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, 2008
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Item 1. Report to Stockholders.
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Calvert
Investments that make a difference®
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September 30, 2008
Annual Report
Calvert Social Investment Fund
Money Market Portfolio
Balanced Portfolio
Bond Portfolio
Equity Portfolio
Enhanced Equity Portfolio
Calvert
Investments that make a difference®
A UNIFI Company
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Table of Contents
Founding Chairman's Letter
2
President's Letter
6
Money Market Portfolio Management Discussion
9
Balanced Portfolio Management Discussion
12
Bond Portfolio Management Discussion
16
Equity Portfolio Management Discussion
20
Enhanced Equity Portfolio Management Discussion
25
Shareholder Expense Example
29
Report of Independent Registered Public Accounting Firm
34
Schedules of Investments
35
Notes to Schedules of Investments
70
Statements of Assets and Liabilities
75
Statements of Operations
79
Statements of Changes in Net Assets
81
Notes to Financial Statements
90
Financial Highlights
100
Explanation of Financial Tables
118
Proxy Voting and Availability of Quarterly Portfolio Holdings
120
Trustee and Officer Information Table
122
Dear Shareholder:
Your portfolio managers have outperformed their benchmarks in four of the five CSIF portfolios this past year, but unfortunately good relative performance was not enough to eliminate the pain in these extraordinary markets. As former Federal Reserve Chairman Alan Greenspan remarked, we are facing a once in a century market tsunami. Markets tend to overshoot on the downside as well as the upside. I can only share Warren Buffet's belief that the markets will eventually improve over the next several years. But with the current complexity and volatility, this does not give much solace in the near term.
In My View
At the time of this writing, the markets are in turmoil and fear about a severe slowdown is gripping the country. The $700 billion rescue legislation was recently passed, and, while our policymakers at Treasury and the Fed are making valiant attempts, I am not convinced that financial engineering will solve the problems of financial engineering. Even the government rescue amount itself will be financed by the Treasury with borrowing -- a "just put it on the tab" mentality. The solution to this problem is in a totally new domain.
As has long been discussed in these reports, we have been on an unsustainable path of overconsumption and debt without regard to investment or savings for our collective infrastructure. We elected politicians who told us what we wanted to hear -- that cutting taxes was the prescription to wealth, that we can have a war without national economic sacrifice, and that the massive number of retiring baby boomers can be supported in their lifestyle by smaller, younger generations.
In nerve-racking times, it is important to go back to the basics and to what is real. We must first get out of denial. After the election we need our new President to provide the kind of leadership that creates focus on the need for serious change and how best to accomplish it. With political will, which must invoke national saving and investment, we can solve the problems and look forward to a respectable future -- and recovering markets. But we need real changes and not just more financial engineering.
I believe we need to tax oil if the price falls to under $90 per barrel to keep our alternative energy efforts going. We need more R & D and infrastructure spending to support innovation. We need to invest in education and affordable health care, and we need a sensible immigration policy that will welcome new workers. We need to define security on an ecological and bioregional basis, not just in terms of a bank account or strong military.
Where will the money come from to implement the needed changes? More U.S. borrowing for investment can help, but has its limits. Here's one novel bold idea: May I suggest a one-time wealth tax of 3% on assets over $3 million? Wealth disparity in our country is far greater than income disparity. The very wealthy have more to lose financially than the rest. Such a contribution (about $500 billion?) to the country could be their best move to stay rich by providing the investment capital needed to re-invent the nation's economy.
I was recently at a conference focused on our nascent social capital markets, where money is placed into such activities as micro-finance, alternative energy funds, and "slow food" systems. A person from The Economist spoke. He made the observation that he just came in from New York where people are stressed and down, but, at this conference, which was about meaningful uses of capital, people seemed upbeat and relatively happy.
As a shareholder, you continue to foster the application of real investments to meeting real needs. Our model of investment is getting more attention as the world searches for alternatives to the failure of unbridled capitalism. The following are some updates on your fund's work to further investments with a conscience.
Homebuilders Report
In May, Calvert released a new report in conjunction with the Boston College Institute for Responsible Investment that ranks the 13 largest publicly traded U.S. home builders on key environmental and energy efficiency factors, and encourages the industry to embrace the emerging market for sustainable building design and construction. The report attracted significant press coverage, including reports in The Washington Post and Cox News Service. Since then, Calvert has met with the National Association of Home Builders and several of the companies ranked in the report.
Carbon Disclosure Project
As a follow-up to the last year's Carbon Disclosure Project (CDP) report with Ceres, Calvert filed a number of shareholder proposals with companies that had not disclosed their greenhouse gas emissions or their strategies to reduce emissions. As a result, five companies--Big Lots, Lowe's, Kirby, Ryder, and Harley Davidson--agreed to disclose this information.1 We also wrote to more than 100 companies that did not respond to the CDP survey. Furthermore, Calvert teamed up with TIAA-CREF this year to coordinate a Standard & Poor's 500 Index working group as part of the Global Warming Shareholder Campaign.
Human Rights in Extractives Industry
Bennett Freeman, our Senior Vice President, Social Research and Policy, testified on behalf of Calvert to several legislative bodies in the past year on matters related to oil and gas and mining companies, most of which we do not currently own. In September, he spoke to a Senate Judiciary Subcommittee about the critical role governments play in leading the Voluntary Principles on Security and Human Rights Initiative when companies are operating in zones of conflict. He also delivered a statement to the International Accounting Standards Board and testified before the House Financial Services Committee on the issue of revenue transparency in the extractives industry.
Special Equities
A modest but important portion of the CSIF Balanced and Equity Portfolios is invested in companies that provide for-profit socially or environmentally relevant products or services. Recently, the Special Equities program made an early-stage investment in NeoDiagnostix, a Maryland company developing genetic technologies to more accurately test for cervical cancer.2 If successful, it could not only save lives, but also greatly reduce the amount of repeat testing and invasive procedures currently required to determine if cancer is present.
We have also invested in New Markets Ventures Partners II which targets disadvantaged areas in the mid-Atlantic region where investment may create jobs and other benefits. ShoreBankCorp, the first community development and environmental bank holding company, is a new addition to the portfolio as well.3
Community Investments
Many of our Funds participate in Calvert's High Social Impact Investing program, which is administered through the Calvert Social Investment Foundation. This community investment program may allocate between 1% to 3% of Fund assets at below-market interest rates to investments designed to provide economic opportunity for struggling populations.4
The Calvert Foundation has recently begun an exciting partnership with Habitat for Humanity International to increase the amount of affordable housing in the U.S. and around the world.
During the reporting period, the Foundation also expanded its international portfolio to include a loan to the BRAC Africa Loan Fund. BRAC aims to alleviate poverty and empower the poor through a holistic approach that uses microfinance to create local entrepreneurial communities.
Finally, I think it's important to note that the investments in our Special Equities and High Social Impact Programs have contributed positively to Fund returns this past year. And of course, your support helps us spread this message about meeting true human needs with meaningful investment. Thank you for helping us further this movement for real social change.
Sincerely,
D. Wayne Silby
Founding Chairman (Non-Executive)
Calvert Social Investment Fund
October 2008
1. As of September 30, 2008, the following companies represented the following percentages of net assets: Lowe's represented 0.09% of CSIF Enhanced Equity Portfolio and Ryder represented 0.29% of CSIF Enhanced Equity Portfolio. Big Lots, Kirby, and Harley Davidson were not held by any of the CSIF Portfolios as of that date.
2. As of September 30, 2008, NeoDiagnostix represented 0.03% of CSIF Equity Portfolio.
3. As of September 30, 2008, New Markets Venture Partners II represented 0.004% of CSIF Equity Portfolio and ShoreBank represented 0.09% of CSIF Equity Portfolio.
4. As of September 30, 2008, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: CSIF Balanced Portfolio, 1.00%; CSIF Bond Portfolio, 0.23%; and CSIF Equity Portfolio, 0.66%. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization. All holdings are subject to change without notice.
Dear Shareholders:
As you well know from the headlines, we are confronting a period of virtually unprecedented economic turmoil and declines in the financial markets. This past year has seen highly volatile markets, with nearly all asset classes posting sharp losses. A time period that began with the first intimations of the credit crisis has closed with a rearrangement of the financial landscape, with many of the market's best-known companies forced to close, merge with competitors, or receive emergency funding from the government.
Uncertainty, fear, and concerns about recession have taken a toll on the financial markets. Stock prices plunged, with the Standard & Poor's 500 Index losing 21.98% of its value for the 12 months ending September 30, 2008, while the Russell 1000 Index dropped by 22.10%. Bonds, too, were hurt by continuing uncertainty about the value of certain structured mortgage-backed securities, as well as concerns about the inflationary potential of skyrocketing oil and commodity prices. For the 12-month period, the Lehman U.S. Credit Index was down 4.79%. Money market funds were one of the few asset classes that produced positive returns for the period, with the Lipper Money Market Average advancing 2.78%.
Strong Relative Performance in Down Markets
While negative returns present near-term challenges to all investors, Calvert continues to strive to exceed market benchmarks for our portfolios in all periods. We are able to report that four out of the five Calvert Social Investment Fund (CSIF) Portfolios outperformed their benchmarks during the past fiscal year ending September 30, several of them by significant margins. CSIF Bond Portfolio, for instance, gained 0.86% while the benchmark Lehman U.S. Credit Index lost 4.79%. CSIF Equity Portfolio was down 14.85% compared with the 21.98% loss of the S&P 500 Index. Against the backdrop of extreme volatility in the financial markets, it is not surprising that all CSIF Portfolios except CSIF Money Market Portfolio and CSIF Bond Portfolio had negative returns for the period.
The credit crisis has had a dramatic negative effect on the broad fixed-income market, with even historically "safe" vehicles like money market funds experiencing pressure. CSIF Money Market Portfolio returned 2.90%, beating its benchmark during a period when at least one non-Calvert fund was forced to "break the buck," or value its shares at less than $1 per share. Despite the difficulties of other funds, we have no doubts about the stability and liquidity of Calvert's money market funds. Along with many other money market fund managers, Calvert joined the U.S. Treasury's program to insure accounts invested in money market funds as of September 19.1,2
As we begin the next fiscal year, the markets remain unsettled and, despite a significant short-term rally at the time this letter was written, U.S. stocks are 30% to 35% below their late 2007 highs. Retirement plan assets have declined by some $2 trillion. Credit for automobiles, houses, and business growth remains tight. Many economists are scanning new data for evidence of a recession.
What About the Future?
Recent news from the world's financial markets has been encouraging. A plan to prop up ailing banks in the U.S. and Europe seems to have had some stabilizing effect on the markets, at least for the time being. Worldwide, economies are going through a wrenching process of "de-leveraging." That is, the amount of debt, or leverage, incurred by corporations as well as homeowners and consumers is being reduced as credit markets return to more rigorous underwriting standards. This process, along with the slowdown in economic growth that analysts anticipate as a result of increasing unemployment and reduced corporate spending, suggests that we are in for a difficult period--for how long we don't know. However, when we come through this financial retrenchment, and when the markets believe there is solid and transparent information regarding corporate earnings, we believe that we will again see strong positive growth prospects for our economy and markets. In addition, a regulatory system that is better equippe d to identify and address problems before they reach the proportions we have seen over the past 18 months is another essential component for building market confidence.
Timing any market inflection points, small or large, is virtually impossible to do consistently. While we are concerned about the losses that investors are seeing on their statements, we do not think it is time to make drastic changes. Rather, we encourage you to view this period as an opportunity to revisit your long-term asset allocation, to rebalance to your target allocations, and to increase diversification among different types of assets.
New Calvert Equities Leadership, New Fund
We are pleased to announce that Calvert has hired Natalie Trunow as senior vice president and head of equities. Natalie joined Calvert in late August and will manage all aspects of Calvert's equity funds, including subadvisor evaluation and monitoring as well as Calvert's new equities products that are managed in-house.
One of the most recent developments at Calvert was the launch of Calvert Global Water Fund, the newest of the Calvert Solution Strategies. The fund, which is sub-advised by KBC Asset Management International, Ltd., of Dublin, Ireland, invests in utility, infrastructure, and technology companies active in managing water resources. The fund addresses an increasing need--and an opportunity for growth--in the world's fast-expanding demand for clean water. One report estimates that to provide enough water for all uses through 2030, the world will need to invest as much as $1 trillion a year on applying existing technologies for conserving water, maintaining and replacing water-related infrastructure, and constructing sanitation systems.
Stick to Time-Tested Strategies
We also believe that now is not the time to abandon time-tested investment strategies like diversification, investing at regular intervals, and maintaining a long-term focus. Investors who sell indiscriminately now will only lock in unprecedented losses and, perhaps, miss the rebound when stocks, bonds, and other assets recover.
However, this is a good time to meet with your financial advisor and review your long-term financial plan. A professional can help you evaluate your strategic asset allocation and make sure it is still working for you. He or she can assist you in rebalancing back to your target allocations if market events have caused your assets to drift away from an appropriate mix. A financial advisor can also help you identify and realize any capital losses in your portfolio, which can be helpful for reducing your overall tax exposure. And, perhaps most importantly, an experienced professional can give you confidence that you are pursuing the right long-term strategy, even during the most tumultuous markets.
While we have worked to minimize the impact on our shareholders of one of the most turbulent periods in the equities and fixed-income markets' history, we recognize that this period of declining asset values in virtually all corners of the financial markets has caused great stress. We encourage you to visit our website for frequent updates and commentary on economic and market developments from Calvert professionals.
As always, we appreciate your business and look forward to serving you in the coming months and years.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2008
1. 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.
2. Shareholders in a Calvert money market fund (Fund) should consider each Fund's participation in the U.S. Treasury Temporary Guarantee Program for Money Market Funds (Program). Coverage under the Program extends only to shareholders invested in the Fund as of the close of business on September 19, 2008 for the lesser of the number of Fund shares then owned by the shareholder or the number of shares currently owned. Accordingly, if a shareholder's investment in the Fund is reduced below the number of shares owned as of the close of business on September 19, 2008, that shareholder may lose the benefit of some or all of the Program's guarantee even if the redemption proceeds are invested in another money market fund (including any other Calvert money market fund). Amounts reinvested in the Fund following any such reduction will be guaranteed up to the number of Fund shares owned by the shareholder as of September 19, 2008 unless the shareholder closed the account before reinvesting. Shareholders should note, however, that, unless the Program is extended by the Treasury, it will expire on December 18, 2008.
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money. Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member FINRA, a subsidiary of Calvert Group, Ltd.
Portfolio Management Discussion
James B. O'Boyle
Portfolio Manager
Thomas A. Dailey
Portfolio Manager
of Calvert Asset Management Company
For the 12-month period ended September 30, 2008, Calvert Social Investment Fund Money Market Portfolio returned 2.90% versus 2.78% for the benchmark Lipper Money Market Funds Average. A conservative investment strategy contributed to the Portfolio's outperformance.
Investment Climate
The 12-month period was one of the most difficult in the history of the U.S. credit markets. The turmoil that began in August 2007 expanded to the top of the credit-quality ladder--freezing the markets for high-quality municipal bonds and commercial paper as well as government-guaranteed housing agency and mortgage-backed securities. The collapse of investment bank Bear Stearns surprised the markets in March. Conditions deteriorated again when Fannie Mae and Freddie Mac started a mid-summer skid that ended with a government takeover in early September.
September continued to provide a dizzying and unprecedented chain of events. Lehman Brothers filed for bankruptcy, Bank of America bought struggling Merrill Lynch, the government rescued insurer AIG, and federal regulators seized and sold off the bulk of Washington Mutual's operations--and were orchestrating the sale of Wachovia at month's end. Goldman Sachs and Morgan Stanley opted to convert to commercial bank holding companies so they could borrow from the Federal Reserve. Finally, the House of Representatives rejected a $700 billion package to rescue the financial markets on September 29, which plunged the markets into chaos. (A similar relief package was signed into law later that week.)
The results of this protracted turmoil were a rush to safety and liquidity and a massive credit crunch. The Federal Reserve fought back throughout the period by expanding its existing liquidity-enhancement measures and launching new ones to pump cash into the banking system and support frozen short-term lending markets. In just the last few weeks of September, the central bank's balance sheet grew 50% to $1.5 trillion. The Fed's measures did not help a large institutional money market fund, which "broke the buck" as losses dragged its net asset value below the $1 per share mark in September. In the end, soaring demand for Treasury securities weighed heavily on yields as the three-month Treasury bill--which fell 2.90 percentage points to 0.92%--sank to the lowest levels since World War II.
Overall, headline inflation ran at a 5.4% pace as of August while core inflation was a tamer 2.5%1. Economic growth, as measured by gross domestic product, was expected to be just 1.2%2 for the reporting period.
Strategy
For years, our core strategy has focused on purchasing variable rate demand notes (VRDNs), most of which reset to market rates weekly, and U.S. government agency securities. In recent years, we have consistently used long-term agency securities to create a laddered portfolio and supplement the VRDNs. While they are not without some risk, we believe these types of securities form the foundation of a prudent money market strategy based on liquidity and stability. As a result of this strategy, the Portfolio was well positioned to weather the credit crisis as well as the recent volatility in money market rates. It particularly allowed us to avoid having any exposure to commercial paper and the various forms of asset-backed securities that plagued the money markets.
While the credit crisis has certainly had an impact on the money market industry, we believe that money market funds in general are still reliable, liquid investment products. Like all registered money market funds, our funds are subject to stringent Rule 2a-7 guidelines from the Investment Company Act of 1940. Calvert also applies additional diversification guidelines that, along with our conservative investment strategies, seek to further limit risk. Calvert has also decided to join many of the country's leading mutual fund management companies by participating in the U.S. Treasury Department's Temporary Guarantee Program for Money Market Funds.3
Outlook
We expect the credit markets to slowly recover over the next year but do not expect a return to the heady times of a few years ago. While there are similarities to the credit crunch of the early 1990s, the problem is larger and more global in nature this time. Since financial institutions must rebuild capital, they are not inclined to increase lending. Therefore, we think the credit crunch may last through next year.
For the balance of the year, we expect economic growth to be sub-par or recessionary and we expect the Fed's target interest rate to remain at the current 1.5% target or possibly move lower. High energy and food prices remain a concern, although core inflation has remained stable and should be partly restrained by the drag from the housing recession.
October 2008
1. Source: Bureau of Labor Statistics consumer price indexes for August 2008.
2. Source: Commerce Dept. and Wall Street Journal August 2008 survey of professional forecasters.
3. Shareholders in a Calvert money market fund (Fund) should consider each Fund's participation in the U.S. Treasury Temporary Guarantee Program for Money Market Funds (Program). Coverage under the Program extends only to shareholders invested in the Fund as of the close of business on September 19, 2008 for the lesser of the number of Fund shares then owned by the shareholder or the number of shares currently owned. Accordingly, if a shareholder's investment in the Fund is reduced below the number of shares owned as of the close of business on September 19, 2008, that shareholder may lose the benefit of some or all of the Program's guarantee even if the redemption proceeds are invested in another money market fund (including any other Calvert money market fund). Amounts reinvested in the Fund following any such reduction will be guaranteed up to the number of Fund shares owned by the shareholder as of September 19, 2008 unless the shareholder closed the account before reinvesting. Shareholders should note, however, that, unless the Program is extended by the Treasury, it will expire on December 18, 2008.
As of September 30, 2008, the following companies represented the following percentages of Fund net assets (includes indirect exposure): Bear Stearns 0%, Fannie Mae 9.65%, Freddie Mac 7.32%, Lehman Brothers 0%, Bank of America 3.36%, Merrill Lynch 0%, AIG 0%, Washington Mutual 0%, Wachovia 0.95%, Goldman Sachs 0%, and Morgan Stanley 0%. All portfolio holdings are subject to change without notice.
Money Market Portfolio Statistics |
|
|
Investment Performance |
|
|
6 Months | 12 Months | |
Money Market Portfolio | 1.08% | 2.90% |
Lipper Money Market Funds Avg. | 0.92% | 2.78% |
|
|
|
Maturity Schedule |
|
|
| Weighted Average | |
| 9/30/08 | 9/30/07 |
| 49 days | 56 days |
|
|
|
Average Annual Total Returns |
|
|
One year | 2.90% |
|
Five year | 2.77% |
|
Ten year | 3.05% |
|
|
|
|
7-Day Simple/Effective Yield |
|
|
7-day simple yield | 5.23% |
|
7-day effective yield | 5.37% |
|
|
|
|
Investment Allocation | % of Total | |
Taxable Variable Rate Demand Notes | 77.4% |
|
U.S. Government Agencies and Instrumentalities | 21.1% |
|
Taxable Municipal Obligations | 0.7% |
|
Certificates of Deposit | 0.4% |
|
Loans and Deposit Receipts Guaranteed by U.S. Government Agencies | 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
John Nichols,
Vice President, Equities
of Calvert Asset Management Company
Investment Performance Summary
For the 12-month period ended September 30, 2008, Calvert Social Investment Fund Balanced Portfolio Class A shares (at NAV) returned -14.13%. The Fund declined less than its benchmark, a blend of 60% Russell 1000® Index and 40% Lehman U.S. Credit Index, which returned -15.17%. The Fund's stock and bond portfolios both outperformed their respective benchmarks and the Special Equities portfolio made a notable contribution as well.
On June 5, 2008, Calvert recommended, and the Trustees of the Fund approved, that New Amsterdam Partners, LLC become the primary equity portfolio subadvisor for CSIF Balanced Portfolio. New Amsterdam has been sharing equity management responsibilities since its appointment as a subadvisor in June 2004. The firm's portfolio management team, headed by founder Michelle Clayman, CFA, mixes quantitative and traditional fundamental analysis to construct large-cap portfolios designed to strike a favorable balance of growth and value characteristics. Profit Investment Management continues to manage a portion of the equities in the Portfolio as part of the Manager Discovery Program.
Investment Climate
The fourth calendar quarter of 2007 began on a high note, as several broad market benchmarks reached all-time highs. However, those highs were accompanied by increasing volatility in equity and bond markets as financial institutions began to realize the consequences of declining home prices and rising mortgage defaults. Soaring energy and food prices began to take a toll on consumers, and consumer and investor sentiment soured as it became apparent that the U.S. economy's long period of sustained growth was near an end.
The 12-month period was one of the most difficult in the history of the U.S. credit markets. The turmoil that began in August 2007 expanded to the top of the credit-quality ladder--freezing the markets for high-quality municipal bonds as well as government-guaranteed securities. The collapse of investment bank Bear Stearns surprised the markets in March. Conditions deteriorated again when Fannie Mae and Freddie Mac started a mid-summer skid that ended with a government takeover in early September. But it was far from over, as a dizzying and unprecedented chain of financial institution buyouts, bankruptcies, and takeovers unfolded during a month that ended with the rejection of a $700 billion rescue package by the House of Representatives. (A similar relief package was signed into law later that week.)
Portfolio Strategy--Equities
There was virtually no place to hide as nine of 10 economic sectors in the Russell 1000 Index suffered double-digit losses over the 12-month period. Given the scope of the credit crisis, it's no surprise that Financials was the worst-performing sector. A consistent underweight to Financials benefited the Portfolio for most of the period. However, we reduced our Financials exposure even more as the credit crisis worsened, and the benefit of the underweight in previous quarters was wiped out when Financials improved after the federal government took steps to ease the crisis during the third calendar quarter of 2008. An underweight to the Energy sector also penalized the Portfolio over the course of the period. The good news is that the adverse effects from the Financials and Energy sector weightings was offset by an overweight to Health Care, which posted relatively good performance for the year.
Overall stock selection was mildly positive during the period, but varied widely from sector to sector. Top stock picks included EOG Resources and Chesapeake Energy in the natural gas industry. The Fund's managers also identified good times to enter and exit these names. Stock selection was particularly problematic in the Industrials sector, where holdings of heavy equipment manufacturers Deere, Cummins, and Terex underperformed. In Financials, Calvert's sustainability and responsibility analysis excluded many of the most troubled names from the Portfolio--but not all, as Goldman Sachs and AIG weighed heavily on performance.
Portfolio Strategy--Fixed Income
The Portfolio was managed throughout the period with an underweight to corporate securities and a higher average credit quality rating than the benchmark. This helped returns during a period when corporate bonds, in general, posted negative returns and underperformed comparable U.S. Treasury securities. The Portfolio also maintained a significant position in cash and cash equivalents.
Offsetting some of these contributions were markdowns in bonds issued by several financial companies, including Glitnir Bank, Kaupthing Bank, Credit Agricole, and Wachovia.
Outlook
Cheap, easy credit in recent years has led to some of the excesses at the core of current financial crisis. However, the availability of credit has declined substantially in the past year. Both companies and individuals are taking measures to decrease their debt, which is having an unusually strong negative impact on the economy. For the balance of the year, we expect economic growth to be sub-par or recessionary and we expect the Fed's target interest rate to remain at the current 1.5% target or possibly move lower. The government's plan to establish an investment pool to take bad assets off the books of troubled financial firms may help. But it may not be a panacea to the broader fundamental economic problems we are facing, such as higher unemployment rates, decreasing housing values, tight credit, and falling corporate profits.
We expect the credit markets to slowly recover over the next year but do not expect a return to the heady times of a few years ago. While there are similarities to the credit crunch of the early 1990s, the problem is larger and more global in nature this time. Since financial institutions must rebuild capital they are not inclined to increase lending. Therefore, we think the credit crunch may last through next year. We are hopeful that the pending rescue package can help restore confidence in the markets, making banks more comfortable lending to each other and to consumers.
October 2008
As of September 30, 2008, the following companies represented the following percentages of Portfolio net assets: Bear Stearns 0%, Fannie Mae 0%, Freddie Mac 0%, EOG Resources 1.63%, Chesapeake Energy 0.50%, Deere & Co. 0.75%, Cummins 1.51%, Terex 0%, Goldman Sachs 1.03%, AIG 0%, Glitnir Bank 0.55%, Kaupthing Bank 0.37%, Credit Agricole 0.68%, and Wachovia 0.39%. All portfolio holdings are subject to change without notice.
Balanced Portfolio Statistics
September 30, 2008
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | (8.13%) | (14.13%) |
Class B | (8.60%) | (14.93%) |
Class C | (8.53%) | (14.88%) |
Class I | (7.94%) | (13.69%) |
Balanced Composite Benchmark** | (9.53%) | (15.17%) |
Lipper Mixed-Asset Target Allocation Growth Funds Avg. | (10.49%) | (17.90%) |
|
|
|
Ten Largest Long-Term Holdings |
|
|
| % of Net Assets |
|
Adobe Systems, Inc. | 2.1% |
|
Colgate-Palmolive Co. | 1.9% |
|
Smith International, Inc. | 1.9% |
|
XTO Energy, Inc. | 1.8% |
|
Express Scripts, Inc. | 1.7% |
|
Symantec Corp. | 1.7% |
|
Bed Bath & Beyond, Inc. | 1.6% |
|
EOG Resources, Inc. | 1.6% |
|
Hewlett-Packard Co. | 1.6% |
|
Hospira, Inc. | 1.6% |
|
Total | 17.5% |
|
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
**The Calvert Balanced Composite Benchmark is comprised of 60% Russell 1000 Index and 40% Lehman U.S. Credit Index.
Balanced Portfolio Statistics
September 30, 2008
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | (18.20%) |
Five year | 2.32% |
Ten year | 1.83% |
| Class B Shares |
One year | (19.22%) |
Five year | 2.12% |
Ten year | 1.28% |
| Class C Shares |
One year | (15.73%) |
Five year | 2.36% |
Ten year | 1.32% |
|
|
Balanced Portfolio Statistics | |
|
|
| Class I Shares* |
One year | (13.72%) |
Five year | 3.69% |
Since inception | 1.68% |
(2/26/99) |
|
Asset Allocation | % of Total Investments |
Equity Investments | 57% |
Bonds | 38% |
Cash & Cash Equivalents | 5% |
| 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. Subadvisor change effective June 2008; earlier subadvisor changes occurred in June 2004 and March 2002. Past performance is no guarantee of future results.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager
of Calvert Asset Management Company
Performance
For the 12-month period ended September 30, 2008, CSIF Bond Portfolio Class A (at NAV) returned 0.86% versus -4.79% for the benchmark Lehman U.S. Credit Index. An underweight to corporate bonds helped the Portfolio outperform the benchmark.
Investment Climate
The 12-month period was one of the most difficult in the history of the U.S. credit markets. The turmoil that began in August 2007 expanded to the top of the credit-quality ladder--freezing the markets for high-quality municipal bonds and commercial paper as well as government-guaranteed housing agency and mortgage-backed securities. The collapse of investment bank Bear Stearns surprised the markets in March. Conditions deteriorated again when Fannie Mae and Freddie Mac started a mid-summer skid that ended with a government takeover in early September.
September continued to provide a dizzying and unprecedented chain of events. Lehman Brothers filed for bankruptcy, Bank of America bought struggling Merrill Lynch, the government rescued insurer AIG, and federal regulators seized and sold off the bulk of Washington Mutual's operations--and were orchestrating the sale of Wachovia at month's end. Goldman Sachs and Morgan Stanley opted to convert to commercial bank holding companies so they could borrow from the Federal Reserve. Finally, the House of Representatives rejected a $700 billion package to rescue the financial markets on September 29, which plunged the markets into chaos. (A similar relief package was signed into law later that week.)
The results of this protracted turmoil were a rush to safety and liquidity and a massive credit crunch. The Federal Reserve fought back throughout the period by expanding its existing liquidity-enhancement measures and launching new ones to pump cash into the banking system and support frozen short-term lending markets. In just the last few weeks of September, the central bank's balance sheet grew 50% to $1.5 trillion.
In the end, soaring demand for Treasury securities weighed heavily on yields as the benchmark 10-year Treasury note's yield fell 0.75 percentage points during the period to 3.85%. In fact, yields of short-term securities such as the three-month Treasury bill--which fell 2.90 percentage points to 0.92%--sank to the lowest levels since World War II.
Overall, headline inflation ran at a 5.4% pace as of August while core inflation was a tamer 2.5%1. Economic growth, as measured by gross domestic product, was expected to be just 1.2%2 for the reporting period.
Portfolio Strategy
The Portfolio was managed throughout the period with an underweight to corporate securities and a higher average credit-quality rating than the benchmark. This helped returns during a period when corporate bonds, in general, posted negative returns and underperformed comparable U.S. Treasury securities. The Portfolio also maintained a significant cash position.
Offsetting some of these contributions were markdowns in several bonds issued by financial companies, including Glitnir Bank, Kaupthing Bank, Credit Agricole, and Wachovia.
Outlook
We expect the credit markets to slowly recover over the next year but do not expect a return to the heady times of a few years ago. While there are similarities to the credit crunch of the early 1990s, the problem is larger and more global in nature this time. Since financial institutions must rebuild capital, they are not inclined to increase lending. Therefore, we think the credit crunch may last through next year.
For the balance of the year, we expect economic growth to be sub-par or recessionary and we expect the Fed's target interest rate to remain at the current 1.5% target or possibly move lower. High energy and food prices remain a concern, although core inflation has remained stable and should be partly restrained by the drag from the housing recession.
Moving forward, the programs announced by the Federal Reserve and Treasury should help restore confidence for lending institutions and investors. Also, spreads between yields of corporate bonds and Treasuries remain near historically wide levels--offering attractive opportunities for fixed-income investors focused on long-term results.
October 2008
1. Source: Bureau of Labor Statistics consumer price indexes for August 2008.
2. Source: Commerce Dept. and Wall Street Journal August 2008 survey of professional forecasters.
As of September 30, 2008, the following companies represented the following percentages of Portfolio net assets: Bear Stearns 0.41%, Fannie Mae 0.23%, Freddie Mac 0.34%, Lehman Brothers 0%, Bank of America 2.44%, Merrill Lynch 0%, AIG 0%, Washington Mutual 0%, Wachovia 1.20%, Goldman Sachs 0.79%, Morgan Stanley 0%, Glitnir Bank 1.51%, Kaupthing Bank 0.58%, Credit Agricole 1.40%. All portfolio holdings are subject to change without notice.
Bond Portfolio Statistics
September 30, 2008
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | (1.89%) | 0.86% |
Class B | (2.31%) | (0.09%) |
Class C | (2.23%) | 0.11% |
Class I | (1.54%) | 1.45% |
Lehman U.S. Credit Index** | (7.23%) | (4.79%) |
Lipper Corporate Debt Funds A Rated Avg. | (4.59%) | (2.78%) |
|
|
|
Maturity Schedule |
|
|
| Weighted Average | |
| 9/30/08 | 9/30/07 |
| 8 years | 9 years |
|
|
|
SEC Yields |
|
|
| 30 days ended | |
| 9/30/08 | 9/30/07 |
Class A | 3.88% | 4.93% |
Class B | 3.05% | 4.14% |
Class C | 3.22% | 4.31% |
Class I | 4.63% | 5.72% |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 3.75% front-end sales charge or any deferred sales charge.
**Source: Lipper Analytical Services, Inc.
Bond Portfolio Statistics
September 30, 2008
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | (2.79%) |
Five year | 3.43% |
Ten year | 5.04% |
| Class B Shares |
One year | (4.02%) |
Five year | 3.23% |
Ten year | 4.39% |
| Class C Shares |
One year | (0.75%) |
Five year | 3.35% |
Ten year | 4.40% |
Bond Portfolio Statistics
September 30, 2008
Average Annual Total Returns
| Class I Shares |
One year | 1.59% |
Five year | 4.82% |
Since inception | 6.50% |
(3/31/00) |
|
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.
*Source: Lipper Analytical Services, Inc.
Bond Portfolio Statistics | |
Economic Sectors | % of Total |
Asset Backed Securities | 9.3% |
Banks | 19.2% |
Brokerages | 1.1% |
Commercial Mortgage-Backed Securities | 1.8% |
Financial Services | 4.1% |
Financials | 2.5% |
Industrial | 15.7% |
Industrial - Finance | 2.2% |
Insurance | 0.3% |
Mortgage Backed Securities | 0.3% |
Municipal Obligations | 28.2% |
Real Estate Investment |
|
Trusts | 3.8% |
Special Purpose | 8.9% |
U.S. Government Agency |
|
Obligations | 1.0% |
Utilities | 1.6% |
Total | 100% |
Portfolio Management Discussion
Richard England
of Atlanta Capital Management Company
Investment Performance
For the 12 months ended September 30, 2008, Calvert Social Investment Fund Equity Portfolio Class A shares (at NAV) returned -14.85% versus -21.98% for the Standard & Poor's 500 Index. Good stock selection in the Financials sector, including avoiding most of the prominent casualties in the sector, contributed significantly to this result.
Investment Climate
We cannot recall a more challenging investment environment. The slow, grinding deterioration in financial conditions that began in the summer of 2007 gathered speed this past summer and reached a frenzy point in late September. The breadth and depth of recent events have been unprecedented --at least since the Great Depression. With astoundingly quick endings, longstanding financial stalwarts Bear Stearns, Lehman Brothers, and Washington Mutual disappeared from the scene. Fannie Mae, Freddie Mac, and insurance giant AIG still exist, but as mere shadows of their former selves.
While we saw trouble brewing, we did not anticipate the severity of the turmoil in either the stock or the credit markets over the last few months. Breathtaking is the only adjective that adequately conveys our take on the situation. The Federal Reserve, the Administration, and Congress have undertaken numerous, substantial steps to inject liquidity and stimulus into the system. So far, the benefits have been limited.
The worsening problems in the financial system have increasingly weighed down an already soft real economy. The employment picture has deteriorated with rising numbers of layoffs and new jobs increasingly harder to come by. As a result of the credit crisis, tightened lending standards have made it harder to get a credit card or a loan to buy a car or house. Even the more resilient export sector is starting to see some softness as foreign economies are clearly deteriorating as well.
Over the last 12 months, the market has not only been weak, it has been exceptionally volatile. On several occasions, the market has tried to turn upward on the hope that one action or another by the Federal Reserve, Treasury Department, or Congress would bring the crisis to an end. Each time that proved to be overly optimistic and the downward trend resumed. Only one sector, Consumer Staples, managed to eke out a positive return during the 12-month reporting period. Health Care was down but to a lesser extent than the broad market. The relatively good performance of these two sectors reflects their more economically defensive nature. Given the environment of the last 12 months, it's not surprising that the Financials sector substantially lagged the market. Telecommunication Services and Industrials also trailed market averages.
Portfolio Strategy
The Portfolio benefited from both choosing the right stocks and being correct on most sector weighting decisions. The Financials sector was a stand-out in both categories. We correctly underweighted this troubled sector. And the stocks we did own--such as Aflac, Charles Schwab, and T. Rowe Price--substantially outperformed the group as a whole. Health Care made a similar contribution. We have long overweighted this sector because of the good growth prospects we've been able to find. Since this was the second-best performing sector over the past year, that overweight helped Portfolio performance. Individual holding Varian Medical Systems made a nice contribution, rising 36%.1 The Portfolio also benefited when Philips acquired Respironics, a manufacturer of sleep therapy products.
On the other hand, stock selection in Consumer Staples and Technology detracted from performance. Walgreens proved disappointing and we subsequently swapped our Walgreens position into CVS Caremark, where we see better fundamentals. Cisco Systems and Google hampered performance as well. Our underweight to the Energy sector also modestly hurt performance.
Since early 2008, we have been gradually and very selectively increasing our exposure to the Financials sector. At the same time, we have been slowly shifting our consumer exposure from the defensive Consumer Staples sector to the more offensive Consumer Discretionary sector. All of these actions have been to better position the Portfolio for the eventual economic recovery. Much of the funding for these moves came from reductions in Industrials and Technology. While we still see some significant opportunities in these sectors, they were beneficiaries of the five-year decline in the dollar--which now seems to be reversing as economic weakness shifts overseas.
Outlook
With the market tumult that we've witnessed over the last 12 months, it's hard to look ahead. The steady drumbeat of dour economic news only compounds that difficulty. But it's precisely at the moment that it's hardest to see the way forward that having a plan and executing it is most important.
While we cannot say with confidence that the market or economy won't get worse before it gets better, we can confidently predict that we are somewhere near the low ebb. There has been tremendous monetary and fiscal stimulus injected into our economy. The just-passed financial intervention bill should begin to "un-stick" credit markets. Coordinated stimulating actions have migrated around the globe. The effects of these steps will take time to work, but the seeds of a recovery have been sown.
We expect difficult economic conditions to wreak havoc with companies' financial results for at least several more quarters. However, they won't impact all companies equally. We're confident in our belief that the type of high-quality, growth-oriented companies we invest in will fare better than average. Having managed relatively well over the past year, we are sifting through the current market wreckage to position the portfolio to benefit from what is ahead.
