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: 811-03334
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, 2009
Item 1. Report to Stockholders.
<PAGE>
Calvert Social Investment Fund
Annual Report
September 30, 2009
Calvert Investments
A UNIFI Company
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Table of Contents | |
4 | Founding Chairman's Letter |
7 | President's Letter |
10 | Money Market Portfolio Management Discussion |
13 | Balanced Portfolio Management Discussion |
18 | Bond Portfolio Management Discussion |
23 | Equity Portfolio Management Discussion |
28 | Enhanced Equity Portfolio Management Discussion |
33 | Shareholder Expense Example |
38 | Report of Independent Registered Public Accounting Firm |
39 | Statements of Net Assets |
78 | Notes to Statements of Net Assets |
84 | Statements of Operations |
86 | Statements of Changes in Net Assets |
95 | Notes to Financial Statements |
110 | Financial Highlights |
130 | Explanation of Financial Tables |
132 | Proxy Voting and Availability of Quarterly Portfolio Holdings |
134 | Trustee and Officer Information Table |
Dear Shareholder:
Since our last report to you six months ago, when fears of a collapse abounded, the financial markets have rebounded substantially. However, they were down so far that the Dow Jones Industrial Average recently crossed the 10,000 mark--a milestone it first achieved 10 years ago. And while the economy seems to have stabilized, most forecasts call for sluggish growth and continued high unemployment as the U.S. adjusts to being more realistic about balancing consumption versus saving. This tension may keep inflation low but may dampen further surges in stock prices.
In My Opinion
Some economists suggest that Americans need to work off their personal and government debt, but other nations are loathe to adjust their habits to meet our needs. Americans have tended to look to countries such as China as institutional buyers of our debt as well as personal consumers of our products, but the average savings rate in China is 40% of income. Turning the people of China into reasonable consumers is a generational challenge.
Moody's has even warned that our country's Aaa credit rating may be in jeopardy if America's large fiscal deficits are not lowered over the next three to four years. While the dollar has fallen from its "safe haven" highs earlier this year, other countries do not want to see their currencies appreciate further, which could make deficit reductions more difficult. It certainly made for interesting politics at the recent G-20 meeting. Already, there are rumblings that China will reduce its stimulus spending and perhaps even tighten its money supply--with uncertain consequences for a still-fragile world economy.
Yet, we should remember the strength the U.S. has in terms of workforce and technology. I believe that with the right political will--such as health care reform, immigration reform, and a clear path on climate change--we can still create a secure tomorrow. This is true even if we consume less, as long as we see a bit more equity between the haves and have-nots and realize we are all one big community.
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 a very small percentage of Fund assets at below-market interest rates to investments to provide economic opportunity for struggling populations.1 Despite their low interest rates, there are times like now when the modest current yield on these investments is higher than the average annual return of the Dow Jones Industrial Average over the past 10 years! Even Federal Reserve Chairman Ben Bernanke referenced the good work of the Foundation in a recent speech at a financial literacy conference.2
The Foundation led a joint project with other industry leaders to protect microloan recipients against the risks of currency fluctuations and highly variable interest rates by creating MFX Solutions. This allows microfinance institutions in developing countries to avoid the risk of currency price changes in their borrowings, which lowers costs for all parties.
Special Equities
A modest but important portion of the CSIF Balanced and Equity Portfolios is allocated to small private companies that are developing products or services that address important sustainability or environmental issues. One investment is Virginia-based New Day Farms, an organic heirloom tomato producer.3 The company shipped its first crop this past season. While the company still faces some challenges, we are pleased with the customer reception of its locally-grown produce.
A recent Special Equities investment by another Calvert Fund was LeapFrog Financial Inclusion Fund, which is advancing the micro-insurance market in the developing world. Its mission is to extend insurance and related financial services to 25 million people in some of the poorest and most excluded communities across Africa and Asia. LeapFrog recently closed on an investment in an insurer in South Africa that provides policies to persons who are HIV positive or have diabetes. These people are either unable to obtain insurance or can do so only at extraordinarily high cost. As a result, they can't obtain a home loan or start a business that requires insurance coverage. The LeapFrog investment in this innovative insurer enables these vulnerable people to engage in productive activity and secure their families' futures.
Shareholder Advocacy
Another successful proxy season has drawn to a close. This year, Calvert filed 26 shareholder proposals and co-filed another nine on issues we've long been concerned about--especially climate change, board and employee diversity, executive compensation, product safety, sustainability reporting, and political contributions. Thus far, Calvert has been able to successfully withdraw 21 of these resolutions after the companies agreed to address our concerns.
Climate Change
Calvert has positioned itself as a leader on addressing issues related to climate change by taking a comprehensive approach that spans our funds, research and analysis, policy work, and corporate engagement. In September, our CEO, Barbara Krumsiek, joined more than 300 world leaders at the United Nations Leadership Forum on Climate Change. In addition, Calvert signed the Copenhagen Communique, which is poised to become the definitive climate change statement from the business community and calls on world leaders to reach a meaningful agreement at the upcoming U.N. Climate Change Conference.
Governance and Disclosure
Our shareholder resolutions on governance and disclosure made significant progress during the 2009 proxy season. In September, we successfully withdrew the "Say on Pay" proposal we filed with Microsoft after the company announced that it would be including a management-sponsored advisory vote on compensation in its 2009 proxy statement. The agreement comes at an important time since legislative efforts to give shareholders more input on executive compensation have stalled. Examples of companies that have successfully implemented this process should encourage lawmakers to renew their efforts.
Looking ahead, our overall advocacy plan for 2010 includes a continued focus on core issues of sustainability disclosure, political contributions, and executive compensation. We are also broadening our scope by encouraging several companies to separate their board chair and CEO positions.
The energies of these sustainable, responsible activities are now finding their stage. I am especially proud of the Calvert staff that have been patiently working in these areas who are only now beginning to witness long-term payoffs in this time of economic upheaval. But this work also would not have been possible without your support. Thank you.
Sincerely,
D. Wayne Silby
Founding Chairman (Non-Executive)
Calvert Social Investment Fund
October 2009
1. As of September 30, 2009, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: Calvert Social Investment Fund Balanced Portfolio 1.08%, Calvert Social Investment Fund Bond Portfolio 0.35%, Calvert Social Investment Fund Equity Portfolio 0.56%, Calvert Capital Accumulation Fund 1.53%, Calvert World Values International Equity Fund 1.03%, Calvert New Vision Small Cap Fund 1.33%, and Calvert Large Cap Growth Fund 0.36%. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization. The Foundation's Community Investment Note Program is not a mutual fund and should not be confused with any Calvert Group-sponsored investment product.
2. Speech at the Global Financial Literacy Summit, Washington, D.C., June 17, 2009 at footnote 14.
3. As of September 30, 2009, New Day Farms represented 0.0064% of CSIF Equity Portfolio; Leapfrog Financial Inclusion Fund represented 0.0025% of Calvert Large Cap Growth Fund.
All holdings are subject to change without notice.
Dear Shareholders:
Market volatility and shifting investment cycles are nothing new to long-term investors. Through the course of numerous "bubbles," political disputes, wars, and economic crises, the financial markets have been repeatedly tested and proven resilient. However, the watershed financial and economic events of the past 12 months have tested the resilience of the global markets and investors in an unprecedented fashion, and we are likely to see changes in the structure and regulation of financial institutions and the markets for years to come.
This environment highlights how critical integrity of management, regulatory oversight, transparency, and corporate governance are to the health of the global financial system and our economy. Calvert has long believed that many of the criteria we review create signals about the strength and integrity of corporate management, and we have included corporate governance as an integral part of our sustainable and responsible investment (SRI) criteria and of our advocacy efforts with companies. Beyond the evaluations and influence with companies themselves, we are participating in a number of initiatives to urge financial regulatory reform and safeguard shareholder interests. Two of the most critical include our support of the Consumer Financial Protection Agency bill and our work with the United Nations Environment Programme Finance Initiative (UNEP FI) in promoting environmental, social, and governance (ESG) investment criteria as a fiduciary responsibility for plan sponsors and institutional investors.
A Time Period of Challenge and Contrast
As you know, this challenging time period opened with global economies and the financial markets in virtual free fall following the failure of Lehman Brothers in September 2008. Global market panic ensued and risk-averse investors sought the safety of Treasuries and money market funds, avoiding any asset class with perceived credit or liquidity risk.
As the reporting year progressed, we saw a somewhat surprising reversal in this sentiment. Investors gained confidence, encouraged by "green shoots" of recovery in newly released economic data and the perceived success of U.S. government stimulus and monetary policies. These factors, along with renewed confidence in the U.S. banking system following the government's "stress tests," helped fuel a rally in stocks, commodities, and many sectors of the bond market.
By September 30, 2009, stocks had rebounded sharply from their March 9 lows, with year-to-date gains of 19.26% for the broad-market Standard & Poor's 500 Index, 22.43% for the small-cap Russell 2000 Index, and 32.63% for the Russell Midcap Index. While outsize year-to-date gains for stocks helped soften their steep declines from October 2008 through March 2009, they did not offset them--and all areas of the U.S. equity market finished the 12-month reporting period far into negative territory. For example, the S&P 500 Index posted a loss of 6.91% for the reporting period despite its strong 2009 performance. U.S. stocks of every style, strategy, and capitalization range fell during this period, with large-cap stocks modestly outperforming small-cap stocks, and growth outpacing value. On the international front, the MSCI EAFE Investable Market Index, a benchmark for international stocks, returned 5.02% for the 12-month period.
The bond market posted overall gains for the reporting period, with the Barclays Capital Aggregate Bond Index up 10.56%, primarily as a result of its corporate bond holdings. Money-market returns remained low, reflecting the Federal Reserve's continued target rate of 0% to 0.25% for federal funds loans.
Sustainable and Responsible Investing
While huge challenges confront the global economy, we also believe that the opportunities facing the Obama administration--and sustainable investors--are greater than ever. In the last six months since we reported to you, Calvert has made progress on several sustainable and responsible investment initiatives.
As a key member of the Asset Management Working Group of UNEP FI, Calvert participated in the release of its new report, Fiduciary Responsibility--Legal and Practical Aspects of Integrating Environmental, Social and Governance Issues into Institutional Investment. The report makes the case that integrating ESG considerations into investment decisions should be a legal fiduciary responsibility--and highlights the financial materiality of ESG issues and their systemic risks and costs. The report calls on the investment industry and policymakers to move toward creating sustainable capital markets to help avert a "Natural Resources Crisis."
Following our participation in the World Water Forum earlier in the year, in August Calvert urged the CEO Water Mandate, a private-public initiative of the U.N. Global Compact, to assign an "urgent priority" to developing a policy outlining the issues, risks, and broad responsibilities of companies and industries with regard to water and human rights. We also urged the group to develop an "implementation framework" that companies could use to assess and manage these issues in their business operations. At Calvert, we actively address water and human rights issues in Calvert Global Water Fund's investment criteria and advocacy objectives.
In 2009, many of the shareholder resolutions that we filed with companies we own were related to governance and finance, such as executive compensation, board diversity, and responsible lending policies. Clearly, these areas will remain among our top advocacy priorities throughout the year.
What Lies Ahead?
In the course of a year, the global financial markets have rallied from the brink of collapse and the U.S. economy is showing improved vital signs in the key housing, job, and credit markets. However, while we are optimistic about long-term economic and market recovery, we believe that the systemic imbalances revealed in the global credit crisis need to be addressed, and we are encouraged by progress toward that end.
Internationally, the nations at the September G-20 summit met to enact changes to international economic policies that will promote "sustainable and balanced growth" among developed and emerging countries. On the home front, the Obama administration and Congress are grappling with credit-rating agency reform, banking reform, and the role of the Federal Reserve and U.S. government in the oversight of financial institutions and the markets, among many critical issues. In our view, over time, these efforts may work to help repair our financial system, providing additional stability to the economy and markets. In the short term, we believe the worst of the recession is behind us, but economic recovery will be uneven and staggered, with ongoing market volatility.
Other challenges that government policymakers are addressing are, of course, climate change and environmental degradation. The Obama administration has already made significant progress toward enacting policies that will benefit the environment, and many of these policies--such as stimulus funding for development of alternative energy
sources--will likely also benefit sustainable and responsible investors.
Check Your Portfolio Allocations
If you're concerned about the current market environment, talk with your financial advisor about whether your portfolio's allocations to stocks, bonds, and cash are appropriate and well-diversified, given your goals, time horizon, and risk attitudes. Consider that investors who continued to invest regularly during the market's steep declines generally benefited from the rebound that followed, while those who sold their assets may have a long wait to make up their losses. We encourage you to visit our newly enhanced web site, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals.
As always, we appreciate your investing with Calvert.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2009
For more complete information on any Calvert Fund, call your advisor or visit our website for a 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.
Portfolio Management Discussion
Thomas A. Dailey of Calvert Asset Management Company
For the 12-month period ended September 30, 2009, Calvert Social Investment Fund Money Market Portfolio returned 1.15%, outperforming the Lipper Money Market Funds Average, which returned 0.50%. A conservative investment strategy contributed to the Portfolio's outperformance of the benchmark in a difficult money market environment.
Investment Climate
One year ago, markets were shaken by one of the greatest panics in U.S. financial history. The panic further damaged the sputtering engine of credit creation that powers the American economy, causing the U.S. to drop deeper into recession. During the past 12 months, outstanding bank loans fell by 4%,1 gross domestic product (GDP) contracted by an estimated 3% (its worst performance in more than 50 years),2 and the U.S. dollar fell by about 1.9% against an index of other major currencies.3
The U.S. government's multi-trillion dollar monetary and fiscal policy response quelled the panic, after several attempts, and helped to improve credit and economic conditions. The American economy, which hit bottom in the spring, is expected to grow during the next several quarters. However, the projected pace of economic growth is subdued relative to past recoveries, and quite dependent on stimulative monetary and fiscal policies.
Actions taken by the U.S. government to support the economy and financial markets required a massive increase in borrowing by the U.S. Treasury. Consequently, U.S. Treasury bond yields increased sharply early in 2009. Higher yields, and little evidence of inflation, whetted international investors' and U.S. households' appetite for U.S. Treasuries, and yields retreated as demand increased. Over the full reporting period, the benchmark 10-year U.S. Treasury note's yield fell 0.55 percentage points to 3.30%,4 and U.S. Treasury bill yields dropped toward the federal funds rate (which is currently near zero). The three-month U.S. Treasury bill yield fell 0.81 percentage points to 0.11%.
Portfolio Strategy
The goals of CSIF Money Market Portfolio are to preserve principal and provide liquidity for investors. We pursue these goals by investing primarily in a combination of U.S. government agency securities and variable-rate demand notes. Typically, we use government agency bonds to create a "laddered" portfolio. Just as the rungs on a ladder are placed at regular intervals over a specific distance, the bonds in a laddered portfolio mature at regular intervals across the money market yield curve. The Portfolio also holds variable rate demand notes, which generally reset to market rates weekly and provide the Portfolio with liquidity. Historically, variable-rate demand notes have offered competitive levels of income as well as preservation of principal. The Portfolio can and does invest in other money-market securities.
During the extremely volatile fourth quarter of 2008, the strategy performed well and avoided the pitfalls experienced by other money market funds. Our Portfolio, like all money market funds, is subject to stringent Rule 2a-7 guidelines, which were established under the Investment Company Act of 1940 and influence credit quality, maturity, and liquidity standards for money market funds. Calvert also applies additional diversification guidelines designed to further limit risk. Please note that the U.S. Treasury Department's Temporary Guarantee Program for Money Market Funds officially ended on September 18, 2009, so the Portfolio's participation in the Program stopped on that date.
Outlook
U.S. government policies were successful in sharply lowering U.S. interest rates and credit risk premiums. This has helped set the stage for economic recovery. However, deleveraging by financial institutions and American households remains a considerable obstacle to economic growth. We expect the Federal Reserve to maintain current monetary and credit policies well into 2010 while they craft an exit strategy that will limit inflation. The Federal Reserve's ability to correctly gauge the timing and size of stimulus policy removal will influence inflation expectations and, therefore, bond market performance.
Credit risk premiums have compressed significantly in recent months, reflecting investors' growing comfort with taking on additional risk as the economy recovers. If the economic recovery gains strength, we will be sensitive to changes in inflation expectations at a time when the government has record-high borrowing needs.
The Federal Reserve has effectively nailed down short-term interest rates. As a result, money market yields currently are at historic lows. When the federal funds rate eventually does begin to increase, the variable-rate demand notes held by the Portfolio will react immediately, helping quickly to pass changes in short-term rates along to our investors.
October 2009
1. Federal Reserve
2. U.S. Department of Commerce
3. Federal Reserve
4. Federal Reserve and Bloomberg
Money Market Portfolio Statistics
September 30, 2009
Investment Performance
(Total Return)
| 6 Months | 12 Months |
Money |
|
|
Market Portfolio | 0.20% | 1.15% |
Lipper Money Market Funds Avg. | 0.05% | 0.50% |
|
|
|
Maturity Schedule |
|
|
| Weighted Average | |
| 9/30/09 | 9/30/08 |
| 47 days | 49 days |
|
|
|
Average Annual Total Returns |
|
|
One year | 1.15% |
|
Five year | 2.91% |
|
Ten year | 2.72% |
|
|
|
|
7-Day Simple/Effective Yield |
|
|
7-day simple yield | 0.05% |
|
7-day effective yield | 0.05% |
|
|
|
|
Investment Allocation | % of Total |
|
Variable Rate Demand Notes | 65.9% |
|
U.S. Government Agencies and Instrumentalities | 31.5% |
|
Commercial Paper | 1.9% |
|
Certificates of Deposit | 0.3% |
|
Time Deposit | 0.1% |
|
Loans and Deposit Receipts Guaranteed by U.S. Government Agencies | 0.3% |
|
Total | 100% |
|
Total return assumes reinvestment of dividends. The performance data shown represents past performance and does not guarantee future results. Investment return will fluctuate so that current performance may be lower or higher than the performance data quoted. An investment in the Fund/portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund/Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund/Portfolio. Visit www.calvert.com for current performance data.
Portfolio Management Discussion
Natalie A. Trunow,
Senior Vice President, Chief Investment Officer - Equities of Calvert Asset Management Company
Performance
For the 12 months ended September 30, 2009, CSIF Balanced Portfolio Class A shares (at NAV) returned -2.29%, underperforming its benchmark of blended indexes, which returned 4.11%. Markdowns on several holdings in the Portfolio's fixed-income allocation accounted for the bulk of the underperformance.
Investment Climate
After several attempts to quell one of the greatest panics in U.S. financial history, the government's multi-trillion dollar intervention finally took root, improving credit and economic conditions. Overall, economic growth (as measured by gross domestic product) contracted 2.3% during the period. The economy is expected to grow over the next few quarters, although the projected growth rate is lower than seen in past recoveries and depends heavily on more government action.
In equity markets, returns swung wildly over the past year. The market's profoundly negative tone and the global recession drove U.S. equity markets to their low point for the reporting period on March 9, 2009--when the return for the Russell 1000 Index since September 30, 2008 sank to -41.24%. However, after investors began to see the "green shoots" of a pending recovery, markets rallied sharply and the Index returned 59.73% between March 9 and September 30, 2009.
Investors' rush for the safety of government bonds caused U.S. Treasury yields to plummet late in 2008. However, government actions to stimulate the economy and financial markets have required a massive increase in borrowing, leading Treasury bond yields to increase sharply early in 2009. Over the course of the full reporting period, the benchmark 10-year U.S. Treasury note's yield fell 0.55 percentage points to 3.30%1 and the three-month U.S. Treasury bill yield fell 0.81 percentage points.
Job losses remain a serious concern as the U.S. unemployment rate rose to 9.7% near the end of the period. However, the recovery of jobs usually lags in the early stages of an economic recovery, so it is possible that job data could continue to be bleak despite improved economic activity.
Investment Strategy
We strive to keep CSIF Balanced Portfolio close to the 60% stock and 40% bond allocation in the benchmark. However, market volatility over the past year has caused its actual asset allocation to drift away from the target. We have endeavored to strike a balance between realigning it with the long-term allocation goal and the cost of the transactions for doing so. Yet on average, these marginal shifts have helped the Portfolio's relative performance over the past year.
Weaker relative performance from the fixed-income holdings drove the bulk of the underperformance relative to the Index, although the equity holdings returned less than their benchmark as well.
Fixed Income
Markdowns on several fixed-income holdings during the fourth quarter of 2008 took a heavy toll on the Portfolio's return. The troubled holdings included bonds issued by banks the Icelandic government nationalized in early October and several Tier 1 capital notes, which banks issue to boost their regulatory capital. Fortunately, many of these issues recovered during 2009, enabling the Portfolio to make up some of the lost ground.
An underweight to the corporate bond sector, which outperformed for 2009, and a relatively short duration during a period when interest rates fell significantly hampered returns as well. Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the change in price relative to interest rate movements.
Equities
An overweight to the top-performing Information Technology sector and an underweight to Financials, the worst performer in the equities portion of the blended benchmark, particularly helped performance relative to the Russell 1000 Index during the period. However, weak stock selection in the Information Technology, Health Care, Consumer Staples, and Energy sectors more than offset the gains from favorable sector allocation.
Outlook
We expect the Federal Reserve to maintain its current monetary and credit policies well into 2010 while crafting an exit strategy that will attempt to limit inflation. The Fed's ability to correctly gauge the timing and size of stimulus policy removal will influence inflation expectations and, therefore, bond market performance.
Investors appear to be increasingly comfortable with taking on additional risk. Over the near term, we will carefully monitor the effect of debt reduction efforts on credit quality. And given the government's record-high borrowing, we will also closely watch for changes in inflation expectations as the economic recovery gains strength.
Equity markets made a steep upturn during the last seven months of the period. Corporate earnings reports have tended to beat analysts' expectations, but much of the good news has come from effective cost reductions rather than improved sales and revenues. Still, markets seem to be predicting further improvements in corporate earnings. For this to happen, revenue growth is a must. However, until there is clear evidence of a sustainable economic recovery, markets will be at risk for renewed volatility and a potential downturn.
October 2009
1. Federal Reserve and Bloomberg
Balanced Portfolio Statistics
September 30, 2009
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | 23.59% | -2.29% |
Class B | 22.87% | -3.35% |
Class C | 22.98% | -3.22% |
Class I | 23.89% | -1.76% |
Balanced Composite Benchmark** | 27.91% | 4.11% |
Lipper Mixed-Asset Target Allocation Growth Funds Avg | 28.84% | 0.73% |
Ten Largest Long-Term Holdings |
|
| % of Net Assets |
EMC Corp. | 1.7% |
Hewlett-Packard Co. | 1.7% |
XTO Energy, Inc. | 1.5% |
Praxair, Inc. | 1.5% |
Prudential Financial, Inc. | 1.5% |
Express Scripts, Inc. | 1.5% |
Cisco Systems, Inc. | 1.5% |
eBay, Inc. | 1.4% |
Expedia, Inc. | 1.4% |
Microsoft Corp. | 1.4% |
Total | 15.1% |
*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% Barclays Capital U.S. Credit Index.
Balanced Portfolio Statistics
September 30, 2009
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | -6.94% |
Five year | 0.15% |
Ten year | 0.49% |
| Class B Shares |
One year | -8.18% |
Five year | -0.07% |
Ten year | -0.04% |
| Class C Shares |
One year | -4.19% |
Five year | 0.19% |
Ten year | 0.00% |
Balanced Portfolio Statistics
September 30, 2009
Average Annual Total Returns
| Class I Shares* |
One year | -1.76% |
Five year | 1.61% |
Ten year | 1.38% |
|
|
Asset Allocation | % of Total Investments |
Equity Investments | 60% |
Bonds | 30% |
Cash & Cash Equivalents | 10% |
| 100% |
* Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting 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.
The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com for current performance data. The gross expense ratio for Class A Shares is 1.24%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.
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. 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.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager of Calvert Asset Management Company
Performance
For the 12-month period ended September 30, 2009, CSIF Bond Portfolio Class A shares (at NAV) returned 6.11% while the benchmark Barclays Capital U.S. Credit Index returned 19.49%. Markdowns in the values of several securities during the fourth quarter of 2008, when the credit crisis was at its height, were almost entirely responsible for the Fund's relative underperformance. The prices of many of these securities rallied during 2009 as the markets improved.
Investment Climate
One year ago, markets were shaken by one of the greatest panics in U.S. financial history. The panic further damaged the sputtering engine of credit creation that powers the American economy, causing the U.S. to drop deeper into recession. During the past 12 months, outstanding bank loans fell by 4%,1 gross domestic product (GDP) contracted by an estimated 3% (its worst performance in more than 50 years),2 and the U.S. dollar fell by about 1.9% against an index of other major currencies.3
The U.S. government's multi-trillion dollar monetary and fiscal policy response quelled the panic, after several attempts, and helped to improve credit and economic conditions. The American economy, which hit bottom in the spring, is expected to grow during the next several quarters. However, the projected pace of economic growth is subdued relative to past recoveries and quite dependent on stimulative monetary and fiscal policies.
Actions taken by the U.S. government to support the economy and financial markets required a massive increase in borrowing by the U.S. Treasury. Consequently, U.S. Treasury bond yields increased sharply early in 2009. Higher yields, and little evidence of inflation, whetted international investors' and U.S. households' appetite for U.S. Treasuries, and yields retreated as demand increased. Over the full reporting period, the benchmark 10-year U.S. Treasury note's yield fell 0.55 percentage points to 3.30%,4 and U.S. Treasury bill yields dropped toward the federal funds rate (which is currently near zero). The three-month U.S. Treasury bill yield fell 0.81 percentage points to 0.11%.
Portfolio Strategy
The Portfolio's underperformance can be attributed primarily to the markdowns on several holdings during the fourth quarter of 2008. Nearly 3% of the Portfolio was invested in bonds issued by banks that were nationalized by the Icelandic government in early October 2008. This caused the bonds' valuations to fall close to zero during the fourth quarter. Several Tier 1 capital notes, which are issued by banks to boost their regulatory capital, also were marked down during the period and negatively impacted returns. The prices of many of these issues recovered much of their value during 2009, which helped the Portfolio make up some lost ground.
The Portfolio also was underweight the corporate bond sector, which outperformed during 2009. This hurt the Portfolio's relative performance, as did its relatively short duration during a period when interest rates fell significantly. Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the change in price relative to interest rate movements.
Over the full reporting period, active trading strategies made positive contributions to performance.
Outlook
Government policies were successful in sharply lowering U.S. interest rates and credit risk premiums (the amount of additional yield required to attract investors to bonds that are perceived to have greater credit risk), which helped set the stage for economic recovery. However, deleveraging by financial institutions and American households remains a considerable obstacle to economic growth. We expect the Federal Reserve to maintain its current monetary and credit policies well into 2010 while crafting an exit strategy that will attempt to limit inflation. The Federal Reserve's ability to correctly gauge the timing and size of stimulus policy removal will influence inflation expectations and, therefore, bond market performance.
Credit risk premiums have compressed significantly in recent months, reflecting investors' growing comfort with taking on additional risk as the economy recovers. If the economic recovery gains strength, we will be sensitive to changes in inflation expectations at a time when the government has record-high borrowing needs.
CSIF Bond Portfolio is an important option for investors who seek to maximize income. If the corporate bond rally slows, relative returns are likely to become more dependent on active trading strategies, which our portfolio management team specializes in. We remain confident in our ability to deliver competitive returns, and we believe that the Portfolio's long-term track record is evidence of that ability.
October 2009
1. Federal Reserve
2. U.S. Department of Commerce
3. Federal Reserve
4. Federal Reserve and Bloomberg
Bond Portfolio Statistics
September 30, 2009
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | 10.28% | 6.11% |
Class B | 9.73% | 5.00% |
Class C | 9.83% | 5.22% |
Class I | 10.61% | 6.74% |
Class Y** | 10.43% | 6.31% |
Barclays Capital U.S. Credit Index*** | 16.94% | 19.49% |
Lipper Corporate Debt Funds A Rated Avg. | 13.56% | 11.47% |
|
|
|
Maturity Schedule |
|
|
| Weighted Average | |
| 9/30/09 | 9/30/08 |
| 7 years | 8 years |
|
|
|
SEC Yields |
|
|
| 30 days ended | |
| 9/30/09 | 9/30/08 |
Class A | 2.44% | 3.88% |
Class B | 1.58% | 3.05% |
Class C | 1.76% | 3.22% |
Class I | 3.15% | 4.63% |
Class Y | 2.76% | -- |
* 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.
** Calvert Social Investment Fund Bond Portfolio first offered Class Y shares on October 31, 2008. Performance prior to that date reflects the performance of Class A shares at net asset value (NAV). Actual Class Y share performance would have been different.
***Source: Lipper Analytical Services, Inc.
Bond Portfolio Statistics
September 30, 2009
Economic Sectors | % of Total |
Asset Backed Securities | 4.7% |
Basic Materials | 0.3% |
Communications | 1.0% |
Consumer, Cyclical | 1.4% |
Consumer, Non-cyclical | 2.2% |
Energy | 3.9% |
Financials | 31.6% |
Government | 19.2% |
Industrials | 1.7% |
Mortgage Securities | 6.3% |
Technology | 0.8% |
Time Deposit | 25.1% |
Utilities | 1.8% |
Total | 100% |
Bond Portfolio Statistics
September 30, 2009
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | 2.00% |
Five year | 3.42% |
Ten year | 5.52% |
|
|
| Class B Shares |
One year | 0.93% |
Five year | 3.21% |
Ten year | 4.91% |
|
|
| Class C Shares |
One year | 4.08% |
Five year | 3.35% |
Ten year | 4.95% |
Bond Portfolio Statistics
September 30, 2009
Average Annual Total Returns
| Class I Shares |
One year | 6.74% |
Five year | 4.82% |
Since inception | 6.51% |
(3/31/00) |
|
|
|
| Class Y Shares* |
One year | 6.31% |
Five year | 4.25% |
Ten year | 5.95% |
* See note on previous page.
The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com for current performance data. The gross expense ratio for Class A Shares is 1.10%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.
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 3.75%, 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.
Portfolio Management Discussion
Richard England
of Atlanta Capital Management Company
Performance
For the 12 months ended September 30, 2009, CSIF Equity Portfolio Class A shares (at NAV) returned -3.46% versus -6.91% for the Standard and Poor's (S&P) 500 Index. The high-quality nature of the stocks held by the portfolio helped it stand ground versus the benchmark during this turbulent period.
Investment Climate
There is supposedly an ancient Chinese curse declaring "May you live in interesting times." Despite its age, the quote's double-edged implication could not be more relevant as a descriptor for the investment and economic climate we've witnessed over the last 12 months. This particular slice of time captures the majority of both the steepest slide and the sharpest rise in the stock market since the 1930s.
What a strange journey this has been. First the stock market dove as the financial crisis spread and the economy sank. Then, as steeply as the market fell, it soared as evidence mounted that the economy was stepping back from the brink of disaster. Trying to keep the portfolio appropriately invested through this roller-coaster ride has been a considerable challenge. It required a bit more turnover of our holdings during this reporting period versus the previous one, but we're pleased to have stayed somewhat ahead of the turmoil.
Even though the 12 months can be divided into two fairly distinct periods, there are some broad characterizations that can be made concerning which sectors did well and which did not. It's no shock that the Financials sector lagged all others by a fairly wide margin during the reporting period. This was, after all, the epicenter of the economic earthquake. These stocks were oversold by the market low in March, but even the sharp rise since then couldn't lift them from the cellar for the year. Energy stocks were also significant laggards, reflecting the slide in oil and natural gas prices that began in the summer of 2008.
The best-performing sector over the past year was Consumer Discretionary--which rose only slightly in absolute terms, reflecting the forward-looking nature of the stock market. Telecommunication Services also rose marginally. In this case, the sector was a good place to hide when the world appeared to be falling apart, but it managed to hold onto a small piece of that gain as the market clawed back from the edge of disaster.
Portfolio Strategy
In a year when the stock market fell and rose as much as it did, there's bound to be some interesting stock stories that drove the portfolio's relative performance. From a bottom-line perspective, we're pleased to have delivered a net benefit from both overweighting and underweighting the right sectors, as well as from picking the right stocks within sectors more often than not.
We were particularly successful in Technology. As the market was declining sharply in the late fall and early winter of 2008, we recognized the favorable attributes of many of stocks in this sector. As a group, Technology stocks tend to have low capital intensity, great cash flow, and exceptionally strong balance sheets. We took advantage of the price weakness to add to key positions. For the reporting period, our holdings in Apple, Google, and Hewlett-Packard all made strong contributions to performance. In the Financials sector, the timely establishment of a position in investment banking leader Goldman Sachs also made a significant contribution to our strong relative performance.
However, not everything went as we would have scripted it. We did not perform well in the Health Care sector. While we correctly overweighted this sector, which performed better than average, our stocks within the sector lagged. Our Health Care picks did especially poorly in the last quarter of 2008. During that time, we misjudged the fundamentals of managed-care player Coventry Health, and our large holdings in medical technology leaders Stryker and Medtronic produced disappointing results. At that point, large-cap pharmaceutical stocks were the place to be. Our position in Novartis performed satisfactorily, but it was not enough to make up for other misfires.
At the end of 2008, we began to position the portfolio for the recovery to come. While the economy and the stock market fell to levels we had not contemplated, that action enabled us to fully participate in the upturn once it arrived. As always, we are vigilant in our search for additional opportunities that this uneven recovery may provide.
Outlook
Six months ago, the outlook seemed dark indeed. The economy was in full-scale retreat, corporate earnings were imploding, and real questions surfaced concerning the state of our financial system. We've exited the gloom, and while all is not well, great progress has been made. There is reason for legitimate optimism. Most economic indicators have turned up. Corporate earnings have started to rebound. Most importantly, in its future-discounting role, the great surge in the stock market signals better times ahead. We believe the rise has been justified.
It's equally clear to us, though, that the easy money has probably already been made. The retreat from the edge of disaster and the economic stabilization have driven most of this gain. While corporate earnings have moved somewhat higher, most of the stock market's rise has come from stocks becoming more expensive--which usually happens as the market gains confidence that an economic recovery is on the horizon. From this point, however, the real economy must gain some forward momentum for the market to keep moving higher.
Fortunately, that is our forecast. So, we remain optimistic about the intermediate- to longer-term view of the stock market's prospects, although the short-term outlook is much cloudier. That time horizon is always tougher to predict, and that's doubly true at economic inflection points. It seems most likely to us that the economy will march haltingly forward for the next year or two since there are a lot of headwinds to overcome. In that type of recovery, we look for the less economically sensitive type of high-quality companies to be the leaders. As always, we will continue to search for the best combination of growth and good value among our universe of sustainable and responsible companies.
October 2009
As of September 30, 2009, the following companies represented the following percentages of Portfolio net assets: Apple 4.64%, Google 3.73%, Hewlett Packard 4.62%, Goldman Sachs 2.01%, Coventry Health 0.0%, Stryker 3.19%, Medtronic 0.0%, Novartis 3.08%. All holdings are subject to change without notice.
Equity Portfolio Statistics
September 30, 2009
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | 36.55% | -3.46% |
Class B | 35.96% | -4.34% |
Class C | 36.00% | -4.23% |
Class I | 36.98% | -2.88% |
Class Y** | 36.81% | -3.14% |
S&P 500 Index*** | 34.02% | -6.91% |
Lipper Large Cap Growth Funds Avg | 31.35% | -2.72% |
|
|
|
Ten Largest Stock Holdings |
|
|
| % of Net Assets |
|
Apple, Inc. | 4.6% |
|
Hewlett-Packard Co. | 4.6% |
|
CVS Caremark Corp. | 4.1% |
|
Google, Inc. | 3.7% |
|
Staples, Inc. | 3.7% |
|
Cisco Systems, Inc. | 3.4% |
|
Stryker Corp. | 3.2% |
|
QUALCOMM, Inc. | 3.2% |
|
Novartis AG (ADR) | 3.1% |
|
Procter & Gamble Co. | 3.1% |
|
Total | 36.7% |
|
*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 Social Investment Fund Equity Portfolio first offered Class Y shares on October 31, 2008. Performance prior to that date reflects the performance of Class A shares at net asset value (NAV). Actual Class Y share performance would have been different.
***Source: Lipper Analytical Services, Inc.
Equity Portfolio Statistics
September 30, 2009
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | -8.04% |
Five year | 1.50% |
Ten year | 3.77% |
|
|
| Class B Shares |
One year | -9.12% |
Five year | 1.43% |
Ten year | 3.37% |
|
|
| Class C Shares |
One year | -5.19% |
Five year | 1.71% |
Ten Year | 3.45% |
Equity Portfolio Statistics
September 30, 2009
Average Annual Total Returns
|
|
| Class I Shares |
One year | -2.88% |
Five year | 3.06% |
Since inception | 4.25% |
(11/1/99) |
|
|
|
| Class Y Shares* |
One year | -3.14% |
Five year | 2.57% |
Ten year | 4.32% |
*See note on previous page.
The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com for current performance data. The gross expense ratio for Class A Shares is 1.21%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.
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. 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.
Equity Portfolio Statistics
September 30, 2009
Economic Sectors | % of Total |
Consumer Discretionary | 14.1% |
Consumer Staples | 9.1% |
Energy | 6.5% |
Financials | 11.6% |
Health Care | 16.8% |
Industrials | 6.3% |
Information Technology | 25.7% |
Limited Partnership Interest | 0.1% |
Materials | 4.7% |
Time Deposit | 2.8% |
Utilities | 1.6% |
Venture Capital | 0.7% |
Total | 100% |
Portfolio Management Discussion
Natalie A. Trunow,
Senior Vice President, Chief Investment Officer - Equities of Calvert Asset Management Company
Performance
CSIF Enhanced Equity Portfolio Class A shares (at NAV) returned -7.22% for the 12 months ended September 30, 2009. The Russell 1000® Index returned -6.14% for the same time period. Stock selection hindered the Fund's performance relative to the benchmark.
Portfolio Manager Update
On June 2, 2009, the Trustees of Calvert Social Investment Fund terminated the Portfolio's subadvisory agreement with State Street Global Advisors (SSGA). The Board reviewed the existing advisory agreement with Calvert Asset Management Company, Inc. (CAMCO), the Portfolio's investment advisor. It considered CAMCO's internal resources for equities management, which have been significantly expanded in recent years, and its proposed investment strategy for the Portfolio and concluded that it was appropriate for CAMCO to directly manage the Portfolio under the existing agreement without a subadvisor. Adhering to the Portfolio's stated strategy and Calvert's Double Diligence™ process, which seeks attractive potential investments in well-managed firms by examining companies both financially and in terms of corporate responsibility, CAMCO's investment strategy features application of stock selection models and other analytical insights to add value while managing risk through a two-step optimizatio n process.
Investment Climate
Returns in U.S. equity markets swung wildly over the past year. The market's tone for the first half of the period was profoundly negative as the crisis in global credit markets led to a worldwide recession. U.S. equity markets reached their lowest point on March 9, 2009, when the Russell 1000 Index's return since September 30, 2008 dropped to -41.24%. As investors began to see the "green shoots" of a pending recovery, markets rallied sharply over the balance of the period, with the Russell 1000 Index returning 59.73% between March 9 and September 30, 2009.
