UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-03334
CALVERT SOCIAL INVESTMENT FUND
(Exact Name of Registrant as Specified in Charter)
2050 M Street NW, Washington, DC 20036
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(202) 238-2200
(Registrant’s Telephone Number)
September 30
Date of Fiscal Year End
September 30, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 04/29/2005 | 04/29/2005 | 5.85% | 2.73% | 3.96% |
Class A with 5.25% Maximum Sales Charge | — | — | 0.29 | 1.62 | 3.40 |
Class C at NAV | 04/29/2005 | 04/29/2005 | 5.04 | 1.96 | 3.29 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.04 | 1.96 | 3.29 |
Class I at NAV | 05/20/2016 | 04/29/2005 | 6.11 | 3.00 | 4.18 |
Class R6 at NAV | 02/01/2022 | 04/29/2005 | 6.18 | 3.02 | 4.19 |
Bloomberg U.S. Aggregate Bond Index | — | — | 0.64% | 0.10% | 1.13% |
Conservative Allocation Blended Benchmark | — | — | 7.40 | 2.91 | 4.07 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.91% | 1.66% | 0.66% | 0.61% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $13,819 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $1,506,465 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2013 | $7,540,902 | N.A. |
Asset Allocation (% of total investments) |
Top 10 Holdings (% of net assets)1 | |
Calvert Bond Fund, Class R6 | 28.5% |
Calvert Core Bond Fund, Class I | 10.2 |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 5.9 |
Calvert Mortgage Access Fund, Class I | 5.3 |
Calvert US Large-Cap Value Responsible Index Fund, Class R6 | 4.5 |
U.S. Treasury Inflation-Protected Bond, 0.625%, 7/15/32 | 4.5 |
Calvert Ultra-Short Duration Income Fund, Class R6 | 4.1 |
Calvert Floating-Rate Advantage Fund, Class R6 | 3.9 |
Calvert Flexible Bond Fund, Class R6 | 3.1 |
Calvert Equity Fund, Class R6 | 3.0 |
Total | 73.0% |
1 | Excludes cash and cash equivalents. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 04/29/2005 | 04/29/2005 | 9.72% | 4.25% | 5.75% |
Class A with 5.25% Maximum Sales Charge | — | — | 3.99 | 3.12 | 5.19 |
Class C at NAV | 04/29/2005 | 04/29/2005 | 8.89 | 3.47 | 5.12 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 7.89 | 3.47 | 5.12 |
Class I at NAV | 05/20/2016 | 04/29/2005 | 10.05 | 4.51 | 5.98 |
Class R6 at NAV | 02/01/2022 | 04/29/2005 | 10.05 | 4.52 | 5.99 |
Russell 3000® Index | — | — | 20.46% | 9.14% | 11.27% |
Moderate Allocation Blended Benchmark | — | — | 13.37 | 4.98 | 6.35 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.90% | 1.65% | 0.65% | 0.59% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $16,480 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $1,788,409 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2013 | $8,945,934 | N.A. |
Asset Allocation (% of total investments) |
Top 10 Holdings (% of net assets)1 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 12.9% |
Calvert Bond Fund, Class R6 | 10.2 |
Calvert US Large-Cap Value Responsible Index Fund, Class R6 | 7.2 |
Calvert Focused Value Fund, Class R6 | 5.3 |
Calvert Core Bond Fund, Class I | 5.1 |
Calvert International Equity Fund, Class R6 | 5.0 |
Calvert US Large-Cap Growth Responsible Index Fund, Class R6 | 4.7 |
Calvert Equity Fund, Class R6 | 4.6 |
Calvert Emerging Markets Advancement Fund, Class I | 4.6 |
Calvert International Opportunities Fund, Class R6 | 4.4 |
Total | 64.0% |
1 | Excludes cash and cash equivalents. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 06/30/2005 | 06/30/2005 | 13.83% | 5.57% | 7.30% |
Class A with 5.25% Maximum Sales Charge | — | — | 7.83 | 4.44 | 6.73 |
Class C at NAV | 06/30/2005 | 06/30/2005 | 12.96 | 4.78 | 6.57 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 11.96 | 4.78 | 6.57 |
Class I at NAV | 05/20/2016 | 06/30/2005 | 14.13 | 5.83 | 7.53 |
Class R6 at NAV | 02/01/2022 | 06/30/2005 | 14.15 | 5.84 | 7.53 |
Russell 3000® Index | — | — | 20.46% | 9.14% | 11.27% |
Growth Allocation Blended Benchmark | — | — | 18.46 | 6.42 | 8.00 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.94% | 1.69% | 0.69% | 0.65% |
Net | 0.93 | 1.68 | 0.68 | 0.64 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $18,908 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $2,066,806 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2013 | $10,340,400 | N.A. |
Asset Allocation (% of total investments) |
Top 10 Holdings (% of net assets)1 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 17.3% |
Calvert US Large-Cap Value Responsible Index Fund, Class R6 | 10.1 |
Calvert International Responsible Index Fund, Class R6 | 7.2 |
Calvert International Equity Fund, Class R6 | 7.1 |
Calvert Emerging Markets Advancement Fund, Class I | 6.6 |
Calvert Focused Value Fund, Class R6 | 6.2 |
Calvert US Large-Cap Growth Responsible Index Fund, Class R6 | 6.1 |
Calvert International Opportunities Fund, Class R6 | 5.8 |
Calvert Equity Fund, Class R6 | 5.8 |
Calvert Core Bond Fund, Class I | 4.0 |
Total | 76.2% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI ACWI ex USA Investable Market Index is an unmanaged free-float-adjusted market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets, excluding the United States, with comprehensive coverage of securities in those markets. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Conservative Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 25% Russell 3000® Index, 10% MSCI ACWI ex USA Investable Market Index and 65% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. The Moderate Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 45% Russell 3000® Index, 20% MSCI ACWI ex USA Investable Market Index and 35% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. The Growth Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 60% Russell 3000® Index, 30% MSCI ACWI ex USA Investable Market Index and 10% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class I is linked to Class A and the performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Calvert Research and Management became the investment adviser to each Fund on December 31, 2016. Performance reflected prior to such date is that of each Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios for Calvert Growth Allocation Fund reflect a contractual expense reimbursement that continues through 1/31/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profiles subject to change due to active management. |
Additional Information |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the "Corporations") and Nasdaq's third party licensors on an “as is” |
basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of Investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. | |
Duration is a measure of the expected change in price of a bond - in percentage terms - given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 972.70 | $2.13 | 0.43% |
Class C | $1,000.00 | $ 969.20 | $5.83 | 1.18% |
Class I | $1,000.00 | $ 974.00 | $0.89 | 0.18% |
Class R6 | $1,000.00 | $ 974.30 | $0.54 | 0.11% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.91 | $2.18 | 0.43% |
Class C | $1,000.00 | $1,019.15 | $5.97 | 1.18% |
Class I | $1,000.00 | $1,024.17 | $0.91 | 0.18% |
Class R6 | $1,000.00 | $1,024.52 | $0.56 | 0.11% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 981.00 | $2.04 | 0.41% |
Class C | $1,000.00 | $ 977.60 | $5.75 | 1.16% |
Class I | $1,000.00 | $ 982.80 | $0.80 | 0.16% |
Class R6 | $1,000.00 | $ 983.10 | $0.50 | 0.10% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,023.01 | $2.08 | 0.41% |
Class C | $1,000.00 | $1,019.25 | $5.87 | 1.16% |
Class I | $1,000.00 | $1,024.27 | $0.81 | 0.16% |
Class R6 | $1,000.00 | $1,024.57 | $0.51 | 0.10% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 988.80 | $2.09 ** | 0.42% |
Class C | $1,000.00 | $ 984.90 | $5.82 ** | 1.17% |
Class I | $1,000.00 | $ 989.70 | $0.85 ** | 0.17% |
Class R6 | $1,000.00 | $ 990.10 | $0.65 ** | 0.13% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.96 | $2.13 ** | 0.42% |
Class C | $1,000.00 | $1,019.20 | $5.92 ** | 1.17% |
Class I | $1,000.00 | $1,024.22 | $0.86 ** | 0.17% |
Class R6 | $1,000.00 | $1,024.42 | $0.66 ** | 0.13% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Mutual Funds — 92.3%(1) |
Security | Shares | Value | |
Equity Funds — 32.7% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 141,010 | $ 4,235,938 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 208,723 | 5,468,557 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 388,911 | 14,514,146 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class R6 | 150,819 | 7,225,740 | |
Calvert US Large-Cap Value Responsible Index Fund, Class R6 | 403,786 | 10,930,482 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class R6 | 91,027 | 3,049,392 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 88,124 | 7,241,115 | |
Calvert Focused Value Fund, Class R6 | 621,162 | 6,068,754 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 601,854 | 6,096,781 | |
Calvert Emerging Markets Equity Fund, Class R6 | 119,834 | 1,835,864 | |
Calvert International Equity Fund, Class R6 | 310,383 | 6,614,264 | |
Calvert International Opportunities Fund, Class R6 | 321,668 | 4,873,269 | |
Calvert Mid-Cap Fund, Class I | 46,668 | 1,815,836 | |
$ 79,970,138 | |||
Income Funds — 59.6% | |||
Calvert Management Series: | |||
Calvert Flexible Bond Fund, Class R6 | 538,140 | $ 7,517,814 | |
Calvert Floating-Rate Advantage Fund, Class R6 | 1,057,560 | 9,433,439 | |
Calvert Social Investment Fund: | |||
Calvert Bond Fund, Class R6 | 5,050,952 | 69,602,117 | |
The Calvert Fund: | |||
Calvert Core Bond Fund, Class I | 1,637,796 | 24,878,115 | |
Calvert High Yield Bond Fund, Class R6 | 271,368 | 6,255,039 | |
Calvert Mortgage Access Fund, Class I | 1,371,151 | 12,929,949 | |
Calvert Short Duration Income Fund, Class R6 | 331,035 | 5,044,979 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 1,032,426 | 10,097,125 | |
$145,758,577 | |||
Total Mutual Funds (identified cost $235,222,017) | $225,728,715 |
U.S. Treasury Obligations — 5.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.625%, 7/15/32(2) | $ | 12,483 | $ 10,884,514 |
0.75%, 2/15/45(2)(3) | 3,785 | 2,755,009 | |
Total U.S. Treasury Obligations (identified cost $15,283,738) | $ 13,639,523 |