October 2008
1. All returns shown for individual holdings reflect that part of the reporting period the holdings were held.
As of September 30, 2008, the following companies represented the following percentages of Portfolio net assets: Bear Stearns 0%, Lehman Brothers 0%, Washington Mutual 0%, Fannie Mae 0%, Freddie Mac 0%, AIG 0%, Aflac 2.57%, Charles Schwab 2.46%, T. Rowe Price 1.03%, Varian Medical 1.44%, Philips 0%, Respironics 0%, Walgreens 0%, CVS 3.57%, Cisco 4.50%, and Google 1.64%. All portfolio holdings are subject to change without notice.
Equity Portfolio Statistics
September 30, 2008
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | (6.82%) | (14.85%) |
Class B | (7.21%) | (15.56%) |
Class C | (7.17%) | (15.49%) |
Class I | (6.57%) | (14.39%) |
S&P 500 Index** | (10.87%) | (21.98%) |
Lipper Multi-Cap Core Funds Avg. | (11.83%) | (22.79%) |
|
|
|
Ten Largest Stock Holdings |
|
|
| % of Net Assets |
|
Cisco Systems, Inc. | 4.5% |
|
Medtronic, Inc. | 3.8% |
|
Novartis AG (ADR) | 3.6% |
|
CVS Caremark Corp. | 3.6% |
|
Kohl's Corp. | 3.6% |
|
Staples, Inc. | 3.5% |
|
Hewlett-Packard Co. | 3.3% |
|
Stryker Corp. | 3.2% |
|
FMC Technologies, Inc. | 2.9% |
|
EOG Resources, Inc. | 2.8% |
|
Total | 34.8% |
|
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
**Source: Lipper Analytical Services.
Equity Portfolio Statistics
September 30, 2008
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | (18.88%) |
Five year | 3.70% |
Ten year | 7.17% |
|
|
| Class B Shares |
One year | (19.78%) |
Five year | 3.67% |
Ten year | 6.72% |
|
|
| Class C Shares |
One year | (16.34%) |
Five year | 3.92% |
Ten Year | 6.81% |
Equity Portfolio Statistics
September 30, 2008
Average Annual Total Returns
| Class I Shares |
One year | (14.39%) |
Five year | 5.29% |
Since inception | 5.08% |
(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. 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.
*Source: Lipper Analytical Services, Inc.
Equity Portfolio Statistics | |
Economic Sectors | % of Total |
Consumer Discretionary | 10.8% |
Consumer Staples | 10.1% |
Energy | 7.5% |
Financials | 14.8% |
Health Care | 20.3% |
Industrials | 10.5% |
Information Technology | 18.9% |
Limited Partnership Interest | 0.1% |
Materials | 4.3% |
Utilities | 2.1% |
Venture Capital | 0.6% |
Total | 100% |
Portfolio Management Discussion
Ric Thomas
of SSgA Funds Management, Inc.
Performance
Calvert Social Investment Fund Enhanced Equity Portfolio A shares (at NAV) returned -22.57% for the 12 months ended September 30, 2008. The Russell 1000® Index returned -22.10% for the same time period. The Fund's stock selection was a positive contributor to relative performance during the reporting period, while sector allocation acted as a slight drag on relative performance.
Investment Climate
The past 12 months was one of the most volatile periods in market history. A market-wide deleveraging began during the summer of 2007 and continued into late 2008. The trouble started in the subprime mortgage market and eventually forced financial institutions to take significant write-offs on the value of their assets. The resulting sharp rise in risk aversion curtailed both lending and consumer spending.
Many hedge funds had been highly leveraged on the belief that cheap value stocks would continue to dominate pricier growth stocks. As hedge funds began to unwind their positions, they sold their value holdings and bought back their growth stocks. This exacerbated the significant underperformance of value versus growth during the fourth quarter of 2007.
In the end, all major indexes of the U.S. equity market dropped significantly over the past 12 months. The Russell 1000® Growth Index fell 20.88%, while the Russell 1000® Value Index lost 23.56%. Small-cap stocks took less of a beating than large-caps, as the Russell 2000® Index declined 14.48%.
Momentum was the dominant theme for large-cap stocks during the first nine months of the reporting period. This was initially driven by sectors such as Energy and Materials. But momentum stocks fell sharply during the third quarter of 2008, giving back much of their gains experienced over the past year. Meanwhile, struggling sectors such as Financials and Consumer Discretionary delivered poor returns among large-cap stocks from September 2007 through June 2008.
Portfolio Strategy
Sector/Industry
Our sector allocation detracted from performance during the period, largely as the result of a slight underweight to the Energy sector. Oil prices surged to over $140 barrel by the summer of 2008 before falling to $90 per barrel by period-end. Overall, the sector fell over 14% during the 12-month period, which was still better than the 22.1% decline in the Russell 1000 Index. An underweight to Consumer Staples throughout much of the year had a negative impact as well, as rising fears of economic recession helped this sector fare better than all the others.
Individual Securities
We apply a proprietary, disciplined, quantitative investment process to identify those stocks in the Russell 1000 Index that we believe have the highest performance potential. The value component of our strategy initially hurt performance as hedge funds pared their leveraged positions at the beginning of the period. But the Portfolio regained some of the lost value later in the year by having balanced exposures to all of its models--especially the growth and market sentiment models, which performed particularly well.
Stock selection was strongest in the Financials sector--with stocks such as such as JPMorgan Chase (6%)1 and U.S. Bancorp (17%) helping performance. But the Portfolio benefited from not holding stocks in the Russell 1000 that did not meet our sustainability criteria for investments, such as Citigroup, Fannie Mae, or Lehman Brothers. Citigroup (-53%) suffered a series of write-downs over the year, Fannie Mae (-97%) entered government conservatorship, and Lehman Brothers (-99%) filed for bankruptcy.
Stock selection was weakest within the Industrials sector. In particular, construction equipment manufacturer Terex returned -66% during the 12-month period due to slowing global demand and reduced earnings guidance. In addition, the Fund carried a position in UAL, the parent of United Airlines, which fell roughly 80% during the year as sluggish revenue growth and rising energy costs continued to squeeze corporate profits.
Outlook and Impact on Portfolio Positioning
The problems in the subprime mortgage market have now spread and are impacting the Financials sector as a whole and, by extension, the entire global equity market. Deleveraging and risk aversion will likely continue over the medium term as the market is punishing any hint of leverage. Corporations are finding it difficult to issue any form of debt, including commercial paper. Prime brokers are forcing hedge funds to unwind leveraged positions. Consumers are no longer able to obtain cheap mortgage financing without a sizable down payment. The tight conditions in the credit market will impact the broader economy, possibly causing a global recession.
We have reviewed the factors with the best chance of succeeding during a recession and are raising the Portfolio's exposure to models that signal strong earnings quality. For example, we will favor companies generating positive cash flow and those that have healthy, unleveraged balance sheets. These companies outperformed during past economic slowdowns.
We expect the portfolio will remain fully invested in equities as market downturns typically offer opportunities to invest in good stocks at attractive valuations. Of course, the early stages of an economic slowdown can cause pain. Yet the market often predicts the economy, not the other way around. Therefore, the market is likely to move higher before an economic recovery is apparent.
October 2008
1. All returns shown for individual holdings reflect that part of the reporting period the holdings were held.
As of September 30, 2008, the following companies represented the following percentages of Fund net assets: Citigroup 0%, Fannie Mae 0%, Lehman Brothers 0%, JPMorgan Chase 1.89%, U.S. Bancorp 1.29%, Terex 0%, UAL 0%. All portfolio holdings are subject to change without notice.
Enhanced Equity
Portfolio Statistics
September 30, 2008
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | (11.50%) | (22.57%) |
Class B | (11.99%) | (23.36%) |
Class C | (11.84%) | (23.23%) |
Class I | (11.21%) | (22.13%) |
Russell 1000 Index** | (11.06%) | (22.10%) |
Lipper Multi-Cap Core Funds Avg. | (11.83%) | (22.79%) |
|
|
|
Ten Largest Stock Holdings |
|
|
| % of Net Assets |
|
Microsoft Corp. | 3.5% |
|
Procter & Gamble Co. | 3.2% |
|
International Business Machines Corp. | 2.9% |
|
AT&T, Inc. | 2.8% |
|
Bank of America Corp. | 2.8% |
|
Johnson & Johnson | 2.8% |
|
Pfizer, Inc. | 2.7% |
|
Intel Corp. | 2.4% |
|
Cisco Systems, Inc. | 2.3% |
|
3M Co. | 2.0% |
|
Total | 27.4% |
|
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
** Source: Lipper Analytical Services, Inc.
Enhanced Equity
Portfolio Statistics
September 30, 2008
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | (26.24%) |
Five year | 1.57% |
Ten year | 2.07% |
| Class B Shares |
One year | (27.19%) |
Five year | 1.42% |
Ten year | 1.48% |
| Class C Shares |
One year | (23.94%) |
Five year | 1.69% |
Ten year | 1.52% |
Enhanced Equity
Portfolio Statistics
September 30, 2008
Average Annual Total Returns
| Class I Shares* |
One year | (22.13%) |
Five year | 2.85% |
Ten year | 2.86% |
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, 2008
Economic Sectors | % of Total |
Consumer Discretionary | 9.8% |
Consumer Staples | 7.4% |
Energy | 11.7% |
Financials | 16.5% |
Health Care | 13.9% |
Industrials | 11.2% |
Information Technology | 17.7% |
Materials | 2.7% |
Telecommunication Services | 4.7% |
Utilities | 4.4% |
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, 2008 to September 30, 2008).
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 | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Actual | $1,000.00 | $1,010.80 | $3.88 |
Hypothetical | $1,000.00 | $1,021.14 | $3.90 |
(5% return per year before expenses) |
*Expenses for Money Market are equal to the annualized expense ratio of 0.77%, multiplied by the average account value over the period, multiplied by 183/366.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Balanced | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class A |
|
|
|
Actual | $1,000.00 | $918.70 | $5.78 |
Hypothetical | $1,000.00 | $1,018.98 | $6.08 |
(5% return per year before expenses) | |||
Class B |
|
|
|
Actual | $1,000.00 | $914.00 | $10.51 |
Hypothetical | $1,000.00 | $1,014.02 | $11.05 |
(5% return per year before expenses) | |||
Class C |
|
|
|
Actual | $1,000.00 | $914.70 | $9.99 |
Hypothetical | $1,000.00 | $1,014.57 | $10.51 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $920.60 | $3.46 |
Hypothetical | $1,000.00 | $1,021.40 | $3.64 |
(5% return per year before expenses) |
*Expenses for Balanced are equal to the annualized expense ratios of 1.20%, 2.20%, 2.09% 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 183/366.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Bond | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class A |
|
|
|
Actual | $1,000.00 | $981.10 | $5.45 |
Hypothetical | $1,000.00 | $1,019.50 | $5.55 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $976.90 | $10.09 |
Hypothetical | $1,000.00 | $1,014.79 | $10.29 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $977.70 | $9.37 |
Hypothetical | $1,000.00 | $1,015.53 | $9.55 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $984.60 | $2.54 |
Hypothetical | $1,000.00 | $1,022.44 | $2.58 |
(5% return per year before expenses) |
|
|
|
*Expenses for Bond are equal to the annualized expense ratios of 1.10%, 2.04%, 1.89%, and 0.51% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/366.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Equity | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class A |
|
|
|
Actual | $1,000.00 | $931.80 | $5.80 |
Hypothetical | $1,000.00 | $1,018.99 | $6.06 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $927.90 | $9.91 |
Hypothetical | $1,000.00 | $1,014.72 | $10.35 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $928.30 | $9.48 |
Hypothetical | $1,000.00 | $1,015.17 | $9.90 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $934.30 | $3.21 |
Hypothetical | $1,000.00 | $1,021.68 | $3.36 |
(5% return per year before expenses) |
|
|
|
*Expenses for Equity are equal to the annualized expense ratios of 1.20%, 2.06%, 1.97%, and 0.66% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/366.
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
CSIF Enhanced Equity | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class A |
|
|
|
Actual | $1,000.00 | $885.00 | $5.96 |
Hypothetical | $1,000.00 | $1,018.67 | $6.38 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $880.10 | $11.10 |
Hypothetical | $1,000.00 | $1,013.19 | $11.88 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $881.60 | $10.09 |
Hypothetical | $1,000.00 | $1,014.28 | $10.80 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $887.90 | $3.52 |
Hypothetical | $1,000.00 | $1,021.27 | $3.77 |
(5% return per year before expenses) |
|
|
|
*Expenses for Enhanced Equity are equal to the annualized expense ratios of 1.27%, 2.36%, 2.14% and 0.75% for Class A, Class B, Class C, and Class I respectively, multiplied by the average account value over the period, multiplied by 183/366.
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders of
Calvert Social Investment Fund:
We have audited the accompanying statements of assets and liabilities of the Calvert Money Market, Balanced, Bond, Equity, and Enhanced Equity Portfolios (collectively the Portfolios), each a series of the Calvert Social Investment Fund, including the schedules of investments, as of September 30, 2008, 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 Portfolios' 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, 2008, 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, 2008, 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, Pennsylvania
November 21, 2008
MONEY MARKET PORTFOLIO
Schedule of Investments
September 30, 2008
U.S. Government Agencies |
| Principal |
|
|
|
And Instrumentalities - 19.7% |
| Amount | Value |
|
|
Farmer Mac: |
|
|
|
|
|
2.30%, 4/1/09 |
| $250,000 | $250,000 |
|
|
2.50%, 4/1/09 |
| 500,000 | 500,000 |
|
|
Federal Home Loan Bank: |
|
|
|
|
|
2.875%, 1/30/09 |
| 500,000 | 500,000 |
|
|
2.80%, 2/6/09 |
| 500,000 | 500,000 |
|
|
2.683%, 2/11/09 (r) |
| 3,000,000 | 3,000,149 |
|
|
2.687%, 2/18/09 (r) |
| 2,000,000 | 2,000,568 |
|
|
2.75%, 2/20/09 |
| 500,000 | 500,000 |
|
|
2.83%, 3/3/09 |
| 1,000,000 | 1,000,000 |
|
|
2.85%, 3/4/09 |
| 1,000,000 | 1,000,000 |
|
|
2.50%, 4/7/09 |
| 250,000 | 250,000 |
|
|
2.611%, 4/7/09 (r) |
| 1,000,000 | 999,157 |
|
|
2.30%, 4/15/09 |
| 1,000,000 | 998,731 |
|
|
2.42%, 4/21/09 |
| 250,000 | 250,000 |
|
|
2.52%, 4/21/09 |
| 500,000 | 500,000 |
|
|
3.629%, 4/24/09 (r) |
| 2,000,000 | 2,000,000 |
|
|
2.625%, 4/30/09 |
| 500,000 | 500,000 |
|
|
2.75%, 5/5/09 |
| 500,000 | 500,000 |
|
|
2.60%, 6/2/09 |
| 1,000,000 | 1,000,000 |
|
|
6.30%, 6/3/09 |
| 2,000,000 | 2,049,069 |
|
|
3.125%, 6/18/09 |
| 500,000 | 500,126 |
|
|
3.125%, 7/14/09 |
| 1,000,000 | 1,000,247 |
|
|
2.393%, 8/10/09 (r) |
| 2,000,000 | 2,000,000 |
|
|
3.118%, 8/21/09 (r) |
| 1,000,000 | 1,000,000 |
|
|
3.05%, 8/28/09 |
| 500,000 | 500,000 |
|
|
2.437%, 9/4/09 (r) |
| 1,000,000 | 1,000,000 |
|
|
2.80%, 9/24/09 |
| 1,000,000 | 999,951 |
|
|
2.85%, 10/2/09 |
| 500,000 | 500,000 |
|
|
3.40%, 10/2/09 |
| 500,000 | 500,000 |
|
|
3.80%, 10/2/09 |
| 250,000 | 250,000 |
|
|
2.774%, 2/19/10 (r) |
| 1,000,000 | 999,506 |
|
|
Federal Home Loan Bank Discount Notes: |
|
|
|
|
|
8/21/09 |
| 1,000,000 | 973,810 |
|
|
9/3/09 |
| 1,000,000 | 973,321 |
|
|
Freddie Mac: |
|
|
|
|
|
2.60%, 3/17/09 |
| 500,000 | 500,000 |
|
|
2.40%, 4/7/09 |
| 250,000 | 250,000 |
|
|
2.60%, 5/20/09 |
| 1,000,000 | 1,000,000 |
|
|
2.75%, 6/5/09 |
| 1,000,000 | 1,000,000 |
|
|
2.625%, 6/12/09 |
| 1,500,000 | 1,500,000 |
|
|
2.65%, 6/22/09 |
| 1,000,000 | 1,000,000 |
|
|
3.15%, 7/21/09 |
| 500,000 | 500,000 |
|
|
3.15%, 7/28/09 |
| 1,000,000 | 1,000,044 |
|
|
3.168%, 9/21/09 (r) |
| 500,000 | 499,815 |
|
|
|
|
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
|
|
(Cost $36,744,494) |
|
| 36,744,494 |
|
|
|
|
|
|
|
|
Depository Receipts for U.S. |
| Principal |
|
|
|
Government Guaranteed Loans - 0.4% |
| Amount | Value |
|
|
Colson Services Corporation Loan Sets: |
|
|
|
|
|
3.844%, 7/26/10 (c)(h)(r) |
| $42,243 | $42,248 |
|
|
3.75%, 1/22/11 (c)(h)(r) |
| 51,547 | 51,546 |
|
|
4.00%, 3/23/12 (c)(h)(r) |
| 63,568 | 63,648 |
|
|
3.875%, 5/29/12 (c)(h)(r) |
| 154,533 | 154,531 |
|
|
3.75%, 8/10/12 (c)(h)(r) |
| 383,215 | 384,250 |
|
|
3.75%, 9/2/12 (c)(h)(r) |
| 68,114 | 68,263 |
|
|
|
|
|
|
|
|
Total Depository Receipts For U.S. Government |
|
|
|
|
|
Guaranteed Loans (Cost $764,486) |
|
| 764,486 |
|
|
|
|
|
|
|
|
Certificates of Deposit - 0.4% |
|
|
|
|
|
Bank of Cherokee County, 2.25%, 4/21/09 (k) |
| 100,000 | 100,000 |
|
|
Broadway Federal Bank FSB, 3.25%, 7/15/09 (k) |
| 100,000 | 100,000 |
|
|
Community Bank of the Bay, 4.40%, 10/8/08 (k) |
| 100,000 | 100,000 |
|
|
Community Capital Bank, 4.25%, 1/19/09 (k) |
| 100,000 | 100,000 |
|
|
Elk Horn Bank & Trust Co., 4.00%, 12/18/08 (k) |
| 100,000 | 100,000 |
|
|
One United Bank, 2.50%, 9/24/09 (k) |
| 100,000 | 100,000 |
|
|
Self Help Credit Union, 3.26%, 7/14/09 (k)(r) |
| 100,000 | 100,000 |
|
|
|
|
|
|
|
|
Total Certificates of Deposit (Cost $700,000) |
|
| 700,000 |
|
|
|
|
|
|
|
|
Taxable Municipal Obligations - 0.6% |
|
|
|
|
|
Washington State GO, 4.15%, 7/1/09 |
| 1,125,000 | 1,134,450 |
|
|
|
|
|
|
|
|
Total Taxable Municipal Obligations (Cost $1,134,450) |
|
| 1,134,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taxable Variable Rate Demand Notes - 72.3% |
|
|
|
|
|
2880 Stevens Creek LLC, 5.00%, 11/1/33, LOC: Bank of the West (r) |
| 3,205,000 | 3,205,000 |
|
|
Akron Hardware Consultants, Inc., 8.00%, 11/1/22, |
|
|
|
|
|
LOC: FirstMerit Bank, C/LOC: FHLB (r) |
| 1,709,000 | 1,709,000 |
|
|
Bayfront Regional Development Corp., 8.50%, 11/1/27, |
|
|
|
|
|
LOC: PNC Bank (r) |
| 6,000,000 | 6,000,000 |
|
|
Bochasanwais Shree Akshar Purushottam Swaminarayan Sanstha, |
|
|
|
|
|
Inc., 4.05%, 6/1/22, LOC: Comerica Bank (r) |
| 2,700,000 | 2,700,000 |
|
|
Butler County Alabama IDA Revenue, 7.50%, 3/1/12, LOC: |
|
|
|
|
|
Whitney National Bank, C/LOC: FHLB (r) |
| 530,000 | 530,000 |
|
|
California Statewide Communities Development Authority Special |
|
|
|
|
|
Tax Revenue, 9.00%, 3/15/34, LOC: Fannie Mae (r) |
| 2,650,000 | 2,650,000 |
|
|
Chatham Centre LLC, 8.00%, 4/1/22, LOC: Bank of North |
|
|
|
|
|
Georgia (r) |
| 505,000 | 505,000 |
|
|
CIDC-Hudson House LLC New York Revenue, 3.00%, 12/1/34, |
|
|
|
|
|
LOC: Hudson River Bank & Trust, C/LOC: FHLB (r) |
| 1,785,000 | 1,785,000 |
|
|
Durham North Carolina GO, 3.29%, 5/1/18, BPA: Bank |
|
|
|
|
|
of America (r) |
| 6,250,000 | 6,250,000 |
|
|
|
|
|
|
| |
|
| Principal |
|
|
|
Taxable Variable Rate Demand Notes - Cont'd |
| Amount | Value |
|
|
Florida State Housing Finance Corp. MFH Revenue: |
|
|
|
|
|
Victoria B, 8.50%, 10/15/32, LOC: Fannie Mae (r) |
| $2,400,000 | $2,400,000 |
|
|
Victoria J-2, 8.50%, 10/15/32, LOC: Fannie Mae (r) |
| 2,240,000 | 2,240,000 |
|
|
9.00%, 11/1/32, LOC: Freddie Mac (r) |
| 950,000 | 950,000 |
|
|
Fuller Road Management Corp. New York Revenue, 8.28%, |
|
|
|
|
|
7/1/37, LOC: Key Bank (r) |
| 8,000,000 | 8,000,000 |
|
|
Haskell Capital Partners Ltd., 9.00%, 9/1/20, LOC: Colonial |
|
|
|
|
|
Bank, C/LOC: FHLB (r) |
| 3,610,000 | 3,610,000 |
|
|
HHH Investment Co., 5.00%, 7/1/29, LOC: Bank of the |
|
|
|
|
|
West (r) |
| 2,145,000 | 2,145,000 |
|
|
Holland Board of Public Works Home Building Co., 6.85%, |
|
|
|
|
|
11/1/22, LOC: Wells Fargo Bank (r) |
| 935,000 | 935,000 |
|
|
Jobs Co. LLC, 9.00%, 5/1/22, LOC: First Commercial Bank (r) |
| 2,425,000 | 2,425,000 |
|
|
Kaneville Road Joint Venture, Inc., 10.00%, 11/1/32, LOC: First |
|
|
|
|
|
American Bank, C/LOC: FHLB (r) |
| 7,530,000 | 7,530,000 |
|
|
Lancaster California Redevelopment Agency MFH Revenue, |
|
|
|
|
|
9.00%, 1/15/35, LOC: Fannie Mae (r) |
| 100,000 | 100,000 |
|
|
Los Angeles California MFH Revenue, 5.43%, 12/15/34, |
|
|
|
|
|
LOC: Fannie Mae (r) |
| 900,000 | 900,000 |
|
|
Main & Walton Development Co., 9.00%, 9/1/26, LOC: |
|
|
|
|
|
Sovereign Bank, C/LOC: FHLB (r) |
| 5,145,000 | 5,145,000 |
|
|
Milpitas California MFH Revenue, 9.00%, 8/15/33, LOC: |
|
|
|
|
|
Fannie Mae (r) |
| 2,200,000 | 2,200,000 |
|
|
Milwaukee Wisconsin Redevelopment Authority Revenue, |
|
|
|
|
|
4.15%, 8/1/20, LOC: Marshall & Ilsley Bank (r) |
| 1,055,000 | 1,055,000 |
|
|
MOB Management One LLC, 9.00%, 12/1/26, LOC: |
|
|
|
|
|
Columbus Bank & Trust (r) |
| 1,210,000 | 1,210,000 |
|
|
Montgomery New York Industrial Development Board Pollution |
|
|
|
|
|
Control Revenue, 8.25%, 5/1/25, LOC: FHLB (r) |
| 2,980,000 | 2,980,000 |
|
|
Ness Family Partners LP, 5.00%, 9/1/34, LOC: BNP Paribas (r) |
| 1,000,000 | 1,000,000 |
|
|
New York State Go, 3.12%, 3/15/10, LOC: Dexia Credit Local |
|
|
|
|
|
(mandatory put, 12/3/08 @ 100)(r) |
| 1,300,000 | 1,300,000 |
|
|
New York City New York Housing Development Corp. MFH |
|
|
|
|
|
Development Revenue 9.00%, 12/1/35, CF: Freddie Mac (r) |
| 4,560,000 | 4,560,000 |
|
|
New York State MMC Corp. Revenue, 3.00%, 11/1/35, LOC: |
|
|
|
|
|
JPMorgan Chase Bank (r) |
| 3,970,000 | 3,970,000 |
|
|
Ogden City Utah Redevelopment Agency Revenue, 7.00%, 1/1/31, |
|
|
|
|
|
LOC: Bank of New York (r) |
| 5,815,000 | 5,815,000 |
|
|
Osprey Management Co. LLC, 6.75%, 6/1/27, LOC: Wells |
|
|
|
|
|
Fargo Bank (r) |
| 5,100,000 | 5,100,000 |
|
|
Peoploungers, Inc., 7.50%, 4/1/18, LOC: Bank of New Albany, |
|
|
|
|
|
C/LOC: FHLB (r) |
| 2,200,000 | 2,200,000 |
|
|
Portage Indiana Economic Development Revenue, 4.05%, |
|
|
|
|
|
3/1/20, LOC: FHLB (r) |
| 300,000 | 300,000 |
|
|
Post Apartment Homes LP, 6.60%, 7/15/29, LOC: Fannie Mae (r) |
| 3,380,000 | 3,380,000 |
|
|
Rathbone LLC, 7.25%, 1/1/38, LOC: Comerica Bank (r) |
| 4,500,000 | 4,500,000 |
|
|
Roosevelt Paper Co., 6.00%, 6/1/12, LOC: Wachovia Bank (r) |
| 1,420,000 | 1,420,000 |
|
|
Scott Street Land Co., 10.00%, 1/3/22, LOC: Fifth |
|
|
|
|
|
Third Bank (r) |
| 2,850,000 | 2,850,000 |
|
|
Scottsboro Alabama Industrial Development Board Revenue, |
|
|
|
|
|
9.00%, 10/1/10, LOC: Wachovia Bank (r) |
| 350,000 | 350,000 |
|
|
Sea Island Co., 9.21%, 2/1/21, LOC: Columbus Bank & Trust (r) |
| 1,195,000 | 1,195,000 |
|
|
Shawnee Kansas Private Activity Revenue, 2.65%, 12/1/12, |
|
|
|
|
|
LOC: JPMorgan Chase Bank (r) |
| 3,535,000 | 3,535,000 |
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
Taxable Variable Rate Demand Notes - Cont'd |
| Amount | Value |
|
|
Sheridan Colorado Redevelopment Agency Tax Allocation Revenue, |
|
|
|
|
|
9.00%, 12/1/29, LOC: Citibank (r) |
| $5,600,000 | $5,600,000 |
|
|
St. Joseph County Indiana Economic Development Revenue, 4.10%, |
|
|
|
|
|
6/1/27, LOC: FHLB (r) |
| 345,000 | 345,000 |
|
|
St. Paul Minnesota Port Authority Revenue, 6.60%, 3/1/21, |
|
|
|
|
|
LOC: Dexia Credit Local (r) |
| 1,710,000 | 1,710,000 |
|
|
Standard Furniture Manufacturing Co., Inc., 3.68%, 3/1/15, |
|
|
|
|
|
LOC: RBC Centura Bank (r) |
| 7,179,000 | 7,179,000 |
|
|
Tyler Enterprises LLC, 9.00%, 10/1/22, LOC: Peoples Bank and |
|
|
|
|
|
Trust, C/LOC: FHLB (r) |
| 965,000 | 965,000 |
|
|
Union Springs Wastewater Treatment Plant LLC, 8.50%, 7/1/37, |
|
|
|
|
|
LOC: Regions Bank (r) |
| 2,500,000 | 2,500,000 |
|
|
Washington State MFH Finance Commission Revenue: |
|
|
|
|
|
9.00%, 6/15/32, LOC: Fannie Mae (r) |
| 1,100,000 | 1,100,000 |
|
|
9.00%, 7/15/32, LOC: Fannie Mae (r) |
| 730,000 | 730,000 |
|
|
9.00%, 7/15/34, LOC: Fannie Mae (r) |
| 1,670,000 | 1,670,000 |
|
|
9.00%, 5/15/35, LOC: Fannie Mae (r) |
| 860,000 | 860,000 |
|
|
9.00%, 5/1/37, LOC: Freddie Mac (r) |
| 1,350,000 | 1,350,000 |
|
|
|
|
|
|
|
|
Total Taxable Variable Rate Demand Notes (Cost $134,643,000) |
|
| 134,643,000 |
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $173,986,430) - 93.4% |
|
| 173,986,430 |
|
|
Other assets and liabilities, net - 6.6% |
|
| 12,324,547 |
|
|
Net Assets - 100% |
|
| $186,310,977 |
|
|
See notes to schedule of investments and notes to financial statements.