The recovery of U.S. equity markets and others around the world is more due to the anticipation of an economic recovery than any realized renewal in global growth. In fact, the U.S. economy, as measured by gross domestic product, contracted 2.3% during the period, with the bulk of the downturn coming in the first quarter of 2009. The U.S. economy has benefited from extensive government intervention including the rescues of troubled financial firms and stimulus efforts aimed at reviving consumer demand. While there are signs of a recovery and we may look back and see that the recession bottomed out in the third quarter of 2009, firm evidence of economic strength is still lacking.
Unemployment remains a serious concern as the U.S. unemployment rate rose to 9.7% near the end of the period. However, the recovery of jobs usually lags in the early stages of an economic recovery, so it is possible that job data could continue to be bleak despite improved economic activity.
Portfolio Strategy
Sector/Industry
The Portfolio's sector allocation added to its return during the period, largely due to an overweight to Information Technology. Overall, the sector rose almost 9%, significantly
outperforming the broader Russell 1000 Index, which returned -6.14%. Overweights to the Consumer Discretionary and Telecommunications sectors also had a positive impact on performance, as both sectors held up better than others over the past year. However, the Portfolio had a slight overweight to Financials, which detracted from performance as ongoing struggles within the sector led to a decline of more than 22%.
Individual Securities
Stock selection overall had a slightly negative effect on relative performance during the reporting period. It was weakest in the Health Care sector as holdings in the Health Care Providers & Services industry--such as CIGNA, which took a huge hit in profits--dragged on performance. The Portfolio was also hurt because it did not hold pharmaceutical giants Schering-Plough, which benefitted from strong earnings, and Wyeth Pharmaceuticals, which Pfizer will acquire. Both stocks were held by the benchmark but did not meet our sustainability and responsibility criteria.
Stock selection was strongest in the Consumer Discretionary sector. The Portfolio's overweight position in media companies and specialty retail names lifted performance after Gannett, TJX, Home Depot, and Best Buy all announced better-than-expected earnings. Stock selection was also strong in the Industrials sector, where our sustainability criteria prevented investment in poor performers like General Electric.
For the portion of the period under SSGA's management--through June 2, 2009--negative stock selection hampered the Portfolio, especially in the Health Care sector. However, stock selection in Consumer Staples and Information Technology struggled as well.
CAMCO's investment process is designed add value through stock selection while minimizing sector, industry, and style biases relative to the Russell 1000 Index. Under CAMCO's management during the reporting period, the Portfolio benefited from very strong stock selection, with the most positive impact seen in the Energy sector. This was largely due to the absence of a position in weak-performing ExxonMobil--which does not pass Calvert's sustainability and responsibility screens. Stock selection was also strong in Industrials and Utilities.
Outlook
Equity markets made a steep upturn during the last seven months of the reporting period. Corporate earnings reports have tended to beat analysts' expectations, but much of the good news has come from effective cost reductions rather than improved sales and revenues. Still, markets seem to be predicting further improvements in corporate earnings. For this to happen, revenue growth is a must. However, until there is clear evidence of a sustainable economic recovery, markets will be at risk for renewed volatility and a potential downturn.
October 2009
As of September 30, 2009, the following companies represented the following percentages of Fund net assets: CIGNA 0.51%, Schering-Plough 0%, Wyeth 0%, Pfizer 0%, Gannett 0.57%, TJX 0.58%, Home Depot 1.00%, Best Buy 0.19%, ExxonMobil 0% and General Electric 0%. All holdings are subject to change without notice.
Enhanced Equity
Portfolio Statistics
September 30, 2009
Investment Performance
(total return at NAV*)
6 Months | 12 Months | |
Class A | 37.44% | -7.22% |
Class B | 36.27% | -8.51% |
Class C | 36.69% | -8.09% |
Class I | 37.75% | -6.64% |
Russell 1000 Index** | 35.22% | -6.14% |
Lipper Large Cap Core Funds Avg. | 33.67% | -5.89% |
Ten Largest Stock Holdings |
|
| % of Net Assets |
JPMorgan Chase & Co. | 3.2% |
Johnson & Johnson | 3.0% |
Microsoft Corp. | 2.8% |
AT&T, Inc. | 2.4% |
International Business Machines Corp. | 2.4% |
Cisco Systems, Inc. | 2.0% |
Hewlett-Packard Co. | 1.8% |
Apple, Inc. | 1.8% |
Wells Fargo & Co. | 1.8% |
Goldman Sachs Group, Inc. | 1.7% |
Total | 22.9% |
*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, 2009
Economic Sectors | % of Total Investments |
Consumer Discretionary | 12.1% |
Consumer Staples | 8.4% |
Energy | 9.9% |
Financials | 15.4% |
Health Care | 14.4% |
Industrials | 9.0% |
Information Technology | 18.7% |
Materials | 3.5% |
Telecommunication Services | 3.9% |
Time Deposit | 0.6% |
Utilities | 4.1% |
Total | 100% |
Enhanced Equity
Portfolio Statistics
September 30, 2009
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | -11.60% |
Five year | -2.14% |
Ten year | -0.92% |
| Class B Shares |
One year | -13.09% |
Five year | -2.40% |
Ten year | -1.48% |
| Class C Shares |
One year | -9.08% |
Five year | -2.05% |
Ten year | -1.40% |
Enhanced Equity
Portfolio Statistics
September 30, 2009
Average Annual Total Returns
| Class I Shares* |
One year | -6.64% |
Five year | -0.79% |
Ten year | -0.10% |
* 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.
The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com for current performance data. The gross expense ratio for Class A Shares is 1.36%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.
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. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. The value of an investment in Classes A, B and I shares is plotted in the line graph. The value of an investment in another class of shares would be different.
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, 2009 to September 30, 2009).
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.
CSIF Money Market | Beginning | Ending Account | Expenses Paid |
Actual | $1,000.00 | $1,002.00 | $4.26 |
Hypothetical | $1,000.00 | $1,020.81 | $4.30 |
(5% return per year before expenses) |
|
|
|
*Expenses for Money Market are equal to the annualized expense ratio of 0.85%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
CSIF Balanced | Beginning | Ending Account | Expenses Paid |
Class A |
|
|
|
Actual | $1,000.00 | $1,235.90 | $7.01 |
Hypothetical | $1,000.00 | $1,018.80 | $6.33 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,228.70 | $12.93 |
Hypothetical | $1,000.00 | $1,013.46 | $11.68 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,229.80 | $12.15 |
Hypothetical | $1,000.00 | $1,014.17 | $10.97 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,238.90 | $4.04 |
Hypothetical | $1,000.00 | $1,021.46 | $3.65 |
(5% return per year before expenses) |
|
|
|
*Expenses for Balanced are equal to the annualized expense ratios of 1.25%, 2.31%, 2.17% and 0.72% for Class A, Class B, Class C and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
CSIF Bond | Beginning | Ending Account | Expenses Paid |
Class A |
|
|
|
Actual | $1,000.00 | $1,102.80 | $6.00 |
Hypothetical | $1,000.00 | $1,019.36 | $5.76 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,097.30 | $11.25 |
Hypothetical | $1,000.00 | $1,014.34 | $10.81 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,098.30 | $10.09 |
Hypothetical | $1,000.00 | $1,015.45 | $9.69 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,106.10 | $2.76 |
Hypothetical | $1,000.00 | $1,022.45 | $2.65 |
(5% return per year before expenses) |
|
|
|
Class Y |
|
|
|
Actual | $1,000.00 | $1,104.30 | $4.85 |
Hypothetical | $1,000.00 | $1,020.46 | $4.66 |
(5% return per year before expenses) |
|
|
|
*Expenses for Bond are equal to the annualized expense ratios of 1.14%, 2.14%, 1.92%, 0.52% and 0.92% for Class A, Class B, Class C, Class I and Class Y, respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
CSIF Equity | Beginning | Ending Account | Expenses Paid |
Class A |
|
|
|
Actual | $1,000.00 | $1,365.50 | $7.35 |
Hypothetical | $1,000.00 | $1,018.86 | $6.27 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,359.60 | $12.80 |
Hypothetical | $1,000.00 | $1,014.22 | $10.93 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,360.00 | $12.08 |
Hypothetical | $1,000.00 | $1,014.83 | $10.31 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,369.80 | $4.06 |
Hypothetical | $1,000.00 | $1,021.64 | $3.47 |
(5% return per year before expenses) |
|
|
|
Class Y |
|
|
|
Actual | $1,000.00 | $1,368.10 | $5.70 |
Hypothetical | $1,000.00 | $1,020.26 | $4.86 |
(5% return per year before expenses) |
|
|
|
*Expenses for Equity are equal to the annualized expense ratios of 1.24%, 2.16%, 2.04%, 0.68%, and 0.96% for Class A, Class B, Class C, Class I and Class Y, respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
CSIF Enhanced Equity | Beginning | Ending Account | Expenses Paid |
Class A |
|
|
|
Actual | $1,000.00 | $1,374.40 | $8.24 |
Hypothetical | $1,000.00 | $1,018.13 | $7.00 |
(5% return per year before expenses) |
|
|
|
Class B |
|
|
|
Actual | $1,000.00 | $1,362.70 | $16.58 |
Hypothetical | $1,000.00 | $1,011.03 | $14.11 |
(5% return per year before expenses) |
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,366.90 | $13.97 |
Hypothetical | $1,000.00 | $1,013.27 | $11.88 |
(5% return per year before expenses) |
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,377.50 | $4.83 |
Hypothetical | $1,000.00 | $1,021.01 | $4.10 |
(5% return per year before expenses) |
|
|
|
*Expenses for Enhanced Equity are equal to the annualized expense ratios of 1.38%, 2.80%, 2.35% and 0.81% for Class A, Class B, Class C, and Class I respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders of Calvert Social Investment Fund:
We have audited the accompanying statements of net assets of the Calvert Money Market, Balanced, Bond, Equity, and Enhanced Equity Portfolios (collectively the Portfolios), each a series of the Calvert Social Investment Fund, as of September 30, 2009, 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 Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2009, 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, 2009, 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 23, 2009
Money Market Portfolio
Statement of Net Assets
September 30, 2009
U.S. Government Agencies |
| Principal |
|
And Instrumentalities - 30.2% |
| Amount | Value |
Fannie Mae: |
|
|
|
0.404%, 2/12/10 (r) |
| $1,000,000 | $1,000,737 |
0.40%, 7/13/10 (r) |
| 3,000,000 | 2,999,598 |
Fannie Mae Discount Notes: |
|
|
|
12/10/09 |
| 1,000,000 | 998,542 |
3/1/10 |
| 1,000,000 | 996,403 |
Fannie Mae Interest Strip, 1/15/10 |
| 1,000,000 | 996,939 |
Federal Farm Credit Bank: |
|
|
|
0.875%, 4/1/10 |
| 1,000,000 | 1,000,000 |
0.646%, 11/24/10 (r) |
| 2,000,000 | 1,999,315 |
Federal Home Loan Bank: |
|
|
|
0.435%, 10/13/09 (r) |
| 1,000,000 | 1,000,014 |
5.00%, 12/11/09 |
| 1,000,000 | 1,007,660 |
1.00%, 2/5/10 |
| 1,000,000 | 1,000,000 |
1.00%, 2/18/10 |
| 500,000 | 499,882 |
0.396%, 2/19/10 (r) |
| 5,000,000 | 4,999,017 |
0.75%, 2/19/10 (r) |
| 1,000,000 | 1,000,000 |
1.05%, 2/23/10 |
| 2,000,000 | 1,999,190 |
1.00%, 2/26/10 |
| 1,000,000 | 1,000,000 |
0.79%, 3/11/10 (r) |
| 1,000,000 | 1,000,044 |
0.173%, 3/26/10 (r) |
| 1,000,000 | 998,858 |
0.875%, 4/15/10 |
| 1,000,000 | 999,945 |
0.65%, 6/10/10 |
| 1,000,000 | 999,306 |
0.56%, 6/11/10 |
| 2,500,000 | 2,499,346 |
0.60%, 6/21/10 |
| 2,500,000 | 2,499,875 |
0.56%, 6/22/10 |
| 1,000,000 | 999,513 |
0.60%, 7/26/10 |
| 1,000,000 | 999,529 |
0.60%, 8/10/10 |
| 1,000,000 | 999,914 |
3.375%, 8/13/10 |
| 1,000,000 | 1,023,704 |
STEP, 0.50% to 2/24/10, 0.75% thereafter to 8/24/10 (r) |
| 1,000,000 | 1,000,000 |
0.13%, 11/8/10 (r) |
| 850,000 | 852,373 |
Federal Home Loan Bank Discount Notes: |
|
|
|
11/17/09 |
| 500,000 | 498,564 |
1/12/10 |
| 1,000,000 | 997,854 |
4/27/10 |
| 1,000,000 | 995,955 |
Freddie Mac: |
|
|
|
0.179%, 10/19/09 (r) |
| 1,000,000 | 999,913 |
4.75%, 11/3/09 |
| 1,000,000 | 1,001,954 |
2.875%, 4/30/10 |
| 4,000,000 | 4,045,426 |
4.50%, 7/6/10 |
| 2,208,000 | 2,277,271 |
Freddie Mac Discount Notes: |
|
|
|
11/9/09 |
| 1,000,000 | 997,942 |
12/7/09 |
| 1,000,000 | 998,325 |
2/4/10 |
| 1,000,000 | 996,500 |
|
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
|
(Cost $51,179,408) |
|
| 51,179,408 |
|
|
|
|
Depository Receipts For U.S. |
| Principal |
|
Government Guaranteed Loans - 0.3% |
| Amount | Value |
Colson Services Corporation Loan Sets: |
|
|
|
2.094%, 7/26/10 (c)(h)(r) |
| $21,695 | $21,696 |
2.00%, 1/22/11 (c)(h)(r) |
| 6,146 | 6,146 |
2.25%, 3/23/12 (c)(h)(r) |
| 47,744 | 47,787 |
2.125%, 5/29/12 (c)(h)(r) |
| 115,321 | 115,320 |
2.00%, 8/10/12 (c)(h)(r) |
| 274,412 | 274,961 |
2.00%, 9/2/12 (c)(h)(r) |
| 37,763 | 37,825 |
|
|
|
|
Total Depository Receipts For U.S. Government Guaranteed |
|
|
|
Loans (Cost $503,735) |
|
| 503,735 |
|
|
|
|
Certificates Of Deposit - 0.3% |
|
|
|
Community Bank of the Bay, 2.27%, 10/8/09 (k) |
| 100,000 | 100,000 |
Carver Bank, 2.25%, 1/19/10 (k) |
| 100,000 | 100,000 |
Elk Horn Bank & Trust Co., 1.85%, 12/18/09 (k) |
| 100,000 | 100,000 |
Self Help Credit Union, 2.05%, 7/14/10 (k) |
| 250,000 | 250,000 |
|
|
|
|
Total Certificates of Deposit (Cost $550,000) |
|
| 550,000 |
|
|
|
|
Municipal Obligations - 1.8% |
|
|
|
Metropolitan Washington DC Airport Authority System Revenue |
|
|
|
Commercial Paper Notes, 1.25%, 10/7/09 |
| 3,000,000 | 3,000,000 |
|
|
|
|
Total Municipal Obligations (Cost $3,000,000) |
|
| 3,000,000 |
|
|
|
|
Variable Rate Demand Notes - 63.2% |
|
|
|
2880 Stevens Creek LLC, 0.50%, 11/1/33, |
|
|
|
LOC: Bank of the West (r) |
| 3,155,000 | 3,155,000 |
Akron Hardware Consultants, Inc., 1.20%, 11/1/22, LOC: |
|
|
|
FirstMerit Bank, C/LOC: FHLB (r) |
| 1,613,000 | 1,613,000 |
Bayfront Regional Development Corp., 0.40%, 11/1/27, |
|
|
|
LOC: PNC Bank (r) |
| 6,000,000 | 6,000,000 |
Bochasanwais Shree Akshar Purushottam Swaminarayan Sanstha, |
|
|
|
Inc., 2.25%, 6/1/22, LOC: Comerica Bank (r) |
| 2,295,000 | 2,295,000 |
Butler County Alabama IDA Revenue, 1.75%, 3/1/12, LOC: |
|
|
|
Whitney National Bank, C/LOC: FHLB (r) |
| 460,000 | 460,000 |
California Statewide Communities Development Authority |
|
|
|
Special Tax Revenue, 0.52%, 3/15/34, LOC: Fannie Mae (r) |
| 2,550,000 | 2,550,000 |
CIDC-Hudson House LLC New York Revenue, 2.65%, |
|
|
|
12/1/34, LOC: Hudson River Bank & Trust, C/LOC: FHLB (r) |
| 1,900,000 | 1,900,000 |
Durham North Carolina GO, 0.33%, 5/1/18, BPA: Bank |
|
|
|
of America (r) |
| 6,000,000 | 6,000,000 |
Florida State Housing Finance Corp. MFH Revenue: |
|
|
|
0.40%, 10/15/32, LOC: Fannie Mae (r) |
| 550,000 | 550,000 |
0.55%, 11/1/32, LOC: Freddie Mac (r) |
| 750,000 | 750,000 |
Series B, 0.80%, 10/15/32, LOC: Fannie Mae (r) |
| 2,400,000 | 2,400,000 |
Series J-2, 0.80%, 10/15/32, LOC: Fannie Mae (r) |
| 2,230,000 | 2,230,000 |
HHH Investment Co., 0.55%, 7/1/29, |
|
|
|
LOC: Bank of the West (r) |
| 2,070,000 | 2,070,000 |
Holland Board of Public Works Home Building Co., |
|
|
|
0.55%, 11/1/22, LOC: Wells Fargo Bank (r) |
| 865,000 | 865,000 |
Kaneville Road Joint Venture, Inc., 0.65%, 11/1/32, LOC: First |
|
|
|
American Bank, C/LOC: FHLB (r) |
| 4,865,000 | 4,865,000 |
|
|
|
|
|
|
|
|
|
| Principal |
|
Variable Rate Demand Notes - Cont'd |
| Amount | Value |
Lakeland Florida Energy System Revenue, 0.41%, 10/1/37, |
|
|
|
LOC: SunTrust Bank (r) |
| $3,575,000 | $3,575,000 |
Los Angeles California MFH Revenue, 0.33%, 12/15/34, |
|
|
|
LOC: Fannie Mae (r) |
| 900,000 | 900,000 |
Main & Walton Development Co., 0.50%, 9/1/26, |
|
|
|
LOC: Sovereign Bank, C/LOC: FHLB (r) |
| 4,965,000 | 4,965,000 |
Milpitas California MFH Revenue, 0.50%, 8/15/33, |
|
|
|
LOC: Fannie Mae (r) |
| 2,200,000 | 2,200,000 |
Montgomery New York Industrial Development Board |
|
|
|
Pollution Control Revenue, 0.65%, 5/1/25, LOC: FHLB (r) |
| 2,885,000 | 2,885,000 |
New York City New York Housing Development Corp. |
|
|
|
MFH Revenue: |
|
|
|
0.32%, 11/15/31, LOC: Fannie Mae (r) |
| 1,450,000 | 1,450,000 |
0.32%, 11/15/35, LOC: Fannie Mae (r) |
| 1,695,000 | 1,695,000 |
0.32%, 12/1/35, LOC: Freddie Mac (r) |
| 13,205,000 | 13,205,000 |
New York State MMC Corp. Revenue, 2.65%, 11/1/35, |
|
|
|
LOC: JPMorgan Chase Bank (r) |
| 3,900,000 | 3,900,000 |
Osprey Management Co. LLC, 0.35%, 6/1/27, LOC: Wells |
|
|
|
Fargo Bank (r) |
| 5,600,000 | 5,600,000 |
Peoploungers, Inc., 1.00%, 4/1/18, LOC: Bank of New Albany, |
|
|
|
C/LOC: FHLB (r) |
| 1,885,000 | 1,885,000 |
Portage Indiana Economic Development Revenue, 2.55%, 3/1/20, |
|
|
|
LOC: FHLB (r) |
| 100,000 | 100,000 |
Rathbone LLC, 0.75%, 1/1/38, LOC: Comerica Bank (r) |
| 3,580,000 | 3,580,000 |
Roman Catholic Church of the Diocese of Houma-Thibodaux, |
|
|
|
3.75%, 12/1/37, LOC: Allied Irish Bank (r) |
| 3,240,000 | 3,240,000 |
Roosevelt Paper Co., 0.45%, 6/1/12, LOC: Wachovia Bank (r) |
| 945,000 | 945,000 |
Scottsboro Alabama Industrial Development Board Revenue, |
|
|
|
0.43%, 10/1/10, LOC: Wachovia Bank (r) |
| 180,000 | 180,000 |
Shawnee Kansas Private Activity Revenue, 4.50%, 12/1/12, |
|
|
|
LOC: JPMorgan Chase Bank (r) |
| 2,965,000 | 2,965,000 |
Sheridan Colorado Redevelopment Agency Tax Allocation, |
|
|
|
2.00%, 12/1/29, LOC: Citibank (r) |
| 5,600,000 | 5,600,000 |
St. Joseph County Indiana Economic Development Revenue, |
|
|
|
2.55%, 6/1/27, LOC: FHLB (r) |
| 310,000 | 310,000 |
Tyler Enterprises LLC, 0.50%, 10/3/22, LOC: Peoples Bank |
|
|
|
& Trust, C/LOC: FHLB (r) |
| 4,965,000 | 4,965,000 |
Washington State MFH Finance Commission Revenue: |
|
|
|
0.55%, 6/15/32, LOC: Fannie Mae (r) |
| 960,000 | 960,000 |
0.55%, 7/15/32, LOC: Fannie Mae (r) |
| 660,000 | 660,000 |
0.52%, 7/15/34, LOC: Fannie Mae (r) |
| 1,570,000 | 1,570,000 |
0.52%, 5/15/35, LOC: Fannie Mae (r) |
| 755,000 | 755,000 |
0.52%, 5/1/37, LOC: Freddie Mac (r) |
| 1,350,000 | 1,350,000 |
|
|
|
|
Total Variable Rate Demand Notes (Cost $107,143,000) |
|
| 107,143,000 |
|
|
|
|
Time Deposit - 0.1% |
|
|
|
State Street Corp. Time Deposit, 0.01%, 10/1/09 |
| 138,781 | 138,781 |
|
|
|
|
Total Time Deposit (Cost $138,781) |
|
| 138,781 |
|
|
|
|
TOTAL INVESTMENTS (Cost $162,514,924) - 95.9% |
|
| 162,514,924 |
Other assets and liabilities, net - 4.1% |
|
| 6,969,797 |
Net Assets - 100% |
|
| $169,484,721 |
|
|
|
|
|
|
|
|
Net Assets Consist of: |
|
|
|
Paid-in capital applicable to the following shares of beneficial interest |
|
|
|
unlimited number of no par value shares authorized, |
|
|
|
169,555,161 shares outstanding |
|
| $169,506,923 |
Undistributed net investment income |
|
| 6,338 |
Accumulated net realized gain (loss) on investments |
|
| (28,540) |
|
|
|
|
Net Assets |
|
| $169,484,721 |
|
|
|
|
Net Assets Value Per Share |
|
| $1.00 |
See notes to statements of net assets and notes to financial statements.
Balanced Portfolio
Statement of Net Assets
September 30, 2009
Equity Securities - 58.8% | Shares | Value |
Aerospace & Defense - 0.2% |
|
|
BE Aerospace, Inc.* | 45,385 | $914,054 |
|
|
|
Air Freight & Logistics - 0.3% |
|
|
FedEx Corp. | 6,302 | 474,036 |
United Parcel Service, Inc., Class B | 11,675 | 659,287 |
|
| 1,133,323 |
|
|
|
Airlines - 0.2% |
|
|
Southwest Airlines Co. | 66,480 | 638,208 |
|
|
|
Beverages - 0.8% |
|
|
PepsiCo, Inc. | 62,845 | 3,686,488 |
|
|
|
Biotechnology - 2.1% |
|
|
Amgen, Inc.* | 58,310 | 3,512,011 |
Gilead Sciences, Inc.* | 123,600 | 5,757,288 |
|
| 9,269,299 |
|
|
|
Capital Markets - 1.5% |
|
|
Federated Investors, Inc., Class B | 8,600 | 226,782 |
Northern Trust Corp. | 90,500 | 5,263,480 |
SEI Investments Co. | 14,200 | 279,456 |
T. Rowe Price Group, Inc. | 20,214 | 923,780 |
|
| 6,693,498 |
|
|
|
Chemicals - 1.5% |
|
|
Praxair, Inc. | 81,500 | 6,657,735 |
|
|
|
Commercial Banks - 1.1% |
|
|
US Bancorp | 223,200 | 4,879,152 |
|
|
|
Communications Equipment - 2.5% |
|
|
Cisco Systems, Inc. (s)* | 275,780 | 6,491,861 |
QUALCOMM, Inc. | 100,090 | 4,502,048 |
|
| 10,993,909 |
Computers & Peripherals - 5.3% |
|
|
Apple, Inc.* | 6,800 | 1,260,516 |
EMC Corp.* | 435,914 | 7,427,975 |
Hewlett-Packard Co. | 157,210 | 7,421,884 |
International Business Machines Corp. | 53,100 | 6,351,291 |
Western Digital Corp.* | 31,780 | 1,160,923 |
|
| 23,622,589 |
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value |
Consumer Finance - 0.1% |
|
|
American Express Co. | 15,200 | $515,280 |
|
|
|
Diversified Financial Services - 2.0% |
|
|
Bank of America Corp. | 10,107 | 171,010 |
CME Group, Inc. | 20,110 | 6,197,701 |
First Republic Preferred Capital Corp., Preferred (e)* | 500 | 450,000 |
JPMorgan Chase & Co. | 17,445 | 764,440 |
Woodbourne Capital: |
|
|
Trust I, Preferred (b)(e) | 500,000 | 305,000 |
Trust II, Preferred (b)(e) | 500,000 | 305,000 |
Trust III, Preferred (b)(e) | 500,000 | 305,000 |
Trust IV, Preferred (b)(e) | 500,000 | 305,000 |
|
| 8,803,151 |
|
|
|
Diversified Telecommunication Services - 1.4% |
|
|
AT&T, Inc. | 237,175 | 6,406,097 |
|
|
|
Electronic Equipment & Instruments - 0.3% |
|
|
Amphenol Corp. | 17,700 | 666,936 |
Jabil Circuit, Inc. | 52,350 | 702,013 |
|
| 1,368,949 |
|
|
|
Energy Equipment & Services - 1.0% |
|
|
Smith International, Inc. | 159,300 | 4,571,910 |
|
|
|
Food & Staples Retailing - 0.1% |
|
|
Costco Wholesale Corp. | 9,680 | 546,533 |
|
|
|
Food Products - 1.6% |
|
|
General Mills, Inc. | 98,600 | 6,347,868 |
Kellogg Co. | 10,800 | 531,684 |
McCormick & Co., Inc. | 13,400 | 454,796 |
|
| 7,334,348 |
|
|
|
Gas Utilities - 1.4% |
|
|
Oneok, Inc. | 172,700 | 6,324,274 |
|
|
|
Health Care Equipment & Supplies - 1.7% |
|
|
Becton Dickinson & Co. | 78,400 | 5,468,400 |
DENTSPLY International, Inc. | 13,700 | 473,198 |
Hologic, Inc.* | 54,770 | 894,942 |
Medtronic, Inc. | 23,826 | 876,797 |
|
| 7,713,337 |
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value |
Health Care Providers & Services - 2.3% |
|
|
CIGNA Corp. | 98,400 | $2,764,056 |
Express Scripts, Inc.* | 83,700 | 6,493,446 |
Lincare Holdings, Inc.* | 12,500 | 390,625 |
Quest Diagnostics, Inc. | 11,024 | 575,343 |
|
| 10,223,470 |
|
|
|
Household Products - 1.3% |
|
|
Colgate-Palmolive Co. | 68,086 | 5,193,600 |
Procter & Gamble Co. | 12,500 | 724,000 |
|
| 5,917,600 |
|
|
|
Industrial Conglomerates - 0.1% |
|
|
3M Co. | 5,073 | 374,387 |
|
|
|
Insurance - 2.5% |
|
|
Aflac, Inc. | 22,900 | 978,746 |
AON Corp. | 83,600 | 3,401,684 |
Conseco, Inc.* | 48,476 | 254,984 |
Prudential Financial, Inc. | 133,200 | 6,648,012 |
|
| 11,283,426 |
|
|
|
Internet & Catalog Retail - 1.5% |
|
|
Expedia, Inc.* | 270,000 | 6,466,500 |
|
|
|
Internet Software & Services - 1.7% |
|
|
Akamai Technologies, Inc.* | 14,909 | 293,409 |
eBay, Inc.* | 274,800 | 6,488,028 |
Google, Inc.* | 1,730 | 857,820 |
|
| 7,639,257 |
|
|
|
IT Services - 0.7% |
|
|
Cognizant Technology Solutions Corp.* | 73,600 | 2,845,376 |
Fiserv, Inc.* | 5,000 | 241,000 |
|
| 3,086,376 |
|
|
|
Life Sciences - Tools & Services - 0.1% |
|
|
Waters Corp.* | 9,926 | 554,466 |
|
|
|
Machinery - 3.1% |
|
|
Cummins, Inc. | 110,300 | 4,942,543 |
Danaher Corp. | 94,356 | 6,352,046 |
Deere & Co. | 39,600 | 1,699,632 |
Graco, Inc. | 10,100 | 281,487 |
Illinois Tool Works, Inc. | 8,910 | 380,546 |
|
| 13,656,254 |
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value |
Multiline Retail - 1.4% |
|
|
Kohl's Corp.* | 100,100 | $5,710,705 |
Target Corp. | 10,000 | 466,800 |
|
| 6,177,505 |
|
|
|
Office Electronics - 0.4% |
|
|
Xerox Corp. | 206,500 | 1,598,310 |
|
|
|
Oil, Gas & Consumable Fuels - 4.1% |
|
|
EOG Resources, Inc. | 75,200 | 6,279,952 |
Plains Exploration & Production Co.* | 13,000 | 359,580 |
Southwestern Energy Co.* | 115,300 | 4,921,004 |
XTO Energy, Inc. | 165,587 | 6,842,055 |
|
| 18,402,591 |
|
|
|
Personal Products - 1.2% |
|
|
Avon Products, Inc. | 163,200 | 5,542,272 |
|
|
|
Pharmaceuticals - 1.8% |
|
|
Bristol-Myers Squibb Co. | 200,700 | 4,519,764 |
Johnson & Johnson | 56,600 | 3,446,374 |
|
| 7,966,138 |
|
|
|
Professional Services - 0.2% |
|
|
Manpower, Inc. | 11,401 | 646,551 |
|
|
|
Semiconductors & Semiconductor Equipment - 1.6% |
|
|
Intel Corp. | 42,396 | 829,690 |
NVIDIA Corp.* | 61,220 | 920,137 |
Texas Instruments, Inc. | 229,300 | 5,432,117 |
|
| 7,181,944 |
|
|
|
Software - 4.0% |
|
|
Adobe Systems, Inc.* | 191,245 | 6,318,735 |
BMC Software, Inc.* | 113,200 | 4,248,396 |
Citrix Systems, Inc.* | 22,800 | 894,444 |
Microsoft Corp. | 249,760 | 6,466,286 |
|
| 17,927,861 |
|
|
|
Specialty Retail - 2.7% |
|
|
Best Buy Co., Inc. | 138,900 | 5,211,528 |
Home Depot, Inc. | 19,720 | 525,341 |
Lowe's Co.'s, Inc. | 288,100 | 6,032,814 |
Staples, Inc. | 18,546 | 430,638 |
|
| 12,200,321 |
|
|
|
Textiles, Apparel & Luxury Goods - 1.4% |
|
|
Nike, Inc., Class B | 98,300 | 6,360,010 |
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value |
Venture Capital - 1.6% |
|
|
Agraquest, Inc.: |
|
|
Series B, Preferred (b)(i)* | 190,477 | $52,990 |
Series C, Preferred (b)(i)* | 117,647 | 37,910 |
Series H, Preferred (b)(i)* | 4,647,053 | 441,805 |
Allos Therapeutics, Inc.* | 42,819 | 310,438 |
CFBanc Corp., Series A (b)(i)* | 27,000 | 373,304 |
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)* | 23,127 | - |
(strike price $0.01/share, expires 9/4/13) (b)(i)* | 173,455 | - |
(strike price $0.01/share, expires 9/4/13) (b)(i)* | 250,000 | - |
(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 | 7,600 |
Consensus Orthopedics, Inc.: |
|
|
Common Stock (b)(i)* | 180,877 | - |
Series A-1, Preferred (b)(i)* | 420,683 | - |
Series B, Preferred (b)(i)* | 348,940 | 17,447 |
Series C, Preferred (b)(i)* | 601,710 | 120,342 |
Distributed Energy Systems Corp.* | 14,937 | 90 |
Environmental Private Equity Fund II, Liquidating Trust (b)(i)* | 200,000 | 29,819 |
Evergreen Solar, Inc.* | 66,000 | 126,720 |
H2Gen Innovations, Inc.: |
|
|
Common Stock (b)(i)* | 2,077 | - |
Common Warrants (strike price $1.00/share, expires 10/31/13) (b)(i)* | 27,025 | - |
Series A, Preferred (b)(i)* | 69,033 | - |
Series A, Preferred Warrants (strike price $1.00/share, expires |
|
|
10/10/12) (b)(i)* | 1,104 | - |
Series B, Preferred (b)(i)* | 161,759 | - |
Series C, Preferred (b)(i)* | 36,984 | - |
Inflabloc Pharmaceuticals, Inc. (b)(i)* | 1,193 | 1 |
Neighborhood Bancorp (b)(i)* | 10,000 | 154,610 |
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 | - |
|
|
|
|
|
|
Equity Securities - Cont'd | Shares | Value |
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 | $4,068,082 |
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 |
Series 1-B, Preferred Warrants (strike price $1.53/share, expires |
|
|
6/1/15) (b)(i)* | 32,726 | - |
Wild Planet Entertainment, Inc.: |
|
|
Series B, Preferred (b)(i)* | 476,190 | 988,731 |
Series E, Preferred (b)(i)* | 129,089 | 268,032 |
Wind Harvest Co., Inc. (b)(i)* | 8,696 | 1 |
|
| 7,203,503 |
|
|
|
Total Equity Securities (Cost $254,347,993) |
| 262,480,876 |
|
|
|
|
|
|
| Principal |
|
Venture Capital Debt Obligations - 0.5% | Amount |
|
Access Bank plc, 8.477%, 8/29/12 (b)(i) | $500,000 | 531,136 |
City Soft, Inc.: |
|
|
Convertible Notes I, 10.00%, 8/31/06 (b)(i)(w)* | 297,877 | - |
Convertible Notes II, 10.00%, 8/31/06 (b)(i)(w)* | 32,500 | - |
Convertible Notes III, 10.00%, 8/31/06 (b)(i)(w)* | 25,000 | - |
Convertible Notes IV, 10.00%, 8/31/06 (b)(i)(w)* | 25,000 | - |
KDM Development Corp., 6.00%, 6/30/19 (b)(i)(j) | 600,000 | 552,501 |
Plethora Technology, Inc., 12.00%, 12/31/06 (b)(i)(w)* | 150,000 | - |
Rose Smart Growth Investment Fund, 6.545%, 4/1/21 (b)(i) | 1,000,000 | 1,000,000 |
|
|
|
Total Venture Capital Debt Obligations (Cost $2,630,377) |
| 2,083,637 |
|
|
|
| Adjusted |
|
Limited Partnership Interest - 0.6% | Basis |
|
Angels With Attitude I LLC (a)(b)(i)* | 200,000 | 106,126 |
Coastal Venture Partners (b)(i)* | 133,958 | 113,783 |
Common Capital (b)(i)* | 453,189 | 306,412 |
First Analysis Private Equity Fund IV (b)(i)* | 690,660 | 901,103 |
GEEMF Partners (a)(b)(i)* | - | 119,555 |
Global Environment Emerging Markets Fund (b)(i)* | - | 447,185 |
Infrastructure and Environmental Private Equity Fund III (b)(i)* | 328,443 | 174,109 |
Labrador Ventures III (b)(i)* | 360,875 | 45,506 |
Labrador Ventures IV (b)(i)* | 911,085 | 77,102 |
New Markets Growth Fund LLC (b)(i)* | 225,646 | 215,163 |
Solstice Capital (b)(i)* | 384,644 | 383,609 |
Utah Ventures II (b)(i)* | 867,581 | - |
Venture Strategy Partners (b)(i)* | 206,058 | 19,453 |
|
|
|
Total Limited Partnership Interest (Cost $4,762,139) |
| 2,909,106 |
|
|
|
|
|
|
| Principal |
|
Asset-Backed Securities - 0.5% | Amount | Value |
ACLC Business Loan Receivables Trust, 0.893%, 10/15/21 (e)(r) | $156,610 | $149,481 |
AmeriCredit Automobile Receivables Trust: |
|
|
0.334%, 5/6/12 (r) | 433,397 | 424,592 |
0.904%, 7/6/12 (r) | 291,139 | 290,008 |
Capital Auto Receivables Asset Trust: |
|
|
0.303%, 7/15/10 (r) | 81,018 | 80,970 |
0.343%, 2/15/11 (r) | 400,000 | 397,839 |
Enterprise Mortgage Acceptance Co. LLC, 7.058%, 1/15/27 (e)(r) | 1,257,889 | 628,944 |
|
|
|
Total Asset-Backed Securities (Cost $1,924,913) |
| 1,971,834 |
|
|
|
Collateralized Mortgage-Backed Obligations |
|
|
(Privately Originated) - 0.8% |
|
|
American Home Mortgage Assets, 0.456%, 12/25/46 (r) | 807,073 | 380,949 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 (r) | 551,117 | 543,172 |
GMAC Mortgage Corp Loan Trust, 5.50%, 10/25/33 | 500,000 | 478,287 |
Impac CMB Trust, 0.516%, 5/25/35 (r) | 1,381,795 | 740,037 |
JP Morgan Mortgage Trust, 5.294%, 7/25/35 (r) | 542,709 | 503,565 |
Merrill Lynch Mortgage Investors, Inc., 5.15%, 12/25/35 (r) | 681,759 | 665,469 |
Residential Asset Securitization Trust, 6.25%, 11/25/36 | 234,821 | 151,840 |
|
|
|
Total Collateralized Mortgage-Backed Obligations |
|
|
(Privately Originated) (Cost $3,975,392) |
| 3,463,319 |
|
|
|
Commercial Mortgage-Backed Securities - 2.4% |
|
|
Banc of America Commercial Mortgage, Inc., 5.449%, 1/15/49 | 2,000,000 | 1,933,107 |
Cobalt CMBS Commercial Mortgage Trust, 5.935%, 5/15/46 (r) | 3,000,000 | 3,020,543 |
Crown Castle Towers LLC, 4.643%, 6/15/35 (e) | 4,000,000 | 4,013,889 |
GMAC Commercial Mortgage Asset Corp., 6.107%, 8/10/52 (b)(e) | 1,900,000 | 1,577,000 |
|
|
|
Total Commercial Mortgage-Backed Securities |
|
|
(Cost $10,859,657) |
| 10,544,539 |
|
|
|
Corporate Bonds - 16.0% |
|
|
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 | 3,265,540 |
APL Ltd., 8.00%, 1/15/24 | 550,000 | 449,625 |
Atlantic Marine Corp. Communities LLC, 6.158%, 12/1/51 (b)(e) | 1,000,000 | 824,820 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)* | 4,060,000 | 40,600 |
Aurora Military Housing LLC, 5.35%, 12/15/25 (e) | 2,560,000 | 2,303,590 |
BAC Capital Trust XV, 1.161%, 6/1/56 (b)(r) | 5,000,000 | 2,775,000 |
Barclays Bank plc, 5.00%, 9/22/16 | 750,000 | 755,163 |
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (b)(e) | 998,363 | 932,002 |
Camp Pendleton & Quantico Housing LLC, 6.165%, 10/1/50 (e) | 600,000 | 487,751 |
Capital One Bank, 8.80%, 7/15/19 | 500,000 | 577,855 |
Capital One Capital V, 10.25%, 8/15/39 | 400,000 | 444,577 |
|
|
|
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
Cardinal Health, Inc., 0.865%, 10/2/09 (r) | $1,000,000 | $1,000,003 |
Chesapeake Energy Corp., 7.625%, 7/15/13 | 1,000,000 | 997,500 |
CIT Group, Inc., 6.10% to 3/15/17, floating rate thereafter |
|
|
to 3/15/67 (r) (w) | 600,000 | 72,918 |
Compass Bancshares, Inc., 1.138%, 10/9/09 (e)(r) | 1,000,000 | 999,983 |
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter |
|
|
to 5/29/49 (e)(r) | 4,000,000 | 2,900,000 |
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) | 1,000,000 | 993,702 |
Discover Financial Services, 0.83%, 6/11/10 (r) | 2,500,000 | 2,444,403 |
Enterprise Products Operating LP, 7.034% to 1/15/18, floating |
|
|
rate thereafter to 1/15/68 (r) | 3,200,000 | 2,800,000 |
Fort Knox Military Housing, 5.815%, 2/15/52 (e) | 2,000,000 | 1,490,200 |
Glitnir Banki HF: |
|
|
2.95%, 10/15/08 (b)(oo)(y)* | 2,000,000 | 480,000 |
6.693% to 6/15/11, floating rate thereafter to |
|
|
6/15/16 (b)(e)(r)(y)(ff)* | 1,500,000 | 15,000 |
Great River Energy: |
|
|
5.829%, 7/1/17 (e) | 378,499 | 401,535 |
6.254%, 7/1/38 (b)(e) | 1,000,000 | 1,050,000 |
Home Depot, Inc., 0.42%, 12/16/09 (r) | 300,000 | 299,810 |
Howard Hughes Medical Institute, 3.45%, 9/1/14 | 1,500,000 | 1,543,835 |
HRPT Properties Trust, 0.895%, 3/16/11 (r) | 1,250,000 | 1,168,811 |