Short-Term Investments — 2.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(4) | 5,377,925 | $ 5,377,925 | |
Total Short-Term Investments (identified cost $5,377,925) | $ 5,377,925 | ||
Total Investments — 100.1% (identified cost $255,883,680) | $244,746,163 |
Other Assets, Less Liabilities — (0.1)% | $ (187,754) | ||
Net Assets — 100.0% | $ 244,558,409 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Affiliated fund. |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 76 | Long | 12/29/23 | $8,007,313 | $ (87,957) |
U.S. Long Treasury Bond | 84 | Long | 12/19/23 | 9,557,625 | (397,230) |
U.S. Ultra-Long Treasury Bond | 34 | Long | 12/19/23 | 4,035,375 | (221,082) |
$(706,269) |
Mutual Funds — 95.7%(1) |
Security | Shares | Value | |
Equity Funds — 61.9% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 361,649 | $ 10,863,944 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 593,529 | 15,550,458 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 1,255,660 | 46,861,230 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class R6 | 355,138 | 17,014,640 | |
Calvert US Large-Cap Value Responsible Index Fund, Class R6 | 971,099 | 26,287,657 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class R6 | 275,131 | 9,216,867 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 204,928 | 16,838,953 | |
Calvert Focused Value Fund, Class R6 | 1,971,632 | 19,262,843 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 1,656,637 | 16,781,735 | |
Calvert Emerging Markets Equity Fund, Class R6 | 586,856 | 8,990,637 | |
Calvert International Equity Fund, Class R6 | 858,687 | 18,298,615 | |
Calvert International Opportunities Fund, Class R6 | 1,066,806 | 16,162,113 | |
Calvert Mid-Cap Fund, Class I | 94,477 | 3,676,112 | |
$225,805,804 | |||
Income Funds — 33.8% | |||
Calvert Management Series: | |||
Calvert Flexible Bond Fund, Class R6 | 825,034 | $ 11,525,728 | |
Calvert Floating-Rate Advantage Fund, Class R6 | 1,561,320 | 13,926,978 | |
Calvert Social Investment Fund: | |||
Calvert Bond Fund, Class R6 | 2,692,757 | 37,106,184 | |
The Calvert Fund: | |||
Calvert Core Bond Fund, Class I | 1,214,138 | 18,442,760 | |
Calvert High Yield Bond Fund, Class R6 | 584,648 | 13,476,130 | |
Calvert Mortgage Access Fund, Class I | 1,191,256 | 11,233,543 | |
Calvert Short Duration Income Fund, Class R6 | 380,768 | 5,802,900 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 1,192,045 | 11,658,198 | |
$123,172,421 | |||
Total Mutual Funds (identified cost $338,183,325) | $348,978,225 |
U.S. Treasury Obligations — 3.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.625%, 7/15/32(2) | $ | 8,494 | $ 7,406,790 |
0.75%, 2/15/45(2)(3) | 5,965 | 4,341,312 | |
Total U.S. Treasury Obligations (identified cost $13,765,909) | $ 11,748,102 |
Short-Term Investments — 1.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(4) | 4,163,915 | $ 4,163,915 | |
Total Short-Term Investments (identified cost $4,163,915) | $ 4,163,915 | ||
Total Investments — 100.1% (identified cost $356,113,149) | $364,890,242 |
Other Assets, Less Liabilities — (0.1)% | $ (214,482) | ||
Net Assets — 100.0% | $ 364,675,760 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Affiliated fund. |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 13 | Long | 12/29/23 | $2,635,242 | $ (8,240) |
U.S. 5-Year Treasury Note | 68 | Long | 12/29/23 | 7,164,438 | (78,698) |
U.S. 10-Year Treasury Note | 18 | Long | 12/19/23 | 1,945,125 | (36,301) |
U.S. Long Treasury Bond | 54 | Long | 12/19/23 | 6,144,187 | (255,362) |
U.S. Ultra 10-Year Treasury Note | 39 | Long | 12/19/23 | 4,350,938 | (138,329) |
U.S. Ultra-Long Treasury Bond | 26 | Long | 12/19/23 | 3,085,875 | (169,063) |
$(685,993) |
Mutual Funds — 95.2%(1) |
Security | Shares | Value | |
Equity Funds — 84.8% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 400,388 | $ 12,027,643 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 839,943 | 22,006,520 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 1,420,054 | 52,996,400 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class R6 | 392,546 | 18,806,894 | |
Calvert US Large-Cap Value Responsible Index Fund, Class R6 | 1,150,852 | 31,153,564 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class R6 | 298,977 | 10,015,717 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 217,611 | 17,881,136 | |
Calvert Focused Value Fund, Class R6 | 1,949,781 | 19,049,362 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 1,988,136 | 20,139,813 | |
Calvert Emerging Markets Equity Fund, Class R6 | 780,925 | 11,963,777 | |
Calvert International Equity Fund, Class R6 | 1,018,736 | 21,709,260 | |
Calvert International Opportunities Fund, Class R6 | 1,182,699 | 17,917,886 | |
Calvert Mid-Cap Fund, Class I | 117,393 | 4,567,771 | |
$260,235,743 | |||
Income Funds — 10.4% | |||
Calvert Management Series: | |||
Calvert Floating-Rate Advantage Fund, Class R6 | 514,651 | $ 4,590,684 | |
The Calvert Fund: | |||
Calvert Core Bond Fund, Class I | 806,791 | 12,255,152 | |
Calvert High Yield Bond Fund, Class R6 | 381,733 | 8,798,956 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 655,810 | 6,413,818 | |
$ 32,058,610 | |||
Total Mutual Funds (identified cost $273,053,702) | $292,294,353 |
U.S. Treasury Obligations — 1.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.25%, 2/15/50(2)(3) | $ | 3,686 | $ 2,173,756 |
0.625%, 7/15/32(2) | 3,224 | 2,811,718 | |
Total U.S. Treasury Obligations (identified cost $6,661,459) | $ 4,985,474 |
Short-Term Investments — 3.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(4) | 9,732,678 | $ 9,732,678 | |
Total Short-Term Investments (identified cost $9,732,678) | $ 9,732,678 | ||
Total Investments — 100.0% (identified cost $289,447,839) | $307,012,505 |
Other Assets, Less Liabilities — (0.0)%(5) | $ (26,807) | ||
Net Assets — 100.0% | $ 306,985,698 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Affiliated fund. |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
(5) | Amount is less than (0.05)%. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 14 | Long | 12/29/23 | $1,475,031 | $ (16,202) |
U.S. 10-Year Treasury Note | 33 | Long | 12/19/23 | 3,566,063 | (66,551) |
U.S. Long Treasury Bond | 6 | Long | 12/19/23 | 682,688 | (28,374) |
U.S. Ultra 10-Year Treasury Note | (1) | Short | 12/19/23 | (111,563) | 3,539 |
U.S. Ultra-Long Treasury Bond | (5) | Short | 12/19/23 | (593,438) | 32,488 |
$(75,100) |
September 30, 2023 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Assets | |||
Investments in securities of unaffiliated issuers, at value (identified cost $15,283,738, $13,765,909 and $6,661,459, respectively) | $ 13,639,523 | $ 11,748,102 | $ 4,985,474 |
Investments in securities of affiliated issuers, at value (identified cost $240,599,942, $342,347,240 and $282,786,380, respectively) | 231,106,640 | 353,142,140 | 302,027,031 |
Receivable for variation margin on open futures contracts | 48,260 | 49,727 | 8,484 |
Receivable for capital shares sold | 40,750 | 101,783 | 137,664 |
Interest receivable | 20,162 | 16,966 | 5,449 |
Dividends receivable - affiliated | 648,657 | 584,475 | 192,385 |
Receivable from affiliate | 297 | 695 | 17,446 |
Trustees' deferred compensation plan | 123,232 | 180,940 | 97,017 |
Total assets | $ 245,627,521 | $365,824,828 | $307,470,950 |
Liabilities | |||
Payable for investments purchased | $ 638,442 | $ 560,787 | $ 149,422 |
Payable for capital shares redeemed | 127,674 | 178,313 | 25,424 |
Payable to affiliates: | |||
Distribution and service fees | 50,863 | 76,061 | 61,339 |
Sub-transfer agency fee | 7,954 | 15,969 | 17,294 |
Trustees' deferred compensation plan | 123,232 | 180,940 | 97,017 |
Accrued expenses | 120,947 | 136,998 | 134,756 |
Total liabilities | $ 1,069,112 | $ 1,149,068 | $ 485,252 |
Net Assets | $ 244,558,409 | $364,675,760 | $306,985,698 |
Sources of Net Assets | |||
Paid-in capital | $ 262,803,800 | $ 342,001,847 | $ 279,919,837 |
Distributable earnings (accumulated loss) | (18,245,391) | 22,673,913 | 27,065,861 |
Net Assets | $ 244,558,409 | $364,675,760 | $306,985,698 |
Class A Shares | |||
Net Assets | $ 174,111,006 | $ 264,282,300 | $ 226,573,492 |
Shares Outstanding | 10,812,682 | 13,480,430 | 9,894,520 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 16.10 | $ 19.60 | $ 22.90 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 16.99 | $ 20.69 | $ 24.17 |
Class C Shares | |||
Net Assets | $ 16,702,299 | $ 23,908,754 | $ 15,796,112 |
Shares Outstanding | 1,050,844 | 1,301,280 | 837,102 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 15.89 | $ 18.37 | $ 18.87 |
Class I Shares | |||
Net Assets | $ 53,435,201 | $ 75,426,242 | $ 64,084,301 |
Shares Outstanding | 3,316,067 | 3,843,263 | 2,780,945 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 16.11 | $ 19.63 | $ 23.04 |
September 30, 2023 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Class R6 Shares | |||
Net Assets | $ 309,903 | $ 1,058,464 | $ 531,793 |
Shares Outstanding | 19,231 | 53,961 | 23,079 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 16.11 | $ 19.62 | $ 23.04 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended September 30, 2023 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Investment Income | |||
Dividend income - affiliated issuers | $ 8,706,142 | $ 10,026,966 | $ 5,527,223 |
Interest income | 702,158 | 608,468 | 272,044 |
Total investment income | $ 9,408,300 | $10,635,434 | $ 5,799,267 |
Expenses | |||
Distribution and service fees: | |||
Class A | $ 461,347 | $ 685,796 | $ 559,354 |
Class C | 186,648 | 264,691 | 174,217 |
Trustees' fees and expenses | 17,785 | 25,582 | 20,773 |
Custodian fees | 3,060 | 3,227 | 2,792 |
Transfer agency fees and expenses | 263,616 | 394,505 | 404,869 |
Accounting fees | 29,294 | 41,695 | 34,241 |
Professional fees | 42,664 | 46,550 | 43,789 |
Registration fees | 68,872 | 66,441 | 75,009 |
Reports to shareholders | 25,042 | 24,065 | 36,273 |
Miscellaneous | 38,311 | 26,527 | 24,551 |
Total expenses | $ 1,136,639 | $ 1,579,079 | $ 1,375,868 |
Reimbursement of expenses by affiliates | $ (8,085) | $ (18,206) | $ (107,247) |
