UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-3334
CALVERT SOCIAL INVESTMENT FUND
(Exact name of registrant as specified in charter)
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Address of Principal Executive Offices)
Ivy Wafford Duke, 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, 2015
Item 1. Report to Stockholders.
Calvert Social Investment Fund • Calvert Balanced Portfolio• Calvert Bond Portfolio• Calvert Equity Portfolio• Calvert Large Cap Core Portfolio | ||
Annual Report September 30, 2015 E-Delivery Sign-Up — Details Inside |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to calvert.com. If you already have an online account at Calvert, click on Login, to access your Account, and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: if your shares are not held directly at Calvert but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
TABLE OF CONTENTS | |||
Founding Chairman's Letter | |||
President's Letter | |||
Balanced Portfolio Management Discussion | |||
Bond Portfolio Management Discussion | |||
Equity Portfolio Management Discussion | |||
Large Cap Core Portfolio Management Discussion | |||
Understanding Your Fund’s Expenses | |||
Report of Independent Registered Public Accounting Firm | |||
Schedules of Investments | |||
Listing of Restricted Securities | |||
Statements of Assets and Liabilities | |||
Statements of Operations | |||
Statements of Changes in Net Assets | |||
Notes to Financial Statements | |||
Financial Highlights | |||
Explanation of Financial Tables | |||
Proxy Voting | |||
Availability of Quarterly Portfolio Holdings | |||
Trustee and Officer Information Table |
D. Wayne Silby Founding Chair |
Dear Investor,
This is my 40th and last annual report to Calvert investors — a good time for some reflection later in this report.
Calvert is blessed to have a new CEO, John Streur. John is especially passionate about ESG (Environment, Social, Governance) goals and how these map to the UN development goals, recently announced. He talks about that elsewhere in this report. He moves our historical sense of social responsibility into leading mainstream conversations about best practices in corporate behavior with many investor coalition partners. For more information on this updated approach, see Calvert.com/perspectives.
This last year has been much about the lack of growth and demand in the world’s economies, in particular the consequences of China’s slowdown. The central banks have tried to support the economy through “quantitative easing” of cheap money to buttress growth. But most admit to the limitations of this policy tool, one consequence of which is that it has boosted financial asset prices — both stocks and bonds. What is needed, in my view, is a vision for responsible fiscal stimulus rather than money games to get our economy moving.
We need what I have coined “Qualitative Easing” which means the support of the Federal Reserve to buy more risk assets that will affect the real economy. For example, instead of just buying Treasury securities at a 2% yield, I propose the Fed should be buying infrastructure bonds at similar yields that support national programs such as energy efficiency and alternative energy. This would create a boom in job creation while also combating climate change. The leader of the UK Labor Party calls this “the People’s QE” (QE means Quantitative Easing).
Why don’t we engage in such infrastructure investment? Well, many don’t trust our politicians and the political process to create sensible programs. It’s true, in the past the politicians have funded “bridges to nowhere” out of expediency and lobbying. Having the Federal Reserve manage this program is something that is now just being discussed by people like Larry Summers, former US Treasury Secretary.
Americans seem to have given up on Congress. Many Wall Street professionals believe Washington is now the greatest threat to our economy, especially with talks of another government shutdown and the inability to fashion a national budget. Never in my lifetime has our politics so stymied our economy and sapped the nation’s working spirit. Workforce participation is now the lowest in decades. Real arguments exist that suggest the US may go back into a recession if we don’t advance a national agenda. Good infrastructure investment that can pay for itself seems like a no-brainer course of action.
For investors, this global slowdown has created unusual volatility in the markets, especially for the emerging markets dependent on commodity prices, including oil. It’s very difficult to predict the secondary consequences of a slow growth era in a time of geopolitical unrest, though it would appear interest rates and inflation are likely to remain low for quite a time. This does put some floor on fluctuating asset prices though modest corporate earnings may affect stock prices in the event of a recession.
Reflections on 40 years of Progress
An over-arching development we can be quite pleased about has been the success of our larger mission of combining values with the investment process. In the early years, our social responsibility criteria were considered a novelty. Now ESG and other factors of sustainability are becoming mainstream. Moreover, I would argue that the younger generation intuitively understands this integration of values and meaning and choices. I’ve been told that when JP Morgan set up a social finance division, they had 1,200 applicants, and all from within the bank!
Our Special Equities program, again the first for a mutual fund, has been a beacon for the Impact Investing movement where small companies are chosen for their social impact as well as their ability to make financial returns. I just attended the SoCap (social capital markets) conference in San Francisco, which attracted 2,500 attendees. This lively engaging conference was
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started just seven years ago, co-founded with Calvert Foundation support.1 In a word: Awesome! Investors and entrepreneurs committed to creating the better world.
And witness the growth of Calvert Foundation, to which your funds made the anchor investment for projects like microfinance and other works that address issues of social justice. Just recently the Foundation announced a national partnership with AARP to fund “AgeStrong” which will invest in projects enhancing social equity with seniors. Moreover, this type of impact investing has inspired other foundations to begin making investments consistent with their mission. Calvert Funds were the first mutual funds to set aside a small amount of monies, about 1% of assets, through our High Social Impact Investment program, to demonstrate the viability of monies directed at helping the disadvantaged.
Calvert’s active engagement with our portfolio companies has had profound effects on corporate social responsibility in letting companies know we, as their owners, care about issues like climate change. Our Calvert Women’s Principles have been adopted by the UN as a best practice for multinational corporations. Following engagement and guidance from Calvert, 70 companies have adopted more inclusive board diversity policies in their governance documents. In the early years, our shareholder proposals were sometimes received as troublesome. Today companies better understand, and sometimes even welcome, our suggestions on how to be even better companies. Moreover, some data suggest that companies improving on these ESG metrics have actually added some value (alpha) to their stock performance.
These results couldn’t have been accomplished without the support of caring investors like you. Together we have made a difference! Change can happen. Life can be good when focus and commitment are made to a worthy mission. My prayers and blessings are with you.
Sincerely,
D. Wayne Silby, Founding Chair
Calvert Social Funds
October 2015
______________________________
1The Calvert Foundation is a 501(c)(3) nonprofit organization and should not be confused with Calvert Investments, Inc. or any Calvert mutual fund.
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John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareholders,
Global economic growth is vital to the improvement of the lives of all people, especially so to those of the ultra-poor. However, how that growth is achieved is critical to the long-term health and sustainability of our collective societies. Business activity that does not show consideration for environmental and social impacts may have calamitous consequences, many of which we are witnessing now, including political and social unrest, unjust wealth distribution and diminished bio-diversity.
The returns of the markets (chart below) reflect the impact of the uncertainty created by a legacy of unsustainable development and the current lack of positive economic growth trends. The steep decline in the emerging market equities index (reflective of the flight of capital and currency weakness) is particularly impactful as these regions include some of the largest populations of individuals most in need of sustainable and inclusive economic development.
MARKET BENCHMARKS | Total Returns for the period ended 9/30/2015 | |||
6 Months | Year-to-Date | 1 Year | 5 Year | |
S&P 500 | -6.18% | -5.29% | -0.61% | 13.34% |
Russell 1000 | -6.72% | -5.24% | -0.61% | 13.42% |
Russell 3000 | -7.12% | -5.45% | -0.49% | 13.28% |
MSCI World ex USA | -9.88% | -6.32% | -9.73% | 3.92% |
MSCI Emerging Markets | -17.11% | -15.22% | -18.98% | -3.25% |
Barclays U.S. Aggregate Bond | -0.47% | 1.13% | 2.94% | 3.10% |
Barclays Global Aggregate | -0.34% | -2.25% | -3.26% | 0.81% |
Returns for periods greater than one year have been annualized. |
In an effort to mitigate this issue and foster the long term sustainability and justice of our global economic system, many of the world’s leaders participated with the United Nations (“UN”) to design and implement a 15-year plan to create the kind of economic development (http://www.calvert.com/media-relations/press-releases/calvert-ceo-participates-in-the-un-sustainable-development-summit) that should benefit the poorest people in the world, preserve opportunities for future generations, and provide stewardship to the environment. This effort, which kicked-off at the UN Summit earlier this month, involves bringing together private enterprise, governments, NGOs, development banks and people of all walks of life to achieve the “Sustainable Development Goals 2015” (SDGs). These goals include: eliminating extreme poverty, eliminating extreme hunger, fostering good health for all, promoting gender equality, and creating environmental sustainability and peace and stability throughout the world. The SDGs impact residents of every country in some manner, but no one more acutely than the denizens of the developing and emerging nations.
It was my privilege, as Calvert’s CEO, to be invited to the Summit, as one of 350 global leaders asked to participate in the development of this critical 15-year sustainability plan. During the course of this event, I announced that Calvert Investments would lead a project (http://www.calvert.com/perspective/social-impact/calvert-un-sustainable-development-goals) to map the Sustainable Development Goals to standards that companies can be measured by, and that investors may look to in order to
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understand which companies are helping to create sustainable, responsible growth. It is integral to the success and achievement of the goals, that the largest holders of capital, i.e., corporations, help drive these initiatives.
The crucial role that corporations now play in creating social and environmental outcomes was highlighted at the UN sessions by the presence of CEOs and sustainability officers from around the world, and the vital role of investors and the capital markets was reflected by our presence and contribution. In addition to representing your interests at the UN event, Calvert has contributed to the understanding of the role that corporations and investors play in driving social and environmental conditions through our most recent research, “The Role of the Corporation in Society”, available to you on our website, (see http://www.calvert.com/perspective/governance/calvert-serafeim-series-report).
Despite the fact that the past year has not brought the financial returns that you or I would have wished for as investors, I believe that when we look back on 2015 several years from now we are likely to see it as a transformative year in terms of our economic and social systems. Individuals and organizations of all types — corporate, government, NGO, religious — are coming together due to the realization that we need a more sustainable and just system to serve the needs of all stakeholders. As a shareholder of Calvert Funds, you are very much part of this mission, as together we are a leader and innovator in connecting capital to mission, with the dual purpose of driving competitive investment returns with just and sustainable economic progress.
On behalf of all of us at Calvert Investments, thank you for the confidence you have placed in our management of your funds and the ongoing privilege to serve you. We appreciate the opportunity to work with you as we strive to meet your financial needs while also helping to render the world a better place for all people.
Respectfully,
John Streur
October 2015
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 7
PORTFOLIO MANAGEMENT DISCUSSION |
Joshua Linder, CFA Portfolio Manager |
Vishal Khanduja, CFA Vice President, Portfolio Manager and Head of Taxable Fixed Income |
Performance
For the 12-month period ended September 30, 2015, Calvert Balanced Portfolio Class A shares (at NAV) declined 1.27%, underperforming the benchmark, the Russell 1000 Index, which declined 0.61%.
The Portfolio also underperformed a blended return from the Balanced Composite benchmark1, a mix of market indexes that more closely reflects the Portfolio’s asset allocation strategy. The composite benchmark returned 0.58% for the period. Relative underperformance by the equity portion of the Portfolio compared with the Russell 1000 Index was the largest detractor during the period. The Portfolio’s overweight in stocks and underweight to fixed income also hurt performance due to the sharp drawdown by equities at the end of the third quarter of 2015.
Investment Process
The Portfolio typically invests about 60% of its assets in equity securities and 40% in debt securities of companies. The equity portion is primarily large-cap U.S. stocks. The fixed-income portion is primarily a variety of investment-grade debt securities. In conjunction with Calvert’s financial analysis, Calvert’s comprehensive responsible investment principles guide our investment research processes and decision-making to inform our view of risk and opportunity factors. Effective October 1, 2015, the Fund (“Funds” for the Social Book) adopted The Calvert Principles for Responsible Investment. The Principles may be found at http://www.calvert.com/approach/how-we-invest/the-calvert-principles.
Market Review
Improving economic conditions in the United States compared with a stagnating or deteriorating growth outlook in much of the rest of the world helped domestic equities outperform international equity markets over the trailing 12-month period. Despite an initial positive reaction by European financial markets following the quantitative easing announcement by the European Central Bank (ECB), there are already signs the eurozone economic recovery may have a hard time accelerating. Further signs of an economic slowdown in China and concerns about the ability of the Chinese government to engineer a soft economic landing weighed on emerging market stocks throughout the period and contributed to the broader sell-off in equities at the end of the third quarter of 2015.
For the 12-month period ended September 30, 2015, the S&P 500 and Russell 1000 both declined 0.61% while the MSCI EAFE Investable Market Index (IMI) and MSCI Emerging Markets Index declined 7.16% and 18.98%, respectively. The Russell 2000 returned 1.25%. The Barclays U.S. Credit Index returned 1.50%.
A wide range of U.S. macroeconomic data improved over the year. Most importantly, the job market was relatively healthy for most of the 12-month period, adding an average of 237,000 jobs per month. This helped push the unemployment rate down to 5.1%, though this was driven in part by a declining labor force participation rate and has not yet been accompanied by meaningful wage growth.
______________________________
1Balanced Composite benchmark is comprised of 60% Russell 1000 Index and 40% Barclays U.S. Credit Index.
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CALVERT BALANCED PORTFOLIO | ||||
SEPTEMBER 30, 2015 | ||||
TEN LARGEST STOCK HOLDINGS | % OF NET ASSETS | |||
Apple, Inc. | 4.0 | % | ||
Wells Fargo & Co. | 3.2 | % | ||
Johnson & Johnson | 3.1 | % | ||
American Financial Group, Inc. | 2.8 | % | ||
McKesson Corp. | 2.4 | % | ||
FedEx Corp. | 2.4 | % | ||
Western Union Co. | 2.2 | % | ||
Capital One Financial Corp. | 2.2 | % | ||
Cisco Systems, Inc. | 2.2 | % | ||
Unilever NV | 2.0 | % | ||
Total | 26.5 | % | ||
The price of crude oil declined by 50% during the period. With lower commodity prices, a stronger dollar, and little wage growth, inflation in the U.S. remained below the U.S. Federal Reserve’s 2% target. The Fed decided to delay interest rate hikes given the continued low inflation and slowing global growth, but is still considering raising rates before the end of the calendar year.
Slowing growth in China helped push down commodity prices and contributed to weakness in other emerging market economies that rely heavily on Chinese commodity consumption. The low level of inflation provides the Chinese government with room for additional accommodative monetary and fiscal policy, which we saw with the devaluing of the yuan.
Portfolio Strategy
Asset Allocation
The Portfolio maintained an overweight position in U.S. equities throughout the period based on our view that U.S. stocks offered a more attractive risk-reward profile than U.S. corporate bonds, given the backdrop of improving economic fundamentals and limited upside in the bond market due to historically low yields.
This position initially hurt performance as stocks pulled back sharply in the first half of October 2014 on fears of a global economic slowdown. We used the pullback as an opportunity to increase domestic equity exposure since the consumer-driven U.S. economy is better insulated from some of the issues affecting international economies. The move proved well-timed as large-cap U.S. equities rebounded sharply and finished the fourth quarter of 2014 up nearly 5 percent. Our overweight allocation to equities added value for most of the period but was more than offset by the negative impact from the steep decline in equities at the end of the third quarter of 2015. On balance, asset allocation detracted from performance over the full 12-month period.
CALVERT BALANCED PORTFOLIO | ||||||
SEPTEMBER 30, 2015 | ||||||
INVESTMENT PERFORMANCE | ||||||
(TOTAL RETURN AT NAV) | ||||||
6 MONTHS ENDED 9/30/15 | 12 MONTHS ENDED 9/30/15 | |||||
Class A | -6.52 | % | -1.27 | % | ||
Class C | -6.90 | % | -2.08 | % | ||
Class I | -6.34 | % | -0.86 | % | ||
Class Y | -6.43 | % | -1.13 | % | ||
Russell 1000 Index | -6.72 | % | -0.61 | % | ||
Balanced Composite Benchmark | -4.81 | % | 0.58 | % | ||
Lipper Mixed-Asset Target Alloc. Growth Funds Average | -6.49 | % | -2.48 | % | ||
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 charges. Balanced Composite benchmark is comprised of 60% Russell 1000 Index and 40% Barclays U.S. Credit Index. | ||||||
CALVERT BALANCED PORTFOLIO | ||||
SEPTEMBER 30, 2015 | ||||
ASSET ALLOCATION | % OF TOTAL INVESTMENTS | |||
Equity Investments | 61.7 | % | ||
Bonds | 35.4 | % | ||
Short-Term Investments | 2.9 | % | ||
Total | 100 | % | ||
Overall, the Portfolio still benefited from having an equity allocation consisting primarily of U.S. stocks, which significantly outperformed international equities over the period.
Equity
Earlier in 2015, we made evolutionary adjustments to the equity sleeve by repositioning it to a more defensive stance given a more cautious macroeconomic outlook, which has an impact on factor selection and weights, as well as model and portfolio construction. We have been placing less emphasis on absolute level of dividends and reduced the sleeve’s debt-to-equity profile. In addition, value and quality factors are at high levels in the model as we anticipate a turn in the style performance away from growth and toward value over the next 6 to 12 months when, and if, the interest rate regime changes.
Our quantitative models drove stock selection during the period. Factors that focus on market sentiment and quality of
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 9
earnings contributed positively to performance, while valuation factors lagged.
Our overweight in health care and underweights in energy and materials (the two worst performing sectors in the Russell 1000) benefited performance. Our stock selection in the information technology sector was positive, but it was challenged in the energy and consumer discretionary sectors.
Fixed Income
The fixed-income sleeve’s short relative duration was a detractor from performance as Treasury yields generally trended down from the two-year to the 30-year area of the yield curve.2 Asset allocation decisions, however, more than offset the drag from the shorter duration. In particular, an underweight to investment-grade credits and government-related securities (about 36 percentage points combined underweight on average) and allocations to out-of-benchmark structured securities and cash significantly added to return over the 12-month period. Performance attribution analysis shows a strong contribution to returns from asset allocation. The sleeve’s underweight to the energy sector (4.9% versus 18.1% average market weight) also contributed positively to returns. The Portfolio’s hedging strategy, which is used to manage interest-rate risk and yield-curve position and is partially implemented with Treasury futures, did not have a material impact on performance.
Outlook
Central banks around the globe have engaged in a concurrent, unprecedented effort to keep interest rates low in hopes of boosting economic activity. As a result, risky assets have appeared more attractive to investors and benefited from an expansion in earnings multiples over the last several years. Although valuations are far from extreme levels, they are well above historical long-term averages, making markets more vulnerable to shocks from some of the negative catalysts currently in the global economy. These include continued economic deceleration in China — a scenario that began to unfold in the third quarter of 2015.
We are worried that concurrent quantitative easing (QE) across multiple global economies could be less potent than that implemented in the U.S. after the financial crisis if these efforts effectively cancel each other out. Market enthusiasm for global QE may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies, including Europe and Japan.
In our view, the probability of a hard economic landing for China is increasing. If this process occurs in a disorderly fashion, it may have a significant negative impact on both market sentiment and the global economy since China is the world’s second-largest economy and has a meaningful impact on corporate earnings streams globally.
We believe the U.S. economy can continue to grow, although the tough first quarter of 2015 caused by severe weather will have a negative impact on growth numbers for the year. The positive impact of lower oil prices should provide additional support to the economy. Despite our positive outlook on the U.S. economy in the medium-to-long run, we continue to be concerned about potential market jitters in the short term given recent data indicating softness globally. Large-cap stocks with relatively high percentages of profits exposed to foreign markets will most likely be more volatile in the next 12-month period as European and Asian economies continue to work through challenging growth environments, soft demand, and the impacts of a high dollar.
Note: for information on a recent portfolio manager change in the Portfolio and other changes, please see the supplement to the prospectus included at the end of this report.
Joshua Linder, CFA
Vishal Khanduja, CFA
Calvert Investments Team
October 2015
______________________________
2Duration measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in value in response to a given change in interest rates.
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Growth of $10,000
The graph below shows the value of a hypothetical $10,000 investment in the Fund over the past 10 fiscal year periods. The results shown are for Class A shares, reflect the deduction of the maximum front-end Class A sales charge of 4.75%, and assume the reinvestment of dividends. The result is compared with a broad based market index. Market indexes are unmanaged and their results do not reflect the effect of expenses or sales charges. The value of an investment in a different share class would be different.
CALVERT BALANCED PORTFOLIO | |||||||
SEPTEMBER 30, 2015 | |||||||
AVERAGE ANNUAL TOTAL RETURNS | Ticker Symbol | 1 Year | 5 Year | 10 Year | |||
Class A (with max. load) | CSIFX | -5.99 | % | 7.03 | % | 3.99 | % |
Class C (with max. load) | CSGCX | -3.06 | % | 7.19 | % | 3.59 | % |
Class I | CBAIX | -0.86 | % | 8.59 | % | 5.02 | % |
Class Y | CBAYX | -1.13 | % | 8.16 | % | 4.54 | % |
Russell 1000 Index | -0.61 | % | 13.42 | % | 6.95 | % | |
Balanced Composite Benchmark | 0.58 | % | 10.00 | % | 6.94 | % | |
Lipper Mixed-Asset Target Alloc. Growth Funds Average | -2.48 | % | 7.66 | % | 4.99 | % | |
Calvert Balanced Portfolio first offered Class Y shares on April 30, 2013. 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. | |||||||
All performance data shown, including the graph above and the adjacent table, represents past performance, does not guarantee future results, assumes reinvestment of dividends and distributions, and does not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions or the redemption of the Fund shares. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. 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; for current performance data, including most recent month-end, visit www.calvert.com. The gross expense ratio from the current prospectus for Class A shares is 1.18%. This number may differ 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 the deduction of the Fund’s operating expenses.
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PORTFOLIO MANAGEMENT DISCUSSION |
Vishal Khanduja, CFA Vice President, Portfolio Manager and Head of Taxable Fixed Income |
Matthew Duch Vice President, Portfolio Manager |
Performance
The Calvert Bond Portfolio Class A shares (at NAV) returned 1.79% for the 12-month period ended September 30, 2015. The Portfolio outperformed its passive benchmark, the Barclays U.S. Credit Index, which returned 1.50% for the period, and the Lipper A Rated Corporate Debt Fund Average, which returned 1.61%.
Investment Process
Environmental, social, and governance considerations
The Calvert fixed-income investment team employs a relative value discipline across our investment portfolios. Broad macroeconomic analysis drives our long-term economic outlook. We then determine our highest investment convictions and allocate assets accordingly, possibly including investments outside our benchmarks. Our bottom-up security selection and sector weight targets result from integrating financial and nonfinancial fundamental analysis into our evaluation process. Effective October 1, 2015, the Fund (“Funds” for the Social Book) adopted The Calvert Principles for Responsible Investment. The Principles may be found at http://www.calvert.com/approach/how-we-invest/the-calvert-principles.
Market Review
Despite steady improvement in the labor market and strong housing data throughout the first half of 2015, a continuing deceleration in growth was evident in a manufacturing slowdown, a decline in business spending, and unimpressive retail sales. Rather than contributing to a surge in spending, the windfall from lower gas prices has led to an increase in personal savings, which rose to 5.4% from 4.7% in the first quarter. Economists cited disruption at West Coast ports and severe weather among the factors contributing to the weak manufacturing output, while a strong dollar was the catalyst for softer exports and weaker earnings for U.S. multinationals.
Oil prices recovered from their fourth-quarter slump and have stabilized around $45 per barrel. The calendar year began with energy companies racing to reduce their capital expenditures to control costs in light of the price decline. Despite the positive impact of lower oil prices on consumers, spending remained sluggish.
Globally, the macroeconomic picture remains one of anemic growth and low inflation or deflation. Aggressive monetary easing outside the U.S. — the European Central Bank (ECB) announced 60 billion euros per month of quantitative easing (QE) in January — pushed both global interest rates and non-U.S. dollar currencies lower. (The euro ended down 11.3% relative to the dollar for the first half of 2015.) U.S. interest rates rose for all maturities in the first half of the year. More recently, China’s slowing economy, uncertainty about the timing of U.S. Federal Reserve tightening, and collapsing commodity prices weighed heavily on global markets. In mid-August, China let the yuan depreciate. This move triggered doubt worldwide about the Chinese government’s ability to manage its slowing economy. Along with wild swings in the Chinese stock market, the devaluation caused a global sell-off in risk assets, particularly in emerging markets, currencies, and commodities. Global equities recorded one of their worst quarters since 2011.
In the U.S., the unemployment rate remained at 5.1% in September, a seven-year low. Gross domestic product increased in the second quarter by 3.7%, after an increase of only 0.6% in the first quarter. Inflation remains in check with the core personal consumption expenditure index up 1.8% in the second quarter, from 1.0% in the first quarter.
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CALVERT BOND PORTFOLIO | ||||
SEPTEMBER 30, 2015 | ||||
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | |||
Corporate | 52.8 | % | ||
Financial Institutions | 19.5 | % | ||
Industrial | 32.6 | % | ||
Utility | 0.7 | % | ||
Equity Securities | 0.1 | % | ||
Funds | 0.2 | % | ||
Exchange-Traded Fund | 0.2 | % | ||
Government Related | 2.7 | % | ||
Agency | 0.4 | % | ||
Local Authority | 2.0 | % | ||
Supranational | 0.3 | % | ||
High Social Impact Investments | 0.4 | % | ||
Municipal | 1.2 | % | ||
Education | 0.4 | % | ||
Government Public Service | 0.2 | % | ||
Health Care | 0.2 | % | ||
Transportation | 0.4 | % | ||
Securitized | 33.7 | % | ||
Asset-Backed Securities | 20.4 | % | ||
Collateralized Mortgage | 0.3 | % | ||
Commercial Mortgage-Backed Securities | 10.9 | % | ||
Mortgage-Backed Pass-Through | 2.1 | % | ||
Short-Term Investments | 3.2 | % | ||
Treasury | 5.7 | % | ||
Total | 100 | % | ||
Despite the improving U.S. economy, the Federal Reserve did not raise interest rates in September because of recent global economic and financial developments. The weaker than expected September jobs report puts a 2015 rate hike in doubt. We continue to expect U.S. interest rates to remain low for the foreseeable future.
Portfolio Strategy
For the 12-month period ending September 30, 2015, outperformance of the Portfolio versus the passive benchmark was driven mainly by asset allocation and security selection decisions. Duration and yield-curve positioning detracted from performance.1 The Portfolio’s hedging strategy, which is used to manage interest-rate risk and yield-curve position and is partially implemented with Treasury futures, did not have a material impact on performance.
______________________________
1Duration measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in value in response to a given change in interest rates.
CALVERT BOND PORTFOLIO | ||||||
SEPTEMBER 30, 2015 | ||||||
INVESTMENT PERFORMANCE | ||||||
(TOTAL RETURN AT NAV) | ||||||
6 MONTHS ENDED 9/30/15 | 12 MONTHS ENDED 9/30/15 | |||||
Class A | -1.94 | % | 1.79 | % | ||
Class C | -2.38 | % | 0.89 | % | ||
Class I | -1.62 | % | 2.36 | % | ||
Class Y | -1.83 | % | 2.06 | % | ||
Barclays U.S. Credit Index | -2.37 | % | 1.50 | % | ||
Lipper A Rated Corporate Debt Funds Average | -2.18 | % | 1.61 | % | ||
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. | ||||||
30 DAYS ENDED | ||||||
SEC YIELD | 9/30/14 | 9/30/15 | ||||
Class A | 1.80 | % | 2.61 | % | ||
Class C | 1.24 | % | 1.86 | % | ||
Class I | 2.69 | % | 3.22 | % | ||
Class Y | 2.27 | % | 2.97 | % | ||
The Portfolio’s allocation to securitized assets, including asset-backed securities and commercial mortgage-backed securities, broadly outperformed the benchmark. We continue to favor these sectors, which are not in the Portfolio’s benchmark, as a replacement for high quality, short-maturity, investment-grade corporates. Their relative value is very compelling and they reduce the Portfolio’s sensitivity to interest rate movements. Securitizations backed by nonperforming residential mortgage loans and consumer loans, most of which have significant credit enhancements, remain our top picks.
The Portfolio’s out-of-benchmark allocation to high-yield corporates was also a positive contributor to performance. Its conservative position in the sector outperformed both benchmark credits and the broader high-yield market. Underexposure to benchmark government-related sectors was a detractor. The Portfolio also benefited from overall under-allocation to the investment-grade corporate sector, which underperformed for the period. The Portfolio’s out-of-benchmark allocation to U.S. Treasuries was also a positive contributor to outperformance.
Security selection within the investment grade sector contributed positively to performance for the period. Securities were mainly chosen from the industrial subsector. Allocations to SBA Communications’ and Crown Castle International’s secured cell tower securities were notable
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 13
contributors within the sector. Securities issued by Genworth Financial and Time Warner Cable detracted from performance.
In February 2015, we began tactically reducing our exposure to the U.S. money center banks on relative valuation and new-debt issuance concerns. Later in the year, we again sought to increase exposure to money center banks on attractive relative valuations. One area we find especially attractive is fixed-to-floating, callable, non-cumulative preferred securities issued by U.S. money center banks. These are hybrid instruments that share the qualities of both equity and debt securities and usually rank between the two in the bank capital structure. These securities can pay dividends at a fixed or floating rate. Although they do not have a set maturity date, most preferred securities are callable and can be redeemed by the issuer after a certain date (the “call date”), usually the end of their fixed-rate period. Issuers are more likely to redeem preferred securities that pay above-market interest rates, and replace them with new, lower-rated preferred securities.
The corporate bond market saw heavy issuance in July, bringing year-to-date issuance above $1 trillion, or about $125 billion more than at this time in 2014. The extra supply of bonds coupled with economic uncertainty has pushed credit spreads wider as higher concessions must be offered to entice investors.
Further spread widening could present attractive opportunities and we are already taking advantage of this with specific credits that we favor. We are remaining patient, however, and increasing our liquidity position in the meantime. We believe a portfolio barbell approach is appropriate. This involves increasing allocations to highly liquid securities (cash and Treasuries typically) while adding exposure to higher yielding assets.
Outlook
We expect U.S. economic growth to pick up from a rather weak first half of the year, but remain below its long-term average. Consumer spending, supported by lower energy prices and an improving employment picture, should continue to drive domestic activity, especially through housing and autos. This should help offset the drag from the strong dollar.
U.S. economic performance and monetary policy is likely to continue to diverge from the rest of the world. The ECB, for instance, is beginning full-scale QE while the Fed is nearing tightening after a more than six-year QE program. Eurozone growth has picked up, but the true success of the ECB easing will only become apparent over a longer time period. It remains to be seen if its relatively late start will ultimately require more easing. In the meantime, barring any deterioration in U.S. economic data, we see a strengthening dollar as likely.
Today’s lower energy prices have dampened inflation, which remains well below 2 percent. This will keep a lid on any potential move higher in long rates. We remain in the camp of those expecting low rates for longer and any meaningful Fed rate increases not happening until late 2015 or the first part of 2016. However, as the Federal Reserve moves to inch short rates higher, lower energy rates will be a catalyst for a flattening yield curve. We also see lower energy costs driving relative outperformance across several industries, both in investment-grade and high-yield markets.
Note: for information on a recent portfolio manager change in the Portfolio and other changes, please see the supplement to the prospectus included at the end of this report.
Vishal Khanduja, CFA
Matthew Duch
Calvert Investment Management, Inc.
October 2015
As of September 30, 2015, the following companies represented the following percentages of net assets: SBA Communications 0.00%, SBA Tower Trust 0.91%, Crown Castle International 0.91%, Genworth Financial 0.23%, and Time Warner Cable 0.21%. Holdings are subject to change.
14 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
Growth of $10,000
The graph below shows the value of a hypothetical $10,000 investment in the Fund over the past 10 fiscal year periods. The results shown are for Class A shares, reflect the deduction of the maximum front-end Class A sales charge of 3.75%, and assume the reinvestment of dividends. The result is compared with a broad based market index. Market indexes are unmanaged and their results do not reflect the effect of expenses or sales charges. The value of an investment in a different share class would be different.
CALVERT BOND PORTFOLIO | |||||||
SEPTEMBER 30, 2015 | |||||||
AVERAGE ANNUAL TOTAL RETURNS | Ticker Symbol | 1 Year | 5 Year | 10 Year | |||
Class A (with max. load) | CSIBX | -2.02 | % | 2.26 | % | 3.56 | % |
Class C (with max. load) | CSBCX | -0.11 | % | 2.20 | % | 3.13 | % |
Class I | CBDIX | 2.36 | % | 3.65 | % | 4.58 | % |
Class Y | CSIYX | 2.06 | % | 3.33 | % | 4.15 | % |
Barclays U.S. Credit Index | 1.50 | % | 4.09 | % | 5.28 | % | |
Lipper A Rated Corporate Debt Funds Average | 1.61 | % | 3.71 | % | 4.52 | % | |
Calvert 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. | |||||||
All performance data shown, including the graph above and the adjacent table, represents past performance, does not guarantee future results, assumes reinvestment of dividends and distributions, and does not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions or the redemption of the Fund shares. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. 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; for current performance data, including most recent month-end, visit www.calvert.com. The gross expense ratio from the current prospectus for Class A shares is 1.12%. This number may differ 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 the deduction of the Fund’s operating expenses.
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 15
PORTFOLIO MANAGEMENT DISCUSSION |
Richard England, CFA of Atlanta Capital Management Company |
Performance
For the 12-month period ended September 30, 2015, the Class A shares (at NAV) of the Calvert Equity Portfolio returned 4.57%. The benchmark, the S&P 500, declined 0.61%. Our strong performance was attributable to our moderate growth orientation and our stock selection and sector-weighting decisions, which were about equally beneficial.
Investment Process
The Fund invests primarily in the common stocks of U.S. large-cap companies with positive environmental, social, and governance attributes. The subadvisor, Atlanta Capital Management, focuses on high quality growth businesses with a history of earnings stability that are trading at attractive valuations. Effective October 1, 2015, the Fund (“Funds” for the Social Book) adopted The Calvert Principles for Responsible Investment. The Principles may be found at http://www.calvert.com/approach/how-we-invest/the-calvert-principles.
Market Review
There’s not likely any more easy money to be made in this cycle. After roughly tripling from the trough in early 2009, the market has moved little in the last 12 months. The popular press, for the most part, attributes the market’s difficulty in pressing higher to exogenous events like the Greek debt showdown, the Chinese stock market, or congressional gridlock. All these factors and others have no doubt contributed to the volatility we’ve seen, but there’s probably a simpler explanation. As we flagged in last year’s letter, a significant slowing in earnings growth and what we believed to be fairly full valuations were causes for concern. These concerns have proven to be well-founded and are the primary causes of the stagnation in the market in the past year, in our view.
In fact, earnings growth has been somewhat slower than we expected and the market’s return has come up short. There have been three major causes of disappointing earnings: the fallout from the collapse in the price of oil, a stronger dollar, and weakness in several emerging market economies. As is often the case, these factors are interrelated.
On the surface, it might seem that a big drop in oil prices would be a boon for the economy and corporate earnings. While it’s true that a price drop reduces expenditures for consumers and many businesses, the decline has had a big negative effect on the purchase of capital equipment from companies with ties to the oil and gas business. For purposes of tallying up corporate earnings, this decline in capital purchasing has a much larger impact than cost savings for consumers and businesses.
The U.S. economy is in better shape than most others around the globe and that has driven significant dollar appreciation over the last 12 months. This has two effects, both of which have contributed to softening earnings prospects. First, the stronger dollar has the effect of making U.S. manufacturers less competitive and thus hurts sales and profits. Second, since approximately 35% of S&P 500 earnings come from overseas, those foreign profits are translated back into fewer dollars when our currency is strong.
The final factor slicing into corporate profits is slowed growth in emerging market economies. Here, China gets all the attention but Brazil, Russia, and much of Southeast Asia are weak, too. While the amount of exposure to these economies among big U.S. companies varies greatly, at the margin this has dampened profits as well.
The net result of all this has been earnings growth slowing to essentially zero over the last couple of quarters. In this context, it’s not terribly surprising that the market has stalled out and has been vulnerable to the volatility we’ve seen over the summer and into the fall.
One consequence of slower growth and compressing earnings is that the market has been fairly narrow. That is, in a world where growth has been hard to come by, investors have crowded into a limited number of stocks, largely those with strong organic growth prospects. If you own lots of these stocks, your portfolio has performed very well. If you do not, outperforming is nearly impossible. One of the reasons the market became vulnerable to a correction is that many of these stocks were bid up to fully valued levels.
16 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
CALVERT EQUITY PORTFOLIO | ||||
SEPTEMBER 30, 2015 | ||||
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | |||
Consumer Discretionary | 15.9 | % | ||
Consumer Staples | 15.4 | % | ||
Energy | 3.5 | % | ||
Financials | 9.3 | % | ||
Health Care | 14.2 | % | ||
High Social Impact Investments | 0.4 | % | ||
Industrials | 6.6 | % | ||
Information Technology | 27.7 | % | ||
Limited Partnership Interest | 0.5 | % | ||
Materials | 2.9 | % | ||
Short-Term Investments | 2.1 | % | ||
Venture Capital | 1.5 | % | ||
Total | 100 | % | ||
Portfolio Strategy
The narrowness of the market described above has led to growth-style investments greatly outperforming value investments over the last 12 months. The gap between those style factors means that the spread in performance among the various sectors over the trailing year has been huge. While the overall market has been roughly flat over the period, performance ranges from a nearly 30% decline for the energy sector to an over 10% or so gain for the consumer discretionary sector. The relative performance of the sectors matches up tightly with degree of exposure to earnings risk, a stronger dollar, and emerging markets.
While we spend a lot more time analyzing the attractiveness of individual stocks than making sector bets, over the last 12 months the weights we held in the various sectors were solidly additive to our relative performance. Our overweight of consumer discretionary and significant underweight to the energy sector had the greatest positive impacts.
Your portfolio benefited from our strong stock selection as well as our weighting decisions in the last year. We had notable winners in a variety of sectors. Starbucks, CVS Health, and Lowe’s are all consumer-facing and logged big returns. Starbucks continues to execute exceptionally well, broadening its food offering and more recently rolling out a traffic-enhancing mobile ordering system. Lowe’s is a key beneficiary of the continuing housing recovery. CVS’s consistent earnings delivery is a result of leading positions in both retail pharmacy and the pharmacy benefit manager space. We were cheerleaders for this combination when it was announced many years ago. The company further rose in our estimation when it announced last fall that it would pull all tobacco products from its stores. Significant contributors from other sectors included Visa, Cigna, Apple, and Google.
CALVERT EQUITY PORTFOLIO | ||||||
SEPTEMBER 30, 2015 | ||||||
INVESTMENT PERFORMANCE | ||||||
(TOTAL RETURN AT NAV) | ||||||
6 MONTHS ENDED 9/30/15 | 12 MONTHS ENDED 9/30/15 | |||||
Class A | -3.80 | % | 4.57 | % | ||
Class C | -4.16 | % | 3.82 | % | ||
Class I | -3.57 | % | 5.06 | % | ||
Class Y | -3.68 | % | 4.89 | % | ||
S&P 500 Index | -6.18 | % | -0.61 | % | ||
Lipper Large-Cap Growth Funds Average | -5.71 | % | 2.08 | % | ||
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. | ||||||
TEN LARGEST STOCK HOLDINGS | % OF NET ASSETS | |||||
Alphabet, Inc. | 5.5 | % | ||||
CVS Health Corp. | 4.8 | % | ||||
Visa, Inc., Class A | 4.7 | % | ||||
Apple, Inc. | 4.3 | % | ||||
Lowe's Co.'s, Inc. | 4.0 | % | ||||
Wells Fargo & Co. | 3.2 | % | ||||
Express Scripts Holding Co. | 3.1 | % | ||||
American Express Co. | 3.1 | % | ||||
Bristol-Myers Squibb Co. | 2.9 | % | ||||
Danaher Corp. | 2.9 | % | ||||
Total | 38.5 | % | ||||
Biogen was one stock that did not perform as we expected. While this was a strong performer early in the year, we added to our position at the wrong time on excitement over a potential Alzheimer’s drug candidate. That potential catalyst still could materialize but that will be a ways off, and in the meantime, softness in a key existing drug brought the stock down in the last few months. We remain believers. Other disappointing performers included Qualcomm Technologies, Michael Kors, and American Express.
Outlook
The last few months have seen a significant uptick in volatility and a decline in the market averages that we’ve been concerned about for well over a year. As earnings growth slowed, relatively high valuations and an approaching end to the Federal Reserve’s extreme accommodation left the market increasingly vulnerable. The market loathes uncertainty and between the Fed’s vacillations, softer emerging market economies, fear of a stronger dollar, and
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 17
renewed weakness in oil, something had to give. It’s very hard to know if there’s more of this correction ahead.
That’s the bad news. The good news is that economic cycles and bull markets don’t end because they reach a certain age or travel a certain distance. An intervention is usually required, and that has historically been the Fed stepping on the brakes, trying to put the inflation genie back in the bottle. The 25-basis point first step that has been much debated is nowhere near enough to throttle back the economy.
Market corrections have historically interrupted bull market runs, and then faded as the market gets back on track. That’s what we believe is happening now in the early fall of 2015. A significantly bigger downturn in the market would most likely require a recession, and we believe a recession is very improbable.
Market fundamentals have softened a bit as economic growth keeps getting pushed into the future, but we believe that the correction has made stocks modestly more attractive. That is especially true for the high-quality stocks that populate your portfolio. However, a major run-up in stock prices would most likely require a step up in the perception of global growth. While global monetary conditions certainly are compatible with a prediction of better growth around the corner, there are still enough question marks in the outlook that we believe modest market appreciation is the best forecast for the intermediate term. The Calvert Equity Portfolio remains positioned to provide protection against a more negative outcome and solid participation in the outcome we believe is most likely.
Note: for information on a recent portfolio manager change in the Portfolio and other changes, please see the supplement to the prospectus included at the end of this report.
Atlanta Capital Management
October 2015
As of September 30, 2015, the following companies represented the following percentages of net assets: Starbucks 2.23%, CVS Health 4.81%, Lowe’s 3.99%, Visa 4.65%, Cigna 2.22%, Apple 4.30%, Google 0.00%, Biogen 2.30%, Qualcomm Technologies 1.20%, Michael Kors 0.00%, and American Express 3.05%. Holdings are subject to change.
18 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
Growth of $10,000
The graph below shows the value of a hypothetical $10,000 investment in the Fund over the past 10 fiscal year periods. The results shown are for Class A shares, reflect the deduction of the maximum front-end Class A sales charge of 4.75%, and assume the reinvestment of dividends. The result is compared with benchmarks that include a broad based market index. Market indexes are unmanaged and their results do not reflect the effect of expenses or sales charges. The value of an investment in a different share class would be different.
CALVERT EQUITY PORTFOLIO | |||||||
SEPTEMBER 30, 2015 | |||||||
AVERAGE ANNUAL TOTAL RETURNS | Ticker Symbol | 1 Year | 5 Year | 10 Year | |||
Class A (with max. load) | CSIEX | -0.40 | % | 11.07 | % | 6.66 | % |
Class C (with max. load) | CSECX | 2.82 | % | 11.35 | % | 6.38 | % |
Class I | CEYIX | 5.08 | % | 12.75 | % | 7.76 | % |
Class Y | CIEYX | 4.89 | % | 12.56 | % | 7.43 | % |
S&P 500 Index | -0.61 | % | 13.34 | % | 6.80 | % | |
Lipper Large-Cap Growth Funds Average | 2.08 | % | 13.01 | % | 7.08 | % | |
Calvert 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. | |||||||
All performance data shown, including the graph above and the adjacent table, represents past performance, does not guarantee future results, assumes reinvestment of dividends and distributions, and does not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions or the redemption of the Fund shares. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. 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; for current performance data, including most recent month-end, visit www.calvert.com. The gross expense ratio from the current prospectus for Class A shares is 1.17%. This number may differ 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 the deduction of the Fund’s operating expenses.
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 19
PORTFOLIO MANAGEMENT DISCUSSION |
Joshua Linder, CFA Portfolio Manager |
Christopher Madden, CFA Portfolio Manager |
Performance
Calvert Large Cap Core Fund Class A shares (at NAV) declined 2.42% for the 12-month period ended September 30, 2015, compared with the Russell 1000 Index, which declined 0.61%. The Fund’s relative underperformance was due to challenging stock selection in the energy and consumer discretionary sectors.