Independence Community Bank Corp., 2.417%, 4/1/14 (r) | 2,500,000 | 2,276,720 |
John Deere Capital Corp., 1.21%, 1/18/11 (r) | 2,000,000 | 2,009,136 |
JPMorgan Chase & Co.: |
|
|
7.00%, 11/15/09 | 2,000,000 | 2,013,492 |
0.533%, 12/26/12 (r) | 500,000 | 504,065 |
JPMorgan Chase Capital XXIII, 1.44%, 5/15/47 (r) | 750,000 | 495,803 |
Kaupthing Bank HF, 5.75%, 10/4/11 (e)(y)(hh)* | 2,750,000 | 584,375 |
LL & P Wind Energy, Inc. Washington Revenue Bonds, |
|
|
6.192%, 12/1/27 (e) | 2,000,000 | 1,808,440 |
Lloyds Banking Group plc, 6.413% to 10/1/35, floating rate |
|
|
thereafter to 9/29/49 (e)(r) | 550,000 | 319,000 |
Lumbermens Mutual Casualty Co.: |
|
|
9.15%, 7/1/26 (e)(m)* | 1,696,000 | 19,080 |
8.30%, 12/1/37 (e)(m)* | 6,130,000 | 68,963 |
8.45%, 12/1/49 (e)(m)* | 2,560,000 | 28,800 |
M&I Marshall & Ilsley Bank, 0.60%, 12/4/12 (r) | 500,000 | 372,889 |
McGuire Air Force Base Military Housing Project, |
|
|
5.611%, 9/15/51 (b)(e) | 1,000,000 | 759,290 |
MMA Financial Holdings, Inc., 0.75%, 5/3/34 (b) | 2,540,000 | 635,000 |
Nationwide Health Properties, Inc.: |
|
|
6.50%, 7/15/11 | 500,000 | 516,276 |
6.90%, 10/1/37 | 1,000,000 | 1,021,761 |
Nisource Finance Corp., 0.977%, 11/23/09 (r) | 500,000 | 499,544 |
Ohana Military Communities LLC, 5.675%, 10/1/26 (e) | 2,250,000 | 2,038,680 |
Orkney Re II plc, Series B, 6.096%, 12/21/35 (b)(e)(r)(z)* | 1,100,000 | - |
Pacific Beacon LLC, 5.628%, 7/15/51 (e) | 1,250,000 | 875,463 |
Pacific Pilot Funding Ltd., 1.26%, 10/20/16 (e)(r) | 953,672 | 707,748 |
Pioneer Natural Resources Co.: |
|
|
5.875%, 7/15/16 | 500,000 | 459,638 |
6.65%, 3/15/17 | 350,000 | 332,117 |
7.20%, 1/15/28 (b) | 700,000 | 607,660 |
Preferred Term Securities IX Ltd., 1.354%, 4/3/33 (e)(r) | 737,524 | 346,636 |
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
Rabobank Nederland NV, 11.00% to 6/30/19, floating rate |
|
|
thereafter to 6/29/49 (e)(r) | $300,000 | $369,000 |
Redstone Arsenal Military Housing, 5.45%, 9/1/26 (e) | 1,245,000 | 1,073,028 |
Reed Elsevier Capital, Inc., 0.629%, 6/15/10 (r) | 3,000,000 | 2,992,933 |
Roper Industries, Inc., 6.625%, 8/15/13 | 500,000 | 539,859 |
Royal Bank of Scotland Group plc, 7.64% to 9/29/17, floating rate |
|
|
thereafter to 3/29/49 (b)(r) | 2,000,000 | 1,000,000 |
Salvation Army, 5.46%, 9/1/16 | 160,000 | 170,920 |
SLM Corp., 4.00%, 1/15/10 | 1,000,000 | 995,172 |
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% thereafter |
|
|
to 10/15/97 (b)(e)(r) | 1,000,000 | 233,130 |
Suncorp-Metway Ltd., 0.668%, 12/17/10 (e)(r) | 1,000,000 | 1,000,013 |
SunTrust Bank, 0.529%, 5/21/12 (r) | 1,000,000 | 910,896 |
Susquehanna Bancshares, Inc., 2.303%, 5/1/14 (r) | 1,000,000 | 606,419 |
Svenska Handelsbanken AB, 1.30%, 9/14/12 (e)(r) | 1,500,000 | 1,491,408 |
Toll Road Investors Partnership II LP, Zero Coupon: |
|
|
2/15/43 (b)(e) | 5,000,000 | 1,069,350 |
2/15/45 (b)(e) | 29,767,677 | 4,054,655 |
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate |
|
|
thereafter to 3/29/49 (r) | 1,500,000 | 1,020,000 |
Wells Fargo Bank, 6.734%, 9/1/47 (e) | 1,500,000 | 1,616,310 |
Westfield Capital Corp Ltd., 4.375%, 11/15/10 (e) | 1,000,000 | 1,010,322 |
Yara International ASA, 7.875%, 6/11/19 (e) | 400,000 | 435,741 |
|
|
|
Total Corporate Bonds (Cost $94,590,827) |
| 71,403,955 |
|
|
|
U.S. Government Agencies |
|
|
And Instrumentalities - 1.0% |
|
|
AgFirst Farm Credit Bank: |
|
|
6.585% to 6/15/12, floating rate thereafter to 6/29/49 (b)(e)(r) | 1,250,000 | 750,000 |
7.30%, 10/14/49 (b)(e) | 2,000,000 | 1,350,000 |
AgriBank FCB, 9.125%, 7/15/19 | 1,500,000 | 1,606,450 |
Private Export Funding Corp., 3.05%, 10/15/14 | 500,000 | 503,049 |
US AgBank FCB, 6.11% to 7/10/12, floating rate thereafter |
|
|
to 12/31/49 (b)(e)(r) | 300,000 | 168,000 |
U.S. Department of Housing and Urban Development, 3.44%, 8/1/11 | 250,000 | 261,641 |
|
|
|
Total U.S. Government Agencies and Instrumentalities |
|
|
(Cost $5,299,321) |
| 4,639,140 |
|
|
|
U.S. Government Agency |
|
|
Mortgage-Backed Securities - 0.0% |
|
|
Government National Mortgage Association, 5.50%, 1/16/32 | 1,659,306 | 133,865 |
|
|
|
Total U.S. Government Agency Mortgage-Backed Securities |
|
|
(Cost $203,267) |
| 133,865 |
|
|
|
Municipal Obligations - 0.2% |
|
|
Maryland State Economic Development Corp. Revenue Bonds: |
|
|
Series B, 6.00%, 7/1/48 (f)* | 1,855,000 | 987,621 |
Series C, Zero Coupon, 7/1/48 (f) | 2,534,053 | 95,432 |
|
|
|
Total Municipal Obligations (Cost $4,044,389) |
| 1,083,053 |
|
|
|
| Principal |
|
Taxable Municipal Obligations - 7.0% | Amount | Value |
Anaheim California Redevelopment Agency Tax Allocation Bonds, |
|
|
5.759%, 2/1/18 | $750,000 | $771,878 |
California Statewide Communities Development Authority Revenue |
|
|
Bonds, 5.01%, 8/1/15 | 635,000 | 624,592 |
Detroit Michigan GO Bonds, 5.15%, 4/1/25 | 1,250,000 | 675,963 |
Escondido California Joint Powers Financing Authority Lease |
|
|
Revenue Bonds, 5.53%, 9/1/18 | 705,000 | 681,051 |
Grant County Washington Public Utility District No. 2 |
|
|
Revenue Bonds, 5.17%, 1/1/15 | 500,000 | 528,165 |
Illinois State MFH Development Authority Revenue Bonds, |
|
|
6.537%, 1/1/33 | 1,000,000 | 1,027,800 |
Inglewood California Pension Funding Revenue Bonds, 5.07%, |
|
|
9/1/20 | 660,000 | 593,670 |
Long Beach California Bond Finance Authority Revenue Bonds, |
|
|
4.80%, 8/1/16 | 1,545,000 | 1,297,584 |
Los Angeles California Community Redevelopment Agency Tax |
|
|
Allocation Bonds, 4.60%, 7/1/10 | 840,000 | 851,407 |
Malibu California Integrated Water Quality Improvement COPs, |
|
|
5.39%, 7/1/16 | 1,130,000 | 1,189,269 |
Moreno Valley California Public Financing Authority |
|
|
Revenue Bonds, 5.549%, 5/1/27 | 750,000 | 638,153 |
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|
5.252%, 9/1/16 | 1,635,000 | 1,622,623 |
5.263%, 9/1/16 | 730,000 | 716,386 |
5.383%, 9/1/16 | 3,000,000 | 3,109,500 |
Oceanside California PO Revenue Bonds, 5.04%, 8/15/17 | 750,000 | 672,585 |
Palm Springs California Community Redevelopment Agency Tax |
|
|
Allocation Bonds, 6.411%, 9/1/34 | 1,250,000 | 1,111,450 |
Pennsylvania State Convention Center Authority Revenue Bonds, |
|
|
4.97%, 9/1/11 | 3,000,000 | 3,083,910 |
Sacramento City California Financing Authority Tax Allocation |
|
|
Bonds, 5.54%, 12/1/20 | 500,000 | 413,440 |
San Bernardino California Joint Powers Financing Authority Tax |
|
|
Allocation Bonds, 5.625%, 5/1/16 | 500,000 | 476,495 |
San Diego California Redevelopment Agency Tax Allocation Bonds, |
|
|
5.66%, 9/1/16 | 1,185,000 | 1,179,691 |
San Diego County California PO Revenue Bonds, Zero Coupon, |
|
|
8/15/12 | 1,790,000 | 1,576,310 |
San Jose California Redevelopment Agency Tax Allocation Bonds, |
|
|
5.46%, 8/1/35 | 1,000,000 | 793,180 |
San Ramon California Public Financing Authority Tax Allocation |
|
|
Bonds, 5.65%, 2/1/21 | 1,775,000 | 1,671,393 |
Santa Fe Springs California Community Development Commission |
|
|
Tax Allocation Bonds, 5.35%, 9/1/18 | 1,500,000 | 1,502,505 |
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds, |
|
|
3.90%, 12/1/09 | 1,150,000 | 1,155,854 |
Utah State Housing Corp. Military Housing Revenue Bonds, |
|
|
5.392%, 7/1/50 | 1,500,000 | 1,227,450 |
Vacaville California Redevelopment Agency Housing Tax Allocation |
|
|
Bonds, 6.125%, 9/1/20 | 665,000 | 613,888 |
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd | Amount | Value |
West Contra Costa California Unified School District COPs, |
|
|
4.90%, 1/1/15 | $555,000 | $529,231 |
Wilkes-Barre Pennsylvania GO Bonds, 5.23%, 11/15/18 | 1,000,000 | 915,460 |
|
|
|
Total Taxable Municipal Obligations (Cost $32,898,585) |
| 31,250,883 |
|
|
|
High Social Impact Investments - 1.1% |
|
|
Calvert Social Investment Foundation Notes, 1.76%, 7/1/10 (b)(i)(r) | 5,016,666 | 4,822,973 |
|
|
|
Total High Social Impact Investments (Cost $5,016,666) |
| 4,822,973 |
|
|
|
Certificates Of Deposit - 0.3% |
|
|
Alternative Federal Credit Union, 1.88%, 11/30/09 (b)(k) | 50,000 | 49,920 |
Deutsche Bank, 0.892%, 6/18/10 (r) | 1,000,000 | 995,465 |
First American Credit Union, 3.15%, 12/24/09 (b)(k) | 92,000 | 91,761 |
Native American Credit Union, 1.50%, 11/13/09 (b)(k) | 92,000 | 91,889 |
ShoreBank, 3.25%, 12/7/09 (b)(k) | 100,000 | 99,730 |
|
|
|
Total Certificates of Deposit (Cost $1,334,000) |
| 1,328,765 |
|
|
|
Time Deposit - 9.8% |
|
|
State Street Corp. Time Deposit, 0.01%, 10/1/09 | 43,849,557 | 43,849,557 |
|
|
|
Total Time Deposit (Cost $43,849,557) |
| 43,849,557 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $465,737,083) - 99.0% |
| 441,965,502 |
Other assets and liabilities, net - 1.0% |
| 4,555,011 |
Net Assets - 100% |
| $446,520,513 |
|
|
|
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: 16,842,112 shares outstanding |
| $474,225,637 |
Class B: 599,939 shares outstanding |
| 18,841,942 |
Class C: 924,900 shares outstanding |
| 27,746,873 |
Class I: 242,272 shares outstanding |
| 6,969,336 |
Undistributed net investment income (loss) |
| (102,499) |
Accumulated net realized gain (loss) on investments |
| (57,298,758) |
Net unrealized appreciation (depreciation) on investments |
| (23,862,018) |
Net Assets |
| $446,520,513 |
|
|
|
Net Asset Value Per Share: |
|
|
Class A (based on net assets of $404,541,645) |
| $24.02 |
Class B (based on net assets of $14,294,001) |
| $23.83 |
Class C (based on net assets of $21,810,266) |
| $23.58 |
Class I (based on net assets of $5,874,601) |
| $24.25 |
Futures | # of | Expiration | Face Amount | Appreciation |
Purchased: |
|
|
|
|
10 Year U.S. Treasury Notes | 128 | 12/09 | $15,146,000 | $143,495 |
30 Year U.S. Treasury Bonds | 50 | 12/09 | 6,068,750 | 136,775 |
Total Purchased |
|
|
| $280,270 |
|
|
|
|
|
Sold: |
|
|
|
|
2 Year U.S. Treasury Notes | 278 | 12/09 | $60,317,312 | ($264,152) |
5 Year U.S. Treasury Notes | 102 | 12/09 | 11,841,563 | (106,555) |
Total Sold |
|
|
| ($370,707) |
Bond Portfolio
Statement of Net Assets
September 30, 2009
Asset Backed Securities - 4.6% | Principal | Value |
ACLC Business Loan Receivables Trust, 0.893%, 10/15/21 (e)(r) | $156,610 | $149,481 |
AmeriCredit Automobile Receivables Trust: |
|
|
5.20%, 3/6/11 | 520,668 | 520,509 |
5.21%, 10/6/11 | 198,952 | 198,963 |
2.004%, 1/12/12 (r) | 155,530 | 155,777 |
4.63%, 6/6/12 | 1,858,598 | 1,875,241 |
5.02%, 11/6/12 | 4,420,063 | 4,455,599 |
Capital Auto Receivables Asset Trust: |
|
|
0.303%, 7/15/10 (r) | 834,488 | 833,987 |
0.343%, 2/15/11 (r) | 5,000,000 | 4,972,984 |
4.98%, 5/15/11 | 1,579,567 | 1,603,168 |
Community Reinvestment Revenue Notes, 5.90%, 6/1/31 (e) | 2,000,000 | 2,012,790 |
DB Master Finance LLC, 5.779%, 6/20/31 (e) | 6,000,000 | 5,659,260 |
Enterprise Mortgage Acceptance Co. LLC, 7.058%, 1/15/27 (e)(r) | 3,354,370 | 1,677,185 |
Ford Credit Auto Owner Trust, 5.16%, 11/15/10 | 1,317,160 | 1,320,845 |
Harley-Davidson Motorcycle Trust, 1.143%, 11/15/11 (r) | 416,520 | 416,847 |
Household Automotive Trust: |
|
|
5.61%, 8/17/11 | 382,735 | 386,092 |
5.28%, 9/17/11 | 2,234,062 | 2,257,048 |
Triad Auto Receivables Owner Trust: |
|
|
5.41%, 8/12/11 | 304,508 | 305,006 |
4.88%, 4/12/13 | 8,174,303 | 8,354,993 |
Wachovia Auto Owner Trust, 5.38%, 3/20/13 | 2,573,807 | 2,626,940 |
|
|
|
Total Asset Backed Securities (Cost $38,486,466) |
| 39,782,715 |
|
|
|
Collateralized Mortgage-Backed |
|
|
Obligations (Privately Originated) - 3.6% |
|
|
American Home Mortgage Assets: |
|
|
1.861%, 9/25/46 (r) | 2,182,830 | 1,128,820 |
0.456%, 12/25/46 (r) | 8,070,726 | 3,809,494 |
Bear Stearns Asset Backed Securities Trust, STEP, 5.00% to |
|
|
3/25/13, 5.50% thereafter to 1/25/34 (r) | 3,778,286 | 3,442,987 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 (r) | 551,117 | 543,172 |
Citicorp Mortgage Securities, Inc., 0.078%, 10/25/33 (r) | 112,021,064 | 141,998 |
CS First Boston Mortgage Securities Corp.: |
|
|
4.508%, 12/25/33 (r) | 715,283 | 337,992 |
5.25%, 12/25/35 | 1,711,730 | 1,493,839 |
GMAC Mortgage Corp Loan Trust, 5.50%, 10/25/33 | 5,000,000 | 4,782,873 |
Impac CMB Trust: |
|
|
0.516%, 5/25/35 (r) | 2,763,589 | 1,480,074 |
0.566%, 8/25/35 (r) | 837,781 | 426,536 |
JP Morgan Mortgage Trust, 5.294%, 7/25/35 (r) | 2,713,545 | 2,517,827 |
MASTR Alternative Loans Trust, 6.25%, 7/25/36 | 3,685,392 | 1,862,986 |
Merrill Lynch Mortgage Investors, Inc., 5.15%, 12/25/35 (r) | 2,727,036 | 2,661,877 |
Residential Accredit Loans, Inc., 6.00%, 12/25/35 | 1,686,000 | 1,219,447 |
|
|
|
Collateralized Mortgage-Backed | Principal |
|
Obligations (Privately Originated) - Cont'd | Amount | Value |
Residential Asset Securitization Trust, 6.25%, 11/25/36 | $1,904,657 | $1,231,587 |
Structured Asset Mortgage Investments, Inc., 0.436%, 9/25/36 (r) | 809,430 | 374,328 |
Structured Asset Securities Corp., 5.00%, 6/25/35 | 3,339,825 | 2,914,173 |
Wells Fargo Mortgage Backed Securities Trust: |
|
|
Class 1A10, 0.193%, 10/25/36 | 56,287,413 | 175,898 |
Class 1A9, 0.193%, 10/25/36 | 100,000,000 | 562,500 |
|
|
|
Total Collateralized Mortgage-Backed Obligations |
|
|
(Privately Originated) (Cost $34,328,778) |
| 31,108,408 |
|
|
|
Commercial Mortgage-Backed Securities - 3.1% |
|
|
American Tower Trust, 0.433%, 4/15/37 (e)(r) | 3,000,000 | 2,377,425 |
Banc of America Commercial Mortgage, Inc., 5.449%, 1/15/49 | 5,000,000 | 4,832,766 |
Cobalt CMBS Commercial Mortgage Trust, 5.935%, 5/15/46 (r) | 7,000,000 | 7,047,935 |
Crown Castle Towers LLC: |
|
|
4.643%, 6/15/35 (e) | 4,000,000 | 4,013,889 |
5.245%, 11/15/36 (e) | 4,000,000 | 3,998,742 |
GMAC Commercial Mortgage Asset Corp., 6.107%, 8/10/52 (b)(e) | 5,000,000 | 4,150,000 |
|
|
|
Total Commercial Mortgage-Backed Securities |
|
|
(Cost $27,361,450) |
| 26,420,757 |
|
|
|
Corporate Bonds - 42.7% |
|
|
Alliance Mortgage Investments: |
|
|
12.61%, 6/1/10 (b)(r)(x)* | 481,681 | - |
15.36%, 12/1/10 (b)(r)(x)* | 207,840 | - |
American Honda Finance Corp., 1.042%, 6/20/11 (e)(r) | 5,000,000 | 4,927,850 |
American National Red Cross: |
|
|
5.32%, 11/15/09 | 2,500,000 | 2,504,300 |
5.316%, 11/15/10 | 2,410,000 | 2,439,040 |
5.392%, 11/15/12 | 2,000,000 | 2,028,540 |
5.567%, 11/15/17 | 2,000,000 | 1,873,260 |
ANZ National International Ltd., 0.651%, 8/5/11 (e)(r) | 500,000 | 499,160 |
APL Ltd., 8.00%, 1/15/24 | 1,185,000 | 968,738 |
Atlantic Marine Corp. Communities LLC, 6.158%, 12/1/51 (b)(e) | 2,500,000 | 2,062,050 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)* | 3,500,000 | 35,000 |
Aurora Military Housing LLC, 5.32%, 12/15/20 (e) | 3,140,000 | 3,105,366 |
BAC Capital Trust XV, 1.161%, 6/1/56 (b)(r) | 24,150,000 | 13,403,250 |
Barclays Bank plc: |
|
|
5.20%, 7/10/14 | 1,000,000 | 1,053,724 |
5.00%, 9/22/16 | 1,000,000 | 1,006,885 |
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (b)(e) | 4,991,815 | 4,660,009 |
Bear Stearns Co.'s, Inc., 5.30%, 10/30/15 | 4,083,000 | 4,312,279 |
BellSouth Telecommunications, Inc., 7.00%, 12/1/95 | 2,000,000 | 2,014,496 |
Bemis Co., Inc., 6.80%, 8/1/19 | 500,000 | 555,223 |
Camp Pendleton & Quantico Housing LLC: |
|
|
5.937%, 10/1/43 (e) | 280,000 | 224,988 |
6.165%, 10/1/50 (e) | 1,000,000 | 812,918 |
Capital One Bank, 8.80%, 7/15/19 | 2,500,000 | 2,889,276 |
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
Capital One Capital V, 10.25%, 8/15/39 | $3,000,000 | $3,334,324 |
Cardinal Health, Inc., 0.865%, 10/2/09 (r) | 1,250,000 | 1,250,003 |
CC Holdings GS V LLC, 7.75%, 5/1/17 (e) | 650,000 | 676,000 |
Chesapeake Energy Corp., 7.625%, 7/15/13 | 4,000,000 | 3,990,000 |
CIT Group, Inc., 6.10% to 3/15/17, floating rate thereafter to |
|
|
3/15/67 (r)(w) | 2,725,000 | 331,169 |
Compass Bancshares, Inc., 1.138%, 10/9/09 (e)(r) | 2,000,000 | 1,999,966 |
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter |
|
|
to 5/29/49 (e)(r) | 18,400,000 | 13,340,000 |
CVS Caremark Corp., 6.302% to 6/1/12, floating rate thereafter |
|
|
to 6/1/37 (r) | 3,000,000 | 2,565,000 |
Dexia Credit Local, 0.939%, 9/23/11 (e)(r) | 1,500,000 | 1,514,594 |
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) | 1,000,000 | 993,702 |
Discover Financial Services, 0.83%, 6/11/10 (r) | 7,500,000 | 7,333,207 |
Enterprise Products Operating LP, 7.034% to 1/15/18, floating |
|
|
rate thereafter to 1/15/68 (r) | 16,305,000 | 14,266,875 |
Fort Knox Military Housing, 5.815%, 2/15/52 (e) | 3,500,000 | 2,607,850 |
Glitnir Banki HF: |
|
|
2.95%, 10/15/08 (b)(y)(oo)* | 8,000,000 | 1,920,000 |
3.046%, 4/20/10 (e)(r)(y)(aa)* | 4,000,000 | 980,000 |
3.226%, 1/21/11 (e)(r)(y)(cc)* | 500,000 | 122,500 |
6.375%, 9/25/12 (e)(y)(ee)* | 2,000,000 | 490,000 |
6.693% to 6/15/11, floating rate thereafter to |
|
|
6/15/16 (b)(e)(r)(y)(ff)* | 750,000 | 7,500 |
Goldman Sachs Group, Inc., 0.714%, 11/9/11 (r) | 6,000,000 | 6,044,862 |
Great River Energy: |
|
|
5.829%, 7/1/17 (e) | 3,027,991 | 3,212,277 |
6.254%, 7/1/38 (b)(e) | 5,000,000 | 5,250,000 |
Hewlett-Packard Co., 1.43%, 5/27/11 (r) | 7,000,000 | 7,105,342 |
Home Depot, Inc., 0.42%, 12/16/09 (r) | 5,000,000 | 4,996,834 |
Hospira, Inc., 0.763%, 3/30/10 (r) | 5,000,000 | 4,986,566 |
Howard Hughes Medical Institute, 3.45%, 9/1/14 | 3,000,000 | 3,087,670 |
HRPT Properties Trust, 0.895%, 3/16/11 (r) | 6,500,000 | 6,077,817 |
Independence Community Bank Corp., 2.417%, 4/1/14 (r) | 4,930,000 | 4,489,692 |
Irwin Land LLC, 4.51%, 12/15/15 (e) | 2,245,000 | 2,124,039 |
John Deere Capital Corp.: |
|
|
0.837%, 2/26/10 (r) | 4,000,000 | 4,005,380 |
1.21%, 1/18/11 (r) | 9,000,000 | 9,041,112 |
JPMorgan Chase & Co.: |
|
|
7.00%, 11/15/09 | 4,000,000 | 4,026,985 |
1.005%, 1/22/10 (r) | 3,000,000 | 3,004,755 |
0.529%, 6/15/12 (r) | 4,300,000 | 4,327,804 |
0.533%, 12/26/12 (r) | 10,000,000 | 10,081,305 |
3.70%, 1/20/15 | 3,000,000 | 2,984,346 |
JPMorgan Chase Capital XXIII, 1.44%, 5/15/47 (r) | 2,000,000 | 1,322,140 |
Kaupthing Bank HF: |
|
|
3.491%, 1/15/10 (e)(r)(y)(gg)* | 1,000,000 | 212,500 |
5.75%, 10/4/11 (e)(y)(hh)* | 7,000,000 | 1,487,500 |
Koninklijke Philips Electronics NV, 1.449%, 3/11/11 (r) | 8,000,000 | 8,016,220 |
LL & P Wind Energy, Inc. Washington Revenue Bonds, |
|
|
6.192%, 12/1/27 (e) | 5,000,000 | 4,521,100 |
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
Lloyds Banking Group plc: |
|
|
6.413% to 10/1/35, floating rate thereafter to 9/29/49 (e)(r) | $1,650,000 | $957,000 |
6.657% to 5/21/37, floating rate thereafter to 12/31/49 (e)(r) | 1,000,000 | 610,000 |
Lumbermens Mutual Casualty Co.: |
|
|
9.15%, 7/1/26 (e)(m)* | 2,942,000 | 33,098 |
8.30%, 12/1/37 (e)(m)* | 3,500,000 | 39,375 |
M&I Marshall & Ilsley Bank, 0.60%, 12/4/12 (r) | 1,000,000 | 745,777 |
Mack-Cali Realty Corp., 7.75%, 8/15/19 | 500,000 | 515,197 |
MBNA Capital, Series B, 1.283%, 2/1/27 (r) | 1,500,000 | 923,701 |
McGuire Air Force Base Military Housing Project, 5.611%, |
|
|
9/15/51 (b)(e) | 1,500,000 | 1,138,935 |
Merrill Lynch & Co., Inc., 0.41%, 12/4/09 (r) | 5,000,000 | 5,000,608 |
MetLife, Inc., 0.602%, 6/29/12 (r) | 2,000,000 | 2,007,135 |
Mid-Atlantic Family Military Communities LLC, 5.24%, |
|
|
8/1/50 (e) | 1,250,000 | 908,150 |
MMA Financial Holdings, Inc., 0.75%, 5/3/34 (b) | 2,540,000 | 635,000 |
Nationwide Building Society, 0.62%, 5/17/12 (e)(r) | 4,000,000 | 3,998,510 |
Nationwide Health Properties, Inc.: |
|
|
6.50%, 7/15/11 | 2,500,000 | 2,581,382 |
6.90%, 10/1/37 | 2,300,000 | 2,350,050 |
Nisource Finance Corp., 0.977%, 11/23/09 | 5,000,000 | 4,995,440 |
Ohana Military Communities LLC: |
|
|
5.675%, 10/1/26 (e) | 5,580,000 | 5,055,926 |
6.00%, 10/1/51 (b)(e) | 8,000,000 | 6,463,840 |
OPTI Canada, Inc.: |
|
|
7.875%, 12/15/14 | 1,000,000 | 767,500 |
8.25%, 12/15/14 | 1,000,000 | 782,500 |
Orkney Re II plc, Series B, 6.096%, 12/21/35 (b)(e)(r)(z)* | 1,700,000 | - |
Pacific Beacon LLC, 5.628%, 7/15/51 (e) | 2,750,000 | 1,926,017 |
Pacific Pilot Funding Ltd., 1.26%, 10/20/16 (e)(r) | 953,672 | 707,748 |
Pioneer Natural Resources Co.: |
|
|
5.875%, 7/15/16 | 5,000,000 | 4,596,382 |
6.65%, 3/15/17 | 4,000,000 | 3,795,626 |
7.20%, 1/15/28 (b) | 1,000,000 | 868,086 |
PNC Funding Corp., 0.797%, 4/1/12 (r) | 2,000,000 | 2,009,420 |
Preferred Term Securities IX Ltd., 1.354%, 4/3/33 (e)(r) | 737,524 | 346,636 |
Protective Life Secured Trusts, 4.00%, 10/7/09 | 3,000,000 | 3,000,392 |
Rabobank Nederland NV: |
|
|
0.672%, 8/5/11 (b)(e)(r) | 2,000,000 | 2,000,000 |
11.00% to 6/30/19, floating rate thereafter to 6/29/49 (e)(r) | 400,000 | 492,000 |
Reed Elsevier Capital, Inc., 0.629%, 6/15/10 (r) | 3,500,000 | 3,491,756 |
Roper Industries, Inc., 6.625%, 8/15/13 | 5,000,000 | 5,398,586 |
Royal Bank of Scotland Group plc, 7.64% to 9/29/17, |
|
|
floating rate thereafter to 3/29/49 (b)(r) | 13,000,000 | 6,500,000 |
Salvation Army, 5.46%, 9/1/16 | 310,000 | 331,158 |
SLM Corp., 4.00%, 1/15/10 | 3,000,000 | 2,985,517 |
Southern Union Co., 6.089%, 2/16/10 | 2,000,000 | 2,013,674 |
Sovereign Bank, 2.193%, 8/1/13 (r) | 1,000,000 | 951,586 |
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% thereafter |
|
|
to 10/15/97 (b)(e)(r) | 1,000,000 | 233,130 |
State Street Bank and Trust Co., 0.499%, 9/15/11 (r) | 5,000,000 | 5,019,461 |
Suncorp-Metway Ltd., 0.668%, 12/17/10 (e)(r) | 10,000,000 | 10,000,127 |
|
|
|
| Principal |
|
Corporate Bonds - Cont'd | Amount | Value |
SunTrust Bank: |
|
|
6.375%, 4/1/11 | $5,000,000 | $5,190,718 |
0.529%, 5/21/12 (r) | 5,000,000 | 4,554,481 |
0.697%, 8/24/15 (r) | 1,000,000 | 816,964 |
Susquehanna Bancshares, Inc., 2.303%, 5/1/14 (r) | 1,500,000 | 909,629 |
Svenska Handelsbanken AB, 1.30%, 9/14/12 (e)(r) | 5,000,000 | 4,971,360 |
TIERS Trust, 8.45%, 12/1/17 (b)(e)(n)* | 439,239 | 4,392 |
Time Warner Cable, Inc., 8.25%, 4/1/19 | 1,630,000 | 1,970,183 |
Toll Road Investors Partnership II LP, Zero Coupon: |
|
|
2/15/18 (e) | 3,000,000 | 1,676,937 |
2/15/28 (b)(e) | 3,300,000 | 650,364 |
2/15/43 (b)(e) | 54,500,000 | 11,655,915 |
2/15/45 (b)(e) | 59,456,074 | 8,098,512 |
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate |
|
|
thereafter to 3/29/49 (r) | 9,650,000 | 6,562,000 |
Wells Fargo & Co., 0.519%, 6/15/12 (r) | 1,830,000 | 1,841,001 |
Wells Fargo Bank, 6.734%, 9/1/47 (e) | 3,000,000 | 3,232,620 |
Westfield Capital Corp Ltd., 4.375%, 11/15/10 (e) | 4,000,000 | 4,041,288 |
Yara International ASA, 7.875%, 6/11/19 (e) | 2,735,000 | 2,979,381 |
|
|
|
Total Corporate Bonds (Cost $401,151,054) |
| 365,837,459 |
|
|
|
Taxable Municipal Obligations - 13.6% |
|
|
Adams-Friendship Area Wisconsin School District GO Bonds: |
|
|
5.28%, 3/1/14 | 155,000 | 170,472 |
5.32%, 3/1/15 | 165,000 | 180,409 |
5.47%, 3/1/18 | 190,000 | 206,256 |
Alameda California Corridor Transportation Authority Revenue |
|
|
Bonds, Zero Coupon, 10/1/11 | 11,655,000 | 10,406,167 |
Anaheim California Redevelopment Agency Tax Allocation Bonds, |
|
|
5.759%, 2/1/18 | 1,500,000 | 1,543,755 |
California Statewide Communities Development Authority |
|
|
Revenue Bonds: |
|
|
Zero Coupon, 6/1/10 | 1,415,000 | 1,369,536 |
Zero Coupon, 6/1/12 | 1,530,000 | 1,316,427 |
Zero Coupon, 6/1/13 | 1,585,000 | 1,267,255 |
5.58%, 8/1/13 | 1,085,000 | 1,187,739 |
2004 Series A-2, Zero Coupon, 6/1/14 | 1,645,000 | 1,227,285 |
2006 Series A-2, Zero Coupon, 6/1/14 | 3,305,000 | 2,465,761 |
5.01%, 8/1/15 | 700,000 | 688,527 |
Zero Coupon, 6/1/19 | 2,910,000 | 1,450,460 |
Camarillo California Community Development Commission Tax |
|
|
Allocation Bonds, 5.78%, 9/1/26 | 970,000 | 722,805 |
Canyon Texas Regional Water Authority Revenue Bonds, |
|
|
6.10%, 8/1/21 | 750,000 | 732,660 |
College Park Georgia Revenue Bonds, 5.581%, 1/1/10 | 4,350,000 | 4,366,487 |
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd | Amount | Value |
Cook County Illinois School District GO Bonds, Zero Coupon: |
|
|
12/1/14 | $1,975,000 | $1,460,493 |
12/1/19 | 280,000 | 141,739 |
12/1/20 | 700,000 | 325,829 |
12/1/21 | 700,000 | 298,354 |
12/1/24 | 620,000 | 208,035 |
Dallas-Fort Worth Texas International Airport Facilities |
|
|
Improvement Corp. Revenue Bonds, 6.60%, 11/1/12 | 1,635,000 | 1,659,165 |
Detroit Michigan GO Bonds, 5.15%, 4/1/25 | 2,500,000 | 1,351,925 |
Escondido California Joint Powers Financing Authority Lease |
|
|
Revenue Bonds, 5.53%, 9/1/18 | 1,180,000 | 1,139,915 |
Fairfield California PO Revenue Bonds, 5.22%, 6/1/20 | 845,000 | 791,638 |
Florida State First Governmental Financing Commission Revenue |
|
|
Bonds, 5.30%, 7/1/19 | 1,340,000 | 1,349,782 |
Georgetown University Washington DC Revenue Bonds, |
|
|
7.22%, 4/1/19 | 2,990,000 | 3,375,052 |
Grant County Washington Public Utility District No. 2 Revenue |
|
|
Bonds, 5.17%, 1/1/15 | 895,000 | 945,415 |
Illinois State MFH Development Authority Revenue Bonds, |
|
|
6.537%, 1/1/33 | 3,330,000 | 3,422,574 |
Inglewood California Pension Funding Revenue Bonds, 5.07%, |
|
|
9/1/20 | 1,000,000 | 899,500 |
Jackson & Williamson Counties Illinois GO Bonds, Zero Coupon: |
|
|
12/1/18 | 180,000 | 102,238 |
12/1/19 | 180,000 | 95,245 |
12/1/20 | 180,000 | 87,959 |
12/1/22 | 180,000 | 74,984 |
12/1/23 | 180,000 | 69,282 |
12/1/24 | 180,000 | 64,512 |
Lancaster Pennsylvania Parking Authority Revenue Bonds, 5.76%, |
|
|
12/1/17 | 630,000 | 655,742 |
Lawrence Township Indiana School District GO Bonds, |
|
|
5.80%, 7/5/18 | 1,095,000 | 1,200,043 |
Long Beach California Bond Finance Authority Revenue Bonds: |
|
|
4.66%, 8/1/15 | 1,535,000 | 1,319,931 |
4.90%, 8/1/17 | 1,715,000 | 1,422,490 |
Los Angeles California Community Redevelopment Agency Tax |
|
|
Allocation Bonds, 5.27%, 7/1/13 | 970,000 | 996,607 |
Malibu California Integrated Water Quality Improvement COPs, |
|
|
5.64%, 7/1/21 | 1,160,000 | 1,187,318 |
Monrovia California Redevelopment Agency Tax Allocation |
|
|
Bonds, 5.30%, 5/1/17 | 1,160,000 | 1,126,360 |
Moreno Valley California Public Financing Authority Revenue |
|
|
Bonds, 5.549%, 5/1/27 | 1,500,000 | 1,276,305 |
Nekoosa Wisconsin School District GO Bonds, 5.74%, 4/1/16 | 400,000 | 396,476 |
Nevada State Department of Business & Industry Lease Revenue |
|
|
Bonds, 5.32%, 6/1/17 | 1,050,000 | 1,027,446 |
New Jersey State Economic Development Authority State Pension |
|
|
Funding Revenue Bonds, Zero Coupon, 2/15/12 | 2,822,000 | 2,526,508 |
New York City IDA Revenue Bonds, 6.027%, 1/1/46 | 1,885,000 | 1,375,126 |
Oakland California PO Revenue Bonds, Zero Coupon, 12/15/20 | 1,490,000 | 684,104 |
|
|
|
| Principal |
|
Taxable Municipal Obligations - Cont'd | Amount | Value |
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|
5.263%, 9/1/16 | $1,460,000 | $1,432,771 |
5.383%, 9/1/16 | 5,565,000 | 5,768,124 |
5.411%, 9/1/21 | 2,270,000 | 2,008,110 |
Oceanside California PO Revenue Bonds, 5.04%, 8/15/17 | 1,000,000 | 896,780 |
Oregon State School Boards Association GO Bonds, Zero |
|
|
Coupon, 6/30/12 | 6,000,000 | 5,461,500 |
Palm Springs California Community Redevelopment Agency Tax |
|
|
Allocation Bonds, 6.411%, 9/1/34 | 3,355,000 | 2,983,132 |
Pennsylvania State Convention Center Authority Revenue Bonds, |
|
|
4.97%, 9/1/11 | 6,000,000 | 6,167,820 |
Pierce County Washington Cascade Christian Schools Revenue |
|
|
Bonds, 7.65%, 12/1/09 | 170,000 | 170,027 |
Placer County California Redevelopment Agency Tax Allocation |
|
|
Bonds, 5.95%, 8/1/22 | 1,040,000 | 973,430 |
Pomona California Public Finance Authority Tax Allocation |
|
|
Bonds, 5.23%, 2/1/16 | 1,865,000 | 1,904,296 |
Redlands California PO Revenue Bonds, Zero Coupon: |
|
|
8/1/18 | 120,000 | 65,921 |
8/1/19 | 135,000 | 68,696 |
8/1/20 | 145,000 | 67,830 |
8/1/21 | 160,000 | 68,570 |
Sacramento City California Financing Authority Tax Allocation |
|
|
Bonds, 5.54%, 12/1/20 | 1,000,000 | 826,880 |
San Bernardino California Joint Powers Financing Authority Tax |
|
|
Allocation Bonds, 5.625%, 5/1/16 | 1,000,000 | 952,990 |
San Diego California Redevelopment Agency Tax Allocation Bonds, |
|
|
5.66%, 9/1/16 | 2,380,000 | 2,369,338 |
San Diego County California PO Revenue Bonds, Zero Coupon, |
|
|
8/15/12 | 4,000,000 | 3,522,480 |
San Jose California Redevelopment Agency Tax Allocation |
|
|
Bonds, 5.10%, 8/1/20 | 2,555,000 | 2,228,139 |
Santa Fe Springs California Community Development Commission |
|
|
Tax Allocation Bonds, 5.35%, 9/1/18 | 2,500,000 | 2,504,175 |
Schenectady New York Metroplex Development Authority Revenue |
|
|
Bonds, 5.33%, 8/1/16 | 445,000 | 460,201 |
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds, |
|
|
4.20%, 12/1/10 | 1,235,000 | 1,275,323 |
Sonoma County California PO Revenue Bonds, 6.625%, 6/1/13 | 2,025,000 | 2,170,679 |
Thorp Wisconsin School District GO Bonds, 6.15%, 4/1/26 | 560,000 | 585,894 |
Utah State Housing Corp. Military Housing Revenue Bonds, |
|
|
5.392%, 7/1/50 | 2,000,000 | 1,636,600 |
Vacaville California Redevelopment Agency Housing Tax Allocation |
|
|
Bonds, 6.00%, 9/1/18 | 1,185,000 | 1,083,765 |
Virginia State Housing Development Authority Revenue Bonds, |
|
|
6.32%, 8/1/19 | 3,255,000 | 3,593,715 |
West Contra Costa California Unified School District COPs: |
|
|
4.71%, 1/1/11 | 455,000 | 459,159 |
4.76%, 1/1/12 | 475,000 | 479,104 |
4.82%, 1/1/13 | 500,000 | 496,700 |
Wilkes-Barre Pennsylvania GO Bonds, 5.33%, 11/15/20 | 1,655,000 | 1,520,399 |
|
|
|
Total Taxable Municipal Obligations (Cost $119,853,971) |
| 116,562,641 |
|
|
|
U.S. Government Agencies | Principal |
|
and Instrumentalities - 3.1% | Amount | Value |
AgFirst Farm Credit Bank: |
|
|
8.393% to 12/15/11, floating rate thereafter to 12/15/16 (b)(r) | $5,000,000 | $4,500,000 |
6.585% to 6/15/12, floating rate thereafter to 6/29/49 (b)(e)(r) | 6,000,000 | 3,600,000 |
7.30%, 10/14/49 (b)(e) | 2,000,000 | 1,350,000 |
AgriBank FCB, 9.125%, 7/15/19 | 5,000,000 | 5,354,833 |
Federal Home Loan Bank, 5.00%, 11/17/17 | 3,480,000 | 3,813,101 |
Freddie Mac, 4.125%, 7/12/10 | 3,000,000 | 3,087,768 |
Private Export Funding Corp., 3.05%, 10/15/14 | 2,855,000 | 2,872,413 |
US AgBank FCB, 6.11% to 7/10/12, floating rate thereafter |
|
|
to 12/31/49 (b)(e)(r) | 2,000,000 | 1,120,000 |
U.S. Department of Housing and Urban Development, |
|
|
3.44%, 8/1/11 | 500,000 | 523,282 |
|
|
|
Total U.S. Government Agencies And Instrumentalities |
|
|
(Cost $26,855,598) |
| 26,221,397 |
|
|
|
U.S. Government Agency |
|
|
Mortgage-Backed Securities - 0.0% |
|
|
Government National Mortgage Association, 5.50%, 1/16/32 | 3,340,736 | 269,515 |
|
|
|
Total U.S. Government Agency Mortgage-Backed Securities |
|
|
(Cost $426,199) |
| 269,515 |
|
|
|
Sovereign Government Bonds - 2.1% |
|
|
Province of Ontario Canada, 0.875%, 5/22/12 (r) | 18,000,000 | 18,050,479 |
|
|
|
Total Sovereign Government Bonds (Cost $18,000,000) |
| 18,050,479 |
|
|
|
High Social Impact Investments - 0.3% |
|
|
Calvert Social Investment Foundation Notes, 1.76%, 7/1/12 (b)(i)(r) | 3,087,392 | 2,968,188 |
|
|
|
Total High Social Impact Investments (Cost $3,087,392) |
| 2,968,188 |
|
|
|
Certificates of Deposit - 1.2% |
|
|
Deutsche Bank, 0.892%, 6/18/10 (r) | 10,000,000 | 9,954,650 |
|
|
|
Total Certificates of Deposit (Cost $10,000,000) |
| 9,954,650 |
|
|
|
Time Deposit - 25.0% |
|
|
State Street Corp. Time Deposit, 0.01%, 10/1/09 | 214,007,703 | 214,007,703 |
|
|
|
Total Time Deposit (Cost $214,007,703) |
| 214,007,703 |
|
|
|
|
|
|
Equity Securities - 0.3% | Shares | Value |
Conseco, Inc.* | 140,439 | $738,709 |
First Republic Preferred Capital Corp., Preferred (e)* | 500 | 450,000 |
Woodbourne Capital: |
|
|
Trust I, Preferred (b)(e) | 625,000 | 381,250 |
Trust II, Preferred (b)(e) | 625,000 | 381,250 |
Trust III, Preferred (b)(e) | 625,000 | 381,250 |
Trust IV, Preferred (b)(e) | 625,000 | 381,250 |
|
|
|
Total Equity Securities (Cost $5,435,015) |
| 2,713,709 |
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $898,993,626) - 99.6% |
| 853,897,621 |
Other assets and liabilities, net - 0.4% |
| 3,677,382 |
Net Assets - 100% |
| $857,575,003 |
|
|
|
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: 39,490,531 shares outstanding |
| $629,916,850 |
Class B: 785,542 shares outstanding |
| 13,014,662 |
Class C: 3,739,395 shares outstanding |
| 58,626,183 |
Class I: 12,311,855 shares outstanding |
| 196,893,102 |
Class Y: 41,148 shares outstanding |
| 583,763 |
Undistributed net investment income |
| 9,899 |
Accumulated net realized gain (loss) on investments |
| 3,288,651 |
Net unrealized appreciation (depreciation) on investments |
| (44,758,107) |
|
|
|
Net Assets |
| $857,575,003 |
|
|
|
Net Asset Value Per Share |
|
|
Class A (based on net assets of $600,995,234) |
| $15.22 |
Class B (based on net assets of $11,877,960) |
| $15.12 |
Class C (based on net assets of $56,578,122) |
| $15.13 |
Class I (based on net assets of $187,496,059) | �� | $15.23 |
Class Y (based on net assets $627,628) |
| $15.25 |
Futures | #of | Expiration | Underlying | Unrealized |
Purchased: |
|
|
|
|
10 Year U.S. Treasury Notes | 1,102 | 12/09 | $130,397,594 | $1,211,732 |
30 Year U.S. Treasury Bonds | 241 | 12/09 | 29,251,375 | 647,277 |
Total Purchased |
|
|
| $1,859,009 |
|
|
|
|
|
Sold: |
|
|
|
|
2 Year U.S. Treasury Notes | 1,341 | 12/09 | $290,955,094 | ($1,259,966) |
5 Year U.S. Treasury Notes | 244 | 12/09 | 28,326,875 | (261,145) |
Total Sold |
|
|
| ($1,521,111) |
See notes to statements of net assets and notes to financial statements.
