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, 2005
Item 1. Report to Stockholders.
<PAGE>
Calvert
Investments that make a difference
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September 30, 2005
Annual Report
Calvert Social
Investment Fund
Calvert
Investments that make a difference
An Ameritas Acacia Company
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Table of Contents
Chairman's Letter
2
President's Letter
6
Portfolio Management Discussion
9
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
94
Explanation of Financial Tables
112
Proxy Voting and Availability of Quarterly Portfolio Holdings
114
Trustee and Officer Information Table
116
=====================================================
Dear Shareholder:
During this annual reporting period, markets have faced uncertainties, including the Gulf Coast hurricanes, oil and commodity price surges, huge US trade and fiscal deficits, the Iraq war, and continued soaring home prices.
Some believe the primary reason our markets have weathered these times relatively well is that the developing world -- including its petrodollars -- and Japan are generating substantial savings, which is, in effect, subsidizing US consumer spending. A portion of these non-US savings is being "loaned" to the US in the form of foreign countries' purchases of US bonds and in US securities investment. Americans can maintain a sense of wealth as this borrowed capital finds its way into the pockets of US consumers. Unfortunately, we are borrowing this money, not earning it, and both the borrowers and lenders are creating an unhealthy symbiosis that eventually must be adjusted. But convincing other countries whose economies have been built on export to focus more strongly on internal economic opportunities is a long-term process.
In My View
We could ameliorate the consequences of this imbalance through a sound energy policy, a stronger and more realistic focus on education, and immigration policies that foster productivity. I believe that if we do not take bold steps to address our need to pay debts without lowering our standard of living, we will see an even wider gap in America between rich and poor. Watching the response to Hurricane Katrina from a hotel room in Beijing, I was embarrassed in the presence of my Chinese colleagues as we appeared to be witnessing an event happening in a developing country with limited resources, not in the US. We must begin as a nation to regard our poor and underprivileged not as a wasted shame but as an investable resource.
Looking Ahead
In September, Federal Reserve (Fed) Chair Alan Greenspan indicated that while he believes the Fed has been able to orchestrate policy in the past, he is worried that too many have become too reliant on the Fed to deal with rising current-account and trade imbalances. This observation may mean that the Fed will continue raising interest rates until the country wakes up and takes collective responsibility and action through tax and fiscal policy changes. If this is the case, I anticipate heading into increased market volatility.
Investing in responsible companies with strong corporate values over this next period may be the right thing to do not only socially but also financially. While our equity funds suffered somewhat in the last year from a conscious lack of exposure to the non-renewable energy sector, it would appear that this sector may have peaked. Calvert's alternative energy investments, though modest, have performed well and should continue to do so. (See Special Equities, below.) Consumer sentiment may change when the winter heating bills arrive and higher interest rates on variable-rate mortgages arrest the rise in home prices. Such a change in psychology is likely to affect lower-quality companies the most, and those types of companies are generally under-represented in our portfolios.
Our bond portfolios maintain a focus on higher-quality companies and have provided rewarding performance. Our fixed-income portfolio managers are quite mindful of a possible increase in long-term interest rates, though, interestingly, the Fed's desire to increase short-term rates may dampen a dramatic rise in long-term rates.
Shareholder Activism
Calvert continues to encourage the companies we hold in our portfolios to become even better corporate citizens, particularly in the area of governance, through shareholder resolutions. During this reporting period, we filed 28 shareholder resolutions, 18 of which resulted in successful discussions with the companies.
For Calvert, board diversity is a major area of focus. Women -- who account for nearly half the US workforce, college graduates, and talent pool -- occupy just 14% of Fortune 1000 company board seats, while African Americans hold just 3% of those seats and Hispanics only 1%. Most of our shareholder resolutions during this reporting period were focused on corporate board diversity, and these efforts continue. In addition, we filed resolutions on executive compensation, non-discrimination in sexual orientation, climate change, disclosure and reporting, and contributions to political organizations and campaigns.
These results show that your investments in Calvert funds make a difference, raising awareness and effecting change in corporate America. Moreover, Calvert has joined with other institutional investors in the wake of the public focus on governance scandals and has helped coordinate strong efforts for change.
Special Equities
A modest but important portion of Calvert's portfolio is invested in private companies that make socially or environmentally helpful products or provide such services, both with a profit objective. As might be expected, our investments in alternative energy companies -- particularly Evergreen Solar and Distributed Energy Systems -- have increased substantially in value over the recent period as energy prices have soared and energy sources have been compromised.1
Although the CSIF Portfolios are domestic funds, a small percentage of their assets may be invested in foreign securities. Through the Special Equities program, CSIF Equity Portfolio made two new investments to support critical environmental and development goals in both India and China. The Small Enterprise Assistance Fund--India Growth Fund invests in small- and medium-size businesses -- the bedrock of economies and engines of growth -- across a variety of industries. The China Environment Fund 2004 is affiliated with Tsingua University (the MIT of China) and focuses on providing clean energy and industrial-process technologies to help Chinese companies operate with greater efficiency and less negative environmental impact.2
Community Investments
Our community investing program, administered through the Calvert Social Investment Foundation, directs approximately 1% of Calvert Social Investment Fund assets, at below-market rates, to investments that promote social justice. During this reporting period, the program made an investment to the Kentucky-based Housing Assistance Council, which supports low-income borrowers who seek financing for a home. One borrower served by the Council is the Hollingshead family, who were living in a deteriorating mobile home and who could not get bank credit. The Council helped this family by substituting a "sweat equity" down payment for a conventional cash deposit. The Council also trained the homebuyers and secured special contracts for work requiring licensed, skilled work such as plumbing and wiring. Now all six of the Hollingsheads are well settled in their new four-bedroom home and are proud that every member of the family worked on it for a total of 200 hours during construction.
We also made an indirect investment through the Foundation in the Media Development Loan Fund, which lends money to a network of independent radio-news outlets in Indonesia. The more than 400 local radio stations in this network are the only source promoting transparency in this new democracy of over 18,000 islands. The network links an audience of 20 million with 18-hours-per-day of locally produced, independent news and information, using an advertising model.
Calvert Leadership
On other fronts, Calvert remains active in a variety of efforts that seek a better world. Calvert has developed what are being called the "Katrina Principles" -- ways to consider investment in the hurricane-ravaged Gulf coast that respect best practices in redevelopment. (See our special report, "Learning from Katrina," at www.calvert.com.) We're also pleased that the Calvert Women's Principles -- our groundbreaking, one-year-old code of corporate conduct focusing on gender equality and women's empowerment -- were formally endorsed by both Starbucks and Dell.
Calvert became the first US-based asset management firm to sign on to the new Transparency Guidelines promulgated by the European Social Investment Forum. The guidelines were designed for use by retail SRI funds to provide more disclosure and increased accountability to investors.
Thank you for your support of so many significant efforts through your investment in Calvert Social Investment Fund.
Sincerely,
D. Wayne Silby
Chairman (Non-Executive)
Calvert Social Investment Fund
October 2005
1. On September 30, 2005, Evergreen Solar represented 0.1075% of CSIF Balanced Portfolio and Distributed Energy represented 0.00245%.
2. On September 30, 2005, China Environment Fund 2004 represented 0.0004% of CSIF Equity Portfolio and SEAF India International Growth Fund LLC represented 0.0124%.
Dear Shareholder:
The ongoing challenges to our markets and economy from steeply escalating energy prices, the ongoing war in Iraq and rising interest rates were exacerbated in the most recent quarter by the devastating effects of Katrina, Rita and Wilma. On a humanitarian level, Calvert joined the many corporations, and individual citizens, who responded quickly with financial assistance. Further, we crafted principles in support of a sustainable rebuilding philosophy in the Gulf region (see "Katrina Principles" on www.calvert.com.)
As investors, we worked to respond to these challenges and find opportunities to add value to the Funds we manage on your behalf. Despite the difficult environment, the economy and markets have shown strength over the past 12 months, with solid advances for small, mid-sized, and large US stocks.1 Overseas stocks showed even stronger returns, reflecting the growth potential of certain European and developing markets.2
This year we've pursued a number of important initiatives: adding to our family of funds; advancing our compliance and regulatory oversight; and expanding our public commitment in areas such as board diversity and the empowerment of women in business through our year-old Calvert Women's Principles. In addition, for the first time we underwrote a four-part series for public television, "The New Heroes," which highlights the work of leading social entrepreneurs--talented individuals who exemplify the "power of one" to drive positive social change in their communities. At Calvert, we remain committed to making a difference through our specialized investment management approach and our leadership on issues of importance to the communities we serve.
Additions to our Fund Family
Through market ups and downs, effective portfolio diversification3 has proven the most important factor in helping investors meet their long-term financial goals. That's why we at Calvert are committed to offering diverse investment products, and we encourage you to work with your financial advisor to develop an asset allocation strategy that's right for your situation.
Over the reporting period, we've added several new funds, in important asset class categories, to our family of funds. Calvert Small Cap Value Fund and Calvert Mid Cap Value Fund were introduced in October 2004. Channing Capital Management is sub-advisor for the funds, led by veteran value manager Eric McKissack, CFA, and his three-person investment team -- who together have more than 40 years of investment experience. Both funds pursue an intrinsic-value investment strategy that seeks temporarily out-of-favor companies with strong management teams and competitive products.
In April 2005 we launched Calvert Conservative and Moderate Allocation Funds, followed in June with Calvert Aggressive Allocation Fund. These "Funds of Funds" invest in up to 11 underlying Calvert funds, offering broad asset class diversification in one convenient investment. In developing the Funds, we teamed with Ibbotson Associates, an independent asset allocation consultant.
Our value and allocation funds feature Double Diligence,TM Calvert's two-tiered research process that evaluates companies for both financial strength and corporate responsibility.
Advancing Our Regulatory Oversight
As you may be aware, 2004 was a significant year for mutual fund industry reform, which continues in 2005. The SEC issued new regulations for mutual fund companies on many fronts, governing codes of ethics, compliance programs, and disclosure requirements.
To further strengthen our compliance operations, we've restructured our Compliance Department, adding several positions and promoting Karen Becker, a Calvert veteran of 19 years, to Chief Compliance Officer for Calvert Funds. Formerly Senior Vice President of Client Services, Karen has overall compliance responsibility for the Funds and will develop and administer Fund policies and procedures designed to prevent violation of federal securities laws.
Calvert Issues Sustainability Report
We decided to examine our own corporate practices and policies this past year, and subsequently published our first Sustainability Report using Global Reporting Initiative or GRI guidelines. The 50-page report details Calvert's economic, social, and environmental performance and is available at www.calvert.com.
A Long-Term, Disciplined Outlook
We believe our disciplined investment process--which includes an emphasis on diversified portfolios--can lead to lower risk and competitive long-term performance relative to our peers. Calvert encourages you to work with a financial professional, who can provide important insights into investment markets and personal financial planning, as well as the guidance to create and maintain a thoughtful investment strategy.
As Calvert enters its 30th anniversary year, I'd like to thank you for your continued confidence in our investment products, and we look forward to serving you in the year ahead.
Sincerely,
Barbara Krumsiek
President and CEO
Calvert Group, Ltd.
October 2005
1. For the 12 months ended September 30, 2005, larger-company stocks (S&P 500 Index) were up 12.25%; smaller-company stocks (Russell 2000(R) Index) advanced 17.95%; and mid-cap stocks (Russell Midcap(R) Index) gained 25.10%.
2. International stocks gained 22.95% in US dollars, as measured by the MSCI EAFETM Index.
3. Diversification does not protect an investor from market risks and does not assure a profit.
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.
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, 2005, Calvert Social Investment Fund Money Market Portfolio shares returned 1.94%, versus 1.85% for the Lipper Money Market Instrument Funds Average.
Investment Climate
Over the reporting period, the Federal Reserve's Open Market Committee (FOMC) raised the target Fed funds rate at each of its eight scheduled meetings. By the end of the period, the rate stood at 3.75%. Money-market interest rates, including that on the three-month Treasury bill, rose in response to these hikes.1 Confounding our expectations and those of most of the market, though, was the fact that there was virtually no increase in long-term interest rates over the reporting period. The benchmark 10-year Treasury yield moved slightly higher, to 4.34%. The 30-year fixed-rate mortgage rate rose from 5.19% to 5.91%.
The U.S. economy continued its pace of steady growth at 3.5% annualized, as measured by GDP (gross domestic product), over the first three quarters of the reporting period.2 Payroll growth was solid, averaging 193,000 new jobs monthly. Inflation rose with the headline CPI (consumer price index), up 3.6%. Core inflation, which excludes volatile food and energy prices, increased 2.1%.3 Rising inflation led the FOMC to consistently address the topic of inflation in its regular monetary policy statements.
Portfolio Strategy
Our portfolio strategy reflects Calvert's FourSightTM management process, which seeks to deliver competitive results even during difficult markets. With this four-step process, we manage duration, monitor the yield curve, optimize sector allocation, and analyze credit quality. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest-rate movements.)
During the reporting period, we continued our strategy of maintaining a shorter-than-average maturity in order to take advantage of rising interest rates. The Portfolio continues to have a large exposure to weekly variable-rate demand notes, whose interest rates adjust with marketplace changes. In addition, we hold a portion of the Portfolio in US government agency securities in order to keep the Portfolio's average maturity near that of our peer-group.
Outlook
Monetary policy is currently focused on restoring the target Fed funds rate to a more neutral level, i.e., neither overly accommodative nor overly restrictive. We believe the Fed funds target rate will eventually reach a minimum of 4% and would not be surprised to see it at 4.5% or more in 2006. As a result, we expect the FOMC to continue its campaign of steady rate hikes unless the economy shows signs of great strain.
Of course, much will depend on what the economic data indicate about the state of the economy going forward, especially in light of the Gulf Coast hurricanes this year. While the immediate impact of the hurricanes on the economy is difficult to assess, recent post-hurricane economic data show a pickup in manufacturing in September. High energy costs may restrain production temporarily, but we have seen the manufacturing sector continue to expand for more than two years. Given our outlook, we will continue to employ our current strategy with a watchful eye on the economy and the FOMC.
1. The three-month T-Bill yield rose 1.84 percentage points to 3.55%.
2. The third quarter 2005 GDP had not been released at the time of this writing.
3. Payrolls and CPI data available through August 2005.
An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
Money Market Portfolio Statistics
September 30, 2005
Investment Performance
| 6 Months | 12 Months |
| ended | ended |
| 9/30/05 | 9/30/05 |
Money Market Portfolio | 1.25% | 1.94% |
Lipper Money Market Funds Avg.** | 1.18% | 1.85% |
|
|
|
Maturity Schedule |
|
|
|
|
|
Weighted Average |
| |
9/30/05 | 9/30/04 |
|
31 days | 34 days |
|
|
|
|
Average Annual Total Returns |
|
|
|
|
|
|
|
|
One year | 1.94% |
|
Five year | 1.81% |
|
Ten year | 3.38% |
|
Since inception | 5.13% |
|
(10/21/82) |
|
|
|
|
|
| % of Total |
|
Investment Allocation | Investments |
|
Taxable Variable Rate | 87.1% |
|
Demand Notes |
|
|
U.S. Government Agencies | 9.7% |
|
and Instrumentalities |
|
|
Loans and Deposit Receipts | 1.4% |
|
Guaranteed by U.S. |
|
|
Government Agencies |
|
|
Certificates of Deposit | 1.2% |
|
Taxable Municipal Obligations | 0.6% |
|
Total | 100% |
|
Total return assumes reinvestment of dividends. Past performance is no guarantee of future results.
**Source: Lipper Analytical Services, Inc.
Portfolio Management Discussion
Steve Falci,
Chief Investment Officer, Equities
of Calvert Asset Management Company
Performance
Calvert Social Investment Fund Balanced Portfolio Class A shares at NAV returned 9.68% for the 12-month reporting period ended September 30, 2005. Over the same period, the Russell 1000(R) Index returned 14.26% and the Lehman US Credit Index 2.74%. A mix of those indices weighted in a manner consistent with the Fund's long-term allocation of 60% to stocks and 40% to bonds would have produced a total return of 9.65%.
Investment Climate
Stock-market returns during the Portfolio's fiscal year were largely influenced by fluctuations in crude oil prices. We saw a strong rally in equity markets over the final months of 2004, driven by oil prices retreating from $60 per barrel and by the resolution of the US presidential election. However, in early 2005, energy stocks soared as crude-oil prices recovered, while other sectors lost ground. During a temporary dip in energy prices in the spring, other sectors, notably Health Care and Utilities, took the lead. The Portfolio's fiscal year closed with rising energy and energy-stock prices, accelerated by disrupted oil supplies resulting from Hurricanes Katrina and Rita. Despite the strong closing of energy stocks, other sectors that had rallied during the earlier slump in energy prices managed to hold onto their gains.
Of course, bond-market returns were driven by rising interest rates. Over the reporting period, the Federal Reserve's Open Market Committee (FOMC) raised the target Fed funds rate at each of its eight scheduled meetings. By the end of the period, the rate stood at 3.75%. Money-market interest rates, including three-month Treasury bill rates, rose in response to these hikes.1 Confounding our expectations and those of most of the market, though, was the fact that there was virtually no increase in long-term interest rates over the reporting period. The benchmark 10-year Treasury yield moved slightly higher, to 4.34%. The 30-year fixed-rate mortgage rate rose from 5.19% to 5.91%.
Portfolio Strategy
Equity portfolio
We use Calvert's Double DiligenceTM process to seek attractive potential investments in well-managed firms by examining companies both financially and in terms of corporate responsibility. The equity allocation is designed to provide a US-core large-cap portfolio that utilizes our expertise in active fundamental and quantitative investment processes.
Despite the Portfolio's having no investments in the major oil stocks, our overweight to Other Energy provided strong sector performance relative to the Russell 1000(R) Index. Positive stock selection in Health Care also benefited the Portfolio, due in large part to the strong performance of health care services companies, including Wellpoint, McKesson, and Express Scripts.2
Challenges arose in the Technology sector. Overall, the Technology sector of the Russell 1000 Index performed well during the period, returning 15.7%. The Portfolio benefited slightly from being overweight to this sector. However, our sector holdings generally underperformed during the period, particularly our large-cap tech stock selections.
Fixed-income portfolio
Our portfolio strategy reflects Calvert's FourSightTM management process, which seeks to deliver competitive results even during difficult markets. With this four-step process, we manage duration, monitor the yield curve, optimize sector allocation, and analyze credit quality. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest-rate movements.)
The fixed-income portion of the Portfolio has been positioned to benefit from rising rates across the maturity spectrum (short, intermediate, and long). Our short-duration strategy detracted from performance over the reporting period. While we correctly anticipated higher short-term rates, we did not expect the rally in longer-term bonds.
Over the period, there was a flattening of the yield curve (as the Fed continued to raise short-term interest rates, and longer-term bond yields declined). The Portfolio was positioned to take advantage of this flattening, with a relative overweight to longer-maturity bonds and an underweight to bonds with shorter maturities. This strategy was a strong driver of performance into the first quarter of 2005, when we felt that most of the spread compression had been realized.
From a sector perspective, the fixed-income portion of the Portfolio benefited from its significant exposure to floating-rate bonds. Interest rates for these bonds adjust based on short-term indices, which typically reset monthly or quarterly. As the Fed lifted short-term rates, the increase in rates on our floating-rate bonds helped performance.
The Portfolio had a high-quality bias for the entire period, given the very low additional yield being paid for holding lower-quality bonds. However, the overweight to higher credit quality hurt performance, as lower-rated securities outpaced those of higher quality.
Outlook
Crude oil and related-energy prices remain high, creating headwinds for other stock-market sectors. In mid-spring 2005, we saw that other stocks could excel when energy stocks lagged. Going into the end of the reporting period, despite additional energy-related shocks to the economy and market, both markets and the economy seemed to have performed well. We are optimistic that when the pressures created by high energy prices abate, the rest of the stock market is poised to advance.
Monetary policy is currently focused on restoring the target Fed funds rate to a more neutral level, i.e., neither overly accommodative nor overly restrictive. We believe the Fed funds target rate eventually will reach a minimum of 4% and would not be surprised to see it at 4.5% or more in 2006. The fixed-income portion of the Portfolio continues to be well positioned for higher interest and wider yield spreads, which we believe should unfold with continued solid economic growth. As rates rise and credit-risk premiums increase, we plan to opportunistically add to portfolio duration and include a wider range of credit quality in bonds.
We believe the complementary styles of the Portfolio's current management team (SSgA Funds Management, Inc., New Amsterdam Partners LLC, and Calvert Asset Management Company) is reflected in recent results and is positioning the fund to reward the patience of our long-term investors.
October 2005
1. The three-month Treasury bill yield rose 1.84 percentage points to 3.55%.
2. As of September 30, 2005, Wellpoint constituted 1.29% of Fund net assets, McKesson 0.43%, and Express Scripts 0.30%.
Balanced Portfolio Statistics
September 30, 2005
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/05 | 9/30/05 |
Class A | 4.51% | 9.68% |
Class B | 4.03% | 8.62% |
Class C | 4.04% | 8.67% |
Class I** | 4.79% | 10.08% |
Lehman U.S. Credit Index* | 2.54% | 2.74% |
Russell 1000 Index* | 6.08% | 14.26% |
Lipper Balanced Funds Avg.* | 4.52% | 9.78% |
|
|
|
Ten Largest Long-Term Holdings |
|
|
|
|
|
| % of Net Assets |
|
Johnson & Johnson | 1.5% |
|
EOG Resources, Inc. | 1.4% |
|
Microsoft Corp. | 1.4% |
|
Procter & Gamble Co. | 1.3% |
|
Pfizer, Inc. | 1.3% |
|
International Business Machines Corp. | 1.3% |
|
WellPoint, Inc. | 1.3% |
|
Bank of America Corp. | 1.3% |
|
Intel Corp. | 1.1% |
|
XTO Energy, Inc. | 1.1% |
|
Total | 13.0% |
|
** Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Investment Performance, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Investment Performance, the Class A performance at NAV was used during the period September 30, 2004 through December 27, 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, 2005
Average Annual Total Returns
(with max. load)
Class A Shares |
|
One year | 4.48% |
Five year | (0.70%) |
Ten year | 5.59% |
|
|
Class B Shares |
|
One year | 3.62% |
Five year | (0.94%) |
Since inception | 1.57% |
(3/31/98) |
|
|
|
Class C Shares |
|
One year | 7.67% |
Five year | (0.73%) |
Ten year | 4.99% |
Balanced Portfolio Statistics
September 30, 2005
Average Annual Total Returns
(with max. load)
Class I Shares* |
|
One year | 10.08% |
Five year | 0.65% |
Since inception | 9.14% |
(2/26/99) |
|
|
|
Asset Allocation | % of Total Investments |
Equity Investments | 63% |
Bonds | 33% |
Cash & Cash Equivalents | 4% |
| 100% |
Performance Comparison
Comparison of change in value of $10,000 investment. (Source: Lipper Analytical Services, Inc.)
* Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the period June 30, 2003 through December 27, 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. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. 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.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager
Matt Nottingham, CFA
Portfolio Manager
of Calvert Asset Management Company
Performance
Calvert Social Investment Fund Bond Portfolio Class A shares at NAV produced a total return of 5.05% for the 12-month reporting period ended September 30, 2005. The benchmark Lehman US Credit Index returned 2.74% for the same period.
Investment Climate
Over the reporting period, the Federal Reserve's Open Market Committee (FOMC) raised the target Fed funds rate at each of its eight scheduled meetings. By the end of the period, the rate stood at 3.75%. Money-market interest rates, including that on the three-month Treasury bill, rose in response to these hikes.1 Confounding our expectations and those of most of the market, though, was the fact that there was virtually no increase in long-term interest rates over the reporting period. The benchmark 10-year Treasury yield moved slightly higher, to 4.34%. The 30-year fixed-rate mortgage rate rose from 5.19% to 5.91%.
The U.S. economy continued its pace of steady growth at 3.5% annualized, as measured by GDP (gross domestic product), over the first three quarters of the reporting period.2 Payroll growth was solid, averaging 193,000 new jobs monthly. Inflation rose with the headline CPI (consumer price index), up 3.6%. Core inflation, which excludes volatile food and energy prices, increased 2.1%.3 Rising inflation led the FOMC to consistently address the topic of inflation in its regular monetary policy statements.
Portfolio Strategy
Our strategy reflects Calvert's FourSightTM management process, which seeks to deliver competitive results even during difficult markets. With this four-step process, we manage duration, monitor the yield curve, optimize sector allocation, and analyze credit quality. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest-rate movements.)
The Portfolio has been positioned to benefit from rising rates across the maturity spectrum (short, intermediate, and long). Our short-duration strategy detracted from performance over the reporting period. While we correctly anticipated higher short-term rates, we did not expect the rally we saw in longer-term rates.
As the FOMC continued to raise short-term rates, and as longer-term bond yields declined, the difference between yields on two-year Treasury notes and 10-year Treasury notes compressed, in what is known as a yield-curve flattening. The Portfolio was positioned to take advantage of this flattening, with a relative overweight to longer-maturity bonds and an underweight to bonds with shorter maturities. This strategy was a strong driver of performance into the first quarter of 2005, when we felt that most of the spread compression had been realized. For a short period during the summer, the Portfolio was positioned to take advantage of yet more compression between short-term and long-term rates.
From a sector perspective, the Portfolio benefited from its significant exposure to floating-rate bonds. Interest rates for these bonds adjust based on short-term indices, which typically reset monthly or quarterly. As the FOMC raised short-term rates, the increase in rates on our floating-rate bonds helped performance.
The Portfolio had a high-quality bias for the entire period, given the very low additional yield being paid for holding lower-quality bonds. However, during the period, the overweight to higher credit quality (bonds rated A and higher) hurt performance, as lower-rated securities (bonds rated BBB) outpaced those of higher quality. Notably, this trend began to reverse in the last quarter, with higher-quality bonds outperforming lower-rated bonds late in the period.
CSIF Bond Portfolio successfully avoided the sharp sell off and drop in price of General Motors and Ford bonds when both dropped in credit rating in early 2005. Both companies fail the Calvert Social Research Department's social and environmental screens and are therefore ineligible for purchase by this Portfolio. The Portfolio's lack of exposure to these bonds and to the auto industry in general helped its relative and absolute performance relative to its benchmark and peer group.
Outlook
Monetary policy is currently focused on restoring the target Fed funds rate to a more neutral level, i.e., neither overly accommodative nor overly restrictive. We believe the Fed funds target rate will eventually reach a minimum of 4% and would not be surprised to see it at 4.5% or more in 2006. As a result, we expect the FOMC to continue its campaign of steady rate hikes unless the economy shows signs of great strain.
Of course, much will depend on what the economic data indicate about the state of the economy going forward, especially in light of the Gulf Coast hurricanes this year. While the immediate impact of the hurricanes on the economy is difficult to assess, recent post-hurricane economic data show a pickup in manufacturing in September. High energy costs may restrain production temporarily, but we have seen the manufacturing sector continue to expand for more than two years.
Looking ahead, we are confident our four-tiered FourSightTM strategy can continue to uncover attractive investment opportunities for the Portfolio. We will continue to position the Portfolio defensively in view of rising interest rates and to monitor the yield curve, making portfolio adjustments as necessary.
October 2005
1. The three-month Treasury bill yield rose 1.84 percentage points to 3.55%.
2. The third quarter 2005 GDP had not been released at the time of this writing.
3. Payrolls and CPI data available through August 2005.
Bond Portfolio Statistics
September 30, 2005
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/05 | 9/30/05 |
Class A | 2.78% | 5.05% |
Class B | 2.31% | 4.03% |
Class C | 2.35% | 4.09% |
Class I | 3.08% | 5.63% |
Lehman U.S. Credit Index** | 2.54% | 2.74% |
Lipper Corporate Debt Funds A Rated Avg.** | 1.99% | 2.60% |
|
|
|
Maturity Schedule |
|
|
Weighted Average |
| |
9/30/05 | 9/30/04 |
|
11 years | 9 years |
|
|
|
|
SEC Yields |
|
|
| 30 days ended |
|
| 9/30/05 | 9/30/04 |
Class A | 3.32% | 2.30% |
Class B | 2.49% | 1.50% |
Class C | 2.56% | 1.51% |
Class I | 4.01% | 2.97% |
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, 2005
Average Annual Total Returns
(with max. load)
Class A Shares |
|
One year | 1.09% |
Five year | 6.72% |
Ten year | 6.25% |
|
|
Bond Portfolio |
|
Statistics |
|
September 30, 2005 |
|
Average Annual Total Returns |
|
(with max. load) |
|
|
|
Class B Shares |
|
One year | 0.03% |
Five year | 6.53% |
Since inception | 5.36% |
(3/31/98) |
|
|
|
Class C Shares |
|
One year | 3.09% |
Five year | 6.50% |
Since inception | 5.20% |
(6/1/98) |
|
|
|
Class I Shares |
|
One year | 5.62% |
Five year | 8.15% |
Since inception | 7.91% |
(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. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. 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.
Bond Portfolio Statistics
September 30, 2005
Economic Sectors | % of Total Investments |
Asset Backed Securities | 12.1% |
Banks | 9.3% |
Brokerages | 4.1% |
Financial Services | 8.6% |
Industrial | 9.1% |
Industrial - Finance | 0.7% |
Insurance | 5.6% |
Municipal Obligations | 28.7% |
Real Estate Investment Trusts | 2.9% |
Special Purpose | 5.4% |
U.S. Government Agency Obligations | 12.0% |
Utility | 1.5% |
Total | 100.0% |
Portfolio Management Discussion
Dan Boone
of Atlanta Capital Management Company
Performance
For the 12-month reporting period ended September 30, 2005, Calvert Social Investment Fund Equity Portfolio Class A shares at NAV returned 11.86%. For the same period, the S&P 500 Index returned 12.25%.
Investment Climate
The positives of strong economic and profit growth more than offset the negatives of rising energy prices, rising short-term interest rates, and agonizingly slow progress in establishing a free Iraq. The two major hurricanes this fall may have slowed the rate of economic expansion.
The broad market, as measured by the S&P 500 Index, increased 12.25%. During the past 12 months, all sectors within the S&P 500 posted positive returns except Autos and Transportation, but differences among sector returns were wide. The energy-related sectors -- Integrated Oils and Other Energy -- were up more than 38% and 68%, respectively, while Autos and Transportation each lost under 2%. In addition to energy-related sectors, the other above-index-return performers were Utilities, Technology, and Producer Durables. Lagging the S&P 500 Index's total return were Financial Services, Materials and Processing, Health Care, Consumer Discretionary, and Other.
Contrary to our expectations, both high-quality and growth stocks remained out of favor with investors for the second year in a row. High-quality stocks in the S&P 500 -- as measured by stocks ranked B+ or higher by Standard & Poor's Corporation -- increased 10.1%, while stocks ranked B or lower increased 17.0%. Among large-cap stocks, growth stocks significantly lagged value stocks. For example, the Russell Top 200 Growth Index increased just 7.8%, while the Russell Top 200 Value Index rose 12.6%.
Portfolio Strategy
The Portfolio is managed using Calvert's Double DiligenceTM process, seeking attractive potential investments in well-managed firms by examining companies both financially and in terms of corporate responsibility.
For the reporting period, the Portfolio trailed the S&P 500 Index by just 0.39%. Our sector-weighting decisions were modestly positive except in Utilities and the two energy-related sectors, where, as is typical for a growth manager, we were underweight. These underweights detracted about 1.5% from performance. Fortunately, our overall individual stock selection added 2.6% to overall performance.
Selection was very good in Other Energy, Utilities, Financial Services, Consumer Discretionary, and Health Care. Only Technology and Producer Durables imposed a significant drag from stock selection. Our two energy stocks repeated last year's outstanding performance, with EOG Resources up 128% and Questar Corp. up 95%. Other outstanding long-term holdings were Franklin Resources (up 55%), Amgen (up 40%), and Fiserv (up 31%). On the downside, two mid-sized technology companies -- Zebra Technologies (down 28%) and Lexmark (down 25%) -- were fundamental disappointments, in both cases because of earnings shortfalls. In addition, many large-cap, high-quality technology leaders like Cisco Systems, Microsoft, and Dell languished and so did not provide the upside we expected. These three stocks did not experience any deterioration in their fundamentals and look very attractive to us at their current lower valuations.
Outlook
While we are cautious about the near-term market outlook, we are increasingly optimistic for the longer term.
Consumers have been spending at unprecedented rates relative to income. The officially reported savings rate is now at its lowest level ever. Recently, the Federal Reserve (Fed) expressed concern about price increases spreading across the economy, as businesses seek to pass on costs to consumers. We believe the Fed is likely to continue raising short-term rates, probably to 4.5%. In addition, we expect oil and gas prices to remain high, affecting consumers' ability and willingness to spend. All these factors make us cautious in the near term.
However, they also make us increasingly optimistic for the longer term. The market's valuation has declined sharply with the rise in interest rates over the past 15 months. If the economy slows, housing markets cool, and energy prices fall, economic excesses should lessen, signaling an end to the Fed's interest-rate increases. Such a development would be greeted by a stronger equity market.(Note, however, that if the combined pressures of further short-term interest rate increases and high energy prices cause weaker economic and profits growth than most investors now anticipate, the stock market could be negatively affected.)
We are enthusiastic about the relative prospects for the high-quality, socially responsible growth companies we seek for the Portfolio. We anticipate that lower-quality, more cyclical companies should have a more difficult time increasing profits in a slowing economic environment with rising interest rates. However, companies less sensitive to the economy and with less debt should sustain higher earnings growth and be more attractive.
October 2005
As of September 30, 2005, the following companies represented the following percentages of Portfolio net assets: EOG Resources 3.89%, Questar Corp. 3.07%, Franklin Resources 1.05%, Amgen 3.64%, Fiserv 2.09%, Zebra Technologies 1.36%, Lexmark 1.27%, Cisco Systems 2.68%, Microsoft 2.78%, and Dell 2.84%. All holdings are subject to change without notice.
Equity
Portfolio Statistics
September 30, 2005
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/05 | 9/30/05 |
Class A | 5.02% | 11.86% |
Class B | 4.59% | 10.91% |
Class C | 4.64% | 11.00% |
Class I | 5.32% | 12.48% |
S&P 500 Index Mthly. Reinvested* | 5.02% | 12.25% |
Lipper Multi-Cap Core Funds Avg.* | 6.51% | 14.64% |
|
|
|
Ten Largest Stock Holdings |
|
|
|
|
|
| % of Net Assets |
|
EOG Resources, Inc. | 3.9% |
|
Amgen, Inc. | 3.6% |
|
Questar Corp. | 3.1% |
|
Illinois Tool Works, Inc. | 3.0% |
|
American Express Co. | 2.9% |
|
Dell, Inc. | 2.8% |
|
Microsoft Corp. | 2.8% |
|
Pfizer, Inc. | 2.7% |
|
Cisco Systems, Inc. | 2.7% |
|
Kohl's Corp. | 2.6% |
|
Total | 30.1% |
|
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, 2005
Average Annual Total Returns
(with max. load)
Class A Shares |
|
One year | 6.53% |
Five year | 1.98% |
Ten year | 9.42% |
|
|
Class B Shares |
|
One year | 5.91% |
Five year | 1.88% |
Since inception | 5.16% |
(3/31/98) |
|
|
|
Equity Portfolio Statistics |
|
September 30, 2005 |
|
Average Annual Total Returns |
|
(with max. load) |
|
|
|
Class C Shares |
|
One year | 10.00% |
Five year | 2.13% |
Ten Year | 8.91% |
|
|
Class I Shares |
|
One year | 12.48% |
Five year | 3.50% |
Since inception | 6.62% |
(11/1/99) |
|
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. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. 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 Total Investments |
Consumer Discretionary | 17.1% |
Consumer Staples | 6.1% |
Financial Services | 16.8% |
Health Care | 20.2% |
Materials & Processing | 3.3% |
Other | 1.0% |
Other Energy | 4.4% |
Producer Durables | 12.0% |
Technology | 13.2% |
U.S. Government Agency Obligations | 2.6% |
Utilities | 3.1% |
Venture Capital | 0.2% |
Total | 100.0% |
Portfolio Management Discussion
Arlene Rockefeller
of SSgA Funds Management
Performance
Calvert Social Investment Fund Enhanced Equity Portfolio Class A shares at NAV returned 11.03% for the 12-month reporting period ended September 30, 2005. The Portfolio's benchmark, the Russell 1000(R) Index, returned 14.26%. The Portfolio lagged because of individual stock selection, primarily within the Technology sector.
