of September 30, 2004 and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the three year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, PA
November 22, 2004
MONEY MARKET PORTFOLIO
Statement of Net Assets
September 30, 2004
U.S. Government Agencies |
| Principal |
|
|
and Instrumentalities - 14.1% |
| Amount | Value |
|
Fannie Mae, 1.375%, 2/18/05 |
| $5,000,000 | $5,000,000 |
|
Federal Farm Credit Discount Notes, 8/16/05 |
| 1,000,000 | 981,658 |
|
Federal Home Loan Bank: |
|
|
|
|
1.30%, 2/23/05 |
| 1,000,000 | 1,000,000 |
|
1.40%, 4/1/05 |
| 2,500,000 | 2,500,000 |
|
1.30%, 4/11/05 |
| 2,500,000 | 2,500,000 |
|
1.30%, 4/27/05 |
| 5,000,000 | 5,000,000 |
|
1.56%, 5/13/05 |
| 1,000,000 | 1,000,000 |
|
1.55%, 5/23/05 |
| 1,000,000 | 1,000,000 |
|
Freddie Mac Discount Notes: |
|
|
|
|
3/28/05 |
| 1,000,000 | 990,704 |
|
6/30/05 |
| 4,000,000 | 3,941,973 |
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
|
(Cost $23,914,335) |
|
| 23,914,335 |
|
|
|
|
|
|
|
|
|
|
|
Depository Receipts for U.S. Government |
|
|
|
|
Guaranteed Loans - 1.8% |
|
|
|
|
Colson Services Corporation Loan Sets: |
|
|
|
|
3.125%, 9/9/06 (c)(h) |
| 62,463 | 62,463 |
|
3.344%, 7/26/10 (c)(h) |
| 108,329 | 108,371 |
|
3.25%, 1/22/11 (c)(h) |
| 146,338 | 146,329 |
|
3.50%, 3/23/12 (c)(h) |
| 117,182 | 117,501 |
|
3.375%, 5/29/12 (c)(h) |
| 523,996 | 523,987 |
|
3.25%, 8/10/12 (c)(h) |
| 1,544,184 | 1,552,677 |
|
3.00%, 9/2/12 (c)(h) |
| 519,652 | 521,946 |
|
|
|
|
|
|
Total Depository Receipts for U.S. Government |
|
|
|
|
Guaranteed Loans (Cost $3,033,274) |
|
| 3,033,274 |
|
|
|
|
|
|
|
|
|
|
|
Variable Rate Loans Guaranteed by Agencies |
|
|
|
|
of the U.S. Government - 0.1% |
|
|
|
|
Loan pools, 2.00%, 3/1/07 (h) |
| 172,678 | 172,678 |
|
|
|
|
|
|
Total Variable Rate Loans Guaranteed by Agencies |
|
|
|
|
of the U.S. Government (Cost $172,678) |
|
| 172,678 |
|
|
|
|
|
|
|
|
|
|
|
Certificates of Deposit - 0.6% |
|
|
|
|
Bank of Cherokee County, 2.00%, 4/21/05 (k) |
| 100,000 | 100,000 |
|
Broadway Federal Bank FSB, 1.90%, 9/15/05 (k) |
| 100,000 | 100,000 |
|
Community Bank of the Bay, 1.15%, 10/7/04 (k) |
| 100,000 | 100,000 |
|
Community Capital Bank, 1.25%, 1/20/05 (k) |
| 100,000 | 100,000 |
|
Elk Horn Bank & Trust, 1.60%, 12/18/04 (k) |
| 100,000 | 100,000 |
|
Family Savings Bank, 1.25%, 8/20/05 (k) |
| 100,000 | 101,118 |
|
Fleet National Bank, 1.49%, 4/25/05 (k) |
| $100,000 | $100,000 |
|
One United Bank, 1.00%, 12/20/04 (k) |
| 100,000 | 100,000 |
|
Seaway National Bank, 1.05%, 1/26/05 (k) |
| 100,000 | 100,000 |
|
Self Help Credit Union, 2.19%, 7/14/05 |
| 200,000 | 200,343 |
|
|
|
|
|
|
Total Certificates of Deposit (Cost $1,101,461) |
|
| 1,101,461 |
|
|
|
|
|
|
|
|
|
|
|
Taxable Variable Rate Demand Notes - 80.4% |
|
|
|
|
550 West 14th Place Revenue, 1.89%, 2/1/29, |
|
|
|
|
LOC: Harris Trust (r) |
| 3,510,000 | 3,510,000 |
|
Akron Hardware Consultants, Inc., 1.89%, 11/1/22, |
|
|
|
|
LOC: FirstMerit Bank, C/LOC: FHLB (r) |
| 1,651,000 | 1,651,000 |
|
Alabama State Incentives Financing Authority Revenue, 1.90%, |
|
|
|
|
10/1/29, BPA: Southtrust Bank, AMBAC Insured (r) |
| 4,100,000 | 4,100,000 |
|
American Healthcare Funding LLC, 1.84%, 3/1/29, |
|
|
|
|
LOC: Lasalle Bank (r) |
| 3,400,000 | 3,400,000 |
|
Berks County Pennsylvania IDA Revenue, 1.96%, 6/1/15, |
|
|
|
|
LOC: Wachovia Bank (r) |
| 1,675,000 | 1,675,000 |
|
Bloomington Minnesota MFH Revenue, 1.84%, 11/15/32, |
|
|
|
|
LOC: Fannie Mae (r) |
| 5,290,000 | 5,290,000 |
|
Bochasanwais Shree Akshar Purushottam Swaminarayan Sanstha, Inc., |
|
|
|
|
1.94%, 6/1/21, LOC: Comercia Bank (r) |
| 5,000,000 | 5,000,000 |
|
California State Pollution Control Financing Authority Revenue, |
|
|
|
|
1.94%, 9/1/05, LOC: Wells Fargo Bank (r) |
| 20,000 | 20,000 |
|
California Statewide Communities Development Authority MFH |
|
|
|
|
Revenue, 1.96%, 7/1/27, LOC: Bank of the West, |
|
|
|
|
C/LOC: CALSTRs (r) |
| 80,000 | 80,000 |
|
California Statewide Communities Development Authority Special |
|
|
|
|
Tax Revenue, 1.88%, 3/15/34, LOC: Fannie Mae (r) |
| 3,150,000 | 3,150,000 |
|
Columbus Georgia Development Authority Revenue, 1.84%, |
|
|
|
|
12/1/19, LOC: Bank of Nova Scotia (r) |
| 3,200,000 | 3,200,000 |
|
Cotswold Village Associates LLC, 1.90%, 6/1/31, |
|
|
|
|
LOC: Columbus Bank & Trust (r) |
| 4,855,000 | 4,855,000 |
|
Enclave at Lynn Haven LLC, 1.84%, 10/1/29, |
|
|
|
|
LOC: State Bank & Trust, C/LOC: FHLB (r) |
| 2,650,000 | 2,650,000 |
|
Florida State Housing Finance Corp. MFH Revenue, 1.89%, |
|
|
|
|
10/15/32, LOC: Fannie Mae (r) |
| 4,805,000 | 4,805,000 |
|
Grove City Church of the Nazarene, 1.89%, 2/1/24, |
|
|
|
|
LOC: National City Bank (r) |
| 3,347,000 | 3,347,000 |
|
HBPWH Building Co., 1.95%, 11/1/22, |
|
|
|
|
LOC: Wells Fargo Bank (r) |
| 200,000 | 200,000 |
|
Heritage Funeral Services LLC, 1.95%, 2/1/18, |
|
|
|
|
LOC: Northern Trust Co. (r) |
| 1,455,000 | 1,455,000 |
|
Jefferson County Kentucky Health Facilities Revenue, 1.94%, |
|
|
|
|
12/1/25, LOC: Republic Bank & Trust, C/LOC: FHLB (r) |
| 1,235,000 | 1,235,000 |
|
Kaneville Road Joint Venture, Inc., 1.89%, 11/1/32, |
|
|
|
|
LOC: First American Bank, C/LOC: FHLB (r) |
| 2,740,000 | 2,740,000 |
|
Los Angeles California MFH Revenue, 1.88%, |
|
|
|
|
12/15/34, LOC: Fannie Mae (r) |
| 3,200,000 | 3,200,000 |
|
Main & Walton, Inc., 1.85%, 9/1/26, LOC: Waypoint Bank, |
|
|
|
|
C/LOC: FHLB (r) |
| 4,085,000 | 4,085,000 |
|
Meriter Hospital, Inc., 1.89%, 12/1/16, LOC: U.S. Bank (r) |
| 4,950,000 | 4,950,000 |
|
Milpitas California MFH Revenue, 1.86%, 8/15/33, |
|
|
|
|
LOC: Fannie Mae (r) |
| $2,600,000 | $2,600,000 |
|
Milwaukee Wisconsin Redevelopment Authority Revenue, |
|
|
|
|
1.92%, 8/1/20, LOC: Marshall & Ilsley Bank (r) |
| 1,425,000 | 1,425,000 |
|
Montgomery Alabama Special Care Facilities Financing Authority |
|
|
|
|
Revenue, 1.89%, 7/1/17, LOC: Regions Bank (r) |
| 395,000 | 395,000 |
|
Montgomery County Alabama Cancer Center LLC, 1.90%, |
|
|
|
|
10/1/12, LOC: SouthTrust Bank (r) |
| 100,000 | 100,000 |
|
Montgomery New York Industrial Development Board Pollution |
|
|
|
|
Control Revenue, 1.99%, 5/1/25, LOC: FHLB (r) |
| 1,920,000 | 1,920,000 |
|
Nevada State Housing Division Revenue: |
|
|
|
|
1.84%, 4/1/31, LOC: East-West Bank, C/LOC: FHLB (r) |
| 410,000 | 410,000 |
|
1.84%, 4/15/35, LOC: Fannie Mae (r) |
| 1,535,000 | 1,535,000 |
|
New Jersey State Healthcare Facilities Financing Authorities |
|
|
|
|
Revenue, 1.87%, 7/1/30, LOC: Fleet National Bank (r) |
| 5,120,000 | 5,120,000 |
|
New York City New York Housing Development Corp. Revenue, |
|
|
|
|
1.84%, 6/1/33, LOC: Bayerishe Landesbank Girozentrale (r) |
| 3,950,000 | 3,950,000 |
|
New York City New York Transitional Finance Authority Revenue, |
|
|
|
|
1.84%, 5/1/30, BPA: Westdeutsche Landesbank (r) |
| 4,860,000 | 4,860,000 |
|
Osprey Management Co. LLC, 1.85%, 6/1/27, |
|
|
|
|
LOC: Wells Fargo Bank (r) |
| 2,400,000 | 2,400,000 |
|
Peoploungers, Inc., 1.90%, 4/1/18, LOC: Bank of New Albany, |
|
|
|
|
C/LOC: FHLB (r) |
| 3,550,000 | 3,550,000 |
|
Portage Indiana Economic Development Revenue, 2.09%, |
|
|
|
|
3/1/20, LOC: FHLB (r) |
| 1,900,000 | 1,900,000 |
|
Post Apartment Homes LP, 1.84%, 7/15/29, CA: Fannie Mae (r) |
| 2,550,000 | 2,550,000 |
|
Racetrac Capital LLC, 1.89%, 9/1/20, LOC: Regions Bank (r) |
| 3,900,000 | 3,900,000 |
|
Richmond Virginia Redevelopment and Housing Authority Revenue, |
|
|
|
|
1.65%, 12/1/25, LOC: Wachovia Bank (r) |
| 510,000 | 510,000 |
|
San Joaquin Mariners Association LP, 1.95%, 7/1/29, |
|
|
|
|
LOC: Credit Suisse First Boston Corp. (r) |
| 1,250,000 | 1,250,000 |
|
San Marcos California Redevelopment Agency MFH Revenue, |
|
|
|
|
1.90%, 5/1/35, LOC: FHLMC (r) |
| 2,300,000 | 2,300,000 |
|
Scottsboro Alabama Industrial Development Board Revenue, |
|
|
|
|
1.84%, 10/1/10, LOC: SouthTrust Bank (r) |
| 910,000 | 910,000 |
|
Sea Island Co., 2.12%, 2/1/21, LOC: Columbus Bank & Trust (r) |
| 205,000 | 205,000 |
|
Shelby County Tennessee Health Educational and Housing Facilities |
|
|
|
|
Board Revenue, 2.14%, 12/1/27, LOC: First Tennessee Bank (r) |
| 1,600,000 | 1,600,000 |
|
Southeast Alabama Gas Distribution Revenue, 1.90%, 6/1/25, |
|
|
|
|
BPA: AmSouth Bank, AMBAC Insured (r) |
| 3,645,000 | 3,645,000 |
|
Southern Indiana Investments Company Two LLC, 1.90%, |
|
|
|
|
10/15/26, LOC: Old National Bank, C/LOC: FHLB (r) |
| 1,080,000 | 1,080,000 |
|
St. Francis Place LP, 1.84%, 12/1/08, LOC: Credit Suisse First |
|
|
|
|
Boston Corp. (e)(r) |
| 3,565,000 | 3,565,000 |
|
St. Joseph County Indiana Economic Development Revenue, |
|
|
|
|
2.14%, 6/1/27, LOC: FHLB (r) |
| 175,000 | 175,000 |
|
St. Paul Minnesota Housing and Redevelopment Authority Revenue, |
|
|
|
|
1.84%, 3/1/18, LOC: Dexia Credit Local (r) |
| 1,600,000 | 1,600,000 |
|
St. Paul Minnesota Port Authority Revenue: |
|
|
|
|
2.23%, 3/1/07, LOC: Dexia Credit Local (r) |
| 195,000 | 195,000 |
|
2.03%, 3/1/21, LOC: Dexia Credit Local (r) |
| 1,900,000 | 1,900,000 |
|
Suffolk County New York IDA Revenue, 1.87%, 12/15/07, |
|
|
|
|
LOC: JP Morgan Chase Bank (r) |
| 1,745,000 | 1,745,000 |
|
Tyler Enterprises LLC, 1.90%, 10/1/22, |
|
|
|
|
LOC: Peoples Bank & Trust, C/LOC: FHLB (r) |
| $4,640,000 | $4,640,000 |
|
Washington State Housing Finance Commission MFH Revenue: |
|
|
|
|
1.88%, 7/15/34, LOC: Fannie Mae (r) |
| 310,000 | 310,000 |
|
1.88%, 5/15/35, LOC: Fannie Mae (r) |
| 1,230,000 | 1,230,000 |
|
Washington State Housing Finance Commission Non Profit Housing |
|
|
|
|
Revenue, 1.90%, 1/1/30, LOC: Wells Fargo Bank (r) |
| 2,820,000 | 2,820,000 |
|
Washington State Housing Finance Commission Revenue: |
|
|
|
|
1.88%, 6/15/32, CA: Fannie Mae (r) |
| 1,540,000 | 1,540,000 |
|
1.88%, 7/15/32, CA: Fannie Mae (r) |
| 1,430,000 | 1,430,000 |
|
1.87%, 5/1/37, LOC: FHLMC (r) |
| 2,800,000 | 2,800,000 |
|
|
|
|
|
|
Total Taxable Variable Rate Demand Notes |
|
|
|
|
(Cost $136,663,000) |
|
| 136,663,000 |
|
|
|
|
|
|
Total Investments (Cost $164,884,748) - 97.0% |
|
| 164,884,748 |
|
Other assets and liabilities, net - 3.0% |
|
| 5,031,400 |
|
Net Assets - 100% |
|
| $169,916,148 |
|
|
|
|
|
|
|
|
|
|
|
Net Assets Consist of |
|
|
|
|
Paid in capital applicable to the following shares of beneficial interest, |
|
|
|
|
unlimited number of no par value shares authorized, |
|
|
|
|
170,018,912 shares outstanding |
|
| $169,974,551 |
|
Undistributed net investment income |
|
| 9,685 |
|
Accumulated realized gain (loss) on investments |
|
| (68,088) |
|
|
|
|
|
|
Net Assets |
|
| $169,916,148 |
|
|
|
|
|
|
Net Asset Value Per Share |
|
| $1.00 |
|
See notes to statements of net assets and notes to financial statements.