Equity Portfolio
Statement of Net Assets
September 30, 2009
Equity Securities - 96.6% |
| Shares | Value |
Air Freight & Logistics - 2.6% |
|
|
|
C.H. Robinson Worldwide, Inc. |
| 258,300 | $14,916,825 |
United Parcel Service, Inc., Class B |
| 259,800 | 14,670,906 |
|
|
| 29,587,731 |
|
|
|
|
Biotechnology - 2.6% |
|
|
|
Genzyme Corp.* |
| 331,600 | 18,811,668 |
Gilead Sciences, Inc.* |
| 227,400 | 10,592,292 |
|
|
| 29,403,960 |
|
|
|
|
Capital Markets - 5.9% |
|
|
|
Bank of New York Mellon Corp. |
| 353,800 | 10,256,662 |
Charles Schwab Corp. |
| 799,200 | 15,304,680 |
Franklin Resources, Inc. |
| 186,400 | 18,751,840 |
Goldman Sachs Group, Inc. |
| 123,200 | 22,711,920 |
|
|
| 67,025,102 |
|
|
|
|
Chemicals - 4.7% |
|
|
|
Air Products & Chemicals, Inc. |
| 357,600 | 27,742,608 |
Ecolab, Inc. |
| 547,400 | 25,306,302 |
|
|
| 53,048,910 |
|
|
|
|
Commercial Banks - 2.9% |
|
|
|
SunTrust Banks, Inc. |
| 726,900 | 16,391,595 |
Wells Fargo & Co. |
| 345,900 | 9,747,462 |
Zions Bancorporation |
| 344,300 | 6,187,071 |
|
|
| 32,326,128 |
|
|
|
|
Communications Equipment - 6.5% |
|
|
|
Cisco Systems, Inc.* |
| 1,623,100 | 38,207,774 |
QUALCOMM, Inc. |
| 789,100 | 35,493,718 |
|
|
| 73,701,492 |
|
|
|
|
Computers & Peripherals - 9.3% |
|
|
|
Apple, Inc.* |
| 282,200 | 52,311,414 |
Hewlett-Packard Co. |
| 1,102,800 | 52,063,188 |
|
|
| 104,374,602 |
|
|
|
|
Electrical Equipment - 0.9% |
|
|
|
Emerson Electric Co. |
| 240,100 | 9,623,208 |
|
|
|
|
Energy Equipment & Services - 5.5% |
|
|
|
Cameron International Corp.* |
| 375,100 | 14,186,282 |
FMC Technologies, Inc.* |
| 400,000 | 20,896,000 |
Noble Corp. |
| 451,400 | 17,135,144 |
Smith International, Inc. |
| 350,500 | 10,059,350 |
|
|
| 62,276,776 |
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Food & Staples Retailing - 6.0% |
|
|
|
Costco Wholesale Corp. |
| 238,700 | $13,477,002 |
CVS Caremark Corp. |
| 1,302,300 | 46,544,202 |
Sysco Corp. |
| 313,000 | 7,778,050 |
|
|
| 67,799,254 |
|
|
|
|
Gas Utilities - 1.6% |
|
|
|
Questar Corp. |
| 470,400 | 17,668,224 |
|
|
|
|
Health Care Equipment & Supplies - 8.2% |
|
|
|
DENTSPLY International, Inc. |
| 581,400 | 20,081,556 |
St. Jude Medical, Inc.* |
| 558,500 | 21,787,085 |
Stryker Corp. |
| 791,300 | 35,948,759 |
Varian Medical Systems, Inc.* |
| 346,000 | 14,576,980 |
|
|
| 92,394,380 |
|
|
|
|
Health Care Providers & Services - 1.8% |
|
|
|
Laboratory Corp. of America Holdings* |
| 315,300 | 20,715,210 |
|
|
|
|
Household Products - 3.1% |
|
|
|
Procter & Gamble Co. |
| 597,900 | 34,630,368 |
|
|
|
|
Insurance - 2.2% |
|
|
|
Aflac, Inc. |
| 590,100 | 25,220,874 |
|
|
|
|
Internet & Catalog Retail - 1.0% |
|
|
|
NetFlix, Inc.* |
| 233,200 | 10,766,844 |
|
|
|
|
Internet Software & Services - 3.7% |
|
|
|
Google, Inc.* |
| 84,900 | 42,097,665 |
|
|
|
|
Machinery - 2.4% |
|
|
|
Danaher Corp. |
| 292,900 | 19,718,028 |
Deere & Co. |
| 157,400 | 6,755,608 |
|
|
| 26,473,636 |
|
|
|
|
Media - 2.1% |
|
|
|
Omnicom Group, Inc. |
| 627,700 | 23,187,238 |
|
|
|
|
Multiline Retail - 3.7% |
|
|
|
Kohl's Corp.* |
| 319,000 | 18,198,950 |
Target Corp. |
| 502,700 | 23,466,036 |
|
|
| 41,664,986 |
|
|
|
|
Oil, Gas & Consumable Fuels - 0.9% |
|
|
|
EOG Resources, Inc. (t) |
| 126,400 | 10,555,664 |
|
|
|
|
Pharmaceuticals - 4.2% |
|
|
|
Allergan, Inc. |
| 226,600 | 12,861,816 |
Novartis AG (ADR) |
| 688,500 | 34,686,630 |
|
|
| 47,548,446 |
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Semiconductors & Semiconductor Equipment - 3.3% |
|
|
|
Intel Corp. |
| 1,505,700 | $29,466,549 |
Linear Technology Corp. |
| 274,800 | 7,592,724 |
|
|
| 37,059,273 |
|
|
|
|
Software - 2.9% |
|
|
|
Microsoft Corp. |
| 1,260,300 | 32,629,167 |
|
|
|
|
Specialty Retail - 7.4% |
|
|
|
GameStop Corp.* |
| 1,020,800 | 27,020,576 |
Lowe's Co.'s, Inc. |
| 739,300 | 15,480,942 |
Staples, Inc. |
| 1,774,800 | 41,210,856 |
|
|
| 83,712,374 |
|
|
|
|
Trading Companies & Distributors - 0.5% |
|
|
|
Fastenal Co. |
| 145,100 | 5,615,370 |
|
|
|
|
Venture Capital - 0.7% |
|
|
|
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 12/27/10) (b)(i)* |
| 45,000 | - |
Cylex, Inc.: |
|
|
|
Common Stock (b)(i)* |
| 285,706 | - |
Series B, Preferred (b)(i)* |
| 1,134,830 | - |
Series C-1, Preferred (b)(i)* |
| 2,542,915 | 831,495 |
Digital Directions International, Inc. (a)(b)(i)* |
| 354,389 | 531,584 |
Global Resource Options, Inc.: |
|
|
|
Series A, Preferred (a)(b)(i)* |
| 750,000 | 2,518,275 |
Series B, Preferred (a)(b)(i)* |
| 244,371 | 820,525 |
Series C, Preferred (a)(b)(i)* |
| 297,823 | 1,000,000 |
H2Gen Innovations, Inc.: |
|
|
|
Common Stock (b)(i)* |
| 2,077 | - |
Common Warrants (strike price $1.00/share, expires |
|
|
|
10/31/13) (b)(i)* |
| 27,025 | - |
Series A, Preferred (b)(i)* |
| 69,033 | - |
Series A, Preferred Warrants (strike price $1.00/share, |
|
|
|
expires 10/10/12) (b)(i)* |
| 1,104 | - |
Series B, Preferred (b)(i)* |
| 161,759 | - |
Series C, Preferred (b)(i)* |
| 36,984 | - |
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)* |
| 600,000 | - |
Series B, Preferred (a)(b)(i)* |
| 179,723 | 179,723 |
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
Venture Capital - Cont'd |
|
|
|
New Day Farms, Inc., Series B, Preferred (a)(b)(i)* |
| 4,547,804 | $72,037 |
ShoreBank Corp.: |
|
|
|
Non-Voting Common Stock (b)(i)* |
| 67 | 376,875 |
Voting Common Stock (b)(i)* |
| 66 | 371,250 |
Sword Diagnostics, Series B, Preferred (b)(i)* |
| 640,697 | 250,000 |
|
|
| 7,949,715 |
|
|
|
|
|
|
|
|
Total Equity Securities (Cost $966,588,933) |
|
| 1,089,056,597 |
|
|
|
|
|
| Adjusted |
|
LIMITED PARTNERSHIP INTEREST - 0.1% |
| Basis |
|
China Environment Fund 2004 LLC (b)(i)* |
| - | 224,594 |
New Markets Venture Partners II LLC (b)(i)* |
| $50,000 | 42,176 |
SEAF India International Growth Fund LLC (b)(i)* |
| 473,932 | 455,433 |
Sustainable Jobs Fund II (b)(i)* |
| 450,000 | 359,160 |
|
|
|
|
Total Limited Partnership Interest (Cost $973,932) |
|
| 1,081,363 |
|
|
|
|
|
| Principal |
|
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% |
| Amount |
|
Calvert Social Investment Foundation Notes, 1.76%, |
|
|
|
7/1/12 (b)(i)(r) |
| 6,583,877 | 6,329,673 |
|
|
|
|
Total High Social Impact Investments (Cost $6,583,877) |
|
| 6,329,673 |
|
|
|
|
TIME DEPOSIT - 2.7% |
|
|
|
State Street Corp. Time Deposit, 0.01%, 10/1/09 |
| 31,021,847 | 31,021,847 |
|
|
|
|
Total Time Deposit (Cost $31,021,847) |
|
| 31,021,847 |
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $1,005,168,589) - 100.0% |
|
| 1,127,489,480 |
Other assets and liabilities, net - 0.0% |
|
| (212,754) |
Net Assets - 100% |
|
| $1,127,276,726 |
|
|
|
|
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: 28,617,727 shares outstanding |
|
| $787,827,234 |
Class B: 1,778,272 shares outstanding |
|
| 41,941,917 |
Class C: 3,699,891 shares outstanding |
|
| 93,529,243 |
Class I: 5,039,594 shares outstanding |
|
| 146,376,533 |
Class Y: 16,439.2 shares outstanding |
|
| 423,986 |
Undistributed net investment income |
|
| 1,610,638 |
Accumulated net realized gain (loss) on investments |
|
| (66,753,716) |
Net unrealized appreciation (depreciation) on investments |
|
| 122,320,891 |
Net Assets |
|
| $1,127,276,726 |
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $837,205,062) |
|
| $29.25 |
Class B (based on net assets of $45,647,733) |
|
| $25.67 |
Class C (based on net assets of $87,511,831) |
|
| $23.65 |
Class I (based on net assets of $156,429,531) |
|
| $31.04 |
Class Y (based on net assets of $482,569) |
|
| $29.35 |
See notes to statements of net assets and notes to financial statements.
Enhanced Equity Portfolio
Statement of Net Assets
September 30, 2009
Equity Securities - 99.3% |
| Shares | Value |
|
Aerospace & Defense - 0.4% |
|
|
|
|
Rockwell Collins, Inc. |
| 5,799 | $294,589 |
|
|
|
|
|
|
Air Freight & Logistics - 0.9% |
|
|
|
|
FedEx Corp. |
| 7,514 | 565,203 |
|
|
|
|
|
|
Auto Components - 0.1% |
|
|
|
|
Magna International, Inc. |
| 1,688 | 71,774 |
|
|
|
|
|
|
Beverages - 0.4% |
|
|
|
|
Dr Pepper Snapple Group, Inc.* |
| 7,559 | 217,321 |
|
Hansen Natural Corp.* |
| 2,091 | 76,824 |
|
|
|
| 294,145 |
|
|
|
|
|
|
Biotechnology - 2.1% |
|
|
|
|
Amgen, Inc.* |
| 17,912 | 1,078,840 |
|
Biogen Idec, Inc.* |
| 6,431 | 324,894 |
|
Isis Pharmaceuticals, Inc.* |
| 1,651 | 24,055 |
|
|
|
| 1,427,789 |
|
|
|
|
|
|
Building Products - 0.3% |
|
|
|
|
Masco Corp. |
| 13,973 | 180,531 |
|
|
|
|
|
|
Capital Markets - 3.3% |
|
|
|
|
BlackRock, Inc. |
| 1,706 | 369,895 |
|
Franklin Resources, Inc. |
| 5,413 | 544,548 |
|
Goldman Sachs Group, Inc. |
| 6,181 | 1,139,467 |
|
Jefferies Group, Inc.* |
| 2,862 | 77,932 |
|
optionsXpress Holdings, Inc. |
| 564 | 9,746 |
|
State Street Corp. |
| 1,330 | 69,958 |
|
|
|
| 2,211,546 |
|
|
|
|
|
|
Chemicals - 2.4% |
|
|
|
|
Air Products & Chemicals, Inc. |
| 3,000 | 232,740 |
|
Airgas, Inc. |
| 2,138 | 103,415 |
|
Ecolab, Inc. |
| 212 | 9,801 |
|
H.B. Fuller Co. |
| 1,357 | 28,361 |
|
International Flavors & Fragrances, Inc. |
| 4,596 | 174,326 |
|
Praxair, Inc. |
| 9,182 | 750,078 |
|
Sigma-Aldrich Corp. |
| 5,972 | 322,369 |
|
|
|
| 1,621,090 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Commercial Banks - 4.0% |
|
|
|
|
BB&T Corp. |
| 14,276 | $388,878 |
|
Comerica, Inc. |
| 7,459 | 221,309 |
|
Commerce Bancshares, Inc. |
| 4,541 | 169,107 |
|
Park National Corp. |
| 945 | 55,131 |
|
PNC Financial Services Group, Inc. |
| 7,450 | 361,995 |
|
Regions Financial Corp. |
| 29,057 | 180,444 |
|
Trustmark Corp. |
| 3,477 | 66,237 |
|
Wells Fargo & Co. |
| 42,442 | 1,196,016 |
|
|
|
| 2,639,117 |
|
|
|
|
|
|
Commercial Services & Supplies - 0.6% |
|
|
|
|
Avery Dennison Corp. |
| 6,511 | 234,461 |
|
Covanta Holding Corp.* |
| 6,771 | 115,107 |
|
Deluxe Corp. |
| 4,349 | 74,368 |
|
|
|
| 423,936 |
|
|
|
|
|
|
Communications Equipment - 2.7% |
|
|
|
|
Cisco Systems, Inc.* |
| 57,336 | 1,349,689 |
|
Juniper Networks, Inc.* |
| 314 | 8,484 |
|
QUALCOMM, Inc. |
| 9,668 | 434,867 |
|
|
|
| 1,793,040 |
|
|
|
|
|
|
Computers & Peripherals - 7.2% |
|
|
|
|
Apple, Inc.* |
| 6,521 | 1,208,798 |
|
EMC Corp.* |
| 27,800 | 473,712 |
|
Hewlett-Packard Co. |
| 25,763 | 1,216,271 |
|
International Business Machines Corp. |
| 13,251 | 1,584,952 |
|
NetApp, Inc.* |
| 2,174 | 58,002 |
|
QLogic Corp.* |
| 582 | 10,011 |
|
Teradata Corp.* |
| 2,312 | 63,626 |
|
Western Digital Corp.* |
| 4,400 | 160,732 |
|
|
|
| 4,776,104 |
|
|
|
|
|
|
Construction & Engineering - 0.0% |
|
|
|
|
EMCOR Group, Inc.* |
| 340 | 8,609 |
|
|
|
|
|
|
Consumer Finance - 0.7% |
|
|
|
|
American Express Co. |
| 8,120 | 275,268 |
|
AmeriCredit Corp.* |
| 6,872 | 108,509 |
|
Capital One Financial Corp. |
| 268 | 9,576 |
|
Nelnet, Inc.* |
| 6,532 | 81,258 |
|
|
|
| 474,611 |
|
|
|
|
|
|
Containers & Packaging - 0.3% |
|
|
|
|
Bemis Co., Inc. |
| 5,156 | 133,592 |
|
Sealed Air Corp. |
| 3,974 | 78,010 |
|
|
|
| 211,602 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Distributors - 0.2% |
|
|
|
|
Genuine Parts Co. |
| 2,844 | $108,243 |
|
|
|
|
|
|
Diversified Consumer Services - 0.0% |
|
|
|
|
Weight Watchers International, Inc. |
| 83 | 2,278 |
|
|
|
|
|
|
Diversified Financial Services - 3.5% |
|
|
|
|
CME Group, Inc. |
| 632 | 194,776 |
|
JPMorgan Chase & Co. |
| 48,145 | 2,109,714 |
|
|
|
| 2,304,490 |
|
|
|
|
|
|
Diversified Telecommunication Services - 3.1% |
|
|
|
|
AT&T, Inc. |
| 58,902 | 1,590,943 |
|
BCE, Inc. |
| 11,560 | 285,185 |
|
CenturyTel, Inc. |
| 2,639 | 88,670 |
|
tw telecom, Inc.* |
| 9,661 | 129,941 |
|
|
|
| 2,094,739 |
|
|
|
|
|
|
Electric Utilities - 0.7% |
|
|
|
|
Cleco Corp. |
| 4,944 | 123,996 |
|
IDACORP, Inc. |
| 4,257 | 122,559 |
|
Unisource Energy Corp. |
| 6,936 | 213,282 |
|
|
|
| 459,837 |
|
|
|
|
|
|
Electrical Equipment - 1.9% |
|
|
|
|
Brady Corp. |
| 8,955 | 257,187 |
|
Cooper Industries plc |
| 3,743 | 140,624 |
|
Emerson Electric Co. |
| 19,608 | 785,889 |
|
General Cable Technologies Corp.* |
| 2,318 | 90,750 |
|
|
|
| 1,274,450 |
|
|
|
|
|
|
Electronic Equipment & Instruments - 0.8% |
|
|
|
|
Arrow Electronics, Inc.* |
| 3,853 | 108,462 |
|
Avnet, Inc.* |
| 3,193 | 82,922 |
|
Benchmark Electronics, Inc.* |
| 4,009 | 72,162 |
|
Corning, Inc. |
| 5,525 | 84,588 |
|
Jabil Circuit, Inc. |
| 12,716 | 170,521 |
|
|
|
| 518,655 |
|
|
|
|
|
|
Energy Equipment & Services - 1.6% |
|
|
|
|
Cal Dive International, Inc.* |
| 6,128 | 60,606 |
|
Dril-Quip, Inc.* |
| 642 | 31,869 |
|
Exterran Holdings, Inc.* |
| 7,964 | 189,066 |
|
FMC Technologies, Inc.* |
| 6,009 | 313,910 |
|
Key Energy Services, Inc.* |
| 2,606 | 22,672 |
|
SEACOR Holdings, Inc.* |
| 1,933 | 157,791 |
|
Tidewater, Inc. |
| 5,948 | 280,091 |
|
|
|
| 1,056,005 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Food & Staples Retailing - 1.4% |
|
|
|
|
BJ's Wholesale Club, Inc.* |
| 3,128 | $113,296 |
|
CVS Caremark Corp. |
| 5,643 | 201,681 |
|
Ruddick Corp. |
| 6,074 | 161,690 |
|
United Natural Foods, Inc.* |
| 2,165 | 51,787 |
|
Walgreen Co. |
| 1,238 | 46,388 |
|
Weis Markets, Inc. |
| 3,266 | 104,348 |
|
Whole Foods Market, Inc.* |
| 7,422 | 226,297 |
|
|
|
| 905,487 |
|
|
|
|
|
|
Food Products - 3.1% |
|
|
|
|
Campbell Soup Co. |
| 19,580 | 638,700 |
|
Corn Products International, Inc. |
| 8,165 | 232,866 |
|
Del Monte Foods Co. |
| 18,983 | 219,823 |
|
General Mills, Inc. |
| 2,526 | 162,624 |
|
J&J Snack Foods Corp. |
| 586 | 25,309 |
|
Kellogg Co. |
| 13,422 | 660,765 |
|
Lancaster Colony Corp. |
| 1,394 | 71,470 |
|
TreeHouse Foods, Inc.* |
| 2,357 | 84,074 |
|
|
|
| 2,095,631 |
|
|
|
|
|
|
Gas Utilities - 1.3% |
|
|
|
|
AGL Resources, Inc. |
| 3,229 | 113,887 |
|
Energen Corp. |
| 2,459 | 105,983 |
|
Oneok, Inc. |
| 10,982 | 402,161 |
|
Piedmont Natural Gas Co., Inc. |
| 1,000 | 23,940 |
|
Questar Corp. |
| 5,558 | 208,758 |
|
WGL Holdings, Inc. |
| 1,091 | 36,156 |
|
|
|
| 890,885 |
|
|
|
|
|
|
Health Care Equipment & Supplies - 2.1% |
|
|
|
|
Becton Dickinson & Co. |
| 9,055 | 631,586 |
|
Gen-Probe, Inc.* |
| 388 | 16,079 |
|
Hospira, Inc.* |
| 6,431 | 286,823 |
|
ResMed, Inc.* |
| 3,156 | 142,651 |
|
St. Jude Medical, Inc.* |
| 8,275 | 322,808 |
|
Thoratec Corp.* |
| 212 | 6,417 |
|
|
|
| 1,406,364 |
|
|
|
|
|
|
Health Care Providers & Services - 2.8% |
|
|
|
|
AmerisourceBergen Corp. |
| 7,844 | 175,549 |
|
Centene Corp.* |
| 1,210 | 22,917 |
|
CIGNA Corp. |
| 12,438 | 349,383 |
|
Coventry Health Care, Inc.* |
| 11,845 | 236,426 |
|
Express Scripts, Inc.* |
| 4,824 | 374,246 |
|
Health Net, Inc.* |
| 9,293 | 143,112 |
|
HealthSpring, Inc.* |
| 5,578 | 68,332 |
|
Henry Schein, Inc.* |
| 1,954 | 107,294 |
|
Laboratory Corp. of America Holdings* |
| 2,211 | 145,263 |
|
Lincare Holdings, Inc.* |
| 1,229 | 38,406 |
|
Quest Diagnostics, Inc. |
| 4,413 | 230,314 |
|
|
|
| 1,891,242 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Health Care Technology - 0.3% |
|
|
|
|
HLTH Corp.* |
| 7,312 | $106,828 |
|
IMS Health, Inc. |
| 7,413 | 113,790 |
|
|
|
| 220,618 |
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 0.9% |
|
|
|
|
Brinker International, Inc. |
| 13,955 | 219,512 |
|
CEC Entertainment, Inc.* |
| 4,312 | 111,508 |
|
Cheesecake Factory, Inc.* |
| 9,064 | 167,865 |
|
Chipotle Mexican Grill, Inc.* |
| 595 | 57,745 |
|
Panera Bread Co.* |
| 1,009 | 55,495 |
|
|
|
| 612,125 |
|
|
|
|
|
|
Household Durables - 1.8% |
|
|
|
|
D.R. Horton, Inc. |
| 23,213 | 264,860 |
|
Garmin Ltd. |
| 7,507 | 283,314 |
|
KB Home |
| 15,010 | 249,316 |
|
Pulte Homes, Inc. |
| 13,579 | 149,233 |
|
Ryland Group, Inc. |
| 12,377 | 260,784 |
|
|
|
| 1,207,507 |
|
|
|
|
|
|
Household Products - 2.9% |
|
|
|
|
Church & Dwight Co., Inc. |
| 2,706 | 153,538 |
|
Clorox Co. |
| 4,037 | 237,456 |
|
Colgate-Palmolive Co. |
| 10,463 | 798,118 |
|
Kimberly-Clark Corp. |
| 12,855 | 758,188 |
|
|
|
| 1,947,300 |
|
|
|
|
|
|
Industrial Conglomerates - 2.2% |
|
|
|
|
3M Co. |
| 13,795 | 1,018,071 |
|
Carlisle Co.'s, Inc. |
| 1,311 | 44,456 |
|
Koninklijke Philips Electronics NV |
| 17,441 | 424,863 |
|
|
|
| 1,487,390 |
|
|
|
|
|
|
Insurance - 3.5% |
|
|
|
|
AEGON NV* |
| 52,215 | 441,739 |
|
American Financial Group, Inc. |
| 11,753 | 299,702 |
|
AON Corp. |
| 6,918 | 281,493 |
|
Aspen Insurance Holdings Ltd. |
| 1,569 | 41,531 |
|
Brown & Brown, Inc. |
| 4,073 | 78,039 |
|
Chubb Corp. |
| 15,124 | 762,401 |
|
Delphi Financial Group, Inc. |
| 8,065 | 182,511 |
|
Erie Indemnity Co. |
| 1,605 | 60,123 |
|
Fidelity National Financial, Inc. |
| 366 | 5,519 |
|
First American Corp. |
| 2,330 | 75,422 |
|
HCC Insurance Holdings, Inc. |
| 2,874 | 78,604 |
|
Travelers Co.'s, Inc. |
| 503 | 24,763 |
|
|
|
| 2,331,847 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Internet & Catalog Retail - 0.7% |
|
|
|
|
Amazon.com, Inc.* |
| 4,624 | $431,697 |
|
|
|
|
|
|
Internet Software & Services - 0.3% |
|
|
|
|
Earthlink, Inc. |
| 11,955 | 100,541 |
|
ValueClick, Inc.* |
| 7,257 | 95,720 |
|
|
|
| 196,261 |
|
|
|
|
|
|
IT Services - 2.7% |
|
|
|
|
Automatic Data Processing, Inc. |
| 16,744 | 658,039 |
|
Broadridge Financial Solutions, Inc. |
| 6,991 | 140,519 |
|
Convergys Corp.* |
| 4,073 | 40,486 |
|
DST Systems, Inc.* |
| 3,513 | 157,382 |
|
Fiserv, Inc.* |
| 1,605 | 77,361 |
|
Hewitt Associates, Inc.* |
| 1,343 | 48,925 |
|
NeuStar, Inc.* |
| 2,788 | 63,009 |
|
Paychex, Inc. |
| 7,174 | 208,405 |
|
TeleTech Holdings, Inc.* |
| 5,835 | 99,545 |
|
Western Union Co. |
| 17,091 | 323,362 |
|
|
|
| 1,817,033 |
|
|
|
|
|
|
Leisure Equipment & Products - 0.0% |
|
|
|
|
Polaris Industries, Inc. |
| 360 | 14,681 |
|
|
|
|
|
|
Life Sciences - Tools & Services - 0.5% |
|
|
|
|
Bruker Corp.* |
| 3,926 | 41,890 |
|
Millipore Corp.* |
| 1,550 | 109,012 |
|
Waters Corp.* |
| 3,348 | 187,019 |
|
|
|
| 337,921 |
|
|
|
|
|
|
Machinery - 2.2% |
|
|
|
|
Danaher Corp. |
| 8,982 | 604,668 |
|
Dover Corp. |
| 3,771 | 146,164 |
|
Illinois Tool Works, Inc. |
| 7,890 | 336,982 |
|
Pall Corp. |
| 9,111 | 294,103 |
|
SPX Corp. |
| 1,164 | 71,318 |
|
|
|
| 1,453,235 |
|
|
|
|
|
|
Media - 3.3% |
|
|
|
|
DISH Network Corp.* |
| 1,797 | 34,610 |
|
Gannett Co., Inc. |
| 30,718 | 384,282 |
|
Liberty Global, Inc.* |
| 6,294 | 142,056 |
|
Meredith Corp. |
| 129 | 3,862 |
|
Omnicom Group, Inc. |
| 8,826 | 326,033 |
|
Regal Entertainment Group |
| 1,458 | 17,963 |
|
Scripps Networks Interactive, Inc. |
| 5,752 | 212,536 |
|
Time Warner Cable, Inc. |
| 4,181 | 180,159 |
|
Time Warner, Inc. |
| 30,614 | 881,071 |
|
Viacom, Inc., Class B* |
| 373 | 10,459 |
|
|
|
| 2,193,031 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Metals & Mining - 0.6% |
|
|
|
|
Compass Minerals International, Inc. |
| 881 | $54,287 |
|
Schnitzer Steel Industries, Inc. |
| 3,752 | 199,794 |
|
Worthington Industries, Inc. |
| 10,918 | 151,760 |
|
|
|
| 405,841 |
|
|
|
|
|
|
Multiline Retail - 1.2% |
|
|
|
|
Big Lots, Inc.* |
| 926 | 23,168 |
|
Kohl's Corp.* |
| 2,732 | 155,861 |
|
Nordstrom, Inc. |
| 669 | 20,431 |
|
Target Corp. |
| 13,294 | 620,564 |
|
|
|
| 820,024 |
|
|
|
|
|
|
Multi-Utilities - 2.1% |
|
|
|
|
Consolidated Edison, Inc. |
| 14,103 | 577,377 |
|
MDU Resources Group, Inc. |
| 7,696 | 160,462 |
|
NiSource, Inc. |
| 18,987 | 263,729 |
|
OGE Energy Corp. |
| 12,402 | 410,258 |
|
|
|
| 1,411,826 |
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 8.3% |
|
|
|
|
Bill Barrett Corp.* |
| 6,877 | 225,497 |
|
Comstock Resources, Inc.* |
| 6,732 | 269,819 |
|
EnCana Corp. |
| 12,257 | 706,126 |
|
Pioneer Natural Resources Co. |
| 14,661 | 532,048 |
|
Plains Exploration & Production Co.* |
| 7,111 | 196,690 |
|
Range Resources Corp. |
| 7,422 | 366,350 |
|
Southern Union Co. |
| 30,415 | 632,328 |
|
Southwestern Energy Co.* |
| 12,642 | 539,560 |
|
Spectra Energy Corp. |
| 15,504 | 293,646 |
|
Talisman Energy, Inc. |
| 33,627 | 583,092 |
|
Whiting Petroleum Corp.* |
| 4,431 | 255,137 |
|
World Fuel Services Corp. |
| 5,061 | 243,282 |
|
XTO Energy, Inc. |
| 16,658 | 688,308 |
|
|
|
| 5,531,883 |
|
|
|
|
|
|
Paper & Forest Products - 0.1% |
|
|
|
|
Domtar Corp.* |
| 2,486 | 87,557 |
|
|
|
|
|
|
Personal Products - 0.5% |
|
|
|
|
Estee Lauder Co.'s, Inc. |
| 9,330 | 345,956 |
|
|
|
|
|
|
Pharmaceuticals - 6.4% |
|
|
|
|
Bristol-Myers Squibb Co. |
| 38,196 | 860,174 |
|
Endo Pharmaceuticals Holdings, Inc.* |
| 2,936 | 66,442 |
|
Forest Laboratories, Inc.* |
| 17,065 | 502,394 |
|
GlaxoSmithKline plc (ADR) |
| 20,561 | 812,365 |
|
Johnson & Johnson |
| 33,305 | 2,027,941 |
|
Medicines Co.* |
| 2,981 | 32,821 |
|
|
|
| 4,302,137 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Professional Services - 0.1% |
|
|
|
|
Administaff, Inc. |
| 1,642 | $43,135 |
|
Watson Wyatt Worldwide, Inc. |
| 28 | 1,220 |
|
|
|
| 44,355 |
|
|
|
|
|
|
Real Estate Investment Trusts - 0.0% |
|
|
|
|
Macerich Co. |
| 17 | 516 |
|
|
|
|
|
|
Road & Rail - 0.3% |
|
|
|
|
Ryder System, Inc. |
| 4,789 | 187,058 |
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment - 2.2% |
|
|
|
|
Cypress Semiconductor Corp.* |
| 8,615 | 88,993 |
|
Novellus Systems, Inc.* |
| 8,137 | 170,714 |
|
Tessera Technologies, Inc.* |
| 1,064 | 29,675 |
|
Texas Instruments, Inc. |
| 47,976 | 1,136,552 |
|
Xilinx, Inc. |
| 1,458 | 34,146 |
|
|
|
| 1,460,080 |
|
|
|
|
|
|
Software - 2.9% |
|
|
|
|
CA, Inc. |
| 3,339 | 73,425 |
|
Microsoft Corp. |
| 71,088 | 1,840,468 |
|
|
|
| 1,913,893 |
|
|
|
|
|
|
Specialty Retail - 3.9% |
|
|
|
|
Best Buy Co., Inc. |
| 3,471 | 130,232 |
|
Gap, Inc. |
| 9,186 | 196,580 |
|
Home Depot, Inc. |
| 25,312 | 674,312 |
|
Limited Brands, Inc. |
| 15,166 | 257,670 |
|
Lowe's Co.'s, Inc. |
| 19,928 | 417,292 |
|
Office Depot, Inc.* |
| 19,891 | 131,678 |
|
Penske Auto Group, Inc. |
| 5,193 | 99,602 |
|
PetSmart, Inc. |
| 2,862 | 62,248 |
|
RadioShack Corp. |
| 5,936 | 98,360 |
|
Ross Stores, Inc. |
| 1,972 | 94,202 |
|
Sally Beauty Holdings, Inc.* |
| 2,596 | 18,458 |
|
TJX Co.'s, Inc. |
| 10,424 | 387,252 |
|
|
|
| 2,567,886 |
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods - 0.1% |
|
|
|
|
Timberland Co.* |
| 3,624 | 50,446 |
|
|
|
|
|
|
Thrifts & Mortgage Finance - 0.5% |
|
|
|
|
Hudson City Bancorp, Inc. |
| 19,093 | 251,073 |
|
People's United Financial, Inc. |
| 4,569 | 71,094 |
|
|
|
| 322,167 |
|
|
|
|
|
|
Trading Companies & Distributors - 0.1% |
|
|
|
|
Beacon Roofing Supply, Inc.* |
| 4,954 | 79,165 |
|
|
|
|
|
|
|
|
|
|
|
Equity Securities - Cont'd |
| Shares | Value |
|
Wireless Telecommunication Services - 0.8% |
|
|
|
|
MetroPCS Communications, Inc.* |
| 9,890 | $92,570 |
|
NII Holdings, Inc.* |
| 13,560 | 406,529 |
|
|
|
| 499,099 |
|
|
|
|
|
|
|
|
|
|
|
Total Equity Securities (Cost $56,850,738) |
|
| 66,282,527 |
|
|
|
|
|
|
|
| Principal |
|
|
Time Deposit - 0.6% |
| Amount |
|
|
State Street Corp. Time Deposit, 0.01%, 10/1/09 |
| $392,932 | 392,932 |
|
|
|
|
|
|
Total Time Deposit (Cost $392,932) |
|
| 392,932 |
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $57,243,670) - 99.9% |
|
| 66,675,459 |
|
Other assets and liabilities, net - 0.1% |
|
| 72,505 |
|
Net Assets - 100% |
|
| $66,747,964 |
|
|
|
|
|
|
Net Assets Consist of: |
|
|
|
|
Paid-in capital applicable to the following shares of beneficial interest, |
|
|
|
|
unlimited number of no par value shares authorized: |
|
|
|
|
Class A: 2,426,328 shares outstanding |
|
| $41,950,344 |
|
Class B: 223,902 shares outstanding |
|
| 3,415,770 |
|
Class C: 461,930 shares outstanding |
|
| 7,872,026 |
|
Class I: 1,820,013 shares outstanding |
|
| 33,180,566 |
|
Undistributed net investment income |
|
| 464,508 |
|
Accumulated net realized gain (loss) on investments |
|
| (29,567,046) |
|
Net unrealized appreciation (depreciation) on investments and |
|
|
|
|
assets and liabilities denominated in foreign currencies |
|
| 9,431,796 |
|
|
|
|
|
|
Net Assets |
|
| $66,747,964 |
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
|
Class A (based on net assets of $33,039,857) |
|
| $13.62 |
|
Class B (based on net assets of $2,768,040) |
|
| $12.36 |
|
Class C (based on net assets of $5,766,528) |
|
| $12.48 |
|
Class I (based on net assets of $25,173,539) |
|
| $13.83 |
|
See notes to statements of net assets and notes to financial statements.
