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, 2006
<PAGE>
Item 1. Report to Stockholders.
<PAGE>
Calvert
Investments that make a difference
September 30, 2006
Annual Report
Calvert Social
Investment Fund
Important!
Take the Calvert Environment and Climate Change Survey -- Details on Inside Cover
www.calvert.com/survey
Calvert
Investments that make a difference
a UNIFI company
Take the Calvert Environment and Climate Change Survey
Thank you so much for your support of Calvert. From time to time we seek the input from investors like you to help inform our social investment policy choices. We would greatly appreciate your participation in a 10-minute on-line survey focused on the Environment, Climate Change, and Energy Issues. If you are interested in participating, please go to the following link: www.calvert.com/survey. We thank you in advance for your participation. The survey will close on December 22, so respond soon!
Table of Contents
Chairman's Letter
2
President's Letter
6
Portfolio Management Discussion
8
Shareholder Expense Example
28
Report of Independent Registered Public Accounting Firm
33
Statements of Net Assets
34
Notes to Statements of Net Assets
68
Statements of Operations
73
Statements of Changes in Net Assets
75
Notes to Financial Statements
84
Financial Highlights
95
Explanation of Financial Tables
113
Proxy Voting and Availability of Quarterly Portfolio Holdings
115
Trustee and Officer Information Table
116
Dear Shareholder:
Many diverse factors have buffeted the financial markets this year--volatile oil and commodity prices, the Iraq war, a housing bubble, an enormous trade deficit, and a change in Fed leadership and policy. Fortunately, interest rates are moderating, company earnings generally remain strong, and inflation hasn't yet become a major concern. Although real wages have not substantially improved, the American consumer keeps spending. Overall, I see a positive short-term outlook for the financial markets, as Wall Street continues its short-term focus on earnings and returns.
The market environment this past year has not been a favorable one for most of the Calvert Social Investment Fund (CSIF). For much of the year, the equity portfolios were hindered by a limited exposure to the Energy sector and a market preference for smaller-cap, value-oriented stocks. The good news is the tides seem to be turning in our favor, so we expect our relative fund performance to improve in the coming year.
Looking Ahead
However, one intermediate-term issue to ponder is what effect a slowing American economy--largely due to a slowdown in the housing market--will have on other countries that depend on U.S. consumers to buy their goods. Will they find a way to detach themselves from our slowdown and keep the global economy moving forward without reliance on rampant American consumerism? Historically, this has not been the case, but we'll have to see how the future unfolds. I had a discussion at the Central Bank of China earlier this year about the anomaly of the Chinese sending us goods and then investing their profits in the U.S. mortgage markets so Americans can buy even bigger houses! We all agreed that this is not sustainable over the long term.
Longer-term, I see the main issue challenging the economy and markets to be our aging population and the effects of the baby boomers' retirement and health care needs on our economy. While the price of goods may remain low, the impending shortage of workers may well push costs for services such as education and health care even higher. To date, the Internet economy has masked this change in our society by providing us with strong productivity, but many policy analysts wonder how long this can last.
In My View
It is unfortunate that American consumer spending has burdened our young with a pile of debt. Today's young people may be the first generation of Americans who cannot hope to live as well as their parents. As a country, we should be investing in their education to maximize our nation's productivity, instead of burdening them with soaring college costs, loans, and high housing prices.
Your Fund is one vehicle which aims to strengthen our society--with its community investment and special equities programs--and further the best practices of our nation's companies, with our investment policies and shareholder activism.
Community Investments
Hurricanes Katrina and Rita left a wake of destruction in the fall of 2005. In the year since, CSIF (through its community investing program) and other investors in the Calvert Social Investment Foundation, have directed a total of $1.6 million in affordable loan capital from the Foundation to five groups that are working to revitalize the Gulf Coast Region. These funds provide affordable housing, redevelopment assistance and other emergency aid. Community investment capital helps mothers like Serenity Davenport of rural Abbeyville, Louisiana, who is rebuilding her home and keeping her young family together in the aftermath of the eight-foot-deep flood waters caused by Hurricane Rita.
The Fund's community investing program, known as High Social Impact Investments (HSII), is administered through the Foundation and may allocate up to 1% of assets of certain CSIF Portfolios to investments at below-market rates that provide economic opportunity for struggling populations.1
Special Equities
A modest but important portion of CSIF's Balanced and Equity Portfolios is invested in private companies that make socially or environmentally helpful products or provide such services, both with a profit objective. One such investment this year has been in the Rose Smart Growth Fund, which acquires buildings in urban, mass-transit oriented locations around the country. Rose manages these buildings to a "green" standard, seeking increased energy efficiency, decreased operating expenses, healthier indoor environments, and higher tenant retention. The Rose Fund acquired its first asset in April 2006, consisting of two historic office buildings in Seattle, Washington that the Fund seeks to certify with the US Green Building Council's Leadership in Energy and Environmental Design (LEED) Rating SystemTM, the nationally accepted benchmark for the design, construction, and operation of high performance green buildings. Supporting this green building movement allows us to diversify our efforts to reduc e energy usage.2 Also, solar power systems distributor and installer Global Resource Options was a recent Special Equities investment in the alternative energy sector.3
Shareholder Advocacy
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. We filed 17 shareholder resolutions for the 2006 proxy season, eight of which resulted in successful discussions with the companies and six of which were voted upon. In fact, two of the resolutions received more than one-third of the vote (considered very high for shareholder-initiated proposals)--Home Depot on equal employment opportunity issues and Standard Pacific on energy efficiency. The rest of the resolutions covered a wide variety of issues, ranging from board diversity to sustainability reporting. More information is available on the Web site at http://www.calvert.com/sri_648.html.
Deepening our Impact
We are developing a plan to heighten the visibility and extend the impact of our overall advocacy efforts. While we will continue to file shareholder resolutions and engage management of the companies we hold in dialogue, we are expanding our approach to other advocacy tools and channels. This includes direct company and industry-wide dialogues (whether on our own or in multi-stakeholder settings) and industry standard-setting exercises to help leverage change across industries on a global basis. We also plan to engage in public policy and regulatory advocacy, by taking advantage of our proximity to and relationships with the U.S. government, non-governmental organizations, think tanks, and media.
China and the Internet
As China clamps down on freedom of information and expression, several major U.S. internet and information technology companies have come under scrutiny by members of Congress, the media and various human rights organizations. We are now in discussions with several major portfolio holdings about minimizing their complicity in human rights abuses and disclosing how they are complying with government policy. Bennett Freeman, who joined Calvert during the year as Senior Vice President for Social Research and Policy, participated on Calvert's behalf in a multi-stakeholder dialogue convened by the Center for Democracy and Technology (CDT). This event aimed to develop a global industry standard addressing these issues, and included leading companies such as Microsoft, Google and Yahoo.
Lastly, I must recognize Muhammad Yunus of Grameen Bank, a former board member of our sister fund, Calvert World Values Fund, and a key part of our visioning sessions. He recently won the Nobel Peace Prize--the first banker to ever do so--for his work in microcredit. More information on his remarkable achievement is available at www.Calvert.com. As I write this, I am in Beijing with Professor Yunus. He sends the whole Calvert Community his blessings and says this is a shared honor.
As the award committee noted, we cannot have peace unless there is economic justice and opportunity for those less fortunate. We congratulate and thank him for his many years of contribution to Calvert.
Sincerely,
D. Wayne Silby
Chairman (Non-Executive)
Calvert Social Investment Fund
October 2006
1. As of September 30, 2006, Calvert Social Investment Foundation represented the following percentages of Fund net assets: Calvert Social Investment Fund (CSIF) Balanced, 0.82%; CSIF Bond, 0.44 %; and CSIF Equity, 0.57%. All holdings are subject to change without notice. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization.
2. On September 30, 2006, Rose Smart Growth Fund represented 0.17% of the Calvert Social Investment Fund Balanced Portfolio.
3. On September 30, 2006, Global Resource Options represented 0.06% of the Calvert Social Investment Fund Equity Portfolio.
Dear Shareholders:
Over the 12 months ended September 30, 2006, the U.S. economy and financial markets have moved solidly ahead while facing shifting pressures from fluctuating energy prices and interest rates, the ongoing war in Iraq, and a change in Federal Reserve leadership and policies.
During the reporting period, we've also begun to see some encouraging shifts in the areas of U.S. stock market leadership as investors move from pursuing more speculative, short-term trends toward higher-quality, more fundamentally oriented investing. Many of our portfolio managers and Funds have faced significant headwinds over the last several years as certain management styles (e.g., value and small-cap) and market sectors (e.g., energy and industrials) have dominated market performance. We know you may have concerns about the performance of your Calvert Funds, and we want you to know we share your concerns and would like to address them.
A Look at Market Headwinds
Cyclical "headwinds" are a part of any investment process as economic and market trends change, and styles go in and out of favor. As long-term investors, we know that performance leadership of different styles rotates. And at Calvert, we strive to provide you with a broad array of investment options, managed by experienced money managers, so you can diversify your portfolio to weather market ups and downs. While we remain fully confident in our sub-advisors and investment process that combines rigorous financial analysis with analysis of a company's corporate responsibility practices, we are nonetheless challenged by certain sector and cyclical issues in the marketplace.
Specifically, many of Calvert's portfolio managers employ disciplines that screen for stocks that exhibit strong fundamentals--such as steady earnings growth, high returns on equity or low debt--and that are fairly priced. For many of our Funds, this fundamental financial analysis, coupled with our social screening process, leads to a bias toward more growth-oriented companies, many of which are in areas like healthcare, information technology, and the consumer discretionary sectors--areas that until recently have been underperforming.
With signs of a slowing economy and the recent outperformance of higher-quality companies with solid, long-term fundamentals, we believe a readjustment in the financial markets is underway that should benefit Calvert investors. In time, the cyclical headwinds should blow more strongly in our direction, favoring the high-quality companies with strong fundamentals and long-term growth potential that our Fund managers favor and portfolios emphasize.
Former Calvert Board Member Awarded 2006 Nobel Peace Prize
Recently, Dr. Muhammad Yunus and Grameen Bank were jointly awarded the 2006 Nobel Peace Prize for their pioneering work in microfinance. An original board member of Calvert World Values Fund, Dr. Yunus founded the Grameen Bank in 1976 to provide poor people with access to small loans that empower them to start or expand their own businesses. This award is especially significant in that it makes explicit and acknowledges the direct link between financial self-sufficiency and peace. Calvert is proud of our 10-year association with Dr. Yunus and of the role that our firm and shareholders have played in supporting Dr. Yunus's Nobel Prize-winning work in microfinance.
Advancing Regulatory Oversight
On the regulatory front, we continue to strengthen compliance operations with regard to codes of ethics, compliance programs, and SEC and NASD disclosure requirements. Our Chief Compliance Officer for Calvert Funds, Karen Becker, a Calvert veteran of 20 years, has oversight of and administers all Fund policies and procedures which have been designed with the highest level of integrity.
30 Acts of Caring
For our 30th anniversary, Calvert staff decided to honor the founding spirit of the company with 30 separate acts of caring. From book and clothing drives to refurbishing homes with Habitat for Humanity-- to working in soup kitchens, volunteering at elder daycare centers, and raising money to grant the wishes of ill children for the Make A Wish Foundation--Calvert employees are participating fully in this celebration of community service.
A Long-Term, Disciplined Outlook
Looking ahead, we believe our disciplined, research-driven investment process will lead to rewarding long-term performance for Calvert investors. We encourage you to work with a financial professional to maintain a strategic investment plan and diversified portfolio. Your advisor can provide important insights into investment markets and personal financial planning, particularly in challenging markets.
As Calvert celebrates its 30th anniversary year, I'd like to thank you for your continued confidence in our investment products. Calvert continues to strive toward its dual goals of favorable investment results and a positive impact on corporate responsibility and we look forward to serving you in the year ahead.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2006
Portfolio Management Discussion
James B. O'Boyle
Portfolio Manager
Thomas A. Dailey
Portfolio Manager
of Calvert Asset Management Company
Performance
For the twelve months ended September 30, 2006, the Calvert Social Investment Fund Money Market Portfolio returned 3.97%, versus, the Lipper Money Market Funds Average, which returned 3.83% for the same period.
Investment Climate
During the 12-month reporting period, the Federal Reserve (Fed) increased the target Fed funds rate 0.25% at the first six of its eight scheduled meetings, pushing the rate to 5.25% before moving to the sidelines in August. Short-term rates, including those of the three-month Treasury bill, rose in response to these hikes.1 Long-term interest rates increased slightly, with the benchmark 10-year Treasury yield rising 0.29% to 4.63%.
The U.S. economy grew at a 3.3% pace during the first nine months of the reporting period, as measured by gross domestic product (GDP), which is in line with the long-term U.S. average.2 On average, 148,000 new jobs were created each month, while the unemployment rate remained a low 4.6%. Inflation became an issue during the year, however. The headline consumer price index (CPI) increased 3.8% over the 12-month reporting period and the core CPI, which excludes volatile food and energy prices, rose 2.8%.3 In May, rising headline and core inflation led the Fed to tilt its monetary policy bias toward addressing the risk of inflation, potentially leaving the door open for more rate increases.
Strategy
During the past 12 months, we continued to purchase variable-rate securities, which reset quickly when the Federal Reserve (Fed) raises its target Fed funds rate. In doing so, we positioned the Portfolio to take advantage of what we anticipated would be further rate increases by the Fed. And, as market rates rose in response to subsequent increases, the Portfolio benefited from its allocation to variable-rate securities.
We also purchased one-year Agency securities during the reporting period to extend the Portfolio's average maturity to near that of its peers, since we believed the Fed was nearing the end of its rate increases. According to iMoneynet, as of September 26, 2006, the average taxable money market fund had an average-days-to-maturity of 46 days, while the Portfolio's was 34 days.
Outlook
Fed rate hikes have moved the target Fed funds rate into a historically neutral range--neither overly accommodative nor restrictive--but the level of core inflation remains uncomfortably high. However, the quickening pace of inflation has finally slowed over the last few months, offering hope that the level will soon drop into the Fed's comfort zone and eliminate the need for further hikes in the target rate.
We expect U.S. economic growth to be slower than average in coming quarters, but do not expect a recession or any change in the target Fed funds rate. The sharp drop in energy prices that started in the late summer should cushion weaker consumer spending, but a material slowdown in the housing sector could threaten consumption. We are also watching the actions of central banks around the globe, many of which started tightening their monetary policies during the reporting period, pushing interest rates up worldwide. While we expect interest-rate hikes overseas to be very gradual, the U.S. must rely on
foreign investment in U.S. securities to help offset our broad deficit, so domestic interest rates must stay competitive with those overseas to continue attracting investors from abroad.
October 2006
1. The three-month Treasury bill yield rose 1.33%, to 4.88%.
2. The third quarter 2006 GDP was not released at the time of this writing. Average annualized growth rate of real GDP over the last 50 years was 3.3%. Data source: Commerce Department.
3. CPI data available through August 2006.
Money Market Portfolio Statistics
September 30, 2006
Investment Performance
| 6 Months | 12 Months |
|
| ended | ended |
|
| 9/30/06 | 9/30/06 |
|
Money Market Portfolio | 2.18% | 3.97% |
|
Lipper Money Market Funds Avg. | 2.13% | 3.83% |
|
|
|
|
|
Maturity Schedule |
|
|
|
|
|
|
|
Weighted Average |
|
|
|
9/30/06 | 9/30/05 |
|
|
37 days | 31 days |
|
|
|
|
|
|
|
|
|
|
Average Annual Total Returns |
|
|
|
|
|
|
|
One year | 3.97% |
|
|
Five year | 1.69% |
|
|
Ten year | 3.29% |
|
|
|
|
|
|
|
|
|
|
7-Day Simple/Effective Yield |
|
|
|
|
|
|
|
7-day simple yield | 4.67% |
|
|
7-day effective yield | 4.78% |
|
|
|
|
|
|
| % of Total |
|
|
Investment Allocation | Investments |
|
|
Taxable Variable Rate Demand Notes | 81.0% |
|
|
U.S. Government Agencies and Instrumentalities | 17.7% |
|
|
Loans and Deposit Receipts Guaranteed by U.S. Government Agencies | 0.9% |
|
|
Certificates of Deposit | 0.4% |
|
|
Total | 100% |
|
|
Total return assumes reinvestment of dividends. 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. Past performance is no guarantee of future results.
Portfolio Management Discussion
Steve Falci, Chief Investment Officer, Equities
of Calvert Asset Management Company
Performance
For the year ended September 30, 2006, Calvert Social Investment Fund Balanced Portfolio's Class A shares (at NAV*) returned 5.94%. The Russell 1000® Index was up 10.25% for the period, and the Lehman U.S. Credit Index, 3.39%. 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 return of 7.51%. Underperformance from the Fund's stock portfolio accounted for the overall underperformance against this blend of benchmarks.
Investment Climate
Last year, we expressed hope that the rest of the stock market would rally once crude oil prices retreated from their (then) historic highs. During the first six months of the period, crude oil prices rose and the stock market as a whole performed quite well. However, these price increases did not translate into benefits for the overall energy sector--as the Energy sector of the Russell 1000 Index lost value during this period. Instead, the Materials, Industrials, Financials and Telecommunications sectors led the market. The second quarter of 2006 saw modest losses in U.S. equity markets, largely due to the poor performance of the Information Technology sector, and Energy reclaimed the top spot when crude oil prices jumped from $65 to $75 per barrel. Finally, crude oil prices peaked near $80 per barrel in July, then fell sharply to close out the period near $60 per barrel. The U.S. stock market responded with a rally and diversified sector leadership once again.
The ups and downs of the past year were not all attributable to the fluctuations of energy prices. The Telecommunications sector posted strong returns, driven by mergers among the leading landline and wireless-service providers. Financials also performed well, despite continued short-term interest-rate hikes throughout the period.
During the reporting period, the Federal Reserve (Fed) increased the target Fed funds rate 0.25% at the first six of its eight scheduled meetings, pushing the rate to 5.25% before moving to the sidelines in August. Short-term rates, including those of the three-month Treasury bill, rose in response to these hikes.1 Long-term interest rates increased slightly, with the benchmark 10-year Treasury yield rising 0.29% to 4.63%.
Portfolio Strategy
Equity
Using Calvert's Double Diligence® process, the Fund's equity portfolio seeks attractive potential investments in well-managed firms by examining companies both financially and in terms of corporate responsibility.
Our strategy is designed to provide a U.S.-core, large-cap portfolio that utilizes managers' expertise in active fundamental and quantitative investment processes. Each of our managers focuses on adding value through careful, disciplined stock selection processes. The Fund's sector weights are generally close to those of the benchmark, subject to the effects of the social screens.
The stock portfolio's underperformance was primarily due to holdings in the Consumer Discretionary and Information Technology sectors. The Fund's underweighting to Energy overall helped performance during the period, but an underweight to Industrials and overweight to Information Technology hurt. Telecommunications posted the strongest sector performance in the Russell 1000 Index for the year, and the Fund's holdings in this sector nearly doubled that return.
The drag on performance from stock selection was largely related to the slowdown in home sales. This impacted the portfolio directly, with declines for home builders NVR and Pulte Homes, and indirectly, with the weak performance of Home Depot and Lowes. Several large-cap Technology names, most notably Dell and Intel, also underperformed during the period.
The Fund enjoyed a substantial benefit from performance of stocks in the Telecommunications sector. There, AT&T and BellSouth paced performance, after the announcement of a merger to be completed in early 2007.
Fixed income
The fixed-income portfolio uses Calvert's FourSight® 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 portfolio posted strong returns during the reporting period, largely due to our short relative duration (4.33 years on September 30, 2006, versus 5.91 years for the benchmark Lehman US Credit Index). In response to Fed rate hikes, interest rates rose disproportionately across the maturity spectrum. But by the end of the 12-month period, shorter-term securities offered higher yields than longer-term bonds, producing an inverted yield curve.
Earlier in the reporting period, the fixed income portfolio was positioned for a narrowing of the difference in interest rates between short- and longer-term securities. The difference in yields did in fact compress, creating an inverted yield curve (where interest rates for shorter-term securities are higher than those for longer-term bonds), and was a positive factor for performance.
Finally, our higher-credit-quality bias also benefited returns. In particular, the fixed-income portfolio had a 53% allocation to AAA-rated bonds as of September 30, 2006, and these securities outperformed AA, A, and BBB-rated bonds during the 12-month period. High-yield bonds also had a strong year as investors stretched for yield, and a 6% weighting to below-investment-grade issues also helped the Fund.2
Outlook
Fed rate hikes have moved the target Fed funds rate into a historically neutral range--neither overly accommodative nor restrictive--but the level of core inflation remains uncomfortably high. However, the quickening pace of inflation has finally slowed over the last few months, offering hope that the level will soon drop into the Fed's comfort zone and eliminate the need for further hikes in the target Fed funds rate.
Stock and bond prices appear to be accounting for the good news of an end to this round of rate hikes. Softness in the market for residential real estate may keep economic growth in check, and a rebound in fuel and energy prices would not be welcome news for growth or inflation concerns.
Although we are cautious about the short-term, we have begun to see some encouraging shifts in stock market leadership--especially recent signs that small-cap stocks may be losing their edge over large-cap stocks. Looking ahead, we believe that our disciplined investment processes for both bonds and equities should reward long-term investors in this Portfolio.
October 2006
1. The three-month Treasury bill yield rose 1.33%, to 4.88%.
2. The Lehman U.S. High Yield Index returned 8.07% for the period.
As of September 30, 2006, the following companies represented the following percentages of Fund net assets: NVR 0.0%, Pulte Homes 0.42%, Home Depot 0.78%, Lowes 0.001%, Dell 0.31%, Intel 0.40%, AT&T 0.99%, and BellSouth 0.53%. Portfolio holdings are subject to change without notice.
Balanced Portfolio Statistics
September 30, 2006
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
|
| ended | ended |
|
| 9/30/06 | 9/30/06 |
|
Class A | 2.32% | 5.94% |
|
Class B | 1.80% | 4.90% |
|
Class C | 1.69% | 4.87% |
|
Class I | 2.50% | 6.43% |
|
Lehman U.S. Credit Index** | 4.10% | 3.39% |
|
Russell 1000 Index** | 3.31% | 10.25% |
|
Lipper Mixed-Asset Target Allocation Growth Funds Avg** | 2.36% | 7.96% |
|
Ten Largest Long-Term Holdings |
|
| % of Net Assets |
Bank of America Corp. | 1.7% |
Procter & Gamble Co. | 1.5% |
Cisco Systems, Inc. | 1.3% |
Goldman Sachs Group, Inc. | 1.3% |
Pfizer, Inc. | 1.2% |
JPMorgan Chase & Co. | 1.1% |
International Business Machines Corp. | 1.1% |
EOG Resources, Inc. | 1.0% |
Amgen, Inc. | 1.0% |
Microsoft Corp. | 1.0% |
Total | 12.2% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Share return at NAV does not reflect deduction of the Portfolio's maximum front-end sales charge of 4.75%
** Source: Lipper Analytical Services, Inc.
Balanced Portfolio Statistics
September 30, 2006
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 0.91% |
Five year | 4.46% |
Ten year | 5.18% |
| Class B Shares |
One year | (0.10%) |
Five year | 4.07% |
Since inception | 1.96% |
(3/31/98) |
|
| Class C Shares |
One year | 3.83% |
Five year | 4.42% |
Ten year | 4.61% |
Balanced Portfolio Statistics
September 30, 2006
Average Annual Total Returns
| Class I Shares** |
One year | 6.43% |
Five year | 5.86% |
Since inception | 2.98% |
(2/26/99) |
|
|
|
|
|
Asset Allocation | % of Total Investments |
Equity Investments | 61% |
Bonds | 35% |
Cash & Cash Equivalents | 4% |
| 100% |
Performance Comparison
Comparison of change in value of $10,000 investment.
** 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 sales charge of 4.75%, or deferred sales charge, as applicable. 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
of Calvert Asset Management Company
Investment Performance
Calvert Social Investment Fund Bond Portfolio Class A shares at NAV* produced a total return of 3.82% for the 12-month reporting period ended September 30, 2006. The benchmark Lehman US Credit Index returned 3.39% for the same period.
Investment Climate
During the 12-month reporting period, the Federal Reserve (Fed) increased the target Fed funds rate 0.25% at the first six of its eight scheduled meetings, pushing the rate to 5.25% before moving to the sidelines in August. Short-term rates, including those of the three-month Treasury bill, rose in response to these hikes.1 Long-term interest rates increased slightly, with the benchmark 10-year Treasury yield rising 0.29% to 4.63%.
The U.S. economy grew at a 3.3% pace during the first nine months of the reporting period, as measured by gross domestic product (GDP), which is in line with the long-term U.S. average.2 On average, 148,000 new jobs were created each month, while the unemployment rate remained a low 4.6%. Inflation became an issue during the year, however. The headline consumer price index (CPI) increased 3.8% over the 12-month reporting period and the core CPI, which excludes volatile food and energy prices, rose 2.8%.3 Rising headline and core inflation led the Fed to tilt its monetary policy bias toward addressing the risk of inflation, potentially leaving the door open for more rate increases. However, the Fed left rates unchanged at its August and September meetings.
Portfolio Strategy
Our strategy reflects Calvert's FourSight® 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 posted strong returns during the reporting period, largely due to our short relative duration (4.33 years on September 30, 2006, versus 5.91 years for the benchmark Lehman US Credit Index). In response to Fed rate hikes, interest rates rose across the maturity spectrum. But by the end of the 12-month period, shorter-term securities (those maturing in 1 year or less) offered higher yields than longer-term bonds (maturing in 10 years or more), producing an inverted yield curve. A key factor in the Fund's shorter duration--and relative outperformance--was a significant allocation (39% as of September 30, 2006) to floating-rate notes (which are not held by the benchmark) and short maturities (under one year duration). Floating- or adjustable-rate securities are characterized as having coupons (interest rates) that reset periodically (weekly or monthly, for example) and so can provide a benefit to a portfolio when increases occur in short-term rates, such as the Fed funds rate.
Earlier in the reporting period, the Portfolio was positioned for a narrowing of the difference in interest rates between short- and longer-term securities. The difference in yields did in fact compress, creating an inverted yield curve (where interest rates for shorter-term securities are higher than those for longer-term bonds), and was a positive factor for Portfolio performance.
Finally, the Portfolio's higher-credit-quality bias also benefited returns. In particular, the Fund had a 57% allocation to AAA-rated bonds as of September 30, 2006, and these securities outperformed AA, A, and BBB-rated bonds during the 12-month period. High-yield bonds also had a strong year as investors stretched for yield, and a 5% weighting to below-investment-grade issues also helped the Fund.4
Outlook
Fed rate hikes have moved the target Fed funds rate into a historically neutral range--neither overly accommodative nor restrictive--but the level of core inflation remains uncomfortably high. However, the quickening pace of inflation has finally slowed over the last few months, offering hope that the level will soon drop into the Fed's comfort zone and eliminate the need for further hikes in the target rate.
We expect U.S. economic growth to be slower than average in coming quarters, but do not expect a recession or any change in the Fed funds target rate. The sharp drop in energy prices that started in the late summer should cushion weaker consumer spending, but a material slowdown in the housing sector could threaten consumption. We are also watching the actions of central banks around the globe, many of which started tightening their monetary policies during the reporting period, pushing interest rates up worldwide. While we expect interest-rate hikes overseas to be very gradual, the U.S. must rely on foreign investment in U.S. securities to help offset our broad deficit, so domestic interest rates must stay competitive with those overseas to continue attracting investors from abroad.
October 2006
1. The three-month Treasury bill yield rose 1.33%, to 4.88%.
2. The third quarter 2006 GDP was not released at the time of this writing. Average annualized growth rate of real GDP over the last 50 years was 3.3%. Data source: Commerce Department.
3. CPI data available through August 2006.
4. The Lehman U.S. High Yield Index returned 8.07% for the period.
Bond Portfolio Statistics
September 30, 2006
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/06 | 9/30/06 |
Class A | 3.52% | 3.82% |
Class B | 3.06% | 2.89% |
Class C | 3.09% | 3.01% |
Class I | 3.85% | 4.48% |
Lehman U.S. Credit Index** | 4.10% | 3.39% |
Lipper Corporate Debt Funds A Rated Avg** | 3.33% | 3.03% |
|
|
|
|
|
|
Maturity Schedule |
|
|
| Weighted Average | |
| 9/30/06 | 9/30/05 |
| 10 years | 11 years |
|
|
|
SEC Yields |
|
|
| 30 days ended | |
| 9/30/06 | 9/30/05 |
Class A | 4.27% | 3.32% |
Class B | 3.48% | 2.49% |
Class C | 3.58% | 2.56% |
Class I | 5.01% | 4.01% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Share return at NAV does not reflect deduction of the Portfolio's maximum front-end sales charge of 3.75%.
** Source: Lipper Analytical Services, Inc.
Bond Portfolio
Statistics
September 30, 2006
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | (0.07%) |
Five year | 4.83% |
Ten year | 6.24% |
|
|
| Class B Shares |
One year | (1.11%) |
Five year | 4.68% |
Since inception | 5.07% |
(3/31/98) |
|
|
|
| Class C Shares |
One year | 1.95% |
Five year | 4.70% |
Since inception | 4.93% |
Bond Portfolio Statistics
September 30, 2006
Average Annual Total Returns
| Class I Shares |
One year | 4.48% |
Five year | 6.25% |
Since inception | 7.38% |
(3/31/00) |
|
Bond Portfolio
Statistics
September 30, 2006
Economic Sectors | % of Total Investments |
Asset Backed Securities | 12.0% |
Banks | 13.2% |
Brokerages | 2.2% |
Energy | 0.1% |
Financial Services | 7.7% |
Industrial | 7.1% |
Industrial - Finance | 0.7% |
Insurance | 1.6% |
Mortgage Backed Securities | 3.2% |
Municipal Obligations | 29.1% |
Real Estate Investment Trusts | 5.3% |
Special Purpose | 2.8% |
Telecommunication Services | 0.1% |
Transportation | 0.8% |
U.S. Government Agency Obligations | 12.6% |
Utilities | 1.5% |
Total | 100.0% |
Performance Comparison
Comparison of change in value of $10,000 investment.
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% or deferred sales charge, as applicable. 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.
Portfolio Management Discussion
Dan Boone
of Atlanta Capital Management Company
Performance
For the 12-month reporting period ended September 30, 2006, Calvert Social Investment Fund Equity Class A shares (at NAV*) returned 6.74%. The Portfolio's benchmark, the S&P 500 Index, returned 10.78% for the period. Sector and stock selection contributed equally to the Portfolio's underperformance relative to the S&P 500.
Investment Climate
The economy continued to positively surprise over the past 12 months. Quarterly gross domestic product (GDP) numbers were volatile, reflecting the impact of the hurricanes last fall. Real GDP growth was below 2% in the fourth quarter of 2005, above 5% in the first quarter of 2006, below 2% in the second quarter, and we estimate about 3% in the third quarter. Although consumers were hit by rising energy and interest costs, strong job growth led to solid growth in consumer spending.1 Corporate profits continued to grow more than 14% for the period.
After increasing the target Fed funds rate 17 times since June 2004, to 5.25%, the Federal Reserve did not raise rates at the last two meetings. Crude oil prices reached new peaks of $77 per barrel in the early summer but dropped back to around $60 by September's end. Natural gas prices have sunk 60% since last December, as the warm winter led to near term oversupply and a shortage of storage. Inflation measures were generally rising, but there were signs of moderation at the end of the period. Declines in sales of new and existing homes became widespread, and median housing prices went from double-digit increases to a small year-over-year decline in August.
After three years of underperformance, May 2006 marked a turnaround in the performance of high-quality stocks.2 Overall, high-quality stocks within the S&P 500 Index outperformed low-quality stocks by about 1.6% for the year. Within the S&P 500/Citigroup Growth Index, high-quality stocks outperformed low quality by about 2.2% and returned 7.68%. However, large capitalization growth stocks, as measured by the S&P 500/Citigroup Growth Index, increased only 6.40%, significantly lagging the S&P 500/Citigroup Value Index, which powered ahead 15.46%. This is the sixth year in which growth stocks have trailed value stocks. We began to see a turn in the cycle late in the year, as investors realized that growth in the economy (and thus profits) is likely to slow significantly in the quarters ahead and they sought out high-quality companies with greater long-term growth prospects.
Portfolio Strategy
Reflecting the strong economy, sectors that performed well over the twelve months were Materials, Industrials, and Financials. Telecommunications was the best performing sector due to merger activity and less pricing pressure. Financials was helped by record low provisions of bad debt and soaring financial market-related profits. Information Technology was the weakest sector--reflecting super competitive conditions in several large sub-markets--followed by Energy, Utilities, and Health Care. Our sector strategy detracted 1.2% from performance, relative to the S&P 500 Index, due to our overweighting to Information Technology and Health Care and underweighting to Telecommunications and Financials. Our underweighting to the Energy and Utilities sectors contributed positively. We are staying with our sector positioning, as we believe we were early in our timing. We have reduced our weighting in the Industrials, Materials, and Consumer Discretionary sectors in favor of the Consumer Staples and Information Technology sectors. We are positioned for the mid-cycle slowdown in the economy and profits, which appears to be occurring now.
Stock selection was mixed and was hurt by our emphasis on large-cap growth stocks. Our picks lagged the S&P 500 Index by 1.4%. While there were 15 stocks that gained more than 20% for the year, there were also 11 which declined by 10% or more. Ironically, picks in Information Technology and Health Care dominated both the top and the bottom lists. Information Technology winners such as Cognizant, Molex, Cisco and Motorola were offset by big disappointments in Dell, Intel, Lexmark, and Linear Technology. In Health Care, 30% plus gains in Express Scripts, Varian Medical and Forest Labs were offset by poorly performing Medtronic, Amgen, Health Management and Omnicare. A previous big winner in Industrials, Pentair, pulled the Portfolio's stock selection for that sector into negative territory. Stock selection was good in the Consumer Staples, Consumer Discretionary, and Materials sectors.
Outlook
The market is caught in a conflict between the positives of low valuations, declining energy prices, and the anticipated end of rising interest rates and the negative prospects of a slowing economy, sharp housing decline, still-high inflation numbers, and slowing profit growth. So far, the positives dominate. We are cautious in the near term as we believe the market is premature in celebrating a potential decline in interest rates and is not anticipating a likely negative credit cycle (where defaults and delinquencies increase, possibly in excess of loan loss reserves, accompanied by lower growth in loan underwriting) and sharp slowing in profit growth. However, we are encouraged for the intermediate term that the housing bubble is slowly being deflated, energy prices are in decline, and valuations are reasonable, especially for our type of stocks--large-cap, high-quality growth companies.
Although we are cautious about the market in the short-term, we are very enthusiastic about prospects for the Portfolio. Corporate profit margins are at historically high levels which may not be sustainable going forward. We have chosen companies that we believe will have double-digit rates of earnings growth despite a weaker economic environment. Thus, we believe we are positioned well for both offense and defense. We have seldom seen as great an opportunity as we have today to purchase high-quality growth companies at such low historical valuations. We believe our portfolio should stand out in the uncertain environment we foresee.