Investment Climate
The economy completed its third consecutive year of above-trend growth during the reporting period. Healthy economic growth translated into rising corporate profits and higher stock prices. Small-cap stocks continued their recent dominance over large-cap names. For example, the Russell 2000(R) Index of small-cap stocks returned 17.92% over the reporting period, outpacing the large-cap Russell 1000 Index by more than 3%.
Economic reports were consistently positive over the reporting period. Estimates suggest that GDP (gross domestic product) grew 3.6% for the year ended September 30, 2005. In fact, most economic drivers, including housing investment and consumer spending, continued to show strength. Broad economic strength found its way into corporate profits, which have persistently shown double-digit percentage growth through the period. This growth pushed the unemployment rate down to 4.9% in August, versus the 5.4% rate 12 months earlier.
The downside of stronger economic growth manifested in rising energy prices and tighter Federal Reserve (Fed) monetary policy. Crude oil prices rose from $45 to $65 during the reporting period, driven by stronger demand and constrained supply. In addition, Hurricane Katrina inflicted severe structural damage to oil rigs in the Gulf of Mexico, putting further pressure on energy prices. The Fed, feeling that the risks of inflation outweighed the risks of any long-term economic damage from the hurricane, pushed the Fed funds rate up to 3.75% by period end.
Portfolio Strategy
The Portfolio is managed using Calvert's Double DiligenceTM process, seeking attractive potential investments in well-managed firms by examining companies both financially and in terms of corporate responsibility.
Sector/industry
Despite rising energy prices, sector allocation added marginal value to Portfolio performance through the reporting period. Surging oil prices and consistently rising commodity prices pushed stocks of the Integrated Oils Sector up 39% over the past year. While the Portfolio has no investment in Integrated Oils, we made up for this negative position by carrying a strong exposure to Other Energy stocks. This sector is composed largely of service firms and companies that explore for cleaner natural gas. Other Energy jumped 79% over the past year, as rising gas prices helped to make this the top-performing market sector.
During July 2005, the Portfolio strategically boosted holdings in the Energy sector. We made this decision in response to firming world-wide demand and constrained supplies. This move helped to reduce risk relative to the benchmark, as the Portfolio decreased its underweight to energy relative to the Russell 1000 Index.
Stock-specific
Stock selection, particularly in Technology, detracted from Portfolio performance through the reporting period.
The Portfolio tends to carry a natural overweight to larger-cap technology stocks for the purpose of risk control. The social screens exclude a fair number of large-cap companies from Portfolio investment. For example, Exxon Mobil, General Electric, and Citigroup are all ineligible. In order to keep the Portfolio's average market cap close to that of its benchmark, we take significant positions in other large-cap names, often from the Technology sector. Microsoft, Intel, IBM, and Dell are among such candidates.
Over the past year, Portfolio returns were hurt by sub-par performance from several large-cap technology companies, including IBM (-6%), Dell (-4%), and Cisco Systems, Inc.
(-1%). IBM was hit particularly hard during the first quarter after missing an earnings forecast and by Apple's decision to start using Intel processors. Dell struggled during the year because of concerns about falling market share and consistently falling computer prices. Cisco traded in a flat range all year, with investor sentiment on the stock shifting down after management forecast earnings lower for 2006.
Stock selection within the Energy sector helped to offset Technology selection. The Portfolio benefited from a 128% rise in the shares of EOG Resources. This developer and producer of natural gas saw over 80% growth in earnings, driven by sharply higher gas prices. In addition, shares of XTO Energy rose 87% over the reporting period as a result of the company's earnings rise of 75% and top-line sales increase of 67%.
Outlook
Our greatest concern at this point is with Fed policy. The Fed embarked on a cycle of Fed funds rate increases in June 2004. Since then, the rate has been increased at each Open Market Committee meeting, ending the reporting period at 3.75%. This percentage puts the yield on 10-year Treasury notes at 4.35%.
Our concern is that the Fed is showing more apprehension with regard to inflation than is the market. If the market is right in its judgment, then the Fed risks causing an inverted yield curve. (When the yield curve is inverted, long-term interest rates provide lower yields than do short-term interest rates.) Inverted yield curves are historically bad for the economy and bad for the markets. The last such episode, in the fall of 2000, precipitated the recession and bear market of 2001.
In that kind of market environment, a value approach to stock selection tends to perform much better than a growth approach. As a result, the CSIF Enhanced Equity Portfolio intends to maintain a full exposure to our valuation-driven model over the next year, focusing on attractively priced stocks that generate consistent cash flow. This strategy has worked well for our shareholders over time.
October 2005
As of September 30, 2005, the following companies represented the following percentages of Portfolio net assets: Microsoft 2.45%, Intel 2.60%, IBM 2.42%, Dell 1.74%, Cisco Systems, Inc. 1.68%, EOG Resources 1.87%, and XTO Energy 0.95%. All holdings are subject to change without notice.
Enhanced Equity
Portfolio Statistics
September 30, 2005
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/05 | 9/30/05 |
Class A | 4.94% | 11.03% |
Class B | 4.39% | 10.04% |
Class C | 4.43% | 10.06% |
Class I** | 5.16% | 10.97% |
Russell 1000 Index* | 6.08% | 14.26% |
Lipper Large-Cap Core Funds Avg.* | 4.97% | 11.54% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Source: Lipper Analytical Services, Inc.
** Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Investment Performance, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Investment Performance, the Class A performance at NAV was used during the period September 30, 2004 through April 29, 2005.
Enhanced Equity
Portfolio Statistics
September 30, 2005
Average Annual Total Returns
(with max. load)
Class A Shares |
|
One year | 5.45% |
Five year | (1.97%) |
Since inception | 2.54% |
(4/15/98) |
|
|
|
Class B Shares |
|
One year | 4.66% |
Five year | (2.25%) |
Since inception | 2.09% |
(4/15/98) |
|
|
|
|
|
Enhanced Equity |
|
Portfolio Statistics |
|
September 30, 2005 |
|
Average Annual Total Returns |
|
(with max. load) |
|
|
|
|
|
Class C Shares |
|
One year | 8.75% |
Five year | (2.03%) |
Since inception | 2.66% |
(6/1/98) |
|
|
|
Class I Shares* |
|
One year | 10.97% |
Five year | (0.79%) |
Since inception | 3.47% |
(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: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the period January 18, 2002 through April 29, 2005.
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. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. 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, 2005
Ten Largest Stock Holdings
| % of Net Assets |
Pfizer, Inc. | 2.8% |
Johnson & Johnson | 2.7% |
Bank of America Corp. | 2.7% |
Intel Corp. | 2.6% |
Microsoft Corp. | 2.5% |
International Business Machines Corp. | 2.4% |
Procter & Gamble Co. | 2.1% |
SBC Communications, Inc. | 2.1% |
Time Warner, Inc. | 2.0% |
JP Morgan Chase & Co. | 1.9% |
Total | 23.8% |
|
|
| % of Total |
Economic Sectors | Investments |
Auto & Transportation | 0.6% |
Consumer Discretionary | 13.5% |
Consumer Staples | 4.4% |
Financial Services | 24.7% |
Health Care | 14.6% |
Materials & Processing | 1.9% |
Other | 1.0% |
Other Energy | 6.3% |
Producer Durables | 6.6% |
Technology | 16.1% |
Utilities | 10.3% |
Total | 100% |
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, 2005 to September 30, 2005).
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.
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 | 4/1/05 | 9/30/05 | 4/1/05 - 9/30/05 |
Actual | $1,000.00 | $1,012.50 | $4.41 |
Hypothetical | $1,000.00 | $1,020.68 | $4.43 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Expenses for Money Market are equal to the annualized expense ratio of 0.875%, multiplied by the average account value over the period, multiplied by 183/365.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Balanced | 4/1/05 | 9/30/05 | 4/1/05 - 9/30/05 |
Class A |
|
|
|
Actual | $1,000.00 | $1,045.10 | $6.15 |
Hypothetical | $1,000.00 | $1,019.06 | $6.07 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,040.30 | $11.09 |
Hypothetical | $1,000.00 | $1,014.19 | $10.95 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,040.40 | $10.93 |
Hypothetical | $1,000.00 | $1,014.36 | $10.79 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,047.90 | $3.70 |
Hypothetical | $1,000.00 | $1,021.46 | $3.65 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Expenses for Balanced are equal to the annualized expense ratios of 1.20%, 2.17%, 2.14% and 0.72% for Class A, Class B, Class C and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/365.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Bond | 4/1/05 | 9/30/05 | 4/1/05 - 9/30/05 |
Class A |
|
|
|
Actual | $1,000.00 | $1,027.80 | $5.79 |
Hypothetical | $1,000.00 | $1,019.36 | $5.77 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,023.10 | $10.58 |
Hypothetical | $1,000.00 | $1,014.61 | $10.53 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,023.50 | $10.18 |
Hypothetical | $1,000.00 | $1,015.01 | $10.13 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,030.80 | $3.03 |
Hypothetical | $1,000.00 | $1,022.08 | $3.02 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Expenses for Bond are equal to the annualized expense ratios of 1.14%, 2.09%, 2.01%, 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 183/365.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Equity | 4/1/05 | 9/30/05 | 4/1/05 - 9/30/05 |
Class A |
|
|
|
Actual | $1,000.00 | $1,050.20 | $6.34 |
Hypothetical | $1,000.00 | $1,018.88 | $6.25 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,045.90 | $10.66 |
Hypothetical | $1,000.00 | $1,014.65 | $10.49 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,046.40 | $10.21 |
Hypothetical | $1,000.00 | $1,015.09 | $10.05 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,053.20 | $3.46 |
Hypothetical | $1,000.00 | $1,021.70 | $3.40 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Expenses for Equity are equal to the annualized expense ratios of 1.23%, 2.08%, 1.99%, 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 183/365.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Enhanced Equity | 4/1/05 | 9/30/05 | 4/1/05 - 9/30/05 |
Class A |
|
|
|
Actual | $1,000.00 | $1,049.40 | $7.10 |
Hypothetical | $1,000.00 | $1,018.14 | $6.99 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,043.90 | $11.91 |
Hypothetical | $1,000.00 | $1,013.42 | $11.73 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,044.30 | $11.72 |
Hypothetical | $1,000.00 | $1,013.60 | $11.54 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class I** |
|
|
|
Actual | $1,000.00 | $1,051.60 | $4.17 |
Hypothetical | $1,000.00 | $1,021.01 | $4.10 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Expenses for Enhanced Equity are equal to the annualized expense ratios of 1.38%, 2.32%, 2.29% and 0.81% for Class A, Class B, Class C, and Class I respectively, multiplied by the average account value over the period, multiplied by 183/365.
**Class I shares resumed upon shareholder investment on April 29, 2005. Therefore, there was a time during the reporting period when there were no shareholders in Class I. For purposes of reporting the total return, Class A performance at NAV is used during the period in which there were no shareholders in Class I. For purposes of this total return, the Class A performance at NAV was used during the period April 1, 2005, through April 29, 2005.
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, 2005, 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 four 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 year ended September 30, 2001 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, 2005, 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 the Calvert Money Market, Balanced, Bond, Equity, and Enhanced Equity Portfolios as of September 30, 2005 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 four year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Philadelphia, PA
November 17, 2005
Money Market Portfolio
Statement of Net Assets
September 30, 2005
U.S. Government Agencies and |
| Principal |
|
|
Instrumentalities - 9.3% |
| Amount | Value |
|
Fannie Mae: |
|
|
|
|
2.50%, 5/10/06 |
| $1,000,000 | $992,641 |
|
3.25%, 7/12/06 |
| 1,000,000 | 996,155 |
|
Fannie Mae Discount Notes, 3/31/06 |
| 1,000,000 | 982,855 |
|
Federal Home Loan Bank: |
|
|
|
|
1.70%, 12/30/05 |
| 1,000,000 | 996,531 |
|
1.90%, 4/12/06 |
| 1,000,000 | 991,089 |
|
3.60%, 5/24/06 (r) |
| 1,000,000 | 1,000,000 |
|
3.55%, 6/22/06 (r) |
| 1,000,000 | 1,000,000 |
|
4.00%, 7/28/06 |
| 1,000,000 | 1,000,000 |
|
4.20%, 10/6/06 |
| 1,000,000 | 1,000,000 |
|
Federal Home Loan Bank Discount Notes: |
|
|
|
|
2/10/06 |
| 1,000,000 | 986,048 |
|
6/2/06 |
| 1,000,000 | 976,617 |
|
Freddie Mac, 3.70%, 6/30/06 |
| 2,000,000 | 2,000,000 |
|
Freddie Mac Discount Notes: |
|
|
|
|
12/13/05 |
| 1,000,000 | 994,251 |
|
5/30/06 |
| 1,000,000 | 976,737 |
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
|
(Cost $14,892,924) |
|
| 14,892,924 |
|
|
|
|
|
|
Depository Receipts For U.S. Government |
|
|
|
|
Guaranteed Loans - 1.3% |
|
|
|
|
Colson Services Corporation Loan Sets: |
|
|
|
|
5.344%, 7/26/10 (c)(h)(r) |
| 93,103 | 93,133 |
|
5.25%, 1/22/11 (c)(h)(r) |
| 107,354 | 107,348 |
|
5.50%, 3/23/12 (c)(h)(r) |
| 103,959 | 104,204 |
|
5.375%, 5/29/12 (c)(h)(r) |
| 334,467 | 334,462 |
|
5.25%, 8/10/12 (c)(h)(r) |
| 1,084,859 | 1,090,067 |
|
5.00%, 9/2/12 (c)(h)(r) |
| 377,694 | 379,151 |
|
|
|
|
|
|
Total Depository Receipts For U.S. Government Guaranteed |
|
|
|
|
Loans (Cost $2,108,365) |
|
| 2,108,365 |
|
|
|
|
|
|
Variable Rate Loans Guaranteed by Agencies |
|
|
|
|
of The U.S. Government - 0.0% |
|
|
|
|
Loan pools, 2.65%, 3/1/07 (h)(r) |
| 45,478 | 45,478 |
|
|
|
|
|
|
Total Variable Rate Loans Guaranteed by Agencies of the U.S. |
|
|
|
|
Government (Cost $45,478) |
|
| 45,478 |
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
Certificates of Deposit - 1.2% |
| Amount | Value |
|
Bank of America, 3.20%, 4/24/06 (k) |
| $100,000 | $100,000 |
|
Bank of Cherokee County, 2.35%, 4/21/06 (k) |
| 100,000 | 100,000 |
|
Broadway Federal Bank FSB, 3.61%, 9/15/06 (k) |
| 100,000 | 100,000 |
|
Community Bank of the Bay, 2.18%, 10/7/05 (k) |
| 100,000 | 100,000 |
|
Community Capital Bank, 2.60%, 1/20/06 (k) |
| 100,000 | 100,000 |
|
Elk Horn Bank & Trust Co., 1.75%, 12/18/05 (k) |
| 100,000 | 100,000 |
|
One United Bank, 2.89%, 6/19/06 (k) |
| 100,000 | 100,000 |
|
Seaway National Bank, 2.35%, 1/27/06 (k) |
| 100,000 | 100,000 |
|
Self Help Credit Union, 3.96%, 7/14/06 (k) |
| 100,000 | 100,000 |
|
Toronto Dominion Bank, 3.94%, 7/10/06 |
| 1,000,000 | 998,390 |
|
|
|
|
|
|
Total Certificates of Deposit (Cost $1,898,390) |
|
| 1,898,390 |
|
|
|
|
|
|
Taxable Variable Rate Demand Notes - 83.9% |
|
|
|
|
550 West 14th Place Revenue, 3.89%, 2/1/29, |
|
|
|
|
LOC: Harris Trust (r) |
| 3,510,000 | 3,510,000 |
|
Akron Hardware Consultants, Inc., 3.91%, 11/1/22, |
|
|
|
|
LOC: FirstMerit Bank, C/LOC: FHLB (r) |
| 1,417,000 | 1,417,000 |
|
Alabama State Incentives Financing Authority Revenue, 3.88%, |
|
|
|
|
10/1/29, BPA: Wachovia Bank, AMBAC Insured (r) |
| 4,045,000 | 4,045,000 |
|
Berks County Pennsylvania IDA Revenue, 3.96%, 6/1/15, |
|
|
|
|
LOC: Wachovia Bank (r) |
| 1,560,000 | 1,560,000 |
|
Bloomington Minnesota MFH Revenue, 3.84%, 11/15/32, |
|
|
|
|
LOC: Fannie Mae (r) |
| 5,005,000 | 5,005,000 |
|
Bochasanwais Shree Akshar Purushottam Swaminarayan Sanstha, |
|
|
|
|
Inc., 3.94%, 6/1/21, LOC: Comercia Bank (r) |
| 5,480,000 | 5,480,000 |
|
California Statewide Communities Development Authority MFH |
|
|
|
|
Revenue, 3.96%, 7/1/27, LOC: Bank of the West, |
|
|
|
|
C/LOC: CALSTRs (r) |
| 80,000 | 80,000 |
|
California Statewide Communities Development Authority Revenue, |
|
|
|
|
3.55%, 11/15/36, GIC: XL-Capital-Assurance, Inc. (r) |
| 1,050,000 | 1,050,000 |
|
California Statewide Communities Development Authority |
|
|
|
|
Special Tax Revenue, 3.88%, 3/15/34, LOC: Fannie Mae (r) |
| 3,050,000 | 3,050,000 |
|
Dunn Nursing Home, Inc., 3.85%, 2/1/24, LOC: Peoples Bank |
|
|
|
|
& Trust, C/LOC: FHLB (r) |
| 4,745,000 | 4,745,000 |
|
Florida State Housing Finance Corp. MFH Revenue: |
|
|
|
|
3.88%, 10/15/32, LOC: Fannie Mae (r) |
| 2,225,000 | 2,225,000 |
|
3.88%, 10/15/32, LOC: Fannie Mae (r) |
| 2,400,000 | 2,400,000 |
|
3.85%, 11/1/32, LOC: Freddie Mac (r) |
| 1,450,000 | 1,450,000 |
|
Grove City Church of the Nazarene, 3.90%, 2/1/24, |
|
|
|
|
LOC: National City Bank (r) |
| 5,742,000 | 5,742,000 |
|
Heritage Funeral Services LLC, 3.98%, 2/1/18, LOC: Old National |
|
|
|
|
Bank, C/LOC: Northern Trust Co. (r) |
| 760,000 | 760,000 |
|
Holland Board of Public Works Home Building Co., 3.98%, 11/1/22, |
|
|
|
|
LOC: Wells Fargo Bank (r) |
| 1,110,000 | 1,110,000 |
|
Jefferson County Kentucky Health Facilities Revenue, 3.93%, 12/1/25, |
|
|
|
|
LOC: Republic Bank & Trust, C/LOC: FHLB (r) |
| 5,295,000 | 5,295,000 |
|
Jobs Co. LLC, 3.88%, 5/1/22, LOC: First Commonwealth |
|
|
|
|
Bank (r) |
| 2,700,000 | 2,700,000 |
|
|
|
|
|
|
|
| Principal |
|
|
Taxable Variable Rate Demand Notes - Cont'd |
| Amount | Value |
|
Kaneville Road Joint Venture, Inc., 3.90%, 11/1/32, |
|
|
|
|
LOC: First American Bank, C/LOC: FHLB (r) |
| $5,280,000 | $5,280,000 |
|
Los Angeles California MFH Revenue, 3.88%, 12/15/34, |
|
|
|
|
LOC: Fannie Mae (r) |
| 3,100,000 | 3,100,000 |
|
Main & Walton, Inc., 3.85%, 9/1/26, LOC: Waypoint Bank, |
|
|
|
|
C/LOC: FHLB (r) |
| 5,225,000 | 5,225,000 |
|
Meriter Hospital, Inc., 3.89%, 12/1/16, LOC: U.S. Bank (r) |
| 4,700,000 | 4,700,000 |
|
Milpitas California MFH Revenue, 3.85%, 8/15/33, |
|
|
|
|
LOC: Fannie Mae (r) |
| 2,500,000 | 2,500,000 |
|
Milwaukee Wisconsin Redevelopment Authority Revenue, 3.92%, |
|
|
|
|
8/1/20, LOC: Marshall & Ilsley Bank (r) |
| 1,340,000 | 1,340,000 |
|
Montgomery Alabama Special Care Facilities Financing Authority |
|
|
|
|
Revenue, 3.84%, 7/1/17, LOC: Regions Bank (r) |
| 395,000 | 395,000 |
|
Montgomery County Alabama Cancer Center LLC, 3.88%, |
|
|
|
|
10/1/12, LOC: Wachovia Bank (r) |
| 100,000 | 100,000 |
|
Montgomery New York Industrial Development Board Pollution |
|
|
|
|
Control Revenue, 3.99%, 5/1/25, LOC: FHLB (r) |
| 1,875,000 | 1,875,000 |
|
New York State GO, 4.20%, 3/15/10, LOC: Dexia |
|
|
|
|
Credit Local (r) |
| 750,000 | 750,000 |
|
Osprey Management Co. LLC, 3.88%, 6/1/27, |
|
|
|
|
LOC: Wells Fargo Bank (r) |
| 2,400,000 | 2,400,000 |
|
Peoploungers, Inc., 3.88%, 4/1/18, LOC: Bank of New Albany, |
|
|
|
|
C/LOC: FHLB (r) |
| 3,300,000 | 3,300,000 |
|
Portage Indiana Economic Development Revenue, 4.10%, 3/1/20, |
|
|
|
|
LOC: FHLB (r) |
| 1,040,000 | 1,040,000 |
|
Racetrac Capital LLC, 3.87%, 9/1/20, LOC: Regions Bank (r) |
| 5,200,000 | 5,200,000 |
|
Rex Lumber LLC, 3.88%, 2/1/22, LOC: Whitney National Bank, |
|
|
|
|
C/LOC: FHLB (r) |
| 8,000,000 | 8,000,000 |
|
San Joaquin Mariners Association LP, 3.95%, 7/1/29, |
|
|
|
|
LOC: Credit Suisse First Boston Corp. (r) |
| 1,225,000 | 1,225,000 |
|
Scottsboro Alabama Industrial Development Board Revenue, |
|
|
|
|
3.85%, 10/1/10, LOC: Wachovia Bank (r) |
| 785,000 | 785,000 |
|
Sea Island Co., 4.15%, 2/1/21, LOC: Columbus Bank & Trust (r) |
| 1,975,000 | 1,975,000 |
|
Shawnee Kansas Private Activity Revenue, 3.85%, 12/1/12, |
|
|
|
|
LOC: JP Morgan Chase Bank (r) |
| 300,000 | 300,000 |
|
Shelby County Tennessee Health Educational and Housing |
|
|
|
|
Facilities Board Revenue, 4.15%, 12/1/27, LOC: First |
|
|
|
|
Tennessee Bank (r) |
| 1,600,000 | 1,600,000 |
|
Southeast Alabama Gas Distribution Revenue, 3.88%, 6/1/25, |
|
|
|
|
BPA: AmSouth Bank, AMBAC Insured (r) |
| 6,060,000 | 6,060,000 |
|
Southern Indiana Investments Company Two LLC, 3.85%, |
|
|
|
|
10/15/26, LOC: Old National Bank, C/LOC: FHLB (r) |
| 2,680,000 | 2,680,000 |
|
Southern Orthopaedic Properties, 3.88%, 10/1/21, LOC: |
|
|
|
|
Columbus Bank & Trust (r) |
| 1,680,000 | 1,680,000 |
|
St. Joseph County Indiana Economic Development Revenue |
|
|
|
|
4.15%, 6/1/27, LOC: FHLB (r) |
| 430,000 | 430,000 |
|
St. Paul Minnesota Housing and Redevelopment Authority |
|
|
|
|
Revenue, 3.84%, 3/1/18, LOC: Dexia Credit Local (r) |
| 630,000 | 630,000 |
|
St. Paul Minnesota Port Authority Revenue: |
|
|
|
|
4.13%, 3/1/07, LOC: Dexia Credit Local (r) |
| 145,000 | 145,000 |
|
4.03%, 3/1/21, LOC: Dexia Credit Local (r) |
| 1,860,000 | 1,860,000 |
|
Suffolk County New York IDA Revenue, 3.84%, 12/15/07, |
|
|
|
|
LOC: JP Morgan Chase Bank (r) |
| 1,515,000 | 1,515,000 |
|
|
|
|
|
|
|
| Principal |
|
|
Taxable Variable Rate Demand Notes - Cont'd |
| Amount | Value |
|
Taylor County Kentucky Tax Notes, 3.88%, 1/1/19, |
|
|
|
|
LOC: Peoples Bank & Trust, C/LOC: FHLB (r) |
| $465,000 | $465,000 |
|
Tucson Arizona Airport Authority, Inc. Revenue, 3.85%, 11/1/18, |
|
|
|
|
LOC: Bank of America (r) |
| 1,680,000 | 1,680,000 |
|
Tyler Enterprises LLC, 3.85%, 10/1/22, LOC: Peoples Bank & Trust, |
|
|
|
|
C/LOC: FHLB (r) |
| 4,925,000 | 4,925,000 |
|
Washington State Housing Finance Commission Revenue: |
|
|
|
|
3.87%, 1/1/30, LOC: Wells Fargo Bank (r) |
| 2,697,000 | 2,697,000 |
|
3.88%, 6/15/32, CA: Fannie Mae (r) |
| 1,440,000 | 1,440,000 |
|
3.88%, 7/15/32, CA: Fannie Mae (r) |
| 1,335,000 | 1,335,000 |
|
3.88%, 7/15/34, LOC: Fannie Mae (r) |
| 310,000 | 310,000 |
|
3.92%, 5/15/35, LOC: Fannie Mae (r) |
| 785,000 | 785,000 |
|
3.87%, 5/1/37, LOC: Freddie Mac (r) |
| 3,000,000 | 3,000,000 |
|
|
|
|
|
|
Total Taxable Variable Rate Demand Notes (Cost $134,351,000) |
|
| 134,351,000 |
|
|
|
|
|
|
Taxable Municipal Obligations - 0.6% |
|
|
|
|
Dallas Texas GO Bonds, 3.24%, 2/15/06 |
| 1,000,000 | 1,000,000 |
|
|
|
|
|
|
Total Taxable Municipal Obligations (Cost $1,000,000) |
|
| 1,000,000 |
|
|
|
|
|
|
Total Investments (Cost $154,296,157) - 96.3% |
|
| 154,296,157 |
|
Other assets and liabilities, net - 3.7% |
|
| 5,921,681 |
|
Net Assets - 100% |
|
| $160,217,838 |
|
|
|
|
|
|
|
|
|
|
|
Net Assets Consist of: |
|
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized, 160,322,534 shares outstanding |
| $160,278,288 |
| |
Undistributed net investment income |
|
| 8,907 |
|
Accumulated net realized gain (loss) on investments |
|
| (69,357) |
|
|
|
|
|
|
Net Assets |
|
| $160,217,838 |
|
|
|
|
|
|
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, 2005
Equity Securities - 61.9% |
| Shares | Value |
|
Advertising Agencies - 0.3% |
|
|
|
|
Omnicom Group, Inc. |
| 21,300 | $1,781,319 |
|
|
|
|
|
|
Air Transportation - 0.4% |
|
|
|
|
AAR Corp.* |
| 18,300 | 314,394 |
|
Continental Airlines, Inc. Class B* |
| 37,900 | 366,114 |
|
Expeditors International Washington, Inc. |
| 6,150 | 349,197 |
|
FedEx Corp. |
| 14,900 | 1,298,237 |
|
|
|
| 2,327,942 |
|
|
|
|
|
|
Auto Parts - Original Equipment - 0.0% |
|
|
|
|
Autoliv, Inc. |
| 5,400 | 234,900 |
|
|
|
|
|
|
Auto Trucks & Parts - 0.0% |
|
|
|
|
Modine Manufacturing Co. |
| 7,200 | 264,096 |
|
|
|
|
|
|
Banks - New York City - 1.0% |
|
|
|
|
BAC Capital Trust IV, Preferred |
| 34,000 | 828,750 |
|
JPMorgan Chase & Co. |
| 151,233 | 5,131,336 |
|
|
|
| 5,960,086 |
|
|
|
|
|
|
Banks - Outside New York City - 3.8% |
|
|
|
|
Bank of America Corp. |
| 171,400 | 7,215,940 |
|
BB&T Corp. |
| 8,200 | 320,210 |
|
First Republic Preferred Capital Corp., Preferred (e) |
| 500 | 550,000 |
|
KeyCorp Ltd. |
| 25,200 | 812,700 |
|
M&T Bank Corp. |
| 21,200 | 2,241,052 |
|
National City Corp. |
| 5,900 | 197,296 |
|
North Fork Bancorp, Inc. |
| 7,950 | 202,725 |
|
US Bancorp |
| 101,800 | 2,858,544 |
|
Wachovia Corp. |
| 96,300 | 4,582,917 |
|
Wells Fargo & Co. |
| 52,600 | 3,080,782 |
|
|
|
| 22,062,166 |
|
|
|
|
|
|
Biotechnology - Research & Production - 1.2% |
|
|
|
|
Allos Therapeutics* |
| 171,271 | 417,901 |
|
Amgen, Inc.* |
| 56,150 | 4,473,471 |
|
Invitrogen Corp.* |
| 26,200 | 1,971,026 |
|
|
|
| 6,862,398 |
|
|
|
|
|
|
Building Materials - 0.2% |
|
|
|
|
Masco Corp. |
| 30,800 | 944,944 |
|
|
|
|
|
|
Chemicals - 0.6% |
|
|
|
|
Airgas, Inc. |
| 3,000 | 88,890 |
|
Lubrizol Corp. |
| 1,200 | 51,996 |
|
Praxair, Inc. |
| 49,800 | 2,386,914 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Chemicals - Cont'd |
|
|
|
|
Sigma-Aldrich Corp. |
| 16,700 | $1,069,802 |
|
|
|
| 3,597,602 |
|
|
|
|
|
|
Communications & Media - 0.9% |
|
|
|
|
Time Warner, Inc. |
| 271,100 | 4,909,621 |
|
|
|
|
|
|
Communications Technology - 1.2% |
|
|
|
|
Cisco Systems, Inc.* |
| 244,856 | 4,390,268 |
|
Harris Corp. |
| 52,000 | 2,173,600 |
|
Motorola, Inc. |
| 13,700 | 302,633 |
|
|
|
| 6,866,501 |
|
|
|
|
|
|
Computer - Services, Software & Systems - 2.4% |
|
|
|
|
Adobe Systems, Inc. |
| 100,300 | 2,993,955 |
|
BMC Software, Inc.* |
| 26,700 | 563,370 |
|
Compuware Corp.* |
| 52,800 | 501,600 |
|
Intuit, Inc.* |
| 7,500 | 336,075 |
|
Microsoft Corp. |
| 305,309 | 7,855,600 |
|
Symantec Corp.* |
| 60,710 | 1,375,689 |
|
Trizetto Group, Inc.* |
| 16,100 | 227,332 |
|
|
|
| 13,853,621 |
|
|
|
|
|
|
Computer Technology - 2.9% |
|
|
|
|
Apple Computer, Inc.* |
| 20,000 | 1,072,200 |
|
Dell, Inc.* |
| 178,400 | 6,101,280 |
|
EMC Corp.* |
| 72,786 | 941,851 |
|
Hewlett-Packard Co. |
| 31,400 | 916,880 |
|
International Business Machines Corp. |
| 92,300 | 7,404,306 |
|
Western Digital Corp.* |
| 30,000 | 387,900 |
|
|
|
| 16,824,417 |
|
|
|
|
|
|
Consumer Electronics - 0.4% |
|
|
|
|
Yahoo!, Inc.* |
| 73,200 | 2,477,088 |
|
|
|
|
|
|
Consumer Products - 0.9% |
|
|
|
|
Alberto-Culver Co. |
| 25,300 | 1,132,175 |
|
American Greetings Corp. |
| 4,600 | 126,040 |
|
Gillette Co. |
| 8,200 | 477,240 |
|
Kimberly-Clark Corp. |
| 53,000 | 3,155,090 |
|
Toro Co. |
| 7,600 | 279,376 |
|
|
|
| 5,169,921 |
|
|
|
|
|
|
Containers & Packaging - Paper & Plastic - 0.0% |
|
|
|
|
Sealed Air Corp.* |
| 600 | 28,476 |
|
|
|
|
|
|
Cosmetics - 0.2% |
|
|
|
|
Estee Lauder Co.'s, Inc. |
| 33,500 | 1,166,805 |
|
|
|
|
|
|
Diversified Financial Services - 2.9% |
|
|
|
|
American Express Co. |
| 96,700 | 5,554,448 |
|
CIT Group, Inc. |
| 5,600 | 253,008 |
|
Goldman Sachs Group, Inc. |
| 46,500 | 5,653,470 |
|
MFH Financial Trust I, Preferred (e) |
| 20,000 | 1,980,000 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Diversified Financial Services - Cont'd |
|
|
|
|
Roslyn Real Estate Asset Corp., Preferred |
| 10 | $1,000,000 |
|
WoodBourne Pass-Through Trust, Preferred (e) |
| 20 | 1,997,500 |
|
|
|
| 16,438,426 |
|
|
|
|
|
|
Diversified Materials & Processing - 0.1% |
|
|
|
|
American Standard Co.'s, Inc. |
| 9,000 | 418,950 |
|
Armor Holdings, Inc.* |
| 5,500 | 236,555 |
|
|
|
| 655,505 |
|
|
|
|
|
|
Diversified Production - 0.6% |
|
|
|
|
Danaher Corp. |
| 52,641 | 2,833,665 |
|
Dover Corp. |
| 8,400 | 342,636 |
|
|
|
| 3,176,301 |
|
|
|
|
|
|
Drug & Grocery Store Chains - 0.5% |
|
|
|
|
Supervalu, Inc. |
| 14,500 | 451,240 |
|
Walgreen Co. |
| 55,800 | 2,424,510 |
|
|
|
| 2,875,750 |
|
|
|
|
|
|
Drugs & Pharmaceuticals - 3.4% |
|
|
|
|
Barr Pharmaceuticals, Inc.* |
| 12,600 | 691,992 |
|
Cardinal Health, Inc. |
| 25,800 | 1,636,752 |
|
Gilead Sciences, Inc.* |
| 7,005 | 341,564 |
|
Johnson & Johnson |
| 133,700 | 8,460,536 |
|
Medimmune, Inc.* |
| 19,854 | 668,087 |
|
Pfizer, Inc. |
| 298,300 | 7,448,551 |
|
|
|
| 19,247,482 |
|
|
|
|
|
|
Electrical - Household Appliances - 0.0% |
|
|
|
|
Maytag Corp. |
| 5,200 | 94,952 |
|
|
|
|
|
|
Electrical Equipment & Components - 0.2% |
|
|
|
|
Cooper Industries Ltd. |
| 4,500 | 311,130 |
|
Molex, Inc. |
| 27,500 | 733,700 |
|
|
|
| 1,044,830 |
|
|
|
|
|
|
Electronics - 0.1% |
|
|
|
|
Amphenol Corp. |
| 11,250 | 453,825 |
|
|
|
|
|
|
Electronics - Medical Systems - 0.8% |
|
|
|
|
Medtronic, Inc. |