Investment Process
Our investment process focuses on sustainable businesses with attractive valuations and environmental, social, and governance (ESG) characteristics, generous dividend yields, reasonable growth prospects, stable quality of earnings and cash flows, and market support.
This remains a high-conviction portfolio of 34 stocks, with 42% of the portfolio in the Fund’s top 10 holdings and an active share of 88 percent. Effective October 1, 2015, the Fund (“Funds” for the Social Book) adopted The Calvert Principles for Responsible Investment. The Principles may be found at http://www.calvert.com/approach/how-we-invest/the-calvert-principles.
Market Review
Improving economic conditions in the United States compared with a stagnating or deteriorating growth outlook in much of the rest of the world helped domestic equities outperform international equity markets over the reporting period. Despite an initial positive reaction by European financial markets following the quantitative easing announcement by the European Central Bank (ECB), there are already signs the eurozone economic recovery may have a hard time accelerating. Further signs of an economic slowdown in China and concerns about the ability of the Chinese government to engineer a soft economic landing weighed on emerging market stocks throughout the period and contributed to the broader sell-off in equities at the end of the third quarter of 2015.
For the 12-month period ended September 30, 2015, the S&P 500 and Russell 1000 both declined 0.61% while the MSCI EAFE Investable Market Index (IMI) and MSCI Emerging Markets Index declined 7.16% and 18.98%, respectively. The Russell 2000 returned 1.25%. The Barclays U.S. Credit Index returned 1.50%.
A wide range of U.S. macroeconomic data improved over the year. Most importantly, the job market was relatively healthy for most of the 12-month period, adding an average of 237,000 jobs per month. This helped push the unemployment rate down to 5.1%, though this was driven in part by a declining labor force participation rate and has not yet been accompanied by meaningful wage growth.
The price of crude oil declined by 50% during the period. With lower commodity prices, a stronger dollar, and little wage growth, inflation in the U.S. remained below the U.S. Federal Reserve’s 2% target. The Fed decided to delay interest rate hikes given the continued low inflation and slowing global growth, but is still considering raising rates before the end of the calendar year.
Slowing growth in China helped push down commodity prices and contributed to weakness in other emerging market economies that rely heavily on Chinese commodity consumption. The low level of inflation provides the Chinese government with room for additional accommodative monetary and fiscal policy, which we saw with the devaluing of the yuan.
20 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
CALVERT LARGE CAP CORE PORTFOLIO | ||||
SEPTEMBER 30, 2015 | ||||
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | |||
Consumer Discretionary | 11.6 | % | ||
Consumer Staples | 9.1 | % | ||
Energy | 3.0 | % | ||
Financials | 20.1 | % | ||
Health Care | 16.4 | % | ||
Industrials | 13.7 | % | ||
Information Technology | 16.2 | % | ||
Short-Term Investments | 6.4 | % | ||
Telecommunication Services | 3.5 | % | ||
Total | 100 | % | ||
Portfolio Strategy
Several factors contributed to the Fund’s performance during the period. The Fund remained relatively stable during the past 12 months with about 17% turnover and many of the same stocks held in the Fund throughout the period.
Earlier in 2015, we made evolutionary adjustments to the Fund by repositioning it to a more defensive stance given a more cautious macroeconomic outlook, which impacts factor selection and weights, as well as model and portfolio construction. We have been placing less emphasis on absolute level of dividends and reduced the Fund’s debt-to-equity profile. In addition, value and quality factors are at high levels in the model as we anticipate a turn in the style performance away from growth and toward value over the next 6 to 12 months if, as expected, the interest rate regime changes.
Our quantitative models drove stock selection during the period. Factors that focus on market sentiment and quality of earnings contributed positively to performance, while valuation factors lagged.
Our overweight in health care and underweights in energy and materials (the two worst performing sectors in the Russell 1000) benefited performance. Our stock selection in the information technology sector was positive, but it was challenged in the energy and consumer discretionary sectors.
Information technology stock DST Systems, up 27% in the period,1 was a positive contributor. DST provides fund accounting and record-keeping services to mutual funds as well as software that pharmacies use for health claims. DST has bought back almost half its shares since 2005.
______________________________
1All returns reflect the period a holding was in the Fund.
CALVERT LARGE CAP CORE PORTFOLIO | ||||||
SEPTEMBER 30, 2015 | ||||||
INVESTMENT PERFORMANCE | ||||||
(TOTAL RETURN AT NAV) | ||||||
6 MONTHS ENDED 9/30/15 | 12 MONTHS ENDED 9/30/15 | |||||
Class A | -8.78 | % | -2.42 | % | ||
Class C | -9.13 | % | -3.17 | % | ||
Class I | -8.56 | % | -2.05 | % | ||
Class Y | -8.73 | % | -2.37 | % | ||
Russell 1000 Index | -6.72 | % | -0.61 | % | ||
Lipper Large-Cap Core Funds Average | -7.09 | % | -2.20 | % | ||
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. | ||||||
TEN LARGEST STOCK HOLDINGS | % OF NET ASSETS | |||||
Apple, Inc. | 6.2 | % | ||||
Wells Fargo & Co. | 5.0 | % | ||||
Johnson & Johnson | 4.8 | % | ||||
American Financial Group, Inc. | 4.4 | % | ||||
McKesson Corp. | 3.8 | % | ||||
FedEx Corp. | 3.7 | % | ||||
Western Union Co. (The) | 3.5 | % | ||||
Capital One Financial Corp. | 3.5 | % | ||||
Cisco Systems, Inc. | 3.5 | % | ||||
Unilever NV, NY Shares | 3.2 | % | ||||
Total | 41.6 | % | ||||
It grows by adding assets to its proprietary exchange-traded funds and by adding customers in health care as more Americans have health insurance. DST earns high marks for efficient energy use and programs to develop its workforce, including an employee stock ownership plan, linking individual and company success.
Another positive contributor was Time Warner Cable, up 28%. Time Warner provides high-speed video, Internet, and phone service to customers through its own infrastructure. The company agreed to be purchased by fellow cable operator Charter Communications. The Fund’s strategy leads us to benefit from merger and acquisition activity, as we seek high-quality companies generating strong cash flows. If the stock market does not recognize these companies’ value, strategic buyers often will. Time Warner has good ESG stewardship, including reducing power consumption in set-top boxes.
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 21
Denbury Resources, which uses CO2 sequestration in the production of oil and natural gas, was a negative contributor during the period. Falling oil prices hurt the stock. Another poor performing stock was Viacom, which owns movie and TV studios, as well as TV channels such as Nickelodeon and MTV. Viacom has been hurt by steep ratings declines at those two networks, as younger viewers are moving to other forms of entertainment. Viacom is making strong progress toward reducing energy consumption through steps such as replacing incandescent lights and installing motion sensors.
Outlook
Central banks around the globe have engaged in a concurrent, unprecedented effort to keep interest rates low in hopes of boosting economic activity. As a result, risky assets have appeared more attractive to investors and benefited from an expansion in earnings multiples over the last several years. Although valuations are far from extreme levels, they are well above historical long-term averages, making markets more vulnerable to shocks from some of the negative catalysts currently in the global economy. These include continued economic deceleration in China — a scenario that began to unfold in the third quarter of 2015.
We are worried that concurrent quantitative easing (QE) across multiple global economies could be less potent than that implemented in the U.S. after the financial crisis if these efforts effectively cancel each other out. Market enthusiasm for global QE may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies, including Europe and Japan.
In our view, the probability of a hard economic landing for China is increasing. If this process occurs in a disorderly fashion, it may have a significant negative impact on both market sentiment and the global economy since China is the world’s second-largest economy and has a meaningful impact on corporate earnings streams globally.
We believe the U.S. economy can continue to grow, although the tough first quarter of 2015 caused by severe weather will have a negative impact on growth numbers for the year. The positive impact of lower oil prices should provide additional support to the economy. Despite our positive outlook on the U.S. economy in the medium-to-long run, we continue to be concerned about potential market jitters in the short term given recent data indicating softness globally. Large-cap stocks with relatively high percentages of profits exposed to foreign markets will most likely be more volatile in the next 12-month period as European and Asian economies continue to work through challenging growth environments, soft demand, and the impacts of a high dollar.
Note: for information on a recent portfolio manager change in the Fund and other changes, please see the supplement to the prospectus included at the end of this report.
Joshua Linder, CFA
Christopher Madden
Calvert Investment Management, Inc.
October 2015
As of September 30, 2015, the following companies represented the following percentages of net assets: DST Systems 3.02%, Time Warner Cable 3.17% Denbury Resources 0.51%, and Viacom 0.81%. Holdings are subject to change.
22 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
Growth of $10,000
The graph below shows the value of a hypothetical $10,000 investment in the Fund over the past 10 fiscal year periods. The results shown are for Class A shares, reflect the deduction of the maximum front-end Class A sales charge of 4.75%, or deferred sales charge, as applicable and assume the reinvestment of dividends. The result is compared with a broad based market index. Market indexes are unmanaged and their results do not reflect the effect of expenses or sales charges. The value of an investment in a different share class would be different.
CALVERT LARGE CAP CORE PORTFOLIO | |||||||
SEPTEMBER 30, 2015 | |||||||
AVERAGE ANNUAL TOTAL RETURNS | Ticker Symbol | 1 Year | 5 Year | 10 Year | |||
Class A (with max. load) | CMIFX | -7.09 | % | 9.94 | % | 4.27 | % |
Class C (with max. load) | CMICX | -4.19 | % | 10.08 | % | 3.88 | % |
Class I | CMIIX | -2.05 | % | 11.58 | % | 5.29 | % |
Class Y | CLYCX | -2.37 | % | 11.08 | % | 4.80 | % |
Russell 1000 Index | -0.61 | % | 13.42 | % | 6.95 | % | |
Lipper Large-Cap Core Funds Average | -2.20 | % | 11.82 | % | 6.02 | % | |
Calvert Large Cap Core Portfolio first offered Class Y shares on April 30, 2013. 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. | |||||||
All performance data shown, including the graph above and the adjacent table, represents past performance, does not guarantee future results, assumes reinvestment of dividends and distributions, and does not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions or the redemption of the Fund shares. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. 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; for current performance data, including most recent month-end, visit www.calvert.com. The gross expense ratio from the current prospectus for Class A shares is 1.30%. This number may differ 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 the deduction of the Fund’s operating expenses.
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 23
UNDERSTANDING YOUR FUND'S EXPENSES
As an investor, you incur two types of costs. There are transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in this mutual fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by the fund's investors during the period. The actual and hypothetical information presented in the examples is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2015 to September 30, 2015).
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.
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.
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.
BALANCED | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 4/1/15 | ENDING ACCOUNT VALUE 9/30/15 | EXPENSES PAID DURING PERIOD* 4/1/15 - 9/30/15 | ||||
Class A | ||||||||
Actual | 1.13% | $1,000.00 | $934.80 | $5.48 | ||||
Hypothetical (5% return per year before expenses) | 1.13% | $1,000.00 | $1,019.40 | $5.72 | ||||
Class C | ||||||||
Actual | 1.93% | $1,000.00 | $931.00 | $9.34 | ||||
Hypothetical (5% return per year before expenses) | 1.93% | $1,000.00 | $1,015.39 | $9.75 | ||||
Class I | ||||||||
Actual | 0.65% | $1,000.00 | $936.60 | $3.16 | ||||
Hypothetical (5% return per year before expenses) | 0.65% | $1,000.00 | $1,021.81 | $3.29 | ||||
Class Y | ||||||||
Actual | 0.95% | $1,000.00 | $935.70 | $4.61 | ||||
Hypothetical (5% return per year before expenses) | 0.95% | $1,000.00 | $1,020.31 | $4.81 | ||||
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expense ratios shown in the Financial Highlights represent the actual expenses incurred for the fiscal year. |
24 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
BOND | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 4/1/15 | ENDING ACCOUNT VALUE 9/30/15 | EXPENSES PAID DURING PERIOD* 4/1/15 - 9/30/15 | ||||
Class A | ||||||||
Actual | 1.04% | $1,000.00 | $980.60 | $5.16 | ||||
Hypothetical (5% return per year before expenses) | 1.04% | $1,000.00 | $1,019.85 | $5.27 | ||||
Class C | ||||||||
Actual | 1.90% | $1,000.00 | $976.20 | $9.41 | ||||
Hypothetical (5% return per year before expenses) | 1.90% | $1,000.00 | $1,015.54 | $9.60 | ||||
Class I | ||||||||
Actual | 0.52% | $1,000.00 | $983.80 | $2.59 | ||||
Hypothetical (5% return per year before expenses) | 0.52% | $1,000.00 | $1,022.46 | $2.64 | ||||
Class Y | ||||||||
Actual | 0.83% | $1,000.00 | $981.70 | $4.12 | ||||
Hypothetical (5% return per year before expenses) | 0.83% | $1,000.00 | $1,020.91 | $4.20 | ||||
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expense ratios shown in the Financial Highlights represent the actual expenses incurred for the fiscal year. |
EQUITY | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 4/1/15 | ENDING ACCOUNT VALUE 9/30/15 | EXPENSES PAID DURING PERIOD* 4/1/15 - 9/30/15 | ||||
Class A | ||||||||
Actual | 1.08% | $1,000.00 | $962.00 | $5.31 | ||||
Hypothetical (5% return per year before expenses) | 1.08% | $1,000.00 | $1,019.65 | $5.47 | ||||
Class C | ||||||||
Actual | 1.86% | $1,000.00 | $958.40 | $9.13 | ||||
Hypothetical (5% return per year before expenses) | 1.86% | $1,000.00 | $1,015.74 | $9.40 | ||||
Class I | ||||||||
Actual | 0.63% | $1,000.00 | $964.30 | $3.10 | ||||
Hypothetical (5% return per year before expenses) | 0.63% | $1,000.00 | $1,021.91 | $3.19 | ||||
Class Y | ||||||||
Actual | 0.85% | $1,000.00 | $963.20 | $4.18 | ||||
Hypothetical (5% return per year before expenses) | 0.85% | $1,000.00 | $1,020.81 | $4.31 | ||||
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expense ratios shown in the Financial Highlights represent the actual expenses incurred for the fiscal year. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 25
LARGE CAP CORE | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 4/1/15 | ENDING ACCOUNT VALUE 9/30/15 | EXPENSES PAID DURING PERIOD* 4/1/15 - 9/30/15 | ||||
Class A | ||||||||
Actual | 1.17% | $1,000.00 | $912.20 | $5.61 | ||||
Hypothetical (5% return per year before expenses) | 1.17% | $1,000.00 | $1,019.20 | $5.92 | ||||
Class C | ||||||||
Actual | 1.92% | $1,000.00 | $908.70 | $9.19 | ||||
Hypothetical (5% return per year before expenses) | 1.92% | $1,000.00 | $1,015.44 | $9.70 | ||||
Class I | ||||||||
Actual | 0.71% | $1,000.00 | $914.40 | $3.41 | ||||
Hypothetical (5% return per year before expenses) | 0.71% | $1,000.00 | $1,021.51 | $3.60 | ||||
Class Y | ||||||||
Actual | 1.07% | $1,000.00 | $912.70 | $5.13 | ||||
Hypothetical (5% return per year before expenses) | 1.07% | $1,000.00 | $1,019.70 | $5.42 | ||||
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expense ratios shown in the Financial Highlights represent the actual expenses incurred for the fiscal year. |
26 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of Calvert Social Investment Fund:
We have audited the accompanying statements of assets and liabilities of the Calvert Balanced Portfolio, Calvert Bond Portfolio, Calvert Equity Portfolio, and Calvert Large Cap Core Portfolio (collectively, the ��Funds”), each a series of Calvert Social Investment Fund, as of September 30, 2015, 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 or periods in the five-year period then ended. 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, 2015 by correspondence with the custodian and brokers or by 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 Balanced Portfolio, Calvert Bond Portfolio, Calvert Equity Portfolio, and Calvert Large Cap Core Portfolio as of September 30, 2015, 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 or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
November 25, 2015
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 27
CALVERT BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
SHARES | VALUE ($) | |
EQUITY SECURITIES - 61.2% | ||
Air Freight & Logistics - 3.1% | ||
FedEx Corp. | 105,883 | 15,245,034 |
United Parcel Service, Inc., Class B | 48,878 | 4,823,770 |
20,068,804 | ||
Automobiles - 1.9% | ||
Toyota Motor Corp. (ADR) | 105,869 | 12,416,316 |
Banks - 3.2% | ||
Wells Fargo & Co. | 400,629 | 20,572,299 |
Biotechnology - 1.7% | ||
Amgen, Inc. | 80,482 | 11,132,270 |
Communications Equipment - 2.2% | ||
Cisco Systems, Inc. | 542,704 | 14,245,980 |
Consumer Finance - 2.2% | ||
Capital One Financial Corp. (s) | 198,342 | 14,383,762 |
Diversified Financial Services - 1.3% | ||
Moody's Corp. | 86,582 | 8,502,352 |
Diversified Telecommunication Services - 2.3% | ||
AT&T, Inc. | 388,003 | 12,641,138 |
BT Group plc (ADR) | 36,259 | 2,311,511 |
14,952,649 | ||
Energy Equipment & Services - 1.6% | ||
National Oilwell Varco, Inc. | 272,872 | 10,273,631 |
Food & Staples Retailing - 2.0% | ||
CVS Health Corp. | 132,310 | 12,765,269 |
Health Care Equipment & Supplies - 2.0% | ||
St. Jude Medical, Inc. | 205,830 | 12,985,815 |
SHARES | VALUE ($) | |
Health Care Providers & Services - 2.4% | ||
McKesson Corp. | 83,512 | 15,452,225 |
Household Products - 1.8% | ||
Kimberly-Clark Corp. | 105,267 | 11,478,314 |
Industrial Conglomerates - 1.6% | ||
Danaher Corp. | 121,602 | 10,361,706 |
Insurance - 6.1% | ||
Allianz SE (ADR) | 152,856 | 2,389,139 |
American Financial Group, Inc. | 266,127 | 18,338,812 |
Prudential Financial, Inc. | 143,576 | 10,941,927 |
Travelers Co.'s, Inc. (The) | 77,853 | 7,748,709 |
39,418,587 | ||
IT Services - 4.2% | ||
DST Systems, Inc. | 118,627 | 12,472,443 |
Western Union Co. (The) | 787,827 | 14,464,504 |
26,936,947 | ||
Machinery - 4.1% | ||
Cummins, Inc. | 83,400 | 9,055,572 |
Deere & Co. | 114,220 | 8,452,280 |
Dover Corp. | 154,679 | 8,844,545 |
26,352,397 | ||
Media - 5.6% | ||
Omnicom Group, Inc. | 159,410 | 10,505,119 |
Time Warner Cable, Inc. | 73,091 | 13,110,332 |
Time Warner, Inc. | 133,461 | 9,175,444 |
Viacom, Inc., Class B | 77,918 | 3,362,162 |
36,153,057 | ||
Oil, Gas & Consumable Fuels - 0.4% | ||
Denbury Resources, Inc. | 891,363 | 2,174,926 |
Personal Products - 2.1% | ||
Unilever NV, NY Shares | 328,430 | 13,202,886 |
28 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | |||
Pharmaceuticals - 4.3% | ||||
Johnson & Johnson | 213,570 | 19,936,760 | ||
Roche Holding AG (ADR) | 242,960 | 8,005,532 | ||
27,942,292 | ||||
Technology Hardware, Storage & Peripherals - 4.1% | ||||
Apple, Inc. | 236,641 | 26,101,502 | ||
Venture Capital - 1.0% | ||||
Agraquest, Inc., Contingent Deferred Distribution (b)(i)* | 1 | 67,429 | ||
CFBanc Corp. (b)(i)* | 27,000 | 462,596 | ||
Community Bank of the Bay * | 4,000 | 18,360 | ||
Consensus Orthopedics, Inc.: | ||||
Common Stock(b)(i)* | 180,877 | — | ||
Series A-1, Preferred(b)(i)* | 420,683 | — | ||
Series B, Preferred(b)(i)* | 348,940 | — | ||
Series C, Preferred(b)(i)* | 601,710 | 164,911 | ||
Kickboard: | ||||
Common(a)(b)(i)* | 169,932 | 33,568 | ||
Series A, Preferred(a)(b)(i)* | 1,560,476 | 385,328 | ||
LearnZillion, Inc.: | ||||
Series A, Preferred(b)(i)* | 169,492 | 100,000 | ||
Series A-1, Preferred(b)(i)* | 108,678 | 134,761 | ||
Lumni, Inc., Series B, Preferred (b)(i)* | 17,265 | 127,416 | ||
MACH Energy: | ||||
Common(b)(i)* | 20,536 | 2,264 | ||
Series A, Preferred(b)(i)* | 27,977 | 14,302 | ||
Series B, Preferred(b)(i)* | 26,575 | 17,546 | ||
Neighborhood Bancorp (b)(i)* | 10,000 | — | ||
Seventh Generation, Inc. (b)(i)* | 150,222 | 4,574,970 | ||
Wild Planet Entertainment, Contingent Deferred Distribution (b)(i)* | 1 | 21,841 | ||
Wind Harvest Co., Inc. (b)(i)* | 8,696 | — | ||
6,125,292 | ||||
Wireless Telecommunication Services - 0.0% | ||||
NII Holdings, Inc.* | 15,747 | 102,513 | ||
Total Equity Securities (Cost $395,681,586) | 394,101,791 | |||
ADJUSTED BASIS ($) | VALUE ($) | |||
VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.2% | ||||
Coastal Venture Partners (b)(i)* | 57,944 | 65,989 | ||
Commons Capital (b)(i)* | 327,358 | 151,236 | ||
First Analysis Private Equity Fund IV (b)(i)* | 143,899 | 644,176 | ||
GEEMF Partners LP (a)(b)(i)* | — | 64,783 | ||
Global Environment Emerging Markets Fund (b)(i)* | — | 227,318 | ||
Infrastructure and Environmental Private Equity Fund III (b)(i)* | — | — | ||
Labrador Ventures III (b)(i)* | 305,585 | 13,283 | ||
New Markets Growth Fund LLC (b)(i)* | 225,646 | — | ||
Solstice Capital (b)(i)* | 7,494 | 76,877 | ||
Total Venture Capital Limited Partnership Interest (Cost $1,067,926) | 1,243,662 | |||
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
VENTURE CAPITAL DEBT OBLIGATIONS - 0.2% | ||||
Kickboard Bridge Note, 8.00%, 6/30/16 (a)(b)(i) | 41,000 | 41,000 | ||
Rose Smart Growth Investment Fund I LP, 6.545%, 4/1/21 (b)(i) | 1,000,000 | 1,051,837 | ||
Total Venture Capital Debt Obligations (Cost $1,041,000) | 1,092,837 | |||
ASSET-BACKED SECURITIES - 7.7% | ||||
ALM XII Ltd., 2.639%, 4/16/27 (e)(r) | 1,000,000 | 997,800 | ||
American Credit Acceptance Receivables Trust: | ||||
2.84%, 5/15/19 (e) | 366,259 | 367,383 | ||
2.39%, 11/12/19 (e) | 400,000 | 400,876 | ||
American Homes 4 Rent: | ||||
2.75%, 6/17/31 (e)(r) | 1,000,000 | 960,360 | ||
3.786%, 10/17/36 (e) | 1,280,517 | 1,333,834 | ||
4.691%, 10/17/45 | 500,000 | 505,830 | ||
Apidos CLO XXI: | ||||
2.977%, 7/18/27 (e)(r) | 800,000 | 767,680 | ||
3.827%, 7/18/27 (e)(r) | 300,000 | 280,800 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 29
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
CAL Funding II Ltd.: | ||||
3.47%, 10/25/27 (e) | 177,083 | 179,259 | ||
3.35%, 3/27/28 (e) | 1,275,000 | 1,290,815 | ||
California Republic Auto Receivables Trust, 1.18%, 8/15/17 (e) | 51,136 | 51,143 | ||
CAM Mortgage LLC, 4.75%, 7/15/64 (e)(r) | 1,000,000 | 995,892 | ||
Capital Automotive REIT, 3.66%, 10/15/44 (e) | 1,000,000 | 1,017,343 | ||
Carfinance Capital Auto Trust, 3.15%, 8/15/19 (e) | 750,000 | 759,529 | ||
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (e) | 1,561,175 | 1,616,886 | ||
CLI Funding V LLC, 3.29%, 6/18/29 (e) | 693,990 | 698,611 | ||
Conn's Receivables Funding LLC, 4.565%, 9/15/20 | 1,000,000 | 994,800 | ||
Dell Equipment Finance Trust, 1.80%, 6/22/20 (e) | 850,000 | 847,957 | ||
Dryden 40 Senior Loan Fund, 4.026%, 8/15/28 (e)(r) | 500,000 | 473,450 | ||
Element Rail Leasing I LLC: | ||||
2.299%, 4/19/44 (e) | 236,064 | 234,894 | ||
3.668%, 4/19/44 (e) | 600,000 | 616,661 | ||
4.406%, 4/19/44 (e) | 700,000 | 724,264 | ||
Element Rail Leasing II LLC, 3.585%, 2/19/45 (e) | 1,100,000 | 1,118,137 | ||
Exeter Automobile Receivables Trust, 1.49%, 11/15/17 (e) | 46,204 | 46,231 | ||
Ford Credit Auto Owner Trust/Ford Credit, 2.41%, 11/15/25 (e) | 400,000 | 403,317 | ||
FRS I LLC, 3.08%, 4/15/43 (e) | 776,400 | 787,700 | ||
GLC Trust, 3.00%, 7/15/21 (e) | 410,319 | 408,883 | ||
Global SC Finance II SRL, 2.98%, 4/17/28 (e) | 1,509,083 | 1,521,204 | ||
Invitation Homes Trust: | ||||
1.60%, 12/17/30 (e)(r) | 100,000 | 97,821 | ||
3.357%, 6/17/32 (e)(r) | 1,800,000 | 1,738,622 | ||
2.957%, 8/17/32 (e)(r) | 400,000 | 394,622 | ||
Magnetite VI Ltd.: | ||||
2.937%, 9/15/23 (e)(r) | 700,000 | 684,250 | ||
3.937%, 9/15/23 (e)(r) | 400,000 | 389,840 | ||
MVW Owner Trust, 2.15%, 4/22/30 (e) | 234,924 | 235,317 | ||
Oak Hill Advisors Residential Loan Trust, 4.00%, 4/25/54 (e)(r) | 400,000 | 396,596 | ||
OneMain Financial Issuance Trust: | ||||
2.43%, 6/18/24 (e) | 1,990,000 | 1,989,992 | ||
2.57%, 7/18/25 (e) | 700,000 | 698,414 | ||
RenewFund Receivables Trust, 3.51%, 4/15/25 (e) | 724,432 | 721,896 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
RMAT LLC: | ||||
2015-1, 4.09%, 7/27/20 (e)(r) | 832,093 | 832,621 | ||
2015-NPL1, 3.75%, 5/25/55 (e)(r) | 543,290 | 539,704 | ||
SBA Tower Trust, 3.869%, 10/15/49 (e)(r) | 1,000,000 | 1,017,449 | ||
Selene Non-Performing Loans LLC, 2.981%, 5/25/54 (e)(r) | 1,219,726 | 1,209,251 | ||
Sierra Timeshare Receivables Funding LLC: | ||||
2.70%, 10/20/30 (e) | 202,220 | 203,482 | ||
2.40%, 6/20/31 (e) | 782,073 | 780,588 | ||
2.80%, 10/20/31 (e) | 304,260 | 305,929 | ||
SoFi Professional Loan Program LLC, 2.55%, 8/27/29 (e) | 815,605 | 819,408 | ||
SolarCity LMC: | ||||
Series I LLC, 4.80%, 11/20/38 (e) | 863,304 | 925,614 | ||
Series II LLC, 4.59%, 4/20/44 (e) | 558,393 | 569,338 | ||
Series III LLC, 4.02%, 7/20/44 (e) | 865,190 | 852,601 | ||
Series III LLC, 5.44%, 7/20/44 (e) | 1,925,282 | 1,992,474 | ||
Springleaf Funding Trust, 3.62%, 11/15/24 (e) | 600,000 | 602,208 | ||
STORE Master Funding LLC, 4.21%, 4/20/44 (e) | 1,092,667 | 1,128,834 | ||
Sunrun Callisto Issuer LLC, 5.38%, 7/20/45 (e) | 594,611 | 603,590 | ||
SVO VOI Mortgage LLC, 2.00%, 9/20/29 (e) | 408,787 | 407,187 | ||
TAL Advantage V LLC: | ||||
2.83%, 2/22/38 (e) | 400,500 | 403,177 | ||
3.55%, 11/20/38 (e) | 490,000 | 491,349 | ||
4.625%, 11/20/38 (e) | 1,878,333 | 1,872,511 | ||
3.51%, 2/22/39 (e) | 883,750 | 888,187 | ||
3.97%, 5/20/39 (e) | 173,333 | 173,151 | ||
Tricon American Homes Series 2015-SFR1 Trust, 3.707%, 5/17/32 (e)(r) | 200,000 | 189,421 | ||
US Residential Opportunity Fund III Trust, 3.721%, 1/27/35 (e) | 544,434 | 543,602 | ||
VML LLC, 3.875%, 4/27/54 (e)(r) | 462,415 | 460,566 | ||
VOLT XXVII LLC, 3.375%, 8/27/57 (e)(r) | 471,523 | 471,063 | ||
VOLT XXX LLC, 3.625%, 10/25/57 (e)(r) | 919,408 | 918,091 | ||
VOLT XXXVIII LLC, 3.875%, 9/25/45 | 500,000 | 499,580 |
30 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
Wendys Funding LLC, 2015-1: | ||||
3.371%, 6/15/45 (e) | 1,300,000 | 1,306,386 | ||
4.08%, 6/15/45 (e) | 900,000 | 907,994 | ||
Total Asset-Backed Securities (Cost $49,504,766) | 49,664,265 | |||
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS (PRIVATELY ORIGINATED) - 0.7% | ||||
Bellemeade Re Ltd., 4.489%, 7/25/25 (e)(r) | 500,000 | 501,250 | ||
Fannie Mae Connecticut Avenue Securities: | ||||
CAS 2014-C02 1M2, 2.794%, 5/25/24 (r) | 1,200,000 | 1,058,048 | ||
CAS 2014-C03 2M2, 3.094%, 7/25/24 (r) | 700,000 | 635,202 | ||
CAS 2014-C03 1M2, 3.194%, 7/25/24 (r) | 600,000 | 542,725 | ||
CAS 2015-C03 1M2, 5.194%, 7/25/25 (r) | 1,550,000 | 1,545,336 | ||
LSTAR Securities Investment Trust, 2.199%, 5/1/20 (e)(r) | 471,692 | 463,249 | ||
Total Collateralized Mortgage-Backed Obligations (Privately Originated) (Cost $4,944,568) | 4,745,810 | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.1% | ||||
CDGJ Commercial Mortgage Trust, 2.057%, 12/15/27 (e)(r) | 800,000 | 794,662 | ||
Citigroup Commercial Mortgage Trust, 3.598%, 9/15/17 (e)(r) | 600,000 | 590,121 | ||
COMM Mortgage Trust: | ||||
2.554%, 6/11/27 (e)(r) | 800,000 | 793,792 | ||
2.20%, 6/8/30 (e)(r) | 950,000 | 948,421 | ||
3.307%, 6/15/34 (e)(r) | 500,000 | 496,393 | ||
EQTY INNS Mortgage Trust, 3.65%, 5/8/31 (e)(r) | 1,100,000 | 1,088,567 | ||
Extended Stay America Trust: | ||||
3.604%, 12/5/31 (e) | 820,000 | 825,167 | ||
3.902%, 12/5/31 (e) | 300,000 | 301,779 | ||
GS Mortgage Securities Trust, 3.79%, 1/10/31 (e) | 400,000 | 389,302 | ||
Hilton USA Trust: | ||||
2.954%, 11/5/30 (e)(r) | 339,985 | 339,612 | ||
Class CFX, 3.714%, 11/5/30 (e) | 400,000 | 401,174 | ||
Class EFX, 4.602%, 11/5/30 (e)(r) | 700,000 | 706,782 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||
3.771%, 6/10/27 (e) | 550,000 | 572,623 | ||
3.931%, 6/10/27 (e)(r) | 400,000 | 407,290 | ||
3.807%, 6/15/29 (e)(r) | 900,000 | 892,364 | ||
Morgan Stanley Capital I Trust Series 2014-CPT: | ||||
Class F, 3.56%, 7/13/29 (e)(r) | 410,000 | 389,036 | ||
Class G, 3.56%, 7/13/29 (e)(r) | 280,000 | 268,433 | ||
Motel 6 Trust, 5.279%, 2/5/30 (e) | 1,250,000 | 1,228,619 | ||
ORES NPL LLC: | ||||
6.00%, 3/27/24 (e) | 600,000 | 600,000 | ||
3.081%, 9/25/25 (e) | 75,811 | 75,622 | ||
PFP III Ltd., 1.629%, 6/14/31 (e)(r) | 176,116 | 176,008 | ||
WFLD Mortgage Trust, 3.88%, 8/10/31 (e)(r) | 850,000 | 858,500 | ||
WFRBS Commercial Mortgage Trust, 3.497%, 8/15/47 (e) | 330,000 | 267,190 | ||
Total Commercial Mortgage-Backed Securities (Cost $13,434,911) | 13,411,457 | |||
CORPORATE BONDS - 19.1% | ||||
Agilent Technologies, Inc., 3.20%, 10/1/22 | 600,000 | 597,789 | ||
Alliance Mortgage Investments, Inc., 12.61%, 6/1/20 (b)(r)(x)* | 385,345 | — | ||
Amazon.com, Inc., 3.80%, 12/5/24 | 600,000 | 614,174 | ||
America Movil SAB de CV, 1.336%, 9/12/16 (r) | 500,000 | 499,869 | ||
American Airlines Pass Through Trust, 7.00%, 7/31/19 (e) | 892,803 | 944,139 | ||
American Tower Corp.: | ||||
3.45%, 9/15/21 | 600,000 | 602,709 | ||
4.00%, 6/1/25 | 300,000 | 292,716 | ||
Amgen, Inc.: | ||||
3.625%, 5/22/24 | 75,000 | 75,220 | ||
5.15%, 11/15/41 | 800,000 | 822,198 | ||
4.40%, 5/1/45 | 200,000 | 183,632 | ||
Apple, Inc.: | ||||
2.50%, 2/9/25 | 200,000 | 189,974 | ||
3.20%, 5/13/25 | 300,000 | 301,842 | ||
3.45%, 2/9/45 | 780,000 | 660,332 | ||
AT&T, Inc.: | ||||
3.875%, 8/15/21 | 1,025,000 | 1,064,538 | ||
4.50%, 5/15/35 | 400,000 | 365,926 | ||
4.35%, 6/15/45 | 725,000 | 622,289 | ||
4.75%, 5/15/46 | 200,000 | 183,259 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 31
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
Autodesk, Inc., 1.95%, 12/15/17 | 600,000 | 603,611 | ||
Bank of America Corp.: | ||||
1.196%, 4/1/19 (r) | 300,000 | 300,205 | ||
2.25%, 4/21/20 | 1,975,000 | 1,945,831 | ||
4.20%, 8/26/24 | 500,000 | 499,642 | ||
3.95%, 4/21/25 | 1,000,000 | 972,835 | ||
3.875%, 8/1/25 | 2,200,000 | 2,230,560 | ||
4.25%, 10/22/26 | 435,000 | 430,048 | ||
Bank of America NA: | ||||
5.30%, 3/15/17 | 1,200,000 | 1,260,588 | ||
0.637%, 6/15/17 (r) | 1,500,000 | 1,489,782 | ||
Becton Dickinson and Co., 3.125%, 11/8/21 | 250,000 | 251,715 | ||
Bed Bath & Beyond, Inc., 5.165%, 8/1/44 | 700,000 | 662,996 | ||
Canadian National Railway Co., 1.45%, 12/15/16 | 150,000 | 150,926 | ||
Capital One Bank: | ||||
2.25%, 2/13/19 | 400,000 | 398,578 | ||
3.375%, 2/15/23 | 1,200,000 | 1,167,196 | ||
Capital One NA, 2.35%, 8/17/18 | 650,000 | 651,810 | ||
CBS Corp., 3.50%, 1/15/25 | 600,000 | 577,844 | ||
CC Holdings GS V LLC / Crown Castle GS III Corp., 2.381%, 12/15/17 | 600,000 | 604,202 | ||
Cisco Systems, Inc., 5.50%, 1/15/40 | 250,000 | 291,476 | ||
CIT Group, Inc.: | ||||
5.00%, 5/15/17 | 700,000 | 717,500 | ||
5.25%, 3/15/18 | 1,975,000 | 2,029,312 | ||
Citigroup, Inc.: | ||||
2.50%, 9/26/18 | 1,600,000 | 1,621,246 | ||
5.95%, 8/15/20, floating rate thereafter to 12/29/49 (r) | 330,000 | 325,463 | ||
5.90%, 2/15/23, floating rate thereafter to 12/29/49 (r) | 480,000 | 468,000 | ||
3.75%, 6/16/24 | 250,000 | 254,277 | ||
3.875%, 3/26/25 | 1,000,000 | 971,811 | ||
4.40%, 6/10/25 | 1,200,000 | 1,206,882 | ||
4.45%, 9/29/27 | 550,000 | 547,034 | ||
Comcast Corp.: | ||||
3.375%, 8/15/25 | 900,000 | 906,922 | ||
4.60%, 8/15/45 | 300,000 | 306,660 | ||
Consolidated Edison Co. of New York, Inc., 4.45%, 6/15/20 | 300,000 | 329,413 | ||
Credit Acceptance Corp.: | ||||
6.125%, 2/15/21 | 400,000 | 394,000 | ||
7.375%, 3/15/23 (e) | 600,000 | 613,500 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
Crown Castle Towers LLC: | ||||
3.663%, 5/15/25 (e) | 450,000 | 438,642 | ||
4.883%, 8/15/40 (e) | 1,300,000 | 1,404,226 | ||
3.222%, 5/15/42 (e) | 250,000 | 243,750 | ||
CVS Health Corp.: | ||||
3.875%, 7/20/25 | 500,000 | 515,404 | ||
4.875%, 7/20/35 | 200,000 | 209,854 | ||
5.125%, 7/20/45 | 550,000 | 591,224 | ||
CVS Pass-Through Trust, 6.036%, 12/10/28 | 970,603 | 1,096,404 | ||
Danaher Corp.: | ||||
3.35%, 9/15/25 | 230,000 | 234,617 | ||
4.375%, 9/15/45 | 230,000 | 237,892 | ||
DDR Corp.: | ||||
4.75%, 4/15/18 | 500,000 | 529,119 | ||
3.625%, 2/1/25 | 600,000 | 571,825 | ||
Delta Air Lines Pass Through Trust, 6.20%, 1/2/20 | 286,571 | 309,496 | ||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.: | ||||
3.95%, 1/15/25 | 500,000 | 490,411 | ||
6.375%, 3/1/41 | 600,000 | 642,845 | ||
Discover Financial Services: | ||||
3.85%, 11/21/22 | 750,000 | 742,828 | ||
3.95%, 11/6/24 | 300,000 | 295,248 | ||
Doric Nimrod Air Alpha Pass Through Trust, 6.125%, 11/30/21 (e) | 311,600 | 322,506 | ||
Doric Nimrod Air Finance Alpha Ltd. Pass Through Trust, 5.125%, 11/30/24 (e) | 336,246 | 350,412 | ||
Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21 | 200,000 | 204,632 | ||
Dun & Bradstreet Corp. (The), 3.25%, 12/1/17 | 600,000 | 609,235 | ||
Eaton Corp.: | ||||
1.50%, 11/2/17 | 500,000 | 499,443 | ||
2.75%, 11/2/22 | 600,000 | 583,936 | ||
Embarq Corp., 7.082%, 6/1/16 | 1,000,000 | 1,027,070 | ||
Enterprise Products Operating LLC: | ||||
4.85%, 8/15/42 | 200,000 | 176,202 | ||
4.85%, 3/15/44 | 300,000 | 267,440 | ||
7.034%, 1/15/68, floating rate thereafter to 1/15/68 (r) | 1,250,000 | 1,318,750 | ||
ERP Operating LP, 4.625%, 12/15/21 | 300,000 | 326,969 | ||
Experian Finance plc, 2.375%, 6/15/17 (e) | 600,000 | 603,289 | ||
Ford Motor Co., 4.75%, 1/15/43 | 250,000 | 234,513 |
32 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
Ford Motor Credit Co. LLC: | ||||
2.145%, 1/9/18 | 250,000 | 249,149 | ||
1.239%, 11/4/19 (r) | 600,000 | 581,903 | ||
3.157%, 8/4/20 | 310,000 | 309,645 | ||
3.219%, 1/9/22 | 700,000 | 677,526 | ||
4.134%, 8/4/25 | 350,000 | 348,414 | ||
Frontier Communications Corp.: | ||||
10.50%, 9/15/22 (e) | 1,030,000 | 1,004,250 | ||
6.875%, 1/15/25 | 350,000 | 276,500 | ||
General Mills, Inc., 3.15%, 12/15/21 | 1,500,000 | 1,528,933 | ||
Genworth Holdings, Inc., 4.80%, 2/15/24 | 755,000 | 566,250 | ||
Gilead Sciences, Inc., 3.70%, 4/1/24 | 500,000 | 511,633 | ||
GlaxoSmithKline Capital, Inc., 2.80%, 3/18/23 | 600,000 | 592,867 | ||
Grupo Bimbo SAB de CV: | ||||
3.875%, 6/27/24 (e) | 500,000 | 484,230 | ||
4.875%, 6/27/44 (e) | 500,000 | 439,160 | ||
Hanesbrands, Inc., 6.375%, 12/15/20 | 800,000 | 828,000 | ||
Harley-Davidson Financial Services, Inc., 2.70%, 3/15/17 (e) | 1,100,000 | 1,121,483 | ||
Home Depot, Inc. (The): | ||||
2.70%, 4/1/23 | 600,000 | 595,976 | ||
4.20%, 4/1/43 | 600,000 | 605,929 | ||
Host Hotels & Resorts LP, 3.75%, 10/15/23 | 600,000 | 587,270 | ||
HP Enterprise, 2.85%, 10/5/18 | 370,000 | 369,526 | ||
Illinois Tool Works, Inc., 3.90%, 9/1/42 | 300,000 | 288,343 | ||
Intel Corp.: | ||||
3.70%, 7/29/25 | 300,000 | 307,788 | ||
4.90%, 7/29/45 | 300,000 | 310,550 | ||
JPMorgan Chase & Co.: | ||||
2.35%, 1/28/19 | 1,100,000 | 1,108,683 | ||
2.75%, 6/23/20 | 900,000 | 907,702 | ||
3.625%, 5/13/24 | 1,700,000 | 1,723,610 | ||
3.875%, 9/10/24 | 900,000 | 891,400 | ||
3.125%, 1/23/25 | 1,300,000 | 1,254,640 | ||
3.90%, 7/15/25 | 600,000 | 611,113 | ||
4.25%, 10/1/27 | 550,000 | 547,749 | ||
Kohl's Corp.: | ||||
4.25%, 7/17/25 | 800,000 | 801,399 | ||
5.55%, 7/17/45 | 810,000 | 793,507 | ||
Kraft Heinz Foods Co., 5.20%, 7/15/45 (e) | 575,000 | 608,953 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
Laboratory Corp. of America Holdings: | ||||
3.60%, 2/1/25 | 300,000 | 290,420 | ||
4.70%, 2/1/45 | 300,000 | 274,120 | ||
Land O'Lakes Capital Trust I, 7.45%, 3/15/28 (e) | 400,000 | 420,000 | ||
Latam Airlines 2015-1 Pass-Through Trust B, 4.50%, 8/15/25 (e) | 480,000 | 456,000 | ||
Liberty Mutual Group, Inc., 4.25%, 6/15/23 (e) | 1,600,000 | 1,654,763 | ||
Life Technologies Corp., 6.00%, 3/1/20 | 500,000 | 570,974 | ||
Masco Corp.: | ||||
4.45%, 4/1/25 | 200,000 | 202,500 | ||
6.50%, 8/15/32 | 350,000 | 358,750 | ||
Massachusetts Institute of Technology, 3.959%, 7/1/38 | 300,000 | 310,015 | ||
Merck & Co., Inc.: | ||||
2.75%, 2/10/25 | 500,000 | 486,670 | ||
3.70%, 2/10/45 | 250,000 | 229,374 | ||
Methanex Corp.: | ||||
3.25%, 12/15/19 | 600,000 | 598,857 | ||
5.65%, 12/1/44 | 1,190,000 | 1,104,027 | ||
Microsoft Corp., 2.70%, 2/12/25 | 600,000 | 587,944 | ||
Morgan Stanley: | ||||
2.20%, 12/7/18 | 600,000 | 605,571 | ||
2.375%, 7/23/19 | 1,000,000 | 1,000,105 | ||
1.435%, 1/27/20 (r) | 600,000 | 604,494 | ||
2.80%, 6/16/20 | 2,200,000 | 2,212,450 | ||
4.00%, 7/23/25 | 725,000 | 740,945 | ||
5.00%, 11/24/25 | 1,300,000 | 1,382,190 | ||