Balanced Portfolio
Schedule of Investments
September 30, 2008
Equity Securities - 56.1% |
| Shares | Value |
|
Aerospace & Defense - 0.1% |
|
|
|
|
BE Aerospace, Inc.* |
| 23,143 | $366,354 |
|
|
|
|
|
|
Air Freight & Logistics - 0.1% |
|
|
|
|
FedEx Corp. |
| 4,002 | 316,318 |
|
United Parcel Service, Inc., Class B |
| 5,290 | 332,688 |
|
|
|
| 649,006 |
|
|
|
|
|
|
Beverages - 1.6% |
|
|
|
|
PepsiCo, Inc. |
| 107,100 | 7,633,017 |
|
|
|
|
|
|
Biotechnology - 1.3% |
|
|
|
|
Amgen, Inc.* |
| 13,610 | 806,665 |
|
Gilead Sciences, Inc.* |
| 115,200 | 5,250,816 |
|
|
|
| 6,057,481 |
|
|
|
|
|
|
Capital Markets - 2.0% |
|
|
|
|
Federated Investors, Inc., Class B |
| 8,600 | 248,110 |
|
Goldman Sachs Group, Inc. |
| 31,300 | 4,006,400 |
|
Northern Trust Corp. |
| 62,900 | 4,541,380 |
|
SEI Investments Co. |
| 14,200 | 315,240 |
|
T. Rowe Price Group, Inc. |
| 8,614 | 462,658 |
|
|
|
| 9,573,788 |
|
|
|
|
|
|
Chemicals - 1.5% |
|
|
|
|
Praxair, Inc. |
| 100,900 | 7,238,566 |
|
|
|
|
|
|
Commercial Banks - 0.1% |
|
|
|
|
Wells Fargo & Co. |
| 19,000 | 713,070 |
|
|
|
|
|
|
Communications Equipment - 1.7% |
|
|
|
|
Cisco Systems, Inc. (s)* |
| 337,780 | 7,620,317 |
|
QUALCOMM, Inc. |
| 11,790 | 506,616 |
|
|
|
| 8,126,933 |
|
|
|
|
|
|
Computers & Peripherals - 3.3% |
|
|
|
|
Apple, Inc.* |
| 5,100 | 579,666 |
|
EMC Corp.* |
| 27,982 | 334,665 |
|
Hewlett-Packard Co. |
| 168,510 | 7,791,902 |
|
International Business Machines Corp. |
| 55,100 | 6,444,496 |
|
Western Digital Corp.* |
| 28,280 | 602,930 |
|
|
|
| 15,753,659 |
|
|
|
|
|
|
Consumer Finance - 0.1% |
|
|
|
|
American Express Co. |
| 15,200 | 538,536 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Diversified Financial Services - 2.1% |
|
|
|
|
Bank of America Corp. |
| 10,107 | $353,745 |
|
CME Group, Inc. |
| 16,640 | 6,181,926 |
|
First Republic Preferred Capital Corp., Preferred (e) |
| 500 | 380,000 |
|
JPMorgan Chase & Co. |
| 17,445 | 814,682 |
|
MFH Financial Trust I, Preferred (b)(e) |
| 20,000 | 767,460 |
|
Roslyn Real Estate Asset Corp., Preferred (b)(e) |
| 10 | 660,000 |
|
Woodbourne Capital: |
|
|
|
|
Trust I, Preferred (b)(e) |
| 500,000 | 225,000 |
|
Trust II, Preferred (b)(e) |
| 500,000 | 225,000 |
|
Trust III, Preferred (b)(e) |
| 500,000 | 225,000 |
|
Trust IV, Preferred (b)(e) |
| 500,000 | 225,000 |
|
|
|
| 10,057,813 |
|
|
|
|
|
|
Diversified Telecommunication Services - 1.5% |
|
|
|
|
AT&T, Inc. |
| 266,075 | 7,428,814 |
|
|
|
|
|
|
Electronic Equipment & Instruments - 2.1% |
|
|
|
|
Amphenol Corp. |
| 189,100 | 7,590,474 |
|
Dolby Laboratories, Inc.* |
| 65,300 | 2,297,907 |
|
Jabil Circuit, Inc. |
| 32,350 | 308,619 |
|
|
|
| 10,197,000 |
|
|
|
|
|
|
Energy Equipment & Services - 1.8% |
|
|
|
|
Smith International, Inc. |
| 152,200 | 8,925,008 |
|
|
|
|
|
|
Food Products - 1.7% |
|
|
|
|
Campbell Soup Co. |
| 177,300 | 6,843,780 |
|
General Mills, Inc. |
| 6,800 | 467,296 |
|
Kellogg Co. |
| 8,000 | 448,800 |
|
McCormick & Co., Inc. |
| 10,000 | 384,500 |
|
|
|
| 8,144,376 |
|
|
|
|
|
|
Gas Utilities - 1.2% |
|
|
|
|
Oneok, Inc. |
| 165,000 | 5,676,000 |
|
|
|
|
|
|
Health Care Equipment & Supplies - 5.1% |
|
|
|
|
Beckman Coulter, Inc. |
| 4,000 | 283,960 |
|
Becton Dickinson & Co. |
| 95,500 | 7,664,830 |
|
DENTSPLY International, Inc. |
| 10,200 | 382,908 |
|
Hologic, Inc.* |
| 36,400 | 703,612 |
|
Hospira, Inc.* |
| 201,000 | 7,678,200 |
|
Medtronic, Inc. |
| 14,271 | 714,977 |
|
St. Jude Medical, Inc.* |
| 160,900 | 6,997,541 |
|
|
|
| 24,426,028 |
|
|
|
|
|
|
Health Care Providers & Services - 3.1% |
|
|
|
|
DaVita, Inc.* |
| 107,200 | 6,111,472 |
|
Express Scripts, Inc.* |
| 110,000 | 8,120,200 |
|
Healthways, Inc.* |
| 10,000 | 161,300 |
|
Lincare Holdings, Inc.* |
| 8,500 | 255,765 |
|
Quest Diagnostics, Inc. |
| 8,224 | 424,934 |
|
|
|
| 15,073,671 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Household Products - 2.0% |
|
|
|
|
Colgate-Palmolive Co. |
| 124,159 | $9,355,381 |
|
Procter & Gamble Co. |
| 7,300 | 508,737 |
|
|
|
| 9,864,118 |
|
|
|
|
|
|
Industrial Conglomerates - 0.1% |
|
|
|
|
3M Co. |
| 5,073 | 346,537 |
|
|
|
|
|
|
Insurance - 1.0% |
|
|
|
|
Aflac, Inc. |
| 8,750 | 514,062 |
|
Conseco, Inc.* |
| 48,476 | 170,636 |
|
Prudential Financial, Inc. |
| 57,300 | 4,125,600 |
|
|
|
| 4,810,298 |
|
|
|
|
|
|
Internet & Catalog Retail - 0.9% |
|
|
|
|
Expedia, Inc.* |
| 280,900 | 4,244,399 |
|
|
|
|
|
|
Internet Software & Services - 0.0% |
|
|
|
|
Akamai Technologies, Inc.* |
| 10,909 | 190,253 |
|
|
|
|
|
|
IT Services - 0.0% |
|
|
|
|
Fiserv, Inc.* |
| 5,000 | 236,600 |
|
|
|
|
|
|
Life Sciences - Tools & Services - 1.6% |
|
|
|
|
Thermo Fisher Scientific, Inc.* |
| 131,400 | 7,227,000 |
|
Waters Corp.* |
| 4,700 | 273,446 |
|
|
|
| 7,500,446 |
|
|
|
|
|
|
Machinery - 3.7% |
|
|
|
|
Cummins, Inc. |
| 166,400 | 7,275,008 |
|
Danaher Corp. |
| 90,556 | 6,284,586 |
|
Deere & Co. |
| 72,800 | 3,603,600 |
|
Graco, Inc. |
| 10,100 | 359,661 |
|
Illinois Tool Works, Inc. |
| 6,610 | 293,815 |
|
|
|
| 17,816,670 |
|
|
|
|
|
|
Multiline Retail - 0.1% |
|
|
|
|
Target Corp. |
| 6,000 | 294,300 |
|
|
|
|
|
|
Office Electronics - 0.5% |
|
|
|
|
Xerox Corp. |
| 197,300 | 2,274,869 |
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 4.5% |
|
|
|
|
Cimarex Energy Co. |
| 99,400 | 4,861,654 |
|
EOG Resources, Inc. |
| 87,700 | 7,845,642 |
|
Plains Exploration & Production Co.* |
| 8,000 | 281,280 |
|
XTO Energy, Inc. |
| 184,487 | 8,582,335 |
|
|
|
| 21,570,911 |
|
|
|
|
|
|
Paper & Forest Products - 0.1% |
|
|
|
|
Weyerhaeuser Co. |
| 5,800 | 351,364 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Pharmaceuticals - 0.3% |
|
|
|
|
Barr Pharmaceuticals, Inc.* |
| 10,884 | $710,725 |
|
Johnson & Johnson |
| 13,000 | 900,640 |
|
|
|
| 1,611,365 |
|
|
|
|
|
|
Professional Services - 0.1% |
|
|
|
|
Manpower, Inc. |
| 8,500 | 366,860 |
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment - 0.1% |
|
|
|
|
Intel Corp. |
| 22,111 | 414,139 |
|
NVIDIA Corp.* |
| 20,520 | 219,769 |
|
|
|
| 633,908 |
|
|
|
|
|
|
Software - 4.5% |
|
|
|
|
Adobe Systems, Inc.* |
| 255,200 | 10,072,744 |
|
Autodesk, Inc.* |
| 77,200 | 2,590,060 |
|
Citrix Systems, Inc.* |
| 17,000 | 429,420 |
|
Microsoft Corp. |
| 26,160 | 698,210 |
|
Symantec Corp.* |
| 405,900 | 7,947,522 |
|
|
|
| 21,737,956 |
|
|
|
|
|
|
Specialty Retail - 3.3% |
|
|
|
|
Bed Bath & Beyond, Inc.* |
| 252,700 | 7,937,307 |
|
Staples, Inc. |
| 27,766 | 624,735 |
|
TJX Co.'s, Inc. |
| 246,500 | 7,523,180 |
|
|
|
| 16,085,222 |
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods - 0.9% |
|
|
|
|
Nike, Inc., Class B |
| 62,800 | 4,201,320 |
|
|
|
|
|
|
Venture Capital - 2.0% |
|
|
|
|
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)* |
| 4,647,053 | 316,892 |
|
Allos Therapeutics, Inc.* |
| 42,819 | 317,289 |
|
CFBanc Corp., Series A(b)(i)* |
| 27,000 | 368,328 |
|
City Soft, Inc., Warrants: |
|
|
|
|
(strike price $0.21/share, expires 05/31/12) (b)(i)* |
| 189,375 | - |
|
(strike price $0.01/share, expires 10/15/12) (b)(i)* |
| 118,360 | - |
|
(strike price $0.01/share, expires 10/15/12) (b)(i)* |
| 887,700 | - |
|
(strike price $0.14/share, expires 10/15/12) (b)(i)* |
| 118,359 | - |
|
(strike price $0.28/share, expires 10/15/12) (b)(i)* |
| 118,359 | - |
|
(strike price $0.01/share, expires 2/28/13) (b)(i)* |
| 29,590 | - |
|
(strike price $0.14/share, expires 2/28/13) (b)(i)* |
| 29,590 | - |
|
(strike price $0.28/share, expires 2/28/13) (b)(i)* |
| 29,590 | - |
|
(strike price $0.01/share, expires 5/31/13) (b)(i)* |
| 29,590 | - |
|
(strike price $0.14/share, expires 5/31/13) (b)(i)* |
| 29,590 | - |
|
(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 | - |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Venture Capital - Cont'd |
|
|
|
|
(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* |
| 4,000 | 20,400 |
|
Community Growth Fund* |
| 1,754,923 | 1,409,173 |
|
Consensus Orthopedics: |
|
|
|
|
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 |
|
Distributed Energy Systems Corp.* |
| 14,937 | 224 |
|
Environmental Private Equity Fund II, Liquidating Trust(b)(i)* |
| 200,000 | 44,763 |
|
Evergreen Solar, Inc.* |
| 66,000 | 364,320 |
|
H2Gen Innovations, Inc.: |
|
|
|
|
Common Stock (b)(i)* |
| 2,077 | 1,184 |
|
Common Warrants (strike price $1.00/share, expires |
|
|
|
|
10/31/13) (b)(i)* |
| 27,025 | - |
|
Series A Preferred (b)(i)* |
| 69,033 | 111,143 |
|
Series A Preferred, Warrants (strike price $1.00/share, expires |
|
|
|
|
10/10/12)(b)(i)* |
| 1,104 | 673 |
|
Series B Preferred (b)(i)* |
| 161,759 | 260,432 |
|
Series C Preferred (b)(i)* |
| 36,984 | 59,544 |
|
Inflabloc Pharmaceuticals, Inc.(b)(i)* |
| 1,193 | 1 |
|
Neighborhood Bancorp(b)(i)* |
| 10,000 | 165,531 |
|
Plethora Technology, Inc.: |
|
|
|
|
Common Warrants (strike price $0.01/share, expires |
|
|
|
|
4/29/15) (b)(i)* |
| 72,000 | - |
|
Series A Preferred (a)(b)(i)* |
| 825,689 | - |
|
Series A Preferred Warrants: |
|
|
|
|
(strike price $0.85/share, expires 6/9/13) (b)(i)* |
| 176,471 | - |
|
(strike price $0.85/share, expires 9/6/13) (b)(i)* |
| 88,236 | - |
|
Seventh Generation, Inc.(b)(i)* |
| 200,295 | 4,506,638 |
|
SMARTHINKING, Inc.: |
|
|
|
|
Series 1-A, Convertible Preferred (b)(i)* |
| 104,297 | 172,388 |
|
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 |
|
Wild Planet Entertainment, Inc.: |
|
|
|
|
Series B Preferred (b)(i)* |
| 476,190 | 1,226,573 |
|
Series E Preferred (b)(i)* |
| 129,089 | 332,508 |
|
Wind Harvest Co., Inc.(b)(i)* |
| 8,696 | 1 |
|
|
|
| 9,914,211 |
|
|
|
|
|
|
Total Equity Securities (Cost $285,091,127) |
|
| 270,630,727 |
|
|
|
|
|
|
|
| Principal |
|
|
Venture Capital Debt Obligations - 0.5% |
| Amount | Value |
|
City Soft, Inc.: |
|
|
|
|
Convertible Notes I, 10.00%, 8/31/08 (b)(i)(w)* |
| $297,877 | $ - |
|
Convertible Notes II, 10.00%, 8/31/08 (b)(i)(w)* |
| 32,500 | - |
|
Convertible Notes III, 10.00%, 8/31/08 (b)(i)(w)* |
| 25,000 | - |
|
Convertible Notes IV, 10.00%, 8/31/08 (b)(i)(w)* |
| 25,000 | - |
|
KDM Development Corp., 2.41%, 12/31/08 (b)(i) |
| 704,489 | 704,489 |
|
AccessBank, 8.477%, 8/29/12 (b)(i) |
| 500,000 | 514,306 |
|
Plethora Technology, 12.00%, 6/30/09 (b)(i)(r) |
| 150,000 | 7,500 |
|
Rose Smart Growth Investment Fund, 6.045%, 4/1/21 (b)(i) |
| 1,000,000 | 1,000,000 |
|
|
|
|
|
|
Total Venture Capital Debt Obligations (Cost $2,747,623) |
|
| 2,226,295 |
|
|
|
|
|
|
|
| Adjusted |
|
|
Limited Partnership Interest - 0.7% |
| Basis |
|
|
Angels With Attitude I LLC (a)(b)(i)* |
| 200,000 | 171,525 |
|
Coastal Venture Partners (b)(i)* |
| 133,958 | 123,484 |
|
Commons Capital (b)(i)* |
| 458,356 | 315,596 |
|
First Analysis Private Equity Fund IV (b)(i)* |
| 670,660 | 949,300 |
|
GEEMF Partners (a)(b)(i)* |
| - | 221,805 |
|
Global Environment Emerging Markets Fund (b)(i)* |
| - | 503,190 |
|
Infrastructure and Environmental Private Equity Fund III (b)(i)* |
| 328,443 | 178,732 |
|
Labrador Ventures III (b)(i)* |
| 360,875 | 85,931 |
|
Labrador Ventures IV (b)(i)* |
| 911,085 | 217,340 |
|
Milepost Ventures (a)(b)(i)* |
| 500,000 | 1 |
|
New Markets Growth Fund LLC (b)(i)* |
| 225,646 | 211,733 |
|
Solstice Capital (b)(i)* |
| 384,644 | 390,020 |
|
Utah Ventures II (b)(i)* |
| 867,581 | - |
|
Venture Strategy Partners (b)(i)* |
| 206,057 | 25,810 |
|
|
|
|
|
|
Total Limited Partnership Interest (Cost $5,247,305) |
| 3,394,467 |
| |
|
|
|
|
|
|
| Principal |
|
|
Asset Backed Securities - 0.0% |
| Amount |
|
|
ACLC Business Loan Receivables Trust, 3.138%, 10/15/21 (e)(r) |
| 214,955 | 202,851 |
|
|
|
|
|
|
Total Asset Backed Securities (Cost $202,370) |
|
| 202,851 |
|
|
|
|
|
|
Collateralized Mortgage-Backed Obligations |
|
|
|
|
(privately originated) - 0.5% |
|
|
|
|
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
| 1,499,712 | 1,460,492 |
|
Impac CMB Trust, 3.477%, 5/25/35 (r) |
| 1,266,072 | 855,608 |
|
Residential Asset Securitization Trust, 6.25%, 11/25/36 |
| 277,462 | 233,439 |
|
|
|
|
|
|
Total Collateralized Mortgage-Backed Obligations |
|
|
|
|
(privately originated) (Cost $3,001,068) |
|
| 2,549,539 |
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
Commercial Mortgage-Backed Securities - 2.2% |
| Amount | Value |
|
Banc of America Commercial Mortgage, Inc., 5.449%, 1/15/49 |
| $2,000,000 | $1,794,140 |
|
Cobalt CMBS Commercial Mortgage Trust, 5.935%, 5/15/46 (r) |
| 3,000,000 | 2,821,056 |
|
Crown Castle Towers LLC, 4.643%, 6/15/35 (e) |
| 4,000,000 | 3,940,363 |
|
Enterprise Mortgage Acceptance Co. LLC: |
|
|
|
|
0.719%, 1/15/25 (e)(r) |
| 15,706,431 | 314,129 |
|
6.115%, 1/15/27 (e)(r) |
| 1,772,582 | 833,113 |
|
Global Signal: |
|
|
|
|
Trust II, 4.232%, 12/15/14 (e) |
| 500,000 | 494,727 |
|
Trust III, 5.361%, 2/15/36 (e) |
| 300,000 | 301,767 |
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities (Cost $10,899,442) |
|
| 10,499,295 |
|
|
|
|
|
|
Corporate Bonds - 19.1% |
|
|
|
|
AgFirst Farm Credit Bank: |
|
|
|
|
6.585% to 06/15/12, floating rate thereafter to 6/15/49 (e)(r) |
| 1,250,000 | 748,313 |
|
7.30%, 10/14/49 (e) |
| 2,000,000 | 1,624,680 |
|
Alliance Mortgage Investments, 12.61%, 6/1/10 (b)(r)(x) |
| 385,345 | - |
|
American National Red Cross, 5.362%, 11/15/11 |
| 3,215,000 | 3,328,618 |
|
APL Ltd., 8.00%, 1/15/24 |
| 550,000 | 473,000 |
|
Atlantic Marine Corp. Communities LLC, 6.158%, |
|
|
|
|
12/1/51 (b)(e) |
| 1,000,000 | 778,400 |
|
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)* |
| 4,060,000 | 203,000 |
|
Aurora Military Housing LLC, 5.35%, 12/15/25 (e) |
| 2,565,000 | 2,299,599 |
|
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
| 1,280,000 | 1,234,920 |
|
BAC Capital Trust XV, 3.61%, 6/1/56 (r) |
| 2,800,000 | 2,096,178 |
|
Bank of America, 3.404%, 5/12/10 (r) |
| 2,000,000 | 1,973,828 |
|
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (b)(e) |
| 999,902 | 1,020,880 |
|
CAM US Finance SA Sociedad Unipersonal, 2.951%, 2/1/10 (e)(r) |
| 500,000 | 475,530 |
|
Camp Pendleton & Quantico Housing LLC, 6.165%, |
|
|
|
|
10/1/50 (b)(e) |
| 600,000 | 466,800 |
|
Cardinal Health, Inc., 3.053%, 10/2/09 (r) |
| 1,000,000 | 973,582 |
|
Chesapeake Energy Corp.: |
|
|
|
|
6.50%, 8/15/17 |
| 250,000 | 220,000 |
|
7.25%, 12/15/18 |
| 2,400,000 | 2,214,000 |
|
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
| 250,000 | 199,131 |
|
CIT Group, Inc., 6.10% to 3/15/17, floating rate thereafter |
|
|
|
|
to 3/15/67 (r) |
| 900,000 | 328,500 |
|
Compass Bancshares, Inc., 3.391%, 10/9/09 (e)(r) |
| 1,000,000 | 995,791 |
|
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter |
|
|
|
|
to 5/29/49 (e)(r) |
| 4,850,000 | 3,270,239 |
|
CVS Caremark Corp., 4.317%, 9/10/10 (r) |
| 500,000 | 489,686 |
|
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) |
| 1,000,000 | 1,072,107 |
|
Discover Financial Services, 3.349%, 6/11/10 (r) |
| 2,500,000 | 2,018,015 |
|
Enterprise Products Operating LP, 7.034% to 1/15/18, |
|
|
|
|
floating rate thereafter to 1/15/68 (r) |
| 3,600,000 | 3,044,411 |
|
ERAC USA Finance Co., 5.30%, 11/15/08 (e) |
| 1,000,000 | 1,000,832 |
|
Fort Knox Military Housing, 5.815%, 2/15/52 (e) |
| 2,000,000 | 1,642,420 |
|
Glitnir Banki HF: |
|
|
|
|
2.951%, 10/15/08 (e)(g)(r)(z) |
| 2,000,000 | 1,984,288 |
|
6.693% to 6/15/11, floating rate thereafter to 6/15/16 (e)(r)(z) |
| 1,500,000 | 693,271 |
|
GMAC Commercial Mortgage Asset Corp., 6.107%, 8/10/52 (e) |
| 1,900,000 | 1,879,765 |
|
|
|
|
|
|
|
| Principal |
|
|
Corporate Bonds - Cont'd |
| Amount | Value |
|
Goldman Sachs Group, Inc.: |
|
|
|
|
3.27%, 12/23/09 (r) |
| $500,000 | $499,373 |
|
3.869%, 6/28/10 (r) |
| 500,000 | 456,250 |
|
Great River Energy: |
|
|
|
|
5.829%, 7/1/17 (e) |
| 436,531 | 441,437 |
|
6.254%, 7/1/38 (e) |
| 2,500,000 | 2,332,725 |
|
HBOS plc, 6.413% to 10/1/35, floating rate thereafter to |
|
|
|
|
10/1/49 (e)(r) |
| 550,000 | 310,222 |
|
Hewlett-Packard Co., 3.21%, 9/3/09 (r) |
| 930,000 | 927,195 |
|
Home Depot, Inc., 2.944%, 12/16/09 (r) |
| 300,000 | 281,907 |
|
HRPT Properties Trust, 3.419%, 3/16/11 (r) |
| 1,250,000 | 1,156,052 |
|
Huntington National Bank, 4.65%, 6/30/09 |
| 500,000 | 489,738 |
|
Independence Community Bank Corp., 3.75% to 4/1/09, |
|
|
|
|
floating rate thereafter to 4/1/14 (r) |
| 2,500,000 | 2,001,179 |
|
John Deere Capital Corp., 3.485%, 1/18/11 (r) |
| 2,000,000 | 1,949,136 |
|
JPMorgan Chase & Co.: |
|
|
|
|
2.36%, 10/28/08 (r) |
| 3,850,000 | 3,851,147 |
|
7.00%, 11/15/09 |
| 2,000,000 | 2,054,125 |
|
Kaupthing Bank HF, 5.75%, 10/4/11 (b)(e)(z) |
| 2,750,000 | 1,766,875 |
|
Leucadia National Corp.: |
|
|
|
|
7.00%, 8/15/13 |
| 1,420,000 | 1,334,800 |
|
8.125%, 9/15/15 |
| 980,000 | 957,082 |
|
LL & P Wind Energy, Inc. Washington Revenue Bonds, |
|
|
|
|
6.192%, 12/1/27 |
| 2,000,000 | 1,967,200 |
|
Lumbermens Mutual Casualty Co.: |
|
|
|
|
9.15%, 7/1/26 (e)(m)* |
| 1,696,000 | 16,960 |
|
8.30%, 12/1/37 (e)(m)* |
| 6,130,000 | 61,300 |
|
8.45%, 12/1/97 (e)(m)* |
| 2,560,000 | 25,600 |
|
M&I Marshall & Ilsley Bank, 3.083%, 12/4/12 (r) |
| 500,000 | 400,670 |
|
McGuire Air Force Base Military Housing Project, 5.611%, |
|
|
|
|
9/15/51 (e) |
| 1,000,000 | 796,290 |
|
Nationwide Health Properties, Inc.: |
|
|
|
|
6.50%, 7/15/11 |
| 500,000 | 500,663 |
|
6.90%, 10/1/37 |
| 1,000,000 | 1,040,193 |
|
Ohana Military Communities LLC, 5.675%, 10/1/26 (e) |
| 2,250,000 | 2,010,330 |
|
Orkney Re II plc, Series B, 6.096%, 12/21/35 (b)(e)(r)(y) |
| 1,100,000 | 197,384 |
|
Pacific Beacon LLC, 5.628%, 7/15/51 (e) |
| 1,250,000 | 982,837 |
|
Pacific Pilot Funding Ltd., 3.536%, 10/20/16 (e)(r) |
| 960,133 | 945,762 |
|
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) |
| 500,000 | 480,738 |
|
Pioneer Natural Resources Co.: |
|
|
|
|
5.875%, 7/15/16 |
| 500,000 | 447,051 |
|
6.65%, 3/15/17 |
| 1,300,000 | 1,170,225 |
|
6.875%, 5/1/18 |
| 700,000 | 626,102 |
|
7.20%, 1/15/28 |
| 700,000 | 602,048 |
|
Preferred Term Securities IX Ltd., 3.558%, 4/3/33 (e)(r) |
| 765,236 | 579,666 |
|
ProLogis, 6.625%, 5/15/18 |
| 700,000 | 601,363 |
|
Redstone Arsenal Military Housing, 5.45%, 9/1/26 (e) |
| 1,250,000 | 1,286,178 |
|
Reed Elsevier Capital, Inc., 3.149%, 6/15/10 (r) |
| 3,000,000 | 2,932,348 |
|
Roper Industries, Inc., 6.625%, 8/15/13 |
| 500,000 | 507,020 |
|
Royal Bank of Scotland Group plc, 7.64% to 9/29/17, floating |
|
|
|
|
rate thereafter to 3/31/49 (b)(r) |
| 2,500,000 | 1,600,000 |
|
|
|
|
|
|
|
| Principal |
|
|
Corporate Bonds - Cont'd |
| Amount | Value |
|
Salvation Army, 5.46%, 9/1/16 |
| $160,000 | $161,962 |
|
Sovereign Bancorp, Inc., 3.09%, 3/1/09 (r) |
| 500,000 | 408,596 |
|
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% thereafter |
|
|
|
|
to 10/15/97 (b)(e)(r) |
| 1,000,000 | 161,620 |
|
Toll Road Investors Partnership II LP, Zero Coupon: |
|
|
|
|
2/15/43 (e) |
| 5,000,000 | 947,779 |
|
2/15/45 (b)(e) |
| 31,299,649 | 3,652,669 |
|
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate |
|
|
|
|
thereafter to 3/15/42 (r) |
| 4,500,000 | 1,890,000 |
|
Wells Fargo Bank, 6.734%, 9/1/47 (e) |
| 1,500,000 | 1,573,650 |
|
Wells Fargo Capital XIII, 7.70% to 3/26/13, floating rate |
|
|
|
|
thereafter to 12/29/49 (r) |
| 250,000 | 218,003 |
|
Weyerhaeuser Co., 4.198%, 9/24/09 (r) |
| 4,000,000 | 3,930,743 |
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds (Cost $116,815,444) |
|
| 92,281,977 |
|
|
|
|
|
|
U.S. Government Agencies and Instrumentalities - 0.6% |
|
|
|
|
Government National Mortgage Association, 5.50%, 1/16/32 |
| 2,310,488 | 301,327 |
|
Small Business Administration: |
|
|
|
|
5.038%, 3/10/15 |
| 892,480 | 871,960 |
|
4.94%, 8/10/15 |
| 1,465,390 | 1,435,001 |
|
U.S. Department of Housing and Urban Development, |
|
|
|
|
3.44%, 8/1/11 |
| 250,000 | 249,042 |
|
|
|
|
|
|
Total U.S. Government Agencies and |
|
|
|
|
Instrumentalities (Cost $2,903,638) |
|
| 2,857,330 |
|
|
|
|
|
|
Municipal Obligations - 0.2% |
|
|
|
|
Maryland State Economic Development Corp. Revenue Bonds, |
|
|
|
|
8.625%, 10/1/19 (f)* |
| 3,750,000 | 917,609 |
|
|
|
|
|
|
Total Municipal Obligations (Cost $3,763,545) |
|
| 917,609 |
|
|
|
|
|
|
Taxable Municipal Obligations - 13.7% |
|
|
|
|
Adams-Friendship Area Wisconsin School District GO Bonds, |
|
|
|
|
5.42%, 3/1/17 |
| 200,000 | 198,274 |
|
Alameda California Corridor Transportation Authority Revenue |
|
|
|
|
Bonds, Zero Coupon, 10/1/11 |
| 6,000,000 | 5,306,100 |
|
Anaheim California Redevelopment Agency Tax Allocation |
|
|
|
|
Bonds, 5.759%, 2/1/18 |
| 750,000 | 739,043 |
|
Baltimore Maryland General Revenue Bonds, 5.27%, 7/1/18 |
| 750,000 | 719,288 |
|
Brownsville Texas Utility System Revenue Bonds, 5.204%, |
|
|
|
|
9/1/17 |
| 500,000 | 472,595 |
|
California Statewide Communities Development Authority |
|
|
|
|
Revenue Bonds: |
|
|
|
|
5.48%, 8/1/11 |
| 800,000 | 820,520 |
|
5.01%, 8/1/15 |
| 635,000 | 623,119 |
|
|
|
|
|
|
|
| Principal |
|
|
Taxable Municipal Obligations - Cont'd |
| Amount | Value |
|
Chicago Illinois GO Bonds, 5.30%, 1/1/14 |
| $1,500,000 | $1,468,305 |
|
Commonwealth Pennsylvania Financing Authority Revenue Bonds, |
|
|
|
|
5.631%, 6/1/23 |
| 1,860,000 | 1,931,889 |
|
Cook County Illinois School District GO Bonds, |
|
|
|
|
Zero Coupon, 12/1/13 |
| 2,135,000 | 1,641,666 |
|
Detroit Michigan GO Bonds, 5.15%, 4/1/25 |
| 1,250,000 | 1,077,313 |
|
Escondido California Joint Powers Financing Authority Lease |
|
|
|
|
Revenue Bonds, 5.53%, 9/1/18 |
| 750,000 | 732,495 |
|
Georgetown University Washington DC Revenue Bonds, 7.22%, |
|
|
|
|
4/1/19 |
| 2,000,000 | 1,995,000 |
|
Grant County Washington Public Utility District No. 2 Revenue |
|
|
|
|
Bonds, 5.17%, 1/1/15 |
| 500,000 | 490,030 |
|
Illinois State MFH Development Authority Revenue Bonds: |
|
|
|
|
5.60%, 12/1/15 |
| 1,150,000 | 1,185,984 |
|
6.537%, 1/1/33 |
| 1,000,000 | 932,870 |
|
Inglewood California Pension Funding Revenue Bonds, 5.07%, |
|
|
|
|
9/1/20 |
| 660,000 | 608,230 |
|
Kansas State Finance Development Authority Revenue Bonds, |
|
|
|
|
4.152%, 5/1/11 |
| 1,500,000 | 1,509,975 |
|
King County Washington Housing Authority Revenue Bonds, |
|
|
|
|
6.375%, 12/31/46 |
| 500,000 | 509,415 |
|
Long Beach California Bond Finance Authority Revenue |
|
|
|
|
Bonds, 4.80%, 8/1/16 |
| 1,545,000 | 1,423,316 |
|
Los Angeles California Community Redevelopment Agency |
|
|
|
|
Tax Allocation Bonds, 4.60%, 7/1/10 |
| 840,000 | 842,260 |
|
Los Angeles California Department of Airports Revenue Bonds, |
|
|
|
|
5.404%, 5/15/16 |
| 1,380,000 | 1,327,877 |
|
Malibu California Integrated Water Quality Improvement |
|
|
|
|
COPs, 5.39%, 7/1/16 |
| 1,130,000 | 1,103,004 |
|
Michigan State Municipal Bond Authority Revenue Bonds, |
|
|
|
|
5.252%, 6/1/15 |
| 2,000,000 | 1,954,380 |
|
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 |
| 700,000 | 671,181 |
|
Moreno Valley California Public Financing Authority Revenue |
|
|
|
|
Bonds, 5.549%, 5/1/27 |
| 750,000 | 694,965 |
|
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, |
|
|
|
|
4.06%, 10/15/10 |
| 4,000,000 | 3,978,720 |
|
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|
|
|
5.252%, 9/1/16 |
| 1,925,000 | 1,928,118 |
|
5.263%, 9/1/16 |
| 815,000 | 826,483 |
|
5.383%, 9/1/16 |
| 3,000,000 | 2,919,450 |
|
Oceanside California PO Revenue Bonds, 5.04%, 8/15/17 |
| 750,000 | 694,913 |
|
Oregon State School Boards Association GO Bonds, Zero Coupon: |
|
|
|
|
6/30/12 |
| 4,000,000 | 3,352,600 |
|
6/30/14 |
| 1,500,000 | 1,117,905 |
|
Palm Springs California Community Redevelopment Agency |
|
|
|
|
Tax Allocation Bonds, 6.411%, 9/1/34 |
| 1,250,000 | 1,210,837 |
|
Pennsylvania State Convention Center Authority Revenue Bonds, |
|
|
|
|
4.97%, 9/1/11 |
| 3,000,000 | 3,065,220 |
|
Philadelphia Pennsylvania School District GO Bonds, 5.09%, |
|
|
|
|
7/1/20 |
| 750,000 | 724,838 |
|
Sacramento City California Financing Authority Tax Allocation |
|
|
|
|
Revenue Bonds, 5.54%, 12/1/20 |
| 500,000 | 467,585 |
|
San Bernardino California Joint Powers Financing Authority Tax |
|
|
|
|
Allocation Bonds, 5.625%, 5/1/16 |
| 500,000 | 494,965 |
|
|
|
|
|
|
|
| Principal |
|
|
Taxable Municipal Obligations - Cont'd |
| Amount | Value |
|
San Diego California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
|
5.66%, 9/1/16 |
| $1,320,000 | $1,337,252 |
|
San Diego County California PO Revenue Bonds, Zero Coupon, |
|
|
|
|
8/15/12 |
| 1,790,000 | 1,489,745 |
|
San Jose California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
|
5.46%, 8/1/35 |
| 1,000,000 | 880,120 |
|
San Ramon California Public Financing Authority Tax Allocation |
|
|
|
|
Bonds, 5.65%, 2/1/21 |
| 1,775,000 | 1,713,745 |
|
Santa Fe Springs California Community Development |
|
|
|
|
Commission Tax Allocation Bonds, 5.35%, 9/1/18 |
| 1,500,000 | 1,399,860 |
|
Schenectady New York Metroplex Development Authority |
|
|
|
|
Revenue Bonds, 5.29%, 8/1/14 |
| 170,000 | 173,750 |
|
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|
|
|
3.65%, 12/1/08 |
| 745,000 | 746,632 |
|
3.90%, 12/1/09 |
| 1,150,000 | 1,153,473 |
|
St. Paul Minnesota Sales Tax Revenue Bonds, 5.65%, 11/1/17 |
| 1,295,000 | 1,249,830 |
|
Utah State Housing Corp. Military Housing Revenue Bonds, |
|
|
|
|
5.392%, 7/1/50 |
| 1,500,000 | 1,330,305 |
|
Vacaville California Redevelopment Agency Housing Tax |
|
|
|
|
Allocation Bonds, 6.125%, 9/1/20 |
| 665,000 | 657,492 |
|
West Bend Wisconsin Joint School District GO Bonds, 5.46%, |
|
|
|
|
4/1/21 | 750,000 | 738,660 |
| |
West Contra Costa California Unified School District |
|
|
|
|
Revenue Bonds, 4.90%, 1/1/15 |
| 555,000 | 541,774 |
|
Wilkes-Barre Pennsylvania GO Bonds, 5.23%, 11/15/18 |
| 1,000,000 | 922,550 |
|
|
|
|
|
|
Total Taxable Municipal Obligations (Cost $67,042,369) |
|
| 66,095,915 |
|
|
|
|
|
|
High Social Impact Investments - 1.0% |
|
|
|
|
Calvert Social Investment Foundation Notes, 3.00%, 7/1/10 (b)(i)(r) |
| 5,016,666 | 4,847,805 |
|
|
|
|
|
|
Total High Social Impact Investments (Cost $5,016,666) |
|
| 4,847,805 |
|
|
|
|
|
|
Certificates of Deposit - 0.3% |
|
|
|
|
Alternative Federal Credit Union, 3.45%, 11/30/08 (b)(k) |
| 50,000 | 49,860 |
|
Deutsche Bank, 3.476%, 6/18/10 (r) |
| 1,000,000 | 997,757 |
|
First American Credit Union, 4.65%, 12/24/08 (b)(k) |
| 92,000 | 91,651 |
|
Native American Credit Union, 4.58%, 11/13/08 (b)(k) |
| 92,000 | 91,650 |
|
ShoreBank, 4.10%, 12/7/08 (b)(k) |
| 100,000 | 99,660 |
|
|
|
|
|
|
Total Certificates of Deposit (Cost $1,334,000) |
|
| 1,330,578 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $504,064,597) - 94.9% |
|
| 457,834,388 |
|
Other assets and liabilities, net - 5.1% |
|
| 24,708,584 |
|
Net Assets - 100% |
|
| $482,542,972 |
|
Futures | # of | Expiration | Underlying | Unrealized |
Purchased: |
|
|
|
|
5 Year U.S. Treasury Notes | 25 | 12/08 | $2,805,859 | ($16,491) |
Total Purchased |
|
|
| ($16,491) |
|
|
|
|
|
Sold: |
|
|
|
|
2 Year U.S. Treasury Notes | 283 | 12/08 | $60,402,813 | ($318,799) |
10 Year U.S. Treasury Notes | 25 | 12/08 | 2,865,625 | 32,025 |
Total Sold |
|
|
| ($286,774) |
See notes to schedule of investments and notes to financial statements.