Net expenses | $ 1,128,554 | $ 1,560,873 | $ 1,268,621 |
Net investment income | $ 8,279,746 | $ 9,074,561 | $ 4,530,646 |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss): | |||
Investment securities - affiliated issuers | $ 2,964,248 | $ 17,165,620 | $ 10,677,375 |
Futures contracts | (4,078,159) | (3,466,981) | (640,465) |
Capital gains distributions received - affiliated issuers | 681,890 | 1,153,625 | 978,123 |
Net realized gain (loss) | $ (432,021) | $14,852,264 | $11,015,033 |
Change in unrealized appreciation (depreciation): | |||
Investment securities | $ (837,025) | $ (745,847) | $ (452,039) |
Investment securities - affiliated issuers | 6,277,170 | 9,140,305 | 20,894,370 |
Futures contracts | 2,020,260 | 1,473,561 | 376,010 |
Net change in unrealized appreciation (depreciation) | $ 7,460,405 | $ 9,868,019 | $20,818,341 |
Net realized and unrealized gain | $ 7,028,384 | $24,720,283 | $31,833,374 |
Net increase in net assets from operations | $15,308,130 | $33,794,844 | $36,364,020 |
Year Ended September 30, 2023 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 8,279,746 | $ 9,074,561 | $ 4,530,646 |
Net realized gain (loss) | (432,021) | 14,852,264 | 11,015,033 |
Net change in unrealized appreciation (depreciation) | 7,460,405 | 9,868,019 | 20,818,341 |
Net increase in net assets from operations | $ 15,308,130 | $ 33,794,844 | $ 36,364,020 |
Distributions to shareholders: | |||
Class A | $ (5,837,731) | $ (6,619,505) | $ (5,783,317) |
Class C | (451,419) | (488,603) | (441,259) |
Class I | (1,990,722) | (2,012,032) | (1,782,510) |
Class R6 | (6,440) | (7,689) | (3,789) |
Total distributions to shareholders | $ (8,286,312) | $ (9,127,829) | $ (8,010,875) |
Capital share transactions: | |||
Class A | $ (9,001,388) | $ (8,186,069) | $ 15,361,926 |
Class C | (2,927,576) | (4,143,027) | (2,004,674) |
Class I | (8,893,978) | 3,548,836 | 3,352,364 |
Class R6 | 216,019 | 1,092,688 | 419,823 |
Net increase (decrease) in net assets from capital share transactions | $ (20,606,923) | $ (7,687,572) | $ 17,129,439 |
Net increase (decrease) in net assets | $ (13,585,105) | $ 16,979,443 | $ 45,482,584 |
Net Assets | |||
At beginning of year | $ 258,143,514 | $ 347,696,317 | $ 261,503,114 |
At end of year | $244,558,409 | $364,675,760 | $306,985,698 |
Year Ended September 30, 2022 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 4,866,885 | $ 5,309,303 | $ 2,478,401 |
Net realized gain (loss) | (3,995,300) | 4,858,515 | 6,317,969 |
Net change in unrealized appreciation (depreciation) | (53,067,981) | (87,549,532) | (77,158,764) |
Net decrease in net assets from operations | $ (52,196,396) | $ (77,381,714) | $ (68,362,394) |
Distributions to shareholders: | |||
Class A | $ (9,758,419) | $ (16,291,226) | $ (8,025,825) |
Class C | (996,380) | (1,740,794) | (660,986) |
Class I | (3,412,788) | (4,913,257) | (2,187,032) |
Class R6(1) | (671) | (103) | — |
Total distributions to shareholders | $ (14,168,258) | $ (22,945,380) | $ (10,873,843) |
Capital share transactions: | |||
Class A | $ 11,541,722 | $ 13,877,102 | $ 23,855,554 |
Class C | (2,872,386) | (2,285,071) | 2,262,659 |
Class I | 14,696,124 | (2,915,481) | 16,840,736 |
Class R6(1) | 109,789 | 19,129 | 121,397 |
Net increase in net assets from capital share transactions | $ 23,475,249 | $ 8,695,679 | $ 43,080,346 |
Net decrease in net assets | $ (42,889,405) | $ (91,631,415) | $ (36,155,891) |
Net Assets | |||
At beginning of year | $ 301,032,919 | $ 439,327,732 | $ 297,659,005 |
At end of year | $258,143,514 | $347,696,317 | $261,503,114 |
(1) | For the period from the commencement of operations, February 1, 2022, to September 30, 2022. |
Conservative Allocation Fund — Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 15.71 | $ 19.63 | $ 18.34 | $ 17.57 | $ 17.25 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.52 | $ 0.29 | $ 0.25 | $ 0.30 | $ 0.37 |
Net realized and unrealized gain (loss) | 0.40 | (3.33) | 1.80 | 1.17 | 0.70 |
Total income (loss) from operations | $ 0.92 | $ (3.04) | $ 2.05 | $ 1.47 | $ 1.07 |
Less Distributions | |||||
From net investment income | $ (0.53) | $ (0.39) | $ (0.29) | $ (0.32) | $ (0.41) |
From net realized gain | — | (0.49) | (0.47) | (0.38) | (0.34) |
Total distributions | $ (0.53) | $ (0.88) | $ (0.76) | $ (0.70) | $ (0.75) |
Net asset value — End of year | $ 16.10 | $ 15.71 | $ 19.63 | $ 18.34 | $ 17.57 |
Total Return(2) | 5.85% | (16.18)% | 11.37% | 8.66% | 6.57% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $174,111 | $178,332 | $211,702 | $177,060 | $159,188 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.43% | 0.41% | 0.40% | 0.41% | 0.44% |
Net expenses(4) | 0.43% (5) | 0.41% (5) | 0.40% | 0.41% | 0.44% |
Net investment income | 3.15% | 1.62% | 1.28% | 1.70% | 2.18% |
Portfolio Turnover | 43% | 20% | 23% | 36% | 85% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Conservative Allocation Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 15.51 | $ 19.39 | $ 18.11 | $ 17.36 | $ 17.05 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.39 | $ 0.16 | $ 0.10 | $ 0.17 | $ 0.25 |
Net realized and unrealized gain (loss) | 0.39 | (3.30) | 1.80 | 1.15 | 0.68 |
Total income (loss) from operations | $ 0.78 | $ (3.14) | $ 1.90 | $ 1.32 | $ 0.93 |
Less Distributions | |||||
From net investment income | $ (0.40) | $ (0.25) | $ (0.15) | $ (0.19) | $ (0.28) |
From net realized gain | — | (0.49) | (0.47) | (0.38) | (0.34) |
Total distributions | $ (0.40) | $ (0.74) | $ (0.62) | $ (0.57) | $ (0.62) |
Net asset value — End of year | $ 15.89 | $ 15.51 | $ 19.39 | $ 18.11 | $ 17.36 |
Total Return(2) | 5.04% | (16.83)% | 10.62% | 7.81% | 5.77% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $16,702 | $19,096 | $27,062 | $29,017 | $29,828 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 1.18% | 1.16% | 1.15% | 1.15% | 1.19% |
Net expenses(4) | 1.18% (5) | 1.16% (5) | 1.15% | 1.15% | 1.19% |
Net investment income | 2.40% | 0.87% | 0.54% | 0.97% | 1.47% |
Portfolio Turnover | 43% | 20% | 23% | 36% | 85% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Conservative Allocation Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 15.72 | $ 19.65 | $ 18.35 | $ 17.58 | $ 17.25 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.57 | $ 0.34 | $ 0.29 | $ 0.34 | $ 0.42 |
Net realized and unrealized gain (loss) | 0.39 | (3.35) | 1.82 | 1.18 | 0.70 |
Total income (loss) from operations | $ 0.96 | $ (3.01) | $ 2.11 | $ 1.52 | $ 1.12 |
Less Distributions | |||||
From net investment income | $ (0.57) | $ (0.43) | $ (0.34) | $ (0.37) | $ (0.45) |
From net realized gain | — | (0.49) | (0.47) | (0.38) | (0.34) |
Total distributions | $ (0.57) | $ (0.92) | $ (0.81) | $ (0.75) | $ (0.79) |
Net asset value — End of year | $ 16.11 | $ 15.72 | $ 19.65 | $ 18.35 | $ 17.58 |
Total Return(2) | 6.11% | (16.00)% | 11.70% | 8.93% | 6.89% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $53,435 | $60,616 | $62,269 | $39,770 | $28,288 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.18% | 0.16% | 0.15% | 0.16% | 0.19% |
Net expenses(4) | 0.18% (5) | 0.16% (5) | 0.15% | 0.16% | 0.16% |
Net investment income | 3.40% | 1.85% | 1.51% | 1.93% | 2.44% |
Portfolio Turnover | 43% | 20% | 23% | 36% | 85% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Conservative Allocation Fund — Class R6 | ||
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Net asset value — Beginning of period | $ 15.72 | $ 18.86 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.57 | $ 0.24 |
Net realized and unrealized gain (loss) | 0.40 | (3.16) |
Total income (loss) from operations | $ 0.97 | $ (2.92) |
Less Distributions | ||
From net investment income | $ (0.58) | $ (0.22) |
Total distributions | $ (0.58) | $ (0.22) |
Net asset value — End of period | $16.11 | $ 15.72 |
Total Return(3) | 6.18% | (15.54)% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 310 | $ 100 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses(6) | 0.11% | 0.11% (7) |
Net expenses(6) | 0.11% (8) | 0.11% (7)(8) |
Net investment income | 3.44% | 2.15% (7) |
Portfolio Turnover | 43% | 20% (4)(9) |
(1) | For the period from the commencement of operations, February 1, 2022, to September 30, 2022. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
(8) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended September 30, 2023 and the period ended September 30, 2022). |
(9) | For the year ended September 30, 2022. |
Moderate Allocation Fund — Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 18.31 | $ 23.50 | $ 20.66 | $ 19.49 | $ 19.77 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.48 | $ 0.28 | $ 0.22 | $ 0.26 | $ 0.31 |
Net realized and unrealized gain (loss) | 1.29 | (4.26) | 3.54 | 1.73 | 0.43 |
Total income (loss) from operations | $ 1.77 | $ (3.98) | $ 3.76 | $ 1.99 | $ 0.74 |
Less Distributions | |||||
From net investment income | $ (0.48) | $ (0.44) | $ (0.25) | $ (0.26) | $ (0.40) |
From net realized gain | — | (0.77) | (0.67) | (0.56) | (0.62) |
Total distributions | $ (0.48) | $ (1.21) | $ (0.92) | $ (0.82) | $ (1.02) |
Net asset value — End of year | $ 19.60 | $ 18.31 | $ 23.50 | $ 20.66 | $ 19.49 |
Total Return(2) | 9.72% | (17.91)% | 18.53% | 10.44% | 4.44% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $264,282 | $254,243 | $312,287 | $259,726 | $247,372 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.41% | 0.40% | 0.39% | 0.41% | 0.42% |
Net expenses(4) | 0.41% (5) | 0.40% (5) | 0.39% | 0.41% | 0.42% |
Net investment income | 2.41% | 1.29% | 0.98% | 1.32% | 1.65% |
Portfolio Turnover | 41% | 18% | 26% | 35% | 89% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Moderate Allocation Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 17.19 | $ 22.14 | $ 19.56 | $ 18.52 | $ 18.84 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.32 | $ 0.11 | $ 0.05 | $ 0.11 | $ 0.19 |
Net realized and unrealized gain (loss) | 1.20 | (3.98) | 3.33 | 1.64 | 0.38 |
Total income (loss) from operations | $ 1.52 | $ (3.87) | $ 3.38 | $ 1.75 | $ 0.57 |
Less Distributions | |||||
From net investment income | $ (0.34) | $ (0.31) | $ (0.13) | $ (0.15) | $ (0.27) |