3.95%, 4/23/27 | 300,000 | 288,923 | ||
NBCUniversal Enterprise, Inc., 1.974%, 4/15/19 (e) | 500,000 | 502,651 | ||
NBCUniversal Media LLC: | ||||
4.375%, 4/1/21 | 500,000 | 547,787 | ||
4.45%, 1/15/43 | 500,000 | 497,929 | ||
Nissan Motor Acceptance Corp.: | ||||
2.65%, 9/26/18 (e) | 500,000 | 510,509 | ||
2.35%, 3/4/19 (e) | 650,000 | 658,345 | ||
North American Development Bank, 2.40%, 10/26/22 | 600,000 | 594,201 | ||
Penske Truck Leasing Co. LP / PTL Finance Corp.: | ||||
3.20%, 7/15/20 (e) | 500,000 | 505,646 | ||
3.375%, 2/1/22 (e) | 1,000,000 | 977,343 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 33
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
Pentair Finance SA: | ||||
1.35%, 12/1/15 | 600,000 | 600,355 | ||
1.875%, 9/15/17 | 1,200,000 | 1,186,892 | ||
3.625%, 9/15/20 | 600,000 | 607,501 | ||
PepsiCo, Inc.: | ||||
2.75%, 3/5/22 | 300,000 | 301,488 | ||
2.75%, 3/1/23 | 300,000 | 298,271 | ||
Perrigo Co. plc, 5.30%, 11/15/43 | 300,000 | 298,587 | ||
Perrigo Finance plc, 3.50%, 12/15/21 | 600,000 | 592,384 | ||
PNC Bank NA, 2.70%, 11/1/22 | 1,000,000 | 964,591 | ||
Post Holdings, Inc., 6.75%, 12/1/21 (e) | 550,000 | 550,000 | ||
ProLogis LP, 6.875%, 3/15/20 | 253,000 | 294,129 | ||
Prospect Medical Holdings, Inc., 8.375%, 5/1/19 (e) | 400,000 | 418,000 | ||
Prudential Financial, Inc.: | ||||
3.50%, 5/15/24 | 500,000 | 502,706 | ||
4.60%, 5/15/44 | 300,000 | 302,555 | ||
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 500,000 | 477,243 | ||
Rockwood Specialties Group, Inc., 4.625%, 10/15/20 | 600,000 | 621,051 | ||
Rogers Communications, Inc.: | ||||
3.00%, 3/15/23 | 600,000 | 577,250 | ||
5.00%, 3/15/44 | 600,000 | 607,951 | ||
SBA Tower Trust, 3.722%, 4/15/48 (e) | 1,100,000 | 1,111,345 | ||
Southwest Airlines Co., 2.75%, 11/6/19 | 500,000 | 509,494 | ||
Sprint Communications, Inc., 6.00%, 12/1/16 | 1,000,000 | 985,625 | ||
Sprint Corp.: | ||||
7.25%, 9/15/21 | 100,000 | 81,875 | ||
7.625%, 2/15/25 | 525,000 | 406,547 | ||
Stanley Black & Decker, Inc., 2.90%, 11/1/22 | 600,000 | 594,989 | ||
State Street Corp., 3.10%, 5/15/23 | 300,000 | 295,450 | ||
SUPERVALU, Inc., 6.75%, 6/1/21 | 650,000 | 630,500 | ||
Telefonica Emisiones SAU: | ||||
3.992%, 2/16/16 | 600,000 | 606,254 | ||
3.192%, 4/27/18 | 600,000 | 613,669 | ||
Terraform Global Operating LLC, 9.75%, 8/15/22 (e) | 1,235,000 | 991,087 | ||
Thermo Fisher Scientific, Inc., 5.30%, 2/1/44 | 300,000 | 315,649 | ||
Thomson Reuters Corp.: | ||||
3.85%, 9/29/24 | 300,000 | 300,000 | ||
5.65%, 11/23/43 | 300,000 | 324,761 | ||
Time Warner Cable, Inc., 4.00%, 9/1/21 | 400,000 | 408,000 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
Time Warner, Inc.: | ||||
4.05%, 12/15/23 | 400,000 | 411,538 | ||
5.375%, 10/15/41 | 500,000 | 524,688 | ||
4.90%, 6/15/42 | 500,000 | 499,020 | ||
TJX Cos., Inc. (The): | ||||
2.75%, 6/15/21 | 600,000 | 610,541 | ||
2.50%, 5/15/23 | 600,000 | 581,006 | ||
Tyco Electronics Group SA: | ||||
2.35%, 8/1/19 | 300,000 | 302,132 | ||
3.45%, 8/1/24 | 300,000 | 304,022 | ||
United Airlines Pass Through Trust: | ||||
5.375%, 2/15/23 | 818,675 | 839,141 | ||
4.75%, 10/11/23 | 380,000 | 380,000 | ||
United Parcel Service, Inc., 2.45%, 10/1/22 | 500,000 | 490,771 | ||
US Bancorp, 2.95%, 7/15/22 | 500,000 | 497,429 | ||
Verizon Communications, Inc.: | ||||
3.50%, 11/1/24 | 1,800,000 | 1,769,778 | ||
4.862%, 8/21/46 | 2,800,000 | 2,625,596 | ||
Viacom, Inc.: | ||||
3.875%, 4/1/24 | 1,375,000 | 1,289,042 | ||
5.25%, 4/1/44 | 500,000 | 436,499 | ||
Virgin Australia Trust: | ||||
6.00%, 4/23/22 (e) | 731,005 | 749,280 | ||
5.00%, 4/23/25 (e) | 377,106 | 392,190 | ||
Vornado Realty LP, 2.50%, 6/30/19 | 700,000 | 702,190 | ||
Walgreens Boots Alliance, Inc.: | ||||
2.70%, 11/18/19 | 600,000 | 608,098 | ||
3.80%, 11/18/24 | 500,000 | 497,327 | ||
Whirlpool Corp.: | ||||
3.70%, 3/1/23 | 500,000 | 502,204 | ||
3.70%, 5/1/25 | 500,000 | 496,648 | ||
Yara International ASA, 7.875%, 6/11/19 (e) | 500,000 | 584,410 | ||
Total Corporate Bonds (Cost $124,065,045) | 122,757,986 | |||
FLOATING RATE LOANS(d) - 0.3% | ||||
Albertson's Holdings LLC: | ||||
5.00%, 8/25/19 (r) | 487,500 | 487,256 | ||
5.50%, 8/25/21 (r) | 1,192,954 | 1,193,090 | ||
BJ's Wholesale Club, Inc., 4.50%, 9/26/19 (r) | 462,273 | 459,331 | ||
Total Floating Rate Loans (Cost $2,133,262) | 2,139,677 |
34 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
HIGH SOCIAL IMPACT INVESTMENTS - 0.6% | ||||
Calvert Social Investment Foundation Notes, 0.25%, 7/1/17 (b)(i)(r) | 4,266,666 | 4,133,640 | ||
Total High Social Impact Investments (Cost $4,266,666) | 4,133,640 | |||
MUNICIPAL OBLIGATIONS - 0.7% | ||||
Connecticut Special Tax Obligation Revenue Bonds, 5.459%, 11/1/30 | 400,000 | 462,744 | ||
Los Angeles California Unified School District GO Bonds, 5.75%, 7/1/34 | 800,000 | 958,224 | ||
New York City GO Bonds, 5.206%, 10/1/31 | 1,275,000 | 1,427,860 | ||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, 5.767%, 8/1/36 | 1,000,000 | 1,208,540 | ||
New York State Dormitory Authority Revenue Bonds, 5.289%, 3/15/33 | 500,000 | 581,400 | ||
Total Municipal Obligations (Cost $4,698,712) | 4,638,768 | |||
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.1% | ||||
Overseas Private Investment Corp., 3.22%, 9/15/29 | 900,000 | 923,907 | ||
Total U.S. Government Agencies and Instrumentalities (Cost $900,000) | 923,907 | |||
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
U.S. TREASURY OBLIGATIONS - 3.2% | ||||
United States Treasury Bonds, 3.00%, 5/15/45 | 5,520,000 | 5,648,942 | ||
United States Treasury Notes: | ||||
0.625%, 8/31/17 | 1,920,000 | 1,919,925 | ||
1.00%, 9/15/18 | 2,620,000 | 2,626,005 | ||
1.375%, 8/31/20 | 2,650,000 | 2,653,106 | ||
1.375%, 9/30/20 | 255,000 | 254,960 | ||
1.875%, 8/31/22 | 900,000 | 907,617 | ||
2.00%, 8/15/25 | 6,795,000 | 6,759,082 | ||
Total U.S. Treasury Obligations (Cost $20,663,219) | 20,769,637 | |||
EXCHANGE-TRADED PRODUCTS - 0.1% | ||||
SPDR Barclays High Yield Bond ETF | 18,000 | 641,880 | ||
Total Exchange-Traded Products (Cost $688,468) | 641,880 | |||
TIME DEPOSIT - 2.9% | ||||
State Street Bank Time Deposit, 0.088%, 10/1/15 | 18,450,538 | 18,450,538 | ||
Total Time Deposit (Cost $18,450,538) | 18,450,538 | |||
TOTAL INVESTMENTS (Cost $641,540,667) - 99.1% | 638,715,855 | |||
Other assets and liabilities, net - 0.9% | 5,829,894 | |||
NET ASSETS - 100.0% | $644,545,749 |
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||
Purchased: | |||||||||||
2 Year U.S. Treasury Notes | 8 | 12/15 | $ | 1,752,250 | $1,237 | ||||||
Ultra U.S. Treasury Bonds | 136 | 12/15 | 21,815,250 | (43,780) | |||||||
Total Purchased | ($42,543 | ) | |||||||||
Sold: | |||||||||||
5 Year U.S. Treasury Notes | (90) | 12/15 | $ | 10,846,406 | ) | ($15,568 | ) | ||||
10 Year U.S. Treasury Notes | (105) | 12/15 | (13,517,109) | (25,023) | |||||||
Total Sold | ($40,591 | ) | |||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 35
NOTES TO SCHEDULE OF INVESTMENTS | |
(a) | Affiliated company. |
(b) | This security was valued under the direction of the Board of Trustees. See Note A. |
(d) | Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Floating rate loans generally pay interest at rates which are periodically re-determined at a margin above the London InterBank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at September 30, 2015. Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. |
(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. |
(i) | Restricted securities represent 2.0% of the net assets of the Portfolio. |
(r) | The coupon rate shown on floating or adjustable rate securities represents the rate in effect on September 30, 2015. |
(s) | 2,500 shares of Capital One Financial Corp. held by the Balanced Portfolio have been soft segregated in order to cover outstanding commitments to certain limit partnership investments within the Portfolio. There are no restrictions on the trading of this security. |
(x) | Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. |
* | Non-income producing security. |
Abbreviations: | |
ADR: | American Depositary Receipt |
CLO: | Collateralized Loan Obligations |
ETF: | Exchange-Traded Fund |
GO: | General Obligation |
Ltd.: | Limited |
LLC: | Limited Liability Corporation |
LP: | Limited Partnership |
plc: | Public Limited Company |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
36 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
PRINCIPAL AMOUNT ($) | VALUE ($) | |
ASSET-BACKED SECURITIES - 23.9% | ||
ALM XII Ltd., 2.639%, 4/16/27 (e)(r) | 3,500,000 | 3,492,300 |
American Credit Acceptance Receivables Trust: | ||
2.84%, 5/15/19 (e) | 1,320,550 | 1,324,600 |
2.39%, 11/12/19 (e) | 1,450,000 | 1,453,177 |
American Homes 4 Rent: | ||
2.75%, 6/17/31 (e)(r) | 3,500,000 | 3,361,260 |
3.786%, 10/17/36 (e) | 4,334,058 | 4,514,515 |
Apidos CLO XXI: | ||
2.977%, 7/18/27 (e)(r) | 2,800,000 | 2,686,880 |
3.827%, 7/18/27 (e)(r) | 1,300,000 | 1,216,800 |
CAL Funding II Ltd., 3.35%, 3/27/28 (e) | 3,750,000 | 3,796,515 |
CAM Mortgage LLC 2015-1, 4.75%, 7/15/64 (e)(r) | 5,000,000 | 4,979,460 |
Capital Automotive REIT, 3.66%, 10/15/44 (e) | 3,350,000 | 3,408,099 |
CKE Restaurant Holdings, Inc., 4.474%, 3/20/43 (e) | 5,197,500 | 5,382,973 |
CLI Funding V LLC, 3.29%, 6/18/29 (e) | 2,428,965 | 2,445,140 |
Dell Equipment Finance Trust, 1.80%, 6/22/20 (e) | 3,000,000 | 2,992,791 |
Dryden 40 Senior Loan Fund, 4.026%, 8/15/28 (e)(r) | 1,750,000 | 1,657,075 |
Element Rail Leasing I LLC: | ||
2.299%, 4/19/44 (e) | 865,569 | 861,277 |
3.668%, 4/19/44 (e) | 1,900,000 | 1,952,759 |
4.406%, 4/19/44 (e) | 2,200,000 | 2,276,259 |
Element Rail Leasing II LLC, 3.585%, 2/19/45 (e) | 3,983,000 | 4,048,672 |
FRS I LLC: | ||
3.08%, 4/15/43 (e) | 3,566,586 | 3,618,497 |
3.96%, 4/15/43 (e) | 3,987,186 | 4,049,768 |
GCAT LLC, 2015-1, 3.625%, 5/26/20 (e)(r) | 3,478,631 | 3,476,416 |
GLC II Trust, 4.00%, 12/18/20 (e) | 3,227,834 | 3,238,809 |
GLC Trust, 3.00%, 7/15/21 (e) | 1,384,827 | 1,379,981 |
Global SC Finance II SRL, 2.98%, 4/17/28 (e) | 2,692,083 | 2,713,706 |
GMAT Trust, 5.00%, 2/25/44 (e)(r) | 2,800,000 | 2,794,266 |
Invitation Homes Trust: | ||
1.60%, 12/17/30 (e)(r) | 300,000 | 293,462 |
2.90%, 12/17/30 (e)(r) | 2,400,000 | 2,312,887 |
3.357%, 6/17/32 (e)(r) | 5,450,000 | 5,264,160 |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
3.907%, 6/17/32 (e)(r) | 3,650,000 | 3,484,545 |
2.957%, 8/17/32 (e)(r) | 1,400,000 | 1,381,176 |
Madison Park Funding XVII Ltd., 3.179%, 7/21/27 (e)(r) | 2,000,000 | 1,952,800 |
Magnetite VI Ltd.: | ||
2.937%, 9/15/23 (e)(r) | 2,000,000 | 1,955,000 |
3.937%, 9/15/23 (e)(r) | 2,400,000 | 2,339,040 |
MVW Owner Trust, 2.15%, 4/22/30 (e) | 829,730 | 831,119 |
Navitas Equipment Receivables LLC, 1.95%, 11/15/16 (e) | 459,297 | 459,320 |
Oak Hill Advisors Residential Loan Trust, 4.00%, 4/25/54 (e)(r) | 1,200,000 | 1,189,789 |
OneMain Financial Issuance Trust: | ||
2.43%, 6/18/24 (e) | 6,800,000 | 6,799,973 |
2.57%, 7/18/25 (e) | 2,400,000 | 2,394,562 |
Oxford Finance Funding Trust, 3.475%, 12/15/22 (e) | 2,400,000 | 2,393,520 |
RenewFund Receivables Trust, 3.51%, 4/15/25 (e) | 2,716,618 | 2,707,110 |
RMAT LLC, 4.09%, 7/27/20 (e)(r) | 1,468,400 | 1,469,331 |
RMAT LLC, 2015-NPL1, 3.75%, 5/25/55 (e)(r) | 1,810,966 | 1,799,014 |
SBA Tower Trust, 3.869%, 10/15/49 (e)(r) | 3,300,000 | 3,357,582 |
Selene Non-Performing Loans LLC, 2.981%, 5/25/54 (e)(r) | 4,878,904 | 4,837,004 |
Sierra Timeshare Receivables Funding LLC: | ||
2.66%, 8/20/29 (e) | 940,042 | 945,506 |
2.70%, 10/20/30 (e) | 698,577 | 702,939 |
2.40%, 6/20/31 (e) | 2,450,494 | 2,445,843 |
2.80%, 10/20/31 (e) | 4,125,764 | 4,148,393 |
Skopos Auto Receivables Trust 2015-1, 3.10%, 12/15/23 (e) | 688,414 | 688,414 |
SLM Private Education Loan Trust, 3.00%, 5/16/44 (e) | 2,000,000 | 1,989,020 |
SoFi Professional Loan Program LLC, 2.55%, 8/27/29 (e) | 2,817,544 | 2,830,682 |
SolarCity LMC: | ||
Series I LLC, 4.80%, 11/20/38 (e) | 3,453,215 | 3,702,455 |
Series III LLC, 4.02%, 7/20/44 (e) | 3,076,230 | 3,031,471 |
Series III LLC, 5.44%, 7/20/44 (e) | 6,257,165 | 6,475,540 |
Spirit Master Funding LLC, 4.629%, 1/20/45 (e) | 5,000,000 | 5,118,500 |
SpringCastle America Funding LLC, 5.59%, 10/25/33 (e) | 900,000 | 916,020 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 37
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
Springleaf Funding Trust, 3.62%, 11/15/24 (e) | 2,100,000 | 2,107,728 | |
Stewart Park CLO Ltd. 2015-1, 3.174%, 4/15/26 (e)(r) | 3,000,000 | 2,933,700 | |
STORE Master Funding LLC, 4.21%, 4/20/44 (e) | 3,874,000 | 4,002,229 | |
SVO VOI Mortgage LLC, 2.00%, 9/20/29 (e) | 2,330,087 | 2,320,967 | |
SWAY Residential Trust, 1.507%, 1/17/32 (e)(r) | 4,956,497 | 4,899,180 | |
TAL Advantage V LLC: | |||
3.55%, 11/20/38 (e) | 1,715,000 | 1,719,722 | |
3.51%, 2/22/39 (e) | 3,198,333 | 3,214,392 | |
3.97%, 5/20/39 (e) | 606,667 | 606,028 | |
3.27%, 11/21/39 (e) | 2,200,000 | 2,230,230 | |
4.15%, 11/21/39 (e) | 916,667 | 929,280 | |
Tricon American Homes Trust, 3.707%, 5/17/32 (e)(r) | 600,000 | 568,264 | |
Trinity Rail Leasing LP, 3.525%, 1/15/43 (e) | 4,000,000 | 4,031,600 | |
US Residential Opportunity Fund Trust, 3.721%, 1/27/35 (e) | 2,268,475 | 2,265,008 | |
VML LLC, 3.875%, 4/27/54 (e)(r) | 1,464,315 | 1,458,459 | |
VOLT XXVII LLC, 3.375%, 8/27/57 (e)(r) | 1,493,157 | 1,491,699 | |
VOLT XXX LLC, 3.625%, 10/25/57 (e)(r) | 3,034,047 | 3,029,702 | |
Wendys Funding LLC: | |||
3.371%, 6/15/45 | 4,700,000 | 4,723,086 | |
4.08%, 6/15/45 | 3,650,000 | 3,682,419 | |
Total Asset-Backed Securities (Cost $198,841,447) | 199,551,865 | ||
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS (PRIVATELY ORIGINATED) - 2.2% | |||
Bellemeade Re Ltd., 4.489%, 7/25/25 (e)(r) | 1,500,000 | 1,503,750 | |
Fannie Mae Connecticut Avenue Securities: | |||
CAS 2014-C02 1M2, 2.799%, 5/25/24 (r) | 4,200,000 | 3,703,169 | |
CAS 2014-C03 2M2, 3.094%, 7/25/24 (r) | 2,600,000 | 2,359,321 | |
CAS 2014-C03 1M2, 3.194%, 7/25/24 (r) | 2,700,000 | 2,442,263 | |
CAS 2015-C02 1M2, 4.194%, 5/25/25 (r) | 4,000,000 | 3,809,352 | |
CAS 2015-C03 1M2, 5.194%, 7/25/25 (r) | 1,500,000 | 1,495,487 |
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
Freddie Mac Structured Agency Credit Risk Debt Notes, 1.644%, 11/25/23 (r) | 1,265,266 | 1,266,625 | |
LSTAR Securities Investment Trust, 2.199%, 5/1/20 (e)(r) | 1,886,769 | 1,852,996 | |
Total Collateralized Mortgage-Backed Obligations (Privately Originated) (Cost $19,338,324) | 18,432,963 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 6.4% | |||
Bear Stearns Commercial Mortgage Trust, 3.107%, 5/15/32 (e)(r) | 1,100,000 | 1,090,011 | |
BWAY Mortgage Trust, 2.809%, 3/10/33 (e) | 2,000,000 | 2,028,544 | |
CDGJ Commercial Mortgage Trust, 2.057%, 12/15/27 (e)(r) | 2,800,000 | 2,781,318 | |
Citigroup Commercial Mortgage Trust, 3.598%, 9/15/17 (e)(r) | 2,900,000 | 2,852,251 | |
COMM Mortgage Trust: | |||
2.554%, 6/11/27 (e)(r) | 2,700,000 | 2,679,048 | |
2.20%, 6/8/30 (e)(r) | 3,500,000 | 3,494,183 | |
EQTY Mortgage Trust, 3.65%, 5/8/31 (e)(r) | 3,600,000 | 3,562,582 | |
Extended Stay America Trust: | |||
3.604%, 12/5/31 | 5,000,000 | 5,031,505 | |
4.171%, 12/5/31 (e)(r) | 2,800,000 | 2,825,270 | |
GRACE Mortgage Trust, 3.71%, 6/10/28 (e)(r) | 400,000 | 386,564 | |
GS Mortgage Securities Trust, 3.79%, 1/10/31 (e) | 1,400,000 | 1,362,556 | |
Hilton USA Trust: | |||
3.714%, 11/5/30 | 1,200,000 | 1,203,522 | |
4.602%, 11/5/30 (e)(r) | 3,700,000 | 3,735,846 | |
JP Morgan Chase Commercial Mortgage Securities Trust: | |||
3.771%, 6/10/27 (e) | 1,750,000 | 1,821,983 | |
3.931%, 6/10/27 (e)(r) | 1,200,000 | 1,221,869 | |
3.807%, 6/15/29 (e)(r) | 3,000,000 | 2,974,548 | |
Morgan Stanley Capital I Trust, 3.56%, 7/13/29 (e)(r) | 960,000 | 920,343 | |
Motel 6 Trust: | |||
3.644%, 2/5/30 (e) | 3,000,000 | 3,004,038 | |
5.279%, 2/5/30 (e) | 4,300,000 | 4,226,448 | |
ORES NPL LLC: | |||
6.00%, 3/27/24 (e) | 2,000,000 | 2,000,000 | |
3.081%, 9/25/25 (e) | 303,244 | 302,486 | |
PFP III Ltd., 1.629%, 6/14/31 (e)(r) | 616,407 | 616,029 |
38 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
WFLD Mortgage Trust, 3.88%, 8/10/31 (e)(r) | 2,700,000 | 2,727,000 | |
WFRBS Commercial Mortgage Trust, 3.497%, 8/15/47 (e) | 980,000 | 793,473 | |
Total Commercial Mortgage-Backed Securities (Cost $53,884,164) | 53,641,417 | ||
CORPORATE BONDS - 49.7% | |||
Agilent Technologies, Inc., 3.20%, 10/1/22 | 2,000,000 | 1,992,630 | |
Air Lease Corp., 4.50%, 1/15/16 | 4,882,000 | 4,906,410 | |
Alliance Mortgage Investments, Inc., 12.61%, 6/1/20 *(b)(r)(x) | 481,681 | — | |
Amazon.com, Inc., 3.80%, 12/5/24 | 2,000,000 | 2,047,248 | |
America Movil SAB de CV, 4.375%, 7/16/42 | 1,000,000 | 897,370 | |
American Airlines Pass Through Trust, 7.00%, 7/31/19 (e) | 3,262,424 | 3,450,013 | |
American National Red Cross, 5.567%, 11/15/17 | 1,500,000 | 1,615,965 | |
American Tower Corp.: | |||
3.45%, 9/15/21 | 2,650,000 | 2,661,965 | |
4.70%, 3/15/22 | 1,500,000 | 1,576,929 | |
4.00%, 6/1/25 | 1,350,000 | 1,317,221 | |
Amgen, Inc.: | |||
3.625%, 5/22/24 | 350,000 | 351,026 | |
3.125%, 5/1/25 | 1,000,000 | 957,500 | |
5.15%, 11/15/41 | 900,000 | 924,972 | |
4.40%, 5/1/45 | 500,000 | 459,081 | |
Apple, Inc.: | |||
2.50%, 2/9/25 | 700,000 | 664,909 | |
3.20%, 5/13/25 | 1,500,000 | 1,509,212 | |
3.45%, 2/9/45 | 2,350,000 | 1,989,461 | |
AT&T, Inc.: | |||
3.875%, 8/15/21 | 3,180,000 | 3,302,665 | |
4.35%, 6/15/45 | 2,650,000 | 2,274,574 | |
4.75%, 5/15/46 | 800,000 | 733,038 | |
Bank of America Corp.: | |||
2.25%, 4/21/20 | 6,550,000 | 6,453,263 | |
4.20%, 8/26/24 | 1,550,000 | 1,548,890 | |
3.95%, 4/21/25 | 6,000,000 | 5,837,010 | |
3.875%, 8/1/25 | 7,600,000 | 7,705,572 | |
4.25%, 10/22/26 | 3,170,000 | 3,133,910 | |
Bank of America NA, 5.30%, 3/15/17 | 9,400,000 | 9,874,606 | |
Becton Dickinson and Co., 3.125%, 11/8/21 | 1,475,000 | 1,485,116 |
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
Bed Bath & Beyond, Inc., 5.165%, 8/1/44 | 2,000,000 | 1,894,274 | |
Capital One Bank: | |||
2.25%, 2/13/19 | 1,000,000 | 996,445 | |
3.375%, 2/15/23 | 4,000,000 | 3,890,652 | |
Capital One NA, 2.35%, 8/17/18 | 2,360,000 | 2,366,573 | |
CBS Corp., 3.50%, 1/15/25 | 2,100,000 | 2,022,455 | |
CC Holdings GS V LLC / Crown Castle GS III Corp., 3.849%, 4/15/23 | 1,000,000 | 996,486 | |
Cisco Systems, Inc., 5.50%, 1/15/40 | 500,000 | 582,951 | |
CIT Group, Inc.: | |||
4.25%, 8/15/17 | 1,000,000 | 1,012,500 | |
5.25%, 3/15/18 | 3,875,000 | 3,981,562 | |
Citigroup, Inc.: | |||
2.50%, 9/26/18 | 5,200,000 | 5,269,051 | |
5.95%, 8/15/20, floating rate thereafter to 12/29/49 (r) | 1,200,000 | 1,183,500 | |
5.90%, 2/15/23, floating rate thereafter to 12/29/49 (r) | 1,720,000 | 1,677,000 | |
3.75%, 6/16/24 | 1,000,000 | 1,017,109 | |
3.875%, 3/26/25 | 4,400,000 | 4,275,968 | |
4.40%, 6/10/25 | 5,400,000 | 5,430,969 | |
4.45%, 9/29/27 | 2,100,000 | 2,088,675 | |
Comcast Corp.: | |||
3.375%, 8/15/25 | 3,450,000 | 3,476,534 | |
4.60%, 8/15/45 | 1,350,000 | 1,379,970 | |
Consolidated Edison Co. of New York, Inc., 4.45%, 6/15/20 | 1,675,000 | 1,839,222 | |
Credit Acceptance Corp.: | |||
6.125%, 2/15/21 | 1,580,000 | 1,556,300 | |
7.375%, 3/15/23 (e) | 2,500,000 | 2,556,250 | |
Crown Castle Towers LLC: | |||
3.663%, 5/15/25 (e) | 1,500,000 | 1,462,140 | |
5.495%, 1/15/37 (e) | 3,000,000 | 3,084,351 | |
4.883%, 8/15/40 (e) | 2,000,000 | 2,160,348 | |
3.222%, 5/15/42 (e) | 900,000 | 877,500 | |
CVS Health Corp.: | |||
3.875%, 7/20/25 | 1,780,000 | 1,834,838 | |
4.875%, 7/20/35 | 740,000 | 776,461 | |
5.125%, 7/20/45 | 1,810,000 | 1,945,665 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 2,239,853 | 2,530,163 | |
Danaher Corp.: | |||
3.35%, 9/15/25 | 830,000 | 846,660 | |
4.375%, 9/15/45 | 830,000 | 858,481 | |
DDR Corp.: | |||
4.75%, 4/15/18 | 3,000,000 | 3,174,711 | |
3.625%, 2/1/25 | 3,100,000 | 2,954,427 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 39
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
Delta Air Lines Pass Through Trust, 6.75%, 5/23/17 | 1,000,000 | 1,012,500 | |
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.: | |||
3.95%, 1/15/25 | 4,000,000 | 3,923,288 | |
6.375%, 3/1/41 | 1,800,000 | 1,928,534 | |
Discover Bank, 8.70%, 11/18/19 | 948,000 | 1,132,588 | |
Discover Financial Services: | |||
3.85%, 11/21/22 | 2,435,000 | 2,411,714 | |
3.95%, 11/6/24 | 1,500,000 | 1,476,242 | |
Doric Nimrod Air Finance Alpha Ltd. Pass Through Trust, 6.50%, 5/30/21 (e) | 634,143 | 661,533 | |
Dr Pepper Snapple Group, Inc.: | |||
2.00%, 1/15/20 | 1,000,000 | 983,990 | |
3.20%, 11/15/21 | 1,000,000 | 1,023,162 | |
2.70%, 11/15/22 | 1,000,000 | 971,472 | |
Dun & Bradstreet Corp. (The), 3.25%, 12/1/17 | 800,000 | 812,313 | |
Eaton Corp.: | |||
2.75%, 11/2/22 | 1,400,000 | 1,362,516 | |
4.15%, 11/2/42 | 500,000 | 461,556 | |
Embarq Corp., 7.082%, 6/1/16 | 4,000,000 | 4,108,280 | |
Enterprise Products Operating LLC: | |||
4.85%, 8/15/42 | 1,300,000 | 1,145,314 | |
7.034%, 1/15/68, floating rate thereafter to 1/15/68 (r) | 8,505,000 | 8,972,775 | |
ERP Operating LP, 4.625%, 12/15/21 | 1,300,000 | 1,416,866 | |
Ford Motor Co., 4.75%, 1/15/43 | 850,000 | 797,343 | |
Ford Motor Credit Co. LLC: | |||
2.145%, 1/9/18 | 650,000 | 647,788 | |
3.157%, 8/4/20 | 1,870,000 | 1,867,857 | |
3.219%, 1/9/22 | 2,500,000 | 2,419,735 | |
4.134%, 8/4/25 | 1,280,000 | 1,274,199 | |
Frontier Communications Corp.: | |||
10.50%, 9/15/22 (e) | 4,575,000 | 4,460,625 | |
6.875%, 1/15/25 | 1,300,000 | 1,027,000 | |
Genworth Holdings, Inc., 4.80%, 2/15/24 | 2,535,000 | 1,901,250 | |
Gilead Sciences, Inc., 3.70%, 4/1/24 | 1,200,000 | 1,227,919 | |
GlaxoSmithKline Capital, Inc.: | |||
2.80%, 3/18/23 | 1,000,000 | 988,112 | |
4.20%, 3/18/43 | 1,000,000 | 997,872 | |
Grupo Bimbo SAB de CV: | |||
4.50%, 1/25/22 (e) | 3,000,000 | 3,100,500 | |
3.875%, 6/27/24 (e) | 1,200,000 | 1,162,152 | |
4.875%, 6/27/44 (e) | 1,200,000 | 1,053,984 |
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
Hanesbrands, Inc., 6.375%, 12/15/20 | 2,843,000 | 2,942,505 | |
Harland Clarke Holdings Corp., 9.75%, 8/1/18 (e) | 2,000,000 | 2,060,000 | |
Home Depot, Inc. (The): | |||
2.70%, 4/1/23 | 2,000,000 | 1,986,586 | |
4.20%, 4/1/43 | 2,000,000 | 2,019,764 | |
Host Hotels & Resorts LP, 3.75%, 10/15/23 | 1,700,000 | 1,663,933 | |
HP Enterprise, 2.85%, 10/5/18 (e) | 1,350,000 | 1,348,272 | |
Illinois Tool Works, Inc., 3.90%, 9/1/42 | 1,000,000 | 961,142 | |
Intel Corp.: | |||
3.70%, 7/29/25 | 900,000 | 923,364 | |
4.90%, 7/29/45 | 900,000 | 931,651 | |
Johnson Controls, Inc., 3.625%, 7/2/24 | 600,000 | 583,588 | |
JPMorgan Chase & Co.: | |||
2.35%, 1/28/19 | 4,600,000 | 4,636,312 | |
2.75%, 6/23/20 | 3,500,000 | 3,529,953 | |
3.625%, 5/13/24 | 5,800,000 | 5,880,550 | |
3.875%, 9/10/24 | 2,500,000 | 2,476,110 | |
3.125%, 1/23/25 | 4,800,000 | 4,632,518 | |
3.90%, 7/15/25 | 2,000,000 | 2,037,044 | |
4.25%, 10/1/27 | 2,100,000 | 2,091,407 | |
Kohl's Corp.: | |||
4.25%, 7/17/25 | 2,970,000 | 2,975,195 | |
5.55%, 7/17/45 | 2,955,000 | 2,894,830 | |
Kraft Heinz Foods Co., 5.20%, 7/15/45 (e) | 2,125,000 | 2,250,479 | |
Laboratory Corporation of America Holdings: | |||
3.60%, 2/1/25 | 750,000 | 726,049 | |
4.70%, 2/1/45 | 750,000 | 685,299 | |
Land O'Lakes Capital Trust I, 7.45%, 3/15/28 (e) | 1,200,000 | 1,260,000 | |
Latam Airlines 2015-1 Pass-Through Trust B, 4.50%, 8/15/25 (e) | 1,700,000 | 1,615,000 | |
Life Technologies Corp., 6.00%, 3/1/20 | 1,900,000 | 2,169,701 | |
Masco Corp., 4.45%, 4/1/25 | 850,000 | 860,625 | |
Massachusetts Institute of Technology, 3.959%, 7/1/38 | 875,000 | 904,210 | |
Merck & Co., Inc.: | |||
2.75%, 2/10/25 | 1,250,000 | 1,216,675 | |
3.70%, 2/10/45 | 1,200,000 | 1,100,993 | |
Methanex Corp.: | |||
3.25%, 12/15/19 | 1,000,000 | 998,095 | |
5.65%, 12/1/44 | 4,900,000 | 4,545,995 | |
Microsoft Corp., 2.70%, 2/12/25 | 1,900,000 | 1,861,823 |
40 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
Morgan Stanley: | |||
6.25%, 8/28/17 | 3,500,000 | 3,797,923 | |
2.20%, 12/7/18 | 2,800,000 | 2,825,998 | |
2.375%, 7/23/19 | 2,000,000 | 2,000,210 | |
1.435%, 1/27/20 (r) | 2,000,000 | 2,014,980 | |
2.80%, 6/16/20 | 3,500,000 | 3,519,806 | |
4.00%, 7/23/25 | 1,855,000 | 1,895,797 | |
5.00%, 11/24/25 | 6,700,000 | 7,123,594 | |
3.95%, 4/23/27 | 1,100,000 | 1,059,386 | |
NBCUniversal Enterprise, Inc., 1.974%, 4/15/19 (e) | 1,700,000 | 1,709,013 | |
NBCUniversal Media LLC: | |||
4.375%, 4/1/21 | 1,700,000 | 1,862,474 | |
4.45%, 1/15/43 | 1,700,000 | 1,692,959 | |
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (e) | 2,000,000 | 2,042,036 | |
North American Development Bank, 2.40%, 10/26/22 | 2,750,000 | 2,723,421 | |
Penske Truck Leasing Co. LP / PTL Finance Corp.: | |||
3.375%, 2/1/22 (e) | 2,000,000 | 1,954,686 | |
4.25%, 1/17/23 (e) | 3,000,000 | 3,059,094 | |
Pentair Finance SA: | |||
1.875%, 9/15/17 | 4,100,000 | 4,055,216 | |
3.625%, 9/15/20 | 2,160,000 | 2,187,002 | |
PepsiCo, Inc.: | |||
2.75%, 3/5/22 | 1,000,000 | 1,004,960 | |
2.75%, 3/1/23 | 500,000 | 497,118 | |
Perrigo Finance plc, 3.90%, 12/15/24 | 1,000,000 | 984,903 | |
PNC Bank NA: | |||
2.70%, 11/1/22 | 4,000,000 | 3,858,364 | |
3.80%, 7/25/23 | 1,000,000 | 1,032,695 | |
Post Holdings, Inc., 6.75%, 12/1/21 (e) | 1,850,000 | 1,850,000 | |
President and Fellows of Harvard College, 3.619%, 10/1/37 | 1,000,000 | 978,717 | |
ProLogis LP, 6.875%, 3/15/20 | 794,000 | 923,076 | |
Prospect Medical Holdings, Inc., 8.375%, 5/1/19 (e) | 1,000,000 | 1,045,000 | |
Prudential Financial, Inc.: | |||
3.50%, 5/15/24 | 1,200,000 | 1,206,494 | |
4.60%, 5/15/44 | 1,000,000 | 1,008,518 | |
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 3,000,000 | 2,863,458 | |
Rockwood Specialties Group, Inc., 4.625%, 10/15/20 | 2,500,000 | 2,587,712 | |
Rogers Communications, Inc.: | |||
3.00%, 3/15/23 | 2,000,000 | 1,924,168 | |
5.00%, 3/15/44 | 2,000,000 | 2,026,504 |
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
SBA Tower Trust, 3.722%, 4/15/48 (e) | 4,150,000 | 4,192,803 | |
Southwest Airlines Co., 2.75%, 11/6/19 | 1,100,000 | 1,120,887 | |
Sprint Communications, Inc., 6.00%, 12/1/16 | 2,000,000 | 1,971,250 | |
Sprint Corp.: | |||
7.25%, 9/15/21 | 500,000 | 409,375 | |
7.625%, 2/15/25 | 2,525,000 | 1,955,297 | |
State Street Corp., 3.10%, 5/15/23 | 1,500,000 | 1,477,251 | |
SUPERVALU, Inc., 6.75%, 6/1/21 | 2,250,000 | 2,182,500 | |
Telefonica Emisiones SAU, 3.192%, 4/27/18 | 2,000,000 | 2,045,564 | |
Terraform Global Operating LLC, 9.75%, 8/15/22 (e) | 4,350,000 | 3,490,875 | |
Thermo Fisher Scientific, Inc.: | |||
4.15%, 2/1/24 | 800,000 | 828,618 | |
5.30%, 2/1/44 | 500,000 | 526,082 | |
Thomson Reuters Corp.: | |||
3.85%, 9/29/24 | 500,000 | 500,000 | |
5.65%, 11/23/43 | 500,000 | 541,269 | |
Time Warner Cable, Inc., 4.00%, 9/1/21 | 1,725,000 | 1,759,500 | |
Time Warner, Inc.: | |||
4.05%, 12/15/23 | 1,000,000 | 1,028,846 | |
3.60%, 7/15/25 | 1,000,000 | 979,200 | |
5.375%, 10/15/41 | 2,650,000 | 2,780,844 | |
5.35%, 12/15/43 | 1,000,000 | 1,052,088 | |
4.85%, 7/15/45 | 1,000,000 | 981,417 | |
TJX Cos., Inc. (The): | |||
2.75%, 6/15/21 | 2,000,000 | 2,035,136 | |
2.50%, 5/15/23 | 2,000,000 | 1,936,686 | |
Tyco Electronics Group SA: | |||
2.35%, 8/1/19 | 500,000 | 503,553 | |
3.50%, 2/3/22 | 1,000,000 | 1,025,387 | |
3.45%, 8/1/24 | 500,000 | 506,703 | |
United Airlines Pass Through Trust: | |||
5.375%, 2/15/23 | 3,010,903 | 3,086,175 | |
4.75%, 10/11/23 | 1,420,000 | 1,420,000 | |
US Bancorp, 2.95%, 7/15/22 | 1,200,000 | 1,193,830 | |
Verizon Communications, Inc.: | |||
3.50%, 11/1/24 | 6,450,000 | 6,341,704 | |
4.862%, 8/21/46 | 10,000,000 | 9,377,130 | |
Viacom, Inc.: | |||
3.875%, 4/1/24 | 1,750,000 | 1,640,599 | |
4.50%, 2/27/42 | 1,500,000 | 1,132,623 | |
Virgin Australia Trust: | |||
6.00%, 4/23/22 (e) | 5,098,762 | 5,226,231 | |
5.00%, 4/23/25 (e) | 1,351,296 | 1,405,348 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 41
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
Vodafone Group plc, 4.375%, 2/19/43 | 1,200,000 | 1,046,531 | |
Vornado Realty LP, 2.50%, 6/30/19 | 2,400,000 | 2,407,510 | |
Walgreens Boots Alliance, Inc., 3.80%, 11/18/24 | 2,800,000 | 2,785,028 | |
Whirlpool Corp.: | |||
3.70%, 3/1/23 | 2,100,000 | 2,109,257 | |
3.70%, 5/1/25 | 1,700,000 | 1,688,601 | |
5.15%, 3/1/43 | 1,000,000 | 1,018,112 | |
Yara International ASA, 7.875%, 6/11/19 (e) | 1,500,000 | 1,753,230 | |
Total Corporate Bonds (Cost $416,448,645) | 413,949,716 | ||
FLOATING RATE LOANS(d) - 1.0% | |||
Albertson's Holdings LLC: | |||
5.00%, 8/25/19 (r) | 1,462,500 | 1,461,769 | |
5.50%, 8/25/21 (r) | 4,773,060 | 4,773,603 | |
BJ's Wholesale Club, Inc., 4.50%, 9/26/19 (r) | 1,849,091 | 1,837,324 | |
Total Floating Rate Loans (Cost $8,064,007) | 8,072,696 | ||
HIGH SOCIAL IMPACT INVESTMENTS - 0.4% | |||
Calvert Social Investment Foundation Notes, 0.50%, 1/1/17 (b)(i)(r) | 3,087,392 | 3,052,276 | |
Total High Social Impact Investments (Cost $3,087,392) | 3,052,276 | ||
MUNICIPAL OBLIGATIONS - 2.9% | |||
Commonwealth of Massachusetts GO Bonds, 5.456%, 12/1/39 | 750,000 | 909,945 | |
Connecticut Special Tax Obligation Revenue Bonds, 5.459%, 11/1/30 | 3,800,000 | 4,396,068 | |
Georgetown University Washington DC Revenue Bonds, 7.22%, 4/1/19 | 2,990,000 | 3,325,418 | |
Los Angeles California Unified School District GO Bonds, 5.75%, 7/1/34 | 3,750,000 | 4,491,675 | |
Maryland State Transportation Authority Revenue Bonds, 5.604%, 7/1/30 | 3,000,000 | 3,562,890 | |
New York City GO Bonds, 5.206%, 10/1/31 | 1,030,000 | 1,153,487 |
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, 5.767%, 8/1/36 | 3,540,000 | 4,278,232 | |
Oakland California PO Revenue Bonds, Zero Coupon, 12/15/20 | 1,490,000 | 1,238,860 | |
Santa Clara Valley California Transportation Authority Revenue Bonds, 5.876%, 4/1/32 | 880,000 | 1,072,632 | |
Total Municipal Obligations (Cost $23,199,274) | 24,429,207 | ||
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 0.3% | |||
Overseas Private Investment Corp., 3.22%, 9/15/29 | 2,850,000 | 2,925,705 | |
Total U.S. Government Agencies and Instrumentalities (Cost $2,850,000) | 2,925,705 | ||
U.S. TREASURY OBLIGATIONS - 5.5% | |||
United States Treasury Bonds, 3.00%, 5/15/45 | 31,215,000 | 31,944,151 | |
United States Treasury Notes: | |||
1.00%, 9/15/18 | 3,860,000 | 3,868,847 | |
1.375%, 8/31/20 | 3,950,000 | 3,954,630 | |
1.375%, 9/30/20 | 1,045,000 | 1,044,837 | |
1.875%, 8/31/22 | 2,700,000 | 2,722,853 | |
2.00%, 8/15/25 | 2,160,000 | 2,148,582 | |
Total U.S. Treasury Obligations (Cost $45,578,051) | 45,683,900 | ||
SHARES | VALUE ($) | ||
EXCHANGE-TRADED PRODUCTS - 0.2% | |||
SPDR Barclays High Yield Bond ETF | 44,700 | 1,594,002 | |
Total Exchange-Traded Products (Cost $1,708,599) | 1,594,002 | ||
42 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | |
EQUITY SECURITIES - 0.1% | ||
Wireless Telecommunication Services - 0.1% | ||
NII Holdings, Inc. * | 88,599 | 576,779 |
Total Equity Securities (Cost $1,373,285) | 576,779 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
TIME DEPOSIT - 3.0% | ||||
State Street Bank Time Deposit, 0.088%, 10/1/15 | 25,209,147 | 25,209,147 | ||
Total Time Deposit (Cost $25,209,147) | 25,209,147 | |||
TOTAL INVESTMENTS (Cost $799,582,335) - 95.6% | 797,119,673 | |||
Other assets and liabilities, net - 4.4% | 36,521,004 | |||
NET ASSETS - 100.0% | $833,640,677 |
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||
Purchased: | |||||||||||
2 Year U.S. Treasury Notes | 74 | 12/15 | $ | 16,208,313 | $30,488 | ||||||
5 Year U.S. Treasury Notes | 17 | 12/15 | 2,048,766 | 12,455 | |||||||
Ultra U.S. Treasury Bonds | 148 | 12/15 | 23,740,125 | 187,013 | |||||||
Total Purchased | $229,956 | ||||||||||
Sold: | |||||||||||
10 Year U.S. Treasury Notes | (422) | 12/15 | $ | 54,325,906 | ) | ($80,409 | ) |
NOTES TO SCHEDULE OF INVESTMENTS | |
(b) | This security was valued under the direction of the Board of Trustees. See Note A. |
(d) | Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Floating rate loans generally pay interest at rates which are periodically re-determined at a margin above the London InterBank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at September 30, 2015. Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(i) | Restricted securities represent 0.4% of the net assets of the Portfolio. |
(r) | The coupon rate shown on floating or adjustable rate securities represents the rate in effect on September 30, 2015. |
(x) | Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. |
* | Non-income producing security. |
Abbreviations: | |
CLO: | Collateralized Loan Obligations |
ETF: | Exchange-Traded Fund |
GO: | General Obligation |
Ltd.: | Limited |
LLC: | Limited Liability Corporation |
LP: | Limited Partnership |
plc: | Public Limited Company |
PO: | Pension Obligation |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 43
CALVERT EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
SHARES | VALUE ($) | |
EQUITY SECURITIES - 113.9% | ||
Banks - 4.4% | ||
SunTrust Banks, Inc. | 658,140 | 25,167,273 |
Wells Fargo & Co. | 1,403,185 | 72,053,550 |
97,220,823 | ||
Beverages - 4.7% | ||
Coca-Cola Co. (The) | 1,542,905 | 61,901,349 |
PepsiCo, Inc. | 444,070 | 41,875,801 |
103,777,150 | ||
Biotechnology - 4.5% | ||
Biogen, Inc. * | 175,430 | 51,192,228 |
Gilead Sciences, Inc. | 489,739 | 48,087,473 |
99,279,701 | ||
Chemicals - 3.4% | ||
Ecolab, Inc. | 501,862 | 55,064,298 |
Marrone Bio Innovations, Inc. * | 255,843 | 539,829 |
Praxair, Inc. | 204,059 | 20,785,450 |
76,389,577 | ||
Communications Equipment - 1.2% | ||
QUALCOMM, Inc. | 494,982 | 26,595,383 |
Consumer Finance - 3.0% | ||
American Express Co. | 914,212 | 67,770,535 |
Diversified Financial Services - 1.8% | ||
Intercontinental Exchange, Inc. | 168,294 | 39,547,407 |
Electronic Equipment & Instruments - 2.4% | ||
Amphenol Corp., Class A | 1,030,304 | 52,504,292 |
Energy Equipment & Services - 1.9% | ||
Cameron International Corp. * | 700,074 | 42,928,538 |
SHARES | VALUE ($) | |
Food & Staples Retailing - 9.2% | ||
Costco Wholesale Corp. | 395,134 | 57,124,522 |
CVS Health Corp. | 1,108,200 | 106,919,136 |
Whole Foods Market, Inc. | 1,296,086 | 41,021,122 |
205,064,780 | ||
Food Products - 2.4% | ||
Hershey Co. (The) | 578,245 | 53,129,151 |
Health Care Providers & Services - 5.3% | ||
Cigna Corp. | 365,418 | 49,338,738 |
Express Scripts Holding Co. * | 853,155 | 69,071,429 |
118,410,167 | ||
Hotels, Restaurants & Leisure - 2.2% | ||
Starbucks Corp. | 872,574 | 49,597,106 |
Industrial Conglomerates - 5.4% | ||
3M Co. | 387,139 | 54,884,696 |
Danaher Corp. | 764,803 | 65,168,864 |
120,053,560 | ||
Insurance - 1.8% | ||
Aon plc | 442,305 | 39,192,646 |
Internet & Catalog Retail - 2.8% | ||
Priceline Group, Inc. (The) * | 49,695 | 61,465,758 |
Internet Software & Services - 7.3% | ||
Alphabet, Inc., Class C * | 202,248 | 123,051,728 |
Facebook, Inc., Class A * | 436,833 | 39,271,287 |
162,323,015 | ||
IT Services - 8.6% | ||
Accenture plc, Class A | 353,837 | 34,768,023 |
Cognizant Technology Solutions Corp., Class A * | 441,366 | 27,633,925 |
MasterCard, Inc., Class A | 287,181 | 25,880,752 |
Visa, Inc., Class A | 1,484,701 | 103,424,272 |
191,706,972 |
44 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | ||
Life Sciences - Tools & Services - 1.1% | |||
Thermo Fisher Scientific, Inc. | 208,666 | 25,515,678 | |
Machinery - 2.4% | |||
IDEX Corp. | 748,922 | 53,398,139 | |
Media - 6.6% | |||
AMC Networks, Inc., Class A * | 344,345 | 25,195,724 | |
Comcast Corp., Class A | 1,073,525 | 61,062,102 | |
Walt Disney Co. (The) | 593,825 | 60,688,915 | |
146,946,741 | |||
Multiline Retail - 1.3% | |||
Nordstrom, Inc. | 388,280 | 27,843,559 | |
Oil, Gas & Consumable Fuels - 2.2% | |||
EOG Resources, Inc. | 683,399 | 49,751,447 | |
Personal Products - 1.8% | |||
Estee Lauder Co.'s, Inc. (The), Class A | 484,037 | 39,052,105 | |
Pharmaceuticals - 5.7% | |||
Bristol-Myers Squibb Co. | 1,101,426 | 65,204,419 | |
Novartis AG (ADR) | 412,056 | 37,876,188 | |
Perrigo Co. plc | 147,023 | 23,122,307 | |
126,202,914 | |||
Semiconductors & Semiconductor Equipment - 3.4% | |||
Linear Technology Corp. | 659,083 | 26,593,999 | |
Texas Instruments, Inc. | 994,577 | 49,251,453 | |
75,845,452 | |||
Software - 3.1% | |||
Check Point Software Technologies Ltd. * | 433,181 | 34,364,249 | |
VMware, Inc., Class A * | 430,438 | 33,914,210 | |
68,278,459 | |||
Specialty Retail - 5.8% | |||
Lowe's Co.'s, Inc. | 1,287,358 | 88,724,713 | |
Ross Stores, Inc. | 830,279 | 40,243,623 | |
128,968,336 | |||
SHARES | VALUE ($) | ||
Technology Hardware, Storage & Peripherals - 6.6% | |||
Apple, Inc. (t) | 867,736 | 95,711,281 | |
EMC Corp. | 2,097,360 | 50,672,217 | |
146,383,498 | |||
Textiles, Apparel & Luxury Goods - 1.3% | |||
NIKE, Inc., Class B | 241,807 | 29,735,007 | |
Venture Capital - 0.3% | |||
20/20 Gene Systems, Inc. (b)(i)* | 73,397 | 74,865 | |
Digital Directions International, Inc. (a)(b)(i)* | 354,389 | 123,965 | |
Excent Corp. (b)(i)* | 600,745 | 224,913 | |
Global Resource Options, Inc.: | |||
Series A, Preferred(a)(b)(i)* | 750,000 | — | |
Series B, Preferred(a)(b)(i)* | 244,371 | — | |
Series C, Preferred(a)(b)(i)* | 297,823 | 1,745,972 | |
Series D, Preferred(a)(b)(i)* | 228,138 | 2,342,747 | |
Graduation Alliance, Inc.: | |||
Series C, Preferred(b)(i)* | 3,225,598 | 265,354 | |
Series C, Preferred Warrants (strike price $0.16/share, expires 8/20/18)(b)(i)* | 625,721 | 5,984 | |
Convertible Preferred, Series D (b)(i)* | 477,597 | 119,512 | |
Immunology Partners, Inc., Contingent Deferred Distribution (b)(i)* | 2,542,915 | 18,395 | |
Ivy Capital (Proprietary) Ltd. (b)(i)* | 19 | 686,667 | |
Napo Pharmaceuticals, Inc. (b)(i)* | 294,196 | 97,085 | |
New Day Farms, Inc., Series B, Preferred (a)(b)(i)* | 4,547,804 | — | |