Balanced Portfolio
Statement of Net Assets
September 30, 2004
Equity Securities - 60.2% | Shares | Value | |
Advertising Agencies - 0.3% |
|
|
|
Omnicom Group, Inc. |
| 20,600 | $1,505,036 |
|
|
|
|
Air Transportation - 0.2% |
|
|
|
Expeditors International Washington, Inc. |
| 6,150 | 317,955 |
FedEx Corp. |
| 9,300 | 796,917 |
|
|
| 1,114,872 |
|
|
|
|
Auto Parts - After Market - 0.0% |
|
|
|
Genuine Parts Co. |
| 3,800 | 145,844 |
|
|
|
|
Auto Parts - Original Equipment - 0.2% |
|
|
|
Autoliv, Inc. |
| 30,200 | 1,220,080 |
|
|
|
|
Auto Trucks & Parts - 0.1% |
|
|
|
Wabash National Corp.* |
| 21,600 | 593,352 |
|
|
|
|
Banks - New York City - 1.3% |
|
|
|
Bank of New York Co., Inc. |
| 64,400 | 1,878,548 |
J.P. Morgan Chase & Co. |
| 132,088 | 5,247,856 |
|
|
| 7,126,404 |
|
|
|
|
Banks - Outside NewYork City - 4.2% |
|
|
|
Bank of America Corp. |
| 138,300 | 5,992,539 |
First Republic Capital Corp., Preferred (e) |
| 500 | 525,000 |
KeyCorp Ltd. |
| 29,300 | 925,880 |
M&T Bank Corp. |
| 18,000 | 1,722,600 |
National City Corp. |
| 5,900 | 227,858 |
North Fork Bancorp., Inc. |
| 5,300 | 235,585 |
Northern Trust Corp. |
| 8,800 | 359,040 |
TCF Financial Corp. |
| 55,200 | 1,672,008 |
US Bancorp |
| 109,100 | 3,152,990 |
Wachovia Corp. |
| 96,000 | 4,507,200 |
Wells Fargo & Co. |
| 52,100 | 3,106,723 |
|
|
| 22,427,423 |
|
|
|
|
Biotechnology - Research & Production - 0.8% |
|
|
|
Amgen, Inc.* |
| 68,250 | 3,868,410 |
Invitrogen Corp.* |
| 10,600 | 582,894 |
|
|
| 4,451,304 |
|
|
|
|
Building Materials - 0.2% |
|
|
|
Masco Corp. |
| 34,300 | 1,184,379 |
|
|
|
|
Chemicals - 0.9% |
|
|
|
Airgas, Inc. |
| 58,500 | 1,408,095 |
Praxair, Inc. |
| 50,000 | 2,137,000 |
Sigma-Aldrich Corp. |
| 17,500 | 1,015,000 |
|
|
| 4,560,095 |
|
|
|
|
Communications & Media - 0.8% |
|
|
|
Time Warner, Inc.* |
| 255,100 | $4,117,314 |
|
|
|
|
Communications Technology - 2.2% |
|
|
|
Cisco Systems, Inc.* |
| 263,756 | 4,773,983 |
CommScope, Inc.* |
| 144,300 | 3,116,880 |
Covad Communications Group, Inc.* |
| 26,923 | 45,231 |
Harris Corp. |
| 25,200 | 1,384,488 |
Qualcomm, Inc. |
| 49,900 | 1,948,096 |
Scientific-Atlanta, Inc. |
| 13,400 | 347,328 |
Tellabs, Inc.* |
| 18,400 | 169,096 |
|
|
| 11,785,102 |
|
|
|
|
Computer - Services, Software & Systems - 2.6% |
|
|
|
Adobe Systems, Inc. |
| 46,600 | 2,305,302 |
Citrix Systems, Inc.* |
| 9,600 | 168,192 |
Compuware Corp.* |
| 56,400 | 290,460 |
Intuit, Inc.* |
| 7,500 | 340,500 |
Microsoft Corp. |
| 354,500 | 9,801,925 |
Symantec Corp.* |
| 10,300 | 565,264 |
Veritas Software Corp.* |
| 6,900 | 122,820 |
|
|
| 13,594,463 |
|
|
|
|
Computer Technology - 2.3% |
|
|
|
Dell, Inc.* |
| 107,200 | 3,816,320 |
EMC Corp.* |
| 70,800 | 817,032 |
Hewlett-Packard Co. |
| 35,200 | 660,000 |
International Business Machines Corp. |
| 76,800 | 6,584,832 |
Western Digital Corp.* |
| 30,000 | 263,700 |
|
|
| 12,141,884 |
|
|
|
|
Consumer Electronics - 0.9% |
|
|
|
Electronic Arts, Inc.* |
| 24,800 | 1,140,552 |
Harman International Industries, Inc. |
| 2,000 | 215,500 |
Yahoo!, Inc.* |
| 105,200 | 3,567,332 |
|
|
| 4,923,384 |
|
|
|
|
Consumer Products - 1.8% |
|
|
|
Alberto-Culver Co. |
| 31,400 | 1,365,272 |
Gillette Co. |
| 66,000 | 2,754,840 |
Kimberly-Clark Corp. |
| 62,500 | 4,036,875 |
Toro Co. |
| 17,000 | 1,161,100 |
|
|
| 9,318,087 |
|
|
|
|
Containers & Packaging - Paper & Plastic - 0.1% |
|
|
|
Sealed Air Corp.* |
| 11,000 | 509,850 |
|
|
|
|
Cosmetics - 0.3% |
|
|
|
Avon Products, Inc. |
| 3,400 | 148,512 |
Estee Lauder Co.'s, Inc. |
| 39,200 | 1,638,560 |
|
|
| 1,787,072 |
|
|
|
|
Diversified Financial Services - 1.5% |
|
|
|
American Express Co. |
| 94,800 | $4,878,408 |
Goldman Sachs Group, Inc. |
| 3,300 | 307,692 |
New Century Financial Corp. |
| 30,600 | 1,842,732 |
Roslyn Real Estate Asset Corp., Preferred (e) |
| 10,000 | 1,005,000 |
|
|
| 8,033,832 |
|
|
|
|
Diversified Materials & Processing - 0.1% |
|
|
|
American Standard Co.'s* |
| 9,000 | 350,190 |
|
|
|
|
Diversified Production - 0.2% |
|
|
|
Danaher Corp. |
| 19,100 | 979,448 |
Dover Corp. |
| 8,000 | 310,960 |
|
|
| 1,290,408 |
|
|
|
|
Drug & Grocery Store Chains - 0.6% |
|
|
|
Supervalu, Inc. |
| 16,100 | 443,555 |
Walgreen Co. |
| 82,000 | 2,938,060 |
|
|
| 3,381,615 |
|
|
|
|
Drugs & Pharmaceuticals - 4.0% |
|
|
|
Barr Laboratories, Inc.* |
| 12,600 | 522,018 |
Cardinal Health, Inc. |
| 28,500 | 1,247,445 |
Johnson & Johnson |
| 145,500 | 8,196,015 |
Merck & Co., Inc. |
| 124,200 | 4,098,600 |
Pfizer, Inc. |
| 238,000 | 7,282,800 |
|
|
| 21,346,878 |
|
|
|
|
Education Services - 0.3% |
|
|
|
Apollo Group, Inc.* |
| 21,700 | 1,592,129 |
|
|
|
|
Electrical - Household Appliances - 0.1% |
|
|
|
Whirlpool Corp. |
| 4,900 | 294,441 |
|
|
|
|
Electronic Equipment & Components - 0.2% |
|
|
|
Cooper Industries Ltd. |
| 4,800 | 283,200 |
Molex, Inc. |
| 29,500 | 879,690 |
|
|
| 1,162,890 |
|
|
|
|
Electronics - 0.1% |
|
|
|
Amphenol Corp.* |
| 9,250 | 316,905 |
Sanmina-SCI Corp.* |
| 17,900 | 126,195 |
|
|
| 443,100 |
|
|
|
|
Electronics - Medical Systems - 0.9% |
|
|
|
Medtronic, Inc. |
| 77,900 | 4,043,010 |
Varian Medical Systems, Inc.* |
| 24,200 | 836,594 |
|
|
| 4,879,604 |
|
|
|
|
Electronics - Semiconductors / Components - 1.5% |
|
|
|
Altera Corp.* |
| 40,200 | $786,714 |
Analog Devices, Inc. |
| 34,200 | 1,326,276 |
Atmel Corp.* |
| 61,100 | 221,182 |
Integrated Circuit Systems, Inc.* |
| 9,100 | 195,650 |
Intel Corp. |
| 203,700 | 4,086,222 |
Jabil Circuit, Inc.* |
| 48,500 | 1,115,500 |
Texas Instruments, Inc. |
| 21,200 | 451,136 |
|
|
| 8,182,680 |
|
|
|
|
Energy Miscellaneous - 0.4% |
|
|
|
Veritas DGC, Inc.* |
| 97,100 | 2,211,938 |
|
|
|
|
Finance - Small Loan - 0.4% |
|
|
|
SLM Corp. |
| 50,300 | 2,243,380 |
|
|
|
|
Finance Companies - 0.4% |
|
|
|
Capital One Financial Corp. |
| 26,300 | 1,943,570 |
|
|
|
|
Financial Data Processing Services - 1.0% |
|
|
|
Automatic Data Processing, Inc. |
| 49,900 | 2,061,868 |
Deluxe Corp. |
| 4,750 | 194,845 |
DST Systems, Inc.* |
| 4,000 | 177,880 |
First Data Corp. |
| 60,000 | 2,610,000 |
Fiserv, Inc.* |
| 2,700 | 94,122 |
SunGard Data Systems, Inc.* |
| 16,600 | 394,582 |
|
|
| 5,533,297 |
|
|
|
|
Financial Diversified - 0.4% |
|
|
|
MFH Financial Trust I, Preferred (e) |
| 20,000 | 1,980,000 |
|
|
|
|
Financial Miscellaneous - 1.9% |
|
|
|
AMBAC Financial Group, Inc. |
| 5,000 | 399,750 |
Fannie Mae |
| 68,000 | 4,311,200 |
Freddie Mac |
| 8,400 | 548,016 |
H & R Block, Inc. |
| 3,000 | 148,260 |
MBNA Corp. |
| 114,400 | 2,882,880 |
MGIC Investment Corp. |
| 9,900 | 658,845 |
Nationwide Financial Services, Inc. |
| 6,500 | 228,215 |
Providian Financial Corp.* |
| 42,400 | 658,896 |
|
|
| 9,836,062 |
|
|
|
|
Foods - 2.0% |
|
|
|
General Mills, Inc. |
| 31,400 | 1,409,860 |
H.J. Heinz Co. |
| 43,900 | 1,581,278 |
Hershey Foods Corp. |
| 65,100 | 3,040,821 |
Kellogg Co. |
| 59,900 | 2,555,334 |
McCormick & Co., Inc. |
| 6,400 | 219,776 |
Sysco Corp. |
| 64,400 | 1,926,848 |
|
|
| 10,733,917 |
|
|
|
|
Forest Products - 0.2% |
|
|
|
Weyerhaeuser Co. |
| 19,200 | 1,276,416 |
|
|
|
|
Healthcare Facilities - 0.2% |
|
|
|
DaVita, Inc.* |
| 28,350 | $883,103 |
Health Management Associates, Inc. |
| 14,000 | 286,020 |
|
|
| 1,169,123 |
|
|
|
|
Healthcare Management Services - 0.8% |
|
|
|
Caremark Rx, Inc.* |
| 24,500 | 785,715 |
Wellpoint Health Networks, Inc.* |
| 31,300 | 3,289,317 |
|
|
| 4,075,032 |
|
|
|
|
Healthcare Services - 0.4% |
|
|
|
Anthem, Inc.* |
| 16,700 | 1,457,075 |
Express Scripts, Inc.* |
| 8,400 | 548,856 |
Lincare Holdings, Inc.* |
| 8,500 | 252,535 |
|
|
| 2,258,466 |
|
|
|
|
Home Building - 1.2% |
|
|
|
DR Horton, Inc. |
| 9,750 | 322,823 |
KB Home |
| 3,500 | 295,715 |
NVR, Inc.* |
| 5,900 | 3,250,900 |
Pulte Homes, Inc. |
| 44,900 | 2,755,513 |
|
|
| 6,624,951 |
|
|
|
|
Household Equipment & Products - 0.2% |
|
|
|
Black & Decker Corp. |
| 16,600 | 1,285,504 |
|
|
|
|
Identify Control & Filter Devices - 0.2% |
|
|
|
Donaldson Co., Inc. |
| 8,625 | 244,864 |
Parker Hannifin Corp. |
| 14,000 | 824,040 |
Waters Corp.* |
| 3,700 | 163,170 |
|
|
| 1,232,074 |
|
|
|
|
Insurance - Life - 0.7% |
|
|
|
Jefferson-Pilot Corp. |
| 6,000 | 297,960 |
Principal Financial Group |
| 59,700 | 2,147,409 |
Prudential Financial, Inc. |
| 22,500 | 1,058,400 |
The Phoenix Co.'s, Inc. |
| 15,900 | 165,678 |
|
|
| 3,669,447 |
|
|
|
|
Insurance - Multi-Line - 2.3% |
|
|
|
Aflac, Inc. |
| 36,900 | 1,446,849 |
American International Group, Inc. |
| 92,600 | 6,295,874 |
Arthur J. Gallagher & Co. |
| 7,000 | 231,910 |
Conseco, Inc., Preferred |
| 80,500 | 1,981,910 |
Conseco, Inc. Warrants (strike price $27.60/share, expires 9/10/08)* |
| 3,161 | 10,115 |
Hartford Financial Services, Inc. |
| 9,800 | 606,914 |
Lincoln National Corp. |
| 13,500 | 634,500 |
Protective Life Corp. |
| 21,700 | 853,027 |
Safeco Corp. |
| 4,000 | 182,600 |
|
|
| 12,243,699 |
|
|
|
|
Insurance - Property & Casuality - 0.5% |
|
|
|
21st Century Insurance Group |
| 13,700 | $182,895 |
Chubb Corp. |
| 23,100 | 1,623,468 |
Progressive Corp. |
| 9,500 | 805,125 |
|
|
| 2,611,488 |
|
|
|
|
Investment Management Companies - 0.0% |
|
|
|
SEI Investments Co. |
| 7,100 | 239,128 |
|
|
|
|
Machinery - Agricultural - 0.4% |
|
|
|
Deere & Co. |
| 30,000 | 1,936,500 |
|
|
|
|
Machinery - Construction & Handling - 0.3% |
|
|
|
Terex Corp.* |
| 36,300 | 1,575,420 |
|
|
|
|
Machinery - Industrial / Specialty - 0.5% |
|
|
|
Illinois Tool Works, Inc. |
| 15,900 | 1,481,403 |
Nordson Corp. |
| 4,400 | 151,052 |
Tecumseh Products Co. |
| 20,500 | 858,335 |
|
|
| 2,490,790 |
|
|
|
|
Machinery - Oil Well Equipment & Services - 0.4% |
|
|
|
Smith International, Inc.* |
| 38,800 | 2,356,324 |
|
|
|
|
Machinery - Specialty - 0.1% |
|
|
|
Graco, Inc. |
| 10,100 | 338,350 |
|
|
|
|
Medical & Dental - Instruments & Supplies - 0.8% |
|
|
|
Beckman Coulter, Inc. |
| 4,000 | 224,480 |
Becton Dickinson & Co. |
| 50,300 | 2,600,510 |
Cytyc Corp.* |
| 11,000 | 265,650 |
Dentsply International, Inc. |
| 5,100 | 264,894 |
St. Jude Medical, Inc.* |
| 1,500 | 112,905 |
Stryker Corp. |
| 17,200 | 826,976 |
|
|
| 4,295,415 |
|
|
|
|
Medical Services - 0.0% |
|
|
|
Coventry Health Care, Inc.* |
| 4,150 | 221,485 |
|
|
|
|
Multi-Sector Companies - 0.2% |
|
|
|
3M Co. |
| 14,600 | 1,167,562 |
|
|
|
|
Office Furniture & Business Equipment - 0.7% |
|
|
|
Lexmark International, Inc.* |
| 16,400 | 1,377,764 |
Pitney Bowes, Inc. |
| 41,400 | 1,825,740 |
Xerox Corp.* |
| 32,600 | 459,008 |
|
|
| 3,662,512 |
|
|
|
|
Office Supplies - 0.3% |
|
|
|
Avery Dennison Corp. |
| 26,900 | 1,769,482 |
|
|
|
|
Oil - Crude Producers - 1.8% |
|
|
|
Chesapeake Energy Corp. |
| 5,300 | $83,899 |
Cimarex Energy Co.* |
| 12,800 | 447,232 |
EOG Resources, Inc. |
| 82,100 | 5,406,285 |
Pioneer Natural Resources Co. |
| 3,300 | 113,784 |
XTO Energy, Inc. |
| 114,207 | 3,709,443 |
|
|
| 9,760,643 |
|
|
|
|
Photography - 0.3% |
|
|
|
Eastman Kodak Co. |
| 52,700 | 1,697,994 |
|
|
|
|
Pollution Control & Enviromental Services - 0.1% |
|
|
|
Headwaters, Inc.* |
| 9,600 | 296,256 |
|
|
|
|
Publishing - Miscellaneous - 0.5% |
|
|
|
McGraw-Hill Co.'s, Inc. |
| 26,400 | 2,103,816 |
R.R. Donnelley & Sons Co. |
| 14,900 | 466,668 |
|
|
| 2,570,484 |
|
|
|
|
Publishing - Newspapers - 0.0% |
|
|
|
New York Times Co. |
| 5,900 | 230,690 |
|
|
|
|
Real Estate Investment Trust - 0.2% |
|
|
|
Equity Office Properties Trust |
| 37,200 | 1,013,700 |
|
|
|
|
Recreational Vehicles & Boats - 0.4% |
|
|
|
Harley-Davidson, Inc. |
| 33,800 | 2,009,072 |
|
|
|
|
Restaurants - 0.2% |
|
|
|
CKE Restaurants, Inc.* |
| 90,200 | 996,710 |
|
|
|
|
Retail - 3.2% |
|
|
|
Bed Bath & Beyond, Inc.* |
| 66,700 | 2,475,237 |
Best Buy Co., Inc. |
| 6,100 | 330,864 |
Costco Wholesale Corp. |
| 24,000 | 997,440 |
Dollar General Corp. |
| 5,900 | 118,885 |
Dollar Tree Stores, Inc.* |
| 7,100 | 191,345 |
Gap, Inc. |
| 52,500 | 981,750 |
Home Depot, Inc. |
| 99,250 | 3,890,600 |
Linens 'N Things, Inc.* |
| 11,000 | 254,870 |
Lowe's Co.'s, Inc. |
| 59,900 | 3,255,565 |
Ross Stores, Inc. |
| 9,100 | 213,304 |
ShopKo Stores, Inc.* |
| 13,500 | 235,035 |
Stage Stores, Inc.* |
| 2,500 | 85,550 |
Staples, Inc. |
| 55,600 | 1,657,992 |
Target Corp. |
| 50,400 | 2,280,600 |
|
|
| 16,969,037 |
|
|
|
|
Savings & Loans - 0.4% |
|
|
|
Washington Mutual, Inc. |
| 59,100 | 2,309,628 |
|
|
|
|
Securities Brokers & Services - 0.4% |
|
|
|
Franklin Resources, Inc. |
| 34,400 | $1,918,144 |
Legg Mason, Inc. |
| 4,500 | 239,715 |
|
|
| 2,157,859 |
|
|
|
|
Services - Commercial - 0.2% |
|
|
|
Brink's Co. |
| 16,800 | 506,856 |
Manpower, Inc. |
| 8,500 | 378,165 |
|
|
| 885,021 |
|
|
|
|
Shoes - 0.1% |
|
|
|
Timberland Co.* |
| 11,000 | 624,800 |
|
|
|
|
Soaps & Household Chemicals - 0.8% |
|
|
|
Colgate-Palmolive Co. |
| 24,800 | 1,120,464 |
Procter & Gamble Co. |
| 59,100 | 3,198,492 |
|
|
| 4,318,956 |
|
|
|
|
Telecommunications - 0.1% |
|
|
|
Manitoba Telecom Services, Inc. Class B |
| 14,515 | 486,414 |
|
|
|
|
Transportation Miscellaneous - 0.3% |
|
|
|
United Parcel Service, Inc., Class B |
| 19,900 | 1,510,808 |
|
|
|
|
Utilities - Cable, Television, & Radio - 0.3% |
|
|
|
Comcast Corp.* |
| 5,000 | 139,600 |
Comcast Corp., Special Class A* |
| 10,100 | 285,224 |
COX Communications, Inc.* |
| 32,700 | 1,083,351 |
|
|
| 1,508,175 |
|
|
|
|
Utilities - Electrical - 0.5% |
|
|
|
Cleco Corp. |
| 16,000 | 275,840 |
Hawaiian Electric Industries, Inc. |
| 8,600 | 228,244 |
IDACORP, Inc. |
| 21,500 | 624,790 |
NiSource, Inc. |
| 17,800 | 373,978 |
OGE Energy Corp. |
| 37,700 | 951,171 |
Unisource Energy Corp. |
| 6,400 | 155,840 |
|
|
| 2,609,863 |
|
|
|
|
Utilities - Gas Distribution - 1.1% |
|
|
|
AGL Resources, Inc. |
| 21,200 | 652,324 |
Kinder Morgan, Inc. |
| 45,800 | 2,877,156 |
Oneok, Inc. |
| 90,300 | 2,349,606 |
|
|
| 5,879,086 |
|
|
|
|
Utilities - Gas Pipelines - 0.1% |
|
|
|
Equitable Resources, Inc. |
| 5,400 | 293,274 |
|
|
|
|
Utilities - Telecommunications - 2.3% |
|
|
|
AT&T Wireless Services, Inc.* |
| 40,100 | $592,678 |
Bellsouth Corp. |
| 214,500 | 5,817,240 |
Citizens Communications Co. |
| 32,300 | 432,497 |
Nextel Communications, Inc.* |
| 10,300 | 245,552 |
SBC Communications, Inc. |
| 189,400 | 4,914,930 |
|
|
| 12,002,897 |
|
|
|
|
Wholesalers - 0.2% |
|
|
|
United Stationers, Inc.* |
| 19,500 | 846,300 |
|
|
|
|
Venture Capital - 1.1% |
|
|
|
Agraquest, Inc.: |
|
|
|
Series B Preferred (b)(i)* |
| 190,477 | 266,668 |
Series C Preferred (b)(i)* |
| 124,615 | 174,461 |
Allos Therapeutics* |
| 171,271 | 357,956 |
CFBanc Corp. (b)(i)* |
| 27,000 | 270,000 |
City Soft, Inc., Warrants: |
|
|
|
(strike price $0.21/share, expires 5/15/12) (b)(i)* |
| 29,590 | -- |
(strike price $0.14/share, expires 10/15/12) (b)(i)* |
| 29,590 | -- |
(strike price $0.28/share, expires 10/15/12) (b)(i)* |
| 29,590 | -- |
(strike price $0.01/share, expires 11/15/12) (b)(i)* |
| 887,700 | -- |
(strike price $0.14/share, expires 2/28/13) (b)(i)* |
| 23,127 | -- |
(strike price $0.28/share, expires 2/28/13) (b)(i)* |
| 23,127 | -- |
(strike price $0.01/share, expires 5/31/13) (b)(i)* |
| 35,372 | -- |
(strike price $0.14/share, expires 5/31/13) (b)(i)* |
| 35,372 | -- |
(strike price $0.28/share, expires 5/31/13) (b)(i)* |
| 29,590 | -- |
(strike price $0.01/share, expires 8/31/13) (b)(i*) |
| 29,590 | -- |
(strike price $0.14/share, expires 8/31/13) (b)(i)* |
| 29,590 | -- |
(strike price $0.28/share, expires 8/31/13) (b)(i)* |
| 35,372 | -- |
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
| 23,128 | -- |