Bond Portfolio
Schedule of Investments
September 30, 2008
|
| Principal |
|
Asset Backed Securities - 2.8% |
| Amount | Value |
ACLC Business Loan Receivables Trust, 3.138%, 10/15/21 (e)(r) |
| $214,955 | $202,851 |
AmeriCredit Automobile Receivables Trust: |
|
|
|
4.87%, 12/6/10 |
| 2,881,087 | 2,846,116 |
5.21%, 10/6/11 |
| 7,941,105 | 7,740,667 |
Capital One Auto Finance Trust, 5.33%, 11/15/10 |
| 8,394,411 | 8,337,353 |
Community Reinvestment Revenue Notes, 5.90%, 6/1/31 (e) |
| 2,000,000 | 2,047,720 |
Discover Card Master Trust, 3.488%, 9/17/12 (r) |
| 4,000,000 | 3,890,402 |
|
|
|
|
Total Asset Backed Securities (Cost $25,336,505) |
|
| 25,065,109 |
|
|
|
|
Collateralized Mortgage-Backed Obligations |
|
|
|
(Privately Originated) - 2.2% |
|
|
|
Bear Stearns Asset Backed Securities Trust, 5.00%, 1/25/34 (r) |
| 4,283,960 | 3,657,618 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
| 1,499,712 | 1,460,492 |
Citicorp Mortgage Securities, Inc., 0.076%, 10/25/33 (r) |
| 146,603,102 | 407,733 |
CS First Boston Mortgage Securities Corp., 4.647%, 12/25/33 (r) |
| 1,062,067 | 851,513 |
Impac CMB Trust: |
|
|
|
3.477%, 5/25/35 (r) |
| 1,266,072 | 855,608 |
3.527%, 8/25/35 (r) |
| 972,105 | 561,561 |
MASTR Alternative Loans Trust, 6.25%, 7/25/36 |
| 4,500,699 | 3,290,492 |
Residential Accredit Loans, Inc., 6.00%, 12/25/35 |
| 1,929,131 | 1,758,336 |
Residential Asset Securitization Trust, 6.25%, 11/25/36 |
| 2,250,525 | 1,893,445 |
Structured Asset Securities Corp., 5.00%, 6/25/35 |
| 4,160,849 | 3,598,307 |
Wells Fargo Mortgage Backed Securities Trust: |
|
|
|
Class 1A9, 0.193%, 10/25/36 |
| 67,890,459 | 339,452 |
Class 1A10, 0.193%, 10/25/36 |
| 100,000,000 | 781,250 |
|
|
|
|
Total Collateralized Mortgage-Backed Obligations |
|
|
|
(privately originated) (Cost $21,165,967) |
|
| 19,455,807 |
|
|
|
|
Commercial Mortgage-Backed Securities - 2.7% |
|
|
|
Banc of America Commercial Mortgage, Inc., 5.449%, 1/15/49 |
| 5,000,000 | 4,485,350 |
Cobalt CMBS Commercial Mortgage Trust, 5.935%, 5/15/46 (r) |
| 7,000,000 | 6,582,464 |
Crown Castle Towers LLC: |
|
|
|
4.643%, 6/15/35 (e) |
| 4,000,000 | 3,940,363 |
5.245%, 11/15/36 (e) |
| 4,000,000 | 3,899,458 |
Enterprise Mortgage Acceptance Co. LLC, 6.115%, 1/15/27 (e)(r) |
| 4,726,885 | 2,221,636 |
Global Signal: |
|
|
|
Trust II, 4.232%, 12/15/14 (e) |
| 1,000,000 | 989,453 |
Trust III, 5.361%, 2/15/36 (e) |
| 1,500,000 | 1,508,835 |
|
|
|
|
Total Commercial Mortgage-Backed Securities (Cost $24,705,730) |
|
| 23,627,559 |
|
|
|
|
|
| Principal |
|
Corporate Bonds - 39.9% |
| Amount | Value |
AgFirst Farm Credit Bank: |
|
|
|
8.393% to 12/15/11, floating rate thereafter to 12/15/16 (b)(r) |
| $1,000,000 | $730,000 |
6.585% to 06/15/12, floating rate thereafter to 6/29/49 (e)(r) |
| 6,000,000 | 3,591,900 |
7.30%, 10/14/49 (e) |
| 2,000,000 | 1,624,680 |
Alliance Mortgage Investments: |
|
|
|
12.61%, 6/1/10 (b)(r)(x)* |
| 481,681 | - |
15.36%, 12/1/10 (b)(r)(x)* |
| 207,840 | - |
American National Red Cross: |
|
|
|
5.33%, 11/15/08 |
| 3,000,000 | 3,008,640 |
5.32%, 11/15/09 |
| 2,500,000 | 2,552,900 |
5.316%, 11/15/10 |
| 2,410,000 | 2,484,011 |
5.392%, 11/15/12 |
| 2,000,000 | 2,072,100 |
5.567%, 11/15/17 |
| 2,000,000 | 2,034,200 |
ANZ National International Ltd., 6.20%, 7/19/13 (e) |
| 4,000,000 | 3,970,840 |
APL Ltd., 8.00%, 1/15/24 |
| 1,185,000 | 1,019,100 |
Atlantic Marine Corp. Communities LLC, 6.158%, |
|
|
|
12/1/51 (b)(e) |
| 2,500,000 | 1,946,000 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)* |
| 3,500,000 | 175,000 |
Aurora Military Housing LLC, 5.32%, 12/15/20 (e) |
| 3,340,000 | 3,342,104 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
| 2,655,000 | 2,561,494 |
BAC Capital Trust XV, 3.61%, 6/1/56 (r) |
| 7,000,000 | 5,240,445 |
Bank of America, 3.404%, 5/12/10 (r) |
| 22,000,000 | 21,712,108 |
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (b)(e) |
| 4,999,511 | 5,104,401 |
BF Saul, 7.50%, 3/1/14 |
| 1,000,000 | 851,250 |
CAM US Finance SA Sociedad Unipersonal, 2.951%, |
|
|
|
2/1/10 (e)(r) |
| 2,000,000 | 1,902,118 |
Camp Pendleton & Quantico Housing LLC: |
|
|
|
5.937%, 10/1/43 (e) |
| 300,000 | 305,322 |
6.165%, 10/1/50 (b)(e) |
| 1,000,000 | 778,000 |
Cardinal Health, Inc., 3.053%, 10/2/09 (r) |
| 1,250,000 | 1,216,978 |
Chesapeake Energy Corp.: |
|
|
|
6.50%, 8/15/17 |
| 600,000 | 528,000 |
7.25%, 12/15/18 |
| 10,500,000 | 9,686,250 |
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
| 1,000,000 | 796,524 |
CIT Group, Inc.: |
|
|
|
3.213%, 12/19/08 (r) |
| 970,000 | 906,950 |
2.927%, 8/17/09 (r) |
| 1,000,000 | 825,000 |
6.10% to 3/15/17, floating rate thereafter to 3/15/67 (r) |
| 2,725,000 | 994,625 |
Compass Bancshares, Inc., 3.391%, 10/9/09 (e)(r) |
| 2,000,000 | 1,991,582 |
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter |
|
|
|
to 5/29/49 (e)(r) |
| 18,400,000 | 12,406,678 |
CVS Caremark Corp.: |
|
|
|
4.317%, 9/10/10 (r) |
| 4,000,000 | 3,917,486 |
6.302% to 6/1/12, floating rate thereafter to 6/1/37 (r) |
| 3,000,000 | 2,395,518 |
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) |
| 1,000,000 | 1,072,107 |
Discover Financial Services, 3.349%, 6/11/10 (r) |
| 6,500,000 | 5,246,839 |
Enterprise Products Operating LP, 7.034% to 1/15/18, floating |
|
|
|
rate thereafter to 1/15/68 (r) |
| 13,805,000 | 11,674,470 |
ERAC USA Finance Co., 5.30%, 11/15/08 (e) |
| 1,000,000 | 1,000,832 |
Fort Knox Military Housing, 5.815%, 2/15/52 (e) |
| 3,500,000 | 2,874,235 |
Giants Stadium LLC, 10.00%, 4/1/37 (e)(r) |
| 4,850,000 | 4,850,000 |
|
|
|
|
|
| Principal |
|
Corporate Bonds - Cont'd |
| Amount | Value |
Glitnir Banki HF: |
|
|
|
2.951%, 10/15/08 (e)(g)(r)(z) |
| $8,000,000 | $7,937,154 |
3.046%, 4/20/10 (e)(r)(z) |
| 4,000,000 | 2,886,228 |
3.226%, 1/21/11 (e)(r)(z) |
| 1,500,000 | 986,388 |
6.375%, 9/25/12 (b)(e)(z) |
| 2,000,000 | 1,267,500 |
6.693% to 6/15/11, floating rate thereafter to 6/15/16 (e)(r)(z) |
| 750,000 | 346,636 |
GMAC Commercial Mortgage Asset Corp., 6.107%, 8/10/52 (e) |
| 5,000,000 | 4,946,750 |
Goldman Sachs Group, Inc.: |
|
|
|
3.129%, 7/23/09 (r) |
| 1,920,000 | 1,785,600 |
3.27%, 12/23/09 (r) |
| 3,000,000 | 2,996,237 |
3.869%, 6/28/10 (r) |
| 2,500,000 | 2,281,250 |
Great River Energy: |
|
|
|
5.829%, 7/1/17 (e) |
| 3,492,245 | 3,531,497 |
6.254%, 7/1/38 (e) |
| 5,500,000 | 5,131,995 |
HBOS plc: |
|
|
|
6.657% to 5/21/37, floating rate thereafter to 5/29/49 (e)(r) |
| 1,000,000 | 565,588 |
6.413% to 10/1/35, floating rate thereafter to 9/29/49 (e)(r) |
| 1,650,000 | 930,666 |
Hewlett-Packard Co., 3.21%, 9/3/09 (r) |
| 3,260,000 | 3,250,168 |
Home Depot, Inc., 2.944%, 12/16/09 (r) |
| 4,000,000 | 3,758,763 |
HRPT Properties Trust, 3.419%, 3/16/11 (r) |
| 6,500,000 | 6,011,468 |
Huntington National Bank, 4.65%, 6/30/09 |
| 2,000,000 | 1,958,953 |
Independence Community Bank Corp., 3.75% to 4/1/09, floating |
|
|
|
rate thereafter to 4/1/14 (r) |
| 4,930,000 | 3,946,325 |
Irwin Land LLC, 4.51%, 12/15/15 (e) |
| 2,380,000 | 2,192,337 |
John Deere Capital Corp.: |
|
|
|
3.261%, 2/26/10 (r) |
| 4,000,000 | 3,927,478 |
3.485%, 1/18/11 (r) |
| 9,000,000 | 8,771,112 |
JPMorgan Chase & Co.: |
|
|
|
2.36%, 10/28/08 (r) |
| 6,725,000 | 6,727,003 |
7.00%, 11/15/09 |
| 4,000,000 | 4,108,250 |
3.291%, 1/22/10 (r) |
| 3,000,000 | 2,986,496 |
Kaupthing Bank HF: |
|
|
|
3.491%, 1/15/10 (e)(r)(z) |
| 1,000,000 | 661,616 |
5.75%, 10/4/11 (b)(e)(z) |
| 7,000,000 | 4,497,500 |
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 |
| 930,000 | 829,697 |
Koninklijke Philips Electronics NV, 3.968%, 3/11/11 (r) |
| 7,000,000 | 6,959,296 |
Leucadia National Corp.: |
|
|
|
7.00%, 8/15/13 |
| 3,895,000 | 3,661,300 |
8.125%, 9/15/15 |
| 6,000,000 | 5,859,683 |
LL & P Wind Energy, Inc. Washington Revenue Bonds, 6.192%, |
|
|
|
12/1/27 | 5,000,000 | 4,918,000 | |
Lumbermens Mutual Casualty Co.: |
|
|
|
9.15%, 7/1/26 (e)(m)* |
| 2,942,000 | 29,420 |
8.30%, 12/1/37 (e)(m)* |
| 3,500,000 | 35,000 |
M&I Marshall & Ilsley Bank, 3.083%, 12/4/12 (r) |
| 1,000,000 | 801,339 |
M&T Bank Corp., 6.625%, 12/4/17 |
| 1,000,000 | 838,418 |
McGuire Air Force Base Military Housing Project, 5.611%, |
|
|
|
9/15/51 (e) |
| 1,500,000 | 1,194,435 |
Mid-Atlantic Family Military Communities LLC, 5.24%, |
|
|
|
8/1/50 (e) |
| 1,250,000 | 942,875 |
Nationwide Health Properties, Inc.: |
|
|
|
6.50%, 7/15/11 |
| 2,500,000 | 2,503,315 |
6.90%, 10/1/37 |
| 1,300,000 | 1,352,251 |
|
|
|
|
|
| Principal |
|
Corporate Bonds - Cont'd |
| Amount | Value |
Ohana Military Communities LLC: |
|
|
|
5.675%, 10/1/26 (e) |
| $5,580,000 | $4,985,618 |
6.00%, 10/1/51 (e) |
| 2,000,000 | 1,733,300 |
OPTI Canada, Inc., 7.875%, 12/15/14 |
| 1,000,000 | 907,500 |
Orkney Re II plc, Series B, 6.096%, 12/21/35 (b)(e)(r)(y) |
| 1,700,000 | 305,048 |
Pacific Beacon LLC, 5.628%, 7/15/51 (e) |
| 2,750,000 | 2,162,242 |
Pacific Pilot Funding Ltd., 3.536%, 10/20/16 (e)(r) |
| 960,133 | 945,762 |
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) |
| 1,500,000 | 1,442,215 |
Pioneer Natural Resources Co.: |
|
|
|
5.875%, 7/15/16 |
| 5,000,000 | 4,470,505 |
6.65%, 3/15/17 |
| 8,000,000 | 7,201,388 |
7.20%, 1/15/28 |
| 1,000,000 | 860,069 |
Preferred Term Securities IX Ltd., 3.558%, 4/3/33 (e)(r) |
| 765,236 | 579,666 |
ProLogis : |
|
|
|
3.058%, 8/24/09 (r) |
| 10,000,000 | 9,700,466 |
6.625%, 5/15/18 |
| 2,450,000 | 2,104,772 |
Reed Elsevier Capital, Inc., 3.149%, 6/15/10 (r) |
| 3,500,000 | 3,421,072 |
Richmond County Capital Corp., 5.963%, 7/15/49 (b)(e)(r) |
| 2,000,000 | 1,240,000 |
Roper Industries, Inc., 6.625%, 8/15/13 |
| 5,000,000 | 5,070,204 |
Rouse Co., 8.00%, 4/30/09 |
| 1,000,000 | 942,482 |
Royal Bank of Scotland Group plc, 7.64% to 9/29/17, floating rate |
|
|
|
thereafter to 3/31/49 (b)(r) |
| 13,000,000 | 8,320,000 |
Salvation Army, 5.46%, 9/1/16 |
| 310,000 | 313,801 |
SLM Corp., 2.94%, 7/27/09 (r) |
| 2,000,000 | 1,779,949 |
Southern Union Co., 6.089%, 2/16/10 |
| 2,000,000 | 2,003,905 |
Sovereign Bancorp, Inc., 3.09%, 3/1/09 (r) |
| 4,770,000 | 3,898,006 |
Sovereign Bank, 4.511%, 8/1/13 (r) |
| 1,000,000 | 660,000 |
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% thereafter |
|
|
|
to 10/15/97 (b)(e)(r) |
| 1,000,000 | 161,620 |
TIERS Trust, 8.45%, 12/1/17 (b)(e)(n)* |
| 439,239 | 4,392 |
Toll Road Investors Partnership II LP, Zero Coupon: |
|
|
|
2/15/18 (e) |
| 3,000,000 | 1,845,133 |
2/15/28 (b)(e) |
| 3,300,000 | 566,214 |
2/15/43 (e) |
| 44,500,000 | 8,435,236 |
2/15/45 (b)(e) |
| 62,515,939 | 7,295,610 |
Wachovia Bank, 3.704%, 5/14/10 (r) |
| 6,000,000 | 4,911,384 |
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate |
|
|
|
thereafter to 3/15/42 (r) |
| 13,650,000 | 5,733,000 |
Wells Fargo Bank, 6.734%, 9/1/47 (e) |
| 3,000,000 | 3,147,300 |
Wells Fargo Capital XIII, 7.70% to 3/26/13, floating rate |
|
|
|
thereafter to 12/29/49 (r) |
| 2,750,000 | 2,398,027 |
Weyerhaeuser Co., 4.198%, 9/24/09 (r) |
| 7,000,000 | 6,878,800 |
Whitney National Bank, 5.875%, 4/1/17 |
| 500,000 | 474,312 |
|
|
|
|
Total Corporate Bonds (Cost $402,856,361) |
|
| 354,605,672 |
|
|
|
|
|
|
|
|
|
| Principal |
|
Taxable Municipal Obligations - 19.2% |
| Amount | Value |
Adams-Friendship Area Wisconsin School District GO Bonds: |
|
|
|
5.28%, 3/1/14 |
| $155,000 | $158,514 |
5.32%, 3/1/15 |
| 165,000 | 167,726 |
5.47%, 3/1/18 |
| 190,000 | 188,461 |
Alameda California Corridor Transportation Authority Revenue |
|
|
|
Bonds, Zero Coupon: |
|
|
|
10/1/08 |
| 9,545,000 | 9,543,950 |
10/1/11 |
| 11,655,000 | 10,307,099 |
Anaheim California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
5.759%, 2/1/18 |
| 1,500,000 | 1,478,085 |
Baltimore Maryland General Revenue Bonds, 5.27%, 7/1/18 |
| 1,250,000 | 1,198,813 |
Brownsville Texas Utility System Revenue Bonds, 5.204%, 9/1/17 |
| 260,000 | 245,749 |
California Statewide Communities Development Authority |
|
|
|
Revenue Bonds: |
|
|
|
Zero Coupon, 6/1/10 |
| 1,415,000 | 1,329,647 |
Zero Coupon, 6/1/12 |
| 1,530,000 | 1,292,330 |
Zero Coupon, 6/1/13 |
| 1,585,000 | 1,264,909 |
5.58%, 8/1/13 |
| 1,085,000 | 1,116,823 |
2004 Series A-2, Zero Coupon, 6/1/14 |
| 1,645,000 | 1,237,928 |
2006 Series A-2, Zero Coupon, 6/1/14 |
| 3,305,000 | 2,487,145 |
5.01%, 8/1/15 |
| 700,000 | 686,903 |
Zero Coupon, 6/1/19 |
| 2,910,000 | 1,508,166 |
Camarillo California Community Development Commission Tax |
|
|
|
Allocation Bonds, 5.78%, 9/1/26 |
| 970,000 | 899,539 |
Canyon Texas Regional Water Authority Revenue Bonds, |
|
|
|
6.10%, 8/1/21 |
| 750,000 | 735,563 |
Chicago Illinois GO Bonds, 5.20%, 1/1/11 |
| 4,770,000 | 4,827,192 |
College Park Georgia Revenue Bonds, 5.581%, 1/1/10 |
| 4,350,000 | 4,416,424 |
Commonwealth Pennsylvania Financing Authority Revenue Bonds, |
|
|
|
5.631%, 6/1/23 |
| 2,790,000 | 2,897,833 |
Cook County Illinois School District GO Bonds, Zero Coupon: |
|
|
|
12/1/14 |
| 1,975,000 | 1,426,128 |
12/1/19 |
| 280,000 | 136,735 |
12/1/20 |
| 700,000 | 317,324 |
12/1/21 |
| 700,000 | 294,336 |
12/1/24 |
| 620,000 | 215,989 |
Dallas-Fort Worth Texas International Airport Facilities |
|
|
|
Improvement Corp. Revenue Bonds, 6.60%, 11/1/12 |
| 1,635,000 | 1,665,869 |
Detroit Michigan GO Bonds, 5.15%, 4/1/25 |
| 2,500,000 | 2,154,625 |
Elkhart Indiana Community Schools GO Bonds, 5.70%, 7/5/15 |
| 1,435,000 | 1,409,486 |
Escondido California Joint Powers Financing Authority Lease |
|
|
|
Revenue Bonds, 5.53%, 9/1/18 |
| 1,250,000 | 1,220,825 |
Fairfield California PO Revenue Bonds, 5.22%, 6/1/20 |
| 845,000 | 790,185 |
Florida State First Governmental Financing Commission Revenue |
|
|
|
Bonds, 5.30%, 7/1/19 |
| 1,340,000 | 1,264,330 |
Georgetown University Washington DC Revenue Bonds, 7.22%, |
|
|
|
4/1/19 |
| 15,000,000 | 14,962,500 |
Grant County Washington Public Utility District No. 2 Revenue |
|
|
|
Bonds, 5.17%, 1/1/15 |
| 895,000 | 877,154 |
Illinois State MFH Development Authority Revenue Bonds: |
|
|
|
5.60%, 12/1/15 |
| 1,150,000 | 1,185,984 |
6.537%, 1/1/33 |
| 3,330,000 | 3,106,457 |
|
|
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd |
| Amount | Value |
Inglewood California Pension Funding Revenue Bonds, 5.07%, |
|
|
|
9/1/20 | $1,000,000 | $921,560 | |
Jackson & Williamson Counties Illinois GO Bonds, Zero Coupon: |
|
|
|
12/1/18 |
| 180,000 | 99,680 |
12/1/19 |
| 180,000 | 92,444 |
12/1/20 |
| 180,000 | 86,245 |
12/1/22 |
| 180,000 | 75,224 |
12/1/23 |
| 180,000 | 70,637 |
12/1/24 |
| 180,000 | 66,663 |
Johnson City Tennessee Public Building Authority Revenue Bonds, |
|
|
|
6.20%, 9/1/21 |
| 2,295,000 | 2,316,275 |
Kansas State Finance Development Authority Revenue Bonds, |
|
|
|
4.372%, 5/1/12 |
| 2,250,000 | 2,248,155 |
King County Washington Housing Authority Revenue Bonds, |
|
|
|
6.375%, 12/31/46 |
| 1,000,000 | 1,018,830 |
Lancaster Pennsylvania Parking Authority Revenue Bonds, 5.76%, |
|
|
|
12/1/17 |
| 655,000 | 643,072 |
Lawrence Township Indiana School District GO Bonds, 5.80%, |
|
|
|
7/5/18 |
| 1,095,000 | 1,108,786 |
Long Beach California Bond Finance Authority Revenue Bonds: |
|
|
|
4.66%, 8/1/15 |
| 1,535,000 | 1,429,070 |
4.90%, 8/1/17 |
| 1,715,000 | 1,561,216 |
Los Angeles California Community Redevelopment Agency |
|
|
|
Tax Allocation Bonds, 5.27%, 7/1/13 |
| 970,000 | 958,700 |
Malibu California Integrated Water Quality Improvement COPs, |
|
|
|
5.64%, 7/1/21 |
| 1,160,000 | 1,123,031 |
Michigan State Municipal Bond Authority Revenue Bonds, |
|
|
|
5.252%, 6/1/15 |
| 4,000,000 | 3,908,760 |
Monrovia California Redevelopment Agency Tax Allocation |
|
|
|
Bonds, 5.30%, 5/1/17 |
| 1,160,000 | 1,167,238 |
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 |
| 880,000 | 843,770 |
Moreno Valley California Public Financing Authority Revenue |
|
|
|
Bonds, 5.549%, 5/1/27 |
| 1,500,000 | 1,389,930 |
Nekoosa Wisconsin School District GO Bonds, 5.74%, 4/1/16 |
| 445,000 | 438,040 |
Nevada State Department of Business & Industry Lease Revenue |
|
|
|
Bonds, 5.32%, 6/1/17 |
| 1,155,000 | 1,166,562 |
New Jersey State Economic Development Authority State Pension |
|
|
|
Funding Revenue Bonds, Zero Coupon, 2/15/12 |
| 2,822,000 | 2,402,086 |
New York City IDA Revenue Bonds, 6.027%, 1/1/46 |
| 1,885,000 | 1,850,335 |
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, |
|
|
|
3.60%, 10/15/08 |
| 715,000 | 715,393 |
Oakland California PO Revenue Bonds, Zero Coupon, 12/15/20 |
| 1,490,000 | 690,600 |
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|
|
5.263%, 9/1/16 |
| 1,625,000 | 1,647,896 |
5.383%, 9/1/16 |
| 5,565,000 | 5,415,580 |
5.411%, 9/1/21 |
| 2,270,000 | 2,192,820 |
Oceanside California PO Revenue Bonds, 5.04%, 8/15/17 |
| 1,000,000 | 926,550 |
Oklahoma City Oklahoma Airport Trust Revenue Bonds, 5.05%, |
|
|
|
10/1/11 |
| 1,455,000 | 1,472,023 |
Oregon State School Boards Association GO Bonds, Zero Coupon: |
|
|
|
6/30/12 |
| 7,000,000 | 5,867,050 |
6/30/14 |
| 2,500,000 | 1,863,175 |
6/30/18 |
| 1,195,000 | 659,282 |
|
|
|
|
|
|
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd |
| Amount | Value |
Palm Springs California Community Redevelopment Agency Tax |
|
|
|
Allocation Bonds, 6.411%, 9/1/34 |
| $3,355,000 | $3,249,888 |
Pennsylvania State Convention Center Authority Revenue Bonds, |
|
|
|
4.97%, 9/1/11 |
| 6,000,000 | 6,130,440 |
Philadelphia Pennsylvania School District GO Bonds, 5.09%, |
|
|
|
7/1/20 | 1,000,000 | 966,450 | |
Pierce County Washington Cascade Christian Schools Revenue |
|
|
|
Bonds, 7.65%, 12/1/09 |
| 320,000 | 298,400 |
Placer County California Redevelopment Agency Tax Allocation |
|
|
|
Bonds, 5.95%, 8/1/22 |
| 1,040,000 | 1,010,339 |
Pomona California Public Finance Authority Tax Allocation |
|
|
|
Revenue Bonds, 5.23%, 2/1/16 |
| 2,080,000 | 2,116,962 |
Redlands California PO Revenue Bonds, Zero Coupon: |
|
|
|
8/1/18 | 120,000 | 66,346 | |
8/1/19 | 135,000 | 69,117 | |
8/1/20 |
| 145,000 | 68,884 |
8/1/21 |
| 160,000 | 70,678 |
Sacramento City California Financing Authority Tax Allocation |
|
|
|
Revenue Bonds, 5.54%, 12/1/20 |
| 1,000,000 | 935,170 |
San Bernardino California Joint Powers Financing Authority Tax |
|
|
|
Allocation Bonds, 5.625%, 5/1/16 |
| 1,000,000 | 989,930 |
San Diego California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
5.66%, 9/1/16 |
| 2,650,000 | 2,684,635 |
San Diego County California PO Revenue Bonds, Zero Coupon, |
|
|
|
8/15/12 | 4,000,000 | 3,329,040 | |
San Jose California Redevelopment Agency Tax Allocation Bonds, |
|
|
|
5.10%, 8/1/20 |
| 2,555,000 | 2,279,443 |
Santa Fe Springs California Community Development Commission |
|
|
|
Tax Allocation Bonds, 5.35%, 9/1/18 |
| 2,500,000 | 2,333,100 |
Schenectady New York Metroplex Development Authority |
|
|
|
Revenue Bonds, 5.33%, 8/1/16 |
| 445,000 | 432,131 |
Secaucus New Jersey Municipal Utilities Authority Revenue |
|
|
|
Bonds, 4.20%, 12/1/10 |
| 1,235,000 | 1,247,301 |
Shawano-Gresham Wisconsin School District GO Bonds, |
|
|
|
5.94%, 3/1/17 |
| 825,000 | 834,875 |
Sonoma County California PO Revenue Bonds, 6.625%, |
|
|
|
6/1/13 | 2,395,000 | 2,570,314 | |
St. Paul Minnesota Sales Tax Revenue Bonds, 6.125%, 11/1/25 |
| 3,475,000 | 3,418,809 |
Thorp Wisconsin School District GO Bonds, 6.15%, 4/1/26 |
| 560,000 | 572,813 |
Utah State Housing Corp. Military Housing Revenue Bonds, |
|
|
|
5.392%, 7/1/50 |
| 2,000,000 | 1,773,740 |
Vacaville California Redevelopment Agency Housing Tax |
|
|
|
Allocation Bonds, 6.00%, 9/1/18 |
| 1,185,000 | 1,162,153 |
Vigo County Indiana Redevelopment Authority Economic |
|
|
|
Development Revenue Bonds, 4.96%, 8/1/14 |
| 530,000 | 514,551 |
West Bend Wisconsin Joint School District GO Bonds, 5.46%, |
|
|
|
4/1/21 | 1,270,000 | 1,250,798 | |
West Contra Costa California Unified School District Revenue Bonds: |
|
|
|
4.71%, 1/1/11 |
| 455,000 | 459,036 |
4.76%, 1/1/12 |
| 475,000 | 474,117 |
4.82%, 1/1/13 |
| 500,000 | 496,740 |
|
|
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd |
| Amount | Value |
Wilkes-Barre Pennsylvania GO Bonds, 5.33%, 11/15/20 |
| $1,655,000 | $1,525,447 |
|
|
|
|
Total Taxable Municipal Obligations (Cost $172,376,944) |
|
| 170,785,051 |
|
|
|
|
U.S. Government Agencies |
|
|
|
and Instrumentalities - 1.0% |
|
|
|
Fannie Mae, 5.50%, 12/25/16 |
| 1,999,327 | 2,030,402 |
Freddie Mac, 4.125%, 7/12/10 |
| 3,000,000 | 3,051,189 |
Government National Mortgage Association, 5.50%, 1/16/32 |
| 4,582,858 | 606,672 |
Small Business Administration: |
|
|
|
5.038%, 3/10/15 |
| 892,480 | 871,960 |
4.94%, 8/10/15 |
| 1,831,738 | 1,793,752 |
U.S. Department of Housing and Urban Development, 3.44%, |
|
|
|
8/1/11 | 500,000 | 498,084 | |
|
|
|
|
Total U.S. Government Agencies and |
|
|
|
Instrumentalities (Cost $8,817,672) |
|
| 8,852,059 |
|
|
|
|
High Social Impact Investments - 0.2% |
|
|
|
Calvert Social Investment Foundation Notes, 3.00%, 7/1/09 (b)(i)(r) |
| 2,087,392 | 2,017,130 |
|
|
|
|
Total High Social Impact Investments (Cost $2,087,392) |
|
| 2,017,130 |
|
|
|
|
Certificates of Deposit - 1.1% |
|
|
|
Deutsche Bank, 3.476%, 6/18/10 (r) |
| 10,000,000 | 9,977,570 |
|
|
|
|
Total Certificates Of Deposit (Cost $10,000,000) |
|
| 9,977,570 |
|
|
|
|
Equity Securities - 0.4% |
| Shares |
|
Conseco, Inc. * |
| 140,439 | 494,345 |
MFH Financial Trust I, Preferred (b)(e) |
| 20,000 | 767,460 |
Roslyn Real Estate Asset Corp., Preferred (b)(e) |
| 17 | 1,122,000 |
Woodbourne Capital: |
|
|
|
Trust I, Preferred (b)(e) |
| 625,000 | 281,250 |
Trust II, Preferred (b)(e) |
| 625,000 | 281,250 |
Trust III, Preferred (b)(e) |
| 625,000 | 281,250 |
Trust IV, Preferred (b)(e) |
| 625,000 | 281,250 |
|
|
|
|
Total Equity Securities (Cost $8,782,079) |
|
| 3,508,805 |
|
|
|
|
TOTAL INVESTMENTS (Cost $676,128,650) - 69.5% |
|
| 617,894,762 |
Other assets and liabilities, net - 30.5% |
|
| 271,217,361 |
Net Assets - 100% |
|
| $889,112,123 |
|
|
| Underlying | Unrealized |
| # of | Expiration | Face Amount | Appreciation |
Futures | Contracts | Date | at Value | (Depreciation) |
Purchased: |
|
|
|
|
5 Year U.S. Treasury Notes | 191 | 12/08 | $21,436,766 | $66,862 |
10 Year U.S. Treasury Notes | 990 | 12/08 | 113,478,750 | (1,133,204) |
U.S. Treasury Bonds | 29 | 12/08 | 3,397,984 | (13,184) |
Total Purchased |
|
|
| ($1,079,526) |
|
|
|
|
|
Sold: |
|
|
|
|
2 Year U.S. Treasury Notes | 485 | 12/08 | $103,517,188 | ($546,353) |
Total Sold |
|
|
| ($546,353) |
See notes to schedule of investments and notes to financial statements.
EQUITY PORTFOLIO
Schedule of Investments
September 30, 2008
Equity Securities - 96.1% |
| Shares | Value |
|
Air Freight & Logistics - 1.5% |
|
|
|
|
United Parcel Service, Inc., Class B |
| 269,400 | $16,942,566 |
|
|
|
|
|
|
Capital Markets - 7.7% |
|
|
|
|
Bank of New York Mellon Corp. |
| 700,000 | 22,806,000 |
|
Charles Schwab Corp. |
| 1,051,000 | 27,326,000 |
|
SEI Investments Co. |
| 1,060,000 | 23,532,000 |
|
T. Rowe Price Group, Inc. |
| 213,000 | 11,440,230 |
|
|
|
| 85,104,230 |
|
|
|
|
|
|
Chemicals - 4.2% |
|
|
|
|
Air Products & Chemicals, Inc. |
| 350,000 | 23,971,500 |
|
Ecolab, Inc. |
| 468,700 | 22,741,324 |
|
|
|
| 46,712,824 |
|
|
|
|
|
|
Commercial Banks - 2.1% |
|
|
|
|
SunTrust Banks, Inc. |
| 127,000 | 5,713,730 |
|
Wells Fargo & Co. |
| 281,500 | 10,564,695 |
|
Zions Bancorp. |
| 175,000 | 6,772,500 |
|
|
|
| 23,050,925 |
|
|
|
|
|
|
Communications Equipment - 5.9% |
|
|
|
|
Cisco Systems, Inc.* |
| 2,215,000 | 49,970,400 |
|
QUALCOMM, Inc. |
| 369,000 | 15,855,930 |
|
|
|
| 65,826,330 |
|
|
|
|
|
|
Computers & Peripherals - 6.0% |
|
|
|
|
Apple, Inc.* |
| 264,500 | 30,063,070 |
|
Hewlett-Packard Co. |
| 796,000 | 36,807,040 |
|
|
|
| 66,870,110 |
|
|
|
|
|
|
Electrical Equipment - 3.4% |
|
|
|
|
Cooper Industries Ltd. |
| 230,000 | 9,188,500 |
|
Emerson Electric Co. |
| 700,000 | 28,553,000 |
|
|
|
| 37,741,500 |
|
|
|
|
|
|
Energy Equipment & Services - 4.4% |
|
|
|
|
FMC Technologies, Inc.* |
| 701,000 | 32,631,550 |
|
Smith International, Inc. |
| 281,000 | 16,477,840 |
|
|
|
| 49,109,390 |
|
|
|
|
|
|
Food & Staples Retailing - 5.9% |
|
|
|
|
CVS Caremark Corp. |
| 1,175,500 | 39,567,330 |
|
SYSCO Corp. |
| 830,000 | 25,588,900 |
|
|
|
| 65,156,230 |
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Gas Utilities - 2.1% |
|
|
|
|
Questar Corp. |
| 560,000 | $22,915,200 |
|
|
|
|
|
|
Health Care Equipment & Supplies - 11.6% |
|
|
|
|
Intuitive Surgical, Inc.* |
| 54,400 | 13,109,312 |
|
Medtronic, Inc. |
| 850,000 | 42,585,000 |
|
St. Jude Medical, Inc.* |
| 488,000 | 21,223,120 |
|
Stryker Corp. |
| 566,500 | 35,292,950 |
|
Varian Medical Systems, Inc.* |
| 280,000 | 15,996,400 |
|
|
|
| 128,206,782 |
|
|
|
|
|
|
Health Care Providers & Services - 3.4% |
|
|
|
|
Coventry Health Care, Inc.* |
| 374,800 | 12,199,740 |
|
Laboratory Corp. of America Holdings* |
| 362,300 | 25,179,850 |
|
|
|
| 37,379,590 |
|
|
|
|
|
|
Household Products - 3.9% |
|
|
|
|
Colgate-Palmolive Co. |
| 172,000 | 12,960,200 |
|
Procter & Gamble Co. |
| 439,000 | 30,593,910 |
|
|
|
| 43,554,110 |
|
|
|
|
|
|
Insurance - 3.8% |
|
|
|
|
Aflac, Inc. |
| 486,000 | 28,552,500 |
|
Principal Financial Group, Inc. |
| 318,000 | 13,829,820 |
|
|
|
| 42,382,320 |
|
|
|
|
|
|
Internet Software & Services - 1.7% |
|
|
|
|
Google, Inc.* |
| 45,500 | 18,223,660 |
|
|
|
|
|
|
Life Sciences - Tools & Services - 1.2% |
|
|
|
|
Pharmaceutical Product Development, Inc. |
| 330,000 | 13,645,500 |
|
|
|
|
|
|
Machinery - 5.2% |
|
|
|
|
Danaher Corp. |
| 286,700 | 19,896,980 |
|
Deere & Co. |
| 393,000 | 19,453,500 |
|
Dover Corp. |
| 407,000 | 16,503,850 |
|
John Bean Technologies Corp.* |
| 151,416 | 1,916,927 |
|
|
|
| 57,771,257 |
|
|
|
|
|
|
Media - 2.1% |
|
|
|
|
Omnicom Group, Inc. |
| 614,300 | 23,687,408 |
|
|
|
|
|
|
Multiline Retail - 4.8% |
|
|
|
|
Kohl's Corp.* |
| 855,000 | 39,398,400 |
|
Target Corp. |
| 275,000 | 13,488,750 |
|
|
|
| 52,887,150 |
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 2.8% |
|
|
|
|
EOG Resources, Inc. (t) |
| 351,000 | 31,400,460 |
|
|
|
|
|
|
Pharmaceuticals - 3.6% |
|
|
|
|
Novartis AG (ADR) |
| 750,000 | 39,630,000 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Semiconductors & Semiconductor Equipment - 2.3% |
|
|
|
|
Intel Corp. |
| 1,346,600 | $25,221,818 |
|
|
|
|
|
|
Software - 2.4% |
|
|
|
|
Microsoft Corp. |
| 1,000,000 | 26,690,000 |
|
|
|
|
|
|
Specialty Retail - 3.5% |
|
|
|
|
Staples, Inc. |
| 1,737,000 | 39,082,500 |
|
|
|
|
|
|
Venture Capital - 0.6% |
|
|
|
|
20/20 Gene Systems, Inc.: |
|
|
|
|
Common Stock (b)(i)* |
| 43,397 | 25,604 |
|
Warrants (strike price $.01/share, expires 8/27/13) (b)(i)* |
| 30,000 | 17,400 |
|
Chesapeake PERL, Inc.: |
|
|
|
|
Series A-2 Preferred (b)(i)* |
| 240,000 | 3,000 |
|
Series A-2 Preferred Warrants (strike price $1.25/share, |
|
|
|
|
expires 7/31/09) (b)(i)* |
| 45,000 | - |
|
Series A-2 Preferred Warrants (strike price $1.25/share, |
|
|
|
|
expires 12/27/10) (b)(i)* |
| 75,000 | - |
|
Cylex, Inc.: |
|
|
|
|
Common Stock (b)(i)* |
| 285,706 | - |
|
Series B Preferred (b)(i)* |
| 1,134,830 | 273,435 |
|
Series C-1 Preferred (b)(i)* |
| 2,542,915 | 897,140 |
|
Digital Directions International, Inc. (b)(i)* |
| 50,000 | 75,000 |
|
Global Resource Options, Inc.: |
|
|
|
|
Series A Preferred (a)(b)(i)* |
| 750,000 | 2,301,828 |
|
Series B Preferred (a)(b)(i)* |
| 244,371 | 750,000 |
|
H2Gen Innovations, Inc.: |
|
|
|
|
Common Stock (b)(i)* |
| 2,077 | 1,184 |
|
Common Warrants (strike price $1.00/share, expires |
|
|
|
|
10/31/13) (b)(i)* |
| 27,025 | - |
|
Series A Preferred (b)(i)* |
| 69,033 | 111,143 |
|
Series A Preferred, Warrants (strike price $1.00/share, |
|
|
|
|
expires 10/10/12) (b)(i)* |
| 1,104 | 674 |
|
Series B Preferred (b)(i)* |
| 161,759 | 260,432 |
|
Series C Preferred (b)(i)* |
| 36,984 | 59,544 |
|
Marrone Organic Innovations, Inc.: |
|
|
|
|
Series A Preferred (b)(i)* |
| 240,761 | 371,947 |
|
Series B Preferred (b)(i)* |
| 181,244 | 280,000 |
|
NeoDiagnostix, Inc.: |
|
|
|
|
Series AE Convertible Preferred (a)(b)(i)* |
| 300,000 | 300,000 |
|
Series AE Convertible Preferred Warrants (strike price |
|
|
|
|
$1.10/share, expires 9/10/18) (a)(b)(i)* |
| 300,000 | - |
|
New Day Farms, Series A Preferred (a)(b)(i)* |
| 104,705 | 50,000 |
|
ShoreBank Corp.: |
|
|
|
|
Non-Voting Common Stock (b)(i)* |
| 67 | 502,500 |
|
Voting Common Stock (b)(i)* |
| 66 | 495,000 |
|
Sword Diagnostics, Series B Preferred (b)(i)* |
| 640,697 | 250,000 |
|
|
|
| 7,025,831 |
|
Total Equity Securities (Cost $974,103,040) |
|
| 1,066,217,691 |
|
|
|
|
|
|
|
| Principal |
|
|
Venture Capital Debt Obligations - 0.0% |
| Amount | Value |
|
Digital Directions International, Inc., 8.00%, 10/18/09 (b)(i) |
| $500,000 | $500,000 |
|
|
|
|
|
|
Total Venture Capital Debt Obligations (Cost $500,000) |
|
| 500,000 |
|
|
|
|
|
|
|
|
|
|
|
High Social Impact Investments - 0.7% |
|
| ||
Calvert Social Investment Foundation Notes, 3.00%, |
|
|
|
|
7/1/09 (b)(i)(r) |
| 7,583,877 | 7,328,604 |
|
|
|
|
|
|
Total High Social Impact Investments (Cost $7,583,877) |
|
| 7,328,604 |
|
|
|
|
|
|
|
|
|
|
|
|
| Adjusted |
|
|
Limited Partnership Interest - 0.1% |
| Basis |
|
|
China Environment Fund 2004 LLC (b)(i)* |
| 69,446 | 401,187 |
|
New Markets Venture Partners II LLC (b)(i)* |
| 50,000 | 50,000 |
|
SEAF India International Growth Fund LLC (b)(i)* |
| 458,932 | 436,326 |
|
Sustainable Jobs Fund II (b)(i)* |
| 300,000 | 263,270 |
|
|
|
|
|
|
Total Limited Partnership Interest (Cost $878,378) |
|
| 1,150,783 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $983,065,295) - 96.9% |
|
| 1,075,197,078 |
|
Other assets and liabilities, net - 3.1% |
|
| 34,302,996 |
|
Net Assets - 100% |
|
| $1,109,500,074 |
|
See notes to schedule of investments and notes to financial statements.