October 2006
1. Standard & Poor's defines ranking of A as high quality and A+ as highest quality. Atlanta Capital considers the "high-quality universe" to include any rankings of B+ or better. Any ranking of B or lower is low quality. Source of Fund sector performance vis a vis that of Index: Vestek.
2. Sources: Bureau of Labor Statistics, "Non-farm Payrolls and Household Survey of the Employment Situation," Bureau of Economic Analysis, "Personal Income and Outlays."
As of September 30, 2006, the following companies represented the following percentages of Portfolio net assets: Cognizant 1.86%, Molex 1.93%, Cisco 4.14%, Motorola 2.64%, Dell 0.00%, Intel 0.00%, Lexmark 0.00%, Linear Technology 0.73%, Express Scripts 0.00%, Varian Medical 1.88%, Forest Labs 1.78%, Medtronic 3.09%, Amgen 3.08%, Health Management 0.00%, Omnicare 0.00%, and Pentair 1.02%.
Equity Portfolio Statistics
September 30, 2006
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/06 | 9/30/06 |
Class A | 1.36% | 6.74% |
Class B | 0.95% | 5.85% |
Class C | 1.01% | 5.93% |
Class I | 1.64% | 7.30% |
S&P 500 Index** | 4.14% | 10.78% |
Lipper Multi-Cap Core Funds Avg** | 0.76% | 8.38% |
|
|
|
Ten Largest Stock Holdings |
|
|
| % of Net Assets |
|
Cisco Systems, Inc. | 4.1% |
|
Amgen, Inc. | 3.1% |
|
Medtronic, Inc. | 3.1% |
|
Kohl's Corp. | 3.0% |
|
Procter & Gamble Co. | 2.9% |
|
Synovus Financial Corp. | 2.8% |
|
Sysco Corp. | 2.8% |
|
Colgate-Palmolive Co. | 2.7% |
|
Motorola, Inc. | 2.6% |
|
American Express Co. | 2.6% |
|
Total | 29.7% |
|
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Share return at NAV does not reflect deduction of the Portfolio's maximum front-end sales charge 4.75%.
** Source: Lipper Analytical Services, Inc.
Equity Portfolio Statistics
September 30, 2006
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 1.65% |
Five year | 5.95% |
Ten year | 8.46% |
|
|
| Class B Shares |
One year | 0.85% |
Five year | 5.75% |
Since inception | 5.24% |
(3/31/98) |
|
|
|
| Class C Shares |
One year | 4.93% |
Five year | 6.14% |
Ten Year | 8.04% |
Equity Portfolio Statistics
September 30, 2006
Average Annual Total Returns
| Class I Shares |
One year | 7.30% |
Five year | 7.56% |
Since inception | 6.72% |
(11/1/99) |
|
Performance Comparison
Comparison of change in value of $10,000 investment.
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% or deferred sales charge, as applicable. 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
| % of Total |
Economic Sectors | Investments |
Consumer Discretionary | 9.9% |
Consumer Staples | 12.0% |
Energy | 3.6% |
Financials | 15.6% |
Health Care | 17.6% |
Industrials | 10.7% |
Information Technology | 22.1% |
Materials | 3.7% |
U.S. Government Agency |
|
Obligations | 2.2% |
Utilities | 1.8% |
Venture Capital | 0.8% |
Total | 100% |
Portfolio Management Discussion
Ric Thomas
of SSgA Funds Management
Performance
Calvert Social Investment Fund (CSIF) Enhanced Equity Portfolio Class A shares (at NAV*) returned 8.79% for the 12-month period ending September 30, 2006. The benchmark Russell 1000® Index returned 10.25% for the same period. The value and quality components of our process helped performance during the period, while our consideration of momentum factors hurt relative performance.
Investment Climate
Strong U.S. equity performance over the past twelve months was bolstered by both the continued strength of corporate profits and overall economic growth. In 2006, stocks saw the strongest start for the market since 1999, with the Russell 1000 gaining 4.49% in the first quarter. But the equity market suffered a mid-year retreat in response to concerns over inflation and a slowing economy.
The Fed's August pause to its two-year-plus campaign of interest rate increases sparked a rally in stock returns. And burgeoning crude oil inventories, combined with a lack of severe weather, caused a sharp drop in energy prices, easing inflation fears in September. Natural gas prices fell as well.
As investors narrowed their focus to large companies that could best withstand economic uncertainty and a potential rise in volatility, smaller stocks began to lose their edge. The Russell 2000® Index, a broad measure of small-cap stock performance, gained only 0.44% in the third quarter of 2006 versus 5.06% for the Russell 1000 Index and its year-to-date return of 8.69% as of September 30, 2006 was just slightly higher than Russell 1000 Index's return of 7.95% for the same period.
Portfolio Strategy
Using Calvert's Double DiligenceTM process, the Portfolio seeks attractive potential investments in well-managed firms by examining companies both financially and in terms of corporate responsibility.
Sector/Industry
Our sector allocation detracted from performance during the year. In particular, an overweight to Information Technology disappointed, as the sector was the second-worst performer--gaining only 4.23% in the Russell 1000 over the 12-month period. An underweight to strong-performing Industrials also hurt, as the sector returned 12.78% in the benchmark. The Portfolio's underweight position to Energy helped at the sector level as oil and natural gas prices fell from historic highs.
Individual Securities
Our overall disciplined, quantitative investment process--which uses proprietary growth, value, and market sentiment criteria to identify stocks in the Russell 1000 Index with the highest performance potential--was flat in its stock selection during the period. The value and quality components of the process (where we look for companies capable of funding growth internally by generating positive cash flow, and evaluate that cash flow relative to the firm's share price) performed strongly. In contrast, the parts of the selection process based on earnings growth and momentum lagged as investors moved assets from the previously high-flying Energy sector into more traditional growth sectors such as Information Technology and Telecomm Services.
Stock selection was strongest within the Financial and Industrial sectors. Among Financials, the Portfolio gained the most from positions in large commercial and investment banks such as Bank of America and JP Morgan, which returned 33% and 43%, respectively. Both companies profited from strong revenues and continued commercial loan growth. Goldman Sachs returned 40% during the period due to strong revenues from proprietary trading and investment banking.
The Industrials sector was led by positions in Continental Airlines and Terex Corp, up 193% and 83%, respectively for the period the Portfolio held these stocks. Continental has benefited from decreased competition to its hub cities, and the recent decline in fuel prices should help margins going forward. Terex completed a full audit of its corporate accounting and released earnings numbers that exceeded expectations. The Portfolio also benefited from a position in global engine manufacturer Cummins Inc., which rose 37% during the reporting period.
The Portfolio tends to have a natural overweight in larger-cap technology stocks, in large part because our social and corporate governance criteria eliminate many large-cap Financial and Energy companies. As a result, the Portfolio suffered with large positions in Dell and Intel, which declined 33% and 15%, respectively. Dell continues to lose market share to Hewlett Packard and Intel faces increased competition from AMD. However, a strong position in Cisco, which increased 28% during the period as the company made a significant push into the voice-over-internet and cable internet markets, helped performance.
Enhancements to our Portfolio Strategy
During the year, we spent a lot of time working with Calvert on ways to improve the performance of the investment strategy and the effectiveness of our stock selection models and risk controls. Over the past year, we have decided to allow greater variation in the Portfolio's average market capitalization, while maintaining our commitment to closely track our benchmark, so that we can improve the opportunity for outperformance. We have also modified and improved individual stock selection models based on our proprietary research into the changing nature of markets.
Outlook
We expect equity returns to be positive for the remainder of 2006 and that profit growth will remain strong. We believe that higher profits will likely lead to improved valuations, keeping US equities attractively priced relative to other asset classes. We also expect the Fed to hold interest rates at their current level.
Given the outlook, and the recent refinement and added capabilities of our investment process, we believe the Portfolio is well positioned to provide ongoing competitive returns.
October 2006
As of September 30, 2006, the following companies represented the following percentages of Portfolio net assets: Bank of America 3.16%, J.P. Morgan 2.50%, Goldman Sachs 1.99%, Continental Airlines 0.19%, Terex 0.80%, Cummins 1.10%, Dell 0.65%, Intel 0.85%, Hewlett Packard 0.11%, AMD 0.00%, Cisco 0.20%. All holdings are subject to change without notice.
Enhanced Equity
Portfolio Statistics
September 30, 2006
Investment Performance
(total return at NAV)
| 6 Months | 12 Months |
| ended | ended |
| 9/30/06 | 9/30/06 |
Class A | 2.60% | 8.79% |
Class B | 2.13% | 7.78% |
Class C | 2.12% | 7.75% |
Class I | 2.75% | 9.19% |
Russell 1000 Index** | 3.31% | 10.25% |
Lipper Large-Cap Core Funds Avg.** | 2.33% | 8.73% |
|
|
|
|
|
|
Ten Largest Stock Holdings |
|
|
| % of Net Assets |
|
Bank of America Corp. | 3.2% |
|
Pfizer, Inc. | 2.5% |
|
JPMorgan Chase & Co. | 2.5% |
|
Procter & Gamble Co. | 2.4% |
|
AT&T, Inc. | 2.4% |
|
International Business Machines Corp. | 2.4% |
|
Microsoft Corp. | 2.1% |
|
Amgen, Inc. | 2.1% |
|
Goldman Sachs Group, Inc. | 2.0% |
|
Cisco Systems, Inc. | 1.9% |
|
Total | 23.5% |
|
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Share return at NAV does not reflect deduction of the Portfolio's maximum front-end sales charge of 4.75%.
** Source: Lipper Analytical Services, Inc.
Enhanced Equity
Portfolio Statistics
September 30, 2006
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 3.91% |
Five year | 5.92% |
Since inception | 3.29% |
(4/15/98) |
|
|
|
| Class B Shares |
One year | 3.15% |
Five year | 5.56% |
Since inception | 2.79% |
(4/15/98) |
|
|
|
| Class C Shares |
One year | 7.12% |
Five year | 5.89% |
Since inception | 3.30% |
(6/1/98) |
|
Enhanced Equity
Portfolio Statistics
September 30, 2006
Average Annual Total Returns
| Class I Shares** |
One year | 9.19% |
Five year | 7.06% |
Since inception | 4.13% |
(4/15/98) |
|
Performance Comparison
Comparison of change in value of $10,000 investment.
** 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 sales charge of 4.75%, or deferred sales charge as applicable. 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, 2006
| % of Total |
Economic Sectors | Investments |
Consumer Discretionary | 12.4% |
Consumer Staples | 6.2% |
Energy | 6.3% |
Financials | 24.6% |
Health Care | 14.0% |
Industrials | 8.8% |
Information Technology | 17.8% |
Materials | 0.7% |
Telecommunication Services | 2.8% |
U.S. Government Agency Obligations | 1.6% |
Utilities | 4.8% |
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, 2006 to September 30, 2006).
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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Actual | $1,000.00 | $1,021.80 | $4.19 |
Hypothetical | $1,000.00 | $1,020.93 | $4.19 |
(5% return per year before expenses) |
|
|
|
*Expenses for Money Market are equal to the annualized expense ratio of 0.83%, 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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Class A |
|
|
|
Actual | $1,000.00 | $1,023.20 | $5.88 |
Hypothetical | $1,000.00 | $1,019.25 | $5.87 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,018.00 | $10.75 |
Hypothetical | $1,000.00 | $1,014.41 | $10.73 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,016.90 | $10.49 |
Hypothetical | $1,000.00 | $1,014.66 | $10.48 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,025.00 | $3.65 |
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 1.16%, 2.13%, 2.08% 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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Class A |
|
|
|
Actual | $1,000.00 | $1,035.20 | $5.66 |
Hypothetical | $1,000.00 | $1,019.51 | $5.61 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,030.60 | $10.47 |
Hypothetical | $1,000.00 | $1,014.76 | $10.39 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,030.90 | $9.92 |
Hypothetical | $1,000.00 | $1,015.30 | $9.84 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,038.50 | $2.71 |
Hypothetical | $1,000.00 | $1,022.41 | $2.69 |
(5% return per year before expenses) |
|
|
|
*Expenses for Bond are equal to the annualized expense ratios of 1.11%, 2.06%, 1.95%, and 0.53% 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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Class A |
|
|
|
Actual | $1,000.00 | $1,013.60 | $6.08 |
Hypothetical | $1,000.00 | $1,019.03 | $6.10 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,009.50 | $10.22 |
Hypothetical | $1,000.00 | $1,014.90 | $10.25 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,010.10 | $9.86 |
Hypothetical | $1,000.00 | $1,015.26 | $9.89 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,016.40 | $3.30 |
Hypothetical | $1,000.00 | $1,021.79 | $3.31 |
(5% return per year before expenses) |
|
|
|
*Expenses for Equity are equal to the annualized expense ratios of 1.20%, 2.03%, 1.96%, and 0.65% 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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Class A |
|
|
|
Actual | $1,000.00 | $1,026.00 | $6.10 |
Hypothetical | $1,000.00 | $1,019.05 | $6.08 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,021.30 | $10.89 |
Hypothetical | $1,000.00 | $1,014.29 | $10.86 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,021.20 | $10.56 |
Hypothetical | $1,000.00 | $1,014.62 | $10.53 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,027.50 | $4.12 |
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 1.20%, 2.15%, 2.08% 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.
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, 2006, 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 five-year period 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, 2006, by correspondence with custodians and brokers. 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, 2006, the results of their operations for the year then ended, the changes in their 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 five-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Philadelphia, PA
November 20, 2006
MONEY MARKET PORTFOLIO
Statement of Net Assets
September 30, 2006
U.S. Government Agencies | Principal |
|
and Instrumentalities - 17.5% | Amount | Value |
Fannie Mae: |
|
|
5.00%, 8/24/07 | $1,000,000 | $998,103 |
5.62%, 9/4/07 | 1,000,000 | 1,000,000 |
Fannie Mae Discount Notes: |
|
|
12/29/06 | 1,000,000 | 988,924 |
1/17/07 | 753,000 | 741,321 |
2/16/07 | 1,000,000 | 981,600 |
3/30/07 | 1,000,000 | 975,250 |
4/27/07 | 2,479,000 | 2,406,956 |
6/1/07 | 2,000,000 | 1,930,556 |
Federal Home Loan Bank: |
|
|
4.20%, 10/6/06 | 1,000,000 | 1,000,000 |
4.50%, 11/3/06 | 1,000,000 | 1,000,000 |
5.30%, 1/29/07 | 1,000,000 | 1,000,000 |
5.00%, 2/9/07 | 1,000,000 | 1,000,000 |
5.35%, 2/28/07 | 1,000,000 | 1,000,000 |
5.25%, 4/13/07 | 1,000,000 | 1,000,000 |
Federal Home Loan Bank Discount Notes, 2/9/07 | 135,000 | 132,421 |
Freddie Mac: |
|
|
4.50%, 11/3/06 | 500,000 | 500,000 |
2.30%, 12/26/06 | 1,000,000 | 994,306 |
Freddie Mac Discount Notes: |
|
|
12/12/06 | 1,900,000 | 1,882,634 |
1/9/07 | 1,000,000 | 987,500 |
1/19/07 | 294,000 | 289,284 |
2/16/07 | 1,000,000 | 981,600 |
3/6/07 | 2,000,000 | 1,958,010 |
5/1/07 | 1,000,000 | 970,614 |
5/29/07 | 3,000,000 | 2,898,600 |
7/24/07 | 619,000 | 593,145 |
9/7/07 | 1,000,000 | 953,491 |
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities (Cost $29,164,315) | 29,164,315 | |
|
|
|
|
|
|
Depository Receipts For U.S. Government |
|
|
Guaranteed Loans - 0.9% |
|
|
Colson Services Corporation Loan Sets: |
|
|
7.094%, 7/26/10 (c)(h)(r) | 77,539 | 77,559 |
7.00%, 1/22/11 (c)(h)(r) | 89,149 | 89,145 |
7.25%, 3/23/12 (c)(h)(r) | 90,439 | 90,619 |
7.125%, 5/29/12 (c)(h)(r) | 269,946 | 269,943 |
7.00%, 8/10/12 (c)(h)(r) | 805,434 | 808,737 |
7.00%, 9/2/12 (c)(h)(r) | 120,577 | 120,975 |
|
|
|
Total Depository Receipts For U.S. Government Guaranteed Loans (Cost $1,456,978) | 1,456,978 | |
| Principal |
|
Certificates of Deposit - 0.4% | Amount | Value |
Bank of Cherokee County, 3.50%, 4/21/07 (k) | $100,000 | $100,000 |
Broadway Federal Bank FSB, 3.61%, 9/15/07 (k) | 100,000 | 100,000 |
Community Bank of the Bay, 4.02%, 10/7/06 (k) | 100,000 | 100,000 |
Community Capital Bank, 4.40%, 1/20/07 (k) | 100,000 | 100,000 |
Elk Horn Bank & Trust Co., 3.55%, 12/18/06 (k) | 100,000 | 100,000 |
One United Bank, 4.85%, 3/19/07 (k) | 100,000 | 100,000 |
Self Help Credit Union, 5.20%, 7/14/07 (k) | 100,000 | 100,000 |
|
|
|
|
|
|
Total Certificates of Deposit (Cost $700,000) | 700,000 | |
|
|
|
|
|
|
Taxable Variable Rate Demand Notes - 80.2% |
|
|
Akron Hardware Consultants, Inc., 5.37%, 11/1/22, |
|
|
LOC: FirstMerit Bank, C/LOC: FHLB (r) | 1,235,000 | 1,235,000 |
Berks County Pennsylvania IDA Revenue, 5.48%, 6/1/15, LOC: |
|
|
Wachovia Bank (r) | 1,460,000 | 1,460,000 |
Bochasanwasi Shree Akshar Purushottam Swaminarayan Sanstha, Inc., 5.37%, 6/1/21, LOC: Comercia Bank (r) | 5,300,000 | 5,300,000 |
California Statewide Communities Development Authority MFH Revenue: |
|
|
5.43%, 7/1/27, LOC: Bank of the West, C/LOC: CALSTRs (r) | 80,000 | 80,000 |
5.42%, 12/15/34, LOC: Fannie Mae (r) | 1,190,000 | 1,190,000 |
5.42%, 12/15/36, LOC: Bank of the West (r) | 1,000,000 | 1,000,000 |
California Statewide Communities Development Authority Special |
|
|
Tax Revenue, 5.35%, 3/15/34, LOC: Fannie Mae (r) | 2,850,000 | 2,850,000 |
Durham North Carolina GO, 5.40%, 5/1/18, BPA: Bank of America, CF: North Carolina - Durham (r) | 2,500,000 | 2,500,000 |
Florida State Housing Finance Corp. MFH Revenue: |
|
|
Victoria B, 5.37%, 10/15/32, LOC: Fannie Mae (r) | 2,400,000 | 2,400,000 |
Victoria J-2, 5.37%, 10/15/32, LOC: Fannie Mae (r) | 2,835,000 | 2,835,000 |
5.32%, 11/1/32, LOC: Freddie Mac (r) | 1,250,000 | 1,250,000 |
Grove City Church of the Nazarene, 5.38%, 2/1/24, LOC: |
|
|
National City Bank (r) | 5,554,000 | 5,554,000 |
Haskell Capital Partners Ltd., 5.32%, 9/1/20, LOC: Colonial Bank, |
|
|
C/LOC: FHLB (r) | 3,800,000 | 3,800,000 |
Heritage Funeral Services LLC, 5.47%, 2/1/18, LOC: Old National |
|
|
Bank, C/LOC: Northern Trust Co. (r) | 700,000 | 700,000 |
HHH Investment Co., 5.35%, 7/1/29, LOC: Bank of the West (r) | 2,220,000 | 2,220,000 |
Holland Board of Public Works Home Building Co., 5.47%, |
|
|
11/1/22, LOC: Wells Fargo Bank (r) | 1,025,000 | 1,025,000 |
Jobs Co. LLC, 5.34%, 5/1/22, LOC: First Commonwealth Bank (r) | 2,615,000 | 2,615,000 |
Kaneville Road Joint Venture, Inc., 5.38%, 11/1/32, LOC: First |
|
|
American Bank, C/LOC: FHLB (r) | 5,270,000 | 5,270,000 |
Lancaster California Redevelopment Agency MFH Revenue, |
|
|
5.40%, 1/15/35, LOC: Fannie Mae (r) | 400,000 | 400,000 |
Los Angeles California MFH Revenue, 5.33%, 12/15/34, LOC: |
|
|
Fannie Mae (r) | 1,600,000 | 1,600,000 |
Main & Walton, Inc., 5.33%, 9/1/26, LOC: Waypoint Bank, |
|
|
C/LOC: FHLB (r) | 4,325,000 | 4,325,000 |
Maniilaq Association Revenue, 5.25%, 11/1/22, LOC: Washington |
|
|
Mutual Bank, C/LOC: FHLB (r) | 700,000 | 700,000 |
Milpitas California MFH Revenue, 5.32%, 8/15/33, LOC: |
|
|
Fannie Mae (r) | 2,500,000 | 2,500,000 |
|
|
|
| Principal |
|
Taxable Variable Rate Demand Notes - Cont'd | Amount | Value |
Milwaukee Wisconsin Redevelopment Authority Revenue, 5.38%, |
|
|
8/1/20, LOC: Marshall & Ilsley Bank (r) | $1,250,000 | $1,250,000 |
MOB Management One LLC, 5.63%, 12/1/26, LOC: Columbus |
|
|
Bank & Trust (r) | 1,305,000 | 1,305,000 |
Montgomery New York Industrial Development Board Pollution |
|
|
Control Revenue, 5.47%, 5/1/25, LOC: FHLB (r) | 3,155,000 | 3,155,000 |
New York State MMC Corp. Revenue, 5.50%, 11/1/35, LOC: |
|
|
JPMorgan Chase Bank (r) | 2,000,000 | 2,000,000 |
Ogden City Utah Redevelopment Agency Revenue, 5.48%, 1/1/31, |
|
|
LOC: Bank of New York (r) | 5,300,000 | 5,300,000 |
Osprey Management Co. LLC, 5.37%, 6/1/27, LOC: Wells Fargo |
|
|
Bank (r) | 5,100,000 | 5,100,000 |
Peoploungers, Inc., 5.33%, 4/1/18, LOC: Bank of New Albany, |
|
|
C/LOC: FHLB (r) | 2,640,000 | 2,640,000 |
Portage Indiana Economic Development Revenue, 5.44%, 3/1/20, |
|
|
LOC: FHLB (r) | 700,000 | 700,000 |
Post Apartment Homes LP, 5.32%, 7/15/29, CA: Fannie Mae (r) | 7,330,000 | 7,330,000 |
Racetrac Capital LLC, 5.34%, 9/1/20, LOC: Regions Bank (r) | 5,000,000 | 5,000,000 |
Rex Lumber LLC, 5.32%, 2/1/22, LOC: Whitney National Bank, |
|
|
C/LOC: FHLB (r) | 7,580,000 | 7,580,000 |
Scott Street Land Co., 5.37%, 1/3/22, LOC: Fifth Third Bank (r) | 3,100,000 | 3,100,000 |
Scottsboro Alabama Industrial Development Board Revenue, |
|
|
5.32%, 10/1/10, LOC: Wachovia Bank (r) | 650,000 | 650,000 |
Sea Island Co., 5.47%, 2/1/21, LOC: Columbus Bank & Trust (r) | 1,715,000 | 1,715,000 |
Shawnee Kansas Private Activity Revenue, 5.50%, 12/1/12, |
|
|
LOC: JPMorgan Chase Bank (r) | 3,670,000 | 3,670,000 |
Shelby County Tennessee Health Educational and Housing Facilities |
|
|
Board Revenue, 5.62%, 12/1/27, LOC: First Tennessee Bank (r) | 1,600,000 | 1,600,000 |
Southeast Alabama Gas Distribution Revenue, 5.33%, 6/1/25, |
|
|
BPA: AmSouth Bank, AMBAC Insured (r) | 6,120,000 | 6,120,000 |
Southern Indiana Investments Company Two LLC, 5.32%, |
|
|
10/15/26, LOC: Old National Bank, C/LOC: FHLB (r) | 2,680,000 | 2,680,000 |
St. Joseph County Indiana Economic Development Revenue, |
|
|
5.49%, 6/1/27, LOC: FHLB (r) | 145,000 | 145,000 |
St. Paul Minnesota Port Authority Revenue: |
|
|
5.60%, 3/1/07, LOC: Dexia Credit Local (r) | 145,000 | 145,000 |
5.50%, 3/1/21, LOC: Dexia Credit Local (r) | 1,815,000 | 1,815,000 |
Taylor County Kentucky Tax Notes, 5.33%, 1/1/19, LOC: Peoples |
|
|
Bank & Trust, C/LOC: FHLB (r) | 3,260,000 | 3,260,000 |
Tucson Arizona Airport Authority, Inc. Revenue, 5.36%, 11/1/18, |
|
|
LOC: Bank of America (r) | 3,180,000 | 3,180,000 |
Tyler Enterprises LLC, 5.32%, 10/1/22, LOC: Peoples Bank & |
|
|
Trust, C/LOC: FHLB (r) | 4,920,000 | 4,920,000 |
|
|
|
|
|
|
| Principal |
|
Taxable Variable Rate Demand Notes - Cont'd | Amount | Value |
Washington State Housing Finance Commission Revenue: |
|
|
5.35%, 6/15/32, CA: Fannie Mae (r) | $1,335,000 | $1,335,000 |
5.35%, 7/15/32, CA: Fannie Mae (r) | 850,000 | 850,000 |
5.35%, 7/15/34, LOC: Fannie Mae (r) | 1,875,000 | 1,875,000 |
5.39%, 5/15/35, LOC: Fannie Mae (r) | 1,060,000 | 1,060,000 |
5.34%, 5/1/37, LOC: Freddie Mac (r) | 1,350,000 | 1,350,000 |
|
|
|
|
|
|
Total Taxable Variable Rate Demand Notes (Cost $133,639,000) |
| 133,639,000 |
|
|
|
Total Investments (Cost $164,960,293) - 99.0% | 164,960,293 | |
Other assets and liabilities, net - 1.0% | 1,631,737 | |
Net Assets - 100% | $166,592,030 | |
|
|
|
|
|
|
Net Assets Consist of: |
|
|
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized, 166,690,660 shares outstanding | $166,647,641 | |
Undistributed net investment income |
| 15,152 |
Accumulated net realized gain (loss) on investments |
| (70,763) |
|
|
|
Net Assets |
| $166,592,030 |
|
|
|
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, 2006
EQUITY SECURITIES - 60.7% | Shares | Value |
Aerospace & Defense - 0.1% |
|
|
AAR Corp.* | 29,400 | $700,896 |
|
|
|
Air Freight & Logistics - 0.4% |
|
|
Expeditors International Washington, Inc. | 10,300 | 459,174 |
FedEx Corp. | 14,900 | 1,619,332 |
United Parcel Service, Inc., Class B | 7,900 | 568,326 |
|
| 2,646,832 |
|
|
|
Airlines - 0.2% |
|
|
Continental Airlines, Inc. Class B* | 16,600 | 469,946 |
Southwest Airlines Co. | 28,600 | 476,476 |
|
| 946,422 |
|
|
|
Auto Components - 0.0% |
|
|
Autoliv, Inc. | 5,300 | 292,083 |
|
|
|
Automobiles - 0.1% |
|
|
Harley-Davidson, Inc. | 5,000 | 313,750 |
|
|
|
Biotechnology - 1.2% |
|
|
Amgen, Inc.* | 83,050 | 5,940,566 |
Gilead Sciences, Inc.* | 16,305 | 1,120,154 |
|
| 7,060,720 |
|
|
|
Building Products - 0.2% |
|
|
American Standard Co.'s, Inc. | 9,000 | 377,730 |
Masco Corp. | 27,700 | 759,534 |
|
| 1,137,264 |
|
|
|
Capital Markets - 2.4% |
|
|
Charles Schwab Corp. | 8,700 | 155,730 |
Goldman Sachs Group, Inc. | 42,900 | 7,257,393 |
Legg Mason, Inc. | 22,672 | 2,286,698 |
Nuveen Investments, Inc. | 72,400 | 3,709,052 |
SEI Investments Co. | 7,100 | 398,949 |
T. Rowe Price Group, Inc. | 8,614 | 412,180 |
|
| 14,220,002 |
|
|
|
Chemicals - 0.5% |
|
|
H.B. Fuller Co. | 57,000 | 1,336,080 |
Lubrizol Corp. | 1,200 | 54,876 |
Praxair, Inc. | 32,500 | 1,922,700 |
|
| 3,313,656 |
|
|
|
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Commercial Banks - 1.8% |
|
|
M&T Bank Corp. | 21,200 | $2,543,152 |
National City Corp. | 5,900 | 215,940 |
North Fork Bancorp, Inc. | 6,450 | 184,728 |
US Bancorp | 91,100 | 3,026,342 |
Wachovia Corp. | 71,000 | 3,961,800 |
Wells Fargo & Co. | 17,000 | 615,060 |
|
| 10,547,022 |
|
|
|
Commercial Services & Supplies - 0.6% |
|
|
Manpower, Inc. | 8,500 | 520,795 |
Pitney Bowes, Inc. | 43,300 | 1,921,221 |
United Stationers, Inc.* | 19,300 | 897,643 |
|
| 3,339,659 |
|
|
|
Communications Equipment - 1.7% |
|
|
Cisco Systems, Inc.* | 325,556 | 7,487,788 |
Motorola, Inc. | 67,191 | 1,679,775 |
Qualcomm, Inc. | 23,400 | 850,590 |
|
| 10,018,153 |
|
|
|
Computers & Peripherals - 2.5% |
|
|
Apple Computer, Inc.* | 10,006 | 770,762 |
Dell, Inc.* | 78,800 | 1,799,792 |
EMC Corp.* | 90,312 | 1,081,938 |
Hewlett-Packard Co. | 76,800 | 2,817,792 |
International Business Machines Corp. | 75,100 | 6,153,694 |
Lexmark International, Inc.* | 23,700 | 1,366,542 |
Western Digital Corp.* | 28,280 | 511,868 |
|
| 14,502,388 |
|
|
|
Consumer Finance - 1.4% |
|
|
American Express Co. | 49,700 | 2,787,176 |
Capital One Financial Corp. | 21,000 | 1,651,860 |
First Marblehead Corp. | 27,200 | 1,883,872 |
SLM Corp. | 34,200 | 1,777,716 |
|
| 8,100,624 |
|
|
|
Containers & Packaging - 0.0% |
|
|
Sealed Air Corp. | 300 | 16,236 |
|
|
|
Diversified Consumer Services - 0.0% |
|
|
Apollo Group, Inc.* | 2,800 | 137,872 |
|
|
|
Diversified Financial Services - 4.5% |
|
|
Bank of America Corp. (s) | 190,890 | 10,225,977 |
CIT Group, Inc. | 78,300 | 3,807,729 |
First Republic Preferred Capital Corp., Preferred(e) | 500 | 532,500 |
JPMorgan Chase & Co. | 142,633 | 6,698,046 |
MFH Financial Trust I, Preferred(e) | 20,000 | 1,980,000 |
Roslyn Real Estate Asset Corp., Preferred | 10 | 1,004,375 |
WoodBourne Pass-Through Trust, Preferred(e) | 20 | 2,008,125 |
|
| 26,256,752 |
|
|
|