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
| 335,955 | -- |
(strike price $0.14/share, expires 9/4/13) (b)(i)* |
| 118,360 | -- |
(strike price $0.21/share, expires 9/4/13) (b)(i)* |
| 35,372 | -- |
(strike price $0.28/share, expires 9/4/13) (b)(i)* |
| 35,372 | -- |
(strike price $0.01/share, expires 11/30/13) (b)(i)* |
| 189,375 | -- |
(strike price $0.14/share, expires 11/30/13) (b)(i)* |
| 118,359 | -- |
(strike price $0.14/share, expires 11/30/13) (b)(i)* |
| 35,372 | -- |
(strike price $0.28/share, expires 11/30/13) (b)(i)* |
| 118,359 | -- |
Community Bank of the Bay (b)(i)* |
| 4,000 | 14,000 |
Community Growth Fund |
| 1,498,306 | 797,731 |
Distributed Energy Systems Corp: |
|
|
|
Common Stock* |
| 27,551 | 50,143 |
Warrants: |
|
|
|
(strike price $2.80/share, expires 12/17/06)* |
| 1,652 | -- |
(strike price $2.80/share, expires 12/17/06)* |
| 551 | -- |
Contingent Deferred Distribution: |
|
|
|
Cash Tranche 1 (b)(i)* |
| 22,045 | 19,452 |
Cash Tranche 2 (b)(i)* |
| 11,022 | 8,692 |
Stock Tranche 1 (b)(i)* |
| 291 | 458 |
Stock Tranche 2 (b)(i)* |
| 146 | 186 |
Evergreen Solar, Inc.* |
| 133,672 | 382,302 |
Frans Health Helpings, Series B Convertible Preferred (b)(i)* |
| 505,051 | 1 |
Gaiam, Inc.* |
| 12,500 | 74,625 |
H2Gen Innovations, Inc.: |
|
|
|
Series A Preferred (b)(i)* |
| 251,496 | $100,598 |
Series A Preferred, Warrants (strike price $1.00/share, |
|
|
|
expires 1/1/12) (b)(i)* |
| 20,833 | -- |
Series B Preferred, Warrants (strike price $1.00/share, |
|
|
|
expires 10/31/13) (b)(i)* |
| 27,026 | -- |
Hayes Medical Services (b)(i)* |
| 326,797 | 245,098 |
Medimmune, Inc.* |
| 19,854 | 470,540 |
Neighborhood Bancorp. (b)(i)* |
| 10,000 | 100,000 |
Pharmadigm, Inc. (b)(i)* |
| 1,193 | 1 |
Plethora Technology, Inc., Warrants: |
|
|
|
(strike price $0.01/share, expires 6/17/13) (b)(i)* |
| 18,000 | 28,260 |
(strike price $0.01/share, expires 2/9/14) (b)(i)* |
| 30,000 | 47,100 |
ProFund International SA.: |
|
|
|
Common (b)(i)* |
| 7,500 | -- |
Preferred (b)(i)* |
| 519,469 | 310,704 |
Seventh Generation, Inc. (b)(i)* |
| 200,295 | 1,001,475 |
SMARTTHINKING, Inc.: |
|
|
|
Series 1-A, Convertible Preferred (b)(i)* |
| 44,699 | 68,314 |
Series 1-B, Convertible Preferred (b)(i)* |
| 163,588 | 31,050 |
Warrants (strike price $1.53/share, expires 10/20/05) (b)(i)* |
| 32,726 | -- |
Wellspring International, Inc.: |
|
|
|
Series A Preferred (b)(i)* |
| 129,032 | 30,777 |
Series B Preferred (b)(i)* |
| 108,267 | 29,705 |
Series C Preferred (b)(i)* |
| 277,778 | 71,500 |
Series D Preferred (b)(i)* |
| 380,953 | 54,476 |
Warrants (strike price $0.01/share, expires 8/15/12) (b)(i)* |
| 23,148 | -- |
Warrants (strike price $0.01/share, expires 12/24/13) (b)(i)* |
| 190,477 | -- |
Warrants (strike price $0.01/share, expires 2/10/14) (b)(i)* |
| 42,295 | -- |
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., Series A Preferred (b)(i)* |
| 8,696 | 1 |
WorldWater Corp.* |
| 70,000 | 19,600 |
|
|
| 5,600,889 |
|
|
|
|
Total Equity Securities (Cost $288,466,008) |
|
| 321,023,600 |
|
|
|
|
|
|
|
|
|
| Adjusted |
|
Limited Partnership Interest - 0.4% |
| Basis | Value |
Angels With Attitude I LLC (a)(b)(i)* |
| $200,000 | $170,168 |
Coastal Venture Partners (b)(i)* |
| 186,494 | 151,453 |
Common Capital (b)(i)* |
| 237,428 | 156,979 |
Environmental Private Equity Fund II (b)(i)* |
| 33,216 | 44,902 |
First Analysis Private Equity Fund IV (b)(i)* |
| 221,984 | 206,868 |
GEEMF Partners (a)(b)(i)* |
| 185,003 | 120,125 |
Global Environment Emerging Markets Fund (b)(i)* |
| 814,997 | -- |
Hambrecht & Quist Environmental Technology Fund (b)(i)* |
| 254,513 | 38,954 |
Infrastructure and Environmental Private Equity Fund III (b)(i)* |
| 833,329 | 453,328 |
Labrador Ventures III (b)(i)* |
| 372,104 | 99,380 |
Labrador Ventures IV (b)(i)* |
| 733,153 | 300,535 |
Liberty Environmental Partners (a)(b)(i)* |
| 256,090 | -- |
Milepost Ventures (a)(b)(i)* |
| 500,000 | 1 |
New Markets Growth Fund LLC (b)(i)* |
| 62,500 | 41,053 |
Poland Partners (b)(i)* |
| 400,000 | 313,928 |
Solstice Capital (b)(i)* |
| 260,526 | 229,626 |
Ukraine Fund (b)(i)* |
| 43,056 | 14,771 |
Utah Ventures (b)(i)* |
| 867,581 | -- |
Venture Strategy Partners (b)(i)* |
| 206,058 | 15,695 |
|
|
|
|
Total Limited Partnership Interest (Cost $6,668,032) |
|
| 2,357,766 |
|
|
|
|
|
|
| |
|
| Principal |
|
Corporate Bonds - 25.9% |
| Amount | |
ACLC Business Loan Receivables Trust: |
|
|
|
7.585%, 1/15/21 (e) |
| 327,240 | 328,793 |
8.745%, 1/15/21 (e) |
| 999,938 | 853,072 |
2.41%, 10/15/21 (e)(r) |
| 1,000,000 | 933,125 |
Agfirst Farm Credit Bank, 7.30%, 10/14/49 (e) |
| 2,000,000 | 2,048,380 |
APL Ltd., 8.00%, 1/15/24 |
| 550,000 | 566,500 |
ASIF Global Financing Corp., 2.12%, 3/14/06 (e)(r) |
| 5,000,000 | 5,000,000 |
Assured Guaranty US Holdings, Inc., 7.00%, 6/1/34 |
| 1,500,000 | 1,624,860 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e) |
| 5,250,000 | 3,382,628 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
| 750,000 | 864,375 |
Avery Dennison Corp., 1.94%, 8/10/07 (r) |
| 3,250,000 | 3,247,647 |
Bank One Issuance Trust, 1.81%, 10/15/08 (r) |
| 3,000,000 | 3,001,966 |
Bayview Research Center Lease Finance Trust, 6.33%, 1/15/37 (e) |
| 2,000,000 | 2,169,400 |
BF Saul (REIT), 7.50%, 3/1/14 (e) |
| 2,000,000 | 2,030,000 |
Camp Pendleton and Quantico Military Housing LLC, |
|
|
|
5.937%, 10/1/43 (e) |
| 3,000,000 | 3,128,070 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
| 5,000,000 | 4,991,800 |
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
| 500,000 | 507,500 |
CIT Group, Inc., 1.931%, 8/31/06 (r) |
| 5,000,000 | 4,998,100 |
City Soft, Inc.: |
|
|
|
Convertible Notes I, 10.00%, 8/31/06 (b)(i) |
| 297,877 | 223,408 |
Convertible Notes II, 10.00%, 8/31/06 (b)(i) |
| 32,500 | 24,375 |
Convertible Notes III, 10.00%, 8/31/06 (b)(i) |
| 25,000 | 25,000 |
CNL Funding, Inc.: |
|
|
|
7.721%, 8/25/09 (e) |
| 2,138,133 | 2,257,868 |
Franchise Loan Trust Certificates, Interest Only, |
|
|
|
0.95%, 8/18/16 (e)(r) |
| 6,865,147 | 294,515 |
Continental Airlines, Inc., 2.72%, 12/6/07 (r) |
| 2,500,000 | 2,514,075 |
Credit Suisse First Boston USA, Inc., 2.19%, 6/19/06 (r) |
| 1,500,000 | 1,499,145 |
Delta Air Lines, Inc., 2.41%, 1/25/08 (r) |
| $2,721,716 | $2,738,836 |
E*Trade Financial Corp., 8.00%, 6/15/11 (e) |
| 1,000,000 | 1,040,000 |
Evangelical Lutheran Good Samaritan Society Fund, |
|
|
|
6.78%, 11/1/05 |
| 3,000,000 | 3,126,228 |
FedEx Corp., 1.88%, 4/1/05 (r) |
| 5,000,000 | 5,004,845 |
FMAC Loan Receivables Trust, 6.66%, 1/15/12 (e) |
| 1,474,193 | 1,274,027 |
Global Signal Trust I, 3.711%, 1/15/34 (e) |
| 1,471,320 | 1,448,129 |
Goldman Sachs Capital I, 6.345%, 2/15/34 |
| 1,000,000 | 1,004,440 |
Goldman Sachs Group, Inc., 2.57%, 9/29/14 (r) |
| 1,500,000 | 1,499,820 |
Great Lakes Power, Inc., 8.30%, 3/1/05 |
| 3,250,000 | 3,318,088 |
Greater Bay Bancorp, 5.25%, 3/31/08 |
| 700,000 | 708,036 |
H2Gen Innovations, Inc. Series B Bridge Notes: |
|
|
|
Tranche I, 10.00%, 10/31/04 (b)(i) |
| 29,483 | 29,483 |
Tranche II, 10.00%, 10/31/04 (b)(i) |
| 29,483 | 29,483 |
Tranche III, 10.00%, 10/31/04 (b)(i) |
| 14,741 | 14,741 |
Tranche IV, 10.00%, 11/1/04 (b)(i) |
| 7,828 | 7,828 |
HRPT Properties Trust, 6.25%, 8/15/16 |
| 2,000,000 | 2,060,340 |
Huntington Bancshares, Inc., 2.02%, 12/1/05 (r) |
| 1,000,000 | 1,000,757 |
International Lease Finance Corp., 2.406%, 1/15/10 (r) |
| 1,500,000 | 1,497,742 |
Jackson National Life Global Funding, 1.70%, 4/20/07 (e)(r) |
| 1,500,000 | 1,498,245 |
JP Morgan Chase Capital XIII, 2.88%, 9/30/34 (r) |
| 1,500,000 | 1,484,876 |
KDM Development Corp., 2.41%, 12/31/07 (b)(i) |
| 746,900 | 688,239 |
Kimco Realty Corp., 1.88%, 8/1/06 (r) |
| 1,500,000 | 1,500,075 |
Leucadia National Corp.: |
|
|
|
7.00%, 8/15/13 |
| 620,000 | 616,900 |
3.75%, 4/15/14 (e) |
| 500,000 | 541,635 |
Lumbermens Mutual Casualty Co.: |
|
|
|
9.15%, 7/1/26 (e)(m) |
| 2,150,000 | 21,500 |
8.30%, 12/1/37 (e)(m) |
| 6,630,000 | 66,300 |
8.45%, 12/1/97 (e)(m) |
| 2,560,000 | 25,600 |
Masco Corp., 2.11%, 3/9/07 (e)(r) |
| 4,000,000 | 4,006,296 |
Meridian Funding Co. LLC: |
|
|
|
2.07%, 4/15/09 (e)(r) |
| 1,198,438 | 1,199,200 |
2.18%, 10/15/14 (e)(r) |
| 3,000,000 | 2,997,228 |
NYMAGIC, Inc., 6.50%, 3/15/14 |
| 750,000 | 728,381 |
Patrons Legacy Partnership: |
|
|
|
5.646%, 7/10/58 (e) |
| 750,000 | 760,245 |
5.775%, 12/23/63 (e) |
| 750,000 | 757,102 |
Plethora Technology, Inc.: |
|
|
|
Note I, 8.00%, 12/18/04 (b)(i) |
| 250,000 | 242,104 |
Note II, 8.00%, 12/18/04 (b)(i) |
| 150,000 | 142,217 |
Post Apartment Homes LP, 6.85%, |
|
|
|
3/16/15 (mandatory put, 3/16/05 @100) |
| 1,000,000 | 1,012,918 |
Preferred Term Securities IX Ltd., 2.35%, 4/3/33 (e)(r) |
| 1,000,000 | 1,018,060 |
PRICOA Global Funding I, 1.90%, 3/2/07 (e)(r) |
| 2,000,000 | 2,000,126 |
Prudential Holdings LLC, 7.245%, 12/18/23 (e) |
| 847,000 | 997,537 |
RBS Capital Trust I, 2.775%, 9/29/49 (r) |
| 7,000,000 | 7,048,020 |
Roslyn Preferred Trust I, 4.76%, 4/1/32 (e)(r) |
| 1,000,000 | 1,005,000 |
SLM Corp., 1.61%, 7/25/35 (e)(r) |
| 5,000,000 | 4,994,250 |
Sociedad Concesionaria Autopista Central SA, 6.223%, |
|
|
|
12/15/26 (e) |
| 3,000,000 | 3,125,370 |
Sovereign Bancorp, Inc., 2.10%, 8/25/06 (r) |
| 2,000,000 | 1,999,260 |
Sovereign Bank Lease Pass-Through Trust, 12.18%, 6/30/20 (e) |
| 2,653,686 | 4,279,466 |
SPARCS Trust 99-1, Step Coupon, 0.00% to 4/15/19, |
|
|
|
7.697% thereafter to 10/15/97 (e) |
| $1,000,000 | $288,600 |
Texas Municipal Gas Corp., 2.60%, 7/1/07 (e) |
| 1,565,000 | 1,561,745 |
Toll Road Investors Partnership II Zero Coupon Bonds: |
|
|
|
2/15/13 (e) |
| 8,000,000 | 5,221,296 |
2/15/14 (e) |
| 5,000,000 | 3,100,950 |
2/15/25 (e) |
| 6,000,000 | 1,751,016 |
United Energy Ltd., 6.00%, 11/1/05 (e) |
| 1,000,000 | 1,030,910 |
Valmont Industries, Inc., 6.875%, 5/1/14 (e) |
| 250,000 | 257,500 |
VW Credit, Inc., 1.88%, 7/21/05 (e)(r) |
| 3,500,000 | 3,499,366 |
William Street Funding Corp., 1.95%, 4/23/06 (e)(r) |
| 4,000,000 | 4,004,444 |
|
|
|
|
Total Corporate Bonds (Cost $143,938,605) |
|
| 137,789,402 |
|
|
|
|
|
|
|
|
U.S. Government Agencies and Instrumentalities - 3.6% |
|
|
|
Federal Home Loan Bank: |
|
|
|
2.25%, 3/28/07 |
| 2,000,000 | 1,998,522 |
2.10%, 4/30/07 |
| 3,000,000 | 2,993,250 |
Federal Home Loan Bank Discount Notes, 10/1/04 |
| 8,600,000 | 8,600,000 |
Freddie Mac, 2.25%, 3/24/08 |
| 2,000,000 | 1,996,680 |
Freddie Mac Multifamily VRDN Certificates, 1.89%, 1/15/47 (r) |
| 2,099,647 | 2,099,647 |
Kingdom of Jordan, Guaranteed by the United States Agency of |
|
|
|
International Development, 8.75%, 9/1/19 |
| 1,140,873 | 1,434,032 |
|
|
|
|
Total U.S. Government Agencies |
|
|
|
and Instrumentalities (Cost $19,025,634) |
|
| 19,122,131 |
|
|
|
|
|
|
|
|
Taxable Municipal Obligations - 8.2% |
|
|
|
Alameda California Corridor Transportation Authority Revenue Bonds, |
|
|
|
Zero Coupon, 10/1/27 |
| 7,000,000 | 1,792,840 |
Ashland Oregon GO Bonds, 6.022%, 7/15/24 |
| 1,000,000 | 1,032,140 |
Denver Colorado City and County COPs, Zero Coupon, |
|
|
|
12/15/16 |
| 2,000,000 | 1,039,220 |
Hardin County Kentucky Industrial Building Authority Revenue |
|
|
|
VRDN, 1.85%, 3/1/27 (r) |
| 7,200,000 | 7,200,000 |
Hillsborough County Florida Port Authority Revenue Bonds, |
|
|
|
Zero Coupon, 12/1/10 |
| 1,235,000 | 946,344 |
Hoboken New Jersey Pension Funding GO Bonds, Zero Coupon, |
|
|
|
4/1/27 |
| 570,000 | 147,128 |
Jefferson County Kentucky Health Facilities Revenue VRDN, |
|
|
|
1.94%, 12/1/25 (r) |
| 2,400,000 | 2,400,000 |
Lakewood Ohio GO Bonds, 5.70%, 7/1/18 |
| 1,030,000 | 1,053,875 |
Los Angeles California Community Redevelopment Agency |
|
|
|
Tax Allocation Bonds, 4.60%, 7/1/10 |
| 840,000 | 849,895 |
Maryland State Economic Development Corp. Revenue Bonds, |
|
|
|
8.625%, 10/1/19 (f) |
| 3,750,000 | 1,638,750 |
New Jersey State Economic Development Authority Revenue Bonds, |
|
|
|
Zero Coupon: |
|
|
|
2/15/11 |
| 2,500,000 | 1,893,200 |
2/15/17 |
| 9,415,000 | 4,909,828 |
2/15/24 |
| 4,000,000 | 1,318,200 |
New Rochelle New York GO Bonds, 5.20%, 3/15/13 |
| $525,000 | $542,766 |
New York Sate Community Statutory Trust II, 5.47%, 12/28/31 (e)(r) |
| 500,000 | 502,500 |
Oregon School Boards Association GO Bonds, Zero Coupon, 6/30/06 |
| 2,000,000 | 1,899,340 |
Pembroke Pines Florida Communications Services Tax Revenue Bonds, |
|
|
|
4.75%, 10/1/19 |
| 1,000,000 | 952,520 |
Philadelphia Pennsylvania IDA Revenue Bonds, Zero Coupon, 4/15/14 |
| 1,250,000 | 777,838 |
Rancho Mirage California Redevelopment Agency Tax |
|
|
|
Allocation Bonds, 5.76%, 4/1/24 |
| 520,000 | 530,530 |
Rome Georgia MFH Revenue VRDN, 2.03%, 7/1/34 (r) |
| 7,650,000 | 7,650,000 |
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|
|
3.65%, 12/1/08 |
| 745,000 | 746,691 |
3.90%, 12/1/09 |
| 1,150,000 | 1,154,290 |
Texas State Public Finance Authority Revenue Bonds, 9.00%, 12/1/06 |
| 2,514,000 | 2,703,204 |
|
|
|
|
Total Taxable Municipal Obligations (Cost $44,900,851) |
|
| 43,681,099 |
|
|
|
|
|
|
|
|
High Social Impact Investments - 0.9% |
|
|
|
Calvert Social Investment Foundation Notes, 2.17%, 7/1/07 (b)(i)(r) |
| 5,016,666 | 4,876,851 |
|
|
|
|
Total High Social Impact Investments (Cost $5,016,666) |
|
| 4,876,851 |
|
|
|
|
|
|
|
|
Certificates of Deposit - 0.1% |
|
|
|
Alternative Federal Credit Union, 1.25%, 11/30/04 (b)(k) |
| 50,000 | 49,949 |
Blackfeet National Bank, 1.50%, 11/13/04 (b)(k) |
| 92,000 | 91,887 |
First American Credit Union, 1.30%, 12/23/04 (b)(k) |
| 92,000 | 91,902 |
Mission Area Federal Credit Union, 1.50%, 11/18/04 (b)(k) |
| 50,000 | 49,939 |
ShoreBank & Trust Co., 1.25%, 12/6/04 (b)(k) |
| 100,000 | 99,897 |
|
|
|
|
Total Certificates of Deposit (Cost $384,000) |
|
| 383,574 |
|
|
|
|
Total Investments (Cost $508,399,796) - 99.3% |
|
| 529,234,423 |
Other assets and liabilities, net - 0.7% |
|
| 3,679,143 |
Net Assets - 100% |
|
| $532,913,566 |
See notes to statements of net assets and notes to financial statements.
Net Assets Consist of: |
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, |
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
Class A: 18,607,617 shares outstanding |
|
| $519,865,760 |
Class B: 957,489 shares outstanding |
|
| 28,385,239 |
Class C: 848,950 shares outstanding |
|
| 24,888,084 |
Class I: 0 shares outstanding |
|
| -- |
Undistributed net investment income |
|
| 159,105 |
Accumulated net realized gain (loss) on investments |
|
| (61,439,555) |
Net unrealized appreciation (depreciation) on investments |
|
| 21,054,933 |
|
|
|
|
Net Assets |
|
| $532,913,566 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $486,255,089) |
|
| $26.13 |
Class B (based on net assets of $24,838,990) |
|
| $25.94 |
Class C (based on net assets of $21,819,487) |
|
| $25.70 |
Class I (based on net assets of $0) |
|
| N/A |
|
|
|
| Underlying | Unrealized |
|
|
|
| # of | Expiration | Face Amount | Appreciation |
|
|
Futures |
| Contracts | Date | at Value | (Depreciation) |
|
|
Purchased: |
|
|
|
|
|
|
|
U.S. Treasury Bonds |
| 90 | 12/04 | $10,099,687 | $184,970 |
|
|
5 Year U.S. Treasury Notes |
| 2 | 12/04 | 221,500 | 367 |
|
|
Total Purchased |
| $185,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
|
|
2 Year U.S. Treasury Notes |
| 100 | 12/04 | 21,123,438 | $31,073 |
|
|
10 Year U.S. Treasury Notes |
| 26 | 12/04 | 2,928,250 | 3,896 |
|
|
Total Sold |
| $34,969 |
|
|
|
|
|
See notes to statements of net assets and notes to financial statements.