Notes to Statements of Net Assets
(a) Affiliated company.
(b) This security was valued by the Board of Trustees. See note A.
(c) Colson Services Corporation is the collection and transfer agent for certain U.S. Government guaranteed variable rate loans. Each depository receipt pertains to a set, grouped by interest rate, of these loans.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(f) Maryland State Economic Development Corp. Revenue Bonds Series B and C were issued in exchange for 3,750,000 par Maryland State Economic Development Corp. Revenue Bonds due 10/1/19 that were previously held by the Fund. Series B is not accruing interest.
(h) Represents rate in effect at September 30, 2009, 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, 2009, the prime rate was 3.25%.
(i) Restricted securities represent 3.7% of the net assets for Balanced Portfolio, 0.3% for Bond Portfolio, and 1.4% for Equity Portfolio.
(j) KDM Development Corp. Note has been restructured from an original maturity date of December 31, 2007.
(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) 25,000 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) 45,000 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. This security is no longer accruing interest.
(y) The government of Iceland took control of Glitnir Banki HF and Kaupthing Bank HF (the "Banks") on October 8, 2008 and October 9, 2008, respectively. The government has prohibited the Banks from paying any claims owed to foreign entities. As of October 9, 2008, these securities are no longer accruing interest.
(z) Orkney Re II plc is in default and no longer accruing interest. During the period, $13,411 and $20,727 of interest was written off for Balanced Portfolio and Bond Portfolio, respectively.
(aa) Glitnir Banki HF Bonds due 4/20/2010 are in default. During the period, $27,078 of interest was written off for Bond Portfolio.
(cc) Glitnir Banki HF Bonds due 1/21/2011 are in default. During the period, $10,754 of interest was written off for Bond Portfolio.
(ee) Glitnir Banki HF Bonds due 9/25/2012 are in default. During the period, $4,958 of interest was written off Bond Portfolio.
(ff) Glitnir Banki HF Bonds due 6/15/2016 are in default. During the period, $31,792 and $15,896 of interest was written off for Balanced Portfolio and Bond Portfolio, respectively.
(gg) Kaupthing Bank HF Bonds due 1/15/2010 are in default. During the period, $8,339 of interest was written off for Bond Portfolio.
(hh) Kaupthing Bank HF Bonds due 10/4/2011 are in default. During the period, $2,196 and $5,590 of interest was written off for Balanced Portfolio and Bond Portfolio, respectively.
(oo) Glitnir Banki HF Bonds due 10/15/08 are in default for principal and interest. During the period, $14,097 and $56,390 of interest was written off for Balanced Portfolio and Bond Portfolio, respectively.
* Non-income producing security.
Explanation of Guarantees:
BPA: Bond Purchase Agreement
C/LOC: Confirming Letter of Credit
LOC: Letter of Credit
Abbreviations:
ADR: American Depositary Receipt
COPs: Certificates of Participation
FHLB: Federal Home Loan Bank
GO: General Obligation
IDA: Industrial Development Authority
LLC: Limited Liability Corporation
LP: Limited Partnership
MFH: Multi-Family Housing
PO: Pension Obligation
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 |
Access Bank Note |
| 8/29/07 | $500,000 |
Agraquest, Inc.: |
|
|
|
Series B, Preferred |
| 2/26/97 | 200,001 |
Series C, Preferred |
| 3/11/98 | 200,000 |
Series H, Preferred |
| 5/25/05 - 1/11/07 | 316,894 |
Angels With Attitude I LLC, LP |
| 8/28/00 - 4/30/03 | 200,000 |
Calvert Social Investment Foundation Notes |
| 7/2/07 | 5,016,666 |
CFBanc Corp., Series A |
| 3/14/03 | 270,000 |
City Soft, Inc.: |
|
|
|
Convertible Notes I, 10.00%, 8/31/06 |
| 11/15/00 | 297,877 |
Convertible Notes II, 10.00%, 8/31/06 |
| 9/9/03 | 32,500 |
Convertible Notes III, 10.00%, 8/31/06 |
| 5/4/04 | 25,000 |
Convertible Notes IV, 10.00%, 8/31/06 |
| 3/11/05 | 25,000 |
City Soft, Inc., Warrants: |
|
|
|
(strike price $0.21/share, expires 05/31/12) |
| 11/22/02 | 2 |
(strike price $0.01/share, expires 10/15/12) |
| 5/4/04 | - |
(strike price $0.01/share, expires 10/15/12) |
| 11/22/02 | 12 |
(strike price $0.14/share, expires 10/15/12) |
| 11/22/02 | - |
(strike price $0.28/share, expires 10/15/12) |
| 11/22/02 | - |
(strike price $0.01/share, expires 2/28/13) |
| 4/11/03 | - |
(strike price $0.14/share, expires 2/28/13) |
| 4/11/03 | - |
(strike price $0.28/share, expires 2/28/13) |
| 4/11/03 | - |
(strike price $0.01/share, expires 5/31/13) |
| 7/15/03 | - |
(strike price $0.14/share, expires 5/31/13) |
| 7/15/03 | - |
(strike price $0.28/share, expires 5/31/13) |
| 7/15/03 | - |
(strike price $0.01/share, expires 8/31/13) |
| 9/9/03 | - |
(strike price $0.14/share, expires 8/31/13) |
| 9/9/03 | - |
(strike price $0.28/share, expires 8/31/13) |
| 9/9/03 | - |
(strike price $0.01/share, expires 9/4/13) |
| 9/9/03 | - |
(strike price $0.01/share, expires 9/4/13) |
| 5/4/04 | - |
(strike price $0.01/share, expires 9/4/13) |
| 3/11/05 | - |
(strike price $0.14/share, expires 9/4/13) |
| 9/9/03 | - |
(strike price $0.28/share, expires 9/4/13) |
| 9/9/03 | - |
(strike price $0.01/share, expires 11/30/13) |
| 1/16/04 | - |
(strike price $0.14/share, expires 11/30/13) |
| 1/16/04 | - |
(strike price $0.28/share, expires 11/30/13) |
| 1/16/04 | - |
(strike price $0.01/share, expires 4/21/14) |
| 11/3/05 | - |
Coastal Venture Partners LP |
| 6/7/96 - 6/22/00 | 133,958 |
Common Capital LP |
| 2/15/01 - 4/29/08 | 453,189 |
Consensus Orthopedics, Inc.: |
|
|
|
Common Stock |
| 2/10/06 | 504,331 |
Series A-1, Preferred |
| 8/19/05 | 4,417 |
Series B, Preferred |
| 2/10/06 | 139,576 |
Series C, Preferred |
| 2/10/06 | 120,342 |
Environmental Private Equity Fund II, Liquidating Trust |
| 4/26/07 | 8,746 |
First Analysis Private Equity Fund IV LP |
| 2/25/02 - 5/8/09 | 690,660 |
GEEMF Partners LP |
| 2/28/97 | - |
Global Environment Emerging Markets Fund LP |
| 1/14/94 - 12/1/95 | - |
|
|
|
|
Balanced Portfolio |
|
|
|
Restricted Securities - Cont'd |
| Acquisition Dates | Cost |
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 |
Inflabloc Pharmaceuticals, Inc. |
| 12/29/03 | 500,000 |
Infrastructure and Environmental Private Equity Fund |
|
|
|
III LP |
| 4/16/97 - 2/12/01 | 328,443 |
KDM Development Corp. Note |
| 6/30/09 | 600,000 |
Labrador Ventures III LP |
| 8/11/98 - 4/2/01 | 360,875 |
Labrador Ventures IV LP |
| 12/14/99 - 8/27/07 | 911,085 |
Neighborhood Bancorp |
| 6/25/97 | 100,000 |
New Markets Growth Fund LLC, LP |
| 1/8/03 - 7/18/07 | 225,646 |
Plethora Technology, Inc.: |
|
|
|
Common Warrants (strike price $0.01/share, |
|
|
|
expires 4/29/15) |
| 5/19/05 | 75,360 |
Series A, Preferred |
| 4/29/05 - 5/13/05 | 701,835 |
Series A, Preferred Warrants: |
|
|
|
(strike price $0.85/share, expires 6/9/13) |
| 6/8/06 | - |
(strike price $0.85/share, expires 9/6/13) |
| 11/3/06 | - |
Plethora Technology, Inc., Note |
| 6/8/06 | 150,000 |
Rose Smart Growth Investment Fund |
| 4/10/06 | 1,000,000 |
Seventh Generation, Inc. |
| 4/12/00 - 5/6/03 | 230,500 |
SMARTHINKING, Inc.: |
|
|
|
Series 1-A, Convertible Preferred |
| 4/22/03 - 5/27/05 | 159,398 |
Series 1-B, Convertible Preferred |
| 6/10/03 | 250,000 |
Series 1-B, Preferred Warrants (strike price |
|
|
|
$0.01/share, expires 5/26/15) |
| 5/27/05 | - |
Series 1-B, Preferred Warrants (strike price |
|
|
|
$1.53/share, expires 6/1/15) |
| 9/19/00 | - |
Solstice Capital LP |
| 6/26/01 - 6/17/08 | 384,644 |
Utah Ventures II LP |
| 11/17/97 - 2/5/03 | 867,581 |
Venture Strategy Partners LP |
| 8/21/98 - 2/26/03 | 206,058 |
Wild Planet Entertainment, Inc.: |
|
|
|
Series B, Preferred |
| 7/12/94 | 200,000 |
Series E, Preferred |
| 4/9/98 | 180,725 |
Wind Harvest Co., Inc. |
| 5/16/94 | 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, 1.76%, 7/1/12 |
| 7/1/09 | 6,583,877 |
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 12/27/10) |
| 12/22/06 | - |
China Environment Fund 2004 LLC LP |
| 9/15/05 - 4/1/09 | - |
Cylex, Inc.: |
|
|
|
Common Stock |
| 11/22/06 | 16,382 |
Series B, Preferred |
| 11/30/06 | 547,525 |
Series C-1, Preferred |
| 11/30/06 | 471,342 |
Digital Directions International, Inc. |
| 7/2/08 - 7/15/09 | 683,778 |
Global Resource Options, Inc.: |
|
|
|
Series A, Preferred |
| 9/18/06 | 750,000 |
Series B, Preferred |
| 12/5/07 | 750,000 |
Series C, Preferred |
| 2/13/09 | 1,000,000 |
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 - 9/18/09 | - |
Series B, Preferred |
| 7/31/09 | 179,723 |
New Day Farms, Inc., Series B, Preferred |
| 3/12/09 | 500,000 |
New Markets Venture Partners II LLC, LP |
| 7/21/08 | 50,000 |
SEAF India International Growth Fund LLC, LP |
| 3/22/05 - 5/8/09 | 473,932 |
ShoreBank Corp.: |
|
|
|
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 - 8/26/09 | 450,000 |
Sword Diagnostics, Series B, Preferred |
| 12/26/06 | 250,000 |
|
|
|
|
|
|
|
|
Bond Portfolio |
|
|
|
Restricted Securities |
| Acquisition Dates | Cost |
Calvert Social Investment Foundation Notes |
| 07/01/09 | $3,087,392 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2009
Net Investment Income |
| Money | | |
Investment Income: |
|
|
|
|
Interest income |
| $3,820,553 | $8,610,850 | $39,599,435 |
Dividend income |
| -- | 3,978,528 | 197,329 |
Total investment income |
| 3,820,553 | 12,589,378 | 39,796,764 |
|
|
|
|
|
Expenses: |
|
|
|
|
Investment advisory fee |
| 582,413 | 1,697,119 | 2,865,750 |
Transfer agency fees and expenses |
| 406,752 | 904,321 | 1,418,557 |
Administrative fees |
| 388,276 | 1,090,625 | 2,100,254 |
Distribution Plan expenses: |
|
|
|
|
Class A |
| -- | 827,183 | 1,145,340 |
Class B |
| -- | 138,559 | 143,325 |
Class C |
| -- | 195,858 | 534,551 |
Trustees' fees and expenses |
| 36,619 | 74,174 | 153,019 |
Custodian fees |
| 33,230 | 118,147 | 212,440 |
Registration fees |
| 20,090 | 48,855 | 63,416 |
Reports to shareholders |
| 32,399 | 150,011 | 158,934 |
Professional fees |
| 32,276 | 47,847 | 79,713 |
Insurance |
| 80,939 | 10,007 | 18,496 |
Miscellaneous |
| 19,425 | 133,915 | 21,407 |
Total expenses |
| 1,632,419 | 5,436,621 | 8,915,202 |
Reimbursement from Advisor: |
|
|
|
|
Class I |
| -- | (8,305) | -- |
Class Y |
| -- | -- | (12,297) |
Fees paid indirectly |
| (10,630) | (22,706) | (102,271) |
Net expenses |
| 1,621,789 | 5,405,610 | 8,800,634 |
|
|
|
|
|
Net Investment Income |
| 2,198,764 | 7,183,768 | 30,996,130 |
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
Investments |
| 1,748 | (43,005,140) | (10,941,254) |
Futures |
| -- | (1,848,987) | 11,491,438 |
|
| 1,748 | (44,854,127) | 550,184 |
|
|
|
|
|
Change in unrealized appreciation or |
|
|
|
|
(depreciation) on: |
|
|
|
|
Investments |
| -- | 22,458,628 | 13,137,883 |
Futures |
| -- | 212,828 | 1,963,777 |
|
| -- | 22,671,456 | 15,101,660 |
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
Gain (Loss) |
| 1,748 | (22,182,671) | 15,651,844 |
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| $2,200,512 | ($14,998,903) | $46,647,974 |
Statements of Operations
Year Ended September 30, 2009
Net Investment Income |
| Equity | Enhanced |
Investment Income: |
|
|
|
Interest income |
| $264,707 | -- |
Dividend income (net of foreign taxes withheld of $208,201 |
|
|
|
and $22,956, respectively) |
| 13,272,155 | $1,531,059 |
Total investment income |
| 13,536,862 | 1,531,059 |
|
|
|
|
Expenses: |
|
|
|
Investment advisory fee |
| 4,487,728 | 363,415 |
Transfer agency fees and expenses |
| 2,005,250 | 147,448 |
Administrative fees |
| 1,683,360 | 80,634 |
Distribution Plan expenses: |
|
|
|
Class A |
| 1,676,195 | 81,281 |
Class B |
| 419,205 | 26,466 |
Class C |
| 732,978 | 49,712 |
Trustees' fees and expenses |
| 158,813 | 10,471 |
Custodian fees |
| 93,794 | 41,399 |
Registration fees |
| 71,961 | 38,316 |
Reports to shareholders |
| 316,286 | 26,120 |
Professional fees |
| 82,965 | 21,614 |
Miscellaneous |
| 122,859 | 11,483 |
Total expenses |
| 11,851,394 | 898,359 |
Reimbursement from Advisor: |
|
|
|
Class A |
| -- | (756) |
Class B |
| -- | (980) |
Class C |
| -- | (484) |
Class I |
| -- | (7,514) |
Class Y |
| (12,709) | -- |
Fees waived |
| -- | (60,569) |
Fees paid indirectly |
| (30,747) | (1,196) |
Net expenses |
| 11,807,938 | 826,860 |
|
|
|
|
Net Investment Income |
| 1,728,924 | 704,199 |
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
Net realized gain (loss) on: |
|
|
|
Investments |
| (63,486,809) | (24,446,854) |
Foreign currency transactions |
| -- | 16 |
|
| (63,486,809) | (24,446,838) |
|
|
|
|
Change in unrealized appreciation or (depreciation) on |
|
|
|
Investments |
| 30,189,108 | 17,423,844 |
Assets and liabilities denominated in foreign currencies |
| -- | 7 |
|
| 30,189,108 | 17,423,851 |
|
|
|
|
Net Realized and Unrealized |
|
|
|
Gain (Loss) |
| (33,297,701) | (7,022,987) |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| ($31,568,777) | ($6,318,788) |
Money Market Portfolio
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Year Ended | Year Ended |
Operations: |
|
|
Net investment income | $2,198,764 | $5,577,934 |
Net realized gain (loss) | 1,748 | 35,803 |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | 2,200,512 | 5,613,737 |
|
|
|
Distributions to shareholders from |
|
|
Net investment income | (2,209,584) | (5,577,423) |
|
|
|
Capital share transactions: |
|
|
Shares sold | 143,308,714 | 171,578,020 |
Reinvestment of distributions | 2,184,286 | 5,523,564 |
Shares redeemed | (162,310,184) | (178,036,859) |
Total capital share transactions | (16,817,184) | (935,275) |
|
|
|
Total Increase (Decrease) in Net Assets | (16,826,256) | (898,961) |
|
|
|
Net Assets |
|
|
Beginning of year | 186,310,977 | 187,209,938 |
End of year (including undistributed net investment |
|
|
income of $6,338 and $17,158, respectively) | $169,484,721 | $186,310,977 |
|
|
|
Capital Share Activity |
|
|
Shares sold | 143,308,597 | 171,576,804 |
Reinvestment of distributions | 2,184,286 | 5,523,564 |
Shares redeemed | (162,310,184) | (178,036,859) |
Total capital share activity | (16,817,301) | (936,491) |
Balanced Portfolio
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Year Ended | Year Ended |
Operations: |
|
|
Net investment income | $7,183,768 | $10,844,330 |
Net realized gain (loss) | (44,854,127) | (10,776,330) |
Change in net unrealized appreciation or (depreciation) | (22,671,456) | (82,022,013) |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | (14,998,903) | (81,954,013) |
|
|
|
Distributions to shareholders from |
|
|
Net investment income: |
|
|
Class A Shares | (6,435,679) | (9,785,718) |
Class B Shares | (100,535) | (215,285) |
Class C Shares | (167,297) | (307,366) |
Class I Shares | (117,020) | (180,891) |
Net realized gain: |
|
|
Class A Shares | (1,818) | (27,920,709) |
Class B Shares | (74) | (1,263,817) |
Class C Shares | (102) | (1,606,863) |
Class I Shares | (24) | (443,629) |
Total distributions | (6,822,549) | (41,724,278) |
|
|
|
Capital share transactions: |
|
|
Shares sold: |
|
|
Class A Shares | 31,489,134 | 26,241,044 |
Class B Shares | 1,114,303 | 1,855,455 |
Class C Shares | 2,667,803 | 4,075,804 |
Class I Shares | 574,607 | 1,111,246 |
Reinvestment of distributions: |
|
|
Class A Shares | 5,977,652 | 35,348,867 |
Class B Shares | 93,329 | 1,328,103 |
Class C Shares | 132,222 | 1,551,976 |
Class I Shares | 117,043 | 624,520 |
Redemption Fees: |
|
|
Class A Shares | 4,510 | 2,023 |
Class B Shares | 2 | 62 |
Class C Shares | 159 | 142 |
Shares redeemed: |
|
|
Class A Shares | (47,762,495) | (59,327,430) |
Class B Shares | (3,749,982) | (5,173,657) |
Class C Shares | (4,341,876) | (5,022,162) |
Class I Shares | (517,418) | (2,881,736) |
Total capital share transactions | (14,201,007) | (265,743) |
|
|
|
Total Increase (Decrease) in Net Assets | (36,022,459) | (123,944,034) |
See notes to financial statements.
Balanced Portfolio
Statements of Changes in Net Assets
Balanced Portfolio (Cont'd)
Net Assets |
| Year Ended | Year Ended |
Beginning of year |
| 482,542,972 | 606,487,006 |
End of year (including distributions in excess of net investment |
|
|
|
income of $102,499 and $583,859, respectively) |
| $446,520,513 | $482,542,972 |
|
|
|
|
Capital Share Activity |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 1,496,785 | 926,277 |
Class B Shares |
| 53,745 | 66,038 |
Class C Shares |
| 129,117 | 145,940 |
Class I Shares |
| 26,977 | 38,793 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 285,304 | 1,212,058 |
Class B Shares |
| 4,591 | 45,521 |
Class C Shares |
| 6,531 | 53,804 |
Class I Shares |
| 5,507 | 21,249 |
Shares redeemed: |
|
|
|
Class A Shares |
| (2,279,306) | (2,098,510) |
Class B Shares |
| (180,674) | (184,797) |
Class C Shares |
| (212,703) | (181,998) |
Class I Shares |
| (23,886) | (102,027) |
Total capital share activity |
| (688,012) | (57,652) |
See notes to financial statements.
Bond Portfolio
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets |
| Year Ended | Year Ended |
Operations: |
|
|
|
Net investment income |
| $30,996,130 | $35,828,523 |
Net realized gain (loss) |
| 550,184 | 17,396,952 |
Change in net unrealized appreciation or (depreciation) |
| 15,101,660 | (50,591,601) |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| 46,647,974 | 2,633,874 |
|
|
|
|
Distributions to shareholders from |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (20,267,907) | (23,844,551) |
Class B Shares |
| (378,342) | (537,994) |
Class C Shares |
| (1,474,714) | (1,629,079) |
Class I Shares |
| (7,435,081) | (9,177,653) |
Class Y Shares |
| (8,946) | -- |
Net realized gain: |
|
|
|
Class A Shares |
| (10,367,445) | (7,730,781) |
Class B Shares |
| (289,630) | (235,087) |
Class C Shares |
| (931,637) | (612,319) |
Class I Shares |
| (3,317,155) | (2,588,489) |
Class Y Shares |
| (19) | -- |
Total distributions |
| (44,470,876) | (46,355,953) |
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 171,888,010 | 275,360,326 |
Class B Shares |
| 2,894,961 | 8,590,116 |
Class C Shares |
| 17,219,472 | 25,623,202 |
Class I Shares |
| 50,077,002 | 79,589,860 |
Class Y Shares |
| 695,570 | -- |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 25,940,131 | 26,510,023 |
Class B Shares |
| 547,377 | 641,033 |
Class C Shares |
| 1,603,277 | 1,488,126 |
Class I Shares |
| 10,247,517 | 11,536,536 |
Class Y Shares |
| 8,965 | -- |
Redemption Fees: |
|
|
|
Class A Shares |
| 47,364 | 28,345 |
Class B Shares |
| 1,012 | 1,536 |
Class C Shares |
| 1,807 | 2,725 |
Class I Shares |
| 443 | 244 |
Class Y Shares |
| 77 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (209,957,908) | (114,817,133) |
Class B Shares |
| (8,656,346) | (5,922,572) |
Class C Shares |
| (15,649,349) | (7,873,471) |
Class I Shares |
| (80,502,751) | (25,644,658) |
Class Y Shares |
| (120,849) | -- |
Total capital share transactions |
| (33,714,218) | 275,114,238 |
|
|
|
|
Total Increase (Decrease) In Net Assets |
| (31,537,120) | 231,392,159 |
See notes to financial statements.
Bond Portfolio
Statements of Changes in Net Assets
Bond Portfolio (Cont'd)
Net Assets |
| Year Ended | Year Ended |
Beginning of year |
| 889,112,123 | 657,719,964 |
End of year (including undistributed net investment |
|
|
|
income of $9,899 and $111,613, respectively) |
| $857,575,003 | $889,112,123 |
|
|
|
|
Capital Share Activity |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 11,973,561 | 17,452,919 |
Class B Shares |
| 203,718 | 549,394 |
Class C Shares |
| 1,210,768 | 1,634,189 |
Class I Shares |
| 3,469,159 | 5,031,915 |
Class Y Shares |
| 48,710 | -- |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 1,821,375 | 1,685,619 |
Class B Shares |
| 38,810 | 40,945 |
Class C Shares |
| 113,380 | 95,146 |
Class I Shares |
| 719,024 | 733,147 |
Class Y Shares |
| 612 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (14,640,040) | (7,303,218) |
Class B Shares |
| (605,901) | (378,044) |
Class C Shares |
| (1,095,584) | (504,845) |
Class I Shares |
| (5,599,150) | (1,631,416) |
Class Y Shares |
| (8,174) | -- |
Total capital share activity |
| (2,349,732) | 17,405,751 |
See notes to financial statements.
Equity Portfolio
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets |
| Year Ended | Year Ended |
|
Operations: |
|
|
|
|
Net investment income (loss) |
| $1,728,924 | ($1,277,521) |
|
Net realized gain (loss) |
| (63,486,809) | 87,876,771 |
|
Change in net unrealized appreciation or (depreciation) |
| 30,189,108 | (284,691,632) |
|
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| (31,568,777) | (198,092,382) |
|
|
|
|
|
|
Distributions to shareholders from |
|
|
|
|
Net realized gain: |
|
|
|
|
Class A Shares |
| (47,880,999) | (58,523,367) |
|
Class B Shares |
| (3,688,194) | (5,472,528) |
|
Class C Shares |
| (6,666,547) | (8,305,125) |
|
Class I shares |
| (6,897,440) | (9,155,226) |
|
Class Y Shares |
| (70) | -- |
|
Total distributions |
| (65,133,250) | (81,456,246) |
|
|
|
|
|
|
Capital share transactions: |
|
|
|
|
Shares sold: |
|
|
|
|
Class A Shares |
| 176,902,110 | 170,811,546 |
|
Class B Shares |
| 4,509,912 | 4,082,805 |
|
Class C Shares |
| 11,881,206 | 13,316,091 |
|
Class I Shares |
| 55,596,023 | 34,964,400 |
|
Class Y Shares |
| 423,927 | -- |
|
Reinvestment of distributions: |
|
|
|
|
Class A Shares |
| 44,035,145 | 54,290,111 |
|
Class B Shares |
| 3,242,846 | 4,735,547 |
|
Class C Shares |
| 5,066,186 | 6,400,134 |
|
Class I Shares |
| 6,223,867 | 8,719,591 |
|
Class Y Shares |
| 70 | -- |
|
Redemption Fees: |
|
|
|
|
Class A Shares |
| 47,999 | 18,632 |
|
Class B Shares |
| 156 | 99 |
|
Class C Shares |
| 581 | 271 |
|
Class I Shares |
| 5,259 | 664 |
|
Shares redeemed: |
|
|
|
|
Class A Shares |
| (145,075,195) | (187,395,186) |
|
Class B Shares |
| (13,241,912) | (19,472,247) |
|
Class C Shares |
| (14,606,408) | (15,851,981) |
|
Class I Shares |
| (20,533,082) | (64,723,663) |
|
Class Y Shares |
| (11) | -- |
|
Total capital share transactions |
| 114,478,679 | 9,896,814 |
|
|
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 17,776,652 | (269,651,814) |
|
|
|
|
|
|
Net Assets |
|
|
|
|
Beginning of year |
| 1,109,500,074 | 1,379,151,888 |
|
End of year (including undistributed net |
|
|
|
|
investment income of $1,610,638 and $0, respectively) |
| $1,127,276,726 | $1,109,500,074 |
|
See notes to financial statements.
Equity Portfolio
Statements of Changes in Net Assets
Equity Portfolio (Cont'd)
Capital Share Activity |
| Year Ended | Year Ended |
Shares sold: |
|
|
|
Class A Shares |
| 7,346,447 | 4,613,653 |
Class B Shares |
| 216,564 | 122,390 |
Class C Shares |
| 610,026 | 429,234 |
Class I Shares |
| 2,142,133 | 905,036 |
Class Y Shares |
| 16,436 | -- |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 1,988,043 | 1,387,784 |
Class B Shares |
| 165,536 | 134,303 |
Class C Shares |
| 280,986 | 195,842 |
Class I Shares |
| 266,091 | 213,089 |
Class Y Shares |
| 3 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (6,060,034) | (5,038,632) |
Class B Shares |
| (621,436) | (584,879) |
Class C Shares |
| (753,203) | (515,547) |
Class I Shares |
| (792,956) | (1,684,781) |
Total capital share activity |
| 4,804,636 | 177,492 |
See notes to financial statements.
Enhanced Equity Portfolio
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets | Year Ended | Year Ended |
Operations: |
|
|
Net investment income | $704,199 | $800,718 |
Net realized gain (loss) | (24,446,838) | (4,759,373) |
Change in net unrealized appreciation or (depreciation) | 17,423,851 | (19,965,603) |
|
|
|
Increase (Decrease) in Net Assets |
|
|
Resulting From Operations | (6,318,788) | (23,924,258) |
|
|
|
Distributions to shareholders from |
|
|
Net investment income: |
|
|
Class A Shares | (529,171) | (377,742) |
Class C Shares | (11,155) | -- |
Class I Shares | (394,153) | (198,809) |
Net realized gain: |
|
|
Class A Shares | -- | (3,397,417) |
Class B Shares | -- | (398,640) |
Class C Shares | -- | (571,643) |
Class I Shares | -- | (1,375,837) |
Total distributions | (934,479) | (6,320,088) |
|
|
|
Capital share transactions: |
|
|
Shares sold: |
|
|
Class A Shares | 5,672,701 | 8,341,775 |
Class B Shares | 187,974 | 319,231 |
Class C Shares | 764,606 | 1,087,476 |
Class I Shares | 5,273,039 | 6,369,213 |
Reinvestment of distributions: |
|
|
Class A Shares | 474,136 | 3,356,986 |
Class B Shares | -- | 342,483 |
Class C Shares | 8,580 | 426,846 |
Class I Shares | 394,153 | 1,574,647 |
Redemption Fees: |
|
|
Class A Shares | 851 | 52 |
Class B Shares | 37 | -- |
Class C Shares | 229 | 96 |
Shares redeemed: |
|
|
Class A Shares | (13,608,953) | (13,711,362) |
Class B Shares | (909,697) | (2,073,483) |
Class C Shares | (1,011,858) | (2,228,413) |
Class I Shares | (2,587,235) | (1,436,030) |
Total capital share transactions | (5,341,437) | 2,369,517 |
|
|
|
Total Increase (Decrease) in Net Assets | (12,594,704) | (27,874,829) |
|
|
|
Net Assets |
|
|
Beginning of year | 79,342,668 | 107,217,497 |
End of year (including undistributed net investment |
|
|
income of $464,508, and $701,636, respectively) | $66,747,964 | $79,342,668 |
Enhanced Equity Portfolio
Statement of Changes in Net Assets
Enhanced Equity Portfolio (Cont'd)
Capital Share Activity |
| Year Ended | Year Ended |
Shares sold: |
|
|
|
Class A Shares |
| 508,554 | 466,880 |
Class B Shares |
| 18,580 | 19,781 |
Class C Shares |
| 74,422 | 67,528 |
Class I Shares |
| 453,894 | 353,263 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 44,520 | 175,723 |
Class B Shares |
| -- | 19,706 |
Class C Shares |
| 873 | 24,419 |
Class I Shares |
| 36,631 | 81,658 |
Shares redeemed: |
|
|
|
Class A Shares |
| (1,163,191) | (788,903) |
Class B Shares |
| (91,012) | (130,837) |
Class C Shares |
| (100,418) | (140,985) |
Class I Shares |
| (215,188) | (83,490) |
Total capital share activity |
| (432,335) | 64,743 |
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. Effective October 31, 2008, Bond and Equity began to offer Class Y 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 inve stors have owned the shares. Class C shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment may be waived for certain institutional accounts, where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares. 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 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 deter mined, 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, 2009:
| Total Investments | % of Net Assets |
Balanced | $36,449,178 | 8.2% |
Bond | 84,799,171 | 9.9% |
Equity | 15,360,751 | 1.4% |
The Fund utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market securities are valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.