Enhanced Equity Portfolio
Schedule of Investments
September 30, 2008
Equity Securities - 99.6% |
| Shares | Value |
Aerospace & Defense - 0.2% |
|
|
|
BE Aerospace, Inc.* | 8,000 | $126,640 | |
|
|
|
|
Air Freight & Logistics - 1.8% |
|
|
|
FedEx Corp. |
| 6,790 | 536,682 |
United Parcel Service, Inc., Class B | 14,300 | 899,327 | |
|
|
| 1,436,009 |
|
|
|
|
Airlines - 0.7% |
|
|
|
Southwest Airlines Co. | 40,000 | 580,400 | |
|
|
|
|
Beverages - 0.7% |
|
|
|
PepsiCo, Inc. |
| 7,600 | 541,652 |
|
|
|
|
Biotechnology - 1.4% |
|
|
|
Amgen, Inc.* | 8,900 | 527,503 | |
Gilead Sciences, Inc.* | 11,400 | 519,612 | |
Isis Pharmaceuticals, Inc.* |
| 2,700 | 45,603 |
|
|
| 1,092,718 |
|
|
|
|
Building Products - 0.1% |
|
|
|
Insteel Industries, Inc. | 4,700 | 63,873 | |
|
|
|
|
Capital Markets - 2.5% |
|
|
|
Credit Suisse Group AG (ADR) | 26,000 | 1,255,280 | |
Goldman Sachs Group, Inc. | 4,937 | 631,936 | |
TD Ameritrade Holding Corp.* |
| 5,900 | 95,580 |
|
|
| 1,982,796 |
|
|
|
|
Chemicals - 0.2% |
|
|
|
Lubrizol Corp. |
| 3,200 | 138,048 |
|
|
|
|
Commercial Banks - 2.4% |
|
|
|
Oriental Financial Group, Inc. | 1,200 | 21,432 | |
US Bancorp | 28,317 | 1,019,979 | |
Wells Fargo & Co. | 23,093 | 866,680 | |
|
|
| 1,908,091 |
|
|
|
|
Commercial Services & Supplies - 0.5% |
|
|
|
RR Donnelley & Sons Co. | 16,800 | 412,104 | |
|
|
|
|
Communications Equipment - 2.5% |
|
|
|
Cisco Systems, Inc.* |
| 81,738 | 1,844,009 |
CommScope, Inc.* | 100 | 3,464 | |
Corning, Inc. |
| 10,000 | 156,400 |
|
|
| 2,003,873 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Computers & Peripherals - 5.9% |
|
|
|
Apple, Inc.* |
| 5,430 | $617,174 |
Dell, Inc.* | 17,436 | 287,345 | |
Hewlett-Packard Co. | 32,299 | 1,493,506 | |
International Business Machines Corp. | 19,711 | 2,305,398 | |
|
|
| 4,703,423 |
|
|
|
|
Construction & Engineering - 0.1% |
|
|
|
Perini Corp.* | 3,300 | 85,107 | |
|
|
|
|
Consumer Finance - 0.9% |
|
|
|
American Express Co. | 19,800 | 701,514 | |
|
|
|
|
Containers & Packaging - 1.1% |
|
|
|
AptarGroup, Inc. |
| 9,100 | 355,901 |
Bemis Co., Inc. | 7,500 | 196,575 | |
Owens-Illinois, Inc.* |
| 11,200 | 329,280 |
|
| 881,756 | |
|
|
|
|
Diversified Financial Services - 4.7% |
|
|
|
Bank of America Corp. |
| 62,984 | 2,204,440 |
JPMorgan Chase & Co. | 32,095 | 1,498,837 | |
|
| 3,703,277 | |
|
|
|
|
Diversified Telecommunication Services - 4.7% |
|
|
|
AT&T, Inc. |
| 80,142 | 2,237,565 |
Deutsche Telekom AG (ADR) | 23,200 | 353,336 | |
Telefonica SA (ADR) |
| 15,669 | 1,120,177 |
|
| 3,711,078 | |
|
|
|
|
Electric Utilities - 0.9% |
|
|
|
Cleco Corp. |
| 6,400 | 161,600 |
IDACORP, Inc. | 18,865 | 548,783 | |
|
|
| 710,383 |
|
|
|
|
Electrical Equipment - 1.3% |
|
|
|
Emerson Electric Co. | 24,700 | 1,007,513 | |
|
|
|
|
Electronic Equipment & Instruments - 1.2% |
|
|
|
Avnet, Inc.* | 26,693 | 657,449 | |
Coherent, Inc.* |
| 2,000 | 71,100 |
Jabil Circuit, Inc. |
| 25,200 | 240,408 |
|
|
| 968,957 |
|
|
|
|
Energy Equipment & Services - 3.8% |
|
|
|
Helix Energy Solutions Group, Inc.* | 1,500 | 36,420 | |
Noble Corp. | 24,200 | 1,062,380 | |
Pioneer Drilling Co.* |
| 8,500 | 113,050 |
Smith International, Inc. |
| 6,172 | 361,926 |
Superior Energy Services, Inc.* | 20,944 | 652,196 | |
Tenaris S.A. (ADR) |
| 6,200 | 231,198 |
Tidewater, Inc. |
| 7,410 | 410,218 |
Unit Corp.* |
| 2,400 | 119,568 |
|
|
| 2,986,956 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Food & Staples Retailing - 0.2% |
|
|
|
Costco Wholesale Corp. | 1,000 | $64,930 | |
CVS Caremark Corp. | 2,061 | 69,373 | |
|
|
| 134,303 |
|
|
|
|
Food Products - 2.2% |
|
|
|
Corn Products International, Inc. | 3,900 | 125,892 | |
Darling International, Inc.* |
| 7,900 | 87,769 |
General Mills, Inc. | 20,179 | 1,386,701 | |
H.J. Heinz Co. |
| 1,400 | 69,958 |
Kellogg Co. | 2,079 | 116,632 | |
|
|
| 1,786,952 |
|
|
|
|
Gas Utilities - 1.0% |
|
|
|
Questar Corp. | 19,392 | 793,521 | |
|
|
|
|
Health Care Equipment & Supplies - 0.3% |
|
|
|
Hospira, Inc.* |
| 2,200 | 84,040 |
Medtronic, Inc. | 2,800 | 140,280 | |
|
|
| 224,320 |
|
|
|
|
Health Care Providers & Services - 4.8% |
|
|
|
AmerisourceBergen Corp. | 419 | 15,776 | |
Cardinal Health, Inc. |
| 20,172 | 994,076 |
Cigna Corp. |
| 28,397 | 964,930 |
Express Scripts, Inc.* |
| 11,200 | 826,784 |
Kindred Healthcare, Inc.* | 5,300 | 146,121 | |
McKesson Corp. | 15,226 | 819,311 | |
WellCare Health Plans, Inc.* |
| 300 | 10,800 |
|
|
| 3,777,798 |
|
|
|
|
Hotels, Restaurants & Leisure - 0.2% |
|
|
|
CEC Entertainment, Inc.* | 1,000 | 33,200 | |
PF Chang's China Bistro, Inc.* | 5,300 | 124,762 | |
|
|
| 157,962 |
|
|
|
|
Household Durables - 1.4% |
|
|
|
Panasonic Corp. (ADR) | 63,000 | 1,091,790 | |
|
|
|
|
Household Products - 4.2% |
|
|
|
Colgate-Palmolive Co. |
| 8,308 | 626,008 |
Kimberly-Clark Corp. |
| 2,500 | 162,100 |
Procter & Gamble Co. | 37,028 | 2,580,481 | |
|
|
| 3,368,589 |
|
|
|
|
Industrial Conglomerates - 2.0% |
|
|
|
3M Co. | 22,942 | 1,567,168 | |
|
|
|
|
Insurance - 4.5% |
|
|
|
Chubb Corp. |
| 14,255 | 782,600 |
Hartford Financial Services Group, Inc. | 4,758 | 195,030 | |
Lincoln National Corp. |
| 4,900 | 209,769 |
PartnerRe Ltd. |
| 2,400 | 163,416 |
Prudential Financial, Inc. |
| 6,400 | 460,800 |
|
|
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value | |
Insurance - Cont'd |
|
|
|
Sun Life Financial, Inc. | 4,800 | $169,776 | |
Travelers Co.'s, Inc. | 30,589 | 1,382,623 | |
Unum Group | 7,100 | 178,210 | |
|
|
| 3,542,224 |
|
|
|
|
Internet & Catalog Retail - 0.4% |
|
|
|
NetFlix, Inc.* | 11,600 | 358,208 | |
|
|
|
|
Internet Software & Services - 0.3% |
|
|
|
Earthlink, Inc.* | 27,900 | 237,150 | |
|
|
|
|
IT Services - 1.6% |
|
|
|
Acxiom Corp. | 79,300 | 994,422 | |
Alliance Data Systems Corp.* |
| 4,000 | 253,520 |
Gartner, Inc.* |
| 600 | 13,608 |
|
|
| 1,261,550 |
|
|
|
|
Leisure Equipment & Products - 0.2% |
|
|
|
Polaris Industries, Inc. | 3,100 | 141,019 | |
|
|
|
|
Machinery - 3.7% |
|
|
|
Cummins, Inc. | 19,138 | 836,713 | |
Deere & Co. |
| 4,100 | 202,950 |
Harsco Corp. |
| 2,200 | 81,818 |
Illinois Tool Works, Inc. |
| 20,578 | 914,692 |
Parker Hannifin Corp. |
| 15,597 | 826,641 |
Robbins & Myers, Inc. |
| 3,600 | 111,348 |
|
|
| 2,974,162 |
|
|
|
|
Media - 2.6% |
|
|
|
DISH Network Corp.* | 11,400 | 239,400 | |
Liberty Global, Inc.* |
| 100 | 3,030 |
Time Warner, Inc. |
| 109,704 | 1,438,219 |
Virgin Media, Inc. | 38,200 | 301,780 | |
Warner Music Group Corp. |
| 15,100 | 114,760 |
|
|
| 2,097,189 |
|
|
|
|
Metals & Mining - 1.0% |
|
|
|
Reliance Steel & Aluminum Co. |
| 18,826 | 714,823 |
Worthington Industries, Inc. |
| 4,300 | 64,242 |
|
|
| 779,065 |
|
|
|
|
Multiline Retail - 0.3% |
|
|
|
Family Dollar Stores, Inc. |
| 7,700 | 182,490 |
Target Corp. | 1,800 | 88,290 | |
|
|
| 270,780 |
|
|
|
|
Multi-Utilities - 2.5% |
|
|
|
Consolidated Edison, Inc. | 8,800 | 378,048 | |
MDU Resources Group, Inc. | 16,769 | 486,301 | |
NiSource, Inc. | 58,591 | 864,803 | |
OGE Energy Corp. |
| 7,200 | 222,336 |
|
|
| 1,951,488 |
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Oil, Gas & Consumable Fuels - 7.9% |
|
|
|
Bill Barrett Corp.* | 3,400 | $109,174 | |
Chesapeake Energy Corp. |
| 15,823 | 567,413 |
Cimarex Energy Co. | 8,600 | 420,626 | |
Comstock Resources, Inc.* | 11,900 | 595,595 | |
EnCana Corp. |
| 13,900 | 913,647 |
EOG Resources, Inc. | 11,941 | 1,068,242 | |
Overseas Shipholding Group, Inc. | 5,200 | 303,212 | |
Pioneer Natural Resources Co. |
| 700 | 36,596 |
Plains Exploration & Production Co.* |
| 3,800 | 133,608 |
Spectra Energy Corp. | 28,900 | 687,820 | |
St. Mary Land & Exploration Co. | 2,100 | 74,865 | |
Whiting Petroleum Corp.* | 2,400 | 171,024 | |
World Fuel Services Corp. | 7,324 | 168,671 | |
XTO Energy, Inc. |
| 22,627 | 1,052,608 |
|
|
| 6,303,101 |
|
|
|
|
Paper & Forest Products - 0.4% |
|
|
|
MeadWestvaco Corp. | 13,200 | 307,692 | |
|
|
|
|
Pharmaceuticals - 7.4% |
|
|
|
Bristol-Myers Squibb Co. | 39,900 | 831,915 | |
Johnson & Johnson | 31,570 | 2,187,170 | |
Novartis AG (ADR) |
| 13,700 | 723,908 |
Pfizer, Inc. | 115,858 | 2,136,421 | |
|
|
| 5,879,414 |
|
|
|
|
Real Estate Investment Trusts - 1.5% |
|
|
|
Annaly Capital Management, Inc. |
| 46,400 | 624,080 |
Lexington Realty Trust |
| 35,200 | 606,144 |
|
|
| 1,230,224 |
|
|
|
|
Road & Rail - 0.5% |
|
|
|
Kansas City Southern* | 2,900 | 128,644 | |
Old Dominion Freight Line, Inc.* |
| 1,400 | 39,676 |
Ryder System, Inc. |
| 3,700 | 229,400 |
|
|
| 397,720 |
|
|
|
|
Semiconductors & Semiconductor Equipment - 2.5% |
|
|
|
Applied Materials, Inc. | 3,900 | 59,007 | |
Intel Corp. | 102,002 | 1,910,497 | |
|
|
| 1,969,504 |
|
|
|
|
Software - 3.6% |
|
|
|
Adobe Systems, Inc.* | 1,000 | 39,470 | |
Microsoft Corp. |
| 103,219 | 2,754,915 |
Novell, Inc.* |
| 2,700 | 13,878 |
Sybase, Inc.* | 1,100 | 33,682 | |
|
|
| 2,841,945 |
|
|
|
|
Specialty Retail - 4.6% |
|
|
|
Advance Auto Parts, Inc. |
| 500 | 19,830 |
Bed Bath & Beyond, Inc.* |
| 7,300 | 229,293 |
Best Buy Co., Inc. | 22,200 | 832,500 | |
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Specialty Retail - Cont'd |
|
|
|
Gap, Inc. |
| 39,325 | $699,198 |
Gymboree Corp.* | 400 | 14,200 | |
Home Depot, Inc. |
| 37,176 | 962,487 |
Lowe's Co.'s, Inc. |
| 3,000 | 71,070 |
RadioShack Corp. |
| 5,800 | 100,224 |
TJX Co.'s, Inc. |
| 24,300 | 741,636 |
|
|
| 3,670,438 |
|
|
|
|
Trading Companies & Distributors - 0.2% |
|
|
|
United Rentals, Inc.* | 11,000 | 167,640 | |
|
|
|
|
|
|
|
|
Total Equity Securities (Cost $87,021,140) |
|
| 79,029,084 |
|
|
|
|
TOTAL INVESTMENTS (Cost $87,021,139) - 99.6% |
|
| 79,029,084 |
Other assets and liabilities, net - 0.4% |
|
| 313,584 |
Net Assets - 100% |
|
| $79,342,668 |
See notes to schedule of investments and notes to financial statements.
Notes to schedule of investments
(a) Affiliated company.
(b) This security was valued by the Board of Trustees. See note A.
(c) Colson Services Corporation is the collection and transfer agent for certain U.S. Government guaranteed variable rate loans. Each depository receipt pertains to a set, grouped by interest rate, of these loans.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(f) Interest payments have been deferred per conditions of the Supplemental Indenture. At September 30, 2008 accumulated deferred interest totaled $1,174,856 and includes interest accrued since and due on October 1, 2003. This security is no longer accruing interest.
(g) Subsequent to year end, Glitmir Banki HF defaulted on principal and interest payments due on October 15, 2008.
(h) Represents rate in effect at September 30, 2008, 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, 2008, the prime rate was 5.00%.
(i) Restricted securities represent 3.8% of the net assets for Balanced Portfolio, 0.2% for Bond Portfolio, and 1.4% 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. This security is no longer accruing interest.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
(s) 20,000 shares of Cisco Systems, Inc., 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.
(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. As a result, the value of the bonds was marked down to $0 and is no longer accruing interest.
(y) This security is no longer accruing interest.
(z) Subsequent to period end, this security is no longer accruing interest.
* Non-income producing security.
Explanation of Guarantees: | Abbreviations: |
BPA: Bond Purchase Agreement | ADR: American Depositary 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 |
| PO: Pension obligation |
| MBIA: Municipal Bond Insurance Association |
| MFH: Multi-Family Housing |
| REIT: Real Estate Investment Trust |
| SO: Special Obligation |
| 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 |
Balanced Portfolio |
|
|
|
Restricted Securities |
| Acquisition Dates | Cost |
AccessBank |
| 08/29/07 | $500,000 |
Agraquest, Inc., Series B Preferred |
| 02/26/97 | 200,001 |
Agraquest, Inc., Series C Preferred |
| 03/11/98 | 200,000 |
Agraquest, Inc, Series H Preferred |
| 05/25/05 - 01/11/07 | 316,894 |
Angels With Attitude LLC LP |
| 08/28/00 - 04/30/03 | 200,000 |
Calvert Social Investment Foundation Notes |
| 07/02/07 | 5,016,666 |
CFBanc Corp. |
| 03/14/03 | 270,000 |
CitySoft Note I |
| 11/15/00 | 297,877 |
CitySoft Note II |
| 09/09/03 | 32,500 |
CitySoft Note III |
| 05/04/04 | 25,000 |
CitySoft Note IV |
| 03/11/05 | 25,000 |
City Soft, Inc., Warrants: |
|
| |
(strike price $0.21/share, expires 05/31/12) | 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) |
| 11/03/05 | - |
Coastal Venture Partners LP |
| 06/07/96 - 06/22/00 | 133,958 |
Commons Capital LP |
| 02/15/01 - 04/29/08 | 458,356 |
Consensus Orthopedics |
| 02/10/06 | 504,331 |
Consensus Orthopedics, Series A-1 Preferred |
| 08/19/05 | 4,417 |
Consensus Orthopedics, Series B Preferred |
| 02/10/06 | 139,576 |
Consensus Orthopedics, Series C Preferred |
| 02/10/06 | 120,342 |
Environmental Private Equity Fund II, Liquidating Trust |
| 04/26/07 | 12,770 |
First Analysis Private Equity Fund IV LP |
| 02/25/02 - 05/28/08 | 670,660 |
GEEMF Partners LP |
| 02/28/97 | - |
Global Environment Emerging Markets Fund LP |
| 01/14/94 - 12/01/95 | - |
H2Gen Innovations Common Stock |
| 11/04/04 | - |
H2Gen Innovations Common Warrants |
| 11/04/04 | - |
H2Gen Innovations, Inc., Series A Preferred |
| 11/04/04 | 251,496 |
H2Gen Innovations, Inc., Series A Preferred, Warrants |
| 11/04/04 | - |
H2Gen Innovations, Inc., Series B Preferred |
| 10/21/04 - 10/27/04 | 161,759 |
H2Gen Innovations, Inc., Series C Preferred |
| 06/1/06 | 52,886 |
|
|
|
|
Balanced Portfolio |
|
|
|
Restricted Securities (Cont'd) |
| Acquisition Dates | Cost |
Inflabloc Pharmaceuticals, Inc. |
| 12/29/03 | $500,000 |
Infrastructure and Environmental Private Equity |
|
|
|
Fund III LP |
| 04/16/97 - 02/12/01 | 328,443 |
KDM Development Corp. |
| 11/03/99 | 717,246 |
Labrador Ventures III LP |
| 08/11/98 - 04/02/01 | 360,875 |
Labrador Ventures IV LP |
| 12/14/99 - 08/27/07 | 911,085 |
Milepost Ventures LP |
| 05/27/98 - 04/23/02 | 500,000 |
Neighborhood Bancorp |
| 06/25/97 | 100,000 |
New Markets Growth Fund LLC LP |
| 01/08/03 - 07/18/07 | 225,646 |
Plethora Technology, Inc: |
|
| |
Common Warrants |
| 05/19/05 | 75,360 |
Series A Preferred |
| 04/29/05-05/13/05 | 701,835 |
Series A Preferred Warrants: |
|
| |
(expires 6/9/13) |
| 06/8/06 | - |
(expires 9/6/13) |
| 11/3/06 | - |
Plethora Technology, Inc., Note |
| 06/8/06 | 150,000 |
Rose Smart Growth Investment Fund |
| 04/10/06 | 1,000,000 |
Seventh Generation, Inc. |
| 04/12/00 - 05/06/03 | 230,500 |
SMARTHINKING, Inc. |
|
|
|
Series 1-A, Convertible Preferred |
| 04/22/03 - 05/27/05 | 159,398 |
Series 1-B, Convertible Preferred |
| 06/10/03 | 250,000 |
Series 1-B Preferred Warrants |
| 05/27/05 | - |
Solstice Capital LP |
| 06/26/01 - 06/17/08 | 384,645 |
Utah Ventures LP |
| 11/17/97 - 02/05/03 | 867,581 |
Venture Strategy Partners LP |
| 08/21/98 - 02/26/03 | 206,058 |
Wild Planet Entertainment, Inc., Series B Preferred |
| 07/12/94 | 200,000 |
Wild Planet Entertainment, Inc., Series E Preferred |
| 04/09/98 | 180,725 |
Wind Harvest Co., Inc. |
| 05/16/94 | 100,000 |
|
|
|
|
|
|
|
|
Equity Portfolio |
|
|
|
Restricted Securities |
| Acquisition Dates | Cost |
20/20 Gene Systems, Inc.: |
|
|
|
Common Stock |
| 8/1/08 | $151,890 |
Warrants (strike price $.01/share, expires 8/27/13) |
| 8/29/03 | 14,700 |
Calvert Social Investment Foundation Notes |
| 7/3/06 | 7,583,877 |
Chesapeake PERL, Inc.: |
|
|
|
Series A-2 Preferred |
| 7/30/04 -9/8/06 | 300,000 |
Series A-2 Preferred Warrants (strike price $1.25/share, |
|
|
|
expires 7/31/09) |
| 12/22/06 | - |
Series A-2 Preferred Warrants (strike price $1.25/share, |
|
|
|
expires 12/27/10) |
| 12/22/06 | - |
China Environment Fund 2004 LLC, LP |
| 9/15/05-9/17/08 | 69,446 |
Cylex, Inc.: |
|
|
|
Common Stock |
| 11/22/2006 | 16,382 |
Series B Preferred |
| 11/30/06 | 547,525 |
Series C-1 Preferred |
| 11/30/06 | 471,342 |
Digital Directions International, Inc.: |
|
|
|
Common Stock |
| 7/2/08 | 75,000 |
8.00%, 10/18/09 |
| 10/18/2006 | 500,000 |
Global Resource Options, Inc.: |
|
|
|
Series A Preferred |
| 9/18/06 | 750,000 |
Series B Preferred |
| 12/5/07 | 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 10/10/12) |
| 11/4/04 | - |
Series B Preferred |
| 10/21/04-10/27/04 | 161,759 |
Series C Preferred |
| 6/1/06 | 52,886 |
Marrone Organic Innovations, Inc.: |
|
|
|
Series A Preferred |
| 4/25/07 | 200,000 |
Series B Preferred |
| 8/28/08 | 280,000 |
NeoDiagnostix, Inc.: |
|
|
|
Series AE Convertible Preferred |
| 9/9/08 | 300,000 |
Series AE Convertible Preferred Warrants (strike price |
|
|
|
$1.10/share, expires 9/10/18) |
| 9/23/08 | - |
New Day Farms, Series A Preferred |
| 3/5/08 | 500,000 |
New Markets Venture Partners II LLC, LP |
| 7/21/08 | 50,000 |
SEAF India International Growth Fund LLC, LP |
| 3/22/05-4/2/08 | 458,932 |
Shorebank: |
|
|
|
Non-Voting Common Stock |
| 6/26/08 | 502,500 |
Voting Common Stock |
| 6/26/08 | 495,000 |
Sustainable Jobs Fund II LP |
| 2/14/06-6/12/08 | 300,000 |
Sword Diagnostics, Series B Preferred |
| 12/26/06 | 250,000 |
Bond Portfolio |
|
|
Restricted Securities | Acquisition Dates | Cost |
Calvert Social Investment Foundation Notes | 07/03/06 | $2,087,392 |
See notes to financial statements.
Statements of Assets and Liabilities
September 30, 2008
|
| Balanced | Bond |
Assets |
| Portfolio | Portfolio |
Investments in securities, at value |
|
|
|
(Cost $504,064,597 and $676,128,650, respectively) - |
|
|
|
see accompanying schedules |
| $457,834,388 | $617,894,762 |
Cash |
| 21,642,020 | 264,392,172 |
Receivable for securities sold |
| 1,206,053 | 4,375,319 |
Receivable for futures variation margin |
| 462,489 | -- |
Receivable for shares sold |
| 131,438 | 2,686,526 |
Interest and dividends receivable |
| 3,479,034 | 6,010,782 |
Other assets |
| 457,681 | 1,797,372 |
Total assets |
| 485,213,103 | 897,156,933 |
|
|
|
|
Liabilities |
|
|
|
Payable for securities purchased |
| 1,454,801 | 3,765,233 |
Payable for futures variation margin |
| -- | 1,163,713 |
Payable for shares redeemed |
| 588,314 | 2,284,229 |
Payable to Calvert Asset Management Co., Inc. |
| 275,107 | 378,651 |
Payable to Calvert Administrative Services Company |
| 112,705 | 186,640 |
Payable to Calvert Shareholder Services, Inc. |
| 18,963 | 13,220 |
Payable to Calvert Distributors, Inc. |
| 123,251 | 159,564 |
Accrued expenses and other liabilities |
| 96,990 | 93,560 |
Total liabilities |
| 2,670,131 | 8,044,810 |
Net Assets |
| $482,542,972 | $889,112,123 |
|
|
|
|
Net Assets Consist of: |
|
|
|
Paid in capital applicable to the following shares of beneficial interest, |
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
Balanced Portfolio: |
|
|
|
Class A: 17,339,329 shares outstanding |
| $484,516,836 |
|
Class B: 722,277 shares outstanding |
| 21,384,290 |
|
Class C: 1,001,955 shares outstanding |
| 29,288,565 |
|
Class I: 233,674 shares outstanding |
| 6,795,104 |
|
Bond Portfolio: |
|
|
|
Class A: 40,335,635 shares outstanding |
|
| $641,999,253 |
Class B: 1,148,915 shares outstanding |
|
| 18,227,658 |
Class C: 3,510,831 shares outstanding |
|
| 55,450,976 |
Class I: 13,722,822 shares outstanding |
|
| 217,070,891 |
Undistributed net investment income (loss) |
| (583,859) | 77,707111,613 |
Accumulated net realized gain (loss) on investments |
| (12,324,490) | 16,111,499 |
Net unrealized appreciation (depreciation) on investments |
| (46,533,474) | (59,859,767) |
|
|
|
|
Net Assets |
| $482,542,972 | $889,112,123 |
See notes to financial statements.
Net Asset Value Per Share: |
|
|
|
Balanced Portfolio: |
|
|
|
Class A (based on net assets of $434,068,892) |
| $25.03 |
|
Class B (based on net assets $17,938,772) |
| $24.84 |
|
Class C (based on net assets of $24,630,763) |
| $24.58 |
|
Class I (based on net assets of $5,904,545) |
| $25.27 |
|
Bond Portfolio: |
|
|
|
Class A (based on net assets of $610,868,639) |
|
| $15.14 |
Class B (based on net assets of $17,298,439) |
|
| $15.06 |
Class C (based on net assets of $52,868,624) |
|
| $15.06 |
Class I (based on net assets of $208,076,421) |
|
| $15.16 |
See notes to financial statements.
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2008
|
| Equity | Enhanced Equity |
|
Assets |
| Portfolio | Portfolio |
|
Investments in securities, at value (Cost $983,065,295 |
|
|
|
|
and $87,021,139, respectively) -see accompanying schedule |
| $1,075,197,078 | $79,029,084 |
|
Cash |
| 35,855,434 | 77,368 |
|
Receivable for securities sold |
| -- | 275,720 |
|
Receivable for shares sold |
| 1,394,160 | 85,445 |
|
Interest and dividends receivable income |
| 869,711 | 102,491 |
|
Other assets |
| 20,291 | 10,516 |
|
Total Assets |
| 1,113,336,674 | 79,580,624 |
|
|
|
|
|
|
Liabilities |
|
|
|
|
Payable for shares redeemed |
| 2,503,161 | 128,888 |
|
Payable to Calvert Asset Management Company, Inc. |
| 656,331 | 53,052 |
|
Payable to Calvert Administrative Services Company |
| 181,984 | 9,305 |
|
Payable to Calvert Shareholder Services, Inc. |
| 31,322 | 2,785 |
|
Payable to Calvert Distributors, Inc. |
| 317,302 | 19,118 |
|
Accrued expenses and other liabilities |
| 146,500 | 24,808 |
|
Total liabilities |
| 3,836,600 | 237,956 |
|
Net Assets |
| $1,109,500,074 | 79,342,668 |
|
|
|
|
|
|
|
|
|
|
|
Net Assets Consist of: |
|
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, |
|
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
|
Equity Portfolio: |
|
|
|
|
Class A: 25,343,271 shares outstanding |
| $711,917,163 |
|
|
Class B: 2,017,608 shares outstanding |
| 47,430,914 |
|
|
Class C: 3,562,082 shares outstanding |
| 91,187,677 |
|
|
Class I: 3,424,326 shares outstanding |
| 105,084,464 |
|
|
Enhanced Equity Portfolio: |
|
|
|
|
Class A: 3,036,445 shares outstanding |
|
| $49,411,609 |
|
Class B: 296,334 shares outstanding |
|
| 4,137,456 |
|
Class C: 487,053 shares outstanding |
|
| 8,110,469 |
|
Class I: 1,544,676 shares outstanding |
|
| 30,100,609 |
|
Undistributed net investment income (loss) |
| -- | 701,636 |
|
Accumulated net realized gain (loss) on investments |
| 61,748,073 | (5,127,056) |
|
Net unrealized appreciation (depreciation) on investments |
| 92,131,783 | (7,992,055) |
|
Net Assets |
| $1,109,500,074 | $79,342,668 |
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Equity Portfolio: |
|
|
|
|
Class A (based on net assets of $834,312,426) |
| $32.92 |
|
|
Class B (based on net assets of $59,437,728) |
| $29.46 |
|
|
Class C (based on net assets of $97,327,177) |
| $27.32 |
|
|
Class I (based on net assets of $118,422,743) |
| $34.58 |
|
|
Enhanced Equity Portfolio: |
|
|
|
|
Class A (based on net assets of $45,344,958) |
|
| $14.93 |
|
Class B (based on net assets of $4,003,033) |
|
| $13.51 |
|
Class C (based on net assets of $6,630,842) |
|
| $13.61 |
|
Class I (based on net assets of $23,363,835) |
|
| $15.13 |
|
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2008
|
| Money |
|
|
|
|
| Market | Balanced | Bond |
|
Net Investment Income |
| Portfolio | Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
|
Interest income |
| $7,121,299 | $12,507,729 | $43,439,749 |
|
Dividend income (net of foreign taxes withheld |
|
|
|
|
|
of $0, $23,528, and $0 respectively) |
| -- | 5,442,266 | 601,731 |
|
Total investment income |
| 7,121,299 | 17,949,995 | 44,041,480 |
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Investment advisory fee |
| 590,899 | 2,344,359 | 2,805,834 |
|
Transfer agency fees and expenses |
| 395,197 | 971,272 | 1,179,604 |
|
Administrative fees |
| 393,933 | 1,514,786 | 2,030,661 |
|
Distribution Plan expenses: |
|
|
|
|
|
Class A |
| -- | 1,169,021 | 1,104,319 |
|
Class B |
| -- | 216,755 | 160,840 |
|
Class C |
| -- | 282,072 | 462,538 |
|
Trustees' fees and expenses |
| 23,553 | 72,593 | 101,730 |
|
Custodian fees |
| 21,338 | 145,706 | 145,476 |
|
Registration fees |
| 18,210 | 48,815 | 43,387 |
|
Reports to shareholders |
| 36,556 | 153,399 | 133,522 |
|
Professional fees |
| 29,216 | 49,641 | 61,072 |
|
Miscellaneous |
| 54,660 | 162,963 | 27,833 |
|
Total expenses |
| 1,563,562 | 7,131,382 | 8,256,816 |
|
Reimbursement from Advisor: |
|
|
|
|
|
Class I |
| -- | (5,266) | -- |
|
Fees paid indirectly |
| (20,197) | (19,698) | (43,859) |
|
Fees waived |
| -- | (753) | -- |
|
Net expenses |
| 1,543,365 | 7,105,665 | 8,212,957 |
|
|
|
|
|
|
|
Net Investment Income |
| 5,577,934 | 10,844,330 | 35,828,523 |
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
|
Investments |
| 35,803 | (12,428,888) | (2,215,443) |
|
Foreign currency transactions |
| -- | (169) | -- |
|
Futures |
| -- | 1,652,727 | 19,612,395 |
|
|
| 35,803 | (10,776,330) | 17,396,952 |
|
|
|
|
|
|
|
Change in unrealized appreciation or |
|
|
|
|
|
(depreciation) on: |
|
|
|
|
|
Investments |
| -- | (81,696,105) | (48,710,133) |
|
Futures |
| -- | (325,908) | (1,881,468) |
|
|
| -- | (82,022,013) | (50,591,601) |
|
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) |
| 35,803 | (92,798,343) | (33,194,649) |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| $5,613,737 | ($81,954,013) | $2,633,874 |
|
See notes to financial statements.
Statements of Operations
Year ended September 30, 2008
|
|
| Enhanced |
|
|
| Equity | Equity |
|
Net Investment Income |
| Portfolio | Portfolio |
|
Investment Income: |
|
|
|
|
Interest income |
| $1,242,948 | $5,284 |
|
Dividend income (net of foreign taxes withheld of $202,479 |
|
|
|
|
and $12,365, respectively) |
| 13,299,671 | 1,993,042 |
|
Total investment income |
| 14,542,619 | 1,998,326 |
|
|
|
|
|
|
Expenses: |
|
|
|
|
Investment advisory fee |
| 6,275,976 | 575,102 |
|
Transfer agency fees and expenses |
| 2,232,145 | 177,265 |
|
Administrative fees |
| 2,366,435 | 131,128 |
|
Distribution Plan expenses: |
|
|
|
|
Class A |
| 2,314,316 | 141,260 |
|
Class B |
| 745,997 | 56,034 |
|
Class C |
| 1,109,139 | 84,478 |
|
Trustees' fees and expenses |
| 150,469 | 11,377 |
|
Custodian fees |
| 110,385 | 32,273 |
|
Registration fees |
| 60,160 | 38,137 |
|
Reports to shareholders |
| 293,731 | 28,340 |
|
Professional fees |
| 86,420 | 23,147 |
|
Miscellaneous |
| 116,795 | 6,492 |
|
Total expenses |
| 15,861,968 | 1,305,033 |
|
Fees waived |
| -- | (95,850) |
|
Fees paid indirectly |
| (41,828) | (11,575) |
|
Net expenses |
| 15,820,140 | 1,197,608 |
|
|
|
|
|
|
Net Investment Income (Loss) |
| (1,277,521) | 800,718 |
|
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
Gain (Loss) |
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
Investments |
| 87,876,771 | (4,759,296) |
|
Foreign currency transactions |
| -- | (77) |
|
|
| 87,876,771 | (4,759,373) |
|
|
|
|
|
|
Change in unrealized appreciation or (depreciation) on |
|
|
|
|
Investments |
| (284,691,632) | (19,965,603) |
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
Gain (Loss) |
| (196,814,861) | (24,724,976) |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| ($198,092,382) | ($23,924,258) |
|
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 |
|
| 2008 | 2007 |
|
Operations: |
|
|
|
|
|
Net investment income |
|
| $5,577,934 | $8,157,667 |
|
Net realized gain (loss) |
|
| 35,803 | (3,628) |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
|
| 5,613,737 | 8,154,039 |
|
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
|
Net investment income |
|
| (5,577,423) | (8,156,172) |
|
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
|
Shares sold |
|
| 171,578,020 | 151,766,552 |
|
Reinvestment of distributions |
|
| 5,523,564 | 7,994,721 |
|
Shares redeemed |
|
| (178,036,859) | (139,141,232) |
|
Total capital share transactions |
|
| (935,275) | 20,620,041 |
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
|
| (898,961) | 20,617,908 |
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
Beginning of year |
|
| 187,209,938 | 166,592,030 |
|
End of year (including undistributed net investment |
|
|
|
|
|
income of $17,158 and $16,647, respectively) |
|
| $186,310,977 | $187,209,938 |
|
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
|
Shares sold |
|
| 171,576,804 | 151,764,804 |
|
Reinvestment of distributions |
|
| 5,523,564 | 7,994,721 |
|
Shares redeemed |
|
| (178,036,859) | (139,141,232) |
|
Total capital share activity |
|
| (936,491) | 20,618,293 |
|
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 |
|
| 2008 | 2007 |
|
Operations: |
|
|
|
|
|
Net investment income |
|
| $10,844,330 | $11,264,849 |
|
Net realized gain (loss) |
|
| (10,776,330) | 37,030,805 |
|
Change in net unrealized appreciation or (depreciation) |
|
| (82,022,013) | 129,694 |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
|
| (81,954,013) | 48,425,348 |
|
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
|
Net investment income: |
|
|
|
|
|
Class A Shares |
|
| (9,785,718) | (10,026,373) |
|
Class B Shares |
|
| (215,285) | (241,211) |
|
Class C Shares |
|
| (307,366) | (286,774) |
|
Class I Shares |
|
| (180,891) | (172,753) |
|
|
|
|
|
|
|
Net realized gain: |
|
|
|
|
|
Class A Shares |
|
| (27,920,709) | -- |
|
Class B Shares |
|
| (1,263,817) | -- |
|
Class C Shares |
|
| (1,606,863) | -- |
|
Class I Shares |
|
| (443,629) | -- |
|
Total distributions |
|
| (41,724,278) | (10,727,111) |
|
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
|
Shares sold: |
|
|
|
|
|
Class A Shares |
|
| 26,241,044 | 47,184,100 |
|
Class B Shares |
|
| 1,855,455 | 2,512,399 |
|
Class C Shares |
|
| 4,075,804 | 5,480,044 |
|
Class I Shares |
|
| 1,111,246 | 3,151,736 |
|
Reinvestment of distributions: |
|
|
|
|
|
Class A Shares |
|
| 35,348,867 | 9,309,912 |
|
Class B Shares |
|
| 1,328,103 | 214,017 |
|
Class C Shares |
|
| 1,551,976 | 228,968 |
|
Class I Shares |
|
| 624,520 | 172,753 |
|
Redemption Fees: |
|
|
|
|
|
Class A Shares |
|
| 2,023 | 1,603 |
|
Class B Shares |
|
| 62 | 725 |
|
Class C Shares |
|
| 142 | 210 |
|
Shares redeemed: |
|
|
|
|
|
Class A Shares |
|
| (59,327,430) | (73,292,229) |
|
Class B Shares |
|
| (5,173,657) | (7,476,918) |
|
Class C Shares |
|
| (5,022,162) | (4,722,575) |
|
Class I Shares |
|
| (2,881,736) | (1,384,988) |
|
Total capital share transactions |
|
| (265,743) | (18,620,243) |
|
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
|
| (123,944,034) | 19,077,994 |
|
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, |
|
Net Assets |
| 2008 | 2007 |
|
Beginning of year |
| 606,487,006 | 587,409,012 |
|
End of year (including distributions in excess of net investment |
|
|
|
|
income of $583,859 and $617,630, respectively) |
| $482,542,972 | $606,487,006 |
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 926,277 | 1,525,141 |
|
Class B Shares |
| 66,038 | 82,329 |
|
Class C Shares |
| 145,940 | 181,461 |
|
Class I Shares |
| 38,793 | 101,842 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 1,212,058 | 301,086 |
|
Class B Shares |
| 45,521 | 6,979 |
|
Class C Shares |
| 53,804 | 7,536 |
|
Class I Shares |
| 21,249 | 5,530 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (2,098,510) | (2,374,341) |
|
Class B Shares |
| (184,797) | (244,616) |
|
Class C Shares |
| (181,998) | (156,467) |
|
Class I Shares |
| (102,027) | (44,394) |
|
Total capital share activity |
| (57,652) | (607,914) |
|
See notes to financial statements.