Bond Portfolio
Statement of Net Assets
September 30, 2004
|
| Principal | |
Corporate Bonds - 66.0% |
| Amount | Value |
ACLC Business Loan Receivables Trust: |
|
|
|
7.585%, 1/15/21 (e) |
| $327,240 | $328,793 |
8.745%, 1/15/21 (e) |
| 999,938 | 853,072 |
2.41%, 10/15/21 (e)(r) |
| 1,000,000 | 933,125 |
Agfirst Farm Credit Bank, 7.30%, 10/14/49 (e) |
| 2,000,000 | 2,048,380 |
ASIF Global Financing Corp., 2.124%, 3/14/06 (e)(r) |
| 5,000,000 | 5,000,000 |
Assured Guaranty US Holdings, Inc., 7.00%, 6/1/34 |
| 1,500,000 | 1,624,860 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e) |
| 3,500,000 | 2,255,085 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
| 500,000 | 576,250 |
Avery Dennison Corp., 1.94%, 8/10/07 (r) |
| 3,250,000 | 3,247,647 |
Bank One Issuance Trust, 1.81%, 10/15/08 (r) |
| 3,000,000 | 3,001,966 |
Bayview Research Center Lease Finance Trust, 6.33%, 1/15/37 (e) |
| 2,000,000 | 2,169,400 |
BF Saul (REIT), 7.50%, 3/1/14 (e) |
| 2,000,000 | 2,030,000 |
Camp Pendleton and Quantico Military Housing LLC, |
|
|
|
5.937%, 10/1/43 (e) |
| 3,000,000 | 3,128,070 |
Cascade Christian Schools, 7.65%, 12/1/09 |
| 772,000 | 824,457 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
| 5,000,000 | 4,991,800 |
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
| 500,000 | 507,500 |
CIT Group, Inc., 1.931%, 8/31/06 (r) |
| 5,000,000 | 4,998,100 |
CNL Funding, Inc.: |
|
|
|
7.721%, 8/25/09 (e) |
| 1,598,587 | 1,688,108 |
Franchise Loan Trust Certificates, Interest Only |
|
|
|
0.95%, 8/18/16 (e)(r) |
| 6,865,147 | 294,515 |
Continental Airlines, Inc., 2.72%, 12/6/07 (r) |
| 2,000,000 | 2,011,260 |
Credit Suisse First Boston USA, Inc., 2.19%, 6/19/06 (r) |
| 1,500,000 | 1,499,145 |
Delta Air Lines, Inc., 2.41%, 1/25/08 (r) |
| 2,721,716 | 2,738,836 |
E*Trade Financial Corp., 8.00%, 6/15/11 (e) |
| 500,000 | 520,000 |
FedEx Corp., 1.88%, 4/1/05 (r) |
| 5,000,000 | 5,004,845 |
First Republic Bank, 7.75%, 9/15/12 |
| 870,000 | 962,664 |
FMAC Loan Receivables Trust, 6.66%, 1/15/12 (e) |
| 1,474,193 | 1,274,027 |
Global Signal Trust I, 3.711%, 1/15/34 (e) |
| 1,471,320 | 1,448,129 |
Goldman Sachs Group, Inc.: |
|
|
|
2.57%, 9/29/14 (r) |
| 1,500,000 | 1,499,820 |
6.345%, 2/15/34 |
| 1,000,000 | 1,004,440 |
Great Lakes Power, Inc., 8.30%, 3/1/05 |
| 4,425,000 | 4,517,704 |
Greater Bay Bancorp, 5.25%, 3/31/08 |
| 700,000 | 708,036 |
HRPT Properties Trust, 6.25%, 8/15/16 |
| 2,000,000 | 2,060,340 |
Huntington Bancshares, Inc., 2.02%, 12/1/05 (r) |
| 1,000,000 | 1,000,757 |
International Lease Finance Corp., 2.406%, 1/15/10 (r) |
| 2,000,000 | 1,996,990 |
Interpool Capital Trust, 9.875%, 2/15/27 |
| 1,620,000 | 1,417,500 |
Jackson National Life Global Funding, 1.70%, 4/20/07 (e)(r) |
| 1,500,000 | 1,498,245 |
JP Morgan Chase Capital XIII, 2.88%, 9/30/34 (r) |
| 1,500,000 | 1,484,875 |
Kimco Realty Corp., 1.88%, 8/1/06 (r) |
| 1,500,000 | 1,500,075 |
Leucadia National Corp.: |
|
|
|
7.00%, 8/15/13 |
| 820,000 | 815,900 |
3.75%, 4/15/14 (e) |
| 500,000 | 541,635 |
Lumbermens Mutual Casualty Co.: |
|
|
|
9.15%, 7/1/26 (e)(m) |
| $3,400,000 | $34,000 |
8.30%, 12/1/37 (e)(m) |
| 4,000,000 | 40,000 |
Masco Corp., 2.11%, 3/9/07 (e)(r) |
| 5,000,000 | 5,007,870 |
Meridian Funding Co. LLC: |
|
|
|
2.07%, 4/15/09 (e)(r) |
| 1,198,438 | 1,199,200 |
2.18%, 10/15/14 (e)(r) |
| 5,000,000 | 4,995,380 |
NYMAGIC, Inc. 6.50%, 3/15/14 (e) |
| 750,000 | 728,381 |
Patrons Legacy Partnership: |
|
|
|
5.646%, 7/10/58 (e) |
| 750,000 | 760,245 |
5.775%, 12/23/63 (e) |
| 750,000 | 757,103 |
Post Apartment Homes LP, 6.85%, 3/16/15 |
|
|
|
(mandatory put, 3/16/05 @ 100) |
| 1,000,000 | 1,012,918 |
Preferred Term Securities IX Ltd., 2.35%, 4/3/33 (e)(r) |
| 1,000,000 | 1,018,060 |
PRICOA Global Funding I, 1.90%, 3/2/07 (e)(r) |
| 3,000,000 | 3,000,189 |
Prudential Holdings LLC, 7.245%, 12/18/23 (e) |
| 848,000 | 998,715 |
RBS Capital Trust I, 2.775%, 9/29/49 (r) |
| 10,000,000 | 10,068,600 |
Roslyn Preferred Trust I, 4.76%, 4/1/32 (e)(r) |
| 2,000,000 | 2,010,000 |
SLM Corp., 1.61%, 7/25/35 (e)(r) |
| 5,000,000 | 4,994,250 |
Sociedad Concesionaria Autopista Central SA, 6.223%, |
|
|
|
12/15/26 (e) |
| 3,000,000 | 3,125,370 |
Sovereign Bancorp, Inc., 2.10%, 8/25/06 (r) |
| 2,000,000 | 1,999,260 |
Sovereign Bank Lease Pass-Through Trust, 12.18%, 6/30/20 (e) |
| 2,830,466 | 4,564,551 |
SPARCS Trust 99-1, Step Coupon, 0.00% to 4/15/19, |
|
|
|
7.697% thereafter, 10/15/97 (e) |
| 1,000,000 | 288,600 |
Texas Municipal Gas Corp., 2.60%, 7/1/07 (e) |
| 2,085,000 | 2,080,663 |
TIERS Trust, 8.45%, 12/1/17 (n) |
| 439,239 | 4,392 |
Toll Road Investors Partnership II LP, Zero Coupon: |
|
|
|
2/15/06 (e) |
| 2,500,000 | 2,390,045 |
2/15/10 (e) |
| 3,000,000 | 2,333,835 |
2/15/13 (e) |
| 1,000,000 | 652,662 |
2/15/14 (e) |
| 2,000,000 | 1,240,380 |
2/15/25 (e) |
| 14,200,000 | 4,144,071 |
2/15/26 (e) |
| 3,000,000 | 824,121 |
United Dominion Realty Trust, Inc., 7.73%, 4/5/05 |
| 200,000 | 204,714 |
United Energy Ltd., 6.00%, 11/1/05 (e) |
| 1,000,000 | 1,030,910 |
Vale Overseas Ltd., 8.25%, 1/17/34 |
| 300,000 | 291,000 |
Valmont Industries, Inc., 6.875%, 5/1/14 (e) |
| 250,000 | 257,500 |
VW Credit, Inc., 1.88%, 7/21/05 (e)(r) |
| 3,500,000 | 3,499,366 |
William Street Funding Corp., 1.95%, 4/23/06 (e)(r) |
| 4,000,000 | 4,004,444 |
|
|
|
|
Total Corporate Bonds (Cost $148,846,971) |
|
| 145,567,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
Taxable Municipal Obligations - 15.6% |
| Amount | Value |
Alameda California Corridor Transportation Authority Revenue |
|
|
|
Bonds, Zero Coupon: |
|
|
|
10/1/06 |
| $2,290,000 | $2,150,699 |
10/1/27 |
| 7,000,000 | 1,792,840 |
Ashland Oregon GO Bonds, 6.022%, 7/15/24 |
| 1,000,000 | 1,032,140 |
California Statewide Communities Development Authority |
|
|
|
Revenue Bonds, Zero Coupon: |
|
|
|
6/1/10 |
| 1,415,000 | 1,111,058 |
6/1/12 |
| 1,530,000 | 1,064,849 |
6/1/13 |
| 1,585,000 | 1,037,351 |
6/1/14 |
| 1,645,000 | 1,010,836 |
Denver Colorado City and County COPs, Zero Coupon, |
|
|
|
12/15/16 |
| 3,000,000 | 1,558,830 |
Hillsborough County Florida Port Authority Revenue Bonds, |
|
|
|
Zero Coupon, 6/1/11 |
| 1,230,000 | 911,036 |
Hoboken New Jersey Pension Funding GO Bonds, Zero Coupon, |
|
|
|
4/1/27 |
| 570,000 | 147,128 |
Indiana State Bond Bank Revenue Bonds, 6.20%, 1/15/15 |
| 900,000 | 974,943 |
Lakewood Ohio GO Bonds, 5.95%, 7/1/24 |
| 850,000 | 869,474 |
Los Angeles California Community Redevelopment Agency |
|
|
|
Tax Allocation Bonds, 5.27%, 7/1/13 |
| 970,000 | 990,855 |
New Jersey State Economic Development Authority |
|
|
|
Revenue Bonds, Zero Coupon: |
|
|
|
2/15/11 |
| 2,500,000 | 1,893,200 |
2/15/17 |
| 8,750,000 | 4,563,037 |
2/15/24 |
| 5,000,000 | 1,647,750 |
Oklahoma City Oklahoma Airport Trust Revenue Bonds, |
|
|
|
5.05%, 10/1/11 |
| 1,455,000 | 1,504,645 |
Oregon School Boards Association GO Bonds, Zero Coupon: |
|
|
|
6/30/06 |
| 2,000,000 | 1,899,340 |
6/30/23 |
| 500,000 | 167,915 |
Pembroke Pines Florida Communications Services Tax Revenue Bonds, |
|
|
|
4.75%, 10/1/19 |
| 1,000,000 | 952,520 |
Philadelphia Pennsylvania IDA Revenue Bonds, Zero Coupon, |
|
|
|
4/15/14 |
| 1,250,000 | 777,837 |
Rancho Mirage California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
5.76%, 4/1/24 |
| 520,000 | 530,530 |
San Francisco City and County California Redevelopment |
|
|
|
Financing Authority Revenue Bonds, 5.00%, 8/1/07 |
| 980,000 | 1,027,697 |
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|
|
3.20%, 12/1/07 |
| 1,295,000 | 1,293,796 |
4.20%, 12/1/10 |
| 1,235,000 | 1,240,879 |
Texas State Public Finance Authority Revenue Bonds, 9.00%, |
|
|
|
12/1/06 |
| 2,207,000 | 2,373,099 |
|
|
|
|
Total Taxable Municipal Obligations (Cost $33,361,745) |
|
| 34,524,284 |
|
|
|
|
|
|
|
|
U.S. Government Agencies |
| Principal |
|
and Instrumentalities - 18.9% |
| Amount | Value |
Federal Home Loan Bank: |
|
|
|
2.25%, 3/28/07 |
| $3,000,000 | $2,997,783 |
2.10%, 4/30/07 |
| 4,000,000 | 3,991,000 |
Federal Home Loan Bank Discount Notes, 10/1/04 |
| 31,900,000 | 31,900,000 |
Freddie Mac, 2.25%, 3/24/08 |
| 2,000,000 | 1,996,680 |
Kingdom of Jordan, Guaranteed by the United States Agency of |
|
|
|
International Development, 8.75%, 9/1/19 |
| 570,437 | 717,016 |
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
(Cost $41,562,994) |
|
| 41,602,479 |
|
|
|
|
|
|
|
|
High Social Impact Investments - 0.5% |
|
|
|
Calvert Social Investment Foundation Notes, 2.17%, |
|
|
|
7/1/06 (b)(i)(r) |
| 1,050,000 | 1,020,736 |
|
|
|
|
Total High Social Impact Investments (Cost $1,050,000) |
|
| 1,020,736 |
|
|
|
|
|
|
|
|
Equity Securities - 2.2% |
| Shares | |
Conseco, Inc., Preferred |
| 85,000 | 2,092,700 |
Manitoba Telecom Services, Inc., Class B |
| 14,538 | 487,185 |
MFH Financial Trust I, Preferred (e) |
| 20,000 | 1,980,000 |
Northern Borders Partners, LP |
| 3,500 | 160,125 |
Roslyn Real Estate Asset Corp., Preferred |
| 2,000 | 201,000 |
|
|
|
|
Total Equity Securities (Cost $4,817,983) |
|
| 4,921,010 |
|
|
|
|
Total Investments (Cost $229,639,693) - 103.2% |
|
| 227,635,655 |
Other assets and liabilities, net - (3.2%) |
|
| (7,106,714) |
Net Assets - 100% |
|
| $220,528,941 |
|
|
|
|
Net Assets Consist of: |
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, |
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
Class A: 10,560,747 shares outstanding |
|
| $169,803,966 |
Class B: 1,082,237 shares outstanding |
|
| 17,164,525 |
Class C: 808,186 shares outstanding |
|
| 12,848,076 |
Class I: 1,060,851 shares outstanding |
|
| 16,491,170 |
Undistributed net investment income |
|
| 151,246 |
Accumulated net realized gain (loss) on investments |
|
| 5,831,703 |
Net unrealized appreciation (depreciation) on investments |
|
| (1,761,745) |
|
|
|
|
Net Assets |
|
| $220,528,941 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $172,469,681) |
|
| $16.33 |
Class B (based on net assets of $17,604,678) |
|
| $16.27 |
Class C (based on net assets of $13,130,336) |
|
| $16.25 |
Class I (based on net assets of $17,324,246) |
|
| $16.33 |
|
|
|
| Underlying | Unrealized |
|
|
| # of | Expiration | Face Amount | Appreciation |
|
Futures |
| Contracts | Date | at Value | (Depreciation) |
|
Purchased: |
|
|
|
|
|
|
U.S. Treasury Bonds | 102 | 12/04 | $11,446,313 | $216,833 |
| |
Total Purchased |
|
|
|
| $216,833 |
|
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
|
2 Year U.S. Treasury Notes | 100 | 12/04 | $21,123,438 | $30,885 |
| |
5 Year U.S. Treasury Notes |
| 58 | 12/04 | 6,423,500 | (6,463) |
|
10 Year U.S. Treasury Notes |
| 58 | 12/04 | 6,532,250 | 1,049 |
|
Total Sold |
|
|
|
| $25,471 |
|
See notes to statements of net assets and notes to financial statements.
Equity Portfolio
Statement of Net Assets
September 30, 2004
Equity Securities - 97.9% |
| Shares | Value |
Advertising Agencies - 2.0% |
|
|
|
Omnicom Group, Inc. |
| 260,000 | $18,995,600 |
|
|
|
|
Banks - Outside New York City - 2.0% |
|
|
|
Synovus Financial Corp. |
| 750,000 | 19,612,500 |
|
|
|
|
Biotechnology - Research & Production - 3.5% |
|
|
|
Amgen, Inc.* |
| 592,400 | 33,577,232 |
|
|
|
|
Chemicals - 3.3% |
|
|
|
Air Products & Chemicals, Inc. |
| 380,000 | 20,664,400 |
Ecolab, Inc. |
| 351,200 | 11,041,728 |
|
|
| 31,706,128 |
|
|
|
|
Communications Technology - 2.8% |
|
|
|
Cisco Systems, Inc.* |
| 1,500,000 | 27,150,000 |
|
|
|
|
Computer - Services, Software & Systems - 3.0% |
|
|
|
Microsoft Corp. |
| 1,050,000 | 29,032,500 |
|
|
|
|
Computer Technology - 2.6% |
|
|
|
Dell, Inc.* |
| 700,000 | 24,920,000 |
|
|
|
|
Consumer Products - 1.7% |
|
|
|
Alberto-Culver Co. |
| 377,250 | 16,402,830 |
|
|
|
|
Containers & Packaging - Metal & Glass - 0.9% |
|
|
|
Aptargroup, Inc. |
| 200,000 | 8,794,000 |
|
|
|
|
Cosmetics - 0.9% |
|
|
|
Estee Lauder Co.'s, Inc. |
| 200,000 | 8,360,000 |
|
|
|
|
Diversified Financial Services - 2.3% |
|
|
|
American Express Co. |
| 422,000 | 21,716,120 |
|
|
|
|
Diversified Production - 4.1% |
|
|
|
Dover Corp. |
| 411,900 | 16,010,553 |
Pentair, Inc. |
| 680,000 | 23,738,800 |
|
|
| 39,749,353 |
|
|
|
|
Drug & Grocery Store Chains - 2.5% |
|
|
|
Walgreen Co. |
| 680,000 | 24,364,400 |
|
|
|
|
Drugs & Pharmaceuticals - 5.4% |
|
|
|
Johnson & Johnson |
| 201,400 | 11,344,862 |
Merck & Co., Inc. |
| 350,000 | 11,550,000 |
Pfizer, Inc. |
| 950,000 | 29,070,000 |
|
|
| 51,964,862 |
|
|
|
|
Electronic Equipment & Components - 2.9% |
|
|
|
Emerson Electric Co. |
| 300,000 | $18,567,000 |
Molex, Inc. |
| 360,000 | 9,471,600 |
|
|
| 28,038,600 |
|
|
|
|
Electronics - Medical Systems - 4.4% |
|
|
|
Medtronic, Inc. |
| 550,000 | 28,545,000 |
Varian Medical Systems, Inc.* |
| 400,000 | 13,828,000 |
|
|
| 42,373,000 |
|
|
|
|
Electronics - Semiconductors / Components - 2.8% |
|
|
|
Intel Corp. |
| 611,800 | 12,272,708 |
Microchip Technology, Inc. |
| 542,300 | 14,555,332 |
|
|
| 26,828,040 |
|
|
|
|
Financial Data Processing Services - 4.6% |
|
|
|
First Data Corp. |
| 400,000 | 17,400,000 |
Fiserv, Inc.* |
| 440,000 | 15,338,400 |
SunGard Data Systems, Inc.* |
| 483,300 | 11,488,041 |
|
|
| 44,226,441 |
|
|
|
|
Foods - 1.7% |
|
|
|
Performance Food Group Co.* |
| 700,000 | 16,590,000 |
|
|
|
|
Healthcare Facilities - 2.1% |
|
|
|
Health Management Associates, Inc. |
| 1,000,000 | 20,430,000 |
|
|
|
|
Healthcare Services - 1.6% |
|
|
|
Express Scripts, Inc.* |
| 230,000 | 15,028,200 |
|
|
|
|
Insurance - Multi-Line - 6.3% |
|
|
|
Aflac, Inc. |
| 450,000 | 17,644,500 |
American International Group, Inc. |
| 430,000 | 29,235,700 |
Lincoln National Corp. |
| 300,000 | 14,100,000 |
|
|
| 60,980,200 |
|
|
|
|
Investment Management Companies - 2.0% |
|
|
|
SEI Investments Co. |
| 570,000 | 19,197,600 |
|
|
|
|
Machinery - Industrial / Specialty - 3.2% |
|
|
|
Illinois Tool Works, Inc. |
| 325,000 | 30,280,250 |
|
|
|
|
Medical & Dental - Instruments & Supplies - 1.6% |
|
|
|
Dentsply International, Inc. |
| 300,000 | 15,582,000 |
|
|
|
|
Multi-Sector Companies - 1.9% |
|
|
|
3M Co. |
| 226,000 | 18,073,220 |
|
|
|
|
Oil - Crude Producers - 2.6% |
|
|
|
EOG Resources, Inc. |
| 383,600 | 25,260,060 |
|
|
|
|
Restaurants - 1.8% |
|
|
|
Brinker International, Inc.* |
| 550,000 | 17,132,500 |
|
|
|
|
Retail - 13.1% |
|
|
|
Bed Bath & Beyond, Inc.* |
| 640,000 | $23,750,400 |
CDW Corp. |
| 330,000 | 19,149,900 |
Costco Wholesale Corp. |
| 550,000 | 22,858,000 |
Home Depot, Inc. |
| 400,000 | 15,680,000 |
Kohl's Corp.* |
| 510,000 | 24,576,900 |
Staples, Inc. |
| 680,000 | 20,277,600 |
|
|
| 126,292,800 |
|
|
|
|
Securities Brokers & Services - 4.1% |
|
|
|
A.G. Edwards, Inc. |
| 650,000 | 22,503,000 |
Franklin Resources, Inc. |
| 294,900 | 16,443,624 |
|
|
| 38,946,624 |
|
|
|
|
Soaps & Household Chemicals - 2.0% |
|
|
|
Procter & Gamble Co. |
| 350,000 | 18,942,000 |
|
|
|
|
Utilities - Gas Distribution - 2.2% |
|
|
|
Questar Corp. |
| 456,200 | 20,903,084 |
|
|
|
|
Utilities - Telecommunications - 0.0% |
|
|
|
Alltel Corp. |
| 900 | 49,419 |
|
|
|
|
|
|
|
|
Total Equity Securities (Cost $809,858,702) |
|
| 941,499,563 |
|
|
|
|
Venture Capital - 0.2% |
|
|
|
20/20 Gene Systems, Inc., Warrants (strike price $.01/share, |
|
|
|
expires 8/27/13) (b)(i)* |
| 30,000 | 14,700 |
Chesapeake PERL, Inc., Series A-2 Preferred (b)(i)* |
| 150,000 | 300,000 |
Cylex, Inc.: |
|
|
|
Series A Preferred (b)(i)* |
| 101,742 | 93,495 |
Series B Preferred (b)(i)* |
| 787,268 | 211,775 |
Warrants (strike price $.0412/share, expires 11/12/13) (b)(i)* |
| 285,706 | -- |
Dragonfly Media LLC (b)(i)* |
| 295,081 | 516,401 |
H2Gen Innovations, Inc.: |
|
|
|
Series A Preferred (b)(i)* |
| 251,496 | 100,598 |
Series A Preferred, Warrants (strike price $1.00/share, |
|
|
|
expires 1/1/12) (b)(i)* |
| 20,833 | -- |
Series B Preferred, Warrants (expires 10/31/13) (b)(i)* |
| 27,026 | -- |
PowerZyme, Inc., Series D Preferred (b)(i)* |
| 1,250,000 | 500,000 |
|
|
|
|
Total Venture Capital (Cost $2,143,638) |
|
| 1,736,969 |
|
| Principal |
|
|
Corporate Bonds - 0.0% | Amount | Value |
| |
20/20 Gene Systems Inc., 8.00%, 2/28/05 (b)(i) |
| $250,000 | $245,877 |
|
H2Gen Innovations, Inc.: |
|
|
|
|
Series B Bridge Note Tranche I, 10.00%, 10/31/04 (b)(i) |
| 29,483 | 29,483 |
|
Series B Bridge Note Tranche II, 10.00%, 10/31/04 (b)(i) |
| 29,483 | 29,483 |
|
Series B Bridge Note Tranche III, 10.00%, 10/31/04 (b)(i) |
| 14,741 | 14,741 |
|
Series B Bridge Note Tranche IV, 10.00%, 11/1/04 (b)(i) |
| 7,828 | 7,828 |
|
|
|
|
|
|
Total Corporate Bonds (Cost $327,519) |
|
| 327,412 |
|
|
|
|
|
|
High Social Impact Investments - 0.7% |
|
|
|
|
Calvert Social Investment Foundation Notes, |
|
|
|
|
2.17%, 7/1/06 (b)(i)(r) |
| 6,800,000 | 6,610,484 |
|
|
|
|
|
|
Total High Social Impact Investments (Cost $6,800,000) |
|
| 6,610,484 |
|
|
|
|
|
|
U.S. Government Agencies And Instrumentalities - 0.4% |
|
|
|
|
Federal Home Loan Bank Discount Notes, 10/1/04 |
| 3,900,000 | 3,900,000 |
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
|
(Cost $3,900,000) |
|
| 3,900,000 |
|
|
|
|
|
|
Total Investments (Cost $823,029,859) - 99.2% |
|
| 954,074,428 |
|
Other assets and liabilities, net - 0.8% |
|
| 7,499,918 |
|
Net Assets - 100% |
|
| $961,574,346 |
|
|
|
|
|
|
|
|
|
|
|
Net Assets Consist of: |
|
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, |
|
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
|
Class A: 21,986,483 shares outstanding |
|
| $592,267,002 |
|
Class B: 2,912,559 shares outstanding |
|
| 80,931,902 |
|
Class C: 3,129,974 shares outstanding |
|
| 80,481,802 |
|
Class I: 2,884,454 shares outstanding |
|
| 84,836,797 |
|
Accumulated net realized gain (loss) on investments |
|
| (7,987,726) |
|
Net unrealized appreciation (depreciation) on investments |
|
| 131,044,569 |
|
|
|
|
|
|
Net Assets |
|
| $961,574,346 |
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Class A (based on net assets of $695,471,715) |
|
| $31.63 |
|
Class B (based on net assets of $86,241,924) |
|
| $29.61 |
|
Class C (based on net assets of $86,513,874) |
|
| $27.64 |
|
Class I (based on net assets of $93,346,833) |
|
| $32.36 |
|
See notes to statements of net assets and notes to financial statements.