From net realized gain | — | (0.77) | (0.67) | (0.56) | (0.62) |
Total distributions | $ (0.34) | $ (1.08) | $ (0.80) | $ (0.71) | $ (0.89) |
Net asset value — End of year | $ 18.37 | $ 17.19 | $ 22.14 | $ 19.56 | $ 18.52 |
Total Return(2) | 8.89% | (18.50)% | 17.60% | 9.62% | 3.68% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $23,909 | $26,149 | $36,398 | $34,674 | $36,679 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 1.16% | 1.15% | 1.14% | 1.16% | 1.17% |
Net expenses(4) | 1.16% (5) | 1.15% (5) | 1.14% | 1.16% | 1.17% |
Net investment income | 1.70% | 0.54% | 0.24% | 0.59% | 1.04% |
Portfolio Turnover | 41% | 18% | 26% | 35% | 89% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Moderate Allocation Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 18.33 | $ 23.52 | $ 20.68 | $ 19.51 | $ 19.79 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.53 | $ 0.33 | $ 0.28 | $ 0.30 | $ 0.35 |
Net realized and unrealized gain (loss) | 1.31 | (4.25) | 3.54 | 1.74 | 0.44 |
Total income (loss) from operations | $ 1.84 | $ (3.92) | $ 3.82 | $ 2.04 | $ 0.79 |
Less Distributions | |||||
From net investment income | $ (0.54) | $ (0.50) | $ (0.31) | $ (0.31) | $ (0.45) |
From net realized gain | — | (0.77) | (0.67) | (0.56) | (0.62) |
Total distributions | $ (0.54) | $ (1.27) | $ (0.98) | $ (0.87) | $ (1.07) |
Net asset value — End of year | $ 19.63 | $ 18.33 | $ 23.52 | $ 20.68 | $ 19.51 |
Total Return(2) | 10.05% | (17.69)% | 18.80% | 10.71% | 4.69% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $75,426 | $67,288 | $90,643 | $58,212 | $42,444 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.16% | 0.15% | 0.14% | 0.16% | 0.17% |
Net expenses(4) | 0.16% (5) | 0.15% (5) | 0.14% | 0.16% | 0.14% |
Net investment income | 2.65% | 1.54% | 1.22% | 1.51% | 1.83% |
Portfolio Turnover | 41% | 18% | 26% | 35% | 89% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Moderate Allocation Fund — Class R6 | ||
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Net asset value — Beginning of period | $ 18.33 | $ 22.51 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.41 | $ 0.16 |
Net realized and unrealized gain (loss) | 1.43 | (4.18) |
Total income (loss) from operations | $ 1.84 | $ (4.02) |
Less Distributions | ||
From net investment income | $ (0.55) | $ (0.16) |
Total distributions | $ (0.55) | $ (0.16) |
Net asset value — End of period | $19.62 | $ 18.33 |
Total Return(3) | 10.05% | (17.90)% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 1,058 | $ 16 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses(6) | 0.10% | 0.09% (7) |
Net expenses(6) | 0.10% (8) | 0.09% (7)(8) |
Net investment income | 2.02% | 1.17% (7) |
Portfolio Turnover | 41% | 18% (4)(9) |
(1) | For the period from the commencement of operations, February 1, 2022, to September 30, 2022. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
(8) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended September 30, 2023 and the period ended September 30, 2022). |
(9) | For the year ended September 30, 2022. |
Growth Allocation Fund — Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 20.68 | $ 27.07 | $ 22.15 | $ 20.38 | $ 21.16 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.34 | $ 0.21 | $ 0.11 | $ 0.18 | $ 0.20 |
Net realized and unrealized gain (loss) | 2.50 | (5.65) | 5.63 | 2.35 | 0.15 |
Total income (loss) from operations | $ 2.84 | $ (5.44) | $ 5.74 | $ 2.53 | $ 0.35 |
Less Distributions | |||||
From net investment income | $ (0.29) | $ (0.49) | $ (0.12) | $ (0.20) | $ (0.36) |
From net realized gain | (0.33) | (0.46) | (0.70) | (0.56) | (0.77) |
Total distributions | $ (0.62) | $ (0.95) | $ (0.82) | $ (0.76) | $ (1.13) |
Net asset value — End of year | $ 22.90 | $ 20.68 | $ 27.07 | $ 22.15 | $ 20.38 |
Total Return(2) | 13.83% | (20.97)% | 26.32% | 12.52% | 2.56% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $226,573 | $190,453 | $224,233 | $157,659 | $136,474 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.46% | 0.44% | 0.44% | 0.47% | 0.52% |
Net expenses(4) | 0.43% (5) | 0.43% (5) | 0.43% | 0.43% | 0.43% |
Net investment income | 1.47% | 0.84% | 0.43% | 0.87% | 1.04% |
Portfolio Turnover | 37% | 9% | 17% | 43% | 92% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022, respectively). |
Growth Allocation Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 17.15 | $ 22.61 | $ 18.63 | $ 17.26 | $ 18.10 |
Income (Loss) From Operations | |||||
Net investment income (loss)(1) | $ 0.15 | $ 0.02 | $ (0.06) | $ 0.02 | $ 0.08 |
Net realized and unrealized gain (loss) | 2.06 | (4.69) | 4.72 | 1.98 | 0.08 |
Total income (loss) from operations | $ 2.21 | $ (4.67) | $ 4.66 | $ 2.00 | $ 0.16 |
Less Distributions | |||||
From net investment income | $ (0.16) | $ (0.33) | $ — | $ (0.07) | $ (0.23) |
From net realized gain | (0.33) | (0.46) | (0.68) | (0.56) | (0.77) |
Total distributions | $ (0.49) | $ (0.79) | $ (0.68) | $ (0.63) | $ (1.00) |
Net asset value — End of year | $ 18.87 | $ 17.15 | $ 22.61 | $ 18.63 | $ 17.26 |
Total Return(2) | 12.96% | (21.54)% | 25.38% | 11.67% | 1.80% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $15,796 | $16,129 | $18,612 | $16,419 | $15,189 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 1.21% | 1.19% | 1.19% | 1.22% | 1.27% |
Net expenses(4) | 1.18% (5) | 1.18% (5) | 1.18% | 1.18% | 1.18% |
Net investment income (loss) | 0.76% | 0.11% | (0.28)% | 0.13% | 0.48% |
Portfolio Turnover | 37% | 9% | 17% | 43% | 92% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022, respectively). |
Growth Allocation Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 20.80 | $ 27.23 | $ 22.27 | $ 20.48 | $ 21.26 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.40 | $ 0.25 | $ 0.14 | $ 0.21 | $ 0.24 |
Net realized and unrealized gain (loss) | 2.52 | (5.66) | 5.69 | 2.39 | 0.16 |
Total income (loss) from operations | $ 2.92 | $ (5.41) | $ 5.83 | $ 2.60 | $ 0.40 |
Less Distributions | |||||
From net investment income | $ (0.35) | $ (0.56) | $ (0.17) | $ (0.25) | $ (0.41) |
From net realized gain | (0.33) | (0.46) | (0.70) | (0.56) | (0.77) |
Total distributions | $ (0.68) | $ (1.02) | $ (0.87) | $ (0.81) | $ (1.18) |
Net asset value — End of year | $ 23.04 | $ 20.80 | $ 27.23 | $ 22.27 | $ 20.48 |
Total Return(2) | 14.13% | (20.81)% | 26.63% | 12.81% | 2.84% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $64,084 | $54,815 | $54,814 | $17,706 | $11,864 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses(4) | 0.21% | 0.19% | 0.19% | 0.22% | 0.27% |
Net expenses(4) | 0.18% (5) | 0.18% (5) | 0.18% | 0.18% | 0.15% |
Net investment income | 1.73% | 1.01% | 0.52% | 1.03% | 1.23% |
Portfolio Turnover | 37% | 9% | 17% | 43% | 92% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Amounts do not include the expenses of the Underlying Funds. |
(5) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022, respectively). |
Growth Allocation Fund — Class R6 | ||
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Net asset value — Beginning of period | $ 20.81 | $ 26.49 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.26 | $ 0.05 |
Net realized and unrealized gain (loss) | 2.66 | (5.73) |
Total income (loss) from operations | $ 2.92 | $ (5.68) |
Less Distributions | ||
From net investment income | $ (0.36) | $ — |
From net realized gain | (0.33) | — |
Total distributions | $ (0.69) | $ — |
Net asset value — End of period | $23.04 | $ 20.81 |
Total Return(3) | 14.15% | (21.44)% (4) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 532 | $ 107 |
Ratios (as a percentage of average daily net assets):(5) | ||
Total expenses(6) | 0.17% | 0.15% (7) |
Net expenses(6) | 0.14% (8) | 0.14% (7)(8) |
Net investment income | 1.12% | 0.33% (7) |
Portfolio Turnover | 37% | 9% (4)(9) |
(1) | For the period from the commencement of operations, February 1, 2022, to September 30, 2022. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
(8) | Includes a reimbursement of expenses by the investment adviser due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the year ended September 30, 2023 and the period ended September 30, 2022, respectively). |
(9) | For the year ended September 30, 2022. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 225,728,715 | $ — | $ — | $ 225,728,715 |
U.S. Treasury Obligations | — | 13,639,523 | — | 13,639,523 |
Short-Term Investments | 5,377,925 | — | — | 5,377,925 |
Total Investments | $231,106,640 | $13,639,523 | $ — | $244,746,163 |
Liability Description | ||||
Futures Contracts | $ (706,269) | $ — | $ — | $ (706,269) |
Total | $ (706,269) | $ — | $ — | $ (706,269) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 348,978,225 | $ — | $ — | $ 348,978,225 |
U.S. Treasury Obligations | — | 11,748,102 | — | 11,748,102 |
Short-Term Investments | 4,163,915 | — | — | 4,163,915 |
Total Investments | $353,142,140 | $11,748,102 | $ — | $364,890,242 |
Liability Description | ||||
Futures Contracts | $ (685,993) | $ — | $ — | $ (685,993) |
Total | $ (685,993) | $ — | $ — | $ (685,993) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 292,294,353 | $ — | $ — | $ 292,294,353 |
U.S. Treasury Obligations | — | 4,985,474 | — | 4,985,474 |
Short-Term Investments | 9,732,678 | — | — | 9,732,678 |
Total Investments | $302,027,031 | $4,985,474 | $ — | $307,012,505 |
Futures Contracts | $ 36,027 | $ — | $ — | $ 36,027 |
Total | $302,063,058 | $4,985,474 | $ — | $307,048,532 |
Liability Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $ (111,127) | $ — | $ — | $ (111,127) |
Total | $ (111,127) | $ — | $ — | $ (111,127) |
Conservative | Moderate | Growth | |
Class A | $ 498 | $1,897 | $ 844 |
Class C | 1,711 | 1,292 | 3,037 |
Conservative | Moderate | Growth | |
Purchases | |||
U.S. Government and Agency Securities | $ 11,041,529 | $ 7,513,637 | $ 2,852,279 |
Non-U.S. Government and Agency Securities | 99,196,668 | 140,757,354 | 130,460,475 |
Total Purchases | $110,238,197 | $148,270,991 | $133,312,754 |
Sales | |||
Non-U.S. Government and Agency Securities | $ 128,463,851 | $ 147,889,289 | $ 108,143,537 |
Conservative | Moderate | Growth | ||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | ||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |