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Diversified Telecommunication Services - 1.6% |
|
|
AT&T, Inc. | 178,500 | $5,811,960 |
BellSouth Corp. | 72,200 | 3,086,550 |
Manitoba Telecom Services, Inc. | 9,310 | 401,552 |
|
| 9,300,062 |
|
|
|
Electric Utilities - 0.4% |
|
|
Cleco Corp. | 58,400 | 1,474,016 |
IDACORP, Inc. | 26,900 | 1,017,089 |
|
| 2,491,105 |
|
|
|
Electrical Equipment - 0.4% |
|
|
Cooper Industries Ltd. | 1,300 | 110,786 |
Genlyte Group, Inc.* | 33,400 | 2,378,080 |
|
| 2,488,866 |
|
|
|
Electronic Equipment & Instruments - 0.5% |
|
|
Agilent Technologies, Inc.* | 16,900 | 552,461 |
Amphenol Corp. | 10,350 | 640,975 |
Jabil Circuit, Inc. | 12,000 | 342,840 |
Littelfuse, Inc.* | 38,800 | 1,346,360 |
Molex, Inc. | 400 | 15,588 |
|
| 2,898,224 |
|
|
|
Energy Equipment & Services - 1.0% |
|
|
Grant Prideco, Inc.* | 1,600 | 60,848 |
Smith International, Inc. | 76,400 | 2,964,320 |
Unit Corp.* | 13,300 | 611,401 |
Universal Compression Holdings, Inc.* | 35,900 | 1,918,855 |
Veritas DGC, Inc.* | 8,500 | 559,470 |
|
| 6,114,894 |
|
|
|
Food & Staples Retailing - 0.5% |
|
|
Sysco Corp. | 12,500 | 418,125 |
Walgreen Co. | 55,800 | 2,476,962 |
|
| 2,895,087 |
|
|
|
Food Products - 1.6% |
|
|
General Mills, Inc. | 71,000 | 4,018,600 |
Kellogg Co. | 96,200 | 4,763,824 |
McCormick & Co., Inc. | 14,400 | 546,912 |
Ralcorp Holdings, Inc.* | 3,700 | 178,451 |
|
| 9,507,787 |
|
|
|
Gas Utilities - 1.3% |
|
|
Energen Corp. | 53,100 | 2,223,297 |
Equitable Resources, Inc. | 45,800 | 1,602,084 |
Oneok, Inc. | 109,100 | 4,122,889 |
|
| 7,948,270 |
|
|
|
Health Care Equipment & Supplies - 1.4% |
|
|
Beckman Coulter, Inc. | 4,000 | 230,240 |
Becton Dickinson & Co. | 45,200 | 3,194,284 |
Cytyc Corp.* | 11,000 | 269,280 |
Dentsply International, Inc. | 10,200 | 307,122 |
Medtronic, Inc. | 95,971 | 4,456,893 |
|
| 8,457,819 |
|
|
|
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Health Care Providers & Services - 3.1% |
|
|
AMERIGROUP Corp.* | 300 | $8,865 |
AmerisourceBergen Corp. | 63,700 | 2,879,240 |
Cardinal Health, Inc. | 30,500 | 2,005,070 |
Caremark Rx, Inc. | 48,700 | 2,759,829 |
Coventry Health Care, Inc.* | 38,675 | 1,992,536 |
Express Scripts, Inc.* | 25,100 | 1,894,799 |
Health Management Associates, Inc. | 14,000 | 292,600 |
Laboratory Corp. of America Holdings, Inc.* | 22,600 | 1,481,882 |
Lincare Holdings, Inc.* | 10,300 | 356,792 |
McKesson Corp. | 71,000 | 3,743,120 |
Quest Diagnostics, Inc. | 7,224 | 441,820 |
WellCare Health Plans, Inc.* | 1,900 | 107,597 |
|
| 17,964,150 |
|
|
|
Hotels, Restaurants & Leisure - 0.7% |
|
|
Darden Restaurants, Inc. | 47,300 | 2,008,831 |
Starbucks Corp.* | 61,700 | 2,100,885 |
|
| 4,109,716 |
|
|
|
Household Durables - 0.8% |
|
|
American Greetings Corp. | 4,200 | 97,104 |
Black & Decker Corp. | 18,400 | 1,460,040 |
KB Home | 3,500 | 153,300 |
Pulte Homes, Inc. | 77,400 | 2,465,964 |
Yankee Candle Co., Inc. | 9,000 | 263,430 |
|
| 4,439,838 |
|
|
|
Household Products - 2.0% |
|
|
Colgate-Palmolive Co. | 9,949 | 617,833 |
Kimberly-Clark Corp. | 36,500 | 2,385,640 |
Procter & Gamble Co. | 140,295 | 8,695,484 |
|
| 11,698,957 |
|
|
|
Industrial Conglomerates - 0.9% |
|
|
3M Co. | 73,973 | 5,505,071 |
|
|
|
Insurance - 3.3% |
|
|
21st Century Insurance Group | 8,200 | 122,590 |
Aflac, Inc. | 6,750 | 308,880 |
Arthur J. Gallagher & Co. | 8,500 | 226,695 |
Brown & Brown, Inc. | 9,500 | 290,320 |
Chubb Corp. | 38,200 | 1,984,872 |
Commerce Group, Inc. | 35,900 | 1,078,795 |
Conseco, Inc.: |
|
|
Preferred | 80,500 | 2,068,850 |
Warrants (strike price $27.60/share, expires 9/10/08)* | 3,161 | 5,152 |
First American Corp. | 5,500 | 232,870 |
Hartford Financial Services Group, Inc. | 18,898 | 1,639,401 |
Lincoln National Corp. | 11,400 | 707,712 |
Odyssey Re Holdings Corp. | 22,100 | 746,538 |
Phoenix Co.'s, Inc. | 6,200 | 86,800 |
Principal Financial Group | 38,800 | 2,106,064 |
Prudential Financial, Inc. | 28,000 | 2,135,000 |
|
|
|
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Insurance - Cont'd |
|
|
Safeco Corp. | 3,100 | $182,683 |
St. Paul Travelers Co.'s, Inc. | 85,600 | 4,013,784 |
StanCorp Financial Group, Inc. | 14,300 | 638,209 |
UnumProvident Corp. | 30,700 | 595,273 |
|
| 19,170,488 |
|
|
|
Internet & Catalog Retail - 0.1% |
|
|
Expedia, Inc.* | 39,900 | 625,632 |
Liberty Media Holding Corp. - Interactive* | 1,025 | 20,890 |
|
| 646,522 |
|
|
|
Internet Software & Services - 0.3% |
|
|
eBay, Inc.* | 10,000 | 283,600 |
Yahoo!, Inc.* | 56,200 | 1,420,736 |
|
| 1,704,336 |
|
|
|
IT Services - 1.3% |
|
|
Acxiom Corp. | 16,400 | 404,424 |
Automatic Data Processing, Inc. | 91,100 | 4,312,674 |
First Data Corp. | 50,800 | 2,133,600 |
Tyler Technologies, Inc.* | 58,100 | 751,233 |
|
| 7,601,931 |
|
|
|
Life Sciences - Tools & Services - 0.1% |
|
|
Applera Corp. - Applied Biosystems Group | 4,200 | 139,062 |
Varian, Inc.* | 600 | 27,522 |
Waters Corp.* | 3,700 | 167,536 |
|
| 334,120 |
|
|
|
Machinery - 2.4% |
|
|
Cummins, Inc. | 22,600 | 2,694,598 |
Danaher Corp. | 43,656 | 2,997,858 |
Graco, Inc. | 10,100 | 394,506 |
Illinois Tool Works, Inc. | 92,000 | 4,130,800 |
Nordson Corp. | 17,800 | 709,508 |
Parker Hannifin Corp. | 14,600 | 1,134,858 |
Terex Corp.* | 43,100 | 1,948,982 |
Valmont Industries, Inc. | 5,300 | 276,925 |
|
| 14,288,035 |
|
|
|
Media - 2.0% |
|
|
Cablevision Systems Corp. | 4,800 | 109,008 |
John Wiley & Sons, Inc. | 13,700 | 493,337 |
McGraw-Hill Co.'s, Inc. | 74,400 | 4,317,432 |
Omnicom Group, Inc. | 5,700 | 533,520 |
Time Warner, Inc. | 272,800 | 4,973,144 |
Univision Communications, Inc.* | 32,400 | 1,112,616 |
|
| 11,539,057 |
|
|
|
Metals & Mining - 0.0% |
|
|
Reliance Steel & Aluminum Co. | 8,200 | 263,548 |
|
|
|
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Multiline Retail - 1.6% |
|
|
Kohl's Corp.* | 59,000 | $3,830,280 |
Nordstrom, Inc. | 38,500 | 1,628,550 |
Target Corp. | 76,900 | 4,248,725 |
|
| 9,707,555 |
|
|
|
Multi-Utilities - 0.7% |
|
|
MDU Resources Group, Inc. | 106,000 | 2,368,040 |
NiSource, Inc. | 16,100 | 350,014 |
OGE Energy Corp. | 33,900 | 1,224,129 |
|
| 3,942,183 |
|
|
|
Office Electronics - 0.2% |
|
|
Xerox Corp.* | 81,900 | 1,274,364 |
|
|
|
Oil, Gas & Consumable Fuels - 3.0% |
|
|
Chesapeake Energy Corp. | 1,700 | 49,266 |
EOG Resources, Inc. | 92,700 | 6,030,135 |
Kinder Morgan, Inc. | 22,300 | 2,338,155 |
Overseas Shipholding Group, Inc. | 41,100 | 2,538,747 |
Plains Exploration & Production Co.* | 13,700 | 587,867 |
St. Mary Land & Exploration Co. | 13,100 | 480,901 |
XTO Energy, Inc. | 139,909 | 5,894,366 |
|
| 17,919,437 |
|
|
|
Paper & Forest Products - 0.1% |
|
|
Weyerhaeuser Co. | 5,800 | 356,874 |
|
|
|
Personal Products - 0.1% |
|
|
Playtex Products, Inc.* | 34,300 | 459,620 |
|
|
|
Pharmaceuticals - 2.5% |
|
|
Barr Pharmaceuticals, Inc.* | 47,784 | 2,481,901 |
Johnson & Johnson | 66,600 | 4,325,004 |
Perrigo Co | 49,100 | 833,227 |
Pfizer, Inc. | 248,800 | 7,055,968 |
|
| 14,696,100 |
|
|
|
Real Estate Investment Trusts - 0.5% |
|
|
Equity Office Properties Trust | 10,200 | 405,552 |
FelCor Lodging Trust, Inc. | 17,800 | 356,890 |
Friedman Billings Ramsey Group, Inc. | 19,884 | 159,669 |
New Century Financial Corp. | 45,800 | 1,800,398 |
|
| 2,722,509 |
|
|
|
Real Estate Management & Development - 0.1% |
|
|
CB Richard Ellis Group, Inc.* | 15,900 | 391,140 |
|
|
|
Semiconductors & Semiconductor Equipment - 1.8% |
|
|
Analog Devices, Inc. | 35,300 | 1,037,467 |
Intel Corp. | 113,400 | 2,332,638 |
Lam Research Corp.* | 19,900 | 902,067 |
MEMC Electronic Materials, Inc.* | 1,600 | 58,608 |
Micron Technology, Inc.* | 105,700 | 1,839,180 |
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Semiconductors & Semiconductor Equipment - Cont'd |
|
|
Nvidia Corp.* | 10,349 | $306,227 |
Texas Instruments, Inc. | 117,200 | 3,896,900 |
|
| 10,373,087 |
|
|
|
Software - 2.1% |
|
|
Adobe Systems, Inc.* | 77,800 | 2,913,610 |
BEA Systems, Inc.* | 81,200 | 1,234,240 |
BMC Software, Inc.* | 24,500 | 666,890 |
Compuware Corp.* | 47,500 | 370,025 |
Manhattan Associates, Inc.* | 20,800 | 502,112 |
Microsoft Corp. | 216,209 | 5,908,992 |
Sybase, Inc.* | 12,200 | 295,728 |
Symantec Corp.* | 19,000 | 404,320 |
|
| 12,295,917 |
|
|
|
Specialty Retail - 1.7% |
|
|
Bed Bath & Beyond, Inc.* | 6,300 | 241,038 |
Best Buy Co., Inc. | 1,900 | 101,764 |
Gap, Inc. | 36,900 | 699,255 |
Home Depot, Inc. | 126,050 | 4,571,833 |
Office Depot, Inc.* | 13,000 | 516,100 |
Staples, Inc. | 151,744 | 3,691,932 |
|
| 9,821,922 |
|
|
|
Textiles, Apparel & Luxury Goods - 0.4% |
|
|
Nike, Inc., Class B | 28,500 | 2,497,170 |
|
|
|
Thrifts & Mortgage Finance - 1.1% |
|
|
Freddie Mac | 27,400 | 1,817,442 |
Golden West Financial Corp. | 22,500 | 1,738,125 |
Triad Guaranty, Inc.* | 3,200 | 163,744 |
Washington Mutual, Inc. | 57,679 | 2,507,306 |
|
| 6,226,617 |
|
|
|
Wireless Telecommunication Services - 0.2% |
|
|
American Tower Corp.* | 30,700 | 1,120,550 |
|
|
|
|
|
|
Venture Capital - 1.3% |
|
|
Agraquest, Inc.: |
|
|
Series B Preferred(b)(i)* | 190,477 | 38,033 |
Series C Preferred(b)(i)* | 117,647 | 27,191 |
Series H Preferred(b)(i)* | 3,463,856 | 236,207 |
Allos Therapeutics* | 171,271 | 645,692 |
CFBanc Corp.(b)(i)* | 27,000 | 282,910 |
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 | - |
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Venture Capital - Cont'd |
|
|
(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 | - |
(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)* | 173,455 | - |
(strike price $0.14/share, expires 9/4/13) (b)(i)* | 23,127 | - |
(strike price $0.28/share, expires 9/4/13) (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 | - |
(strike price $0.01/share, expires 4/21/14) (b)(i)* | 162,500 | - |
Community Bank of the Bay (b)* | 4,000 | 45,000 |
Community Growth Fund* | 1,498,306 | 1,184,407 |
Distributed Energy Systems Corp.: |
|
|
Common Stock* | 14,146 | 45,692 |
Warrants (strike price $2.80/share, expires 12/17/06)(b)(i)* | 1,652 | 710 |
Warrants (strike price $2.80/share, expires 12/17/06)(b)(i)* | 551 | 237 |
Evergreen Solar, Inc.* | 66,000 | 547,800 |
Gaiam, Inc.* | 12,500 | 161,375 |
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 | 98,717 |
Series A Preferred, Warrants (strike price $1.00/share, expires |
|
|
1/1/12)(b)(i)* | 1,104 | - |
Series B Preferred (b)(i)* | 161,759 | 231,315 |
Series C Preferred (b)(i)* | 36,984 | 52,886 |
Hayes Medical Inc. : |
|
|
Common Stock (b)(i)* | 180,877 | - |
Series A-1 Preferred (b)(i)* | 420,683 | - |
Series B Preferred (b)(i)* | 348,940 | 17,447 |
Series C Preferred (b)(i)* | 601,710 | 120,342 |
Inflabloc Pharmaceuticals, Inc.(b)(i)* | 625 | 1 |
Medimmune, Inc.* | 19,854 | 579,935 |
Neighborhood Bancorp(b)(i)* | 10,000 | 182,630 |
Pharmadigm, Inc.(b)(i)* | 568 | - |
Plethora Technology, Inc.: |
|
|
Common Stock Warrants (strike price $0.01/share, expires |
|
|
4/29/15)(b)(i)* | 72,000 | - |
Series A Preferred (a)(b)(i)* | 825,689 | 526,377 |
Series A Preferred, Warrants (strike price $0.85/share, expires |
|
|
6/9/13)(b)(i)* | 176,471 | - |
ProFund International SA: |
|
|
Common (b)(i)* | 7,500 | - |
Preferred (b)(i)* | 80,454 | 4,302 |
Seventh Generation, Inc. (b)(i)* | 200,295 | 1,665,152 |
SMARTTHINKING, Inc.: |
|
|
Series 1-A, Convertible Preferred (b)(i)* | 104,297 | 167,367 |
Series 1-B, Convertible Preferred (b)(i)* | 163,588 | 31,050 |
Series 1-B, Preferred 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 | 193,634 |
Wind Harvest Co., Inc. Series A Preferred (b)(i)* | 8,696 | 1 |
|
| 7,802,838 |
|
|
|
|
|
|
Total Equity Securities (Cost $305,452,867) |
| 356,526,097 |
|
|
|
| Adjusted |
|
Limited Partnership Interest - 0.7% | Basis |
|
Angels With Attitude I LLC (a)(b)(i)* | $200,000 | 170,416 |
Coastal Venture Partners (b)(i)* | 173,067 | 116,772 |
Commons Capital (b)(i)* | 355,332 | 233,202 |
Environmental Private Equity Fund II (b)(i)* | 13,863 | 47,353 |
First Analysis Private Equity Fund IV (b)(i)* | 390,315 | 485,088 |
GEEMF Partners (a)(b)(i)* | 185,003 | 514,034 |
Global Environment Emerging Markets Fund (b)(i)* | 757,589 | 1,408,461 |
Hambrecht & Quist Environmental Technology Fund (b)(i)* | 254,513 | 36,558 |
Infrastructure and Environmental Private Equity Fund III (b)(i)* | 493,425 | 275,033 |
Labrador Ventures III (b)(i)* | 360,875 | 86,195 |
Labrador Ventures IV (b)(i)* | 826,683 | 278,265 |
Milepost Ventures (a)(b)(i)* | 500,000 | 1 |
New Markets Growth Fund LLC (b)(i)* | 200,000 | 196,360 |
Poland Partners (b)(i)* | - | 104,954 |
Solstice Capital (b)(i)* | 360,526 | 298,268 |
Utah Ventures (b)(i)* | 867,581 | - |
Venture Strategy Partners (b)(i)* | 206,057 | 25,810 |
|
|
|
|
|
|
Total Limited Partnership Interest (Cost $6,144,829) |
| 4,276,770 |
|
|
|
|
|
|
| Principal |
|
Corporate Bonds - 20.5% | Amount |
|
ACLC Business Loan Receivables Trust, 5.98%, 10/15/21 (e)(r) | 596,737 | 576,023 |
AgFirst Farm Credit Bank, 7.30%, 10/14/49 (e) | 2,000,000 | 1,990,210 |
Alliance Mortgage Investments, 12.64%, 6/1/10 (r) | 383,333 | 383,333 |
APL Ltd., 8.00%, 1/15/24 | 550,000 | 495,000 |
Archstone-Smith Operating Trust, 5.25%, 12/1/10 | 1,000,000 | 994,074 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e)(p) | 4,700,000 | 2,151,049 |
Atmos Energy Corp., 5.882%, 10/15/07 (r) | 2,000,000 | 2,000,545 |
Aurora Military Housing LLC, 5.35%, 12/15/25 (e) | 2,750,000 | 2,733,693 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) | 750,000 | 835,982 |
BAC Capital Trust XI, 6.625%, 5/23/36 | 1,500,000 | 1,582,020 |
Banco Santander Chile, 5.74%, 12/9/09 (e)(r) | 1,500,000 | 1,499,997 |
Barclays Bank plc, 6.278%, 12/29/49 (r) | 1,000,000 | 953,510 |
BellSouth Corp., 5.58%, 8/15/08 (r) | 1,000,000 | 1,000,071 |
BellSouth Telecommunications, Inc., STEP, 0.00% to 12/15/15, |
|
|
6.65% thereafter to 12/15/2095 (r) | 1,500,000 | 720,089 |
BF Saul, 7.50%, 3/1/14 | 750,000 | 752,812 |
|
|
|
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
Brandywine Operating Partnership LP, 5.95%, 4/1/09 (r) | $1,000,000 | $1,000,336 |
Capital One Capital III, 7.686%, 8/15/36 | 750,000 | 795,489 |
Cardinal Health, Inc., 5.64%, 10/2/09 (e)(r) | 1,000,000 | 999,750 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 | 4,636,924 | 4,568,310 |
Chevy Chase Bank FSB, 6.875%, 12/1/13 | 250,000 | 250,313 |
City Soft, Inc.: |
|
|
Convertible Notes I, 10.00%, 8/31/06 (b)(i)(w)* | 297,877 | - |
Convertible Notes II, 10.00%, 8/31/06 (b)(i)(x)* | 32,500 | - |
Convertible Notes III, 10.00%, 8/31/06 (b)(i)(y)* | 25,000 | - |
Convertible Notes IV, 10.00%, 8/31/06 (b)(i)(z)* | 25,000 | - |
Collegiate Funding Services Education Loan Trust I, 5.32%, 3/1/42 | 2,000,000 | 2,005,000 |
Community Reinvestment Revenue Notes, 5.68%, 6/1/31 (e) | 1,441,535 | 1,444,238 |
Credit Suisse First Boston USA Inc., 5.581%, 3/2/11 (r) | 2,000,000 | 2,002,349 |
Crown Castle Towers LLC, 4.643%, 6/15/35 (e) | 4,000,000 | 3,884,294 |
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) | 1,000,000 | 1,099,924 |
Duke Realty LP, 5.647%, 12/22/06 (r) | 2,000,000 | 2,000,201 |
Enterprise Products Operating LP, 8.375% to 8/1/16, |
|
|
floating rate thereafter to 8/1/66 (r) | 1,750,000 | 1,827,560 |
ERAC USA Finance Co., 5.30%, 11/15/08 (e) | 1,000,000 | 994,339 |
First National Bank of Omaha, 7.32%, 12/1/10 | 500,000 | 506,437 |
Glitnir banki HF: |
|
|
6.693% to 6/15/11, floating rate thereafter to 6/15/16 (e)(r) | 1,500,000 | 1,520,490 |
7.451% to 9/14/16, floating rate thereafter to 12/14/49 (e)(r) | 600,000 | 613,356 |
Global Signal: |
|
|
Trust II, 4.232%, 12/15/14 (e) | 500,000 | 487,379 |
Trust III, 5.361%, 2/15/36 (e) | 300,000 | 298,512 |
Goldman Sachs Group, Inc.: |
|
|
5.70%, 8/5/11 (r) | 1,000,000 | 1,000,907 |
6.345%, 2/15/34 | 1,200,000 | 1,197,857 |
6.45%, 5/1/36 | 300,000 | 307,281 |
HBOS plc, 6.413% to 10/1/35, floating rate thereafter to |
|
|
9/29/49, (e)(r) | 1,300,000 | 1,258,969 |
Health Care Property Investors, Inc., 5.84%, 9/15/08 (r) | 3,000,000 | 3,000,035 |
HRPT Properties Trust, 5.99%, 3/16/11 (r) | 2,500,000 | 2,500,021 |
Impac CMB Trust, 5.60%, 5/25/35 (r) | 2,811,338 | 2,816,742 |
Independence Community Bank Corp., 3.75% to 4/1/09, floating |
|
|
rate thereafter to 4/1/14 (r) | 2,500,000 | 2,386,976 |
Interpool Capital Trust, 9.875%, 2/15/27 | 1,000,000 | 1,035,000 |
JPMorgan Chase & Co., 5.08%, 10/28/08 (r) | 3,850,000 | 3,847,723 |
JPMorgan Chase Capital XX, 6.55%, 9/29/36 | 1,000,000 | 1,010,766 |
Kaupthing Bank HF: |
|
|
5.55%, 12/1/09 | 1,500,000 | 1,476,225 |
6.067%, 1/15/10 (e)(r) | 3,000,000 | 3,000,000 |
KDM Development Corp., 2.41%, 12/31/07 (b)(i) | 746,900 | 724,421 |
Kinder Morgan Energy Partners LP, 5.80%, 3/15/35 | 1,000,000 | 908,750 |
Landsbanki Islands HF, 6.10%, 8/25/09 (e)(r) | 750,000 | 749,988 |
Leucadia National Corp., 7.00%, 8/15/13 | 895,000 | 888,288 |
Lumbermens Mutual Casualty Co.: |
|
|
9.15%, 7/1/26 (e)(m)* | 1,696,000 | 8,480 |
8.30%, 12/1/37 (e)(m)* | 6,130,000 | 30,650 |
8.45%, 12/1/97 (e)(m)* | 2,560,000 | 12,800 |
Masco Corp., 5.64%, 3/9/07 (e)(r) | 2,000,000 | 2,001,462 |
Mcguire Air Force Base, Military Housing Project, |
|
|
5.611%, 9/15/51 (e) | 1,000,000 | 1,000,000 |
|
|
|
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
Meridian Funding Co. LLC, 5.67%, 10/15/14 (e)(r) | $3,000,000 | $3,001,158 |
Mid-Atlantic Family Military Communities LLC: |
|
|
5.24%, 8/1/50 (e) | 1,000,000 | 961,570 |
5.30%, 8/1/50 (e) | 750,000 | 720,300 |
Midwest Family Housing LLC, 5.531%, 1/1/51 (e) | 1,000,000 | 964,150 |
Nationwide Health Properties, Inc., 6.90%, 10/1/37 | 1,000,000 | 1,058,966 |
New York State Community Statutory Trust II, 9.218%, |
|
|
12/28/31 (e)(r) | 500,000 | 501,875 |
Odyssey Re Holdings Corp., 6.875%, 5/1/15 | 950,000 | 903,244 |
Orkney Re II plc, Series B, 8.404%, 12/21/35 (e)(r) | 1,100,000 | 1,100,000 |
Pacific Pilot Funding Ltd., 6.25%, 10/20/16 (e)(r) | 991,050 | 989,275 |
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) | 500,000 | 508,793 |
Pioneer Natural Resources Co., 6.875%, 5/1/18 | 3,550,000 | 3,526,742 |
Plethora Technology, 12.00%, 12/31/06 (b)(i) | 150,000 | 150,000 |
Preferred Term Securities IX Ltd., 6.21%, 4/3/33 (e)(r) | 1,000,000 | 1,007,220 |
Prudential Financial, Inc.: |
|
|
STEP, 4.104%, 11/15/06 (r) | 2,000,000 | 1,996,697 |
5.54%, 6/13/08 (r) | 1,500,000 | 1,503,674 |
Prudential Holdings LLC, 7.245%, 12/18/23 (e) | 1,000,000 | 1,163,745 |
RBS Capital Trust I, 6.167%, 9/29/49 (r) | 500,000 | 500,045 |
Reed Elsevier Capital, Inc., 5.72%, 6/15/10 (r) | 3,000,000 | 3,000,017 |
Rose Smart Growth Investment Fund, 6.045%, 4/1/21 (b)(i) | 1,000,000 | 1,000,000 |
Salvation Army, 5.46%, 9/1/16 | 160,000 | 160,400 |
Santander Issuances SA Unipersonal, 5.75%, 6/20/16 (e)(r) | 1,000,000 | 1,016,689 |
Sovereign Bancorp, Inc., 5.68%, 3/1/09 (e)(r) | 1,000,000 | 999,547 |
Sovereign Bank, 4.00%, 2/1/08 | 1,235,000 | 1,213,875 |
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% thereafter to |
|
|
10/15/97 (e)(r) | 1,000,000 | 342,945 |
Spieker Properties LP, 6.75%, 1/15/08 | 3,500,000 | 3,554,538 |
Toll Road Investors Partnership II LP, Zero Coupon, 2/15/45 (e) | 25,075,543 | 3,157,512 |
Union Financial Services -1, Inc. VRDN: |
|
|
5.80%, 10/1/32 (r) | 2,700,000 | 2,706,750 |
5.29%, 12/1/32 (r) | 4,000,000 | 4,000,000 |
UnumProvident Corp., 5.997%, 5/15/08 | 1,000,000 | 1,003,614 |
Vornado Realty LP, 5.625%, 6/15/07 | 1,000,000 | 1,000,574 |
Xerox Corp., 6.75%, 2/1/17 | 500,000 | 510,000 |
|
|
|
|
|
|
Total Corporate Bonds (Cost $130,723,094) |
| 120,353,941 |
|
|
|
|
|
|
U.S. Government Agencies and Instrumentalities - 8.0% |
|
|
Fannie Mae, 5.50%, 12/25/16 | 1,422,514 | 1,415,731 |
Federal Home Loan Bank: |
|
|
0.00%, 2/5/07 (r) | 1,000,000 | 961,250 |
STEP, 4.60% to 10/26/07, 5.00% thereafter to 10/26/07 (r) | 5,000,000 | 4,991,353 |
0.00%, 12/28/07 (r) | 2,000,000 | 1,833,400 |
Federal Home Loan Bank Discount Notes, 10/2/06 | 23,400,000 | 23,397,075 |
Freddie Mac: |
|
|
5.125%, 12/15/13 | 9,080,401 | 8,952,265 |
5.625%, 11/23/35 | 2,500,000 | 2,429,448 |
|
|
|
|
|
|
U.S. Government Agencies | Principal |
|
and Instrumentalities - Cont'd | Amount | Value |
Small Business Administration: |
|
|
5.038%, 3/10/15 | $995,117 | $981,765 |
4.94%, 8/10/15 | 1,959,186 | 1,938,230 |
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
(Cost $47,189,380) |
| 46,900,517 |
|
|
|
|
|
|
Municipal Obligations - 0.2% |
|
|
Maryland State Economic Development Corp. Revenue Bonds, |
|
|
8.625%, 10/1/19 (f)* | 3,750,000 | 1,316,254 |
|
|
|
|
|
|
Total Municipal Obligations (Cost $3,766,205) |
| 1,316,254 |
|
|
|
Taxable Municipal Obligations - 9.1% |
|
|
Adams-Friendship Area Wisconsin School District GO Bonds, |
|
|
5.42%, 3/1/17 | 200,000 | 199,676 |
Alameda California Corridor Transportation Authority Revenue |
|
|
Bonds, Zero Coupon, 10/1/11 | 6,000,000 | 4,653,960 |
Baltimore Maryland General Revenue Bonds, 5.27%, 7/1/18 | 750,000 | 747,338 |
Brownsville Texas Utility System Revenue Bonds, 5.204%, 9/1/17 | 500,000 | 492,780 |
California Statewide Communities Development Authority |
|
|
Revenue Bonds: |
|
|
5.48%, 8/1/11 | 800,000 | 812,832 |
5.01%, 8/1/15 | 635,000 | 627,380 |
Chicago Illinois GO Bonds, 5.30%, 1/1/14 | 1,500,000 | 1,509,750 |
Detroit Michigan GO Bonds, 5.15%, 4/1/25 | 3,000,000 | 2,812,830 |
Grant County Washington Public Utility District No. 2 Revenue |
|
|
Bonds, 5.17%, 1/1/15 | 500,000 | 497,970 |
Howell Township New Jersey School District GO Bonds, 5.10%, |
|
|
7/15/17 | 1,505,000 | 1,487,677 |
Illinois State Housing Development Authority Revenue Bonds, |
|
|
5.60%, 12/1/15 | 1,380,000 | 1,396,974 |
Indiana State Bond Bank Revenue Bonds: |
|
|
5.38%, 7/15/18 | 950,000 | 954,750 |
6.01%, 7/15/21 | 2,500,000 | 2,572,425 |
Inglewood California Pension Funding Revenue Bonds, |
|
|
5.07%, 9/1/20 | 660,000 | 641,362 |
King County Washington Housing Authority Revenue Bonds, |
|
|
6.375%, 12/31/46 | 500,000 | 511,265 |
Long Beach California Bond Finance Authority Revenue Bonds, |
|
|
4.80%, 8/1/16 | 1,545,000 | 1,495,452 |
Los Angeles California Community Redevelopment Agency Tax |
|
|
Allocation Bonds, 4.60%, 7/1/10 | 840,000 | 820,705 |
Malibu California Integrated Water Quality Improvement COPs, |
|
|
5.39%, 7/1/16 | 1,130,000 | 1,140,136 |
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 | 700,000 | 685,965 |
New York State MMC Corp. Revenue Bonds, 5.50%, 11/1/35 (r) | 1,000,000 | 1,000,000 |
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, |
|
|
4.06%, 10/15/10 | 4,000,000 | 3,860,360 |
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|
5.383%, 9/1/16 | 3,000,000 | 3,025,800 |
5.263%, 9/7/16 | 1,000,000 | 999,630 |
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd | Amount | Value |
Oceanside California Pension Obligation Revenue Bonds, |
|
|
5.04%, 8/15/17 | $750,000 | $731,573 |
Oregon State School Boards Association GO Bonds, Zero Coupon: |
|
|
6/30/12 | 4,000,000 | 2,988,040 |
6/30/14 | 1,500,000 | 1,006,365 |
Pennsylvania Commonwealth Financing Authority Revenue |
|
|
Bonds, 5.631%, 6/1/23 | 2,000,000 | 2,052,080 |
Philadelphia Pennsylvania School District GO Bonds, |
|
|
5.09%, 7/1/20 | 750,000 | 730,410 |
Pittsburgh Pennsylvania GO Bonds, 5.47%, 9/1/08 | 2,500,000 | 2,513,900 |
Sacramento City California Financing Authority Tax Allocation |
|
|
Revenue Bonds, 5.54%, 12/1/20 | 500,000 | 506,415 |
San Bernardino California Joint Powers Financing Authority Tax |
|
|
Allocation Bonds, 5.625%, 5/1/16 | 500,000 | 503,840 |
San Diego California Redevelopment Agency Tax Allocation |
|
|
Bonds, 5.66%, 9/1/16 | 1,500,000 | 1,529,580 |
San Jose California Redevelopment Agency Tax Allocation |
|
|
Bonds, 5.46%, 8/1/35 | 1,000,000 | 930,920 |
Secaucus New Jersey Municipal Utilities Authority |
|
|
Revenue Bonds: |
|
|
3.65%, 12/1/08 | 745,000 | 724,945 |
3.90%, 12/1/09 | 1,150,000 | 1,114,856 |
Texas Municipal Gas Corp., Gas Reservation Revenue Bonds, |
|
|
2.60%, 7/1/07 | 345,000 | 341,605 |
Texas State Public Finance Authority Revenue Bonds, |
|
|
9.00%, 12/1/06 | 912,000 | 917,572 |
University of Central Florida COPs, 5.375%, 10/1/35 | 500,000 | 471,340 |
Utah State Housing Corp. Military Housing Revenue Bonds, |
|
|
5.392%, 7/1/50 | 1,500,000 | 1,424,460 |
Vacaville California Housing Redevelopment Agency |
|
|
Tax Allocation Bonds, 6.125%, 9/1/20 | 665,000 | 688,195 |
West Contra Costa California Unified School District Revenue |
|
|
Bonds, 4.90%, 1/1/15 | 555,000 | 540,992 |
Wilkes-Barre Pennsylvania GO Bonds, 5.23%, 11/15/18 | 1,000,000 | 980,590 |
|
|
|
|
|
|
Total Taxable Municipal Obligations (Cost $53,942,876) |
| 53,644,695 |
|
|
|
|
|
|
High Social Impact Investments - 0.8% |
|
|
Calvert Social Investment Foundation Notes, |
|
|
3.00%, 7/1/07 (b)(i)(r) | 5,016,666 | 4,800,598 |
|
|
|
|
|
|
Total High Social Impact Investments (Cost $5,016,666) |
| 4,800,598 |
|
|
|
|
|
|
| Principal |
|
Certificates of Deposit - 0.1% | Amount | Value |
Alternative Federal Credit Union, 2.75%, 11/30/06 (b)(k) | $50,000 | $49,885 |
First American Credit Union, 4.00%, 12/23/06 (b)(k) | 92,000 | 91,696 |
Mission Area Federal Credit Union, 2.00%, 11/18/06 (b)(k) | 50,000 | 49,920 |
Native American Credit Union, 2.79%, 11/13/06 (b)(k) | 92,000 | 91,788 |
ShoreBank & Trust, 4.00%, 12/6/06 (b)(k) | 100,000 | 99,670 |
|
|
|
|
|
|
Total Certificates of Deposit (Cost $384,000) |
| 382,959 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $552,619,917) - 100.1% |
| 588,201,831 |
Other assets and liabilities, net - (0.1%) |
| (792,819) |
Net Assets - 100% |
| $587,409,012 |
|
|
|
|
|
|
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: 17,847,618 shares outstanding | $498,943,592 | |
Class B: 950,823 shares outstanding | 28,119,296 | |
Class C: 951,679 shares outstanding | 27,690,268 | |
Class I: 212,681 shares outstanding | 5,999,880 | |
Undistributed net investment income (loss) |
| (330,182) |
Accumulated net realized gain (loss) on investments |
| (8,372,687) |
Net unrealized appreciation (depreciation) on investments |
| 35,358,845 |
|
|
|
Net Assets |
| $587,409,012 |
|
|
|
Net Asset Value per Share |
|
|
Class A (based on net assets of $525,739,784) |
| $29.46 |
Class B (based on net assets of $27,804,881) |
| $29.24 |
Class C (based on net assets of $27,547,245) |
| $28.95 |
Class I (based on net assets of $6,317,102) |
| $29.70 |
|
|
| Underlying | Unrealized |
|
| # of | Expiration | Face Amount | Appreciation |
|
Futures | Contracts | Date | at Value | (Depreciation) |
|
Purchased: |
|
|
|
|
|
2 Year U.S. Treasury Notes | 403 | 12/06 | $82,413,500 | $86,089 |
|
5 Year U.S. Treasury Notes | 11 | 12/06 | 1,160,672 | (877) |
|
10 Year U.S. Treasury Notes | 411 | 12/06 | $44,413,687 | 176,009 |
|
Total Purchased |
|
|
| $261,221 |
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
U.S. Treasury Bonds | 309 | 12/06 | $34,733,531 | ($484,306) |
|
Total Sold |
|
|
| ($484,306) |
|
See notes to statements of net assets and notes to financial statements.