Enhanced Equity Portfolio
Statement of Net Assets
September 30, 2004
Equity Securities - 99.1% |
| Shares | Value |
Air Transportation - 0.2% |
|
|
|
FedEx Corp. |
| 1,300 | $111,397 |
|
|
|
|
Auto Parts - After Market - 0.1% |
|
|
|
Genuine Parts Co. |
| 1,500 | 57,570 |
|
|
|
|
Auto Parts - Original Equipment - 0.5% |
|
|
|
Autoliv, Inc. |
| 9,000 | 363,600 |
|
|
|
|
Auto Trucks & Parts - 0.3% |
|
|
|
Wabash National Corp.* |
| 7,900 | 217,013 |
|
|
|
|
Banks - New York City - 2.3% |
|
|
|
J.P. Morgan Chase & Co. |
| 40,284 | 1,600,483 |
|
|
|
|
Banks - Outside New York City - 7.6% |
|
|
|
Bank of America Corp. |
| 39,270 | 1,701,569 |
KeyCorp Ltd. |
| 8,700 | 274,920 |
US Bancorp |
| 33,400 | 965,260 |
Wachovia Corp. |
| 30,100 | 1,413,195 |
Wells Fargo & Co. |
| 16,000 | 954,080 |
|
|
| 5,309,024 |
|
|
|
|
Biotechnology - Research & Production - 1.1% |
|
|
|
Amgen, Inc.* |
| 10,400 | 589,472 |
Invitrogen Corp.* |
| 3,200 | 175,968 |
|
|
| 765,440 |
|
|
|
|
Building Materials - 0.5% |
|
|
|
Masco Corp. |
| 10,100 | 348,753 |
|
|
|
|
Chemicals - 1.4% | �� |
|
|
Airgas, Inc. |
| 17,600 | 423,632 |
Praxair, Inc. |
| 5,600 | 239,344 |
Sigma-Aldrich Corp. |
| 5,400 | 313,200 |
|
|
| 976,176 |
|
|
|
|
Communications & Media - 1.8% |
|
|
|
Time Warner, Inc.* |
| 79,400 | 1,281,516 |
|
|
|
|
Communications Technology - 4.5% |
|
|
|
Cisco Systems, Inc.* |
| 77,600 | 1,404,560 |
CommScope, Inc.* |
| 46,000 | 993,600 |
Qualcomm, Inc. |
| 15,200 | 593,408 |
Scientific-Atlanta, Inc. |
| 3,900 | 101,088 |
Tellabs, Inc.* |
| 5,500 | 50,545 |
|
|
| 3,143,201 |
|
|
|
|
Computer - Services, Software & Systems - 4.1% |
|
|
|
Adobe Systems, Inc. |
| 3,600 | $178,092 |
Citrix Systems, Inc.* |
| 3,100 | 54,312 |
Compuware Corp.* |
| 16,900 | 87,035 |
Microsoft Corp. |
| 88,400 | 2,444,260 |
Symantec Corp.* |
| 1,100 | 60,368 |
Veritas Software Corp.* |
| 1,800 | 32,040 |
|
|
| 2,856,107 |
|
|
|
|
Computer Technology - 4.7% |
|
|
|
Dell, Inc.* |
| 27,600 | 982,560 |
EMC Corp.* |
| 13,400 | 154,636 |
Hewlett-Packard Co. |
| 10,300 | 193,125 |
International Business Machines Corp. |
| 22,700 | 1,946,298 |
|
|
| 3,276,619 |
|
|
|
|
Consumer Electronics - 1.3% |
|
|
|
Electronic Arts, Inc.* |
| 7,400 | 340,326 |
Harman International Industries, Inc. |
| 600 | 64,650 |
Yahoo!, Inc.* |
| 15,500 | 525,605 |
|
|
| 930,581 |
|
|
|
|
Consumer Products - 3.4% |
|
|
|
Gillette Co. |
| 20,000 | 834,800 |
Kimberly-Clark Corp. |
| 17,300 | 1,117,407 |
Toro Co. |
| 5,700 | 389,310 |
|
|
| 2,341,517 |
|
|
|
|
Containers & Packaging - Paper & Plastic - 0.2% |
|
|
|
Sealed Air Corp.* |
| 3,300 | 152,955 |
|
|
|
|
Cosmetics - 0.1% |
|
|
|
Avon Products, Inc. |
| 1,200 | 52,416 |
|
|
|
|
Diversified Financial Services - 3.0% |
|
|
|
American Express Co. |
| 27,600 | 1,420,296 |
Goldman Sachs Group, Inc. |
| 1,000 | 93,240 |
New Century Financial Corp. |
| 9,300 | 560,046 |
|
|
| 2,073,582 |
|
|
|
|
Diversified Production - 0.6% |
|
|
|
Danaher Corp. |
| 5,700 | 292,296 |
Dover Corp. |
| 2,700 | 104,949 |
|
|
| 397,245 |
|
|
|
|
Drug & Grocery Store Chains - 0.6% |
|
|
|
Supervalu, Inc. |
| 4,800 | 132,240 |
Walgreen Co. |
| 8,300 | 297,389 |
|
|
| 429,629 |
|
|
|
|
Drugs & Pharmaceuticals - 8.0% |
|
|
|
Cardinal Health, Inc. |
| 8,450 | $369,856 |
Johnson & Johnson |
| 35,300 | 1,988,449 |
Merck & Co., Inc. |
| 36,300 | 1,197,900 |
Pfizer, Inc. |
| 66,800 | 2,044,080 |
|
|
| 5,600,285 |
|
|
|
|
Electrical - Household Appliances - 0.1% |
|
|
|
Whirlpool Corp. |
| 1,600 | 96,144 |
|
|
|
|
Electronic Equipment & Components - 0.5% |
|
|
|
Cooper Industries Ltd. |
| 1,500 | 88,500 |
Molex, Inc. |
| 8,700 | 259,434 |
|
|
| 347,934 |
|
|
|
|
Electronics - 0.0% |
|
|
|
Sanmina-SCI Corp.* |
| 4,900 | 34,545 |
|
|
|
|
Electronics - Medical Systems - 0.9% |
|
|
|
Medtronic, Inc. |
| 11,500 | 596,850 |
|
|
|
|
Electronics - Semiconductors / Components - 2.7% |
|
|
|
Altera Corp.* |
| 12,100 | 236,797 |
Atmel Corp.* |
| 18,700 | 67,694 |
Intel Corp. |
| 58,300 | 1,169,498 |
Jabil Circuit, Inc.* |
| 10,800 | 248,400 |
Texas Instruments, Inc. |
| 6,200 | 131,936 |
|
|
| 1,854,325 |
|
|
|
|
Energy Miscellaneous - 1.0% |
|
|
|
Veritas DGC, Inc.* |
| 29,400 | 669,732 |
|
|
|
|
Finance - Small Loan - 0.1% |
|
|
|
SLM Corp. |
| 1,200 | 53,520 |
|
|
|
|
Finance Companies - 0.8% |
|
|
|
Capital One Financial Corp. |
| 8,000 | 591,200 |
|
|
|
|
Financial Data Processing Services - 2.3% |
|
|
|
Automatic Data Processing, Inc. |
| 16,100 | 665,252 |
DST Systems, Inc.* |
| 1,200 | 53,364 |
First Data Corp. |
| 18,100 | 787,350 |
Fiserv, Inc.* |
| 1,000 | 34,860 |
SunGard Data Systems, Inc.* |
| 1,400 | 33,278 |
|
|
| 1,574,104 |
|
|
|
|
Financial Miscellaneous - 3.0% |
|
|
|
AMBAC Financial Group, Inc. |
| 1,700 | 135,915 |
Fannie Mae |
| 19,600 | 1,242,640 |
Freddie Mac |
| 1,300 | 84,812 |
MBNA Corp. |
| 13,400 | 337,680 |
Nationwide Financial Services, Inc. |
| 1,900 | 66,709 |
Providian Financial Corp.* |
| 12,500 | 194,250 |
|
|
| 2,062,006 |
|
|
|
|
Foods - 3.4% |
|
|
|
General Mills, Inc. |
| 5,600 | $251,440 |
H.J. Heinz Co. |
| 13,400 | 482,668 |
Hershey Foods Corp. |
| 10,400 | 485,784 |
Kellogg Co. |
| 16,100 | 686,826 |
Sysco Corp. |
| 15,800 | 472,736 |
|
|
| 2,379,454 |
|
|
|
|
Forest Products - 0.5% |
|
|
|
Weyerhaeuser Co. |
| 5,800 | 385,584 |
|
|
|
|
Healthcare Facilities - 0.4% |
|
|
|
DaVita, Inc.* |
| 8,550 | 266,332 |
|
|
|
|
Healthcare Management Services - 1.0% |
|
|
|
Caremark Rx, Inc.* |
| 7,500 | 240,525 |
Wellpoint Health Networks, Inc.* |
| 4,100 | 430,869 |
|
|
| 671,394 |
|
|
|
|
Healthcare Services - 0.9% |
|
|
|
Anthem, Inc.* |
| 5,300 | 462,425 |
Express Scripts, Inc.* |
| 2,600 | 169,884 |
|
|
| 632,309 |
|
|
|
|
Home Building - 1.4% |
|
|
|
NVR, Inc.* |
| 1,800 | 991,800 |
|
|
|
|
Household Equipment & Products - 0.2% |
|
|
|
Black & Decker Corp. |
| 2,200 | 170,368 |
|
|
|
|
Identify Control & Filter Devices - 0.4% |
|
|
|
Parker Hannifin Corp. |
| 4,200 | 247,212 |
|
|
|
|
Insurance - Life - 1.6% |
|
|
|
Jefferson-Pilot Corp. |
| 1,800 | 89,388 |
Principal Financial Group |
| 17,700 | 636,669 |
Prudential Financial, Inc. |
| 6,700 | 315,168 |
The Phoenix Co.'s, Inc. |
| 4,600 | 47,932 |
|
|
| 1,089,157 |
|
|
|
|
Insurance - Multi-Line - 4.3% |
|
|
|
Aflac, Inc. |
| 12,100 | 474,441 |
American International Group, Inc. |
| 28,840 | 1,960,832 |
Cigna Corp. |
| 300 | 20,889 |
Hartford Financial Services, Inc. |
| 1,400 | 86,702 |
Lincoln National Corp. |
| 4,000 | 188,000 |
Protective Life Corp. |
| 6,400 | 251,584 |
Safeco Corp. |
| 1,100 | 50,215 |
|
|
| 3,032,663 |
|
|
|
|
Insurance - Property & Casualty - 1.1% |
|
|
|
21st Century Insurance Group |
| 4,500 | $60,075 |
Chubb Corp. |
| 6,900 | 484,932 |
Progressive Corp. |
| 2,800 | 237,300 |
|
|
| 782,307 |
|
|
|
|
Machinery - Agricultural - 0.8% |
|
|
|
Deere & Co. |
| 8,900 | 574,495 |
|
|
|
|
Machinery - Construction & Handling - 0.7% |
|
|
|
Terex Corp.* |
| 11,400 | 494,760 |
|
|
|
|
Machinery - Industrial / Specialty - 1.1% |
|
|
|
Illinois Tool Works, Inc. |
| 4,870 | 453,738 |
Nordson Corp. |
| 1,300 | 44,629 |
Tecumseh Products Co. |
| 6,300 | 263,781 |
|
|
| 762,148 |
|
|
|
|
Machinery - Oil Well Equipment & Services - 1.0% |
|
|
|
Smith International, Inc.* |
| 11,800 | 716,614 |
|
|
|
|
Medical & Dental - Instruments & Supplies - 0.9% |
|
|
|
Becton Dickinson & Co. |
| 5,800 | 299,860 |
St. Jude Medical, Inc.* |
| 600 | 45,162 |
Stryker Corp. |
| 5,200 | 250,016 |
|
|
| 595,038 |
|
|
|
|
Medical Services - 0.1% |
|
|
|
Coventry Health Care, Inc.* |
| 1,250 | 66,713 |
|
|
|
|
Office Furniture & Business Equipment - 0.3% |
|
|
|
Pitney Bowes, Inc. |
| 1,000 | 44,100 |
Xerox Corp.* |
| 9,500 | 133,760 |
|
|
| 177,860 |
|
|
|
|
Oil - Crude Producers - 2.7% |
|
|
|
Chesapeake Energy Corp. |
| 3,400 | 53,822 |
Cimarex Energy Co.* |
| 5,200 | 181,688 |
EOG Resources, Inc. |
| 16,700 | 1,099,695 |
Pioneer Natural Resources Co. |
| 1,200 | 41,376 |
XTO Energy, Inc. |
| 14,707 | 477,683 |
|
|
| 1,854,264 |
|
|
|
|
Photography - 0.6% |
|
|
|
Eastman Kodak Co. |
| 12,800 | 412,416 |
|
|
|
|
Pollution Control & Environmental Services - 0.1% |
|
|
|
Headwaters, Inc.* |
| 1,700 | 52,462 |
|
|
|
|
Publishing - Miscellaneous - 1.0% |
|
|
|
McGraw-Hill Co.'s, Inc. |
| 7,100 | 565,799 |
R.R. Donnelley & Sons Co. |
| 4,300 | 134,676 |
|
|
| 700,475 |
|
|
|
|
Publishing - Newspapers - 0.1% |
|
|
|
New York Times Co. |
| 1,700 | $66,470 |
|
|
|
|
Real Estate Investment Trust (REIT) - 0.4% |
|
|
|
Equity Office Properties Trust (REIT) |
| 10,900 | 297,025 |
|
|
|
|
Recreational Vehicles & Boats - 0.6% |
|
|
|
Harley-Davidson, Inc. |
| 7,400 | 439,856 |
|
|
|
|
Restaurants - 0.4% |
|
|
|
CKE Restaurants, Inc.* |
| 27,100 | 299,455 |
|
|
|
|
Retail - 4.5% |
|
|
|
Bed Bath & Beyond, Inc.* |
| 5,800 | 215,238 |
Best Buy Co., Inc. |
| 1,800 | 97,632 |
Costco Wholesale Corp. |
| 8,100 | 336,636 |
Dollar General Corp. |
| 1,800 | 36,270 |
Gap, Inc. |
| 15,625 | 292,188 |
Home Depot, Inc. |
| 26,900 | 1,054,480 |
Lowe's Co.'s, Inc. |
| 9,100 | 494,585 |
ShopKo Stores, Inc.* |
| 3,000 | 52,230 |
Staples, Inc. |
| 16,800 | 500,976 |
Target Corp. |
| 1,900 | 85,975 |
|
|
| 3,166,210 |
|
|
|
|
Savings & Loans - 0.9% |
|
|
|
Washington Mutual, Inc. |
| 15,600 | 609,648 |
|
|
|
|
Securities Brokers & Services - 0.1% |
|
|
|
Charles Schwab Corp. |
| 2,700 | 24,813 |
Franklin Resources, Inc. |
| 800 | 44,608 |
|
|
| 69,421 |
|
|
|
|
Services - Commercial - 0.2% |
|
|
|
Brink's Co. |
| 5,000 | 150,850 |
|
|
|
|
Shoes - 0.3% |
|
|
|
Timberland Co.* |
| 3,400 | 193,120 |
|
|
|
|
Soaps & Household Chemicals - 1.0% |
|
|
|
Colgate-Palmolive Co. |
| 7,600 | 343,368 |
Procter & Gamble Co. |
| 6,200 | 335,544 |
|
|
| 678,912 |
|
|
|
|
Transportation Miscellaneous - 0.3% |
|
|
|
United Parcel Service, Inc., Class B |
| 2,800 | 212,576 |
|
|
|
|
Utilities - Cable, Television, & Radio - 0.5% |
|
|
|
Comcast Corp., Special Class A* |
| 1,200 | 33,888 |
COX Communications, Inc.* |
| 9,600 | 318,048 |
|
|
| 351,936 |
|
|
|
|
Utilities - Electrical - 1.2% |
|
|
|
Cleco Corp. |
| 5,900 | $101,716 |
Hawaiian Electric Industries, Inc. |
| 3,000 | 79,620 |
IDACORP, Inc. |
| 6,600 | 191,796 |
NiSource, Inc. |
| 6,300 | 132,363 |
OGE Energy Corp. |
| 10,900 | 275,007 |
Unisource Energy Corp. |
| 2,900 | 70,615 |
|
|
| 851,117 |
|
|
|
|
Utilities - Gas Distribution - 1.7% |
|
|
|
AGL Resources, Inc. |
| 6,200 | 190,774 |
Kinder Morgan, Inc. |
| 13,600 | 854,352 |
Oneok, Inc. |
| 5,000 | 130,100 |
|
|
| 1,175,226 |
|
|
|
|
Utilities - Gas Pipelines - 0.1% |
|
|
|
Equitable Resources, Inc. |
| 1,600 | 86,896 |
|
|
|
|
Utilities - Telecommunications - 4.2% |
|
|
|
AT&T Wireless Services, Inc.* |
| 11,920 | 176,178 |
Bellsouth Corp. |
| 44,100 | 1,195,992 |
Citizens Communications Co. |
| 9,500 | 127,205 |
Nextel Communications, Inc.* |
| 2,900 | 69,136 |
SBC Communications, Inc. |
| 53,438 | 1,386,716 |
|
|
| 2,955,227 |
|
|
|
|
Wholesalers - 0.4% |
|
|
|
United Stationers, Inc.* |
| 5,900 | 256,060 |
|
|
|
|
|
|
|
|
Total Equity Securities (Cost $62,875,421) |
|
| 69,081,299 |
|
|
|
|
Total Investments (Cost $62,875,421) - 99.1% |
|
| 69,081,299 |
Other assets and liabilities, net - 0.9% |
|
| 599,891 |
Net Assets - 100% |
|
| $69,681,190 |
|
|
|
|
|
|
|
|
Net Assets Consist of: |
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, |
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
Class A: 3,257,518 shares outstanding |
|
| $52,342,721 |
Class B: 529,688 shares outstanding |
|
| 8,121,125 |
Class C: 379,854 shares outstanding |
|
| 5,993,975 |
Class I: 0 shares outstanding |
|
| -- |
Accumulated net realized gain (loss) on investments |
|
| (2,982,509) |
Net unrealized appreciation (depreciation) on investments |
|
| 6,205,878 |
|
|
|
|
Net Assets |
|
| $69,681,190 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $55,252,852) |
|
| $16.96 |
Class B (based on net assets of $8,390,505) |
|
| $15.84 |
Class C (based on net assets of $6,037,833) |
|
| $15.90 |
Class I (based on net assets of $0) |
|
| N/A |
See notes to statements of net assets and notes to financial statements.
Notes to Statements of Net Assets
(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) Interest payments have been deferred until July 1, 2005. At September 30, 2004 accumulated deferred interest totaled $455,583 and includes interest accrued since and due on October 1, 2003.
(h) Represents rate in effect at September 30, 2004, 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, 2004, the prime rate was 4.50%.
(i) Restricted securities represent 2.3% of the net assets for Balanced Portfolio, 0.5% for Bond Portfolio, and 0.9% for Equity Portfolio.
(k) These certificates of deposit are fully insured by agencies of the federal government.
(m) The Illinois Insurance Department prohibited Lumbermens from making interest payments due in June, July and December 2003 as well as January, June and July 2004. This security is no longer accruing interest.
(n) The Illinois Insurance Department prohibited Lumbermens from making interest payments due in June, July and December 2003 as well as January, June and July 2004. This TIERS security is based in interest payments from Lumbermens. This security is no longer accruing interest.
(r) The coupon rate shown on floating or adjustable rate securites represents the rate at period end.
* 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 | FSB: Federal Savings Bank |
|
TOA: Tender Option Agreement | GO: General Obligation |
|
| IDA: Industrial Development Authority |
|
| LLC: Limited Liability Corporation |
|
| LP: Limited Partnership |
|
| MBIA: Municipal Bond Insurance Association |
|
| MFH: Multi-Family Housing |
|
| REIT: Real Estate Investment Trust |
|
| SPI: Securities Purchase, Inc. |
|
| VRDN: Variable Rate Demand Notes |
|
See notes to financial statements.
Balanced Portfolio
Restricted Securities |
| Acquisition Dates | Cost |
|
Agraquest, Inc.: |
|
|
|
|
Series B Preferred |
| 02/26/97 | $200,001 |
|
Series C Preferred |
| 03/11/98 - 06/27/03 | 200,000 |
|
Angels With Attitude |
| 08/28/00 - 04/30/03 | 200,000 |
|
CFBanc Corp. |
| 03/14/03 | 270,000 |
|
Calvert Social Investment Foundation Notes, |
|
|
|
|
1.74%, 7/1/04 |
| 06/29/01-07/01/02 | 5,016,666 |
|
City Soft, Inc., Convertible Notes, 10.00%, 8/31/06 |
| 10/15/02 - 05/04/04 | 355,377 |
|
City Soft, Inc., Warrants: |
|
|
|
|
(strike price $0.21/share, expires 5/15/12) |
| 11/22/02 | -- |
|
(strike price $0.01/share, expires 10/15/12) |
| 11/22/02 | -- |
|
(strike price $0.14/share, expires 10/15/12) |
| 11/22/02 | -- |
|
(strike price $0.28/share, expires 10/15/12) |
| 11/22/02 | -- |
|
(strike price $0.01/share, expires 2/28/13) |
| 04/11/03 | -- |
|
(strike price $0.14/share, expires 2/28/13) |
| 04/11/03 | -- |
|
(strike price $0.28/share, expires 2/28/13) |
| 04/11/03 | -- |
|
(strike price $0.01/share, expires 5/31/13) |
| 07/15/03 | -- |
|
(strike price $0.14/share, expires 5/31/13) |
| 07/15/03 | -- |
|
(strike price $0.28/share, expires 5/31/13) |
| 07/15/03 | -- |
|
(strike price $0.01/share, expires 8/31/13) |
| 09/09/03 | -- |
|
(strike price $0.14/share, expires 8/31/13) |
| 09/09/03 | -- |
|
(strike price $0.28/share, expires 8/31/13) |
| 09/09/03 | -- |
|
(strike price $0.01/share, expires 9/4/13) |
| 09/09/03 | -- |
|
(strike price $0.14/share, expires 9/4/13) |
| 09/09/03 | -- |
|
(strike price $0.21/share, expires 9/4/13) |
| 09/09/03 | -- |
|
(strike price $0.28/share, expires 9/4/13) |
| 09/09/03 | -- |
|
(strike price $0.01/share, expires 11/30/13) |
| 01/16/04 | -- |
|
(strike price $0.14/share, expires 11/30/13) |
| 01/16/04 | -- |
|
(strike price $0.28/share, expires 11/30/13) |
| 01/16/04 | -- |
|
Coastal Venture Partners |
| 06/07/96 - 06/22/00 | 186,494 |
|
Common Capital |
| 02/15/01 - 09/11/03 | 237,428 |
|
Community Bank of the Bay |
| 03/15/96 | 100,000 |
|
Distributed Energy Systems Corp: |
|
|
|
|
Contingent Deferred Distribution: |
|
|
|
|
Cash Tranche 1 |
| 01/06/04 | 22,045 |
|
Cash Tranche 2 |
| 01/06/04 | 11,022 |
|
Stock Tranche 1 |
| 01/06/04 | 812 |
|
Stock Tranche 2 |
| 01/06/04 | 407 |
|
Environmental Private Equity Fund II |
| 12/31/93 - 11/21/97 | 33,216 |
|
First Analysis Private Equity Fund IV |
| 02/25/02 - 06/17/04 | 221,984 |
|
Frans Health Helpings, Series B Convertible Preferred |
| 06/08/99 | 200,000 |
|
GEEMF Partners |
| 02/28/97 | 185,003 |
|
Global Environment Emerging Markets Fund |
| 01/14/94 - 12/01/95 | 814,997 |
|
H2Gen Innovations, Inc.: |
|
|
|
|
Series A, Preferred |
| 12/30/02 | $251,496 |
|
Series B Bridge Notes: |
|
|
|
|
Tranche I, 10.00%, 10/31/04 |
| 11/06/03 | 29,483 |
|
Tranche II, 10.00%, 10/31/04 |
| 02/02/04 | 29,483 |
|
Tranche III, 10.00%, 10/31/04 |
| 06/29/04 | 14,741 |
|
Tranche IV, 10.00%, 11/01/04 |
| 09/16/04 | 7,828 |
|
Series A Preferred Warrants |
|
|
|
|
(strike price $1.00/share, expires 1/1/12) |
| 11/07/02 | -- |
|
Series B Preferred Warrants |
|
|
|
|
(strike price $1.00/share, expires 10/31/13) |
| 11/06/03 - 02/02/04 | -- |
|
Hambrecht & Quist Environmental Technology Fund |
| 08/11/89 - 08/10/94 | 254,513 |
|
Hayes Medical Services |
| 01/31/97 - 07/22/99 | 500,000 |
|
Infrastructure and Environmental Private Equity Fund III |
| 04/16/97 - 02/12/01 | 833,329 |
|
KDM Development Corp., 2.41%, 12/31/07 |
| 11/03/99 | 688,436 |
|
Labrador Ventures III |
| 08/11/98 - 04/02/01 | 372,104 |
|
Labrador Ventures IV |
| 12/14/99 - 04/08/04 | 733,153 |
|
Liberty Environmental Partners |
| 07/28/94 - 09/17/97 | 256,090 |
|
Milepost Ventures |
| 05/27/98 - 04/23/02 | 500,000 |
|
Neighborhood Bancorp |
| 06/25/97 | 100,000 |
|
New Markets Growth Fund LLC |
| 01/08/03 - 03/23/04 | 62,500 |
|
Pharmadigm, Inc. |
| 07/05/96 - 06/18/97 | 500,000 |
|
Plethora Technology, Inc. 8.00%, 12/18/04 |
| 06/23/03 - 02/10/04 | 385,086 |
|
Plethora Technology, Inc. Warrants: |
|
|
|
|
(strike price $0.01/share, expires 6/17/13) |
| 06/23/03 | 47,100 |
|
(strike price $0.01/share, expires 2/9/14) |
| 02/10/04 | 28,260 |
|
Poland Partners |
| 04/13/94 - 07/23/01 | 400,000 |
|
ProFund International S.A.: |
| �� |
|
|
Common |
| 08/29/95 - 05/25/99 | 7,500 |
|
Preferred |
| 01/12/96 - 09/09/03 | 519,469 |
|
Seventh Generation, Inc. |
| 04/12/02 - 05-06/03 | 230,500 |
|
SMARTTHINKING, Inc.: |
|
|
|
|
Series 1-A, Convertible Preferred |
| 04/22/03 - 05/08/03 | 68,314 |
|
Series 1-B, Convertible Preferred |
| 06/10/03 | 250,000 |
|
Warrants (strike price $1.53/share, expires 10/20/05) |
| 06/10/03 | -- |
|
Solstice Capital |
| 06/26/01 - 11/26/03 | 260,526 |
|
Ukraine Fund |
| 09/28/92 - 04/18/01 | 43,056 |
|
Utah Ventures |
| 11/17/97 - 02/05/03 | 867,581 |
|
Venture Strategy Partners |
| 08/21/98 - 02/26/03 | 206,058 |
|
Wellspring International, Inc.: |
|
|
|
|
Series A Preferred |
| 03/23/00 | 200,000 |
|
Series B Preferred |
| 11/28/00 - 06/22/01 | 274,997 |
|
Series C Preferred |
| 10/30/02 - 11/22/02 | 150,000 |
|
Series D Preferred |
| 02/10/04 | 114,286 |
|
Warrants (strike price $0.01/share, expires 8/15/12) |
| 08/16/02 | 11,900 |
|
Warrants (strike price $0.01/share, expires 12/24/13) |
| 12/23/03 | -- |
|
Warrants (strike price $0.01/share, expires 2/10/14) |
| 09/01/04 | -- |
|
Wild Planet Toys, Inc.: |
|
|
|
|
Series B Preferred |
| 07/12/94 | 200,000 |
|
Series E Preferred . |
| 04/09/98 | 180,725 |
|
Wind Harvest Co., Inc. Series A Preferred |
| 05/16/94 | 100,000 |
|
See notes to financial statements.