Ordinary income | $8,286,312 | $6,838,990 | $9,127,829 | $ 9,236,739 | $3,777,345 | $6,878,144 |
Long-term capital gains | $ — | $7,329,268 | $ — | $13,708,641 | $4,233,530 | $3,995,699 |
Conservative | Moderate | Growth | |
Change in: | |||
Paid-in capital | $ 80,042 | $ 808,078 | $ 460,426 |
Distributable earnings (accumulated loss) | $(80,042) | $(808,078) | $(460,426) |
Conservative | Moderate | Growth | |
Undistributed ordinary income | $ — | $ — | $ 706,728 |
Undistributed long-term capital gains | — | 15,261,774 | 9,651,977 |
Deferred capital losses | (6,432,012) | — | — |
Net unrealized appreciation (depreciation) | (11,813,379) | 7,412,139 | 16,707,156 |
Distributable earnings (accumulated loss) | $(18,245,391) | $22,673,913 | $27,065,861 |
Conservative | Moderate | Growth | |
Aggregate cost | $256,559,541 | $357,478,103 | $290,305,349 |
Gross unrealized appreciation | $ 7,078,095 | $ 24,008,439 | $ 25,440,481 |
Gross unrealized depreciation | (18,891,473) | (16,596,300) | (8,733,325) |
Net unrealized appreciation (depreciation) | $ (11,813,378) | $ 7,412,139 | $ 16,707,156 |
Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Accumulated loss | $ — | $(706,269) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ — | $(685,993) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $36,027 (1) | $(111,127) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statements of Operations Caption | Conservative | Moderate | Growth |
Net realized gain (loss): | |||
Futures contracts | $ (4,078,159) | $ (3,466,981) | $ (640,465) |
Total | $(4,078,159) | $(3,466,981) | $(640,465) |
Change in unrealized appreciation (depreciation): | |||
Futures contracts | $ 2,020,260 | $ 1,473,561 | $ 376,010 |
Total | $ 2,020,260 | $ 1,473,561 | $ 376,010 |
Conservative | Moderate | Growth | |
Futures contracts — long | $31,127,000 | $32,643,000 | $6,707,000 |
Futures contracts — short | $ — | $ — | $ 787,000 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
Bond Fund, Class R6 | $104,381,601 | $ 3,635,462 | $(37,870,606) | $ (3,597,216) | $ 3,052,876 | $ 69,602,117 | $ 3,644,953 | $ — | 5,050,952 |
Core Bond Fund, Class I | — | 26,862,130 | (604,267) | (34,597) | (1,345,151) | 24,878,115 | 474,408 | — | 1,637,796 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
Emerging Markets Advancement Fund, Class I | $ 6,444,207 | $ 343,610 | $ (894,747) | $ (219,908) | $ 423,619 | $ 6,096,781 | $ 343,610 | $ — | 601,854 |
Emerging Markets Equity Fund, Class R6 | 2,466,443 | 179,862 | (1,062,494) | 3,900 | 248,153 | 1,835,864 | 25,519 | — | 119,834 |
Equity Fund, Class R6 | 9,259,927 | 299,754 | (3,470,532) | (157,624) | 1,309,590 | 7,241,115 | 27,184 | 272,569 | 88,124 |
Flexible Bond Fund, Class R6 | 13,728,033 | 941,049 | (7,075,463) | (408,805) | 333,000 | 7,517,814 | 634,371 | 227,211 | 538,140 |
Floating-Rate Advantage Fund, Class R6 | 12,234,268 | 974,783 | (4,224,788) | (510,820) | 959,996 | 9,433,439 | 977,123 | — | 1,057,560 |
Focused Value Fund, Class R6 | — | 6,486,046 | (288,997) | (2,285) | (126,010) | 6,068,754 | 8,766 | — | 621,162 |
High Yield Bond Fund, Class R6 | 9,291,802 | 401,044 | (3,758,388) | (332,231) | 652,812 | 6,255,039 | 402,190 | — | 271,368 |
International Equity Fund, Class R6 | 7,998,519 | 231,502 | (3,081,209) | (267,748) | 1,733,200 | 6,614,264 | 106,419 | 125,083 | 310,383 |
International Opportunities Fund, Class R6 | 4,883,732 | 70,032 | (831,499) | 1,240 | 749,764 | 4,873,269 | 44,308 | — | 321,668 |
International Responsible Index Fund, Class R6 | 4,255,356 | 852,494 | (604,267) | 23,437 | 941,537 | 5,468,557 | 97,766 | — | 208,723 |
Liquidity Fund(1) | 10,018,977 | 42,797,784 | (47,438,836) | — | — | 5,377,925 | 231,578 | — | 5,377,925 |
Mid-Cap Fund, Class I | 1,907,664 | 4,402 | (286,936) | (69,907) | 260,613 | 1,815,836 | 4,402 | — | 46,668 |
Mortgage Access Fund, Class I | — | 13,315,500 | — | — | (385,551) | 12,929,949 | 179,220 | — | 1,371,151 |
Short Duration Income Fund, Class R6 | 8,413,323 | 429,515 | (3,900,334) | (306,933) | 409,408 | 5,044,979 | 295,373 | — | 331,035 |
Small-Cap Fund, Class R6 | 4,412,330 | 70,313 | (621,760) | (64,507) | 439,562 | 4,235,938 | 13,286 | 57,027 | 141,010 |
Ultra-Short Duration Income Fund, Class R6 | 16,798,908 | 599,581 | (7,441,644) | (141,929) | 282,209 | 10,097,125 | 600,925 | — | 1,032,426 |
US Large-Cap Core Responsible Index Fund, Class R6 | 4,264,574 | 10,724,140 | (1,048,705) | 33,330 | 540,807 | 14,514,146 | 56,150 | — | 388,911 |
US Large-Cap Growth Responsible Index Fund, Class I | 8,486,260 | — | (8,545,697) | 2,703,188 | (2,643,751) | — | — | — | — |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
US Large-Cap Growth Responsible Index Fund, Class R6 | $ — | $ 8,820,132 | $ (3,730,692) | $ 765,355 | $ 1,370,945 | $ 7,225,740 | $ 58,798 | $ — | 150,819 |
US Large-Cap Value Responsible Index Fund, Class I | 22,820,997 | — | (25,117,116) | 5,139,671 | (2,843,552) | — | — | — | — |
US Large-Cap Value Responsible Index Fund, Class R6 | — | 20,150,095 | (9,114,832) | 80,960 | (185,741) | 10,930,482 | 434,979 | — | 403,786 |
US Mid-Cap Core Responsible Index Fund, Class I | 3,706,538 | — | (3,914,750) | 248,649 | (40,437) | — | — | — | — |
US Mid-Cap Core Responsible Index Fund, Class R6 | — | 3,805,220 | (974,128) | 79,028 | 139,272 | 3,049,392 | 44,814 | — | 91,027 |
Total | $ 2,964,248 | $ 6,277,170 | $231,106,640 | $ 8,706,142 | $ 681,890 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class. |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
Bond Fund, Class R6 | $ 55,025,979 | $ 1,879,101 | $(19,702,801) | $ (1,397,949) | $ 1,301,854 | $ 37,106,184 | $ 1,884,106 | $ — | 2,692,757 |
Core Bond Fund, Class I | — | 19,531,218 | — | — | (1,088,458) | 18,442,760 | 404,633 | — | 1,214,138 |
Emerging Markets Advancement Fund, Class I | 15,642,155 | 854,205 | (190,124) | (37,844) | 513,343 | 16,781,735 | 854,205 | — | 1,656,637 |
Emerging Markets Equity Fund, Class R6 | 9,305,008 | 452,158 | (1,520,817) | (234,461) | 988,749 | 8,990,637 | 93,931 | — | 586,856 |
Equity Fund, Class R6 | 15,270,900 | 839,188 | (1,102,614) | (48,379) | 1,879,858 | 16,838,953 | 46,865 | 469,918 | 204,928 |
Flexible Bond Fund, Class R6 | 15,074,282 | 1,524,273 | (4,961,684) | (225,949) | 114,806 | 11,525,728 | 744,754 | 248,861 | 825,034 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
Floating-Rate Advantage Fund, Class R6 | $ 14,925,433 | $ 1,214,587 | $ (2,752,021) | $ (345,108) | $ 884,087 | $ 13,926,978 | $ 1,217,430 | $ — | 1,561,320 |
Focused Value Fund, Class R6 | — | 19,778,532 | — | — | (515,689) | 19,262,843 | 20,346 | — | 1,971,632 |
High Yield Bond Fund, Class R6 | 14,588,072 | 754,385 | (2,313,032) | (215,055) | 661,760 | 13,476,130 | 756,174 | — | 584,648 |
International Equity Fund, Class R6 | 18,574,803 | 654,651 | (4,220,126) | 294,866 | 2,994,421 | 18,298,615 | 251,534 | 295,648 | 858,687 |
International Opportunities Fund, Class R6 | 15,220,862 | 620,440 | (1,976,678) | 10,955 | 2,286,534 | 16,162,113 | 139,205 | — | 1,066,806 |
International Responsible Index Fund, Class R6 | 13,404,451 | 527,472 | (1,406,925) | (113,604) | 3,139,064 | 15,550,458 | 312,535 | — | 593,529 |
Liquidity Fund(1) | 14,090,670 | 43,201,885 | (53,128,640) | — | — | 4,163,915 | 535,507 | — | 4,163,915 |
Mid-Cap Fund, Class I | 3,398,641 | 82,335 | (152,052) | (22,555) | 369,743 | 3,676,112 | 8,470 | — | 94,477 |
Mortgage Access Fund, Class I | — | 11,568,510 | — | — | (334,967) | 11,233,543 | 155,706 | — | 1,191,256 |
Short Duration Income Fund, Class R6 | 9,449,445 | 753,893 | (4,527,370) | (327,421) | 454,353 | 5,802,900 | 336,458 | — | 380,768 |
Small-Cap Fund, Class R6 | 10,139,265 | 361,841 | (474,457) | (36,146) | 873,441 | 10,863,944 | 32,431 | 139,198 | 361,649 |
Ultra-Short Duration Income Fund, Class R6 | 23,073,077 | 785,996 | (12,394,215) | (226,597) | 419,937 | 11,658,198 | 787,848 | — | 1,192,045 |
US Large-Cap Core Responsible Index Fund, Class R6 | 28,412,404 | 13,436,097 | (190,065) | 2,342 | 5,200,452 | 46,861,230 | 391,632 | — | 1,255,660 |
US Large-Cap Growth Responsible Index Fund, Class I | 14,971,082 | 895,569 | (15,956,090) | 7,232,038 | (7,142,599) | — | — | — | — |
US Large-Cap Growth Responsible Index Fund, Class R6 | — | 16,065,875 | (2,853,103) | 573,668 | 3,228,200 | 17,014,640 | 109,785 | — | 355,138 |
US Large-Cap Value Responsible Index Fund, Class I | 44,015,878 | — | (48,501,687) | 11,534,150 | (7,048,341) | — | — | — | — |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
US Large-Cap Value Responsible Index Fund, Class R6 | $ — | $38,331,555 | $(11,715,337) | $ 118,145 | $ (446,706) | $ 26,287,657 | $ 827,460 | $ — | 971,099 |
US Mid-Cap Core Responsible Index Fund, Class I | 9,312,497 | — | (9,836,990) | 538,979 | (14,486) | — | — | — | — |
US Mid-Cap Core Responsible Index Fund, Class R6 | — | 9,845,473 | (1,141,100) | 91,545 | 420,949 | 9,216,867 | 115,951 | — | 275,131 |
Total | $17,165,620 | $ 9,140,305 | $353,142,140 | $10,026,966 | $1,153,625 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class. |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
Core Bond Fund, Class I | $ — | $12,871,960 | $ — | $ — | $ (616,808) | $ 12,255,152 | $ 192,461 | $ — | 806,791 |
Emerging Markets Advancement Fund, Class I | 16,991,994 | 2,669,462 | — | — | 478,357 | 20,139,813 | 951,278 | — | 1,988,136 |
Emerging Markets Equity Fund, Class R6 | 12,789,649 | 940,440 | (2,833,319) | (801,896) | 1,868,903 | 11,963,777 | 132,054 | — | 780,925 |
Equity Fund, Class R6 | 14,695,851 | 1,585,559 | (182,618) | (17,267) | 1,799,611 | 17,881,136 | 46,210 | 463,349 | 217,611 |
Floating-Rate Advantage Fund, Class R6 | 4,244,335 | 379,479 | (195,128) | (23,276) | 185,274 | 4,590,684 | 380,282 | — | 514,651 |
Focused Value Fund, Class R6 | — | 19,528,774 | — | — | (479,412) | 19,049,362 | 22,165 | — | 1,949,781 |
High Yield Bond Fund, Class R6 | 9,602,819 | 507,363 | (1,609,988) | (125,834) | 424,596 | 8,798,956 | 508,541 | — | 381,733 |
International Equity Fund, Class R6 | 22,270,204 | 1,368,305 | (6,027,614) | (645,119) | 4,743,484 | 21,709,260 | 308,645 | 362,775 | 1,018,736 |