| 80,471 | 4,314,855 |
|
|
|
|
|
|
Electronics - Semiconductors / Components - 2.6% |
|
|
|
|
Analog Devices, Inc. |
| 35,300 | 1,311,042 |
|
Integrated Device Technology, Inc.* |
| 11,830 | 127,054 |
|
Intel Corp. |
| 268,600 | 6,620,990 |
|
Jabil Circuit, Inc.* |
| 45,400 | 1,403,768 |
|
National Semiconductor Corp. |
| 113,800 | 2,992,940 |
|
Texas Instruments, Inc. |
| 74,600 | 2,528,940 |
|
|
|
| 14,984,734 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Energy Miscellaneous - 0.6% |
|
|
|
|
Evergreen Solar, Inc.* |
| 66,000 | $615,780 |
|
Veritas DGC, Inc.* |
| 84,400 | 3,090,728 |
|
|
|
| 3,706,508 |
|
|
|
|
|
|
Finance - Small Loan - 0.4% |
|
|
|
|
SLM Corp. |
| 43,400 | 2,327,976 |
|
|
|
|
|
|
Financial Data Processing Services - 1.2% |
|
|
|
|
Automatic Data Processing, Inc. |
| 80,800 | 3,477,632 |
|
CompuCredit Corp.* |
| 21,600 | 959,472 |
|
Deluxe Corp. |
| 6,750 | 271,080 |
|
First Data Corp. |
| 55,500 | 2,220,000 |
|
|
|
| 6,928,184 |
|
|
|
|
|
|
Financial Miscellaneous - 1.2% |
|
|
|
|
Fannie Mae |
| 36,100 | 1,618,002 |
|
Providian Financial Corp.* |
| 38,900 | 687,752 |
|
Freddie Mac |
| 9,800 | 553,308 |
|
MBNA Corp. |
| 119,400 | 2,942,016 |
|
MGIC Investment Corp. |
| 9,900 | 635,580 |
|
Nationwide Financial Services, Inc. |
| 5,900 | 236,295 |
|
|
|
| 6,672,953 |
|
|
|
|
|
|
Foods - 1.7% |
|
|
|
|
General Mills, Inc. |
| 23,800 | 1,147,160 |
|
Hershey Foods Corp. |
| 28,500 | 1,604,835 |
|
Kellogg Co. |
| 97,800 | 4,511,514 |
|
McCormick & Co., Inc. |
| 16,400 | 535,132 |
|
Sysco Corp. |
| 12,500 | 392,125 |
|
William Wrigley Jr. Co. |
| 20,900 | 1,502,292 |
|
|
|
| 9,693,058 |
|
|
|
|
|
|
Forest Products - 0.3% |
|
|
|
|
Weyerhaeuser Co. |
| 23,400 | 1,608,750 |
|
|
|
|
|
|
Healthcare Facilities - 0.4% |
|
|
|
|
Health Management Associates, Inc. |
| 14,000 | 328,580 |
|
Laboratory Corp. of America Holdings, Inc.* |
| 35,800 | 1,743,818 |
|
|
|
| 2,072,398 |
|
|
|
|
|
|
Healthcare Management Services - 0.3% |
|
|
|
|
Caremark Rx, Inc.* |
| 23,200 | 1,158,376 |
|
IMS Health, Inc. |
| 33,000 | 830,610 |
|
|
|
| 1,988,986 |
|
|
|
|
|
|
Healthcare Services - 2.1% |
|
|
|
|
Express Scripts, Inc.* |
| 27,300 | 1,698,060 |
|
Lincare Holdings, Inc.* |
| 8,500 | 348,925 |
|
McKesson Corp. |
| 52,400 | 2,486,380 |
|
WellPoint, Inc.* |
| 97,600 | 7,400,032 |
|
|
|
| 11,933,397 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Home Building - 1.6% |
|
|
|
|
DR Horton, Inc. |
| 8,000 | $289,760 |
|
KB Home |
| 3,500 | 256,200 |
|
NVR, Inc.* |
| 4,300 | 3,805,285 |
|
Pulte Homes, Inc. |
| 83,000 | 3,562,360 |
|
Standard-Pacific Corp. |
| 32,800 | 1,361,528 |
|
|
|
| 9,275,133 |
|
|
|
|
|
|
Household Equipment & Products - 0.5% |
|
|
|
|
Black & Decker Corp. |
| 32,600 | 2,676,134 |
|
|
|
|
|
|
Identification Control & Filter Devices - 0.2% |
|
|
|
|
Donaldson Co., Inc. |
| 8,625 | 263,321 |
|
Parker Hannifin Corp. |
| 12,800 | 823,168 |
|
Waters Corp.* |
| 3,700 | 153,920 |
|
|
|
| 1,240,409 |
|
|
|
|
|
|
Insurance - Life - 1.1% |
|
|
|
|
Conseco, Inc.: |
|
|
|
|
Preferred |
| 80,500 | 2,152,570 |
|
Warrants (strike price $27.60/share, expires 9/10/08)* |
| 3,161 | 8,882 |
|
Phoenix Co.'s, Inc. |
| 15,600 | 190,320 |
|
Principal Financial Group |
| 54,200 | 2,567,454 |
|
Prudential Financial, Inc. |
| 20,500 | 1,384,980 |
|
|
|
| 6,304,206 |
|
|
|
|
|
|
Insurance - Multi-Line - 1.2% |
|
|
|
|
Arthur J. Gallagher & Co. |
| 8,500 | 244,885 |
|
Cigna Corp. |
| 33,500 | 3,948,310 |
|
Hartford Financial Services Group, Inc. |
| 20,198 | 1,558,680 |
|
Lincoln National Corp. |
| 12,400 | 645,048 |
|
Safeco Corp. |
| 3,200 | 170,816 |
|
St. Paul Travelers Co.'s, Inc. |
| 2,600 | 116,662 |
|
UnumProvident Corp. |
| 900 | 18,450 |
|
|
|
| 6,702,851 |
|
|
|
|
|
|
Insurance - Property & Casualty - 0.8% |
|
|
|
|
21st Century Insurance Group |
| 13,500 | 215,325 |
|
Chubb Corp. |
| 21,500 | 1,925,325 |
|
Commerce Group, Inc. |
| 22,100 | 1,282,242 |
|
Progressive Corp. |
| 8,800 | 921,976 |
|
|
|
| 4,344,868 |
|
|
|
|
|
|
Investment Management Companies - 0.0% |
|
|
|
|
SEI Investments Co. |
| 7,100 | 266,818 |
|
|
|
|
|
|
Leisure Time - 0.1% |
|
|
|
|
Vail Resorts, Inc.* |
| 24,700 | 710,125 |
|
|
|
|
|
|
Machinery - Construction & Handling - 0.3% |
|
|
|
|
Terex Corp.* |
| 38,300 | 1,893,169 |
|
|
|
|
|
|
Machinery - Engines - 0.2% |
|
|
|
|
Cummins, Inc. |
| 10,100 | 888,699 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Machinery - Industrial / Specialty - 0.6% |
|
|
|
|
Illinois Tool Works, Inc. |
| 42,500 | $3,499,025 |
|
|
|
|
|
|
Machinery - Oil Well Equipment & Services - 0.6% |
|
|
|
|
Cooper Cameron Corp.* |
| 25,400 | 1,877,822 |
|
Smith International, Inc. |
| 44,400 | 1,478,964 |
|
|
|
| 3,356,786 |
|
|
|
|
|
|
Machinery - Specialty - 0.1% |
|
|
|
|
Graco, Inc. |
| 10,100 | 346,228 |
|
|
|
|
|
|
Medical & Dental - Instruments & Supplies - 0.9% |
|
|
|
|
Beckman Coulter, Inc. |
| 4,000 | 215,920 |
|
Becton Dickinson & Co. |
| 52,500 | 2,752,575 |
|
Cytyc Corp.* |
| 11,000 | 295,350 |
|
Dentsply International, Inc. |
| 5,100 | 275,502 |
|
St. Jude Medical, Inc.* |
| 4,100 | 191,880 |
|
Stryker Corp. |
| 26,200 | 1,295,066 |
|
|
|
| 5,026,293 |
|
|
|
|
|
|
Medical Services - 0.1% |
|
|
|
|
Coventry Health Care, Inc.* |
| 4,050 | 348,381 |
|
|
|
|
|
|
Multi-Sector Companies - 0.7% |
|
|
|
|
3M Co. |
| 54,400 | 3,990,784 |
|
|
|
|
|
|
Office Furniture & Business Equipment - 0.2% |
|
|
|
|
Lexmark International, Inc.* |
| 10,700 | 653,235 |
|
Xerox Corp.* |
| 29,400 | 401,310 |
|
|
|
| 1,054,545 |
|
|
|
|
|
|
Oil - Crude Producers - 2.9% |
|
|
|
|
Cimarex Energy Co.* |
| 5,800 | 262,914 |
|
EOG Resources, Inc. |
| 106,200 | 7,954,380 |
|
Pioneer Natural Resources Co. |
| 30,400 | 1,669,568 |
|
Plains Exploration & Production Co.* |
| 12,000 | 513,840 |
|
XTO Energy, Inc. |
| 143,609 | 6,508,360 |
|
|
|
| 16,909,062 |
|
|
|
|
|
|
Paints & Coatings - 0.0% |
|
|
|
|
H.B. Fuller Co. |
| 1,600 | 49,728 |
|
|
|
|
|
|
Photography - 0.0% |
|
|
|
|
Eastman Kodak Co. |
| 10,000 | 243,300 |
|
|
|
|
|
|
Publishing - Miscellaneous - 0.6% |
|
|
|
|
McGraw-Hill Co.'s, Inc. |
| 75,400 | 3,622,216 |
|
|
|
|
|
|
Radio & Television Broadcasters - 0.1% |
|
|
|
|
XM Satellite Radio Holdings, Inc.* |
| 11,000 | 395,010 |
|
|
|
|
|
|
Real Estate Investment Trust - 0.1% |
|
|
|
|
Equity Office Properties Trust |
| 11,200 | 366,352 |
|
FelCor Lodging Trust, Inc.* |
| 24,000 | 363,600 |
|
|
|
| 729,952 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Recreational Vehicles & Boats - 0.0% |
|
|
|
|
Harley-Davidson, Inc. |
| 5,000 | $242,200 |
|
|
|
|
|
|
Restaurants - 0.3% |
|
|
|
|
CKE Restaurants, Inc. |
| 35,000 | 461,300 |
|
Darden Restaurants, Inc. |
| 43,900 | 1,333,243 |
|
|
|
| 1,794,543 |
|
|
|
|
|
|
Retail - 3.6% |
|
|
|
|
Barnes & Noble, Inc. |
| 34,700 | 1,308,190 |
|
Bed Bath & Beyond, Inc.* |
| 53,100 | 2,133,558 |
|
Best Buy Co., Inc. |
| 21,800 | 948,954 |
|
Costco Wholesale Corp. |
| 25,700 | 1,107,413 |
|
Dollar Tree Stores, Inc.* |
| 4,000 | 86,600 |
|
Gaiam, Inc.* |
| 12,500 | 129,000 |
|
Gap, Inc. |
| 94,200 | 1,641,906 |
|
Home Depot, Inc. |
| 124,450 | 4,746,523 |
|
Linens 'N Things, Inc.* |
| 11,000 | 293,700 |
|
Lowe's Co.'s, Inc. |
| 30,900 | 1,989,960 |
|
Nordstrom, Inc. |
| 48,800 | 1,674,816 |
|
Ross Stores, Inc. |
| 7,500 | 177,750 |
|
Saks, Inc.* |
| 4,400 | 81,400 |
|
ShopKo Stores, Inc.* |
| 400 | 10,208 |
|
Staples, Inc. |
| 77,100 | 1,643,772 |
|
Target Corp. |
| 48,156 | 2,500,741 |
|
|
|
| 20,474,491 |
|
|
|
|
|
|
Savings & Loans - 0.7% |
|
|
|
|
Downey Financial Corp. |
| 10,000 | 609,000 |
|
Golden West Financial Corp. |
| 22,500 | 1,336,275 |
|
Washington Mutual, Inc. |
| 55,600 | 2,180,632 |
|
|
|
| 4,125,907 |
|
|
|
|
|
|
Securities Brokers & Services - 0.5% |
|
|
|
|
Charles Schwab Corp. |
| 8,700 | 125,541 |
|
Franklin Resources, Inc. |
| 32,400 | 2,720,304 |
|
|
|
| 2,845,845 |
|
|
|
|
|
|
Services - Commercial - 0.2% |
|
|
|
|
eBay, Inc.* |
| 20,100 | 828,120 |
|
Manpower, Inc. |
| 8,500 | 377,315 |
|
|
|
| 1,205,435 |
|
|
|
|
|
|
Shoes - 0.1% |
|
|
|
|
Timberland Co.* |
| 10,900 | 368,202 |
|
|
|
|
|
|
Soaps & Household Chemicals - 1.4% |
|
|
|
|
Colgate-Palmolive Co. |
| 7,400 | 390,646 |
|
Procter & Gamble Co. |
| 129,400 | 7,694,124 |
|
|
|
| 8,084,770 |
|
|
|
|
|
|
Telecommunications Equipment - 0.0% |
|
|
|
|
Audiovox Corp.* |
| 3,000 | 41,940 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Transportation Miscellaneous - 0.1% |
|
|
|
|
United Parcel Service, Inc., Class B |
| 8,700 | $601,431 |
|
|
|
|
|
|
Utilities - Cable, Television, & Radio - 0.6% |
|
|
|
|
Cablevision Systems Corp.* |
| 4,800 | 147,216 |
|
Comcast Corp.* |
| 110,100 | 3,234,738 |
|
|
|
| 3,381,954 |
|
|
|
|
|
|
Utilities - Electrical - 0.7% |
|
|
|
|
Black Hills Corp. |
| 6,600 | 286,242 |
|
Cleco Corp. |
| 56,400 | 1,329,912 |
|
Duquesne Light Holdings, Inc. |
| 2,200 | 37,862 |
|
Hawaiian Electric Industries, Inc. |
| 8,700 | 242,556 |
|
IDACORP, Inc. |
| 20,300 | 611,639 |
|
NiSource, Inc. |
| 16,100 | 390,425 |
|
OGE Energy Corp. |
| 37,000 | 1,039,700 |
|
Unisource Energy Corp. |
| 1,000 | 33,240 |
|
|
|
| 3,971,576 |
|
|
|
|
|
|
Utilities - Gas Distribution - 1.9% |
|
|
|
|
Energen Corp. |
| 26,000 | 1,124,760 |
|
Kinder Morgan, Inc. |
| 39,600 | 3,807,936 |
|
Oneok, Inc. |
| 80,500 | 2,738,610 |
|
Questar Corp. |
| 38,700 | 3,410,244 |
|
|
|
| 11,081,550 |
|
|
|
|
|
|
Utilities - Telecommunications - 1.9% |
|
|
|
|
Bellsouth Corp. |
| 206,500 | 5,430,950 |
|
Centennial Communications Corp.* |
| 14,900 | 223,202 |
|
Manitoba Telecom Services, Inc. |
| 9,310 | 388,615 |
|
SBC Communications, Inc. |
| 208,400 | 4,995,348 |
|
|
|
| 11,038,115 |
|
|
|
|
|
|
Wholesalers - 0.1% |
|
|
|
|
United Stationers, Inc.* |
| 5,900 | 282,374 |
|
|
|
|
|
|
Venture Capital - 1.1% |
|
|
|
|
Agraquest, Inc.: |
|
|
|
|
Series B Preferred (b)(i)* |
| 190,477 | 190,477 |
|
Series C Preferred (b)(i)* |
| 124,615 | 124,615 |
|
Series H Preferred (b)(i)* |
| 2,375,633 | 161,999 |
|
CFBanc Corp.(b)(i)* |
| 27,000 | 372,397 |
|
City Soft, Inc., Warrants: |
|
|
|
|
(strike price $0.21/share, expires 05/15/12) (b)(i)* |
| 189,375 | -- |
|
(strike price $0.01/share, expires 10/15/12) (b)(i)* |
| 118,360 | -- |
|
(strike price $0.01/share, expires 10/15/12) (b)(i)* |
| 887,700 | -- |
|
(strike price $0.14/share, expires 10/15/12) (b)(i)* |
| 118,359 | -- |
|
(strike price $0.28/share, expires 10/15/12) (b)(i)* |
| 118,359 | -- |
|
(strike price $0.01/share, expires 2/28/13) (b)(i)* |
| 29,590 | -- |
|
(strike price $0.14/share, expires 2/28/13) (b)(i)* |
| 29,590 | -- |
|
(strike price $0.28/share, expires 2/28/13) (b)(i)* |
| 29,590 | -- |
|
(strike price $0.01/share, expires 5/31/13) (b)(i)* |
| 29,590 | -- |
|
(strike price $0.14/share, expires 5/31/13) (b)(i)* |
| 29,590 | -- |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Venture Capital - Cont'd |
|
|
|
|
(strike price $0.28/share, expires 5/31/13) (b)(i)* |
| 29,590 | -- |
|
(strike price $0.01/share, expires 8/31/13) (b)(i)* |
| 35,372 | -- |
|
(strike price $0.14/share, expires 8/31/13) (b)(i)* |
| 35,372 | -- |
|
(strike price $0.28/share, expires 8/31/13) (b)(i)* |
| 35,372 | -- |
|
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
| 250,000 | -- |
|
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
| 23,127 | -- |
|
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
| 335,955 | -- |
|
(strike price $0.14/share, expires 9/4/13) (b)(i)* |
| 23,127 | -- |
|
(strike price $0.28/share, expires 9/14/13) (b)(i)* |
| 23,128 | -- |
|
(strike price $0.01/share, expires 11/30/13) (b)(i)* |
| 35,372 | -- |
|
(strike price $0.14/share, expires 11/30/13) (b)(i)* |
| 35,372 | -- |
|
(strike price $0.28/share, expires 11/30/13) (b)(i)* |
| 35,372 | -- |
|
Community Bank of the Bay (b)(i)* |
| 4,000 | $71,555 |
|
Community Growth Fund* |
| 1,498,306 | 1,185,508 |
|
Distributed Energy Systems Corp.: |
|
|
|
|
Common Stock* |
| 14,000 | 116,760 |
|
Cash Tranche 2 (b)(i)* |
| 11,022 | 10,090 |
|
Stock Tranche 2 (b)(i)* |
| 146 | 1,091 |
|
Warrants (strike price $2.80/share, expires 12/17/06)* |
| 1,652 | 9,152 |
|
Warrants (strike price $2.80/share, expires 12/17/06)* |
| 551 | 3,053 |
|
H2Gen Innovations, Inc.: |
|
|
|
|
Common Stock (b)(i)* |
| 2,077 | -- |
|
Series A Preferred (b)(i)* |
| 69,033 | 69,033 |
|
Series A Preferred, Warrants (strike price $1.00/share, |
|
|
|
|
expires 1/1/12) (b)(i)* |
| 1,104 | -- |
|
Series B Preferred (b)(i)* |
| 161,759 | 161,759 |
|
Series B Preferred, Warrants (strike price $1.00/share, |
|
|
|
|
expires 10/31/13) (b)(i)* |
| 27,025 | -- |
|
Hayes Medical, Inc.: |
|
|
|
|
Common Stock (b)(i)* |
| 1,666,665 | 2 |
|
Preferred (b)(i)* |
| 825,000 | 495,000 |
|
Inflabloc Pharmaceuticals, Inc.(b)(i)* |
| 625 | 1 |
|
Neighborhood Bancorp (b)(i)* |
| 10,000 | 168,003 |
|
Pharmadigm, Inc. (b)(i)* |
| 568 | -- |
|
Plethora Technology, Inc.: |
|
|
|
|
Series A, Preferred (a)(b)(i)* |
| 825,689 | 701,836 |
|
Warrants (strike price $0.01/share, expires 4/29/15) (b)(i)* |
| 72,000 | -- |
|
ProFund International SA.: |
|
|
|
|
Common (b)(i)* |
| 7,500 | -- |
|
Preferred (b)(i)* |
| 118,624 | 67,047 |
|
Seventh Generation, Inc. (b)(i)* |
| 200,295 | 1,202,348 |
|
SMARTTHINKING, Inc.: |
|
|
|
|
Series 1-A, Convertible Preferred (b)(i)* |
| 104,297 | 159,398 |
|
Series 1-B, Convertible Preferred (b)(i)* |
| 163,588 | 31,050 |
|
Series 1-B, Warrants (strike price $1.53/share, expires |
|
|
|
|
10/20/05) (b)(i)* |
| 32,726 | -- |
|
Series 1-B, Warrants (strike price $0.01/share, expires |
|
|
|
|
5/26/15) (b)(i)* |
| 11,920 | 2,143 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Venture Capital - Cont'd |
|
|
|
|
Wild Planet Toys, Inc.: |
|
|
|
|
Series B Preferred (b)(i)* |
| 476,190 | $714,285 |
|
Series E Preferred (b)(i)* |
| 129,089 | 193,633 |
|
Wind Harvest Co., Inc. Series A Preferred (b)(i)* |
| 8,696 | 1 |
|
|
|
| 6,212,236 |
|
|
|
|
|
|
Total Equity Securities (Cost $300,699,692) |
|
| 355,177,064 |
|
|
|
|
|
|
|
| Adjusted |
|
|
Limited Partnership Interest - 0.5% |
| Basis | Value |
|
Angels With Attitude I LLC (a)(b)(i)* |
| $200,000 | 139,776 |
|
Coastal Venture Partners (b)(i)* |
| 186,494 | 131,325 |
|
Common Capital (b)(i)* |
| 312,428 | 195,626 |
|
Environmental Private Equity Fund II (b)(i)* |
| 24,332 | 47,465 |
|
First Analysis Private Equity Fund IV (b)(i)* |
| 421,984 | 394,673 |
|
GEEMF Partners (a)(b)(i)* |
| 185,003 | 278,615 |
|
Global Environment Emerging Markets Fund (b)(i)* |
| 814,997 | 564,952 |
|
Hambrecht & Quist Environmental Technology Fund (b)(i)* |
| 254,513 | 37,889 |
|
Infrastructure and Environmental Private Equity Fund III (b)(i)* |
| 644,292 | 326,386 |
|
Labrador Ventures III (b)(i)* |
| 370,293 | 95,874 |
|
Labrador Ventures IV (b)(i)* |
| 826,683 | 299,928 |
|
Liberty Environmental Partners (a)(b)(i)* |
| 256,090 | -- |
|
Milepost Ventures (a)(b)(i)* |
| 500,000 | 1 |
|
New Markets Growth Fund LLC (b)(i)* |
| 150,000 | 127,821 |
|
Poland Partners (b)(i)* |
| -- | 38,998 |
|
Solstice Capital (b)(i)* |
| 310,526 | 254,546 |
|
Ukraine Fund (b)(i)* |
| 43,056 | 928 |
|
Utah Ventures (b)(i)* |
| 867,581 | -- |
|
Venture Strategy Partners (b)(i)* |
| 206,058 | 14,858 |
|
|
|
|
| |
Total Limited Partnership Interest (Cost $6,574,330) |
|
| 2,949,661 |
|
|
|
|
|
|
|
| Principal |
|
|
Corporate Bonds - 23.5% |
| Amount |
|
|
ACLC Business Loan Receivables Trust, 4.418%, 10/15/21 (e)(r) | 787,001 | 753,264 |
| |
Agfirst Farm Credit Bank, 7.30%, 10/14/49 (e) |
| 2,000,000 | 2,025,700 |
|
Alliance Mortgage Investments, 11.08%, 6/1/10 (r) |
| 393,333 | 393,333 |
|
AMB Property LP, 6.90%, 1/30/06 |
| 1,000,000 | 1,006,800 |
|
APL Ltd., 8.00%, 1/15/24 |
| 550,000 | 564,437 |
|
Army Hawaii Family Housing Trust Certificates: |
|
|
|
|
5.624%, 6/15/50 (e) |
| 2,250,000 | 2,310,502 |
|
4.196%, 6/15/50 (e)(r) |
| 5,000,000 | 5,000,000 |
|
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e) |
| 5,250,000 | 3,399,375 |
|
Atmos Energy Corp., 3.974%, 10/15/07 (r) |
| 2,000,000 | 1,999,460 |
|
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
| 750,000 | 865,530 |
|
Banco Santander Chile, 4.148%, 12/9/09 (e)(r) |
| 1,500,000 | 1,499,250 |
|
Bank One Issuance Trust, 3.818%, 10/15/08 (r) |
| 3,000,000 | 3,000,620 |
|
BF Saul, 7.50%, 3/1/14 |
| 750,000 | 774,375 |
|
Brascan Corp., 7.125%, 6/15/12 |
| 2,160,000 | 2,395,159 |
|
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
| 5,000,000 | 4,946,800 |
|
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
| 500,000 | 517,500 |
|
CIT Group, Inc., 3.832%, 8/18/06 (r) |
| 5,000,000 | 4,998,250 |
|
|
|
|
|
|
|
| Principal |
|
|
Corporate Bonds - Cont'd |
| Amount | Value |
|
City Soft, Inc.: |
|
|
|
|
Convertible Notes I, 10.00%, 8/31/06 (b)(i) |
| $297,877 | -- |
|
Convertible Notes II, 10.00%, 8/31/06 (b)(i) |
| 32,500 | -- |
|
Convertible Notes III, 10.00%, 8/31/06 (b)(i) |
| 25,000 | $25,000 |
|
Convertible Notes IV, 10.00%, 8/31/06 (b)(i) |
| 25,000 | 25,000 |
|
CNL Funding, Inc.: |
|
|
|
|
7.721%, 8/25/09 (e) |
| 1,661,692 | 1,703,793 |
|
Franchise Loan Trust Certificates, Interest only, 0.9297%, |
|
|
|
|
8/18/16 (e)(r) |
| 6,405,562 | 246,358 |
|
Convergys Corp., 4.875%, 12/15/09 |
| 1,500,000 | 1,438,106 |
|
Credit Suisse First Boston USA, Inc., 3.98%, 6/2/08 (r) |
| 2,000,000 | 1,999,320 |
|
Crown Castle Towers LLC, 4.643%, 6/15/35 (e) |
| 4,000,000 | 3,922,800 |
|
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) |
| 1,000,000 | 1,143,400 |
|
Duke Realty LP, 4.184%, 12/22/06 (r) |
| 2,000,000 | 1,999,360 |
|
E*Trade Financial Corp., 8.00%, 6/15/11 |
| 700,000 | 722,750 |
|
Enterprise Mortgage Acceptance Co. LLC: |
|
|
|
|
Interest Only, 1.253%, 1/15/25 (e)(r) |
| 4,597,955 | 192,470 |
|
6.90%, 10/15/25 (e) |
| 1,258,235 | 471,838 |
|
Evangelical Lutheran Good Samaritan Society Fund, |
|
|
|
|
6.78%, 11/1/05 |
| 3,000,000 | 3,004,785 |
|
First Republic Bank, 7.75%, 9/15/12 |
| 214,000 | 236,307 |
|
Global Signal: |
|
|
|
|
Trust I, 3.711%, 1/15/34 (e) |
| 1,418,776 | 1,370,893 |
|
Trust II, 4.232%, 12/15/14 (e) |
| 500,000 | 486,606 |
|
Goldman Sachs Group, Inc.: |
|
|
|
|
4.07%, 3/2/10 (r) |
| 1,300,000 | 1,301,664 |
|
4.30%, 6/28/10 (r) |
| 2,000,000 | 2,004,710 |
|
6.345%, 2/15/34 |
| 1,250,000 | 1,299,650 |
|
Hayes Medical, Inc., 8.00%, 9/30/10 (b)(i) |
| 250,000 | 250,000 |
|
HBOS plc, 6.413%, 9/29/49 (e)(r) |
| 1,300,000 | 1,288,144 |
|
Hudson United Bancorp, 8.20%, 9/15/06 |
| 1,000,000 | 1,026,300 |
|
Huntington Bancshares, Inc., 4.10%, 12/1/05 (r) |
| 1,000,000 | 1,000,052 |
|
Impac CMB Trust, 4.10%, 5/25/35 (r) |
| 4,422,400 | 4,427,398 |
|
Interpool Capital Trust, 9.875%, 2/15/27 |
| 1,000,000 | 1,005,000 |
|
KDM Development Corp., 2.41%, 12/31/07 (b)(i) |
| 746,900 | 706,429 |
|
Keycorp, 4.05%, 6/2/08 (r) |
| 1,000,000 | 1,000,997 |
|
Kimco Realty Corp., 3.893%, 8/1/06 (r) |
| 1,500,000 | 1,501,491 |
|
Kinder Morgan Energy Partners LP, 5.80%, 3/15/35 |
| 1,500,000 | 1,438,800 |
|
Leucadia National Corp., 7.00%, 8/15/13 |
| 1,420,000 | 1,425,325 |
|
Lumbermens Mutual Casualty Co.: |
|
|
|
|
9.15%, 7/1/26 (e)(m)* |
| 1,696,000 | 31,800 |
|
8.30%, 12/1/37 (e)(m)* |
| 6,130,000 | 114,938 |
|
8.45%, 12/1/97 (e)(m)* |
| 2,560,000 | 48,000 |
|
Masco Corp., 4.048%, 3/9/07 (e)(r) |
| 2,000,000 | 2,004,444 |
|
MBNA Corp., 4.163%, 5/5/08 (r) |
| 2,000,000 | 2,003,280 |
|
Meridian Funding Co. LLC: |
|
|
|
|
4.069%, 4/15/09 (e)(r) |
| 981,875 | 981,744 |
|
4.108%, 10/15/14 (e)(r) |
| 3,000,000 | 3,000,420 |
|
Mid-Atlantic Family Military Communities LLC: |
|
|
|
|
5.24%, 8/1/50 (e) |
| 1,000,000 | 998,430 |
|
5.30%, 8/1/50 (e) |
| 750,000 | 749,940 |
|
Nationwide Health Properties, Inc., 6.90%, 10/1/37 |
| 1,000,000 | 1,067,510 |
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
Corporate Bonds - Cont'd |
| Amount | Value |
|
Nelnet Education Loan Funding, Inc.: |
|
|
|
|
3.65%, 6/1/35 (r) |
| $1,000,000 | $1,002,500 |
|
3.64%, 10/25/38 (r) |
| 1,000,000 | 1,002,500 |
|
New York State Community Statutory Trust II, 7.26%, |
|
|
|
|
12/28/31 (e)(r) |
| 500,000 | 510,460 |
|
Odyssey Re Holdings Corp., 6.875%, 5/1/15 |
| 1,500,000 | 1,497,525 |
|
Pacific Pilot Funding Ltd., 4.37%, 10/20/16 (e)(r) |
| 994,086 | 990,272 |
|
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) |
| 500,000 | 522,375 |
|
Platinum Underwriters Finance, Inc., 7.50%, 6/1/17 (e) |
| 500,000 | 498,850 |
|
Preferred Term Securities IX Ltd., 4.22%, 4/3/33 (e)(r) |
| 1,000,000 | 1,009,820 |
|
Premium Asset Trust, 3.81%, 10/8/09 (e)(r) |
| 4,000,000 | 4,001,196 |
|
PRICOA Global Funding I, 3.97%, 3/2/07 (e)(r) |
| 2,000,000 | 2,002,026 |
|
Prudential Financial, Inc., 4.00%, 6/13/08 (r) |
| 1,500,000 | 1,499,355 |
|
Prudential Holdings LLC, 7.245%, 12/18/23 (e) |
| 1,000,000 | 1,179,620 |
|
RBS Capital Trust I, 4.82%, 9/29/49 (r) |
| 1,000,000 | 992,600 |
|
Reed Elsevier Capital, Inc., 4.20%, 6/15/10 (r) |
| 3,000,000 | 2,998,800 |
|
Small Business Administration: |
|
|
|
|
5.038%, 3/10/15 |
| 995,117 | 1,006,302 |
|
4.94%, 8/15/15 |
| 2,000,000 | 2,015,823 |
|
Sociedad Concesionaria Autopista Central SA, 6.223%, |
|
|
|
|
12/15/26 (e) |
| 3,000,000 | 3,222,270 |
|
Sovereign Bancorp, Inc.: |
|
|
|
|
4.166%, 8/25/06 (r) |
| 2,000,000 | 2,003,000 |
|
4.15%, 3/1/09 (e)(r) |
| 1,000,000 | 999,030 |
|
Sovereign Bank, 4.00%, 2/1/08 |
| 1,235,000 | 1,220,562 |
|
SPARCS Trust 99-1, Step Coupon, 0.00% to 4/15/19, 7.697% |
|
|
|
|
thereafter to 10/15/97 (e)(r) |
| 1,000,000 | 331,543 |
|
State Street Capital Trust II, 4.29%, 2/15/08 (r) |
| 1,000,000 | 999,660 |
|
Toll Road Investors Partnership II LP, Zero Coupon, 2/15/45 (e) |
| 25,800,000 | 3,098,064 |
|
Union Financial Services 1, Inc.: |
|
|
|
|
5.80%, 10/1/32 (r) |
| 5,000,000 | 5,012,500 |
|
3.80%, 12/1/32 (r) |
| 2,000,000 | 2,005,000 |
|
United Energy Ltd., 6.00%, 11/1/05 (e) |
| 1,000,000 | 1,001,050 |
|
Washington Mutual, Inc., 4.04%, 3/20/08 (r) |
| 3,000,000 | 3,001,824 |
|
Westfield Capital Corp Ltd., 4.00%, 11/2/07 (e)(r) |
| 3,000,000 | 3,005,190 |
|
|
|
|
|
|
Total Corporate Bonds (Cost $144,031,211) |
|
| 134,745,324 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies And Instrumentalities - 4.0% |
|
|
|
|
Federal Home Loan Bank Discount Notes, 10/3/05 |
| 23,200,000 | 23,195,940 |
|
|
|
|
|
|
Total U.S. Government Agencies |
|
|
|
|
and Instrumentalities (Cost $23,195,940) |
| 23,195,940 |
| |
|
|
|
|
|
|
|
|
|
|
Municipal Obligations - 0.3% |
|
|
|
|
Maryland State Economic Development Corp. Revenue Bonds, |
|
|
|
|
8.625%, 10/1/19 (f) |
| 3,750,000 | 1,633,387 |
|
|
|
|
|
|
Total Municipal Obligations (Cost $3,779,071) |
|
| 1,633,387 |
|
|
|
|
|
|
|
| Principal |
|
|
Taxable Municipal Obligations - 8.5% |
| Amount | Value |
|
Brownsville Texas Utility System Revenue Bonds, 5.204%, 9/1/17 |
| $500,000 | $502,825 |
|
California Statewide Communities Development Authority |
|
|
|
|
Revenue Bonds, 5.01%, 8/1/15 |
| 635,000 | 639,966 |
|
Colorado State Fort Carson Family Housing LLC Co. Housing |
|
|
|
|
Revenue Bonds, 7.65%, 11/15/21 |
| 3,000,000 | 3,733,200 |
|
Detroit Michigan COPs: |
|
|
|
|
4.813%, 6/15/20 |
| 1,500,000 | 1,472,505 |
|
3.644%, 6/15/25 (r) |
| 3,000,000 | 3,000,000 |
|
Howell Township New Jersey School District Go Bonds, |
|
|
|
|
5.10%, 7/15/17 |
| 1,505,000 | 1,518,741 |
|
Indiana State Bond Bank Revenue Bonds: |
|
|
|
|
5.12%, 1/15/17 |
| 1,685,000 | 1,689,819 |
|
5.27%, 1/15/18 |
| 1,000,000 | 1,013,260 |
|
Indianapolis Indiana Local Public Improvement Bond Bank Revenue |
|
|
|
|
Bonds, 5.09%, 7/15/18 |
| 1,500,000 | 1,512,045 |
|
Inglewood California Pension Funding Revenue Bonds, |
|
|
|
|
5.07%, 9/1/20 |
| 660,000 | 655,875 |
|
Illinois State Housing Development Authority Revenue Bonds, |
|
|
|
|
5.60%, 12/1/15 |
| 1,485,000 | 1,529,743 |
|
Long Beach California Bond Finance Authority Revenue Bonds, |
|
|
|
|
4.80%, 8/1/16 |
| 1,545,000 | 1,528,190 |
|
Los Angeles California Community Redevelopment Agency Tax |
|
|
|
|
Allocation Bonds, 4.60%, 7/1/10 |
| 840,000 | 827,971 |
|
Miami Beach Florida Redevelopment Agency Tax Increment Revenue |
|
|
|
|
Bonds, 5.01%, 12/1/17 |
| 1,295,000 | 1,280,975 |
|
Missouri State Higher Education Loan Authority Revenue Bonds, |
|
|
|
|
3.74%, 9/1/43 (r) |
| 1,000,000 | 1,000,000 |
|
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 |
| 700,000 | 700,525 |
|
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, |
|
|
|
|
4.06%, 10/15/10 |
| 4,000,000 | 3,889,000 |
|
Oceanside California Pension Obligation Revenue Bonds, 5.04%, |
|
|
|
|
8/15/17 |
| 750,000 | 747,308 |
|
Oregon School Boards Association GO Bonds, Zero Coupon, |
|
|
|
|
6/30/06 |
| 2,000,000 | 1,936,800 |
|
Philadelphia Pennsylvania School District GO Bonds, 5.09%, |
|
|
|
|
7/1/20 |
| 750,000 | 739,237 |
|
San Jose California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
|
5.46%, 8/1/35 |
| 1,000,000 | 976,330 |
|
Schenectady New York Metroplex Development Authority Revenue |
|
|
|
|
Bonds, 5.30%, 8/1/28 |
| 1,000,000 | 964,900 |
|
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|
|
|
3.65%, 12/1/08 |
| 745,000 | 725,809 |
|
3.90%, 12/1/09 |
| 1,150,000 | 1,119,721 |
|
Tennessee State Educational Funding of the South, Inc. Revenue Bonds: |
|
|
|
|
3.70%, 12/1/35 (r) |
| 1,000,000 | 1,000,000 |
|
3.801%, 6/1/38 (r) |
| 2,500,000 | 2,500,000 |
|
Tennessee State School Bond Authority Revenue Bonds, 4.88%, |
|
|
|
|
5/1/20 |
| 600,000 | 584,700 |
|
Texas Municipal Gas Corp., 2.60%, 7/1/07 |
| 875,000 | 861,709 |
|
Texas State Public Finance Authority Revenue Bonds, 9.00%, |
|
|
|
|
12/1/06 |
| 1,747,000 | 1,800,371 |
|
University of Central Florida COPs, 5.375%, 10/1/35 |
| 1,500,000 | 1,445,955 |
|
Utah State Housing Corp. Military Housing Revenue Bonds, |
|
|
|
|
5.392%, 7/1/50 |
| 1,500,000 | 1,481,895 |
|
|
|
|
|
|
|
| Principal |
|
|
Taxable Municipal Obligations - Cont'd |
| Amount | Value |
|
Vermont State Student Assistance Corp. Revenue Bonds: |
|
|
|
|
3.79%, 12/15/36 (r) |
| $750,000 | $750,000 |
|
3.82%, 12/15/36 (r) |
| 1,000,000 | 1,000,000 |
|
3.85%, 12/15/38 (r) |
| 2,000,000 | 2,000,000 |
|
West Contra Costa California Unified School District COPs, |
|
|
|
|
4.90%, 1/1/15 |
| 555,000 | 550,077 |
|
Wilkes-Barre Pennsylvania GO Bonds, 5.23%, 11/15/18 |
| 1,000,000 | 999,940 |
|
|
|
|
|
|
Total Taxable Municipal Obligations (Cost $49,017,577) |
|
| 48,679,392 |
|
|
|
|
|
|
High Social Impact Investments - 0.8% |
|
|
|
|
Calvert Social Investment Foundation Notes, 3.00%, 7/1/07 (b)(i)(r) |
| 5,016,666 | 4,837,320 |
|
|
|
|
|
|
Total High Social Impact Investments (Cost $5,016,666) |
|
| 4,837,320 |
|
|
|
|
|
|
|
|
|
|
|
Certificates Of Deposit - 0.1% |
|
|
|
|
Alternative Federal Credit Union, 1.50%, 11/30/05 (b)(k) |
| 50,000 | 49,940 |
|
Blackfeet National Bank, 1.75%, 11/13/05 (b)(k) |
| 92,000 | 91,871 |
|
First American Credit Union, 2.60%, 12/23/05 (b)(k) |
| 92,000 | 91,807 |
|
Mission Area Federal Credit Union, 1.50%, 11/18/05 (b)(k) |
| 50,000 | 49,940 |
|
ShoreBank & Trust, 2.55%, 12/6/05 (b)(k) |
| 100,000 | 99,790 |
|
|
|
|
|
|
|
|
|
|
|
Total Certificates of Deposit (Cost $384,000) |
|
| 383,348 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $532,698,487) - 99.6% |
|
| 571,601,436 |
|
Other assets and liabilities, net - 0.4% |
|
| 1,822,999 |
|
Net Assets - 100% |
|
| $573,424,435 |
|
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: 18,327,619 shares outstanding |
| $512,463,474 |
| |
Class B: 1,019,312 shares outstanding |
| 30,059,778 |
| |
Class C: 934,902 shares outstanding |
| 27,203,432 |
| |
Class I: 35,660 shares outstanding |
| 978,976 |
| |
Undistributed net investment income (loss) |
|
| (458,737) |
|
Accumulated net realized gain (loss) on investments |
|
| (35,647,513) |
|
Net unrealized appreciation (depreciation) on investments |
|
| 38,825,025 |
|
|
|
|
|
|
Net Assets |
|
| $573,424,435 |
|
|
|
|
|
|
Net Asset Value per Share |
|
|
|
|
Class A (based on net assets of $517,840,069) |
|
| $28.25 |
|
Class B (based on net assets of $28,591,993) |
|
| $28.05 |
|
Class C (based on net assets of $25,980,252) |
|
| $27.79 |
|
Class I (based on net assets of $1,012,121) |
|
| $28.38 |
|
|
|
| Underlying | Unrealized |
| # of | Expiration | Face Amount | Appreciation |
Futures | Contracts | Date | at Value | (Depreciation) |
Purchased: |
|
|
|
|
10 Year U.S. Treasury Notes | 220 | 12/05 | $24,182,813 | ($93,705) |
Total Purchased |
|
|
| ($93,705) |
|
|
|
|
|
Sold: |
|
|
|
|
U.S. Treasury Bonds | 10 | 12/05 | $1,144,062 | $9,858 |
5 Year U.S. Treasury Notes | 5 | 12/05 | 534,297 | 5,851 |
Total Sold |
|
|
| $15,709 |
See notes to statements of net assets and notes to financial statements.