Orteq Bioengineering Ltd., Series A, Preferred (b)(i)* | 74,910 | — | |
PresenceLearning, Inc.: | |||
Series A, Preferred(b)(i)* | 600,000 | 492,000 | |
Series A-2, Preferred(b)(i)* | 195,285 | 167,945 | |
Series B, Preferred(b)(i)* | 399,719 | 363,744 | |
Shangri La Farms, Series A, Preferred (a)(b)(i)* | 66,667 | 100,000 | |
Sword Diagnostics, Series B, Preferred (b)(i)* | 1,264,108 | — | |
Village Laundry Services, Inc. (b)(i)* | 9,444 | — | |
6,829,148 | |||
Total Equity Securities (Cost $1,859,339,938) | 2,531,707,044 | ||
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 45
ADJUSTED BASIS ($) | VALUE ($) | ||||
VENTURE CAPITAL LIMITED PARTNERSHIP INTEREST - 0.5% | |||||
Adobe Capital Social Mezzanine (b)(i)* | 223,096 | 159,735 | |||
Africa Renewable Energy Fund (b)(i)* | 344,664 | 301,316 | |||
Arborview Capital Partners (b)(i)* | 546,738 | 341,663 | |||
Blackstone Clean Technology Partners (b)(i)* | 446,830 | 153,328 | |||
China Environment Fund 2004 (b)(i)* | — | 123,854 | |||
China Environment Fund III (b)(i)* | 824,334 | 620,968 | |||
Coastal Ventures III (a)(b)(i)* | 240,110 | 206,716 | |||
Core Innovations Capital I (b)(i)* | 814,805 | 954,896 | |||
DBL Equity Fund - BAEF Il (b)(i)* | 968,020 | 941,813 | |||
DBL Partners III LP (b)(i)* | 148,761 | 136,162 | |||
First Analysis Private Equity Fund V (b)(i)* | 563,629 | 530,852 | |||
Ignia Fund I (b)(i)* | 983,203 | 878,019 | |||
Impact Ventures II (b)(i)* | 755,080 | 597,005 | |||
LeapFrog Financial Inclusion Fund (b)(i)* | 441,938 | 704,086 | |||
Mainstream Brazil Impact Investing Fund (b)(i)* | 18,422 | — | |||
New Markets Education Partners (b)(i)* | 615,632 | 620,415 | |||
New Markets Venture Partners II (b)(i)* | 251,621 | 462,819 | |||
Owl Ventures LP (b)(i)* | 165,000 | 228,994 | |||
Renewable Energy Asia Fund (b)(i)* | 1,747,526 | 1,921,216 | |||
SEAF India International Growth Fund (b)(i)* | 238,135 | 83,614 | |||
SJF Ventures II, Preferred (b)(i)* | 162,281 | 737,322 | |||
SJF Ventures III (b)(i)* | 496,630 | 512,999 | |||
Westly Capital Partners Fund II (b)(i)* | 698,433 | 588,787 | |||
Total Venture Capital Limited Partnership Interest (Cost $11,694,888) | 11,806,579 | ||||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
VENTURE CAPITAL DEBT OBLIGATIONS - 0.1% | |||||
Excent Corp., Note, 7.00%, 9/30/19 (b)(i) | 250,000 | 213,966 | |||
New Day Farms, Inc., Participation Interest Note, 9.00%, 12/31/15 (a)(b)(i)(v)(w)* | 6,225 | — | |||
One Earth Group Ltd: | |||||
Convertible Note, 5.00%, 12/31/15 (b)(i)(w) | 100,000 | 33,333 | |||
Convertible Note II, 5.00%, 12/31/15 (b)(i)(w) | 200,000 | 66,667 | |||
Orteq Bioengineering Ltd., Note, 12.00%, 7/31/17 (b)(i) | 131,225 | — | |||
Quantum Intech, Participation Interest Note, 14.00%, 3/31/19 (b)(i) | 40,713 | 30,535 | |||
SEAF Global SME Facility: | |||||
9.00%, 11/5/15 (b)(i)(w)(v) | 1,000,000 | — | |||
9.00%, 12/16/14 (b)(i)(w)(x) | 1,500,000 | 1,350,000 | |||
9.00%, 3/31/16 (b)(i) | 450,000 | 450,000 | |||
9.00%, 6/14/16 (b)(i) | 400,000 | 143,427 | |||
9.00%, 7/12/16 (b)(i) | 650,000 | 650,000 | |||
Total Venture Capital Debt Obligations (Cost $4,798,559) | 2,937,928 | ||||
HIGH SOCIAL IMPACT INVESTMENTS - 0.5% | |||||
Calvert Social Investment Foundation Notes, 0.50%, 1/1/17 (b)(i)(r) | 10,833,877 | 10,710,653 | |||
Total High Social Impact Investments (Cost $10,833,877) | 10,710,653 | ||||
TIME DEPOSIT - 2.5% | |||||
State Street Bank Time Deposit, 0.088%, 10/1/15 | 54,521,811 | 54,521,811 | |||
Total Time Deposit (Cost $54,521,811) | 54,521,811 | ||||
TOTAL INVESTMENTS (Cost $1,941,189,073) - 117.5% | 2,611,684,015 | ||||
Other assets and liabilities, net - (17.5)% | (388,053,700) | ||||
NET ASSETS - 100.0% | $2,223,630,315 |
46 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NOTES TO SCHEDULE OF INVESTMENTS | |
(a) | Affiliated company. |
(b) | This security was valued under the direction of the Board of Trustees. See Note A. |
(i) | Restricted securities represent 1.5% of the net assets of the Portfolio. |
(r) | The coupon rate shown on floating or adjustable rate securities represents the rate in effect on September 30, 2015. |
(t) | 160,000 shares of Apple, Inc. held by the Equity Portfolio have been soft segregated in order to cover outstanding commitments to certain limited partnership investments within the Portfolio. There are no restrictions on the trading of this security. |
(v) | Security is in default for both principal and interest. |
(w) | This security is not accruing interest. |
(x) | Security is in default for principal. |
* | Non-income producing security. |
Abbreviations: | |
ADR: | American Depositary Receipt |
Ltd.: | Limited |
LP: | Limited Partnership |
plc: | Public Limited Company |
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 47
CALVERT LARGE CAP CORE PORTFOLIO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
SHARES | VALUE ($) | |
EQUITY SECURITIES - 93.5% | ||
Air Freight & Logistics - 4.9% | ||
FedEx Corp. | 47,433 | 6,829,403 |
United Parcel Service, Inc., Class B | 21,924 | 2,163,680 |
8,993,083 | ||
Automobiles - 2.9% | ||
Toyota Motor Corp. (ADR) | 45,545 | 5,341,518 |
Banks - 5.0% | ||
Wells Fargo & Co. | 179,683 | 9,226,722 |
Biotechnology - 2.6% | ||
Amgen, Inc. | 35,229 | 4,872,875 |
Communications Equipment - 3.4% | ||
Cisco Systems, Inc. | 243,473 | 6,391,166 |
Consumer Finance - 3.5% | ||
Capital One Financial Corp. | 88,444 | 6,413,959 |
Diversified Financial Services - 2.1% | ||
Moody's Corp. | 38,837 | 3,813,793 |
Diversified Telecommunication Services - 3.5% | ||
AT&T, Inc. | 167,880 | 5,469,530 |
BT Group plc (ADR) | 16,264 | 1,036,830 |
6,506,360 | ||
Energy Equipment & Services - 2.5% | ||
National Oilwell Varco, Inc. | 122,076 | 4,596,161 |
Food & Staples Retailing - 3.1% | ||
CVS Health Corp. | 59,343 | 5,725,413 |
Health Care Equipment & Supplies - 3.1% | ||
St. Jude Medical, Inc. | 92,524 | 5,837,339 |
SHARES | VALUE ($) | |
Health Care Providers & Services - 3.8% | ||
McKesson Corp. | 38,238 | 7,075,177 |
Household Products - 2.8% | ||
Kimberly-Clark Corp. | 47,168 | 5,143,199 |
Industrial Conglomerates - 2.5% | ||
Danaher Corp. | 54,135 | 4,612,843 |
Insurance - 9.5% | ||
Allianz SE (ADR) | 68,564 | 1,071,655 |
American Financial Group, Inc. | 119,424 | 8,229,508 |
Prudential Financial, Inc. | 64,394 | 4,907,467 |
Travelers Co.'s, Inc. (The) | 34,825 | 3,466,132 |
17,674,762 | ||
IT Services - 6.5% | ||
DST Systems, Inc. | 53,189 | 5,592,292 |
Western Union Co. (The) | 352,964 | 6,480,419 |
12,072,711 | ||
Machinery - 6.4% | ||
Cummins, Inc. | 37,418 | 4,062,847 |
Deere & Co. | 51,069 | 3,779,106 |
Dover Corp. | 69,272 | 3,960,973 |
11,802,926 | ||
Media - 8.7% | ||
Omnicom Group, Inc. | 71,359 | 4,702,558 |
Time Warner Cable, Inc. | 32,696 | 5,864,682 |
Time Warner, Inc. | 59,278 | 4,075,362 |
Viacom, Inc., Class B | 34,898 | 1,505,849 |
16,148,451 | ||
Oil, Gas & Consumable Fuels - 0.5% | ||
Denbury Resources, Inc. | 383,468 | 935,662 |
Personal Products - 3.2% | ||
Unilever NV, NY Shares | 147,286 | 5,920,897 |
48 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
SHARES | VALUE ($) | |
Pharmaceuticals - 6.8% | ||
Johnson & Johnson | 95,826 | 8,945,357 |
Roche Holding AG (ADR) | 109,011 | 3,591,913 |
12,537,270 | ||
Technology Hardware, Storage & Peripherals - 6.2% | ||
Apple, Inc. | 104,774 | 11,556,572 |
Total Equity Securities (Cost $168,302,526) | 173,198,859 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |||
TIME DEPOSIT - 6.4% | ||||
State Street Bank Time Deposit, 0.088%, 10/1/15 | 11,813,542 | 11,813,542 | ||
Total Time Deposit (Cost $11,813,542) | 11,813,542 | |||
TOTAL INVESTMENTS (Cost $180,116,068) - 99.9% | 185,012,401 | |||
Other assets and liabilities, net - 0.1% | 134,469 | |||
NET ASSETS - 100.0% | $185,146,870 |
NOTES TO SCHEDULE OF INVESTMENTS | |
Abbreviations: | |
ADR: | American Depositary Receipt |
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 49
LISTING OF RESTRICTED SECURITIES
BALANCED RESTRICTED SECURITIES | ACQUISITON DATES | COST ($) | |
Agraquest, Inc., Contingent Deferred Distribution | 8/14/12 | — | |
Calvert Social Investment Foundation Notes, 0.25%, 7/1/17 | 7/1/14 | 4,266,666 | |
CFBanc Corp. | 3/14/03 | 270,000 | |
Coastal Venture Partners LP | 6/7/96 – 6/22/00 | 57,944 | |
Commons Capital LP | 2/15/01-12/27/11 | 327,358 | |
Consensus Orthopedics, Inc., Common Stock | 8/19/05 | 504,331 | |
Consensus Orthopedics, Inc., Series A-1, Preferred | 2/10/06 | 4,331 | |
Consensus Orthopedics, Inc., Series B, Preferred | 2/10/06 | 139,576 | |
Consensus Orthopedics, Inc., Series C, Preferred | 2/10/06 | 120,342 | |
First Analysis Private Equity Fund IV LP | 2/25/02-7/6/11 | 143,899 | |
GEEMF Partners LP | 2/28/97 | — | |
Global Environment Emerging Markets Fund LP | 1/14/94-12/1/95 | — | |
Infrastructure and Environmental Private Equity Fund III LP | 4/16/97-2/12/01 | — | |
Kickboard, Common Stock | 5/23/13 | — | |
Kickboard, Series A, Preferred | 2/12/13-6/19/14 | 385,328 | |
Kickboard Bridge Note, 8.00%, 6/30/16 | 9/16/15 | 41,000 | |
Labrador Ventures III | 8/11/98-4/2/01 | 305,585 | |
LearnZillion, Inc., Series A, Preferred | 3/27/12 | 100,000 | |
LearnZillion, Inc., Series A-1, Preferred | 4/23/13 | 134,761 | |
Lumni, Inc., Series B, Preferred | 8/8/13 | 116,367 | |
MACH Energy, Common Stock | 10/31/08 | 889 | |
MACH Energy, Series A, Preferred | 5/31/02-10/31/08 | 11,426 | |
MACH Energy, Series B, Preferred | 12/20/05 | 20,447 | |
Neighborhood Bancorp | 6/25/97 | 100,000 | |
New Markets Growth Fund LLC LP | 1/8/03-7/18/07 | 225,646 | |
Rose Smart Growth Investment Fund I LP, 6.545%, 4/1/21 | 4/10/06 | 1,000,000 | |
Seventh Generation, Inc. | 4/12/00-5/6/03 | 201,755 | |
Solstice Capital LP | 6/26/01-6/17/08 | 7,494 | |
Wild Planet Entertainment, Contingent Deferred Distribution | 5/14/14 | 316,724 | |
Wind Harvest Co., Inc. | 5/16/94 | 100,000 |
BOND RESTRICTED SECURITIES | ACQUISITON DATES | COST ($) | |
Calvert Social Investment Foundation Notes, 0.50%, 1/1/17 | 7/1/14 | 3,087,392 |
EQUITY RESTRICTED SECURITIES | ACQUISITON DATES | COST ($) | |
20/20 Gene Systems, Inc. | 8/1/08 - 8/27/13 | 166,889 | |
Adobe Capital Social Mezzanine LP | 2/8/13 - 9/4/15 | 223,096 | |
Africa Renewable Energy Fund LP | 4/17/14 - 7/2/15 | 344,664 | |
Arborview Capital Partners LP | 11/13/12 - 8/10/15 | 546,738 | |
Blackstone Clean Technology Partners LP | 7/29/10 - 6/25/15 | 446,830 | |
Calvert Social Investment Foundation Notes, 0.50%, 1/1/17 | 1/1/14 | 10,833,877 | |
China Environment Fund 2004 LP | 9/15/05 - 4/1/09 | — | |
China Environment Fund III LP | 1/24/08 – 4/19/13 | 824,334 | |
Coastal Ventures III LP | 7/30/12 – 2/25/15 | 240,110 |
50 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
EQUITY RESTRICTED SECURITIES | ACQUISITON DATES | COST ($) | |
Core Innovations Capital I LP | 1/6/11 – 9/1/15 | 814,805 | |
DBL Equity Fund - BAEF Il LP | 3/30/11 – 7/8/15 | 968,020 | |
DBL Partners III LP | 1/16/15 – 7/8/15 | 148,761 | |
Digital Directions International, Inc. | 7/2/08 – 7/15/09 | 683,778 | |
Excent Corp., Common Stock | 9/28/12 | 250,000 | |
Excent Corp., Note, 7.00%, 9/30/19 | 9/28/12 | 250,000 | |
First Analysis Private Equity Fund V LP | 6/7/13 – 9/28/15 | 563,629 | |
Global Resource Options, Inc., Series A, Preferred | 9/18/06 | 750,000 | |
Global Resource Options, Inc., Series B, Preferred | 12/5/07 | 750,000 | |
Global Resource Options, Inc., Series C, Preferred | 2/13/09 | 1,000,000 | |
Global Resource Options, Inc., Series D, Preferred | 12/30/10 - 5/24/11 | 700,178 | |
Graduation Alliance, Inc., Series C, Preferred | 3/27/13 – 8/20/13 | 500,000 | |
Graduation Alliance, Inc., Series D, Convertible Preferred | 4/29/15 | 83,288 | |
Graduation Alliance, Inc., Preferred Warrants (strike price $0.16/share, expires 8/20/18) | 9/13/13 | — | |
Ignia Fund I LP | 1/28/10 – 6/16/15 | 983,203 | |
Immunology Partners, Inc., Contingent Deferred Distribution | 11/30/06 | 305,942 | |
Impact Ventures II LP | 9/8/10 – 8/24/15 | 755,080 | |
Ivy Capital (Proprietary) Ltd. | 9/12/12 – 5/14/14 | 557,010 | |
LeapFrog Financial Inclusion Fund LP | 1/20/10 – 8/12/15 | 441,938 | |
Mainstream Brazil Impact Investing Fund LP | 12/12/14 – 3/25/15 | 18,422 | |
Napo Pharmaceuticals, Inc. | 2/21/07 – 9/23/09 | 419,720 | |
New Day Farms, Inc., Participation Interest Note, 9.00%, 12/31/15 | 11/25/09 | 6,225 | |
New Day Farms, Inc., Series B, Preferred | 3/12/09 | 500,000 | |
New Markets Education Partners LP | 9/27/11 – 6/3/15 | 615,632 | |
New Markets Venture Partners II LP | 7/21/08 – 7/21/15 | 251,621 | |
One Earth Group Ltd., Convertible Note, 5.00%, 12/31/15 | 12/21/12 | 100,000 | |
One Earth Group Ltd., Convertible Note II, 5.00%, 12/31/15 | 5/15/13 | 200,000 | |
Orteq Bioengineering Ltd., Note, 12.00%, 7/31/17 | 7/22/13 | 201,621 | |
Orteq Bioengineering Ltd., Series A, Preferred | 7/19/07 | 998,102 | |
Owl Ventures LP | 7/10/14 – 8/3/15 | 165,000 | |
PresenceLearning, Inc., Series A, Preferred | 9/29/11 | 300,000 | |
PresenceLearning, Inc., Series A-2, Preferred | 5/2/12 | 134,942 | |
PresenceLearning, Inc., Series B, Preferred | 4/4/13 | 285,000 | |
Quantum Intech, 14.00%, 3/31/19 | 10/5/10 – 12/30/13 | 40,713 | |
Renewable Energy Asia Fund LP | 9/29/10 – 5/22/15 | 1,747,526 | |
SEAF Global SME Facility, 9.00%, 12/16/14 | 12/16/09 | 1,500,000 | |
SEAF Global SME Facility, 9.00%, 11/5/15 | 11/4/10 | 1,000,000 | |
SEAF Global SME Facility, 9.00%, 3/31/16 | 3/29/11 | 450,000 | |
SEAF Global SME Facility, 9.00%, 6/14/16 | 6/13/11 | 400,000 | |
SEAF Global SME Facility, 9.00%, 7/12/16 | 7/11/11 | 650,000 | |
SEAF India International Growth Fund LP | 3/22/05 – 5/24/10 | 238,135 | |
Shangri La Farms, Series A, Preferred | 2/1/13 | 200,000 | |
SJF Ventures II LP, Preferred | 2/14/06 – 11/20/12 | 162,281 | |
SJF Ventures III LP | 2/6/12 – 3/13/15 | 496,630 | |
Sword Diagnostics, Series B, Preferred | 12/26/06 – 3/31/15 | 432,473 | |
Village Laundry Services, Inc. | 7/22/09 | 500,000 | |
Westly Capital Partners Fund II LP | 12/27/11 – 8/12/15 | 698,433 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 51
CALVERT BALANCED PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2015
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $641,025,289) - see accompanying schedule | $638,191,176 | ||
Investments in affiliated securities, at value (Cost $515,378) - see accompanying schedule | 524,679 | ||
Cash collateral at broker | 414,648 | ||
Receivable for securities sold | 8,625,957 | ||
Receivable for shares sold | 449,962 | ||
Dividends and interest receivable | 1,976,473 | ||
Trustees' deferred compensation plan | 370,064 | ||
Receivable from Calvert Investment Management, Inc. | 504 | ||
Total assets | 650,553,463 | ||
LIABILITIES | |||
Payable for securities purchased | 4,464,329 | ||
Payable for shares redeemed | 407,979 | ||
Payable to custodian bank | 3,863 | ||
Payable for futures contracts variation margin | 82,984 | ||
Payable to Calvert Investment Management, Inc. | 216,739 | ||
Payable to Calvert Investment Distributors, Inc. | 158,200 | ||
Payable to Calvert Investment Administrative Services, Inc. | 145,807 | ||
Payable to Calvert Investment Services, Inc. | 12,119 | ||
Trustees' deferred compensation plan | 370,064 | ||
Accrued expenses and other liabilities | 145,630 | ||
Total liabilities | 6,007,714 | ||
NET ASSETS | $644,545,749 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to the following shares of beneficial interest, | |||
unlimited number of no par value shares authorized: | |||
Class A: 17,848,346 shares outstanding | $519,457,002 | ||
Class C: 1,773,749 shares outstanding | 54,645,571 | ||
Class I: 429,358 shares outstanding | 10,194,061 | ||
Class Y: 189,943 shares outstanding | 6,403,535 | ||
Undistributed net investment income | 446,940 | ||
Accumulated net realized gain (loss) | 56,306,586 | ||
Net unrealized appreciation (depreciation) | (2,907,946) | ||
NET ASSETS | $644,545,749 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $569,368,495) | $31.90 | ||
Class C (based on net assets of $55,180,326) | $31.11 | ||
Class I (based on net assets of $13,893,604) | $32.36 | ||
Class Y (based on net assets of $6,103,324) | $32.13 | ||
See notes to financial statements. |
52 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2015
ASSETS | |||
Investments in securities, at value (Cost $799,582,335) - see accompanying schedule | $797,119,673 | ||
Cash collateral at broker | 242,925 | ||
Receivable for futures contracts variation margin | 824,644 | ||
Receivable for securities sold | 44,632,825 | ||
Receivable for shares sold | 1,240,590 | ||
Trustees' deferred compensation plan | 478,037 | ||
Interest receivable | 5,455,044 | ||
Total assets | 849,993,738 | ||
LIABILITIES | |||
Payable for securities purchased | 14,768,747 | ||
Payable for shares redeemed | 483,432 | ||
Payable to Calvert Investment Management, Inc. | 238,997 | ||
Payable to Calvert Investment Distributors, Inc. | 91,783 | ||
Payable to Calvert Investment Administrative Services, Inc. | 151,159 | ||
Payable to Calvert Investment Services, Inc. | 7,317 | ||
Trustees' deferred compensation plan | 478,037 | ||
Accrued expenses and other liabilities | 133,589 | ||
Total liabilities | 16,353,061 | ||
NET ASSETS | $833,640,677 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to the following shares of beneficial interest, | |||
unlimited number of no par value shares authorized: | |||
Class A: 24,959,569 shares outstanding | $402,805,065 | ||
Class C: 2,073,505 shares outstanding | 32,539,888 | ||
Class I: 20,740,111 shares outstanding | 331,359,786 | ||
Class Y: 4,838,253 shares outstanding | 77,626,868 | ||
Undistributed net investment income | 39,488 | ||
Accumulated net realized gain (loss) | (8,417,303) | ||
Net unrealized appreciation (depreciation) | (2,313,115) | ||
NET ASSETS | $833,640,677 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $395,193,936) | $15.83 | ||
Class C (based on net assets of $32,625,914) | $15.73 | ||
Class I (based on net assets of $328,689,797) | $15.85 | ||
Class Y (based on net assets of $77,131,030) | $15.94 | ||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 53
CALVERT EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2015
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $1,936,358,782) - see accompanying schedule | $2,607,164,615 | ||
Investments in affiliated securities, at value (Cost $4,830,291) - see accompanying schedule | 4,519,400 | ||
Cash denominated in foreign currencies | 2,637 | ||
Receivable for shares sold | 1,155,951 | ||
Dividends and interest receivable | 2,867,918 | ||
Trustees' deferred compensation plan | 1,276,836 | ||
Total assets | 2,616,987,357 | ||
LIABILITIES | |||
Payable for shares redeemed | 389,838,490 | ||
Payable to Calvert Investment Management, Inc. | 1,046,071 | ||
Payable to Calvert Investment Distributors, Inc. | 417,793 | ||
Payable to Calvert Investment Administrative Services, Inc. | 354,999 | ||
Payable to Calvert Investment Services, Inc. | 21,490 | ||
Trustees' deferred compensation plan | 1,276,836 | ||
Accrued expenses and other liabilities | 401,363 | ||
Total liabilities | 393,357,042 | ||
NET ASSETS | $2,223,630,315 | ||
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: 27,808,189 shares outstanding | $645,918,683 | ||
Class C: 4,850,489 shares outstanding | 131,654,294 | ||
Class I: 10,786,574 shares outstanding | 347,055,944 | ||
Class Y: 3,213,254 shares outstanding | 125,589,159 | ||
Undistributed net investment income | 8,883,455 | ||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 294,033,845 | ||
Net unrealized appreciation (depreciation) on investments, foreign currencies and assets and liabilities denominated in foreign currencies | 670,494,935 | ||
NET ASSETS | $2,223,630,315 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $1,328,913,300) | $47.79 | ||
Class C (based on net assets of $169,649,303) | $34.98 | ||
Class I (based on net assets of $567,953,656) | $52.65 | ||
Class Y (based on net assets of $157,114,056) | $48.90 | ||
See notes to financial statements. |
54 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT LARGE CAP CORE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2015
ASSETS | |||
Investments in securities, at value (Cost $180,116,068) - see accompanying schedule | $185,012,401 | ||
Receivable for shares sold | 103,428 | ||
Dividends and interest receivable | 212,331 | ||
Trustees' deferred compensation plan | 106,262 | ||
Receivable from Calvert Investment Management, Inc. | 407 | ||
Total assets | 185,434,829 | ||
LIABILITIES | |||
Payable for shares redeemed | 27,846 | ||
Payable to Calvert Investment Management, Inc. | 77,226 | ||
Payable to Calvert Investment Distributors, Inc. | 24,677 | ||
Payable to Calvert Investment Administrative Services, Inc. | 18,967 | ||
Payable to Calvert Investment Services, Inc. | 1,733 | ||
Trustees' deferred compensation plan | 106,262 | ||
Accrued expenses and other liabilities | 31,248 | ||
Total liabilities | 287,959 | ||
NET ASSETS | $185,146,870 | ||
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: 3,223,795 shares outstanding | $60,693,111 | ||
Class C: 631,645 shares outstanding | 11,495,109 | ||
Class I: 4,620,551 shares outstanding | 93,808,315 | ||
Class Y: 132,244 shares outstanding | 3,044,263 | ||
Undistributed net investment income | 1,477,713 | ||
Accumulated net realized gain (loss) | 9,732,026 | ||
Net unrealized appreciation (depreciation) | 4,896,333 | ||
NET ASSETS | $185,146,870 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $68,949,974) | $21.39 | ||
Class C (based on net assets of $12,077,319) | $19.12 | ||
Class I (based on net assets of $101,243,830) | $21.91 | ||
Class Y (based on net assets of $2,875,747) | $21.75 | ||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 55
STATEMENTS OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2015
NET INVESTMENT INCOME | BALANCED PORTFOLIO | BOND PORTFOLIO | ||||||
Investment Income: | ||||||||
Interest income | $7,939,198 | $28,726,063 | ||||||
Dividend income (net of foreign taxes withheld of $118,796 and $0, respectively) | 8,612,617 | 16,503 | ||||||
Total investment income | 16,551,815 | 28,742,566 | ||||||
Expenses: | ||||||||
Investment advisory fee | 2,801,069 | 2,939,230 | ||||||
Administrative fees | 1,854,647 | 1,827,671 | ||||||
Transfer agency fees and expenses | 916,886 | 788,486 | ||||||
Distribution Plan expenses: | ||||||||
Class A | 1,412,233 | 791,828 | ||||||
Class B (a) | 20,604 | 3,982 | ||||||
Class C | 550,208 | 336,778 | ||||||
Trustees' fees and expenses | 67,197 | 78,886 | ||||||
Accounting fees | 63,611 | 72,371 | ||||||
Custodian fees | 128,518 | 98,069 | ||||||
Professional fees | 70,060 | 61,630 | ||||||
Registration fees | 67,932 | 77,490 | ||||||
Reports to shareholders | 20,521 | 16,166 | ||||||
Miscellaneous | 158,715 | 97,730 | ||||||
Total expenses | 8,132,201 | 7,190,317 | ||||||
Reimbursement from Advisor: | ||||||||
Class B (a) | (5,524) | (13,624) | ||||||
Class Y | (6,787) | — | ||||||
Net expenses | 8,119,890 | 7,176,693 | ||||||
NET INVESTMENT INCOME | 8,431,925 | 21,565,873 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 61,719,256 | 3,233,199 | ||||||
Futures | (516,134) | (1,228,631) | ||||||
61,203,122 | 2,004,568 | |||||||
Change in unrealized appreciation (depreciation) on: | ||||||||
Investments in unaffiliated securities | (77,326,462) | (8,791,987) | ||||||
Investments in affiliated securities | (50,300) | — | ||||||
Futures | (10,793) | 336,200 | ||||||
(77,387,555) | (8,455,787) | |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (16,184,433) | (6,451,219) | ||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | ($7,752,508 | ) | $15,114,654 | |||||
(a) | Class B shares were converted into Class A shares at the close of business on April 20, 2015. | |||||||
See notes to financial statements. |
56 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
STATEMENTS OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2015
NET INVESTMENT INCOME | EQUITY PORTFOLIO | LARGE CAP CORE PORTFOLIO | ||||||
Investment Income: | ||||||||
Dividend income (net of foreign taxes withheld of $130,534 and $42,876, respectively) | $36,735,025 | $3,838,328 | ||||||
Interest income | 747,460 | 8,282 | ||||||
Total investment income | 37,482,485 | 3,846,610 | ||||||
Expenses: | ||||||||
Investment advisory fee | 14,057,812 | 1,173,909 | ||||||
Administrative fees | 4,717,744 | 241,265 | ||||||
Transfer agency fees and expenses | 2,626,770 | 156,411 | ||||||
Distribution Plan expenses: | ||||||||
Class A | 3,826,261 | 187,524 | ||||||
Class B (a) | 74,530 | 3,524 | ||||||
Class C | 1,779,620 | 134,567 | ||||||
Trustees' fees and expenses | 264,036 | 20,007 | ||||||
Accounting fees | 187,013 | 24,086 | ||||||
Custodian fees | 155,841 | 30,422 | ||||||
Professional fees | 177,597 | 25,194 | ||||||
Registration fees | 103,021 | 56,294 | ||||||
Reports to shareholders | 62,297 | 6,322 | ||||||
Miscellaneous | 395,164 | 39,744 | ||||||
Total expenses | 28,427,706 | 2,099,269 | ||||||
Reimbursement from Advisor: | ||||||||
Class B (a) | — | (8,858) | ||||||
Class Y | — | (5,014) | ||||||
Fee waived | (427,138) | (195,651) | ||||||
Net expenses | 28,000,568 | 1,889,746 | ||||||
NET INVESTMENT INCOME | 9,481,917 | 1,956,864 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 388,156,392 | 10,344,823 | ||||||
Foreign currency transactions | (849) | — | ||||||
Written options | — | 29,050 | ||||||
388,155,543 | 10,373,873 | |||||||
Change in unrealized appreciation (depreciation) on: | ||||||||
Investments in unaffiliated securities | (255,819,054) | (16,938,321) | ||||||
Investments in affiliated securities | 2,530,026 | — | ||||||
Assets and liabilities denominated in foreign currencies | 836 | — | ||||||
(253,288,192) | (16,938,321) | |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 134,867,351 | (6,564,448) | ||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $144,349,268 | ($4,607,584 | ) | |||||
(a) | Class B shares were converted into Class A shares at the close of business on April 20, 2015. | |||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 57
CALVERT BALANCED PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Operations: | ||||||||
Net investment income | $8,431,925 | $6,108,543 | ||||||
Net realized gain (loss) | 61,203,122 | 58,808,271 | ||||||
Change in unrealized appreciation (depreciation) | (77,387,555) | (3,065,958) | ||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (7,752,508) | 61,850,856 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income: | ||||||||
Class A shares | (7,215,679) | (5,304,856) | ||||||
Class B shares (a) | (1,733) | — | ||||||
Class C shares | (318,771) | (99,987) | ||||||
Class I shares | (628,679) | (615,361) | ||||||
Class Y shares | (72,855) | (7,237) | ||||||
Net realized gain: | ||||||||
Class A shares | (6,263,382) | (59,531,819) | ||||||
Class B shares (a) | (41,853) | (654,385) | ||||||
Class C shares | (569,186) | (4,834,002) | ||||||
Class I shares | (490,451) | (4,216,972) | ||||||
Class Y shares | (46,766) | (18,339) | ||||||
Total distributions | (15,649,355) | (75,282,958) | ||||||
Capital share transactions: | ||||||||
Shares sold: | ||||||||
Class A shares (b) | 77,314,329 | 80,444,308 | ||||||
Class B shares (a) | 23,457 | 141,730 | ||||||
Class C shares | 13,860,342 | 12,590,457 | ||||||
Class I shares | 9,068,557 | 12,052,536 | ||||||
Class Y shares | 5,356,913 | 3,268,809 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 12,645,754 | 60,882,417 | ||||||
Class B shares (a) | 42,067 | 628,477 | ||||||
Class C shares | 755,630 | 4,111,012 | ||||||
Class I shares | 1,119,130 | 4,832,332 | ||||||
Class Y shares | 104,048 | 24,598 | ||||||
Redemption fees: | ||||||||
Class A shares | 1,062 | 1,181 | ||||||
Class C shares | 68 | 1,566 | ||||||
Class I shares | — | 1 | ||||||
Shares redeemed: | ||||||||
Class A shares | (60,888,132) | (64,966,914) | ||||||
Class B shares (a)(b) | (4,227,672) | (2,332,593) | ||||||
Class C shares | (5,925,701) | (4,740,292) | ||||||
Class I shares | (40,417,040) | (8,323,829) | ||||||
Class Y shares | (2,324,766) | (90,231) | ||||||
Total capital share transactions | 6,508,046 | 98,525,565 | ||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (16,893,817) | 85,093,463 | ||||||
See notes to financial statements. |
58 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Beginning of year | $661,439,566 | $576,346,103 | ||||||
End of year (including undistributed net investment income of $446,940 and $211,347, respectively) | $644,545,749 | $661,439,566 | ||||||
CAPITAL SHARE ACTIVITY | ||||||||
Shares sold: | ||||||||
Class A shares (c) | 2,274,208 | 2,455,271 | ||||||
Class B shares (a) | 712 | 4,485 | ||||||
Class C shares | 417,930 | 394,421 | ||||||
Class I shares | 264,169 | 363,211 | ||||||
Class Y shares | 156,527 | 97,776 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 374,777 | 1,957,563 | ||||||
Class B shares (a) | 1,267 | 20,667 | ||||||
Class C shares | 23,045 | 135,801 | ||||||
Class I shares | 32,468 | 152,765 | ||||||
Class Y shares | 3,067 | 779 | ||||||
Shares redeemed: | ||||||||
Class A shares | (1,792,460) | (1,986,322) | ||||||
Class B shares (a)(c) | (124,831) | (72,694) | ||||||
Class C shares | (178,447) | (149,531) | ||||||
Class I shares | (1,167,051) | (245,814) | ||||||
Class Y shares | (67,263) | (2,864) | ||||||
Total capital share activity | 218,118 | 3,125,514 | ||||||
(a) | Class B shares were converted into Class A shares at the close of business on April 20, 2015. | |||||||
(b) | Amounts include $3,427,822 of share transactions that were redeemed from Class B shares and converted into Class A shares at the close of business on April 20, 2015. | |||||||
(c) | Amount includes 100,848 shares redeemed from Class B shares and 98,898 shares purchased into Class A shares at the close of business on April 20,2015. | |||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 59
CALVERT BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Operations: | ||||||||
Net investment income | $21,565,873 | $18,920,011 | ||||||
Net realized gain (loss) | 2,004,568 | 2,333,723 | ||||||
Change in unrealized appreciation (depreciation) | (8,455,787) | 13,116,441 | ||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 15,114,654 | 34,370,175 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income: | ||||||||
Class A shares | (9,301,172) | (9,549,804) | ||||||
Class B shares (a) | (4,399) | (19,068) | ||||||
Class C shares | (510,454) | (564,887) | ||||||
Class I shares | (10,049,863) | (7,664,863) | ||||||
Class Y shares | (1,686,307) | (1,104,915) | ||||||
Net realized gain: | ||||||||
Class A shares | — | (776,153) | ||||||
Class B shares (a) | — | (3,821) | ||||||
Class C shares | — | (71,127) | ||||||
Class I shares | — | (445,539) | ||||||
Class Y shares | — | (78,698) | ||||||
Total distributions | (21,552,195) | (20,278,875) | ||||||
Capital share transactions: | ||||||||
Shares sold: | ||||||||
Class A shares (b) | 92,254,104 | 63,138,680 | ||||||
Class B shares (a) | 42,764 | 18,065 | ||||||
Class C shares | 5,047,017 | 3,954,755 | ||||||
Class I shares | 125,214,709 | 97,401,600 | ||||||
Class Y shares | 35,576,230 | 39,078,206 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 8,429,712 | 9,370,208 | ||||||
Class B shares (a) | 4,337 | 20,949 | ||||||
Class C shares | 402,675 | 498,930 | ||||||
Class I shares | 9,859,991 | 7,990,705 | ||||||
Class Y shares | 1,410,042 | 918,119 | ||||||
Redemption fees: | ||||||||
Class A shares | 5,759 | 2,931 | ||||||
Class C shares | 107 | 168 | ||||||
Class I shares | — | 41 | ||||||
Class Y shares | 15 | 306 | ||||||
Shares redeemed: | ||||||||
Class A shares | (81,166,274) | (111,124,751) | ||||||
Class B shares (a)(b) | (880,527) | (1,529,598) | ||||||
Class C shares | (6,607,978) | (8,804,808) | ||||||
Class I shares | (103,897,006) | (30,021,447) | ||||||
Class Y shares | (12,878,054) | (26,380,893) | ||||||
Total capital share transactions | 72,817,623 | 44,532,166 | ||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 66,380,082 | 58,623,466 | ||||||
See notes to financial statements. |
60 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Beginning of year | $767,260,595 | $708,637,129 | ||||||
End of year (including undistributed net investment income of $39,488 and $45,260, respectively) | $833,640,677 | $767,260,595 | ||||||
CAPITAL SHARE ACTIVITY | ||||||||
Shares sold: | ||||||||
Class A shares (c) | 5,739,886 | 3,993,210 | ||||||
Class B shares (a) | 2,688 | 1,155 | ||||||
Class C shares | 316,229 | 251,071 | ||||||
Class I shares | 7,776,102 | 6,134,575 | ||||||
Class Y shares | 2,203,083 | 2,439,348 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 525,647 | 591,803 | ||||||
Class B shares (a) | 271 | 1,340 | ||||||
Class C shares | 25,260 | 31,729 | ||||||
Class I shares | 613,865 | 503,605 | ||||||
Class Y shares | 87,394 | 57,646 | ||||||
Shares redeemed: | ||||||||
Class A shares | (5,062,758) | (7,013,679) | ||||||
Class B shares (a)(c) | (54,539) | (97,741) | ||||||
Class C shares | (414,132) | (560,997) | ||||||
Class I shares | (6,512,113) | (1,897,311) | ||||||
Class Y shares | (796,966) | (1,655,066) | ||||||
Total capital share activity | 4,449,917 | 2,780,688 | ||||||
(a) | Class B shares were converted into Class A shares at the close of business on April 20, 2015. | |||||||
(b) | Amounts include $614,021 of share transactions that were redeemed from Class B shares and converted into Class A shares at the close of business on April 20, 2015. | |||||||
(c) | Amount includes 37,879 shares redeemed from Class B shares and 37,509 shares purchased into Class A shares at the close of business on April 20,2015. | |||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 61
CALVERT EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Operations: | ||||||||
Net investment income | $9,481,917 | $4,963,288 | ||||||
Net realized gain (loss) | 388,155,543 | 285,519,073 | ||||||
Change in unrealized appreciation (depreciation) | (253,288,192) | 177,060,740 | ||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 144,349,268 | 467,543,101 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income: | ||||||||
Class A shares | (583,496) | (1,953,127) | ||||||
Class I shares | (3,716,273) | (3,745,006) | ||||||
Class Y shares | (367,049) | (487,144) | ||||||
Net realized gain: | ||||||||
Class A shares | (143,281,964) | (70,302,560) | ||||||
Class B shares(a) | (1,563,454) | (1,071,098) | ||||||
Class C shares | (21,308,533) | (9,026,764) | ||||||
Class I shares | (85,041,426) | (32,430,735) | ||||||
Class Y shares | (12,579,166) | (5,862,296) | ||||||
Total distributions | (268,441,361) | (124,878,730) | ||||||
Capital share transactions: | ||||||||
Shares sold: | ||||||||
Class A shares(b) | 159,258,981 | 181,343,324 | ||||||
Class B shares(a) | 73,926 | 103,346 | ||||||
Class C shares | 16,502,253 | 13,114,597 | ||||||
Class I shares | 226,079,599 | 170,032,648 | ||||||
Class Y shares | 62,046,619 | 54,707,533 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 127,526,426 | 65,706,126 | ||||||
Class B shares(a) | 1,472,454 | 1,003,386 | ||||||
Class C shares | 17,142,692 | 7,262,330 | ||||||
Class I shares | 83,957,252 | 33,778,840 | ||||||
Class Y shares | 9,676,039 | 5,024,984 | ||||||
Redemption fees: | ||||||||
Class A shares | 2,035 | 15,288 | ||||||
Class B shares(a) | 23 | — | ||||||
Class C shares | 27 | 3,922 | ||||||
Class I shares | 2,115 | 4,098 | ||||||
Class Y shares | 6 | 1,125 | ||||||
Shares redeemed: | ||||||||
Class A shares | (484,293,697) | (456,412,832) | ||||||
Class B shares(a)(b) | (15,849,052) | (10,020,398) | ||||||
Class C shares | (21,304,527) | (24,087,844) | ||||||
Class I shares | (665,367,204) | (150,836,878) | ||||||
Class Y shares | (47,547,877) | (73,422,994) | ||||||
Total capital share transactions | (530,621,910) | (182,679,399) | ||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (654,714,003) | 159,984,972 | ||||||
See notes to financial statements. |
62 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Beginning of year | $2,878,344,318 | $2,718,359,346 | ||||||
End of year (including undistributed net investment income of $8,883,455 and $4,666,822, respectively) | $2,223,630,315 | $2,878,344,318 | ||||||
CAPITAL SHARE ACTIVITY | ||||||||
Shares sold: | ||||||||
Class A shares (c) | 3,200,185 | 3,781,038 | ||||||
Class B shares (a) | 1,899 | 2,619 | ||||||
Class C shares | 454,384 | 358,101 | ||||||
Class I shares | 4,107,001 | 3,249,592 | ||||||
Class Y shares | 1,233,864 | 1,101,345 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 2,668,757 | 1,419,460 | ||||||
Class B shares (a) | 38,127 | 26,048 | ||||||
Class C shares | 487,424 | 205,267 | ||||||
Class I shares | 1,594,308 | 668,196 | ||||||
Class Y shares | 197,782 | 106,264 | ||||||
Shares redeemed: | ||||||||
Class A Shares | (9,669,175) | (9,453,202) | ||||||
Class B shares (a)(c) | (391,943) | (250,224) | ||||||
Class C shares | (577,212) | (653,106) | ||||||
Class I shares | (12,432,783) | (2,874,842) | ||||||
Class Y shares | (931,516) | (1,508,018) | ||||||
Total capital share activity | (10,018,898) | (3,821,462) | ||||||
(a) | Class B shares were converted into Class A shares at the close of business on April 20, 2015. | |||||||
(b) | Amounts include $11,964,158 of share transactions that were redeemed from Class B shares and converted into Class A shares at the close of business on April 20, 2015. | |||||||