International Opportunities Fund, Class R6 | 18,471,177 | 897,585 | (4,423,741) | (1,024,514) | 3,997,379 | 17,917,886 | 172,826 | — | 1,182,699 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares, end of period |
International Responsible Index Fund, Class R6 | $ 17,038,891 | $ 1,163,230 | $ (60,873) | $ (7,366) | $ 3,872,638 | $ 22,006,520 | $ 406,876 | $ — | 839,943 |
Liquidity Fund(1) | 20,645,053 | 20,895,937 | (31,808,312) | — | — | 9,732,678 | 668,806 | — | 9,732,678 |
Mid-Cap Fund, Class I | 5,072,974 | 236,041 | (1,326,903) | (226,149) | 811,807 | 4,567,771 | 13,038 | — | 117,393 |
Small-Cap Fund, Class R6 | 10,878,529 | 522,213 | (265,749) | (35,048) | 927,698 | 12,027,643 | 35,414 | 151,999 | 400,388 |
Ultra-Short Duration Income Fund, Class R6 | — | 6,400,867 | — | — | 12,951 | 6,413,818 | 82,267 | — | 655,810 |
US Large-Cap Core Responsible Index Fund, Class R6 | 35,255,100 | 10,826,675 | — | — | 6,914,625 | 52,996,400 | 497,951 | — | 1,420,054 |
US Large-Cap Growth Responsible Index Fund, Class I | 15,020,196 | 1,310,143 | (16,412,984) | 5,126,915 | (5,044,270) | — | — | — | — |
US Large-Cap Growth Responsible Index Fund, Class R6 | — | 17,073,768 | (2,274,690) | 439,570 | 3,568,246 | 18,806,894 | 112,929 | — | 392,546 |
US Large-Cap Value Responsible Index Fund, Class I | 44,611,521 | — | (49,152,631) | 7,682,378 | (3,141,268) | — | — | — | — |
US Large-Cap Value Responsible Index Fund, Class R6 | — | 39,325,267 | (7,698,263) | 55,952 | (529,392) | 31,153,564 | 848,912 | — | 1,150,852 |
US Mid-Cap Core Responsible Index Fund, Class I | 11,462,431 | 195,128 | (12,298,594) | (1,481) | 642,516 | — | — | — | — |
US Mid-Cap Core Responsible Index Fund, Class R6 | — | 12,658,216 | (3,380,442) | 280,510 | 457,435 | 10,015,717 | 146,568 | — | 298,977 |
Total | $10,677,375 | $20,894,370 | $302,027,031 | $ 5,527,223 | $ 978,123 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class. |
Year Ended September 30, 2023 | Year Ended September 30, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,151,240 | $ 19,097,240 | 1,905,496 | $ 35,207,707 | |
Reinvestment of distributions | 345,065 | 5,640,826 | 502,853 | 9,398,557 | |
Shares redeemed | (2,035,736) | (33,739,454) | (1,839,716) | (33,064,542) | |
Net increase (decrease) | (539,431) | $ (9,001,388) | 568,633 | $ 11,541,722 | |
Class C | |||||
Shares sold | 113,146 | $ 1,857,003 | 174,611 | $ 3,209,237 | |
Reinvestment of distributions | 27,321 | 440,383 | 51,728 | 968,803 | |
Shares redeemed | (320,865) | (5,224,962) | (391,014) | (7,050,426) | |
Net decrease | (180,398) | $ (2,927,576) | (164,675) | $ (2,872,386) | |
Class I | |||||
Shares sold | 514,651 | $ 8,598,070 | 2,362,038 | $ 44,148,317 | |
Reinvestment of distributions | 121,422 | 1,987,015 | 183,400 | 3,411,767 | |
Shares redeemed | (1,175,912) | (19,479,063) | (1,858,955) | (32,863,960) | |
Net increase (decrease) | (539,839) | $ (8,893,978) | 686,483 | $ 14,696,124 | |
Class R6 | |||||
Shares sold | 13,727 | $ 230,508 | 6,322 | $ 109,118 | |
Reinvestment of distributions | 395 | 6,440 | 42 | 671 | |
Shares redeemed | (1,255) | (20,929) | — | — | |
Net increase | 12,867 | $ 216,019 | 6,364 | $ 109,789 |
(1) | For Class R6, for the period from the commencement of operations, February 1, 2022, to September 30, 2022. |
Year Ended September 30, 2023 | Year Ended September 30, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,164,851 | $ 23,273,551 | 1,710,375 | $ 37,252,235 | |
Reinvestment of distributions | 326,792 | 6,391,790 | 685,754 | 15,681,343 | |
Shares redeemed | (1,896,265) | (37,851,410) | (1,802,191) | (39,056,476) | |
Net increase (decrease) | (404,622) | $ (8,186,069) | 593,938 | $ 13,877,102 |
Year Ended September 30, 2023 | Year Ended September 30, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Shares sold | 129,400 | $ 2,423,194 | 196,966 | $ 3,989,402 | |
Reinvestment of distributions | 26,615 | 485,740 | 79,489 | 1,732,381 | |
Shares redeemed | (376,192) | (7,051,961) | (399,061) | (8,006,854) | |
Net decrease | (220,177) | $ (4,143,027) | (122,606) | $ (2,285,071) | |
Class I | |||||
Shares sold | 1,136,505 | $ 22,787,881 | 839,980 | $ 18,611,883 | |
Reinvestment of distributions | 101,040 | 1,980,547 | 211,542 | 4,831,140 | |
Shares redeemed | (1,065,171) | (21,219,592) | (1,234,313) | (26,358,504) | |
Net increase (decrease) | 172,374 | $ 3,548,836 | (182,791) | $ (2,915,481) | |
Class R6 | |||||
Shares sold | 60,274 | $ 1,239,649 | 890 | $ 19,026 | |
Reinvestment of distributions | 390 | 7,689 | 5 | 103 | |
Shares redeemed | (7,598) | (154,650) | — | — | |
Net increase | 53,066 | $ 1,092,688 | 895 | $ 19,129 |
(1) | For Class R6, for the period from the commencement of operations, February 1, 2022, to September 30, 2022. |
Year Ended September 30, 2023 | Year Ended September 30, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,371,824 | $ 31,612,276 | 1,623,606 | $ 40,881,425 | |
Reinvestment of distributions | 256,573 | 5,672,819 | 283,744 | 7,856,858 | |
Shares redeemed | (944,599) | (21,923,169) | (978,581) | (24,882,729) | |
Net increase | 683,798 | $ 15,361,926 | 928,769 | $ 23,855,554 | |
Class C | |||||
Shares sold | 176,354 | $ 3,353,256 | 290,201 | $ 5,741,467 | |
Reinvestment of distributions | 23,956 | 438,866 | 28,519 | 658,527 | |
Shares redeemed | (303,926) | (5,796,796) | (201,007) | (4,137,335) | |
Net increase (decrease) | (103,616) | $ (2,004,674) | 117,713 | $ 2,262,659 | |
Class I | |||||
Shares sold | 599,846 | $ 13,931,815 | 1,301,369 | $ 33,241,074 | |
Reinvestment of distributions | 80,229 | 1,781,885 | 78,583 | 2,185,402 | |
Shares redeemed | (533,877) | (12,361,336) | (758,139) | (18,585,740) | |
Net increase | 146,198 | $ 3,352,364 | 621,813 | $ 16,840,736 |
Year Ended September 30, 2023 | Year Ended September 30, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class R6 | |||||
Shares sold | 19,908 | $ 466,210 | 5,128 | $ 121,397 | |
Reinvestment of distributions | 171 | 3,789 | — | — | |
Shares redeemed | (2,128) | (50,176) | — | — | |
Net increase | 17,951 | $ 419,823 | 5,128 | $ 121,397 |
(1) | For Class R6, for the period from the commencement of operations, February 1, 2022, to September 30, 2022. |
Boston, Massachusetts
November 22, 2023
Conservative Allocation Fund | $ 1,454,170 |
Moderate Allocation Fund | $ 3,386,691 |
Growth Allocation Fund | $ 3,834,720 |
Conservative Allocation Fund | 11.75% |
Moderate Allocation Fund | 23.63% |
Growth Allocation Fund | 51.98% |
Conservative Allocation Fund | 1.91% |
Moderate Allocation Fund | 1.52% |
Growth Allocation Fund | 1.03% |
Conservative Allocation Fund | $ — |
Moderate Allocation Fund | $ 16,005,491 |
Growth Allocation Fund | $ 10,081,237 |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Theodore H. Eliopoulos(1) 1964 | Trustee and President | Since 2022 | President and Chief Executive Officer of CRM and senior sponsor of Morgan Stanley Investment Management’s (MSIM) Diversity Council. Formerly, Vice Chairman & Head of Strategic Partnerships at MSIM (2019-2022). Former Chief Investment Officer and interim Chief Investment Officer (2014-2018) and Senior Investment Officer of Real Estate and Real Assets at California Public Employees’ Retirement System (CalPERS) (2007-2014). Former Chief Deputy Treasurer and Deputy Treasurer at the California State Treasurer's Office (2002-2006). Mr. Eliopoulos is an interested person because of his positions with CRM and certain affiliates. Other Directorships. The Robert Toigo Foundation; Pacific Pension & Investment Institute (PPI). |
Noninterested Trustees | |||
Richard L. Baird, Jr.(2) 1948 | Trustee | Since 1982 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships. None. |
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(3) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
John G. Guffey, Jr.(2) 1948 | Trustee | Since 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | Since 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (November 1999 - September 2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 1990 | Attorney. Other Directorships. Palm Management Corporation. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Eddie Ramos(3) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management). |
Anthony A. Williams 1951 | Trustee | Since 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Eliopoulos is an interested person of the Funds because of his positions with the Funds’ adviser and certain affiliates. | |||
(2) Effective December 31, 2023, Richard L. Baird, Jr. and John G. Guffey, Jr. will retire from the Board of Trustees. | |||
(3) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 10/21/1982 | 10/21/1982 | 11.11% | 6.18% | 6.73% |
Class A with 5.25% Maximum Sales Charge | — | — | 5.28 | 5.04 | 6.16 |
Class C at NAV | 03/01/1994 | 10/21/1982 | 10.25 | 5.38 | 6.07 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 9.25 | 5.38 | 6.07 |
Class I at NAV | 12/27/2004 | 10/21/1982 | 11.37 | 6.45 | 7.08 |
Class R6 at NAV | 02/01/2019 | 10/21/1982 | 11.42 | 6.49 | 7.11 |
Russell 1000® Index | — | — | 21.19% | 9.62% | 11.62% |
Bloomberg U.S. Aggregate Bond Index | — | — | 0.64 | 0.10 | 1.13 |
Balanced Blended Benchmark | — | — | 12.78 | 6.12 | 7.58 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.91% | 1.67% | 0.67% | 0.61% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $18,035 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $1,983,338 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2013 | $9,937,288 | N.A. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1987 | 08/24/1987 | 2.03% | 0.65% | 1.62% |
Class A with 3.25% Maximum Sales Charge | — | — | (1.28) | (0.02) | 1.29 |
Class C at NAV | 06/01/1998 | 08/24/1987 | 1.21 | (0.16) | 0.95 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 0.23 | (0.16) | 0.95 |
Class I at NAV | 03/31/2000 | 08/24/1987 | 2.24 | 0.85 | 1.95 |
Class R6 at NAV | 10/03/2017 | 08/24/1987 | 2.31 | 0.90 | 1.98 |
Bloomberg U.S. Aggregate Bond Index | — | — | 0.64% | 0.10% | 1.13% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.75% | 1.55% | 0.55% | 0.48% |