Bond Portfolio
Statement of Net Assets
September 30, 2006
| Principal |
|
Corporate Bonds - 52.1% | Amount | Value |
ACLC Business Loan Receivables Trust, 5.98%, 10/15/21 (e)(r) | $596,737 | $576,023 |
AgFirst Farm Credit Bank: |
|
|
8.393% to 12/15/11, floating rate thereafter to 12/15/16 (r) | 1,000,000 | 1,092,690 |
7.30%, 10/14/49 (e) | 2,000,000 | 1,990,210 |
Alliance Mortgage Investments, 12.64%, 6/1/10 (r) | 479,167 | 479,167 |
APL Ltd., 8.00%, 1/15/24 | 400,000 | 360,000 |
Archstone-Smith Operating Trust, 5.25%, 12/1/10 | 1,000,000 | 994,074 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e)(p) | 3,500,000 | 1,601,845 |
Atmos Energy Corp., 5.882%, 10/15/07 (r) | 3,500,000 | 3,500,955 |
Aurora Military Housing LLC, 5.32%, 12/15/20 (e) | 3,475,000 | 3,452,343 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) | 500,000 | 557,321 |
BAC Capital Trust XI, 6.625%, 5/23/36 | 3,000,000 | 3,164,039 |
Bank One Corp, 2.625%, 6/30/08 | 5,000,000 | 4,786,400 |
Bank One Texas, 6.25%, 2/15/08 | 2,080,000 | 2,107,843 |
Barclays Bank plc, 6.278% to 12/15/34, floating rate thereafter |
|
|
to 12/29/49 (r) | 1,500,000 | 1,430,265 |
BellSouth Corp., 5.58%, 8/15/08 (r) | 3,000,000 | 3,000,212 |
BellSouth Telecommunications, STEP, 0.00% to 12/15/15, |
|
|
6.65% thereafter to 12/15/95 (r) | 2,500,000 | 1,200,149 |
BF Saul, 7.50%, 3/1/14 | 1,000,000 | 1,003,750 |
Brandywine Operating Partnership LP, 5.95%, 4/1/09 (r) | 3,000,000 | 3,001,007 |
Capital One Capital III, 7.686%, 8/15/36 | 1,500,000 | 1,590,978 |
Cardinal Health, Inc., 5.64%, 10/2/09 (e)(r) | 1,250,000 | 1,249,687 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 | 4,636,924 | 4,568,310 |
Chevy Chase Bank FSB, 6.875%, 12/1/13 | 500,000 | 500,625 |
Collegiate Funding Services Education Loan Trust I: |
|
|
5.31%, 3/1/42 (r) | 10,000,000 | 10,025,000 |
5.32%, 3/1/42 (e)(r) | 5,000,000 | 5,012,500 |
Series 2003-B Class A3, 5.31%, 12/28/43 (r) | 10,000,000 | 10,025,000 |
Series 2003-B Class A5, 5.31%, 12/28/43 (r) | 1,600,000 | 1,604,000 |
Community Reinvestment Revenue Notes, 5.90%, 6/1/31 (e) | 2,000,000 | 2,032,500 |
Credit Suisse First Boston USA, Inc., 5.581%, 3/2/11 (r) | 2,500,000 | 2,502,936 |
Crown Castle Towers LLC, 4.643%, 6/15/35 (e) | 4,000,000 | 3,884,294 |
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) | 1,000,000 | 1,099,924 |
Duke Realty LP, 5.647%, 12/22/06 (r) | 2,000,000 | 2,000,201 |
Enterprise Products Operating LP, 8.375% to 8/1/16, |
|
|
floating rate thereafter to 8/1/66 (r) | 3,300,000 | 3,446,256 |
ERAC USA Finance Co., 5.30%, 11/15/08 (e) | 1,000,000 | 994,339 |
First National Bank of Omaha, 7.32%, 12/1/10 | 1,000,000 | 1,012,873 |
Glitnir banki HF: |
|
|
5.667%, 10/15/08 (e)(r) | 2,000,000 | 2,000,045 |
6.693% to 6/15/11, floating rate thereafter to 6/15/16 (e)(r) | 750,000 | 760,245 |
7.45 to 9/14/16, floating rate thereafter to 9/1/49 (e)(r) | 1,000,000 | 1,022,260 |
Global Signal Trust II, 4.232%, 12/15/14 (e) | 1,000,000 | 974,758 |
Global Signal Trust III, 5.361%, 2/15/36 (e) | 1,500,000 | 1,492,558 |
Goldman Sachs Group, Inc.: |
|
|
5.70%, 8/5/11 (r) | 5,000,000 | 5,004,535 |
6.345%, 2/15/34 | 500,000 | 499,107 |
6.45%, 5/1/36 | 500,000 | 512,135 |
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
HBOS plc, 6.413% to 10/1/35, floating rate thereafter to |
|
|
9/29/49 (e)(r) | $2,700,000 | $2,614,783 |
Health Care Property Investors, Inc.: |
|
|
5.84%, 9/15/08 (r) | 3,000,000 | 3,000,035 |
6.30%, 9/15/16 | 2,000,000 | 2,012,068 |
HRPT Properties Trust, 5.99%, 3/16/11 (r) | 4,000,000 | 4,000,034 |
HSBC Finance Corp., 4.45%, 9/15/08 | 3,000,000 | 2,965,220 |
Impac CMB Trust: |
|
|
5.60%, 5/25/35 (r) | 2,811,338 | 2,816,742 |
5.65%, 8/25/35 (r) | 1,848,747 | 1,851,987 |
Independence Community Bank Corp., 3.75% to 4/1/09, |
|
|
floating rate thereafter to 4/1/14 (r) | 3,000,000 | 2,864,371 |
Interpool Capital Trust, 9.875%, 2/15/27 | 2,095,000 | 2,168,325 |
Irwin Land LLC, 4.51%, 12/15/15 (e) | 2,591,877 | 2,497,403 |
JPMorgan Chase & Co., 4.88%, 10/28/08 (r) | 6,725,000 | 6,721,023 |
JPMorgan Chase Capital XX, 6.55%, 9/29/36 | 1,500,000 | 1,516,150 |
Kaupthing Bank HF: |
|
|
5.55%, 12/1/09 | 2,000,000 | 1,968,300 |
6.067%, 1/15/10 (e)(r) | 4,000,000 | 4,000,000 |
Kinder Morgan Energy Partners LP, 5.80%, 3/15/35 | 1,500,000 | 1,363,125 |
Kinder Morgan, Inc., 7.45%, 3/1/98 | 200,000 | 185,819 |
Landesbank Baden-Wuerttemberg, 4.67%, 2/28/07 (r) | 5,000,000 | 4,991,450 |
Landsbanki Islands HF, 6.10%, 8/25/09 (e)(r) | 1,500,000 | 1,499,975 |
Leucadia National Corp., 7.00%, 8/15/13 | 1,825,000 | 1,811,313 |
Lumbermens Mutual Casualty Co.: |
|
|
9.15%, 7/1/26 (e)(m)* | 2,942,000 | 14,710 |
8.30%, 12/1/37 (e)(m)* | 3,500,000 | 17,500 |
Masco Corp., 5.64%, 3/9/07 (e)(r) | 3,000,000 | 3,002,193 |
Mcguire Air Force Base, Military Housing Project, |
|
|
5.611%, 9/15/51 (e) | 1,500,000 | 1,500,000 |
Meridian Funding Co. LLC, 5.67%, 10/15/14 (e)(r) | 5,000,000 | 5,001,930 |
Mid-Atlantic Family Military Communities LLC: |
|
|
5.24%, 8/1/50 (e) | 1,000,000 | 961,570 |
5.30%, 8/1/50 (e) | 1,250,000 | 1,200,500 |
Midwest Family Housing LLC, 5.531%, 1/1/51 (e) | 1,500,000 | 1,446,225 |
Nationwide Health Properties, Inc.: |
|
|
6.50%, 7/15/11 | 1,500,000 | 1,538,784 |
6.90%, 10/1/37 | 1,300,000 | 1,376,655 |
Odyssey Re Holdings Corp., 6.875%, 5/1/15 | 1,100,000 | 1,045,861 |
Orkney Re II plc, Series B, 8.404%, 12/21/35 (e)(r) | 1,700,000 | 1,700,000 |
Pacific Pilot Funding Ltd., 6.25%, 10/20/16 (e)(r) | 991,050 | 989,275 |
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) | 500,000 | 508,793 |
Pioneer Natural Resources Co., 6.875%, 5/1/18 | 7,050,000 | 7,003,811 |
Preferred Term Securities IX Ltd., 6.21%, 4/3/33 (e)(r) | 1,000,000 | 1,007,220 |
Prudential Financial, Inc.: |
|
|
STEP, 4.104%, 11/15/06 (r) | 5,000,000 | 4,991,743 |
5.54%, 6/13/08 (r) | 2,000,000 | 2,004,899 |
Prudential Holdings LLC, 7.245%, 12/18/23 (e) | 1,500,000 | 1,745,617 |
RBS Capital Trust I, 6.167%, 9/29/49 (r) | 1,000,000 | 1,000,090 |
Reed Elsevier Capital, Inc., 5.72%, 6/15/10 (r) | 3,500,000 | 3,500,019 |
Regions Financial Corp., 4.50%, 8/8/08 | 3,500,000 | 3,452,733 |
Richmond County Capital Corp., 8.318%, 7/15/49 | 2,000,000 | 2,006,875 |
Salvation Army, 5.46%, 9/1/16 | 310,000 | 310,775 |
Santander Issuances SA Unipersonal, 5.75%, 6/20/16 (e)(r) | 5,000,000 | 5,083,445 |
Southwest Airlines Co., 5.496%, 11/1/06 | 3,550,000 | 3,549,593 |
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
Sovereign Bancorp, Inc., 5.68%, 3/1/09 (e)(r) | $3,315,000 | $3,313,499 |
Sovereign Bank, 4.00%, 2/1/08 | 1,500,000 | 1,474,342 |
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% |
|
|
thereafter to 10/15/97 (e)(r) | 1,000,000 | 342,945 |
Spieker Properties LP, 6.75%, 1/15/08 | 6,000,000 | 6,093,494 |
TIERS Trust, 8.45%, 12/1/17 (n)* | 439,239 | 6,589 |
Toll Road Investors Partnership II LP, Zero Coupon, 2/15/45 (e) | 45,257,613 | 5,698,839 |
Union Financial Services-1, Inc. VRDN, 5.29%, 12/1/32 (r) | 10,000,000 | 10,000,000 |
UnumProvident Corp., 5.997%, 5/15/08 | 2,000,000 | 2,007,228 |
Vornado Realty LP, 5.625%, 6/15/07 | 3,000,000 | 3,001,723 |
Xerox Corp., 6.75%, 2/1/17 | 750,000 | 765,000 |
|
|
|
|
|
|
Total Corporate Bonds (Cost $242,385,976) | 237,625,957 | |
|
|
|
|
|
|
Taxable Municipal Obligations - 29.6% |
|
|
Adams-Friendship Area Wisconsin School District GO Bonds: |
|
|
5.28%, 3/1/14 | 155,000 | 154,899 |
5.32%, 3/1/15 | 165,000 | 164,881 |
5.47%, 3/1/18 | 190,000 | 190,312 |
Alameda California Corridor Transportation Authority Revenue |
|
|
Bonds, Zero Coupon: |
|
|
10/1/06 | 2,290,000 | 2,289,313 |
10/1/08 | 9,545,000 | 8,594,413 |
10/1/11 | 11,655,000 | 9,040,317 |
Baltimore Maryland General Revenue Bonds, 5.27%, 7/1/18 | 1,250,000 | 1,245,563 |
Brownsville Texas Utility System Revenue Bonds, 5.204%, 9/1/17 | 750,000 | 739,170 |
California Statewide Communities Development Authority |
|
|
Revenue Bonds: |
|
|
Zero Coupon, 6/1/10 | 1,415,000 | 1,174,577 |
Zero Coupon, 6/1/12 | 1,530,000 | 1,144,624 |
Zero Coupon, 6/1/13 | 1,585,000 | 1,124,732 |
5.58%, 8/1/13 | 1,085,000 | 1,110,899 |
2004 Series A-2, Zero Coupon, 6/1/14 | 1,645,000 | 1,104,338 |
2006 Series A-2, Zero Coupon, 6/1/14 | 3,305,000 | 2,218,746 |
5.01%, 8/1/15 | 700,000 | 691,600 |
Zero Coupon, 6/1/19 | 2,910,000 | 1,465,330 |
Canyon Texas Regional Water Authority Revenue Bonds, |
|
|
6.10%, 8/1/21 | 750,000 | 776,858 |
Chicago Illinois GO Bonds, 5.20%, 1/1/11 | 4,770,000 | 4,787,649 |
College Park Georgia Revenue Bonds, 5.581%, 1/1/10 | 4,350,000 | 4,419,470 |
Commonwealth Pennsylvania Financing Authority Revenue |
|
|
Bonds, 5.631%, 6/1/23 | 3,000,000 | 3,078,120 |
Cook County Illinois School District GO Bonds, Zero Coupon: |
|
|
12/1/19 | 280,000 | 136,175 |
12/1/20 | 700,000 | 318,332 |
12/1/21 | 700,000 | 298,816 |
12/1/24 | 620,000 | 223,665 |
Dallas-Fort Worth Texas International Airport Facilities |
|
|
Improvement Corp. Rental Car Facility Charge |
|
|
Revenue Bonds, 6.60%, 11/1/12 | 1,635,000 | 1,726,037 |
Detroit Michigan GO Bonds, 5.15%, 4/1/25 | 5,000,000 | 4,688,050 |
Elkhart Indiana Community Schools GO Bonds, 5.70%, 7/5/15 | 1,435,000 | 1,479,672 |
Fairfield California Pension Obligation Revenue Bonds, 5.22%, |
|
|
6/1/20 | 845,000 | 833,576 |
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd | Amount | Value |
Florida State First Governmental Financing Commission |
|
|
Revenue Bonds, 5.30%, 7/1/19 | $1,340,000 | $1,322,406 |
Grant County Washington Public Utility District No. 2 |
|
|
Revenue Bonds, 5.17%, 1/1/15 | 895,000 | 891,366 |
Howell Township New Jersey School District GO Bonds, |
|
|
5.20%, 7/15/18 | 1,585,000 | 1,569,736 |
Illinois State Housing Development Authority Revenue Bonds, |
|
|
5.60%, 12/1/15 | 1,380,000 | 1,396,974 |
Indiana State Bond Bank Revenue Bonds: |
|
|
5.32%, 7/15/17 | 2,725,000 | 2,730,723 |
6.01%, 7/15/21 | 4,000,000 | 4,115,880 |
Inglewood California Pension Funding Revenue Bonds, |
|
|
5.07%, 9/1/20 | 1,000,000 | 971,760 |
Johnson City Tennessee Public Building Authority Revenue |
|
|
Bonds, 6.20%, 9/1/21 | 2,320,000 | 2,403,311 |
King County Washington Housing Authority Revenue Bonds, |
|
|
6.375%, 12/31/46 | 1,000,000 | 1,022,530 |
Lawrence Township Indiana School District GO Bonds, |
|
|
5.80%, 7/5/18 | 1,095,000 | 1,129,065 |
Long Beach California Bond Finance Authority Revenue Bonds: |
|
|
4.66%, 8/1/15 | 1,535,000 | 1,484,145 |
4.90%, 8/1/17 | 1,715,000 | 1,660,240 |
Los Angeles California Community Redevelopment Agency Tax |
|
|
Allocation Bonds, 5.27%, 7/1/13 | 970,000 | 964,316 |
Malibu California Integrated Water Quality Improvement |
|
|
COPs, 5.64%, 7/1/21 | 1,160,000 | 1,161,612 |
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 | 880,000 | 862,356 |
Nekoosa Wisconsin School District GO Bonds, 5.74%, 4/1/16 | 500,000 | 519,285 |
New Jersey State Economic Development Authority State |
|
|
Pension Funding Revenue Bonds, Zero Coupon, 2/15/12 | 2,822,000 | 2,149,771 |
New York State MMC Corp. Revenue Bonds, 5.50%, 11/1/35 (r) | 2,000,000 | 2,000,000 |
New York State Sales Tax Asset Receivables Corp. Revenue |
|
|
Bonds, 3.60%, 10/15/08 | 715,000 | 695,137 |
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|
5.383%, 9/1/16 | 5,565,000 | 5,612,859 |
5.263%, 9/7/16 | 2,000,000 | 1,999,260 |
Oceanside California Pension Obligation Revenue Bonds, |
|
|
5.04%, 8/15/17 | 1,000,000 | 975,430 |
Oklahoma City Oklahoma Airport Trust Revenue Bonds, |
|
|
5.05%, 10/1/11 | 1,455,000 | 1,448,642 |
Oregon State School Boards Association GO Bonds, Zero Coupon: |
|
|
6/30/12 | 7,000,000 | 5,229,070 |
6/30/14 | 2,500,000 | 1,677,275 |
6/30/18 | 1,195,000 | 637,389 |
Philadelphia Pennsylvania School District GO Bonds, |
|
|
5.09%, 7/1/20 | 1,000,000 | 973,880 |
Pierce County Washington Cascade Christian Schools Revenue |
|
|
Bonds, 7.65%, 12/1/09 | 569,000 | 577,108 |
Pittsburgh Pennsylvania GO Bonds, 5.47%, 9/1/08 | 6,000,000 | 6,033,360 |
Placer County California Redevelopment Agency Tax |
|
|
Allocation Bonds, 5.95%, 8/1/22 | 1,040,000 | 1,065,740 |
Sacramento City California Financing Authority Tax Allocation |
|
|
Revenue Bonds, 5.54%, 12/1/20 | 1,000,000 | 1,012,830 |
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd | Amount | Value |
San Bernardino California Joint Powers Financing Authority |
|
|
Tax Allocation Bonds, 5.625%, 5/1/16 | $1,000,000 | $1,007,680 |
San Diego California Redevelopment Agency Tax Allocation |
|
|
Bonds, 5.66%, 9/1/16 | 3,000,000 | 3,059,160 |
San Francisco City and County California Redevelopment |
|
|
Financing Authority Revenue Bonds, 5.00%, 8/1/07 | 980,000 | 978,422 |
San Jose California Redevelopment Agency Tax Allocation |
|
|
Bonds, 5.10%, 8/1/20 | 2,555,000 | 2,478,350 |
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|
3.20%, 12/1/07 | 1,295,000 | 1,267,145 |
4.20%, 12/1/10 | 1,235,000 | 1,199,395 |
Shawano-Gresham Wisconsin School District GO Bonds, |
|
|
5.94%, 3/1/17 | 825,000 | 846,433 |
Sonoma County California Pension Obligation Revenue |
|
|
Bonds, 6.625%, 6/1/13 | 3,000,000 | 3,158,940 |
Texas Municipal Gas Corp. Gas Reservation Revenue Bonds, |
|
|
2.60%, 7/1/07 | 465,000 | 460,424 |
Texas State Public Finance Authority Revenue Bonds, |
|
|
9.00%, 12/1/06 | 800,000 | 804,888 |
Thorp Wisconsin School District GO Bonds, 6.15%, 4/1/26 | 560,000 | 579,544 |
University of Central Florida COPs, 5.375%, 10/1/35 | 1,000,000 | 942,680 |
Utah State Housing Corp. Military Housing Revenue Bonds, |
|
|
5.392%, 7/1/50 | 2,000,000 | 1,899,280 |
Vacaville California Redevelopment Agency Housing Tax |
|
|
Allocation Bonds, 6.00%, 9/1/18 | 1,185,000 | 1,228,869 |
Vigo County Indiana Redevelopment Authority Economic |
|
|
Development Revenue Bonds, 4.96%, 8/1/14 | 530,000 | 523,873 |
West Contra Costa California Unified School District |
|
|
Revenue Bonds: |
|
|
4.71%, 1/1/11 | 455,000 | 446,551 |
4.76%, 1/1/12 | 475,000 | 466,531 |
4.82%, 1/1/13 | 500,000 | 488,360 |
Wilkes-Barre Pennsylvania GO Bonds, 5.33%, 11/15/20 | 1,655,000 | 1,625,905 |
|
|
|
|
|
|
Total Taxable Municipal Obligations (Cost $134,343,491) |
| 134,976,020 |
|
|
|
|
|
|
U.S. Government Agencies and Instrumentalities - 15.7% |
|
|
Fannie Mae, 5.50%, 12/25/16 | 2,370,857 | 2,359,552 |
Federal Home Loan Bank: |
|
|
0.00%, 2/5/07 (r) | 3,000,000 | 2,883,750 |
STEP, 4.60% to 10/26/06, 5.00% thereafter to 10/26/07 (r) | 7,000,000 | 6,987,895 |
0.00%, 12/28/07 (r) | 5,000,000 | 4,583,500 |
Federal Home Loan Bank Discount Notes, 10/2/06 | 33,000,000 | 32,995,875 |
Freddie Mac: |
|
|
4.125%, 7/12/10 | 3,000,000 | 2,924,356 |
5.125%, 12/15/13 | 12,382,365 | 12,207,634 |
5.625%, 11/23/35 | 3,500,000 | 3,401,227 |
Small Business Administration: |
|
|
5.038%, 3/10/15 | 995,117 | 981,765 |
4.94%, 8/10/15 | 2,448,983 | 2,422,788 |
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
(Cost $72,296,035) | 71,748,342 | |
|
|
|
| Principal |
|
High Social Impact Investments - 0.4% | Amount | Value |
Calvert Social Investment Foundation Notes, 3.00%, |
|
|
7/1/09 (b)(i)(r) | $2,087,392 | $1,997,488 |
|
|
|
|
|
|
Total High Social Impact Investments (Cost $2,087,392) | 1,997,488 | |
|
|
|
|
|
|
Equity Securities - 2.0% | Shares |
|
Conseco, Inc., Preferred | 85,000 | 2,184,500 |
Manitoba Telecom Services, Inc. | 9,261 | 399,439 |
MFH Financial Trust I, Preferred (e) | 20,000 | 1,980,000 |
ONEOK Partners LP | 3,500 | 196,875 |
Roslyn Real Estate Asset Corp., Preferred | 17 | 1,707,438 |
WoodBourne Pass-Through Trust, Preferred (e) | 25 | 2,510,156 |
|
|
|
|
|
|
Total Equity Securities (Cost $8,658,910) | 8,978,408 | |
|
|
|
Total Investments (Cost $459,771,804) - 99.8% | 455,326,215 | |
Other assets and liabilities, net - 0.2% | 687,534 | |
Net Assets - 100% | $456,013,749 | |
|
|
|
Net Assets Consist of: |
|
|
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: | ||
Class A: 21,264,196 shares outstanding | $340,397,138 | |
Class B: 1,088,714 shares outstanding | 17,310,085 | |
Class C: 1,743,175 shares outstanding | 27,649,067 | |
Class I: 4,715,033 shares outstanding | 74,377,110 | |
Undistributed net investment income |
| 180,151 |
Accumulated net realized gain (loss) on investments |
| 1,029,225 |
Net unrealized appreciation (depreciation) on investments |
| (4,929,027) |
|
|
|
Net Assets |
| $456,013,749 |
|
|
|
|
|
|
Net Asset Value per Share |
|
|
Class A (based on net assets of $336,698,289) |
| $15.83 |
Class B (based on net assets of $17,154,114) |
| $15.76 |
Class C (based on net assets of $27,447,078) |
| $15.75 |
Class I (based on net assets of $74,714,268) |
| $15.85 |
|
|
| Underlying | Unrealized |
|
| # of | Expiration | Face Amount | Appreciation |
|
Futures | Contracts | Date | at Value | (Depreciation) |
|
Purchased: |
|
|
|
|
|
2 Year U.S. Treasury Notes | 873 | 12/06 | $178,528,500 | $157,384 |
|
5 Year U.S. Treasury Notes | 20 | 12/06 | 2,110,313 | (3,158) |
|
10 Year U.S. Treasury Notes | 1,010 | 12/06 | 109,143,125 | 295,037 |
|
Total Purchased |
|
|
| $449,263 |
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
U.S. Treasury Bonds | 587 | 12/06 | $65,982,469 | ($932,725) |
|
Total Sold |
|
|
| ($932,725) |
|
See notes to statements of net assets and notes to financial statements.
Equity Portfolio
Statement of Net Assets
September 30, 2006
EQUITY SECURITIES - 96.1% | Shares | Value |
Biotechnology - 3.1% |
|
|
Amgen, Inc.* | 550,000 | $39,341,500 |
|
|
|
Capital Markets - 5.3% |
|
|
A.G. Edwards, Inc. | 250,000 | 13,320,000 |
Bank of New York Co., Inc. | 650,000 | 22,919,000 |
SEI Investments Co. | 550,000 | 30,904,500 |
|
| 67,143,500 |
|
|
|
Chemicals - 3.6% |
|
|
Air Products & Chemicals, Inc. | 500,000 | 33,185,000 |
Ecolab, Inc. | 300,000 | 12,846,000 |
|
| 46,031,000 |
|
|
|
Commercial Banks - 4.3% |
|
|
Synovus Financial Corp. | 1,200,000 | 35,244,000 |
Wachovia Corp. | 350,000 | 19,530,000 |
|
| 54,774,000 |
|
|
|
Communications Equipment - 6.8% |
|
|
Cisco Systems, Inc.* | 2,300,000 | 52,900,000 |
Motorola, Inc. | 1,350,000 | 33,750,000 |
|
| 86,650,000 |
|
|
|
Consumer Finance - 2.6% |
|
|
American Express Co. | 600,000 | 33,648,000 |
|
|
|
Electrical Equipment - 3.4% |
|
|
Cooper Industries Ltd. | 160,000 | 13,635,200 |
Emerson Electric Co. | 350,000 | 29,351,000 |
|
| 42,986,200 |
|
|
|
Electronic Equipment & Instruments - 3.4% |
|
|
CDW Corp. | 300,000 | 18,504,000 |
Molex, Inc. | 750,000 | 24,682,500 |
|
| 43,186,500 |
|
|
|
Energy Equipment & Services - 2.2% |
|
|
FMC Technologies, Inc.* | 520,000 | 27,924,000 |
|
|
|
Food & Staples Retailing - 6.2% |
|
|
Costco Wholesale Corp. | 450,000 | 22,356,000 |
Sysco Corp. | 1,050,000 | 35,122,500 |
Walgreen Co. | 500,000 | 22,195,000 |
|
| 79,673,500 |
|
|
|
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Gas Utilities - 1.8% |
|
|
Questar Corp. | 280,000 | $22,895,600 |
|
|
|
Health Care Equipment & Supplies - 8.4% |
|
|
Biomet, Inc. | 578,000 | 18,605,820 |
Medtronic, Inc. | 850,000 | 39,474,000 |
St. Jude Medical, Inc.* | 700,000 | 24,703,000 |
Varian Medical Systems, Inc.* | 450,000 | 24,025,500 |
|
| 106,808,320 |
|
|
|
Health Care Providers & Services - 1.0% |
|
|
Patterson Co's, Inc.* | 400,000 | 13,444,000 |
|
|
|
Household Products - 5.6% |
|
|
Colgate-Palmolive Co. | 550,000 | 34,155,000 |
Procter & Gamble Co. | 600,000 | 37,188,000 |
|
| 71,343,000 |
|
|
|
Industrial Conglomerates - 1.5% |
|
|
3M Co. | 250,000 | 18,605,000 |
|
|
|
Insurance - 3.2% |
|
|
Aflac, Inc. | 550,000 | 25,168,000 |
Chubb Corp. | 300,000 | 15,588,000 |
|
| 40,756,000 |
|
|
|
Internet Software & Services - 1.3% |
|
|
eBay, Inc.* | 600,000 | 17,016,000 |
|
|
|
IT Services - 5.6% |
|
|
Cognizant Technology Solutions Corp.* | 320,000 | 23,699,200 |
First Data Corp. | 600,000 | 25,200,000 |
Fiserv, Inc.* | 470,000 | 22,132,300 |
|
| 71,031,500 |
|
|
|
Machinery - 5.8% |
|
|
Dover Corp. | 600,000 | 28,464,000 |
Illinois Tool Works, Inc. | 720,000 | 32,328,000 |
Pentair, Inc. | 500,000 | 13,095,000 |
|
| 73,887,000 |
|
|
|
Multiline Retail - 5.2% |
|
|
Kohl's Corp.* | 590,000 | 38,302,800 |
Target Corp. | 500,000 | 27,625,000 |
|
| 65,927,800 |
|
|
|
Office Electronics - 2.0% |
|
|
Zebra Technologies Corp.* | 700,000 | 25,018,000 |
|
|
|
Oil, Gas & Consumable Fuels - 1.4% |
|
|
EOG Resources, Inc. (t) | 275,000 | 17,888,750 |
|
|
|
|
|
|
|
|
|
EQUITY SECURITIES - Cont'd | Shares | Value |
Pharmaceuticals - 4.9% |
|
|
Forest Laboratories, Inc.* | 450,000 | $22,774,500 |
Johnson & Johnson | 500,000 | 32,470,000 |
Pfizer, Inc. | 250,000 | 7,090,000 |
|
| 62,334,500 |
|
|
|
Semiconductors & Semiconductor Equipment - 0.7% |
|
|
Linear Technology Corp. | 300,000 | 9,336,000 |
|
|
|
Software - 2.1% |
|
|
Microsoft Corp. | 1,000,000 | 27,330,000 |
|
|
|
Specialty Retail - 4.6% |
|
|
Bed Bath & Beyond, Inc.* | 500,000 | 19,130,000 |
Home Depot, Inc. | 400,000 | 14,508,000 |
Staples, Inc. | 1,050,000 | 25,546,500 |
|
| 59,184,500 |
|
|
|
Venture Capital - 0.1% |
|
|
20/20 Gene Systems Inc., Warrants |
|
|
(strike price $.01/share, expires 8/27/13) (b)(i)* | 30,000 | - |
Cerionx Inc.: |
|
|
Series A Preferred (a)(b)(i)* | 175,932 | 353,149 |
Series A Preferred, Warrants |
|
|
(strike price $.01/share, expires 6/30/16) (b)(i)* | 73,525 | 146,852 |
Chesapeake PERL, Inc.: |
|
|
Series A-2 Preferred (b)(i)* | 240,000 | 30,000 |
Series A-2 Preferred, Warrants |
|
|
(strike price $1.25/share, expires 4/1/09) (b)(i)* | 120,000 | - |
Cylex, Inc.: |
|
|
Common Warrants |
|
|
(strike price $.0412/share, expires 11/12/13) (b)(i)* | 285,706 | - |
Series A-1 Preferred (b)(i)* | 101,742 | 93,495 |
Series B Preferred (b)(i)* | 787,268 | 211,775 |
Global Resource Options, Inc., Series A Preferred (a)(b)(i)* | 750,000 | 750,000 |
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 | 98,717 |
Series A Preferred, Warrants |
|
|
(strike price $1.00/share, expires 1/1/12) (b)(i)* | 1,104 | - |
Series B Preferred (b)(i)* | 161,759 | 231,315 |
Series C Preferred (b)(i)* | 36,984 | 52,886 |
|
| 1,968,189 |
|
|
|
Total Equity Securities (Cost $971,439,066) |
| 1,226,132,359 |
|
|
|
|
|
|
| Adjusted |
|
Limited Partnership Interest - 0.0% | Basis | Value |
China Environment Fund 2004 (b)(i)* | $152,161 | $152,161 |
SEAF India International Growth Fund LLC (b)(i)* | 198,932 | 197,087 |
Sustainable Job Fund II (b)(i)* | 100,000 | 100,000 |
|
|
|
|
|
|
Total Limited Partnership Interest (Cost $451,093) |
| 449,248 |
|
|
|
| Principal |
|
Corporate Bonds - 0.0% | Amount |
|
20/20 Gene Systems Inc., 8.00%, 6/30/07 (b)(i) | 250,000 | 187,500 |
Cylex Systems, Inc., 6.00%, 12/15/06 (b)(i) | 465,000 | 465,000 |
|
|
|
|
|
|
Total Corporate Bonds (Cost $715,000) |
| 652,500 |
|
|
|
|
|
|
High Social Impact Investments - 0.6% |
|
|
Calvert Social Investment Foundation Notes, |
|
|
3.00%, 7/1/09 (b)(i)(r) | 7,583,877 | 7,257,240 |
|
|
|
|
|
|
Total High Social Impact Investments |
|
|
(Cost $7,583,877) |
| 7,257,240 |
|
|
|
|
|
|
U.S. Government Agencies and Instrumentalities - 2.2% |
|
|
Federal Home Loan Bank Discount Notes, 10/2/06 | 28,000,000 | 27,996,500 |
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
(Cost $27,996,500) |
| 27,996,500 |
|
|
|
TOTAL INVESTMENTS (Cost $1,008,185,536) - 98.9% |
| 1,262,487,847 |
Other assets and liabilities, net - 1.1% |
| 14,027,911 |
Net Assets - 100% |
| $1,276,515,758 |
|
|
|
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: 24,429,620 shares outstanding |
| $677,573,692 |
Class B: 2,808,471 shares outstanding |
| 75,909,309 |
Class C: 3,433,021 shares outstanding |
| 88,630,070 |
Class I: 4,257,749 shares outstanding |
| 135,316,551 |
Accumulated net realized gain (loss) on investments |
| 44,783,825 |
Net unrealized appreciation (depreciation) on investments |
| 254,302,311 |
|
|
|
Net Assets |
| $1,276,515,758 |
|
|
|
Net Asset Value per Share |
|
|
Class A (based on net assets of $907,459,302) |
| $37.15 |
Class B (based on net assets of $95,902,679) |
| $34.15 |
Class C (based on net assets of $109,468,485) |
| $31.89 |
Class I (based on net assets of $163,685,292) |
| $38.44 |
See notes to statements of net assets and notes to financial statements.