The following is a summary of the inputs used to value the Fund's net assets as of September 30, 2009:
Money Market | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
U.S. government obligations | - | $51,179,408 | - | $51,179,408 |
Other debt obligations | - | 1,192,516 | - | 1,192,516 |
Commercial paper | - | 3,000,000 | - | 3,000,000 |
Variable rate demand notes | - | 107,143,000 | - | 107,143,000 |
TOTAL | - | $162,514,924 | - | $162,514,924 |
|
|
|
|
|
Balanced | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
Equity securities* | $254,502,221 | - | $7,978,655 | $262,480,876 |
Limited partnership interest | - | - | 2,909,106 | 2,909,106 |
Asset backed securities | - | $1,971,834 | - | 1,971,834 |
Collateralized mortgage-backed obligations | - | 3,463,319 | - | 3,463,319 |
Commercial mortgage-backed securities | - | 8,967,539 | 1,577,000 | 10,544,539 |
Corporate debt | - | 56,927,448 | 14,476,507 | 71,403,955 |
Municipal obligations | - | 32,333,936 | - | 32,333,936 |
U.S. government obligations | - | 2,505,005 | 2,268,000 | 4,773,005 |
Other debt obligations | - | 44,845,022 | 7,239,910 | 52,084,932 |
TOTAL | $254,502,221 | $151,014,103 | $36,449,178 | $441,965,502 |
Other financial instruments** | ($90,437) | - | - | ($90,437) |
* For further breakdown of equity securities by industry, please refer to the Statement of Net Assets.
** Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/ depreciation on the instrument.
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Equity | Limited | |
Balance as of 9/30/08 | $10,130,266 | $3,394,467 |
Accrued discounts/premiums | - | - |
Realized gain (loss) | (2,125,877) | (500,000) |
Change in unrealized appreciation (depreciation) | 868,924 | (195) |
Net purchases (sales) | (894,658) | 14,834 |
Transfers in and/or out of Level 3 | - | - |
Balance as of 9/30/09 | $7,978,655 | $2,909,106 |
|
|
|
Commercial | Corporate | |
Balance as of 9/30/08 | - | $9,847,627 |
Accrued discounts/premiums | - | 271,226 |
Realized gain (loss) | - | (746,864) |
Change in unrealized appreciation (depreciation) | - | (1,984,455) |
Net purchases (sales) | - | 1,884,798 |
Transfers in and/or out of Level 3 | $1,577,000 | 5,204,175 |
Balance as of 9/30/09 | $1,577,000 | $14,476,507 |
|
|
|
U.S. Government | Other Debt | |
Balance as of 9/30/08 | - | $7,406,921 |
Accrued discounts/premiums | $10 | (13,106) |
Realized gain (loss) | - | 349 |
Change in unrealized appreciation (depreciation) | 59,240 | (49,764) |
Net purchases (sales) | 108,750 | (104,490) |
Transfers in and/ or out of Level 3 | 2,100,000 | - |
Balance as of 9/30/09 | $2,268,000 | $7,239,910 |
|
|
|
|
| Total |
Balance as of 9/30/08 |
| $30,779,281 |
Accrued discounts/premiums |
| 258,130 |
Realized gain (loss) |
| (3,372,392) |
Change in unrealized appreciation (depreciation) |
| (1,106,250) |
Net purchases (sales) |
| 1,009,234 |
Transfers in and/ or out of Level 3 |
| 8,881,175 |
Balance as of 9/30/09 |
| $36,449,178 |
For the year ended September 30, 2009, total change in unrealized gain (loss) on Level 3 securities included in the change in net assets was ($2,391,211). Total unrealized gain (loss) for all securities (including Level 1 and Level 2) can be found on the accompanying Statement of Operations.
Bond | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
Equity securities | $1,188,709 | - | $1,525,000 | $2,713,709 |
Asset backed securities | - | $39,782,715 | - | 39,782,715 |
Collateralized mortgage-backed obligations | - | 31,108,408 | - | 31,108,408 |
Commercial mortgage-backed securities | - | 22,270,757 | 4,150,000 | 26,420,757 |
Corporate debt | - | 300,251,476 | 65,585,983 | 365,837,459 |
Municipal obligations | - | 116,562,641 | - | 116,562,641 |
U.S. government obligations | - | 15,920,912 | 10,570,000 | 26,490,912 |
Other debt obligations | - | 242,012,832 | 2,968,188 | 244,981,020 |
TOTAL | $1,188,709 | $767,909,741 | $84,799,171 | $853,897,621 |
Other financial instruments* | $337,898 | - | - | $337,898 |
* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/ depreciation on the instrument.
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Equity | Commercial | |
Balance as of 9/30/08 | $3,014,460 | - |
Accrued discounts/premiums | - | - |
Realized gain (loss) | (2,411,430) | - |
Change in unrealized appreciation (depreciation) | 2,232,604 | - |
Net purchases (sales) | (1,310,634) | - |
Transfers in and/or out of Level 3 | - | $4,150,000 |
Balance as of 9/30/09 | $1,525,000 | $4,150,000 |
|
|
|
Corporate | U.S. | |
Balance as of 9/30/08 | $31,661,285 | $730,000 |
Accrued discounts/premiums | 559,527 | 59,120 |
Realized gain (loss) | (1,825,340) | - |
Change in unrealized appreciation (depreciation) | (9,608,043) | 1,265,880 |
Net purchases (sales) | 8,801,446 | 3,565,000 |
Transfers in and/or out of Level 3 | 35,997,108 | 4,950,000 |
Balance as of 9/30/09 | $65,585,983 | $10,570,000 |
|
|
|
Other Debt | Total | |
Balance as of 9/30/08 | $2,017,130 | $37,422,875 |
Accrued discounts/premiums | - | 618,647 |
Realized gain (loss) | - | (4,236,770) |
Change in unrealized appreciation (depreciation) | (48,942 | (6,158,501) |
Net purchases (sales) | 1,000,000 | 12,055,812 |
Transfers in and/ or out of Level 3 | - | 45,097,108 |
Balance as of 9/30/09 | $2,968,188 | $84,799,171 |
For the year ended September 30, 2009, total change in unrealized gain (loss) on Level 3 securities included in the change in net assets was ($3,257,922). Total unrealized gain (loss) for all securities (including Level 1 and Level 2) can be found on the accompanying Statement of Operations.
Equity | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
Equity securities* | $1,081,106,882 | - | $7,949,715 | $1,089,056,597 |
Limited partnership interest | - | - | 1,081,363 | 1,081,363 |
Other debt obligations | - | $31,021,847 | 6,329,673 | 37,351,520 |
TOTAL | $1,081,106,882 | $31,021,847 | $15,360,751** | $1,127,489,480 |
* For further breakdown of equity securities by industry, please refer to the Statement of Net Assets.
**Level 3 securities represent 1.4% of net assets.
Enhanced Equity | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
Equity securities* | $66,282,527 | - | - | $66,282,527 |
Other debt obligations | - | $392,932 | - | 392,932 |
TOTAL | $66,282,527 | $392,932 | - | $66,675,459 |
* For further breakdown of equity securities by industry, please refer to the Statement of Net Assets.
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 purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge. The Fund may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, futures contracts based on U.S. Government obligations. The Fund is subject to interest rate risk in the normal course of pursuing its investment objectives. The Fund may use futures contracts to hedge against changes in the value of interest rates. 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 unreal ized 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. Futures contracts are designed by boards of trade which are designated "contracts markets" by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such -registration. Information regarding restricted securities is included at the end of the Statements of Net Assets.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. (See Notes to Statements of Net Assets on pages 78-79). 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.
Management has analyzed the Fund's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
New Accounting Pronouncements: In July 2009, the Financial Accounting Standards Board (FASB) launched the FASB Accounting Standards CodificationTM as the single source of authoritative nongovernmental U.S. generally accepted accounting principles (GAAP). The Codification is effective for interim and annual periods ending after September 15, 2009. All existing accounting standards documents are superseded as described in FASB Statement No. 168, The FASB Accounting Standards CodificationTM and the Hierarchy of Generally Accepted Accounting Principles. All other accounting literature not included in the Codification is nonauthoritative.
Treasury's Guarantee Plan For Money Market Funds: The Money Market Portfolio had 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 protected certain shareholders from losses if the Money Market Portfolio was unable to maintain a $1.00 net asset value. The Program applied to shareholders of record on September 19, 2008. Covered shareholders would 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 Program terminated on September 18, 2009. The Money Market Portfolio bore the expense of its participation in the Program. For the initial three months of the Program, the participation fee was 0.01% of the Money Market Portfolio's net assets as of September 19, 2008. In March 2009, the Treasury Department extended the Program through September 18 , 2009. For the extension of the Program, the Money Market Portfolio made two extension payments of 0.015% of the Money Market Portfolio's net assets as of September 19, 2008.
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 $250 Million |
| .60% |
Over $250 Million |
| .55% |
Under the terms of the agreement, $42,226, $154,194, $243,583, $454,985 and $27,610 was payable at year end for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively. In addition, $38,303, $103,955 $140,262, $184,245 and $25,953 was payable at year end for operating expenses paid by the Advisor during September 2009 for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively. For the year ended September 30, 2009, the Advisor waived $60,569 of its fee in Enhanced Equity.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2010 for Money Market, Balanced Class I and Enhanced Equity Class I. Effective June 1, 2009, the Advisor has contractually agreed to limit net annual fund operating expenses though January 31, 2010 for Enhanced Equity Class A, Class B and Class C. 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%; Enhanced Equity Class A, 1.48%; Enhanced Equity Class B, 2.86%; Enhanced Equity Class C, 2.47%; and for Enhanced Equity Class I, .81%.
The Advisor voluntarily reimbursed Class Y shares of Bond and Equity for expenses of $12,297 and $12,709, respectively for the year ended September 30, 2009.
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 & Y) | .30% |
Bond (Class I) | .10% |
Equity (Class A, B, C & Y) | .20% |
Equity (Class I) | .10% |
Enhanced Equity (Class A, B, & C) | .15% |
Enhanced Equity (Class I) | .10% |
Under the terms of the agreement $28,151, $99,059, $178,805, $169,534 and $7,251 was payable at year end for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively.
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 and Class Y for Bond and Equity do not have Distribution Plan expenses. Under the terms of the agreement $105,367, $154,344, $277,205 and $13,882 was payable at year end for Balanced, Bond, Equity and Enhanced Equity, respectively.
The Distributor received the following amounts as its portion of the commissions charged on sales of the Funds' Class A shares for the year ended September 30, 2009: $99,586 for Balanced, $93,438 for Bond, $151,943 for Equity and $10,562 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 $190,950, $221,015, $162,283, $377,164, and $31,728 for the year ended September 30, 2009 for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent. Under the terms of the $15,482, $17,747, $13,322, $30,942 and $2,495 was payable at year end for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively.
The Fund invests in Community Investment Notes issued by the Calvert Social Investment Foundation (the "CSI Foundation"). The CSI Foundation is a 501(c)(3) non-profit organization that receives in-kind support from the Calvert Group, Ltd. and its subsidiaries. The Fund has received from the Securities and Exchange Commission an exemptive order permitting the Fund to make investments in these notes under certain conditions.
Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $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. Trustee's fees are allocated to each of the funds served.
Note C -- Investment Activity
During the year, the cost of purchases and proceeds from sales of investments, other than short-term securities, were:
Enhanced
| Balanced | Bond | Equity | Equity |
Purchases: | $216,886,483 | $504,322,489 | $391,912,623 | $68,705,070 |
Sales: | 253,987,421 | 444,488,264 | 337,219,122 | 74,418,357 |
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, 2009 and net realized capital loss carryforwards as of September 30, 2009 with expiration dates:
| Money |
|
|
| Market | Balanced | Bond |
Federal income tax cost of investments | $162,514,924 | $468,731,586 | $899,923,921 |
Unrealized appreciation-- | 35,405,044 | 15,602,584 |
|
Unrealized (depreciation)-- | (62,171,128) | (61,628,884) |
|
Net appreciation/(depreciation) | -- | (26,766,084) | (46,026,300) |
|
|
| Enhanced |
|
| Equity | Equity |
Federal income tax cost of investments |
| $1,005,365,836 | $57,899,480 |
Unrealized appreciation |
| 170,356,115 | 10,093,397 |
Unrealized (depreciation) |
| (48,232,471) | (1,317,418) |
Net appreciation/(depreciation) |
| 122,123,644 | 8,775,979 |
Capital Loss Carryforwards
| Money |
|
| Enhanced |
Expiration Date | Market | Balanced | Equity | Equity |
30-Sep-10 | $12,896 | - | - | - |
30-Sep-11 | 6,847 | - | - | - |
30-Sep-13 | 6,183 | - | - | - |
30-Sep-14 | 211 | - | - | - |
30-Sep-15 | 2,100 | - | - | - |
30-Sep-17 | - | $12,659,634 | $12,754,798 | $6,328,690 |
| $28,237 | $12,659,634 | $12,754,798 | $6,328,690 |
Capital losses may be utilized to offset future capital gains until expiration.
Balanced, Bond, Enhanced Equity, Equity and Money Market Portfolios intend to elect to defer net capital losses of $41,735,057, $1,124,746, $22,582,546, $53,801,670, and $304, respectively, incurred from November 1, 2008 through September 30, 2009 and treat them as arising in the fiscal year ending September 30, 2010.
The tax character of dividends and distributions for the years ended September 30, 2009 and September 30, 2008 were as follows:
Money Market |
|
|
Distributions from: | 2009 | 2008 |
Ordinary income | $2,209,584 | $5,577,423 |
Total | $2,209,584 | $5,577,423 |
|
|
|
Balanced |
|
|
Distributions paid from: | 2009 | 2008 |
Ordinary income | $6,820,531 | $10,489,260 |
Long-term capital gain | 2,018 | 31,235,018 |
Total | $6,822,549 | $41,724,278 |
|
|
|
Bond |
|
|
Distributions paid from: | 2009 | 2008 |
Ordinary income | $34,842,872 | $40,398,360 |
Long-term capital gain | 9,628,004 | 5,957,593 |
Total | $44,470,876 | $46,355,953 |
|
|
|
Equity |
|
|
Distributions paid from: | 2009 | 2008 |
Long-term capital gain | $65,133,250 | $81,456,246 |
Total | $65,133,250 | $81,456,246 |
|
|
|
Enhanced Equity |
|
|
Distributions paid from: | 2009 | 2008 |
Ordinary income | $934,479 | $576,575 |
Long-term capital gain | -- | 5,743,513 |
Total | $934,479 | $6,320,088 |
As of September 30, 2009, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Money |
|
|
| Market | Balanced | Bond |
Undistributed ordinary income | $6,597 | $91,792 | $5,395,768 |
Undistributed long-term capital gain | -- | -- | 443,892 |
Capital loss carryforward | (28,237) | (12,659,634) | -- |
Unrealized appreciation (depreciation) | -- | (26,766,084) | (46,026,300) |
Total | ($21,640) | ($39,333,926) | ($40,186,640) |
|
|
|
|
|
| Enhanced |
|
| Equity | Equity |
|
Undistributed ordinary income | $1,610,638 | $464,508 |
|
Undistributed long-term capital gain | -- | -- |
|
Capital loss carryforward | (12,754,798) | (6,328,690) |
|
Unrealized appreciation (depreciation) | 122,123,644 | 8,775,979 |
|
Total | $110,979,484 | $2,911,797 |
|
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. For Balanced Portfolio, the differences are due to 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, deferral of post October losses, 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, deferral of post October losses, 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 passive foreign investment companies. For Bond Portfolio, the reclassifications are due to asset-backed securities. For Enhanced Equity Portfolio, the reclassifications are due to real estate investment trusts and foreign currency transactions. For Equity Portfolio, the reclassifications are due to partnerships.
| Balanced | Bond |
Undistributed net investment income | $118,123 | ($1,532,854) |
Accumulated net realized gain (loss) | (118,123) | 1,532,854 |
| Money | Enhanced |
|
| Market | Equity | Equity |
Undistributed net investment income | ($118,286) | ($6,848) | -- |
Accumulated net realized gain (loss) | 118,270 | 6,848 | -- |
Paid in capital | 16 | -- | -- |
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, 2009, such purchases and sales transactions were:
|
| Money |
|
| Enhanced |
|
| Market | Balanced | Bond | Equity |
Purchases |
| $110,015,000 | -- | $825,000 | -- |
Sales |
| 76,925,000 | $9,057,940 | 7,000,000 | $1,176,128 |
Net realized gain (loss) |
| -- | (115,062) | -- | 71,724 |
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds 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 higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. Money Market, Balanced, Bond and Equity had no loans outstanding pursuant to this line of credit at September 30, 2009. Enhanced Equity had no loans outstanding pursuant to this line of credit during the year ended September 30, 2009. For the year ended September 30, 2009, borrowings by the Portfolios under the Agreement were as follows:
Portfolio | Average | Weighted | Maximum | Month of |
Money Market | $180,709 | 0.79% | $4,278,522 | January 2009 |
Balanced | 12,590 | 0.80% | 815,432 | March 2009 |
Bond | 358,110 | 0.74% | 19,487,904 | May 2009 |
Equity | 43,295 | 0.81% | 3,718,358 | February 2009 |
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 | $106,126 |
GEEMF Partners LP | -- | 119,555 |
Plethora Technology, Inc. | 701,835 | -- |
TOTALS | $901,835 | $225,681 |
Affiliated companies of the Equity Portfolio are as follows:
Affiliates | Cost | Value |
Digital Directions International, Inc. | $683,778 | $531,584 |
Global Resource Options, Inc. | 2,500,000 | 4,338,800 |
NeoDiagnostix, Inc. | 479,723 | 479,723 |
New Day Farms, Inc. | 500,000 | 72,037 |
TOTALS | $4,163,501 | $5,422,144 |
Note F -- Subsequent Events
In preparing the financial statements as of September 30, 2009, no subsequent events or transactions occurred through November 23, 2009, the date the financial statements were issued, that would have materially impacted the financial statements as presented.
Note G -- 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 $160,000 and $812,764 for the Balanced and Equity Portfolios, respectively, at September 30, 2009.
Notice to Shareholders (Unaudited)
For the fiscal year ended September 30, 2009, in order to meet certain requirements of the Internal Revenue Code, we are advising you that certain distributions paid during the year from the following funds are designated as:
Fund Name | (a) Long Term Capital Gain | (b) Qualified Dividend Income % | (c) (for corporate shareholders) Dividends Received Deduction % |
CSIF Balanced Portfolio | $2,018 | 54.8% | 54.9% |
CSIF Bond Portfolio | $9,628,004 | ||
CSIF Equity Portfolio | $65,133,266 | ||
CSIF Enhanced Equity Portfolio | 100.0% | 100.0% |
(a) Each Fund designates the maximum amount allowable but not less than the amounts shown above as a capital gain dividend in accordance with Section 852(b)(3)(C) of the Internal Revenue Code.
(b) Each Fund designates the maximum amount allowable, but not less than the percentages shown above as ordinary income dividends paid during the year as qualified dividend income in accordance with Section 854 of the Internal Revenue Code.
(c) Each Fund designates the maximum amount allowable but not less than the percentages shown above of ordinary income dividends paid during the year as eligible for the corporate dividends received deduction in accordance with Section 854 of the Internal Revenue Code.
Money Market Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
|
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $1.00 | $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .011 | .029 | .045 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.011) | (.029) | (.045) |
|
Net asset value, ending |
| $1.00 | $1.00 | $1.00 |
|
|
|
|
|
|
|
Total return* |
| 1.15% | 2.90% | 4.64% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 1.13% | 2.83% | 4.53% |
|
Total expenses |
| .84% | .79% | .82% |
|
Expenses before offsets |
| .84% | .79% | .82% |
|
Net expenses |
| .84% | .78% | .80% |
|
Net assets, ending (in thousands) |
| $169,485 | $186,311 | $187,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
|
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $1.00 | $1.00 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .039 | .019 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.039) | (.019) |
|
Net asset value, ending |
|
| $1.00 | $1.00 |
|
|
|
|
|
|
|
Total return* |
|
| 3.97% | 1.94% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 3.90% | 1.91% |
|
Total expenses |
|
| .86% | .91% |
|
Expenses before offsets |
|
| .86% | .88% |
|
Net expenses |
|
| .85% | .87% |
|
Net assets, ending (in thousands) |
|
| $166,592 | $160,218 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $25.03 | $31.37 | $29.46 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .40 | .57 | .60 |
|
Net realized and unrealized gain (loss) |
| (1.03) | (4.72) | 1.88 |
|
Total from investment operations |
| (.63) | (4.15) | 2.48 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.38) | (.56) | (.57) |
|
Net realized gain |
| *** | (1.63) | -- |
|
Total distributions |
| (.38) | (2.19) | (.57) |
|
Total increase (decrease) in net asset value |
| (1.01) | (6.34) | 1.91 |
|
Net asset value, ending |
| $24.02 | $25.03 | $31.37 |
|
|
|
|
|
|
|
Total return* |
| (2.29%) | (14.13%) | 8.47% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 1.87% | 2.03% | 1.94% |
|
Total expenses |
| 1.28% | 1.21% | 1.20% |
|
Expenses before offsets |
| 1.28% | 1.21% | 1.20% |
|
Net expenses |
| 1.28% | 1.20% | 1.19% |
|
Portfolio turnover |
| 57% | 77% | 81% |
|
Net assets, ending (in thousands) |
| $404,542 | $434,069 | $542,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $28.25 | $26.13 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .55 | .44 |
|
Net realized and unrealized gain (loss) |
|
| 1.12 | 2.08 |
|
Total from investment operations |
|
| 1.67 | 2.52 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.46) | (.40) |
|
Total distributions |
|
| (.46) | (.40) |
|
Total increase (decrease) in net asset value |
|
| 1.21 | 2.12 |
|
Net asset value, ending |
|
| $29.46 | $28.25 |
|
|
|
|
|
|
|
Total return* |
|
| 5.94% | 9.68% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 1.90% | 1.59% |
|
Total expenses |
|
| 1.21% | 1.22% |
|
Expenses before offsets |
|
| 1.21% | 1.22% |
|
Net expenses |
|
| 1.20% | 1.21% |
|
Portfolio turnover |
|
| 73% | 83% |
|
Net assets, ending (in thousands) |
|
| $525,740 | $517,840 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $24.84 | $31.13 | $29.24 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .13 | .28 | .28 |
|
Net realized and unrealized gain (loss) |
| (.99) | (4.66) | 1.89 |
|
Total from investment operations |
| (.86) | (4.38) | 2.17 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.15) | (.28) | (.28) |
|
Net realized gain |
| *** | (1.63) | -- |
|
Total distributions |
| (.15) | (1.91) | (.28) |
|
Total increase (decrease) in net asset value |
| (1.01) | (6.29) | 1.89 |
|
Net asset value, ending |
| $23.83 | $24.84 | $31.13 |
|
|
|
|
|
|
|
Total return* |
| (3.35%) | (14.93%) | 7.45% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| .82% | 1.05% | .99% |
|
Total expenses |
| 2.36% | 2.19% | 2.15% |
|
Expenses before offsets |
| 2.36% | 2.19% | 2.15% |
|
Net expenses |
| 2.35% | 2.18% | 2.14% |
|
Portfolio turnover |
| 57% | 77% | 81% |
|
Net assets, ending (in thousands) |
| $14,294 | $17,939 | $24,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $28.05 | $25.94 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .27 | .17 |
|
Net realized and unrealized gain (loss) |
|
| 1.10 | 2.06 |
|
Total from investment operations |
|
| 1.37 | 2.23 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.18) | (.12) |
|
Total distributions |
|
| (.18) | (.12) |
|
Total increase (decrease) in net asset value |
|
| 1.19 | 2.11 |
|
Net asset value, ending |
|
| $29.24 | $28.05 |
|
|
|
|
|
|
|
Total return* |
|
| 4.90% | 8.62% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| .95% | .60% |
|
Total expenses |
|
| 2.16% | 2.20% |
|
Expenses before offsets |
|
| 2.16% | 2.20% |
|
Net expenses |
|
| 2.15% | 2.20% |
|
Portfolio turnover |
|
| 73% | 83% |
|
Net assets, ending (in thousands) |
|
| $27,805 | $28,592 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $24.58 | $30.83 | $28.95 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .19 | .32 | .32 |
|
Net realized and unrealized gain (loss) |
| (1.01) | (4.64) | 1.85 |
|
Total from investment operations |
| (.82) | (4.32) | 2.17 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.18) | (.30) | (.29) |
|
Net realized gain |
| *** | (1.63) | -- |
|
Total distributions |
| (.18) | (1.93) | (.29) |
|
Total increase (decrease) in net asset value |
| (1.00) | (6.25) | 1.88 |
|
Net asset value, ending |
| $23.58 | $24.58 | $30.83 |
|
|
|
|
|
|
|
Total return* |
| (3.22%) | (14.88%) | 7.53% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| .95% | 1.15% | 1.07% |
|
Total expenses |
| 2.21% | 2.08% | 2.07% |
|
Expenses before offsets |
| 2.21% | 2.08% | 2.07% |
|
Net expenses |
| 2.21% | 2.08% | 2.06% |
|
Portfolio turnover |
| 57% | 77% | 81% |
|
Net assets, ending (in thousands) |
| $21,810 | $24,631 | $30,340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $27.79 | $25.70 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .28 | .18 |
|
Net realized and unrealized gain (loss) |
|
| 1.07 | 2.04 |
|
Total from investment operations |
|
| 1.35 | 2.22 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.19) | (.13) |
|
Total distributions |
|
| (.19) | (.13) |
|
Total increase (decrease) in net asset value |
|
| 1.16 | 2.09 |
|
Net asset value, ending |
|
| $28.95 | $27.79 |
|
|
|
|
|
|
|
Total return* |
|
| 4.87% | 8.67% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| .99% | .65% |
|
Total expenses |
|
| 2.11% | 2.16% |
|
Expenses before offsets |
|
| 2.11% | 2.16% |
|
Net expenses |
|
| 2.10% | 2.15% |
|
Portfolio turnover |
|
| 73% | 83% |
|
Net assets, ending (in thousands) |
|
| $27,547 | $25,980 |
|
See notes to financial highlights.
Balanced Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $25.27 | $31.64 | $29.70 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .52 | .70 | .76 |
|
Net realized and unrealized gain (loss) |
| (1.04) | (4.75) | 1.90 |
|
Total from investment operations |
| (.52) | (4.05) | 2.66 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.50) | (.69) | (.72) |
|
Net realized gain |
| *** | (1.63) | -- |
|
Total distributions |
| (.50) | (2.32) | (.72) |
|
Total increase (decrease) in net asset value |
| (1.02) | (6.37) | 1.94 |
|
Net asset value, ending |
| $24.25 | $25.27 | $31.64 |
|
|
|
|
|
|
|
Total return* |
| (1.76%) | (13.69%) | 9.00% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 2.42% | 2.52% | 2.40% |
|
Total expenses |
| .89% | .80% | .77% |
|
Expenses before offsets |
| .73% | .72% | .73% |
|
Net expenses |
| .72% | .72% | .72% |
|
Portfolio turnover |
| 57% | 77% | 81% |
|
Net assets, ending (in thousands) |
| $5,875 | $5,905 | $8,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Periods Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2006 (z) | 2005 (x) |
|
Net asset value, beginning |
|
| $28.38 | $27.47 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .64 | .41 |
|
Net realized and unrealized gain (loss) |
|
| 1.17 | .87 |
|
Total from investment operations |
|
| 1.81 | 1.28 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.49) | (.37) |
|
Net realized gain |
|
| -- | -- |
|
Total distributions |
|
| (.49) | (.37) |
|
Total increase (decrease) in net asset value |
|
| 1.32 | .91 |
|
Net asset value, ending |
|
| $29.70 | $28.38 |
|
|
|
|
|
|
|
Total return* |
|
| 6.43% | 4.71% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 2.44% | 1.94% (a) |
|
Total expenses |
|
| 1.07% | 1.28% (a) |
|
Expenses before offsets |
|
| .73% | .72% (a) |
|
Net expenses |
|
| .72% | .72% (a) |
|
Portfolio turnover |
|
| 73% | 70% |
|
Net assets, ending (in thousands) |
|
| $6,317 | $1,012 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $15.14 | $15.92 | $15.83 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .53 | .69 | .69 |
|
Net realized and unrealized gain (loss) |
| .32 | (.54) | .13 |
|
Total from investment operations |
| .85 | .15 | .82 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.51) | (.68) | (.70) |
|
Net realized gain |
| (.26) | (.25) | (.03) |
|
Total distributions |
| (.77) | (.93) | (.73) |
|
Total increase (decrease) in net asset value |
| .08 | (.78) | .09 |
|
Net asset value, ending |
| $15.22 | $15.14 | $15.92 |
|
|
|
|
|
|
|
Total return* |
| 6.11% | .86% | 5.31% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 3.71% | 4.40% | 4.41% |
|
Total expenses |
| 1.15% | 1.10% | 1.12% |
|
Expenses before offsets |
| 1.15% | 1.10% | 1.12% |
|
Net expenses |
| 1.14% | 1.10% | 1.11% |
|
Portfolio turnover |
| 77% | 147% | 190% |
|
Net assets, ending (in thousands) |
| $600,995 | $610,869 | $453,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.18 | $16.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .64 | .47 |
|
Net realized and unrealized gain (loss) |
|
| (.05) | .32 |
|
Total from investment operations |
|
| .59 | .79 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.64) | (.48) |
|
Net realized gain |
|
| (.30) | (.46) |
|
Total distributions |
|
| (.94) | (.94) |
|
Total increase (decrease) in net asset value |
|
| (.35) | (.15) |
|
Net asset value, ending |
|
| $15.83 | $16.18 |
|
|
|
|
|
|
|
Total return* |
|
| 3.82% | 5.05% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 4.16% | 3.00% |
|
Total expenses |
|
| 1.14% | 1.16% |
|
Expenses before offsets |
|
| 1.14% | 1.16% |
|
Net expenses |
|
| 1.13% | 1.16% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $336,698 | $237,396 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $15.06 | $15.84 | $15.76 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .40 | .54 | .54 |
|
Net realized and unrealized gain (loss) |
| .29 | (.54) | .12 |
|
Total from investment operations |
| .69 | -- | .66 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.37) | (.53) | (.55) |
|
Net realized gain |
| (.26) | (.25) | (.03) |
|
Total distributions |
| (.63) | (.78) | (.58) |
|
Total increase (decrease) in net asset value |
| .06 | (.78) | .08 |
|
Net asset value, ending |
| $15.12 | $15.06 | $15.84 |
|
|
|
|
|
|
|
Total return* |
| 5.00% | (.09%) | 4.29% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 2.81% | 3.43% | 3.43% |
|
Total expenses |
| 2.13% | 2.07% | 2.09% |
|
Expenses before offsets |
| 2.13% | 2.07% | 2.09% |
|
Net expenses |
| 2.11% | 2.06% | 2.08% |
|
Portfolio turnover |
| 77% | 147% | 190% |
|
Net assets, ending (in thousands) |
| $11,878 | $17,298 | $14,834 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.11 | $16.27 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .50 | .32 |
|
Net realized and unrealized gain (loss) |
|
| (.05) | .31 |
|
Total from investment operations |
|
| .45 | .63 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.50) | (.33) |
|
Net realized gain |
|
| (.30) | (.46) |
|
Total distributions |
|
| (.80) | (.79) |
|
Total increase (decrease) in net asset value |
|
| (.35) | (.16) |
|
Net asset value, ending |
|
| $15.76 | $16.11 |
|
|
|
|
|
|
|
Total return* |
|
| 2.89% | 4.03% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 3.17% | 2.03% |
|
Total expenses |
|
| 2.09% | 2.11% |
|
Expenses before offsets |
|
| 2.09% | 2.11% |
|
Net expenses |
|
| 2.08% | 2.10% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $17,154 | $18,559 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $15.06 | $15.83 | $15.75 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .42 | .56 | .56 |
|
Net realized and unrealized gain (loss) |
| .31 | (.53) | .12 |
|
Total from investment operations |
| .73 | .03 | .68 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.40) | (.55) | (.57) |
|
Net realized gain |
| (.26) | (.25) | (.03) |
|
Total distributions |
| (.66) | (.80) | (.60) |
|
Total increase (decrease) in net asset value |
| .07 | (.77) | .08 |
|
Net asset value, ending |
| $15.13 | $15.06 | $15.83 |
|
|
|
|
|
|
|
Total return* |
| 5.22% | .11% | 4.41% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 2.93% | 3.60% | 3.61% |
|
Total expenses |
| 1.94% | 1.90% | 1.92% |
|
Expenses before offsets |
| 1.94% | 1.90% | 1.92% |
|
Net expenses |
| 1.92% | 1.89% | 1.91% |
|
Portfolio turnover |
| 77% | 147% | 190% |
|
Net assets, ending (in thousands) |
| $56,578 | $52,869 | $36,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.09 | $16.25 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .51 | .34 |
|
Net realized and unrealized gain (loss) |
|
| (.04) | .30 |
|
Total from investment operations |
|
| .47 | .64 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.51) | (.34) |
|
Net realized gain |
|
| (.30) | (.46) |
|
Total distributions |
|
| (.81) | (.80) |
|
Total increase (decrease) in net asset value |
|
| (.34) | (.16) |
|
Net asset value, ending |
|
| $15.75 | $16.09 |
|
|
|
|
|
|
|
Total return* |
|
| 3.01% | 4.09% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 3.31% | 2.13% |
|
Total expenses |
|
| 1.99% | 2.04% |
|
Expenses before offsets |
|
| 1.99% | 2.04% |
|
Net expenses |
|
| 1.98% | 2.03% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $27,447 | $19,276 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2009 | 2008 | 2007 |
|
Net asset value, beginning |
| $15.16 | $15.94 | $15.85 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .63 | .78 | .78 |
|
Net realized and unrealized gain (loss) |
| .31 | (.54) | .13 |
|
Total from investment operations |
| .94 | .24 | .91 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.61) | (.77) | (.79) |
|
Net realized gain |
| (.26) | (.25) | (.03) |
|
Total distributions |
| (.87) | (1.02) | (.82) |
|
Total increase (decrease) in net asset value |
| .07 | (.78) | .09 |
|
Net asset value, ending |
| $15.23 | $15.16 | $15.94 |
|
|
|
|
|
|
|
Total return* |
| 6.74% | 1.45% | 5.89% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 4.35% | 4.98% | 4.99% |
|
Total expenses |
| .54% | .52% | .53% |
|
Expenses before offsets |
| .54% | .52% | .53% |
|
Net expenses |
| .52% | .51% | .52% |
|
Portfolio turnover |
| 77% | 147% | 190% |
|
Net assets, ending (in thousands) |
| $187,496 | $208,076 | $152,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $16.18 | $16.33 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .73 | .57 |
|
Net realized and unrealized gain (loss) |
|
| (.04) | .31 |
|
Total from investment operations |
|
| .69 | .88 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.72) | (.57) |
|
Net realized gain |
|
| (.30) | (.46) |
|
Total distributions |
|
| (1.02) | (1.03) |
|
Total increase (decrease) in net asset value |
|
| (.33) | (.15) |
|
Net asset value, ending |
|
| $15.85 | $16.18 |
|
|
|
|
|
|
|
Total return* |
|
| 4.48% | 5.63% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| 4.77% | 3.57% |
|
Total expenses |
|
| .56% | .61% |
|
Expenses before offsets |
|
| .56% | .61% |
|
Net expenses |
|
| .55% | .60% |
|
Portfolio turnover |
|
| 150% | 161% |
|
Net assets, ending (in thousands) |
|
| $74,714 | $29,278 |
|
See notes to financial highlights.