Equity Portfolio |
|
|
|
Restricted Securities |
| Acquisition Dates | Cost |
20/20 Gene Systems, Inc.: |
|
|
|
8.00%, 2/28/05 |
| 08/29/03 | $245,984 |
Warrants (strike price $.01/share, expires 8/27/13) |
| 08/29/03 | 14,700 |
Calvert Social Investment Foundation Notes, |
|
|
|
2.17%, 7/1/06 |
| 07/01/03-07/01/04 | 6,800,000 |
Chesapeake PERL, Inc., Series A-2 Preferred |
| 07/30/04 | 300,000 |
Cylex, Inc.: |
|
|
|
Series A Preferred |
| 06/30/04 | 335,750 |
Series B Preferred |
| 06/30/04 | 211,775 |
Warrants (strike price $.0412/share, expires 11/12/13) |
| 06/30/04 | 13,525 |
Dragonfly Media LLC |
| 07/18/03-05/13/04 | 516,392 |
H2Gen Innovations, Inc.: |
|
|
|
Series A Preferred |
| 12/30/02 | 251,496 |
Series A Preferred, Warrants |
|
|
|
(strike price $1.00/share, expires 1/1/12) |
| 11/07/02 | -- |
Series B Bridge Notes: |
|
|
|
Tranche I, 10.00%, 10/31/04 |
| 11/06/03 | 29,483 |
Tranche II, 10.00%, 10/31/04 |
| 02/02/04 | 29,483 |
Tranche III, 10.00%, 10/31/04 |
| 06/29/04 | 14,741 |
Tranche IV, 10.00%, 11/01/04 |
| 09/16/04 | 7,828 |
Series B Preferred, Warrants (expires 10/31/13) |
| 11/06/03-06/29/04 | -- |
PowerZyme, Inc., Series D Preferred |
| 07/22/04 | 500,000 |
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
|
Restricted Securities |
| Acquisition Dates | Cost |
Calvert Social Investment Foundation Notes, |
|
|
|
2.17%, 7/1/06 |
| 07/01/03 | $1,050,000 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2004
|
| Money |
|
|
|
|
| Market | Balanced | Bond |
|
Net Investment Income |
| Portfolio | Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
|
Interest income |
| $2,305,700 | $9,112,822 | $8,127,711 |
|
Dividend income (net of foreign taxes withheld |
|
|
|
|
|
of $0, $27,506, and $17,091, respectively) |
| -- | 4,714,648 | 182,055 |
|
Total investment income |
| 2,305,700 | 13,827,470 | 8,309,766 |
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Investment advisory fee |
| 526,566 | 2,242,362 | 726,263 |
|
Transfer agency fees and expenses |
| 461,913 | 1,027,312 | 449,250 |
|
Administrative fees |
| 351,044 | 1,455,686 | 587,617 |
|
Distribution Plan expenses: |
|
|
|
|
|
Class A |
| -- | 1,140,924 | 318,122 |
|
Class B |
| -- | 233,544 | 185,708 |
|
Class C |
| -- | 196,167 | 124,248 |
|
Trustees' fees and expenses |
| 34,848 | 104,817 | 42,286 |
|
Custodian fees |
| 23,924 | 127,370 | 62,488 |
|
Registration fees |
| 25,649 | 41,749 | 47,925 |
|
Reports to shareholders |
| 76,464 | 210,411 | 45,920 |
|
Professional fees |
| 32,412 | 129,783 | 45,128 |
|
Miscellaneous |
| 65,716 | 147,260 | 9,967 |
|
Total expenses |
| 1,598,536 | 7,057,385 | 2,644,922 |
|
Reimbursement from Advisor |
| (57,675) | -- | -- |
|
Fees paid indirectly |
| (5,044) | (29,128) | (19,918) |
|
Net expenses |
| 1,535,817 | 7,028,257 | 2,625,004 |
|
|
|
|
|
|
|
Net Investment Income |
| 769,883 | 6,799,213 | 5,684,762 |
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
|
Investments |
| (497) | 20,216,301 | 5,647,052 |
|
Foreign currency transactions |
| -- | 4,381 | 2,788 |
|
Futures |
| -- | 1,209,727 | 1,341,118 |
|
(497) |
|
| 21,430,409 | 6,990,958 |
|
|
|
|
|
|
|
Change in unrealized appreciation or (depreciation): |
|
|
|
|
|
Securities |
| -- | 14,847,686 | (1,036,970) |
|
Futures |
|
| -- | 358,339 | 295,788 |
|
| -- | 15,206,025 | (741,182) |
|
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
| (497) | 36,636,434 | 6,249,776 |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| $769,386 | $43,435,647 | $11,934,538 |
|
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2004
|
|
| Enhanced |
|
|
| Equity | Equity |
|
Net Investment Income |
| Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
Interest income |
| $337,682 | $768 |
|
Dividend income |
| 7,954,695 | 1,009,106 |
|
Total investment income |
| 8,292,377 | 1,009,874 |
|
|
|
|
|
|
Expenses: |
|
|
|
|
Investment advisory fee |
| 4,459,463 | 378,182 |
|
Transfer agency fees and expenses |
| 1,958,027 | 163,167 |
|
Administrative fees |
| 1,702,504 | 94,546 |
|
Distribution Plan expenses: |
|
|
|
|
Class A |
| 1,623,524 | 123,638 |
|
Class B |
| 830,219 | 80,983 |
|
Class C |
| 781,803 | 54,768 |
|
Trustees' fees and expenses |
| 179,060 | 13,481 |
|
Custodian fees |
| 35,864 | 37,310 |
|
Registration fees |
| 82,261 | 29,874 |
|
Reports to shareholders |
| 201,140 | 19,737 |
|
Professional fees |
| 72,182 | 25,749 |
|
Miscellaneous |
| 48,729 | 3,607 |
|
Total expenses |
| 11,974,776 | 1,025,042 |
|
Fees paid indirectly |
| (25,613) | (7,373) |
|
Net expenses |
| 11,949,163 | 1,017,669 |
|
|
|
|
|
|
Net Investment Income (Loss) |
| (3,656,786) | (7,795) |
|
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
Gain (Loss) on Investments |
|
|
|
|
Net realized gain (loss) |
| (2,700,972) | 925,710 |
|
Change in unrealized appreciation or (depreciation) |
| 57,830,791 | 5,080,825 |
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
Gain (Loss) on Investments |
| 55,129,819 | 6,006,535 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| $51,473,033 | $5,998,740 |
|
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 |
|
| 2004 | 2003 |
|
|
Operations: |
|
|
|
|
|
|
Net investment income |
|
| $769,883 | $1,180,174 |
|
|
Net realized gain (loss) |
|
| (497) | (6,708) |
|
|
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Resulting From Operations |
|
| 769,386 | 1,173,466 |
|
|
|
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
|
|
Net investment income |
|
| (768,201) | (1,183,236) |
|
|
|
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
|
|
Shares sold |
|
| 143,216,772 | 136,993,446 |
|
|
Reinvestment of distributions |
|
| 759,944 | 1,153,796 |
|
|
Shares redeemed |
|
| (155,849,491) | (149,029,866) |
|
|
Total capital share transactions |
|
| (11,872,775) | (10,882,624) |
|
|
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
|
| (11,871,590) | (10,892,394) |
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
Beginning of year |
|
| 181,787,738 | 192,680,132 |
|
|
End of year (including undistributed net investment |
|
|
|
|
|
|
income of $9,685 and $8,003, respectively.) |
|
| $169,916,148 | $181,787,738 |
|
|
|
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
|
|
Shares sold |
|
| 143,216,772 | 136,993,409 |
|
|
Reinvestment of distributions |
|
| 759,944 | 1,153,796 |
|
|
Shares redeemed |
|
| (155,849,491) | (149,029,866) |
|
|
Total capital share activity |
|
| (11,872,775) | (10,882,661) |
|
|
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 |
|
| 2004 | 2003 |
|
|
Operations: |
|
|
|
|
|
|
Net investment income |
|
| $6,799,213 | $8,511,342 |
|
|
Net realized gain (loss) |
|
| 21,430,409 | (23,478,533) |
|
|
Change in net unrealized appreciation or (depreciation) |
|
| 15,206,025 | 89,411,447 |
|
|
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Resulting From Operations |
|
| 43,435,647 | 74,444,256 |
|
|
|
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
|
|
Net investment income: |
|
|
|
|
|
|
Class A Shares |
|
| (6,584,422) | (7,022,041) |
|
|
Class B Shares |
|
| (77,086) | (86,335) |
|
|
Class C Shares |
|
| (74,350) | (76,361) |
|
|
Class I Shares |
|
| -- | (431,789) |
|
|
Total distributions |
|
| (6,735,858) | (7,616,526) |
|
|
|
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
|
|
Shares sold: |
|
|
|
|
|
|
Class A Shares |
|
| 40,968,096 | 32,009,151 |
|
|
Class B Shares |
|
| 6,786,762 | 4,758,501 |
|
|
Class C Shares |
|
| 6,445,894 | 4,103,849 |
|
|
Class I Shares |
|
| -- | 2,623,731 |
|
|
Redemption Fees: |
|
|
|
|
|
|
Class A Shares |
|
| 353 | -- |
|
|
Reinvestment of distributions: |
|
|
|
|
|
|
Class A Shares |
|
| 6,103,039 | 6,515,212 |
|
|
Class B Shares |
|
| 67,681 | 75,480 |
|
|
Class C Shares |
|
| 61,739 | 64,973 |
|
|
Class I Shares |
|
| -- | 431,789 |
|
|
Shares redeemed: |
|
|
|
|
|
|
Class A Shares |
|
| (74,997,518) | (77,038,145) |
|
|
Class B Shares |
|
| (3,166,663) | (2,068,460) |
|
|
Class C Shares |
|
| (2,510,835) | (1,967,269) |
|
|
Class I Shares |
|
| -- | (32,870,878) |
|
|
Total capital share transactions |
|
| (20,241,452) | (63,362,066) |
|
|
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
|
| 16,458,338 | 3,465,664 |
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
Beginning of year |
|
| 516,455,228 | 512,989,564 |
|
|
End of year (including undistributed net investment income |
|
|
|
|
|
|
of $159,105 and $390,443, respectively.) |
|
| $532,913,566 | $516,455,228 |
|
|
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 |
| 2004 | 2003 |
Shares sold: |
|
|
|
Class A Shares |
| 1,577,142 | 1,391,880 |
Class B Shares |
| 263,954 | 207,524 |
Class C Shares |
| 253,014 | 179,578 |
Class I Shares |
| -- | 116,021 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 233,834 | 283,374 |
Class B Shares |
| 2,619 | 3,330 |
Class C Shares |
| 2,410 | 2,898 |
Class I Shares |
| -- | 19,180 |
Shares redeemed: |
|
|
|
Class A Shares |
| (2,920,828) | (3,360,775) |
Class B Shares |
| (122,708) | (91,961) |
Class C Shares |
| (98,897) | (87,964) |
Class I Shares |
| -- | (1,382,999) |
Total capital share activity |
| (809,460) | (2,719,914) |
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 |
| 2004 | 2003 |
|
Operations: |
|
|
|
|
Net investment income |
| $5,684,762 | $6,375,102 |
|
Net realized gain (loss) |
| 6,990,958 | 5,851,106 |
|
Change in net unrealized appreciation or (depreciation) |
| (741,182) | 1,920,845 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| 11,934,538 | 14,147,053 |
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (4,483,716) | (4,852,201) |
|
Class B Shares |
| (358,899) | (463,148) |
|
Class C Shares |
| (240,269) | (267,241) |
|
Class I Shares |
| (594,258) | (626,689) |
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (4,125,295) | (1,655,883) |
|
Class B Shares |
| (508,426) | (202,970) |
|
Class C Shares |
| (320,427) | (112,284) |
|
Class I shares |
| (466,673) | (172,074) |
|
Total distributions |
| (11,097,963) | (8,352,490) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 47,220,150 | 44,778,012 |
|
Class B Shares |
| 3,534,484 | 7,214,442 |
|
Class C Shares |
| 4,536,791 | 4,862,807 |
|
Class I Shares |
| 4,509,002 | 5,734,178 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 7,289,334 | 5,450,296 |
|
Class B Shares |
| 630,680 | 464,031 |
|
Class C Shares |
| 378,719 | 253,355 |
|
Class I Shares |
| 1,060,930 | 798,763 |
|
Redemption Fees |
|
|
|
|
Class A Shares |
| 751 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (31,536,661) | (33,848,656) |
|
Class B Shares |
| (5,442,286) | (3,719,151) |
|
Class C Shares |
| (3,153,347) | (3,399,056) |
|
Class I Shares |
| (5,834,345) | (2,309,181) |
|
Total capital share transactions |
| 23,194,202 | 26,279,840 |
|
|
|
|
|
|
Total Increase (Decrease) In Net Assets |
| 24,030,777 | 32,074,403 |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 196,498,164 | 164,423,761 |
|
End of year (including undistributed net investment income |
|
|
|
|
of $151,246 and $104,942, respectively.) |
| $220,528,941 | $196,498,164 |
|
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 |
| 2004 | 2003 |
|
|
Shares sold: |
|
|
|
|
|
Class A Shares |
| 2,931,298 | 2,826,588 |
|
|
Class B Shares |
| 220,184 | 459,463 |
|
|
Class C Shares |
| 283,056 | 308,631 |
|
|
Class I Shares |
| 282,981 | 363,103 |
|
|
Reinvestment of distributions: |
|
|
|
|
|
Class A Shares |
| 454,994 | 346,579 |
|
|
Class B Shares |
| 39,558 | 29,644 |
|
|
Class C Shares |
| 23,780 | 16,205 |
|
|
Class I Shares |
| 66,200 | 50,703 |
|
|
Shares redeemed: |
|
|
|
|
|
Class A Shares |
| (1,961,652) | (2,140,803) |
|
|
Class B Shares |
| (339,935) | (235,013) |
|
|
Class C Shares |
| (197,167) | (216,161) |
|
|
Class I Shares |
| (364,373) | (145,333) |
|
|
Total capital share activity |
| 1,438,924 | 1,663,606 |
|
|
See notes to financial statements.
Equity Portfolio
Statements of Changes in Net Assets
|
| Year Ended | Year Ended |
|
|
|
| September, | September 30, |
|
|
Increase (Decrease) in Net Assets |
| 2004 | 2003 |
|
|
Operations: |
|
|
|
|
|
Net investment income (loss) |
| ($3,656,786) | ($2,173,114) |
|
|
Net realized gain (loss) |
| (2,700,972) | (2,859,532) |
|
|
Change in net unrealized appreciation or (depreciation) |
| 57,830,791 | 115,478,059 |
|
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| 51,473,033 | 110,445,413 |
|
|
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
|
Net realized gain: |
|
|
|
|
|
Class A Shares |
| -- | (343,501) |
|
|
Class B Shares |
| -- | (48,590) |
|
|
Class C Shares |
| -- | (45,035) |
|
|
Class I Shares |
| -- | (23,882) |
|
|
Total distributions |
| -- | (461,008) |
|
|
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
|
Shares sold: |
|
|
|
|
|
Class A Shares |
| 239,560,019 | 188,875,196 |
|
|
Class B Shares |
| 17,825,052 | 22,444,235 |
|
|
Class C Shares |
| 29,365,137 | 22,060,035 |
|
|
Class I Shares |
| 54,034,900 | 55,976,118 |
|
|
Reinvestment of distributions: |
|
|
|
|
|
Class A Shares |
| -- | 324,506 |
|
|
Class B Shares |
| -- | 40,975 |
|
|
Class C Shares |
| -- | 35,506 |
|
|
Class I Shares |
| -- | 23,882 |
|
|
Redemption Fees: |
|
|
|
|
|
Class A Shares |
| 2,725 | -- |
|
|
Shares redeemed: |
|
|
|
|
|
Class A Shares |
| (112,453,634) | (69,783,998) |
|
|
Class B Shares |
| (6,937,293) | (5,355,711) |
|
|
Class C Shares |
| (8,691,035) | (6,560,269) |
|
|
Class I Shares |
| (28,598,023) | (7,227,990) |
|
|
Total capital share transactions |
| 184,107,848 | 200,852,485 |
|
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 235,580,881 | 310,836,890 |
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
Beginning of year |
| 725,993,465 | 415,156,575 |
|
|
End of year |
| $961,574,346 | $725,993,465 |
|
|
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 |
| 2004 | 2003 |
|
|
Shares sold: |
|
|
|
|
|
Class A Shares |
| 7,512,315 | 6,920,646 |
|
|
Class B Shares |
| 595,439 | 862,336 |
|
|
Class C Shares |
| 1,052,509 | 908,686 |
|
|
Class I Shares |
| 1,651,833 | 2,007,719 |
|
|
Reinvestment of distributions: |
|
|
|
|
|
Class A Shares |
| -- | 12,066 |
|
|
Class B Shares |
| -- | 1,600 |
|
|
Class C Shares |
| -- | 1,486 |
|
|
Class I Shares |
| -- | 875 |
|
|
Shares redeemed: |
|
|
|
|
|
Class A Shares |
| (3,542,827) | (2,594,683) |
|
|
Class B Shares |
| (232,166) | (212,539) |
|
|
Class C Shares |
| (310,547) | (274,896) |
|
|
Class I Shares |
| (869,770) | (272,880) |
|
|
Total capital share activity |
| 5,856,786 | 7,360,416 |
|
|
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 |
|
| 2004 | 2003 |
|
|
Operations: |
|
|
|
|
|
|
Net investment income (loss) |
|
| ($7,795) | ($1,447) |
|
|
Net realized gain (loss) |
|
| 925,710 | (1,330,367) |
|
|
Change in net unrealized appreciation or (depreciation) |
|
| 5,080,825 | 9,792,252 |
|
|
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Resulting From Operations |
|
| 5,998,740 | 8,460,438 |
|
|
|
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
|
|
Shares sold: |
|
|
|
|
|
|
Class A Shares |
|
| 17,615,302 | 10,667,090 |
|
|
Class B Shares |
|
| 1,523,356 | 1,757,576 |
|
|
Class C Shares |
|
| 1,825,966 | 1,401,622 |
|
|
Redemption Fees: |
|
|
|
|
|
|
Class A Shares |
|
| 372 | -- |
|
|
Shares redeemed: |
|
|
|
|
|
|
Class A Shares |
|
| (6,269,268) | (4,998,202) |
|
|
Class B Shares |
|
| (823,045) | (941,303) |
|
|
Class C Shares |
|
| (704,491) | (714,873) |
|
|
Total capital share transactions |
|
| 13,168,192 | 7,171,910 |
|
|
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
|
| 19,166,932 | 15,632,348 |
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
Beginning of year |
|
| 50,514,258 | 34,881,910 |
|
|
End of year |
|
| $69,681,190 | $50,514,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
|
|
Shares sold: |
|
|
|
|
|
|
Class A Shares |
|
| 1,051,116 | 749,975 |
|
|
Class B Shares |
|
| 97,203 | 130,219 |
|
|
Class C Shares |
|
| 115,460 | 102,217 |
|
|
Shares redeemed: |
|
|
|
|
|
|
Class A Shares |
|
| (373,393) | (362,241) |
|
|
Class B Shares |
|
| (52,379) | (71,972) |
|
|
Class C Shares |
|
| (44,502) | (54,615) |
|
|
Total capital share activity |
|
| 793,505 | 493,583 |
|
|
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. 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. Short-term notes are stated at amortized cost, which approximates fair value. 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 i n 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 fair value 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. Investments for which market quotations are not available or deemed inappropriate are fair 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 fair valued in good faith under the direction of the Board of Trustees as of September 30, 2004:
|
| Total Investments | % of Net Assets |
|
Balanced |
| $12,493,061 | 2.3% |
|
Bond |
| 1,020,736 | 0.5% |
|
Equity |
| 8,674,865 | 0.9% |
|
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. Information regarding restricted securities is included at the end of the Statements of Net Assets.