Bond Portfolio
Statement of Net Assets
September 30, 2005
|
| Principal |
|
|
Corporate Bonds - 54.7% |
| Amount | Value |
|
ACLC Business Loan Receivables Trust, 4.418%, 10/15/21 (e)(r) |
| $787,001 | $753,264 |
|
Agfirst Farm Credit Bank, 7.30%, 10/14/49 (e) |
| 2,000,000 | 2,025,700 |
|
Alliance Mortgage Investments, 11.08%, 6/1/10 (r) |
| 491,667 | 491,667 |
|
AMB Property LP, 6.90%, 1/30/06 |
| 3,000,000 | 3,020,400 |
|
APL Ltd., 8.00%, 1/15/24 |
| 400,000 | 410,500 |
|
Army Hawaii Family Housing Trust Certificates: |
|
|
|
|
4.196%, 6/15/50 (e)(r) |
| 5,000,000 | 5,000,000 |
|
5.624%, 6/15/50 (e) |
| 2,500,000 | 2,567,225 |
|
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e) |
| 3,500,000 | 2,266,250 |
|
Atmos Energy Corp., 3.974%, 10/15/07 (r) |
| 2,000,000 | 1,999,460 |
|
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
| 500,000 | 577,020 |
|
Banco Santander Chile, 4.148%, 12/9/09 (e)(r) |
| 1,500,000 | 1,499,250 |
|
Bank One Issuance Trust, 3.818%, 10/15/08 (r) |
| 3,000,000 | 3,000,620 |
|
BF Saul, 7.50%, 3/1/14 |
| 1,000,000 | 1,032,500 |
|
Brascan Corp., 7.125%, 6/15/12 |
| 2,160,000 | 2,395,159 |
|
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
| 5,000,000 | 4,946,800 |
|
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
| 500,000 | 517,500 |
|
CIT Group, Inc., 3.832%, 8/18/06 (r) |
| 5,000,000 | 4,998,250 |
|
CNL Funding, Inc.: |
|
|
|
|
7.721%, 8/25/09 (e) |
| 1,228,207 | 1,259,325 |
|
Franchise Loan Trust Certificates, Interest only, 0.93%, |
|
|
|
|
8/18/16 (e)(r) |
| 6,405,562 | 246,358 |
|
Convergys Corp., 4.875%, 12/15/09 |
| 1,500,000 | 1,438,106 |
|
Credit Suisse First Boston USA, Inc.: |
|
|
|
|
3.98%, 6/2/08 (r) |
| 2,000,000 | 1,999,320 |
|
3.997%, 8/15/10 (r) |
| 3,000,000 | 2,999,010 |
|
Crown Castle Towers LLC, 4.643%, 6/15/35 (e) |
| 4,000,000 | 3,922,800 |
|
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) |
| 1,000,000 | 1,143,400 |
|
Duke Realty LP, 4.184%, 12/22/06 (r) |
| 2,000,000 | 1,999,360 |
|
E*Trade Financial Corp.: |
|
|
|
|
8.00%, 6/15/11 |
| 500,000 | 516,250 |
|
8.00%, 6/15/11 (e) |
| 300,000 | 309,750 |
|
Enterprise Mortgage Acceptance Co. LLC: |
|
|
|
|
Interest Only, 1.253%, 1/15/25 (e)(r) |
| 5,747,444 | 240,588 |
|
6.90%, 10/15/25 (e) |
| 1,677,646 | 629,117 |
|
First Republic Bank, 7.75%, 9/15/12 |
| 870,000 | 960,689 |
|
Global Signal Trust I, 3.711%, 1/15/34 (e) |
| 1,418,776 | 1,370,893 |
|
Global Signal Trust II, 4.232%, 12/15/14 (e) |
| 1,000,000 | 973,211 |
|
Goldman Sachs Group, Inc.: |
|
|
|
|
4.30%, 6/28/10 (r) |
| 4,500,000 | 4,510,598 |
|
6.345%, 2/15/34 |
| 1,500,000 | 1,559,580 |
|
HBOS plc, 6.413%, 9/29/49 (e)(r) |
| 2,000,000 | 1,981,760 |
|
Hudson United Bancorp, 8.20%, 9/15/06 |
| 2,000,000 | 2,052,600 |
|
Huntington Bancshares, Inc., 4.10%, 12/1/05 (r) |
| 1,000,000 | 1,000,052 |
|
Impac CMB Trust: |
|
|
|
|
4.10%, 5/25/35 (r) |
| 4,422,400 | 4,427,398 |
|
4.15%, 8/25/35 (r) |
| 2,798,508 | 2,798,704 |
|
|
|
|
|
|
|
| Principal |
|
|
Corporate Bonds - Cont'd |
| Amount | Value |
|
Interpool Capital Trust, 9.875%, 2/15/27 |
| $2,095,000 | $2,105,475 |
|
JP Morgan Chase Capital XVII, 5.85%, 8/1/35 |
| 500,000 | 486,915 |
|
Keycorp, 4.05%, 6/2/08 (r) |
| 1,000,000 | 1,000,997 |
|
Kimco Realty Corp., 3.893%, 8/1/06 (r) |
| 1,500,000 | 1,501,491 |
|
Kinder Morgan Energy Partners LP, 5.80%, 3/15/35 |
| 1,500,000 | 1,438,800 |
|
Leucadia National Corp., 7.00%, 8/15/13 |
| 1,620,000 | 1,626,075 |
|
Lumbermens Mutual Casualty Co.: |
|
|
|
|
9.15%, 7/1/26 (e)(m)* |
| 2,942,000 | 55,163 |
|
8.30%, 12/1/37 (e)(m)* |
| 3,500,000 | 65,625 |
|
Masco Corp., 4.048%, 3/9/07 (e)(r) |
| 3,000,000 | 3,006,666 |
|
MBNA Corp., 4.163%, 5/5/08 (r) |
| 3,000,000 | 3,004,920 |
|
Meridian Funding Co. LLC: |
|
|
|
|
4.069%, 4/15/09 (e)(r) |
| 981,875 | 981,744 |
|
4.108%, 10/15/14 (e)(r) |
| 5,000,000 | 5,000,700 |
|
Mid-Atlantic Family Military Communities LLC: |
|
|
|
|
5.24%, 8/1/50 (e) |
| 1,000,000 | 998,430 |
|
5.30%, 8/1/50 (e) |
| 1,250,000 | 1,249,900 |
|
Nationwide Health Properties, Inc., 6.90%, 10/1/37 |
| 1,000,000 | 1,067,510 |
|
Nelnet Education Loan Funding, Inc.: |
|
|
|
|
3.65%, 6/1/35 (r) |
| 1,950,000 | 1,954,875 |
|
3.64%, 10/25/38 (r) |
| 1,000,000 | 1,002,500 |
|
Odyssey Re Holdings Corp., 6.875%, 5/1/15 |
| 2,500,000 | 2,495,875 |
|
Pacific Pilot Funding Ltd., 4.37%, 10/20/16 (e)(r) |
| 994,086 | 990,272 |
|
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) |
| 500,000 | 522,375 |
|
Platinum Underwriters Finance, Inc., 7.50%, 6/1/17 (e) |
| 500,000 | 498,850 |
|
Preferred Term Securities IX Ltd., 4.22%, 4/3/33 (e)(r) |
| 1,000,000 | 1,009,820 |
|
Premium Asset Trust, 3.81%, 10/8/09 (e)(r) |
| 4,000,000 | 4,001,196 |
|
PRICOA Global Funding I, 3.97%, 3/2/07 (e)(r) |
| 3,000,000 | 3,003,039 |
|
Prudential Financial, Inc., 4.00%, 6/13/08 (r) |
| 2,000,000 | 1,999,140 |
|
Prudential Holdings LLC, 7.245%, 12/18/23 (e) |
| 1,000,000 | 1,179,620 |
|
RBS Capital Trust I, 4.82%, 9/29/49 (r) |
| 1,000,000 | 992,600 |
|
Reed Elsevier Capital, Inc., 4.20%, 6/15/10 (r) |
| 3,500,000 | 3,498,600 |
|
Regions Financial Corp., 4.50%, 8/8/08 |
| 3,500,000 | 3,478,475 |
|
Small Business Administration: |
|
|
|
|
5.038%, 3/10/15 |
| 995,117 | 1,006,302 |
|
4.94%, 8/15/15 |
| 2,500,000 | 2,519,779 |
|
Sociedad Concesionaria Autopista Central SA, |
|
|
|
|
6.223%, 12/15/26 (e) |
| 3,000,000 | 3,222,270 |
|
Sovereign Bancorp, Inc.: |
|
|
|
|
4.166%, 8/25/06 (r) |
| 2,000,000 | 2,003,000 |
|
4.15%, 3/1/09 (e)(r) |
| 3,000,000 | 2,997,090 |
|
Sovereign Bank, 4.00%, 2/1/08 |
| 1,500,000 | 1,482,463 |
|
SPARCS Trust 99-1, Step Coupon, 0.00% to 4/15/19, |
|
|
|
|
7.697% thereafter to 10/15/97 (e)(r) |
| 1,000,000 | 331,543 |
|
State Street Capital Trust II, 4.29%, 2/15/08 (r) |
| 1,000,000 | 999,660 |
|
Texas Municipal Gas Corp., 2.60%, 7/1/07 (e) |
| 1,170,000 | 1,152,228 |
|
TIERS Trust, 8.45%, 12/1/17 (n)* |
| 439,239 | 6,589 |
|
Toll Road Investors Partnership II LP, Zero Coupon: |
|
|
|
|
2/15/06 (e) |
| 2,500,000 | 2,458,007 |
|
2/15/45 (e) |
| 39,750,000 | 4,773,180 |
|
Union Financial Services 1, Inc.: |
|
|
|
|
5.80%, 10/1/32 (r) |
| 5,000,000 | 5,012,500 |
|
3.70%, 12/1/32 (r) |
| 500,000 | 500,000 |
|
3.80%, 12/1/32 (r) |
| 3,000,000 | 3,007,500 |
|
|
|
|
|
|
|
| Principal |
|
|
Corporate Bonds - Cont'd |
| Amount | Value |
|
United Energy Ltd., 6.00%, 11/1/05 (e) |
| $1,000,000 | $1,001,050 |
|
Washington Mutual, Inc., 4.04%, 3/20/08 (r) |
| 5,000,000 | 5,003,040 |
|
Westfield Capital Corp Ltd., 4.00%, 11/2/07 (e)(r) |
| 3,000,000 | 3,005,190 |
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds (Cost $170,714,729) |
|
| 166,539,473 |
|
|
|
|
|
|
Taxable Municipal Obligations - 30.0% |
|
|
|
|
Alameda California Corridor Transportation Authority Revenue |
|
|
|
|
Bonds, Zero Coupon, 10/1/06 |
| 2,290,000 | 2,189,080 |
|
Brownsville Texas Utility System Revenue Bonds, 5.204%, 9/1/17 |
| 750,000 | 754,237 |
|
California Statewide Communities Development Authority |
|
|
|
|
Revenue Bonds: |
|
|
|
|
Zero Coupon, 6/1/10 |
| 1,415,000 | 1,136,471 |
|
Zero Coupon, 6/1/12 |
| 1,530,000 | 1,109,923 |
|
Zero Coupon, 6/1/13 |
| 1,585,000 | 1,088,927 |
|
Zero Coupon, 6/1/14 |
| 1,645,000 | 1,067,819 |
|
5.01%, 8/1/15 |
| 700,000 | 705,474 |
|
Colorado State Fort Carson Family Housing LLC Co. |
|
|
|
|
Housing Revenue Bonds, 7.65%, 11/15/21 |
| 4,000,000 | 4,977,600 |
|
Cook County Illinois School District GO Bonds, Zero Coupon: |
|
|
|
|
12/1/19 |
| 280,000 | 132,734 |
|
2/1/20 | 700,000 | 311,108 |
| |
12/1/21 |
| 700,000 | 291,683 |
|
12/1/24 |
| 620,000 | 218,755 |
|
Detroit Michigan COPs: |
|
|
|
|
4.813%, 6/15/20 |
| 1,500,000 | 1,472,505 |
|
3.644%, 6/15/25 (r) |
| 5,000,000 | 5,000,000 |
|
Fairfield California Pension Obligation Revenue Bonds, |
|
|
|
|
5.22%, 6/1/20 |
| 845,000 | 850,678 |
|
Fort Irwin California Irwin Land LLC Revenue Bonds, |
|
|
|
|
4.51%, 12/15/15 |
| 2,480,000 | 2,415,818 |
|
Howell Township New Jersey School District GO Bonds, |
|
|
|
|
5.20%, 7/15/18 |
| 1,585,000 | 1,599,408 |
|
Illinois State Housing Development Authority Revenue |
|
|
|
|
Bonds, 5.60%, 12/1/15 |
| 1,485,000 | 1,529,743 |
|
Indiana State Bond Bank Revenue Bonds: |
|
|
|
|
5.27%, 1/15/18 |
| 1,000,000 | 1,013,260 |
|
5.32%, 1/15/19 |
| 1,865,000 | 1,886,653 |
|
Indianapolis Indiana Local Public Improvement Bond Bank |
|
|
|
|
Revenue Bonds, 5.05%, 1/15/18 |
| 2,000,000 | 2,010,160 |
|
Inglewood California Pension Funding Revenue Bonds, |
|
|
|
|
5.07%, 9/1/20 |
| 1,000,000 | 993,750 |
|
Long Beach California Bond Finance Authority Revenue Bonds: |
|
|
|
|
4.66%, 8/1/15 |
| 1,535,000 | 1,511,361 |
|
4.90%, 8/1/17 |
| 1,715,000 | 1,695,175 |
|
Los Angeles California Community Redevelopment Agency Tax |
|
|
|
|
Allocation Bonds, 5.27%, 7/1/13 |
| 970,000 | 981,427 |
|
Maine State Educational Loan Marketing Corp. Revenue Bonds, |
|
|
|
|
3.80%, 5/1/29 (r) |
| 4,100,000 | 4,100,000 |
|
Miami Beach Florida Tax Allocation Bonds, 4.93%, 12/1/16 |
| 2,265,000 | 2,236,144 |
|
|
|
|
|
|
|
| Principal |
|
|
Taxable Municipal Obligations - Cont'd. |
| Amount | Value |
|
Missouri State Higher Education Loan Authority Revenue Bonds: |
|
|
|
|
3.80%, 7/15/29 (r) |
| $3,000,000 | $3,000,000 |
|
3.74%, 9/1/43 (r) |
| 3,000,000 | 3,000,000 |
|
3.75%, 5/1/44 (r) |
| 2,000,000 | 2,000,000 |
|
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 |
| 880,000 | 880,660 |
|
Oceanside California Pension Obligation Revenue Bonds, 5.04%, |
|
|
|
|
8/15/17 |
| 1,000,000 | 996,410 |
|
Oklahoma City Oklahoma Airport Trust Revenue Bonds, |
|
|
|
|
5.05%, 10/1/11 |
| 1,455,000 | 1,470,903 |
|
Oregon State School Boards Association GO Bonds, Zero Coupon: |
|
|
|
|
6/30/06 |
| 2,000,000 | 1,936,800 |
|
6/30/18 |
| 1,195,000 | 622,189 |
|
Philadelphia Pennsylvania School District GO Bonds, |
|
|
|
|
5.09%, 7/1/20 |
| 1,000,000 | 985,650 |
|
Pierce County Washinton Cascade Christian Schools Revenue |
|
|
|
|
Bonds, 7.65%, 12/1/09 |
| 677,000 | 698,088 |
|
San Francisco City and County California Redevelopment Financing |
|
|
|
|
Authority Revenue Bonds, 5.00%, 8/1/07 |
| 980,000 | 988,830 |
|
San Jose California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
|
5.10%, 8/1/20 |
| 2,485,000 | 2,451,775 |
|
Schenectady New York Metroplex Development Authority Revenue |
|
|
|
|
Bonds, 5.00%, 8/1/19 |
| 1,900,000 | 1,842,658 |
|
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|
|
|
3.20%, 12/1/07 |
| 1,295,000 | 1,261,252 |
|
4.20%, 12/1/10 |
| 1,235,000 | 1,210,658 |
|
Tennessee State Educational Funding of the South, Inc. |
|
|
|
|
Revenue Bonds: |
|
|
|
|
3.75%, 12/1/35 (r) |
| 3,150,000 | 3,150,000 |
|
3.70%, 12/1/35 (r) |
| 1,500,000 | 1,500,000 |
|
3.801%, 6/1/38 (r) |
| 4,000,000 | 4,000,000 |
|
Tennessee State School Bond Authority Revenue Bonds, 4.88%, |
|
|
|
|
5/1/20 | 800,000 | 779,600 |
| |
Texas State Public Finance Authority Revenue Bonds, 9.00%, |
|
|
|
|
12/1/06 |
| 1,534,000 | 1,580,864 |
|
University of Central Florida COPs, 5.375%, 10/1/35 |
| 2,000,000 | 1,927,940 |
|
Utah State Housing Corp. Revenue Bonds, 5.392%, 7/1/50 |
| 2,000,000 | 1,975,860 |
|
Vermont State Student Assistance Corp. Revenue Bonds: |
|
|
|
|
3.79%, 12/15/36 (r) |
| 1,500,000 | 1,500,000 |
|
3.82%, 12/15/36 (r) |
| 3,000,000 | 3,000,000 |
|
3.80%, 12/15/39 (r) |
| 1,750,000 | 1,750,000 |
|
Vigo County Indiana Redevelopment Authority Economic |
|
|
|
|
Development Revenue Bonds, 4.96%, 8/1/14 |
| 530,000 | 527,270 |
|
West Contra Costa California Unified School District COPs: |
|
|
|
|
4.71%, 1/1/11 |
| 455,000 | 451,424 |
|
4.76%, 1/1/12 |
| 475,000 | 471,171 |
|
4.82%, 1/1/13 |
| 500,000 | 495,145 |
|
Wilkes-Barre Pennsylvania GO Bonds, 5.33%, 11/15/20 |
| 1,655,000 | 1,661,322 |
|
|
|
|
|
|
Total Taxable Municipal Obligations (Cost $91,556,159) |
|
| 91,396,362 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies and |
| Principal |
|
|
Instrumentalities - 10.7% |
| Amount | Value |
|
Federal Home Loan Bank Discount Notes, 10/3/05 |
| $29,600,000 | $29,594,820 |
|
Freddie Mac, 4.125%, 7/12/10 |
| 3,000,000 | 2,984,970 |
|
|
|
|
|
|
Total U.S. Government Agencies and |
|
|
|
|
Instrumentalities (Cost $32,591,400) |
| 32,579,790 |
| |
|
|
|
|
|
High Social Impact Investments - 0.3% |
|
|
|
|
Calvert Social Investment Foundation Notes, 3.00%, |
|
|
|
|
7/1/06 (b)(i)(r) |
| 1,050,000 | 1,012,462 |
|
|
|
|
|
|
Total High Social Impact Investments (Cost $1,050,000) |
|
| 1,012,462 |
|
|
|
|
|
|
Equity Securities - 3.5% |
| Shares |
|
|
BAC Capital Trust IV, Preferred |
| 44,000 | 1,072,500 |
|
Conseco, Inc., Preferred |
| 85,000 | 2,272,900 |
|
Manitoba Telecom Services, Inc. |
| 9,261 | 386,570 |
|
MFH Financial Trust I, Preferred (e) |
| 20,000 | 1,980,000 |
|
Northern Borders Partners, LP |
| 3,500 | 167,475 |
|
Richmond County Capital Corp., Preferred (e) |
| 20 | 2,010,000 |
|
Roslyn Real Estate Asset Corp., Preferred |
| 2 | 200,000 |
|
WoodBourne Pass-Through Trust, Preferred (e) |
| 25 | 2,496,875 |
|
|
|
|
|
|
Total Equity Securities (Cost $10,276,871) |
|
| 10,586,320 |
|
|
|
|
|
|
Total Investments (Cost $306,189,159) - 99.2% |
|
| 302,114,407 |
|
Other assets and liabilities, net - 0.8% |
|
| 2,394,651 |
|
Net Assets - 100% |
|
| $304,509,058 |
|
|
|
|
|
|
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: 14,674,860 shares outstanding |
| $236,340,877 |
| |
Class B: 1,152,154 shares outstanding |
| 18,284,964 |
| |
Class C: 1,198,048 shares outstanding |
| 19,125,381 |
| |
Class I: 1,809,653 shares outstanding |
| 28,669,188 |
| |
Undistributed net investment income |
|
| 116,777 |
|
Accumulated net realized gain (loss) on investments |
|
| 6,154,701 |
|
Net unrealized appreciation (depreciation) on investments |
|
| (4,182,830) |
|
|
|
|
|
|
Net Assets |
|
| $304,509,058 |
|
|
|
|
|
|
Net Asset Value per Share |
|
|
|
|
Class A (based on net assets of $237,396,130) |
|
| $16.18 |
|
Class B (based on net assets of $18,558,770) |
|
| $16.11 |
|
Class C (based on net assets of $19,276,152) |
|
| $16.09 |
|
Class I (based on net assets of $29,278,006) |
|
| $16.18 |
|
|
|
| Underlying | Unrealized |
| # of | Expiration | Face Amount | Appreciation |
Futures | Contracts | Date | at Value | (Depreciation) |
Purchased: |
|
|
|
|
10 Year U.S. Treasury Notes | 380 | 12/05 | $41,770,312 | ($134,111) |
Total Purchased |
|
|
| ($134,111) |
|
|
|
|
|
Sold: |
|
|
|
|
U.S. Treasury Bonds | 18 | 12/05 | $2,059,313 | $21,595 |
5 Year U.S. Treasury Notes | 5 | 12/05 | 534,297 | 4,367 |
Total Sold |
|
|
| $25,962 |
See notes to statements of net assets and notes to financial statements.
Equity Portfolio
Statement of Net Assets
September 30, 2005
Equity Securities - 97.1% |
| Shares | Value |
Advertising Agencies - 1.6% |
|
|
|
Omnicom Group, Inc. |
| 225,000 | $18,816,750 |
|
|
|
|
Banks - New York City - 1.5% |
|
|
|
Bank of New York Co., Inc. |
| 600,000 | 17,646,000 |
|
|
|
|
Banks - Outside New York City - 2.1% |
|
|
|
Synovus Financial Corp. |
| 900,000 | 24,948,000 |
|
|
|
|
Biotechnology - Research & Production - 3.6% |
|
|
|
Amgen, Inc.* |
| 550,000 | 43,818,500 |
|
|
|
|
Chemicals - 3.3% |
|
|
|
Air Products & Chemicals, Inc. |
| 520,000 | 28,672,800 |
Ecolab, Inc. |
| 363,300 | 11,600,169 |
|
|
| 40,272,969 |
|
|
|
|
Communications Technology - 2.7% |
|
|
|
Cisco Systems, Inc.* |
| 1,800,000 | 32,274,000 |
|
|
|
|
Computer - Services, Software & Systems - 2.8% |
|
|
|
Microsoft Corp. |
| 1,300,000 | 33,449,000 |
|
|
|
|
Computer Technology - 4.2% |
|
|
|
Dell, Inc.* |
| 1,000,000 | 34,200,000 |
Zebra Technologies Corp.* |
| 420,000 | 16,417,800 |
|
|
| 50,617,800 |
|
|
|
|
Consumer Products - 1.7% |
|
|
|
Alberto-Culver Co. |
| 470,000 | 21,032,500 |
|
|
|
|
Diversified Financial Services - 2.9% |
|
|
|
American Express Co. |
| 600,000 | 34,464,000 |
|
|
|
|
Diversified Production - 4.1% |
|
|
|
Dover Corp. |
| 750,000 | 30,592,500 |
Pentair, Inc. |
| 500,000 | 18,250,000 |
|
|
| 48,842,500 |
|
|
|
|
Drug & Grocery Store Chains - 2.5% |
|
|
|
Walgreen Co. |
| 683,100 | 29,680,695 |
|
|
|
|
Drugs & Pharmaceuticals - 5.9% |
|
|
|
Forest Laboratories, Inc.* |
| 500,000 | 19,485,000 |
Johnson & Johnson |
| 300,000 | 18,984,000 |
Pfizer, Inc. |
| 1,300,000 | 32,461,000 |
|
|
| 70,930,000 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Electronic Equipment & Components - 3.7% |
|
|
|
Emerson Electric Co. |
| 350,000 | $ 25,130,000 |
Molex, Inc. |
| 750,000 | 19,282,500 |
|
|
| 44,412,500 |
|
|
|
|
Electronics - Medical Systems - 4.4% |
|
|
|
Medtronic, Inc. |
| 580,000 | 31,099,600 |
Varian Medical Systems, Inc.* |
| 550,000 | 21,730,500 |
|
|
| 52,830,100 |
|
|
|
|
Electronics - Semiconductors / Components - 3.6% |
|
|
|
Intel Corp. |
| 1,150,000 | 28,347,500 |
Microchip Technology, Inc. |
| 500,000 | 15,060,000 |
|
|
| 43,407,500 |
|
|
|
|
Financial Data Processing Services - 2.9% |
|
|
|
First Data Corp. |
| 250,000 | 10,000,000 |
Fiserv, Inc.* |
| 550,000 | 25,228,500 |
|
|
| 35,228,500 |
|
|
|
|
Foods - 1.2% |
|
|
|
General Mills, Inc. |
| 300,000 | 14,460,000 |
|
|
|
|
Healthcare Facilities - 1.2% |
|
|
|
Health Management Associates, Inc. |
| 600,000 | 14,082,000 |
|
|
|
|
Healthcare Services - 3.4% |
|
|
|
Express Scripts, Inc.* |
| 440,000 | 27,368,000 |
Omnicare, Inc. |
| 250,000 | 14,057,500 |
|
|
| 41,425,500 |
|
|
|
|
Insurance - Multi-Line - 1.5% |
|
|
|
Aflac, Inc. |
| 400,000 | 18,120,000 |
|
|
|
|
Insurance - Property & Casualty - 1.1% |
|
|
|
Chubb Corp. |
| 150,000 | 13,432,500 |
|
|
|
|
Investment Management Companies - 2.4% |
|
|
|
SEI Investments Co. |
| 770,000 | 28,936,600 |
|
|
|
|
Machinery - Industrial / Specialty - 3.0% |
|
|
|
Illinois Tool Works, Inc. |
| 440,000 | 36,225,200 |
|
|
|
|
Machinery - Oil Well Equipment & Services - 0.5% |
|
|
|
FMC Technologies, Inc.* |
| 151,000 | 6,358,610 |
|
|
|
|
Medical & Dental - Instruments & Supplies - 1.7% |
|
|
|
Biomet, Inc. |
| 600,000 | 20,826,000 |
|
|
|
|
Multi-Sector Companies - 1.0% |
|
|
|
3M Co. |
| 170,000 | 12,471,200 |
|
|
|
|
Office Furniture & Business Equipment - 1.3% |
|
|
|
Lexmark International, Inc.* |
| 250,000 | 15,262,500 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Oil - Crude Producers - 3.9% |
|
|
|
EOG Resources, Inc. |
| 626,600 | $46,932,340 |
|
|
|
|
Retail - 12.3% |
|
|
|
Bed Bath & Beyond, Inc.* |
| 700,000 | 28,126,000 |
CDW Corp. |
| 400,000 | 23,568,000 |
Costco Wholesale Corp. |
| 550,000 | 23,699,500 |
Home Depot, Inc. |
| 500,000 | 19,070,000 |
Kohl's Corp.* |
| 630,000 | 31,613,400 |
Staples, Inc. |
| 1,050,000 | 22,386,000 |
|
|
| 148,462,900 |
|
|
|
|
Securities Brokers & Services - 2.0% |
|
|
|
A.G. Edwards, Inc. |
| 250,000 | 10,952,500 |
Franklin Resources, Inc. |
| 150,000 | 12,594,000 |
|
|
| 23,546,500 |
|
|
|
|
Services - Commercial - 1.5% |
|
|
|
eBay, Inc.* |
| 450,000 | 18,540,000 |
|
|
|
|
Soaps & Household Chemicals - 2.4% |
|
|
|
Colgate-Palmolive Co. |
| 550,000 | 29,034,500 |
|
|
|
|
Utilities - Gas Distribution - 3.1% |
|
|
|
Questar Corp. |
| 420,000 | 37,010,400 |
|
|
|
|
Venture Capital - 0.1% |
|
|
|
20/20 Gene Systems Inc., Warrants |
|
|
|
(strike price $.01/share, expires 8/27/13) (b)(i)* |
| 30,000 | 14,700 |
Chesapeake PERL, Inc.: |
|
|
|
Common Warrants (strike price $2.00/share, expires 4/1/09) (b)(i)* |
| 75,000 | -- |
Series A-2 Preferred (b)(i)* |
| 150,000 | 300,000 |
Cylex, Inc.: |
|
|
|
Series A-1 Preferred (b)(i)* |
| 101,742 | 93,496 |
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 | 387,294 |
H2Gen Innovations, Inc.: |
|
|
|
Common Stock (b)(i)* |
| 2,077 | -- |
Common Warrants (strike price $1.00/share, expires 10/31/13) (b)(i)* |
| 27,025 | -- |
Series A Preferred (b)(i)* |
| 69,033 | 69,033 |
Series A Preferred Warrants |
|
|
|
(strike price $1.00/share, expires 1/1/12) (b)(i)* |
| 1,104 | -- |
Series B Preferred (b)(i)* |
| 161,759 | 161,759 |
PowerZyme, Inc., Series D, Preferred (b)(i)* |
| 1,250,000 | 375,000 |
|
|
| 1,613,057 |
|
|
|
|
Total Equity Securities (Cost $946,061,592) |
|
| 1,169,411,121 |
|
|
|
|
|
|
|
|
|
| Adjusted |
|
Limited Partnership Interest - 0.0% |
| Basis | Value |
China Environment Fund 2004 (b)(i)* |
| $4,653 | $4,653 |
SEAF India International Growth Fund LLC (b)(i)* |
| 150,000 | 150,000 |
|
|
|
|
Total Limited Partnership Interest (Cost $154,653) |
|
| 154,653 |
|
|
|
|
|
| Principal |
|
Corporate Bonds - 0.0% |
| Amount |
|
20/20 Gene Systems Inc., 8.00%, 3/1/06 (b)(i) |
| 250,000 | 187,500 |
|
|
|
|
Total Corporate Bonds (Cost $250,000) |
|
| 187,500 |
|
|
|
|
High Social Impact Investments - 0.6% |
|
|
|
Calvert Social Investment Foundation Notes, |
|
|
|
3.00%, 7/1/06 (b)(i)(r) | 6,800,000 | 6,556,900 | |
|
|
|
|
Total High Social Impact Investments (Cost $6,800,000) |
|
| 6,556,900 |
|
|
|
|
U.S. Government Agencies and Instrumentalities - 2.6% |
|
|
|
Federal Home Loan Bank Discount Notes, 10/3/05 |
| 31,800,000 | 31,794,435 |
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
(Cost $31,794,435) |
|
| 31,794,435 |
|
|
|
|
TOTAL INVESTMENTS (Cost $985,060,680) - 100.3% |
|
| 1,208,104,609 |
Other assets and liabilities, net - (0.3%) |
|
| (3,040,433) |
Net Assets - 100% |
|
| $1,205,064,176 |
|
|
|
|
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: 24,275,842 shares outstanding |
| $672,521,927 | |
Class B: 3,203,245 shares outstanding |
| 89,892,137 | |
Class C: 3,497,536 shares outstanding |
| 91,468,511 | |
Class I: 3,673,158 shares outstanding |
| 113,060,147 | |
Accumulated net realized gain (loss) on investments |
|
| 15,077,525 |
Net unrealized appreciation (depreciation) on investments |
|
| 223,043,929 |
|
|
|
|
Net Assets |
|
| $1,205,064,176 |
|
|
|
|
Net Asset Value per Share |
|
|
|
Class A (based on net assets of $858,873,483) |
|
| $35.38 |
Class B (based on net assets of $105,189,404) |
|
| $32.84 |
Class C (based on net assets of $107,305,330) |
|
| $30.68 |
Class I (based on net assets of $133,695,959) |
|
| $36.40 |
See notes to statements of net assets and notes to financial statements.