(c) | Amount includes 296,069 shares redeemed from Class B shares and 238,567 shares purchased into Class A shares at the close of business on April 20,2015. | |||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 63
CALVERT LARGE CAP CORE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Operations: | ||||||||
Net investment income | $1,956,864 | $1,487,435 | ||||||
Net realized gain (loss) | 10,373,873 | 19,841,943 | ||||||
Change in unrealized appreciation (depreciation) | (16,938,321) | (2,451,235) | ||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (4,607,584) | 18,878,143 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income: | ||||||||
Class A shares | (504,721) | (437,328) | ||||||
Class I shares | (1,020,644) | (789,160) | ||||||
Class Y shares | — | (4) | ||||||
Net realized gain: | ||||||||
Class A shares | (3,951,277) | (4,763,060) | ||||||
Class B shares (a) | (41,418) | (90,768) | ||||||
Class C shares | (790,513) | (862,640) | ||||||
Class I shares | (5,331,738) | (4,772,867) | ||||||
Class Y shares | (106,778) | (859) | ||||||
Total distributions | (11,747,089) | (11,716,686) | ||||||
Capital share transactions: | ||||||||
Shares sold: | ||||||||
Class A shares (b) | 15,494,566 | 15,823,784 | ||||||
Class B shares (a) | 34,023 | 13,669 | ||||||
Class C shares | 2,841,972 | 3,074,906 | ||||||
Class I shares | 19,027,041 | 33,768,971 | ||||||
Class Y shares | 1,780,161 | 1,525,979 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 4,025,048 | 4,637,941 | ||||||
Class B shares (a) | 40,569 | 86,132 | ||||||
Class C shares | 539,152 | 616,426 | ||||||
Class I shares | 6,352,382 | 5,562,027 | ||||||
Class Y shares | 106,778 | 863 | ||||||
Redemption fees: | ||||||||
Class A shares | 4,784 | 287 | ||||||
Class C shares | 78 | 5 | ||||||
Shares redeemed: | ||||||||
Class A shares | (13,805,254) | (12,440,925) | ||||||
Class B shares (a)(b) | (792,022) | (506,330) | ||||||
Class C shares | (2,514,921) | (1,105,584) | ||||||
Class I shares | (10,729,113) | (7,320,989) | ||||||
Class Y shares | (335,373) | (38,445) | ||||||
Total capital share transactions | 22,069,871 | 43,698,717 | ||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 5,715,198 | 50,860,174 | ||||||
See notes to financial statements. |
64 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | ||||||
Beginning of year | $179,431,672 | $128,571,498 | ||||||
End of year (including undistributed net investment income of $1,477,713 and $1,046,214, respectively) | $185,146,870 | $179,431,672 | ||||||
CAPITAL SHARE ACTIVITY | ||||||||
Shares sold: | ||||||||
Class A shares (c) | 659,459 | 700,388 | ||||||
Class B shares (a) | 1,740 | 698 | ||||||
Class C shares | 134,656 | 150,448 | ||||||
Class I shares | 796,631 | 1,451,840 | ||||||
Class Y shares | 75,760 | 67,910 | ||||||
Reinvestment of distributions: | ||||||||
Class A shares | 173,161 | 216,336 | ||||||
Class B shares (a) | 2,039 | 4,621 | ||||||
Class C shares | 25,983 | 31,989 | ||||||
Class I shares | 266,862 | 253,491 | ||||||
Class Y shares | 4,557 | 40 | ||||||
Shares redeemed: | ||||||||
Class A shares | (590,767) | (552,621) | ||||||
Class B shares (a)(c) | (38,844) | (25,621) | ||||||
Class C shares | (119,897) | (54,289) | ||||||
Class I shares | (443,093) | (317,406) | ||||||
Class Y shares | (14,538) | (1,680) | ||||||
Total capital share activity | 933,709 | 1,926,144 | ||||||
(a) | Class B shares were converted into Class A shares at the close of business on April 20, 2015. | |||||||
(b) | Amounts include $552,484 of share transactions that were redeemed from Class B shares and converted into Class A shares at the close of business on April 20, 2015. | |||||||
(c) | Amount includes 27,083 shares redeemed from Class B shares and 23,223 shares purchased into Class A shares at the close of business on April 20,2015. | |||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 65
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: 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 seven separate portfolios, four of which are reported herein: Balanced, Bond, Equity, and Large Cap Core. Balanced, Equity, and Large Cap Core are registered as diversified portfolios. Bond is registered as a non-diversified portfolio. The operations of each series are accounted for separately. The Funds apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946).
Balanced, Bond, Equity, and Large Cap Core each offer Class A, Class C, Class I, and Class Y shares. The Fund also offered Class B shares; however, all existing Class B shares of the Fund were automatically converted to Class A shares of the Fund at the close of business on April 20, 2015, without the imposition of the applicable Class A sales load or the Class B contingent deferred sales charge. Class B shares were closed at that time and are no longer available. Class A shares are sold with a maximum front-end sales charge of 4.75% (3.75% for Bond). Class C shares are sold without a front-end sales charge and, with certain exceptions, will be charged a deferred sales charge on shares sold within one year of purchase. Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment is waived for retirement plans that trade through omnibus accounts and may be waived in certain other instances 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, foundations, and endowments 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 (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Fund to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Fund’s investments. U.S. 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 methodologies 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 year. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the year. Valuation techniques used to value the Fund’s investments by major category are as follows:
Debt securities, other than Venture capital debt securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, floating rate loans, sovereign government bonds, municipal securities, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer
66 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
supplied prices and such securities are generally categorized as Level 2 in the hierarchy. For asset-backed securities, collateralized mortgage-backed obligations, commercial mortgage-backed securities, and U.S. government agency mortgage-backed securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Equity securities, including restricted securities and venture capital securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are categorized as Level 2 in the hierarchy. Options are valued at their closing price on the exchange they are traded on. 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 close of business of the Fund, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account and are categorized as Level 2 in the hierarchy. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.
Venture capital securities for which market quotations are not readily available are generally categorized as Level 3 in the hierarchy. Venture capital direct equity securities are generally valued using the most appropriate and applicable method to measure fair value in light of each company’s situation. Methods may include market, income or cost approaches with discounts as appropriate based on assumptions of liquidation or exit risk. Examples of the market approach are subsequent rounds of financing, comparable transactions, and revenue times an industry multiple. An example of the income approach is the discounted cash flow. Examples of the cost approach are replacement cost, salvage value, or net asset percentage. Venture capital limited partnership (“LP”) securities are valued at the fair value reported by the general partner of the partnership adjusted as necessary to reflect subsequent capital calls and distributions and any other available information, as a practical expedient. In the absence of a reported LP unit value, fair value may be estimated based on the Fund’s percentage equity in the partnership and/or other balance sheet information and portfolio value for the most recently available period reported by the general partner. In some cases adjustments may be made to account for daily pricing of material public holdings within the partnership. Venture capital debt securities are valued based on assumptions of credit and market risk. For venture capital securities denominated in foreign currency, the fair value is marked to the daily exchange rate.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Fund may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
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The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At September 30, 2015, the following securities were fair valued in good faith under the direction of the Board:
TOTAL FAIR VALUE INVESTMENTS | % OF NET ASSETS | ||||
Balanced | $12,577,071 | 2.0 | % | ||
Bond | $3,052,276 | 0.4 | % | ||
Equity | $32,284,308 | 1.5 | % |
The following tables summarize the market value of the Fund's holdings as of September 30, 2015, based on the inputs used to value them:
BALANCED | ||||||||||||||
VALUATION INPUTS | ||||||||||||||
INVESTMENT IN SECURITIES* | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||
Equity Securities** | $387,976,499 | $— | $— | $387,976,499*** | ||||||||||
Venture Capital | 18,360 | — | 6,106,932 | 6,125,292 | ||||||||||
Venture Capital Limited Partnership Interest | — | — | 1,243,662 | 1,243,662 | ||||||||||
Venture Capital Debt Obligations | — | — | 1,092,837 | 1,092,837 | ||||||||||
Asset-Backed Securities | — | 49,664,265 | — | 49,664,265 | ||||||||||
Collateralized Mortgage-Backed Obligations (Privately Originated) | — | 4,745,810 | — | 4,745,810 | ||||||||||
Commercial Mortgage-Backed Securities | — | 13,411,457 | — | 13,411,457 | ||||||||||
Corporate Bonds | — | 122,757,986 | ^ | 122,757,986 | ||||||||||
Floating Rate Loans | — | 2,139,677 | — | 2,139,677 | ||||||||||
High Social Impact Investments | — | 4,133,640 | — | 4,133,640 | ||||||||||
Municipal Obligations | — | 4,638,768 | — | 4,638,768 | ||||||||||
U.S. Government Agencies and Instrumentalities | — | 923,907 | — | 923,907 | ||||||||||
U.S. Treasury Obligations | — | 20,769,637 | — | 20,769,637 | ||||||||||
Exchange-Traded Products | 641,880 | — | — | 641,880 | ||||||||||
Time Deposit | — | 18,450,538 | — | 18,450,538 | ||||||||||
TOTAL | $388,636,739 | $241,635,685 | $8,443,431 | $638,715,855 | ||||||||||
Other financial instruments*** | ($83,134 | ) | $— | $— | ($83,134 | ) | ||||||||
* | For a complete listing of investments, please refer to the Schedule of Investments. | |||||||||||||
** | For further breakdown of equity securities by industry, please refer to the Schedule of Investments. | |||||||||||||
*** | Exclusive of $6,125,292,Venture Capital equity shown in Venture Capital heading. | |||||||||||||
**** | Other financial instruments are derivative instruments not reflected in the Total Investments in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation of the instrument. | |||||||||||||
^ | Level 3 securities were valued at $0 and represent 0.00% of net assets. |
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The following is a reconciliation of Level 3 assets for which significant unobservable input were used to determine fair value:
VENTURE CAPITAL | TOTAL | |||||
Balance as of 9/30/14 | $9,512,245 | $9,512,245 | ||||
Accrued discounts/premiums | — | — | ||||
Realized gain (loss) | 1,290,416 | 1,290,416 | ||||
Change in unrealized appreciation (depreciation) | (892,945) | (892,945) | ||||
Purchases | 41,000 | 41,000 | ||||
Sales | (1,507,285) | (1,507,285) | ||||
Transfers in and/or out of Level 31 | — | — | ||||
Balance as of 9/30/15 | $8,443,431 | $8,443,431 |
1 The Fund’s policy is to recognize transfers into and transfers out of Level 3 as of the end of the reporting period.
There were no transfers between levels during the year.
BOND | |||||||||||||
VALUATION INPUTS | |||||||||||||
INVESTMENT IN SECURITIES* | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||||
Asset-Backed Securities | $— | $199,551,865 | $— | $199,551,865 | |||||||||
Collateralized Mortgage-Backed Obligations (Privately Originated) | — | 18,432,963 | — | 18,432,963 | |||||||||
Commercial Mortgage-Backed Securities | — | 53,641,417 | — | 53,641,417 | |||||||||
Corporate Bonds | — | 413,949,716 | ^ | 413,949,716 | |||||||||
Municipal Obligations | — | 24,429,207 | — | 24,429,207 | |||||||||
Floating Rate Loans | — | 8,072,696 | — | 8,072,696 | |||||||||
U.S. Government Agencies and Instrumentalities | — | 2,925,705 | — | 2,925,705 | |||||||||
U.S. Treasury Obligations | — | 45,683,900 | — | 45,683,900 | |||||||||
High Social Impact Investments | — | 3,052,276 | — | 3,052,276 | |||||||||
Exchange-Traded Products | 1,594,002 | — | — | 1,594,002 | |||||||||
Time Deposit | — | 25,209,147 | — | 25,209,147 | |||||||||
Equity Securities** | 576,779 | — | — | 576,779 | |||||||||
Total | $2,170,781 | $794,948,892 | $^ | $797,119,673 | |||||||||
Other financial instruments*** | $149,547 | $— | $— | $149,547 | |||||||||
* | For a complete listing of investments, please refer to the Schedule of Investments. | ||||||||||||
** | For further breakdown of equity securities by industry, please refer to the Schedule of Investments. | ||||||||||||
*** | Other financial instruments are derivative instruments not reflected in the Total Investments in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation of the instrument. | ||||||||||||
^ | Level 3 securities were valued at $0 and represent 0.00% of net assets. |
There were no transfers between levels during the year.
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EQUITY | |||||||||||||
VALUATION INPUTS | |||||||||||||
INVESTMENT IN SECURITIES* | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||||
Equity Securities** | $2,524,877,896 | $— | $— | $2,524,877,896*** | |||||||||
Equity Securities Venture Capital | — | — | 6,829,148 | 6,829,148 | |||||||||
Venture Limited Partnership Interest | — | — | 11,806,579 | 11,806,579 | |||||||||
Venture Capital Debt Obligations | — | — | 2,937,928 | 2,937,928 | |||||||||
High Social Impact Investments | — | 10,710,653 | — | 10,710,653 | |||||||||
Time Deposit | — | 54,521,811 | — | 54,521,811 | |||||||||
Total | $2,524,877,896 | $65,232,464 | $21,573,655^ | $2,611,684,015 | |||||||||
�� | |||||||||||||
* | For a complete listing of investments, please refer to the Schedule of Investments. | ||||||||||||
** | For further breakdown of equity securities by industry, please refer to the Schedule of Investments. | ||||||||||||
*** | Exclusive of $6,829,148,Venture Capital equity shown in Venture Capital heading. | ||||||||||||
^ | Level 3 securities represents 0.9% of net assets. |
There were no transfers between levels during the year.
LARGE CAP CORE | |||||||||||||
VALUATION INPUTS | |||||||||||||
INVESTMENT IN SECURITIES* | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |||||||||
Equity Securities** | $173,198,859 | $— | $— | $173,198,859 | |||||||||
Time Deposit | — | 11,813,542 | — | 11,813,542 | |||||||||
TOTAL | $173,198,859 | $11,813,542 | $— | $185,012,401 | |||||||||
* | For a complete listing of investments, please refer to the Schedule of Investments. | ||||||||||||
** | For further breakdown of equity securities by industry, please refer to the Schedule of Investments. |
There were no transfers between levels during the year.
Loan Participations and Assignments: The Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Portfolio’s investment in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Portfolio purchases assignments from lenders it acquires direct rights against the borrower of the loan. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower.
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, as a substitute for direct investment in a particular asset class to facilitate rebalancing of a Portfolio, or to provide market exposure to a Portfolio’s uncommitted cash balances. 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 and market index futures contracts. The Fund is subject to interest rate risk and market risk in the normal course of pursuing its investment objectives and may use futures contracts to hedge against changes in the value of interest rates and the value of securities. The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its
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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.
During the year, Balanced and Bond used U.S. Treasury Notes futures contracts to hedge against interest rate changes and to manage overall duration of the portfolios. Balanced also used futures contracts as a substitute for direct investment in a particular asset class to facilitate rebalancing of the Portfolio and implement tactical asset allocation decisions. The Portfolios’ futures contracts at year end are presented in the Statements of Assets and Liabilities.
During the year, Balanced invested in 2 year, 5 year and 10 year U.S Treasury Notes and Ultra U.S. Treasury Bonds futures. The volume of outstanding contracts has varied throughout the year with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures Contracts long | 101 |
Futures Contracts short | (161) |
* Averages are based on activity levels during the year ended September 30, 2015.
During the year, Bond invested in 2 year, 5 year and 10 year U.S. Treasury Notes and Ultra U.S. Treasury Bonds futures. The volume of outstanding contracts has varied throughout the year with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures Contracts long | 169 |
Futures Contracts short | (399) |
* Averages are based on activity levels during the year ended September 30, 2015.
Options: The Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund's portfolios, on broad-based securities indexes, or certain ETFs.
When a Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. Unrealized gain (loss) is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.
Options written by a Portfolio do not typically give rise to counterparty credit risk since options written obligate the Portfolio and not the counterparty to perform. Exchange traded purchased options have minimal counterparty credit risk to the Portfolio since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default.
During the year, Large Cap Core invested in written options. The volume of outstanding contracts has varied throughout the year with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Written Options | 351 |
* Averages are based on activity levels during the year ended September 30, 2015.
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At September 30, 2015, the Fund had the following derivatives, categorized by risk exposure:
BALANCED | |||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | |
Interest | Unrealized gain on futures contracts | $1,237* | Unrealized loss on futures contracts | ($84,371)* |
BOND | |||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | |
Interest | Unrealized gain on futures contracts | $229,956* | Unrealized loss on futures contracts | ($80,409)* |
* Only the current day’s variation margin is reported within the Statement of Assets and Liabilities.
The effect of derivative instruments on the Statement of Operations for the year ended September 30, 2015 was as follows:
BALANCED | Statements of Operations Location | ||
Risk | Derivatives | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) |
Interest Rate | Futures | ($516,134) | ($10,793) |
BOND | Statements of Operations Location | ||
Risk | Derivatives | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) |
Interest Rate | Futures | ($1,228,631) | $336,200 |
LARGE CAP CORE | Statements of Operations Location | ||
Risk | Derivatives | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) |
Equity | Written Options | $29,050 | — |
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 Schedule of Investments.
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 Calvert and its subsidiaries. The Fund has received an exemptive order from the Securities and Exchange Commission permitting the Fund to make investments in these notes under certain conditions.
Security Transactions and 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. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. 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. 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 the Notes to Schedule of Investments on pages 36, 43, and 47). A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees, and prepayment fees. 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 specific class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets.
Foreign Currency Transactions: The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted 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
72 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on investments.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly by Bond, quarterly by Balanced, and annually by Equity and Large Cap Core. 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 U.S. 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 financial statements in conformity with U.S. generally accepted accounting principles 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Redemption Fees: Balanced, Bond, Equity, and Large Cap Core each charged 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 was accounted for as an addition to paid-in capital. This fee was eliminated effective February 2, 2015.
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.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates.
For its services, the Advisor receives monthly fees based on the following annual rates of average daily net assets:
BALANCED | |
First $500 Million | .41% |
Next $500 Million | .385% |
Over $1 Billion | .35% |
BOND | |
First $1 Billion | .35% |
Over $1 Billion | .325% |
EQUITY | |
First $2 Billion | .50% |
Next $1 Billion | .475% |
Over $3 Billion | .45% |
LARGE CAP CORE | |
First $250 Million | .60% |
Over $250 Million | .55% |
For the year ended September 30, 2015, the Advisor voluntarily waived $427,138 and $195,651 of its fee for Equity and Large Cap Core, respectively.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2016 for Balanced Class I, Balanced Class Y, Bond Class Y, Equity Class Y, Large Cap Core Class I, and Large Cap Core Class Y. 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, if any.
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The contractual expense caps are as follows: .72% for Balanced Class I, .955% for Balanced Class Y, .92% for Bond Class Y, .96% for Equity Class Y, .81% for Large Cap Core Class I, and 1.07% for Large Cap Core Class Y.
During the year ended September 30, 2015, the Advisor voluntarily reimbursed expenses of $5,524, $13,624 and $8,858 for Class B shares of Balanced, Bond and Large Cap Core.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services for the Fund for an annual fee, payable monthly, based on the following annual rates of average daily net assets:
Balanced | Bond | Equity | Large Cap Core | |
Class A, C, & Y | .275% | .30% | .20% | .15% |
Class I | .125% | .10% | .10% | .10% |
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, each Portfolio has adopted a Distribution Plan that permits each Portfolio to pay certain expenses associated with the distribution and servicing of its shares. The expenses paid for Class A may not exceed .35% of the annual average daily net assets of Balanced and Bond and .25% of those of Equity and Large Cap Core. The amount actually paid by Class A of Balanced, Bond, Equity, and Large Cap Core is an annualized fee, payable monthly, of .25% (for Balanced only on assets over $30 million), .20%, .25%, and .25%, respectively, of each Classes’ average daily net assets. The expenses paid for Class C may not exceed 1.00% of the annual average daily net assets of Balanced, Bond, Equity, and Large Cap Core. The amount actually paid, is an annualized fee, payable monthly of 1.00%, of each Classes’ average daily net assets. Class I and Class Y do not have Distribution Plan expenses.
CID received the following amounts as its portion of the commissions charged on sales of the Portfolios’ Class A shares for the year ended September 30, 2015: $227,366 for Balanced, $63,384 for Bond, $177,227 for Equity and $28,185 for Large Cap Core.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CIS received fees of $145,952, $88,576, $265,099 and $20,772 for the year ended September 30, 2015 for Balanced, Bond, Equity and Large Cap Core, respectively.
Each Trustee of the Fund who is not an employee of the Advisor or its affiliates receives an annual retainer of $52,000 ($48,000 prior to January 1, 2015) plus a meeting fee of up to $3,000 for each regular Board meeting attended. Additional fees of up to $6,000 ($5,000 prior to January 1, 2015) annually may be paid to the Committee chairs ($10,000 for the Board chair and Special Equities Committee chair) and $2,500 annually may be paid to Committee members, plus a Committee meeting fee of $500 for each regular Committee meeting attended. Eligible Trustees may participate in a Deferred Compensation Plan (the “Plan”). Obligations of the Plan will be paid solely out of the Fund’s assets. Trustees’ fees are allocated to each of the funds served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year, the cost of purchases and proceeds from sales of investments, other than short-term securities, were:
BALANCED | BOND | EQUITY | LARGE CAP CORE | |||||||||||||||||
Purchases | ||||||||||||||||||||
Long-Term U.S. Government Securities | $ | 292,817,434 | $ | 1,245,771,085 | $— | $— | ||||||||||||||
Other Long-Term Securities | 372,601,939 | 721,208,092 | 1,040,130,679 | 46,857,450 | ||||||||||||||||
Total Purchases | $ | 665,419,373 | $ | 1,966,979,177 | $ | 1,040,130,679 | $ | 46,857,450 | ||||||||||||
Sales | ||||||||||||||||||||
Long-Term U.S. Government Securities | $ | 282,619,459 | $ | 1,244,357,396 | $— | $— | ||||||||||||||
Other Long-Term Securities | 374,573,540 | 697,685,228 | 1,379,109,991 | 31,047,440 | ||||||||||||||||
Total Sales | $ | 657,192,999 | $ | 1,942,042,624 | $ | 1,379,109,991 | $ | 31,047,440 |
74 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
A summary of option contracts written by the Large Cap Core Portfolio during the year ended September 30, 2015 were as follows:
Call Options | ||||||||||
Number of | Option | |||||||||
Options | Premiums | |||||||||
Options outstanding at beginning of year | — | — | ||||||||
Options written | 351 | ($67,903 | ) | |||||||
Options exercised | — | — | ||||||||
Options expired | — | — | ||||||||
Options closed | 351 | ($67,903 | ) | |||||||
Options outstanding at the end of year | — | — |
CAPITAL LOSS CARRYFORWARDS | |
EXPIRATION DATE | EQUITY |
30-September-2017 | ($41,919,182) |
NO EXPIRATION DATE | BOND |
Long-term | ($7,804,536) |
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward to offset future capital gains for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their characters as either long-term or short-term. Losses incurred in pre-enactment taxable years can be utilized until expiration. Equity’s use of net capital losses acquired from reorganizations may be limited under certain tax provisions.
The tax character of dividends and distributions paid during the years ended September 30, 2015 and September 30, 2014 was as follows:
BALANCED | |||||||
DISTRIBUTIONS PAID FROM: | 2015 | 2014 | |||||
Ordinary income | $12,897,283 | $24,540,465 | |||||
Long-term capital gains | 2,752,072 | 50,742,493 | |||||
Total | $15,649,355 | $75,282,958 |
BOND | |||||||
DISTRIBUTIONS PAID FROM: | 2015 | 2014 | |||||
Ordinary income | $21,552,195 | $20,278,875 | |||||
Total | $21,552,195 | $20,278,875 |
EQUITY | |||||||
DISTRIBUTIONS PAID FROM: | 2015 | 2014 | |||||
Ordinary income | $13,087,660 | $6,186,144 | |||||
Long-term capital gains | 255,353,701 | 118,692,586 | |||||
Total | $268,441,361 | $124,878,730 |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 75
LARGE CAP CORE | |||||||
DISTRIBUTIONS PAID FROM: | 2015 | 2014 | |||||
Ordinary income | $2,894,740 | $1,404,938 | |||||
Long-term capital gains | 8,852,348 | 10,311,748 | |||||
Total | $11,747,088 | $11,716,686 |
As of September 30, 2015, the tax basis components of distributable earnings/(accumulated losses) and the federal tax cost were as follows:
BALANCED | BOND | EQUITY | LARGE CAP CORE | ||||||||||||||
Unrealized appreciation | $34,891,184 | $9,717,469 | $756,684,321 | $ | 18,884,506 | ||||||||||||
Unrealized (depreciation) | (41,467,450) | (12,452,063) | (88,571,748) | (13,992,128) | |||||||||||||
Net unrealized appreciation (depreciation) | ($6,576,266 | ) | ($2,734,594 | ) | $668,112,573 | $ | 4,892,378 | ||||||||||
Undistributed ordinary income | $2,413,070 | $39,488 | $8,883,455 | $ | 2,661,810 | ||||||||||||
Undistributed long-term capital gain | $58,026,905 | $— | $338,335,396 | $ | 8,551,885 | ||||||||||||
Capital loss carryforward | $— | ($7,804,536 | ) | ($41,919,182 | ) | $— | |||||||||||
Late year ordinary and post October capital loss deferrals | ($18,128 | ) | ($191,288 | ) | $— | $— | |||||||||||
Federal income tax cost of investments | $645,292,121 | $799,854,267 | $1,943,571,442 | $ | 180,120,023 |
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the Statements of Assets and Liabilities are primarily due to temporary book-tax differences that will reverse in a subsequent period. For Balanced, the differences are due to Section 1256 futures contracts, loss deferrals on straddle transactions, partnerships, and wash sales. For Bond, the differences are due to Section 1256 futures contracts, straddles, and wash sales. For Equity, the differences are due to wash sales, partnerships, and capital loss limitations under Internal Revenue Code Section 382. For Large Cap Core, the differences are due to wash sales.
Reclassifications, as shown in the table below, have been made to the Porfolios' components of net assets to reflect income and gains available for distribution (or available capital loss carryforwards, 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, the reclassifications are due to partnerships, and asset-backed securities. For Bond, the reclassifications are due to asset-backed securities. For Equity, the reclassifications are due to foreign currency transactions, distributions recharacterizations, and partnerships.
BALANCED | BOND | EQUITY | LARGE CAP CORE | ||||||||
Undistributed net investment income | $41,385 | ($19,450 | ) | ($598,466 | ) | $— | |||||
Accumulated net realized gain (loss) | ($41,385 | ) | $19,450 | $598,545 | — | ||||||
Paid-in capital | — | — | ($79 | ) | — |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert 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 Portfolios for temporary or emergency purposes only. Borrowings 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 .20% per annum is incurred on the unused portion of the committed facility. An administrative fee of $25,000 was paid in connection with the uncommitted facility. These fees are allocated to all participating funds. The Portfolios had no loans outstanding pursuant to this line of credit at September 30, 2015.
76 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
For the year ended September 30, 2015, borrowings by Balanced Portfolio, Bond Portfolio and Equity Portfolio under the arrangement were as follows:
PORTFOLIO | AVERAGE DAILY BALANCE | WEIGHTED AVERAGE INTEREST RATE | MAXIMUM AMOUNT BORROWED | MONTH OF MAXIMUM AMOUNT BORROWED | |||||
Balanced | $462 | 1.39 | % | $168,639 | July 2015 | ||||
Bond | $16,404 | 1.38 | % | $2,436,765 | July 2015 | ||||
Equity | $480,268 | 1.37 | % | $25,000,000 | December 2014 |
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 of 5 percent or more of the outstanding voting shares. Affiliated companies of the Portfolios as of September 30, 2015 are as follows:
Balanced
Name of Affiliated Issuer | Market Value 9/30/14 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 9/30/15 | Dividend Income | ||||||||||||||
Kickboard, Common | $33,568 | $— | $— | $— | $— | $33,568 | $— | ||||||||||||||
Kickboard, Series A, Preferred | 385,328 | — | — | — | — | 385,328 | — | ||||||||||||||
Kickboard Bridge Note, 8.00%, 6/30/16 | — | 41,000 | — | — | — | 41,000 | — | ||||||||||||||
GEEMF Partners LP | 115,084 | — | — | — | ($50,301 | ) | 64,783 | — | |||||||||||||
TOTALS | $533,980 | $41,000 | $— | $— | ($50,301 | ) | $524,679 | $— |
Equity
Name of Affiliated Issuer | Market Value 9/30/14 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 9/30/15 | Dividend Income | ||||||||||||||
Coastal Ventures III | $231,735 | $50,000 | ($90,156 | ) | $— | $15,137 | $206,716 | $— | |||||||||||||
Digital Directions International, Inc. | 123,965 | — | — | — | — | 123,965 | — | ||||||||||||||
Global Resource Options, Inc., Series C, Preferred | — | — | — | — | 1,745,972 | 1,745,972 | — | ||||||||||||||
Global Resource Options, Inc., Series D, Preferred | 1,473,829 | — | — | — | 868,918 | 2,342,747 | — | ||||||||||||||
Shangri La Farms, Series A, Preferred | 200,001 | — | — | — | (100,001 | ) | 100,000 | — | |||||||||||||
TOTALS | $2,029,530 | $50,000 | ($90,156 | ) | $— | $2,530,026 | $4,519,400 | $— |
NOTE F — CAPITAL COMMITMENTS
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. As of September 30, 2015, the aggregate amount of the future capital commitments totals were $60,000 and $5,236,464 for Balanced and Equity, respectively.
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 77
NOTE G — LIMITED PARTNERSHIP INVESTMENT
The Balanced Portfolio executed agreements to invest in the following limited partnerships:
Name of Partnership | Total Capital Commitment | Unfunded Commitment at 9/30/15 | ||||
Infrastructure & Environment Private Equity Fund III LP | $1,000,000 | $— | ||||
GEEMF Partners LP | $255,500 | $— | ||||
Coastal Venture Partners LP | $200,000 | $— | ||||
Commons Capital LP | $500,000 | $— | ||||
Global Environmental Emerging Markets Fund LP | $744,500 | $— | ||||
First Analysis Private Equity Fund IV LP | $1,000,000 | $60,000 | ||||
Labrador Ventures Fund III LP | $500,000 | $— | ||||
New Markets Growth Fund LLC | $250,000 | $— | ||||
Solstice Capital LP | $500,000 | $— |
The Equity Portfolio executed agreements to invest in the following limited partnerships:
Name of Partnership | Total Capital Commitment | Unfunded Commitment at 9/30/15 | ||||
DBL Partners III LP | $1,000,000 | $851,239 | ||||
Africa Renewable Energy Fund LP | $1,000,000 | $655,336 | ||||
Mainstream Brazil Impact Investing Fund LP | $500,000 | $481,578 | ||||
Arborview Capital Partners LP | $1,000,000 | $453,262 | ||||
First Analysis Private Equity Fund V LP | $1,000,000 | $443,302 | ||||
SJF Ventures III LP | $1,000,000 | $435,000 | ||||
SJF Venture II LP | $750,000 | $— | ||||
New Markets Education Partners LP | $1,000,000 | $340,000 | ||||
Owl Ventures LP | $500,000 | $335,000 | ||||
Westly Capital Partners Fund II LP | $1,000,000 | $303,409 | ||||
Adobe Capital Social Mezzanine Fund I LP | $500,000 | $276,058 | ||||
LeapFrog Financial Inclusion Fund | $1,000,000 | $167,447 | ||||
Coastal Ventures III LP | $500,000 | $150,000 | ||||
Core Innovation Capital I LP | $1,000,000 | $105,673 | ||||
Impact Ventures II LP | $1,000,000 | $93,224 | ||||
New Markets Venture Partners II LP | $500,000 | $47,500 | ||||
China Environment Fund 2004 LP | $500,000 | $37,764 | ||||
DBL Equity Fund - BAEF II LP | $1,000,000 | $31,600 | ||||
Ignia Fund I LP | $1,000,000 | $18,233 | ||||
Renewable Energy Asia Fund LP [EUR] | $1,336,154 | $6,749 | ||||
Blackstone Cleantech Venture Partners LP | $449,715 | $52,885 | ||||
China Environment Fund III LP | $1,000,000 | $1,205 | ||||
SEAF India International Growth Fund | $482,500 | $— |
78 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
NOTE H — REGULATORY MATTERS
In October 2011, the Advisor determined that it was necessary to change the price at which one of the Balanced and Bond Portfolio securities was then being fair valued. The Advisor and the Board of Trustees subsequently determined it was appropriate to change the fair value prices at which that security and certain related securities had been carried from March 2008 through September 30, 2011. These fair value revisions had the effect of changing the net asset value per share at which shareholder subscriptions and redemptions were executed during the affected period. Accordingly, in December 2011, pursuant to an agreement (“the Agreement”) with the Board of Trustees, the Advisor contributed $206,623 and $3,320,907 to the Balanced and Bond Portfolios, respectively, to adjust shareholder trades occurring during the respective period for the benefit of affected shareholders.
Subsequent to the Agreement, the Securities and Exchange Commission (“SEC”) conducted a compliance examination of the Advisor and the Calvert Funds (“the Funds”). In a letter dated November 1, 2013, the SEC communicated its examination findings that included various deficiencies and weaknesses and concerns regarding whether the contribution and shareholder disbursement, discussed above, was properly calculated and distributed to certain shareholders. The SEC is continuing its examination of these matters. It is management’s opinion that the resolution of the examination matters will not have a material adverse effect on the financial position or results of operations of the Balanced and Bond Funds.