Bond Portfolio
Financial Highlights
|
| Period Ended |
|
| September 30, |
Class Y Shares |
| 2009# |
Net asset value, beginning |
| $14.33 |
Income from investment operations |
|
|
Net investment income |
| .48 |
Net realized and unrealized gain (loss) |
| 1.17 |
Total from investment operations |
| 1.65 |
Distributions from |
|
|
Net investment income |
| (.47) |
Net realized gain |
| (.26) |
Total distributions |
| (.73) |
Total increase (decrease) in net asset value |
| .92 |
Net asset value, ending |
| $15.25 |
|
|
|
Total return* |
| 11.97% |
Ratios to average net assets:A |
|
|
Net investment income |
| 3.36% (a) |
Total expenses |
| 5.39% (a) |
Expenses before offsets |
| .93% (a) |
Net expenses |
| .92% (a) |
Portfolio turnover |
| 69% |
Net assets, ending (in thousands) |
| $628 |
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2009 (z) | 2008 | 2007 |
|
Net asset value, beginning |
| $32.92 | $41.06 | $37.15 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| .06 | (.02) | ** |
|
Net realized and unrealized gain (loss) |
| (1.81) | (5.69) | 5.50 |
|
Total from investment operations |
| (1.75) | (5.71) | 5.50 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (1.92) | (2.43) | (1.59) |
|
Total distributions |
| (1.92) | (2.43) | (1.59) |
|
Total increase (decrease) in net asset value |
| (3.67) | (8.14) | 3.91 |
|
Net asset value, ending |
| $29.25 | $32.92 | $41.06 |
|
|
|
|
|
|
|
Total return* |
| (3.46%) | (14.85%) | 15.23% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| .23% | (.05%) | (.01%) |
|
Total expenses |
| 1.28% | 1.21% | 1.21% |
|
Expenses before offsets |
| 1.28% | 1.21% | 1.21% |
|
Net expenses |
| 1.28% | 1.20% | 1.21% |
|
Portfolio turnover |
| 38% | 51% | 35% |
|
Net assets, ending (in thousands) |
| $837,205 | $834,312 | $1,000,992 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $35.38 | $31.63 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.02) | .03 |
|
|
|
|
|
|
|
Net realized and unrealized gain (loss) |
|
| 2.38 | 3.72 |
|
Total from investment operations |
|
| 2.36 | 3.75 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.77 | 3.75 |
|
Net asset value, ending |
|
| $37.15 | $35.38 |
|
|
|
|
|
|
|
Total return* |
|
| 6.74% | 11.86% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.06%) | .08% |
|
Total expenses |
|
| 1.23% | 1.25% |
|
Expenses before offsets |
|
| 1.23% | 1.25% |
|
Net expenses |
|
| 1.23% | 1.24% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $907,459 | $858,873 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2009 (z) | 2008 | 2007 |
|
Net asset value, beginning |
| $29.46 | $37.29 | $34.15 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.15) | (.33) | (.33) |
|
Net realized and unrealized gain (loss) |
| (1.72) | (5.07) | 5.06 |
|
Total from investment operations |
| (1.87) | (5.40) | 4.73 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (1.92) | (2.43) | (1.59) |
|
Total distributions |
| (1.92) | (2.43) | (1.59) |
|
Total increase (decrease) in net asset value |
| (3.79) | (7.83) | 3.14 |
|
Net asset value, ending |
| $25.67 | $29.46 | $37.29 |
|
|
|
|
|
|
|
Total return* |
| (4.34%) | (15.56%) | 14.28% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.69%) | (.89%) | (.84%) |
|
Total expenses |
| 2.22% | 2.05% | 2.04% |
|
Expenses before offsets |
| 2.22% | 2.05% | 2.04% |
|
Net expenses |
| 2.22% | 2.05% | 2.04% |
|
Portfolio turnover |
| 38% | 51% | 35% |
|
Net assets, ending (in thousands) |
| $45,648 | $59,438 | $87,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $32.84 | $29.61 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.32) | (.24) |
|
Net realized and unrealized gain (loss) |
|
| 2.22 | 3.47 |
|
Total from investment operations |
|
| 1.90 | 3.23 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.31 | 3.23 |
|
Net asset value, ending |
|
| $34.15 | $32.84 |
|
|
|
|
|
|
|
Total return* |
|
| 5.85% | 10.91% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.90%) | (.77%) |
|
Total expenses |
|
| 2.06% | 2.09% |
|
Expenses before offsets |
|
| 2.06% | 2.09% |
|
Net expenses |
|
| 2.06% | 2.09% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $95,903 | $105,189 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class C Shares |
| 2009 (z) | 2008 | 2007 |
|
Net asset value, beginning |
| $27.32 | $34.73 | $31.89 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
| (.11) | (.25) | (.25) |
|
Net realized and unrealized gain (loss) |
| (1.64) | (4.73) | 4.68 |
|
Total from investment operations |
| (1.75) | (4.98) | 4.43 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (1.92) | (2.43) | (1.59) |
|
Total distributions |
| (1.92) | (2.43) | (1.59) |
|
Total increase (decrease) in net asset value |
| (3.67) | (7.41) | 2.84 |
|
Net asset value, ending |
| $23.65 | $27.32 | $34.73 |
|
|
|
|
|
|
|
Total return* |
| (4.23%) | (15.49%) | 14.35% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.57%) | (.81%) | (.76%) |
|
Total expenses |
| 2.09% | 1.97% | 1.96% |
|
Expenses before offsets |
| 2.09% | 1.97% | 1.96% |
|
Net expenses |
| 2.08% | 1.96% | 1.96% |
|
Portfolio turnover |
| 38% | 51% | 35% |
|
Net assets, ending (in thousands) |
| $87,512 | $97,327 | $119,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class C Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $30.68 | $27.64 |
|
Income from investment operations. |
|
|
|
|
|
Net investment income (loss) |
|
| (.26) | (.20) |
|
Net realized and unrealized gain (loss) |
|
| 2.06 | 3.24 |
|
Total from investment operations |
|
| 1.80 | 3.04 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.21 | 3.04 |
|
Net asset value, ending |
|
| $31.89 | $30.68 |
|
|
|
|
|
|
|
Total return* |
|
| 5.93% | 11.00% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.82%) | (.69%) |
|
Total expenses |
|
| 1.99% | 2.01% |
|
Expenses before offsets |
|
| 1.99% | 2.01% |
|
Net expenses |
|
| 1.98% | 2.01% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $109,468 | $107,305 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2009 (z) | 2008 | 2007 |
|
Net asset value, beginning |
| $34.58 | $42.79 | $38.44 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .21 | .20 | .21 |
|
Net realized and unrealized gain (loss) |
| (1.83) | (5.98) | 5.73 |
|
Total from investment operations |
| (1.62) | (5.78) | 5.94 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| (1.92) | (2.43) | (1.59) |
|
Total distributions |
| (1.92) | (2.43) | (1.59) |
|
Total increase (decrease) in net asset value |
| (3.54) | (8.21) | 4.35 |
|
Net asset value, ending |
| $31.04 | $34.58 | $42.79 |
|
|
|
|
|
|
|
Total return* |
| (2.88%) | (14.39%) | 15.88% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| .79% | .49% | .53% |
|
Total expenses |
| .70% | .67% | .67% |
|
Expenses before offsets |
| .70% | .67% | .67% |
|
Net expenses |
| .70% | .67% | .66% |
|
Portfolio turnover |
| 38% | 51% | 35% |
|
Net assets, ending (in thousands) |
| $156,430 | $118,423 | $170,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2006 | 2005 |
|
Net asset value, beginning |
|
| $36.40 | $32.36 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .17 | .19 |
|
Net realized and unrealized gain (loss) |
|
| 2.46 | 3.85 |
|
Total from investment operations |
|
| 2.63 | 4.04 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| (.59) | -- |
|
Total distributions |
|
| (.59) | -- |
|
Total increase (decrease) in net asset value |
|
| 2.04 | 4.04 |
|
Net asset value, ending |
|
| $38.44 | $36.40 |
|
|
|
|
|
|
|
Total return* |
|
| 7.30% | 12.48% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| .49% | .63% |
|
Total expenses |
|
| .68% | .68% |
|
Expenses before offsets |
|
| .68% | .68% |
|
Net expenses |
|
| .67% | .68% |
|
Portfolio turnover |
|
| 35% | 31% |
|
Net assets, ending (in thousands) |
|
| $163,685 | $133,696 |
|
See notes to financial highlights.
Equity Portfolio
Financial Highlights
|
| Period Ended |
|
| September 30, |
Class Y Shares |
| 2009# (z) |
Net asset value, beginning |
| $27.35 |
Income from investment operations |
|
|
Net investment income |
| .08 |
Net realized and unrealized gain (loss) |
| 3.84 |
Total from investment operations |
| 3.92 |
Distributions from |
|
|
Net realized gain |
| (1.92) |
Total distributions |
| (1.92) |
Total increase (decrease) in net asset value |
| 2.00 |
Net asset value, ending |
| $29.35 |
|
|
|
Total return* |
| 16.59% |
Ratios to average net assets:A |
|
|
Net investment income |
| .34% (a) |
Total expenses |
| 11.72% (a) |
Expenses before offsets |
| .96% (a) |
Net expenses |
| .96% (a) |
Portfolio turnover |
| 35% |
Net assets, ending (in thousands) |
| $483 |
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class A Shares |
| 2009 (z) | 2008 (z) | 2007 (z) |
|
Net asset value, beginning |
| $14.93 | $20.49 | $19.75 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| .12 | .15 | .13 |
|
Net realized and unrealized gain (loss) |
| (1.25) | (4.52) | 1.53 |
|
Total from investment operations |
| (1.13) | (4.37) | 1.66 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.18) | (.11) | (.09) |
|
Net realized gain |
| -- | (1.08) | (.83) |
|
Total distributions |
| (.18) | (1.19) | (.92) |
|
Total increase (decrease) in net asset value |
| (1.31) | (5.56) | .74 |
|
Net asset value, ending |
| $13.62 | $14.93 | $20.49 |
|
|
|
|
|
|
|
Total return* |
| (7.22%) | (22.57%) | 8.58% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| 1.10% | .84% | .66% |
|
Total expenses |
| 1.54% | 1.36% | 1.33% |
|
Expenses before offsets |
| 1.44% | 1.26% | 1.23% |
|
Net expenses |
| 1.43% | 1.24% | 1.20% |
|
Portfolio turnover |
| 111% | 46% | 56% |
|
Net assets, ending (in thousands) |
| $33,040 | $45,345 | $65,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class A Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $18.76 | $16.96 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| .10 | .12 |
|
Net realized and unrealized gain (loss) |
|
| 1.51 | 1.75 |
|
Total from investment operations |
|
| 1.61 | 1.87 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.06) | (.07) |
|
Net realized gain |
|
| (.56) | -- |
|
Total distributions |
|
| (.62) | (.07) |
|
Total increase (decrease) in net asset value |
|
| .99 | 1.80 |
|
Net asset value, ending |
|
| $19.75 | $18.76 |
|
|
|
|
|
|
|
Total return* |
|
| 8.79% | 11.03%(r) |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| .56% | .64% |
|
Total expenses |
|
| 1.36% | 1.38% |
|
Expenses before offsets |
|
| 1.26% | 1.28% |
|
Net expenses |
|
| 1.23% | 1.27% |
|
Portfolio turnover |
|
| 47% | 38% |
|
Net assets, ending (in thousands) |
|
| $58,020 | $54,618 |
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class B Shares |
| 2009 (z) | 2008 (z) | 2007 (z) |
|
Net asset value, beginning |
| $13.51 | $18.72 | $18.20 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
| (.03) | (.04) | (.06) |
|
Net realized and unrealized gain (loss) |
| (1.12) | (4.09) | 1.41 |
|
Total from investment operations |
| (1.15) | (4.13) | 1.35 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
| -- | (1.08) | (.83) |
|
Total distributions |
| -- | (1.08) | (.83) |
|
Total increase (decrease) in net asset value |
| (1.15) | (5.21) | .52 |
|
Net asset value, ending |
| $12.36 | $13.51 | $18.72 |
|
|
|
|
|
|
|
Total return* |
| (8.51%) | (23.36%) | 7.55% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
| (.26%) | (.23%) | (.30%) |
|
Total expenses |
| 2.97% | 2.41% | 2.29% |
|
Expenses before offsets |
| 2.83% | 2.31% | 2.19% |
|
Net expenses |
| 2.83% | 2.30% | 2.16% |
|
Portfolio turnover |
| 111% | 46% | 56% |
|
Net assets, ending (in thousands) |
| $2,768 | $4,003 | $7,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended |
| |
|
|
| September 30, | September 30, |
|
Class B Shares |
|
| 2006 (z) | 2005 |
|
Net asset value, beginning |
|
| $17.43 | $15.84 |
|
Income from investment operations |
|
|
|
|
|
Net investment income (loss) |
|
| (.07) | (.05) |
|
Net realized and unrealized gain (loss) |
|
| 1.40 | 1.64 |
|
Total from investment operations |
|
| 1.33 | 1.59 |
|
Distributions from |
|
|
|
|
|
Net realized gain |
|
| (.56) | -- |
|
Total distributions |
|
| (.56) | -- |
|
Total increase (decrease) in net asset value |
|
| .77 | 1.59 |
|
Net asset value, ending |
|
| $18.20 | $17.43 |
|
|
|
|
|
|
|
Total return* |
|
| 7.78% | 10.04%(r) |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income (loss) |
|
| (.38%) | (.31%) |
|
Total expenses |
|
| 2.30% | 2.32% |
|
Expenses before offsets |
|
| 2.20% | 2.22% |
|
Net expenses |
|
| 2.17% | 2.21% |
|
Portfolio turnover |
|
| 47% | 38% |
|
Net assets, ending (in thousands) |
|
| $8,156 | $9,043 |
|
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
| September 30, | September 30, | September 30, |
Class C Shares |
| 2009 (z) | 2008 (z) | 2007 (z) |
Net asset value, beginning |
| $13.61 | $18.82 | $18.27 |
Income from investment operations |
|
|
|
|
Net investment income (loss) |
| .01 | -- | (.04) |
Net realized and unrealized gain (loss) |
| (1.12) | (4.13) | 1.42 |
Total from investment operations |
| (1.11) | (4.13) | 1.38 |
Distributions from |
|
|
|
|
Net investment income |
| (.02) | -- | -- |
Net realized gain |
| -- | (1.08) | (.83) |
Total distributions |
| (.02) | (1.08) | (.83) |
Total increase (decrease) in net asset value |
| (1.13) | (5.21) | .55 |
Net asset value, ending |
| $12.48 | $13.61 | $18.82 |
|
|
|
|
|
Total return* |
| (8.09%) | (23.23%) | 7.69% |
Ratios to average net assets:A |
|
|
|
|
Net investment income (loss) |
| .12% | (.03%) | (.20%) |
Total expenses |
| 2.52% | 2.22% | 2.19% |
Expenses before offsets |
| 2.41% | 2.12% | 2.09% |
Net expenses |
| 2.41% | 2.10% | 2.06% |
Portfolio turnover |
| 111% | 46% | 56% |
Net assets, ending (in thousands) |
| $5,767 | $6,631 | $10,089 |
|
|
|
|
|
|
|
|
|
|
|
|
| Years Ended | |
|
|
| September 30, | September 30, |
Class C Shares |
|
| 2006 (z) | 2005 |
Net asset value, beginning |
|
| $17.50 | $15.90 |
Income from investment operations |
|
|
|
|
Net investment income (loss) |
|
| (.06) | (.05) |
Net realized and unrealized gain (loss) |
|
| 1.39 | 1.65 |
Total from investment operations |
|
| 1.33 | 1.60 |
Distributions from |
|
|
|
|
Net realized gain |
|
| (.56) | -- |
Total distributions |
|
| (.56) | -- |
Total increase (decrease) in net asset value |
|
| .77 | 1.60 |
Net asset value, ending |
|
| $18.27 | $17.50 |
|
|
|
|
|
Total return* |
|
| 7.75% | 10.06%(r) |
Ratios to average net assets:A |
|
|
|
|
Net investment income (loss) |
|
| (.33%) | (.29%) |
Total expenses |
|
| 2.25% | 2.28% |
Expenses before offsets |
|
| 2.15% | 2.18% |
Net expenses |
|
| 2.12% | 2.17% |
Portfolio turnover |
|
| 47% | 38% |
Net assets, ending (in thousands) |
|
| $7,846 | $7,344 |
See notes to financial highlights.
Enhanced Equity Portfolio
Financial Highlights
|
|
| Years Ended |
|
|
|
| September 30, | September 30, | September 30, |
|
Class I Shares |
| 2009 (z) | 2008 (z) | 2007 (z) |
|
Net asset value, beginning |
| $15.13 | $20.67 | $19.83 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
| .20 | .24 | .22 |
|
Net realized and unrealized gain (loss) |
| (1.27) | (4.56) | 1.55 |
|
Total from investment operations |
| (1.07) | (4.32) | 1.77 |
|
Distributions from |
|
|
|
|
|
Net investment income |
| (.23) | (.14) | (.10) |
|
Net realized gain |
| -- | (1.08) | (.83) |
|
Total distributions |
| (.23) | (1.22) | (.93) |
|
Total increase (decrease) in net asset value |
| (1.30) | (5.54) | .84 |
|
Net asset value, ending |
| $13.83 | $15.13 | $20.67 |
|
|
|
|
|
|
|
Total return* |
| (6.64%) | (22.13%) | 9.09% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
| 1.70% | 1.36% | 1.09% |
|
Total expenses |
| .95% | .85% | .88% |
|
Expenses before offsets |
| .81% | .75% | .78% |
|
Net expenses |
| .81% | .74% | .76% |
|
Portfolio turnover |
| 111% | 46% | 56% |
|
Net assets, ending (in thousands) |
| $25,174 | $23,364 | $24,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Periods Ended |
| |
|
|
| September 30, | September 30, |
|
Class I Shares |
|
| 2006(z) | 2005(v) |
|
Net asset value, beginning |
|
| $18.75 | $17.42 |
|
Income from investment operations |
|
|
|
|
|
Net investment income |
|
| .19 | .03 |
|
Net realized and unrealized gain (loss) |
|
| 1.50 | 1.30 |
|
Total from investment operations |
|
| 1.69 | 1.33 |
|
Distributions from |
|
|
|
|
|
Net investment income |
|
| (.05) | -- |
|
Net realized gain |
|
| (.56) | -- |
|
Total distributions |
|
| (.61) | -- |
|
Total increase (decrease) in net asset value |
|
| 1.08 | 1.33 |
|
Net asset value, ending |
|
| $19.83 | $18.75 |
|
|
|
|
|
|
|
Total return* |
|
| 9.19% | 7.63% |
|
Ratios to average net assets:A |
|
|
|
|
|
Net investment income |
|
| .99% | .65% (a) |
|
Total expenses |
|
| 1.20% | 2.57% (a) |
|
Expenses before offsets |
|
| .84% | .82% (a) |
|
Net expenses |
|
| .81% | .81% (a) |
|
Portfolio turnover |
|
| 47% | 15% |
|
Net assets, ending (in thousands) |
|
| $9,464 | $1,246 |
|
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.
*** Distribution was less than .01 per share.
# From October 31, 2008 inception.
(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.
(x) Class I shares resumed operations upon shareholder investment on December 27, 2004.
(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: 60 | 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: 61 | 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. | 29 |
| ||
JOHN G. GUFFEY, JR. AGE: 61 | 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.
| 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: 59 | 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: 64 | 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. Chairperson, Stakeholders Capital, Inc., an asset management firm and financial services provider in Amherst, MA. | 17 |
| ||
SYDNEY AMARA MORRIS AGE: 60 | Trustee
Director
Director
Director | 1982 CSIF 2000 CSIS 2005 CWVF 2005 IMPACT | Rev. Morris currently serves as Parish Minister to the Keweenaw Unitarian Universalist Fellowship in Houghton, MI. She previously served as Senior Minister of the Unitarian Church of Vancouver and as Minister of the Unitarian-Universalist Fellowship of Ames, IA. Rev. Morris is a graduate of Harvard Divinity School. She currently chairs the Umbrian Universalist Committee on Socially Responsible Investing. | 17 |
| ||
INTERESTED TRUSTEES/DIRECTORS | |||||||
BARBARA J. KRUMSIEK AGE: 57 | 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.
| 54 |
| ||
D. WAYNE SILBY, Esq. AGE: 61 | 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 | Chief Compliance Officer for the Calvert Funds. In March 2009, Ms. Becker also became Head of the Securities Operations Department for Calvert Asset Management Company, Inc. Prior to 2005, Ms. Becker was Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. | ||||
SUSAN WALKER BENDER, Esq. AGE: 50 | Assistant Vice-President & Assistant Secretary | 1988 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd.
| ||||
JENNIFER BERG AGE: 36 | Assistant Fund Controller | 2009 | Fund Administration Manager for Calvert Group Ltd. | ||||
THOMAS DAILEY AGE: 45 | Vice President | 2004 CSIF | Vice President of Calvert Asset Management Company, Inc.
| ||||
IVY WAFFORD DUKE, Esq. AGE: 41 | Assistant Vice-President & Assistant Secretary | 1996 CSIF 2000 CSIS 1996 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Deputy General Counsel of Calvert Group, Ltd., and Chief Compliance Officer for Calvert Asset Management Company and Calvert Distributors, Inc. | ||||
TRACI L. GOLDT AGE: 35 | Assistant Secretary | 2004 | Executive Assistant to General Counsel, Calvert Group, Ltd. | ||||
GREGORY B. HABEEB AGE: 59 | Vice President | 2004 CSIF
| Senior Vice President of Calvert Asset Management Company, Inc.
| ||||
HUI PING HO, CPA AGE: 44 | Assistant Treasurer
| 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. | ||||
LANCELOT A. KING, Esq. AGE: 39 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd. | ||||
EDITH LILLIE AGE: 52 | Assistant Secretary
| 2007 | Assistant Secretary 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: 57 | 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: 42 | Assistant Vice President & Assistant Secretary | 2006 | Assistant Vice President, Assistant Secretary & Associate 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: 53
| 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: 62 | Vice President and Secretary | 1990 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd.
| ||||
NATALIE TRUNOW AGE: 41 | Vice President | 2008 | Senior Vice President of Calvert Asset Management Company, Inc., and Chief Investment Officer - Equities. Prior to joining Calvert in August 2008, Ms. Trunow was the Section Head (2005-2008) and Portfolio Manager (2001-2008) for the Global Public Markets Group of General Motors Asset Management. | ||||
RONALD M. WOLFSHEIMER, CPA AGE: 57 | 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: 48 | 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.
To Open an Account
800-368-2748
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Branch Office
4550 Montgomery Avenue
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Registered, Certified
or Overnight Mail
Calvert Group
c/o BFDS,
330 West 9th Street
Kansas City, MO 64105
Web Site
www.calvert.com
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
Calvert Social Investment Fund
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.
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.
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
Calvert Tax-Free Bond Fund
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Income Fund
Government Fund
Short-Term Government Fund
High Yield Bond Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Calvert Large Cap Value Fund
Calvert Social Index Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Small Cap Value Fund
Mid Cap Value Fund
Global Alternative Energy Fund
Global Water Fund
International Opportunities Fund
Balanced and Asset
Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
<PAGE>
Calvert Asset Allocation Funds
Conservative Allocation Fund
Moderate Allocation Fund
Aggressive Allocation Fund
Annual Report
September 30, 2009
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| Table of Contents |
4 | President's Letter |
7 | SRI Update |
10 | Portfolio Management Discussion |
18 | Shareholder Expense Example |
21 | Report of Independent Registered Public Accounting Firm |
22 | Statements of Net Assets |
25 | Statements of Operations |
26 | Statements of Changes in Net Assets |
31 | Notes to Financial Statements |
38 | Financial Highlights |
46 | Explanation of Financial Tables |
48 | Proxy Voting and Availability of Quarterly Portfolio Holdings |
50 | Trustee and Officer Information Table |
Dear Shareholder:
Market volatility and shifting investment cycles are nothing new to long-term investors. Through the course of numerous "bubbles," political disputes, wars, and economic crises, the financial markets have been repeatedly tested and proven resilient. However, the watershed financial and economic events of the past 12 months have tested the resilience of the global markets and investors in an unprecedented fashion, and we are likely to see changes in the structure and regulation of financial institutions and the markets for years to come.
This environment highlights how critical integrity of management, regulatory oversight, transparency, and corporate governance are to the health of the global financial system and our economy. Calvert has long believed that many of the criteria we review create signals about the strength and integrity of corporate management, and we have included corporate governance as an integral part of our sustainable and responsible investment (SRI) criteria and of our advocacy efforts with companies. Beyond the evaluations and influence with companies themselves, we are participating in a number of initiatives to urge financial regulatory reform and safeguard shareholder interests. Two of the most critical include our support of the Consumer Financial Protection Agency bill and our work with the United Nations Environment Programme Finance Initiative (UNEP FI) in promoting environmental, social, and governance (ESG) investment criteria as a fiduciary responsibility for plan sponsors and institutional investors.
A Time Period of Challenge and Contrast
As you know, this challenging time period opened with global economies and the financial markets in virtual free fall following the failure of Lehman Brothers in September 2008. Global market panic ensued and risk-averse investors sought the safety of Treasuries and money market funds, avoiding any asset class with perceived credit or liquidity risk.
As the reporting year progressed, we saw a somewhat surprising reversal in this sentiment. Investors gained confidence, encouraged by "green shoots" of recovery in newly released economic data and the perceived success of U.S. government stimulus and monetary policies. These factors, along with renewed confidence in the U.S. banking system following the government's "stress tests," helped fuel a rally in stocks, commodities, and many sectors of the bond market.
By September 30, 2009, stocks had rebounded sharply from their March 9 lows, with year-to-date gains of 19.26% for the broad-market Standard & Poor's 500 Index, 22.43% for the small-cap Russell 2000 Index, and 32.63% for the Russell Midcap Index. While outsize year-to-date gains for stocks helped soften their steep declines from October 2008 through March 2009, they did not offset them--and all areas of the U.S. equity market finished the 12-month reporting period far into negative territory. For example, the S&P 500 Index posted a loss of 6.91% for the reporting period despite its strong 2009 performance. U.S. stocks of every style, strategy, and capitalization range fell during this period, with large-cap stocks modestly outperforming small-cap stocks, and growth outpacing value. On the international front, the MSCI EAFE Investable Market Index, a benchmark for international stocks, returned 5.02% for the 12-month period.
The bond market posted overall gains for the reporting period, with the Barclays Capital Aggregate Bond Index up 10.56%, primarily as a result of its corporate bond holdings. Money-market returns remained low, reflecting the Federal Reserve's continued target rate of 0% to 0.25% for federal funds loans.
Sustainable and Responsible Investing
While huge challenges confront the global economy, we also believe that the opportunities facing the Obama administration--and sustainable investors--are greater than ever. In the last six months since we reported to you, Calvert has made progress on several sustainable and responsible investment initiatives.
As a key member of the Asset Management Working Group of UNEP FI, Calvert participated in the release of its new report, Fiduciary Responsibility--Legal and Practical Aspects of Integrating Environmental, Social and Governance Issues into Institutional Investment. The report makes the case that integrating ESG considerations into investment decisions should be a legal fiduciary responsibility--and highlights the financial materiality of ESG issues and their systemic risks and costs. The report calls on the investment industry and policymakers to move toward creating sustainable capital markets to help avert a "Natural Resources Crisis."
Following our participation in the World Water Forum earlier in the year, in August Calvert urged the CEO Water Mandate, a private-public initiative of the U.N. Global Compact, to assign an "urgent priority" to developing a policy outlining the issues, risks, and broad responsibilities of companies and industries with regard to water and human rights. We also urged the group to develop an "implementation framework" that companies could use to assess and manage these issues in their business operations. At Calvert, we actively address water and human rights issues in Calvert Global Water Fund's investment criteria and advocacy objectives.
In 2009, many of the shareholder resolutions that we filed with companies we own were related to governance and finance, such as executive compensation, board diversity, and responsible lending policies. Clearly, these areas will remain among our top advocacy priorities throughout the year.
What Lies Ahead?
In the course of a year, the global financial markets have rallied from the brink of collapse and the U.S. economy is showing improved vital signs in the key housing, job, and credit markets. However, while we are optimistic about long-term economic and market recovery, we believe that the systemic imbalances revealed in the global credit crisis need to be addressed, and we are encouraged by progress toward that end.
Internationally, the nations at the September G-20 summit met to enact changes to international economic policies that will promote "sustainable and balanced growth" among developed and emerging countries. On the home front, the Obama administration and Congress are grappling with credit-rating agency reform, banking reform, and the role of the Federal Reserve and U.S. government in the oversight of financial institutions and the markets, among many critical issues. In our view, over time, these efforts may work to help repair our financial system, providing additional stability to the economy and markets. In the short term, we believe the worst of the recession is behind us, but economic recovery will be uneven and staggered, with ongoing market volatility.
Other challenges that government policymakers are addressing are, of course, climate change and environmental degradation. The Obama administration has already made significant progress toward enacting policies that will benefit the environment, and many of these policies--such as stimulus funding for development of alternative energy sources--will likely also benefit sustainable and responsible investors.
Check Your Portfolio Allocations
If you're concerned about the current market environment, talk with your financial advisor about whether your portfolio's allocations to stocks, bonds, and cash are appropriate and well-diversified, given your goals, time horizon, and risk attitudes. Consider that investors who continued to invest regularly during the market's steep declines generally benefited from the rebound that followed, while those who sold their assets may have a long wait to make up their losses. We encourage you to visit our newly enhanced web site, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals.
As always, we appreciate your investing with Calvert.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2009
For more complete information on any Calvert Fund, call your advisor or visit our website for a 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.
SRI Update
from the Calvert Sustainability Research Department
Against the backdrop of the market turmoil over the past 12 months, Calvert has continued to advocate for responsible management of environmental, social, and governance (ESG) factors, which we believe create long-term shareholder value. We've also had unprecedented opportunities to be active participants in the creation of new policies in these arenas.
In the final months of 2008, we broadened our strategic engagement and shareholder advocacy efforts to include companies in virtually every industry, while offering shareholders more investment choices by launching our new line-up of sustainable and responsible investing (SRI) strategies. Now all of our SRI funds fall under one of three types:
Calvert Signature™ Portfolios--Our original approach, comprising two distinct research frameworks: a rigorous review of financial performance and a thorough assessment of ESG performance.
Calvert Solution™ Portfolios --Theme-oriented investments dedicated to solving some of today's most pressing environmental and sustainability challenges. This includes Calvert Global Alternative Energy Fund and Calvert Global Water Fund, which just celebrated its first anniversary.
Calvert SAGE™ Portfolios -- Calvert Large Cap Value Fund, launched in December 2008, is the first to use this approach, which leverages strategic engagement to address SRI concerns in companies that have the potential to improve but may not yet meet certain standards. Many of these are companies we have not previously invested in.
Advancing National Change
As the Obama administration and Congress began to focus their attention on some of Calvert's core issues--such as corporate transparency and responsibility, energy and climate change, and financial market reform and governance--we have been making sure that our shareholders are represented in the process.
We've particularly been involved with the Securities and Exchange Commission (SEC) on the issue of shareholder rights and corporate governance, responding to several SEC proposals in that area and collaborating with the Social Investment Forum to develop a proposal for mandatory corporate disclosure of ESG policies, programs, and performance.
Shareholder Advocacy
Another successful proxy season has drawn to a close, with Calvert filing 26 shareholder proposals and co-filing another nine. Topics included climate change, board and employee diversity, executive compensation, product safety, sustainability reporting, and political contributions. We were able to successfully withdraw 21 of these resolutions before the end of the period after the relevant companies agreed to address our concerns.
It's particularly notable that we successfully withdrew the "say-on-pay" proposal we filed with Microsoft--which would give shareholders a voice on executive compensation--after the company announced plans in September to include a management-sponsored advisory vote on compensation in its next proxy statement. A similar resolution presented at General Mills earned an impressive 51% majority support that same month as well. Given that legislative efforts on this issue have stalled, these results should help spur renewed efforts for a legislative solution.
Climate Change
Calvert's comprehensive approach to tackling the issue of climate change spans our funds, our company, and the globe. On September 22, Calvert CEO Barbara Krumsiek participated in a roundtable on "Sustainable Business and Decent Work" at a gathering of more than 300 leaders from around the world for the United Nations Leadership Forum on Climate Change. That same week, Calvert Senior Vice President for Sustainability Research and Policy Bennett Freeman was a panelist at a session on corporate sustainability and responsibility at the New York Stock Exchange.
Calvert also signed the Copenhagen Communique, which is poised to become the definitive statement from the business community and calls on world leaders to reach a meaningful agreement at the upcoming U.N. Climate Change Conference.
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 a small percentage of Fund assets at below-market interest rates to investments that provide economic opportunity for struggling populations.1 This year, the Foundation led efforts to create MFX Solutions, a project that enables microfinance institutions in developing countries to avoid the risk of currency value changes in their borrowings. This lowers costs for all parties and protects microloan recipients against the risks of currency fluctuations and highly variable interest rates.
Special Equities
A modest but important portion of certain funds is allocated to small private companies that are developing products or services that address important sustainability or environmental issues. One such investment is organic heirloom tomato producer New Day Farms in Virginia.2 The company shipped its first crop this past season. While it still faces some challenges, we are pleased with the reception its locally-grown produce has received from customers.
Another recent Special Equities investment is LeapFrog Financial Inclusion Fund, which is advancing the micro-insurance market in the developing world.
Its mission is to extend insurance and related financial services to 25 million people in some of the poorest and most excluded communities across Africa and Asia. LeapFrog recently closed on an investment in an insurer in South Africa that provides policies to persons who are HIV positive or have diabetes. These people are either unable to obtain insurance or can do so only at extraordinarily high cost. As a result, they can't obtain a home loan or start a business that requires insurance coverage. The LeapFrog investment in this innovative insurer enables these vulnerable people to engage in productive activity and secure their families' futures.
1. As of September 30, 2009, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: Calvert Social Investment Fund Balanced Portfolio 1.08%, Calvert Social Investment Fund Bond Portfolio 0.35%, Calvert Social Investment Fund Equity Portfolio 0.56%, Calvert Capital Accumulation Fund 1.53%, Calvert World Values International Equity Fund 1.03%, Calvert New Vision Small Cap Fund 1.33%, and Calvert Large Cap Growth Fund 0.36%. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization. The Foundation's Community Investment Note Program is not a mutual fund and should not be confused with any Calvert Group-sponsored investment product.
2. As of September 30, 2009, New Day Farms represented 0.0064% of CSIF Equity Portfolio; Leapfrog Financial Inclusion Fund represented 0.0025% of Calvert Large Cap Growth Fund.
All holdings are subject to change without notice.
For more complete information on any Calvert Fund, call your advisor or visit our website for a 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.
Portfolio Management Discussion
Natalie A. Trunow,
Senior Vice President, Chief Investment Officer of Calvert Asset Management Company
Performance
For the 12 month period ended September 30, 2009, Calvert Conservative Allocation Fund Class A shares (at NAV) returned 3.48%, underperforming its benchmark blend, which returned 10.73%. Calvert Moderate Allocation Fund Class A shares (at NAV) returned -0.95%, lagging the 3.76% return of its blended benchmark, and Calvert Aggressive Allocation Fund Class A shares (at NAV) returned -4.67%, lagging the -0.85% return of its benchmark blend. In each of the portfolios, the performance of Calvert Social Investment Fund(CSIF) Bond Portfolio relative to its individual benchmark hurt overall performance.
Each of Calvert's Asset Allocation Funds is designed to offer a diversified portfolio of Calvert's sustainable and responsible investment funds in a single investment product. We have crafted each of these products to meet the needs of specific types of investors with different levels of risk tolerance and return potential.
Investment Climate
After several attempts to quell one of the greatest panics in U.S. financial history, the government's multi-trillion dollar intervention finally took root, improving credit and economic conditions. Overall, economic growth, as measured by gross domestic product, contracted 2.3% during the period. The economy is expected to grow over the next few quarters, although the projected growth rate is lower than what was seen in past recoveries and depends heavily on more government action.
In equity markets, returns swung wildly over the past 12 months. The market's profoundly negative tone and the global recession drove U.S. equity markets to their lowest point in the reporting period on March 9, 2009--when the return for the Russell 1000 Index since September 30, 2008 sank to -41.24%. However, after investors began to see the "green shoots" of a pending recovery, markets rallied sharply and the Index returned 59.73% between March 9 and September 30, 2009.
Investors' rush for the safety of government bonds caused U.S. Treasury yields to plummet late in 2008. However, government actions to stimulate the economy and financial markets have required a massive increase in borrowing, leading Treasury bond yields to increase sharply in early 2009. Over the course of the full reporting period, the benchmark 10-year U.S. Treasury note's yield fell 0.55 percentage points to 3.30%1 and the three-month U.S. Treasury bill yield fell 0.81 percentage points.
Conservative Allocation Fund
September 30, 2009
Asset Allocation | % of Total Investments |
|
Domestic Equity Mutual Funds | 22% |
|
International and Global Equity Mutual Funds | 8% |
|
Fixed Income Mutual Funds | 70% |
|
Total | 100% |
|
|
|
|
Investment Performance | 6 Months | 12 Months |
Class A | 18.32% | 3.48% |
Class C | 17.51% | 2.05% |
Conservative Allocation Composite Benchmark** | 22.22% | 10.73% |
Lipper Mixed-Asset Target Allocation Conservative Funds Average | 19.44% | 4.99% |
* 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% Barclays Capital U.S. Credit Index, 22% Russell 3000® Index, 8% MSCI EAFE IMI, 10% Barclays Capital 3-month T-Bill Bellwether Index.
Moderate Allocation Fund
September 30, 2009
Asset Allocation | % of Total Investments |
|
Domestic Equity Mutual Funds | 47% |
|
International and Global Equity Mutual Funds | 18% |
|
Fixed Income Mutual Funds | 35% |
|
Total | 100% |
|
|
|
|
Investment Performance | 6 Months | 12 Months |
Class A | 27.58% | -0.95% |
Class C | 27.21% | -1.79% |
Class I** | 28.04% | -0.38% |
Moderate Allocation Composite Benchmark*** | 31.28% | 3.76% |
Lipper Mixed-Asset Target Allocation Growth Funds Average | 28.84% | 0.73% |
Aggressive Allocation Fund
September 30, 2009
Asset Allocation | % of Total Investments |
|
Domestic Equity Mutual Funds | 64% |
|
International and Global Equity Mutual Funds | 26% |
|
Fixed Income Mutual Funds | 10% |
|
Total | 100% |
|
|
|
|
Investment Performance | 6 Months | 12 Months |
Class A | 34.89% | -4.67% |
Class C | 33.87% | -6.06% |
Class I** | 35.06% | -4.41% |
Aggressive Allocation Composite Benchmark*** | 38.13% | -0.85% |
Lipper Multi-Cap Core Funds Average | 37.06% | -3.38% |
* 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% Barclays Capital U.S. Credit Index, 47% Russell 3000® Index, 18% MSCI EAFE IMI, 5% Barclays Capital 3 month T-Bill Bellwether Index. Calvert Aggressive Allocation Composite Benchmark: 10% Barclays Capital U.S. Credit Index, 64% Russell 3000® Index, 26% MSCI EAFE IMI.
Portfolio Strategy
In each of the Allocation Funds, we have adopted a long-term perspective on setting allocations between stocks and bonds. We believe that the weight accorded to each of these asset classes best defines the overall risk profile of each Fund. With the assistance of Ibbotson Associates, Calvert regularly reviews new market information and makes "fine tuning" adjustments to its key allocations, although we expect the actual fund allocations to stay very close to the allocations in each Fund's benchmark.
In each of the Funds, the return of CSIF Bond Portfolio relative to the Barclays Capital U.S. Credit Index was a leading source of underperformance during the period. Much of the poor relative performance occurred in the very volatile fourth quarter of 2008 when the global credit crisis was at its worst.
On the whole, the Calvert U.S. equity funds that are included in the Asset Allocation Funds performed roughly in line with the Russell 3000 Index for the one-year period. However, Calvert's international equity funds underperformed the Morgan Stanley Capital International Europe Australasia Far East Investable Markets Index (MSCI EAFE IMI), which also contributed to the Funds' underperformance relative to their blended benchmarks.
Outlook
We expect the Federal Reserve (Fed) to maintain its current monetary and credit policies well into 2010 while crafting an exit strategy that will attempt to limit inflation. The Fed's ability to correctly gauge the timing and size of stimulus policy removal will influence inflation expectations and, therefore, bond market performance. Investors appear to be increasingly comfortable with taking on additional risk. And given the government's record-high borrowing, we will also closely watch for changes in inflation expectations as the economic recovery gains strength.
Equity markets made a steep upturn during the last seven months of the period. Corporate earnings reports have generally beat analysts' expectations, but much of the good news has come from effective cost reductions rather than improved sales and revenues. Still, markets seem to be predicting further improvements in corporate earnings. For this to happen, revenue growth is a must. However, until there is clear evidence of a sustainable economic recovery, markets will be at risk for renewed volatility and a potential downturn.
October 2009
1. Federal Reserve and Bloomberg
Conservative Allocation Fund Statistics
September 30, 2009
Average Annual Total Returns
(with max. load)
| Class A Shares |
One year | -1.41% |
Since Inception | 1.80% |
(4/29/05) |
|
| Class C Shares |
One year | 1.05% |
Since inception | 1.57% |
(4/29/05) |
|
The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com for current performance data. The gross expense ratio for Class A shares is 1.04%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.
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.
Moderate Allocation Fund
Statistics
September 30, 2009
Average Annual Total Returns
(with max. load as applicable)
| Class A Shares |
One year | -5.66% |
Since Inception | 0.08% |
(4/29/05) |
|
| Class C Shares |
One year | -2.77% |
Since inception | 0.32% |
(4/29/05) |
|
| Class I Shares* |
One year | -0.38% |
Since inception | 1.39% |
(4/29/05) |
|
*See note regarding I shares on page 11.
The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com for current performance data. The gross expense ratio for Class A shares is 1.45%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.
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 Class C shares is plotted in the line graph. The value of an investment in another class of shares would be different.
Aggressive Allocation Fund
Statistics
September 30, 2009
Average Annual Total Returns
(with max. load as applicable)
| Class A Shares |
One year | -9.19% |
Since Inception | -1.96% |
(6/30/05) |
|
| Class C Shares |
One year | -6.99% |
Since inception | -2.10% |
(6/30/05) |
|
| Class I Shares* |
One year | -4.41% |
Since inception | -0.75% |
(6/30/05) |
|
*See note regarding I Shares on page 11.
The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com for current performance data. The gross expense ratio for Class A shares is 1.27%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.
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 Class C shares is plotted in the line graph. The value of an investment in another class of shares would be different.
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, 2009 to September 30, 2009).