Enhanced Equity Portfolio
Statement of Net Assets
September 30, 2005
Equity Securities - 98.8% |
| Shares | Value |
Air Transportation - 0.3% |
|
|
|
AAR Corp.* |
| 5,700 | $97,926 |
Continental Airlines, Inc., Class B* |
| 11,600 | 112,056 |
|
|
| 209,982 |
|
|
|
|
Auto Parts - Original Equipment - 0.1% |
|
|
|
Autoliv, Inc. |
| 1,700 | 73,950 |
|
|
|
|
Auto Trucks & Parts - 0.1% |
|
|
|
Modine Manufacturing Co. |
| 2,200 | 80,696 |
|
|
|
|
Banks - New York City - 1.9% |
|
|
|
JP Morgan Chase & Co. |
| 41,284 | 1,400,766 |
|
|
|
|
Banks - Outside New York City - 7.2% |
|
|
|
Bank of America Corp. |
| 45,570 | 1,918,497 |
BB&T Corp. |
| 2,500 | 97,625 |
KeyCorp Ltd. |
| 7,300 | 235,425 |
US Bancorp |
| 30,200 | 848,016 |
Wachovia Corp. |
| 28,700 | 1,365,833 |
Wells Fargo & Co. |
| 13,100 | 767,267 |
|
|
| 5,232,663 |
|
|
|
|
Biotechnology - Research & Production - 2.3% |
|
|
|
Amgen, Inc.* |
| 13,200 | 1,051,644 |
Invitrogen Corp.* |
| 7,800 | 586,794 |
|
|
| 1,638,438 |
|
|
|
|
Building Materials - 0.4% |
|
|
|
Masco Corp. |
| 9,000 | 276,120 |
|
|
|
|
Chemicals - 0.8% |
|
|
|
Airgas, Inc. |
| 800 | 23,704 |
Lubrizol Corp. |
| 300 | 12,999 |
Praxair, Inc. |
| 5,000 | 239,650 |
Sigma-Aldrich Corp. |
| 4,900 | 313,894 |
|
|
| 590,247 |
|
|
|
|
Communications & Media - 2.0% |
|
|
|
Time Warner, Inc. |
| 80,900 | 1,465,099 |
|
|
|
|
Communications Technology - 1.8% |
|
|
|
Cisco Systems, Inc.* |
| 67,800 | 1,215,654 |
Motorola, Inc. |
| 4,200 | 92,778 |
|
|
| 1,308,432 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Computer - Services, Software & Systems - 3.6% |
|
|
|
Adobe Systems, Inc. |
| 6,000 | $179,100 |
BMC Software, Inc.* |
| 7,900 | 166,690 |
Compuware Corp.* |
| 15,000 | 142,500 |
Microsoft Corp. |
| 68,800 | 1,770,224 |
Symantec Corp.* |
| 12,613 | 285,811 |
Trizetto Group, Inc.* |
| 4,900 | 69,188 |
|
|
| 2,613,513 |
|
|
|
|
Computer Technology - 5.2% |
|
|
|
Apple Computer, Inc.* |
| 5,900 | 316,299 |
Dell, Inc.* |
| 36,700 | 1,255,140 |
EMC Corp.* |
| 11,800 | 152,692 |
Hewlett-Packard Co. |
| 9,100 | 265,720 |
International Business Machines Corp. |
| 21,800 | 1,748,796 |
|
|
| 3,738,647 |
|
|
|
|
Consumer Electronics - 0.2% |
|
|
|
Yahoo!, Inc.* |
| 5,200 | 175,968 |
|
|
|
|
Consumer Products - 1.7% |
|
|
|
American Greetings Corp. |
| 1,300 | 35,620 |
Gillette Co. |
| 2,500 | 145,500 |
Kimberly-Clark Corp. |
| 15,800 | 940,574 |
Toro Co. |
| 2,300 | 84,548 |
|
|
| 1,206,242 |
|
|
|
|
Containers & Packaging - Paper & Plastic - 0.0% |
|
|
|
Sealed Air Corp.* |
| 100 | 4,746 |
|
|
|
|
Diversified Financial Services - 3.7% |
|
|
|
American Express Co. |
| 24,300 | 1,395,792 |
CIT Group, Inc. |
| 1,700 | 76,806 |
Goldman Sachs Group, Inc. |
| 9,600 | 1,167,168 |
|
|
| 2,639,766 |
|
|
|
|
Diversified Materials & Processing - 0.1% |
|
|
|
Armor Holdings, Inc.* |
| 1,700 | 73,117 |
|
|
|
|
Diversified Production - 1.1% |
|
|
|
Danaher Corp. |
| 13,100 | 705,173 |
Dover Corp. |
| 2,600 | 106,054 |
|
|
| 811,227 |
|
|
|
|
Drug & Grocery Store Chains - 0.2% |
|
|
|
Supervalu, Inc. |
| 4,300 | 133,816 |
|
|
|
|
Drugs & Pharmaceuticals - 6.2% |
|
|
|
Cardinal Health, Inc. |
| 7,650 | 485,316 |
Johnson & Johnson |
| 31,300 | 1,980,664 |
Pfizer, Inc. |
| 79,600 | 1,987,612 |
|
|
| 4,453,592 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Electrical - Household Appliances - 0.0% |
|
|
|
Maytag Corp. |
| 1,600 | $29,216 |
|
|
|
|
Electrical Equipment & Components - 0.3% |
|
|
|
Molex, Inc. |
| 8,000 | 213,440 |
|
|
|
|
Electronic Equipment & Components - 0.1% |
|
|
|
Cooper Industries Ltd. |
| 1,400 | 96,796 |
|
|
|
|
Electronics - Medical Systems - 1.0% |
|
|
|
Medtronic, Inc. |
| 14,000 | 750,680 |
|
|
|
|
Electronics - Semiconductors / Components - 5.3% |
|
|
|
Intel Corp. |
| 76,300 | 1,880,795 |
Jabil Circuit, Inc.* |
| 9,800 | 303,016 |
National Semiconductor Corp. |
| 33,800 | 888,940 |
Texas Instruments, Inc. |
| 22,200 | 752,580 |
|
|
| 3,825,331 |
|
|
|
|
Energy Miscellaneous - 1.3% |
|
|
|
Veritas DGC, Inc.* |
| 25,000 | 915,500 |
|
|
|
|
Financial Data Processing Services - 2.7% |
|
|
|
Automatic Data Processing, Inc. |
| 24,000 | 1,032,960 |
CompuCredit Corp.* |
| 6,300 | 279,846 |
First Data Corp. |
| 16,500 | 660,000 |
|
|
| 1,972,806 |
|
|
|
|
Financial Miscellaneous - 1.5% |
|
|
|
Fannie Mae |
| 10,700 | 479,574 |
Freddie Mac |
| 1,600 | 90,336 |
MBNA Corp. |
| 10,600 | 261,184 |
Nationwide Financial Services, Inc. |
| 1,800 | 72,090 |
Providian Financial Corp.* |
| 11,300 | 199,784 |
|
|
| 1,102,968 |
|
|
|
|
Foods - 1.9% |
|
|
|
General Mills, Inc. |
| 4,900 | 236,180 |
Hershey Foods Corp. |
| 8,500 | 478,635 |
Kellogg Co. |
| 14,700 | 678,111 |
|
|
| 1,392,926 |
|
|
|
|
Forest Products - 0.5% |
|
|
|
Weyerhaeuser Co. |
| 5,300 | 364,375 |
|
|
|
|
Healthcare Management Services - 0.8% |
|
|
|
Caremark Rx, Inc.* |
| 6,800 | 339,524 |
IMS Health, Inc. |
| 10,000 | 251,700 |
|
|
| 591,224 |
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Healthcare Services - 3.6% |
|
|
|
Express Scripts, Inc.* |
| 8,100 | $503,820 |
McKesson Corp. |
| 15,500 | 735,475 |
WellPoint, Inc.* |
| 17,700 | 1,342,014 |
|
|
| 2,581,309 |
Home Building - 2.2% |
|
|
|
NVR, Inc.* |
| 1,300 | 1,150,435 |
Standard-Pacific Corp. |
| 9,800 | 406,798 |
|
|
| 1,557,233 |
|
|
|
|
Household Equipment & Products - 1.1% |
|
|
|
Black & Decker Corp. |
| 9,700 | 796,273 |
|
|
|
|
Identification Control & Filter Devices - 0.3% |
|
|
|
Parker Hannifin Corp. |
| 3,700 | 237,947 |
|
|
|
|
Insurance - Life - 1.7% |
|
|
|
Phoenix Co.'s, Inc. |
| 4,600 | 56,120 |
Principal Financial Group |
| 16,100 | 762,657 |
Prudential Financial, Inc. |
| 6,100 | 412,116 |
|
|
| 1,230,893 |
|
|
|
|
Insurance - Multi-Line - 2.5% |
|
|
|
Cigna Corp. |
| 9,900 | 1,166,814 |
Hartford Financial Services Group, Inc. |
| 4,300 | 331,831 |
Lincoln National Corp. |
| 3,600 | 187,272 |
Safeco Corp. |
| 1,000 | 53,380 |
St. Paul Travelers Co.'s, Inc. |
| 800 | 35,896 |
UnumProvident Corp. |
| 100 | 2,050 |
|
|
| 1,777,243 |
|
|
|
|
Insurance - Property & Casualty - 1.8% |
|
|
|
21st Century Insurance Group |
| 4,200 | 66,990 |
Chubb Corp. |
| 6,400 | 573,120 |
Commerce Group, Inc. |
| 6,500 | 377,130 |
Progressive Corp. |
| 2,600 | 272,402 |
|
|
| 1,289,642 |
|
|
|
|
Leisure Time - 0.3% |
|
|
|
Vail Resorts, Inc.* |
| 7,100 | 204,125 |
|
|
|
|
Machinery - Construction & Handling - 0.8% |
|
|
|
Terex Corp.* |
| 11,300 | 558,559 |
|
|
|
|
Machinery - Engines - 0.4% |
|
|
|
Cummins, Inc. |
| 3,000 | 263,970 |
|
|
|
|
Machinery - Industrial / Specialty - 1.0% |
|
|
|
Illinois Tool Works, Inc. |
| 8,770 | 722,034 |
|
|
|
|
Machinery - Oil Well Equipment & Services - 1.4% |
|
|
|
Cooper Cameron Corp.* |
| 7,600 | 561,868 |
Smith International, Inc. |
| 13,200 | 439,692 |
|
|
| 1,001,560 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Medical & Dental - Instruments & Supplies - 0.5% |
|
|
|
Becton Dickinson & Co. |
| 5,100 | $267,393 |
St. Jude Medical, Inc.* |
| 1,200 | 56,160 |
|
|
| 323,553 |
|
|
|
|
Medical Services - 0.2% |
|
|
|
Coventry Health Care, Inc.* |
| 1,250 | 107,525 |
|
|
|
|
Multi-Sector Companies - 1.0% |
|
|
|
3M Co. |
| 9,800 | 718,928 |
|
|
|
|
Office Furniture & Business Equipment - 0.2% |
|
|
|
Xerox Corp.* |
| 8,800 | 120,120 |
|
|
|
|
Oil - Crude Producers - 3.6% |
|
|
|
Cimarex Energy Co.* |
| 1,700 | 77,061 |
EOG Resources, Inc. |
| 18,000 | 1,348,200 |
Pioneer Natural Resources Co. |
| 9,000 | 494,280 |
XTO Energy, Inc. |
| 15,142 | 686,235 |
|
|
| 2,605,776 |
|
|
|
|
Paints & Coatings - 0.0% |
|
|
|
H.B. Fuller Co. |
| 400 | 12,432 |
|
|
|
|
Publishing - Miscellaneous - 1.4% |
|
|
|
McGraw-Hill Co.'s, Inc. |
| 20,600 | 989,624 |
|
|
|
|
Real Estate Investment Trust - 0.3% |
|
|
|
Equity Office Properties Trust |
| 3,300 | 107,943 |
FelCor Lodging Trust, Inc.* |
| 7,100 | 107,565 |
|
|
| 215,508 |
|
|
|
|
Restaurants - 0.7% |
|
|
|
CKE Restaurants, Inc. |
| 10,400 | 137,072 |
Darden Restaurants, Inc. |
| 12,900 | 391,773 |
|
|
| 528,845 |
|
|
|
|
Retail - 5.4% |
|
|
|
Barnes & Noble, Inc. |
| 10,300 | 388,310 |
Best Buy Co., Inc. |
| 6,500 | 282,945 |
Costco Wholesale Corp. |
| 7,700 | 331,793 |
Gap, Inc. |
| 27,825 | 484,990 |
Home Depot, Inc. |
| 33,900 | 1,292,946 |
Nordstrom, Inc. |
| 14,400 | 494,208 |
Saks, Inc.* |
| 1,200 | 22,200 |
ShopKo Stores, Inc.* |
| 100 | 2,552 |
Staples, Inc. |
| 22,850 | 487,162 |
Target Corp. |
| 2,100 | 109,053 |
|
|
| 3,896,159 |
|
|
|
|
Savings & Loans - 1.0% |
|
|
|
Downey Financial Corp. |
| 3,000 | 182,700 |
Washington Mutual, Inc. |
| 14,300 | 560,846 |
|
|
| 743,546 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Securities Brokers & Services - 0.1% |
|
|
|
Charles Schwab Corp. |
| 2,700 | $38,961 |
|
|
|
|
Services - Commercial - 0.2% |
|
|
|
eBay, Inc.* |
| 3,100 | 127,720 |
|
|
|
|
Shoes - 0.1% |
|
|
|
Timberland Co.* |
| 3,200 | 108,096 |
|
|
|
|
Soaps & Household Chemicals - 2.3% |
|
|
|
Colgate-Palmolive Co. |
| 2,200 | 116,138 |
Procter & Gamble Co. |
| 25,700 | 1,528,122 |
|
|
| 1,644,260 |
|
|
|
|
Telecommunications Equipment - 0.0% |
|
|
|
Audiovox Corp.* |
| 900 | 12,582 |
|
|
|
|
Transportation Miscellaneous - 0.2% |
|
|
|
United Parcel Service, Inc., Class B |
| 2,600 | 179,738 |
|
|
|
|
Utilities - Cable, Television, & Radio - 1.4% |
|
|
|
Cablevision Systems Corp.* |
| 1,400 | 42,938 |
Comcast Corp.* |
| 32,700 | 960,726 |
|
|
| 1,003,664 |
|
|
|
|
Utilities - Electrical - 1.6% |
|
|
|
Black Hills Corp. |
| 2,000 | 86,740 |
Cleco Corp. |
| 16,700 | 393,786 |
Duquesne Light Holdings, Inc. |
| 500 | 8,605 |
Hawaiian Electric Industries, Inc. |
| 2,700 | 75,276 |
IDACORP, Inc. |
| 6,200 | 186,806 |
NiSource, Inc. |
| 4,500 | 109,125 |
OGE Energy Corp. |
| 11,000 | 309,100 |
Unisource Energy Corp. |
| 300 | 9,972 |
|
|
| 1,179,410 |
|
|
|
|
Utilities - Gas Distribution - 3.5% |
|
|
|
Energen Corp. |
| 7,600 | 328,776 |
Kinder Morgan, Inc. |
| 11,700 | 1,125,072 |
Oneok, Inc. |
| 1,700 | 57,834 |
Questar Corp. |
| 11,600 | 1,022,192 |
|
|
| 2,533,874 |
|
|
|
|
Utilities - Telecommunications - 3.6% |
|
|
|
Bellsouth Corp. |
| 39,800 | 1,046,740 |
Centennial Communications Corp.* |
| 4,400 | 65,912 |
SBC Communications, Inc. |
| 62,138 | 1,489,448 |
|
|
| 2,602,100 |
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Wholesalers - 0.1% |
|
|
|
United Stationers, Inc.* |
| 1,800 | $86,148 |
|
|
|
|
Total Equity Securities (Cost $62,294,008) |
|
| 71,381,646 |
|
|
|
|
Total Investments (Cost $62,294,008) - 98.8% |
|
| 71,381,646 |
Other assets and liabilities, net - 1.2% |
|
| 869,644 |
Net Assets - 100% |
|
| $72,251,290 |
|
|
|
|
|
|
|
|
Net Assets Consist of: |
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value share authorized: |
|
|
|
Class A: 2,911,226 shares outstanding |
|
| $46,019,561 |
Class B: 518,763 shares outstanding |
|
| 7,934,949 |
Class C: 419,747 shares outstanding |
|
| 6,652,970 |
Class I: 66,463 shares outstanding |
|
| 1,209,690 |
Undistributed net investment income |
|
| 189,578 |
Accumulated net realized gain (loss) on investments |
|
| 1,156,904 |
Net unrealized appreciation (depreciation) on investments |
|
| 9,087,638 |
|
|
|
|
Net Assets |
|
| $72,251,290 |
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $54,618,360) |
|
| $18.76 |
Class B (based on net assets of $9,043,290) |
|
| $17.43 |
Class C (based on net assets of $7,343,587) |
|
| $17.50 |
Class I (based on net assets of $1,246,053) |
|
| $18.75 |
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, 2006. At September 2005 accumulated deferred interest totaled $779,021 and includes interest accrued since and due on October 1, 2003.
(h) Represents rate in effect at September 30, 2005, 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, 2005, the prime rate was 6.75%.
(i) Restricted securities represent 2.4% of the net assets for Balanced Portfolio, 0.3% for Bond Portfolio, and 0.7% 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. This security is no longer accruing interest.
(n) The Illinois Insurance Department prohibited Lumbermens from making interest payments. This TIERS security is based on interest payments from Lumbermens. This security is no longer accruing interest.
(r) The coupon rate shown on floating or adjustable rate securities 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 |
C/LOC: Confirming Letter of Credit | Corp. |
LOC: Letter of Credit | COPs: Certificates of Participation |
GIC: Guaranteed Investment Contract | FGIC: Financial Guaranty Insurance Company |
| FHLB: Federal Home Loan Bank |
| FSB: Federal Savings Bank |
| 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 |
Agraquest, Inc., Series C Preferred |
| 03/11/98 - 06/27/03 | 200,000 |
AgraQuest, Inc, Series H Preferred |
| 05/25/2005 | 161,999 |
Angels With Attitude LLC |
| 08/28/00 - 04/30/03 | 200,000 |
Calvert Social Investment Foundation Notes, |
|
|
|
2.17%, 7/1/07 |
| 07/01/04 | 5,016,666 |
CFBanc Corp. |
| 03/14/03 | 270,000 |
CitySoft Note I, 10.00%, 8/31/06 |
| 10/15/02 | 297,877 |
CitySoft Note II, 10.00%, 8/31/06 |
| 09/09/03 | 32,500 |
CitySoft Note III, 10.00%, 8/31/06 |
| 05/04/04 | 25,000 |
CitySoft Note IV, 10.00%, 8/31/06 |
| 03/11/05 | 25,000 |
City Soft, Inc., Warrants: |
|
|
|
(strike price $0.21/share, expires 05/15/12) |
| 11/22/02 | -- |
(strike price $0.01/share, expires 10/15/12) |
| 05/04/04 | -- |
(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 02/28/13) |
| 04/11/03 | -- |
(strike price $0.14/share, expires 02/28/13) |
| 04/11/03 | -- |
(strike price $0.28/share, expires 02/28/13) |
| 04/11/03 | -- |
(strike price $0.01/share, expires 05/31/13) |
| 07/15/03 | -- |
(strike price $0.14/share, expires 05/31/13) |
| 07/15/03 | -- |
(strike price $0.28/share, expires 05/31/13) |
| 07/15/03 | -- |
(strike price $0.01/share, expires 08/31/13) |
| 09/09/03 | -- |
(strike price $0.14/share, expires 08/31/13) |
| 09/09/03 | -- |
(strike price $0.28/share, expires 08/31/13) |
| 09/09/03 | -- |
(strike price $0.01/share, expires 09/4/13) |
| 03/11/05 | -- |
(strike price $0.01/share, expires 09/4/13) | 09/09/03 | -- | |
(strike price $0.01/share, expires 09/4/13) |
| 05/04/04 | -- |
(strike price $0.14/share, expires 09/4/13) |
| 09/09/03 | -- |
(strike price $0.28/share, expires 09/4/13) | 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 - 12/13/04 | 312,428 |
Community Bank of the Bay |
| 03/15/96 | 100,000 |
Distributed Energy Systems Corp, Contingent |
|
|
|
Deferred Distribution, Cash Tranche 2 |
| 01/06/04 | 11,022 |
Distributed Energy Systems Corp, Contingent |
|
|
|
Deferred Distribution, Stock Tranche 2 |
| 01/06/04 | 407 |
Environmental Private Equity Fund II |
| 12/31/93 - 11/21/97 | 24,332 |
First Analysis Private Equity Fund IV | 02/25/02 - 07/11/05 | 421,984 | |
GEEMF Partners |
| 02/28/97 | 185,003 |
Global Environment Emerging Markets Fund |
| 01/14/94 - 12/01/95 | 814,997 |
|
|
|
|
|
|
|
|
Balanced Portfolio |
|
|
|
Restricted securities (Cont'd) |
| Acquisition Dates | Cost |
H2Gen Innovations Common Stock |
| 11/04/04 | -- |
H2Gen Innovations, Inc., Series A Preferred |
| 12/30/02 | $251,496 |
H2Gen Innovations, Inc., Series A Preferred, |
|
|
|
Warrants(strike price $1.00/share, expires 1/1/12) |
| 11/07/02 | -- |
H2Gen Innovations, Inc., Series B Preferred |
| 11/06/03 - 10/21/04 | 161,759 |
H2Gen Innovations, Inc., 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 |
Hayes Medical Series A-1 Preferred Stock |
| 08/19/05 | 8,663 |
Hayes Medical, Inc., 8.00%, 9/30/10 |
| 08/19/05 | 250,000 |
Inflabloc |
| 12/29/03 | 261,945 |
Infrastructure and Environmental Private |
|
|
|
Equity Fund III |
| 04/16/97 - 02/12/01 | 644,292 |
KDM Development Corp., 2.41%, 12/31/07 |
| 11/03/99 | 706,429 |
Labrador Ventures III |
| 08/11/98 - 04/02/01 | 370,293 |
Labrador Ventures IV |
| 12/14/99 - 06/27/05 | 826,683 |
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 - 06/20/05 | 150,000 |
Pharmadigm, Inc. |
| 07/05/96 - 06/18/97 | 238,055 |
Plethora Technology Series A Preferred Stock |
| 04/29/05-05/13/05 | 701,835 |
Plethora Technology Common Warrants |
|
|
|
4/29/2015 $0.01 |
| 6/23/03-2/10/04 | 75,360 |
Poland Partners |
| 04/13/94 - 07/23/01 | -- |
ProFund International SA, Common |
| 08/29/95 - 05/25/99 | 7,500 |
ProFund International SA, Preferred |
| 01/12/96 - 09/09/03 | 118,624 |
Seventh Generation, Inc. |
| 04/12/02 - 05/06/03 | 230,500 |
SMARTTHINKING, Inc., Series 1-A, |
|
|
|
Convertible Preferred |
| 04/22/03 - 05/27/05 | 159,398 |
SMARTTHINKING, Inc., Series 1-B, |
|
|
|
Convertible Preferred |
| 06/10/03 | 250,000 |
SMARTTHINKING, Inc., Series 1-B Preferred |
|
|
|
Warrants (strike price $1.53/share, expires 10/20/05) |
| 06/10/03 | -- |
SMARTTHINKING, Inc., Series 1-B Preferred |
|
|
|
Warrants (strike price $0.01, expires 5/26/2015) |
| 05/27/05 | -- |
Solstice Capital |
| 06/26/01 - 05/18/05 | 310,526 |
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 |
Wild Planet Toys, Inc., Series B Preferred |
| 07/12/94 | 200,000 |
Wild Planet Toys, Inc., Series E Preferred |
| 04/09/98 | 180,725 |
Wind Harvest Co., Inc., Series A Preferred |
| 05/16/94 | 100,000 |
|
|
|
|
|
|
|
|
|
|
|
|
Equity Portfolio |
|
|
|
Restricted Securities |
| Acquisition Dates | Cost |
20/20 Gene Systems, Inc.: |
|
|
|
8.00%, 3/1/06 |
| 09/01/05 | $250,000 |
Warrants (strike price $0.01/share, expires 8/27/13) |
| 08/29/03 | 14,700 |
Calvert Social Investment Foundation Notes, |
|
|
|
3.00%, 7/1/06 |
| 07/01/03-07/01/04 | 6,800,000 |
China Environment Fund 2004 LP |
| 09/15/05 | 4,653 |
Chesapeake PERL, Inc.: |
|
|
|
Common Warrants (strike price $2.00/share, expires 4/1/09) |
| 05/17/05 | -- |
Series A-2, Preferred | 07/30/04 | 300,000 | |
Cylex, Inc.: |
|
|
|
Series A-1, Preferred |
| 06/30/04 | 335,750 |
Series B, Preferred |
| 06/30/04 | 211,775 |
Warrants (strike price $0.0412/share, expires 11/12/13) | 06/30/04 | 13,525 | |
Dragonfly Media LLC |
| 07/18/03-05/13/04 | 516,392 |
H2Gen Innovations, Inc.: |
|
|
|
Common |
| 11/04/04 | -- |
Common Warrants (strike price $1.00/share, expires 10/31/13) |
| 11/04/04 | -- |
Series A, Preferred |
| 11/04/04 | 251,496 |
Series A, Preferred Warrants (strike price $1.00/share, |
|
|
|
expires 1/1/12) |
| 11/04/04 | -- |
Series B, Preferred |
| 10/21/04-10/27/04 | 161,759 |
PowerZyme, Inc., Series D, Preferred | 07/22/04 | 500,000 | |
SEAF India International Growth Fund LLC |
| 3/22/05-5/11/05 | 150,000 |
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
|
Restricted Securities |
| Acquisition Dates | Cost |
Calvert Social Investment Foundation Notes, |
|
|
|
3.00%, 7/1/06 |
| 07/01/03 | $1,050,000 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2005
|
| Money |
|
|
|
|
| Market | Balanced | Bond |
|
Net Investment Income |
| Portfolio | Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
|
Interest income |
| $4,500,022 | $9,103,212 | $9,959,460 |
|
Dividend income (net of foreign taxes withheld |
|
|
|
|
|
of $0, $4,498, and $4,521, respectively) |
| -- | 6,540,122 | 383,023 |
|
Total investment income |
| 4,500,022 | 15,643,334 | 10,342,483 |
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Investment advisory fee |
| 484,015 | 2,356,288 | 871,605 |
|
Transfer agency fees and expenses |
| 430,696 | 1,009,856 | 509,860 |
|
Administrative fees |
| 322,676 | 1,532,857 | 708,994 |
|
Distribution Plan expenses: |
|
|
|
|
|
Class A |
| -- | 1,189,577 | 393,146 |
|
Class B |
| -- | 270,769 | 179,400 |
|
Class C |
| -- | 241,457 | 154,688 |
|
Trustees' fees and expenses |
| 35,218 | 127,536 | 54,126 |
|
Custodian fees |
| 19,880 | 124,251 | 70,547 |
|
Registration fees |
| 23,340 | 43,515 | 52,537 |
|
Reports to shareholders |
| 64,369 | 176,514 | 46,821 |
|
Professional fees |
| 31,996 | 71,913 | 39,797 |
|
Miscellaneous |
| 56,423 | 149,421 | 14,839 |
|
Total expenses |
| 1,468,613 | 7,293,954 | 3,096,360 |
|
Reimbursement from Advisor: |
|
|
|
|
|
Class O |
| (45,911) | -- | -- |
|
Class I |
| -- | (4,246) | -- |
|
Fees paid indirectly |
| (10,992) | (24,242) | (19,284) |
|
Net expenses |
| 1,411,710 | 7,265,466 | 3,077,076 |
|
|
|
|
|
|
|
Net Investment Income |
| 3,088,312 | 8,377,868 | 7,265,407 |
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
|
Investments |
| (1,269) | 22,869,935 | 4,279,524 |
|
Foreign currency transactions |
| -- | 427 | (166) |
|
Futures |
| -- | 1,762,918 | 2,464,212 |
|
|
| (1,269) | 24,633,280 | 6,743,570 |
|
|
|
|
|
|
|
Change in unrealized appreciation or (depreciation) on: |
|
|
|
|
|
Investments and foreign currencies |
| -- | 18,068,393 | (2,070,631) |
|
Futures |
| -- | (298,301) | (350,454) |
|
|
| -- | 17,770,092 | (2,421,085) |
|
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
| (1,269) | 42,403,372 | 4,322,485 |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| $3,087,043 | $50,781,240 | $11,587,892 |
|
See notes to financial statements.
Statements of Operations
Year ended September 30, 2005
|
|
| Enhanced |
|
|
| Equity | Equity |
|
Net Investment Income |
| Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
Interest income |
| $589,332 | $1,503 |
|
Dividend income (net of foreign taxes withheld of $154 |
|
|
|
|
and $0, respectively) |
| 14,105,417 | 1,417,005 |
|
Total investment income |
| 14,694,749 | 1,418,508 |
|
|
|
|
|
|
Expenses: |
|
|
|
|
Investment advisory fee |
| 5,572,057 | 446,030 |
|
Transfer agency fees and expenses |
| 2,359,674 | 175,122 |
|
Administrative fees |
| 2,114,420 | 111,360 |
|
Distribution Plan expenses: |
|
|
|
|
Class A |
| 1,994,782 | 145,512 |
|
Class B |
| 1,013,998 | 88,645 |
|
Class C |
| 1,006,967 | 69,660 |
|
Trustees' fees and expenses |
| 247,207 | 16,559 |
|
Custodian fees |
| 54,689 | 41,085 |
|
Registration fees |
| 70,549 | 33,228 |
|
Reports to shareholders |
| 245,620 | 19,646 |
|
Professional fees |
| 117,081 | 22,904 |
|
Miscellaneous |
| 75,977 | 7,687 |
|
Total expenses |
| 14,873,021 | 1,177,438 |
|
Reimbursements: |
|
|
|
|
Class I |
| -- | (5,070) |
|
Fees waived |
| -- | (74,342) |
|
Fees paid indirectly |
| (40,341) | (6,463) |
|
Net expenses |
| 14,832,680 | 1,091,563 |
|
|
|
|
|
|
Net Investment Income (Loss) |
| (137,931) | 326,945 |
|
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
Gain (Loss) on Investments |
|
|
|
|
Net realized gain (loss) |
| 38,626,683 | 4,134,578 |
|
Net increase from payment by affiliate (see Note B) |
| -- | 132,790 |
|
Change in unrealized appreciation or (depreciation) |
| 81,066,598 | 2,881,760 |
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
Gain (Loss) on Investments |
| 119,693,281 | 7,149,128 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| $119,555,350 | $7,476,073 |
|
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 |
|
| 2005 | 2004 |
|
Operations: |
|
|
|
|
|
Net investment income |
|
| $3,088,312 | $769,883 |
|
Net realized gain (loss) |
|
| (1,269) | (497) |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
|
| 3,087,043 | 769,386 |
|
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
|
Net investment income |
|
| (3,089,090) | (768,201) |
|
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
|
Shares sold |
|
| 127,234,499 | 143,216,772 |
|
Reinvestment of distributions |
|
| 3,019,563 | 759,944 |
|
Shares redeemed |
|
| (139,950,325) | (155,849,491) |
|
Total capital share transactions |
|
| (9,696,263) | (11,872,775) |
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
|
| (9,698,310) | (11,871,590) |
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
Beginning of year |
|
| 169,916,148 | 181,787,738 |
|
End of year (including undistributed net investment |
|
|
|
|
|
income of $8,907 and $9,685, respectively.) |
|
| $160,217,838 | $169,916,148 |
|
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
|
Shares sold |
|
| 127,234,384 | 143,216,772 |
|
Reinvestment of distributions |
|
| 3,019,563 | 759,944 |
|
Shares redeemed |
|
| (139,950,325) | (155,849,491) |
|
Total capital share activity |
|
| (9,696,378) | (11,872,775) |
|
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 |
|
| 2005 | 2004 |
Operations: |
|
|
|
|
Net investment income |
|
| $8,377,868 | $6,799,213 |
Net realized gain (loss) |
|
| 24,633,280 | 21,430,409 |
Change in net unrealized appreciation or (depreciation) |
|
| 17,770,092 | 15,206,025 |
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
|
| 50,781,240 | 43,435,647 |
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
|
| (7,319,170) | (6,584,422) |
Class B Shares |
|
| (121,583) | (77,086) |
Class C Shares |
|
| (118,725) | (74,349) |
Class I Shares |
|
| (13,510) | -- |
Total distributions |
|
| (7,572,988) | (6,735,857) |
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
|
| 67,015,343 | 40,968,096 |
Class B Shares |
|
| 4,708,898 | 6,786,762 |
Class C Shares |
|
| 5,789,432 | 6,445,894 |
Class I Shares |
|
| 1,000,000 | -- |
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
|
| 6,821,499 | 6,103,039 |
Class B Shares |
|
| 107,216 | 67,681 |
Class C Shares |
|
| 96,656 | 61,739 |
Class I Shares |
|
| 13,510 | -- |
Redemption Fees: |
|
|
|
|
Class A Shares |
|
| 6,562 | 353 |
Shares redeemed: |
|
|
|
|
Class A Shares |
|
| (81,484,063) | (74,997,518) |
Class B Shares |
|
| (3,154,737) | (3,166,663) |
Class C Shares |
|
| (3,582,699) | (2,510,835) |
Class I Shares |
|
| (35,000) | -- |
Total capital share transactions |
|
| (2,697,383) | (20,241,452) |
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
|
| 40,510,869 | 16,458,338 |
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
|
| 532,913,566 | 516,455,228 |
End of year (including distributions in excess of net investment |
|
|
|
|
income and undistributed net investment income |
|
|
|
|
of $458,737 and $159,105, respectively.) |
|
| $573,424,435 | $532,913,566 |
Balanced Portfolio
Statements of Changes in Net Assets
Balanced Portfolio (Cont'd)
|
| Year Ended | Year Ended |
|
|
| September 30, | September 30, |
|
Capital Share Activity |
| 2005 | 2004 |
|
Shares sold: |
|
|
|
|
Class A Shares |
| 2,434,440 | 1,577,142 |
|
Class B Shares |
| 173,616 | 263,954 |
|
Class C Shares |
| 215,155 | 253,014 |
|
Class I Shares |
| 36,404 | -- |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 247,707 | 233,834 |
|
Class B Shares |
| 3,929 | 2,619 |
|
Class C Shares |
| 3,577 | 2,410 |
|
Class I Shares |
| 487 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (2,962,145) | (2,920,828) |
|
Class B Shares |
| (115,722) | (122,708) |
|
Class C Shares |
| (132,780) | (98,897) |
|
Class I Shares |
| (1,231) | -- |
|
Total capital share activity |
| (96,563) | (809,460) |
|
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 |
| 2005 | 2004 |
Operations: |
|
|
|
Net investment income |
| $7,265,407 | $5,684,762 |
Net realized gain (loss) |
| 6,743,570 | 6,990,958 |
Change in net unrealized appreciation or (depreciation) |
| (2,421,085) | (741,182) |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| 11,587,892 | 11,934,538 |
|
|
|
|
Distributions to shareholders from |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (5,951,620) | (4,483,716) |
Class B Shares |
| (370,517) | (358,899) |
Class C Shares |
| (333,980) | (240,269) |
Class I Shares |
| (686,336) | (594,258) |
Net realized gain: |
|
|
|
Class A Shares |
| (4,971,041) | (4,125,295) |
Class B Shares |
| (502,129) | (508,426) |
Class C Shares |
| (391,255) | (320,427) |
Class I shares |
| (513,303) | (466,673) |
Total distributions |
| (13,720,181) | (11,097,963) |
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 94,693,932 | 47,220,150 |
Class B Shares |
| 3,724,200 | 3,534,484 |
Class C Shares |
| 8,153,394 | 4,536,791 |
Class I Shares |
| 21,360,132 | 4,509,002 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 9,326,059 | 7,289,334 |
Class B Shares |
| 669,666 | 630,680 |
Class C Shares |
| 512,874 | 378,719 |
Class I Shares |
| 1,136,638 | 1,060,930 |
Redemption Fees |
|
|
|
Class A Shares |
| 4,889 | 751 |
Class B Shares |
| 20 | -- |
Class C Shares |
| 1 | -- |
Class I Shares |
| 1 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (37,488,177) | (31,536,661) |
Class B Shares |
| (3,273,463) | (5,442,286) |
Class C Shares |
| (2,388,981) | (3,153,347) |
Class I Shares |
| (10,318,779) | (5,834,345) |
Total capital share transactions |
| 86,112,406 | 23,194,202 |
|
|
|
|
Total Increase (Decrease) In Net Assets |
| 83,980,117 | 24,030,777 |
|
|
|
|
Net Assets |
|
|
|
Beginning of year |
| 220,528,941 | 196,498,164 |
End of year (including undistributed net investment income of $116,777 and $151,246, respectively.) |
| $304,509,058 | $220,528,941 |
Bond Portfolio
Statements of Changes in Net Assets
Bond Portfolio (Cont'd)
|
| Year Ended | Year Ended |
|
| September 30, | September 30, |
Capital Share Activity |
| 2005 | 2004 |
Shares sold: |
|
|
|
Class A Shares |
| 5,849,097 | 2,931,298 |
Class B Shares |
| 231,341 | 220,184 |
Class C Shares |
| 506,345 | 283,056 |
Class I Shares |
| 1,318,309 | 282,981 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 580,686 | 454,994 |
Class B Shares |
| 41,926 | 39,558 |
Class C Shares |
| 32,131 | 23,780 |
Class I Shares |
| 70,744 | 66,200 |
Shares redeemed: |
|
|
|
Class A Shares |
| (2,315,670) | (1,961,652) |
Class B Shares |
| (203,350) | (339,935) |
Class C Shares |
| (148,614) | (197,167) |
Class I Shares |
| (640,251) | (364,373) |
Total capital share activity |
| 5,322,694 | 1,438,924 |
See notes to financial statements.