NOTE I — SUBSEQUENT EVENTS
At a special meeting of the Fund’s Board of Trustees (the “Board”) held on November 24, 2015, the Board approved the recommendation made by Calvert Investment Administrative Services, Inc. (“CIAS”) to standardize and rationalize the administrative fee payable by the Calvert Funds at 12 basis points for all series and all share classes of the Calvert Funds. The change is being implemented in two phases. First, CIAS will voluntarily waive the amount of the existing administrative fee above 12 basis points for the period from December 1, 2015 through January 31, 2016. Second, CIAS and the Fund have entered into an Amended and Restated Administrative Services Agreement that will establish a 12 basis point administrative fee for all classes of the Fund commencing on February 1, 2016. In the case of any series or share class that currently pays an administrative fee to CIAS that is less than 12 basis points, CIAS has contractually agreed to waive the difference between that lower administrative fee and the 12 basis point fee until January 31, 2018.
In preparing the financial statements as of September 30, 2015, no other subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
NOTICE TO SHAREHOLDERS (UNAUDITED)
For the fiscal year ended September 30, 2015, the Portfolios consider certain distributions paid during the year as:
Fund Name | (a) Long-term Capital Gain | (b) Qualified Dividend Income % | (c) Dividends Received Deduction % (for corporate shareholders) | ||||
Balanced | $2,752,072 | 54.4 | % | 60.3 | % | ||
Bond | — | 0.1 | % | — | |||
Equity | $255,353,697 | 100.0 | % | 100.0 | % | ||
Large Cap Core | $8,852,348 | 100.0 | % | 100.0 | % |
(a) Each Portfolio considers the amounts shown above as capital gain dividends in accordance with Section 852(b)(3)(C) of the Internal Revenue Code.
(b) Each Portfolio considers the percentages shown above of ordinary income dividends paid during the year as qualified dividend income in accordance with Section 854 of the Internal Revenue Code.
(c) Each Portfolio considers 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.
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 79
CALVERT BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS A SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $33.06 | $34.13 | $30.81 | $26.19 | $25.94 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .43 | .33 | .24 | .23 | .29 | |||||||||||||||
Net realized and unrealized gain (loss) | (.81 | ) | 3.02 | 3.32 | 4.62 | .22 | ||||||||||||||
Total from investment operations | (.38 | ) | 3.35 | 3.56 | 4.85 | .51 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.41 | ) | (.32 | ) | (.24 | ) | (.23 | ) | (.26 | ) | ||||||||||
Net realized gain | (.37 | ) | (4.10 | ) | — | — | — | |||||||||||||
Total distributions | (.78 | ) | (4.42 | ) | (.24 | ) | (.23 | ) | (.26 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.16 | ) | (1.07 | ) | 3.32 | 4.62 | .25 | |||||||||||||
Net asset value, ending | $31.90 | $33.06 | $34.13 | $30.81 | $26.19 | |||||||||||||||
Total return* | (1.27 | %) | 10.77 | % | 11.60 | % | 18.58 | % | 1.94 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | 1.25 | % | 1.02 | % | .76% | .78% | 1.04 | % | ||||||||||||
Total expenses | 1.13 | % | 1.17 | % | 1.18 | % | 1.22 | % | 1.22 | % | ||||||||||
Expenses before offsets | 1.13 | % | 1.16 | % | 1.18 | % | 1.22 | % | 1.22 | % | ||||||||||
Net expenses | 1.13 | % | 1.16 | % | 1.18 | % | 1.22 | % | 1.22 | % | ||||||||||
Portfolio turnover | 99 | % | 124 | % | 114 | % | 145 | % | 100 | % | ||||||||||
Net assets, ending (in thousands) | $569,368 | $561,809 | $497,160 | $447,678 | $405,716 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
80 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS C SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $32.30 | $33.45 | $30.23 | $25.72 | $25.47 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | .15 | .08 | (.02 | ) | (.02 | ) | .05 | |||||||||||||
Net realized and unrealized gain (loss) | (.78 | ) | 2.94 | 3.25 | 4.54 | .23 | ||||||||||||||
Total from investment operations | (.63 | ) | 3.02 | 3.23 | 4.52 | .28 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.19 | ) | (.07 | ) | (.01 | ) | (.01 | ) | (.03 | ) | ||||||||||
Net realized gain | (.37 | ) | (4.10 | ) | — | — | — | |||||||||||||
Total distributions | (.56 | ) | (4.17 | ) | (.01 | ) | (.01 | ) | (.03 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.19 | ) | (1.15 | ) | 3.22 | 4.51 | .25 | |||||||||||||
Net asset value, ending | $31.11 | $32.30 | $33.45 | $30.23 | $25.72 | |||||||||||||||
Total return* | (2.08 | %) | 9.89 | % | 10.71 | % | 17.60 | % | 1.08 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income (loss) | .47% | .24% | (0.06 | %) | (0.05 | %) | .18% | |||||||||||||
Total expenses | 1.92 | % | 1.95 | % | 1.99 | % | 2.05 | % | 2.07 | % | ||||||||||
Expenses before offsets | 1.92 | % | 1.94 | % | 1.99 | % | 2.05 | % | 2.07 | % | ||||||||||
Net expenses | 1.92 | % | 1.94 | % | 1.99 | % | 2.05 | % | 2.07 | % | ||||||||||
Portfolio turnover | 99 | % | 124 | % | 114 | % | 145 | % | 100 | % | ||||||||||
Net assets, ending (in thousands) | $55,180 | $48,814 | $37,812 | $29,605 | $24,335 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 81
CALVERT BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS I SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $33.53 | $34.55 | $31.19 | $26.49 | $26.22 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .59 | .51 | .41 | .45 | .43 | |||||||||||||||
Net realized and unrealized gain (loss) | (.82 | ) | 3.06 | 3.35 | 4.61 | .23 | ||||||||||||||
Total from investment operations | (.23 | ) | 3.57 | 3.76 | 5.06 | .66 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.57 | ) | (.49 | ) | (.40 | ) | (.36 | ) | (.39 | ) | ||||||||||
Net realized gain | (.37 | ) | (4.10 | ) | — | — | — | |||||||||||||
Total distributions | (.94 | ) | (4.59 | ) | (.40 | ) | (.36 | ) | (.39 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.17 | ) | (1.02 | ) | 3.36 | 4.70 | .27 | |||||||||||||
Net asset value, ending | $32.36 | $33.53 | $34.55 | $31.19 | $26.49 | |||||||||||||||
Total return* | (0.86 | %) | 11.35 | % | 12.13 | % | 19.16 | % | 2.45 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | 1.70 | % | 1.53 | % | 1.26 | % | 1.43 | % | 1.54 | % | ||||||||||
Total expenses | 0.64 | % | .66% | .68% | .83% | 1.33 | % | |||||||||||||
Expenses before offsets | 0.64 | % | .66% | .68% | .70% | .72% | ||||||||||||||
Net expenses | 0.64 | % | .66% | .68% | .70% | .72% | ||||||||||||||
Portfolio turnover | 99 | % | 124 | % | 114 | % | 145 | % | 100 | % | ||||||||||
Net assets, ending (in thousands) | $13,894 | $43,579 | $35,578 | $29,601 | $1,820 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
82 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED | |||||||||||||
CLASS Y SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z)# | ||||||||||
Net asset value, beginning | $33.29 | $34.25 | $32.60 | ||||||||||
Income from investment operations: | |||||||||||||
Net investment income | .50 | .38 | .18 | ||||||||||
Net realized and unrealized gain (loss) | (.83 | ) | 3.04 | 1.48 | |||||||||
Total from investment operations | (.33 | ) | 3.42 | 1.66 | |||||||||
Distributions from: | |||||||||||||
Net investment income | (.46 | ) | (.28 | ) | (.01 | ) | |||||||
Net realized gain | (.37 | ) | (4.10 | ) | — | ||||||||
Total distributions | (.83 | ) | (4.38 | ) | (.01 | ) | |||||||
Total increase (decrease) in net asset value | (1.16 | ) | (.96 | ) | 1.65 | ||||||||
Net asset value, ending | $32.13 | $33.29 | $34.25 | ||||||||||
Total return* | (1.13 | %) | 10.97 | % | 5.11 | % | |||||||
Ratios to average net assets: A | |||||||||||||
Net investment income | 1.46 | % | 1.27 | % | .71%(a) | ||||||||
Total expenses | 1.09 | % | 3.32 | % | 61.96%(a) | ||||||||
Expenses before offsets | 0.96 | % | .96% | .97%(a) | |||||||||
Net expenses | 0.96 | % | .96% | .97%(a) | |||||||||
Portfolio turnover | 99 | % | 124 | % | 114 | % | |||||||
Net assets, ending (in thousands) | $6,103 | $3,250 | $66 | ||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | ||||||||||||
# | From April 30, 2013 inception. | ||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | ||||||||||||
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. | ||||||||||||
(a) | Annualized. | ||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 83
CALVERT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS A SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $15.92 | $15.61 | $16.58 | $15.85 | $16.00^ | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .38 | .38 | .33 | .40 | .42 | |||||||||||||||
Net realized and unrealized gain (loss) | (.09 | ) | .34 | (.69 | ) | .91 | .02^ | |||||||||||||
Total from investment operations | .29 | .72 | (.36 | ) | 1.31 | .44 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.38 | ) | (.38 | ) | (.35 | ) | (.41 | ) | (.43 | ) | ||||||||||
Net realized gain | — | (.03 | ) | (.26 | ) | (.17 | ) | (.16 | ) | |||||||||||
Total distributions | (.38 | ) | (.41 | ) | (.61 | ) | (.58 | ) | (.59 | ) | ||||||||||
Total increase (decrease) in net asset value | (.09 | ) | .31 | (.97 | ) | .73 | (.15 | ) | ||||||||||||
Net asset value, ending | $15.83 | $15.92 | $15.61 | $16.58 | $15.85 | |||||||||||||||
Total return* | 1.79 | % | 4.66 | % | (2.27 | %) | 8.47 | % | 2.83%^ | |||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | 2.35 | % | 2.40 | % | 2.05 | % | 2.52 | % | 2.63 | % | ||||||||||
Total expenses | 1.07 | % | 1.12 | % | 1.11 | % | 1.16 | % | 1.13 | % | ||||||||||
Expenses before offsets | 1.07 | % | 1.12 | % | 1.11 | % | 1.16 | % | 1.13 | % | ||||||||||
Net expenses | 1.07 | % | 1.12 | % | 1.11 | % | 1.16 | % | 1.13 | % | ||||||||||
Portfolio turnover | 241 | % | 187 | % | 214 | % | 228 | % | 203 | % | ||||||||||
Net assets, ending (in thousands) | $395,194 | $378,269 | $408,823 | $473,995 | $516,884 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
^ | The Financial Highlights for the year ended 2010 have been restated to reflect an immaterial pricing adjustment made in 2011. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
84 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS C SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $15.82 | $15.52 | $16.48 | $15.76 | $15.90^ | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .24 | .25 | .20 | .27 | .29 | |||||||||||||||
Net realized and unrealized gain (loss) | (.09 | ) | .33 | (.68 | ) | .90 | .03^ | |||||||||||||
Total from investment operations | .15 | .58 | (.48 | ) | 1.17 | .32 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.24 | ) | (.25 | ) | (.22 | ) | (.28 | ) | (.30 | ) | ||||||||||
Net realized gain | — | (.03 | ) | (.26 | ) | (.17 | ) | (.16 | ) | |||||||||||
Total distributions | (.24 | ) | (.28 | ) | (.48 | ) | (.45 | ) | (.46 | ) | ||||||||||
Total increase (decrease) in net asset value | (.09 | ) | .30 | (.96 | ) | .72 | (.14 | ) | ||||||||||||
Net asset value, ending | $15.73 | $15.82 | $15.52 | $16.48 | $15.76 | |||||||||||||||
Total return* | .95% | 3.78 | % | (3.01 | %) | 7.58 | % | 2.08%^ | ||||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | 1.51 | % | 1.60 | % | 1.26 | % | 1.73 | % | 1.83 | % | ||||||||||
Total expenses | 1.91 | % | 1.92 | % | 1.90 | % | 1.96 | % | 1.93 | % | ||||||||||
Expenses before offsets | 1.91 | % | 1.92 | % | 1.90 | % | 1.96 | % | 1.93 | % | ||||||||||
Net expenses | 1.91 | % | 1.92 | % | 1.90 | % | 1.96 | % | 1.93 | % | ||||||||||
Portfolio turnover | 241 | % | 187 | % | 214 | % | 228 | % | 203 | % | ||||||||||
Net assets, ending (in thousands) | $32,626 | $33,963 | $37,620 | $45,974 | $47,123 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
^ | The Financial Highlights for the year ended 2010 have been restated to reflect an immaterial pricing adjustment made in 2011. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 85
CALVERT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS I SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $15.94 | $15.62 | $16.59 | $15.85 | $16.01^ | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .47 | .48 | .43 | .50 | .51 | |||||||||||||||
Net realized and unrealized gain (loss) | (.09 | ) | .35 | (.70 | ) | .92 | .01^ | |||||||||||||
Total from investment operations | .38 | .83 | (.27 | ) | 1.42 | .52 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.47 | ) | (.48 | ) | (.44 | ) | (.51 | ) | (.52 | ) | ||||||||||
Net realized gain | — | (.03 | ) | (.26 | ) | (.17 | ) | (.16 | ) | |||||||||||
Total distributions | (.47 | ) | (.51 | ) | (.70 | ) | (.68 | ) | (.68 | ) | ||||||||||
Total increase (decrease) in net asset value | (.09 | ) | .32 | (.97 | ) | .74 | (.16 | ) | ||||||||||||
Net asset value, ending | $15.85 | $15.94 | $15.62 | $16.59 | $15.85 | |||||||||||||||
Total return* | 2.36 | % | 5.35 | % | (1.69 | %) | 9.21 | % | 3.39%^ | |||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | 2.91 | % | 3.01 | % | 2.66 | % | 3.12 | % | 3.25 | % | ||||||||||
Total expenses | .51% | .50% | 0.51 | % | .56% | .52% | ||||||||||||||
Expenses before offsets | .51% | .50% | 0.51 | % | .56% | .52% | ||||||||||||||
Net expenses | .51% | .50% | 0.51 | % | .56% | .52% | ||||||||||||||
Portfolio turnover | 241 | % | 187 | % | 214 | % | 228 | % | 203 | % | ||||||||||
Net assets, ending (in thousands) | $328,690 | $300,602 | $220,621 | $202,799 | $224,792 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
^ | The Financial Highlights for the year ended 2010 have been restated to reflect an immaterial pricing adjustment made in 2011. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
86 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS Y SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $16.03 | $15.70 | $16.67 | $15.93 | $16.06^ | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .42 | .42 | .38 | .45 | .46 | |||||||||||||||
Net realized and unrealized gain (loss) | (.09 | ) | .35 | (.70 | ) | .92 | .03^ | |||||||||||||
Total from investment operations | .33 | .77 | (.32 | ) | 1.37 | .49 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.42 | ) | (.41 | ) | (.39 | ) | (.46 | ) | (.46 | ) | ||||||||||
Net realized gain | — | (.03 | ) | (.26 | ) | (.17 | ) | (.16 | ) | |||||||||||
Total distributions | (.42 | ) | (.44 | ) | (.65 | ) | (.63 | ) | (.62 | ) | ||||||||||
Total increase (decrease) in net asset value | (.09 | ) | .33 | (.97 | ) | .74 | (.13 | ) | ||||||||||||
Net asset value, ending | $15.94 | $16.03 | $15.70 | $16.67 | $15.93 | |||||||||||||||
Total return* | 2.06 | % | 4.98 | % | (1.97 | %) | 8.79 | % | 3.17%^ | |||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | 2.63 | % | 2.66 | % | 2.36 | % | 2.81 | % | 2.91 | % | ||||||||||
Total expenses | .80% | .85% | .81% | .87% | .83% | |||||||||||||||
Expenses before offsets | .80% | .85% | .81% | .87% | .83% | |||||||||||||||
Net expenses | .80% | .85% | .81% | .87% | .83% | |||||||||||||||
Portfolio turnover | 241 | % | 187 | % | 214 | % | 228 | % | 203 | % | ||||||||||
Net assets, ending (in thousands) | $77,131 | $53,613 | $39,300 | $35,396 | $26,987 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
^ | The Financial Highlights for the year ended 2010 have been restated to reflect an immaterial pricing adjustment made in 2011. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 87
CALVERT EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS A SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $50.33 | $44.68 | $38.48 | $32.91 | $32.56 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | .10 | .02 | .07 | (.05 | ) | (.09 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 2.20 | 7.67 | 6.19 | 7.32 | .44 | |||||||||||||||
Total from investment operations | 2.30 | 7.69 | 6.26 | 7.27 | .35 | |||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.02 | ) | (.05 | ) | (.01 | ) | — | — | ||||||||||||
Net realized gain | (4.82 | ) | (1.99 | ) | (.05 | ) | (1.70 | ) | — | |||||||||||
Total distributions | (4.84 | ) | (2.04 | ) | (.06 | ) | (1.70 | ) | — | |||||||||||
Total increase (decrease) in net asset value | (2.54 | ) | 5.65 | 6.20 | 5.57 | .35 | ||||||||||||||
Net asset value, ending | $47.79 | $50.33 | $44.68 | $38.48 | $32.91 | |||||||||||||||
Total return* | 4.57 | % | 17.63 | % | 16.30 | % | 22.75 | % | 1.07 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income (loss) | .19% | .05% | .18% | (0.15 | %) | (0.25 | %) | |||||||||||||
Total expenses | 1.13 | % | 1.15 | % | 1.21 | % | 1.21 | % | 1.20 | % | ||||||||||
Expenses before offsets | 1.12 | % | 1.14 | % | 1.20 | % | 1.21 | % | 1.20 | % | ||||||||||
Net expenses | 1.12 | % | 1.14 | % | 1.20 | % | 1.21 | % | 1.20 | % | ||||||||||
Portfolio turnover | 37 | % | 24 | % | 32 | % | 36 | % | 41 | % | ||||||||||
Net assets, ending (in thousands) | $1,328,913 | $1,590,823 | $1,602,401 | $1,500,089 | $1,297,315 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
88 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS C SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $38.31 | $34.66 | $30.06 | $26.24 | $26.15 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss | (.20 | ) | (.25 | ) | (.17 | ) | (.25 | ) | (.29 | ) | ||||||||||
Net realized and unrealized gain (loss) | 1.69 | 5.89 | 4.82 | 5.77 | .38 | |||||||||||||||
Total from investment operations | 1.49 | 5.64 | 4.65 | 5.52 | .09 | |||||||||||||||
Distributions from: | ||||||||||||||||||||
Net realized gain | (4.82 | ) | (1.99 | ) | (.05 | ) | (1.70 | ) | — | |||||||||||
Total distributions | (4.82 | ) | (1.99 | ) | (.05 | ) | (1.70 | ) | — | |||||||||||
Total increase (decrease) in net asset value | (3.33 | ) | 3.65 | 4.60 | 3.82 | .09 | ||||||||||||||
Net asset value, ending | $34.98 | $38.31 | $34.66 | $30.06 | $26.24 | |||||||||||||||
Total return* | 3.82 | % | 16.76 | % | 15.51 | % | 21.82 | % | .34 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment loss | (.54 | %) | (.68 | %) | (.52 | %) | (.87 | %) | (1.01 | %) | ||||||||||
Total expenses | 1.87 | % | 1.88 | % | 1.91 | % | 1.94 | % | 1.95 | % | ||||||||||
Expenses before offsets | 1.86 | % | 1.87 | % | 1.90 | % | 1.93 | % | 1.95 | % | ||||||||||
Net expenses | 1.86 | % | 1.87 | % | 1.90 | % | 1.93 | % | 1.95 | % | ||||||||||
Portfolio turnover | 37 | % | 24 | % | 32 | % | 36 | % | 41 | % | ||||||||||
Net assets, ending (in thousands) | $169,649 | $171,869 | $158,591 | $150,000 | $132,658 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 89
CALVERT EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS I SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $54.90 | $48.48 | $41.55 | $35.22 | $34.66 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.38 | 0.29 | 0.32 | 0.16 | 0.10 | |||||||||||||||
Net realized and unrealized gain (loss) | 2.38 | 8.34 | 6.70 | 7.87 | 0.46 | |||||||||||||||
Total from investment operations | 2.76 | 8.63 | 7.02 | 8.03 | 0.56 | |||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (0.19 | ) | (0.22 | ) | (0.04 | ) | — | — | ||||||||||||
Net realized gain | (4.82 | ) | (1.99 | ) | (0.05 | ) | (1.70 | ) | — | |||||||||||
Total distributions | (5.01 | ) | (2.21 | ) | (0.09 | ) | (1.70 | ) | — | |||||||||||
Total increase (decrease) in net asset value | (2.25 | ) | 6.42 | 6.93 | 6.33 | 0.56 | ||||||||||||||
Net asset value, ending | $52.65 | $54.90 | $48.48 | $41.55 | $35.22 | |||||||||||||||
Total return* | 5.06 | % | 18.23 | % | 16.95 | % | 23.44 | % | 1.62 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | .69% | .56% | .72% | .40% | .28% | |||||||||||||||
Total expenses | .64% | .64% | .66% | .67% | .67% | |||||||||||||||
Expenses before offsets | .63% | .62% | .65% | .66% | .67% | |||||||||||||||
Net expenses | .63% | .62% | .65% | .66% | .67% | |||||||||||||||
Portfolio turnover | 37 | % | 24 | % | 32 | % | 36 | % | 41 | % | ||||||||||
Net assets, ending (in thousands) | $567,954 | $961,680 | $798,677 | $667,246 | $535,829 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
90 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS Y SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $51.35 | $45.51 | $39.06 | $33.25 | $32.78 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .25 | .18 | .23 | .09 | .04 | |||||||||||||||
Net realized and unrealized gain (loss) | 2.25 | 7.81 | 6.30 | 7.42 | .43 | |||||||||||||||
Total from investment operations | 2.50 | 7.99 | 6.53 | 7.51 | .47 | |||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.13 | ) | (.16 | ) | (.03 | ) | — | — | ||||||||||||
Net realized gain | (4.82 | ) | (1.99 | ) | (.05 | ) | (1.70 | ) | — | |||||||||||
Total distributions | (4.95 | ) | (2.15 | ) | (.08 | ) | (1.70 | ) | — | |||||||||||
Total increase (decrease) in net asset value | (2.45 | ) | 5.84 | 6.45 | 5.81 | .47 | ||||||||||||||
Net asset value, ending | $48.90 | $51.35 | $45.51 | $39.06 | $33.25 | |||||||||||||||
Total return* | 4.89 | % | 17.99 | % | 16.76 | % | 23.26 | % | 1.43 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | .49% | .36% | .56% | .25% | .10% | |||||||||||||||
Total expenses | .84% | .83% | .82% | .82% | .84% | |||||||||||||||
Expenses before offsets | .82% | .82% | .81% | .81% | .84% | |||||||||||||||
Net expenses | .82% | .82% | .81% | .81% | .84% | |||||||||||||||
Portfolio turnover | 37 | % | 24 | % | 32 | % | 36 | % | 41 | % | ||||||||||
Net assets, ending (in thousands) | $157,114 | $139,319 | $137,137 | $106,723 | $66,377 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 91
CALVERT LARGE CAP CORE PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS A SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $23.31 | $22.35 | $18.49 | $15.16 | $15.02 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .19 | .18 | .15 | .15 | .11 | |||||||||||||||
Net realized and unrealized gain (loss) | (.64 | ) | 2.70 | 3.87 | 3.31 | .11 | ||||||||||||||
Total from investment operations | (.45 | ) | 2.88 | 4.02 | 3.46 | .22 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.16 | ) | (.15 | ) | (.14 | ) | (.13 | ) | (.08 | ) | ||||||||||
Net realized gain | (1.31 | ) | (1.77 | ) | (.02 | ) | — | — | ||||||||||||
Total distributions | (1.47 | ) | (1.92 | ) | (.16 | ) | (.13 | ) | (.08 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.92 | ) | .96 | 3.86 | 3.33 | .14 | ||||||||||||||
Net asset value, ending | $21.39 | $23.31 | $22.35 | $18.49 | $15.16 | |||||||||||||||
Total return* | (2.42 | %) | 13.72 | % | 21.91 | % | 22.91 | % | 1.43 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | .81% | .81% | .74% | .83% | .68% | |||||||||||||||
Total expenses | 1.26 | % | 1.30 | % | 1.32 | % | 1.40 | % | 1.44 | % | ||||||||||
Expenses before offsets | 1.16 | % | 1.20 | % | 1.22 | % | 1.30 | % | 1.34 | % | ||||||||||
Net expenses | 1.16 | % | 1.20 | % | 1.22 | % | 1.30 | % | 1.34 | % | ||||||||||
Portfolio turnover | 17 | % | 68 | % | 59 | % | 48 | % | 111 | % | ||||||||||
Net assets, ending (in thousands) | $68,950 | $69,499 | $58,507 | $41,334 | $32,184 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
92 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT LARGE CAP CORE PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS C SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $20.99 | $20.32 | $16.84 | $13.82 | $13.75 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss) | .01 | — | (.02 | ) | — | (.03 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (.57 | ) | 2.44 | 3.52 | 3.02 | .10 | ||||||||||||||
Total from investment operations | (.56 | ) | 2.44 | 3.50 | 3.02 | .07 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net realized gain | (1.31 | ) | (1.77 | ) | (.02 | ) | — | — | ||||||||||||
Total distributions | (1.31 | ) | (1.77 | ) | (.02 | ) | — | — | ||||||||||||
Total increase (decrease) in net asset value | (1.87 | ) | .67 | 3.48 | 3.02 | .07 | ||||||||||||||
Net asset value, ending | $19.12 | $20.99 | $20.32 | $16.84 | $13.82 | |||||||||||||||
Total return* | (3.17 | %) | 12.80 | % | 20.84 | % | 21.85 | % | .51% | |||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income (loss) | .02% | .02% | (.09 | %) | (.03 | %) | (.22 | %) | ||||||||||||
Total expenses | 2.04 | % | 2.09 | % | 2.16 | % | 2.26 | % | 2.33 | % | ||||||||||
Expenses before offsets | 1.94 | % | 1.99 | % | 2.06 | % | 2.16 | % | 2.23 | % | ||||||||||
Net expenses | 1.94 | % | 1.99 | % | 2.06 | % | 2.16 | % | 2.23 | % | ||||||||||
Portfolio turnover | 17 | % | 68 | % | 59 | % | 48 | % | 111 | % | ||||||||||
Net assets, ending (in thousands) | $12,077 | $12,404 | $9,403 | $7,199 | $5,962 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 93
CALVERT LARGE CAP CORE PORTFOLIO
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS I SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z) | September 30, 2012 (z) | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $23.81 | $22.80 | $18.84 | $15.45 | $15.29 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .31 | .30 | .26 | .24 | .21 | |||||||||||||||
Net realized and unrealized gain (loss) | (.66 | ) | 2.75 | 3.92 | 3.37 | .11 | ||||||||||||||
Total from investment operations | (.35 | ) | 3.05 | 4.18 | 3.61 | .32 | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.24 | ) | (.27 | ) | (.20 | ) | (.22 | ) | (.16 | ) | ||||||||||
Net realized gain | (1.31 | ) | (1.77 | ) | (.02 | ) | — | — | ||||||||||||
Total distributions | (1.55 | ) | (2.04 | ) | (.22 | ) | (.22 | ) | (.16 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.90 | ) | 1.01 | 3.96 | 3.39 | .16 | ||||||||||||||
Net asset value, ending | $21.91 | $23.81 | $22.80 | $18.84 | $15.45 | |||||||||||||||
Total return* | (1.96 | %) | 14.25 | % | 22.47 | % | 23.57 | % | 2.02 | % | ||||||||||
Ratios to average net assets: A | ||||||||||||||||||||
Net investment income | 1.27 | % | 1.31 | % | 1.24 | % | 1.37 | % | 1.22 | % | ||||||||||
Total expenses | .79% | .81% | .82% | .87% | .89% | |||||||||||||||
Expenses before offsets | .69% | .71% | .72% | .77% | .79% | |||||||||||||||
Net expenses | .69% | .71% | .72% | .77% | .79% | |||||||||||||||
Portfolio turnover | 17 | % | 68 | % | 59 | % | 48 | % | 111 | % | ||||||||||
Net assets, ending (in thousands) | $101,244 | $95,258 | $59,564 | $43,940 | $31,035 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
94 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT
CALVERT LARGE CAP CORE PORTFOLIO
FINANCIAL HIGHLIGHTS
PERIODS ENDED | |||||||||||||
CLASS Y SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 (z)# | ||||||||||
Net asset value, beginning | $23.51 | $22.36 | $21.09 | ||||||||||
Income from investment operations: | |||||||||||||
Net investment income | .22 | .21 | .08 | ||||||||||
Net realized and unrealized gain (loss) | (.67 | ) | 2.71 | 1.19 | |||||||||
Total from investment operations | (.45 | ) | 2.92 | 1.27 | |||||||||
Distributions from: | |||||||||||||
Net investment income | — | ** | — | ||||||||||
Net realized gain | (1.31 | ) | (1.77 | ) | — | ||||||||
Total distributions | (1.31 | ) | (1.77 | ) | — | ||||||||
Total increase (decrease) in net asset value | (1.76 | ) | 1.15 | 1.27 | |||||||||
Net asset value, ending | $21.75 | $23.51 | $22.36 | ||||||||||
Total return* | (2.33 | %) | 13.86 | % | 6.02 | % | |||||||
Ratios to average net assets: A | |||||||||||||
Net investment income | .91% | .95% | .58%(a) | ||||||||||
Total expenses | 1.38 | % | 2.96 | % | 612.15%(a) | ||||||||
Expenses before offsets | 1.07 | % | 1.07 | % | 1.15%(a) | ||||||||
Net expenses | 1.07 | % | 1.07 | % | 1.15%(a) | ||||||||
Portfolio turnover | 17 | % | 68 | % | 59 | % | |||||||
Net assets, ending (in thousands) | $2,876 | $1,562 | $4 | ||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | ||||||||||||
# | From April 30, 2013 inception. | ||||||||||||
** | Amount was less than $.01 per share. | ||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | ||||||||||||
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. | ||||||||||||
(a) | Annualized. | ||||||||||||
See notes to financial statements. |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT 95
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) may also be shown. Credits earned from offset arrangements are used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a
96 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
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.
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 97
TRUSTEE AND OFFICER INFORMATION TABLE
Name & Age | Position With Fund | Position Start Date | Principal Occupation During Last 5 Years | # of Calvert Portfolios Overseen | Other Directorships During the Past Five Years |
INDEPENDENT TRUSTEES/DIRECTORS | |||||
REBECCA L. ADAMSON AGE: 66 | Trustee Director Director Director | 1989 CSIF 2000 IMPACT 2000 CRIS 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. | 18 | • Bay & Paul Foundation |
RICHARD L. BAIRD, JR. AGE: 67 | Trustee & Chair Director & Chair Director & Chair Director & Chair | 1982 CSIF 2000 CRIS 2005 CWVF 2005 IMPACT | Former President and CEO of Adagio Health Inc. (retired in 2014) 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. | 25 | • None |
JOHN G. GUFFEY, JR. AGE: 67 | Director Trustee Director Director | 1992 CWVF 1982 CSIF 2000 CRIS 2005 IMPACT | President of Aurora Press Inc., a privately held publisher of trade paperbacks. | 25 | • Ariel Funds (3) (asset management) (through 12/31/11) • Calvert Social Investment Foundation • Calvert Ventures, LLC |
MILES D. HARPER, III AGE: 52 | Director Trustee Director Director | 2000 IMPACT 2005 CSIF 2005 CRIS 2005 CWVF | Partner, Carr Riggs & Ingram (public accounting firm) since September 2013. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), 1999-2013. | 18 | • Bridgeway Funds (14) (asset management) |
JOY V. JONES AGE: 65 | Director Trustee Director Director | 2000 IMPACT 1990 CSIF 2000 CRIS 2005 CWVF | Attorney. | 18 | • Director, Conduit Street Restaurants SUD 2 Limited • Director, Palm Management Corporation |
TERRENCE J. MOLLNER, Ed.D. AGE: 70 | Director Trustee Director Director | 1992 CWVF 1982 CSIF 2000 CRIS 2005 IMPACT | Founder, Chairperson and President of Trusteeship Institute, Inc., an educational organization focused on the personal skills and organizations described in Dr. Mollner’s book, The Love Skill: We Are Mastering the 7 Layers of Human Maturity, particularly businesses that freely chose to give priority to the common good. Chairperson, Stakeholders Capital, Inc., an asset management firm and financial services provider. | 18 | • Calvert Social Investment Foundation • Ben & Jerry’s Homemade, Inc. (food products) |
SYDNEY A. MORRIS AGE: 66 | Trustee Director Director Director | 1982 CSIF 2000 CRIS 2005 CWVF 2005 IMPACT | The Rev. Dr. Morris is a Unitarian Universalist minister. | 18 | • None |
98 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
Name & Age | Position With Fund | Position Start Date | Principal Occupation During Last 5 Years | # of Calvert Portfolios Overseen | Other Directorships During the Past Five Years |
INTERESTED TRUSTEES/DIRECTORS | |||||
D. WAYNE SILBY, Esq.* AGE: 67 | Director Trustee Director Director | 1992 CWVF 1982 CSIF 2000 CRIS 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. | 25 | • Ameritas Mutual Holding Company (insurance) • Calvert Social Investment Foundation • ImpactAssets, Inc. (asset management) • Committee for the Future (charitable supporting organization) • Syntao.com China (HK) (sustainability consulting) • The ICE Organization (environmental services) |
JOHN H. STREUR* AGE: 55 | Director & President Trustee & President Director & President Director & President | 2015 CWVF 2015 CSIF 2015 CRIS 2015 IMPACT | President and Chief Executive Officer of Calvert Investments, Inc. (since January 2015) and Chief Compliance Officer for the Advisor and Calvert Investment Distributors, Inc. (since August 10, 2015) President and Director, Portfolio 21 Investments, Inc. (through October 2014) President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012) President and Director, The Managers Funds and Managers AMG Funds (through January 2012). | 38 | • Portfolio 21 Investments, Inc. (asset management)(through October 2014) • Managers Investment Group LLC (asset management)(through January 2012) • The Managers Funds (asset management) (through January 2012) • Managers AMG Funds (asset management) (through January 2012) • Calvert Social Investment Foundation |
calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED) 99
Name & Age | Position With Fund | Position Start Date | Principal Occupation During Last 5 Years |
OFFICERS | |||
SUSAN WALKER BENDER, Esq. AGE: 56 | Assistant Vice President & Assistant Secretary | 1988 CSIF 2000 CRIS 1992 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Investments, Inc. |
VICKI L. BENJAMIN AGE: 54 | Treasurer | 2015 | Executive Vice President and Chief Financial Officer of Calvert Investments, Inc. since March 2015. Prior to Calvert, Ms. Benjamin was a Senior Partner at KPMG. |
ROBERT D. BENSON, ESQ. AGE: 36 | Assistant Vice President & Assistant Secretary | 2014 | Assistant General Counsel (since 2014), Assistant Vice President & Assistant Secretary (since 2015) and Staff Attorney (prior to 2014), Calvert Investments, Inc. |
HOPE BROWN AGE: 42 | Chief Compliance Officer | 2014 | Chief Compliance Officer for the Calvert Funds (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). Assistant Vice President, Lead Manager, Risk Management and Divisional Compliance, T. Rowe Price Associates, Inc. (2005-2010). |
THOMAS DAILEY AGE: 51 | Vice President | 2004 | Vice President of the Advisor and lead portfolio manager for Calvert’s municipal funds. |
MATTHEW DUCH Age: 40 | Vice President | 2011 | Vice President of the Advisor (since 2011) and portfolio manager for Calvert’s taxable fixed-income funds. |
IVY WAFFORD DUKE, Esq. AGE: 47 | Vice President & Secretary | 1996 CSIF 2000 CRIS 1996 CWVF 2000 Impact | Vice President, Acting Secretary and Acting General Counsel (Deputy General Counsel prior to 2015) of Calvert Investments, Inc. Prior to August 10, 2015, Ms. Duke was also Chief Compliance Officer for the Advisor and Calvert Investment Distributors, Inc. |
ROBERT J. ENDERSON, CFA AGE: 57 | Assistant Treasurer | 2014 | Acting Chief Financial Officer (September 2014-March 2015) and Vice President, Corporate Finance, of Calvert Investments, Inc. |
PATRICK FAUL AGE: 50 | Vice President | 2010 | Vice President and Head of Credit Research for the Advisor. |
TRACI L. GOLDT AGE: 42 | Assistant Secretary | 2004 | SEC Filing and Administrative Operations Manager (since 2011) and Executive Assistant to General Counsel (prior to 2011), Calvert Investments, Inc. |
VISHAL KHANDUJA, CFA AGE: 37 | Vice President | 2014 | Vice President of Calvert Investment Management, Inc. (since 2014) and portfolio manager for Calvert’s taxable fixed-income funds since 2012. Previously worked at Columbia Management as Portfolio Manager - Global Rates and Currency Team (2009-2012). |
LANCELOT A. KING, Esq. AGE: 45 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Investments, Inc. |
ANDREW K. NIEBLER, Esq. AGE: 48 | Assistant Vice President & Assistant Secretary | 2006 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Investments, Inc. |
MARYBETH PILAT, CPA AGE: 47 | Fund Controller and Assistant Treasurer | 2015 | Director of Fund Administration, Calvert Investment Administrative Services, Inc. since August 2015. VP Expense & Budgeting, Global Fiduciary Platform, Legg Mason (May 2015 - July 2015). Vice President and Assistant Treasurer, Columbia Funds, Ameriprise, Columbia Management (2010 - April 2015). |
CATHERINE P. ROY AGE: 59 | Vice President | 2004 | Senior Vice President of the Advisor and Chief Investment Officer – Fixed Income. |
NATALIE A. TRUNOW AGE: 47 | Vice President | 2008 | Senior Vice President of the Advisor and Chief Investment Officer – Equities. |
* Mr. Streur is an interested person of the Funds since he is an Officer and Director of each Fund’s Advisor and certain affiliates. Mr. Silby is an interested person of the Funds since he is a Director of the parent company of each Fund’s Advisor. The address of Trustees/Directors 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. Additional information about the Fund’s Trustees/Directors 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. |
100 calvert.com CALVERT SOCIAL INVESTMENT FUND ANNUAL REPORT (UNAUDITED)
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CALVERT SOCIAL INVESTMENT FUND | CALVERT’S FAMILY OF FUNDS | ||
Municipal Funds Tax-Free Responsible Impact Bond Fund Taxable Bond Funds Bond Portfolio Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Income Fund High Yield Bond Fund Green Bond Fund Unconstrained Bond Fund Balanced and Asset Allocation Funds Balanced Portfolio Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Large Cap Core Portfolio Equity Portfolio Global Value Fund U.S. Large Cap Core Responsible Index Fund U.S. Large Cap Value Responsible Index Fund U.S. Large Cap Growth Responsible Index Fund U.S. Mid Cap Core Responsible Index Fund Developed Markets EX-U.S. Responsible Index Fund Capital Accumulation Fund International Equity Fund Small Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Global Equity Income Fund Emerging Markets Equity 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. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2748 or visit calvert.com. Printed on recycled paper using soy inks. | |||
Calvert Asset Allocation Funds • Conservative Allocation Fund• Moderate Allocation Fund• Aggressive Allocation Fund | ||
Annual Report September 30, 2015 E-Delivery Sign-Up — Details Inside |
Choose Planet-friendly E-delivery! Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs. Just go to calvert.com. If you already have an online account at Calvert, click on Login, to access your Account, and select the documents you would like to receive via e-mail. If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps. Note: if your shares are not held directly at Calvert but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm. |
TABLE OF CONTENTS | |||
President’s Letter | |||
Portfolio Management Discussion | |||
Understanding Your Fund’s Expenses | |||
Report of Independent Registered Public Accounting Firm | |||
Schedule of Investments | |||
Statement of Assets and Liabilities | |||
Statements of Operations | |||
Statements of Changes in Net Assets | |||
Notes to Financial Statements | |||
Financial Highlights | |||
Explanation of Financial Tables | |||
Proxy Voting | |||
Availability of Quarterly Portfolio Holdings | |||
Trustee and Officer Information Table |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareholders,
Global economic growth is vital to the improvement of the lives of all people, especially so to those of the ultra-poor. However, how that growth is achieved is critical to the long-term health and sustainability of our collective societies. Business activity that does not show consideration for environmental and social impacts may have calamitous consequences, many of which we are witnessing now, including political and social unrest, unjust wealth distribution and diminished bio-diversity.
The returns of the markets (chart below) reflect the impact of the uncertainty created by a legacy of unsustainable development and the current lack of positive economic growth trends. The steep decline in the emerging market equities index (reflective of the flight of capital and currency weakness) is particularly impactful as these regions include some of the largest populations of individuals most in need of sustainable and inclusive economic development.
MARKET BENCHMARKS | Total Returns for the period ended 9/30/2015 | |||
6 Months | Year-to-Date | 1 Year | 5 Year | |
S&P 500 | -6.18% | -5.29% | -0.61% | 13.34% |
Russell 1000 | -6.72% | -5.24% | -0.61% | 13.42% |
Russell 3000 | -7.12% | -5.45% | -0.49% | 13.28% |
MSCI World ex USA | -9.88% | -6.32% | -9.73% | 3.92% |
MSCI Emerging Markets | -17.11% | -15.22% | -18.98% | -3.25% |
Barclays U.S. Aggregate Bond | -0.47% | 1.13% | 2.94% | 3.10% |
Barclays Global Aggregate | -0.34% | -2.25% | -3.26% | 0.81% |
Returns for periods greater than one year have been annualized. |
In an effort to mitigate this issue and foster the long term sustainability and justice of our global economic system, many of the world’s leaders participated with the United Nations (“UN”) to design and implement a 15-year plan to create the kind of economic development (http://www.calvert.com/media-relations/press-releases/calvert-ceo-participates-in-the-un-sustainable-development-summit) that should benefit the poorest people in the world, preserve opportunities for future generations, and provide stewardship to the environment. This effort, which kicked-off at the UN Summit earlier this month, involves bringing together private enterprise, governments, NGOs, development banks and people of all walks of life to achieve the “Sustainable Development Goals 2015” (SDGs). These goals include: eliminating extreme poverty, eliminating extreme hunger, fostering good health for all, promoting gender equality, and creating environmental sustainability and peace and stability throughout the world. The SDGs impact residents of every country in some manner, but no one more acutely than the denizens of the developing and emerging nations.
It was my privilege, as Calvert’s CEO, to be invited to the Summit, as one of 350 global leaders asked to participate in the development of this critical 15-year sustainability plan. During the course of this event, I announced that Calvert Investments would lead a project (http://www.calvert.com/perspective/social-impact/calvert-un-sustainable-development-goals) to map the Sustainable Development Goals to standards that companies can be measured by, and that investors may look to in order to
4 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
understand which companies are helping to create sustainable, responsible growth. It is integral to the success and achievement of the goals, that the largest holders of capital, i.e., corporations, help drive these initiatives.
The crucial role that corporations now play in creating social and environmental outcomes was highlighted at the UN sessions by the presence of CEOs and sustainability officers from around the world, and the vital role of investors and the capital markets was reflected by our presence and contribution. In addition to representing your interests at the UN event, Calvert has contributed to the understanding of the role that corporations and investors play in driving social and environmental conditions through our most recent research, “The Role of the Corporation in Society”, available to you on our website, (see http://www.calvert.com/perspective/governance/calvert-serafeim-series-report).
Despite the fact that the past year has not brought the financial returns that you or I would have wished for as investors, I believe that when we look back on 2015 several years from now we are likely to see it as a transformative year in terms of our economic and social systems. Individuals and organizations of all types — corporate, government, NGO, religious — are coming together due to the realization that we need a more sustainable and just system to serve the needs of all stakeholders. As a shareholder of Calvert Funds, you are very much part of this mission, as together we are a leader and innovator in connecting capital to mission, with the dual purpose of driving competitive investment returns with just and sustainable economic progress.
On behalf of all of us at Calvert Investments, thank you for the confidence you have placed in our management of your funds and the ongoing privilege to serve you. We appreciate the opportunity to work with you as we strive to meet your financial needs while also helping to render the world a better place for all people.