Net | 0.73 | 1.53 | 0.53 | 0.46 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $10,994 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $1,213,037 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2013 | $6,081,616 | N.A. |
Credit Quality (% of net assets)1 |
1 | For purposes of the Fund’s rating restrictions, ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), or Kroll Bond Rating Agency, LLC (“Kroll”) for securitized debt instruments only (such as asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”)), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of an issuance based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P, Fitch or Kroll (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1987 | 08/24/1987 | 14.83% | 11.53% | 12.64% |
Class A with 5.25% Maximum Sales Charge | — | — | 8.80 | 10.34 | 12.04 |
Class C at NAV | 03/01/1994 | 08/24/1987 | 13.99 | 10.70 | 11.97 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 12.99 | 10.70 | 11.97 |
Class I at NAV | 11/01/1999 | 08/24/1987 | 15.12 | 11.82 | 13.03 |
Class R6 at NAV | 10/03/2017 | 08/24/1987 | 15.21 | 11.89 | 13.06 |
Russell 1000® Growth Index | — | — | 27.72% | 12.41% | 14.47% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.91% | 1.65% | 0.65% | 0.59% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $30,989 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $3,404,483 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2013 | $17,074,130 | N.A. |
Sector Allocation (% of net assets) |
Top 10 Holdings (% of net assets)1 | |
Mastercard, Inc., Class A | 4.8% |
Alphabet, Inc., Class C | 4.8 |
Visa, Inc., Class A | 4.8 |
Danaher Corp. | 4.8 |
Microsoft Corp. | 4.6 |
Thermo Fisher Scientific, Inc. | 4.4 |
Verisk Analytics, Inc. | 3.7 |
TJX Cos., Inc. (The) | 3.7 |
Zoetis, Inc. | 3.7 |
Intuit, Inc. | 3.3 |
Total | 42.6% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Russell 1000® Growth Index is an unmanaged index of U.S. large-cap growth stocks. Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. The Balanced Blended Benchmark is an internally constructed benchmark comprised of a blend of 60% Russell 1000® Index and 40% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
Calvert Research and Management became the investment adviser to each Fund on December 31, 2016. Performance reflected prior to such date is that of each Fund’s former investment adviser. | |
3 | Source: Fund prospectus. Net expense ratios for Calvert Bond Fund reflect a contractual expense reimbursement that continues through 2/1/25. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profiles subject to change due to active management. | |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,014.10 | $4.65 | 0.92% |
Class C | $1,000.00 | $1,010.00 | $8.47 | 1.68% |
Class I | $1,000.00 | $1,015.30 | $3.44 | 0.68% |
Class R6 | $1,000.00 | $1,015.60 | $3.13 | 0.62% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.46 | $4.66 | 0.92% |
Class C | $1,000.00 | $1,016.65 | $8.49 | 1.68% |
Class I | $1,000.00 | $1,021.66 | $3.45 | 0.68% |
Class R6 | $1,000.00 | $1,021.96 | $3.14 | 0.62% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 969.80 | $3.60 ** | 0.73% |
Class C | $1,000.00 | $ 965.50 | $7.54 ** | 1.53% |
Class I | $1,000.00 | $ 970.80 | $2.62 ** | 0.53% |
Class R6 | $1,000.00 | $ 971.10 | $2.27 ** | 0.46% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.41 | $3.70 ** | 0.73% |
Class C | $1,000.00 | $1,017.40 | $7.74 ** | 1.53% |
Class I | $1,000.00 | $1,022.41 | $2.69 ** | 0.53% |
Class R6 | $1,000.00 | $1,022.76 | $2.33 ** | 0.46% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,005.20 | $4.57 | 0.91% |
Class C | $1,000.00 | $1,001.50 | $8.33 | 1.66% |
Class I | $1,000.00 | $1,006.50 | $3.32 | 0.66% |
Class R6 | $1,000.00 | $1,007.00 | $2.97 | 0.59% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.51 | $4.61 | 0.91% |
Class C | $1,000.00 | $1,016.75 | $8.39 | 1.66% |
Class I | $1,000.00 | $1,021.76 | $3.35 | 0.66% |
Class R6 | $1,000.00 | $1,022.11 | $2.99 | 0.59% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023. |
Asset-Backed Securities — 5.9% |
Security | Principal Amount (000's omitted)* | Value | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 525 | $ 477,155 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 26 | 23,955 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 1,040 | 869,493 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 1,640 | 1,446,750 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 960 | 834,071 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 238 | 237,371 | |
Series 2022-A, Class B, 9.52%, 12/15/26(1) | 1,779 | 1,787,117 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 1,800 | 1,537,267 | |
Series 2023-A, Class B, 10.00%, 1/17/28(1) | 116 | 116,367 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 768 | 662,718 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 161 | 146,405 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 1,139 | 975,016 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 255 | 221,927 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 2,166 | 1,847,203 | |
Driven Brands Funding, LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 185 | 178,467 | |
Series 2019-1A, Class A2, 4.641%, 4/20/49(1) | 267 | 252,326 | |
Enterprise Fleet Financing, LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(1) | 2,005 | 1,989,324 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/25/49(1) | 805 | 774,166 | |
Series 2019-1A, Class B, 4.14%, 7/25/49(1) | 124 | 119,039 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 546 | 500,369 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(2) | 125 | 102,796 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 1,060 | 872,449 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 159 | 147,837 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 900 | 888,168 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 337 | 312,892 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 566 | 426,808 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 423 | 357,090 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 630 | 580,579 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 265 | 257,803 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 325 | 310,451 |
Security | Principal Amount (000's omitted)* | Value | |
LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.68%, 10/15/26(1) | 419 | $ 418,242 | |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 206 | 123,922 | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class A, 3.376%, 2/15/45(1) | 96 | 83,559 | |
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 97 | 69,409 | |
Marlette Funding Trust, Series 2023-1A, Class A, 6.07%, 4/15/33(1) | 1,325 | 1,323,066 | |
Mill City Solar Loan, Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 419 | 275,159 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 367 | 332,667 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 866 | 748,523 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 0 (3) | 26 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 100 | 84,923 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 82 | 70,291 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 210 | 169,332 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 303 | 235,656 | |
Series 2021-1A, Class C, 2.25%, 12/20/46(1) | 1,180 | 1,037,411 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 211 | 168,404 | |
Series 2021-3A, Class D, 3.28%, 6/20/52(1) | 131 | 103,134 | |
Series 2022-2A, Class B, 5.13%, 1/21/53(1) | 682 | 592,835 | |
Series 2022-2A, Class D, 8.29%, 1/21/53(1) | 270 | 226,216 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 973 | 814,773 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 1,394 | 1,257,181 | |
OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.13%, 5/14/35(1) | 1,400 | 1,344,839 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 172 | 164,378 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 279 | 275,973 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 979 | 894,543 | |
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 178 | 163,501 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 5,100 | 4,641,475 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 530 | 476,650 | |
Series 2021-C, Class C, 3.61%, 10/8/31(1) | 105 | 93,529 | |
Series 2022-2, Class C, 9.36%, 10/9/29(1) | 350 | 350,216 | |
Series 2022-3, Class B, 8.533%, 1/8/30(1) | 1,100 | 1,111,121 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 391 | 377,757 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 174 | 172,933 | |
Series 2021-5, Class A, 1.53%, 8/15/29(1) | 333 | 328,597 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 204 | 196,908 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 69 | 65,756 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 606 | 507,176 | |
Prosper Marketplace Issuance Trust, Series 2019-4A, Class C, 4.95%, 2/17/26(1) | 13 | 12,900 |
Security | Principal Amount (000's omitted)* | Value | |
Retained Vantage Data Centers Issuer, LLC: | |||
Series 2023-1A, Class A2A, 5.00%, 9/15/48(1) | 1,890 | $ 1,707,541 | |
Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | CAD | 247 | 161,642 |
Series 2023-1A, Class B, 5.75%, 9/15/48(1) | 261 | 232,731 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869% to 10/15/23, 10/15/49(1)(4) | 1,000 | 973,562 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 336 | 285,397 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 425 | 334,909 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 1,981 | 1,816,098 | |
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 5/15/31(1) | 312 | 311,454 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 253 | 252,612 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,121 | 1,019,501 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 475 | 431,308 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 1,836 | 1,818,863 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 405 | 388,431 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 695 | 631,476 | |
Series 2021-1A, Class A2, 1.877%, 3/26/46(1) | 85 | 74,911 | |