Equity Portfolio |
|
|
|
|
Statements of Changes in Net Assets |
|
|
|
|
|
|
|
|
|
|
| Year Ended | Year Ended |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2005 | 2004 |
|
Operations: |
|
|
|
|
Net investment income (loss) |
| ($137,931) | ($3,656,786) |
|
Net realized gain (loss) |
| 38,626,683 | (2,700,972) |
|
Change in net unrealized appreciation or (depreciation) |
| 81,066,598 | 57,830,791 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| 119,555,350 | 51,473,033 |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 209,392,150 | 239,560,019 |
|
Class B Shares |
| 8,843,231 | 17,825,052 |
|
Class C Shares |
| 21,111,203 | 29,365,137 |
|
Class I Shares |
| 80,048,726 | 54,034,900 |
|
Redemption Fees: |
|
|
|
|
Class A Shares |
| 22,908 | 2,725 |
|
Class B Shares |
| 535 | -- |
|
Class C Shares |
| 54 | -- |
|
Shares issued from merger (see Note A): |
|
|
|
|
Class A Shares |
| 17,977,848 | -- |
|
Class B Shares |
| 19,750,182 | -- |
|
Class C Shares |
| 6,931,681 | -- |
|
Class I Shares |
| 316,729 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (150,307,883) | (112,453,634) |
|
Class B Shares |
| (19,892,846) | (6,937,293) |
|
Class C Shares |
| (17,431,629) | (8,691,035) |
|
Class I Shares |
| (52,828,409) | (28,598,023) |
|
Total capital share transactions |
| 123,934,480 | 184,107,848 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 243,489,830 | 235,580,881 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 961,574,346 | 725,993,465 |
|
End of year |
| $1,205,064,176 | $961,574,346 |
|
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 |
| 2005 | 2004 |
|
Shares sold: |
|
|
|
|
Class A Shares |
| 6,156,949 | 7,512,315 |
|
Class B Shares |
| 279,313 | 595,439 |
|
Class C Shares |
| 713,748 | 1,052,509 |
|
Class I Shares |
| 2,286,950 | 1,651,833 |
|
Shares issued from merger (see Note A): |
|
|
|
|
Class A shares |
| 541,818 | -- |
|
Class B Shares |
| 637,378 | -- |
|
Class C Shares |
| 239,520 | -- |
|
Class I Shares |
| 9,307 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (4,409,408) | (3,542,827) |
|
Class B Shares |
| (626,005) | (232,166) |
|
Class C Shares |
| (585,706) | (310,547) |
|
Class I Shares |
| (1,507,553) | (869,770) |
|
Total capital share activity |
| 3,736,311 | 5,856,786 |
|
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 |
| 2005 | 2004 |
Operations: |
|
|
|
Net investment income (loss) |
| $326,945 | ($7,795) |
Net realized gain (loss) |
| 4,134,578 | 925,710 |
Net increase from payment by affiliate |
| 132,790 | -- |
Change in net unrealized appreciation or (depreciation) |
| 2,881,760 | 5,080,825 |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| 7,476,073 | 5,998,740 |
|
|
|
|
Distributions to shareholders from: |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (229,992) | -- |
Total distributions |
| (229,992) | -- |
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 11,932,812 | 17,615,302 |
Class B Shares |
| 946,055 | 1,523,356 |
Class C Shares |
| 1,919,624 | 1,825,966 |
Class I Shares |
| 1,236,213 |
|
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 210,841 | -- |
Redemption Fees: |
|
|
|
Class A Shares |
| 620 | 372 |
Shares redeemed: |
|
|
|
Class A Shares |
| (18,494,141) | (6,269,268) |
Class B Shares |
| (1,136,653) | (823,045) |
Class C Shares |
| (1,264,220) | (704,491) |
Class I Shares |
| (27,132) | -- |
Total capital share transactions |
| (4,675,981) | 13,168,192 |
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 2,570,100 | 19,166,932 |
|
|
|
|
Net Assets |
|
|
|
Beginning of year |
| 69,681,190 | 50,514,258 |
End of year (including undistributed net investment income of $189,578, and $0, respectively) |
| $72,251,290 | $69,681,190 |
|
|
|
|
Capital Share Activity |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 662,991 | 1,051,116 |
Class B Shares |
| 56,599 | 97,203 |
Class C Shares |
| 114,464 | 115,460 |
Class I Shares |
| 67,949 | -- |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 11,509 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (1,020,792) | (373,393) |
Class B Shares |
| (67,524) | (52,379) |
Class C Shares |
| (74,571) | (44,502) |
Class I Shares |
| (1,486) | -- |
Total capital share activity |
| (250,861) | 793,505 |
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 eight separate portfolios, five of which are reported herein: 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. The operations of each series is accounted for separately. 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 w ithout 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. 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.
On January 21, 2005, the net assets of the Delaware Social Awareness Fund merged into the Calvert Social Investment Fund's Equity Portfolio. The merger was accomplished by a tax-free exchange of 541,818 Class A, 637,378 Class B, 239,520 Class C, and 9,307 Class I shares of the Equity Portfolio (valued at $17,977,848, $19,750,182, $6,931,681, and $316,729 respectively) for 1,685,375 Class A, 1,971,291 Class B, 691,550 Class C, and 29,075 Class I shares of the Social Awareness Fund outstanding at January 21, 2005. The Social Awareness Fund's net assets as of January 21, 2005, including $10,927,963 of unrealized appreciation and $299,852 of net realized gain, were combined with those of the Equity Portfolio.
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). 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. 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 in which such securities are normally traded. If events occur after the close of the principle market in which foreign securities are traded, and before the Fund's net asset value is determined, 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 not reliable 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, 2005:
| Total Investments | % of Net Assets |
Balanced | $14,074,521 | 2.5% |
Bond | 1,012,462 | 0.3% |
Equity | 8,512,110 | 0.7% |
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: The Balanced, Bond, Equity, and Enhanced Equity Portfolios 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 accounted for as an addition to paid-in capital. The fee 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. These credits are used to reduce the Portfolios' expenses. 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 Money Market Portfolio 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 Trustees of the Fund who are employees of the Advisor or its affiliates. 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 $39,553, $198,586, $85,704, $493,870, and $29,552 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively. In addition, $77,360, $120,867, $60,576, $197,162, and $29,842 was payable at year end for operating expenses paid by the Advisor during September 2005 for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively. For the year ended September 30, 2005, the Advisor waived $58,205, $8,864, $6,966, and $307 of its fee in Enhanced Equity in Class A, Class B, Class C, and Class I, respectively.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2006 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, and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation is reduced and the Advisor benefits from the expense offset arrangement.
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 Class 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 $144,855, $69,314, $351,118 and $24,574 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, 2005: $238,133 for Balanced, $144,333 for Bond, $349,948 for Equity and $31,698 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 $13,381, $16,949, $8,176, $34,168, and $2,322 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively.
For its services, CSSI received fees of $214,878, $240,847, $99,233, $454,516, and $32,280 for the year ended September 30, 2005 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 $26,368, $129,339, $69,018, $186,658, and $8,820 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 of $23,000 plus a meeting fee of $1,000 for each Board and Committee meeting attended. Additional fees of up to $10,000 annually may be paid to the Chairperson of special committees of the Board and the lead disinterested Trustee. Trustees' fees are allocated to each of the funds served.
Kirkpatrick & Lockhart Nicholson Graham LLP ("K&LNG") serves as Fund counsel; the Fund's Secretary is an affiliate of this firm. Payments by the Fund to K&LNG during the reporting period were $93,113.
In November 2005, the Advisor contributed $132,790 to the Enhanced Equity Portfolio to reimburse the effect of a fee waiver for the period ended September 30, 2005. This transaction was deemed a "payment by affiliate."
Note C -- Investment Activity
During the year, cost of purchases and proceeds from sales of investments, other than short-term securities, were:
|
|
|
| Enhanced |
| Balanced | Bond | Equity | Equity |
Purchases: | $448,615,534 | $425,324,870 | $400,909,057 | $28,169,493 |
Sales: | 439,573,747 | 352,238,868 | 338,925,151 | 32,880,578 |
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, 2005, and net realized capital loss carryforwards as of September 30, 2005 with expiration dates:
| Money |
|
|
| Market | Balanced | Bond |
Federal income tax cost of investments | $154,296,157 | $535,954,422 | $306,197,455 |
Unrealized appreciation | -- | 60,913,784 | 1,874,500 |
Unrealized (depreciation) | -- | (25,266,770) | (5,957,548) |
Net appreciation/(depreciation) | -- | 35,647,014 | (4,083,048) |
|
|
|
|
|
| Enhanced |
|
| Equity | Equity |
|
Federal income tax cost of investments | $984,704,215 | $62,547,859 |
|
Unrealized appreciation | 246,216,524 | 12,047,118 |
|
Unrealized (depreciation) | (22,816,130) | (3,213,331) |
|
Net appreciation/(depreciation) | 223,400,394 | 8,833,787 |
|
|
|
|
|
Capital Loss Carryforwards |
|
|
|
| Money |
|
|
Expiration Date | Market | Balanced | Equity |
30-Sep-08 | $41,585 | -- | -- |
30-Sep-10 | 14,601 | -- | $3,059,607 |
30-Sep-11 | 6,847 | $33,032,362 | 2,870,948 |
30-Sep-12 | -- | -- | -- |
30-Sep-13 | 6,183 | -- | -- |
| ---------------- | ----------------- | ---------------- |
| $69,216 | $33,032,362 | $5,930,555 |
| ========= | ========== | ========== |
Capital losses may be utilized to offset current and future capital gains until expiration.
The tax character of dividends and distributions paid during the years ended September 30, 2005, and September 30, 2004 were as follows:
Money Market |
|
|
Distributions paid from: | 2005 | 2004 |
Ordinary income | $3,089,090 | $768,201 |
Total | $3,089,090 | $768,201 |
Balanced |
|
|
Distributions paid from: | 2005 | 2004 |
Ordinary income | $7,572,988 | $6,735,858 |
Total | $7,572,988 | $6,735,858 |
Bond |
|
|
Distributions paid from: | 2005 | 2004 |
Ordinary income | $10,609,151 | $10,366,006 |
Long-term capital gain | 3,111,030 | 731,957 |
Total | $13,720,181 | $11,097,963 |
Enhanced Equity |
|
|
Distributions paid from: | 2005 | 2004 |
Ordinary income | $229,992 | -- |
Total | $229,992 | -- |
As of September 30, 2005, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Money |
|
|
| Market | Balanced | Bond |
Undistributed ordinary income | $8,907 | $104,050 | $2,501,081 |
Undistributed long-term capital gain | -- | -- | 3,670,547 |
Capital loss carryforward | (69,216) | (33,032,362) | -- |
Unrealized appreciation (depreciation) | -- | 35,647,014 | (4,083,048) |
Total | ($60,309) | $2,718,702 | $2,088,580 |
|
|
|
|
|
| Enhanced |
|
| Equity | Equity |
|
Undistributed ordinary income | -- | $189,578 |
|
Undistributed long-term capital gain | $20,651,615 | 1,410,755 |
|
Capital loss carryforward | (5,930,555) | -- |
|
Unrealized appreciation (depreciation) | 223,400,394 | 8,833,787 |
|
Total | $238,121,454 | $10,434,120 |
|
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 treatment of real estate investment trusts and payments by affiliates for federal tax purposes for Enhanced Equity Portfolio, and the disallowance of net operating losses, the treatment of partnerships, and the Section 382 limitation on the losses from the merger with Delaware Social Awareness Fund for federal tax purposes for Equity Portfolio.
| Balanced | Bond |
Undistributed net investment income | ($1,422,722) | $42,577 |
Accumulated net realized gain (loss) | 1,158,762 | (42,844) |
Paid in capital | 263,960 | 267 |
|
|
|
|
| Enhanced |
| Equity | Equity |
Undistributed net investment income | $137,931 | $92,625 |
Accumulated net realized gain (loss) | (15,561,432) | (127,955) |
Paid in capital | 15,423,501 | 35,330 |
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, post-October losses for Money Market Portfolio, the tax treatment of partnerships for Balanced, Bond, and Equity Portfolios, and the capital loss limitations from Equity Portfolio's merger.
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, 2005, purchases and sales transactions and net realized gains on sales of securities were:
| Money |
|
|
| Market | Balanced | Bond |
Purchases | $128,730,000 | -- | $2,246,351 |
Sales | 85,380,000 | $13,260,485 | 1,436,145 |
Net realized gains | -- | 17,080 | 48,483 |
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 Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible 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 is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolios had no loans outstanding pursuant to this line of credit at September 30, 2005. For the year ended September 30, 2005, 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 | $35,946 | 3.16% | $4,616,257 | February 2005 |
Bond | 62,662 | 3.15% | 3,374,256 | March 2005 |
Equity | 75,910 | 3.41% | 14,593,958 | March 2005 |
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 | $139,776 |
GEEMF Partners LP | 185,003 | 278,615 |
Liberty Environmental Partners LP | 256,090 | -- |
Milepost Ventures LP | 500,000 | 1 |
Plethora Technology, Inc. | 701,835 | 701,836 |
TOTALS | $1,842,928 | $1,120,228 |
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. Upon the Defendant's exhaustion of available appeals and after obtaining reasonable assurance regarding the certainty of collection of principal, the Portfolio recorded the $1.2 million judgement on April 29, 2005. Subsequently, the principal and partial interest was collected by the Portfolio.
In connection with certain venture capital investments, the Balanced and Equity Portfolios are committed to future capital calls, which will increase the Portfolios' investment in these securities. The aggregate amount of the future capital commitments totals $1,100,000 and $845,347 for the Balanced and Equity Portfolios, respectively, at September 30, 2005.
Tax Information (Unaudited)
Bond portfolio designates $3,111,030 as 15%-rate capital gain dividends paid during fiscal year ended September 30, 2005.
For corporate shareholders of CSIF Balanced and Enhanced Equity Portfolios, a total of 80% and 100%, respectively of the ordinary distributions paid during fiscal year ending September 30, 2005 qualify for the corporate dividends received deduction. Also, 80% and 100% of the ordinary distributions paid for Balanced and Enhanced Equity, respectively, have been identified as qualified dividend income.
Money Market Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
|
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .019 | .004 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.019) | (.004) |
|
|
|
|
|
|
|
Net asset value, ending |
|
| $1.00 | $1.00 |
|
|
|
|
|
|
|
Total return* |
|
| 1.94% | .44% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 1.91% | .44% |
|
Total expenses |
| . | .91% | .91% |
|
Expenses before offsets |
|
| .88% | .88% |
|
Net expenses |
|
| .87% | .87% |
|
Net assets, ending (in thousands) |
|
| $160,218 | $169,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
|
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $1.00 | $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .006 | .015 | .045 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.006) | (.015) | (.045) |
|
Net asset value, ending |
| $1.00 | $1.00 | $1.00 |
|
|
|
|
|
|
|
Total return* |
| .63% | 1.49% | 4.63% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .63% | 1.48% | 4.52% |
|
Total expenses |
| .90% | .89% | .84% |
|
Expenses before offsets |
| .88% | .88% | .84% |
|
Net expenses |
| .87% | .87% | .83% |
|
Net assets, ending (in thousands) |
| $181,788 | $192,680 | $206,061 |
|
See notes to financial statements.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $26.13 | $24.35 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .44 | .36 |
|
Net realized and unrealized gain (loss) |
|
| 2.08 | 1.77 |
|
Total from investment operations |
|
| 2.52 | 2.13 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.40) | (.35) |
|
Total distributions |
|
| (.40) | (.35) |
|
Total increase (decrease) in net asset value |
|
| 2.12 | 1.78 |
|
Net asset value, ending |
|
| $28.25 | $26.13 |
|
|
|
|
|
|
|
Total return* |
|
| 9.68% | 8.77% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 1.59% | 1.37% |
|
Total expenses |
|
| 1.22% | 1.25% |
|
Expenses before offsets |
|
| 1.22% | 1.25% |
|
Net expenses |
|
| 1.21% | 1.25% |
|
Portfolio turnover |
|
| 83% | 106% |
|
Net assets, ending (in thousands) |
|
| $517,840 | $486,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $21.44 | $24.48 | $33.23 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .38 | .56 | .84 |
|
Net realized and unrealized gain (loss) |
| 2.87 | (3.04) | (6.37) |
|
Total from investment operations |
| 3.25 | (2.48) | (5.53) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.34) | (.56) | (.82) |
|
Net realized gains |
| -- | -- | (2.40) |
|
Total distributions |
| (.34) | (.56) | (3.22) |
|
Total increase (decrease) in net asset value |
| 2.91 | (3.04) | (8.75) |
|
Net asset value, ending |
| $24.35 | $21.44 | $24.48 |
|
|
|
|
|
|
|
Total return* |
| 15.28% | (10.38%) | (17.74%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 1.67% | 2.23% | 2.98% |
|
Total expenses |
| 1.25% | 1.25% | 1.20% |
|
Expenses before offsets |
| 1.25% | 1.25% | 1.20% |
|
Net expenses |
| 1.24% | 1.25% | 1.19% |
|
Portfolio turnover |
| 175% | 192% | 214% |
|
Net assets, ending (in thousands) |
| $480,201 | $458,947 | $532,008 |
|
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $25.94 | $24.18 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .17 | .11 |
|
Net realized and unrealized gain (loss) |
|
| 2.06 | 1.74 |
|
Total from investment operations |
|
| 2.23 | 1.85 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.12) | (.09) |
|
Total distributions |
|
| (.12) | (.09) |
|
Total increase (decrease) in net asset value |
|
| 2.11 | 1.76 |
|
Net asset value, ending |
|
| $28.05 | $25.94 |
|
|
|
|
|
|
|
Total return* |
|
| 8.62% | 7.63% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| .60% | .34% |
|
Total expenses |
|
| 2.20% | 2.27% |
|
Expenses before offsets |
|
| 2.20% | 2.27% |
|
Net expenses |
|
| 2.20% | 2.26% |
|
Portfolio turnover |
|
| 83% | 106% |
|
Net assets, ending (in thousands) |
|
| $28,592 | $24,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $21.31 | $24.33 | $33.02 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .13 | .29 | .56 |
|
Net realized and unrealized gain (loss) |
| 2.86 | (3.01) | (6.32) |
|
Total from investment operations |
| 2.99 | (2.72) | (5.76) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.12) | (.30) | (.53) |
|
Net realized gains |
| -- | -- | (2.40) |
|
Total distributions |
| (.12) | (.30) | (2.93) |
|
Total increase (decrease) in net asset value |
| 2.87 | (3.02) | (8.69) |
|
Net asset value, ending |
| $24.18 | $21.31 | $24.33 |
|
|
|
|
|
|
|
Total return* |
| 14.06% | (11.31%) | (18.54%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .55% | 1.17% | 1.95% |
|
Total expenses |
| 2.34% | 2.31% | 2.22% |
|
Expenses before offsets |
| 2.34% | 2.31% | 2.22% |
|
Net expenses |
| 2.34% | 2.31% | 2.20% |
|
Portfolio turnover |
| 175% | 192% | 214% |
|
Net assets, ending (in thousands) |
| $19,670 | $14,805 | $14,361 |
|
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $25.70 | $23.95 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .18 | .12 |
|
Net realized and unrealized gain (loss) |
|
| 2.04 | 1.73 |
|
Total from investment operations |
|
| 2.22 | 1.85 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.13) | (.10) |
|
Total distributions |
|
| (.13) | (.10) |
|
Total increase (decrease) in net asset value |
|
| 2.09 | 1.75 |
|
Net asset value, ending |
|
| $27.79 | $25.70 |
|
|
|
|
|
|
|
Total return* |
|
| 8.67% | 7.71% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| .65% | .39% |
|
Total expenses |
|
| 2.16% | 2.22% |
|
Expenses before offsets |
|
| 2.16% | 2.22% |
|
Net expenses |
|
| 2.15% | 2.22% |
|
Portfolio turnover |
|
| 83% | 106% |
|
Net assets, ending (in thousands) |
|
| $25,980 | $21,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $21.12 | $24.10 | $32.74 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .13 | .29 | .56 |
|
Net realized and unrealized gain (loss) |
| 2.82 | (2.96) | (6.29) |
|
Total from investment operations |
| 2.95 | (2.67) | (5.73) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.12) | (.31) | (.51) |
|
Net realized gains |
| -- | -- | (2.40) |
|
Total distributions |
| (.12) | (.31) | (2.91) |
|
Total increase (decrease) in net asset value |
| 2.83 | (2.98) | (8.64) |
|
Net asset value, ending |
| $23.95 | $21.12 | $24.10 |
|
|
|
|
|
|
|
Total return* |
| 14.02% | (11.25%) | (18.60%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .59% | 1.20% | 1.98% |
|
Total expenses |
| 2.31% | 2.29% | 2.19% |
|
Expenses before offsets |
| 2.31% | 2.29% | 2.19% |
|
Net expenses |
| 2.30% | 2.28% | 2.18% |
|
Portfolio turnover |
| 175% | 192% | 214% |
|
Net assets, ending (in thousands) |
| $16,585 | $12,626 | $12,889 |
|
Balanced Portfolio
Financial Highlights
|
|
| Periods Ended |
| |
|
|
| September 30, | June 30, |
|
Class I Shares |
|
| 2005 (x) | 2003 (y) |
|
Net asset value, beginning |
|
| $27.47 | $21.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .41 | .38 |
|
Net realized and unrealized gain (loss) |
|
| .87 | 2.49 |
|
Total from investment operations |
|
| 1.28 | 2.87 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.37) | (.33) |
|
Total distributions |
|
| (.37) | (.33) |
|
Total increase (decrease) in net asset value |
|
| .91 | 2.54 |
|
Net asset value, ending |
|
| $28.38 | $23.87 |
|
|
|
|
|
|
|
Total return* |
|
| 4.71% | 13.63% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 1.94% (a) | 2.25% |
|
Total expenses |
|
| 1.28% (a) | .72% |
|
Expenses before offsets |
|
| .72% (a) | .72% |
|
Net expenses |
|
| .72% (a) | .72% |
|
Portfolio turnover |
|
| 70% | 140% |
|
Net assets, ending (in thousands) |
|
| $1,012 | $0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2002 | 2001 | 2000 |
|
Net asset value, beginning |
| $24.35 | $33.10 | $32.13 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .68 | .94 | .88 |
|
Net realized and unrealized gain (loss) |
| (3.01) | (6.31) | 3.12 |
|
Total from investment operations |
| (2.33) | (5.37) | 4.00 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.69) | (.98) | (.99) |
|
Net realized gains |
| -- | (2.40) | (2.04) |
|
Total distributions |
| (.69) | (3.38) | (3.03) |
|
Total increase (decrease) in net asset value |
| (3.02) | (8.75) | .97 |
|
Net asset value, ending |
| $21.33 | $24.35 | $33.10 |
|
|
|
|
|
|
|
Total return* |
| (9.87%) | (17.33%) | 12.97% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 2.77% | 3.55% | 2.97% |
|
Total expenses |
| .72% | .67% | .71% |
|
Expenses before offsets |
| .72% | .67% | .71% |
|
Net expenses |
| .71% | .66% | .69% |
|
Portfolio turnover |
| 192% | 214% | 184% |
|
Net assets, ending (in thousands) |
| $26,612 | $29,399 | $49,530 |
|
See notes to financial statements.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.33 | $16.29 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .47 | .45 |
|
Net realized and unrealized gain (loss) |
|
| .32 | .48 |
|
Total from investment operations |
|
| .79 | .93 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.48) | (.45) |
|
Net realized gains |
|
| (.46) | (.44) |
|
Total distributions |
|
| (.94) | (.89) |
|
Total increase (decrease) in net asset value |
|
| (0.15) | 0.04 |
|
Net asset value, ending |
|
| $16.18 | $16.33 |
|
|
|
|
|
|
|
Total return* |
|
| 5.05% | 5.97% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 3.00% | 2.82% |
|
Total expenses |
|
| 1.16% | 1.19% |
|
Expenses before offsets |
|
| 1.16% | 1.19% |
|
Net expenses |
|
| 1.16% | 1.18% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $237,396 | $172,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $15.80 | $16.38 | $15.38 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .58 | .80 | 1.01 |
|
Net realized and unrealized gain (loss) |
| .67 | (.01) | .99 |
|
Total from investment operations |
| 1.25 | .79 | 2.00 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.56) | (.82) | (1.00) |
|
Net realized gains |
| (.20) | (.55) | -- |
|
Total distributions |
| (.76) | (1.37) | (1.00) |
|
Total increase (decrease) in net asset value |
| .49 | (.58) | 1.00 |
|
Net asset value, ending |
| $16.29 | $15.80 | $16.38 |
|
|
|
|
|
|
|
Total return* |
| 8.20% | 5.18% | 13.46% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 3.62% | 5.07% | 6.32% |
|
Total expenses |
| 1.18% | 1.19% | 1.19% |
|
Expenses before offsets |
| 1.18% | 1.19% | 1.19% |
|
Net expenses |
| 1.17% | 1.18% | 1.17% |
|
Portfolio turnover |
| 395% | 607% | 955% |
|
Net assets, ending (in thousands) |
| $148,791 | $128,077 | $96,736 |
|
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.27 | $16.22 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .32 | .31 |
|
Net realized and unrealized gain (loss) |
|
| .31 | .49 |
|
Total from investment operations |
|
| .63 | .80 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.33) | (.31) |
|
Net realized gains |
|
| (.46) | (.44) |
|
Total distributions |
|
| (.79) | (.75) |
|
Total increase (decrease) in net asset value |
|
| (.16) | .05 |
|
Net asset value, ending |
|
| $16.11 | $16.27 |
|
|
|
|
|
|
|
Total return* |
|
| 4.03% | 5.11% | |
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 2.03% | 1.93% |
|
Total expenses |
|
| 2.11% | 2.09% |
|
Expenses before offsets |
|
| 2.11% | 2.09% |
|
Net expenses |
|
| 2.10% | 2.08% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $18,559 | $17,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $15.75 | $16.32 | $15.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .43 | .65 | .85 |
|
Net realized and unrealized gain (loss) |
| .66 | -- | .98 |
|
Total from investment operations |
| 1.09 | .65 | 1.83 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.42) | (.67) | (0.84) |
|
Net realized gains |
| (.20) | (.55) | -- |
|
Total distributions |
| (.62) | (1.22) | (0.84) |
|
Total increase (decrease) in net asset value |
| .47 | (.57) | 0.99 |
|
Net asset value, ending |
| $16.22 | $15.75 | $16.32 |
|
|
|
|
|
|
|
Total return* |
| 7.13% | 4.26% | 12.31% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 2.70% | 4.10% | 5.21% |
|
Total expenses |
| 2.08% | 2.13% | 2.19% |
|
Expenses before offsets |
| 2.08% | 2.13% | 2.19% |
|
Net expenses |
| 2.07% | 2.12% | 2.17% |
|
Portfolio turnover |
| 395% | 607% | 955% |
|
Net assets, ending (in thousands) |
| $18,860 | $14,305 | $8,046 |
|
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.25 | $16.21 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .34 | .31 |
|
Net realized and unrealized gain (loss) |
|
| .30 | .48 |
|
Total from investment operations |
|
| .64 | .79 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.34) | (.31) |
|
Net realized gains |
|
| (.46) | (.44) |
|
Total distributions |
|
| (.80) | (.75) |
|
Total increase (decrease) in net asset value |
|
| (.16) | .04 |
|
Net asset value, ending |
|
| $16.09 | $16.25 |
|
|
|
|
|
|
|
Total return* |
|
| 4.09% | 5.06% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 2.13% | 1.94% |
|
Total expenses |
|
| 2.04% | 2.07% |
|
Expenses before offsets |
|
| 2.04% | 2.07% |
|
Net expenses |
|
| 2.03% | 2.06% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $19,276 | $13,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $15.73 | $16.30 | $15.31 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .43 | .63 | .84 |
|
Net realized and unrealized gain (loss) |
| .67 | .01 | .96 |
|
Total from investment operations |
| 1.10 | .64 | 1.80 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.42) | (.66) | (.81) |
|
Net realized gains |
| (.20) | (.55) | -- |
|
Total distributions |
| (.62) | (1.21) | (.81) |
|
Total increase (decrease) in net asset value |
| .48 | (.57) | .99 |
|
Net asset value, ending |
| $16.21 | $15.73 | $16.30 |
|
|
|
|
|
|
|
Total return* |
| 7.21% | 4.24% | 12.06% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 2.71% | 4.07% | 5.10% |
|
Total expenses |
| 2.07% | 2.13% | 2.38% |
|
Expenses before offsets |
| 2.07% | 2.13% | 2.38% |
|
Net expenses |
| 2.06% | 2.12% | 2.36% |
|
Portfolio turnover |
| 395% | 607% | 955% |
|
Net assets, ending (in thousands) |
| $11,320 | $9,278 | $3,524 |
|
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.33 | $16.29 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .57 | .55 |
|
Net realized and unrealized gain (loss) |
|
| .31 | .48 |
|
Total from investment operations |
|
| .88 | 1.03 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.57) | (.55) |
|
Net realized gains |
|
| (.46) | (.44) |
|
Total distributions |
|
| (1.03) | (.99) |
|
Total increase (decrease) in net asset value |
|
| (.15) | .04 |
|
Net asset value, ending |
|
| $16.18 | $16.33 |
|
|
|
|
|
|
|
Total return* |
|
| 5.63% | 6.62% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 3.57% | 3.41% |
|
Total expenses |
|
| .61% | .61% |
|
Expenses before offsets |
|
| .61% | .61% |
|
Net expenses |
|
| .60% | .60% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $29,278 | $17,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $15.81 | $16.39 | $15.39 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .67 | .87 | 1.11 |
|
Net realized and unrealized gain (loss) |
| .66 | .02 | .99 |
|
Total from investment operations |
| 1.33 | .89 | 2.10 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.65) | (.91) | (1.10) |
|
Net realized gains |
| (.20) | (.56) | -- |
|
Total distributions |
| (.85) | (1.47) | (1.10) |
|
Total increase (decrease) in net asset value |
| .48 | (.58) | 1.00 |
|
Net asset value, ending |
| $16.29 | $15.81 | $16.39 |
|
|
|
|
|
|
|
Total return* |
| 8.74% | 5.83% | 14.12% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 4.14% | 5.44% | 6.82% |
|
Total expenses |
| .61% | .69% | 1.28% |
|
Expenses before offsets |
| .61% | .61% | .62% |
|
Net expenses |
| .60% | .60% | .60% |
|
Portfolio turnover |
| 395% | 607% | 955% |
|
Net assets, ending (in thousands) |
| $17,527 | $12,764 | $1,473 |
|
See notes to financial statements.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $31.63 | $29.43 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| .03 | (.09) |
|
Net realized and unrealized gain (loss) |
|
| 3.72 | 2.29 |
|
Total from investment operations |
|
| 3.75 | 2.20 |
|
Total increase (decrease) in net asset value |
|
| 3.75 | 2.20 |
|
Net asset value, ending |
|
| $35.38 | $31.63 |
|
|
|
|
|
|
|
Total return* |
|
| 11.86% | 7.48% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| .08% | (.32%) |
|
Total expenses |
|
| 1.25% | 1.25% |
|
Expenses before offsets |
|
| 1.25% | 1.25% |
|
Net expenses |
|
| 1.24% | 1.24% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $858,873 | $695,472 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $23.84 | $27.72 | $33.05 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.06) | (.04) | (.02) |
|
Net realized and unrealized gain (loss) |
| 5.67 | (2.96) | (3.68) |
|
Total from investment operations |
| 5.61 | (3.00) | (3.70) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| (.02) | (.88) | (1.63) |
|
Total increase (decrease) in net asset value |
| 5.59 | (3.88) | (5.33) |
|
Net asset value, ending |
| $29.43 | $23.84 | $27.72 |
|
|
|
|
|
|
|
Total return* |
| 23.56% | (11.58%) | (11.82%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (.26%) | (.12%) | (.07%) |
|
Total expenses |
| 1.29% | 1.29% | 1.26% |
|
Expenses before offsets |
| 1.29% | 1.29% | 1.26% |
|
Net expenses |
| 1.29% | 1.29% | 1.24% |
|
Portfolio turnover |
| 29% | 28% | 43% |
|
Net assets, ending (in thousands) |
| $530,322 | $326,112 | $252,068 |
|
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $29.61 | $27.78 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (0.24) | (.33) |
|
Net realized and unrealized gain (loss) |
|
| 3.47 | 2.16 |
|
Total from investment operations |
|
| 3.23 | 1.83 |
|
Total increase (decrease) in net asset value |
|
| 3.23 | 1.83 |
|
Net asset value, ending |
|
| 32.84 | $29.61 |
|
|
|
|
|
|
|
Total return* |
|
| 10.91% | 6.59% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.77%) | (1.16%) |
|
Total expenses |
|
| 2.09% | 2.09% |
|
Expenses before offsets |
|
| 2.09% | 2.09% |
|
Net expenses |
|
| 2.09% | 2.08% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $105,189 | $86,242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $22.70 | $26.67 | $32.17 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.25) | (.24) | (.24) |
|
Net realized and unrealized gain (loss) |
| 5.35 | (2.85) | (3.63) |
|
Total from investment operations |
| 5.10 | (3.09) | (3.87) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| (.02) | (.88) | (1.63) |
|
Total increase (decrease) in net asset value |
| 5.08 | (3.97) | (5.50) |
|
Net asset value, ending |
| $27.78 | $22.70 | $26.67 |
|
|
|
|
|
|
|
Total return* |
| 22.50% | (12.39%) | (12.71%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (1.12%) | (1.02%) | (1.00%) |
|
Total expenses |
| 2.15% | 2.19% | 2.20% |
|
Expenses before offsets |
| 2.15% | 2.19% | 2.20% |
|
Net expenses |
| 2.15% | 2.19% | 2.17% |
|
Portfolio turnover |
| 29% | 28% | 43% |
|
Net assets, ending (in thousands) |
| $70,824 | $43,091 | $30,015 |
|
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $27.64 | $25.92 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
|
| (.20) | (.27) |
|
Net realized and unrealized gain (loss) |
|
| 3.24 | 1.99 |
|
Total from investment operations |
|
| 3.04 | 1.72 |
|
Total increase (decrease) in net asset value |
|
| 3.04 | 1.72 |
|
Net asset value, ending |
|
| $30.68 | $27.64 |
|
|
|
|
|
|
|
Total return* |
|
| 11.00% | 6.64% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.69%) | (1.09%) |
|
Total expenses |
|
| 2.01% | 2.03% |
|
Expenses before offsets |
|
| 2.01% | 2.03% |
|
Net expenses |
|
| 2.01% | 2.03% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $107,305 | $86,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $21.17 | $24.91 | $30.13 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
| (.22) | (.21) | (.22) |
|
Net realized and unrealized gain (loss) |
| 4.99 | (2.65) | (3.37) |
|
Total from investment operations |
| 4.77 | (2.86) | (3.59) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| (.02) | (.88) | (1.63) |
|
Total increase (decrease) in net asset value |
| 4.75 | (3.74) | (5.22) |
|
Net asset value, ending |
| $25.92 | $21.17 | $24.91 |
|
|
|
|
|
|
|
Total return* |
| 22.56% | (12.34%) | (12.63%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (1.06%) | (.96%) | (.94%) |
|
Total expenses |
| 2.10% | 2.14% | 2.14% |
|
Expenses before offsets |
| 2.10% | 2.14% | 2.14% |
|
Net expenses |
| 2.09% | 2.13% | 2.11% |
|
Portfolio turnover |
| 29% | 28% | 43% |
|
Net assets, ending (in thousands) |
| $61,897 | $37,109 | $26,455 |
|
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $32.36 | $29.94 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .19 | .07 |
|
Net realized and unrealized gain (loss) |
|
| 3.85 | 2.35 |
|
Total from investment operations |
|
| 4.04 | 2.42 |
|
Total increase (decrease) in net asset value |
|
| 4.04 | 2.42 |
|
Net asset value, ending |
|
| $36.40 | $32.36 |
|
|
|
|
|
|
|
Total return* |
|
| 12.48% | 8.08% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| .63% | .25% |
|
Total expenses |
|
| .68% | .68% |
|
Expenses before offsets |
|
| .68% | .68% |
|
Net expenses |
|
| .68% | .68% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $133,696 | $93,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $24.12 | $27.91 | $33.15 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .05 | .08 | .11 |
|