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 | |
Conservative |
|
|
|
Class A |
|
|
|
Actual | $1,000.00 | $1,183.20 | $2.41 |
Hypothetical | $1,000.00 | $1,022.86 | $2.23 |
(5% return per year before expenses) |
|
|
|
|
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,175.10 | $9.99 |
Hypothetical | $1,000.00 | $1,015.88 | $9.26 |
(5% return per year before expenses) |
|
|
|
*Expenses for Conservative are equal to the annualized expense ratios of 0.44% and 1.83% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). 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 |
Moderate |
|
|
|
Class A |
|
|
|
Actual | $1,000.00 | $1,275.80 | $4.56 |
Hypothetical | $1,000.00 | $1,021.06 | $4.05 |
(5% return per year before expenses) |
|
|
|
|
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,272.10 | $8.94 |
Hypothetical | $1,000.00 | $1,017.20 | $7.94 |
(5% return per year before expenses) |
|
|
|
|
|
|
|
| Beginning | Ending Account | Expenses Paid |
Moderate |
|
|
|
|
|
|
|
Class I |
|
|
|
Actual | $1,000.00 | $1,280.40 | $1.31 |
Hypothetical | $1,000.00 | $1,023.92 | $1.17 |
(5% return per year before expenses) |
|
|
|
*Expenses for Moderate are equal to the annualized expense ratios of 0.80%, 1.57% and 0.23% for Class A, Class C and Class I respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). 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 |
Aggressive |
|
|
|
Class A |
|
|
|
Actual | $1,000.00 | $1,348.90 | $2.53 |
Hypothetical | $1,000.00 | $1,022.91 | $2.18 |
(5% return per year before expenses) |
|
|
|
|
|
|
|
Class C |
|
|
|
Actual | $1,000.00 | $1,338.70 | $10.95 |
Hypothetical | $1,000.00 | $1,015.70 | $9.44 |
(5% return per year before expenses) |
|
|
|
|
|
|
|
| Class I |
|
|
Actual | $1,000.00 | $1,350.60 | $1.36 |
Hypothetical | $1,000.00 | $1,023.92 | $1.17 |
(5% return per year before expenses) |
|
|
|
*Expenses for Aggressive are equal to the annualized expense ratios of 0.43%, 1.87% and 0.23% for Class A, Class C and Class I respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the underlying Calvert funds in which the Fund invests are not included in the annualized expense ratios.
Report of Independent Registered Public Accounting Firm
The Board of Trustees of Calvert Social Investment Fund and Shareholders of the Calvert Allocation Funds:
We have audited the accompanying statements of net assets of 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, 2009, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the four-year period then ended 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, 2009, 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, 2009, 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 four-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 23, 2009
Conservative Allocation Fund
Statement of Net Assets
September 30, 2009
Mutual Funds - 100.0% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Large Cap Growth Fund, Class I |
| 34,857 | $869,342 |
Calvert Mid Cap Value Fund, Class I* |
| 39,900 | 585,736 |
Calvert Small Cap Value Fund, Class I* |
| 19,893 | 289,635 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 118,068 | 1,162,974 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 1,333,228 | 20,305,065 |
Enhanced Equity Portfolio, Class I |
| 168,263 | 2,327,082 |
Equity Portfolio, Class I* |
| 28,056 | 870,874 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I* |
| 13,344 | 292,093 |
International Equity Fund, Class I |
| 158,344 | 2,341,905 |
|
|
|
|
Total Mutual Funds (Cost $29,303,024) |
|
| 29,044,706 |
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $29,303,024) - 100.0% |
|
| 29,044,706 |
Other assets and liabilities, net - 0.0% |
|
| 1,974 |
Net Assets - 100% |
|
| $29,046,680 |
|
|
|
|
|
|
|
|
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: 1,630,468 shares outstanding |
|
| $24,555,493 |
Class C: 403,880 shares outstanding |
|
| 6,031,703 |
Undistributed net investment income |
|
| 4,838 |
Accumulated net realized gain (loss) on investments |
|
| (1,287,036) |
Net unrealized appreciation (depreciation) on investments |
|
| (258,318) |
Net Assets |
|
| $29,046,680 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $23,299,793) |
|
| $14.29 |
Class C (based on net assets of $5,746,887) |
|
| $14.23 |
*Non-income producing security.
See notes to financial statements.
Moderate Allocation Fund
Statement of Net Assets
September 30, 2009
Mutual Funds - 100.1% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Global Alternative Energy Fund, Class I* |
| 183,945 | $1,942,460 |
Calvert Large Cap Growth Fund, Class I |
| 346,781 | 8,648,716 |
Calvert Mid Cap Value Fund, Class I* |
| 198,771 | 2,917,960 |
Calvert Small Cap Value Fund, Class I* |
| 198,065 | 2,883,834 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 391,592 | 3,857,183 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 2,211,473 | 33,680,734 |
Enhanced Equity Portfolio, Class I |
| 974,976 | 13,483,924 |
Equity Portfolio, Class I* |
| 310,766 | 9,646,169 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I* |
| 44,231 | 968,224 |
Calvert International Opportunities Fund, Class I |
| 170,945 | 1,935,102 |
International Equity Fund, Class I |
| 918,640 | 13,586,686 |
The Calvert Fund: |
|
|
|
Calvert New Vision Small Cap Fund, Class I* |
| 221,414 | 2,887,234 |
|
|
|
|
Total Mutual Funds (Cost $109,173,524) |
|
| 96,438,226 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $109,173,524) - 100.1% |
|
| 96,438,226 |
Other assets and liabilities, net - (0.1%) |
|
| (123,947) |
Net Assets - 100% |
|
| $96,314,279 |
|
|
|
|
|
|
|
|
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: 5,580,082 shares outstanding |
|
| $91,854,357 |
Class C: 1,275,263 shares outstanding |
|
| 20,645,373 |
Class I: 66,299 shares outstanding |
|
| 1,019,547 |
Undistributed net investment income |
|
| 9,422 |
Accumulated net realized gain (loss) on investments |
|
| (4,479,122) |
Net unrealized appreciation (depreciation) on investments |
|
| (12,735,298) |
Net Assets |
|
| $96,314,279 |
|
|
|
|
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $77,805,221) |
|
| $13.94 |
Class C (based on net assets of $17,581,784) |
|
| $13.79 |
Class I (based on net assets of $927,274) |
|
| $13.99 |
*Non-income producing security.
See notes to financial statements.
Aggressive Allocation Fund
Statement of Net Assets
September 30, 2009
Mutual Funds - 100.1% |
| Shares | Value |
Calvert Impact Fund, Inc.: |
|
|
|
Calvert Global Alternative Energy Fund, Class I* |
| 151,185 | $1,596,518 |
Calvert Large Cap Growth Fund, Class I |
| 231,808 | 5,781,281 |
Calvert Mid Cap Value Fund, Class I* |
| 144,952 | 2,127,891 |
Calvert Small Cap Value Fund, Class I* |
| 216,847 | 3,157,297 |
Calvert Social Index Series, Inc.: |
|
|
|
Calvert Social Index Fund, Class I |
| 214,442 | 2,112,256 |
Calvert Social Investment Fund: |
|
|
|
Bond Portfolio, Class I |
| 346,018 | 5,269,847 |
Enhanced Equity Portfolio, Class I |
| 666,078 | 9,211,860 |
Equity Portfolio, Class I* |
| 237,833 | 7,382,344 |
Calvert World Values Fund, Inc.: |
|
|
|
Calvert Capital Accumulation Fund, Class I* |
| 36,320 | 795,048 |
Calvert International Opportunities Fund, Class I |
| 140,225 | 1,587,344 |
International Equity Fund, Class I |
| 717,668 | 10,614,313 |
The Calvert Fund: |
|
|
|
Calvert New Vision Small Cap Fund, Class I* |
| 242,049 | 3,156,320 |
|
|
|
|
Total Mutual Funds (Cost $64,595,780) |
|
| 52,792,319 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $64,595,780) - 100.1% |
|
| 52,792,319 |
Other assets and liabilities, net - (0.1%) |
|
| (39,508) |
Net Assets - 100% |
|
| $52,752,811 |
|
|
|
|
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: 3,476,103 shares outstanding |
|
| $57,321,158 |
Class C: 596,088 shares outstanding |
|
| 9,257,389 |
Class I: 63.26 shares outstanding |
|
| 1,035 |
Undistributed net investment income |
|
| 42,428 |
Accumulated net realized gain (loss) on investments |
|
| (2,065,738) |
Net unrealized appreciation (depreciation) on investments |
|
| (11,803,461) |
Net Assets |
|
| $52,752,811 |
|
|
|
|
Net Asset Value Per Share |
|
|
|
Class A (based on net assets of $45,306,775) |
|
| $13.03 |
Class C (based on net assets of $7,445,210) |
|
| $12.49 |
Class I (based on net assets of $826) |
|
| $13.06 |
Non-income producing security.
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2009
Net Investment Income | Conservative | Moderate | Aggressive | |
Investment Income: |
|
|
|
|
Dividend income |
| $892,523 | $2,124,164 | $754,611 |
Total investment income |
| 892,523 | 2,124,164 | 754,611 |
|
|
|
|
|
Expenses: |
|
|
|
|
Transfer agency fees and expenses |
| 62,288 | 202,339 | 168,517 |
Administrative fees |
| 34,719 | 120,204 | 63,766 |
Distribution Plan expenses: |
|
|
|
|
Class A |
| 46,705 | 161,812 | 91,510 |
Class C |
| 44,638 | 145,975 | 59,060 |
Trustees' fees and expenses |
| 4,327 | 14,428 | 7,560 |
Registration fees |
| 23,904 | 39,588 | 36,739 |
Reports to shareholders |
| 6,767 | 35,178 | 26,962 |
Professional fees |
| 18,659 | 22,835 | 20,133 |
Accounting fees |
| 34,052 | 40,286 | 41,132 |
Contract services |
| 399 | 1,626 | 920 |
Miscellaneous |
| 1,405 | 3,526 | 2,615 |
Total expenses |
| 277,863 | 787,797 | 518,914 |
Reimbursement from Advisor: |
|
|
|
|
Class A |
| (111,533) | (18,976) | (232,285) |
Class C |
| -- | -- | (1,166) |
Class I |
| -- | (15,026) | (14,453) |
Net expenses |
| 166,330 | 753,795 | 271,010 |
|
|
|
|
|
Net Investment Income |
| 726,193 | 1,370,369 | 483,601 |
|
|
|
|
|
Realized and Unrealized |
|
|
|
|
Gain (Loss) on Investments |
|
|
|
|
Net realized gain (loss) |
| (1,192,748) | (4,288,304) | (1,992,919) |
Change in unrealized appreciation or (depreciation) |
| 1,825,314 | 2,559,144 | (43,521) |
|
|
|
|
|
Net Realized and Unrealized |
|
|
|
|
Gain (Loss) on Investments |
| 632,566 | (1,729,160) | (2,036,440) |
|
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Resulting From Operations |
| $1,358,759 | ($358,791) | ($1,552,839) |
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 |
| 2009 | 2008 |
Operations: |
|
|
|
Net investment income |
| $726,193 | $716,908 |
Net realized gain (loss) on investments |
| (1,192,748) | 273,153 |
Change in unrealized appreciation (depreciation) |
| 1,825,314 | (2,597,286) |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| 1,358,759 | (1,607,225) |
|
|
|
|
Distributions to shareholders from: |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (636,240) | (609,799) |
Class C Shares |
| (87,529) | (105,854) |
Net realized gain: |
|
|
|
Class A Shares |
| (238,077) | (183,846) |
Class C Shares |
| (57,126) | (52,413) |
Total distributions |
| (1,018,972) | (951,912) |
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 9,457,967 | 9,674,613 |
Class C Shares |
| 2,374,257 | 2,235,025 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 806,999 | 732,499 |
Class C Shares |
| 121,116 | 131,603 |
Redemption fees: |
|
|
|
Class A Shares |
| 1,196 | 599 |
Class C Shares |
| 516 | 69 |
Shares redeemed: |
|
|
|
Class A Shares |
| (4,790,793) | (3,097,182) |
Class C Shares |
| (1,223,383) | (1,460,086) |
Total capital share transactions |
| 6,747,875 | 8,217,140 |
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 7,087,662 | 5,658,003 |
|
|
|
|
Net Assets |
|
|
|
Beginning of year |
| 21,959,018 | 16,301,015 |
End of year (including undistributed net investment |
|
|
|
income of $4,838 and $2,414, respectively) |
| $29,046,680 | $21,959,018 |
|
|
|
|
Capital Share Activity |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 731,890 | 613,613 |
Class C Shares |
| 184,546 | 142,512 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 63,321 | 46,632 |
Class C Shares |
| 9,655 | 8,330 |
Shares redeemed: |
|
|
|
Class A Shares |
| (373,838) | (196,613) |
Class C Shares |
| (95,309) | (91,875) |
Total capital share activity |
| 520,265 | 522,599 |
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 |
| 2009 | 2008 |
Operations: |
|
|
|
Net investment income |
| $1,370,369 | $1,888,436 |
Net realized gain (loss) on investments |
| (4,288,304) | 2,379,722 |
Change in unrealized appreciation (depreciation) |
| 2,559,144 | (20,871,165) |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| (358,791) | (16,603,007) |
|
|
|
|
Distributions to shareholders from: |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (1,164,849) | (1,641,413) |
Class C Shares |
| (183,064) | (246,341) |
Class I Shares |
| (19,530) | (1,244) |
Net realized gain: |
|
|
|
Class A Shares |
| (1,932,032) | (1,254,355) |
Class C Shares |
| (440,213) | (298,228) |
Class I Shares |
| (24,825) | -- |
Total distributions |
| (3,764,513) | (3,441,581) |
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 16,316,969 | 27,897,561 |
Class C Shares |
| 3,565,253 | 6,743,705 |
Class I Shares |
| -- | 1,001,000 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 2,922,993 | 2,747,821 |
Class C Shares |
| 519,829 | 419,670 |
Class I Shares |
| 44,355 | 1,244 |
Redemption fees: |
|
|
|
Class A Shares |
| 656 | 341 |
Class C Shares |
| 6 | 456 |
Shares redeemed: |
|
|
|
Class A Shares |
| (13,102,429) | (11,125,519) |
Class C Shares |
| (2,569,222) | (4,185,538) |
Class I Shares |
| (27,052) | -- |
Total capital share transactions |
| 7,671,358 | 23,500,741 |
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 3,548,054 | 3,456,153 |
|
|
|
|
Net Assets |
|
|
|
Beginning of year |
| 92,766,225 | 89,310,072 |
End of year (including undistributed net investment |
|
|
|
income of $9,422 and $6,496, respectively) |
| $96,314,279 | $92,766,225 |
See notes to financial statements.
|
| Year Ended | Year Ended |
|
| September 30, | September 30, |
Capital Share Activity |
| 2009 | 2008 |
Shares sold: |
|
|
|
Class A Shares |
| 1,359,144 | 1,649,775 |
Class C Shares |
| 299,081 | 401,490 |
Class I Shares |
| -- | 64,410 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 255,288 | 157,466 |
Class C Shares |
| 45,964 | 23,845 |
Class I Shares |
| 3,836 | 81 |
Shares redeemed: |
|
|
|
Class A Shares |
| (1,088,889) | (672,281) |
Class C Shares |
| (213,577) | (248,694) |
Class I Shares |
| (2,028) | -- |
Total capital share activity |
| 658,819 | 1,376,092 |
See notes to financial statements.
Aggressive Allocation Fund
Statements of Changes in Net Assets
|
| Year Ended | Year Ended |
|
| September 30, | September 30, |
Increase (Decrease) in Net Assets |
| 2009 | 2008 |
Operations: |
|
|
|
Net investment income |
| $483,601 | $587,159 |
Net realized gain (loss) on investments |
| (1,992,919) | 1,743,940 |
Change in unrealized appreciation (depreciation) |
| (43,521) | (15,381,173) |
|
|
|
|
Increase (Decrease) in Net Assets |
|
|
|
Resulting From Operations |
| (1,552,839) | (13,050,074) |
|
|
|
|
Distributions to shareholders from: |
|
|
|
Net investment income: |
|
|
|
Class A Shares |
| (399,484) | (536,473) |
Class C Shares |
| (41,681) | (63,184) |
Class I Shares |
| (8) | -- |
Net realized gain: |
|
|
|
Class A Shares |
| (1,391,004) | (870,922) |
Class C Shares |
| (224,716) | (143,781) |
Class I Shares |
| (27) | -- |
Total distributions |
| (2,056,920) | (1,614,360) |
|
|
|
|
Capital share transactions: |
|
|
|
Shares sold: |
|
|
|
Class A Shares |
| 9,047,343 | 17,056,145 |
Class C Shares |
| 2,293,592 | 2,995,112 |
Class I Shares |
| -- | 1,000 |
Reinvestment of distributions: |
|
|
|
Class A Shares |
| 1,719,545 | 1,350,953 |
Class C Shares |
| 226,518 | 165,957 |
Class I Shares |
| 35 | -- |
Redemption fees: |
|
|
|
Class A Shares |
| 170 | 3,616 |
Class C Shares |
| 394 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (5,939,885) | (6,150,630) |
Class C Shares |
| (1,327,696) | (2,024,141) |
Total capital share transactions |
| 6,020,016 | 13,398,012 |
|
|
|
|
Total Increase (Decrease) in Net Assets |
| 2,410,257 | (1,266,422) |
|
|
|
|
Net Assets |
|
|
|
Beginning of year |
| 50,342,554 | 51,608,976 |
End of year (including undistributed net |
|
|
|
investment income of $42,428 and $0, respectively) |
| $52,752,811 | $50,342,554 |
|
|
|
|
|
| Year Ended | Year Ended |
|
| September 30, | September 30, |
Capital Share Activity |
| 2009 | 2008 |
Shares sold: |
|
|
|
Class A Shares |
| 827,100 | 991,901 |
Class C Shares |
| 218,145 | 178,479 |
Class I Shares |
| -- | 60 |
Reinvestment of distributions: |
|
|
|
Class A Share |
| 169,358 | 73,393 |
Class C Shares |
| 23,082 | 9,189 |
Class I Shares |
| 3 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (540,570) | (361,195) |
Class C Shares |
| (123,738) | (117,269) |
Total capital share activity |
| 573,380 | 774,558 |
See notes to financial statements.
|
| Year Ended | Year Ended |
|
| September 30, | September 30, |
Capital Share Activity |
| 2009 | 2008 |
Shares sold: |
|
|
|
Class A Shares |
| 827,100 | 991,901 |
Class C Shares |
| 218,145 | 178,479 |
Class I Shares |
| -- | 60 |
Reinvestment of distributions: |
|
|
|
Class A Share |
| 169,358 | 73,393 |
Class C Shares |
| 23,082 | 9,189 |
Class I Shares |
| 3 | -- |
Shares redeemed: |
|
|
|
Class A Shares |
| (540,570) | (361,195) |
Class C Shares |
| (123,738) | (117,269) |
Total capital share activity |
| 573,380 | 774,558 |
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 millio n 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). 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.
The Fund utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Funds' policy regarding valuation of investments, please refer to the Funds' most recent prospectus.
The following is a summary of the inputs used to value the Funds' net assets as of September 30, 2009:
Conservative | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $29,044,706 | - | - | $29,044,706 |
TOTAL | $29,044,706 | - | - | $29,044,706 |
Moderate | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $96,438,226 | - | - | $96,438,226 |
TOTAL | $96,438,226 | - | - | $96,438,226 |
Aggressive | Valuation Inputs | |||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $52,792,319 | - | - | $52,792,319 |
TOTAL | $52,792,319 | - | - | $52,792,319 |
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.
Management has analyzed the Fund's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
New Accounting Pronouncements: In July 2009, the Financial Accounting Standards Board (FASB) launched the FASB Accounting Standards Codification™ as the single source of authoritative nongovernmental U.S. generally accepted accounting principles (GAAP). The Codification is effective for interim and annual periods ending after September 15, 2009. All existing accounting standards documents are superseded as described in FASB Statement No. 168, The FASB Accounting Standards Codification™ and the Hierarchy of Generally Accepted Accounting Principles. All other accounting literature not included in the Codification is nonauthoritative.
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, $8,745, $33,710 and $8,915 was payable to the Advisor from Conservative, Moderate and Aggressive, respectively, for operating expenses paid by the Advisor during September 2009.
The Advisor has contractually agreed to limit direct ordinary operating expenses through January 31, 2010. 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, $3,500, $11,683, and $6,384 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, $9,300, $29,910, and $15,126 was payable at year end for Conservative, Moderate, and Aggressive, respectively.
The Distributor received $23,721, $64,575, and $48,287 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, 2009.
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 $9,318, $46,722 and $38,721 for the year ended September 30, 2009 for Conservative, Moderate, and Aggressive, respectively. Under the terms of the agreement, $882, $4,050 and $3,273 was payable at year end for Conservative, Moderate and Aggressive, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $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. 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 | $12,084,632 | $25,962,699 | $11,436,473 |
Sales | 5,486,522 | 20,105,468 | 6,509,164 |
The following tables present the cost of investments for federal income tax purposes and the components of net unrealized appreciation (depreciation) at September 30, 2009:
| Conservative | Moderate | Aggressive |
Federal income tax cost of investments... | $30,574,217 | $112,870,331 | $66,538,138 |
Unrealized appreciation | - | - | - |
Unrealized depreciation | (1,529,511) | (16,432,105) | (13,745,819) |
Net appreciation/(depreciation | (1,529,511) | (16,432,105) | (13,745,819) |
Net realized capital loss carryforwards for federal income tax purposes of $15,843, $505,630, and $121,097 in Conservative, Moderate, and Aggressive, respectively, at September 30, 2009 may be utilized to offset future capital gains until expiration in September 2017.
Moderate and Aggressive intend to elect to defer net capital losses of $276,685 and $2,283, respectively, incurred from November 1, 2008 through September 30, 2009 and treat them as arising in the fiscal year ending September 30, 2010.
The tax character of dividends and distributions paid during the years ended September 30, 2009 and September 30, 2008 were as follows:
Conservative |
|
|
Distributions paid from: | 2009 | 2008 |
Ordinary income | $723,769 | $717,456 |
Long-term capital gain | 295,203 | 234,456 |
Total | $1,018,972 | $951,912 |
|
|
|
Moderate |
|
|
Distributions paid from: | 2009 | 2008 |
Ordinary income | $1,373,474 | $1,888,998 |
Long-term capital gain | 2,391,039 | 1,552,583 |
Total | $3,764,513 | $3,441,581 |
|
|
|
Aggressive |
|
|
Distributions paid from: | 2009 | 2008 |
Ordinary income | $441,173 | $605,377 |
Long-term capital gain | 1,615,747 | 1,008,983 |
Total | $2,056,920 | $1,614,360 |
As of September 30, 2009, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
| Conservative | Moderate | Aggressive |
Undistributed ordinary income | $4,838 | $9,422 | $42,428 |
Capital loss carryforward | (15,843) | (505,630) | (121,097) |
Unrealized appreciation (depreciation) | (1,529,511) | (16,432,105) | (13,745,819) |
Total | ($1,540,516) | ($16,928,313) | ($13,824,488) |
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. The differences are also due to the deferral of post October losses for Moderate and Aggressive.
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds 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 higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% 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, 2009.
Note E -- Subsequent Events
In preparing the financial statements as of September 30, 2009, no subsequent events or transactions occurred through November 23, 2009, the date the financial statements were issued, that would have materially impacted the financial statements as presented.
Notice to Shareholders (Unaudited)
For the fiscal year ended September 30 ,2009, in order to meet certain requirements of the Internal Revenue Code, we are advising you that certain distributions paid during the year from the following funds are designated as:
Fund Name | (a) Long Term Capital Gain | (b) Qualified Dividend Income % | (c) (for corporate shareholders) Dividends Received Deduction % |
Conservative Allocation Fund | $295,203 | 17.7% | 7.4% |
Moderate Allocation Fund | $2,391,039 | 58.6% | 22.3% |
Aggressive Allocation Fund | $1,615,747 | 100.0% | 38.9% |
(a) Each Fund designates the maximum amount allowable but not less than the amounts shown above as a capital gain dividend in accordance with Section 852(b)(3)(C) of the Internal Revenue Code.
(b) Each Fund designates the maximum amount allowable, but not less than the percentages shown above as ordinary income dividends paid during the year as qualified dividend income in accordance with Section 854 of the Internal Revenue Code.
(c) Each Fund designates the maximum amount allowable but not less than the percentages shown above of ordinary income dividends paid during the year as eligible for the corporate dividends received deduction in accordance with Section 854 of the Internal Revenue Code.
Conservative Allocation Fund
Financial Highlights
|
|
| Years Ended |
|
|
| September 30, | September 30, | September 30, |
Class A Shares |
| 2009 | 2008 | 2007 |
Net asset value, beginning |
| $14.52 | $16.45 | $15.81 |
Income from investment operations |
|
|
|
|
Net investment income |
| .45 | .62 | .55 |
Net realized and unrealized gain (loss) |
| (.04) | (1.70) | .74 |
Total from investment operations |
| .41 | (1.08) | 1.29 |
Distributions from |
|
|
|
|
Net investment income |
| (.45) | (.62) | (.55) |
Net realized gain |
| (.19) | (.23) | (.10) |
Total distributions |
| (.64) | (.85) | (.65) |
Total increase (decrease) in net asset value |
| (.23) | (1.93) | .64 |
Net asset value, ending |
| $14.29 | $14.52 | $16.45 |
Total return* |
| 3.48% | (6.90%) | 8.27% |
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| 3.41% | 3.92% | 3.55% |
Total expenses |
| 1.04% | 1.07% | 1.35% |
Expenses before offsets |
| .44% | .44% | .44% |
Net expenses |
| .44% | .44% | .44% |
Portfolio turnover |
| 24% | 13% | 11% |
Net assets, ending (in thousands) |
| $23,300 | $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, | September 30, |
Class C Shares |
| 2009 | 2008 | 2007 |
Net asset value, beginning |
| $14.45 | $16.40 | $15.77 |
Income from investment operations |
|
|
|
|
Net investment income |
| .26 | .41 | .31 |
Net realized and unrealized gain (loss) |
| (.03) | (1.72) | .73 |
Total from investment operations |
| .23 | (1.31) | 1.04 |
Distributions from |
|
|
|
|
Net investment income |
| (.26) | (.41) | (.31) |
Net realized gain |
| (.19) | (.23) | (.10) |
Total distributions |
| (.45) | (.64) | (.41) |
Total increase (decrease) in net asset value |
| (.22) | (1.95) | .63 |
Net asset value, ending |
| $14.23 | $14.45 | $16.40 |
Total return* |
| 2.05% | (8.28%) | 6.67% |
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| 1.99% | 2.54% | 1.99% |
Total expenses |
| 1.88% | 1.85% | 2.09% |
Expenses before offsets |
| 1.88% | 1.85% | 2.00% |
Net expenses |
| 1.88% | 1.85% | 2.00% |
Portfolio turnover |
| 24% | 13% | 11% |
Net assets, ending (in thousands) |
| $5,747 | $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, | September 30, |
Class A Shares |
| 2009 | 2008 | 2007 |
Net asset value, beginning |
| $14.83 | $18.30 | $16.81 |
Income from investment operations |
|
|
|
|
Net investment income |
| .23 | .37 | .32 |
Net realized and unrealized gain (loss) |
| (.51) | (3.17) | 1.59 |
Total from investment operations |
| (.28) | (2.80) | 1.91 |
Distributions from |
|
|
|
|
Net investment income |
| (.22) | (.37) | (.32) |
Net realized gain |
| (.39) | (.30) | (.10) |
Total distributions |
| (.61) | (.67) | (.42) |
Total increase (decrease) in net asset value |
| (.89) | (3.47) | 1.49 |
Net asset value, ending |
| $13.94 | $14.83 | $18.30 |
Total return* |
| (.95%) | (15.82%) | 11.46% |
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| 1.85% | 2.12% | 1.71% |
Total expenses |
| .83% | .71% | .75% |
Expenses before offsets |
| .80% | .71% | .75% |
Net expenses |
| .80% | .71% | .75% |
Portfolio turnover |
| 25% | 5% | 3% |
Net assets, ending (in thousands) |
| $77,805 | $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, | September 30, |
Class C Shares |
| 2009 | 2008 | 2007 |
Net asset value, beginning |
| $14.72 | $18.16 | $16.69 |
Income from investment operations |
|
|
|
|
Net investment income |
| .13 | .24 | .20 |
Net realized and unrealized gain (loss) |
| (.52) | (3.14) | 1.56 |
Total from investment operations |
| (.39) | (2.90) | 1.76 |
Distributions from |
|
|
|
|
Net investment income |
| (.15) | (.24) | (.19) |
Net realized gain |
| (.39) | (.30) | (.10) |
Total distributions |
| (.54) | (.54) | (.29) |
Total increase (decrease) in net asset value |
| (.93) | (3.44) | 1.47 |
Net asset value, ending |
| $13.79 | $14.72 | $18.16 |
Total return* |
| (1.79%) | (16.43%) | 10.62% |
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| 1.03% | 1.38% | .97% |
Total expenses |
| 1.60% | 1.48% | 1.50% |
Expenses before offsets |
| 1.60% | 1.48% | 1.50% |
Net expenses |
| 1.60% | 1.48% | 1.50% |
Portfolio turnover |
| 25% | 5% | 3% |
Net assets, ending (in thousands) |
| $17,582 | $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
|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class I Shares |
| 2009 | 2008 ### |
|
Net asset value, beginning |
| $14.88 | $16.73 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| .30 | .13 |
|
Net realized and unrealized gain (loss) |
| (.51) | (1.85) |
|
Total from investment operations |
| (.21) | (1.72) |
|
Distributions from |
|
|
|
|
Net investment income |
| (.29) | (.13) |
|
Net realized gain |
| (.39) | -- |
|
Total distributions |
| (.68) | (.13) |
|
Total increase (decrease) in net asset value |
| (.89) | (1.85) |
|
Net asset value, ending |
| $13.99 | $14.88 |
|
Total return* |
| (.38%) | (10.34%) |
|
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| 2.45% | 2.04% (a) |
|
Total expenses |
| 2.08% | 20.84% (a) |
|
Expenses before offsets |
| .23% | .23% (a) |
|
Net expenses |
| .23% | .23% (a) |
|
Portfolio turnover |
| 25% | 4% |
|
Net assets, ending (in thousands) |
| $927 | $960 |
|
See notes to financial highlights.
Aggressive Allocation Fund
Financial Highlights
|
|
| Years Ended |
|
|
| September 30, | September 30, | September 30, |
Class A Shares |
| 2009 | 2008 | 2007 |
Net asset value, beginning |
| $14.45 | $19.00 | $16.91 |
Income from investment operations |
|
|
|
|
Net investment income |
| .15 | .23 | .22 |
Net realized and unrealized gain (loss) |
| (1.00) | (4.21) | 2.16 |
Total from investment operations |
| (.85) | (3.98) | 2.38 |
Distributions from |
|
|
|
|
Net investment income |
| (.12) | (.21) | (.21) |
Net realized gain |
| (.45) | (.36) | (.08) |
Total distributions |
| (.57) | (.57) | (.29) |
Total increase (decrease) in net asset value |
| (1.42) | (4.55) | 2.09 |
Net asset value, ending |
| $13.03 | $14.45 | $19.00 |
Total return* |
| (4.67%) | (21.59%) | 14.18% |
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| 1.35% | 1.27% | .96% |
Total expenses |
| 1.06% | .87% | .98% |
Expenses before offsets |
| .43% | .43% | .43% |
Net expenses |
| .43% | .43% | .43% |
Portfolio turnover |
| 15% | 4% | 2% |
Net assets, ending (in thousands) |
| $45,307 | $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, | September 30, |
Class C Shares |
| 2009 | 2008 | 2007 |
Net asset value, beginning |
| $14.02 | $18.63 | $16.74 |
Income from investment operations |
|
|
|
|
Net investment income |
| (.01) | .02 | ** |
Net realized and unrealized gain (loss) |
| (.99) | (4.12) | 2.09 |
Total from investment operations |
| (1.00) | (4.10) | 2.09 |
Distributions from |
|
|
|
|
Net investment income |
| (.08) | (.15) | (.12) |
Net realized gain |
| (.45) | (.36) | (.08) |
Total distributions |
| (.53) | (.51) | (.20) |
|
|
|
|
|
Total increase (decrease) in net asset value |
| (1.53) | (4.61) | 1.89 |
|
|
|
|
|
Net asset value, ending |
| $12.49 | $14.02 | $18.63 |
|
|
|
|
|
Total return* |
| (6.06%) | (22.62%) | 12.56% |
|
|
|
|
|
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| (.19%) | (.01%) | (.32%) |
Total expenses |
| 1.94% | 1.72% | 1.77% |
Expenses before offsets |
| 1.92% | 1.72% | 1.77% |
Net expenses |
| 1.92% | 1.72% | 1.77% |
Portfolio turnover |
| 15% | 4% | 2% |
|
|
|
|
|
Net assets, ending (in thousands) |
| $7,445 | $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
|
| Periods Ended |
| |
|
| September 30, | September 30, |
|
Class I Shares |
| 2009 | 2008 ### |
|
Net asset value, beginning |
| $14.46 | $16.73 |
|
Income from investment operations |
|
|
|
|
Net investment income |
| .18 | .03 |
|
Net realized and unrealized gain (loss) |
| (.99) | (2.30) |
|
Total from investment operations |
| (.81) | (2.27) |
|
Distributions from |
|
|
|
|
Net investment income |
| (.14) | -- |
|
Net realized gain |
| (.45) | -- |
|
Total distributions |
| (.59) | -- |
|
Total increase (decrease) in net asset value |
| (1.40) | (2.27) |
|
Net asset value, ending |
| $13.06 | $14.46 |
|
Total return* |
| (4.41%) | (13.57%) |
|
Ratios to average net assets: A,B |
|
|
|
|
Net investment income |
| 1.59% | .30% (a) |
|
Total expenses |
| 2,098.82% | 1,924.45% (a) |
|
Expenses before offsets |
| .23% | .23% (a) |
|
Net expenses |
| .23% | .23% (a) |
|
Portfolio turnover |
| 15% | 2% |
|
Net assets, ending (in thousands) |
| $1 | $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.
* 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: 60 | 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: 61 | 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. | 29 |
| ||
JOHN G. GUFFEY, JR. AGE: 61 | 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.
| 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: 59 | 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: 64 | 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. Chairperson, Stakeholders Capital, Inc., an asset management firm and financial services provider in Amherst, MA. | 17 |
| ||
SYDNEY AMARA MORRIS AGE: 60 | Trustee
Director
Director
Director | 1982 CSIF 2000 CSIS 2005 CWVF 2005 IMPACT | Rev. Morris currently serves as Parish Minister to the Keweenaw Unitarian Universalist Fellowship in Houghton, MI. She previously served as Senior Minister of the Unitarian Church of Vancouver and as Minister of the Unitarian-Universalist Fellowship of Ames, IA. Rev. Morris is a graduate of Harvard Divinity School. She currently chairs the Umbrian Universalist Committee on Socially Responsible Investing. | 17 |
| ||
INTERESTED TRUSTEES/DIRECTORS | |||||||
BARBARA J. KRUMSIEK AGE: 57 | 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.
| 54 |
| ||
D. WAYNE SILBY, Esq. AGE: 61 | 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 | Chief Compliance Officer for the Calvert Funds. In March 2009, Ms. Becker also became Head of the Securities Operations Department for Calvert Asset Management Company, Inc. Prior to 2005, Ms. Becker was Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. | ||||
SUSAN WALKER BENDER, Esq. AGE: 50 | Assistant Vice-President & Assistant Secretary | 1988 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd.
| ||||
JENNIFER BERG AGE: 36 | Assistant Fund Controller | 2009 | Fund Administration Manager for Calvert Group Ltd. | ||||
THOMAS DAILEY AGE: 45 | Vice President | 2004 CSIF | Vice President of Calvert Asset Management Company, Inc.
| ||||
IVY WAFFORD DUKE, Esq. AGE: 41 | Assistant Vice-President & Assistant Secretary | 1996 CSIF 2000 CSIS 1996 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Deputy General Counsel of Calvert Group, Ltd., and Chief Compliance Officer for Calvert Asset Management Company and Calvert Distributors, Inc. | ||||
TRACI L. GOLDT AGE: 35 | Assistant Secretary | 2004 | Executive Assistant to General Counsel, Calvert Group, Ltd. | ||||
GREGORY B. HABEEB AGE: 59 | Vice President | 2004 CSIF
| Senior Vice President of Calvert Asset Management Company, Inc.
| ||||
HUI PING HO, CPA AGE: 44 | Assistant Treasurer
| 2000 | Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. | ||||
LANCELOT A. KING, Esq. AGE: 39 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Group, Ltd. | ||||
EDITH LILLIE AGE: 52 | Assistant Secretary
| 2007 | Assistant Secretary 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: 57 | 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: 42 | Assistant Vice President & Assistant Secretary | 2006 | Assistant Vice President, Assistant Secretary & Associate 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: 53
| 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: 62 | Vice President and Secretary | 1990 CSIF 2000 CSIS 1992 CWVF 2000 Impact | Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd.
| ||||
NATALIE TRUNOW AGE: 41 | Vice President | 2008 | Senior Vice President of Calvert Asset Management Company, Inc., and Chief Investment Officer - Equities. Prior to joining Calvert in August 2008, Ms. Trunow was the Section Head (2005-2008) and Portfolio Manager (2001-2008) for the Global Public Markets Group of General Motors Asset Management. | ||||
RONALD M. WOLFSHEIMER, CPA AGE: 57 | 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: 48 | 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.
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
www.calvert.com
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
Calvert Asset Allocation Funds
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.
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.
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
Calvert Tax-Free Bond Fund
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Income Fund
Government Fund
Short-Term Government Fund
High Yield Bond Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Calvert Large Cap Value Fund
Calvert Social Index Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Small Cap Value Fund
Mid Cap Value Fund
Global Alternative Energy Fund
Global Water Fund
International Opportunities Fund
Balanced and Asset
Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
<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 9/30/09 | Fiscal Year ended 9/30/08 | |||
$ | %* | $ | % * | |
(a) Audit Fees | $120,450 | $127,600 | ||
(b) Audit-Related Fees | $0 | 0% | $0 | 0% |
(c) Tax Fees (tax return preparation for the registrant) | $22,748 | 0% | $23,980 | 0% |
(d) All Other Fees | $0 | 0% | $0 | 0% |
Total | $143,198 | 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 9/30/09 | Fiscal Year ended 9/30/08 | |||
$26,000 | 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 registrant last provided disclosure in response to this Item.
Item 11. Controls and Procedures.
(a) The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act, as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) A copy of the Registrant's Code of Ethics.
Attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).
Attached hereto.
(a)(3) Not applicable.
(b) A certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. The certification furnished pursuant to this paragraph is not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT SOCIAL INVESTMENT FUND
By: | /s/ Barbara J. Krumsiek |
Date: | November 30, 2009 |
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 30, 2009
/s/ D. Wayne Silby
D. Wayne Silby
President -- Principal Executive Officer
Date: November 30, 2009
/s/ Ronald M. Wolfsheimer
Ronald M. Wolfsheimer
Treasurer -- Principal Financial Officer
Date: November 30, 2009