Respectfully,
John Streur
October 2015
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED) 5
PORTFOLIO MANAGEMENT DISCUSSION |
Joshua Linder, CFA Portfolio Manager |
Vishal Khanduja, CFA Vice President, Portfolio Manager and Head of Taxable Fixed Income |
Performance
For the 12-month period ended September 30, 2015, Calvert Conservative Allocation Fund’s Class A shares (at NAV) returned 2.01%, outperforming the benchmark, the Barclays U.S. Credit Index, which returned 1.50%. Calvert Moderate Allocation Fund’s Class A shares (at NAV) returned 0.86%, while Calvert Aggressive Allocation Fund’s Class A shares (at NAV) returned 0.41%. Both the Moderate and Aggressive Allocation funds also outperformed their common benchmark, the Russell 3000 Index, which declined 0.49% over the period.
Calvert has developed a set of secondary composite benchmarks based on a mix of market indexes, which more closely reflect the asset allocation strategy of each fund than do the single asset class benchmarks listed above. All three asset allocation funds outperformed their respective composite benchmarks for the period, benefiting from a series of well-timed tactical asset allocation decisions and strong relative performance by underlying funds. We discuss the performance of each fund relative to its composite benchmark in the portfolio strategy section below.
Investment Process
The asset allocation funds are “funds of funds.” They typically invest within the following ranges in the underlying Calvert funds that primarily invest in the following asset classes:
Fixed Income | Equity | Cash and Money Market Instruments | |
Conservative Allocation Fund | 45% to 75% | 15% to 45% | 0% to 20% |
Moderate Allocation Fund | 20% to 50% | 50% to 80% | 0% to 20% |
Aggressive Allocation Fund | 0% to 30% | 70% to 100% | 0% to 10% |
In addition, the funds may invest, to a limited extent, in derivatives instruments and exchange-traded funds to facilitate periodic rebalancing to their target asset allocations and to implement tactical asset allocation decisions.
Market Review
Improving economic conditions in the United States compared with a stagnating or deteriorating growth outlook in much of the rest of the world helped domestic equities outperform international equity markets over the reporting period. Despite an initial positive reaction by European financial markets following the quantitative easing announcement by the European Central Bank (ECB), there are already signs the eurozone economic recovery may have a hard time accelerating. Further signs of an economic slowdown in China and concerns about the ability of the Chinese government to engineer a soft economic landing weighed on emerging market stocks throughout the period and contributed to the broader sell-off in equities at the end of the third quarter of 2015.
For the 12-month period ended September 30, 2015, the S&P 500 and Russell 1000 both declined 0.61% while the MSCI EAFE Investable Market Index (IMI) and MSCI Emerging Markets Index declined 7.16% and 18.98%, respectively. The Russell 2000 returned 1.25%. The Barclays U.S. Credit Index returned 1.50%.
6 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
A wide range of U.S. macroeconomic data improved over the year. Most importantly, the job market was relatively healthy for most of the 12-month period, adding an average of 237,000 jobs per month. This helped push the unemployment rate down to 5.1%, though this was driven in part by a declining labor force participation rate and has not yet been accompanied by meaningful wage growth.
The price of crude oil declined by 50% during the period. With lower commodity prices, a stronger dollar, and little wage growth, inflation in the U.S. remained below the U.S. Federal Reserve’s 2% target. The Fed decided to delay interest rate hikes given the continued low inflation and slowing global growth, but is still considering raising rates before the end of the calendar year.
Slowing growth in China helped push down commodity prices and contributed to weakness in other emerging market economies that rely heavily on Chinese commodity consumption. The low level of inflation provides the Chinese government with room for additional accommodative monetary and fiscal policy, which we saw with the devaluing of the yuan.
Portfolio Strategy
The Calvert Conservative Allocation Fund’s Class A shares (at NAV) returned 2.01% for the period, outperforming its blended composite benchmark, which returned 0.40%.1
The Calvert Moderate Allocation Fund’s Class A shares (at NAV) returned 0.86% for the period, outperforming its blended composite benchmark, which declined 1.02%.2
The Calvert Aggressive Allocation Fund’s Class A shares (at NAV) returned 0.41% for the period, outperforming its blended composite benchmark, which declined 2.27%.3
The funds remained overweight in U.S. equities during the period based on our view that the U.S. economy continues to be more structurally sound than many of its international counterparts.
1The Calvert Conservative Allocation Composite Benchmark is currently comprised of 22% Russell 3000 Index, 7% MSCI EAFE Investable Market Index, 1% MSCI Emerging Markets Index, 60% Barclays U.S. Credit Index, and 10% Barclays U.S. 3 Month Treasury Bellwether Index.
2The Calvert Moderate Allocation Composite Benchmark is currently comprised of 47% Russell 3000 Index, 15% MSCI EAFE Investable Market Index, 3% MSCI Emerging Markets Index, 30% Barclays U.S. Credit Index, and 5% Barclays U.S. 3 Month Treasury Bellwether Index.
3The Calvert Aggressive Allocation Composite Benchmark is currently comprised of 64% Russell 3000 Index, 21% MSCI EAFE Investable Market Index, 5% MSCI Emerging Markets Index, and 10% Barclays U.S. Credit Index.
CALVERT CONSERVATIVE ALLOCATION FUND | ||||||
SEPTEMBER 30, 2015 | ||||||
ASSET ALLOCATION | % OF TOTAL INVESTMENTS | |||||
Domestic Equity Funds | 29.3 | % | ||||
International and Global Equity Funds | 8.3 | % | ||||
Fixed Income Funds | 60.3 | % | ||||
Short-Term Investments | 2.1 | % | ||||
Total | 100 | % | ||||
INVESTMENT PERFORMANCE | ||||||
(TOTAL RETURN AT NAV) | ||||||
6 MONTHS ENDED 9/30/15 | 12 MONTHS ENDED 9/30/15 | |||||
Class A | -3.27 | % | 2.01 | % | ||
Class C | -3.76 | % | 1.03 | % | ||
Barclays U.S. Credit Index | -2.37 | % | 1.50 | % | ||
Conservative Allocation Composite Benchmark | -3.62 | % | 0.40 | % | ||
Lipper Mixed-Asset Target Alloc. Conservative Funds Average | -4.28 | % | -1.89 | % | ||
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: An internally constructed benchmark comprised of a blend of 22% Russell 3000 Index, 7% MSCI EAFE Investable Market Index, 1% MSCI Emerging Markets Index, 60% Barclays U.S. Credit Index, and 10% Barclays U.S. 3 Month Treasury Bellwether Index. Prior to 3/3/15 the blend was comprised of: 22% Russell 3000 Index, 8% MSCI EAFE Investable Market Index, 60% Barclays U.S. Credit Index, and 10% Barclays U.S. 3 Month Treasury Bellwether Index. | ||||||
However, concerns about slowing global growth and elevated equity valuations prompted us to gradually reduce the U.S. equity exposure throughout the year of the Conservative Allocation Fund from 33% to approximately 25%, of the Moderate Allocation Fund from 55% to approximately 50%, and of the Aggressive Allocation Fund from 70% to approximately 66%. This derisking helped mitigate some of the negative impact from the steep decline in equities at the end of the third quarter of 2015. With volatility increasing across global markets over the 12-month period, we were also able to add value through a series of well-timed tactical asset allocation decisions.
We used the pullback by stocks in the first half of October 2014 as an opportunity to increase our domestic small-cap allocation. Since small caps are more U.S.-centric and less dependent on global growth, they should benefit more from an improving U.S. economy while remaining relatively more sheltered from sluggish growth abroad.
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED) 7
CALVERT MODERATE ALLOCATION FUND | ||||||
SEPTEMBER 30, 2015 | ||||||
ASSET ALLOCATION | % OF TOTAL INVESTMENTS | |||||
Domestic Equity Funds | 52.9 | % | ||||
International and Global Equity Funds | 17.0 | % | ||||
Fixed Income Funds | 27.6 | % | ||||
Short-Term Investments | 2.5 | % | ||||
Total | 100 | % | ||||
INVESTMENT PERFORMANCE | ||||||
(TOTAL RETURN AT NAV) | ||||||
6 MONTHS ENDED 9/30/15 | 12 MONTHS ENDED 9/30/15 | |||||
Class A | -5.27 | % | 0.86 | % | ||
Class C | -5.66 | % | 0.09 | % | ||
Russell 3000 Index | -7.12 | % | -0.49 | % | ||
Moderate Allocation Composite Benchmark | -5.69 | % | -1.02 | % | ||
Lipper Mixed-Asset Target Alloc. Growth Funds Average | -6.49 | % | -2.48 | % | ||
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 Moderate Allocation Composite Benchmark: An internally constructed benchmark comprised of a blend of 47% Russell 3000 Index, 15% MSCI EAFE Investable Market Index, 3% MSCI Emerging Markets Index, 30% Barclays U.S. Credit Index, and 5% Barclays U.S. 3 Month Treasury Bellwether Index. Prior to 3/3/15 the blend was comprised of: 47% Russell 3000 Index, 18% MSCI EAFE Investable Market Index, 30% Barclays U.S. Credit Index, and 5% Barclays U.S. 3 Month Treasury Bellwether Index. | ||||||
Domestic small-cap stocks rebounded sharply and finished the fourth quarter of 2014 up nearly 10%.
We trimmed the small-cap allocation in November to capture some of these gains but maintained an overweight position for the remainder of the 12-month period, when U.S. small caps outperformed other equities.
In January 2015, we increased exposure to international developed equities, expecting some initial positive momentum from quantitative easing (QE) efforts by the ECB. Our view remains that unless QE is accompanied by meaningful structural economic reforms, the benefits from eurozone QE will most likely fade. As a result, we began reducing our allocation to international equities in June, prior to their sell-off through the end of the third quarter.
We also benefited from an earlier decision to shift a larger portion of the funds’ international equity allocation away from emerging markets. We continued tactically reducing our
CALVERT AGGRESSIVE ALLOCATION FUND | ||||||
SEPTEMBER 30, 2015 | ||||||
ASSET ALLOCATION | % OF TOTAL INVESTMENTS | |||||
Domestic Equity Funds | 67.5 | % | ||||
International and Global Equity Funds | 25.5 | % | ||||
Fixed Income Funds | 4.5 | % | ||||
Short-Term Investments | 2.5 | % | ||||
Total | 100 | % | ||||
INVESTMENT PERFORMANCE | ||||||
(TOTAL RETURN AT NAV) | ||||||
6 MONTHS ENDED 9/30/15 | 12 MONTHS ENDED 9/30/15 | |||||
Class A | -6.30 | % | 0.41 | % | ||
Class C | -6.82 | % | -0.72 | % | ||
Russell 3000 Index | -7.12 | % | -0.49 | % | ||
Aggressive Allocation Composite Benchmark | -7.33 | % | -2.27 | % | ||
Lipper Mixed-Asset Target Alloc. Agg. Growth Funds Average | -8.23 | % | -3.74 | % | ||
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 Aggressive Allocation Composite Benchmark: An internally constructed benchmark comprised of a blend of 64% Russell 3000 Index, 21% MSCI EAFE Investable Market Index, 5% MSCI Emerging Markets Index and 10% Barclays U.S. Credit Index. Prior to 3/3/15 the blend was comprised of: 64% Russell 3000 Index, 26% MSCI EAFE Investable Market Index, and 10% Barclays U.S. Credit Index. | ||||||
emerging markets (EM) allocation throughout the year, benefiting from this underweight position as EM stocks were the worst performing asset class for the period.
Despite our cautious view on emerging market equities as an asset class, we believe there are still attractive stock-specific opportunities within the class. To maintain the stock-picking capabilities of our underlying Emerging Markets Equity Fund, we reduced our EM exposure passively through liquid futures contracts. This move allowed us to benefit from being underweight EM equities as they underperformed, while also capturing the 500 basis points of active alpha delivered by our Emerging Markets Equity Fund. We used a similar strategy when reducing our U.S. small-cap equity allocation.
With low inflation, both in the U.S. and internationally, combined with deteriorating global growth, our view has been that interest rates may stay at levels lower than consensus believes, allowing bonds to continue generating positive total returns. Consistent with this view, we reduced our
8 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
underweight to fixed income in the Conservative and Moderate Allocation funds in December 2014 by re-allocating cash to the Calvert Bond Portfolio. We also added to our fixed-income allocation in April and June of this year while reducing equity exposure, which helped performance as equities declined in the third quarter. In the Aggressive Allocation Fund, we reduced our underweight to fixed income in April and June of this year while reducing equity exposure, which helped performance as equities declined in the third quarter.
For the Conservative Allocation Fund, strong relative performance by the Calvert Bond Portfolio, the Fund’s largest holding with around 55% of assets, compared with the fixed-income component of the composite benchmark was the largest positive contributor to performance. Relative outperformance by the Calvert Small Cap Fund and the Calvert Equity Portfolio contributed to strong performance from the Fund’s domestic equity allocation. For the Moderate and Aggressive Allocation funds, strong relative performance by the funds’ domestic equity allocation, driven by outperformance in the Calvert Equity Portfolio and Calvert Small Cap Fund, was the largest positive contributor to performance. For all three funds, these positive contributions were augmented by positive contributions from the Calvert U.S. Large Cap Core Responsible Index Fund and Calvert Capital Accumulation Fund, while weaker performance from the Calvert Large Cap Core Portfolio detracted slightly. Relative outperformance by the Calvert Bond Fund also added value to the Moderate and Aggressive Allocation funds.
Our underlying international equity funds posted strong performance for the period with the Calvert International Equity and Calvert International Opportunities funds helping our international developed equity allocation outperform the MSCI EAFE IMI. The funds also benefited from continued outperformance by the Calvert Emerging Markets Equity Fund relative to the emerging market component of the composite benchmarks.
Outlook
Central banks around the globe have engaged in a concurrent, unprecedented effort to keep interest rates low in hopes of boosting economic activity. As a result, risky assets have appeared more attractive to investors and benefited from an expansion in earnings multiples over the last several years. Although valuations are far from extreme levels, they are well above historical long-term averages, making markets more vulnerable to shocks from some of the negative catalysts currently in the global economy. These include continued economic deceleration in China — a scenario that began to unfold in the third quarter of 2015.
We are worried that concurrent quantitative easing across multiple global economies could be less potent than that implemented in the U.S. after the financial crisis if these efforts effectively cancel each other out. Market enthusiasm for global QE may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies, including Europe and Japan.
In our view, the probability of a hard economic landing for China is increasing. If this process occurs in a disorderly fashion, it may have a significant negative impact on both market sentiment and the global economy since China is the world’s second-largest economy and has a meaningful impact on corporate earnings streams globally.
We believe the U.S. economy can continue to grow, although the tough first quarter of 2015 caused by severe weather will have a negative impact on growth numbers for the year. The positive impact of lower oil prices should provide additional support to the economy. Despite our positive outlook on the U.S. economy in the medium-to-long run, we continue to be concerned about potential market jitters in the short term given recent data indicating softness globally. We continue to favor small-cap stocks, which typically have a lower percentage of revenue from outside the U.S. than do large cap stocks.
Note: for information on a recent portfolio manager change in the Fund and other changes, please see the supplement to the prospectus included at the end of this report.
Joshua Linder, CFA
Vishal Khanduja, CFA
Calvert Investment Management, Inc.
October 2015
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED) 9
Growth of $10,000
The graph below shows the value of a hypothetical $10,000 investment in the Fund over the past 10 fiscal year periods. The results shown are for Class A shares, reflect the deduction of the maximum front-end Class A sales charge of 4.75%, and assume the reinvestment of dividends. The result is compared with a broad based market index. Market indexes are unmanaged and their results do not reflect the effect of expenses or sales charges. The value of an investment in a different share class would be different.
CALVERT CONSERVATIVE ALLOCATION FUND | |||||||
SEPTEMBER 30, 2015 | |||||||
AVERAGE ANNUAL TOTAL RETURNS | Ticker Symbol | 1 Year | 5 Year | 10 Year | |||
Class A (with max. load) | CCLAX | -2.84 | % | 5.21 | % | 4.42 | % |
Class C (with max. load) | CALCX | 0.03 | % | 5.16 | % | 3.69 | % |
Barclays U.S. Credit Index | 1.50 | % | 4.09 | % | 5.28 | % | |
Conservative Allocation Composite Benchmark | 0.40 | % | 6.04 | % | 5.69 | % | |
Lipper Mixed-Asset Target Alloc. Conservative Funds Average | -1.89 | % | 4.54 | % | 3.96 | % | |
All performance data shown, including the graph above and the adjacent table, represents past performance, does not guarantee future results, assumes reinvestment of dividends and distributions, and does not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions or the redemption of the Fund shares. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. 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; for current performance data, including most recent month-end, visit www.calvert.com. The gross expense ratio from the current prospectus for Class A shares is 1.29% (includes Underlying Fund Fees). This number may differ 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 the deduction of the Fund’s operating expenses.
10 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
Growth of $10,000
The graph below shows the value of a hypothetical $10,000 investment in the Fund over the past 10 fiscal year periods. The results shown are for Class A shares, reflect the deduction of the maximum front-end Class A sales charge of 4.75%, and assume the reinvestment of dividends. The result is compared with a broad based market index. Market indexes are unmanaged and their results do not reflect the effect of expenses or sales charges. The value of an investment in a different share class would be different.
CALVERT MODERATE ALLOCATION FUND | |||||||
SEPTEMBER 30, 2015 | |||||||
AVERAGE ANNUAL TOTAL RETURNS | Ticker Symbol | 1 Year | 5 Year | 10 Year | |||
Class A (with max. load) | CMAAX | -3.94 | % | 6.71 | % | 4.02 | % |
Class C (with max. load) | CMACX | -0.91 | % | 6.95 | % | 3.72 | % |
Russell 3000 Index | -0.49 | % | 13.28 | % | 6.92 | % | |
Moderate Allocation Composite Benchmark | -1.02 | % | 8.65 | % | 6.31 | % | |
Lipper Mixed-Asset Target Alloc. Growth Funds Average | -2.48 | % | 7.66 | % | 4.99 | % | |
All performance data shown, including the graph above and the adjacent table, represents past performance, does not guarantee future results, assumes reinvestment of dividends and distributions, and does not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions or the redemption of the Fund shares. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. 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; for current performance data, including most recent month-end, visit www.calvert.com. The gross expense ratio from the current prospectus for Class A shares is 1.38% (includes Underlying Fund Fees). This number may differ 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 the deduction of the Fund’s operating expenses.
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED) 11
Growth of $10,000
The graph below shows the value of a hypothetical $10,000 investment in the Fund over the past 10 fiscal year periods. The results shown are for Class A shares, reflect the deduction of the maximum front-end Class A sales charge of 4.75%, and assume the reinvestment of dividends. The result is compared with a broad based market index. Market indexes are unmanaged and their results do not reflect the effect of expenses or sales charges. The value of an investment in a different share class would be different.
CALVERT AGGRESSIVE ALLOCATION FUND | |||||||
SEPTEMBER 30, 2015 | |||||||
AVERAGE ANNUAL TOTAL RETURNS | Ticker Symbol | 1 Year | 5 Year | 10 Year | |||
Class A (with max. load) | CAAAX | -4.36 | % | 8.23 | % | 4.01 | % |
Class C (with max. load) | CAACX | -1.71 | % | 8.01 | % | 3.21 | % |
Russell 3000 Index | -0.49 | % | 13.28 | % | 6.92 | % | |
Aggressive Allocation Composite Benchmark | -2.27 | % | 10.32 | % | 6.46 | % | |
Lipper Mixed-Asset Target Alloc. Agg. Growth Funds Average | -3.74 | % | 8.34 | % | 4.48 | % | |
All performance data shown, including the graph above and the adjacent table, represents past performance, does not guarantee future results, assumes reinvestment of dividends and distributions, and does not reflect the deduction of taxes that a shareholder would pay on the Fund’s distributions or the redemption of the Fund shares. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. 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; for current performance data, including most recent month-end, visit www.calvert.com. The gross expense ratio from the current prospectus for Class A shares is 1.59% (includes Underlying Fund Fees). This number may differ 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 the deduction of the Fund’s operating expenses.
12 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
UNDERSTANDING YOUR FUND’S EXPENSES
As an investor, you incur two types of costs. There are transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in this mutual fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by the fund’s investors during the period. The actual and hypothetical information presented in the examples is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2015 to September 30, 2015).
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 funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying 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 funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying 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.
CALVERT CONSERVATIVE ALLOCATION FUND | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 4/1/15 | ENDING ACCOUNT VALUE 9/30/15 | EXPENSES PAID DURING PERIOD* 4/1/15 - 9/30/15 |
Class A | ||||
Actual | 0.44% | $1,000.00 | $967.30 | $2.17 |
Hypothetical (5% return per year before expenses) | 0.44% | $1,000.00 | $1,022.86 | $2.23 |
Class C | ||||
Actual | 1.49% | $1,000.00 | $962.40 | $7.33 |
Hypothetical (5% return per year before expenses) | 1.49% | $1,000.00 | $1,017.60 | $7.54 |
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expenses do not include fees and expenses incurred indirectly from investment in underlying funds, including affiliated and unaffiliated companies. Expense ratios shown in the Financial Highlights represent the actual expenses incurred for the fiscal year. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED) 13
CALVERT MODERATE ALLOCATION FUND | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 4/1/15 | ENDING ACCOUNT VALUE 9/30/15 | EXPENSES PAID DURING PERIOD* 4/1/15 - 9/30/15 |
Class A | ||||
Actual | 0.71% | $1,000.00 | $947.30 | $3.47 |
Hypothetical (5% return per year before expenses) | 0.71% | $1,000.00 | $1,021.51 | $3.60 |
Class C | ||||
Actual | 1.46% | $1,000.00 | $943.40 | $7.11 |
Hypothetical (5% return per year before expenses) | 1.46% | $1,000.00 | $1,017.75 | $7.38 |
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expenses do not include fees and expenses incurred indirectly from investment in underlying funds, including affiliated and unaffiliated companies. Expense ratios shown in the Financial Highlights represent the actual expenses incurred for the fiscal year. |
CALVERT AGGRESSIVE ALLOCATION FUND | ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 4/1/15 | ENDING ACCOUNT VALUE 9/30/15 | EXPENSES PAID DURING PERIOD* 4/1/15 - 9/30/15 |
Class A | ||||
Actual | 0.43% | $1,000.00 | $937.00 | $2.09 |
Hypothetical (5% return per year before expenses) | 0.43% | $1,000.00 | $1,022.91 | $2.18 |
Class C | ||||
Actual | 1.58% | $1,000.00 | $931.80 | $7.65 |
Hypothetical (5% return per year before expenses) | 1.58% | $1,000.00 | $1,017.15 | $7.99 |
* Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expenses do not include fees and expenses incurred indirectly from investment in underlying funds, including affiliated and unaffiliated companies. Expense ratios shown in the Financial Highlights represent the actual expenses incurred for the fiscal year. |
14 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees of Calvert Social Investment Fund and Shareholders of the Calvert Asset Allocation Funds:
We have audited the accompanying statements of assets and liabilities of the Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund (collectively the “Funds”), each a series of Calvert Social Investment Fund, including the schedules of investments as of September 30, 2015, 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 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, 2015 by correspondence with the custodian, transfer agent, and brokers or by 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, 2015, 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.
Philadelphia, Pennsylvania
November 25, 2015
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 15
CALVERT CONSERVATIVE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
MUTUAL FUNDS(a) - 96.5% | SHARES | VALUE($) | |||
Calvert Impact Fund, Inc.: | |||||
Calvert Green Bond Fund, Class I | 451,158 | 6,826,020 | |||
Calvert Small Cap Fund, Class I | 315,006 | 7,352,229 | |||
Calvert Responsible Index Series, Inc. | |||||
Calvert U.S. Large Cap Core Responsible Index Fund, Class I | 273,760 | 5,018,026 | |||
Calvert Social Investment Fund: | |||||
Calvert Bond Portfolio, Class I(b) | 4,911,210 | 77,842,681 | |||
Calvert Equity Portfolio, Class I | 186,688 | 9,831,005 | |||
Calvert Large Cap Core Portfolio, Class I | 641,691 | 14,059,448 | |||
Calvert World Values Fund, Inc.: | |||||
Calvert Capital Accumulation Fund, Class I | 143,267 | 5,451,304 | |||
Calvert Emerging Markets Equity Fund, Class I | 205,429 | 2,257,664 | |||
Calvert International Equity Fund, Class I | 352,931 | 5,904,529 | |||
Calvert International Opportunities Fund, Class I | 225,517 | 3,242,932 | |||
Total Mutual Funds (Cost $137,844,928) | 137,785,838 | ||||
EXCHANGE-TRADED PRODUCTS - 1.2% | |||||
SPDR Barclays High Yield Bond ETF | 36,219 | 1,291,570 | |||
WisdomTree Europe Hedged Equity Fund | 7,473 | 408,399 | |||
Total Exchange-Traded Products (Cost $1,850,545) | 1,699,969 | ||||
TIME DEPOSIT - 2.1% | PRINCIPAL AMOUNT($) | VALUE($) | |||
State Street Bank Time Deposit, 0.088%, 10/1/15 | 3,084,218 | 3,084,218 | |||
Total Time Deposit (Cost $3,084,218) | 3,084,218 | ||||
TOTAL INVESTMENTS (Cost $142,779,691) - 99.8% | 142,570,025 | ||||
Other assets and liabilities, net - 0.2% | 242,202 | ||||
NET ASSETS - 100.0% | $142,812,227 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(a) | Affiliated company. |
(b) | The Fund’s investment in the Calvert Social Investment Fund Bond Portfolio, Class I represents 55% of the Fund’s total investments. The Calvert Conservative Allocation Fund seeks current income and capital appreciation, consistent with the preservation of capital. For further financial information, available upon request at no charge, on the Calvert Social Investment Fund Bond Portfolio please go to the U.S. Securities and Exchange Commission’s website at http://www.sec.gov or call 1-800-368-2745. |
Abbreviations: | |
ETF: | Exchange-Traded Fund |
See notes to financial statements. |
16 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
Purchased: | ||||||||||
E-Mini MSCI EAFE Index | 9 | 12/15 | $742,275 | ($37,365 | ) | |||||
Sold: | ||||||||||
E-Mini MSCI Emerging Markets Index | (38) | 12/15 | ($1,503,090 | ) | $79,027 | |||||
E-Mini Russell 2000 Index | (16) | 12/15 | (1,753,440) | 115,675 | ||||||
E-Mini S&P 500 Index | (30) | 12/15 | (2,863,050) | 100,036 | ||||||
Total Sold | $294,738 | |||||||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 17
CALVERT MODERATE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
MUTUAL FUNDS(a) - 96.4% | SHARES | VALUE($) | |||
Calvert Impact Fund, Inc.: | |||||
Calvert Green Bond Fund, Class I | 363,821 | 5,504,606 | |||
Calvert Small Cap Fund, Class I | 873,342 | 20,383,808 | |||
Calvert Responsible Index Series, Inc. | |||||
Calvert U.S. Large Cap Core Responsible Index Fund, Class I | 372,505 | 6,828,015 | |||
Calvert Social Investment Fund: | |||||
Calvert Bond Portfolio, Class I | 3,587,592 | 56,863,328 | |||
Calvert Equity Portfolio, Class I | 716,859 | 37,749,769 | |||
Calvert Large Cap Core Portfolio, Class I | 2,028,681 | 44,448,405 | |||
Calvert World Values Fund, Inc.: | |||||
Calvert Capital Accumulation Fund, Class I | 315,285 | 11,996,605 | |||
Calvert Emerging Markets Equity Fund, Class I | 675,643 | 7,425,314 | |||
Calvert International Equity Fund, Class I | 1,120,067 | 18,738,715 | |||
Calvert International Opportunities Fund, Class I | 817,568 | 11,756,633 | |||
Total Mutual Funds (Cost $206,058,656) | 221,695,198 | ||||
EXCHANGE-TRADED PRODUCTS - 1.0% | |||||
SPDR Barclays High Yield Bond ETF | 30,692 | 1,094,476 | |||
WisdomTree Europe Hedged Equity Fund | 21,823 | 1,192,627 | |||
Total Exchange-Traded Products (Cost $2,522,719) | 2,287,103 | ||||
TIME DEPOSIT - 2.5% | PRINCIPAL AMOUNT($) | VALUE($) | |||
State Street Bank Time Deposit, 0.088%, 10/1/15 | 5,704,066 | 5,704,066 | |||
Total Time Deposit (Cost $5,704,066) | 5,704,066 | ||||
TOTAL INVESTMENTS (Cost $214,285,441) - 99.9% | 229,686,367 | ||||
Other assets and liabilities, net - 0.1% | 246,089 | ||||
NET ASSETS - 100.0% | $229,932,456 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(a) | Affiliated company. |
Abbreviations: | |
ETF: | Exchange-Traded Fund |
See notes to financial statements. |
18 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini MSCI EAFE Index | 49 | 12/15 | $4,041,275 | ($203,428 | ) | ||||
E-Mini S&P 500 Index | 10 | 12/15 | 954,350 | (30,468) | |||||
Total Purchased | ($233,896 | ) | |||||||
Sold: | |||||||||
E-Mini MSCI Emerging Markets Index | (64) | 12/15 | ($2,531,520 | ) | $133,097 | ||||
E-Mini Russell 2000 Index | (39) | 12/15 | (4,274,010) | 281,955 | |||||
Total Sold | $415,052 | ||||||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 19
CALVERT AGGRESSIVE ALLOCATION FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
MUTUAL FUNDS(a) - 96.5% | SHARES | VALUE($) | |||
Calvert Impact Fund, Inc.: | |||||
Calvert Green Bond Fund, Class I | 95,468 | 1,444,436 | |||
Calvert Small Cap Fund, Class I | 478,476 | 11,167,634 | |||
Calvert Responsible Index Series, Inc. | |||||
Calvert U.S. Large Cap Core Responsible Index Fund, Class I | 219,298 | 4,019,741 | |||
Calvert Social Investment Fund: | |||||
Calvert Bond Portfolio, Class I | 222,055 | 3,519,569 | |||
Calvert Equity Portfolio, Class I | 448,339 | 23,609,539 | |||
Calvert Large Cap Core Portfolio, Class I | 1,308,861 | 28,677,134 | |||
Calvert World Values Fund, Inc.: | |||||
Calvert Capital Accumulation Fund, Class I | 182,354 | 6,938,589 | |||
Calvert Emerging Markets Equity Fund, Class I | 411,866 | 4,526,404 | |||
Calvert International Equity Fund, Class I | 765,507 | 12,806,938 | |||
Calvert International Opportunities Fund, Class I | 680,533 | 9,786,067 | |||
Total Mutual Funds (Cost $98,144,875) | 106,496,051 | ||||
EXCHANGE-TRADED PRODUCTS - 0.9% | |||||
WisdomTree Europe Hedged Equity Fund | 17,064 | 932,547 | |||
Total Exchange-Traded Products (Cost $1,051,538) | 932,547 | ||||
TIME DEPOSIT - 2.5% | PRINCIPAL AMOUNT($) | VALUE($) | |||
State Street Bank Time Deposit, 0.088%, 10/1/15 | 2,775,460 | 2,775,460 | |||
Total Time Deposit (Cost $2,775,460) | 2,775,460 | ||||
TOTAL INVESTMENTS (Cost $101,971,873) - 99.9% | 110,204,058 | ||||
Other assets and liabilities, net - 0.1% | 123,897 | ||||
NET ASSETS - 100.0% | $110,327,955 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(a) | Affiliated company. |
See notes to financial statements. |
20 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
Purchased: | ||||||||||
E-Mini MSCI EAFE Index | 8 | 12/15 | $659,800 | ($33,213 | ) | |||||
E-Mini S&P 500 Index | 15 | 12/15 | 1,431,525 | (45,702) | ||||||
Total Purchased | ($78,915 | ) | ||||||||
Sold: | ||||||||||
E-Mini MSCI Emerging Markets Index | (17) | 12/15 | ($672,435 | ) | $35,354 | |||||
E-Mini Russell 2000 Index | (11) | 12/15 | (1,205,490) | 79,527 | ||||||
Total Sold | $114,881 | |||||||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 21
CALVERT CONSERVATIVE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2015
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $4,934,763) - see accompanying schedule | $4,784,187 | ||
Investments in affiliated securities, at value (Cost $137,844,928) - see accompanying schedule | 137,785,838 | ||
Cash collateral at broker | 280,980 | ||
Receivable for shares sold | 383,566 | ||
Trustees’ deferred compensation plan | 81,916 | ||
Interest receivable | 8 | ||
Total assets | 143,316,495 | ||
LIABILITIES | |||
Payable for securities purchased | 106,625 | ||
Payable for shares redeemed | 104,827 | ||
Payable for futures contracts variation margin | 110,445 | ||
Payable to Calvert Investment Management, Inc. | 1,331 | ||
Payable to Calvert Investment Distributors, Inc. | 47,592 | ||
Payable to Calvert Investment Administrative Services, Inc. | 17,496 | ||
Payable to Calvert Investment Services, Inc. | 1,743 | ||
Trustees’ deferred compensation plan | 81,916 | ||
Accrued expenses and other liabilities | 32,293 | ||
Total liabilities | 504,268 | ||
NET ASSETS | $142,812,227 | ||
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: 6,806,092 shares outstanding | $109,480,766 | ||
Class C: 1,825,336 shares outstanding | 29,051,256 | ||
Undistributed net investment income | 11,213 | ||
Accumulated net realized gain (loss) | 4,221,285 | ||
Net unrealized appreciation (depreciation) | 47,707 | ||
NET ASSETS | $142,812,227 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $112,880,610) | $16.59 | ||
Class C (based on net assets of $29,931,617) | $16.40 | ||
See notes to financial statements. |
22 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT MODERATE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2015
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $8,226,785) - see accompanying schedule | $7,991,169 | ||
Investments in affiliated securities, at value (Cost $206,058,656) - see accompanying schedule | 221,695,198 | ||
Cash collateral at broker | 256,247 | ||
Receivable for shares sold | 370,921 | ||
Trustees’ deferred compensation plan | 131,828 | ||
Interest receivable | 14 | ||
Total assets | 230,445,377 | ||
LIABILITIES | |||
Payable for securities purchased | 30,354 | ||
Payable for shares redeemed | 34,056 | ||
Payable to custodian bank | 82 | ||
Payable for futures contracts variation margin | 49,965 | ||
Payable to Calvert Investment Management, Inc. | 114,266 | ||
Payable to Calvert Investment Distributors, Inc. | 72,690 | ||
Payable to Calvert Investment Administrative Services, Inc. | 28,517 | ||
Payable to Calvert Investment Services, Inc. | 4,141 | ||
Trustees’ deferred compensation plan | 131,828 | ||
Accrued expenses and other liabilities | 47,022 | ||
Total liabilities | 512,921 | ||
NET ASSETS | $229,932,456 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to the following shares of beneficial interest, | |||
unlimited number of no par value shares authorized: | |||
Class A: 10,052,503 shares outstanding | $171,756,853 | ||
Class C: 2,232,970 shares outstanding | 37,448,820 | ||
Undistributed net investment income | 15,829 | ||
Accumulated net realized gain (loss) | 5,128,872 | ||
Net unrealized appreciation (depreciation) | 15,582,082 | ||
NET ASSETS | $229,932,456 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $189,372,344) | $18.84 | ||
Class C (based on net assets of $40,560,112) | $18.16 | ||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 23
CALVERT AGGRESSIVE ALLOCATION FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2015
ASSETS | |||
Investments in unaffiliated securities, at value (Cost $3,826,998) - see accompanying schedule | $3,708,007 | ||
Investments in affiliated securities, at value (Cost $98,144,875) - see accompanying schedule | 106,496,051 | ||
Cash collateral at broker | 143,460 | ||
Receivable for securities sold | 56,863 | ||
Receivable for shares sold | 172,969 | ||
Interest receivable | 7 | ||
Trustees’ deferred compensation plan | 63,390 | ||
Receivable from Calvert Investment Management, Inc. | 12,187 | ||
Total assets | 110,652,934 | ||
LIABILITIES | |||
Payable for shares redeemed | 176,950 | ||
Payable for futures contracts variation margin | 1,235 | ||
Payable to Calvert Investment Distributors, Inc. | 33,328 | ||
Payable to Calvert Investment Administrative Services, Inc. | 13,905 | ||
Payable to Calvert Investment Services, Inc. | 2,957 | ||
Trustees’ deferred compensation plan | 63,390 | ||
Accrued expenses and other liabilities | 33,214 | ||
Total liabilities | 324,979 | ||
NET ASSETS | $110,327,955 | ||
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: 4,860,722 shares outstanding | $84,180,223 | ||
Class C: 952,821 shares outstanding | 15,657,656 | ||
Distributions in excess of net investment income | (345,673 | ) | |
Accumulated net realized gain (loss) | 2,567,598 | ||
Net unrealized appreciation (depreciation) | 8,268,151 | ||
NET ASSETS | $110,327,955 | ||
NET ASSET VALUE PER SHARE | |||
Class A (based on net assets of $93,928,158) | $19.32 | ||
Class C (based on net assets of $16,399,797) | $17.21 | ||
See notes to financial statements. |
24 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT ALLOCATION FUNDS
STATEMENTS OF OPERATIONS
YEAR END SEPTEMBER 30, 2015
NET INVESTMENT INCOME | CALVERT CONSERVATIVE ALLOCATION FUND | CALVERT MODERATE ALLOCATION FUND | CALVERT AGGRESSIVE ALLOCATION FUND | ||||||||
Investment Income: | |||||||||||
Dividend income from affiliated securities | $2,893,282 | $4,099,427 | $1,611,444 | ||||||||
Dividend income from unaffiliated securities | 20,514 | 18,030 | 711 | ||||||||
Interest income | 4,174 | 3,080 | 557 | ||||||||
Total investment income | 2,917,970 | 4,120,537 | 1,612,712 | ||||||||
Expenses: | |||||||||||
Administrative fees | 198,664 | 342,798 | 164,162 | ||||||||
Transfer agency fees and expenses | 173,598 | 321,247 | 210,985 | ||||||||
Distribution Plan expenses: | |||||||||||
Class A | 260,464 | 469,890 | 232,944 | ||||||||
Class C | 282,568 | 405,764 | 162,638 | ||||||||
Trustees’ fees and expenses | 13,262 | 22,587 | 10,805 | ||||||||
Accounting fees | 49,619 | 49,607 | 49,293 | ||||||||
Custodian fees | 1,875 | 1,875 | 1,875 | ||||||||
Professional fees | 24,617 | 28,994 | 23,582 | ||||||||
Registration fees | 23,798 | 23,277 | 21,983 | ||||||||
Reports to shareholders | 8,908 | 17,325 | 12,475 | ||||||||
Contract services | 66,221 | 114,266 | 54,721 | ||||||||
Miscellaneous | 21,108 | 28,086 | 25,920 | ||||||||
Total expenses | 1,124,702 | 1,825,716 | 971,383 | ||||||||
Reimbursement from Advisor: | |||||||||||
Class A | (259,589) | — | (318,099) | ||||||||
Net expenses | 865,113 | 1,825,716 | 653,284 | ||||||||
NET INVESTMENT INCOME | 2,052,857 | 2,294,821 | 959,428 | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments in affiliated securities | 1,592,317 | 3,876,172 | 2,819,415 | ||||||||
Futures | 305,027 | 317,003 | 224,379 | ||||||||
Capital gain distributions from affiliated investments | 2,929,156 | 9,090,852 | 5,411,011 | ||||||||
4,826,500 | 13,284,027 | 8,454,805 | |||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||
Investments in unaffiliated securities | (150,576) | (235,616) | (118,991) | ||||||||
Investments in affiliated securities | (5,339,667) | (14,718,721) | (10,012,751) | ||||||||
Futures | 257,373 | 181,156 | 35,966 | ||||||||
(5,232,870) | (14,773,181) | (10,095,776) | |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (406,370) | (1,489,154) | (1,640,971) | ||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $1,646,487 | $805,667 | ($681,543 | ) | |||||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 25
CALVERT CONSERVATIVE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | |||||
Operations: | |||||||
Net investment income | $2,052,857 | $1,637,858 | |||||
Net realized gain (loss) | 4,826,500 | 4,806,317 | |||||
Change in unrealized appreciation (depreciation) | (5,232,870) | 225,620 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,646,487 | 6,669,795 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (1,795,869) | (1,467,668) | |||||
Class C shares | (257,442) | (169,992) | |||||
Net realized gain: | |||||||
Class A shares | (3,780,010) | (2,282,398) | |||||
Class C shares | (1,053,301) | (616,051) | |||||
Total distributions | (6,886,622) | (4,536,109) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class A shares | 36,241,561 | 29,423,449 | |||||
Class C shares | 9,130,945 | 6,270,596 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 5,254,117 | 3,541,158 | |||||
Class C shares | 1,131,379 | 673,268 | |||||
Redemption fees: | |||||||
Class A shares | 96 | 1,193 | |||||
Shares redeemed: | |||||||
Class A shares | (16,696,197) | (15,801,069) | |||||
Class C shares | (4,422,091) | (2,810,131) | |||||
Total capital share transactions | 30,639,810 | 21,298,464 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 25,399,675 | 23,432,150 | |||||
NET ASSETS | |||||||
Beginning of year | 117,412,552 | 93,980,402 | |||||
End of year (including undistributed net investment income of $11,213 and $11,667, respectively) | $142,812,227 | $117,412,552 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold: | |||||||
Class A shares | 2,118,350 | 1,724,481 | |||||
Class C shares | 538,322 | 370,321 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 310,457 | 210,763 | |||||
Class C shares | 67,652 | 40,651 | |||||
Shares redeemed: | |||||||
Class A shares | (975,144) | (926,428) | |||||
Class C shares | (261,111) | (165,862) | |||||
Total capital share activity | 1,798,526 | 1,253,926 | |||||
See notes to financial statements. |
26 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT MODERATE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | |||||
Operations: | |||||||
Net investment income | $2,294,821 | $1,734,403 | |||||
Net realized gain (loss) | 13,284,027 | 10,919,707 | |||||
Change in unrealized appreciation (depreciation) | (14,773,181) | 2,035,390 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 805,667 | 14,689,500 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (2,015,631) | (1,491,712) | |||||
Class C shares | (280,360) | (217,504) | |||||
Net realized gain: | |||||||
Class A shares | (8,361,092) | (4,517,127) | |||||
Class C shares | (1,848,044) | (1,023,846) | |||||
Total distributions | (12,505,127) | (7,250,189) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class A shares | 37,567,503 | 34,029,580 | |||||
Class C shares | 7,748,416 | 8,656,647 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 9,820,361 | 5,732,265 | |||||
Class C shares | 1,905,018 | 1,094,023 | |||||
Redemption fees: | |||||||
Class A shares | 206 | 1,011 | |||||
Class C shares | 280 | 292 | |||||
Shares redeemed: | |||||||
Class A shares | (20,802,945) | (16,965,773) | |||||
Class C shares | (4,176,414) | (4,874,836) | |||||
Total capital share transactions | 32,062,425 | 27,673,209 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 20,362,965 | 35,112,520 | |||||
NET ASSETS | |||||||
Beginning of year | 209,569,491 | 174,456,971 | |||||
End of year (including undistributed net investment income of $15,829 and $16,999, respectively) | $229,932,456 | $209,569,491 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold: | |||||||
Class A shares | 1,900,604 | 1,740,847 | |||||
Class C shares | 405,055 | 456,426 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 505,231 | 300,455 | |||||
Class C shares | 101,462 | 59,073 | |||||
Shares redeemed: | |||||||
Class A shares | (1,052,777) | (864,804) | |||||
Class C shares | (218,171) | (255,379) | |||||
Total capital share activity | 1,641,404 | 1,436,618 | |||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 27
CALVERT AGGRESSIVE ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | |||||
Operations: | |||||||
Net investment income | $959,428 | $663,469 | |||||
Net realized gain (loss) | 8,454,805 | 6,950,409 | |||||
Change in unrealized appreciation (depreciation) | (10,095,776) | 551,980 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (681,543) | 8,165,858 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class A shares | (898,536) | (706,578) | |||||
Class C shares | (118,856) | (74,556) | |||||
Net realized gain: | |||||||
Class A shares | (5,217,327) | (1,504,077) | |||||
Class C shares | (1,034,039) | (251,734) | |||||
Total distributions | (7,268,758) | (2,536,945) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class A shares | 24,457,754 | 16,914,037 | |||||
Class C shares | 4,151,635 | 4,019,843 | |||||
Reinvestment of distributions: | |||||||
Class A shares | 5,871,770 | 2,115,262 | |||||
Class C shares | 1,072,226 | 301,866 | |||||
Redemption fees: | |||||||
Class A shares | 120 | 154 | |||||
Class C shares | 19 | 35 | |||||
Shares redeemed: | |||||||
Class A shares | (12,824,083) | (13,301,630) | |||||
Class C shares | (2,017,036) | (1,663,919) | |||||
Total capital share transactions | 20,712,405 | 8,385,648 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 12,762,104 | 14,014,561 | |||||
NET ASSETS | |||||||
Beginning of year | 97,565,851 | 83,551,290 | |||||
End of year (including distributions in excess of net investment income of $345,673 and $287,709, respectively) | $110,327,955 | $97,565,851 | |||||
See notes to financial statements. |
28 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CAPITAL SHARE ACTIVITY | YEAR ENDED SEPTEMBER 30, 2015 | YEAR ENDED SEPTEMBER 30, 2014 | |
Shares sold: | |||
Class A shares | 1,182,438 | 830,574 | |
Class C shares | 224,283 | 216,526 | |
Reinvestment of distributions: | |||
Class A shares | 292,725 | 106,523 | |
Class C shares | 59,647 | 16,723 | |
Shares redeemed: | |||
Class A shares | (628,431) | (655,026) | |
Class C shares | (109,216) | (89,492) | |
Total capital share activity | 1,021,446 | 425,828 | |
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 29
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: The Calvert Social Investment 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 seven separate portfolios, three of which are reported herein: Calvert Conservative Allocation Fund (“Conservative”), Calvert Moderate Allocation Fund (“Moderate”), and Calvert Aggressive Allocation Fund (“Aggressive”) (the “Funds”). The Funds are registered under the Investment Company Act of 1940 as 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”). The Funds apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Certification Topic 946, Financial Services - Investment Companies (ASC 946).