Net realized and unrealized gain (loss) |
| 5.79 | (2.99) | (3.72) |
|
Total from investment operations |
| 5.84 | (2.91) | (3.61) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| (.02) | (.88) | (1.63) |
|
Total increase (decrease) in net asset value |
| 5.82 | (3.79) | (5.24) |
|
Net asset value, ending |
| $29.94 | $24.12 | $27.91 |
|
|
|
|
|
|
|
Total return* |
| 24.24% | (11.17%) | (11.49%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .32% | .36% | .36% |
|
Total expenses |
| .70% | .81% | 1.07% |
|
Expenses before offsets |
| .70% | .80% | .82% |
|
Net expenses |
| .70% | .80% | .80% |
|
Portfolio turnover |
| 29% | 28% | 43% |
|
Net assets, ending (in thousands) |
| $62,951 | $8,844 | $2,501 |
|
See notes to financial statements.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.96 | $15.17 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| .12 | .03 |
|
Net realized and unrealized gain (loss) |
|
| 1.75 | 1.76 |
|
Total from investment operations |
|
| 1.87 | 1.79 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.07) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.80 | 1.79 |
|
Net asset value, ending |
|
| $18.76 | $16.96 |
|
|
|
|
|
|
|
Total return* |
|
| 11.03%(r) | 11.80% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| .64% | .19% |
|
Total expenses |
|
| 1.38% | 1.43% |
|
Expenses before offsets |
|
| 1.28% | 1.43% |
|
Net expenses |
|
| 1.27% | 1.41% |
|
Portfolio turnover |
|
| 38% | 13% |
|
Net assets, ending (in thousands) |
|
| $54,618 | $55,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $12.24 | $14.64 | $19.91 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| .03 | .01 | (.01) |
|
Net realized and unrealized gain (loss) |
| 2.90 | (2.41) | (5.12) |
|
Total from investment operations |
| 2.93 | (2.40) | (5.13) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| -- | -- | -- |
|
Net realized gain |
| -- | -- | (.14) |
|
Total distributions |
| -- | -- | (.14) |
|
Total increase (decrease) in net asset value |
| 2.93 | (2.40) | (5.27) |
|
Net asset value, ending |
| $15.17 | $12.24 | $14.64 |
|
|
|
|
|
|
|
Total return* |
| 23.94% | (16.37%) | (25.93%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| .24% | .09% | (.06%) |
|
Total expenses |
| 1.54% | 1.46% | 1.43% |
|
Expenses before offsets |
| 1.45% | 1.27% | 1.32% |
|
Net expenses |
| 1.44% | 1.25% | 1.25% |
|
Portfolio turnover |
| 42% | 36% | 39% |
|
Net assets, ending (in thousands) |
| $39,145 | $26,842 | $30,525 |
|
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $15.84 | $14.30 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.05) | (.12) |
|
Net realized and unrealized gain (loss) |
|
| 1.64 | 1.66 |
|
Total from investment operations |
|
| 1.59 | 1.54 |
|
Total increase (decrease) in net asset value |
|
| 1.59 | 1.54 |
|
Net asset value, ending |
|
| $17.43 | $15.84 |
|
|
|
|
|
|
|
Total return* |
|
| 10.04%(r) | 10.77% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.31%) | (.75%) |
|
Total expenses |
|
| 2.32% | 2.37% |
|
Expenses before offsets |
|
| 2.22% | 2.37% |
|
Net expenses |
|
| 2.21% | 2.36% |
|
Portfolio turnover |
|
| 38% | 13% |
|
Net assets, ending (in thousands) |
|
| $9,043 | $8,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $11.67 | $14.12 | $19.41 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.10) | (.16) | (.20) |
|
Net realized and unrealized gain (loss) |
| 2.73 | (2.29) | (4.95) |
|
Total from investment operations |
| 2.63 | (2.45) | (5.15) |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| -- | -- | (.14) |
|
Total increase (decrease) in net asset value |
| 2.63 | (2.45) | (5.29) |
|
Net asset value, ending |
| $14.30 | $11.67 | $14.12 |
|
|
|
|
|
|
|
Total return* |
| 22.54% | (17.33%) | (26.70%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (.82%) | (1.11%) | (1.18%) |
|
Total expenses |
| 2.55% | 2.47% | 2.42% |
|
Expenses before offsets |
| 2.51% | 2.47% | 2.42% |
|
Net expenses |
| 2.50% | 2.45% | 2.36% |
|
Portfolio turnover |
| 42% | 36% | 39% |
|
Net assets, ending (in thousands) |
| $6,936 | $4,980 | $5,488 |
|
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $15.90 | $14.35 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.05) | (.10) |
|
Net realized and unrealized gain (loss) |
|
| 1.65 | 1.65 |
|
Total from investment operations |
|
| 1.60 | 1.55 |
|
Total increase (decrease) in net asset value |
|
| 1.60 | 1.55 |
|
Net asset value, ending |
|
| $17.50 | $15.90 |
|
|
|
|
|
|
|
Total return* |
|
| 10.06%(r) | 10.80% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.29%) | (.72%) |
|
Total expenses |
|
| 2.28% | 2.34% |
|
Expenses before offsets |
|
| 2.18% | 2.34% |
|
Net expenses |
|
| 2.17% | 2.32% |
|
Portfolio turnover |
|
| 38% | 13% |
|
Net assets, ending (in thousands) |
|
| $7,344 | $6,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2003 | 2002 | 2001 |
|
Net asset value, beginning |
| $11.71 | $14.16 | $19.48 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.10) | (.16) | (.19) |
|
Net realized and unrealized gain (loss) |
| 2.74 | (2.29) | (4.99) |
|
Total from investment operations |
| 2.64 | (2.45) | (5.18) |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| -- | (.14) |
|
Total increase (decrease) in net asset value |
| 2.64 | (2.45) | (5.32) |
|
Net asset value, ending |
| $14.35 | $11.71 | $14.16 |
|
|
|
|
|
|
|
Total return* |
| 22.54% | (17.28%) | (26.76%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (.83%) | (1.10%) | (1.14%) |
|
Total expenses |
| 2.56% | 2.47% | 2.38% |
|
Expenses before offsets |
| 2.51% | 2.47% | 2.38% |
|
Net expenses |
| 2.50% | 2.45% | 2.32% |
|
Portfolio turnover |
| 42% | 36% | 39% |
|
Net assets, ending (in thousands) |
| $4,433 | $3,060 | $3,376 |
|
Enhanced Equity Portfolio
Financial Highlights
|
|
| Periods Ended |
| |
|
|
| September 30, | January 18, |
|
Class I Shares |
|
| 2005(v) | 2002(w) |
|
Net asset value, beginning |
|
| $17.42 | $14.84 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .03 | .02 |
|
Net realized and unrealized gain (loss) |
|
| 1.30 | 1.62 |
|
Total from investment operations |
|
| 1.33 | 1.64 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| -- | -- |
|
Net realized gain |
|
| -- | -- |
|
Total distributions |
|
| -- | -- |
|
Total increase (decrease) in net asset value |
|
| 1.33 | 1.64 |
|
Net asset value, ending |
|
| $18.75 | $16.48 |
|
|
|
|
|
|
|
Total return* |
|
| 7.63% | 11.08% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| .65% (a) | .53% (a) |
|
Total expenses |
|
| 2.57% (a) | 1,022.38%(a) |
|
Expenses before offsets |
|
| .82% (a) | .77% (a) |
|
Net expenses |
|
| .81% (a) | .75% (a) |
|
Portfolio turnover |
|
| 15% | 10% |
|
Net assets, ending (in thousands) |
|
| $1,246 | $0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2001 | 2000 | 1999 |
|
Net asset value, beginning |
| $20.04 | $16.89 | $13.54 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .07 | .07 | .11 |
|
Net realized and unrealized gain (loss) |
| (5.13) | 3.13 | 3.29 |
|
Total from investment operations |
| (5.06) | 3.20 | 3.40 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.14) | (.05) | (.05) |
|
Total increase (decrease) in net asset value |
| (5.20) | 3.15 | 3.35 |
|
Net asset value, ending |
| $14.84 | $20.04 | $16.89 |
|
|
|
|
|
|
|
Total return* |
| (25.40%) | 18.94% | 25.09% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .38% | .37% | .65% |
|
Total expenses |
| 1.00% | .95% | .91% |
|
Expenses before offsets |
| .82% | .83% | .81% |
|
Net expenses |
| .75% | .75% | .75% |
|
Portfolio turnover |
| 39% | 43% | 56% |
|
Net assets, ending (in thousands) |
| $1 | $22,163 | $18,652 |
|
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
(a) Annualized.
(r) Total return would have been 10.86%, 9.79% and 9.81% for Classes A, B and C, respectively without the payment by affiliate.
(v) Class I shares resumed operations upon shareholder investment on April 29, 2005
(w) The last remaining shareholder in Class I redeemed on January 18, 2002.
(x) Class I shares resumed operations upon shareholder investment on December 27, 2004.
(y) The last remaining shareholder in Class I redeemed on June 30, 2003.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio.
PROXY VOTING
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are 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 Fund's Form N-Q is 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.
|
|
|
| (Not Applicable to Officers) | |
| Position | Position |
| # of Calvert |
|
Name & | with | Start | Principal Occupation | Portfolios | Other |
Date of Birth | Fund | Date | During Last 5 Years | Overseen | Directorships |
INDEPENDENT TRUSTEES | |||||
REBECCA ADAMSON AGE: 56 | 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. | 12 |
|
RICHARD L. BAIRD, JR. AGE: 57 | Trustee | 1982
| President and CEO of Adagio Health Inc. (formerly 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. | 21 |
|
FREDERICK A. DAVIE, JR. AGE: 49 | 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. | 9 |
|
JOHN GUFFEY, JR. AGE: 57 | Trustee
| 1982
| Treasurer and Director of Silby, Guffey and Co., Inc. a venture capital firm (inactive as of 2003). President, Aurora Press, Inc., 2002. | 23 |
|
JOY V. JONES AGE: 55 | Trustee
| 1990
| Attorney and entertainment manager in New York City.
| 12 |
|
TERRENCE J. MOLLNER, Ed.D. AGE: 60
| 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. | 11 |
|
SYDNEY AMARA MORRIS AGE: 56 | Trustee | 1982
| She currently serves as Parish Minister to the Keweenaw Unitarian Universalist Fellowship in Houghton, MI. 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. | 9 |
|
INTERESTED TRUSTEES | |||||
BARBARA J. KRUMSIEK AGE: 53 | 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. | 40 |
|
D. WAYNE SILBY, Esq. AGE: 57 | Trustee, Chair & President | 1982
| Mr. Silby is Chairman of GroupServe Foundation, a software company focused on collaborative tools for non-profit groups. He was an officer and director of Silby, Guffey and Co., Inc., a venture capital firm. (inactive as of 2003) | 26 |
|
OFFICERS | |||||
CATHERINE S. BARDSLEY, Esq. AGE: 56 | Secretary
| 1982
| Partner, Kirkpatrick & Lockhart Nicholson Graham LLP, the Fund's legal counsel. |
|
|
KAREN BECKER Age: 52 | Chief Compliance Officer | 2005 | Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. |
|
|
SUSAN WALKER BENDER, Esq. AGE: 46 | Assistant Vice President & Assistant Secretary | 1988 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. |
|
|
THOMAS DAILEY AGE: 41 | Vice President | 2004 | Vice President of Calvert Asset Management Company, Inc. |
|
|
IVY WAFFORD DUKE, Esq. AGE: 37 | Assistant Vice President & Assistant Secretary | 1996 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. |
| |
STEVEN A. FALCI AGE: 46 | Vice President
| 2003 | Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2003, Mr. Falci was SVP and Senior Portfolio Manager at Principal Mellon Equity Associates. |
|
|
TRACI L. GOLDT AGE: 32 | Assistant Secretary | 2004 | Executive Assistant to General Counsel, Calvert Group, Ltd. Prior to joining Calvert in 2001, Ms. Goldt was Senior Project Manager for Backwire.com, and Project Manager for marchFIRST. |
|
|
GREGORY B. HABEEB AGE: 55 | Vice President | 2004 | Senior Vice President of Calvert Asset Management Company, Inc. |
|
|
DANIEL K. HAYES AGE: 55 | Vice President | 1996 | Senior Vice President of Calvert Asset Management Company, Inc. |
|
|
HUI PING HO, CPA AGE: 40 | Assistant Treasurer | 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. |
|
|
LANCELOT A. KING, Esq. AGE: 35 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2003, Mr. King was an associate with Mintz, Levin, Cohn, Ferris, Glovsky & Popeo, and also with Kirkpatrick & Lockhart. |
|
|
JANE B. MAXWELL Esq. AGE: 53 | Assistant Secretary | 2005 | Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2004, Ms. Maxwell was an associate with Sullivan & Worcester, LLP. |
|
|
CATHERINE P. ROY AGE: 49 | Vice President | 2004
| Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2004, 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. AGE: 58 | Vice President & Assistant Secretary | 1990 | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd. |
|
|
RONALD M. WOLFSHEIMER, CPA AGE: 53 | Treasurer | 1982 | Senior Vice President and Chief Financial Officer of Calvert Group, Ltd. and Fund Treasurer. |
|
|
MICHAEL V. YUHAS JR., CPA AGE: 44 | Fund Controller | 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.
This page intentionally left blank
Calvert Social
Investment Fund
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Shareholders: 800-368-2745
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Branch Office
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Suite 1000 North
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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
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
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National Muni. Intermediate Fund
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Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term 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
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Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
printed on recycled paper using soy-based inks
<PAGE>
Calvert
Investments that make a difference
E-Delivery Sign-up -- details inside
September 30, 2005
Annual Report
Calvert Asset Allocation Funds
Conservative Allocation Fund
Moderate Allocation Fund
Aggressive Allocation Fund
An Ameritas Acacia Company
Calvert
Investments that make a difference
=====================================================
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Table of Contents
President's Letter
1
Social Update
4
Portfolio Management Discussion
6
Shareholder Expense Example
10
Report of Independent Registered Public Accounting Firm
13
Statements of Net Assets
14
Statements of Operations
17
Statements of Changes in Net Assets
18
Notes to Financial Statements
21
Financial Highlights
26
Explanation of Financial Tables
29
Proxy Voting and Availability of Quarterly Portfolio Holdings
31
Basis for Board's Approval of Investment Advisory Contracts
31
Trustee and Officer Information Table
34
=====================================================
Dear Shareholders:
The ongoing challenges to our markets and economy from steeply escalating energy prices, the ongoing war in Iraq and rising interest rates were exacerbated in the most recent quarter by the devastating effects of Katrina, Rita and Wilma. On a humanitarian level, Calvert joined the many corporations, and individual citizens, who responded quickly with financial assistance. Further, we crafted principles in support of a sustainable rebuilding philosophy in the Gulf region (see "Katrina Principles" on www.calvert.com.)
As investors, we worked to respond to these challenges and find opportunities to add value to the Funds we manage on your behalf. Despite the difficult environment, the economy and markets have shown strength over the past 12 months, with solid advances for small, mid-sized, and large US stocks.1 Overseas stocks showed even stronger returns, reflecting the growth potential of certain European and developing markets.2
This year we've pursued a number of important initiatives: adding to our family of funds; advancing our compliance and regulatory oversight; and expanding our public commitment in areas such as board diversity and the empowerment of women in business through our year-old Calvert Women's Principles. In addition, for the first time we underwrote a four-part series for public television, "The New Heroes," which highlights the work of leading social entrepreneurs--talented individuals who exemplify the "power of one" to drive positive social change in their communities. At Calvert, we remain committed to making a difference through our specialized investment management approach and our leadership on issues of importance to the communities we serve.
Additions to our Fund Family
Through market ups and downs, effective portfolio diversification3 has proven the most important factor in helping investors meet their long-term financial goals. That's why we at Calvert are committed to offering diverse investment products, and we encourage you to work with your financial advisor to develop an asset allocation strategy that's right for your situation.
Over the reporting period, we've added several new funds, in important asset class categories, to our family of funds. Calvert Small Cap Value Fund and Calvert Mid Cap Value Fund were introduced in October 2004. Channing Capital Management is sub-advisor for the funds, led by veteran value manager Eric McKissack, CFA, and his three-person investment team -- who together have more than 40 years of investment experience. Both funds pursue an intrinsic-value investment strategy that seeks temporarily out-of-favor companies with strong management teams and competitive products.
In April 2005 we launched Calvert Conservative and Moderate Allocation Funds, followed in June with Calvert Aggressive Allocation Fund. These "Funds of Funds" invest in up to 11 underlying Calvert funds, offering broad asset class diversification in one convenient investment. In developing the Funds, we teamed with Ibbotson Associates, an independent asset allocation consultant.
Our value and allocation funds feature Double Diligence,TM Calvert's two-tiered research process that evaluates companies for both financial strength and corporate responsibility.
Advancing Our Regulatory Oversight
As you may be aware, 2004 was a significant year for mutual fund industry reform, which continues in 2005. The SEC issued new regulations for mutual fund companies on many fronts, governing codes of ethics, compliance programs, and disclosure requirements.
To further strengthen our compliance operations, we've restructured our Compliance Department, adding several positions and promoting Karen Becker, a Calvert veteran of 19 years, to Chief Compliance Officer for Calvert Funds. Formerly Senior Vice President of Client Services, Karen has overall compliance responsibility for the Funds and will develop and administer Fund policies and procedures designed to prevent violation of federal securities laws.
Calvert Issues Sustainability Report
We decided to examine our own corporate practices and policies this past year, and subsequently published our first Sustainability Report using Global Reporting Initiative or GRI guidelines. The 50-page report details Calvert's economic, social, and environmental performance and is available at www.calvert.com.
A Long-Term, Disciplined Outlook
We believe our disciplined investment process--which includes an emphasis on diversified portfolios--can lead to lower risk and competitive long-term performance relative to our peers. Calvert encourages you to work with a financial professional, who can provide important insights into investment markets and personal financial planning, as well as the guidance to create and maintain a thoughtful investment strategy.
As Calvert enters its 30th anniversary year, I'd like to thank you for your continued confidence in our investment products, and we look forward to serving you in the year ahead.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2005
1. For the 12 months ended September 30, 2005, larger-company stocks (S&P 500 Index) were up 12.25%; smaller-company stocks (Russell 2000(R) Index) advanced 17.95%; and mid-cap stocks (Russell Midcap(R) Index) gained 25.10%.
2. International stocks gained 22.95% in US dollars, as measured by the MSCI EAFETM Index.
3. Diversification does not protect an investor from market risks and does not assure a profit.
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.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member NASD, a subsidiary of Calvert Group, Ltd.
Social Update from the Calvert Social Research Department
Shareholder Activism
Calvert continues to encourage our portfolio companies to become even better corporate citizens, particularly in the area of governance, through shareholder resolutions. During this reporting period, we filed 28 shareholder resolutions, 18 of which resulted in successful discussions with the companies.
Corporate Board Diversity
For Calvert, board diversity is a major area of focus. Women -- who account for nearly half the US workforce, college graduates, and talent pool -- occupy just 14% of Fortune 1000 company board seats, while African Americans hold just 3% of those seats and Hispanics only 1%. Most of our shareholder resolutions for the reporting period were focused on corporate board diversity (of 12 resolutions, seven were withdrawn because the companies agreed to add a diverse member and/or adopt our charter language), and these efforts continue. We also sent letters to roughly 120 companies urging adoption of new charter language for their board-nominations committees requiring consideration of diverse candidates.
In addition, we filed resolutions on executive compensation, non-discrimination in sexual orientation, climate change, disclosure and reporting, and contributions to political organizations and campaigns. (For more information about these initiatives, see Shareholder Advocacy at www.calvert.com/sri_648.html.)
Community Investments
Several Calvert Funds participate in our community investing program, administered through the Calvert Social Investment Foundation. The program allocates a very small portion (1-3%) of Fund assets, at below-market rates to investments that promote social justice. During this reporting period, the program made several investments, including one in the Kentucky-based Housing Assistance Council, which supports low-income borrowers who seek financing for a home.
ESIF Transparency Guidelines
Calvert became the first US-based asset management firm to sign on to the new Transparency Guidelines promulgated by the European Social Investment Forum. The guidelines were designed for use by retail SRI funds to provide more disclosure and increased accountability to investors.
Calvert Sustainability Report
As an organization that embraces and encourages other companies to embrace corporate transparency, Calvert has examined our own corporate practices and policies. You'll find our 50-page report detailing our economic, social, and environmental performance practices at www.calvert.com/pdf/gri_sustainability.pdf.
Calvert Principles
Calvert has developed what are being called the "Katrina Principles" -- ways to consider investment in the hurricane-ravaged Gulf Coast that respect best practices in redevelopment. (See our special report, "Learning from Katrina," at www.calvert.com/katrina.html.)
We're also pleased that the Calvert Women's Principles -- our groundbreaking, one-year-old code of corporate conduct focusing on gender equality and women's empowerment -- were formally endorsed by both Starbucks and Dell. To learn more, see the special report Calvert Women's Principles at www.calvert.com.
Portfolio Management Discussion
Steve Falci,
Chief Investment
Officer, Equities
of Calvert Asset Management Company
Performance
September 30, 2005 marked the first fiscal-year end for the Calvert Conservative Allocation Fund (launched April 29, 2005), Calvert Moderate Allocation Fund (April 29, 2005), and Calvert Aggressive Allocation Fund (June 30, 2005). Each is a fund of funds -- investing in up to 11 underlying Calvert stock, bond, and money market funds -- and is designed to provide a complete, well diversified investment portfolio according to different investment objectives.
Over the first five months of their existence, the Conservative and Moderate Allocation Funds' Class A shares at NAV returned 3.34% and 5.95%, respectively. Over its first three months, the Aggressive Allocation Fund Class A shares at NAV returned 4.13%. We compare each Fund to a blend of stock and bond indices which approximate the long-term, target allocations between US stocks, international stocks, bonds, and cash in each Fund.1 For the Conservative Allocation Fund, the blended benchmark returned 3.72% for the five-month since-inception period, while the Moderate Allocation Fund's blended benchmark returned 6.69%, also for the five-month period. For the three-month since-inception period, the Aggressive Allocation Fund's blended benchmark returned 5.17%.
All the underlying Calvert funds are managed using Calvert's Double DiligenceTM process, which examines both financial and corporate responsibility performance. Only when a company meets rigorous standards in both areas do we invest.
Investment Climate
For both the five- and three-month since-inception periods, stocks outperformed bonds in the marketplace. Rising interest rates and rising oil prices, both with attendant inflation concerns, hurt bond market performance. The same rising oil prices and good overall performance of the US economy boosted stocks. Over the past year, energy prices have risen dramatically, global growth increasing global demand for energy resources. This price trend was exacerbated when hurricanes Katrina and Rita played havoc with oil and gas supplies in the US.
During the five-month period that encompassed all three Funds' first reporting periods, within US equity markets, mid- and small- cap stocks outperformed large-cap stocks, as represented by the 13.98% return of the Russell Mid Cap(R) Index and the 15.85% return of the Russell 2000(R) Index.2 Growth stocks, represented by the 9.37% return of the Russell 3000(R) Growth Index, had a slight advantage over value stocks, represented by the 8.09% return of the Russell 3000(R) Value Index.3 International stock markets produced much better returns than did US stock markets for the period. For example, while the Morgan Stanley Capital International (MSCI) Europe Australasia Far East (EAFE) Index returned 12.12%, well ahead of the Russell 3000 Index's 8.71% return.
On a sector basis, Energy-related stocks produced the best returns in the US (21%) and abroad (30%) for the five-month period. Anticipation of Gulf-area rebuilding prompted stocks of building materials, construction machinery, and home builders to rise late in the period. In non-US equity markets, Energy, Industrials, and Materials were the best performers.
Portfolio Strategy
Nature and construction of the Funds
Each of Calvert's Asset Allocation Funds is constructed on the premise that a diversified set of investments -- including US stocks, international stocks, plus fixed-income securities (bonds and cash) -- offers a better balance of risk and reward than is generally available in any single asset class. Our first step was to determine the appropriate asset class target mix of international and US stocks and fixed-income investments according to each Fund's investment objective: conservative, moderate, or aggressive.
The target mix allocations for each Fund are reviewed annually and are expected to remain relatively stable. The allocations to the underlying funds used to achieve these target mixes are reviewed quarterly, with adjustments made as the securities in the various funds and market conditions fluctuate. During the reporting period, changes were made to allocations of the underlying funds in the Calvert Conservative, Moderate, and Aggressive Allocation Funds.
To advise on the Funds' strategic allocation targets and mix of underlying funds, Calvert teamed with Ibbotson Associates, an independent consulting firm with 25 years' experience in asset allocation research and solutions. Ibbotson makes allocation and fund recommendations to CAMCO, the Funds' investment advisor, which makes the final investment decisions.
Fund strategy and performance
In the Allocation Funds, performance is driven by two key factors: allocations to different areas of the markets (i.e., asset classes) and the performance of the underlying funds. During both the five-month (Conservative and Moderate Allocation Funds) and three-month (Aggressive Allocation Fund) since-inception periods, the difference in allocations to stocks and bonds made a difference in fund performance. Bonds, as represented by the Lehman US Credit Index, returned 1.18% for the five-month period and lost 1% of value for the three-month period. US stocks fared much better, as the Russell 3000(R) Index returned 8.71% for the five-month period and 4.01% for the three-month period. International stocks performed even better than did US stocks for the five and three-month periods, at 12.12% and 10.44%, respectively, as measured by the MSCI EAFE Index.
For the five-month since-inception period, our Conservative Allocation Fund and its blended benchmark -- which have the largest weighting to bonds -- produced lower returns than did the Moderate Allocation Fund and its blended benchmark.
For its three-month since-inception reporting period, Aggressive Allocation was the best-performing of the three Funds, owing to its greater allocation to US and international stocks than to bonds. The Aggressive Allocation Fund returned 4.13% and its blended benchmark 5.17% over the three-month period. This underperformance relative to the benchmark resulted from the US stock funds in the allocation collectively underperforming the Russell 3000 Index. Calvert World Values Fund, the international stock component of the allocation, performed in line with MSCI EAFE so it had little impact on the Fund's performance relative to its benchmark. Calvert Social Investment Fund Bond Portfolio, representing the Fund's bond allocation, outperformed the Lehman US Credit Index, mitigating the effects of underperformance in the U.S. equity component of the allocation.
For their five-month since-inception period, the Conservative and Moderate Allocation Funds each underperformed their respective blended benchmarks. In each case, the underperformance was caused by most of the US equity funds in the Fund underperforming the Russell 3000 Index. Calvert World Values International Equity Fund performed more in line with the MSCI EAFE Index during the period, having a minimal impact on each Fund's performance relative to its blended benchmark. Calvert Social Investment Fund Bond Portfolio -- the fund representing the bond allocation in each Allocation Fund -- outperformed both the Lehman US Credit Index and US Treasury bills, mitigating the effects of Fund underperformance in US stock allocation.
Outlook
Crude oil and related energy prices remain high, creating headwinds for other stock-market sectors. In mid-spring 2005, we saw that other stocks could excel when energy stocks lagged. Going into the end of the reporting period, despite additional energy-related shocks to the economy and market, both markets and the economy seemed to have performed well. We are optimistic that when the pressures created by high energy prices abate, the rest of the stock market is poised to advance.
Monetary policy is currently focused on restoring the target Fed funds rate to a more neutral level, i.e., neither overly accommodative nor overly restrictive. We believe the Fed funds target rate eventually will reach a minimum of 4% and would not be surprised to see it at 4.5% or more in 2006. The fixed-income portions of the Allocation Funds are well positioned for higher interest and wider yield spreads, which we believe should unfold with continued solid economic growth.
Of course, the Allocation Funds will respond to market conditions based on their respective allocations to international and US stocks and fixed-income securities and the performance of the underlying funds in which they invest. We believe the Allocation Funds offer investors all-in-one, diversified portfolios geared to a conservative, moderate, or more aggressive investment objective and will provide a sound balance of risk and reward (in line with their objectives) for the long term.
October 2005
1. Blended benchmark for Calvert Conservative Allocation Fund: 60% Lehman US Credit Index, 22% Russell 3000(R) Index, 8% MSCI EAFE, 10% 3 -month U.S. Treasury Bills. Blended benchmark for Calvert Moderate Allocation Fund : 30% Lehman US Credit Index, 47% Russell 3000 Index, 18% MSCI EAFE, and 5% 3-month U.S. Treasury Bills. Blended benchmark for Calvert Aggressive Allocation Fund: 10% Lehman US Credit Index, 64% Russell 3000 Index, 26% MSCI EAFE.
2. Generally, small-cap companies have a market value of less than $2 billion, mid-cap companies between $2 billion and $10 billion, and large-cap companies more than $10 billion.
3. Value investing focuses on share price and seeks companies whose shares are trading below what is believed to be their actual worth. Growth investing focuses on future potential and seeks companies poised for earnings growth.
Conservative |
|
Allocation Fund |
|
September 30, 2005 |
|
|
|
Asset Allocation | % of total investments |
Domestic Equity Mutual Funds | 22% |
International Equity Mutual Funds | 8% |
Fixed Income Mutual Funds | 70% |
Total | 100% |
|
|
Moderate |
|
Allocation Fund |
|
September 30, 2005 |
|
|
|
Asset Allocation | % of total investments |
Domestic Equity Mutual Funds | 46% |
International Equity Mutual Funds | 19% |
Fixed Income Mutual Funds | 35% |
Total | 100% |
|
|
|
|
Aggressive |
|
Allocation Fund |
|
September 30, 2005 |
|
|
|
Asset Allocation | % of total investments |
Domestic Equity Mutual Funds | 63% |
International Equity Mutual Funds | 27% |
Fixed Income Mutual Funds | 10% |
Total | 100% |
Shareholder Expense Example
As a shareholder of the Fund, 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 Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 (inception date April 29, 2005 for Conservative and Moderate, inception date June 30, 2005 for Aggressive to September 30, 2005).
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. In addition, each Fund, as a shareholder in underlying Calvert funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Calvert funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below. If they were, the estimate of expense you paid during the period would be higher, and your ending account value lower.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund'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 Fund 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. In addition, each Fund, as a shareholder in underlying Calvert funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Calvert funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below. If they were, the estimate of expense you paid during the per iod would be higher, and your ending account value lower.
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** |
Conservative | 4/29/05* | 9/30/05 | 4/29/05 - 9/30/05 |
|
|
|
|
Class A |
|
|
|
Actual | $1,000.00 | $1,033.40 | $5.10 |
Hypothetical | $1,000.00 | $1,020.05 | $5.06 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
|
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,029.00 | $10.17 |
Hypothetical | $1,000.00 | $1,015.04 | $10.10 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Inception date.
**Expenses for Conservative are equal to the annualized expense ratios of 1.00% and 2.00% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/365. The fees and expenses of the underlying Calvert funds in which the Fund invests are not included in the annualized expense ratios.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period** |
Moderate | 4/29/05* | 9/30/05 | 4/29/05 - 9/30/05 |
|
|
|
|
Class A |
|
|
|
Actual | $1,000.00 | $1,059.50 | $5.16 |
Hypothetical | $1,000.00 | $1,020.05 | $5.06 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
|
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,053.30 | $10.29 |
Hypothetical | $1,000.00 | $1,015.04 | $10.10 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Inception date.
**Expenses for Moderate are equal to the annualized expense ratios of 1.00% and 2.00% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/365. The fees and expenses of the underlying Calvert funds in which the Fund invests are not included in the annualized expense ratios.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period** |
Aggressive | 6/30/05* | 9/30/05 | 6/30/05 - 9/30/05 |
|
|
|
|
Class A |
|
|
|
Actual | $1,000.00 | $1,041.30 | $5.12 |
Hypothetical | $1,000.00 | $1,020.05 | $5.06 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
|
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,039.30 | $10.22 |
Hypothetical | $1,000.00 | $1,015.04 | $10.10 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
*Inception date.