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 ar ising 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.
Redemption Fees: Effective February 1, 2004, the Balanced, Bond, Equity, and Enhanced Equity Portfolios began to charge a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Portfolio (within five days for all Class I shares). The redemption fee is paid to the Portfolio, and is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Portfolio.
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: |
|
|
First $2 Billion |
| .50% |
Next $1 Billion |
| .475% |
Over $3 Billion |
| .45% |
Enhanced Equity: |
|
|
First $500 Million |
| .60% |
Over $500 Million |
| .55% |
Under the terms of the agreement $118,432, $325,651, $111,075, $593,754, and $52,953 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2005 for Money Market, Balanced Class I and Enhanced Equity Class B, C and I. 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 Balanced Class I, .72%; and for Enhanced Equity, 2.50% for Class B and C and .81% for Class I.
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, Equity and Enhanced Equity do not have Distribution Plan expenses. Under the terms of the agreement $131,948, $53,246, $284,129, and $23,222 was payable at year end for Balanced, Bond, Equity , and Enhanced Equity, respectively.
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, 2004: $235,298 for Balanced, $107,305 for Bond, $434,032 for Equity and $38,553 for Enhanced Equity.
Calvert Shareholder Services, Inc. (CSSI), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. Under the terms of the agreement $17,573, $18,678, $6,895, $31,647, and $2,397 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively.
For its services, CSSI received fees of $230,597, $237,718, $82,943, $383,644, and $28,156 for the year ended September 30, 2004 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% |
Under the terms of the agreement $28,048, $120,346, $51,014, $150,137, and $8,584 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively.
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 plus a meeting fee for each Board and Committee meeting attended. Prior to July 1, 2004, the annual retainer was $15,430 and the meeting fee was $600.
Effective July 1, 2004, the annual retainer was increased to $23,000 and the meeting fee was increased to $1,000. 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.
Kirkpatrick & Lockhart, LLP ("K&L") serves as Fund counsel; the Fund's Secretary is an affiliate of this firm. Payments by the Fund to K&L during the reporting period were $122,196.
Note C -- Investment Activity
During the year, purchases and sales of investments, other than short-term securities, were:
|
|
|
|
| Enhanced |
|
| Balanced | Bond | Equity | Equity |
Purchases: |
| $535,876,573 | $463,921,621 | $331,645,427 | $20,732,255 |
Sales: |
| 560,299,711 | 439,720,188 | 144,084,167 | 7,915,370 |
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, 2004, and net realized capital loss carryforwards as of September 30, 2004 with expiration dates:
|
|
| Money |
|
|
|
|
| Market | Balanced | Bond |
Federal income tax cost of investments |
|
| $164,884,748 | $514,746,454 | $229,646,372 |
Unrealized appreciation |
|
| -- | 44,790,453 | 3,918,143 |
Unrealized (depreciation) |
|
| -- | (30,302,484) | (5,928,860) |
Net appreciation/(depreciation) |
|
| -- | 14,487,969 | (2,010,717) |
|
|
|
| Enhanced |
|
|
|
|
| Equity | Equity |
|
|
Federal income tax cost of investments |
|
| $822,970,942 | $63,116,673 |
|
|
Unrealized appreciation |
|
| 150,980,877 | 10,273,710 |
|
|
Unrealized (depreciation) |
|
| (19,877,391) | (4,309,084) |
|
|
Net appreciation/(depreciation) |
|
| 131,103,486 | 5,964,626 |
|
|
Capital Loss Carryforwards
|
| Money |
|
| Enhanced |
Expiration Date |
| Market | Balanced | Equity | Equity |
30-Sep-08 |
| $41,585 | -- | -- | -- |
30-Sep-10 |
| 14,601 | $150,980 | -- | $1,258,141 |
30-Sep-11 |
| 6,847 | 54,896,621 | $1,994,891 | 1,425,140 |
30-Sep-12 |
| -- | -- | 5,044,186 | 57,974 |
|
| $63,033 | $55,047,601 | $7,039,077 | $2,741,255 |
Capital losses may be utilized to offset current and future capital gains until expiration.
The Equity and Money Market Portfolios intend to elect to defer post-October losses of $1,007,566 and $5,055, respectively to fiscal year ending September 30, 2005. Such losses if unutilized will expire in 2013.
The tax character of dividends and distributions paid during the years ended September 30, 2004, and September 30, 2003 were as follows:
Money Market |
|
|
|
Distributions paid from: |
| 2004 | 2003 |
Ordinary income |
| $768,201 | $1,183,236 |
Total |
| $768,201 | $1,183,236 |
|
|
|
|
Balanced |
|
|
|
Distributions paid from: |
| 2004 | 2003 |
Ordinary income |
| $6,735,858 | $7,616,526 |
Total |
| $6,735,858 | $7,616,526 |
|
|
|
|
Bond |
|
|
|
Distributions paid from: |
| 2004 | 2003 |
Ordinary income |
| $10,366,006 | $8,224,569 |
Long-term capital gain |
| 731,957 | 127,921 |
Total |
| $11,097,963 | $8,352,490 |
|
|
|
|
Equity |
|
|
|
Distributions paid from: |
| 2004 | 2003 |
Long-term capital gain |
| -- | $461,008 |
Total |
| -- | $461,008 |
As of September 30, 2004, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
|
|
| Money |
|
|
|
|
|
| Market | Balanced | Bond |
|
Undistributed ordinary income |
|
| $9,685 | $334,116 | $3,225,701 |
|
Undistributed long-term capital gain |
|
| -- | -- | 3,006,231 |
|
Capital loss carryforward |
| (63,033) | (55,047,601) | -- |
| |
Unrealized appreciation (depreciation) |
|
| -- | 14,487,969 | (2,010,717) |
|
Total |
|
| ($53,348) | ($40,225,516) | $4,221,215 |
|
|
|
| Enhanced |
|
|
| Equity | Equity |
|
Capital loss carryforward |
| ($7,039,077) | ($2,741,255) |
|
Unrealized appreciation (depreciation) |
| 131,103,486 | 5,964,626 |
|
Total |
| $124,064,409 | $3,223,371 |
|
Reclassifications, as shown in the table below, have been made to the Fund's 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 to the treatment of partnerships, real estate investment trusts, asset-backed securities, foreign currency gains and losses, and tax-exempt securities for federal tax purposes for the Balanced Portfolio, the treatment of partnerships, asset-backed securities and foreign currency gains and losses for federal tax purposes for the Bond Portfolio, the disallowance of net operating losses and the treatment of real estate investment trusts for federal tax purposes for Enhanced Equity Portfolio, and the disallowance of net operating losses and the treatment of partnerships for federal tax purposes for Equity Portfolio.
|
|
| Money |
|
|
|
|
|
| Market | Balanced | Bond |
|
Undistributed net investment income |
|
| -- | ($294,693) | $38,684 |
|
Accumulated net realized gain (loss) |
|
| $1,279 | 136,077 | (38,684) |
|
Paid in capital |
|
| (1,279) | 158,616 | -- |
|
|
|
|
| Enhanced |
|
|
|
| Equity | Equity |
|
Undistributed net investment income |
|
| $3,656,786 | $7,795 |
|
Accumulated net realized gain (loss) |
|
| 87,774 | 8,888 |
|
Paid in capital |
|
| (3,744,560) | (16,683) |
|
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the statement of net assets are primarily due to wash sales for Balanced, Bond, Enhanced Equity and Equity Portfolios, the tax treatment of passive foreign investment companies for Balanced Portfolio, the tax treatment of Section 1256 contracts for Balanced and Bond Portfolios, and post-October losses for Equity and Money Market 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 gains 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, 2004, purchases and sales transactions and net realized gains on sales of securities were:
|
| Money |
|
|
|
|
| Market | Balanced | Bond |
|
Purchases |
| $185,804,500 | $31,750,000 | -- |
|
Sales |
| 153,714,983 | 25,760,879 | $15,973,059 |
|
Net realized gains |
| -- | 9,428 | 16,107 |
|
|
|
|
|
|
|
|
|
| Enhanced |
|
|
|
| Equity | Equity |
|
|
Purchases |
| $23,975,553 | -- |
|
|
Sales |
| 36,905,767 | -- |
|
|
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
September 30, 2004. For the year ended September 30, 2004, 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 | $12,192 | 1.65% | $1,306,275 | July 2004 |
Bond | 71,244 | 1.65% | 3,056,183 | March 2004 |
Equity | 122,224 | 1.79% | 9,432,970 | August 2004 |
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 | $170,168 |
GEEMF Partners LP |
| 185,003 | 120,125 |
Liberty Environmental Partners LP |
| 256,090 | -- |
Milepost Ventures LP |
| 500,000 | 1 |
TOTALS |
| $1,141,093 | $290,294 |
Note F -- Other
The Balanced Portfolio filed a complaint in the United States District Court on December 19, 2002, against a former Subadvisor seeking damages in connection with a security purchase. On December 16, 2003, the Court awarded Summary Judgment in the Plaintiff's favor, and ordered the Defendant named in the complaint to pay the Plaintiff, the Balanced Portfolio, compensatory damages in the amount of $1.2 million plus interest. The Defendant has since filed a motion to appeal. The Portfolio will record the Judgment upon final resolution of appeals.
In connection with certain venture capital investments, the Balanced Portfolio is committed to future capital calls, which will increase the Balanced Portfolio's investment in these securities. The aggregate amount of the future capital commitments totals $1,612,500 at September 30, 2004.
TAX INFORMATION (UNAUDITED)
Bond Portfolio designates $731,957 as 15%-rate capital gain dividends paid during fiscal year ended September 30, 2004.
For corporate shareholders of CSIF Balanced Portfolio, a total of 67.61% of the ordinary distributions paid during fiscal year ending September 30, 2004 qualify for the corporate dividends received deduction. Additional information will be provided to shareholders in January 2005 for use in preparing 2004 income tax returns.
Money Market Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
|
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $1.00 | $1.00 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
|
| .004 | .006 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
|
| (.004) | (.006) |
|
|
|
|
|
|
|
|
|
Net asset value, ending |
|
| $1.00 | $1.00 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| .44% | .63% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
|
| .44% | .63% |
|
|
Total expenses |
|
| .91% | .90% |
|
|
Expenses before offsets |
|
| .88% | .88% |
|
|
Net expenses |
|
| .87% | .87% |
|
|
Net assets, ending (in thousands) |
|
| $169,916 | $181,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
|
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $1.00 | $1.00 | $1.00 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
| .015 | .045 | .054 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| (.015) | (.045) | (.054) |
|
|
Net asset value, ending |
| $1.00 | $1.00 | $1.00 |
|
|
|
|
|
|
|
|
|
Total return* |
| 1.49% | 4.63% | 5.53% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
| 1.48% | 4.52% | 5.39% |
|
|
Total expenses |
| .89% | .84% | .84% |
|
|
Expenses before offsets |
| .88% | .84% | .84% |
|
|
Net expenses |
| .87% | .83% | .82% |
|
|
Net assets, ending (in thousands) |
| $192,680 | $206,061 | $206,753 |
|
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class A Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $24.35 | $21.44 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
|
| .36 | .38 |
|
|
Net realized and unrealized gain (loss) |
|
| 1.77 | 2.87 |
|
|
Total from investment operations |
|
| 2.13 | 3.25 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
|
| (.35) | (.34) |
|
|
Total distributions |
|
| (.35) | (.34) |
|
|
Total increase (decrease) in net asset value |
|
| 1.78 | 2.91 |
|
|
Net asset value, ending |
|
| $26.13 | $24.35 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 8.77% | 15.28% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
|
| 1.37% | 1.67% |
|
|
Total expenses |
|
| 1.25% | 1.25% |
|
|
Expenses before offsets |
|
| 1.25% | 1.25% |
|
|
Net expenses |
|
| 1.25% | 1.24% |
|
|
Portfolio turnover |
|
| 106% | 175% |
|
|
Net assets, ending (in thousands) |
|
| $486,255 | $480,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class A Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $24.48 | $33.23 | $32.14 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
| .56 | .84 | .86 |
|
|
Net realized and unrealized gain |
| (3.04) | (6.37) | 3.08 |
|
|
Total from investment operations |
| (2.48) | (5.53) | 3.94 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| (.56) | (.82) | (.80) |
|
|
Net realized gains |
|
| (2.40) | (2.05) |
|
|
Total distributions |
| (.56) | (3.22) | (2.85) |
|
|
Total increase (decrease) in net asset value |
| (3.04) | (8.75) | 1.09 |
|
|
Net asset value, ending |
| $21.44 | $24.48 | $33.23 |
|
|
|
|
|
|
|
|
|
Total return* |
| (10.38%) | (17.74%) | 12.75% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
| 2.23% | 2.98% | 2.58% |
|
|
Total expenses |
| 1.25% | 1.20% | 1.19% |
|
|
Expenses before offsets |
| 1.25% | 1.20% | 1.19% |
|
|
Net expenses |
| 1.25% | 1.19% | 1.17% |
|
|
Portfolio turnover |
| 192% | 214% | 184% |
|
|
Net assets, ending (in thousands) |
| $458,947 | $532,008 | $705,355 |
|
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class B Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $24.18 | $21.31 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
|
| .11 | .13 |
|
|
Net realized and unrealized gain (loss) |
|
| 1.74 | 2.86 |
|
|
Total from investment operations |
|
| 1.85 | 2.99 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
|
| (.09) | (.12) |
|
|
Total distributions |
|
| (.09) | (.12) |
|
|
Total increase (decrease) in net asset value |
|
| 1.76 | 2.87 |
|
|
Net asset value, ending |
|
| $25.94 | $24.18 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 7.63% | 14.06% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
|
| .34% | .55% |
|
|
Total expenses |
|
| 2.27% | 2.34% |
|
|
Expenses before offsets |
|
| 2.27% | 2.34% |
|
|
Net expenses |
|
| 2.26% | 2.34% |
|
|
Portfolio turnover |
|
| 106% | 175% |
|
|
Net assets, ending (in thousands) |
|
| $24,839 | $19,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class B Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $24.33 | $33.02 | $31.97 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
| .29 | .56 | .53 |
|
|
Net realized and unrealized gain (loss) |
| (3.01) | (6.32) | 3.06 |
|
|
Total from investment operations |
| (2.72) | (5.76) | 3.59 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| (.30) | (.53) | (.49) |
|
|
Net realized gains |
|
| (2.40) | (2.05) |
|
|
Total distributions |
| (.30) | (2.93) | (2.54) |
|
|
Total increase (decrease) in net asset value |
| (3.02) | (8.69) | 1.05 |
|
|
Net asset value, ending |
| $21.31 | $24.33 | $33.02 |
|
|
|
|
|
|
|
|
|
Total return* |
| (11.31%) | (18.54%) | 11.63% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
| 1.17% | 1.95% | 1.60% |
|
|
Total expenses |
| 2.31% | 2.22% | 2.20% |
|
|
Expenses before offsets |
| 2.31% | 2.22% | 2.20% |
|
|
Net expenses |
| 2.31% | 2.20% | 2.18% |
|
|
Portfolio turnover |
| 192% | 214% | 184% |
|
|
Net assets, ending (in thousands) |
| $14,805 | $14,361 | $13,580 |
|
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class C Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $23.95 | $21.12 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
|
| .12 | .13 |
|
|
Net realized and unrealized gain (loss) |
|
| 1.73 | 2.82 |
|
|
Total from investment operations |
|
| 1.85 | 2.95 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
|
| (.10) | (.12) |
|
|
Total distributions |
|
| (.10) | (.12) |
|
|
Total increase (decrease) in net asset value |
|
| 1.75 | 2.83 |
|
|
Net asset value, ending |
|
| $25.70 | $23.95 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 7.71% | 14.02% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
|
| .39% | .59% |
|
|
Total expenses |
|
| 2.22% | 2.31% |
|
|
Expenses before offsets |
|
| 2.22% | 2.31% |
|
|
Net expenses |
|
| 2.22% | 2.30% |
|
|
Portfolio turnover |
|
| 106% | 175% |
|
|
Net assets, ending (in thousands) |
|
| $21,819 | $16,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class C Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $24.10 | $32.74 | $31.70 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
| .29 | .56 | .51 |
|
|
Net realized and unrealized gain |
| (2.96) | (6.29) | 3.05 |
|
|
Total from investment operations |
| (2.67) | (5.73) | 3.56 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| (.31) | (.51) | (.47) |
|
|
Net realized gains |
|
| (2.40) | (2.05) |
|
|
Total distributions |
| (.31) | (2.91) | (2.52) |
|
|
Total increase (decrease) in net asset value |
| (2.98) | (8.64) | 1.04 |
|
|
Net asset value, ending |
| $21.12 | $24.10 | $32.74 |
|
|
|
|
|
|
|
|
|
Total return* |
| (11.25%) | (18.60%) | 11.64% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
| 1.20% | 1.98% | 1.58% |
|
|
Total expenses |
| 2.29% | 2.19% | 2.19% |
|
|
Expenses before offsets |
| 2.29% | 2.19% | 2.19% |
|
|
Net expenses |
| 2.28% | 2.18% | 2.17% |
|
|
Portfolio turnover |
| 192% | 214% | 184% |
|
|
Net assets, ending (in thousands) |
| $12,626 | $12,889 | $15,263 |
|
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| 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 |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $16.29 | $15.80 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
|
| .45 | .58 |
|
|
Net realized and unrealized gain (loss) |
|
| .48 | .67 |
|
|
Total from investment operations |
|
| .93 | 1.25 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
|
| (.45) | (.56) |
|
|
Net realized gains |
|
| (.44) | (.20) |
|
|
Total distributions |
|
| (.89) | (.76) |
|
|
Total increase (decrease) in net asset value |
|
| 0.04 | .49 |
|
|
Net asset value, ending |
|
| $16.33 | $16.29 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 5.97% | 8.20% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
|
| 2.82% | 3.62% |
|
|
Total expenses |
|
| 1.19% | 1.18% |
|
|
Expenses before offsets |
|
| 1.19% | 1.18% |
|
|
Net expenses |
|
| 1.18% | 1.17% |
|
|
Portfolio turnover |
|
| 244% | 395% |
|
|
Net assets, ending (in thousands) |
|
| $172,470 | $148,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class A Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $16.38 | $15.38 | $15.59 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
| .80 | 1.01 | 1.06 |
|
|
Net realized and unrealized gain (loss) |
| (.01) | .99 | (.20) |
|
|
Total from investment operations |
| .79 | 2.00 | .86 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| (.82) | (1.00) | (1.06) |
|
|
Net realized gains |
| (.55) | -- | (.01) |
|
|
Total distributions |
| (1.37) | (1.00) | (1.07) |
|
|
Total increase (decrease) in net asset value |
| (.58) | 1.00 | (.21) |
|
|
Net asset value, ending |
| $15.80 | $16.38 | $15.38 |
|
|
|
|
|
|
|
|
|
Total return* |
| 5.18% | 13.46% | 5.76% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
| 5.07% | 6.32% | 6.90% |
|
|
Total expenses |
| 1.19% | 1.19% | 1.20% |
|
|
Expenses before offsets |
| 1.19% | 1.19% | 1.20% |
|
|
Net expenses |
| 1.18% | 1.17% | 1.16% |
|
|
Portfolio turnover |
| 607% | 955% | 1,011% |
|
|
Net assets, ending (in thousands) |
| $128,077 | $96,736 | $71,525 |
|
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class B Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $16.22 | $15.75 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
|
| .31 | .43 |
|
|
Net realized and unrealized gain (loss) |
|
| .49 | .66 |
|
|
Total from investment operations |
|
| .80 | 1.09 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
|
| (.31) | (.42) |
|
|
Net realized gains |
|
| (.44) | (.20) |
|
|
Total distributions |
|
| (.75) | (.62) |
|
|
Total increase (decrease) in net asset value |
|
| .05 | .47 |
|
|
Net asset value, ending |
|
| $16.27 | $16.22 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 5.11% | 7.13% |
| |
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
|
| 1.93% | 2.70% |
|
|
Total expenses |
|
| 2.09% | 2.08% |
|
|
Expenses before offsets |
|
| 2.09% | 2.08% |
|
|
Net expenses |
|
| 2.08% | 2.07% |
|
|
Portfolio turnover |
|
| 244% | 395% |
|
|
Net assets, ending (in thousands) |
|
| $17,605 | $18,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class B Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $16.32 | $15.33 | $15.53 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
| .65 | .85 | .90 |
|
|
Net realized and unrealized gain (loss) |
| -- | .98 | (.20) |
|
|
Total from investment operations |
| .65 | 1.83 | .70 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| (.67) | (0.84) | (.89) |
|
|
Net realized gains |
| (.55) | -- | (.01) |
|
|
Total distributions |
| (1.22) | (0.84) | (.90) |
|
|
Total increase (decrease) in net asset value |
| (.57) | 0.99 | (.20) |
|
|
Net asset value, ending |
| $15.75 | $16.32 | $15.33 |
|
|
|
|
|
|
|
|
|
Total return* |
| 4.26% | 12.31% | 4.61% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
| 4.10% | 5.21% | 5.89% |
|
|
Total expenses |
| 2.13% | 2.19% | 2.26% |
|
|
Expenses before offsets |
| 2.13% | 2.19% | 2.26% |
|
|
Net expenses |
| 2.12% | 2.17% | 2.20% |
|
|
Portfolio turnover |
| 607% | 955% | 1,011% |
|
|
Net assets, ending (in thousands) |
| $14,305 | $8,046 | $3,220 |
|
|
See notes to financial statements.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class C Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $16.21 | $15.73 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
|
| .31 | .43 |
|
|
Net realized and unrealized gain (loss) |
|
| .48 | .67 |
|
|
Total from investment operations |
|
| .79 | 1.10 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
|
| (.31) | (.42) |
|
|
Net realized gains |
|
| (.44) | (.20) |
|
|
Total distributions |
|
| (.75) | (.62) |
|
|
Total increase (decrease) in net asset value |
|
| .04 | .48 |
|
|
Net asset value, ending |
|
| $16.25 | $16.21 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 5.06% | 7.21% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
|
| 1.94% | 2.71% |
|
|
Total expenses |
|