Enhanced Equity Portfolio
Statement of Net Assets
September 30, 2006
Equity Securities - 98.0% |
| Shares | Value |
|
Aerospace & Defense - 0.3% |
|
|
|
|
AAR Corp.* | 9,900 | $236,016 |
| |
|
|
|
|
|
Air Freight & Logistics - 0.2% |
|
|
|
|
United Parcel Service, Inc., Class B | 2,700 | 194,238 |
| |
|
|
|
|
|
Airlines - 0.4% |
|
|
|
|
Continental Airlines, Inc. Class B* | 5,700 | 161,367 |
| |
Southwest Airlines Co. | 9,800 | 163,268 |
| |
|
|
| 324,635 |
|
|
|
|
|
|
Auto Components - 0.1% |
|
|
|
|
Autoliv, Inc. | 1,700 | 93,687 |
| |
|
|
|
|
|
Biotechnology - 2.4% |
|
|
|
|
Amgen, Inc.* | 24,500 | 1,752,485 |
| |
Gilead Sciences, Inc.* | 3,200 | 219,840 |
| |
|
|
| 1,972,325 |
|
|
|
|
|
|
Building Products - 0.3% |
|
|
|
|
Masco Corp. | 9,500 | 260,490 |
| |
|
|
|
|
|
Capital Markets - 3.6% |
|
|
|
|
Charles Schwab Corp. | 2,700 | 48,330 |
| |
Goldman Sachs Group, Inc. | 9,800 | 1,657,866 |
| |
Nuveen Investments, Inc. | 24,800 | 1,270,504 |
| |
|
|
| 2,976,700 |
|
|
|
|
|
|
Chemicals - 0.6% |
|
|
|
|
H.B. Fuller Co. | 19,600 | 459,424 |
| |
Lubrizol Corp. |
| 400 | 18,292 |
|
|
|
| 477,716 |
|
|
|
|
|
|
Commercial Banks - 2.9% |
|
|
|
|
US Bancorp | 31,200 | 1,036,464 |
| |
Wachovia Corp. | 24,300 | 1,355,940 |
| |
|
|
| 2,392,404 |
|
|
|
|
|
|
Commercial Services & Supplies - 0.4% |
|
|
|
|
United Stationers, Inc.* | 6,600 | 306,966 |
| |
|
|
|
|
|
Communications Equipment - 2.9% |
|
|
|
|
Cisco Systems, Inc.* | 70,800 | 1,628,400 |
| |
Motorola, Inc. | 19,600 | 490,000 |
| |
Qualcomm, Inc. | 8,000 | 290,800 |
| |
|
|
| 2,409,200 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Computers & Peripherals - 5.1% |
|
|
|
|
Apple Computer, Inc.* | 1,600 | $123,248 |
| |
Dell, Inc.* | 23,900 | 545,876 |
| |
EMC Corp.* | 18,800 | 225,224 |
| |
Hewlett-Packard Co. | 26,300 | 964,947 |
| |
International Business Machines Corp. | 24,000 | 1,966,560 |
| |
Lexmark International, Inc.* | 8,100 | 467,046 |
| |
|
|
| 4,292,901 |
|
|
|
|
|
|
Consumer Finance - 1.6% |
|
|
|
|
American Express Co. | 11,800 | 661,744 |
| |
First Marblehead Corp. | 9,300 | 644,118 |
| |
|
|
| 1,305,862 |
|
|
|
|
|
|
Containers & Packaging - 0.0% |
|
|
|
|
Sealed Air Corp. | 100 | 5,412 |
| |
|
|
|
|
|
Diversified Financial Services - 7.2% |
|
|
|
|
Bank of America Corp. | 49,179 | 2,634,519 |
| |
CIT Group, Inc. | 26,800 | 1,303,284 |
| |
JPMorgan Chase & Co. | 44,484 | 2,088,969 |
| |
|
|
| 6,026,772 |
|
|
|
|
|
|
Diversified Telecommunication Services - 2.4% |
|
|
|
|
AT&T, Inc. | 61,138 | 1,990,653 |
| |
|
|
|
|
|
Electric Utilities - 1.0% |
|
|
|
|
Cleco Corp. | 20,000 | 504,800 |
| |
IDACORP, Inc. | 9,300 | 351,633 |
| |
|
|
| 856,433 |
|
|
|
|
|
|
Electrical Equipment - 1.0% |
|
|
|
|
Cooper Industries Ltd. | 400 | 34,088 |
| |
Genlyte Group, Inc.* | 11,400 | 811,680 |
| |
|
|
| 845,768 |
|
|
|
|
|
|
Electronic Equipment & Instruments - 0.8% |
|
|
|
|
Agilent Technologies, Inc.* | 5,800 | 189,602 |
| |
Littelfuse, Inc.* | 13,300 | 461,510 |
| |
Molex, Inc. |
| 400 | 15,588 |
|
|
|
| 666,700 |
|
|
|
|
|
|
Energy Equipment & Services - 1.8% |
|
|
|
|
Grant Prideco, Inc.* | 500 | 19,015 |
| |
Smith International, Inc. | 11,800 | 457,840 |
| |
Unit Corp.* | 4,500 | 206,865 |
| |
Universal Compression Holdings, Inc.* | 12,300 | 657,435 |
| |
Veritas DGC, Inc.* | 3,000 | 197,460 |
| |
|
|
| 1,538,615 |
|
|
|
|
|
|
Food Products - 2.5% |
|
|
|
|
General Mills, Inc. | 22,000 | 1,245,200 |
| |
Kellogg Co. | 15,200 | 752,704 |
| |
Ralcorp Holdings, Inc.* | 1,300 | 62,699 |
| |
|
|
| 2,060,603 |
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value |
| |
Gas Utilities - 2.1% |
|
|
|
|
Energen Corp. | 18,200 | $762,034 |
| |
Equitable Resources, Inc. | 15,700 | 549,186 |
| |
Oneok, Inc. | 11,700 | 442,143 |
| |
|
|
| 1,753,363 |
|
|
|
|
|
|
Health Care Equipment & Supplies - 1.3% |
|
|
|
|
Becton Dickinson & Co. | 5,600 | 395,752 |
| |
Medtronic, Inc. | 14,900 | 691,956 |
| |
|
|
| 1,087,708 |
|
|
|
|
|
|
Health Care Providers & Services - 5.6% |
|
|
|
|
AMERIGROUP Corp.* | 200 | 5,910 |
| |
AmerisourceBergen Corp. | 21,800 | 985,360 |
| |
Cardinal Health, Inc. | 10,450 | 686,983 |
| |
Caremark Rx, Inc. | 16,600 | 940,722 |
| |
Coventry Health Care, Inc.* | 1,825 | 94,024 |
| |
Express Scripts, Inc.* | 8,600 | 649,214 |
| |
Lincare Holdings, Inc.* | 700 | 24,248 |
| |
McKesson Corp. | 24,300 | 1,281,096 |
| |
WellCare Health Plans, Inc.* | 800 | 45,304 |
| |
|
|
| 4,712,861 |
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 0.8% |
|
|
|
|
Darden Restaurants, Inc. | 16,200 | 688,014 |
| |
|
|
|
|
|
Household Durables - 0.6% |
|
|
|
|
American Greetings Corp. | 1,300 | 30,056 |
| |
Black & Decker Corp. | 6,300 | 499,905 |
| |
|
|
| 529,961 |
|
|
|
|
|
|
Household Products - 3.5% |
|
|
|
|
Colgate-Palmolive Co. | 1,700 | 105,570 |
| |
Kimberly-Clark Corp. | 12,500 | 817,000 |
| |
Procter & Gamble Co. | 32,737 | 2,029,039 |
| |
|
|
| 2,951,609 |
|
|
|
|
|
|
Industrial Conglomerates - 1.4% |
|
|
|
|
3M Co. | 15,800 | 1,175,836 |
| |
|
|
|
|
|
Insurance - 6.4% |
|
|
|
|
21st Century Insurance Group | 2,500 | 37,375 |
| |
Chubb Corp. | 13,100 | 680,676 |
| |
Commerce Group, Inc. | 12,300 | 369,615 |
| |
Hartford Financial Services Group, Inc. | 4,600 | 399,050 |
| |
Lincoln National Corp. | 3,900 | 242,112 |
| |
Odyssey Re Holdings Corp. | 7,700 | 260,106 |
| |
Phoenix Co.'s, Inc. | 1,900 | 26,600 |
| |
Principal Financial Group | 13,300 | 721,924 |
| |
Prudential Financial, Inc. | 9,600 | 732,000 |
| |
Safeco Corp. | 1,000 | 58,930 |
| |
St. Paul Travelers Co.'s, Inc. | 29,300 | 1,373,877 |
| |
StanCorp Financial Group, Inc. | 4,900 | 218,687 |
| |
UnumProvident Corp. | 10,500 | 203,595 |
| |
|
|
| 5,324,547 |
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value |
| |
Internet & Catalog Retail - 0.3% |
|
|
|
|
Expedia, Inc.* | 14,000 | $219,520 |
| |
Liberty Media Holding Corp. - Interactive* | 325 | 6,624 |
| |
|
|
| 226,144 |
|
|
|
|
|
|
IT Services - 2.6% |
|
|
|
|
Acxiom Corp. | 5,600 | 138,096 |
| |
Automatic Data Processing, Inc. | 21,600 | 1,022,544 |
| |
First Data Corp. | 17,400 | 730,800 |
| |
Tyler Technologies, Inc.* | 19,500 | 252,135 |
| |
|
|
| 2,143,575 |
|
|
|
|
|
|
Life Sciences - Tools & Services - 0.1% |
|
|
|
|
Applera Corp. - Applied Biosystems Group | 1,600 | 52,976 |
| |
Varian, Inc.* | 300 | 13,761 |
| |
|
|
| 66,737 |
|
|
|
|
|
|
Machinery - 4.8% |
|
|
|
|
Cummins, Inc. | 7,700 | 918,071 |
| |
Danaher Corp. | 13,000 | 892,710 |
| |
Illinois Tool Works, Inc. | 18,040 | 809,996 |
| |
Nordson Corp. | 6,100 | 243,146 |
| |
Parker Hannifin Corp. | 5,000 | 388,650 |
| |
Terex Corp.* | 14,700 | 664,734 |
| |
Valmont Industries, Inc. | 1,800 | 94,050 |
| |
|
|
| 4,011,357 |
|
|
|
|
|
|
Media - 4.5% |
|
|
|
|
Cablevision Systems Corp. | 1,500 | 34,065 |
| |
John Wiley & Sons, Inc. | 4,800 | 172,848 |
| |
McGraw-Hill Co.'s, Inc. | 23,500 | 1,363,705 |
| |
Omnicom Group, Inc. | 2,000 | 187,200 |
| |
Time Warner, Inc. | 88,300 | 1,609,709 |
| |
Univision Communications, Inc.* | 11,100 | 381,174 |
| |
|
|
| 3,748,701 |
|
|
|
|
|
|
Metals & Mining - 0.1% |
|
|
|
|
Reliance Steel & Aluminum Co. | 2,800 | 89,992 |
| |
|
|
|
|
|
Multiline Retail - 3.1% |
|
|
|
|
Kohl's Corp.* | 20,200 | 1,311,384 |
| |
Nordstrom, Inc. | 13,200 | 558,360 |
| |
Target Corp. | 13,700 | 756,925 |
| |
|
|
| 2,626,669 |
|
|
|
|
|
|
Multi-Utilities - 1.6% |
|
|
|
|
MDU Resources Group, Inc. | 36,300 | 810,942 |
| |
NiSource, Inc. | 5,500 | 119,570 |
| |
OGE Energy Corp. | 11,600 | 418,876 |
| |
|
|
| 1,349,388 |
|
|
|
|
|
|
Office Electronics - 0.2% |
|
|
|
|
Xerox Corp.* | 9,800 | 152,488 |
| |
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Oil, Gas & Consumable Fuels - 4.4% |
|
|
|
|
Chesapeake Energy Corp. | 700 | $20,286 |
| |
EOG Resources, Inc. | 17,000 | 1,105,850 |
| |
Kinder Morgan, Inc. | 7,600 | 796,860 |
| |
Overseas Shipholding Group, Inc. | 14,000 | 864,780 |
| |
Plains Exploration & Production Co.* | 2,100 | 90,111 |
| |
St Mary Land & Exploration Co. |
| 4,500 | 165,195 |
|
XTO Energy, Inc. | 14,942 | 629,506 |
| |
|
|
| 3,672,588 |
|
|
|
|
|
|
Personal Products - 0.2% |
|
|
|
|
Playtex Products, Inc.* | 12,200 | 163,480 |
| |
|
|
|
|
|
Pharmaceuticals - 4.5% |
|
|
|
|
Johnson & Johnson |
| 21,100 | 1,370,234 |
|
Perrigo Co. | 16,800 | 285,096 |
| |
Pfizer, Inc. | 74,400 | 2,109,984 |
| |
|
|
| 3,765,314 |
|
|
|
|
|
|
Real Estate Investment Trusts - 1.0% |
|
|
|
|
Equity Office Properties Trust | 3,500 | 139,160 |
| |
FelCor Lodging Trust, Inc. | 6,100 | 122,305 |
| |
New Century Financial Corp. | 15,700 | 617,167 |
| |
|
|
| 878,632 |
|
|
|
|
|
|
Real Estate Management & Development - 0.2% |
|
|
|
|
CB Richard Ellis Group, Inc.* | 5,400 | 132,840 |
| |
|
|
|
|
|
Semiconductors & Semiconductor Equipment - 2.7% |
|
|
|
|
Intel Corp. | 34,400 | 707,608 |
| |
Lam Research Corp.* | 6,800 | 308,244 |
| |
MEMC Electronic Materials, Inc.* | 500 | 18,315 |
| |
Micron Technology, Inc.* | 36,200 | 629,880 |
| |
Texas Instruments, Inc. | 19,000 | 631,750 |
| |
|
|
| 2,295,797 |
|
|
|
|
|
|
Software - 3.4% |
|
|
|
|
BEA Systems, Inc.* | 27,800 | 422,560 |
| |
BMC Software, Inc.* | 8,400 | 228,648 |
| |
Compuware Corp.* | 15,700 | 122,303 |
| |
Manhattan Associates, Inc.* | 7,400 | 178,636 |
| |
Microsoft Corp. | 64,300 | 1,757,319 |
| |
Sybase, Inc.* | 4,400 | 106,656 |
| |
|
|
| 2,816,122 |
|
|
|
|
|
|
Specialty Retail - 2.9% |
|
|
|
|
Best Buy Co., Inc. | 700 | 37,492 |
| |
Gap, Inc. |
| 12,625 | 239,244 |
|
Home Depot, Inc. | 39,400 | 1,429,038 |
| |
Office Depot, Inc.* | 4,400 | 174,680 |
| |
Staples, Inc. | 23,150 | 563,239 |
| |
|
|
| 2,443,693 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Thrifts & Mortgage Finance - 1.7% |
|
|
|
|
Freddie Mac | 9,400 | $623,502 |
| |
Triad Guaranty, Inc.* | 1,100 | 56,287 |
| |
Washington Mutual, Inc. | 17,025 | 740,077 |
| |
|
|
| 1,419,866 |
|
|
|
|
|
|
Wireless Telecommunication Services - 0.5% |
|
|
|
|
American Tower Corp.* | 10,500 | 383,250 |
| |
|
|
|
|
|
|
|
|
|
|
Total Equity Securities (Cost $70,781,838) |
| 81,844,628 |
| |
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies |
| Principal |
|
|
and Instrumentalities - 1.6% | Amount | Value |
| |
Federal Home Loan Bank Discount Notes, 10/2/06 | $1,300,000 | $1,299,838 |
| |
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
|
(Cost $1,299,838) |
| 1,299,838 |
| |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $72,081,676) - 99.6% |
|
| 83,144,466 |
|
Other assets and liabilities, net - 0.4% |
| 342,381 |
| |
Net Assets - 100% |
|
| $83,486,847 |
|
|
|
|
|
|
|
|
|
|
|
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: 2,938,132 shares outstanding |
|
| $46,624,410 |
|
Class B: 448,247 shares outstanding |
|
| 6,696,552 |
|
Class C: 429,372 shares outstanding |
|
| 6,831,239 |
|
Class I: 477,155 shares outstanding |
|
| 8,973,065 |
|
Undistributed net investment income |
| �� | 281,353 |
|
Accumulated net realized gain (loss) on investments |
|
| 3,017,438 |
|
Net unrealized appreciation (depreciation) on investments |
|
| 11,062,790 |
|
|
|
|
|
|
Net Assets |
| $83,486,847 |
| |
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Class A (based on net assets of $58,020,133) |
|
| $19.75 |
|
Class B (based on net assets of $8,156,255) |
|
| $18.20 |
|
Class C (based on net assets of $7,846,363) |
|
| $18.27 |
|
Class I (based on net assets of $9,464,096) |
|
| $19.83 |
|
See notes to statement 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 per conditions of the Supplemental Indenture until July 1, 2007. At September 30, 2006 accumulated deferred interest totaled $1,102,458 and includes interest accrued since and due on October 1, 2003.
(h) Represents rate in effect at September 30, 2006, 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, 2006, the prime rate was 8.25%.
(i) Restricted securities represent 2.6% of the net assets for Balanced Portfolio, 0.4% for Bond Portfolio, and 0.8% 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.
(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments due in August of 2006. This security is no longer accruing interest. The total interest due from this security, as of September 30, 2006, for Balanced and Bond portfolios are $221,386 and $148,172, respectively.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
(s) 45,000 shares of Bank of America Corp. held by the Balanced Portfolio have been soft segregated in order to cover outstanding commitments to certain limited partnership investments within the Portfolio. There are no restrictions on the trading of this security.
(t) 35,000 shares of EOG Resources, Inc. held by the Equity Portfolio have been soft segregated in order to cover outstanding commitments to certain limited partnership investments within the Portfolio. There are no restrictions on the trading of this security.
(w) Security is in default and is no longer accruing interest. Interest totaling $113,772 was written off in September 2006.
(x) Security is in default and is no longer accruing interest. Interest totaling $9,569 was written off in September 2006.
(y) Security is in default and is no longer accruing interest. Interest totaling $5,757 was written off in September 2006.
(z) Security is in default and is no longer accruing interest. Interest totaling $3,535 was written off in September 2006.
* Non-income producing security.
See notes to financial statements.
Explanation of Guarantees: | Abbreviations: |
BPA: Bond Purchase Agreement | ADR: American Depository Receipt |
CA: Collateral Agreement | AMBAC: American Municipal Bond Assurance Corp. |
CF: Credit Facility | COPs: Certificates of Participation |
C/LOC: Confirming Letter of Credit | FGIC: Financial Guaranty Insurance Company |
LOC: Letter of Credit | 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. |
| STEP: Stepped coupon bond for which the coupon rate of interest will adjust on specified future date(s) |
| 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 | 5/25/05 - 5/18/06 | 236,207 |
Angels With Attitude LLC | 08/28/00 - 04/30/03 | 200,000 |
Calvert Social Investment Foundation Notes, |
|
|
3.00%, 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 | - |
(strike price $0.01/share, expires 4/21/14) | 03/11/05 | - |
Coastal Venture Partners | 06/07/96 - 06/22/00 | 173,067 |
Commons Capital | 2/15/01 - 5/8/06 | 355,332 |
Distributed Energy Systems Corp. Warrants (strike price $2.80/share, expires 12/17/06) |
|
|
Tranch 1 | 01/06/04 | - |
Tranch 2 | 01/06/04 | - |
Environmental Private Equity Fund II | 12/31/93 - 11/21/97 | 13,863 |
First Analysis Private Equity Fund IV | 2/25/02 - 6/6/06 | 390,315 |
GEEMF Partners | 02/28/97 | 185,003 |
|
|
|
|
|
|
Balanced Portfolio |
|
|
Restricted Securities |
|
|
(Cont'd) | Acquisition Dates | Cost |
Global Environment Emerging Markets Fund | 01/14/94 - 12/01/95 | $757,589 |
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 | - |
H2Gen Innovations, Inc., Series C Preferred | 6/1/06 | 52,886 |
Hambrecht & Quist Environmental Technology Fund | 08/11/89 - 08/10/94 | 254,513 |
Hayes Medical Common Stock | 01/31/97 - 07/22/99 | 504,331 |
Hayes Medical Series A-1 Preferred Stock | 08/19/05 | 4,417 |
Hayes Medical Series B Preferred Stock | 08/19/05-02/10/06 | 139,576 |
Hayes Medical Series C Preferred Stock | 08/19/05-02/10/06 | 120,342 |
Inflabloc | 12/29/03 | 261,945 |
Infrastructure and Environmental Private Equity Fund III | 04/16/97 - 02/12/01 | 493,425 |
KDM Development Corp., 2.41%, 12/31/07 | 11/03/99 | 724,421 |
Labrador Ventures III | 08/11/98 - 04/02/01 | 360,875 |
Labrador Ventures IV | 12/14/99 - 06/27/05 | 826,683 |
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 - 09/07/06 | 200,000 |
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 | 6/23/03-2/10/04 | 75,360 |
Plethora Technology Series A Preferred Warrants | 6/8/06 | - |
Plethora Technology Note | 6/8/06 | 150,000 |
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 | 80,454 |
Rose Smart Growth Fund I LP Note | 4/10/06 | 1,000,000 |
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 $0.01, expires 5/26/2015) | 05/27/05 | - |
Solstice Capital | 06/26/01 - 03/28/06 | 360,526 |
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%, 6/30/07 | 8/29/03 | $250,000 |
Warrants (strike price $.01/share, expires 8/27/13) | 8/29/03 | 14,700 |
Calvert Social Investment Foundation Notes, 3.00%, 7/1/09 | 7/3/06 | 7,583,877 |
Cerionx, Inc.: |
|
|
Series A Preferred Stock | 6/30/06 | 353,149 |
Series A Preferred Warrants (strike price $0.01/share, |
|
|
expires 6/30/16) | 6/30/06 | 146,852 |
China Environment Fund 2004 LP | 9/15/05-9/21/06 | 152,161 |
Chesapeake PERL, Inc.: |
|
|
Series A-2 Preferred Warrants (strike price $1.25/share, |
|
|
expires 4/1/09) | 5/17/05 | - |
Series A-2 Preferred | 7/30/04 | 300,000 |
Cylex, Inc.: |
|
|
Common Warrants (strike price $.041/share, |
|
|
expires 11/12/13) | 6/30/04 | 13,525 |
Series A-1 Preferred | 6/30/04 | 335,750 |
Series B Preferred | 6/30/04 | 211,775 |
Note, 6.00%, 12/15/06 | 4/3/06-9/28/06 | 465,000 |
Global Resource Options, Inc., Series A Preferred | 9/18/2006 | 750,000 |
H2Gen Innovations, Inc.: |
|
|
Common Stock | 11/4/04 | - |
Common Warrants (strike price $1.00/share, |
|
|
expires 10/31/13) | 11/4/04 | - |
Series A Preferred | 11/4/04 | 251,496 |
Series A Preferred Warrants (strike price $1.00/share, |
|
|
expires 1/1/12) | 11/4/04 | - |
Series B Preferred | 10/21/04-10/27/04 | 161,759 |
Series C Preferred | 6/1/06 | 52,886 |
SEAF India International Growth Fund LLC | 3/22/05-5/24/06 | 198,932 |
Sustainable Jobs Fund II LP | 2/14/06-4/4/06 | 100,000 |
|
|
|
|
|
|
Bond Portfolio |
|
|
Restricted Securities | Acquisition Dates | Cost |
Calvert Social Investment Foundation Notes, |
|
|
3.00%, 7/1/09 | 07/03/06 | $2,087,329 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2006
|
| Money |
|
|
|
|
| Market | Balanced | Bond |
|
Net Investment Income |
| Portfolio | Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
|
Interest income |
| $7,805,683 | $11,734,787 | $19,407,026 |
|
Dividend income (net of foreign taxes withheld |
|
|
|
|
|
of $0, $3,200, and $3,188, respectively) |
| -- | 6,210,505 | 658,553 |
|
Total investment income |
| 7,805,683 | 17,945,292 | 20,065,579 |
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Investment advisory fee |
| 493,454 | 2,439,940 | 1,327,523 |
|
Transfer agency fees and expenses |
| 394,007 | 994,622 | 687,377 |
|
Administrative fees |
| 328,970 | 1,587,950 | 1,036,308 |
|
Distribution Plan expenses: |
|
|
|
|
|
Class A |
| -- | 1,228,134 | 576,496 |
|
Class B |
| -- | 285,594 | 179,414 |
|
Class C |
| -- | 265,412 | 223,184 |
|
Trustees' fees and expenses |
| 24,829 | 95,774 | 59,458 |
|
Custodian fees |
| 24,606 | 140,235 | 102,942 |
|
Registration fees |
| 20,998 | 47,406 | 64,336 |
|
Reports to shareholders |
| 45,801 | 168,683 | 68,297 |
|
Professional fees |
| 23,755 | 45,738 | 31,099 |
|
Miscellaneous |
| 52,738 | 192,989 | 41,399 |
|
Total expenses |
| 1,409,158 | 7,492,477 | 4,397,833 |
|
Reimbursement from Advisor: |
|
|
|
|
|
Class I |
| -- | (8,009) | -- |
|
Fees paid indirectly |
| (18,442) | (50,054) | (47,367) |
|
Net expenses |
| 1,390,716 | 7,434,414 | 4,350,466 |
|
|
|
|
|
|
|
Net Investment Income |
| 6,414,967 | 10,510,878 | 15,715,113 |
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
|
Investments |
| (1,406) | 25,615,123 | 257,706 |
|
Foreign currency transactions |
| -- | (132) | (147) |
|
Futures |
| -- | 126,972 | 704,896 |
|
|
| (1,406) | 25,741,963 | 962,455 |
|
|
|
|
|
|
|
Change in unrealized appreciation or (depreciation) on: |
|
|
|
|
|
Investments |
| -- | (3,321,035) | (370,837) |
|
Foreign currency transactions |
| -- | (56) | (48) |
|
Futures |
| -- | (145,089) | (375,312) |
|
|
| -- | (3,466,180) | (746,197) |
|
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
| (1,406) | 22,275,783 | 216,258 |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| $6,413,561 | $32,786,661 | $15,931,371 |
|
See notes to financial statements.
Statements of Operations
Year ended September 30, 2006
|
|
| Enhanced |
|
|
| Equity | Equity |
|
Net Investment Income |
| Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
Interest income |
| $987,682 | $15,342 |
|
Dividend income |
| 13,575,233 | 1,318,101 |
|
Total investment income |
| 14,562,915 | 1,333,443 |
|
|
|
|
|
|
Expenses: |
|
|
|
|
Investment advisory fee |
| 6,255,016 | 447,502 |
|
Transfer agency fees and expenses |
| 2,438,370 | 159,204 |
|
Administrative fees |
| 2,355,881 | 109,591 |
|
Distribution Plan expenses: |
|
|
|
|
Class A |
| 2,236,884 | 134,687 |
|
Class B |
| 1,017,894 | 86,531 |
|
Class C |
| 1,083,344 | 74,865 |
|
Trustees' fees and expenses |
| 194,661 | 11,190 |
|
Custodian fees |
| 102,813 | 30,732 |
|
Registration fees |
| 68,436 | 44,454 |
|
Reports to shareholders |
| 299,576 | 23,228 |
|
Professional fees |
| 62,013 | 19,482 |
|
Miscellaneous |
| 165,135 | 14,252 |
|
Total expenses |
| 16,280,023 | 1,155,718 |
|
Reimbursement from Advisor: |
|
|
|
|
Class I |
| -- | (11,747) |
|
Fees waived |
| -- | (74,584) |
|
Fees paid indirectly |
| (92,114) | (22,791) |
|
Net expenses |
| 16,187,909 | 1,046,596 |
|
|
|
|
|
|
Net Investment Income (Loss) |
| (1,624,994) | 286,847 |
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) on Investments |
|
|
|
|
Net realized gain (loss) |
| 50,314,004 | 3,979,468 |
|
Change in unrealized appreciation or (depreciation) |
| 31,258,382 | 1,975,152 |
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
Gain (Loss) on Investments |
| 81,572,386 | 5,954,620 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| $79,947,392 | $6,241,467 |
|
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 | 2006 | 2005 |
Operations: |
|
|
Net investment income | $6,414,967 | $3,088,312 |
Net realized gain (loss) | (1,406) | (1,269) |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | 6,413,561 | 3,087,043 |
|
|
|
Distributions to shareholders from |
|
|
Net investment income | (6,408,722) | (3,089,090) |
|
|
|
Capital share transactions: |
|
|
Shares sold | 140,614,162 | 127,234,499 |
Reinvestment of distributions | 6,267,054 | 3,019,563 |
Shares redeemed | (140,511,863) | (139,950,325) |
Total capital share transactions | 6,369,353 | (9,696,263) |
|
|
|
Total Increase (Decrease) in Net Assets | 6,374,192 | (9,698,310) |
|
|
|
Net Assets |
|
|
Beginning of year | 160,217,838 | 169,916,148 |
End of year (including undistributed net investment income of $15,152 and $8,907, respectively.) | $166,592,030 | $160,217,838 |
|
|
|
Capital Share Activity |
|
|
Shares sold | 140,612,935 | 127,234,384 |
Reinvestment of distributions | 6,267,054 | 3,019,563 |
Shares redeemed | (140,511,863) | (139,950,325) |
Total capital share activity | 6,368,126 | (9,696,378) |
|
|
|
|
|
|
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 | 2006 | 2005 |
Operations: |
|
|
Net investment income | $10,510,878 | $8,377,868 |
Net realized gain (loss) | 25,741,963 | 24,633,280 |
Change in net unrealized appreciation or (depreciation) | (3,466,180) | 17,770,092 |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | 32,786,661 | 50,781,240 |
|
|
|
Distributions to shareholders from: |
|
|
Net investment income: |
|
|
Class A Shares | (8,257,102) | (7,319,170) |
Class B Shares | (179,289) | (121,583) |
Class C Shares | (178,850) | (118,725) |
Class I Shares | (52,154) | (13,510) |
Total distributions | (8,667,395) | (7,572,988) |
|
|
|
Capital share transactions: |
|
|
Shares sold: |
|
|
Class A Shares | 41,010,513 | 67,015,343 |
Class B Shares | 3,431,432 | 4,708,898 |
Class C Shares | 4,654,174 | 5,789,432 |
Class I Shares | 5,179,485 | 1,000,000 |
Reinvestment of distributions: |
|
|
Class A Shares | 7,678,407 | 6,821,499 |
Class B Shares | 157,471 | 107,216 |
Class C Shares | 141,219 | 96,656 |
Class I Shares | 52,154 | 13,510 |
Redemption Fees: |
|
|
Class A Shares | 6,064 | 6,562 |
Class B Shares | 1,045 | -- |
Class C Shares | 76 | -- |
Shares redeemed: |
|
|
Class A Shares | (62,377,817) | (81,484,063) |
Class B Shares | (5,539,048) | (3,154,737) |
Class C Shares | (4,317,171) | (3,582,699) |
Class I Shares | (212,693) | (35,000) |
Total capital share transactions | (10,134,689) | (2,697,383) |
|
|
|
Total Increase (Decrease) in Net Assets | 13,984,577 | 40,510,869 |
|
|
|
Net Assets |
|
|
Beginning of year | 573,424,435 | 532,913,566 |
End of year (including distributions in excess of net investment income of $330,182 and $458,737, respectively.) | $587,409,012 | $573,424,435 |
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
Balanced Portfolio |
|
|
Statements of Changes in Net Assets |
|
|
|
|
|
Balanced Portfolio (Cont'd) |
|
|
| Year Ended | Year Ended |
| September 30, | September 30, |
Capital Share Activity | 2006 | 2005 |
Shares sold: |
|
|
Class A Shares | 1,429,297 | 2,434,440 |
Class B Shares | 120,224 | 173,616 |
Class C Shares | 164,769 | 215,155 |
Class I Shares | 182,645 | 36,404 |
Reinvestment of distributions: |
|
|
Class A Shares | 265,723 | 247,707 |
Class B Shares | 5,477 | 3,929 |
Class C Shares | 4,961 | 3,577 |
Class I Shares | 1,775 | 487 |
Shares redeemed: |
|
|
Class A Shares | (2,175,021) | (2,962,145) |
Class B Shares | (194,190) | (115,722) |
Class C Shares | (152,953) | (132,780) |
Class I Shares | (7,399) | (1,231) |
Total capital share activity | (354,692) | (96,563) |
|
|
|
|
|
|
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 | 2006 | 2005 |
Operations: |
|
|
Net investment income | $15,715,113 | $7,265,407 |
Net realized gain (loss) | 962,455 | 6,743,570 |
Change in net unrealized appreciation or (depreciation) | (746,197) | (2,421,085) |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | 15,931,371 | 11,587,892 |
|
|
|
Distributions to shareholders from: |
|
|
Net investment income: |
|
|
Class A Shares | (11,961,983) | (5,951,620) |
Class B Shares | (566,638) | (370,517) |
Class C Shares | (736,469) | (333,980) |
Class I Shares | (2,419,730) | (686,336) |
Net realized gain: |
|
|
Class A Shares | (4,707,247) | (4,971,041) |
Class B Shares | (343,184) | (502,129) |
Class C Shares | (373,442) | (391,255) |
Class I shares | (630,977) | (513,303) |
Total distributions | (21,739,670) | (13,720,181) |
|
|
|
Capital share transactions: |
|
|
Shares sold: |
|
|
Class A Shares | 152,030,120 | 94,693,932 |
Class B Shares | 2,799,182 | 3,724,200 |
Class C Shares | 12,331,016 | 8,153,394 |
Class I Shares | 51,898,733 | 21,360,132 |
Reinvestment of distributions: |
|
|
Class A Shares | 14,226,137 | 9,326,059 |
Class B Shares | 720,575 | 669,666 |
Class C Shares | 763,125 | 512,874 |
Class I Shares | 2,555,650 | 1,136,638 |
Redemption Fees |
|
|
Class A Shares | 10,563 | 4,889 |
Class B Shares | 108 | 20 |
Class C Shares | 1,044 | 1 |
Class I Shares | -- | 1 |
Shares redeemed: |
|
|
Class A Shares | (62,210,559) | (37,488,177) |
Class B Shares | (4,494,744) | (3,273,463) |
Class C Shares | (4,571,499) | (2,388,981) |
Class I Shares | (8,746,461) | (10,318,779) |
Total capital share transactions | 157,312,990 | 86,112,406 |
|
|
|
Total Increase (Decrease) In Net Assets | 151,504,691 | 83,980,117 |
|
|
|
|
|
|
Net Assets |
|
|
Beginning of year | 304,509,058 | 220,528,941 |
End of year (including undistributed net investment income of $180,151 and $116,777, respectively.) | $456,013,749 | $304,509,058 |
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
Statements of Changes in Net Assets |
|
|
|
|
|
|
|
|
Bond Portfolio (Cont'd) |
|
|
|
|
|
| Year Ended | Year Ended |
| September 30, | September 30, |
Capital Share Activity | 2006 | 2005 |
Shares sold: |
|
|
Class A Shares | 9,641,342 | 5,849,097 |
Class B Shares | 178,026 | 231,341 |
Class C Shares | 788,743 | 506,345 |
Class I Shares | 3,297,475 | 1,318,309 |
Reinvestment of distributions: |
|
|
Class A Shares | 904,327 | 580,686 |
Class B Shares | 45,966 | 41,926 |
Class C Shares | 48,763 | 32,131 |
Class I Shares | 162,618 | 70,744 |
Shares redeemed: |
|
|
Class A Shares | (3,956,333) | (2,315,670) |
Class B Shares | (287,432) | (203,350) |
Class C Shares | (292,379) | (148,614) |
Class I Shares | (554,713) | (640,251) |
Total capital share activity | 9,976,403 | 5,322,694 |
|
|
|
|
|
|
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 | 2006 | 2005 |
Operations: |
|
|
Net investment income (loss) | ($1,624,994) | ($137,931) |
Net realized gain (loss) | 50,314,004 | 38,626,683 |
Change in net unrealized appreciation or (depreciation) | 31,258,382 | 81,066,598 |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | 79,947,392 | 119,555,350 |
|
|
|
Distributions to shareholders from: |
|
|
Net realized gain: |
|
|
Class A Shares | (14,503,159) | -- |
Class B Shares | (1,866,742) | -- |
Class C Shares | (2,070,445) | -- |
Class I shares | (2,211,269) | -- |
Total distributions | (20,651,615) | -- |
|
|
|
Capital share transactions: |
|
|
Shares sold: |
|
|
Class A Shares | 176,379,714 | 209,392,150 |
Class B Shares | 5,868,644 | 8,843,231 |
Class C Shares | 15,101,597 | 21,111,203 |
Class I Shares | 48,424,776 | 80,048,726 |
Reinvestment of distributions: |
|
|
Class A Shares | 13,424,975 | -- |
Class B Shares | 1,602,754 | -- |
Class C Shares | 1,604,063 | -- |
Class I Shares | 2,175,397 | -- |
Redemption Fees: |
|
|
Class A Shares | 11,367 | 22,908 |
Class B Shares | 172 | 535 |
Class C Shares | 298 | 54 |
Class I Shares | 254 | -- |
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 | (184,186,017) | (150,307,883) |
Class B Shares | (20,539,843) | (19,892,846) |
Class C Shares | (18,651,988) | (17,431,629) |
Class I Shares | (29,060,358) | (52,828,409) |
Total capital share transactions | 12,155,805 | 123,934,480 |
|
|
|
Total Increase (Decrease) in Net Assets | 71,451,582 | 243,489,830 |
|
|
|
Net Assets |
|
|
Beginning of year | 1,205,064,176 | 961,574,346 |
End of year | $1,276,515,758 | $1,205,064,176 |
|
|
|
|
|
|
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 | 2006 | 2005 |
Shares sold: |
|
|
Class A Shares | 4,906,670 | 6,156,949 |
Class B Shares | 176,817 | 279,313 |
Class C Shares | 486,790 | 713,748 |
Class I Shares | 1,309,682 | 2,286,950 |
Reinvestment of distributions: |
|
|
Class A Shares | 374,790 | -- |
Class B Shares | 48,348 | -- |
Class C Shares | 51,844 | -- |
Class I Shares | 58,938 | -- |
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 | (5,127,682) | (4,409,408) |
Class B Shares | (619,939) | (626,005) |
Class C Shares | (603,149) | (585,706) |
Class I Shares | (784,029) | (1,507,553) |
Total capital share activity | 279,080 | 3,736,311 |
|
|
|
|
|
|
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 | 2006 | 2005 |
Operations: |
|
|
Net investment income | $286,847 | $326,945 |
Net realized gain (loss) | 3,979,468 | 4,134,578 |
Net increase from payment by affiliate | -- | 132,790 |
Change in net unrealized appreciation or (depreciation) | 1,975,152 | 2,881,760 |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | 6,241,467 | 7,476,073 |
|
|
|
Distributions to shareholders from: |
|
|
Net investment income: |
|
|
Class A Shares | (183,283) | (229,992) |
Class I Shares | (6,295) | -- |
Net realized gain: |
|
|
Class A Shares | (1,550,349) | -- |
Class B Shares | (286,135) | -- |
Class C Shares | (231,961) | -- |
Class I shares | (55,983) | -- |
Total distributions | (2,314,006) | (229,992) |
|
|
|
Capital share transactions: |
|
|
Shares sold: |
|
|
Class A Shares | 11,078,086 | 11,932,812 |
Class B Shares | 864,503 | 946,055 |
Class C Shares | 1,764,957 | 1,919,624 |
Class I Shares | 8,067,927 | 1,236,213 |
Reinvestment of distributions: |
|
|
Class A Shares | 1,524,500 | 210,841 |
Class B Shares | 248,186 | -- |
Class C Shares | 187,221 | -- |
Class I Shares | 62,278 | -- |
Redemption Fees: |
|
|
Class A Shares | 1,443 | 620 |
Class B Shares | 7 | -- |
Class C Shares | 2 | -- |
Shares redeemed: |
|
|
Class A Shares | (11,999,180) | (18,494,141) |
Class B Shares | (2,351,093) | (1,136,653) |
Class C Shares | (1,773,911) | (1,264,220) |
Class I Shares | (366,830) | (27,132) |
Total capital share transactions | 7,308,096 | (4,675,981) |
|
|
|
Total Increase (Decrease) in Net Assets | 11,235,557 | 2,570,100 |
|
|
|
Net Assets |
|
|
Beginning of year | 72,251,290 | 69,681,190 |
End of year (including undistributed net investment income of $281,353, and $189,578, respectively) | $83,486,847 | $72,251,290 |
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
Enhanced Equity Portfolio (Cont'd) |
|
|
|
|
|
| Year Ended | Year Ended |
| September 30, | September 30, |
Capital Share Activity | 2006 | 2005 |
Shares sold: |
|
|
Class A Shares | 584,574 | 662,991 |
Class B Shares | 49,541 | 56,599 |
Class C Shares | 100,316 | 114,464 |
Class I Shares | 426,755 | 67,949 |
Reinvestment of distributions: |
|
|
Class A Shares | 81,311 | 11,509 |
Class B Shares | 14,305 | -- |
Class C Shares | 10,748 | -- |
Class I Shares | 3,320 | -- |
Shares redeemed: |
|
|
Class A Shares | (638,979) | (1,020,792) |
Class B Shares | (134,362) | (67,524) |
Class C Shares | (101,439) | (74,571) |
Class I Shares | (19,383) | (1,486) |
Total capital share activity | 376,707 | (250,861) |
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. 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 without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment may be waived for certain institutional accounts, where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than 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.