**Expenses for Aggressive are equal to the annualized expense ratios of 1.00% and 2.00% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/365. The fees and expenses of the underlying Calvert funds in which the Fund invests are not included in the annualized expense ratios.
Report of Independent Registered Public Accounting Firm
The Board of Trustees of Calvert Social Investment Fund and Shareholders of the Calvert Allocation Funds:
We have audited the accompanying statements of net assets of Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund, each a series of the Calvert Social Investment Fund, as of September 30, 2005, and the related statements of operations for the period from inception through September 30, 2005 (inception for the Calvert Conservative Allocation Fund and Calvert Moderate Allocation Fund is April 29, 2005, inception for the Calvert Aggressive Allocation Fund is June 30, 2005), the statements of changes in net assets for the periods then ended, and the financial highlights for the periods then ended. These financial statements and financial highlights are the responsibility of the Company's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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, 2005, by examination of transfer agent records for affiliated mutual fund investments. 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 the Calvert Conservative Allocation Fund, the Calvert Moderate Allocation Fund and the Calvert Aggressive Allocation Fund as of September 30, 2005, and the related statements of operations, the statements of changes in net assets, and the financial highlights for the periods then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Philadelphia, PA
November 17, 2005
Conservative Allocation Fund
Statement of Net Assets
September 30, 2005
Mutual Funds - 98.1% |
| Shares | Value |
|
Calvert Impact Fund, Inc.: |
|
|
|
|
Calvert Large Cap Growth Fund, Class I* |
| 1,844 | $55,678 |
|
Calvert Mid Cap Value Fund, Class I* |
| 3,588 | 61,722 |
|
Calvert Social Index Series, Inc.: |
|
|
|
|
Calvert Social Index Fund, Class I |
| 15,358 | 174,779 |
|
Calvert Social Investment Fund: |
|
|
|
|
Bond Portfolio, Class I |
| 125,229 | 2,026,198 |
|
Enhanced Equity Portfolio, Class I* |
| 7,929 | 148,671 |
|
Equity Portfolio, Class I* |
| 4,086 | 148,735 |
|
Calvert World Values Fund, Inc.: |
|
|
|
|
Calvert Capital Accumulation Fund, Class I* |
| 2,285 | 54,585 |
|
International Equity Fund, Class I |
| 11,187 | 238,517 |
|
|
|
|
|
|
Total Mutual Funds (Cost $2,875,951) |
| 2,908,885 |
| |
|
|
|
|
|
Total Investments (Cost $2,875,951) - 98.1% |
|
| 2,908,885 |
|
Other assets and liabilities, net - 1.9% |
|
| 57,769 |
|
Net Assets - 100% |
|
| $2,966,654 |
|
|
|
|
|
|
|
|
|
|
|
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: 127,687 shares outstanding |
|
| $1,950,321 |
|
Class C: 64,807 shares outstanding |
|
| 981,881 |
|
Accumulated net realized gain (loss) on investments |
|
| 1,518 |
|
Net unrealized appreciation (depreciation) on investments |
|
| 32,934 |
|
Net Assets |
|
| $2,966,654 |
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Class A (based on net assets of $1,968,417) |
|
| $15.42 |
|
Class C (based on net assets of $998,237) |
|
| $15.40 |
|
*Non-income producing security.
See notes to financial statements.
Moderate Allocation Fund
Statement of Net Assets
September 30, 2005
Mutual Funds - 99.9% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Large Cap Growth Fund, Class I* |
| 20,092 | $606,765 |
Calvert Mid Cap Value Fund, Class I* |
| 11,671 | 200,739 |
Calvert Small Cap Value Fund, Class I* |
| 12,145 | 196,996 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 59,651 | 678,834 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 210,123 | 3,399,787 |
Enhanced Equity Portfolio, Class I* |
| 47,469 | 890,049 |
Equity Portfolio, Class I* |
| 39,924 | 1,453,230 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I* |
| 11,764 | 281,048 |
International Equity Fund, Class I |
| 85,511 | 1,823,085 |
The Calvert Fund, Calvert New Vision Small Cap Fund, Class I* |
| 14,978 | 283,976 |
|
|
|
|
Total Mutual Funds (Cost $9,619,234) |
|
| 9,814,509 |
|
|
|
|
TOTAL INVESTMENTS (Cost $9,619,234) - 99.9% |
|
| 9,814,509 |
Other assets and liabilities, net - 0.1% |
|
| 12,750 |
Net Assets - 100% |
|
| $9,827,259 |
|
|
|
|
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: 480,482 shares outstanding |
|
| $7,486,587 |
Class C: 139,178 shares outstanding |
|
| 2,143,879 |
Accumulated net realized gain (loss) on investments |
|
| 1,518 |
Net unrealized appreciation (depreciation) on investments |
|
| 195,275 |
Net Assets |
|
| $9,827,259 |
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $7,627,705) |
|
| $15.88 |
Class C (based on net assets of $2,199,554) |
|
| $15.80 |
*Non-income producing security.
See notes to financial statements.
Aggressive Allocation Fund
Statement of Net Assets
September 30, 2005
Mutual Funds - 96.3% |
| Shares | Value |
|
Calvert Impact Fund, Inc.: |
|
|
|
|
Calvert Large Cap Growth Fund, Class I * |
| 5,200 | $157,051 |
|
Calvert Mid Cap Value Fund, Class I * |
| 4,846 | 83,344 |
|
Calvert Small Cap Value Fund, Class I * |
| 7,800 | 126,513 |
|
Calvert Social Index Series, Inc.: |
|
|
|
|
Calvert Social Index Fund, Class I |
| 14,808 | 168,515 |
|
Calvert Social Investment Fund: |
|
|
|
|
Bond Portfolio, Class I |
| 12,829 | 207,574 |
|
Enhanced Equity Portfolio, Class I * |
| 11,064 | 207,452 |
|
Equity Portfolio, Class I * |
| 11,520 | 419,334 |
|
Calvert World Values Fund, Inc.: |
|
|
|
|
Calvert Capital Accumulation Fund, Class I * |
| 2,550 | 60,915 |
|
International Equity Fund, Class I |
| 26,966 | 574,925 |
|
The Calvert Fund, Calvert New Vision Small Cap Fund, Class I * |
| 6,555 | 124,276 |
|
|
|
|
|
|
Total Mutual Funds (Cost $2,077,644) |
|
| 2,129,899 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $2,077,644) - 96.3% |
|
| 2,129,899 |
|
Other assets and liabilities, net - 3.7% |
|
| 81,886 |
|
Net Assets - 100% |
|
| $2,211,785 |
|
|
|
|
|
|
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: 88,343 shares outstanding |
|
| $1,350,662 |
|
Class C: 53,354 shares outstanding |
|
| 808,908 |
|
Accumulated net realized gain (loss) on investments |
|
| (40) |
|
Net unrealized appreciation (depreciation) on investments |
|
| 52,255 |
|
Net Assets |
|
| $2,211,785 |
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Class A (based on net assets of $1,380,238) |
|
| $15.62 |
|
Class C (based on net assets of $831,547) |
|
| $15.59 |
|
*Non-income producing security.
See notes to financial statements.
Statements of Operations
From Inception Through September 30, 2005
|
| Conservative | Moderate | Aggressive |
|
|
| Allocation | Allocation | Allocation |
|
Net Investment Income |
| Fund# | Fund# | Fund## |
|
Investment Income: |
|
|
|
|
|
Dividend income |
| $20,479 | $28,593 | $1,389 |
|
Total investment income |
| 20,479 | 28,593 | 1,389 |
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Transfer agency fees and expenses |
| 11,370 | 15,400 | 12,588 |
|
Administrative fees |
| 1,156 | 3,024 | 532 |
|
Distribution Plan expenses: |
|
|
|
|
|
Class A |
| 1,163 | 3,779 | 474 |
|
Class C |
| 3,054 | 5,044 | 1,650 |
|
Trustees' fees and expenses |
| 34 | 37 | 80 |
|
Custodian fees |
| 14,594 | 19,332 | 5,406 |
|
Registration fees |
| 13,194 | 13,914 | 7,466 |
|
Reports to shareholders |
| 1,543 | 1,609 | 1,540 |
|
Professional fees |
| 13,645 | 13,645 | 13,644 |
|
Contract Services |
| 10,419 | 10,419 | 6,250 |
|
Miscellaneous |
| 413 | 414 | 550 |
|
Total expenses |
| 70,585 | 86,617 | 50,180 |
|
Reimbursement from Advisor: |
|
|
|
|
|
Class A |
| (37,190) | (43,538) | (26,560) |
|
Class C |
| (22,274) | (15,709) | (18,097) |
|
Fees waived |
| (362) | (2,165) | (327) |
|
Net expenses |
| 10,759 | 25,205 | 5,196 |
|
|
|
|
|
|
|
Net Investment Income (Loss) |
| 9,720 | 3,388 | (3,807) |
|
|
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
|
|
|
|
|
Net realized gain (loss) |
| 1,544 | 1,544 | 1,006 |
|
Change in unrealized appreciation or (depreciation) |
| 32,934 | 195,275 | 52,255 |
|
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
| 34,478 | 196,819 | 53,261 |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| $44,198 | $200,207 | $49,454 |
|
# From April 29, 2005 inception.
## From June 30, 2005 inception.
See notes to financial statements.
Conservative Allocation Fund
Statement of Changes in Net Assets
|
| From Inception |
|
|
| April 29, 2005 |
|
|
| Through |
|
|
| September 30, |
|
Increase (Decrease) in Net Assets |
| 2005 |
|
Operations: |
|
|
|
Net investment income |
| $9,720 |
|
Net realized gain (loss) on investments |
| 1,544 |
|
Change in unrealized appreciation (depreciation) |
| 32,934 |
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| 44,198 |
|
|
|
|
|
Distributions to shareholders from |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (7,888) |
|
Class C Shares |
| (1,858) |
|
Total distributions |
| (9,746) |
|
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 1,943,057 |
|
Class C Shares |
| 980,209 |
|
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 7,629 |
|
Class C Shares |
| 1,672 |
|
Redemption Fees: |
|
|
|
Class A Shares |
| 1 |
|
Shares redeemed: |
|
|
|
Class A Shares |
| (366) |
|
Class C Shares |
| -- |
|
Total capital share transactions |
| 2,932,202 |
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 2,966,654 |
|
|
|
|
|
Net Assets |
|
|
|
Beginning of period |
| -- |
|
End of period |
| $2,966,654 |
|
|
|
|
|
Capital Share Activity |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 127,215 |
|
Class C Shares |
| 64,698 |
|
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 496 |
|
Class C Shares |
| 109 |
|
Shares redeemed: |
|
|
|
Class A Shares |
| (24) |
|
Class C Shares |
| -- |
|
Total capital share activity |
| 192,494 |
|
See notes to financial statements.
Moderate Allocation Fund
Statement of Changes in Net Assets
|
| From Inception |
|
|
| April 29, 2005 |
|
|
| Through |
|
|
| September 30, |
|
Increase (Decrease) in Net Assets |
| 2005 |
|
Operations: |
|
|
|
Net investment income |
| $3,388 |
|
Net realized gain (loss) on investments |
| 1,544 |
|
Change in unrealized appreciation (depreciation) |
| 195,275 |
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| 200,207 |
|
|
|
|
|
Distributions to shareholders from |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (3,414) |
|
Class C Shares |
| -- |
|
Total distributions |
| (3,414) |
|
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 7,503,040 |
|
Class C Shares |
| 2,188,669 |
|
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 3,290 |
|
Class C Shares |
| -- |
|
Redemption fees: |
|
|
|
Class A Shares |
| 149 |
|
Shares redeemed: |
|
|
|
Class A Shares |
| (19,892) |
|
Class C Shares |
| (44,790) |
|
Total capital share transactions |
| 9,630,466 |
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 9,827,259 |
|
|
|
|
|
Net Assets |
|
|
|
Beginning of period |
| -- |
|
End of period |
| $9,827,259 |
|
|
|
|
|
Capital Share Activity |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 481,542 |
|
Class C Shares |
| 142,068 |
|
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 210 |
|
Class C Shares |
| -- |
|
Shares redeemed: |
|
|
|
Class A Shares |
| (1,270) |
|
Class C Shares |
| (2,890) |
|
Total capital share activity |
| 619,660 |
|
See notes to financial statements.
Aggressive Allocation Fund
Statement of Changes in Net Assets
|
| From Inception |
|
|
| June 30, 2005 Through |
|
|
| September 30, |
|
Increase (Decrease) in Net Assets |
| 2005 |
|
Operations: |
|
|
|
Net investment income (loss) |
| ($3,807) |
|
Net realized gain (loss) on investments |
| 1,006 |
|
Change in unrealized appreciation (depreciation) |
| 52,255 |
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| 49,454 |
|
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 1,356,600 |
|
Class C Shares |
| 809,946 |
|
Shares redeemed: |
|
|
|
Class A Shares |
| (4,215) |
|
Class C Shares |
| -- |
|
Total capital share transactions |
| 2,162,331 |
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 2,211,785 |
|
|
|
|
|
Net Assets |
|
|
|
Beginning of period |
| -- |
|
End of period |
| $2,211,785 |
|
|
|
|
|
Capital Share Activity |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 88,617 |
|
Class C Shares |
| 53,354 |
|
Shares redeemed: |
|
|
|
Class A Shares |
| (274) |
|
Class C Shares |
| -- |
|
Total capital share activity |
| 141,697 |
|
See notes to financial statements.
Notes to Financial Statements
Note A -- Significant Accounting Policies
General: The Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund (the "Funds"), each a series of the Calvert Social Investment Fund are registered under the Investment Company Act of 1940 as non-diversified, open-end management investment companies. The operations of each series are accounted for separately. The Calvert Conservative Allocation Fund and Calvert Moderate Allocation Fund commenced operations on April 29, 2005. The Calvert Aggressive Allocation Fund commenced operations on June 30, 2005. The Funds invest primarily in a combination of other Calvert equity and fixed income funds (the "Underlying Funds"). Each Fund offers Class A and Class C shares. Class A shares are sold with a maximum front-end sales charge of 4.75%. 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 C shares have higher levels of expenses tha n Class A shares. 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). Investments in the Underlying Funds are valued at their net asset value each business day. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
Security Transactions and Net Investment Income: Security transactions, normally shares of the Underlying Funds, are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis. Income and capital gain distributions from the Underlying Funds, if any, are recorded on 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. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid quarterly. 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: The Funds charge a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund. The redemption fee is paid to the Fund and is accounted for as an addition to paid-in capital. The fee 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 Fund.
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 Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. 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.
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 for the Funds and the Underlying Funds in which the Funds invest. The Advisor also pays the salaries and fees of officers and Trustees of the Funds who are employees of the Advisor or its affiliates. The Funds do not pay advisory fees to the Advisor for performing investment advisory services. The Advisor, however, will receive advisory fees from managing the Underlying Funds. At period end, $2,636 was payable to the Advisor from Moderate for operating expenses paid by the Advisor during September 2005. At period end, $38 and $1,225 was receivable from the Advisor for reimbursement of operating expenses for Conservative and Aggressive, respectively.
The Advisor has contractually agreed to limit direct ordinary operating expenses through June 30, 2006. For each Fund, the contractual expense cap is 1.00% for Class A and 2.00% for Class C. This expense limitation does not include the Underlying Fund expenses indirectly incurred by the Fund. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation is reduced and the Advisor benefits from the expense offset arrangement.
Calvert Administrative Services Company ("CASC"), an affiliate of the Advisor, provides administrative services to the Funds for an annual fee. Class A and Class C of each Fund pay an annual rate of .15%, based on their average daily net assets. Under the terms of the agreement, $334, $1,072, and $228 was payable at period end for Conservative, Moderate, and Aggressive, respectively.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Funds. Distribution Plans, adopted by Class A and Class C shares, allow the Funds to pay the Distributor for expenses and services associated with distribution of shares. The expenses paid may not exceed .35% and 1.00% annually of average daily net assets of Class A and Class C, respectively, for each Fund. Under the terms of the agreement, $1,123, $2,960, and $866 was payable at period end for Conservative, Moderate, and Aggressive, respectively.
The Distributor received $5,698, $28,605, and $3,087 as its portion of the commissions charged on the sales of Conservative, Moderate, and Aggressive Class A shares, respectively, for the period ended September 30, 2005.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Funds. For the period ended September 30, 2005, CSSI waived $362, $2,165, and $327 of its fee for Conservative, Moderate, and Aggressive, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $23,000 plus a meeting fee of $1,000 for each Board and Committee meeting attended. Additional fees of up to $10,000 annually may be paid to the Chairperson of special committees of the Board and the lead disinterested Trustee. Trustees' fees are allocated to each of the funds served.
Kirkpatrick & Lockhart Nicholson Graham LLP ("K&LNG") serves as Calvert Social Investment Fund counsel; the Calvert Social Investment Fund's Secretary is an affiliate of this firm. Payments by the Funds to K&LNG during the reporting period were $93,113.
Note C -- Investment Activity
During the period, cost of purchases and proceeds from sales of the Underlying Funds were:
| Conservative | Moderate | Aggressive |
Purchases | $2,955,142 | $9,696,865 | $2,153,663 |
Sales | 80,735 | 79,173 | 77,026 |
The following tables present the cost of investments for federal income tax purposes, and the components of net unrealized appreciation (depreciation) at September, 30, 2005, and net realized capital loss carryforwards as of September 30, 2005 with expiration dates:
| Conservative | Moderate | Aggressive |
Federal income tax cost of investments | $2,875,951 | $9,619,314 | $2,077,684 |
Unrealized appreciation | 37,239 | 211,773 | 55,212 |
Unrealized depreciation | 4,305 | 16,578 | 2,997 |
Net appreciation/(depreciation) | 32,934 | 195,195 | 52,215 |
The tax character of dividends and distributions paid during the period ended September 30, 2005 was as follows:
Conservative |
|
Distributions paid from: | 2005 |
Ordinary income | $9,746 |
Total | $9,746 |
|
|
Moderate |
|
Distributions paid from: | 2005 |
Ordinary income | $3,414 |
Total | $3,414 |
As of September 30, 2005, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Conservative | Moderate | Aggressive |
Undistributed ordinary income | $1,518 | $1,595 | -- |
Undistributed long-term capital gain | -- | 3 | -- |
Unrealized appreciation (depreciation) | 32,934 | 195,195 | $52,215 |
Total | $34,452 | $196,793 | $52,215 |
Reclassifications, as shown in the table below, have been made to the funds components of net assets to reflect income and gains available for distribution (or available capital loss carryovers, as applicable) under income tax law and regulations. The primary permanent differences causing such reclassifications are the reclassification of distributions for Conservative and Moderate and the disallowance of net operating losses for Aggressive.
| Conservative | Moderate | Aggressive |
Undistributed net investment income | $26 | $26 | $3,807 |
Accumulated net realized gain (loss) | (26) | (26) | (1,046) |
Paid in capital | -- | -- | (2,761) |
The difference between the components of distributable earnings on a tax basis and the amounts reflected in the statement of net assets for Moderate and Aggressive is primarily due to wash sales.
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 Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible 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 is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Funds had no loans outstanding pursuant to this line of credit during the period ended September 30, 2005.
Conservative Allocation Fund
Financial Highlights
|
| Period Ended |
|
|
| September 30, |
|
Class A Shares |
| 2005 # |
|
Net asset value, beginning |
| $15.00 |
|
Income from investment operations |
|
|
|
Net investment income |
| .08 |
|
Net realized and unrealized gain (loss) |
| .42 |
|
Total from investment operations |
| .50 |
|
Distributions from |
|
|
|
Net investment income |
| (.08) |
|
Total distributions |
| (.08) |
|
Total increase (decrease) in net asset value |
| .42 |
|
Net asset value, ending |
| $15.42 |
|
|
|
|
|
Total return* |
| 3.34% |
|
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| 1.69% (a) |
|
Total expenses |
| 9.04% (a) |
|
Expenses before offsets |
| 1.00% (a) |
|
Net expenses |
| 1.00% (a) |
|
Portfolio turnover |
| 4% |
|
Net assets, ending (in thousands) |
| $1,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Period Ended |
|
|
| September 30, |
|
Class C Shares |
| 2005# |
|
Net asset value, beginning |
| $15.00 |
|
Income from investment operations |
|
|
|
Net investment income |
| .03 |
|
Net realized and unrealized gain (loss) |
| .40 |
|
Total from investment operations |
| .43 |
|
Distributions from |
|
|
|
Net investment income |
| (.03) |
|
Total distributions |
| (.03) |
|
Total increase (decrease) in net asset value |
| .40 |
|
Net asset value, ending |
| $15.40 |
|
|
|
|
|
Total return* |
| 2.90% |
|
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| .61% (a) |
|
Total expenses |
| 9.34% (a) |
|
Expenses before offsets |
| 2.00% (a) |
|
Net expenses |
| 2.00% (a) |
|
Portfolio turnover |
| 4% |
|
Net assets, ending (in thousands) |
| $998 |
|
|
|
|
|
|
|
|
|
Moderate Allocation Fund |
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
| Period Ended |
|
|
| September 30, |
|
Class A Shares |
| 2005# |
|
Net asset value, beginning |
| $15.00 |
|
Income from investment operations |
|
|
|
Net investment income |
| .02 |
|
Net realized and unrealized gain (loss) |
| .87 |
|
Total from investment operations |
| .89 |
|
Distributions from |
|
|
|
Net investment income |
| (.01) |
|
| Total distributions |
| (.01) |
Total increase (decrease) in net asset value |
| 0.88 |
|
Net asset value, ending |
| $15.88 |
|
|
|
|
|
Total return* |
| 5.95% |
|
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| .43% (a) |
|
Total expenses |
| 3.99% (a) |
|
Expenses before offsets |
| 1.00% (a) |
|
Net expenses |
| 1.00% (a) |
|
Portfolio turnover |
| 1% |
|
Net assets, ending (in thousands) |
| $7,628 |
|
|
|
|
|
|
|
|
|
|
| Period Ended |
|
|
| September 30, |
|
Class C Shares |
| 2005# |
|
Net asset value, beginning |
| $15.00 |
|
Income from investment operations |
|
|
|
Net investment income |
| (.02) |
|
Net realized and unrealized gain (loss) |
| .82 |
|
Total from investment operations |
| .80 |
|
Total increase (decrease) in net asset value |
| .80 |
|
Net asset value, ending |
| $15.80 |
|
|
|
|
|
Total return* |
| 5.33% |
|
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| (.62%) (a) |
|
Total expenses |
| 5.22% (a) |
|
Expenses before offsets |
| 2.00% (a) |
|
Net expenses |
| 2.00% (a) |
|
Portfolio turnover |
| 1% |
|
Net assets, ending (in thousands) |
| $2,200 |
|
|
|
|
|
Aggressive allocation Fund |
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
| Period Ended |
|
|
| September 30, |
|
Class A Shares |
| 2005## |
|
Net asset value, beginning |
| $15.00 |
|
Income from investment operations |
|
|
|
Net investment income |
| (.01) |
|
Net realized and unrealized gain (loss) |
| .63 |
|
Total from investment operations |
| .62 |
|
Total increase (decrease) in net asset value |
| .62 |
|
Net asset value, ending |
| $15.62 |
|
|
|
|
|
Total return* |
| 4.13% |
|
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| (.59%) (a) |
|
Total expenses |
| 15.10% (a) |
|
Expenses before offsets |
| 1.00% (a) |
|
Net expenses |
| 1.00% (a) |
|
Portfolio turnover |
| 5% |
|
Net assets, ending (in thousands) |
| $1,380 |
|
|
|
|
|
|
|
|
|
|
| Period Ended |
|
|
| September 30, |
|
Class C Shares |
| 2005## |
|
Net asset value, beginning |
| $15.00 |
|
Income from investment operations |
|
|
|
Net investment income |
| (.05) |
|
Net realized and unrealized gain (loss) |
| .64 |
|
Total from investment operations |
| .59 |
|
Total increase (decrease) in net asset value |
| .59 |
|
Net asset value, ending |
| $15.59 |
|
|
|
|
|
Total return* |
| 3.93% |
|
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| (1.63%) (a) |
|
Total expenses |
| 13.06% (a) |
|
Expenses before offsets |
| 2.00% (a) |
|
Net expenses |
| 2.00% (a) |
|
Portfolio turnover |
| 5% |
|
Net assets, ending (in thousands) |
| $832 |
|
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
B Amounts do not include the activity of the underlying funds.
(a) Annualized.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
# From April 29, 2005 inception.
## From June 30, 2005 inception.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are 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 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.
Basis for Board's Approval
of Investment Advisory Contracts
On March 8, 2005, the Board of Trustees, and by a separate vote, the disinterested Trustees, voted to approve amendment of the Investment Advisory Agreement between the Calvert Social Investment Fund (the "Trust") and the Advisor to add Calvert Conservative Allocation Fund ("Conservative") and Calvert Moderate Allocation Fund
("Moderate"). On June 7, 2005, the Board of Trustees, and by a separate vote, the disinterested Trustees, voted to approve amendment of the Investment Advisory Agreement between the Trust and the Advisor to add Calvert Aggressive Allocation Fund ("Aggressive"). Conservative, Moderate and Aggressive are each referred to as a "Fund" and collectively, as the "Funds."
In evaluating the Investment Advisory Agreement with respect to each Fund, the Board of Trustees considered a variety of information relating to the Fund and the Advisor. The disinterested Trustees reviewed a report prepared by the Advisor regarding various services to be provided to the Fund by the Advisor and its affiliates. The disinterested Trustees were separately represented by independent legal counsel with respect to their consideration of the approval of the Investment Advisory Agreement with respect to each Fund. Prior to voting, the disinterested Trustees reviewed the proposed Investment Advisory Agreement with respect to each Fund with management and also met in a private session with their counsel at which no representatives of management were present.
In the course of their deliberations regarding the Investment Advisory Agreement with respect to each Fund, the Trustees considered the following factors, among other things: the nature, extent and quality of the services to be provided by the Advisor including the personnel providing such services and the Advisor's operations; the Advisor's financial condition; fee and expense information for comparable funds; the profitability of the Calvert Group of Funds to the Advisor; the direct and indirect benefits, if any, derived by the Advisor from the relationship with the Fund; the effect of the Fund's growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies, including those related to personal investing, anti-money laundering and disclosure of portfolio holdings; the Advisor's policies and procedures regarding the prevention of market timing and late trading; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.
In considering the nature, extent and quality of the services to be provided by the Advisor under the Investment Advisory Agreement with respect to each Fund, the Board of Trustees reviewed information provided by the Advisor relating to its operations and personnel, including, among other things, information on the Advisor's investment, supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account similar information provided periodically throughout the previous year by the Advisor as well as the Trustees' familiarity with management through Board of Trustees' meetings, discussions and other reports. The Trustees considered the Advisor's management style and its performance with the underlying Calvert funds in which the Funds would invest and its experience with the Subadvisors of such funds, as well as its current level of staffing and overall resources. The Advisor's administrative capabilities, including its ability to supervise the other service providers to the Funds, were also considered. The Trustees concluded that they were satisfied with the nature, extent and quality of services to be provided to each Fund under the Investment Advisory Agreement.
With respect to the underlying funds in which the Funds will invest, it was noted that the Board of Trustees reviews on a quarterly basis detailed information about each fund's performance results, portfolio composition and investment strategies.
With respect to each Fund's fees and expenses, the Board of Trustees noted that the Funds will not pay advisory fees to CAMCO for performing advisory services. The Trustees noted that each Fund will incur a proportional share of the expenses of the underlying Calvert funds in which it will invest, including the advisory expenses of such funds. The Board noted that each Fund also will pay Ibbotson Associates a consulting fee to provide guidance to CAMCO on the allocation strategy for the Fund and was provided with information regarding the consultant. With respect to Conservative, the Trustees noted that the Fund's estimated total expenses for its Class A shares would be below the total expense ratios of certain comparable allocation funds as selected by the Advisor in its report to the Trustees and that its estimated total expense ratio for the Fund's Class C shares (after taking into account expense limitations) would be below the range of certain comparable funds deemed by Calvert to be its primary comp etitors. With respect to Moderate, the Trustees noted that the Fund's estimated total expenses for its Class A shares generally would be below the total expense ratios of certain comparable allocation funds as selected by the Advisor in its report to the Trustees and that its estimated total expense ratio for the Fund's Class C shares (after taking into account expense limitations) would be within the range of such comparable funds. With respect to Aggressive, the Trustees noted that the Fund's estimated total expenses for its Class A shares would be below the total expense ratios of certain comparable allocation funds as selected by the Advisor in its report to the Trustees and that its estimated total expense ratio for the Fund's Class C shares (after taking into account expense limitations) would be within the range of such comparable funds.
The Trustees reviewed the estimated profitability of the Advisor's relationship with each Fund, noting that CAMCO would not be receiving an advisory fee with respect to the Funds. The Trustees also took into account the Advisor's initial undertakings to maintain expense limitations for the Funds. The Trustees also considered that the Advisor will derive reputational and other indirect benefits. The Trustees also considered whether the Advisor had the financial wherewithal to provide a high level of services to the Funds. In reviewing the overall profitability of the Funds to the Advisor, the Board also considered the fact that affiliates will provide shareholder servicing and administrative services to the Funds for which they will receive compensation. The Trustees also noted that CAMCO receives advisory fees as advisor to the underlying funds in which the Funds will invest. Based upon their review, the Trustees concluded that the Advisor's anticipated level of profitability from its relationship with ea ch Fund was reasonable.
The Board considered the effect of each Fund's potential growth and size on its respective performance and fees, noting that the Fund does not have an advisory fee. As a result, a consideration of any economies of scale to be realized with respect to the advisory fee was not applicable. The Board noted that if the Fund's assets increase over time, the Fund may realize other economies of scale if assets increase proportionally more than certain other expenses.
In approving the Investment Advisory Agreement with respect to each Fund, the Board of Trustees, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
Conclusions
The Trustees reached the following conclusions regarding the Investment Advisory Agreement with respect to each Fund, among others: (a) the Advisor has demonstrated that it possesses the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) the Advisor maintains an appropriate compliance program; (c) the Advisor is likely to execute its investment strategies consistently over time; and (d) the Fund's advisory expenses are reasonable in relation to those of similar funds and to the services to be provided by the Advisor. Based on their conclusions, the Trustees determined that approval of the Investment Advisory Agreement with respect to each Fund would be in the interests of the Fund and its shareholders.
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| (Not Applicable to Officers) | |
| Position | Position |
| # of Calvert |
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Name & | with | Start | Principal Occupation | Portfolios | Other |
Date of Birth | Fund | Date | During Last 5 Years | Overseen | Directorships |
INDEPENDENT TRUSTEES | |||||
REBECCA ADAMSON AGE: 56 | 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. | 12 |
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RICHARD L. BAIRD, JR. AGE: 57 | Trustee | 1982
| President and CEO of Adagio Health Inc. (formerly 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. | 21 |
|
FREDERICK A. DAVIE, JR. AGE: 49 | 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. | 9 |
|
JOHN GUFFEY, JR. AGE: 57 | Trustee
| 1982
| Treasurer and Director of Silby, Guffey and Co., Inc. a venture capital firm (inactive as of 2003). President, Aurora Press, Inc., 2002. | 23 |
|
JOY V. JONES AGE: 55 | Trustee
| 1990
| Attorney and entertainment manager in New York City.
| 12 |
|
TERRENCE J. MOLLNER, Ed.D. AGE: 60
| 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. | 11 |
|
SYDNEY AMARA MORRIS AGE: 56 | Trustee | 1982
| She currently serves as Parish Minister to the Keweenaw Unitarian Universalist Fellowship in Houghton, MI. 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. | 9 |
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INTERESTED TRUSTEES | |||||
BARBARA J. KRUMSIEK AGE: 53 | 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. | 40 |
|
D. WAYNE SILBY, Esq. AGE: 57 | Trustee, Chair & President | 1982
| Mr. Silby is Chairman of GroupServe Foundation, a software company focused on collaborative tools for non-profit groups. He was an officer and director of Silby, Guffey and Co., Inc., a venture capital firm. (inactive as of 2003) | 26 |
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OFFICERS | |||||
CATHERINE S. BARDSLEY, Esq. AGE: 56 | Secretary
| 1982
| Partner, Kirkpatrick & Lockhart Nicholson Graham LLP, the Fund's legal counsel. |
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KAREN BECKER Age: 52 | Chief Compliance Officer | 2005 | Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. |
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SUSAN WALKER BENDER, Esq. AGE: 46 | Assistant Vice President & Assistant Secretary | 1988 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. |
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THOMAS DAILEY AGE: 41 | Vice President | 2004 | Vice President of Calvert Asset Management Company, Inc. |
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IVY WAFFORD DUKE, Esq. AGE: 37 | Assistant Vice President & Assistant Secretary | 1996 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. |
| |
STEVEN A. FALCI AGE: 46 | Vice President
| 2003 | Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2003, Mr. Falci was SVP and Senior Portfolio Manager at Principal Mellon Equity Associates. |
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TRACI L. GOLDT AGE: 32 | Assistant Secretary | 2004 | Executive Assistant to General Counsel, Calvert Group, Ltd. Prior to joining Calvert in 2001, Ms. Goldt was Senior Project Manager for Backwire.com, and Project Manager for marchFIRST. |
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GREGORY B. HABEEB AGE: 55 | Vice President | 2004 | Senior Vice President of Calvert Asset Management Company, Inc. |
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DANIEL K. HAYES AGE: 55 | Vice President | 1996 | Senior Vice President of Calvert Asset Management Company, Inc. |
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HUI PING HO, CPA AGE: 40 | Assistant Treasurer | 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. |
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LANCELOT A. KING, Esq. AGE: 35 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2003, Mr. King was an associate with Mintz, Levin, Cohn, Ferris, Glovsky & Popeo, and also with Kirkpatrick & Lockhart. |
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JANE B. MAXWELL Esq. AGE: 53 | Assistant Secretary | 2005 | Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2004, Ms. Maxwell was an associate with Sullivan & Worcester, LLP. |
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CATHERINE P. ROY AGE: 49 | Vice President | 2004
| Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2004, 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. |
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WILLIAM M. TARTIKOFF, Esq. AGE: 58 | Vice President & Assistant Secretary | 1990 | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd. |
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RONALD M. WOLFSHEIMER, CPA AGE: 53 | Treasurer | 1982 | Senior Vice President and Chief Financial Officer of Calvert Group, Ltd. and Fund Treasurer. |
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MICHAEL V. YUHAS JR., CPA AGE: 44 | Fund Controller | 1999 | Director of Fund Administration of Calvert Group, Ltd. and Fund Controller. |
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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 Asset
Allocation
Funds
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
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
Long-Term 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
Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation 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 9/30/05 | Fiscal Year ended 9/30/04 | |||
$ | %* | $ | % * | |
(a) Audit Fees | $106,150 | $67,650 | ||
(b) Audit-Related Fees | $0 | 0% | $0 | 0% |
(c) Tax Fees (tax return preparation and filing for the registrant) | $21,120 | 0% | $11,550 | 0% |
(d) All Other Fees | $0 | 0% | $0 | 0% |
Total | $127,270 | 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 9/30/05 | Fiscal Year ended 9/30/04 | |||
$ | %* | $ | % * | |
$21,000 | 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. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. 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, 2005.
Item 11. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. 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 J. Krumsiek |
| Barbara J. Krumsiek |
| Senior Vice President -- Principal Executive Officer |
Date: December 2, 2005
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 J. Krumsiek
Barbara J. Krumsiek
Senior Vice President -- Principal Executive Officer
Date: December 2, 2005
/s/ D. Wayne Silby
D. Wayne Silby
President -- Principal Executive Officer
Date: December 5, 2005
/s/ Ronald M. Wolfsheimer
Ronald M. Wolfsheimer
Treasurer -- Principal Financial Officer
Date: December 1, 2005