| 2.07% | 2.07% |
|
|
Expenses before offsets |
|
| 2.07% | 2.07% |
|
|
Net expenses |
|
| 2.06% | 2.06% |
|
|
Portfolio turnover |
|
| 244% | 395% |
|
|
Net assets, ending (in thousands) |
|
| $13,130 | $11,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class C Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $16.30 | $15.31 | $15.51 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income |
| .63 | .84 | .86 |
|
|
Net realized and unrealized gain (loss) |
| .01 | .96 | (.18) |
|
|
Total from investment operations |
| .64 | 1.80 | .68 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| (.66) | (.81) | (.87) |
|
|
Net realized gains |
| (.55) | -- | (.01) |
|
|
Total distributions |
| (1.21) | (.81) | (.88) |
|
|
Total increase (decrease) in net asset value |
| (.57) | .99 | (.20) |
|
|
Net asset value, ending |
| $15.73 | $16.30 | $15.31 |
|
|
|
|
|
|
|
|
|
Total return* |
| 4.24% | 12.06% | 4.48% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income |
| 4.07% | 5.10% | 5.64% |
|
|
Total expenses |
| 2.13% | 2.38% | 2.45% |
|
|
Expenses before offsets |
| 2.13% | 2.38% | 2.45% |
|
|
Net expenses |
| 2.12% | 2.36% | 2.40% |
|
|
Portfolio turnover |
| 607% | 955% | 1,011% |
|
|
Net assets, ending (in thousands) |
| $9,278 | $3,524 | $1,810 |
|
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2004 | 2003 |
|
Net asset value, beginning |
|
| $16.29 | $15.81 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .55 | .67 |
|
Net realized and unrealized gain (loss) |
|
| .48 | .66 |
|
Total from investment operations |
|
| 1.03 | 1.33 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.55) | (.65) |
|
Net realized gains |
|
| (.44) | (.20) |
|
Total distributions |
|
| (.99) | (.85) |
|
Total increase (decrease) in net asset value |
|
| .04 | .48 |
|
Net asset value, ending |
|
| $16.33 | $16.29 |
|
|
|
|
|
|
|
Total return* |
|
| 6.62% | 8.74% |
|
Ratios to average net assets: |
|
|
|
|
|
Net investment income |
|
| 3.41% | 4.14% |
|
Total expenses |
|
| .61% | .61% |
|
Expenses before offsets |
|
| .61% | .61% |
|
Net expenses |
|
| .60% | .60% |
|
Portfolio turnover |
|
| 244% | 395% |
|
Net assets, ending (in thousands) |
|
| $17,324 | $17,527 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Periods Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2002 | 2001 | 2000### |
|
Net asset value, beginning |
| $16.39 | $15.39 | $15.56 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .87 | 1.11 | .60 |
|
Net realized and unrealized gain (loss) |
| .02 | .99 | (.18) |
|
Total from investment operations |
| .89 | 2.10 | .42 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.91) | (1.10) | (.59) |
|
Net realized gains |
| (.56) | -- | -- |
|
Total distributions |
| (1.47) | (1.10) | (.59) |
|
Total increase (decrease) in net asset value |
| (.58) | 1.00 | (.17) |
|
Net asset value, ending |
| $15.81 | $16.39 | $15.39 |
|
|
|
|
|
|
|
Total return* |
| 5.83% | 14.12% | 2.83% |
|
Ratios to average net assets: |
|
|
|
|
|
Net investment income |
| 5.44% | 6.82% | 7.85% (a) |
|
Total expenses |
| .69% | 1.28% | 1.19% (a) |
|
Expenses before offsets |
| .61% | .62% | .65% (a) |
|
Net expenses |
| .60% | .60% | .60% (a) |
|
Portfolio turnover |
| 607% | 955% | 1,011% |
|
Net assets, ending (in thousands) |
| $12,764 | $1,473 | $1,028 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class A Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $29.43 | $23.84 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.09) | (.06) |
|
|
Net realized and unrealized gain (loss) |
|
| 2.29 | 5.67 |
|
|
Total from investment operations |
|
| 2.20 | 5.61 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gains |
|
| -- | (.02) |
|
|
Total increase (decrease) in net asset value |
|
| 2.20 | 5.59 |
|
|
Net asset value, ending |
|
| $31.63 | $29.43 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 7.48% | 23.56% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.32%) | (.26%) |
|
|
Total expenses |
|
| 1.25% | 1.29% |
|
|
Expenses before offsets |
|
| 1.25% | 1.29% |
|
|
Net expenses |
|
| 1.24% | 1.29% |
|
|
Portfolio turnover |
|
| 17% | 29% |
|
|
Net assets, ending (in thousands) |
|
| $695,472 | $530,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class A Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $27.72 | $33.05 | $27.06 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
| (.04) | (.02) | (.06) |
|
|
Net realized and unrealized gain (loss) |
| (2.96) | (3.68) | 7.88 |
|
|
Total from investment operations |
| (3.00) | (3.70) | 7.82 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gains |
| (.88) | (1.63) | (1.83) |
|
|
Total increase (decrease) in net asset value |
| (3.88) | (5.33) | 5.99 |
|
|
Net asset value, ending |
| $23.84 | $27.72 | $33.05 |
|
|
|
|
|
|
|
|
|
Total return* |
| (11.58%) | (11.82%) | 29.91% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
| (.12%) | (.07%) | (.20%) |
|
|
Total expenses |
| 1.29% | 1.26% | 1.26% |
|
|
Expenses before offsets |
| 1.29% | 1.26% | 1.26% |
|
|
Net expenses |
| 1.29% | 1.24% | 1.13% |
|
|
Portfolio turnover |
| 28% | 43% | 49% |
|
|
Net assets, ending (in thousands) |
| $326,112 | $252,068 | $240,844 |
|
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class B Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $27.78 | $22.70 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.33) | (.25) |
|
|
Net realized and unrealized gain (loss) |
|
| 2.16 | 5.35 |
|
|
Total from investment operations |
|
| 1.83 | 5.10 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gains |
|
| -- | (.02) |
|
|
Total increase (decrease) in net asset value |
|
| 1.83 | 5.08 |
|
|
Net asset value, ending |
|
| $29.61 | $27.78 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 6.59% | 22.50% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
|
| (1.16%) | (1.12%) |
|
|
Total expenses |
|
| 2.09% | 2.15% |
|
|
Expenses before offsets |
|
| 2.09% | 2.15% |
|
|
Net expenses |
|
| 2.08% | 2.15% |
|
|
Portfolio turnover |
|
| 17% | 29% |
|
|
Net assets, ending (in thousands) |
|
| $86,242 | $70,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class B Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $26.67 | $32.17 | $26.60 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
| (.24) | (.24) | (.23) |
|
|
Net realized and unrealized gain (loss) |
| (2.85) | (3.63) | 7.63 |
|
|
Total from investment operations |
| (3.09) | (3.87) | 7.40 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gains |
| (.88) | (1.63) | (1.83) |
|
|
Total increase (decrease) in net asset value |
| (3.97) | (5.50) | 5.57 |
|
|
Net asset value, ending |
| $22.70 | $26.67 | $32.17 |
|
|
|
|
|
|
|
|
|
Total return* |
| (12.39%) | (12.71%) | 28.78% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
| (1.02%) | (1.00%) | (1.04%) |
|
|
Total expenses |
| 2.19% | 2.20% | 2.20% |
|
|
Expenses before offsets |
| 2.19% | 2.20% | 2.20% |
|
|
Net expenses |
| 2.19% | 2.17% | 1.97% |
|
|
Portfolio turnover |
| 28% | 43% | 49% |
|
|
Net assets, ending (in thousands) |
| $43,091 | $30,015 | $21,416 |
|
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class C Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $25.92 | $21.17 |
|
|
Income from investment operations. |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.27) | (.22) |
|
|
Net realized and unrealized gain (loss) |
|
| 1.99 | 4.99 |
|
|
Total from investment operations |
|
| 1.72 | 4.77 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gains |
|
| -- | (.02) |
|
|
Total increase (decrease) in net asset value |
|
| 1.72 | 4.75 |
|
|
Net asset value, ending |
|
| $27.64 | $25.92 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 6.64% | 22.56% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
|
| (1.09%) | (1.06%) |
|
|
Total expenses |
|
| 2.03% | 2.10% |
|
|
Expenses before offsets |
|
| 2.03% | 2.10% |
|
|
Net expenses |
|
| 2.03% | 2.09% |
|
|
Portfolio turnover |
|
| 17% | 29% |
|
|
Net assets, ending (in thousands) |
|
| $86,514 | $61,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class C Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $24.91 | $30.13 | $25.00 |
|
|
Income from investment operations. |
|
|
|
|
|
|
Net investment income (loss) |
| (.21) | (.22) | (.24) |
|
|
Net realized and unrealized gain (loss) |
| (2.65) | (3.37) | 7.20 |
|
|
Total from investment operations |
| (2.86) | (3.59) | 6.96 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gains |
| (.88) | (1.63) | (1.83) |
|
|
Total increase (decrease) in net asset value |
| (3.74) | (5.22) | 5.13 |
|
|
Net asset value, ending |
| $21.17 | $24.91 | $30.13 |
|
|
|
|
|
|
|
|
|
Total return* |
| (12.34%) | (12.63%) | 28.87% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
| (.96%) | (.94%) | (1.01%) |
|
|
Total expenses |
| 2.14% | 2.14% | 2.15% |
|
|
Expenses before offsets |
| 2.14% | 2.14% | 2.15% |
|
|
Net expenses |
| 2.13% | 2.11% | 1.94% |
|
|
Portfolio turnover |
| 28% | 43% | 49% |
|
|
Net assets, ending (in thousands) |
| $37,109 | $26,455 | $20,086 |
|
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $29.94 | $24.12 | $27.91 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .07 | .05 | .08 |
|
Net realized and unrealized gain (loss) |
| 2.35 | 5.79 | (2.99) |
|
Total from investment operations |
| 2.42 | 5.84 | (2.91) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| -- | (.02) | (.88) |
|
Total increase (decrease) in net asset value |
| 2.42 | 5.82 | (3.79) |
|
Net asset value, ending |
| $32.36 | $29.94 | $24.12 |
|
|
|
|
|
|
|
Total return* |
| 8.08% | 24.24% | (11.17%) |
|
Ratios to average net assets: |
|
|
|
|
|
Net investment income |
| .25% | .32% | .36% |
|
Total expenses |
| .68% | .70% | .81% |
|
Expenses before offsets |
| .68% | .70% | .80% |
|
Net expenses |
| .68% | .70% | .80% |
|
Portfolio turnover |
| 17% | 29% | 28% |
|
Net assets, ending (in thousands) |
| $93,347 | $62,951 | $8,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years 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 |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $15.17 | $12.24 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
|
| .03 | .03 |
|
|
Net realized and unrealized gain (loss) |
|
| 1.76 | 2.90 |
|
|
Total from investment operations |
|
| 1.79 | 2.93 |
|
|
Total increase (decrease) in net asset value |
|
| 1.79 | 2.93 |
|
|
Net asset value, ending |
|
| $16.96 | $15.17 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 11.80% | 23.94% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
|
| .19% | .24% |
|
|
Total expenses |
|
| 1.43% | 1.54% |
|
|
Expenses before offsets |
|
| 1.43% | 1.45% |
|
|
Net expenses |
|
| 1.41% | 1.44% |
|
|
Portfolio turnover |
|
| 13% | 42% |
|
|
Net assets, ending (in thousands) |
|
| $55,253 | $39,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class A Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $14.64 | $19.91 | $16.83 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
| .01 | (.01) | (.02) |
|
|
Net realized and unrealized gain (loss) |
| (2.41) | (5.12) | 3.11 |
|
|
Total from investment operations |
| (2.40) | (5.13) | 3.09 |
|
|
Distributions from |
|
|
|
|
|
|
Net investment income |
| -- | -- | (.01) |
|
|
Net realized gain |
| -- | (.14) | -- |
|
|
Total increase (decrease) in net asset value |
| (2.40) | (5.27) | 3.08 |
|
|
Net asset value, ending |
| $12.24 | $14.64 | $19.91 |
|
|
|
|
|
|
|
|
|
Total return* |
| (16.37%) | (25.93%) | 18.39% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
| .09% | (.06%) | (.14%) |
|
|
Total expenses |
| 1.46% | 1.43% | 1.52% |
|
|
Expenses before offsets |
| 1.27% | 1.32% | 1.33% |
|
|
Net expenses |
| 1.25% | 1.25% | 1.25% |
|
|
Portfolio turnover |
| 36% | 39% | 43% |
|
|
Net assets, ending (in thousands) |
| $26,842 | $30,525 | $21,239 |
|
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class B Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $14.30 | $11.67 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.12) | (.10) |
|
|
Net realized and unrealized gain (loss) |
|
| 1.66 | 2.73 |
|
|
Total from investment operations |
|
| 1.54 | 2.63 |
|
|
Total increase (decrease) in net asset value |
|
| 1.54 | 2.63 |
|
|
Net asset value, ending |
|
| $15.84 | $14.30 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 10.77% | 22.54% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.75%) | (.82%) |
|
|
Total expenses |
|
| 2.37% | 2.55% |
|
|
Expenses before offsets |
|
| 2.37% | 2.51% |
|
|
Net expenses |
|
| 2.36% | 2.50% |
|
|
Portfolio turnover |
|
| 13% | 42% |
|
|
Net assets, ending (in thousands) |
|
| $8,391 | $6,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class B Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $14.12 | $19.41 | $16.58 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
| (.16) | (.20) | (.16) |
|
|
Net realized and unrealized gain (loss) |
| (2.29) | (4.95) | 2.99 |
|
|
Total from investment operations |
| (2.45) | (5.15) | 2.83 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gain |
| -- | (.14) | -- |
|
|
Total increase (decrease) in net asset value |
| (2.45) | (5.29) | 2.83 |
|
|
Net asset value, ending |
| $11.67 | $14.12 | $19.41 |
|
|
|
|
|
|
|
|
|
Total return* |
| (17.33%) | (26.70%) | 17.07% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
| (1.11%) | (1.18%) | (1.21%) |
|
|
Total expenses |
| 2.47% | 2.42% | 2.41% |
|
|
Expenses before offsets |
| 2.47% | 2.42% | 2.41% |
|
|
Net expenses |
| 2.45% | 2.36% | 2.32% |
|
|
Portfolio turnover |
| 36% | 39% | 43% |
|
|
Net assets, ending (in thousands) |
| $4,980 | $5,488 | $6,531 |
|
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
|
| September 30, | September 30, |
|
|
Class C Shares |
|
| 2004 | 2003 |
|
|
Net asset value, beginning |
|
| $14.35 | $11.71 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.10) | (.10) |
|
|
Net realized and unrealized gain (loss) |
|
| 1.65 | 2.74 |
|
|
Total from investment operations |
|
| 1.55 | 2.64 |
|
|
Total increase (decrease) in net asset value |
|
| 1.55 | 2.64 |
|
|
Net asset value, ending |
|
| $15.90 | $14.35 |
|
|
|
|
|
|
|
|
|
Total return* |
|
| 10.80% | 22.54% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
|
| (.72%) | (.83%) |
|
|
Total expenses |
|
| 2.34% | 2.56% |
|
|
Expenses before offsets |
|
| 2.34% | 2.51% |
|
|
Net expenses |
|
| 2.32% | 2.50% |
|
|
Portfolio turnover |
|
| 13% | 42% |
|
|
Net assets, ending (in thousands) |
|
| $6,038 | $4,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, | September 30, |
|
|
Class C Shares |
| 2002 | 2001 | 2000 |
|
|
Net asset value, beginning |
| $14.16 | $19.48 | $16.62 |
|
|
Income from investment operations |
|
|
|
|
|
|
Net investment income (loss) |
| (.16) | (.19) | (.14) |
|
|
Net realized and unrealized gain (loss) |
| (2.29) | (4.99) | 3.00 |
|
|
Total from investment operations |
| (2.45) | (5.18) | 2.86 |
|
|
Distributions from |
|
|
|
|
|
|
Net realized gain |
| -- | (.14) | -- |
|
|
Total increase (decrease) in net asset value |
| (2.45) | (5.32) | 2.86 |
|
|
Net asset value, ending |
| $11.71 | $14.16 | $19.48 |
|
|
|
|
|
|
|
|
|
Total return* |
| (17.28%) | (26.76%) | 17.21% |
|
|
Ratios to average net assets: |
|
|
|
|
|
|
Net investment income (loss) |
| (1.10%) | (1.14%) | (1.15%) |
|
|
Total expenses |
| 2.47% | 2.38% | 2.35% |
|
|
Expenses before offsets |
| 2.47% | 2.38% | 2.35% |
|
|
Net expenses |
| 2.45% | 2.32% | 2.27% |
|
|
Portfolio turnover |
| 36% | 39% | 43% |
|
|
Net assets, ending (in thousands) |
| $3,060 | $3,376 | $4,674 |
|
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| 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.
* 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 15, 1998 inception.
## From March 1, 1999 inception.
### From March 31, 2000 inception.
#### From November 1, 1999 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.
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.
PROXY VOTING
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio Holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The first N-Q filings for this Fund will be for the quarter ending December 31, 2004. The Fund's Form N-Q will be available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund makes the information on Form N-Q available to shareholders on the Calvert website at www.calvert.com.
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) |
INDEPENDENT TRUSTEES/DIRECTORS | |||||
REBECCA ADAMSON DOB: 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. | 9 |
|
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. | 17 |
|
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 |
|
JOHN GUFFEY, JR. DOB: 05/15/48 | Trustee | 1982 | Treasurer and Director of Silby, Guffey and Co., Inc. a venture capital firm. | 19 |
|
JOY V. JONES DOB: 07/02/50 | Trustee | 1990 | Attorney and entertainment manager in New York City. | 9 |
|
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 |
|
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 |
|
INTERESTED TRUSTEES/DIRECTORS | |||||
BARBARA J. KRUMSIEK DOB: 08/09/52 | 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. | 38 |
|
D. Wayne Silby, Esq. DOB: 07/20/48 | Trustee, Chair & 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 venture capital firm. | 22 |
|
OFFICERS | |||||
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. |
|
|
THOMAS DAILEY DOB: 09/20/64 | Officer | 2004 | Vice President of Calvert Asset Management Company, Inc. |
|
|
IVY WAFFORD DUKE, Esq. DOB: 09/07/68 | Officer | 1996 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. | ||
STEVEN A. FALCI DOB: 08/01/59 | Officer | 2003 | Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert, Mr. Falci was SVP and Senior Portfolio Manager at Principal Mellon Equity Associates. |
|
|
TRACI L. GOLDT DOB: 10/11/73 | Officer | 2004 | Executive Assistant to General Counsel, Calvert Group, Ltd. Prior to working at Calvert, Ms. Goldt was Senior Project Manager for Backwire.com, and Project Manager for marchFIRST. |
|
|
GREGORY B. HABEEB DOB: 02/11/50 | Officer | 2004 | Vice President of Calvert Asset Management Company, Inc. |
|
|
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. |
|
|
LANCELOT A. KING, Esq. DOB: 07/19/70 | Officer | 2002 | Assistant Vice President and Associate 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. |
|
|
CATHERINE P. ROY DOB: 02/02/56 | Officer | 2004 | Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert, Ms. Roy was Senior Vice President of US Fixed Income for Baring Asset Management, and SVP and Senior Portfolio Manager of Scudder Insurance Asset Management. |
|
|
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.
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.
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
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 Fund
California Limited-Term Municipal Fund
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
Calvert Small Cap Value Fund
Calvert Mid Cap Value Fund
printed on recycled paper using soy-based inks
<PAGE>
Item 2. Code of Ethics.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer and principal financial officer (also referred to as "principal accounting officer").
(b) No information need be disclosed under this paragraph.
(c) The registrant has not amended its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or implicit waiver from a provision of its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.
(e) Not applicable.
(f) The registrant's Code of Ethics is attached as an Exhibit hereto.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that John G. Guffey, Jr., an "independent" Trustee serving on the registrant's audit committee, is an "audit committee financial expert," as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
Services fees paid to auditing firm:
Fiscal Year ended 9/30/03 | Fiscal Year ended 9/30/04 | |||
$ | %* | $ | % * | |
(a) Audit Fees | $64,900 | 0% | $67,650 | 0% |
(b) Audit-Related Fees | $0 | 0% | $0 | 0% |
(c) Tax Fees (tax return preparation and filing for the registrant) | $13,200 | 0% | $11,550 | 0% |
(d) All Other Fees | $0 | 0% | $0 | 0% |
Total | $78,100 | 0% | $79,200 | 0% |
* Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of Committee's requirement to pre-approve)
(e) Audit Committee pre-approval policies and procedures:
The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant's investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment advisor in each inst ance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for each of the last two fiscal years of the registrant:
Fiscal Year ended 9/30/03 | Fiscal Year ended 9/30/04 | |||
$ | %* | $ | % * | |
$66,000 | 0%* | $0 | 0%* |
* Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of Committee's requirement to pre-approve)
(h) The registrant's Audit Committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c) (7)(ii) of Rule 2-01 of Reg. S-X is compatible with maintaining the principal accountant's independence and found that the provision of such services is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
This Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 9. Submission of Matters to a Vote of Security Holders.
No material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees since last disclosure in response to this Item on registrant's Form N-CSR for the period ending March 31, 2004.
Item 10. Controls and Procedures.
(a) The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act, as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 11. Exhibits.
(a)(1) A copy of the Registrant's Code of Ethics.
Attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).
Attached hereto.
(a)(3) Not applicable.
(b) A certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. The certification furnished pursuant to this paragraph is not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference.
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 29, 2004
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 29, 2004
/s/ D. Wayne Silby
D. Wayne Silby
President -- Principal Executive Officer
Date: November 24, 2004
/s/ Ronald Wolfsheimer
Ronald Wolfsheimer
Treasurer -- Principal Financial Officer
Date: November 24, 2004