Bond Portfolio
Statements of Changes in Net Assets
|
| Year Ended | Year Ended |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2008 | 2007 |
|
Operations: |
|
|
|
|
Net investment income |
| $35,828,523 | $24,239,919 |
|
Net realized gain (loss) |
| 17,396,952 | 9,336,402 |
|
Change in net unrealized appreciation or (depreciation) |
| (50,591,601) | (4,339,139) |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| 2,633,874 | 29,237,182 |
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (23,844,551) | (17,025,159) |
|
Class B Shares |
| (537,994) | (559,913) |
|
Class C Shares |
| (1,629,079) | (1,169,580) |
|
Class I Shares |
| (9,177,653) | (5,756,054) |
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (7,730,781) | (667,424) |
|
Class B Shares |
| (235,087) | (32,600) |
|
Class C Shares |
| (612,319) | (57,797) |
|
Class I shares |
| (2,588,489) | (163,580) |
|
Total distributions |
| (46,355,953) | (25,432,107) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 275,360,326 | 180,170,412 |
|
Class B Shares |
| 8,590,116 | 1,974,132 |
|
Class C Shares |
| 25,623,202 | 14,129,761 |
|
Class I Shares |
| 79,589,860 | 83,464,510 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 26,510,023 | 14,764,203 |
|
Class B Shares |
| 641,033 | 474,380 |
|
Class C Shares |
| 1,488,126 | 814,541 |
|
Class I Shares |
| 11,536,536 | 5,765,220 |
|
Redemption Fees |
|
|
|
|
Class A Shares |
| 28,345 | 8,869 |
|
Class B Shares |
| 1,536 | 785 |
|
Class C Shares |
| 2,725 | 2,209 |
|
Class I Shares |
| 244 | 309 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (114,817,133) | (80,422,930) |
|
Class B Shares |
| (5,922,572) | (4,841,837) |
|
Class C Shares |
| (7,873,471) | (6,385,184) |
|
Class I Shares |
| (25,644,658) | (12,018,240) |
|
Total capital share transactions |
| 275,114,238 | 197,901,140 |
|
|
|
|
|
|
Total Increase (Decrease) In Net Assets |
| 231,392,159 | 201,706,215 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 657,719,964 | 456,013,749 |
|
End of year (including undistributed net investment |
|
|
|
|
income and distributions in excess of net investment income |
|
|
|
|
of $111,613 and $89,569, respectively) |
| $889,112,123 | $657,719,964 |
|
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 |
| 2008 | 2007 |
Shares sold: |
|
|
|
Class A Shares |
| 17,452,919 | 11,381,810 |
Class B Shares |
| 549,394 | 125,249 |
Class C Shares |
| 1,634,189 | 897,077 |
Class I Shares |
| 5,031,915 | 5,268,922 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 1,685,619 | 933,706 |
Class B Shares |
| 40,945 | 30,149 |
Class C Shares |
| 95,146 | 51,791 |
Class I Shares |
| 733,147 | 364,267 |
Shares redeemed: |
|
|
|
Class A Shares |
| (7,303,218) | (5,079,397) |
Class B Shares |
| (378,044) | (307,492) |
Class C Shares |
| (504,845) | (405,702) |
Class I Shares |
| (1,631,416) | (759,046) |
Total capital share activity |
| 17,405,751 | 12,501,334 |
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 |
| 2008 | 2007 |
|
Operations: |
|
|
|
|
Net investment income (loss) |
| ($1,277,521) | ($929,845) |
|
Net realized gain (loss) |
| 87,876,771 | 64,505,738 |
|
Change in net unrealized appreciation or (depreciation) |
| (284,691,632) | 122,521,104 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| (198,092,382) | 186,096,997 |
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (58,523,367) | (38,799,889) |
|
Class B Shares |
| (5,472,528) | (4,360,424) |
|
Class C Shares |
| (8,305,125) | (5,458,634) |
|
Class I shares |
| (9,155,226) | (5,482,443) |
|
Total distributions |
| (81,456,246) | (54,101,390) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 170,811,546 | 153,379,527 |
|
Class B Shares |
| 4,082,805 | 4,493,147 |
|
Class C Shares |
| 13,316,091 | 14,829,105 |
|
Class I Shares |
| 34,964,400 | 50,620,711 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 54,290,111 | 36,064,357 |
|
Class B Shares |
| 4,735,547 | 3,750,770 |
|
Class C Shares |
| 6,400,134 | 4,195,253 |
|
Class I Shares |
| 8,719,591 | 5,337,706 |
|
Redemption Fees: |
|
|
|
|
Class A Shares |
| 18,632 | 8,714 |
|
Class B Shares |
| 99 | 536 |
|
Class C Shares |
| 271 | 889 |
|
Class I Shares |
| 664 | 6,754 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (187,395,186) | (192,225,795) |
|
Class B Shares |
| (19,472,247) | (24,601,005) |
|
Class C Shares |
| (15,851,981) | (18,523,999) |
|
Class I Shares |
| (64,723,663) | (66,696,147) |
|
Total capital share transactions |
| 9,896,814 | (29,359,477) |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| (269,651,814) | 102,636,130 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 1,379,151,888 | 1,276,515,758 |
|
End of year |
| $1,109,500,074 | $1,379,151,888 |
|
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 |
| 2008 | 2007 |
Shares sold: |
|
|
|
Class A Shares |
| 4,613,653 | 3,994,152 |
Class B Shares |
| 122,390 | 128,902 |
Class C Shares |
| 429,234 | 456,249 |
Class I Shares |
| 905,036 | 1,277,491 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 1,387,784 | 963,514 |
Class B Shares |
| 134,303 | 109,576 |
Class C Shares |
| 195,842 | 131,678 |
Class I Shares |
| 213,089 | 137,428 |
Shares redeemed: |
|
|
|
Class A Shares |
| (5,038,632) | (5,006,820) |
Class B Shares |
| (584,879) | (701,155) |
Class C Shares |
| (515,547) | (568,395) |
Class I Shares |
| (1,684,781) | (1,681,686) |
Total capital share activity |
| 177,492 | (759,066) |
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 |
| 2008 | 2007 |
Operations: |
|
|
|
Net investment income |
| $800,718 | $569,056 |
Net realized gain (loss) |
| (4,759,373) | 6,031,108 |
Change in net unrealized appreciation or (depreciation) |
| (19,965,603) | 910,758 |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| (23,924,258) | 7,510,922 |
|
|
|
|
Distributions to shareholders from |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (377,742) | (290,471) |
Class I Shares |
| (198,809) | (59,529) |
Net realized gain: |
|
|
|
Class A Shares |
| (3,397,417) | (2,482,645) |
Class B Shares |
| (398,640) | (367,558) |
Class C Shares |
| (571,643) | (372,440) |
Class I Shares |
| (1,375,837) | (472,989) |
Total distributions |
| (6,320,088) | (4,045,632) |
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 8,341,775 | 16,623,918 |
Class B Shares |
| 319,231 | 1,137,129 |
Class C Shares |
| 1,087,476 | 3,270,087 |
Class I Shares |
| 6,369,213 | 14,485,562 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 3,356,986 | 2,487,921 |
Class B Shares |
| 342,483 | 320,696 |
Class C Shares |
| 426,846 | 289,454 |
Class I Shares |
| 1,574,647 | 532,512 |
Redemption Fees: |
|
|
|
Class A Shares |
| 52 | 398 |
Class B Shares |
| -- | 794 |
Class C Shares |
| 96 | 18 |
Shares redeemed: |
|
|
|
Class A Shares |
| (13,711,362) | (14,312,489) |
Class B Shares |
| (2,073,483) | (2,605,946) |
Class C Shares |
| (2,228,413) | (1,566,334) |
Class I Shares |
| (1,436,030) | (398,360) |
Total capital share transactions |
| 2,369,517 | 20,265,360 |
|
|
|
|
Total Increase (Decrease) in Net Assets |
| (27,874,829) | 23,730,650 |
|
|
|
|
Net Assets |
|
|
|
Beginning of year |
| 107,217,497 | 83,486,847 |
End of year (including undistributed net investment |
|
|
|
income of $701,636, and $478,707, respectively) |
| $79,342,668 | $107,217,497 |
See notes to financial statements.
Enhanced Equity Portfolio (Cont'd)
|
| Year Ended | Year Ended |
|
| September 30, | September 30, |
Capital Share Activity |
| 2008 | 2007 |
Shares sold: |
|
|
|
Class A Shares |
| 466,880 | 821,690 |
Class B Shares |
| 19,781 | 60,870 |
Class C Shares |
| 67,528 | 174,698 |
Class I Shares |
| 353,263 | 708,917 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 175,723 | 124,641 |
Class B Shares |
| 19,706 | 17,543 |
Class C Shares |
| 24,419 | 15,766 |
Class I Shares |
| 81,658 | 26,530 |
Shares redeemed: |
|
|
|
Class A Shares |
| (788,903) | (701,718) |
Class B Shares |
| (130,837) | (138,976) |
Class C Shares |
| (140,985) | (83,745) |
Class I Shares |
| (83,490) | (19,357) |
Total capital share activity |
| 64,743 | 1,006,859 |
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 sa les 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.
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 principal market in which such securities are normally traded. If events occur after the close of the principal 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, 2008:
| Total Investments | % of Net Assets |
Balanced | $30,779,281 | 6.4% |
Bond | 37,422,875 | 4.2% |
Equity | 16,005,218 | 1.4% |
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
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 Schedules of Investments on page 70.) A debt obligation may be 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 management'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). 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.
New Accounting Pronouncements: In July 2006, the Financial Accounting Standards Board (FASB) issued FASB Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" -- an interpretation of FASB Statement 109 (FIN 48), effective on the last business day of the semi-annual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (tax years ended September 30, 2004 -- 2008) for purposes of implementing FIN 48, and has concluded that as of September 30, 2008, no provision for income tax is required in the Fund's financial statements.
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, 2008, the Fund does not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be requir ed about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
Money Market Insurance: The Money Market Portfolio had obtained private insurance that partially protected it against default of principal or interest payments on the instruments it held. U.S. government securities held by the Fund were excluded from this coverage. This policy expired on September 24, 2008.
Treasury's Guarantee Plan For Money Market Funds: The Money Market Portfolio has elected to participate in the U.S. Department of the Treasury's Guarantee Program for Money Market Funds (the "Program"). The Program was made available on September 29, 2008 and protects shareholders of record on September 19, 2008 from losses if the Money Market Portfolio is unable to maintain a $1.00 net asset value. Covered shareholders will receive $1.00 per share upon liquidation of the Money Market Portfolio, subject to adjustment and the overall amount available to all money market funds participating in the Program. The Money Market Portfolio will bear the expense of its participation in the Program. For the initial three months of the Program, the participation fee is 0.01% of the Fund's net assets as of September 19, 2008 (accordingly, the Money Market Portfolio's gross expenses will increase by this amount). Given that asset levels may vary, the yield impact of these fees may vary over time. The Program will termi nate on December 18, 2008, unless extended at the sole discretion of the Treasury Department.
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: |
|
|
First $1 Billion |
| .35% |
Over $1 Billion |
| .325% |
Equity: |
|
|
First $2 Billion |
| .50% |
Next $1 Billion |
| .475% |
Over $3 Billion |
| .45% |
Enhanced Equity: |
|
|
First $500 Million |
| .60% |
Over $500 Million |
| .55% |
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2009 for Money Market, Balanced Class I and Enhanced Equity Class I. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit any acquired fund fees and 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 Class I, .81%.
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 for Class A may not exceed .25% of Enhanced Equity's and .35% of Balanced, Bond and Equity's annual average daily net assets. The amount actually paid by Class A of Enhanced Equity, Balanced, Bond and Equity, is an annualized fee, payable monthly of .25%, .25% on assets over $30 million, .20%, and .25%, respectively, of each Classes' average daily net assets. The expenses paid for Class B and Class C may not exceed 1.00% of Enhanced Equity, Balanced, Bond and Equity's annual average daily net assets. The amount actually pai d, is an annualized fee, payable monthly of 1.00%, of each Classes' average daily net assets. Class I for Balanced, Bond, Equity and Enhanced Equity do not have Distribution Plan expenses.
The Distributor received the following amounts as its portion of the commissions charged on sales of the Funds' Class A shares for the year ended September 30, 2008: $128,979 for Balanced, $156,061 for Bond, $220,920 for Equity and $18,575 for Enhanced Equity.
Calvert Shareholder Services, Inc. (CSSI), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received fees of $187,174, $237,594, $148,076, $386,686, and $35,821 for the year ended September 30, 2008 for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Calvert Administrative Services Company (CASC), an affiliate of the Advisor, provides administrative services for the Fund. For providing such services, CASC receives an annual fee, payable monthly, based on the following annual rates of average daily net assets:
Money Market |
| .20% |
Balanced (Class A, B, & C) |
| .275% |
Balanced (Class I) |
| .125% |
Bond (Class A, B, & C) |
| .30% |
Bond (Class I) |
| .10% |
Equity (Class A, B, & C) |
| .20% |
Equity (Class I) |
| .10% |
Enhanced Equity (Class A, B, & C) |
| .15% |
Enhanced Equity (Class I) |
| .10% |
The Fund invests in Community Investment Notes issued by the Calvert Social Investment Foundation (the "CSI Foundation"). The CSI Foundation is a 501(c)(3) non-profit organization that receives in-kind support from the Calvert Group, Ltd. and its subsidiaries. The Fund has received from the Securities and Exchange Commission an exemptive order permitting the Fund to make investments in these notes under certain conditions.
Effective January 1, 2008, each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $44,000 plus a meeting fee of $2,000 for each Board meeting attended. Additional fees of up to $5,000 annually may be paid to the committee chairs and $2,500 annually may be paid to committee members, plus a committee meeting fee of $500 for each committee meeting attended. Prior to January 1, 2008, each Trustee of the Funds who was not an employee of the Advisor or its affiliates received an annual retainer of $34,000 plus a meeting fee of $2,000 for each Board meeting attended. Additional fees of up to $10,000 annually were paid to the Chairperson of special committees of the Board and the lead disinterested Trustee. Trustee's fees are allocated to each of the funds served.
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: | $411,337,683 | $1,005,055,192 | $628,812,070 | $44,288,826 |
Sales: | 438,684,388 | 911,607,770 | 701,220,825 | 46,920,617 |
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, 2008 and net realized capital loss carryforwards as of September 30, 2008 with expiration dates:
| Money |
|
|
| Market | Balanced | Bond |
Federal income tax cost of investments | $173,986,430 | $508,860,968 | $676,548,916 |
Unrealized appreciation | -- | 16,084,681 | 3,725,750 |
Unrealized (depreciation) | -- | (67,111,261) | (62,379,904) |
Net appreciation/(depreciation) | -- | (51,026,580) | (58,654,154) |
|
|
|
|
|
| Enhanced |
|
| Equity | Equity |
|
Federal income tax cost of investments | $986,450,487 | $87,531,149 |
|
Unrealized appreciation | 158,424,941 | 5,106,598 |
|
Unrealized (depreciation) | (69,678,350) | (13,608,663) |
|
Net appreciation/(depreciation) | 88,746,591 | (8,502,065) |
|
Capital Loss Carryforwards
| Money |
Expiration Date | Market |
30-Sep-10 | $14,601 |
30-Sep-11 | 6,847 |
30-Sep-13 | 6,183 |
30-Sep-14 | 211 |
30-Sep-15 | 2,100 |
| $29,942 |
Capital losses may be utilized to offset future capital gains until expiration.
Balanced, Enhanced Equity, and Money Market Portfolios intend to elect to defer net capital losses of $8,458,338, $4,617,046, and $347, respectively, incurred from November 1, 2007 through September 30, 2008 and treat them as arising in the fiscal year ending September 30, 2009.
The tax character of dividends and distributions for the years ended September 30, 2008 and September 30, 2007 were as follows:
Money Market |
|
|
Distributions from: | 2008 | 2007 |
Ordinary income | $5,577,423 | $8,156,172 |
Total | $5,577,423 | $8,156,172 |
|
|
|
Balanced |
|
|
Distributions paid from: | 2008 | 2007 |
Ordinary income | $10,489,260 | $10,727,111 |
Long-term capital gain | 31,235,018 | -- |
Total | $41,724,278 | $10,727,111 |
|
|
|
Bond |
|
|
Distributions paid from: | 2008 | 2007 |
Ordinary income | $40,398,360 | $25,102,231 |
Long-term capital gain | 5,957,593 | 329,876 |
Total | $46,355,953 | $25,432,107 |
|
|
|
Equity |
|
|
Distributions paid from: | 2008 | 2007 |
Long-term capital gain | $81,456,246 | $54,101,390 |
Total | $81,456,246 | $54,101,390 |
|
|
|
Enhanced Equity |
|
|
Distributions paid from: | 2008 | 2007 |
Ordinary income | $576,575 | $350,000 |
Long-term capital gain | 5,743,513 | 3,695,632 |
Total | $6,320,088 | $4,045,632 |
As of September 30, 2008, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Money |
|
|
| Market | Balanced | Bond |
Undistributed ordinary income | $45,250 | $235,367 | $5,537,666 |
Undistributed long-term capital gain | -- | 2,018 | 9,628,005 |
Capital loss carryforward | (29,942) | -- | -- |
Unrealized appreciation (depreciation) | -- | (51,026,580) | (58,654,155) |
Total | $15,308 | ($50,789,195) | ($43,488,484) |
|
|
|
|
|
| Enhanced |
|
| Equity | Equity |
|
Undistributed ordinary income | -- | $701,636 |
|
Undistributed long-term capital gain | $65,133,266 | -- |
|
Capital loss carryforward | -- | -- |
|
Unrealized appreciation (depreciation) | 88,746,591 | (8,502,065) |
|
Total | $153,879,857 | ($7,800,429) |
|
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the statements of assets and liabilities are primarily due to temporary book-tax differences that will reverse in a subsequent period. For Balanced Portfolio, the differences are due to passive foreign investment companies, Section 1256 contracts, partnerships, wash sales, deferral of post October losses, and interest defaults. For Bond Portfolio, the differences are due to Section 1256 contracts, wash sales, and interest defaults. For Enhanced Equity Portfolio, the difference is due to wash sales and the deferral of post October losses. For Equity Portfolio, the differences are due to wash sales and partnerships. For Money Market Portfolio, the differences are due to post October losses and distributions paid after fiscal year end.
Reclassifications, as shown in the table below, have been made to the Funds' components of net assets to reflect income and gains available for distribution (or available capital loss carryovers, as applicable) under income tax law and regulations. These reclassifications are due to permanent book-tax differences and have no impact on net assets. For Balanced Portfolio, the reclassifications are due to partnerships, real estate investment trusts, asset-backed securities, and foreign currency transactions. For Bond Portfolio, the reclassifications are due to asset-backed securities, and partnerships. For Enhanced Equity Portfolio, the reclassifications are due to real estate investment trusts, foreign currency transactions and recharacterization of distributions. For Equity Portfolio, the reclassifications are due to partnerships, net operating losses and prior year litigation settlements. For Money Market Portfolio, the reclassification is due to expired capital losses.
| Balanced | Bond |
|
Undistributed net investment income | ($321,299) | ($438,064) |
|
Accumulated net realized gain (loss) | 321,299 | 438,064 |
|
|
|
|
|
|
| Enhanced | Money |
| Equity | Equity | Market |
Undistributed net investment income | $1,277,521 | ($1,238) | -- |
Accumulated net realized gain (loss) | 97,287 | 1,238 | $8,300 |
Paid in capital | (1,374,808) | -- | (8,300) |
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, 2008, such purchases and sales transactions and net realized gains on sales of securities were:
| Money |
| Market |
Purchases | $136,564,000 |
Sales | 126,885,000 |
Net realized gains | -- |
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds (except for the Calvert Social Investment Fund's Enhanced Equity 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, 2008. For the year ended September 30, 2008, borrowings by the Portfolios under the Agreement were as follows:
Portfolio | Average | Weighted | Maximum | Month of |
Money Market | $28,314 | 2.60% | $2,128,915 | August 2008 |
Balanced | 1,951 | 3.56% | 499,293 | September 2008 |
Bond | 103,428 | 3.21% | 5,671,220 | June 2008 |
Equity | 137,817 | 4.64% | 12,382,979 | November 2007 |
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 I LLC LP | $200,000 | $171,525 |
GEEMF Partners LP | -- | 221,805 |
Milepost Ventures LP | 500,000 | 1 |
Plethora Technology, Inc. | 701,835 | -- |
TOTALS | $1,401,835 | $393,331 |
Affiliated companies of the Equity Portfolio are as follows:
Affiliates | Cost | Value |
Global Resource Options, Inc. | $1,500,000 | $3,051,828 |
NeoDiagnostix, Inc. | 300,000 | 300,000 |
New Day Farms | 500,000 | 50,000 |
TOTALS | $2,300,000 | $3,401,828 |
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 $180,000 and $981,330 for the Balanced and Equity Portfolios, respectively, at September 30, 2008.
Note G -- Subsequent Event
Effective October 31, 2008, the Bond and Equity Portfolios began to offer Class Y shares. Class Y shares are generally only available to wrap or similar fee-based programs offered by financial intermediaries that have entered into an agreement with the Fund's Distributor to offer Class Y shares. Class Y shares have no front-end or deferred sales charge.
Tax Information (Unaudited)
Balanced, Bond, Enhanced Equity, and Equity Portfolios designate $31,235,018, $5,957,593, $5,743,513 and $81,456,246, respectively, as a capital gain dividends for the fiscal year ended 9/30/08.
For ordinary dividends distributed during the fiscal year, Balanced Portfolio designates 46.6% as qualifying for the corporate dividend-received deduction and 47.9% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
For ordinary dividends distributed during the fiscal year, Enhanced Equity Portfolio designates 100% as qualifying for the corporate dividend-received deduction and 100% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
Additional information will be provided to shareholders in January 2009 for use in preparing 2008 income tax returns.
Money Market Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
|
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $1.00 | $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .029 | .045 | .039 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.029) | (.045) | (.039) |
|
Net asset value, ending |
| $1.00 | $1.00 | $1.00 |
|
Total return* |
| 2.90% | 4.64% | 3.97% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 2.83% | 4.53% | 3.90% |
|
Total expenses |
| 0.79% | .82% | .86% |
|
Expenses before offsets |
| 0.79% | .82% | .86% |
|
Net expenses |
| 0.78% | .80% | .85% |
|
Net assets, ending (in thousands) |
| $186,311 | $187,210 | $166,592 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
|
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| . | .019 | .004 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.019) | (.004) |
|
Net asset value, ending |
|
| $1.00 | $1.00 |
|
|
|
|
|
|
|
Total return* |
|
| 1.94% | .44% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 1.91% | .44% |
|
Total expenses |
|
| .91% | .91% |
|
Expenses before offsets |
|
| .88% | .88% |
|
Net expenses |
|
| .87% | .87% |
|
Net assets, ending (in thousands) |
|
| $160,218 | $169,916 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2008 | 2007 | 2006 (z) |
|
Net asset value, beginning |
| $31.37 | $29.46 | $28.25 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .57 | .60 | .55 |
|
Net realized and unrealized gain (loss) |
| (4.72) | 1.88 | 1.12 |
|
Total from investment operations |
| (4.15) | 2.48 | 1.67 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.56) | (.57) | (.46) |
|
Net realized gain |
| (1.63) | -- | -- |
|
Total distributions |
| (2.19) | (.57) | (.46) |
|
Total increase (decrease) in net asset value |
| (6.34) | 1.91 | 1.21 |
|
Net asset value, ending |
| $25.03 | $31.37 | $29.46 |
|
|
|
|
|
|
|
Total return* |
| (14.13%) | 8.47% | 5.94% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 2.03% | 1.94% | 1.90% |
|
Total expenses |
| 1.21% | 1.20% | 1.21% |
|
Expenses before offsets |
| 1.21% | 1.20% | 1.21% |
|
Net expenses |
| 1.20% | 1.19% | 1.20% |
|
Portfolio turnover |
| 77% | 81% | 73% |
|
Net assets, ending (in thousands) |
| $434,069 | $542,659 | $525,740 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $26.13 | $24.35 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .44 | .36 |
|
Net realized and unrealized gain (loss) |
|
| 2.08 | 1.77 |
|
Total from investment operations |
|
| 2.52 | 2.13 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.40) | (.35) |
|
Total distributions |
|
| (.40) | (.35) |
|
Total increase (decrease) in net asset value |
|
| 2.12 | 1.78 |
|
Net asset value, ending |
|
| $28.25 | $26.13 |
|
|
|
|
|
|
|
Total return* |
|
| 9.68% | 8.77% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 1.59% | 1.37% |
|
Total expenses |
|
| 1.22% | 1.25% |
|
Expenses before offsets |
|
| 1.22% | 1.25% |
|
Net expenses |
|
| 1.21% | 1.25% |
|
Portfolio turnover |
|
| 83% | 106% |
|
Net assets, ending (in thousands) |
|
| $517,840 | $486,255 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2008 | 2007 | 2006 (z) |
|
Net asset value, beginning |
| $31.13 | $29.24 | $28.05 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .28 | .28 | .27 |
|
Net realized and unrealized gain (loss) |
| (4.66) | 1.89 | 1.10 |
|
Total from investment operations |
| (4.38) | 2.17 | 1.37 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.28) | (.28) | (.18) |
|
Net realized gain |
| (1.63) | -- | -- |
|
Total distributions |
| (1.91) | (.28) | (.18) |
|
Total increase (decrease) in net asset value |
| (6.29) | 1.89 | 1.19 |
|
Net asset value, ending |
| $24.84 | $31.13 | $29.24 |
|
|
|
|
|
|
|
Total return* |
| (14.93%) | 7.45% | 4.90% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 1.05% | .99% | .95% |
|
Total expenses |
| 2.19% | 2.15% | 2.16% |
|
Expenses before offsets |
| 2.19% | 2.15% | 2.16% |
|
Net expenses |
| 2.18% | 2.14% | 2.15% |
|
Portfolio turnover |
| 77% | 81% | 73% |
|
Net assets, ending (in thousands) |
| $17,939 | $24,767 | $27,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $25.94 | $24.18 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .17 | .11 |
|
Net realized and unrealized gain (loss) |
|
| 2.06 | 1.74 |
|
Total from investment operations |
|
| 2.23 | 1.85 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.12) | (.09) |
|
Total distributions |
|
| (.12) | (.09) |
|
Total increase (decrease) in net asset value |
|
| 2.11 | 1.76 |
|
Net asset value, ending |
|
| $28.05 | $25.94 |
|
|
|
|
|
|
|
Total return* |
|
| 8.62% | 7.63% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| .60% | .34% |
|
Total expenses |
|
| 2.20% | 2.27% |
|
Expenses before offsets |
|
| 2.20% | 2.27% |
|
Net expenses |
|
| 2.20% | 2.26% |
|
Portfolio turnover |
|
| 83% | 106% |
|
Net assets, ending (in thousands) |
|
| $28,592 | $24,839 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2008 | 2007 | 2006 (z) |
|
Net asset value, beginning |
| $30.83 | $28.95 | $27.79 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .32 | .32 | .28 |
|
Net realized and unrealized gain (loss) |
| (4.64) | 1.85 | 1.07 |
|
Total from investment operations |
| (4.32) | 2.17 | 1.35 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.30) | (.29) | (.19) |
|
Net realized gain |
| (1.63) | -- | -- |
|
Total distributions |
| (1.93) | (.29) | (.19) |
|
Total increase (decrease) in net asset value |
| (6.25) | 1.88 | 1.16 |
|
Net asset value, ending |
| $24.58 | $30.83 | $28.95 |
|
|
|
|
|
|
|
Total return* |
| (14.88%) | 7.53% | 4.87% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 1.15% | 1.07% | .99% |
|
Total expenses |
| 2.08% | 2.07% | 2.11% |
|
Expenses before offsets |
| 2.08% | 2.07% | 2.11% |
|
Net expenses |
| 2.08% | 2.06% | 2.10% |
|
Portfolio turnover |
| 77% | 81% | 73% |
|
Net assets, ending (in thousands) |
| $24,631 | $30,340 | $27,547 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $25.70 | $23.95 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .18 | .12 |
|
Net realized and unrealized gain (loss) |
|
| 2.04 | 1.73 |
|
Total from investment operations |
|
| 2.22 | 1.85 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.13) | (.10) |
|
Total distributions |
|
| (.13) | (.10) |
|
Total increase (decrease) in net asset value |
|
| 2.09 | 1.75 |
|
Net asset value, ending |
|
| $27.79 | $25.70 |
|
|
|
|
|
|
|
Total return* |
|
| 8.67% | 7.71% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| .65% | .39% |
|
Total expenses |
|
| 2.16% | 2.22% |
|
Expenses before offsets |
|
| 2.16% | 2.22% |
|
|
|
|
|
|
|
Net expenses |
|
| 2.15% | 2.22% |
|
Portfolio turnover |
|
| 83% | 106% |
|
Net assets, ending (in thousands) |
|
| $25,980 | $21,819 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2008 | 2007 | 2006 (z) |
|
Net asset value, beginning |
| $31.64 | $29.70 | $28.38 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .70 | .76 | .64 |
|
Net realized and unrealized gain (loss) |
| (4.75) | 1.90 | 1.17 |
|
Total from investment operations |
| (4.05) | 2.66 | 1.81 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.69) | (.72) | (.49) |
|
Net realized gain |
| (1.63) | -- | -- |
|
Total distributions |
| (2.32) | (.72) | (.49) |
|
Total increase (decrease) in net asset value |
| (6.37) | 1.94 | 1.32 |
|
Net asset value, ending |
| $25.27 | $31.64 | $29.70 |
|
|
|
|
|
|
|
Total return* |
| (13.69%) | 9.00% | 6.43% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 2.52% | 2.40% | 2.44% |
|
Total expenses |
| .80% | .77% | 1.07% |
|
Expenses before offsets |
| .72% | .73% | .73% |
|
Net expenses |
| .72% | .72% | .72% |
|
Portfolio turnover |
| 77% | 81% | 73% |
|
Net assets, ending (in thousands) |
| $5,905 | $8,721 | $6,317 |
|
|
|
|
|
|
|
|
|
| Periods Ended |
| |
|
|
| September 30, | June 30, |
|
Class I Shares |
|
| 2005 (x) | 2003 (y) |
|
Net asset value, beginning |
|
| $27.47 | $21.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .41 | .38 |
|
Net realized and unrealized gain (loss) |
|
| .87 | 2.49 |
|
Total from investment operations |
|
| 1.28 | 2.87 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.37) | (.33) |
|
Net realized gain |
|
| -- | -- |
|
Total distributions |
|
| (.37) | (.33) |
|
Total increase (decrease) in net asset value |
|
| .91 | 2.54 |
|
Net asset value, ending |
|
| $28.38 | $23.87 |
|
|
|
|
|
|
|
Total return* |
|
| 4.71% | 13.63% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 1.94% (a) | 2.25% (a) |
|
Total expenses |
|
| 1.28% (a) | .72% (a) |
|
Expenses before offsets |
|
| .72% (a) | .72% (a) |
|
Net expenses |
|
| .72% (a) | .72% (a) |
|
Portfolio turnover |
|
| 70% | 140% |
|
Net assets, ending (in thousands) |
|
| $1,012 | $0 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $15.92 | $15.83 | $16.18 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .69 | .69 | .64 |
|
Net realized and unrealized gain (loss) |
| (.54) | .13 | (.05) |
|
Total from investment operations |
| .15 | .82 | .59 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.68) | (.70) | (.64) |
|
Net realized gain |
| (.25) | (.03) | (.30) |
|
Total distributions |
| (.93) | (.73) | (.94) |
|
Total increase (decrease) in net asset value |
| (0.78) | 0.09 | (.35) |
|
Net asset value, ending |
| $15.14 | $15.92 | $15.83 |
|
|
|
|
|
|
|
Total return* |
| .86% | 5.31% | 3.82% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 4.40% | 4.41% | 4.16% |
|
Total expenses |
| 1.10% | 1.12% | 1.14% |
|
Expenses before offsets |
| 1.10% | 1.12% | 1.14% |
|
Net expenses |
| 1.10% | 1.11% | 1.13% |
|
Portfolio turnover |
| 147% | 190% | 150% |
|
Net assets, ending (in thousands) |
| $610,869 | $453,813 | $336,698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.33 | $16.29 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .47 | .45 |
|
Net realized and unrealized gain (loss) |
|
| .32 | .48 |
|
Total from investment operations |
|
| .79 | .93 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.48) | (.45) |
|
Net realized gain |
|
| (.46) | (.44) |
|
Total distributions |
|
| (.94) | (.89) |
|
Total increase (decrease) in net asset value |
|
| (.15) | .04 |
|
Net asset value, ending |
|
| $16.18 | $16.33 |
|
|
|
|
|
|
|
Total return* |
|
| 5.05% | 5.97% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 3.00% | 2.82% |
|
Total expenses |
|
| 1.16% | 1.19% |
|
Expenses before offsets |
|
| 1.16% | 1.19% |
|
Net expenses |
|
| 1.16% | 1.18% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $237,396 | $172,470 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $15.84 | $15.76 | $16.11 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .54 | .54 | .50 |
|
Net realized and unrealized gain (loss) |
| (.54) | .12 | (.05) |
|
Total from investment operations |
| -- | .66 | .45 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.53) | (.55) | (.50) |
|
Net realized gain |
| (.25) | (.03) | (.30) |
|
Total distributions |
| (.78) | (.58) | (.80) |
|
Total increase (decrease) in net asset value |
| (.78) | 0.08 | (.35) |
|
Net asset value, ending |
| $15.06 | $15.84 | $15.76 |
|
|
|
|
|
|
|
Total return* |
| (.09%) | 4.29% | 2.89% | |
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 3.43% | 3.43% | 3.17% |
|
Total expenses |
| 2.07% | 2.09% | 2.09% |
|
Expenses before offsets |
| 2.07% | 2.09% | 2.09% |
|
Net expenses |
| 2.06% | 2.08% | 2.08% |
|
Portfolio turnover |
| 147% | 190% | 150% |
|
Net assets, ending (in thousands) |
| $17,298 | $14,834 | $17,154 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.27 | $16.22 |
|
Income from investment operations |
|
|
|
|
|
Expenses before offsets Net investment income |
|
| .32 | .31 |
|
Net realized and unrealized gain (loss) |
|
| .31 | .49 |
|
Total from investment operations |
|
| .63 | .80 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.33) | (.31) |
|
Net realized gain |
|
| (.46) | (.44) |
|
Total distributions |
|
| (.79) | (.75) |
|
Total increase (decrease) in net asset value |
|
| (.16) | .05 |
|
Net asset value, ending |
|
| $16.11 | $16.27 |
|
|
|
|
|
|
|
Total return* |
|
| 4.03% | 5.11% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 2.03% | 1.93% |
|
Total expenses |
|
| 2.11% | 2.09% |
|
Expenses before offsets |
|
| 2.11% | 2.09% |
|
Net expenses |
|
| 2.10% | 2.08% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $18,559 | $17,605 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $15.83 | $15.75 | $16.09 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .56 | .56 | .51 |
|
Net realized and unrealized gain (loss) |
| (.53) | .12 | (.04) |
|
Total from investment operations |
| .03 | .68 | .47 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.55) | (.57) | (.51) |
|
Net realized gain |
| (.25) | (.03) | (.30) |
|
Total distributions |
| (.80) | (.60) | (.81) |
|
Total increase (decrease) in net asset value |
| (.77) | 0.08 | (.34) |
|
Net asset value, ending |
| $15.06 | $15.83 | $15.75 |
|
|
|
|
|
|
|
Total return* |
| .11% | 4.41% | 3.01% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 3.60% | 3.61% | 3.31% |
|
Total expenses |
| 1.90% | 1.92% | 1.99% |
|
Expenses before offsets |
| 1.90% | 1.92% | 1.99% |
|
Net expenses |
| 1.89% | 1.91% | 1.98% |
|
Portfolio turnover |
| 147% | 190% | 150% |
|
Net assets, ending (in thousands) |
| $52,869 | $36,202 | $27,447 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.25 | $16.21 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .34 | .31 |
|
Net realized and unrealized gain (loss) |
|
| .30 | .48 |
|
Total from investment operations |
|
| .64 | .79 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.34) | (.31) |
|
Net realized gain |
|
| (.46) | (.44) |
|
Total distributions |
|
| (.80) | (.75) |
|
Total increase (decrease) in net asset value |
|
| (.16) | .04 |
|
Net asset value, ending |
|
| $16.09 | $16.25 |
|
|
|
|
|
|
|
Total return* |
|
| 4.09% | 5.06% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 2.13% | 1.94% |
|
Total expenses |
|
| 2.04% | 2.07% |
|
Expenses before offsets |
|
| 2.04% | 2.07% |
|
Net expenses |
|
| 2.03% | 2.06% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $19,276 | $13,130 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $15.94 | $15.85 | $16.18 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .78 | .78 | .73 |
|
Net realized and unrealized gain (loss) |
| (.54) | .13 | (.04) |
|
Total from investment operations |
| .24 | .91 | .69 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.77) | (.79) | (.72) |
|
Net realized gain |
| (.25) | (.03) | (.30) |
|
Total distributions |
| (1.02) | (.82) | (1.02) |
|
Total increase (decrease) in net asset value |
| (.78) | 0.09 | (.33) |
|
Net asset value, ending |
| $15.16 | $15.94 | $15.85 |
|
|
|
|
|
|
|
Total return* |
| 1.45% | 5.89% | 4.48% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 4.98% | 4.99% | 4.77% |
|
Total expenses |
| 0.52% | .53% | .56% |
|
Expenses before offsets |
| 0.52% | .53% | .56% |
|
Net expenses |
| 0.51% | .52% | .55% |
|
Portfolio turnover |
| 147% | 190% | 150% |
|
Net assets, ending (in thousands) |
| $208,076 | $152,871 | $74,714 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.33 | $16.29 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .57 | .55 |
|
Net realized and unrealized gain (loss) |
|
| .31 | .48 |
|
Total from investment operations |
|
| .88 | 1.03 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.57) | (.55) |
|
Net realized gain |
|
| (.46) | (.44) |
|
Total distributions |
|
| (1.03) | (.99) |
|
Total increase (decrease) in net asset value |
|
| (.15) | .04 |
|
Net asset value, ending |
|
| $16.18 | $16.33 |
|
|
|
|
|
|
|
Total return* |
|
| 5.63% | 6.62% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 3.57% | 3.41% |
|
Total expenses |
|
| .61% | .61% |
|
Expenses before offsets |
|
| .61% | .61% |
|
Net expenses |
|
| .60% | .60% |
|
Portfolio turnover |
|
| 161% | 244% |
|
Net assets, ending (in thousands) |
|
| $29,278 | $17,324 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $41.06 | $37.15 | $35.38 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.02) | ** | (.02) |
|
Net realized and unrealized gain (loss) |
| (5.69) | 5.50 | 2.38 |
|
Total from investment operations |
| (5.71) | 5.50 | 2.36 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (2.43) | (1.59) | (.59) |
|
Total distributions |
| (2.43) | (1.59) | (.59) |
|
Total increase (decrease) in net asset value |
| (8.14) | 3.91 | 1.77 |
|
Net asset value, ending |
| $32.92 | $41.06 | $37.15 |
|
|
|
|
|
|
|
Total return* |
| (14.85%) | 15.23% | 6.74% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.05%) | (.01%) | (.06%) |
|
Total expenses |
| 1.21% | 1.21% | 1.23% |
|
Expenses before offsets |
| 1.21% | 1.21% | 1.23% |
|
Net expenses |
| 1.20% | 1.21% | 1.23% |
|
Portfolio turnover |
| 51% | 35% | 35% |
|
Net assets, ending (in thousands) |
| $834,312 | $1,000,992 | $907,459 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $31.63 | $29.43 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| .03 | (.09) |
|
Net realized and unrealized gain (loss) |
|
| 3.72 | 2.29 |
|
Total from investment operations |
|
| 3.75 | 2.20 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| -- | -- |
|
Total increase (decrease) in net asset value |
|
| 3.75 | 2.20 |
|
Net asset value, ending |
|
| $35.38 | $31.63 |
|
|
|
|
|
|
|
Total return* |
|
| 11.86% | 7.48% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| .08% | (.32%) |
|
Total expenses |
|
| 1.25% | 1.25% |
|
Expenses before offsets |
|
| 1.25% | 1.25% |
|
Net expenses |
|
| 1.24% | 1.24% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $858,873 | $695,472 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $37.29 | $34.15 | $32.84 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.33) | (.33) | (.32) |
|
Net realized and unrealized gain (loss) |
| (5.07) | 5.06 | 2.22 |
|
Total from investment operations |
| (5.40) | 4.73 | 1.90 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (2.43) | (1.59) | (.59) |
|
Total distributions |
| (2.43) | (1.59) | (.59) |
|
Total increase (decrease) in net asset value |
| (7.83) | 3.14 | 1.31 |
|
Net asset value, ending |
| $29.46 | $37.29 | $34.15 |
|
|
|
|
|
|
|
Total return* |
| (15.56%) | 14.28% | 5.85% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.89%) | (.84%) | (.90%) |
|
Total expenses |
| 2.05% | 2.04% | 2.06% |
|
Expenses before offsets |
| 2.05% | 2.04% | 2.06% |
|
Net expenses |
| 2.05% | 2.04% | 2.06% |
|
Portfolio turnover |
| 51% | 35% | 35% |
|
Net assets, ending (in thousands) |