Each Fund offers Class A and Class C shares. Class A shares are sold with a maximum front-end sales charge of 4.75%. Class C shares are sold without a front-end sales charge and, with certain exceptions, will be charged a deferred sales charge on shares sold within one year of purchase. Class C shares have higher 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 Funds use independent pricing services approved by the Board of Trustees (“the Board”) to value their investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Funds to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Funds’ investments. U.S. 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 methodologies 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 year. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the year. Valuation techniques used to value the Funds’ investments by major category are as follows:
Investments in the Underlying Funds are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Valuation methodologies and policies of the Underlying Funds are included in their financial statements, which are available upon request.
Exchange-traded products are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
30 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
At September 30, 2015, no securities were fair valued in good faith under the direction of the Board.
The following tables summarize the market value of the Funds’ holdings as of September 30, 2015, based on the inputs used to value them:
CONSERVATIVE | VALUATION INPUTS | |||||||||||
INVESTMENTS IN SECURITIES* | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||
Mutual Funds | $137,785,838 | $— | $— | $137,785,838 | ||||||||
Exchange-Traded Products | 1,699,969 | — | — | 1,699,969 | ||||||||
Time Deposit | — | 3,084,218 | — | 3,084,218 | ||||||||
TOTAL | $139,485,807 | $3,084,218 | $— | $142,570,025 | ||||||||
Other financial instruments** | $257,373 | $— | $— | $257,373 | ||||||||
There were no transfers between levels during the year. | ||||||||||||
MODERATE | VALUATION INPUTS | |||||||||||
INVESTMENTS IN SECURITIES* | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||
Mutual Funds | $221,695,198 | $— | $— | $221,695,198 | ||||||||
Exchange-Traded Products | 2,287,103 | — | — | 2,287,103 | ||||||||
Time Deposit | — | 5,704,066 | — | 5,704,066 | ||||||||
TOTAL | $223,982,301 | $5,704,066 | $— | $229,686,367 | ||||||||
Other financial instruments** | $181,156 | $— | $— | $181,156 | ||||||||
There were no transfers between levels during the year. | ||||||||||||
AGGRESSIVE | VALUATION INPUTS | |||||||||||
INVESTMENTS IN SECURITIES* | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||
Mutual Funds | $106,496,051 | $— | $— | $106,496,051 | ||||||||
Exchange-Traded Products | 932,547 | — | — | 932,547 | ||||||||
Time Deposit | — | 2,775,460 | — | 2,775,460 | ||||||||
TOTAL | $107,428,598 | $2,775,460 | $— | $110,204,058 | ||||||||
Other financial instruments** | $35,966 | $— | $— | $35,966 | ||||||||
There were no transfers between levels during the year. | ||||||||||||
*For a complete listing of investments, please refer to the Schedules of Investments. | ||||||||||||
**Other financial instruments are derivative instruments not reflected in the Total Investments in the Schedules of Investments, such as futures, which are valued at the unrealized appreciation/depreciation of the instrument. |
Futures Contracts: The Funds may purchase and sell futures contracts to facilitate the periodic rebalancing of the portfolios in order to maintain their target asset allocation, to make tactical asset allocations, and to assist in managing cash. These futures contracts may include, but are not limited to, futures contracts based on U.S. government obligations and market index futures contracts. The Funds may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Funds. 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 Funds’ 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 Funds. During the year, the Funds used market index futures contracts as a substitute for direct investment in a particular
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 31
asset class to facilitate rebalancing and implement tactical asset allocations. The Funds’ futures contracts at year end are presented in the Schedules of Investments.
During the year, Conservative invested in E-Mini MSCI EAFE Index, E-Mini MSCI Emerging Markets Index, E-Mini Russell 2000 Index, and E-Mini S&P 500 Index futures. The volume of outstanding contracts has varied throughout the year with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* | |
Futures contracts long | 24 | |
Futures contracts short | (54) | |
* Averages are based on activity levels during the year ended September 30, 2015. |
During the year, Moderate invested in E-Mini MSCI EAFE Index, E-Mini MSCI Emerging Markets Index, E-Mini Russell 2000 Index, and E-Mini S&P 500 Index futures. The volume of outstanding contracts has varied throughout the year with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* | |
Futures contracts long | 82 | |
Futures contracts short | (94) | |
* Averages are based on activity levels during the year ended September 30, 2015. |
During the year, Aggressive invested in E-Mini MSCI EAFE Index, E-Mini S&P 500 Index, E-Mini MSCI Emerging Markets Index, and E-Mini Russell 2000 Index futures. The volume of outstanding contracts has varied throughout the year with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* | |
Futures contracts long | 31 | |
Futures contracts short | (37) | |
*Averages are based on activity levels during the year ended September 30, 2015. |
At September 30, 2015, the Funds had the following derivatives, categorized by risk exposure:
CONSERVATIVE | |||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | |
Equity | Unrealized gain on futures contracts | $294,738* | Unrealized loss on futures contracts | ($37,365*) |
MODERATE | |||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | |
Equity | Unrealized gain on futures contracts | $415,052* | Unrealized loss on futures contracts | ($233,896*) |
AGGRESSIVE | |||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | |
Equity | Unrealized gain on futures contracts | $114,881* | Unrealized loss on futures contracts | ($78,915*) | |
* Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The effect of derivative instruments on the Statements of Operations for the year ended September 30, 2015 was as follows:
CONSERVATIVE | |||
Statements of Operations Location | |||
Risk | Derivatives | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) |
Equity | Futures | $305,027 | $257,373 |
32 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
MODERATE | |||
Statements of Operations Location | |||
Risk | Derivatives | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) |
Equity | Futures | $317,003 | $181,156 |
AGGRESSIVE | |||
Statements of Operations Location | |||
Risk | Derivatives | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) |
Equity | Futures | $224,379 | $35,966 |
Security Transactions and Investment Income: Security transactions, including purchases and sales of shares of the Underlying Funds, 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. 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 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 specific 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 of the Funds 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 U.S. 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 financial statements in conformity with U.S. generally accepted accounting principles 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Redemption Fees: The Funds charged a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund. The redemption fee was accounted for as an addition to paid-in capital. This fee was eliminated effective February 2, 2015.
Federal Income Taxes: No provision for federal income or excise tax is required since the Funds intend to continue to qualify as regulated investment companies under the Internal Revenue Code and to distribute substantially all of their taxable earnings.
Management has analyzed the Funds’ tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Funds’ financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas 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, does receive advisory fees for managing the Underlying Funds.
The Advisor has contractually agreed to limit direct ordinary operating expenses through January 31, 2016. The contractual expense caps are .44%, .80%, and .43% for Class A shares of Conservative, Moderate, and Aggressive, respectively. The contractual expense caps are 2.00% for Class C shares of each of the Funds. 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.
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 33
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Funds for an annual fee. Classes A and C of each of the Funds pay an annualized rate, payable monthly, of .15% of the average daily net assets.
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Funds. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Funds have adopted Distribution Plans that permit the Funds to pay certain expenses associated with the distribution and servicing of their shares. The expenses paid may not exceed .35% and 1.00% annually of average daily net assets of Class A and C, respectively, for each of the Funds. 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 C, respectively.
CID received $73,505, $127,008, and $72,952 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, 2015.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Funds. For its services, CIS received fees of $20,369, $48,690, and $34,865 for the year ended September 30, 2015 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 $52,000 ($48,000 prior to January 1, 2015) plus a meeting fee of up to $3,000 for each Board meeting attended. Additional fees of $6,000 ($5,000 prior to January 1, 2015) annually may be paid to the Committee chairs ($10,000 for the Board chair and the Special Equities Committee chair) and $2,500 annually may be paid to Committee members, plus a Committee meeting fee of $500 for each Committee meeting attended. Eligible Trustees may participate in a Deferred Compensation Plan (the “Plan”). Obligations of the Plan will be paid solely out of the Funds’ assets. Trustees’ fees are allocated to each of the funds served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the year, the cost of purchases and proceeds from sales of investments, other than short term securities, were:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||
Purchases | $48,437,325 | $53,609,010 | $28,450,107 | ||||||
Sales | 10,294,197 | 16,998,550 | 10,278,806 |
The tax character of dividends and distributions paid during the years ended September 30, 2015 and September 30, 2014 was as follows:
CONSERVATIVE | |||||||
Distributions paid from: | 2015 | 2014 | |||||
Ordinary income | $2,169,920 | $1,675,810 | |||||
Long-term capital gains | 4,716,702 | 2,860,299 | |||||
Total | $6,886,622 | $4,536,109 |
MODERATE | |||||||
Distributions paid from: | 2015 | 2014 | |||||
Ordinary income | $2,299,480 | $1,709,216 | |||||
Long-term capital gains | 10,205,647 | 5,540,973 | |||||
Total | $12,505,127 | $7,250,189 |
AGGRESSIVE | |||||||
Distributions paid from: | 2015 | 2014 | |||||
Ordinary income | $1,017,392 | $783,085 | |||||
Long-term capital gains | 6,251,366 | 1,753,860 | |||||
Total | $7,268,758 | $2,536,945 |
34 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
As of September 30, 2015, the tax basis components of distributable earnings/(accumulated losses) and the federal tax cost were as follows:
CONSERVATIVE | MODERATE | AGGRESSIVE | |||||||||
Unrealized appreciation | $1,242,749 | $9,948,927 | $3,763,346 | ||||||||
Unrealized (depreciation) | (1,963,313) | (1,709,399) | (1,032,505) | ||||||||
Net unrealized appreciation (depreciation) | ($720,564 | ) | $8,239,528 | $2,730,841 | |||||||
Undistributed ordinary income | $236,421 | $215,560 | $104,195 | ||||||||
Undistributed long-term capital gain | $4,764,348 | $12,271,694 | $8,000,713 | ||||||||
Late year ordinary and post October capital loss deferrals | $— | $— | ($345,673 | ) | |||||||
Federal income tax cost of investments | $143,290,589 | $221,446,839 | $107,473,217 |
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the Statements of Assets and Liabilities are primarily due to temporary book-tax differences that will reverse in a subsequent period. These differences are mainly due to wash sales and Section 1256 futures contracts for all of the Funds.
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert 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 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 .20% per annum is incurred on the unused portion of the committed facility. An administrative fee of $25,000 was paid in connection with the uncommitted facility. These fees are allocated to all participating funds. The Funds had no borrowings under the agreement during the year ended September 30, 2015.
NOTE E — AFFILIATED COMPANIES
The Funds invest primarily in a combination of other Calvert fixed-income and equity funds. These Underlying Funds are considered affiliated companies because Calvert Investment Management, Inc. provides investment advisory services for the Funds and the Underlying Funds. Information regarding the Funds’ investments in these affiliated companies for the year ended September 30, 2015 is as follows:
CONSERVATIVE
Name of Affiliated Company | Market Value 9/30/14 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 9/30/15 | Dividend Income | ||||||||||||||
Calvert Green Bond Fund, Class I | $— | $6,978,208 | ($167,390 | ) | $42 | $15,160 | $6,826,020 | $36,098 | |||||||||||||
Calvert Small Cap Fund, Class I | 4,068,987 | 5,074,790 | (1,794,401) | 397,196 | (394,343) | 7,352,229 | 116,484 | ||||||||||||||
Calvert U.S. Large Cap Core Responsible Index, Class I | 3,643,599 | 1,868,003 | (343,987) | 104,767 | (254,356) | 5,018,026 | 42,090 | ||||||||||||||
Calvert Bond Portfolio, Class I | 61,807,485 | 20,891,016 | (4,266,559) | 112,819 | (702,080) | 77,842,681 | 2,089,780 | ||||||||||||||
Calvert Equity Portfolio, Class I | 9,030,671 | 2,774,566 | (1,618,631) | 478,876 | (834,477) | 9,831,005 | 62,390 | ||||||||||||||
Calvert Large Cap Core Portfolio, Class I | 12,162,560 | 4,375,724 | (1,317,330) | 365,220 | (1,526,726) | 14,059,448 | 222,561 | ||||||||||||||
Calvert Capital Accumulation Fund, Class I | 4,595,552 | 1,464,813 | (229,325) | 54,004 | (433,740) | 5,451,304 | 121,296 | ||||||||||||||
Calvert Emerging Markets Equity Fund, Class I | 2,218,676 | 585,900 | (97,923) | 4,486 | (453,475) | 2,257,664 | 84,462 | ||||||||||||||
Calvert International Equity Fund, Class I | 5,026,557 | 1,499,805 | (286,657) | 55,286 | (390,462) | 5,904,529 | 59,681 | ||||||||||||||
Calvert International Opportunities Fund, Class I | 2,686,518 | 1,073,955 | (171,994) | 19,621 | (365,168) | 3,242,932 | 58,440 | ||||||||||||||
Totals | $105,240,605 | $46,586,780 | ($10,294,197 | ) | $1,592,317 | ($5,339,667) | $137,785,838 | $2,893,282 |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 35
MODERATE
Name of Affiliated Company | Market Value 9/30/14 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 9/30/15 | Dividend Income | ||||||||||||||
Calvert Green Bond Fund, Class I | $— | $5,584,168 | $(92,739) | $464 | $12,713 | $5,504,606 | $29,989 | ||||||||||||||
Calvert Small Cap Fund, Class I | 15,642,221 | 9,138,108 | (4,169,967) | 1,725,281 | (1,951,835) | 20,383,808 | 317,242 | ||||||||||||||
Calvert U.S. Large Cap Core Responsible Index, Class I | 5,640,079 | 1,828,253 | (457,497) | 133,144 | (315,964) | 6,828,015 | 63,441 | ||||||||||||||
Calvert Bond Portfolio, Class I | 52,558,346 | 11,169,572 | (6,479,529) | 221,280 | (606,341) | 56,863,328 | 1,668,565 | ||||||||||||||
Calvert Equity Portfolio, Class I | 34,735,380 | 6,067,233 | (1,562,910) | 874,384 | (2,364,318) | 37,749,769 | 236,113 | ||||||||||||||
Calvert Large Cap Core Portfolio, Class I | 40,635,933 | 8,662,132 | (987,926) | 267,050 | (4,128,784) | 44,448,405 | 736,200 | ||||||||||||||
Calvert Capital Accumulation Fund, Class I | 10,955,703 | 2,273,321 | (383,306) | 205,973 | (1,055,086) | 11,996,605 | 286,252 | ||||||||||||||
Calvert Emerging Markets Equity Fund, Class I | 7,982,310 | 1,227,177 | (288,097) | (7,860) | (1,488,216) | 7,425,314 | 300,653 | ||||||||||||||
Calvert International Equity Fund, Class I | 19,122,759 | 2,757,297 | (2,116,612) | 342,837 | (1,367,566) | 18,738,715 | 222,894 | ||||||||||||||
Calvert International Opportunities Fund, Class I | 11,177,275 | 2,379,030 | (459,967) | 113,619 | (1,453,324) | 11,756,633 | 238,078 | ||||||||||||||
Totals | $ | 198,450,006 | $51,086,291 | ($16,998,550 | ) | $3,876,172 | ($14,718,721 | ) | $221,695,198 | $4,099,427 |
AGGRESSIVE
Name of Affiliated Company | Market Value 9/30/14 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 9/30/15 | Dividend Income | ||||||||||||||
Calvert Green Bond Fund, Class I | $— | $1,468,543 | ($27,745 | ) | $45 | $3,593 | $1,444,436 | $8,057 | |||||||||||||
Calvert Small Cap Fund, Class I | 9,848,340 | 3,859,418 | (2,315,524) | 983,940 | (1,208,540) | 11,167,634 | 159,344 | ||||||||||||||
Calvert U.S. Large Cap Core Responsible Index Fund, Class I | 3,142,116 | 1,527,885 | (513,930) | 148,404 | (284,734) | 4,019,741 | 35,284 | ||||||||||||||
Calvert Bond Portfolio, Class I | 4,568,267 | 859,771 | (1,887,639) | 16,758 | (37,588) | 3,519,569 | 133,927 | ||||||||||||||
Calvert Equity Portfolio, Class I | 21,538,430 | 4,825,545 | (1,801,176) | 979,319 | (1,932,579) | 23,609,539 | 146,272 | ||||||||||||||
Calvert Large Cap Core Portfolio, Class I | 24,918,950 | 6,982,628 | (663,616) | 138,880 | (2,699,708) | 28,677,134 | 451,169 | ||||||||||||||
Calvert Capital Accumulation Fund, Class I | 6,200,913 | 1,584,420 | (347,458) | 130,898 | (630,184) | 6,938,589 | 162,064 | ||||||||||||||
Calvert Emerging Markets Equity Fund, Class I | 4,661,734 | 1,082,955 | (289,549) | (20,038) | (908,698) | 4,526,404 | 175,650 | ||||||||||||||
Calvert International Equity Fund, Class I | 12,631,618 | 2,815,646 | (1,895,900) | 331,560 | (1,075,986) | 12,806,938 | 147,221 | ||||||||||||||
Calvert International Opportunities Fund, Class I | 9,059,256 | 2,391,758 | (536,269) | 109,649 | (1,238,327) | 9,786,067 | 192,456 | ||||||||||||||
Totals | $96,569,624 | $27,398,569 | ($10,278,806 | ) | $2,819,415 | ($10,012,751 | ) | $106,496,051 | $1,611,444 |
36 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
NOTE F — SUBSEQUENT EVENTS
At a special meeting of the Funds’ Board of Trustees (the “Board”) held on November 24, 2015, the Board approved the recommendation made by Calvert Investment Administrative Services, Inc. (“CIAS”) to standardize and rationalize the administrative fee payable by the Calvert Funds at 12 basis points for all series and all share classes of the Calvert Funds. The change is being implemented in two phases. First, CIAS will voluntarily waive the amount of the existing administrative fee above 12 basis points for the period from December 1, 2015 through January 31, 2016. Second, CIAS and the Funds have entered into an Amended and Restated Administrative Services Agreement that will establish a 12 basis point administrative fee for all classes of the Fund commencing on February 1, 2016. In the case of any series or share class that currently pays an administrative fee to CIAS that is less than 12 basis points, CIAS has contractually agreed to waive the difference between that lower administrative fee and the 12 basis point fee until January 31, 2018.
In preparing the financial statements as of September 30, 2015, no other subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
NOTICE TO SHAREHOLDERS (UNAUDITED)
For the fiscal year ended September 30, 2015, the Funds consider certain distributions paid during the year as:
Fund Name | (a) Long-term Capital Gain | (b) Qualified Dividend Income % | (c) (for corporate shareholders) Dividends Received Deduction % | ||
Conservative | $4,716,702 | 28.6% | 20.9% | ||
Moderate | $10,205,647 | 84.1% | 58.2% | ||
Aggressive | $6,251,366 | 100% | 75.8% |
(a) The Fund considers the amount shown above as capital gain dividends in accordance with Section 852(b)(3)(C) of the Internal Revenue Code.
(b) The Fund considers the percentage shown above of ordinary income dividends paid during the year as qualified dividend income in accordance with Section 854 of the Internal Revenue Code.
(c) The Fund considers the percentage 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.
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 37
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS A SHARES | September 30, 2015 (z) | September 30, 2014 | September 30, 2013 (z) | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $17.22 | $16.88 | $16.45 | $15.01 | $15.17 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .30 | .29 | .38 | .40 | .42 | |||||||||||||||
Net realized and unrealized gain (loss) | .05 | .83 | .74 | 1.65 | (.13 | ) | ||||||||||||||
Total from investment operations | .35 | 1.12 | 1.12 | 2.05 | .29 | |||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.29 | ) | (.29 | ) | (.39 | ) | (.40 | ) | (.45 | ) | ||||||||||
Net realized gain | (.69 | ) | (.49 | ) | (.30 | ) | (.21 | ) | — | |||||||||||
Total distributions | (.98 | ) | (.78 | ) | (.69 | ) | (.61 | ) | (.45 | ) | ||||||||||
Total increase (decrease) in net asset value | (.63 | ) | .34 | .43 | 1.44 | (.16 | ) | |||||||||||||
Net asset value, ending | $16.59 | $17.22 | $16.88 | $16.45 | $15.01 | |||||||||||||||
Total return* | 2.01 | % | 6.78 | % | 7.07 | % | 13.96 | % | 1.86 | % | ||||||||||
Ratios to average net assets: A,B | ||||||||||||||||||||
Net investment income | 1.76 | % | 1.71 | % | 2.31 | % | 2.53 | % | 2.65 | % | ||||||||||
Total expenses | 0.69 | % | 0.68 | % | 0.68 | % | 0.77 | % | 0.84 | % | ||||||||||
Expenses before offsets | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Net expenses | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Portfolio turnover | 8 | % | 17 | % | 31 | % | 26 | % | 22 | % | ||||||||||
Net assets, ending (in thousands) | $112,881 | $92,150 | $73,305 | $53,431 | $38,329 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
38 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT CONSERVATIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS C SHARES | September 30, 2015 (z) | September 30, 2014 | September 30, 2013 (z) | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $17.06 | $16.74 | $16.32 | $14.90 | $15.10 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .13 | .13 | .21 | .24 | .25 | |||||||||||||||
Net realized and unrealized gain (loss) | .06 | .81 | .74 | 1.62 | (.14 | ) | ||||||||||||||
Total from investment operations | .19 | .94 | .95 | 1.86 | .11 | |||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.16 | ) | (.13 | ) | (.23 | ) | (.23 | ) | (.31 | ) | ||||||||||
Net realized gain | (.69 | ) | (.49 | ) | (.30 | ) | (.21 | ) | — | |||||||||||
Total distributions | (.85 | ) | (.62 | ) | (.53 | ) | (.44 | ) | (.31 | ) | ||||||||||
Total increase (decrease) in net asset value | (.66 | ) | .32 | .42 | 1.42 | (.20 | ) | |||||||||||||
Net asset value, ending | $16.40 | $17.06 | $16.74 | $16.32 | $14.90 | |||||||||||||||
Total return* | 1.03 | % | 5.71 | % | 6.02 | % | 12.73 | % | .67 | % | ||||||||||
Ratios to average net assets: A,B | ||||||||||||||||||||
Net investment income | .76 | % | .73 | % | 1.30 | % | 1.45 | % | 1.47 | % | ||||||||||
Total expenses | 1.44 | % | 1.40 | % | 1.44 | % | 1.51 | % | 1.59 | % | ||||||||||
Expenses before offsets | 1.44 | % | 1.40 | % | 1.44 | % | 1.51 | % | 1.59 | % | ||||||||||
Net expenses | 1.44 | % | 1.40 | % | 1.44 | % | 1.51 | % | 1.59 | % | ||||||||||
Portfolio turnover | 8 | % | 17 | % | 31 | % | 26 | % | 22 | % | ||||||||||
Net assets, ending (in thousands) | $29,932 | $25,263 | $20,675 | $15,209 | $10,492 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
�� | ||||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 39
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS A SHARES | September 30, 2015(z) | September 30, 2014 | September 30, 2013 | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $19.80 | $19.04 | $16.89 | $14.51 | $14.87 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .23 | .20 | .20 | .21 | .15 | |||||||||||||||
Net realized and unrealized gain (loss) | (.04 | ) | 1.34 | 2.14 | 2.36 | (.29 | ) | |||||||||||||
Total from investment operations | .19 | 1.54 | 2.34 | 2.57 | (.14 | ) | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.21 | ) | (.19 | ) | (.19 | ) | (.19 | ) | (.20 | ) | ||||||||||
Net realized gain | (.94 | ) | (.59 | ) | — | — | — | |||||||||||||
In excess of net investment income | — | — | — | — | (.02 | ) | ||||||||||||||
Total distributions | (1.15 | ) | (.78 | ) | (.19 | ) | (.19 | ) | (.22 | ) | ||||||||||
Total increase (decrease) in net asset value | (.96 | ) | .76 | 2.15 | 2.38 | (.36 | ) | |||||||||||||
Net asset value, ending | $18.84 | $19.80 | $19.04 | $16.89 | $14.51 | |||||||||||||||
Total return* | .86 | % | 8.27 | % | 14.02 | % | 17.89 | % | (1.03 | %) | ||||||||||
Ratios to average net assets: A,B | ||||||||||||||||||||
Net investment income | 1.14 | % | 1.01 | % | 1.12 | % | 1.28 | % | .97 | % | ||||||||||
Total expenses | .67 | % | .64 | % | .69 | % | .72 | % | .73 | % | ||||||||||
Expenses before offsets | .67 | % | .64 | % | .69 | % | .72 | % | .73 | % | ||||||||||
Net expenses | .67 | % | .64 | % | .69 | % | .72 | % | .73 | % | ||||||||||
Portfolio turnover | 8 | % | 10 | % | 27 | % | 25 | % | 18 | % | ||||||||||
Net assets, ending (in thousands) | $189,372 | $172,244 | $143,215 | $117,550 | $95,930 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
40 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT MODERATE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS C SHARES | September 30, 2015(z) | September 30, 2014 | September 30, 2013 | September 30, 2012 | September 30, 2011 | |||||||||||||||
Net asset value, beginning | $19.19 | $18.55 | $16.52 | $14.26 | $14.65 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .07 | .09 | .09 | .09 | .04 | |||||||||||||||
Net realized and unrealized gain (loss) | (.02 | ) | 1.26 | 2.08 | 2.31 | (.29 | ) | |||||||||||||
Total from investment operations | .05 | 1.35 | 2.17 | 2.40 | (.25 | ) | ||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.14 | ) | (.12 | ) | (.14 | ) | (.14 | ) | (.13 | ) | ||||||||||
Net realized gain | (.94 | ) | (.59 | ) | — | — | — | |||||||||||||
In excess of net investment income | — | — | — | — | (.01 | ) | ||||||||||||||
Total distributions | (1.08 | ) | (.71 | ) | (.14 | ) | (.14 | ) | (.14 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.03 | ) | .64 | 2.03 | 2.26 | (.39 | ) | |||||||||||||
Net asset value, ending | $18.16 | $19.19 | $18.55 | $16.52 | $14.26 | |||||||||||||||
Total return* | .09 | % | 7.44 | % | 13.21 | % | 16.96 | % | (1.79 | %) | ||||||||||
Ratios to average net assets: A,B | ||||||||||||||||||||
Net investment income | .37 | % | .28 | % | .38 | % | .55 | % | .24 | % | ||||||||||
Total expenses | 1.42 | % | 1.38 | % | 1.42 | % | 1.45 | % | 1.48 | % | ||||||||||
Expenses before offsets | 1.42 | % | 1.38 | % | 1.42 | % | 1.45 | % | 1.48 | % | ||||||||||
Net expenses | 1.42 | % | 1.38 | % | 1.42 | % | 1.45 | % | 1.48 | % | ||||||||||
Portfolio turnover | 8 | % | 10 | % | 27 | % | 25 | % | 18 | % | ||||||||||
Net assets, ending (in thousands) | $40,560 | $37,326 | $31,242 | $24,869 | $20,842 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 41
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS A SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 | September 30, 2012 | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $20.68 | $19.38 | $16.15 | $13.47 | $13.94 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | .21 | .18 | .11 | .12 | .05 | |||||||||||||||
Net realized and unrealized gain (loss) | (.08 | ) | 1.70 | 3.23 | 2.68 | (.49 | ) | |||||||||||||
Total from investment operations | .13 | 1.88 | 3.34 | 2.80 | .44 | |||||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.21 | ) | (.18 | ) | (.11 | ) | (.12 | ) | (.03 | ) | ||||||||||
Net realized gain | (1.28 | ) | (.40 | ) | — | — | — | |||||||||||||
Total distributions | (1.49 | ) | (.58 | ) | (.11 | ) | (.12 | ) | (.03 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.36 | ) | 1.30 | 3.23 | 2.68 | (.47 | ) | |||||||||||||
Net asset value, ending | $19.32 | $20.68 | $19.38 | $16.15 | $13.47 | |||||||||||||||
Total return* | .41 | % | 9.85 | % | 20.82 | % | 20.88 | % | (3.19 | )% | ||||||||||
Ratios to average net assets: A,B | ||||||||||||||||||||
Net investment income | 1.04 | % | .88% | .62% | .80% | .33% | ||||||||||||||
Total expenses | .77% | .76% | .81% | .86% | .86% | |||||||||||||||
Expenses before offsets | .43% | .43% | .43% | .43% | .43% | |||||||||||||||
Net expenses | .43% | .43% | .43% | .43% | .43% | |||||||||||||||
Portfolio turnover | 10 | % | 15 | % | 31 | % | 24 | % | 16 | % | ||||||||||
Net assets, ending (in thousands) | $93,928 | $83,009 | $72,318 | $60,495 | $51,103 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
42 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT
CALVERT AGGRESSIVE ALLOCATION FUND
FINANCIAL HIGHLIGHTS
YEARS ENDED | ||||||||||||||||||||
CLASS C SHARES | September 30, 2015 (z) | September 30, 2014 (z) | September 30, 2013 | September 30, 2012 | September 30, 2011 (z) | |||||||||||||||
Net asset value, beginning | $18.71 | $17.71 | $14.89 | $12.57 | $13.18 | |||||||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss | (.01 | ) | (.06 | ) | (.05 | ) | (.07 | ) | (.14 | ) | ||||||||||
Net realized and unrealized gain (loss) | (.07 | ) | 1.58 | 2.93 | 2.50 | (.44 | ) | |||||||||||||
Total from investment operations | (.08 | ) | 1.52 | 2.88 | 2.43 | (.58 | ) | |||||||||||||
Distributions from: | ||||||||||||||||||||
Net investment income | (.14 | ) | (.12 | ) | (.06 | ) | (.11 | ) | (.03 | ) | ||||||||||
Net realized gain | (1.28 | ) | (.40 | ) | — | — | — | |||||||||||||
Total distributions | (1.42 | ) | (.52 | ) | (.06 | ) | (.11 | ) | (.03 | ) | ||||||||||
Total increase (decrease) in net asset value | (1.50 | ) | 1.00 | 2.82 | 2.32 | (.61 | ) | |||||||||||||
Net asset value, ending | $17.21 | $18.71 | $17.71 | $14.89 | $12.57 | |||||||||||||||
Total return* | (.72 | %) | 8.66 | % | 19.39 | % | 19.43 | % | (4.45 | %) | ||||||||||
Ratios to average net assets: A,B | ||||||||||||||||||||
Net investment loss | (.05 | %) | (.30 | %) | (.61 | %) | (.46 | %) | (.93 | %) | ||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.63 | % | 1.69 | % | 1.70 | % | ||||||||||
Expenses before offsets | 1.55 | % | 1.53 | % | 1.63 | % | 1.69 | % | 1.70 | % | ||||||||||
Net expenses | 1.55 | % | 1.53 | % | 1.63 | % | 1.69 | % | 1.70 | % | ||||||||||
Portfolio turnover | 10 | % | 15 | % | 31 | % | 24 | % | 16 | % | ||||||||||
Net assets, ending (in thousands) | $16,400 | $14,557 | $11,234 | $8,381 | $7,229 | |||||||||||||||
(z) | Per share figures are calculated using the Average Shares Method. | |||||||||||||||||||
* | Total return is not annualized for periods of less than one year and does not reflect deduction of any front-end or deferred sales charge. | |||||||||||||||||||
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. | |||||||||||||||||||
See notes to financial statements. |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT 43
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) may also be shown. Credits earned from offset arrangements may be used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a
44 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
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.
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED) 45
TRUSTEE AND OFFICER INFORMATION TABLE
Name & Age | Position With Fund | Position Start Date | Principal Occupation During Last 5 Years | # of Calvert Portfolios Overseen | Other Directorships During the Past Five Years |
INDEPENDENT TRUSTEES/DIRECTORS | |||||
REBECCA L. ADAMSON AGE: 66 | Trustee Director Director Director | 1989 CSIF 2000 IMPACT 2000 CRIS 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. | 18 | • Bay & Paul Foundation |
RICHARD L. BAIRD, JR. AGE: 67 | Trustee & Chair Director & Chair Director & Chair Director & Chair | 1982 CSIF 2000 CRIS 2005 CWVF 2005 IMPACT | Former President and CEO of Adagio Health Inc. (retired in 2014) 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. | 25 | • None |
JOHN G. GUFFEY, JR. AGE: 67 | Director Trustee Director Director | 1992 CWVF 1982 CSIF 2000 CRIS 2005 IMPACT | President of Aurora Press Inc., a privately held publisher of trade paperbacks. | 25 | • Ariel Funds (3) (asset management) (through 12/31/11) • Calvert Social Investment Foundation • Calvert Ventures, LLC |
MILES D. HARPER, III AGE: 52 | Director Trustee Director Director | 2000 IMPACT 2005 CSIF 2005 CRIS 2005 CWVF | Partner, Carr Riggs & Ingram (public accounting firm) since September 2013. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), 1999-2013. | 18 | • Bridgeway Funds (14) (asset management) |
JOY V. JONES AGE: 65 | Director Trustee Director Director | 2000 IMPACT 1990 CSIF 2000 CRIS 2005 CWVF | Attorney. | 18 | • Director, Conduit Street Restaurants SUD 2 Limited • Director, Palm Management Corporation |
TERRENCE J. MOLLNER, Ed.D. AGE: 70 | Director Trustee Director Director | 1992 CWVF 1982 CSIF 2000 CRIS 2005 IMPACT | Founder, Chairperson and President of Trusteeship Institute, Inc., an educational organization focused on the personal skills and organizations described in Dr. Mollner’s book, The Love Skill: We Are Mastering the 7 Layers of Human Maturity, particularly businesses that freely chose to give priority to the common good. Chairperson, Stakeholders Capital, Inc., an asset management firm and financial services provider. | 18 | • Calvert Social Investment Foundation • Ben & Jerry’s Homemade, Inc. (food products) |
SYDNEY A. MORRIS AGE: 66 | Trustee Director Director Director | 1982 CSIF 2000 CRIS 2005 CWVF 2005 IMPACT | The Rev. Dr. Morris is a Unitarian Universalist minister. | 18 | • None |
46 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
Name & Age | Position With Fund | Position Start Date | Principal Occupation During Last 5 Years | # of Calvert Portfolios Overseen | Other Directorships During the Past Five Years |
INTERESTED TRUSTEES/DIRECTORS | |||||
D. WAYNE SILBY, Esq.* AGE: 67 | Director Trustee Director Director | 1992 CWVF 1982 CSIF 2000 CRIS 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. | 25 | • ��Ameritas Mutual Holding Company (insurance) • Calvert Social Investment Foundation • ImpactAssets, Inc. (asset management) • Committee for the Future (charitable supporting organization) • Syntao.com China (HK) (sustainability consulting) • The ICE Organization (environmental services) |
JOHN H. STREUR* AGE: 55 | Director & President Trustee & President Director & President Director & President | 2015 CWVF 2015 CSIF 2015 CRIS 2015 IMPACT | President and Chief Executive Officer of Calvert Investments, Inc. (since January 2015) and Chief Compliance Officer for the Advisor and Calvert Investment Distributors, Inc. (since August 10, 2015) President and Director, Portfolio 21 Investments, Inc. (through October 2014) President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012) President and Director, The Managers Funds and Managers AMG Funds (through January 2012). | 38 | • Portfolio 21 Investments, Inc. (asset management)(through October 2014) • Managers Investment Group LLC (asset management)(through January 2012) • The Managers Funds (asset management) (through January 2012) • Managers AMG Funds (asset management) (through January 2012) • Calvert Social Investment Foundation |
calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED) 47
Name & Age | Position With Fund | Position Start Date | Principal Occupation During Last 5 Years |
OFFICERS | |||
SUSAN WALKER BENDER, Esq. AGE: 56 | Assistant Vice President & Assistant Secretary | 1988 CSIF 2000 CRIS 1992 CWVF 2000 Impact | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Investments, Inc. |
VICKI L. BENJAMIN AGE: 54 | Treasurer | 2015 | Executive Vice President and Chief Financial Officer of Calvert Investments, Inc. since March 2015. Prior to Calvert, Ms. Benjamin was a Senior Partner at KPMG. |
ROBERT D. BENSON, ESQ. AGE: 36 | Assistant Vice President & Assistant Secretary | 2014 | Assistant General Counsel (since 2014), Assistant Vice President & Assistant Secretary (since 2015) and Staff Attorney (prior to 2014), Calvert Investments, Inc. |
HOPE BROWN AGE: 42 | Chief Compliance Officer | 2014 | Chief Compliance Officer for the Calvert Funds (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). Assistant Vice President, Lead Manager, Risk Management and Divisional Compliance, T. Rowe Price Associates, Inc. (2005-2010). |
THOMAS DAILEY AGE: 51 | Vice President | 2004 | Vice President of the Advisor and lead portfolio manager for Calvert’s municipal funds. |
MATTHEW DUCH Age: 40 | Vice President | 2011 | Vice President of the Advisor (since 2011) and portfolio manager for Calvert’s taxable fixed-income funds. |
IVY WAFFORD DUKE, Esq. AGE: 47 | Vice President & Secretary | 1996 CSIF 2000 CRIS 1996 CWVF 2000 Impact | Vice President, Acting Secretary and Acting General Counsel (Deputy General Counsel prior to 2015) of Calvert Investments, Inc. Prior to August 10, 2015, Ms. Duke was also Chief Compliance Officer for the Advisor and Calvert Investment Distributors, Inc. |
ROBERT J. ENDERSON, CFA AGE: 57 | Assistant Treasurer | 2014 | Acting Chief Financial Officer (September 2014-March 2015) and Vice President, Corporate Finance, of Calvert Investments, Inc. |
PATRICK FAUL AGE: 50 | Vice President | 2010 | Vice President and Head of Credit Research for the Advisor. |
TRACI L. GOLDT AGE: 42 | Assistant Secretary | 2004 | SEC Filing and Administrative Operations Manager (since 2011) and Executive Assistant to General Counsel (prior to 2011), Calvert Investments, Inc. |
VISHAL KHANDUJA, CFA AGE: 37 | Vice President | 2014 | Vice President of Calvert Investment Management, Inc. (since 2014) and portfolio manager for Calvert’s taxable fixed-income funds since 2012. Previously worked at Columbia Management as Portfolio Manager - Global Rates and Currency Team (2009-2012). |
LANCELOT A. KING, Esq. AGE: 45 | Assistant Vice President & Assistant Secretary | 2002 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Investments, Inc. |
ANDREW K. NIEBLER, Esq. AGE: 48 | Assistant Vice President & Assistant Secretary | 2006 | Assistant Vice President, Assistant Secretary and Associate General Counsel of Calvert Investments, Inc. |
MARYBETH PILAT, CPA AGE: 47 | Fund Controller and Assistant Treasurer | 2015 | Director of Fund Administration, Calvert Investment Administrative Services, Inc. since August 2015. VP Expense & Budgeting, Global Fiduciary Platform, Legg Mason (May 2015 - July 2015). Vice President and Assistant Treasurer, Columbia Funds, Ameriprise, Columbia Management (2010 - April 2015). |
CATHERINE P. ROY AGE: 59 | Vice President | 2004 | Senior Vice President of the Advisor and Chief Investment Officer – Fixed Income. |
NATALIE A. TRUNOW AGE: 47 | Vice President | 2008 | Senior Vice President of the Advisor and Chief Investment Officer – Equities. |
* Mr. Streur is an interested person of the Funds since he is an Officer and Director of each Fund’s Advisor and certain affiliates. Mr. Silby is an interested person of the Funds since he is a Director of the parent company of each Fund’s Advisor. The address of Trustees/Directors 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. Additional information about the Fund’s Trustees/Directors 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. |
48 calvert.com CALVERT ASSET ALLOCATION FUNDS ANNUAL REPORT (UNAUDITED)
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To Open an Account
800-368-2748
Service for Existing Account
Shareholders: 800-368-2745
Brokers: 800-368-2746
Registered Mail
Calvert Investments
c/o BFDS,
P.O. Box 219544
Kansas City, MO 64121-9544
Overnight Mail
Calvert Investments
c/o BFDS,
330 West 9th Street
Kansas City, MO 64105
Web Site
calvert.com
Principal Underwriter
Calvert Investment Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
CALVERT ASSET ALLOCATION FUNDS | CALVERT’S FAMILY OF FUNDS | ||
Municipal Funds Tax-Free Responsible Impact Bond Fund Taxable Bond Funds Bond Portfolio Income Fund Short Duration Income Fund Long-Term Income Fund Ultra-Short Income Fund High Yield Bond Fund Green Bond Fund Unconstrained Bond Fund Balanced and Asset Allocation Funds Balanced Portfolio Conservative Allocation Fund Moderate Allocation Fund Aggressive Allocation Fund | Equity Funds Large Cap Core Portfolio Equity Portfolio Global Value Fund U.S. Large Cap Core Responsible Index Fund U.S. Large Cap Value Responsible Index Fund U.S. Large Cap Growth Responsible Index Fund U.S. Mid Cap Core Responsible Index Fund Developed Markets EX-U.S. Responsible Index Fund Capital Accumulation Fund International Equity Fund Small Cap Fund Global Energy Solutions Fund Global Water Fund International Opportunities Fund Global Equity Income Fund Emerging Markets Equity 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. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2748 or visit calvert.com. Printed on recycled paper using soy inks. | |||
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 9/30/15 | Fiscal Year ended 9/30/14 | |||
$ | % * | $ | %* | |
(a) Audit Fees | $177,210 | 0% | $143,147 | 0% |
(b) Audit-Related Fees | $0 | 0% | $0 | 0% |
(c) Tax Fees (tax return preparation and filing for the registrant) | $21,700 | 0% | $21,210 | 0% |
(d) All Other Fees | $0 | 0% | $0 | 0% |
Total | $198,910 | 0% | $164,357 | 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 instance.
(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 9/30/15 | Fiscal Year ended 9/30/14 | |||
$ | %* | $ | %* | |
$340,000 | 0%* | $28,146 | 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.
(a) | This Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | 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/ John H. Streur
John H. Streur
President -- Principal Executive Officer
Date: December 3, 2015
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/ John H. Streur
John H. Streur
President -- Principal Executive Officer
Date: December 3, 2015
/s/ Vicki L. Benjamin
Vicki L. Benjamin
Treasurer -- Principal Financial Officer
Date: December 3, 2015