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). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. 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 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, 2006:
| Total Investments | % of Net Assets |
Balanced | $15,972,685 | 2.7% |
Bond | 1,997,488 | 0.4% |
Equity | 10,327,177 | 0.8% |
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 and may include proceeds from litigation. 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. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. 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 based on consistently applied procedures. (See Notes to Statements of Net Assets on page 68.) A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withholding taxes on foreign dividends have been provided for in accordance with the Fund's understanding of the applicable country's tax rules and rates.
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 seven days for all Class I shares). Prior to September 27, 2006, the redemption fee applied to redemptions, including exchanges, made within five days for all Class I shares. The redemption fee is paid to the Class of the Portfolio from which the redemption is made 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 arrangements with its custodian banks whereby the custodian's fees may be paid indirectly by credits earned on each Portfolio's cash on deposit with the banks. These credits are used to reduce the Portfolios' expenses. Such deposit arrangements may be 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.
In July 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" -- an interpretation of FASB Statement 109 (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Fund's tax returns to determine whether tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
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.
New Accounting Pronouncements: In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Fund does not believe the adoption of SFAS No. 157 will impact the financial statement amounts, however, addit ional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
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 UNIFI 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 $41,136, $201,636, $128,646, $520,684, and $33,297 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively. In addition, $63,607, $98,997, $79,942, $171,344, and $16,004 was payable at year end for operating expenses paid by the Advisor during September 2006 for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively. For the year ended September 30, 2006, the advisor waived $74,584 of its fee in Enhanced Equity.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2007 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 may be reduced and the Advisor may benefit 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 $146,106, $90,212, $353,546 and $24,575 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, 2006: $212,459 for Balanced, $151,460 for Bond, $279,600 for Equity and $31,640 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 $13,608, $16,639, $10,101, $33,706, and $2,548 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively.
For its services, CSSI received fees of $170,714, $215,210, $117,261, $430,404, and $30,724 for the year ended September 30, 2006 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 $27,424, $130,791, $98,290, $194,998, and $9,621 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.
On December 2, 2005, shareholders approved the reorganization of several Calvert Fund Boards. As a result of this reorganization, Trustees now oversee additional portfolios. Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $34,000 ($23,000 prior to December 2, 2005) plus a meeting fee of $2,000 ($1,000 prior to December 2, 2005) for each Board meeting attended. An additional Chair support fee of $24,000 annually is paid to the Fund Chair. 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") served as Fund counsel through December 2005; the Fund's Secretary was an affiliate of this firm. Payments by the Fund to K&LNG during the reporting period were $37,632.
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: | $401,190,927 | $628,601,627 | $426,372,378 | $39,854,907 |
Sales: | 404,196,348 | 487,272,864 | 450,209,532 | 35,310,819 |
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, 2006 and net realized capital loss carryforwards as of September 30, 2006 with expiration dates:
| Money |
|
|
| Market | Balanced | Bond |
Federal income tax cost of investments | $164,960,293 | $554,155,579 | $459,836,244 |
Unrealized appreciation | -- | 60,988,825 | 3,426,740 |
Unrealized (depreciation) | -- | (26,942,573) | (7,936,769) |
Net appreciation/(depreciation) | -- | 34,046,252 | (4,510,029) |
|
|
|
|
|
| Enhanced |
|
| Equity | Equity |
|
Federal income tax cost of investments | $1,008,201,847 | $72,490,541 |
|
Unrealized appreciation | 269,402,652 | 12,648,733 |
|
Unrealized (depreciation) | (15,116,652) | (1,994,808) |
|
Net appreciation/(depreciation) | 254,286,000 | 10,653,925 |
|
|
|
|
|
|
|
|
|
Capital Loss Carryforwards |
|
|
|
| Money |
|
|
Expiration Date | Market | Balanced | Equity |
30-Sep-08 | $41,585 | -- | -- |
30-Sep-10 | 14,601 | -- | $744,037 |
30-Sep-11 | 6,847 | $7,621,797 | 2,870,948 |
30-Sep-12 | -- | -- | -- |
30-Sep-13 | 6,183 | -- | -- |
30-Sep-14 | 211 | -- | -- |
| $69,427 | $7,621,797 | $3,614,985 |
Capital losses may be utilized to offset current and future capital gains until expiration.
The Money Market Portfolio intends to elect to defer post-October losses of $1,337 to fiscal year ended September 30, 2007. Such losses if unutilized will expire in 2015.
The tax character of dividends and distributions paid during the years ended September 30, 2006, and September 30, 2005 were as follows:
Money Market |
|
|
|
Distributions paid from: |
| 2006 | 2005 |
Ordinary income |
| $6,408,722 | $3,089,090 |
Total |
| $6,408,722 | $3,089,090 |
|
|
|
|
Balanced |
|
|
|
Distributions paid from: |
| 2006 | 2005 |
Ordinary income |
| $8,667,395 | $7,572,988 |
Total |
| $8,667,395 | $7,572,988 |
|
|
|
|
Bond |
|
|
|
Distributions paid from: |
| 2006 | 2005 |
Ordinary income |
| $18,069,122 | $10,609,151 |
Long-term capital gain |
| 3,670,548 | 3,111,030 |
Total |
| $21,739,670 | $13,720,181 |
|
|
|
|
Equity |
|
|
|
Distributions paid from: |
| 2006 | 2005 |
Long-term capital gain |
| $20,651,615 | -- |
Total |
| $20,651,615 | -- |
|
|
|
|
Enhanced Equity |
|
|
|
Distributions paid from: |
| 2006 | 2005 |
Ordinary income |
| $189,578 | $229,992 |
Long-term capital gain |
| 2,124,428 | -- |
Total |
| $2,314,006 | $229,992 |
As of September 30, 2006, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Money |
|
|
| Market | Balanced | Bond |
Undistributed ordinary income | $62,197 | $231,504 | $530,836 |
Undistributed long-term capital gain | -- | -- | 259,520 |
Capital loss carryforward | (69,427) | (7,621,797) | -- |
Unrealized appreciation (depreciation) | -- | 34,046,252 | (4,510,029) |
Total | ($7,230) | $26,655,959 | ($3,719,673) |
|
|
|
|
|
|
|
|
| Enhanced |
|
|
| Equity | Equity |
|
Undistributed ordinary income | -- | $281,353 |
|
Undistributed long-term capital gain | $48,415,121 | 3,426,303 |
|
Capital loss carryforward | (3,614,985) | -- |
|
Unrealized appreciation (depreciation) | 254,286,000 | 10,653,925 |
|
Total | $299,086,136 | $14,361,581 |
|
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 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 | ($1,714,928) | $33,081 |
Accumulated net realized gain (loss) | 1,532,863 | (33,081) |
Paid in capital | 182,065 | -- |
|
|
|
|
| Enhanced |
| Equity | Equity |
Undistributed net investment income | $1,624,994 | ($5,494) |
Accumulated net realized gain (loss) | 43,911 | 5,494 |
Paid in capital | (1,668,905) | -- |
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 distribution accruals for Money Market Portfolio, the tax treatment of real estate investment trusts for Balanced and Enhanced Equity Portfolios, 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. Interportfolio transactions are made pursuant to Rule 17a-7 of the Investment Company Act of 1940. For the year ended September 30, 2006, such purchases and sales transactions were:
| Money |
|
| Market | Bond |
Purchases | $132,810,000 | $40,489,987 |
Sales | 91,975,000 | 40,470,000 |
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds (except for the Calvert Social Investment Fund's Balanced and Enhanced Equity Portfolios and the CVS Social Balanced Portfolio and the CVS Ameritas Index 500 Portfolio) and State Street 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 the committed 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, 2006. For the year ended September 30, 2006, 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 | $3,185 | 5.48% | $712,073 | April 2006 |
Bond | 237,521 | 5.21% | 13,845,617 | May 2006 |
Equity | 125,132 | 5.27% | 8,934,823 | August 2006 |
Note E -- Affiliated Companies
An affiliated company is a company in which the Portfolios have a direct or indirect ownership of, control of, or voting power over 5 percent or more of the outstanding voting shares.
Affiliated companies of the Balanced Portfolio are as follows:
Affiliates | Cost | Value |
Angels With Attitude LP | $200,000 | $170,416 |
GEEMF Partners LP | 185,003 | 514,034 |
Milepost Ventures LP | 500,000 | 1 |
Plethora Technology, Inc. | 701,835 | 526,377 |
TOTALS | $1,586,838 | $1,210,828 |
Affiliated companies of the Equity Portfolio are as follows:
Affiliates | Cost | Value |
Cerionx, Inc. | $353,149 | $353,149 |
Global Resource Options, Inc. | 750,000 | 750,000 |
TOTALS | $1,103,149 | $1,103,149 |
Note F -- Other
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 $840,000 and $1,047,839 for the Balanced and Equity Portfolios, respectively, at September 30, 2006.
On September 7, 2006, Calvert Group Ltd., Calvert Asset Management Company, Calvert Social Investment Fund and Calvert Variable Series Inc., were named as defendants in a lawsuit now pending in the United States District Court for the District of Connecticut. The lawsuit is an action for specific performance, breach of contract, and promissory estoppel, for the Defendants' alleged breach of an agreement dated August 28, 2006 to sell without accrued interest four thousand five hundred 8.625% Maryland State Economic Development Revenue Bonds ("Rocky Gap Bonds") due October 1, 2019. The securities applicable to the Calvert Social Investment Fund Balanced Portfolio represent three thousand seven hundred fifty bonds, with a market value of $2,419,000 or 0.5% of the Fund's net assets.
The potential impact of this lawsuit seeks delivery of the bonds, unquantified damages, attorney's fees and expenses. The Fund has retained counsel and has answered the lawsuit by denying any breach of contract and has countersued the plaintiff claiming it breached the contract by failing to purchase the Rocky Gap Bonds with interest. Management does not believe that this lawsuit will have a material adverse effect on the Investment Advisor or Funds.
Tax Information (Unaudited)
Bond, Enhanced Equity, and Equity Portfolios designate $3,670,548, $2,124,248, and $20,651,615, respectively, as 15%-rate capital gain dividends paid during fiscal year ended September 30, 2006.
For corporate shareholders of Balanced and Enhanced Equity Portfolios, a total of 63% and 100%, respectively of the ordinary distributions paid during fiscal year ending September 30, 2006 qualify for the corporate dividends received deduction. Also, 63% and 100% of the ordinary distributions paid for Balanced and Enhanced Equity Portfolios, respectively, have been identified as qualified dividend income.
Additional information will be provided to shareholders in January 2007 for use in preparing 2006 income tax returns.
Money Market Portfolio
Financial Highlights
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
|
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .039 | .019 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.039) | (.019) |
|
|
|
|
|
|
|
Net asset value, ending |
|
| $1.00 | $1.00 |
|
|
|
|
|
|
|
Total return* |
|
| 3.97% | 1.94% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 3.90% | 1.91% |
|
Total expenses |
|
| .86% | .91% |
|
Expenses before offsets |
|
| .86% | .88% |
|
Net expenses |
|
| .85% | .87% |
|
Net assets, ending (in thousands) |
|
| $166,592 | $160,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
|
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $1.00 | $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .004 | .006 | .015 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.004) | (.006) | (.015) |
|
Net asset value, ending |
| $1.00 | $1.00 | $1.00 |
|
|
|
|
|
|
|
Total return* |
| .44% | .63% | 1.49% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .44% | .63% | 1.48% |
|
Total expenses |
| .91% | .90% | .89% |
|
Expenses before offsets |
| .88% | .88% | .88% |
|
Net expenses |
| .87% | .87% | .87% |
|
Net assets, ending (in thousands) |
| $169,916 | $181,788 | $192,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balanced Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $28.25 | $26.13 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| . | .55 | .44 |
|
Net realized and unrealized gain (loss) |
|
| 1.12 | 2.08 |
|
Total from investment operations |
|
| 1.67 | 2.52 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.46) | (.40) |
|
Total distributions |
|
| (.46) | (.40) |
|
Total increase (decrease) in net asset value |
|
| 1.21 | 2.12 |
|
Net asset value, ending |
|
| $29.46 | $28.25 |
|
|
|
|
|
|
|
Total return* |
|
| 5.94% | 9.68% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 1.90% | 1.59% |
|
Total expenses |
|
| 1.21% | 1.22% |
|
Expenses before offsets |
|
| 1.21% | 1.22% |
|
Net expenses |
|
| 1.20% | 1.21% |
|
Portfolio turnover |
|
| 73% | 83% |
|
Net assets, ending (in thousands) |
|
| $525,740 | $517,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $24.35 | $21.44 | $24.48 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .36 | .38 | .56 |
|
Net realized and unrealized gain (loss) |
| 1.77 | 2.87 | (3.04) |
|
Total from investment operations |
| 2.13 | 3.25 | (2.48) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.35) | (.34) | (.56) |
|
Total distributions |
| (.35) | (.34) | (.56) |
|
Total increase (decrease) in net asset value |
| 1.78 | 2.91 | (3.04) |
|
Net asset value, ending |
| $26.13 | $24.35 | $21.44 |
|
|
|
|
|
|
|
Total return* |
| 8.77% | 15.28% | (10.38%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 1.37% | 1.67% | 2.23% |
|
Total expenses |
| 1.25% | 1.25% | 1.25% |
|
Expenses before offsets |
| 1.25% | 1.25% | 1.25% |
|
Net expenses |
| 1.25% | 1.24% | 1.25% |
|
Portfolio turnover |
| 106% | 175% | 192% |
|
Net assets, ending (in thousands) |
| $486,255 | $480,201 | $458,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balanced Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $28.05 | $25.94 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .27 | .17 |
|
Net realized and unrealized gain (loss) |
|
| 1.10 | 2.06 |
|
Total from investment operations |
|
| 1.37 | 2.23 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.18) | (.12) |
|
Total distributions |
|
| (.18) | (.12) |
|
Total increase (decrease) in net asset value |
|
| 1.19 | 2.11 |
|
Net asset value, ending |
|
| $29.24 | $28.05 |
|
|
|
|
|
|
|
Total return* |
|
| 4.90% | 8.62% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| .95% | .60% |
|
Total expenses |
|
| 2.16% | 2.20% |
|
Expenses before offsets |
|
| 2.16% | 2.20% |
|
Net expenses |
|
| 2.15% | 2.20% |
|
Portfolio turnover |
|
| 73% | 83% |
|
Net assets, ending (in thousands) |
|
| $27,805 | $28,592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $24.18 | $21.31 | $24.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .11 | .13 | .29 |
|
Net realized and unrealized gain (loss) |
| 1.74 | 2.86 | (3.01) |
|
Total from investment operations |
| 1.85 | 2.99 | (2.72) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.09) | (.12) | (.30) |
|
Total distributions |
| (.09) | (.12) | (.30) |
|
Total increase (decrease) in net asset value |
| 1.76 | 2.87 | (3.02) |
|
Net asset value, ending |
| $25.94 | $24.18 | $21.31 |
|
|
|
|
|
|
|
Total return* |
| 7.63% | 14.06% | (11.31%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .34% | .55% | 1.17% |
|
Total expenses |
| 2.27% | 2.34% | 2.31% |
|
Expenses before offsets |
| 2.27% | 2.34% | 2.31% |
|
Net expenses |
| 2.26% | 2.34% | 2.31% |
|
Portfolio turnover |
| 106% | 175% | 192% |
|
Net assets, ending (in thousands) |
| $24,839 | $19,670 | $14,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balanced Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $27.79 | $25.70 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .28 | .18 |
|
Net realized and unrealized gain (loss) |
|
| 1.07 | 2.04 |
|
Total from investment operations |
|
| 1.35 | 2.22 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.19) | (.13) |
|
Total distributions |
|
| (.19) | (.13) |
|
Total increase (decrease) in net asset value |
|
| 1.16 | 2.09 |
|
Net asset value, ending |
|
| $28.95 | $27.79 |
|
|
|
|
|
|
|
Total return* |
|
| 4.87% | 8.67% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| .99% | .65% |
|
Total expenses |
|
| 2.11% | 2.16% |
|
Expenses before offsets |
|
| 2.11% | 2.16% |
|
Net expenses |
|
| 2.10% | 2.15% |
|
Portfolio turnover |
|
| 73% | 83% |
|
Net assets, ending (in thousands) |
|
| $27,547 | $25,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $23.95 | $21.12 | $24.10 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .12 | .13 | .29 |
|
Net realized and unrealized gain (loss) |
| 1.73 | 2.82 | (2.96) |
|
Total from investment operations |
| 1.85 | 2.95 | (2.67) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.10) | (.12) | (.31) |
|
Total distributions |
| (.10) | (.12) | (.31) |
|
Total increase (decrease) in net asset value |
| 1.75 | 2.83 | (2.98) |
|
Net asset value, ending |
| $25.70 | $23.95 | $21.12 |
|
|
|
|
|
|
|
Total return* |
| 7.71% | 14.02% | (11.25%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .39% | .59% | 1.20% |
|
Total expenses |
| 2.22% | 2.31% | 2.29% |
|
Expenses before offsets |
| 2.22% | 2.31% | 2.29% |
|
Net expenses |
| 2.22% | 2.30% | 2.28% |
|
Portfolio turnover |
| 106% | 175% | 192% |
|
Net assets, ending (in thousands) |
| $21,819 | $16,585 | $12,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balanced Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Periods Ended |
|
|
|
| September 30, | September 30, | June 30, |
|
Class I Shares |
| 2006 (z) | 2005 (x) | 2003 (y) |
|
Net asset value, beginning |
| $28.38 | $27.47 | $21.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .64 | .41 | .38 |
|
Net realized and unrealized gain (loss) |
| 1.17 | .87 | 2.49 |
|
Total from investment operations |
| 1.81 | 1.28 | 2.87 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.49) | (.37) | (.33) |
|
Total distributions |
| (.49) | (.37) | (.33) |
|
Total increase (decrease) in net asset value |
| 1.32 | .91 | 2.54 |
|
Net asset value, ending |
| $29.70 | $28.38 | $23.87 |
|
|
|
|
|
|
|
Total return* |
| 6.43% | 4.71% | 13.63% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 2.44% | 1.94% (a) | 2.25% |
|
Total expenses |
| 1.07% | 1.28% (a) | .72% |
|
Expenses before offsets |
| .73% | .72% (a) | .72% |
|
Net expenses |
| .72% | .72% (a) | .72% |
|
Portfolio turnover |
| 73% | 70% | 140% |
|
Net assets, ending (in thousands) |
| $6,317 | $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 highlights. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.18 | $16.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .64 | .47 |
|
Net realized and unrealized gain (loss) |
|
| (.05) | .32 |
|
Total from investment operations |
|
| .59 | .79 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.64) | (.48) |
|
Net realized gains |
|
| (.30) | (.46) |
|
Total distributions |
|
| (.94) | (.94) |
|
Total increase (decrease) in net asset value |
|
| (.35) | (.15) |
|
Net asset value, ending |
|
| $15.83 | $16.18 |
|
|
|
|
|
|
|
Total return* |
|
| 3.82% | 5.05% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 4.16% | 3.00% |
|
Total expenses |
|
| 1.14% | 1.16% |
|
Expenses before offsets |
|
| 1.14% | 1.16% |
|
Net expenses |
|
| 1.13% | 1.16% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $336,698 | $237,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $16.29 | $15.80 | $16.38 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .45 | .58 | .80 |
|
Net realized and unrealized gain (loss) |
| .48 | .67 | (.01) |
|
Total from investment operations |
| .93 | 1.25 | .79 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.45) | (.56) | (.82) |
|
Net realized gains |
| (.44) | (.20) | (.55) |
|
Total distributions |
| (.89) | (.76) | (1.37) |
|
Total increase (decrease) in net asset value |
| .04 | .49 | (.58) |
|
Net asset value, ending |
| $16.33 | $16.29 | $15.80 |
|
|
|
|
|
|
|
Total return* |
| 5.97% | 8.20% | 5.18% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 2.82% | 3.62% | 5.07% |
|
Total expenses |
| 1.19% | 1.18% | 1.19% |
|
Expenses before offsets |
| 1.19% | 1.18% | 1.19% |
|
Net expenses |
| 1.18% | 1.17% | 1.18% |
|
Portfolio turnover |
| 244% | 395% | 607% |
|
Net assets, ending (in thousands) |
| $172,470 | $148,791 | $128,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.11 | $16.27 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .50 | .32 |
|
Net realized and unrealized gain (loss) |
|
| (.05) | .31 |
|
Total from investment operations |
|
| .45 | .63 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.50) | (.33) |
|
Net realized gains |
|
| (.30) | (.46) |
|
Total distributions |
|
| (.80) | (.79) |
|
Total increase (decrease) in net asset value |
|
| (.35) | (.16) |
|
Net asset value, ending |
|
| $15.76 | $16.11 |
|
|
|
|
|
|
|
Total return* |
|
| 2.89% | 4.03% | |
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 3.17% | 2.03% |
|
Total expenses |
|
| 2.09% | 2.11% |
|
Expenses before offsets |
|
| 2.09% | 2.11% |
|
Net expenses |
|
| 2.08% | 2.10% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $17,154 | $18,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $16.22 | $15.75 | $16.32 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .31 | .43 | .65 |
|
Net realized and unrealized gain (loss) |
| .49 | .66 | -- |
|
Total from investment operations |
| .80 | 1.09 | .65 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.31) | (.42) | (.67) |
|
Net realized gains |
| (.44) | (.20) | (.55) |
|
Total distributions |
| (.75) | (.62) | (1.22) |
|
Total increase (decrease) in net asset value |
| .05 | .47 | (.57) |
|
Net asset value, ending |
| $16.27 | $16.22 | $15.75 |
|
|
|
|
|
|
|
Total return* |
| 5.11% | 7.13% | 4.26% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 1.93% | 2.70% | 4.10% |
|
Total expenses |
| 2.09% | 2.08% | 2.13% |
|
Expenses before offsets |
| 2.09% | 2.08% | 2.13% |
|
Net expenses |
| 2.08% | 2.07% | 2.12% |
|
Portfolio turnover |
| 244% | 395% | 607% |
|
Net assets, ending (in thousands) |
| $17,605 | $18,860 | $14,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.09 | $16.25 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .51 | .34 |
|
Net realized and unrealized gain (loss) |
|
| (.04) | .30 |
|
Total from investment operations |
|
| .47 | .64 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.51) | (.34) |
|
Net realized gains |
|
| (.30) | (.46) |
|
Total distributions |
|
| (.81) | (.80) |
|
Total increase (decrease) in net asset value |
|
| (.34) | (.16) |
|
Net asset value, ending |
|
| $15.75 | $16.09 |
|
|
|
|
|
|
|
Total return* |
|
| 3.01% | 4.09% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 3.31% | 2.13% |
|
Total expenses |
|
| 1.99% | 2.04% |
|
Expenses before offsets |
|
| 1.99% | 2.04% |
|
Net expenses |
|
| 1.98% | 2.03% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $27,447 | $19,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $16.21 | $15.73 | $16.30 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .31 | .43 | .63 |
|
Net realized and unrealized gain (loss) |
| .48 | .67 | .01 |
|
Total from investment operations |
| .79 | 1.10 | .64 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.31) | (.42) | (.66) |
|
Net realized gains |
| (.44) | (.20) | (.55) |
|
Total distributions |
| (.75) | (.62) | (1.21) |
|
Total increase (decrease) in net asset value |
| .04 | .48 | (.57) |
|
Net asset value, ending |
| $16.25 | $16.21 | $15.73 |
|
|
|
|
|
|
|
Total return* |
| 5.06% | 7.21% | 4.24% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 1.94% | 2.71% | 4.07% |
|
Total expenses |
| 2.07% | 2.07% | 2.13% |
|
Expenses before offsets |
| 2.07% | 2.07% | 2.13% |
|
Net expenses |
| 2.06% | 2.06% | 2.12% |
|
Portfolio turnover |
| 244% | 395% | 607% |
|
Net assets, ending (in thousands) |
| $13,130 | $11,320 | $9,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.18 | $16.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .73 | .57 |
|
Net realized and unrealized gain (loss) |
|
| (.04) | .31 |
|
Total from investment operations |
|
| .69 | .88 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.72) | (.57) |
|
Net realized gains |
|
| (.30) | (.46) |
|
Total distributions |
|
| (1.02) | (1.03) |
|
Total increase (decrease) in net asset value |
|
| (.33) | (.15) |
|
Net asset value, ending |
|
| $15.85 | $16.18 |
|
|
|
|
|
|
|
Total return* |
|
| 4.48% | 5.63% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| 4.77% | 3.57% |
|
Total expenses |
|
| .56% | .61% |
|
Expenses before offsets |
|
| .56% | .61% |
|
Net expenses |
|
| .55% | .60% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $74,714 | $29,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $16.29 | $15.81 | $16.39 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .55 | .67 | .87 |
|
Net realized and unrealized gain (loss) |
| .48 | .66 | .02 |
|
Total from investment operations |
| 1.03 | 1.33 | .89 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.55) | (.65) | (.91) |
|
Net realized gains |
| (.44) | (.20) | (.56) |
|
Total distributions |
| (.99) | (.85) | (1.47) |
|
Total increase (decrease) in net asset value |
| .04 | .48 | (.58) |
|
Net asset value, ending |
| $16.33 | $16.29 | $15.81 |
|
|
|
|
|
|
|
Total return* |
| 6.62% | 8.74% | 5.83% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| 3.41% | 4.14% | 5.44% |
|
Total expenses |
| .61% | .61% | .69% |
|
Expenses before offsets |
| .61% | .61% | .61% |
|
Net expenses |
| .60% | .60% | .60% |
|
Portfolio turnover |
| 244% | 395% | 607% |
|
Net assets, ending (in thousands) |
| $17,324 | $17,527 | $12,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial highlights. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $35.38 | $31.63 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.02) | .03 |
|
Net realized and unrealized gain (loss) |
|
| 2.38 | 3.72 |
|
Total from investment operations |
|
| 2.36 | 3.75 |
|
Distributions from |
|
|
|
|
|
Net realized gains |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.77 | 3.75 |
|
Net asset value, ending |
|
| $37.15 | $35.38 |
|
|
|
|
|
|
|
Total return* |
|
| 6.74% | 11.86% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.06%) | .08% |
|
Total expenses |
|
| 1.23% | 1.25% |
|
Expenses before offsets |
|
| 1.23% | 1.25% |
|
Net expenses |
|
| 1.23% | 1.24% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $907,459 | $858,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $29.43 | $23.84 | $27.72 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.09) | (.06) | (.04) |
|
Net realized and unrealized gain (loss) |
| 2.29 | 5.67 | (2.96) |
|
Total from investment operations |
| 2.20 | 5.61 | (3.00) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| -- | (.02) | (.88) |
|
Total increase (decrease) in net asset value |
| 2.20 | 5.59 | (3.88) |
|
Net asset value, ending |
| $31.63 | $29.43 | $23.84 |
|
|
|
|
|
|
|
Total return* |
| 7.48% | 23.56% | (11.58%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (.32%) | (.26%) | (.12%) |
|
Total expenses |
| 1.25% | 1.29% | 1.29% |
|
Expenses before offsets |
| 1.25% | 1.29% | 1.29% |
|
Net expenses |
| 1.24% | 1.29% | 1.29% |
|
Portfolio turnover |
| 17% | 29% | 28% |
|
Net assets, ending (in thousands) |
| $695,472 | $530,322 | $326,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Portfolio |
|
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $32.84 | $29.61 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (0.32) | (.24) |
|
Net realized and unrealized gain (loss) |
|
| 2.22 | 3.47 |
|
Total from investment operations |
|
| 1.90 | 3.23 |
|
Distributions from |
|
|
|
|
|
Net realized gains |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.31 | 3.23 |
|
Net asset value, ending |
|
| $34.15 | $32.84 |
|
|
|
|
|
|
|
Total return* |
|
| 5.85% | 10.91% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.90%) | (.77%) |
|
Total expenses |
|
| 2.06% | 2.09% |
|
Expenses before offsets |
|
| 2.06% | 2.09% |
|
Net expenses |
|
| 2.06% | 2.09% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $95,903 | $105,189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $27.78 | $22.70 | $26.67 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.33) | (.25) | (.24) |
|
Net realized and unrealized gain (loss) |
| 2.16 | 5.35 | (2.85) |
|
Total from investment operations |
| 1.83 | 5.10 | (3.09) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| -- | (.02) | (.88) |
|
Total increase (decrease) in net asset value |
| 1.83 | 5.08 | (3.97) |
|
Net asset value, ending |
| $29.61 | $27.78 | $22.70 |
|
|
|
|
|
|
|
Total return* |
| 6.59% | 22.50% | (12.39%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (1.16%) | (1.12%) | (1.02%) |
|
Total expenses |
| 2.09% | 2.15% | 2.19% |
|
Expenses before offsets |
| 2.09% | 2.15% | 2.19% |
|
Net expenses |
| 2.08% | 2.15% | 2.19% |
|
Portfolio turnover |
| 17% | 29% | 28% |
|
Net assets, ending (in thousands) |
| $86,242 | $70,824 | $43,091 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Portfolio |
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|
Financial Highlights |
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| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $30.68 | $27.64 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
|
| (.26) | (.20) |
|
Net realized and unrealized gain (loss) |
|
| 2.06 | 3.24 |
|
Total from investment operations |
|
| 1.80 | 3.04 |
|
Distributions from |
|
|
|
|
|
Net realized gains |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.21 | 3.04 |
|
Net asset value, ending |
|
| $31.89 | $30.68 |
|
|
|
|
|
|
|
Total return* |
|
| 5.93% | 11.00% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.82%) | (.69%) |
|
Total expenses |
|
| 1.99% | 2.01% |
|
Expenses before offsets |
|
| 1.99% | 2.01% |
|
Net expenses |
|
| 1.98% | 2.01% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $109,468 | $107,305 |
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| Years Ended |
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|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $25.92 | $21.17 | $24.91 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
| (.27) | (.22) | (.21) |
|
Net realized and unrealized gain (loss) |
| 1.99 | 4.99 | (2.65) |
|
Total from investment operations |
| 1.72 | 4.77 | (2.86) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| -- | (.02) | (.88) |
|
Total increase (decrease) in net asset value |
| 1.72 | 4.75 | (3.74) |
|
Net asset value, ending |
| $27.64 | $25.92 | $21.17 |
|
|
|
|
|
|
|
Total return* |
| 6.64% | 22.56% | (12.34%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (1.09%) | (1.06%) | (.96%) |
|
Total expenses |
| 2.03% | 2.10% | 2.14% |
|
Expenses before offsets |
| 2.03% | 2.10% | 2.14% |
|
Net expenses |
| 2.03% | 2.09% | 2.13% |
|
Portfolio turnover |
| 17% | 29% | 28% |
|
Net assets, ending (in thousands) |
| $86,514 | $61,897 | $37,109 |
|
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|
|
|
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|
See notes to financial statements. |
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Equity Portfolio |
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Financial Highlights |
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| Years Ended |
| |
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|
| September 30, | September 30, |
|
Class I Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $36.40 | $32.36 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .17 | .19 |
|
Net realized and unrealized gain (loss) |
|
| 2.46 | 3.85 |
|
Total from investment operations |
|
| 2.63 | 4.04 |
|
Distributions from |
|
|
|
|
|
Net realized gains |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 2.04 | 4.04 |
|
Net asset value, ending |
|
| $38.44 | $36.40 |
|
|
|
|
|
|
|
Total return* |
|
| 7.30% | 12.48% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
|
| .49% | .63% |
|
Total expenses |
|
| .68% | .68% |
|
Expenses before offsets |
|
| .68% | .68% |
|
Net expenses |
|
| .67% | .68% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $163,685 | $133,696 |
|
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| Years Ended |
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|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $29.94 | $24.12 | $27.91 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .07 | .05 | .08 |
|
Net realized and unrealized gain (loss) |
| 2.35 | 5.79 | (2.99) |
|
Total from investment operations |
| 2.42 | 5.84 | (2.91) |
|
Distributions from |
|
|
|
|
|
Net realized gains |
| -- | (.02) | (.88) |
|
Total increase (decrease) in net asset value |
| 2.42 | 5.82 | (3.79) |
|
Net asset value, ending |
| $32.36 | $29.94 | $24.12 |
|
|
|
|
|
|
|
Total return* |
| 8.08% | 24.24% | (11.17%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .25% | .32% | .36% |
|
Total expenses |
| .68% | .70% | .81% |
|
Expenses before offsets |
| .68% | .70% | .80% |
|
Net expenses |
| .68% | .70% | .80% |
|
Portfolio turnover |
| 17% | 29% | 28% |
|
Net assets, ending (in thousands) |
| $93,347 | $62,951 | $8,844 |
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|
See notes to financial highlights. |
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Enhanced Equity Portfolio |
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Financial Highlights |
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| Years Ended |
| |
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|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $18.76 | $16.96 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| .10 | .12 |
|
Net realized and unrealized gain (loss) |
|
| 1.51 | 1.75 |
|
Total from investment operations |
|
| 1.61 | 1.87 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.06) | (.07) |
|
Net realized gain |
|
| (.56) | -- |
|
Total distributions |
|
| (.62) | (.07) |
|
Total increase (decrease) in net asset value |
|
| .99 | 1.80 |
|
Net asset value, ending |
|
| $19.75 | $18.76 |
|
|
|
|
|
|
|
Total return* |
|
| 8.79% | 11.03%(r) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| .56% | .64% |
|
Total expenses |
|
| 1.36% | 1.38% |
|
Expenses before offsets |
|
| 1.26% | 1.28% |
|
Net expenses |
|
| 1.23% | 1.27% |
|
Portfolio turnover |
|
| 47% | 38% |
|
Net assets, ending (in thousands) |
|
| $58,020 | $54,618 |
|
|
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| Years Ended |
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|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $15.17 | $12.24 | $14.64 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| .03 | .03 | .01 |
|
Net realized and unrealized gain (loss) |
| 1.76 | 2.90 | (2.41) |
|
Total from investment operations |
| 1.79 | 2.93 | (2.40) |
|
Total increase (decrease) in net asset value |
| 1.79 | 2.93 | (2.40) |
|
Net asset value, ending |
| $16.96 | $15.17 | $12.24 |
|
|
|
|
|
|
|
Total return* |
| 11.80% | 23.94% | (16.37%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| .19% | .24% | .09% |
|
Total expenses |
| 1.43% | 1.54% | 1.46% |
|
Expenses before offsets |
| 1.43% | 1.45% | 1.27% |
|
Net expenses |
| 1.41% | 1.44% | 1.25% |
|
Portfolio turnover |
| 13% | 42% | 36% |
|
Net assets, ending (in thousands) |
| $55,253 | $39,145 | $26,842 |
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|
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|
See notes to financial statements. |
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Enhanced Equity Portfolio |
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Financial Highlights |
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| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $17.43 | $15.84 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.07) | (.05) |
|
Net realized and unrealized gain (loss) |
|
| 1.40 | 1.64 |
|
Total from investment operations |
|
| 1.33 | 1.59 |
|
Distributions from |
|
|
|
|
|
Net realized gains |
|
| (.56) | -- |
|
Total distributions |
|
| (.56) | -- |
|
Total increase (decrease) in net asset value |
|
| .77 | 1.59 |
|
Net asset value, ending |
|
| $18.20 | $17.43 |
|
|
|
|
|
|
|
Total return* |
|
| 7.78% | 10.04%(r) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.38%) | (.31%) |
|
Total expenses |
|
| 2.30% | 2.32% |
|
Expenses before offsets |
|
| 2.20% | 2.22% |
|
Net expenses |
|
| 2.17% | 2.21% |
|
Portfolio turnover |
|
| 47% | 38% |
|
Net assets, ending (in thousands) |
|
| $8,156 | $9,043 |
|
|
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| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $14.30 | $11.67 | $14.12 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.12) | (.10) | (.16) |
|
Net realized and unrealized gain (loss) |
| 1.66 | 2.73 | (2.29) |
|
Total from investment operations |
| 1.54 | 2.63 | (2.45) |
|
Total increase (decrease) in net asset value |
| 1.54 | 2.63 | (2.45) |
|
Net asset value, ending |
| $15.84 | $14.30 | $11.67 |
|
|
|
|
|
|
|
Total return* |
| 10.77% | 22.54% | (17.33%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (.75%) | (.82%) | (1.11%) |
|
Total expenses |
| 2.37% | 2.55% | 2.47% |
|
Expenses before offsets |
| 2.37% | 2.51% | 2.47% |
|
Net expenses |
| 2.36% | 2.50% | 2.45% |
|
Portfolio turnover |
| 13% | 42% | 36% |
|
Net assets, ending (in thousands) |
| $8,391 | $6,936 | $4,980 |
|
|
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|
|
|
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|
See notes to financial statements. |
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|
Enhanced Equity Portfolio |
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Financial Highlights |
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| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $17.50 | $15.90 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.06) | (.05) |
|
Net realized and unrealized gain (loss) |
|
| 1.39 | 1.65 |
|
Total from investment operations |
|
| 1.33 | 1.60 |
|
Distributions from |
|
|
|
|
|
Net realized gains |
|
| (.56) | -- |
|
Total distributions |
|
| (.56) | -- |
|
Total increase (decrease) in net asset value |
|
| .77 | 1.60 |
|
Net asset value, ending |
|
| $18.27 | $17.50 |
|
|
|
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|
|
|
Total return* |
|
| 7.75% | 10.06%(r) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
|
| (.33%) | (.29%) |
|
Total expenses |
|
| 2.25% | 2.28% |
|
Expenses before offsets |
|
| 2.15% | 2.18% |
|
Net expenses |
|
| 2.12% | 2.17% |
|
Portfolio turnover |
|
| 47% | 38% |
|
Net assets, ending (in thousands) |
|
| $7,846 | $7,344 |
|
|
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|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2004 | 2003 | 2002 |
|
Net asset value, beginning |
| $14.35 | $11.71 | $14.16 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.10) | (.10) | (.16) |
|
Net realized and unrealized gain (loss) |
| 1.65 | 2.74 | (2.29) |
|
Total from investment operations |
| 1.55 | 2.64 | (2.45) |
|
Total increase (decrease) in net asset value |
| 1.55 | 2.64 | (2.45) |
|
Net asset value, ending |
| $15.90 | $14.35 | $11.71 |
|
|
|
|
|
|
|
Total return* |
| 10.80% | 22.54% | (17.28%) |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income (loss) |
| (.72%) | (.83%) | (1.10%) |
|
Total expenses |
| 2.34% | 2.56% | 2.47% |
|
Expenses before offsets |
| 2.34% | 2.51% | 2.47% |
|
Net expenses |
| 2.32% | 2.50% | 2.45% |
|
Portfolio turnover |
| 13% | 42% | 36% |
|
Net assets, ending (in thousands) |
| $6,038 | $4,433 | $3,060 |
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|
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|
See notes to financial statements. |
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Enhanced Equity Portfolio |
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Financial Highlights |
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| Periods Ended |
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|
| September 30, | September 30, | January 18, |
|
Class I Shares |
| 2006(z) | 2005(v) | 2002(w) |
|
Net asset value, beginning |
| $18.75 | $17.42 | $14.84 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .19 | .03 | .02 |
|
Net realized and unrealized gain (loss) |
| 1.50 | 1.30 | 1.62 |
|
Total from investment operations |
| 1.69 | 1.33 | 1.64 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.05) | -- | -- |
|
Net realized gain |
| (.56) | -- | -- |
|
Total distributions |
| (.61) | -- | -- |
|
Total increase (decrease) in net asset value |
| 1.08 | 1.33 | 1.64 |
|
Net asset value, ending |
| $19.83 | $18.75 | $16.48 |
|
|
|
|
|
|
|
Total return* |
| 9.19% | 7.63% | 11.08% |
|
Ratios to average net assets: A |
|
|
|
|
|
Net investment income |
| .99% | .65% (a) | .53% (a) |
|
Total expenses |
| 1.20% | 2.57% (a) | 1,022.38%(a) |
|
Expenses before offsets |
| .84% | .82% (a) | .77% (a) |
|
Net expenses |
| .81% | .81% (a) | .75% (a) |
|
Portfolio turnover |
| 47% | 15% | 10% |
|
Net assets, ending (in thousands) |
| $9,464 | $1,246 | $0 |
|
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|
|
| 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 |
|
See notes to financial highlights.