| $59,438 | $87,476 | $95,903 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $29.61 | $27.78 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.24) | (.33) |
|
Net realized and unrealized gain (loss) |
|
| 3.47 | 2.16 |
|
Total from investment operations |
|
| 3.23 | 1.83 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| -- | -- |
|
Total increase (decrease) in net asset value |
|
| 3.23 | 1.83 |
|
Net asset value, ending |
|
| $32.84 | $29.61 |
|
|
|
|
|
|
|
Total return* |
|
| 10.91% | 6.59% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.77%) | (1.16%) |
|
Total expenses |
|
| 2.09% | 2.09% |
|
Expenses before offsets |
|
| 2.09% | 2.09% |
|
Net expenses |
|
| 2.09% | 2.08% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $105,189 | $86,242 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $34.73 | $31.89 | $30.68 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
| (.25) | (.25) | (.26) |
|
Net realized and unrealized gain (loss) |
| (4.73) | 4.68 | 2.06 |
|
Total from investment operations |
| (4.98) | 4.43 | 1.80 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (2.43) | (1.59) | (.59) |
|
Total distributions |
| (2.43) | (1.59) | (.59) |
|
Total increase (decrease) in net asset value |
| (7.41) | 2.84 | 1.21 |
|
Net asset value, ending |
| $27.32 | $34.73 | $31.89 |
|
|
|
|
|
|
|
Total return* |
| (15.49%) | 14.35% | 5.93% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.81%) | (.76%) | (.82%) |
|
Total expenses |
| 1.97% | 1.96% | 1.99% |
|
Expenses before offsets |
| 1.97% | 1.96% | 1.99% |
|
Net expenses |
| 1.96% | 1.96% | 1.98% |
|
Portfolio turnover |
| 51% | 35% | 35% |
|
Net assets, ending (in thousands) |
| $97,327 | $119,917 | $109,468 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $27.64 | $25.92 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
|
| (.20) | (.27) |
|
Net realized and unrealized gain (loss) |
|
| 3.24 | 1.99 |
|
Total from investment operations |
|
| 3.04 | 1.72 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| -- | -- |
|
Total increase (decrease) in net asset value |
|
| 3.04 | 1.72 |
|
Net asset value, ending |
|
| $30.68 | $27.64 |
|
|
|
|
|
|
|
Total return* |
|
| 11.00% | 6.64% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.69%) | (1.09%) |
|
Total expenses |
|
| 2.01% | 2.03% |
|
Expenses before offsets |
|
| 2.01% | 2.03% |
|
Net expenses |
|
| 2.01% | 2.03% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $107,305 | $86,514 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2008 | 2007 | 2006 |
|
Net asset value, beginning |
| $42.79 | $38.44 | $36.40 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .20 | .21 | .17 |
|
Net realized and unrealized gain (loss) |
| (5.98) | 5.73 | 2.46 |
|
Total from investment operations |
| (5.78) | 5.94 | 2.63 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (2.43) | (1.59) | (.59) |
|
Total distributions |
| (2.43) | (1.59) | (.59) |
|
Total increase (decrease) in net asset value |
| (8.21) | 4.35 | 2.04 |
|
Net asset value, ending |
| $34.58 | $42.79 | $38.44 |
|
|
|
|
|
|
|
Total return* |
| (14.39%) | 15.88% | 7.30% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| .49% | .53% | .49% |
|
Total expenses |
| .67% | .67% | .68% |
|
Expenses before offsets |
| .67% | .67% | .68% |
|
Net expenses |
| .67% | .66% | .67% |
|
Portfolio turnover |
| 51% | 35% | 35% |
|
Net assets, ending (in thousands) |
| $118,423 | $170,767 | $163,685 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $32.36 | $29.94 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .19 | .07 |
|
Net realized and unrealized gain (loss) |
|
| 3.85 | 2.35 |
|
Total from investment operations |
|
| 4.04 | 2.42 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| -- | -- |
|
Total increase (decrease) in net asset value |
|
| 4.04 | 2.42 |
|
Net asset value, ending |
|
| $36.40 | $32.36 |
|
|
|
|
|
|
|
Total return* |
|
| 12.48% | 8.08% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| .63% | .25% |
|
Total expenses |
|
| .68% | .68% |
|
Expenses before offsets |
|
| .68% | .68% |
|
Net expenses |
|
| .68% | .68% |
|
Portfolio turnover |
|
| 31% | 17% |
|
Net assets, ending (in thousands) |
|
| $133,696 | $93,347 |
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2008 (z) | 2007 (z) | 2006 (z) |
|
Net asset value, beginning |
| $20.49 | $19.75 | $18.76 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| .15 | .13 | .10 |
|
Net realized and unrealized gain (loss) |
| (4.52) | 1.53 | 1.51 |
|
Total from investment operations |
| (4.37) | 1.66 | 1.61 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.11) | (.09) | (.06) |
|
Net realized gain |
| (1.08) | (.83) | (.56) |
|
Total distributions |
| (1.19) | (.92) | (.62) |
|
Total increase (decrease) in net asset value |
| (5.56) | .74 | .99 |
|
Net asset value, ending |
| $14.93 | $20.49 | $19.75 |
|
|
|
|
|
|
|
Total return* |
| (22.57%) | 8.58% | 8.79% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| .84% | .66% | .56% |
|
Total expenses |
| 1.36% | 1.33% | 1.36% |
|
Expenses before offsets |
| 1.26% | 1.23% | 1.26% |
|
Net expenses |
| 1.24% | 1.20% | 1.23% |
|
Portfolio turnover |
| 46% | 56% | 47% |
|
Net assets, ending (in thousands) |
| $45,345 | $65,209 | $58,020 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $16.96 | $15.17 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| .12 | .03 |
|
Net realized and unrealized gain (loss) |
|
| 1.75 | 1.76 |
|
Total from investment operations |
|
| 1.87 | 1.79 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.07) | -- |
|
Total distributions |
|
| (.07) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.80 | 1.79 |
|
Net asset value, ending |
|
| $18.76 | $16.96 |
|
|
|
|
|
|
|
Total return* |
|
| 11.03%(r) | 11.80% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| .64% | .19% |
|
Total expenses |
|
| 1.38% | 1.43% |
|
Expenses before offsets |
|
| 1.28% | 1.43% |
|
Net expenses |
|
| 1.27% | 1.41% |
|
Portfolio turnover |
|
| 38% | 13% |
|
Net assets, ending (in thousands) |
|
| $54,618 | $55,253 |
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2008 (z) | 2007 (z) | 2006 (z) |
|
Net asset value, beginning |
| $18.72 | $18.20 | $17.43 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.04) | (.06) | (.07) |
|
Net realized and unrealized gain (loss) |
| (4.09) | 1.41 | 1.40 |
|
Total from investment operations |
| (4.13) | 1.35 | 1.33 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (1.08) | (.83) | (.56) |
|
Total distributions |
| (1.08) | (.83) | (.56) |
|
Total increase (decrease) in net asset value |
| (5.21) | .52 | .77 |
|
Net asset value, ending |
| $13.51 | $18.72 | $18.20 |
|
|
|
|
|
|
|
Total return* |
| (23.36%) | 7.55% | 7.78% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.23%) | (.30%) | (.38%) |
|
Total expenses |
| 2.41% | 2.29% | 2.30% |
|
Expenses before offsets |
| 2.31% | 2.19% | 2.20% |
|
Net expenses |
| 2.30% | 2.16% | 2.17% |
|
Portfolio turnover |
| 46% | 56% | 47% |
|
Net assets, ending (in thousands) |
| $4,003 | $7,257 | $8,156 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $15.84 | $14.30 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.05) | (.12) |
|
Net realized and unrealized gain (loss) |
|
| 1.64 | 1.66 |
|
Total from investment operations |
|
| 1.59 | 1.54 |
|
Total increase (decrease) in net asset value |
|
| 1.59 | 1.54 |
|
Net asset value, ending |
|
| $17.43 | $15.84 |
|
|
|
|
|
|
|
Total return* |
|
| 10.04%(r) | 10.77% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.31%) | (.75%) |
|
Total expenses |
|
| 2.32% | 2.37% |
|
Expenses before offsets |
|
| 2.22% | 2.37% |
|
Net expenses |
|
| 2.21% | 2.36% |
|
Portfolio turnover |
|
| 38% | 13% |
|
Net assets, ending (in thousands) |
|
| $9,043 | $8,391 |
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2008 (z) | 2007 (z) | 2006 (z) |
|
Net asset value, beginning |
| $18.82 | $18.27 | $17.50 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| -- | (.04) | (.06) |
|
Net realized and unrealized gain (loss) |
| (4.13) | 1.42 | 1.39 |
|
Total from investment operations |
| (4.13) | 1.38 | 1.33 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (1.08) | (.83) | (.56) |
|
Total distributions |
| (1.08) | (.83) | (.56) |
|
Total increase (decrease) in net asset value |
| (5.21) | .55 | .77 |
|
Net asset value, ending |
| $13.61 | $18.82 | $18.27 |
|
|
|
|
|
|
|
Total return* |
| (23.23%) | 7.69% | 7.75% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.03%) | (.20%) | (.33%) |
|
Total expenses |
| 2.22% | 2.19% | 2.25% |
|
Expenses before offsets |
| 2.12% | 2.09% | 2.15% |
|
Net expenses |
| 2.10% | 2.06% | 2.12% |
|
Portfolio turnover |
| 46% | 56% | 47% |
|
Net assets, ending (in thousands) |
| $6,631 | $10,089 | $7,846 |
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2005 | 2004 |
|
Net asset value, beginning |
|
| $15.90 | $14.35 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.05) | (.10) |
|
Net realized and unrealized gain (loss) |
|
| 1.65 | 1.65 |
|
Total from investment operations |
|
| 1.60 | 1.55 |
|
Total increase (decrease) in net asset value |
|
| 1.60 | 1.55 |
|
Net asset value, ending |
|
| $17.50 | $15.90 |
|
|
|
|
|
|
|
Total return* |
|
| 10.06%(r) | 10.80% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.29%) | (.72%) |
|
Total expenses |
|
| 2.28% | 2.34% |
|
Expenses before offsets |
|
| 2.18% | 2.34% |
|
Net expenses |
|
| 2.17% | 2.32% |
|
Portfolio turnover |
|
| 38% | 13% |
|
Net assets, ending (in thousands) |
|
| $7,344 | $6,038 |
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2008 (z) | 2007 (z) | 2006(z) |
|
Net asset value, beginning |
| $20.67 | $19.83 | $18.75 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .24 | .22 | .19 |
|
Net realized and unrealized gain (loss) |
| (4.56) | 1.55 | 1.50 |
|
Total from investment operations |
| (4.32) | 1.77 | 1.69 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.14) | (.10) | (.05) |
|
Net realized gain |
| (1.08) | (.83) | (.56) |
|
Total distributions |
| (1.22) | (.93) | (.61) |
|
Total increase (decrease) in net asset value |
| (5.54) | .84 | 1.08 |
|
Net asset value, ending |
| $15.13 | $20.67 | $19.83 |
|
|
|
|
|
|
|
Total return* |
| (22.13%) | 9.09% | 9.19% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 1.36% | 1.09% | .99% |
|
Total expenses |
| .85% | .88% | 1.20% |
|
Expenses before offsets |
| .75% | .78% | .84% |
|
Net expenses |
| .74% | .76% | .81% |
|
Portfolio turnover |
| 46% | 56% | 47% |
|
Net assets, ending (in thousands) |
| $23,364 | $24,663 | $9,464 |
|
|
|
|
|
|
|
|
|
| Periods Ended |
|
|
|
| September 30, | January 18, | September 30, |
|
Class I Shares |
| 2005(v) | 2002(w) | 2001 |
|
Net asset value, beginning |
| $17.42 | $14.84 | $20.04 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .03 | .02 | .07 |
|
Net realized and unrealized gain (loss) |
| 1.30 | 1.62 | (5.13) |
|
Total from investment operations |
| 1.33 | 1.64 | (5.06) |
|
Distributions from |
|
|
|
|
|
Net investment income |
| -- | -- | (.14) |
|
Total increase (decrease) in net asset value |
| 1.33 | 1.64 | (5.20) |
|
Net asset value, ending |
| $18.75 | $16.48 | $14.84 |
|
|
|
|
|
|
|
Total return* |
| 7.63% | 11.08% | (25.40%) |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| .65% (a) | .53% (a) | .38% |
|
Total expenses |
| 2.57% (a) | 1,022.38% (a) | 1.00% |
|
Expenses before offsets |
| .82% (a) | .77% (a) | .82% |
|
Net expenses |
| .81% (a) | .75% (a) | .75% |
|
Portfolio turnover |
| 15% | 10% | 39% |
|
Net assets, ending (in thousands) |
| $1,246 | $0 | $1 |
|
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.
** Amount was less than (0.01) per share.
(a) Annualized.
(r) Total return would have been 10.86%, 9.79% and 9.81% for Classes A, B and C, respectively without the payment by affiliate.
(v) Class I shares resumed operations upon shareholder investment on April 29, 2005.
(w) The last remaining shareholder in Class I redeemed on January 18, 2002.
(x) Class I shares resumed operations upon shareholder investment on December 27, 2004.
(y) The last remaining shareholder in Class I redeemed on June 30, 2003.
(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, expre ssed 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
Name & |
|
| Principal Occupation | (Not Applicable to Officers) | |||
# of Calvert | Other | ||||||
INDEPENDENT TRUSTEES/DIRECTORS | |||||||
REBECCA L. ADAMSON AGE: 59 | Trustee
Director
Director
Director | 1989 CSIF 2000 IMPACT 2000 CSIS 2005 CWVF | President of the national non-profit, First People's Worldwide, formerly First Nations Financial Project. Founded by her in 1980, First People's Worldwide is the only American Indian alternative development institute in the country. | 17 |
| ||
RICHARD L. BAIRD, JR. AGE: 60 | Trustee & Chair Director & Chair Director & Chair Director & Chair | 1982 CSIF 2000 CSIS 2005 CWVF 2005 Impact
| President and CEO of Adagio Health Inc. (formerly Family Health Council, Inc.) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Mr. Baird assumed the office of Fund Chair in 2008. | 29 |
| ||
JOHN G. GUFFEY, JR. AGE: 60 | Director
Trustee
Director
Director
| 1992 CWVF 1982 CSIF 2000 CSIS 2005 IMPACT | Treasurer and Director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003) and President of Aurora Press Inc., a privately held publisher of trade paperbacks (since 1998).
| 29 |
| ||
MILES DOUGLAS HARPER, III AGE: 46 | Director
Trustee
Director
Director | 2000 Impact 2005 CSIF 2005 CSIS 2005 CWVF | Partner, Gainer Donnelly & Desroches (public accounting firm) since January 1999. | 17 |
| ||
JOY V. JONES AGE: 58 | Director Trustee
Director
Director | 2000 Impact 1990 CSIF 2000 CSIS 2005 CWVF | Attorney and entertainment manager in New York City.
| 17 |
| ||
TERRENCE J. MOLLNER, Ed.D. AGE: 63 | Director Trustee
Director
Director | 1992 CWVF 1982 CSIF 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.
| 17 |
| ||
SYDNEY AMARA MORRIS AGE: 59 | 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. Rev. Morris is a graduate of Harvard Divinity School. She currently chairs the Umbrian Universalist National Committee on Socially Responsible Investing.
| 17 |
| ||
RUSTUM ROY AGE: 84 | Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Evan Pugh Professor of 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. | 17 |
| ||
TESSA TENNANT AGE: 49 | Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Executive Chair, The ICE Organization, UK and former Chair and founder of ASrIA Ltd. Director 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. | 17 |
| ||
INTERESTED TRUSTEES/DIRECTORS | |||||||
BARBARA J. KRUMSIEK AGE: 56 | 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 Chair of Calvert Group, Ltd.
| 42 |
| ||
D. WAYNE SILBY, Esq. AGE: 60 | Director
Trustee & President
Director & President Director | 1992 CWVF 1982 CSIF
2000 CSIS 2000 Impact | Mr. Silby is the founding Chair of the Calvert Funds. He is the Chair-Elect and a principal of Syntao.com, a Beijing-based company promoting corporate social responsibility. He was an officer and director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003). | 29 |
| ||
OFFICERS | |||||||
KAREN BECKER Age: 56 | Chief Compliance Officer | 2005 | Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. | ||||
SUSAN WALKER BENDER, Esq. AGE: 49 | Assistant Vice-President & Assistant Secretary | 1988 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd.
| ||||
THOMAS DAILEY AGE: 44 | Vice President | 2004 CSIF | Vice President of Calvert Asset Management Company, Inc.
| ||||
IVY WAFFORD DUKE, Esq. AGE: 40 | Assistant Vice-President & Assistant Secretary | 1996 CSIF 2000 CSIS 1996 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd., and since 2004, Chief Compliance Officer for Calvert Asset Management Company, investment advisor to the Funds. | ||||
TRACI L. GOLDT AGE: 35 | Assistant Secretary | 2004 | Executive Assistant to General Counsel, Calvert Group, Ltd. | ||||
GREGORY B. HABEEB AGE: 58 | Vice President | 2004 CSIF
| Senior Vice President of Calvert Asset Management Company, Inc.
| ||||
DANIEL K. HAYES AGE: 58 | Vice President | 1996 CSIF 2000 CSIS 1996 CWVF 2000 Impact | Senior Vice President of Calvert Asset Management Company, Inc.
| ||||
HUI PING HO, CPA AGE: 43 | Assistant Treasurer
| 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. | ||||
LANCELOT A. KING, Esq. AGE: 38 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd. | ||||
EDITH LILLIE AGE: 51 | Assistant Secretary
| 2007 | Assistant Secretary (since 2007) and Regulatory Matters Manager of Calvert Group, Ltd. | ||||
AUGUSTO DIVO MACEDO, Esq. AGE: 46 | Assistant Vice President & Assistant Secretary | 2007 | Assistant Vice President, Assistant Secretary, and Associate Counsel Compliance Calvert Group, Ltd. Prior to joining Calvert in 2005, Mr. Macedo served as 2nd Vice President at Acacia Life Insurance Company and The Advisors Group, Acacia's broker-dealer and federally registered investment adviser. | ||||
JANE B. MAXWELL Esq. AGE: 56 | Assistant Vice President & Assistant Secretary
| 2005 | Assistant Vice President, 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: 41 | Assistant Vice President & Assistant Secretary
| 2006 | Assistant Vice President, 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 LLP. | ||||
CATHERINE P. ROY AGE: 52
| Vice President | 2004
| Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2004, Ms. Roy was Senior Vice President of US Fixed Income for Baring Asset Management, and SVP and Senior Portfolio Manager of Scudder Insurance Asset Management.
| ||||
WILLIAM M. TARTIKOFF, Esq. AGE: 61 | Vice President and Secretary | 1990 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd.
| ||||
RONALD M. WOLFSHEIMER, CPA AGE: 56 | Treasurer | 1982 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Senior Vice President and Chief Financial and Administrative Officer of Calvert Group, Ltd. and Fund Treasurer. | ||||
MICHAEL V. YUHAS JR., CPA AGE: 47 | Fund Controller | 1999 CSIF 2000 CSIS 1999 CWVF 2000 Impact | Vice President 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 and a director of its parent companies. 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
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
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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 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
Calvert Global Alternative Energy Fund
Calvert International Opportunities Fund
Calvert Global Water Fund
Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
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<PAGE>
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September 30, 2008
Annual Report
Calvert Asset Allocation Funds:
Conservative Allocation Fund
Moderate Allocation Fund
Aggressive Allocation Fund
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Table of Contents
President's Letter
1
Social Update
4
Portfolio Management Discussion
6
Shareholder Expense Example
12
Report of Independent Registered Public Accounting Firm
15
Statements of Net Assets
16
Statements of Operations
19
Statements of Changes in Net Assets
20
Notes to Financial Statements
24
Financial Highlights
30
Explanation of Financial Tables
38
Proxy Voting and Availability of Quarterly Portfolio Holdings
40
Trustee and Officer Information Table
42
Dear Shareholder:
As you well know from the headlines, we are confronting a period of virtually unprecedented economic turmoil and declines in the financial markets. This past year has seen highly volatile markets, with nearly all asset classes posting sharp losses. A time period that began with the first intimations of the credit crisis has closed with a rearrangement of the financial landscape, with many of the market's best-known companies forced to close, merge with competitors, or receive emergency funding from the government.
Our reporting period ended on September 30 with the Standard & Poor's 500 Index down 21.98% for the 12-month period. Diversification provided little solace during this period, as only fixed-income asset classes with no credit risk--such as U.S. Treasuries--emerged with positive returns. The Morgan Stanley Capital International (MSCI) World Index was down 25.62% and the benchmark Russell 2000 Index dropped by 14.48% during the reporting period. Moreover, losses continued after the period ended, with a series of unprecedented drops during the first week of October.
Sustainable and Responsible Investment
In a crisis that was caused by an array of factors, including an over-leveraged economy that led to bubbles in prices of housing and other assets, the short-term focus of many financial institutions, and lax regulatory oversight, we believe that owning companies with stronger corporate governance practices (such as transparency, disclosure, and board independence) allowed us to avoid some of the more spectacular losses. We feel that during periods of market turbulence it becomes more important than ever to pursue sustainable and responsible investing practices. In the last 12 months, we made progress on a number of sustainable and responsible investment initiatives.
One of the most recent developments at Calvert was the launch of Calvert Global Water Fund, the newest of the Calvert Solution Strategies. The fund, which is sub-advised by KBC Asset Management International, Ltd., of Dublin, Ireland, invests in utility, infrastructure, and technology companies active in managing water resources. The fund addresses an increasing need--and an opportunity for growth--in the world's fast-expanding demand for clean water. One report estimates that to provide enough water for all uses through 2030, the world will need to invest as much as $1 trillion a year on applying existing technologies for conserving water, maintaining and replacing water-related infrastructure, and constructing sanitation systems.
What About the Future?
Recent news from the world's financial markets has been encouraging. A plan to prop up ailing banks in the U.S. and Europe seems to have had some stabilizing effect on the markets, at least for the time being. Worldwide, economies are going through a wrenching process of "de-leveraging." That is, the amount of debt, or leverage, incurred by corporations as well as homeowners and consumers is being reduced as credit markets return to more rigorous underwriting standards. This process, along with the slowdown in economic growth that analysts anticipate as a result of increasing unemployment and reduced corporate spending, suggests that we are in for a difficult period--for how long we don't know. However, when we come through this financial retrenchment, and when the markets believe there is solid and transparent information regarding corporate earnings, we believe that we will again see strong positive growth prospects for our economy and markets. In addition, a regulatory system that is better equippe d to identify and address problems before they reach the proportions we have seen over the past 18 months is another essential component for building market confidence.
Timing any market inflection points, small or large, is virtually impossible to do consistently. While we are concerned about the losses that investors are seeing on their statements, we do not think it is time to make drastic changes. Rather, we encourage you to view this period as an opportunity to revisit your long-term asset allocation, to rebalance to your target allocations, and to increase diversification among different types of assets.
New Calvert Equities Leadership
We are pleased to announce that Calvert has hired Natalie Trunow as senior vice president and head of equities. Natalie joined Calvert in late August and will manage all aspects of Calvert's equity funds, including subadvisor evaluation and monitoring as well as Calvert's new equities products that are managed in-house.
Long-Term Financial Goals
We believe that now is not the time to abandon time-tested investment strategies like diversification, investing at regular intervals, and maintaining a long-term focus. Investors who sell indiscriminately now will only lock in unprecedented losses and, perhaps, miss the rebound when stocks, bonds, and other assets recover.
However, this is a good time to meet with your financial advisor and review your long-term financial plan. A professional can help you evaluate your strategic asset allocation and make sure it is still working for you. He or she can assist you in rebalancing back to your target allocations if market events have caused your assets to drift away from an appropriate mix. A financial advisor can also help you identify and realize any capital losses in your portfolio, which can be helpful for reducing your overall tax exposure. And, perhaps most importantly, an experienced professional can give you confidence that you are pursuing the right long-term strategy, even during the most tumultuous markets.
While we have worked to minimize the impact on our shareholders of one of the most turbulent periods in the equities and fixed-income markets' history, we recognize that this period of declining asset values in virtually all corners of the financial markets has caused great stress. We encourage you to visit our website for frequent updates and commentary on economic and market developments from Calvert professionals.
As always, we appreciate your business and look forward to serving you in the coming months and years.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2008
For more information on any Calvert fund, please contact your financial advisor or call Calvert at 800.368.2748 for a free
prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before
investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member FINRA, a subsidiary of Calvert Group, Ltd.
Social Update
from the Calvert Social Research Department
The work of Calvert's Social Research Department and our unique investment programs continue to demonstrate Calvert's leadership in socially responsible investment practices. This Social Update highlights key initiatives and involvement for the 12-month reporting period ended September 30, 2008.
Homebuilders Report
In May, Calvert released a new report in conjunction with the Boston College Institute for Responsible Investment that ranks the 13 largest publicly traded U.S. home builders on key environmental and energy efficiency factors, and encourages the industry to embrace the emerging market for sustainable building design and construction. The report attracted significant press coverage, including reports in The Washington Post and Cox News Service. Since then, Calvert has met with the National Association of Home Builders and several of the ranked companies--and intends to do more of this in the year ahead.
Carbon Disclosure Project
As a follow-up to the last year's Carbon Disclosure Project (CDP) report with Ceres, Calvert filed a number of shareholder proposals with companies that had not disclosed their greenhouse gas emissions or their strategies to reduce emissions. As a result, five companies--Big Lots, Lowe's, Kirby, Ryder, and Harley Davidson--agreed to disclose this information.1 We also wrote to more than 100 companies that did not respond to the CDP survey.
Furthermore, Calvert teamed up with TIAA-CREF this year to coordinate a Standard & Poor's 500 Index working group as part of the Global Warming Shareholder Campaign.
Human Rights in Extractives Industry
Bennett Freeman, our Senior Vice President, Social Research and Policy, testified on behalf of Calvert to several legislative bodies in the past year on matters related to oil and gas and mining companies, most of which we do not currently own. In September, he spoke to a Senate Judiciary Subcommittee about the critical role governments play in leading the Voluntary Principles on Security and Human Rights Initiative when companies are operating in zones of conflict. He also delivered a statement to the International Accounting Standards Board and testified before the House Financial Services Committee on the issue of revenue transparency in the extractives industry.
Special Equities
A modest but important portion of several Funds is invested in companies that provide for-profit socially or environmentally relevant products or services. One of our Funds in the Special Equities program made an early-stage investment recently in NeoDiagnostix, Inc., a Maryland company developing genetic technologies to more accurately test for cervical cancer. If successful, it could not only save lives, but also greatly reduce the amount of repeat testing and invasive procedures currently required to determine if cancer is present. ShoreBank Corporation, the first community development and environmental bank holding company, is a new addition to the program. Aside from community development and environmental banking, ShoreBank also has subsidiaries that work on international microfinance and small business lending.2
Community Investments
Many of our Funds participate in Calvert's High Social Impact Investing program, which is administered through the Calvert Social Investment Foundation. This community investment program may allocate between 1% to 3% of Fund assets at below-market interest rates to investments to provide economic opportunity for struggling populations.3
The Calvert Foundation has recently begun an exciting partnership with Habitat for Humanity International to increase the amount of affordable housing in the U.S. and around the world. Through the Habitat Investment Program, people can now invest--not just donate or volunteer--to help Habitat make homeownership possible for even more families in need.
During the reporting period, the Foundation also expanded its international portfolio to include a loan to the BRAC Africa Loan Fund. BRAC aims to alleviate poverty and empower the poor through a holistic approach that uses microfinance to create local entrepreneurial communities. BRAC then offers education, health, and vocational training through these communities to further amplify its impact.
As always, we appreciate your investment in Calvert mutual funds and will continue to manage your investments with an eye on both financial performance and corporate integrity.
1. As of September 30, 2008, the following companies represented the following percentages of net assets: Big Lots represented 0.03% of Calvert Social Index Fund and 0.47% of Calvert World Values International Equity Fund; Lowe's represented 0.53% of Calvert Social Index Fund; Kirby represented 0.03% of Calvert Social Index Fund; Ryder represented 0.06% of Calvert Social Index Fund; and Harley Davidson represented 0.14% of Calvert Social Index Fund.
2. As of September 30, 2008, NeoDiagnostix, Inc. represented 0.03% of CSIF Equity Portfolio, and ShoreBank Corporation represented 0.09% of CSIF Equity Portfolio.
3. As of September 30, 2008, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: Calvert Capital Accumulation Fund, 1.32%; Calvert World Values International Equity Fund, 0.87%; Calvert Large Cap Growth Fund, 0.25%; and Calvert New Vision Small Cap Fund, 1.08%. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization.
All holdings are subject to change without notice.
Portfolio Management Discussion
John Nichols,
Vice President, Equities,
of Calvert Asset Management Company
Performance
For the 12 months ended September 30, 2008, all three of Calvert's Asset Allocation Funds--Conservative, Moderate, and Aggressive--outperformed their respective benchmarks of composite indexes. Calvert Conservative Allocation Fund, Class A shares (at NAV) returned -6.90% versus -9.74% for its composite benchmark. Calvert Moderate Allocation Fund Class A shares (at NAV) returned -15.82% versus -16.89% for its composite benchmark, and Calvert Aggressive Allocation Fund Class A shares (at NAV) returned -21.59% versus -22.18% for its composite benchmark. The strong performance of Calvert Social Investment Fund Bond Portfolio, which constitutes each Fund's fixed-income allocation, drove the strong relative performance.
Investment Climate
The fourth quarter of 2007 began on a high note, as several broad market benchmarks reached all-time highs. However, those highs were accompanied by increasing volatility in equity and bond markets as financial institutions began to realize the consequences of declining home prices and rising mortgage defaults. Soaring energy and food prices began to take a toll on consumers, and consumer and investor sentiment soured as it became apparent that the U.S. economy's long period of sustained growth was near an end.
The 12-month period was one of the most difficult in the history of the U.S. credit markets. The turmoil that began in August 2007 expanded to the top of the credit-quality ladder--freezing the markets for high-quality municipal bonds as well as government-guaranteed securities. The collapse of investment bank Bear Stearns surprised the markets in March. Conditions deteriorated again in mid-summer, but the markets recovered briefly until early September. A dizzying and unprecedented chain of financial institution buyouts, bankruptcies, and takeovers unfolded during a month that ended with the rejection of a $700 billion rescue package by the House of Representatives. (A similar relief package was signed into law later that week.)
At this point, the U.S. appears to have avoided a recession and the economy has continued to eke out growth, largely due to the competitive advantage the declining value of the U.S. dollar has given domestic companies with a global presence. And after peaking above $140 per barrel in mid summer, oil prices fell to below $100 a barrel--although they were still about 25% higher at the end than at the beginning of the reporting period.
In the end, soaring demand for Treasury securities weighed heavily on yields as the benchmark 10-year Treasury note's yield fell 0.75 percentage points during the period to 3.85%. In fact, yields of short-term securities such as the three-month Treasury bill--which fell 2.90 percentage points to 0.92%--sank to the lowest levels since World War II.
Portfolio Strategy
While performance varied across the equity investment styles and underlying Funds, overall, the Calvert U.S. equity funds featured in the Allocation Funds modestly outperformed the Russell 3000® Index during the period. Calvert Capital Accumulation Fund, Calvert Social Investment Fund Equity Portfolio, and Calvert Small Cap Value Fund were the top contributors, while Calvert Large Cap Growth Fund lagged. Although Calvert World Values International Equity Fund underperformed its benchmark for the period, the good relative performance of Calvert International Opportunities Fund and Calvert Global Alternative Energy Fund partially offset that underperformance in the Calvert Moderate Allocation Fund and Calvert Aggressive Allocation Fund.
CSIF Bond Portfolio, which is the fixed-income allocation for each of the three Funds, posted another year of highly competitive performance in a very challenging market for bond investors, outperforming the Lehman U.S. Credit Index.
Market Outlook
Cheap, easy credit in recent years has led to some of the excesses at the core of the current financial crisis. However, the availability of credit has declined substantially in the past year. Both companies and individuals are taking measures to decrease their debt, which is having an unusually strong negative impact on the economy. For the balance of the year, we expect economic growth to be sub-par or recessionary and we expect the Fed's target interest rate to remain at the current 1.5% target or possibly move lower. The government's plan to establish an investment pool to take bad assets off the books of troubled financial firms may help. But it may not be a panacea to the broader fundamental economic problems we are facing, such as higher unemployment rates, decreasing housing values, tight credit, and falling corporate profits.
We expect the credit markets to slowly recover over the next year but do not expect a return to the heady times of a few years ago. While there are similarities to the credit crunch of the early 1990s, the problem is larger and more global in nature this time. Since financial institutions must rebuild capital they are not inclined to increase lending. Therefore, we think the credit crunch may last through next year.
We are hopeful that the pending rescue package can help restore confidence in the
markets, making banks more comfortable lending to each other and to consumers.
We also hope that--just as the lack of confidence sent negative ripples through financial markets--momentum associated with even a modest improvement in confidence will help stabilize the financial markets.
October 2008
As of September 30, 2008, Bear Stearns represented the following percentages of net assets: .29% of Calvert Conservative Allocation Fund, .16% of Calvert Moderate Allocation Fund, and .05% of Calvert Aggressive Allocation Fund. All portfolio holdings are subject to change without notice.
Conservative Allocation Fund
September 30, 2008
Asset Allocation | % of total |
|
Domestic Equity Mutual Funds | 20% |
|
International and Global Equity Mutual Funds | 6% |
|
Fixed Income Mutual Funds | 74% |
|
Total | 100% |
|
|
|
|
Investment Performance | 6 Months | 12 Months |
| Ended | Ended |
(TOTAL RETURN AT NAV*) | 9/30/08 | 9/30/08 |
Class A | (5.30%) | (6.90%) |
Class C | (6.01%) | (8.28%) |
Conservative Allocation Composite |
|
|
Benchmark** | (8.30%) | (9.74%) |
Lipper Mixed-Asset Target Allocation |
|
|
Conservative Funds Average | (6.77%) | (9.50%) |
* Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
** Calvert Conservative Allocation Composite Benchmark: 60% Lehman U.S. Credit Index, 22% Russell 3000® Index, 8% MSCI EAFE IMI, 10% 3-month U.S. Treasury Bills.
Moderate Allocation Fund
September 30, 2008
Asset Allocation | % of total |
|
Domestic Equity Mutual Funds | 45% |
|
International and Global |
|
|
Equity Mutual Funds | 15% |
|
Fixed Income Mutual Funds | 40% |
|
Total | 100% |
|
|
|
|
Investment |
|
|
Performance | 6 Months | 12 Months |
| Ended | Ended |
(TOTAL RETURN AT NAV*) | 9/30/08 | 9/30/08 |
Class A | (9.39%) | (15.82%) |
Class C | (9.70%) | (16.43%) |
Class I** | (9.15%) | (15.53%) |
Moderate Allocation Composite |
|
|
Benchmark*** | (11.00%) | (16.89%) |
Lipper Mixed-Asset Target Allocation |
|
|
Growth Funds | (10.49%) | (17.90%) |
Aggressive Allocation Fund
September 30, 2008
Asset Allocation | % of total investments |
|
Domestic Equity Mutual Funds | 65% |
|
International and Global |
|
|
Equity Mutual Funds | 23% |
|
Fixed Income Mutual Funds | 12% |
|
Total | 100% |
|
|
|
|
Investment |
|
|
Performance | 6 Months | 12 Months |
| Ended | Ended |
(TOTAL RETURN AT NAV*) | 9/30/08 | 9/30/08 |
Class A | (12.16%) | (21.59%) |
Class C | (12.76%) | (22.62%) |
Class I** | (12.10%) | (21.53%) |
Aggressive Allocation Composite |
|
|
Benchmark*** | (13.16%) | (22.18%) |
Lipper Multi-Cap Core Funds |
|
|
Average | (11.83%) | (22.79%) |
* Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
** The Calvert Moderate and Aggressive Allocation Funds first offered Class I shares beginning on January 31, 2008. Performance results for Class I prior to January 31, 2008 reflect the performance of Class A shares at net asset value (NAV). Actual Class I share performance would have been higher due to class specific expenses.
*** Calvert Moderate Allocation Composite Benchmark: 30% Lehman U.S. Credit Index, 47% Russell 3000® Index, 18% MSCI EAFE IMI, 5% 3-month U.S. Treasury Bills. Calvert Aggressive Allocation Composite Benchmark: 10% Lehman U.S. Credit Index, 64% Russell 3000® Index, 26% MSCI EAFE IMI.
Conservative Allocation
Fund Statistics
September 30, 2008
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | (11.32%) |
Since Inception | 1.31% |
(4/29/05) |
|
| Class C Shares |
One year | (9.20%) |
Since inception | 1.43% |
(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.
Moderate Allocation
Fund Statistics
September 30, 2008
Average Annual Total Returns
(with max. load as applicable)
| Class A Shares |
One year | (19.81%) |
Since Inception | 0.38% |
(4/29/05) |
|
| Class C Shares |
One year | (17.27%) |
Since inception | 0.95% |
(4/29/05) |
|
| Class I Shares* |
One year | (15.53%) |
Since inception | 1.92% |
(4/29/05) |
|
*See note regarding I shares on page 7.
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, C, 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. Past performance is no guarantee of future results.
Aggressive Allocation
Fund Statistics
September 30, 2008
Average Annual Total Returns
(with max. load as applicable)
| Class A Shares |
One year | (25.32%) |
Since Inception | (1.11%) |
(6/30/05) |
|
| Class C Shares |
One year | (23.39%) |
Since inception | (0.85%) |
(6/30/05) |
|
| Class I Shares* |
One year | (21.53%) |
Since inception | 0.40% |
(6/30/05) |
|
*See note regarding I Shares on page 7.
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, C, 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. 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, 2008 to September 30, 2008).