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 byaffiliate.
(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.
(z) Per share figures are calculated using the Average Shares Method.
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.
Trustee and Officer Information Table
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| # of Calvert |
|
| Position | Position |
| Portfolios | Other |
Name & | with | Start | Principal Occupation | Overseen | Directorships |
Age | Fund | Date | During Last 5 Years | (Not Applicable to Officers) |
DISINTERESTED DIRECTORS/TRUSTEES |
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|
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| |||||
REBECCA ADAMSON AGE: 57 | Trustee Director Director
Director | 1989 CSIF 2000 Impact 2000 CSIS 2005 CWVF | 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. | 14 |
| ||||
RICHARD L. BAIRD, JR. AGE: 58 | Trustee Director Director
Director | 1982 CSIF 2000 CSIS 2005 CWVF 2005 Impact | President and CEO of the 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 and community preventive health programs. | 26 | |||||
FREDERICK A. DAVIE, JR. AGE: 50 | Trustee
Director Director
Director | 2001 CSIF 2001 CSIS 2005 CWVF 2005 IMPACT | 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. | 14 |
| ||||
JOHN GUFFEY, JR. AGE: 58 | Trustee
Director
Director
Director | 1982 CSIF 1992 CWVF 2000 CSIS 2005 IMPACT | Treasurer and Director of Silby, Guffey and Co., Inc. a venture capital firm (inactive as of 2003). President, Aurora Press, Inc., 2002. | 26 |
| ||||
MILES DOUGLAS HARPER, III AGE: 44 | Director
Trustee
Director
Director | 2000 Impact 2005 CSIF 2005 CSIS 2005 CWVF | Partner, Gainer Donnelly & Desroches (public accounting firm) since January 1999. | 14 |
| ||||
JOY V. JONES AGE: 56 | Trustee
Director
Director
Director | 1990 CSIF 2000 Impact 2000 CSIS 2005 CWVF | Attorney and entertainment manager in New York City.
| 14 |
| ||||
TERRENCE J. MOLLNER, Ed.D. AGE: 61
| Trustee
Director
Director
Director | 1982 CSIF 1992 CWVF 2000 CSIS 2005 IMPACT | 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. | 14 |
| ||||
SYDNEY AMARA MORRIS AGE: 57 | Trustee
Director
Director
Director | 1982 CSIF 2000 CSIS 2005 CWVF 2005 IMPACT | Rev. Morris 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. She currently chairs the Umbrian Universalist Committee on Socially Responsible Investing. | 14 | |||||
RUSTUM ROY AGE: 82 | Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Evan Pugh Professor of the Solid State and of Geo-chemistry Emeritus, at Pennsylvania State University, Distinguished Professor of materials, Arizona State University; & visiting Professor of Medicine, University of Arizona. | 14 |
| ||||
TESSA TENNANT AGE: 47
| Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Chair of ASrIA Ltd., a not-for-profit membership organization for Socially Responsible Investing (SRI), serving the Asia Pacific region. Previously, Ms. Tennant served as Head of SRI Policy for Henderson Investors, U.K. and Head of Green and Ethical Investing for National Provident Investment Managers Ltd. Initially, Ms. Tennant headed the Environmental Research Unit of Jupiter Tyndall Merlin Ltd., and served as Director of Jupiter Tyndall Merlin investment managers. | 14 |
| ||||
INTERESTED DIRECTORS/TRUSTEES |
|
|
| ||||||
BARBARA J. KRUMSIEK AGE: 54 | Director & President Trustee & Senior Vice President Director & Senior Vice President Director & President | 1997 CWVF 1997 CSIF
2000 CSIS
2000 Impact | President, Chief Executive Officer and 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: 58 | Trustee, Chair & President Director & Chair Director, Chair & President Director & Chair | 1982 CSIF
1992 CWVF 2000 CSIS
2000 Impact | 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 |
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| ||||
KAREN BECKER AGE: 54 | Chief Compliance Officer | 2005 | Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. | ||||||
SUSAN WALKER BENDER, Esq. AGE: 47 | Officer | 1988 CSIF 1992 CWVF 2000 CSIS 2000 Impact | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. | ||||||
THOMAS DAILEY AGE: 42 | Officer | 2004 CSIF | Vice President of Calvert Asset Management Company, Inc. | ||||||
IVY WAFFORD DUKE, Esq. AGE: 38 | Officer | 1996 CSIF 1996 CWVF 2000 CSIS 2000 Impact | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd., and since 2004, Chief Compliance Officer for Calvert Asset Management Company, investment advisor to the Funds. | ||||||
STEVEN A. FALCI AGE: 47 | Officer
| 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: 33 | Officer | 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: 56 | Officer | 2004 CSIF | Senior Vice President of Calvert Asset Management Company, Inc. | ||||||
DANIEL K. HAYES AGE: 56 | Officer | 1996 CSIF 1996 CWVF 2000 CSIS 2000 Impact | Senior Vice President of Calvert Asset Management Company, Inc. | ||||||
HUI PING HO, CPA AGE: 41 | Officer | 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. | ||||||
LANCELOT A. KING, Esq. AGE: 36 | Officer | 2002 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2002, Mr. King was an associate with Mintz, Levin, Cohn, Ferris, Glovsky & Popeo. | ||||||
JANE B. MAXWELL, Esq. AGE: 54 | Officer | 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. | ||||||
ANDREW K. NIEBLER, Esq. AGE: 39 | Officer | 2006 | Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2006, Mr. Niebler was an associate with Cleary, Gottlieb, Steen & Hamilton for 7 years. | ||||||
CATHERINE P. ROY AGE: 50 | Officer | 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: 59 | Officer | 1990 CSIF 1992 CWVF 2000 CSIS 2000 Impact | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd. | ||||||
RONALD M. WOLFSHEIMER, CPA AGE: 54 | Officer | 1982 CSIF 1992 CWVF 2000 CSIS 2000 Impact | Senior Vice President and Chief Financial and Administrative Officer of Calvert Group, Ltd. and Fund Treasurer. | ||||||
MICHAEL V. YUHAS JR., CPA AGE: 45 | Officer | 1999 CSIF 1999 CWVF 2000 CSIS 2000 Impact | Director of Fund Administration of Calvert Group, Ltd. and Fund Controller. |
The address of Directors/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 Directors/Trustees can be found in the Statement of Additional Information (SAI). You can get a free copy of the SAI at www.calvert.com, or by contacting your broker, or the Fund at 1-800-368-2745.
Calvert Social Investment Fund
To Open an Account
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Calvert Group
c/o BFDS
330 West 9th Street
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Web Site
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Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
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
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Floating 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>
Calvert
Investments that make a difference
September 30, 2006
Annual Report
Calvert Asset Allocation Funds:
Conservative Allocation Fund
Moderate Allocation Fund
Aggressive Allocation Fund
Important!
Take the Calvert Environment and Climate Change Survey -- Details on Inside Cover
www.calvert.com/survey
Calvert
Investments that make a difference
a UNIFI company
Take the Calvert Environment and Climate Change Survey
Thank you so much for your support of Calvert. From time to time we seek the input from investors like you to help inform our social investment policy choices. We would greatly appreciate your participation in a 10-minute on-line survey focused on the Environment, Climate Change, and Energy Issues. If you are interested in participating, please go to the following link: www.calvert.com/survey. We thank you in advance for your participation. The survey will close on December 22, so respond soon!
Table of Contents
President's Letter
1
Social Update
4
Portfolio Management Discussion
7
Shareholder Expense Example
13
Report of Independent Registered Public Accounting Firm
16
Statements of Net Assets
17
Statements of Operations
20
Statements of Changes in Net Assets
21
Notes to Financial Statements
24
Financial Highlights
30
Explanation of Financial Tables
34
Proxy Voting and Availability of Quarterly Portfolio Holdings
36
Trustee and Officer Information Table
38
Dear Shareholders:
Over the 12 months ended September 30, 2006, the U.S. economy and financial markets have moved solidly ahead while facing shifting pressures from fluctuating energy prices and interest rates, the ongoing war in Iraq, and a change in Federal Reserve (Fed) leadership and policies.
During the reporting period, we've also begun to see some encouraging shifts in the areas of U.S. stock market leadership as investors move from pursuing more speculative, short-term trends toward higher-quality, more fundamentally oriented investing. Many of our portfolio managers and Funds have faced significant headwinds over the last several years as certain management styles (e.g., value and small-cap) and market sectors (e.g., energy and industrials) have dominated market performance. We know you may have concerns about the performance of your Calvert Funds, and we want you to know we share your concerns and would like to address them.
A Look at Market Headwinds
Cyclical "headwinds" are a part of any investment process as economic and market trends change, and styles go in and out of favor. As long-term investors, we know that performance leadership of different styles rotates. And at Calvert, we strive to provide you with a broad array of investment options, managed by experienced money managers, so you can diversify your portfolio to weather market ups and downs. While we remain fully confident in our sub-advisors and investment process that combines rigorous financial analysis with analysis of a company's corporate responsibility practices, we are nonetheless challenged by certain sector and cyclical issues in the marketplace.
Specifically, many of Calvert's portfolio managers employ disciplines that screen for stocks that exhibit strong fundamentals--such as steady earnings growth, high returns on equity or low debt--and that are fairly priced. For many of our Funds, this fundamental financial analysis, coupled with our social screening process, leads to a bias toward more growth-oriented companies, many of which are in areas like healthcare, information technology, and the consumer discretionary sectors--areas that until recently have been underperforming.
With signs of a slowing economy and the recent outperformance of higher-quality companies with solid, long-term fundamentals, we believe a readjustment in the financial markets is underway that should benefit Calvert investors. In time, the cyclical headwinds should blow more strongly in our direction, favoring the high-quality companies with strong fundamentals and long-term growth potential that our Fund managers favor and portfolios emphasize.
Former Calvert Board Member Awarded 2006 Nobel Peace Prize
Recently, Dr. Muhammad Yunus and Grameen Bank were jointly awarded the 2006 Nobel Peace Prize for their pioneering work in microfinance. An original board member of Calvert World Values Fund, Dr. Yunus founded the Grameen Bank in 1976 to provide poor people with access to small loans that empower them to start or expand their own businesses. This award is especially significant in that it makes explicit and acknowledges the direct link between financial self-sufficiency and peace. Calvert is proud of our 10-year association with Dr. Yunus and of the role that our firm and shareholders have played in supporting Dr. Yunus's Nobel Prize-winning work in microfinance.
Advancing Regulatory Oversight
On the regulatory front, we continue to strengthen compliance operations with regard to codes of ethics, compliance programs, and SEC and NASD disclosure requirements. Our Chief Compliance Officer for Calvert Funds, Karen Becker, a Calvert veteran of 20 years, has oversight of and administers all Fund policies and procedures which have been designed with the highest level of integrity.
30 Acts of Caring
For our 30th anniversary, Calvert staff decided to honor the founding spirit of the company with 30 separate acts of caring. From book and clothing drives to refurbishing homes with Habitat for Humanity-- to working in soup kitchens, volunteering at elder daycare centers, and raising money to grant the wishes of ill children for the Make A Wish Foundation--Calvert employees are participating fully in this celebration of community service.
A Long-Term, Disciplined Outlook
Looking ahead, we believe our disciplined, research-driven investment process will lead to rewarding long-term performance for Calvert investors. We encourage you to work with a financial professional to maintain a strategic investment plan and diversified portfolio. Your advisor can provide important insights into investment markets and personal financial planning, particularly in challenging markets.
As Calvert celebrates its 30th anniversary year, I'd like to thank you for your continued confidence in our investment products. Calvert continues to strive toward its dual goals of favorable investment results and a positive impact on corporate responsibility, and we look forward to serving you in the year ahead.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2006
Social Update
from the Calvert Social Research Department
As a company, through the work of Calvert Social Research Department, and through our unique investment programs, Calvert is a leader in socially responsible investment practices. This Social Update highlights key initiatives and involvement for the 12-month reporting period ended September 30, 2006.
Shareholder Advocacy
We filed 17 shareholder resolutions during the 2006 proxy season, eight of which resulted in successful corporate dialogues and six of which were voted upon. Two of the resolutions received more than one-third of the vote (considered very high for shareholder-initiated proposals)--Home Depot on equal employment opportunity issues and Standard Pacific on energy efficiency. We also filed resolutions regarding sustainable forestry, predatory lending, animal welfare, disclosure and reporting, and contributions to political organizations and campaigns.
Corporate board diversity remains a major area of Calvert focus, with one-third of the resolutions filed for the reporting period in this area. We revisited our efforts launched in 2002, when Calvert sent letters to 154 companies in the Calvert Social Index Fund with no gender or racial diversity on their boards. Two-thirds of those companies still in the Index now have board diversity or a statement endorsing board diversity. For more information about these initiatives, see Shareholder Advocacy at www.calvert.com/sri_648.html.
Deepening our Impact
We are developing a plan to heighten the visibility and extend the impact of our overall advocacy efforts. While we will continue to file shareholder resolutions and engage management of the companies we hold in dialogue, we are expanding our approach to other advocacy tools and channels. This includes direct company and industry-wide dialogues (whether on our own or in multi-stakeholder settings) and industry standard-setting exercises to help leverage change across industries on a global basis. We also plan to engage in public policy and regulatory advocacy, by taking advantage of our proximity to and relationships with the U.S. government, non-governmental organizations, think tanks, and media.
Community Investments
Many of our Funds participate in Calvert's community investing, or High Social Impact Investing (HSII) program, administered through the Calvert Social Investment Foundation. The HSII program may allocate up to between 1% and 3% of Fund assets at below-market rates to provide economic opportunity for struggling populations.1 During the reporting period, the Foundation made several investments to groups working to revitalize the Gulf Coast Region in the aftermath of Hurricanes Katrina and Rita. MicroCredit Enterprises (MCE), a non-profit that leverages private capital to make tiny business loans to women in developing countries living in extreme poverty, was another organization receiving an investment from the Foundation.
Global Issues
China and the Internet. As China clamps down on freedom of information and expression, several major U.S. internet and information technology companies have come under scrutiny by members of Congress, the media and various human rights organizations. We are now in discussions with several major portfolio holdings about minimizing their complicity in human rights abuses and disclosing how they are complying with government policy. Bennett Freeman, Calvert's Senior Vice President for Social Research and Policy, participated on Calvert's behalf in a multi-stakeholder dialogue convened by the Center for Democracy and Technology (CDT). This event aimed to develop a global industry standard addressing these issues, and included leading companies such as Microsoft, Google and Yahoo.
Sudan. Calvert has also made a commitment to address the human rights crisis in Sudan. Due to our long-standing human rights and Indigenous Peoples' rights criteria, we do not invest in companies that materially contribute to sustaining the Sudanese regime and the abuses in Darfur. We continue to scrutinize our holdings for such involvement and will, if necessary, take action through engagement or divestment. We remain prepared to lend our name and voice to appropriate opportunities as they arise, whether through engagement with companies or public policy initiatives.
Special Equities
A modest but important portion of certain Calvert portfolios is invested in private companies that make socially or environmentally helpful products or provide such services, both with a profit objective. We have long been involved in the technology side of the alternative energy sector, but we're seeing a new area of growth in related services. To that end, we have invested in Global Resource Options, one of the largest solar power installation services in the country.2 While this is still a fragmented field, the company has already expanded into some of the more challenging areas of the country. And with more states starting to provide tax credits geared at alternative energy, the growth potential is significant.
Also, through the Special Equities program, we have invested in the Rose Smart Growth Fund, which acquires buildings in urban, mass-transit oriented locations around the country. Rose manages these buildings to a "green" standard, seeking increased energy efficiency, decreased operating expenses, healthier indoor environments, and higher tenant retention. The Rose Fund acquired its first asset in April 2006, consisting of two historic office buildings in Seattle, Washington that the Fund seeks to certify with the US Green Building Council's Leadership in Energy and Environmental Design (LEED) Rating System™, the nationally accepted benchmark for the design, construction, and operation of high performance green buildings. Supporting this green building movement allows us to diversify our efforts to reduce energy usage.3
1. As of September 30, 2006, Calvert Social Investment Foundation represented the following percentages of Fund net assets: Calvert Social Investment Fund (CSIF) Balanced, 0.82%; CSIF Bond, 0.44 %; CSIF Equity, 0.57%; Calvert Capital Accumulation Fund, 1.02%; Calvert World Values Fund International Equity Fund, 0.74%; Calvert Large Cap Growth Fund, 0.30%; and Calvert New Vision Small Cap Fund, 0.62%. All holdings are subject to change without notice. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization.
2. On September 30, 2006, Global Resource Options represented 0.06% of the Calvert Social Investment Fund Equity Portfolio.
3. On September 30, 2006, Rose Smart Growth Fund represented 0.17% of the Calvert Social Investment Fund Balanced Portfolio.
Portfolio Management Discussion
Steve Falci, Chief Investment Officer, Equities of Calvert Asset Management Company
Performance
For the year ending September 30, 2006, Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund underperformed their respective blended benchmarks.1, 2, 3
Calvert Conservative Allocation Fund, Class A shares (at NAV*) returned 5.40% versus 6.30% for its blended benchmark. Calvert Moderate Allocation Fund Class A shares (at NAV*) returned 7.00%, lagging the 9.58% return of its blended benchmark. Calvert Aggressive Allocation Fund Class A shares (at NAV*) returned 8.59%, behind the 11.99% return of the benchmark blend. Across all three Funds, the underlying U.S. equity funds were the primary source of underperformance during the period.
Each of Calvert's Asset Allocation Funds is designed to offer a diversified portfolio of Calvert's socially responsible mutual funds in a single investment product. We have crafted each of these products to meet the needs of specific types of investors, with each designed to have different levels of risk and return potential.
Investment Climate
Over the past year, stocks outperformed bonds, generally rewarding those investors willing to take on a higher level of risk in their investments. The Russell 3000® Index--a measure of the U.S. stock market--returned 10.22%. Bonds posted more modest returns of 3.39%, as measured by the Lehman U.S. Credit Index. International stocks continued to shine, with a 19.65% return for the Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) Index. With the Federal Reserve's (Fed) continuing its program of raising short-term interest rates throughout most of the reporting period, money market returns--as measured by the return on the Lehman 3-Month T-Bill Bellweather Index--outperformed bonds for the period, at 4.52%.
Energy stocks, which had been market leaders in prior years, lagged considerably over the past year as crude oil and natural gas prices peaked then retreated. In both the Russell 3000 and EAFE Indexes, the Energy sector lost value for the period.
At this time last year, we were concerned with what the market would do once crude oil prices retreated from their then-historic highs. Would other sectors rally or would stocks retreat as well? Given the fairly broad strength of the market as energy stocks faltered over the past year, the verdict seems to be that investors were indeed willing to seek opportunities elsewhere.
The ups and downs of the past year were not all attributable to the fluctuations of energy prices. The Telecommunications sector posted strong returns, driven by mergers among the leading landline and wireless-service providers. Financials also performed well, despite continued short-term interest rate hikes throughout the period.
During the reporting period, the Fed increased the target Fed funds rate 0.25% at the first six of its eight scheduled meetings, pushing the rate to 5.25% before moving to the sidelines in August. Long-term interest rates increased slightly, with the benchmark 10-year Treasury yield rising 0.29% to 4.63%.
Portfolio Strategy
Overall approach
All the underlying Calvert equity funds in the Allocation Funds, as well as CSIF Bond Portfolio, are managed using Calvert's Double DiligenceTM process, which seeks attractive potential investments in well-managed firms by examining companies both financially and in terms of corporate responsibility.
In each of the Allocation Funds, we have adopted a long-term perspective to set target allocations between stocks and bonds. We believe that the weight accorded to each of these asset classes best defines the overall risk profile of each Fund. With the assistance of Ibbotson Associates, we regularly review new market information and fine tune these overall target allocations as needed. We expect each Fund's allocations to stay very close to the set target benchmark allocations.
Within the equity allocation of each Fund, we seek market-appropriate diversification among large-, mid-, and small-cap U.S. equity funds and an international fund. In deciding how to allocate the underlying Calvert domestic funds, we look at their characteristics relative to the Russell 3000® Index (one of the broadest benchmark of U.S. stocks) and then attempt to allocate so that we have a favorable mix of risk and reward relative to that benchmark.
For the reporting period
For the 12-month reporting period, the Funds enjoyed a performance boost from the relatively strong return of CSIF Bond Portfolio, which is the fixed-income allocation in each Allocation Fund. While the overall market performance of bonds was weak relative to stocks, CSIF Bond Portfolio returned 3.82% for period, ahead of the Lehman US Credit Index, at 3.39%.
The strong performance of CSIF Bond Portfolio was the result of several factors. First, we maintained an overall high credit-quality bias and kept the portfolio positioned to benefit from higher rates across the spectrum of bond maturities. In addition, returns were helped by the fact that the Portfolio had a higher allocation to floating-rate notes than did its benchmark. (Interest rates on floating-rate securities reset periodically--monthly or quarterly, for example--and so can provide a benefit to a portfolio when short-term interest rates rise.) The portfolio's short relative duration was also a positive as rates of short-term securities (those maturing in 5 years or less) offered higher yields than those of longer-term bonds (maturing in 10 years or more) for most of the period.
Calvert's equity funds fared less well during the period and that fact contributed to the underperformance of the three Allocation Funds relative to their respective benchmarks. The strong performance of value stocks during the period hurt the relative performance because many of the Calvert Funds have growth biases.4 And in each of the three Allocation Funds, the lion's share of the U.S. equity allocation is devoted to large-cap funds, which also proved to be a primary source of each of the Allocation Funds' underperformance during the period--as large-cap stocks underperformed mid- and small-cap stocks for most of the period.5 Our international fund, Calvert World Values International Equity Fund, Class I, performed roughly in line with its benchmark during the period.
Outlook
Fed rate hikes have moved the target Fed funds rate into a historically neutral range--neither overly accommodative nor restrictive--but the level of core inflation remains uncomfortably high. However, the quickening pace of inflation has finally slowed over the last few months, offering hope that the level will soon drop into the Fed's comfort zone and eliminate the need for further hikes in the target Fed funds rate.
Stock and bond prices appear to be accounting for the good news of an end to this round of rate hikes. Softness in the market for residential real estate may keep economic growth in check and a rebound in fuel and energy prices would not be welcomed news for growth or inflation concerns.
Looking ahead, we believe our disciplined processes and diversified portfolios should reward long-term investors in these socially responsible asset allocation funds.
October 2006
4. Calvert designates the following as domestic equity funds with a growth bias: Calvert Social Investment Fund Equity Portfolio Class I, Calvert Social Investment Fund Enhanced Equity Portfolio Class I, Calvert Social Index Fund Class I, Calvert Large Cap Growth Fund Class I, Calvert Capital Accumulation Fund Class I, and Calvert New Vision Small Cap Fund Class I.
5. Calvert designates the following as large-cap funds: Calvert Social Investment Fund Equity Portfolio Class I, Calvert Social Investment Fund Enhanced Equity Portfolio Class I, Calvert Social Index Fund Class I, and Calvert Large Cap Growth Fund Class I.
Conservative Allocation Fund
September 30, 2006
Asset Allocation | % of Total Investments |
|
Domestic Equity Mutual Funds | 22% |
|
International Equity Mutual Funds | 8% |
|
Fixed Income Mutual Funds | 70% |
|
Total | 100% |
|
|
|
|
Investment Performance |
|
|
(TOTAL RETURN AT NAV*) | 6 Months | 12 Months |
| Ended | Ended |
Class A | 2.74% | 5.40% |
Class C | 2.12% | 4.28% |
|
|
|
Conservative Allocation |
|
|
|
|
|
Blended Benchmark1 | 3.67% | 6.30% |
Lipper Mixed-Asset Target Allocation Conservative Funds Average | 2.50% | 4.96% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
Moderate Allocation Fund
September 30, 2006
Asset Allocation | % of total investments |
|
Domestic Equity Mutual Funds | 48% |
|
International Equity Mutual Funds | 17% |
|
Fixed Income Mutual Funds | 35% |
|
Total | 100% |
|
|
|
|
Investment Performance |
|
|
(TOTAL RETURN AT NAV*) | 6 Months | 12 Months |
| Ended | Ended |
Class A | 1.43% | 7.00% |
Class C | 0.91% | 6.08% |
|
|
|
Moderate Allocation |
|
|
|
|
|
Blended Benchmark2 | 3.46% | 9.58% |
Lipper Mixed-Asset Target Allocation Growth Funds Average | 2.36% | 7.96% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
Aggressive Allocation Fund
September 30, 2006
Asset Allocation | % of total investments |
|
Domestic Equity Mutual Funds | 65% |
|
International Equity Mutual Funds | 25% |
|
Fixed Income Mutual Funds | 10% |
|
Total | 100% |
|
|
|
|
Investment Performance |
|
|
(TOTAL RETURN AT NAV*) | 6 Months | 12 Months |
| Ended | Ended |
Class A | 0.71% | 8.59% |
Class C | 0.18% | 7.43% |
|
|
|
Aggressive Allocation |
|
|
|
|
|
Blended Benchmark3 | 3.35% | 11.99% |
Lipper Multi-Cap Core Funds Average | 0.76% | 8.38% |
Investment performance does not reflect the deduction of any front-end or deferred sales charge.