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 period 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 | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class A |
|
|
|
Actual | $1,000.00 | $947.00 | $2.14 |
Hypothetical | $1,000.00 | $1,022.80 | $2.23 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $939.90 | $8.74 |
Hypothetical | $1,000.00 | $1,015.99 | $9.08 |
(5% return per year before expenses) |
|
|
|
*Expenses for Conservative are equal to the annualized expense ratios of 0.44% and 1.80% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/366. 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 | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class A |
|
|
|
Actual | $1,000.00 | $906.10 | $3.38 |
Hypothetical | $1,000.00 | $1,021.45 | $3.59 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $903.00 | $7.03 |
Hypothetical | $1,000.00 | $1,017.61 | $7.46 |
(5% return per year before expenses) |
|
|
|
|
|
|
|
| Beginning | Ending Account | Expenses Paid |
| Account Value | Value | During Period* |
Moderate | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class I |
|
|
|
Actual | $1,000.00 | $908.50 | $1.10 |
Hypothetical | $1,000.00 | $1,023.85 | $1.16 |
(5% return per year before expenses) |
|
|
|
*Expenses for Moderate are equal to the annualized expense ratios of 0.71%, 1.48% and 0.23% for Class A, Class C and Class I respectively, multiplied by the average account value over the period, multiplied by 183/366. 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 | 4/1/08 | 9/30/08 | 4/1/08 - 9/30/08 |
Class A |
|
|
|
Actual | $1,000.00 | $878.40 | $2.02 |
Hypothetical | $1,000.00 | $1,022.85 | $2.17 |
(5% return per |
|
|
|
year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $872.40 | $8.08 |
Hypothetical | $1,000.00 | $1,016.37 | $8.70 |
(5% return per year before expenses) |
|
|
|
|
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $879.00 | $1.08 |
Hypothetical | $1,000.00 | $1,023.85 | $1.16 |
(5% return per year before expenses) |
|
|
|
*Expenses for Aggressive are equal to the annualized expense ratios of 0.43%, 1.73% and 0.23% for Class A, Class C and Class I respectively, multiplied by the average account value over the period, multiplied by 183/366. 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 the Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund (collectively the Funds), each a series of the Calvert Social Investment Fund, as of September 30, 2008, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended and the period from inception through September 30, 2005 (inception for the Calvert Conservative Allocation Fund and Calvert Moderate Allocation Fund was April 29, 2005, inception for the Calvert Aggressive Allocation Fund was June 30, 2005). These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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, 2008, 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, 2008, 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 three-year period then ended and the period from inception through September 30, 2005, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Philadelphia, Pennsylvania
November 21, 2008
Conservative Allocation Fund
Statement of Net Assets
September 30, 2008
Mutual Funds - 100.3% |
| Shares | Value |
|
Calvert Impact Fund, Inc.: |
|
|
|
|
Calvert Large Cap Growth Fund, Class I |
| 21,149 | $569,111 |
|
Calvert Mid Cap Value Fund, Class I |
| 25,813 | 403,450 |
|
Calvert Small Cap Value Fund, Class I |
| 12,764 | 203,718 |
|
Calvert Social Index Series, Inc.: |
|
|
|
|
Calvert Social Index Fund, Class I |
| 76,029 | 809,713 |
|
Calvert Social Investment Fund: |
|
|
|
|
Bond Portfolio, Class I |
| 1,068,336 | 16,217,348 |
|
Enhanced Equity Portfolio, Class I |
| 104,185 | 1,576,318 |
|
Equity Portfolio, Class I* |
| 18,502 | 639,795 |
|
Calvert World Values Fund, Inc.: |
|
|
|
|
Calvert Capital Accumulation Fund, Class I |
| 8,418 | 202,533 |
|
International Equity Fund, Class I |
| 85,727 | 1,402,492 |
|
|
|
|
|
|
Total Mutual Funds (Cost $24,108,110) |
|
| 22,024,478 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $24,108,110) - 100.3% |
|
| 22,024,478 |
|
Other assets and liabilities, net - (0.3%) |
|
| (65,460) |
|
Net Assets - 100% |
|
| $21,959,018 |
|
|
|
|
|
|
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: 1,209,095 shares outstanding |
|
| $19,080,124 |
|
Class C: 304,988 shares outstanding |
|
| 4,759,197 |
|
Undistributed net investment income |
|
| 2,414 |
|
Accumulated net realized gain (loss) on investments |
|
| 200,915 |
|
Net unrealized appreciation (depreciation) on investments |
|
| (2,083,632) |
|
Net Assets |
|
| $21,959,018 |
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Class A (based on net assets of $17,550,972) |
|
| $14.52 |
|
Class C (based on net assets of $4,408,046) |
|
| $14.45 |
|
*Non-income producing security.
See notes to financial statements.
Moderate Allocation Fund
Statement of Net Assets
September 30, 2008
Mutual Funds - 100.4% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Global Alternative Energy Fund, Class I * |
| 123,018 | $1,525,425 |
Calvert Large Cap Growth Fund, Class I |
| 280,893 | 7,558,822 |
Calvert Mid Cap Value Fund, Class I |
| 166,761 | 2,606,479 |
Calvert Small Cap Value Fund, Class I |
| 169,065 | 2,698,284 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 327,753 | 3,490,566 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 2,443,141 | 37,086,880 |
Enhanced Equity Portfolio, Class I |
| 834,529 | 12,626,426 |
Equity Portfolio, Class I * |
| 272,103 | 9,409,321 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I |
| 42,193 | 1,015,169 |
Calvert International Opportunities Fund, Class I * |
| 664,039 | 10,863,671 |
International Equity Fund, Class I |
| 135,286 | 1,566,613 |
The Calvert Fund: |
|
|
|
Calvert New Vision Small Cap Fund, Class I * |
| 185,125 | 2,717,630 |
|
|
|
|
Total Mutual Funds (Cost $108,459,728) |
|
| 93,165,286 |
|
|
|
|
TOTAL INVESTMENTS (Cost $108,459,728) - 100.4% |
|
| 93,165,286 |
Other assets and liabilities, net - (0.4%) |
|
| (399,061) |
Net Assets - 100% |
|
| $92,766,225 |
|
|
| |
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: 5,054,539 shares outstanding |
|
| $85,716,168 |
Class C: 1,143,795 shares outstanding |
|
| 19,129,507 |
Class I: 64,491 shares outstanding |
|
| 1,002,244 |
Undistributed net investment income |
|
| 6,496 |
Accumulated net realized gain (loss) on investments |
|
| 2,206,252 |
Net unrealized appreciation (depreciation) on investments |
|
| (15,294,442) |
Net Assets |
|
| $92,766,225 |
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $74,971,841) |
|
| $14.83 |
Class C (based on net assets of $16,834,604) |
|
| $14.72 |
Class I (based on net assets of $959,780) |
|
| $14.88 |
*Non-income producing security.
See notes to financial statements.
Aggressive Allocation Fund
Statement of Net Assets
September 30, 2008
Mutual Funds - 100.0% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Global Alternative Energy Fund, Class I * |
| 105,113 | $1,303,396 |
Calvert Large Cap Growth Fund, Class I |
| 197,564 | 5,316,454 |
Calvert Mid Cap Value Fund, Class I |
| 128,311 | 2,005,495 |
Calvert Small Cap Value Fund, Class I |
| 198,643 | 3,170,338 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 183,691 | 1,956,313 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 397,559 | 6,034,945 |
Enhanced Equity Portfolio, Class I |
| 598,975 | 9,062,492 |
Equity Portfolio, Class I * |
| 211,264 | 7,305,506 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I |
| 32,192 | 774,548 |
Calvert International Opportunities Fund, Class I * |
| 120,922 | 1,400,274 |
International Equity Fund, Class I |
| 542,752 | 8,879,418 |
The Calvert Fund: |
|
|
|
Calvert New Vision Small Cap Fund, Class I * |
| 213,581 | 3,135,367 |
|
|
|
|
Total Mutual Funds (Cost $62,104,486) |
|
| 50,344,546 |
|
|
|
|
TOTAL INVESTMENTS (Cost $62,104,486) - 100.0% |
|
| 50,344,546 |
Other assets and liabilities, net - (0.0%) |
|
| (1,992) |
Net Assets - 100% |
|
| $50,342,554 |
|
|
|
|
Net Assets Consist of: |
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, |
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
Class A: 3,020,215 shares outstanding |
|
| $52,493,985 |
Class C: 478,599 shares outstanding |
|
| 8,064,581 |
Class I: 59.77 shares outstanding |
|
| 1,000 |
Accumulated net realized gain (loss) on investments |
|
| 1,542,928 |
Net unrealized appreciation (depreciation) on investments |
|
| (11,759,940) |
Net Assets |
|
| $50,342,554 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $43,632,401) |
| $14.45 | |
Class C (based on net assets of $6,709,289) |
| $14.02 | |
Class I (based on net assets of $864) |
|
| $14.46 |
* Non-income producing security.
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2008
|
| Conservative | Moderate | Aggressive |
|
|
| Allocation | Allocation | Allocation |
|
Net Investment Income |
| Fund | Fund | Fund |
|
Investment Income: |
|
|
|
|
|
Dividend income |
| $863,067 | $2,701,016 | $912,508 |
|
Total investment income |
| 863,067 | 2,701,016 | 912,508 |
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
Transfer agency fees and expenses |
| 49,702 | 174,573 | 155,571 |
|
Administrative fees |
| 29,627 | 143,026 | 80,440 |
|
Distribution Plan expenses: |
|
|
|
|
|
Class A |
| 38,904 | 193,493 | 115,736 |
|
Class C |
| 41,900 | 178,929 | 73,317 |
|
Trustees' fees and expenses |
| 2,496 | 12,032 | 6,838 |
|
Registration fees |
| 22,626 | 31,477 | 31,181 |
|
Reports to shareholders |
| 4,227 | 26,073 | 21,302 |
|
Professional fees |
| 18,865 | 22,861 | 20,711 |
|
Accounting fees |
| 33,764 | 38,164 | 34,746 |
|
Contract services |
| 392 | 1,593 | 1,215 |
|
Miscellaneous |
| 1,091 | 2,785 | 2,361 |
|
Total expenses |
| 243,594 | 825,006 | 543,418 |
|
Reimbursement from Advisor: |
|
|
|
|
|
Class A |
| (97,435) | -- | (205,506) |
|
Class I |
| -- | (12,426) | (12,563) |
|
Net expenses |
| 146,159 | 812,580 | 325,349 |
|
|
|
|
|
|
|
Net Investment Income |
| 716,908 | 1,888,436 | 587,159 |
|
|
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
|
|
|
|
|
Net realized gain (loss) |
| 273,153 | 2,379,722 | 1,743,940 |
|
Change in unrealized appreciation or (depreciation) |
| (2,597,286) | (20,871,16) | (15,381,173) |
|
|
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments |
| (2,324,133) | (18,491,443) | (13,637,233) |
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Resulting From Operations |
| ($1,607,225) | ($16,603,007) | ($13,050,074) |
|
See notes to financial statements.
Conservative Allocation Fund
Statements of Changes in Net Assets
|
| Year Ended | Year Ended |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2008 | 2007 |
|
Operations: |
|
|
|
|
Net investment income |
| $716,908 | $378,767 |
|
Net realized gain (loss) on investments |
| 273,153 | 176,222 |
|
Change in unrealized appreciation (depreciation) |
| (2,597,286) | 353,099 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| (1,607,225) | 908,088 |
|
|
|
|
|
|
Distributions to shareholders from: |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (609,799) | (316,694) |
|
Class C Shares |
| (105,854) | (61,102) |
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (183,846) | (43,407) |
|
Class C Shares |
| (52,413) | (15,975) |
|
Total distributions |
| (951,912) | (437,178) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 9,674,613 | 6,629,989 |
|
Class C Shares |
| 2,235,025 | 1,716,209 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 732,499 | 338,602 |
|
Class C Shares |
| 131,603 | 66,716 |
|
Redemption fees: |
|
|
|
|
Class A Shares |
| 599 | 20 |
|
Class C Shares |
| 69 | -- |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (3,097,182) | (1,310,235) |
|
Class C Shares |
| (1,460,086) | (182,619) |
|
Total capital share transactions |
| 8,217,140 | 7,258,682 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 5,658,003 | 7,729,592 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 16,301,015 | 8,571,423 |
|
End of year (including undistributed net investment |
|
|
|
|
income of $2,414 and $1,159, respectively) |
| $21,959,018 | $16,301,015 |
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 613,613 | 409,242 |
|
Class C Shares |
| 142,512 | 106,530 |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 46,632 | 20,917 |
|
Class C Shares |
| 8,330 | 4,138 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (196,613) | (80,634) |
|
Class C Shares |
| (91,875) | (11,361) |
|
Total capital share activity |
| 522,599 | 448,832 |
|
See notes to financial statements.
Moderate Allocation Fund
Statements of Changes in Net Assets
|
| Year Ended | Year Ended |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2008 | 2007 |
|
Operations: |
|
|
|
|
Net investment income |
| $1,888,436 | $1,026,981 |
|
Net realized gain (loss) on investments |
| 2,379,722 | 1,395,164 |
|
Change in unrealized appreciation (depreciation) |
| (20,871,165) | 4,096,172 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| (16,603,007) | 6,518,317 |
|
|
|
|
|
|
Distributions to shareholders from: |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (1,641,413) | (896,261) |
|
Class C Shares |
| (246,341) | (127,302) |
|
Class I Shares |
| (1,244) | -- |
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (1,254,355) | (220,369) |
|
Class C Shares |
| (298,228) | (56,203) |
|
Total distributions |
| (3,441,581) | (1,300,135) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 27,897,561 | 37,705,666 |
|
Class C Shares |
| 6,743,705 | 8,907,416 |
|
Class I Shares |
| 1,001,000 | -- |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 2,747,821 | 1,055,547 |
|
Class C Shares |
| 419,670 | 147,432 |
|
Class I Shares |
| 1,244 | -- |
|
Redemption fees: |
|
|
|
|
Class A Shares |
| 341 | 977 |
|
Class C Shares |
| 456 | 521 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (11,125,519) | (4,469,573) |
|
Class C Shares |
| (4,185,538) | (1,043,968) |
|
Total capital share transactions |
| 23,500,741 | 42,304,018 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 3,456,153 | 47,522,200 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 89,310,072 | 41,787,872 |
|
End of year (including undistributed net investment |
|
|
|
|
income of $6,496 and $7,058, respectively) |
| $92,766,225 | $89,310,072 |
|
See notes to financial statements.
|
| Year Ended | Year Ended |
|
| September 30, | September 30, |
Capital Share Activity |
| 2008 | 2007 |
Shares sold: |
|
|
|
Class A Shares |
| 1,649,775 | 2,132,459 |
Class C Shares |
| 401,490 | 508,024 |
Class I Shares |
| 64,410 | -- |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 157,466 | 59,856 |
Class C Shares |
| 23,845 | 8,490 |
Class I Shares |
| 81 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (672,281) | (252,013) |
Class C Shares |
| (248,694) | (59,172) |
Total capital share activity |
| 1,376,092 | 2,397,644 |
Aggressive Allocation Fund
Statements of Changes in Net Assets
|
| Year Ended | Year Ended |
|
|
| September 30, | September 30, |
|
Increase (Decrease) in Net Assets |
| 2008 | 2007 |
|
Operations: |
|
|
|
|
Net investment income |
| $587,159 | $260,542 |
|
Net realized gain (loss) on investments |
| 1,743,940 | 904,614 |
|
Change in unrealized appreciation (depreciation) |
| (15,381,173) | 2,889,844 |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| (13,050,074) | 4,055,000 |
|
|
|
|
|
|
Distributions to shareholders from: |
|
|
|
|
Net investment income: |
|
|
|
|
Class A Shares |
| (536,473) | (259,195) |
|
Class C Shares |
| (63,184) | (30,182) |
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (870,922) | (89,196) |
|
Class C Shares |
| (143,781) | (18,110) |
|
Total distributions |
| (1,614,360) | (396,683) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 17,056,145 | 27,835,488 |
|
Class C Shares |
| 2,995,112 | 4,270,027 |
|
Class I Shares |
| 1,000 | -- |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 1,350,953 | 335,303 |
|
Class C Shares |
| 165,957 | 41,910 |
|
Redemption fees: |
|
|
|
|
Class A Shares |
| 3,616 | 407 |
|
Class C Shares |
| -- | 58 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (6,150,630) | (2,475,754) |
|
Class C Shares |
| (2,024,141) | (466,596) |
|
Total capital share transactions |
| 13,398,012 | 29,540,843 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| (1,266,422) | 33,199,160 |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 51,608,976 | 18,409,816 |
|
End of year |
| $50,342,554 | $51,608,976 |
|
|
|
|
|
|
Capital Share Activity |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 991,901 | 1,535,445 |
|
Class C Shares |
| 178,479 | 238,280 |
|
Class I Shares |
| 60 | -- |
|
Reinvestment of distributions: |
|
|
|
|
Class A Share |
| 73,393 | 18,828 |
|
Class C Shares |
| 9,189 | 2,381 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (361,195) | (135,174) |
|
Class C Shares |
| (117,269) | (25,974) |
|
Total capital share activity |
| 774,558 | 1,633,786 |
|
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 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. Effective January 31, 2008, Moderate and Aggressive began to offer Class I 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 Funds will impose a deferred sales charge on shares sold within one year of purchase. 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 in itial 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.
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 Funds 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 Funds' 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 (within seven days for Class I shares). 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 Funds have an arrangement with their 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.
New Accounting Pronouncements: In July 2006, the Financial Accounting Standards Board (FASB) issued FASB Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" -- an interpretation of FASB Statement 109 (FIN 48), effective on the last business day of the semi-annual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (tax years ended September 30, 2005 -- 2008) for purposes of implementing FIN 48, and has concluded that as of September 30, 2008, no provision for income tax is required in the Fund's financial statements.
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, 2008, the Fund does not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be requir ed about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
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, $2,606 and $20,466 was payable to the Advisor from Conservative and Moderate, respectively, for operating expenses paid by the Advisor during September 2008. In addition, $70 was receivable from the Advisor for reimbursement of operating expenses paid by Aggressive during September 2008.
The Advisor has contractually agreed to limit direct ordinary operating expenses through January 31, 2009. The contractual expense cap is 0.44%, 0.80%, and 0.43% for Class A shares of Conservative, Moderate, and Aggressive, respectively. The contractual expense cap is 2.00% for Class C shares of each Fund. The contractual expense cap is .23% for Class I Shares of both Moderate and Aggressive. This expense limitation does not include the Underlying Fund expenses indirectly incurred by the Funds. 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, Class C and Class I of each Fund pay an annual rate of .15%, based on their average daily net assets. Under the terms of the agreement, $2,769, $11,863, and $6,504 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. The amount actually paid by the Funds is an annualized fee, payable monthly of .25% and 1.00% of the Funds' average daily net assets of Class A and Class C, respectively. Class I shares do not have Distribution Plan expenses. Under the terms of the agreement, $7,487, $30,418, and $15,204 was payable at year end for Conservative, Moderate, and Aggressive, respectively.
The Distributor received $30,182, $128,236, and $86,236 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, 2008.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Funds. For its services, CSSI received fees of $6,182, $39,457 and $34,678 for the year ended September 30, 2008 for Conservative, Moderate, and Aggressive, respectively. Under the terms of the agreement, $604, $3,648 and $3,105 was payable at year end for Conservative, Moderate and Aggressive, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Effective January 1, 2008, each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $44,000 plus a meeting fee of $2,000 for each Board meeting attended. Additional fees of up to $5,000 annually may be paid to the committee chairs and $2,500 annually may be paid to committee members, plus a committee meeting fee of $500 for each committee meeting attended. Prior to January 1, 2008, each Trustee of the Funds who was not an employee of the Advisor or its affiliates received an annual retainer of $34,000 plus a meeting fee of $2,000 for each Board meeting attended. Additional fees of up to $10,000 annually were paid to the Chairperson of special committees of the Board and the lead disinterested Trustee. Trustee's fees are allocated to each of the funds served.
Note C -- Investment Activity
During the year, cost of purchases and proceeds from sales of the Underlying Funds were:
| Conservative | Moderate | Aggressive |
Purchases | $10,868,132 | $29,263,434 | $16,384,641 |
Sales | 2,529,173 | 4,706,750 | 2,392,165 |
The following tables present the cost of investments for federal income tax purposes and the components of net unrealized appreciation (depreciation) at September 30, 2008:
| Conservative | Moderate | Aggressive |
Federal income tax cost of investments | $24,202,398 | $108,650,546 | $62,177,305 |
Unrealized appreciation | -- | -- | -- |
Unrealized depreciation | (2,177,920) | (15,485,260) | (11,832,759) |
Net appreciation/(depreciation) | (2,177,920) | (15,485,260) | (11,832,759) |
The tax character of dividends and distributions paid during the years ended September 30, 2008 and September 30, 2007 were as follows:
Conservative |
|
|
|
Distributions paid from: |
| 2008 | 2007 |
Ordinary income |
| $717,456 | $384,557 |
Long-term capital gain |
| 234,456 | 52,621 |
Total |
| $951,912 | $437,178 |
|
|
|
|
Moderate |
|
|
|
Distributions paid from: |
| 2008 | 2007 |
Ordinary income |
| $1,888,998 | $1,099,220 |
Long-term capital gain |
| 1,552,583 | 200,915 |
Total |
| $3,441,581 | $1,300,135 |
|
|
|
|
Aggressive |
|
|
|
Distributions paid from: |
| 2008 | 2007 |
Ordinary income |
| $605,377 | $336,967 |
Long-term capital gain |
| 1,008,983 | 59,716 |
Total |
| $1,614,360 | $396,683 |
As of September 30, 2008, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Conservative | Moderate | Aggressive |
Undistributed ordinary income | $2,414 | $12,527 | $-- |
Undistributed long-term capital gain | 295,203 | 2,391,039 | 1,615,747 |
Unrealized appreciation (depreciation) | (2,177,920) | (15,485,260) | (11,832,759) |
Total | ($1,880,303) | ($13,081,694) | ($10,217,012) |
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the statements of net assets are primarily due to temporary book-tax differences that will reverse in a subsequent period. These differences are mainly due to wash sales for all Funds.
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. These reclassifications are due to permanent book-tax differences and have no impact on net assets. The primary permanent difference causing such reclassification is due to the recharacterization of distributions for Aggressive.
| Aggressive |
Undistributed net investment income | $12,498 |
Accumulated net realized gain (loss) | (12,498) |
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds (except for the Calvert Social Investment Fund's Enhanced Equity 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, 2008.
Tax Information (Unaudited)
Conservative, Moderate and Aggressive designate $234,456, $1,552,583, and $1,008,983, respectively, as capital gain dividends for the fiscal year ended September 30, 2008.
For ordinary dividends distributed during the fiscal year, Conservative designates 3.1% as qualifying for the corporate dividend-received deduction and 8.0% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
For ordinary dividends distributed during the fiscal year, Moderate designates 9.9% as qualifying for the corporate dividend-received deduction and 27.8% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
For ordinary dividends distributed during the fiscal year, Aggressive designates 23.3% as qualifying for the corporate dividend-received deduction and 68.8% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
Additional information will be provided to shareholders in January 2009 for use in preparing 2008 income tax returns.
Conservative Allocation Fund
Financial Highlights
|
| Years Ended | |
|
| September 30, | September 30, |
Class A Shares |
| 2008 | 2007 |
Net asset value, beginning |
| $16.45 | $15.81 |
Income from investment operations |
|
|
|
Net investment income |
| .62 | .55 |
Net realized and unrealized gain (loss) |
| (1.70) | .74 |
Total from investment operations |
| (1.08) | 1.29 |
Distributions from |
|
|
|
Net investment income |
| (.62) | (.55) |
Net realized gain |
| (.23) | (.10) |
Total distributions |
| (.85) | (.65) |
Total increase (decrease) in net asset value |
| (1.93) | .64 |
Net asset value, ending |
| $14.52 | $16.45 |
|
|
|
|
Total return* |
| (6.90%) | 8.27% |
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| 3.92% | 3.55% |
Total expenses |
| 1.07% | 1.35% |
Expenses before offsets |
| .44% | .44% |
Net expenses |
| .44% | .44% |
Portfolio turnover |
| 13% | 11% |
Net assets, ending (in thousands) |
| $17,551 | $12,265 |
|
|
|
|
|
| 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 |
See notes to financial highlights.
Conservative Allocation Fund
Financial Highlights
|
| Years Ended | |
|
| September 30, | September 30, |
Class C Shares |
| 2008 | 2007 |
Net asset value, beginning |
| $16.40 | $15.77 |
Income from investment operations |
|
|
|
Net investment income |
| .41 | .31 |
Net realized and unrealized gain (loss) |
| (1.72) | .73 |
Total from investment operations |
| (1.31) | 1.04 |
Distributions from |
|
|
|
Net investment income |
| (.41) | (.31) |
Net realized gain |
| (.23) | (.10) |
Total distributions |
| (.64) | (.41) |
Total increase (decrease) in net asset value |
| (1.95) | .63 |
Net asset value, ending |
| $14.45 | $16.40 |
|
|
|
|
Total return* |
| (8.28%) | 6.67% |
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| 2.54% | 1.99% |
Total expenses |
| 1.85% | 2.09% |
Expenses before offsets |
| 1.85% | 2.00% |
Net expenses |
| 1.85% | 2.00% |
Portfolio turnover |
| 13% | 11% |
Net assets, ending (in thousands) |
| $4,408 | $4,036 |
|
|
|
|
|
| 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 |
See notes to financial highlights.
Moderate Allocation Fund
Financial Highlights
|
| Years Ended | |
|
| September 30, | September 30, |
Class A Shares |
| 2008 | 2007 |
Net asset value, beginning |
| $18.30 | $16.81 |
Income from investment operations |
|
|
|
Net investment income |
| .37 | .32 |
Net realized and unrealized gain (loss) |
| (3.17) | 1.59 |
Total from investment operations |
| (2.80) | 1.91 |
Distributions from |
|
|
|
Net investment income |
| (.37) | (.32) |
Net realized gain |
| (.30) | (.10) |
Total distributions |
| (.67) | (.42) |
Total increase (decrease) in net asset value |
| (3.47) | 1.49 |
Net asset value, ending |
| $14.83 | $18.30 |
|
|
|
|
Total return* |
| (15.82%) | 11.46% |
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| 2.12% | 1.71% |
Total expenses |
| .71% | .75% |
Expenses before offsets |
| .71% | .75% |
Net expenses |
| .71% | .75% |
Portfolio turnover |
| 5% | 3% |
Net assets, ending (in thousands) |
| $74,972 | $71,746 |
|
|
|
|
|
|
|
|
|
| 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 |
See notes to financial highlights.
Moderate Allocation Fund
Financial Highlights
|
| Years Ended | |
|
| September 30, | September 30, |
Class C Shares |
| 2008 | 2007 |
Net asset value, beginning |
| $18.16 | $16.69 |
Income from investment operations |
|
|
|
Net investment income |
| .24 | .20 |
Net realized and unrealized gain (loss) |
| (3.14) | 1.56 |
Total from investment operations |
| (2.90) | 1.76 |
Distributions from |
|
|
|
Net investment income |
| (.24) | (.19) |
Net realized gain |
| (.30) | (.10) |
Total distributions |
| (.54) | (.29) |
Total increase (decrease) in net asset value |
| (3.44) | 1.47 |
Net asset value, ending |
| $14.72 | $18.16 |
|
|
|
|
Total return* |
| (16.43%) | 10.62% |
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| 1.38% | .97% |
Total expenses |
| 1.48% | 1.50% |
Expenses before offsets |
| 1.48% | 1.50% |
Net expenses |
| 1.48% | 1.50% |
Portfolio turnover |
| 5% | 3% |
Net assets, ending (in thousands) |
| $16,835 | $17,564 |
|
|
|
|
|
| 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 |
See notes to financial highlights.
Moderate Allocation Fund
Financial Highlights
|
| Period Ended |
|
| September 30, |
Class I Shares |
| 2008 ### |
Net asset value, beginning |
| $16.73 |
Income from investment operations |
|
|
Net investment income |
| .13 |
Net realized and unrealized gain (loss) |
| (1.85) |
Total from investment operations |
| (1.72) |
Distributions from |
|
|
Net investment income |
| (.13) |
Total distributions |
| (.13) |
Total increase (decrease) in net asset value |
| (1.85) |
Net asset value, ending |
| $14.88 |
|
|
|
Total return* |
| (10.34%) |
Ratios to average net assets: A,B |
|
|
Net investment income |
| 2.04% (a) |
Total expenses |
| 20.84% (a) |
Expenses before offsets |
| .23% (a) |
Net expenses |
| .23% (a) |
Portfolio turnover |
| 4% |
Net assets, ending (in thousands) |
| $960 |
See notes to financial highlights.
Aggressive Allocation Fund
Financial Highlights
|
| Years Ended | |
|
| September 30, | September 30, |
Class A Shares |
| 2008 | 2007 |
Net asset value, beginning |
| $19.00 | $16.91 |
Income from investment operations |
|
|
|
Net investment income |
| .23 | .22 |
Net realized and unrealized gain (loss) |
| (4.21) | 2.16 |
Total from investment operations |
| (3.98) | 2.38 |
Distributions from |
|
|
|
Net investment income |
| (.21) | (.21) |
Net realized gain |
| (.36) | (.08) |
Total distributions |
| (.57) | (.29) |
Total increase (decrease) in net asset value |
| (4.55) | 2.09 |
Net asset value, ending |
| $14.45 | $19.00 |
|
|
|
|
Total return* |
| (21.59%) | 14.18% |
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| 1.27% | .96% |
Total expenses |
| .87% | .98% |
Expenses before offsets |
| .43% | .43% |
Net expenses |
| .43% | .43% |
Portfolio turnover |
| 4% | 2% |
Net assets, ending (in thousands) |
| $43,632 | $44,004 |
|
|
|
|
|
| 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) | -- |
Net realized gain |
| -- | -- |
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 |
See notes to financial highlights.
Aggressive Allocation Fund
Financial Highlights
|
| Years Ended | |
|
| September 30, | September 30, |
Class C Shares |
| 2008 | 2007 |
Net asset value, beginning |
| $18.63 | $16.74 |
Income from investment operations |
|
|
|
Net investment income |
| .02 | ** |
Net realized and unrealized gain (loss) |
| (4.12) | 2.09 |
Total from investment operations |
| (4.10) | 2.09 |
Distributions from |
|
|
|
Net investment income |
| (.15) | (.12) |
Net realized gain |
| (.36) | (.08) |
Total distributions |
| (.51) | (.20) |
Total increase (decrease) in net asset value |
| (4.61) | 1.89 |
Net asset value, ending |
| $14.02 | $18.63 |
|
|
|
|
Total return* |
| (22.62%) | 12.56% |
Ratios to average net assets: A,B |
|
|
|
Net investment income |
| (.01%) | (.32%) |
Total expenses |
| 1.72% | 1.77% |
Expenses before offsets |
| 1.72% | 1.77% |
Net expenses |
| 1.72% | 1.77% |
Portfolio turnover |
| 4% | 2% |
Net assets, ending (in thousands) |
| $6,709 | $7,605 |
|
|
|
|
|
| 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) | -- |
Net realized gain |
| -- | -- |
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 |
See notes to financial highlights.
Aggressive Allocation Fund
Financial Highlights
|
| Period Ended |
|
| September 30, |
Class I Shares |
| 2008 ### |
Net asset value, beginning |
| $16.73 |
Income from investment operations |
|
|
Net investment income |
| .03 |
Net realized and unrealized gain (loss) |
| (2.30) |
Total from investment operations |
| (2.27) |
Total increase (decrease) in net asset value |
| (2.27) |
Net asset value, ending |
| $14.46 |
|
|
|
Total return* |
| (13.57%) |
Ratios to average net assets: A,B |
|
|
Net investment income |
| .30% (a) |
Total expenses |
| 1,924.45% (a) |
Expenses before offsets |
| .23% (a) |
Net expenses |
| .23% (a) |
Portfolio turnover |
| 2% |
Net assets, ending (in thousands) |
| $1 |
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.
(z) Per share figures calculated using the average shares method.
* 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.
### From January 31, 2008 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, expre ssed 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
Name & |
|
| Principal Occupation | (Not Applicable to Officers) | |||
# of Calvert | Other | ||||||
INDEPENDENT TRUSTEES/DIRECTORS | |||||||
REBECCA L. ADAMSON AGE: 59 | Trustee
Director
Director
Director | 1989 CSIF 2000 IMPACT 2000 CSIS 2005 CWVF | President of the national non-profit, First People's Worldwide, formerly First Nations Financial Project. Founded by her in 1980, First People's Worldwide is the only American Indian alternative development institute in the country. | 17 |
| ||
RICHARD L. BAIRD, JR. AGE: 60 | Trustee & Chair Director & Chair Director & Chair Director & Chair | 1982 CSIF 2000 CSIS 2005 CWVF 2005 Impact
| President and CEO of Adagio Health Inc. (formerly Family Health Council, Inc.) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Mr. Baird assumed the office of Fund Chair in 2008. | 29 |
| ||
JOHN G. GUFFEY, JR. AGE: 60 | Director
Trustee
Director
Director
| 1992 CWVF 1982 CSIF 2000 CSIS 2005 IMPACT | Treasurer and Director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003) and President of Aurora Press Inc., a privately held publisher of trade paperbacks (since 1998).
| 29 |
| ||
MILES DOUGLAS HARPER, III AGE: 46 | Director
Trustee
Director
Director | 2000 Impact 2005 CSIF 2005 CSIS 2005 CWVF | Partner, Gainer Donnelly & Desroches (public accounting firm) since January 1999. | 17 |
| ||
JOY V. JONES AGE: 58 | Director Trustee
Director
Director | 2000 Impact 1990 CSIF 2000 CSIS 2005 CWVF | Attorney and entertainment manager in New York City.
| 17 |
| ||
TERRENCE J. MOLLNER, Ed.D. AGE: 63 | Director Trustee
Director
Director | 1992 CWVF 1982 CSIF 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.
| 17 |
| ||
SYDNEY AMARA MORRIS AGE: 59 | 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. Rev. Morris is a graduate of Harvard Divinity School. She currently chairs the Umbrian Universalist National Committee on Socially Responsible Investing.
| 17 |
| ||
RUSTUM ROY AGE: 84 | Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Evan Pugh Professor of 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. | 17 |
| ||
TESSA TENNANT AGE: 49 | Director
Trustee
Director
Director | 1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT | Executive Chair, The ICE Organization, UK and former Chair and founder of ASrIA Ltd. Director 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. | 17 |
| ||
INTERESTED TRUSTEES/DIRECTORS | |||||||
BARBARA J. KRUMSIEK AGE: 56 | 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 Chair of Calvert Group, Ltd.
| 42 |
| ||
D. WAYNE SILBY, Esq. AGE: 60 | Director
Trustee & President
Director & President Director | 1992 CWVF 1982 CSIF
2000 CSIS 2000 Impact | Mr. Silby is the founding Chair of the Calvert Funds. He is the Chair-Elect and a principal of Syntao.com, a Beijing-based company promoting corporate social responsibility. He was an officer and director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003). | 29 |
| ||
OFFICERS | |||||||
KAREN BECKER Age: 56 | Chief Compliance Officer | 2005 | Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. | ||||
SUSAN WALKER BENDER, Esq. AGE: 49 | Assistant Vice-President & Assistant Secretary | 1988 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Assistant Vice President and Associate General Counsel of Calvert Group, Ltd.
| ||||
THOMAS DAILEY AGE: 44 | Vice President | 2004 CSIF | Vice President of Calvert Asset Management Company, Inc.
| ||||
IVY WAFFORD DUKE, Esq. AGE: 40 | Assistant Vice-President & Assistant Secretary | 1996 CSIF 2000 CSIS 1996 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd., and since 2004, Chief Compliance Officer for Calvert Asset Management Company, investment advisor to the Funds. | ||||
TRACI L. GOLDT AGE: 35 | Assistant Secretary | 2004 | Executive Assistant to General Counsel, Calvert Group, Ltd. | ||||
GREGORY B. HABEEB AGE: 58 | Vice President | 2004 CSIF
| Senior Vice President of Calvert Asset Management Company, Inc.
| ||||
DANIEL K. HAYES AGE: 58 | Vice President | 1996 CSIF 2000 CSIS 1996 CWVF 2000 Impact | Senior Vice President of Calvert Asset Management Company, Inc.
| ||||
HUI PING HO, CPA AGE: 43 | Assistant Treasurer
| 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. | ||||
LANCELOT A. KING, Esq. AGE: 38 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd. | ||||
EDITH LILLIE AGE: 51 | Assistant Secretary
| 2007 | Assistant Secretary (since 2007) and Regulatory Matters Manager of Calvert Group, Ltd. | ||||
AUGUSTO DIVO MACEDO, Esq. AGE: 46 | Assistant Vice President & Assistant Secretary | 2007 | Assistant Vice President, Assistant Secretary, and Associate Counsel Compliance Calvert Group, Ltd. Prior to joining Calvert in 2005, Mr. Macedo served as 2nd Vice President at Acacia Life Insurance Company and The Advisors Group, Acacia's broker-dealer and federally registered investment adviser. | ||||
JANE B. MAXWELL Esq. AGE: 56 | Assistant Vice President & Assistant Secretary
| 2005 | Assistant Vice President, 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: 41 | Assistant Vice President & Assistant Secretary
| 2006 | Assistant Vice President, 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 LLP. | ||||
CATHERINE P. ROY AGE: 52
| Vice President | 2004
| Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2004, Ms. Roy was Senior Vice President of US Fixed Income for Baring Asset Management, and SVP and Senior Portfolio Manager of Scudder Insurance Asset Management.
| ||||
WILLIAM M. TARTIKOFF, Esq. AGE: 61 | Vice President and Secretary | 1990 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd.
| ||||
RONALD M. WOLFSHEIMER, CPA AGE: 56 | Treasurer | 1982 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Senior Vice President and Chief Financial and Administrative Officer of Calvert Group, Ltd. and Fund Treasurer. | ||||
MICHAEL V. YUHAS JR., CPA AGE: 47 | Fund Controller | 1999 CSIF 2000 CSIS 1999 CWVF 2000 Impact | Vice President 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 and a director of its parent companies. 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 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
Calvert Global Alternative Energy Fund
Calvert International Opportunities Fund
Calvert Global Water 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 9/30/07 | Fiscal Year ended 9/30/08 | |||
$ | %* | $ | % * | |
(a) Audit Fees | $123,310 | $127,600 | ||
(b) Audit-Related Fees | $0 | 0% | $0 | 0% |
(c) Tax Fees (tax return preparation and filing for the registrant) | $23,100 | 0% | $23,980 | 0% |
(d) All Other Fees | $0 | 0% | $0 | 0% |
Total | $146,410 | 0% | $151,580 | 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 9/30/07 | Fiscal Year ended 9/30/08 | |||
$ | %* | $ | % * | |
$8,500 | 0%* | $3,500 | 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.
- Not applicable.
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, 2008.
Item 11. Controls and Procedures.
(a) The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act, as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) A copy of the Registrant's Code of Ethics.
Attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).
Attached hereto.
(a)(3) Not applicable.
(b) A certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. The certification furnished pursuant to this paragraph is not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT SOCIAL INVESTMENT FUND
By: | /s/ Barbara J. Krumsiek |
| Barbara J. Krumsiek |
| Senior Vice President -- Principal Executive Officer |
Date: | November 26, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ Barbara J. Krumsiek
Barbara J. Krumsiek
Senior Vice President -- Principal Executive Officer
Date: November 26, 2008
/s/ D. Wayne Silby
D. Wayne Silby
President -- Principal Executive Officer
Date: November 26, 2008
/s/ Ronald M. Wolfsheimer
Ronald M. Wolfsheimer
Treasurer -- Principal Financial Officer
Date: November 26, 2008