* Share return at NAV does not reflect deduction of the Fund's maximum front-end sales charge of 4.75%
1 Conservative Allocation Blended Benchmark is comprised of 22% Russell 3000 Index, 8% MSCI EAFE Index, 60% Lehman U.S. Credit Index and 10% Lehman 3-Month T-Bill Bellweather Index.
2 Moderate Allocation Blended Benchmark is comprised of 47% Russell 3000 Index, 18% MSCI EAFE Index, 30% Lehman U.S. Credit Index and 5% Lehman 3-Month T-Bill Bellweather Index.
3 Aggressive Allocation Blended Benchmark is comprised of 64% Russell 3000 Index, 26% MSCI EAFE Index and 10% Lehman U.S. Credit Index.
Conservative Allocation Fund Statistics
September 30, 2006
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 0.39% |
Since Inception | 2.61% |
(4/29/05) |
|
| Class C Shares |
One year | 3.28% |
Since inception | 5.08% |
Performance Comparison
Comparison of change in value of $10,000 investment.
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 Class A maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. The value of an investment in Class A and C 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. Past performance is no guarantee of future results.
Moderate Allocation Fund
Statistics
September 30, 2006
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 1.93% |
Since Inception | 5.54% |
(4/29/05) |
|
| Class C Shares |
One year | 5.01% |
Since inception | 8.07% |
(4/29/05) |
|
Performance Comparison
Comparison of change in value of $10,000 investment.
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 Class A maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. The value of an investment in Class A and C 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. Past performance is no guarantee of future results.
Aggressive Allocation Fund
Statistics
September 30, 2006
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 3.43% |
Since Inception | 6.10% |
(6/30/05) |
|
| Class C Shares |
One year | 6.43% |
Since inception | 9.20% |
(6/30/05) |
|
Performance Comparison
Comparison of change in value of $10,000 investment.
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 Class A maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. The value of an investment in Class A and C 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. Past performance is no guarantee of future results.
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 (April 1, 2006 to September 30, 2006).
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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Class A |
|
|
|
Actual | $1,000.00 | $1,027.40 | $4.01 |
Hypothetical | $1,000.00 | $1,021.11 | $4.00 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,021.20 | $10.13 |
Hypothetical | $1,000.00 | $1,015.04 | $10.10 |
(5% return per year before expenses) |
|
|
|
*Expenses for Conservative are equal to the annualized expense ratios of 0.79% 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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Class A |
|
|
|
Actual | $1,000.00 | $1,014.30 | $4.66 |
Hypothetical | $1,000.00 | $1,020.44 | $4.68 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,009.10 | $9.61 |
Hypothetical | $1,000.00 | $1,015.50 | $9.64 |
(5% return per year before expenses) |
|
|
|
*Expenses for Moderate are equal to the annualized expense ratios of 0.92% and 1.91% 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 | 4/1/06 | 9/30/06 | 4/1/06 - 9/30/06 |
Class A |
|
|
|
Actual | $1,000.00 | $1,007.10 | $3.87 |
Hypothetical | $1,000.00 | $1,021.21 | $3.90 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,001.80 | $10.04 |
Hypothetical | $1,000.00 | $1,015.04 | $10.10 |
(5% return per year before expenses) |
|
|
|
*Expenses for Aggressive are equal to the annualized expense ratios of 0.77% 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 Portfolios:
We have audited the accompanying statements of net assets of Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund, as of September 30, 2006, and the related statements of operations for the year then ended, the statements of changes in net assets for the year then ended and 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), and the financial highlights for the year then ended and the period from inception through September 30, 2005. 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, 2006, by correspondence with custodians and brokers. 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 Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund as of September 30, 2006, the results of their operations for the year then ended, the changes in their net assets for the year then ended and the period from inception through September 30, 2006, and the financial highlights for the year then ended and the period from inception through September 30, 2005, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Philadelphia, PA
November 20, 2006
Conservative Allocation Fund
Statement of Net Assets
September 30, 2006
Mutual Funds - 98.4% |
| Shares | Value |
|
Calvert Impact Fund, Inc.: |
|
|
|
|
Calvert Large Cap Growth Fund, Class I* |
| 7,754 | $245,739 |
|
Calvert Mid Cap Value Fund, Class I |
| 9,433 | 175,176 |
|
Calvert Social Index Series, Inc.: |
|
|
|
|
Calvert Social Index Fund, Class I |
| 28,418 | 351,819 |
|
Calvert Social Investment Fund: |
|
|
|
|
Bond Portfolio, Class I |
| 370,337 | 5,869,849 |
|
Enhanced Equity Portfolio, Class I |
| 29,173 | 578,510 |
|
Equity Portfolio, Class I* |
| 9,002 | 346,032 |
|
Calvert World Values Fund, Inc.: |
|
|
|
|
Calvert Capital Accumulation Fund, Class I* |
| 6,456 | 159,648 |
|
International Equity Fund, Class I |
| 28,165 | 708,621 |
|
|
|
|
|
|
|
|
|
|
|
Total Mutual Funds (Cost $8,274,839) |
|
| 8,435,394 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $8,274,839) - 98.4% |
|
| 8,435,394 |
|
Other assets and liabilities, net - 1.6% |
|
| 136,029 |
|
Net Assets - 100% |
|
| $8,571,423 |
|
|
|
|
|
|
|
|
|
|
|
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: 395,938 shares outstanding |
|
| $6,111,219 |
|
Class C: 146,714 shares outstanding |
|
| 2,252,280 |
|
Undistributed net investment income |
|
| 188 |
|
Accumulated net realized gain (loss) on investments |
|
| 47,181 |
|
Net unrealized appreciation (depreciation) on investments |
|
| 160,555 |
|
Net Assets |
|
| $8,571,423 |
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Class A (based on net assets of $6,257,844) |
|
| $15.81 |
|
Class C (based on net assets of $2,313,579) |
|
| $15.77 |
|
*Non-income producing security.
See notes to financial statements.
Moderate Allocation Fund
Statement of Net Assets
September 30, 2006
Mutual Funds - 99.7% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Large Cap Growth Fund, Class I* |
| 118,173 | $3,744,889 |
Calvert Mid Cap Value Fund, Class I |
| 45,209 | 839,525 |
Calvert Small Cap Value Fund, Class I |
| 48,096 | 835,914 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 135,714 | 1,680,145 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 915,955 | 14,517,888 |
Enhanced Equity Portfolio, Class I |
| 292,629 | 5,802,837 |
Equity Portfolio, Class I* |
| 131,105 | 5,039,673 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I* |
| 47,486 | 1,174,320 |
International Equity Fund, Class I |
| 287,546 | 7,234,650 |
The Calvert Fund: |
|
|
|
Calvert New Vision Small Cap Fund, Class I * |
| 46,856 | 784,832 |
|
|
|
|
|
|
|
|
Total Mutual Funds (Cost $40,174,122) |
|
| 41,654,673 |
|
|
|
|
TOTAL INVESTMENTS (Cost $40,174,122) - 99.7% |
|
| 41,654,673 |
Other assets and liabilities, net - 0.3% |
|
| 133,199 |
Net Assets - 100% |
|
| $41,787,872 |
|
|
|
|
|
|
|
|
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: 1,979,277 shares outstanding |
|
| $31,903,347 |
Class C: 509,812 shares outstanding |
|
| 8,139,813 |
Undistributed net investment income |
|
| 3,640 |
Accumulated net realized gain (loss) on investments |
|
| 260,521 |
Net unrealized appreciation (depreciation) on investments |
|
| 1,480,551 |
Net Assets |
|
| $41,787,872 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $33,279,437) |
|
| $16.81 |
Class C (based on net assets of $8,508,435) |
|
| $16.69 |
*Non-income producing security.
See notes to financial statements.
Aggressive Allocation Fund
Statement of Net Assets
September 30, 2006
Mutual Funds - 99.7% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Large Cap Growth Fund, Class I * |
| 68,284 | $2,163,925 |
Calvert Mid Cap Value Fund, Class I |
| 29,887 | 555,003 |
Calvert Small Cap Value Fund, Class I |
| 51,516 | 895,346 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 61,482 | 761,152 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 116,838 | 1,851,878 |
Enhanced Equity Portfolio, Class I |
| 151,296 | 3,000,194 |
Equity Portfolio, Class I * |
| 80,822 | 3,106,781 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I * |
| 21,136 | 522,695 |
International Equity Fund, Class I |
| 185,325 | 4,662,789 |
The Calvert Fund: |
|
|
|
Calvert New Vision Small Cap Fund, Class I * |
| 49,640 | 831,463 |
|
|
|
|
Total Mutual Funds (Cost $17,619,837) |
|
| 18,351,226 |
|
|
|
|
TOTAL INVESTMENTS (Cost $17,619,837) - 99.7% |
|
| 18,351,226 |
Other assets and liabilities, net - 0.3% |
|
| 58,590 |
Net Assets - 100% |
|
| $18,409,816 |
|
|
|
|
|
|
|
|
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: 897,017 shares outstanding |
|
| $14,538,457 |
Class C: 193,513 shares outstanding |
|
| 3,082,254 |
Accumulated net realized gain (loss) on investments |
|
| 57,716 |
Net unrealized appreciation (depreciation) on investments |
|
| 731,389 |
Net Assets |
|
| $18,409,816 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $15,169,936) |
| $16.91 | |
Class C (based on net assets of $3,239,880) |
| $16.74 |
*Non-income producing security.
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2006
|
| Conservative | Moderate | Aggressive |
|
|
| Allocation | Allocation | Allocation |
|
Net Investment Income |
| Fund | Fund | Fund |
|
Investment Income: |
|
|
|
|
|
Dividend income |
| $218,191 | $516,338 | $70,392 |
|
Total investment income |
| 218,191 | 516,338 | 70,392 |
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Transfer agency fees and expenses |
| 29,263 | 71,840 | 51,530 |
|
Administrative fees |
| 8,613 | 38,230 | 14,457 |
|
Distribution Plan expenses: |
|
|
|
|
|
Class A |
| 10,246 | 50,360 | 19,551 |
|
Class C |
| 16,434 | 53,425 | 18,175 |
|
Trustees' fees and expenses |
| 760 | 3,443 | 1,307 |
|
Custodian fees |
| 29,534 | 33,726 | 34,664 |
|
Registration fees |
| 34,982 | 38,156 | 37,570 |
|
Reports to shareholders |
| 439 | 7,112 | 2,988 |
|
Professional fees |
| 17,764 | 18,012 | 17,822 |
|
Contract Services |
| 14,632 | 14,813 | 18,849 |
|
Miscellaneous |
| 845 | 1,419 | 809 |
|
Total expenses |
| 163,512 | 330,536 | 217,722 |
|
Reimbursement from Advisor: |
|
|
|
|
|
Class A |
| (71,374) | (33,209) | (96,577) |
|
Class C |
| (23,313) | -- | (18,666) |
|
Fees waived |
| (429) | (2,453) | (1,244) |
|
Net expenses |
| 68,396 | 294,874 | 101,235 |
|
|
|
|
|
|
|
Net Investment Income (Loss) |
| 149,795 | 221,464 | (30,843) |
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) on Investments |
|
|
|
|
|
Net realized gain (loss) |
| 47,328 | 260,853 | 100,748 |
|
Change in unrealized appreciation or (depreciation) |
| 127,621 | 1,285,276 | 679,134 |
|
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
| 174,949 | 1,546,129 | 779,882 |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| $324,744 | $1,767,593 | $749,039 |
|
See notes to financial statements.
Conservative Allocation Fund
Statements of Changes in Net Assets
|
| From Inception | April 29, 2005 |
|
|
| Year Ended | Through |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2006 | 2005 |
|
Operations: |
|
|
|
|
Net investment income |
| $149,795 | $9,720 |
|
Net realized gain (loss) on investments |
| 47,328 | 1,544 |
|
Change in unrealized appreciation (depreciation) |
| 127,621 | 32,934 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| 324,744 | 44,198 |
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (119,052) | (7,888) |
|
Class C Shares |
| (30,555) | (1,858) |
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (1,119) | -- |
|
Class C Shares |
| (546) | -- |
|
Total distributions |
| (151,272) | (9,746) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 4,475,379 | 1,943,057 |
|
Class C Shares |
| 1,424,174 | 980,209 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 111,454 | 7,629 |
|
Class C Shares |
| 27,435 | 1,672 |
|
Redemption Fees: |
|
|
|
|
Class A Shares |
| 104 | 1 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (426,039) | (366) |
|
Class C Shares |
| (181,210) | -- |
|
Total capital share transactions |
| 5,431,297 | 2,932,202 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 5,604,769 | 2,966,654 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 2,966,654 | -- |
|
End of year (including undistributed net investment income of $188 and $0, respectively) |
| $8,571,423 | $2,966,654 |
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 288,387 | 127,215 |
|
Class C Shares |
| 91,780 | 64,698 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 7,176 | 496 |
|
Class C Shares |
| 1,772 | 109 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (27,312) | (24) |
|
Class C Shares |
| (11,645) | -- |
|
Total capital share activity |
| 350,158 | 192,494 |
|
See notes to financial statements.
Moderate Allocation Fund
Statements of Changes in Net Assets
|
| From Inception April 29, 2005 |
|
|
|
| Year Ended | Through |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2006 | 2005 |
|
Operations: |
|
|
|
|
Net investment income |
| $221,464 | $3,388 |
|
Net realized gain (loss) on investments |
| 260,853 | 1,544 |
|
Change in unrealized appreciation (depreciation) |
| 1,285,276 | 195,275 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| 1,767,593 | 200,207 |
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (203,830) | (3,414) |
|
Class C Shares |
| (13,994) | -- |
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (1,452) | -- |
|
Class C Shares |
| (398) | -- |
|
Total distributions |
| (219,674) | (3,414) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 26,720,192 | 7,503,040 |
|
Class C Shares |
| 6,238,254 | 2,188,669 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 194,322 | 3,290 |
|
Class C Shares |
| 11,968 | -- |
|
Redemption fees: |
|
|
|
|
Class A Shares |
| 202 | 149 |
|
Class C Shares |
| 7 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (2,497,956) | (19,892) |
|
Class C Shares |
| (254,295) | (44,790) |
|
Total capital share transactions |
| 30,412,694 | 9,630,466 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 31,960,613 | 9,827,259 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 9,827,259 | -- |
|
End of year (including undistributed net investment income of $3,640 and $0, respectively) |
| $41,787,872 | $9,827,259 |
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 1,639,768 | 481,542 |
|
Class C Shares |
| 385,504 | 142,068 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 11,884 | 210 |
|
Class C Shares |
| 745 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (152,857) | (1,270) |
|
Class C Shares |
| (15,615) | (2,890) |
|
Total capital share activity |
| 1,869,429 | 619,660 |
|
See notes to financial statements.
Aggressive Allocation Fund
Statements of Changes in Net Assets
|
| From Inception June 30, 2005 |
|
|
|
| Year Ended | Through |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2006 | 2005 |
|
Operations: |
|
|
|
|
Net investment income (loss) |
| ($30,843) | ($3,807) |
|
Net realized gain (loss) on investments |
| 100,748 | 1,006 |
|
Change in unrealized appreciation (depreciation) |
| 679,134 | 52,255 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| 749,039 | 49,454 |
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (11,614) | -- |
|
Class C Shares |
| (535) | -- |
|
Total distributions |
| (12,149) | -- |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 13,699,365 | 1,356,600 |
|
Class C Shares |
| 2,411,536 | 809,946 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 11,188 | -- |
|
Class C Shares |
| 523 | -- |
|
Redemption fees: |
|
|
|
|
Class A Shares |
| 193 | -- |
|
Class C Shares |
| 1,337 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (522,951) | (4,215) |
|
Class C Shares |
| (140,050) | -- |
|
Total capital share transactions |
| 15,461,141 | 2,162,331 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 16,198,031 | 2,211,785 |
|
|
|
|
|
|
Net Assets Beginning of year |
| 2,211,785 | -- |
|
End of year |
| $18,409,816 | $2,211,785 |
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 840,220 | 88,617 |
|
Class C Shares |
| 148,545 | 53,354 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 699 | -- |
|
Class C Shares |
| 33 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (32,245) | (274) |
|
Class C Shares |
| (8,419) | -- |
|
Total capital share activity |
| 948,833 | 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 th an 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 Class of the Fund from which the redemption is made 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 fees may be 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 may be 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.
In July 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" -- an interpretation of FASB Statement 109 (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Fund's tax returns to determine whether tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
New Accounting Pronouncements: In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Fund does not believe the adoption of SFAS No. 157 will impact the financial statement amounts, however, addit ional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
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 UNIFI 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 year end, $781, $10,595 and $167 was payable to the Advisor from Conservative, Moderate and Aggressive respectively, for operating expenses paid by the Advisor during September 2006.
The Advisor has contractually agreed to limit direct ordinary operating expenses through January 31, 2008. The contractual expense cap is 0.44%, 0.80%, and 0.43% for Class A shares of Conservative, Moderate, and Aggressive, respectively. Prior to August 1, 2006, the contractual expense cap was 1.00% for Class A shares of each Fund. The contractual expense cap is 2.00% for Class C shares of each Fund. 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 may be reduced and the Advisor may benefit 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, $1,022, $4,945, and $2,196 was payable at year 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, $3,015, $13,295, and $5,592 was payable at year end for Conservative, Moderate, and Aggressive, respectively.
The Distributor received $19,458, $131,624, and $65,570 as its portion of the commissions charged on the sales of Conservative, Moderate, and Aggressive Class A shares, respectively, for the year ended September 30, 2006.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Funds. Under the terms of the agreement, $237, $1,594, and $1,287 was payable at year end for Conservative, Moderate and Aggressive, respectively. For its services, CSSI received fees of $1,888, $12,883 and $9,772 for the year ended September 30, 2006 for Conservative, Moderate, and Aggressive, respectively. For the year ended September 30, 2006, CSSI waived $429, $2,453, and $1,244 of its fee for Conservative, Moderate, and Aggressive, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
On December 2, 2005, shareholders approved the reorganization of several Calvert Fund Boards. As a result of this reorganization, Trustees now oversee additional portfolios. Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $34,000 ($23,000 prior to December 2, 2005) plus a meeting fee of $2,000 ($1,000 prior to December 2, 2005) for each Board meeting attended. An additional Chair support fee of $24,000 annually is paid to the Fund Chair. 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") served as Calvert Social Investment Fund counsel through December 2005; the Calvert Social Investment Fund's Secretary was an affiliate of this firm. Payments by the Calvert Social Investment Fund to K&LNG during the reporting period were $37,632.
Note C -- Investment Activity
During the year, cost of purchases and proceeds from sales of the Underlying Funds were:
| Conservative | Moderate | Aggressive |
Purchases | $5,910,525 | $31,853,788 | $16,318,035 |
Sales | 519,825 | 1,387,002 | 827,692 |
The following tables present the cost of investments for federal income tax purposes, and the components of net unrealized appreciation (depreciation) at September 30, 2006:
| Conservative | Moderate | Aggressive |
Federal income tax cost of investments | $8,284,559 | $40,187,219 | $17,625,438 |
Unrealized appreciation | 175,898 | 1,559,189 | 791,783 |
Unrealized depreciation | (25,063) | (91,735) | (65,995) |
Net appreciation/(depreciation) | 150,835 | 1,467,454 | 725,788 |
The tax character of dividends and distributions paid during the year ended September 30, 2006, and period ended September 30, 2005 were as follows:
Conservative |
|
|
Distributions paid from: | 2006 | 2005 |
Ordinary income | $151,272 | $9,746 |
Total | $151,272 | $9,746 |
|
|
|
Moderate |
|
|
Distributions paid from: | 2006 | 2005 |
Ordinary income | $219,674 | $3,414 |
Total | $219,674 | $3,414 |
|
|
|
Aggressive |
|
|
Distributions paid from: | 2006 | 2005 |
Ordinary income | $12,149 | -- |
Total | $12,149 | -- |
As of September 30, 2006, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Conservative | Moderate | Aggressive |
Undistributed ordinary income | $6,949 | $79,296 | $4,598 |
Undistributed long-term capital gain | 50,140 | 197,962 | 58,719 |
Unrealized appreciation (depreciation) | 150,835 | 1,467,454 | 725,788 |
Total | $207,924 | $1,744,712 | $789,105 |
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 the tax treatment of net operating losses and the recharacterization of distributions for Aggressive.
| Aggressive |
Undistributed net investment income | $42,992 |
Accumulated net realized gain (loss) | (42,992) |
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the statement of net assets for Conservative, Moderate and Aggressive are 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 the committed 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 year ended September 30, 2006.
Tax Information (Unaudited)
For corporate shareholders of Conservative and Moderate, a total of 1.7% and 4.3%, respectively, of the ordinary distributions paid during fiscal year ending September 30, 2006 qualify for the corporate dividends received deduction. Also 4.3% and 15.1% of the ordinary distributions paid for Conservative and Moderate, respectively, have been identified as qualified dividend income. Additional information will be provided to shareholders in January 2007 for use in preparing 2006 income tax returns.
Conservative Allocation Fund
Financial Highlights
|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class A Shares |
| 2006 | 2005 # |
|
Net asset value, beginning |
| $15.42 | $15.00 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| .42 | .08 |
|
Net realized and unrealized gain (loss) |
| .40 | .42 |
|
Total from investment operations |
| .82 | .50 |
|
Distributions from |
|
|
|
|
Net investment income |
| (.42) | (.08) |
|
Net realized gain |
| (.01) | -- |
|
Total distributions |
| (.43) | (.08) |
|
Total increase (decrease) in net asset value |
| .39 | .42 |
|
Net asset value, ending |
| $15.81 | $15.42 |
|
|
|
|
|
|
Total return* |
| 5.40% | 3.34% |
|
Ratios to average net assets: A, B |
|
|
|
|
Net investment income |
| 2.91% | 1.69% (a) |
|
Total expenses |
| 2.62% | 9.04% (a) |
|
Expenses before offsets |
| .87% | 1.00% (a) |
|
Net expenses |
| .87% | 1.00% (a) |
|
Portfolio turnover |
| 9% | 4% |
|
Net assets, ending (in thousands) |
| $6,258 | $1,968 |
|
|
|
|
|
|
|
|
|
|
|
|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class C Shares |
| 2006 | 2005# |
|
Net asset value, beginning |
| $15.40 | $15.00 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| .28 | .03 |
|
Net realized and unrealized gain (loss) |
| .38 | .40 |
|
Total from investment operations |
| .66 | .43 |
|
Distributions from |
|
|
|
|
Net investment income |
| (.28) | (.03) |
|
Net realized gain |
| (.01) | -- |
|
Total distributions |
| (.29) | (.03) |
|
Total increase (decrease) in net asset value |
| .37 | .40 |
|
Net asset value, ending |
| $15.77 | $15.40 |
|
|
|
|
|
|
Total return* |
| 4.28% | 2.90% |
|
Ratios to average net assets: A, B |
|
|
|
|
Net investment income |
| 1.87% | .61% (a) |
|
Total expenses |
| 3.42% | 9.34% (a) |
|
Expenses before offsets |
| 2.00% | 2.00% (a) |
|
Net expenses |
| 2.00% | 2.00% (a) |
|
Portfolio turnover |
| 9% | 4% |
|
Net assets, ending (in thousands) |
| $2,314 | $998 |
|
|
|
|
|
|
|
|
|
|
|
Moderate Allocation Fund |
|
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class A Shares |
| 2006 | 2005# |
|
Net asset value, beginning |
| $15.88 | $15.00 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| .18 | .02 |
|
Net realized and unrealized gain (loss) |
| .92 | .87 |
|
Total from investment operations |
| 1.10 | .89 |
|
Distributions from |
|
|
|
|
Net investment income |
| (.17) | (.01) |
|
Net realized gain |
| ** | -- |
|
Total distributions |
| (.17) | (.01) |
|
Total increase (decrease) in net asset value |
| .93 | .88 |
|
Net asset value, ending |
| $16.81 | $15.88 |
|
|
|
|
|
|
Total return* |
| 7.00% | 5.95% |
|
Ratios to average net assets: A, B |
|
|
|
|
Net investment income |
| 1.08% | .43% (a) |
|
Total expenses |
| 1.12% | 3.99% (a) |
|
Expenses before offsets |
| .95% | 1.00% (a) |
|
Net expenses |
| .95% | 1.00% (a) |
|
Portfolio turnover |
| 5% | 1% |
|
Net assets, ending (in thousands) |
| $33,279 | $7,628 |
|
|
|
|
|
|
|
|
|
|
|
|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class C Shares |
| 2006 | 2005# |
|
Net asset value, beginning |
| $15.80 | $15.00 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| .05 | (.02) |
|
Net realized and unrealized gain (loss) |
| .91 | .82 |
|
Total from investment operations |
| .96 | .80 |
|
Distributions from |
|
|
|
|
Net investment income |
| (.07) | -- |
|
Net realized gain |
| ** | -- |
|
Total distributions |
| (.07) | -- |
|
Total increase (decrease) in net asset value |
| .89 | .80 |
|
Net asset value, ending |
| $16.69 | $15.80 |
|
|
|
|
|
|
Total return* |
| 6.08% | 5.33% |
|
Ratios to average net assets: A, B |
|
|
|
|
Net investment income |
| .07% | (.62%) (a) |
|
Total expenses |
| 1.95% | 5.22% (a) |
|
Expenses before offsets |
| 1.94% | 2.00% (a) |
|
Net expenses |
| 1.94% | 2.00% (a) |
|
Portfolio turnover |
| 5% | 1% |
|
Net assets, ending (in thousands) |
| $8,508 | $2,200 |
|
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|
|
|
|
Aggressive allocation Fund |
|
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|
Financial Highlights |
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|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class A Shares |
| 2006 | 2005## |
|
Net asset value, beginning |
| $15.62 | $15.00 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| .03 | (.01) |
|
Net realized and unrealized gain (loss) |
| 1.31 | .63 |
|
Total from investment operations |
| 1.34 | .62 |
|
Distributions from |
|
|
|
|
Net investment income |
| (.05) | -- |
|
Total distributions |
| (.05) | -- |
|
Total increase (decrease) in net asset value |
| 1.29 | .62 |
|
Net asset value, ending |
| $16.91 | $15.62 |
|
|
|
|
|
|
Total return* |
| 8.59% | 4.13% |
|
Ratios to average net assets: A, B |
|
|
|
|
Net investment income |
| (.11%) | (.59%) (a) |
|
Total expenses |
| 2.08% | 15.10% (a) |
|
Expenses before offsets |
| .83% | 1.00% (a) |
|
Net expenses |
| .83% | 1.00% (a) |
|
Portfolio turnover |
| 9% | 5% |
|
Net assets, ending (in thousands) |
| $15,170 | $1,380 |
|
|
|
|
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|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class C Shares |
| 2006 | 2005## |
|
Net asset value, beginning |
| $15.59 | $15.00 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| (.11) | (.05) |
|
Net realized and unrealized gain (loss) |
| 1.27 | .64 |
|
Total from investment operations |
| 1.16 | .59 |
|
Distributions from |
|
|
|
|
Net investment income |
| (.01) | -- |
|
Total distributions |
| (.01) | -- |
|
Total increase (decrease) in net asset value |
| 1.15 | .59 |
|
Net asset value, ending |
| $16.74 | $15.59 |
|
|
|
|
|
|
Total return* |
| 7.43% | 3.93% |
|
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| (1.24%) | (1.63%) (a) |
|
Total expenses |
| 3.04% | 13.06% (a) |
|
Expenses before offsets |
| 2.00% | 2.00% (a) |
|
Net expenses |
| 2.00% | 2.00% (a) |
|
Portfolio turnover |
| 9% | 5% |
|
Net assets, ending (in thousands) |
| $3,240 | $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.
** Less than $.01 per share.
# 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 (not applicable to the Asset Allocation Funds), 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 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.
Trustee and Officer Information Table
|
|
|
| # of Calvert |
|
| Position | Position |
| Portfolios | Other |
Name & | with | Start | Principal Occupation | Overseen | Directorships |
Age | Fund | Date | During Last 5 Years | (Not Applicable to Officers) |
DISINTERESTED DIRECTORS/TRUSTEES |
|
|
|
| |||||
REBECCA ADAMSON AGE: 57 | Trustee Director Director
Director | 1989 CSIF 2000 Impact 2000 CSIS 2005 CWVF | 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. | 14 |
| ||||
RICHARD L. BAIRD, JR. AGE: 58 | Trustee Director Director
Director | 1982 CSIF 2000 CSIS 2005 CWVF 2005 Impact | President and CEO of the 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 and community preventive health programs. | 26 | |||||
FREDERICK A. DAVIE, JR. AGE: 50 | Trustee
Director Director
Director | 2001 CSIF 2001 CSIS 2005 CWVF 2005 IMPACT | 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. | 14 |
| ||||
JOHN GUFFEY, JR. AGE: 58 | Trustee
Director
Director
Director | 1982 CSIF 1992 CWVF 2000 CSIS 2005 IMPACT | Treasurer and Director of Silby, Guffey and Co., Inc. a venture capital firm (inactive as of 2003). President, Aurora Press, Inc., 2002. | 26 |
| ||||
MILES DOUGLAS HARPER, III AGE: 44 | Director
Trustee
Director
Director | 2000 Impact 2005 CSIF 2005 CSIS 2005 CWVF | Partner, Gainer Donnelly & Desroches (public accounting firm) since January 1999. | 14 |
| ||||
JOY V. JONES AGE: 56 | Trustee
Director
Director
Director | 1990 CSIF 2000 Impact 2000 CSIS 2005 CWVF | Attorney and entertainment manager in New York City.
| 14 |
| ||||
TERRENCE J. MOLLNER, Ed.D. AGE: 61
| Trustee
Director
Director
Director | 1982 CSIF 1992 CWVF 2000 CSIS 2005 IMPACT | 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. | 14 |
| ||||
SYDNEY AMARA MORRIS AGE: 57 | Trustee
Director
Director
Director | 1982 CSIF 2000 CSIS 2005 CWVF 2005 IMPACT | Rev. Morris 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. She currently chairs the Umbrian Universalist Committee on Socially Responsible Investing. | 14 | |||||
RUSTUM ROY AGE: 82 | Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Evan Pugh Professor of the Solid State and of Geo-chemistry Emeritus, at Pennsylvania State University, Distinguished Professor of materials, Arizona State University; & visiting Professor of Medicine, University of Arizona. | 14 |
| ||||
TESSA TENNANT AGE: 47
| Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Chair of ASrIA Ltd., a not-for-profit membership organization for Socially Responsible Investing (SRI), serving the Asia Pacific region. Previously, Ms. Tennant served as Head of SRI Policy for Henderson Investors, U.K. and Head of Green and Ethical Investing for National Provident Investment Managers Ltd. Initially, Ms. Tennant headed the Environmental Research Unit of Jupiter Tyndall Merlin Ltd., and served as Director of Jupiter Tyndall Merlin investment managers. | 14 |
| ||||
INTERESTED DIRECTORS/TRUSTEES |
|
|
| ||||||
BARBARA J. KRUMSIEK AGE: 54 | Director & President Trustee & Senior Vice President Director & Senior Vice President Director & President | 1997 CWVF 1997 CSIF
2000 CSIS
2000 Impact | President, Chief Executive Officer and 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: 58 | Trustee, Chair & President Director & Chair Director, Chair & President Director & Chair | 1982 CSIF
1992 CWVF 2000 CSIS
2000 Impact | 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 |
|
|
|
|
| ||||
KAREN BECKER AGE: 54 | Chief Compliance Officer | 2005 | Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. | ||||||
SUSAN WALKER BENDER, Esq. AGE: 47 | Officer | 1988 CSIF 1992 CWVF 2000 CSIS 2000 Impact | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. | ||||||
THOMAS DAILEY AGE: 42 | Officer | 2004 CSIF | Vice President of Calvert Asset Management Company, Inc. | ||||||
IVY WAFFORD DUKE, Esq. AGE: 38 | Officer | 1996 CSIF 1996 CWVF 2000 CSIS 2000 Impact | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd., and since 2004, Chief Compliance Officer for Calvert Asset Management Company, investment advisor to the Funds. | ||||||
STEVEN A. FALCI AGE: 47 | Officer
| 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: 33 | Officer | 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: 56 | Officer | 2004 CSIF | Senior Vice President of Calvert Asset Management Company, Inc. | ||||||
DANIEL K. HAYES AGE: 56 | Officer | 1996 CSIF 1996 CWVF 2000 CSIS 2000 Impact | Senior Vice President of Calvert Asset Management Company, Inc. | ||||||
HUI PING HO, CPA AGE: 41 | Officer | 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. | ||||||
LANCELOT A. KING, Esq. AGE: 36 | Officer | 2002 | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2002, Mr. King was an associate with Mintz, Levin, Cohn, Ferris, Glovsky & Popeo. | ||||||
JANE B. MAXWELL, Esq. AGE: 54 | Officer | 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. | ||||||
ANDREW K. NIEBLER, Esq. AGE: 39 | Officer | 2006 | Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2006, Mr. Niebler was an associate with Cleary, Gottlieb, Steen & Hamilton for 7 years. | ||||||
CATHERINE P. ROY AGE: 50 | Officer | 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: 59 | Officer | 1990 CSIF 1992 CWVF 2000 CSIS 2000 Impact | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd. | ||||||
RONALD M. WOLFSHEIMER, CPA AGE: 54 | Officer | 1982 CSIF 1992 CWVF 2000 CSIS 2000 Impact | Senior Vice President and Chief Financial and Administrative Officer of Calvert Group, Ltd. and Fund Treasurer. | ||||||
MICHAEL V. YUHAS JR., CPA AGE: 45 | Officer | 1999 CSIF 1999 CWVF 2000 CSIS 2000 Impact | Director of Fund Administration of Calvert Group, Ltd. and Fund Controller. |
The address of Directors/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 Directors/Trustees can be found in the Statement of Additional Information (SAI). You can get a free copy of the SAI at www.calvert.com, or 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
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
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
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Floating 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 Miles D. Harper, III, 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 9/30/06 | |||
$ | %* | $ | % * | |
(a) Audit Fees | $106,150 | $117,920 | ||
(b) Audit-Related Fees | $0 | 0% | $0 | 0% |
(c) Tax Fees (tax return preparation and filing for the registrant) | $21,120 | 0% | $22,000 | 0% |
(d) All Other Fees | $0 | 0% | $0 | 0% |
Total | $127,270 | 0% | $139,920 | 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 9/30/06 | ||
$ | %* | $ | % * |
$21,000 | 0%* | $5,000 | 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 were made 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, 2006.
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 |
Date: December 1, 2006
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.
By: | /s/ Barbara J. Krumsiek |
Date: December 1, 2006
By: | /s/ D. Wayne Silby |
Date: December 1, 2006
By: | /s/ Ronald M. Wolfsheimer |