Sunnova Helios IX Issuer, LLC, Series 2022-B, Class A, 5.00%, 8/20/49(1) | 697 | 654,312 | |
Sunnova Helios V Issuer, LLC: | |||
Series 2021-A, Class A, 1.80%, 2/20/48(1) | 1,152 | 970,486 | |
Series 2021-A, Class B, 3.15%, 2/20/48(1) | 375 | 292,716 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 1,138 | 1,064,850 | |
Sunnova Helios XII Issuer, LLC, Series 2023-B, Class A, 5.30%, 8/22/50(1) | 1,276 | 1,216,888 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 1,824 | 1,436,157 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 227 | 191,144 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 446 | 388,514 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 394 | 375,888 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 655 | 519,243 | |
Sunrun Jupiter Issuer, LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1) | 1,938 | 1,690,254 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 274 | 240,119 | |
Theorem Funding Trust: | |||
Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 159 | 156,520 | |
Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 305 | 306,482 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 134 | 37,848 |
Security | Principal Amount (000's omitted)* | Value | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 800 | $ 711,651 | |
Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.75%, 2/20/28(1) | 100 | 99,579 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,022 | 992,381 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 1,870 | 1,566,458 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 621 | 544,263 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 901 | 707,595 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 332 | 268,365 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 135 | 97,378 | |
Total Asset-Backed Securities (identified cost $69,297,295) | $ 63,535,887 |
Collateralized Mortgage Obligations — 1.3% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 7.065%, (30-day average SOFR + 1.75%), 3/25/31(1)(5) | $ | 9 | $ 9,000 |
Series 2021-1A, Class M1B, 7.515%, (30-day average SOFR + 2.20%), 3/25/31(1)(5) | 248 | 249,713 | |
Series 2021-1A, Class M1C, 8.265%, (30-day average SOFR + 2.95%), 3/25/31(1)(5) | 150 | 152,882 | |
Series 2021-2A, Class M1A, 6.515%, (30-day average SOFR + 1.20%), 6/25/31(1)(5) | 520 | 520,577 | |
Series 2021-3A, Class A2, 6.315%, (30-day average SOFR + 1.00%), 9/25/31(1)(5) | 590 | 585,227 | |
Series 2021-3A, Class M1B, 6.715%, (30-day average SOFR + 1.40%), 9/25/31(1)(5) | 415 | 410,063 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 1,328 | 1,167,526 | |
CHNGE Mortgage Trust: | |||
Series 2023-2, Class A3, 7.436% to 5/25/26, 6/25/58(1)(4) | 781 | 767,448 | |
Series 2023-4, Class A1, 7.573% to 8/25/26, 9/25/58(1)(4) | 1,003 | 1,008,348 | |
Eagle Re, Ltd., Series 2021-2, Class M1C, 8.765%, (30-day average SOFR + 3.45%), 4/25/34(1)(5) | 415 | 424,875 | |
Federal Home Loan Mortgage Corp., Series 5324, Class MZ, 6.00%, 7/25/53 | 107 | 98,841 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA3, Class B2, 13.579%, (30-day average SOFR + 8.264%), 7/25/49(1)(5) | 240 | 266,586 | |
Series 2019-DNA4, Class M2, 7.379%, (30-day average SOFR + 2.064%), 10/25/49(1)(5) | 16 | 16,397 | |
Series 2019-HQA4, Class B1, 8.379%, (30-day average SOFR + 3.064%), 11/25/49(1)(5) | 55 | 56,698 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: (continued) | |||
Series 2020-DNA6, Class B1, 8.315%, (30-day average SOFR + 3.00%), 12/25/50(1)(5) | $ | 50 | $ 50,250 |
Series 2020-HQA2, Class B1, 9.529%, (30-day average SOFR + 4.214%), 3/25/50(1)(5) | 108 | 117,776 | |
Series 2021-DNA2, Class B1, 8.715%, (30-day average SOFR + 3.40%), 8/25/33(1)(5) | 150 | 154,161 | |
Series 2021-DNA3, Class M1, 6.065%, (30-day average SOFR + 0.75%), 10/25/33(1)(5) | 141 | 141,343 | |
Series 2022-DNA2, Class M1A, 6.615%, (30-day average SOFR + 1.30%), 2/25/42(1)(5) | 675 | 675,090 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 10.679%, (30-day average SOFR + 5.364%), 10/25/23(5) | 190 | 190,884 | |
Series 2014-C02, Class 2M2, 8.029%, (30-day average SOFR + 2.714%), 5/25/24(5) | 69 | 70,164 | |
Series 2014-C03, Class 2M2, 8.329%, (30-day average SOFR + 3.014%), 7/25/24(5) | 87 | 88,464 | |
Series 2018-R07, Class 1M2, 7.829%, (30-day average SOFR + 2.514%), 4/25/31(1)(5) | 20 | 19,938 | |
Series 2019-R01, Class 2B1, 9.779%, (30-day average SOFR + 4.464%), 7/25/31(1)(5) | 150 | 159,824 | |
Series 2019-R02, Class 1B1, 9.579%, (30-day average SOFR + 4.264%), 8/25/31(1)(5) | 146 | 154,562 | |
Series 2019-R03, Class 1B1, 9.529%, (30-day average SOFR + 4.214%), 9/25/31(1)(5) | 150 | 158,317 | |
Series 2019-R05, Class 1B1, 9.529%, (30-day average SOFR + 4.214%), 7/25/39(1)(5) | 193 | 200,103 | |
Series 2019-R06, Class 2B1, 9.179%, (30-day average SOFR + 3.864%), 9/25/39(1)(5) | 849 | 872,500 | |
Series 2019-R07, Class 1B1, 8.829%, (30-day average SOFR + 3.514%), 10/25/39(1)(5) | 268 | 273,845 | |
Series 2020-R02, Class 2B1, 8.429%, (30-day average SOFR + 3.114%), 1/25/40(1)(5) | 1,120 | 1,132,101 | |
Series 2021-R01, Class 1B2, 11.315%, (30-day average SOFR + 6.00%), 10/25/41(1)(5) | 395 | 401,653 | |
Series 2021-R02, Class 2B1, 8.615%, (30-day average SOFR + 3.30%), 11/25/41(1)(5) | 35 | 34,964 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 460 | 449,693 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 482 | 471,019 | |
Series 2023-98, Class BW, 6.00%, 7/20/53 | 68 | 66,526 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 68 | 66,509 | |
Series 2023-102, Class SG, 2.742%, (22.55% - 30-day average SOFR x 3.727), 7/20/53(6) | 100 | 90,462 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 8.434%, (30-day average SOFR + 3.00%), 10/25/28(1)(5) | 364 | 366,590 | |
Series 2021-1, Class M2, 8.284%, (30-day average SOFR + 2.964%), 7/25/33(1)(5) | 215 | 215,617 | |
LHOME Mortgage Trust, Series 2023-RTL2, Class A1, 8.00%, 6/25/28(1) | 100 | 99,977 | |
PNMAC GMSR Issuer Trust, Series 2022-FT1, Class A, 9.505%, (30-day average SOFR + 4.19%), 6/25/27(1)(5) | 1,477 | 1,479,381 |
Security | Principal Amount (000's omitted) | Value | |
Triangle Re, Ltd., Series 2021-3, Class B1, 10.265%, (30-day average SOFR + 4.95%), 2/25/34(1)(5) | $ | 175 | $ 174,181 |
Total Collateralized Mortgage Obligations (identified cost $14,101,033) | $ 14,110,075 |
Commercial Mortgage-Backed Securities — 4.2% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(2) | $ | 1,605 | $ 1,004,456 |
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(2) | 680 | 224,964 | |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(2) | 1,215 | 268,965 | |
BPR Trust, Series 2022-SSP, Class A, 8.332%, (1 mo. SOFR + 3.00%), 5/15/39(1)(5) | 830 | 829,480 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 6.367%, (1 mo. SOFR + 1.034%), 10/15/36(1)(5) | 1,447 | 1,443,027 | |
Series 2019-XL, Class B, 6.527%, (1 mo. SOFR + 1.194%), 10/15/36(1)(5) | 638 | 633,750 | |
Series 2021-VOLT, Class B, 6.397%, (1 mo. SOFR + 1.064%), 9/15/36(1)(5) | 1,809 | 1,750,786 | |
Series 2021-VOLT, Class C, 6.547%, (1 mo. SOFR + 1.214%), 9/15/36(1)(5) | 549 | 528,564 | |
Series 2021-VOLT, Class D, 7.097%, (1 mo. SOFR + 1.764%), 9/15/36(1)(5) | 1,739 | 1,662,953 | |
CSMC: | |||
Series 2021-4SZN, Class A, 9.30%, (1 mo. SOFR + 3.967%), 11/15/23(1)(5) | 285 | 276,436 | |
Series 2021-BPNY, Class A, 9.162%, (1 mo. SOFR + 3.829%), 8/15/26(1)(5) | 216 | 189,771 | |
Series 2022-NWPT, Class A, 8.475%, (1 mo. SOFR + 3.143%), 9/9/24(1)(5) | 814 | 822,651 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 6.527%, (1 mo. SOFR + 1.194%), 7/15/38(1)(5) | 1,153 | 1,144,270 | |
Series 2021-ESH, Class C, 7.147%, (1 mo. SOFR + 1.814%), 7/15/38(1)(5) | 1,319 | 1,301,481 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 3,315 | 2,860,618 | |
Series KG03, Class A2, 1.297%, 6/25/30(2) | 770 | 602,063 | |
Series KG08, Class A2, 4.134%, 5/25/33 | 957 | 875,717 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 704 | 555,089 | |
Series KW06, Class A2, 3.80%, 6/25/28(2) | 1,135 | 1,066,997 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(2) | 413 | 380,162 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.029%, 9/25/27(2) | 1,024 | 944,474 | |
Series 2018-M4, Class A2, 3.166%, 3/25/28(2) | 1,768 | 1,631,223 | |
Series 2018-M13, Class A2, 3.866%, 9/25/30(2) | 2,823 | 2,607,460 | |
Series 2019-M1, Class A2, 3.665%, 9/25/28(2) | 867 | 810,994 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 3,121 | 2,719,504 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 2,322 | 1,996,535 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2020-M20, Class A2, 1.435%, 10/25/29 | $ | 1,505 | $ 1,210,338 |
Series 2023-M1S, Class A2, 4.656%, 4/25/33 | 2,397 | 2,267,007 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.679%, (30-day average SOFR + 3.364%), 10/25/49(1)(5) | 1,249 | 1,221,575 | |
Series 2020-01, Class M10, 9.179%, (30-day average SOFR + 3.864%), 3/25/50(1)(5) | 1,366 | 1,335,887 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 6.529%, (1 mo. SOFR + 1.197%), 5/15/38(1)(5) | 2,738 | 2,719,622 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 550 | 80,561 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(2) | 225 | 15,309 | |
Med Trust: | |||
Series 2021-MDLN, Class D, 7.447%, (1 mo. SOFR + 2.114%), 11/15/38(1)(5) | 945 | 908,455 | |
Series 2021-MDLN, Class E, 8.597%, (1 mo. SOFR + 3.264%), 11/15/38(1)(5) | 532 | 507,561 | |
Series 2021-MDLN, Class F, 9.447%, (1 mo. SOFR + 4.114%), 11/15/38(1)(5) | 179 | 170,310 | |
Morgan Stanley Capital I Trust: | |||
Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36(1)(5)(7) | 1,034 | 996,183 | |
Series 2019-BPR, Class B, 8.022%, (1 mo. SOFR + 2.692%), 5/15/36(1)(5)(7) | 386 | 369,152 | |
Series 2019-BPR, Class C, 8.972%, (1 mo. SOFR + 3.642%), 5/15/36(1)(5)(7) | 205 | 194,054 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 7.095%, (1 mo. SOFR + 1.764%), 1/18/37(1)(5) | 1,061 | 1,037,730 | |
Series 2021-HT1, Class B, 9.945%, (1 mo. SOFR + 4.614%), 1/18/37(1)(5) | 2,057 | 1,951,120 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(2) | 850 | 463,663 | |
Total Commercial Mortgage-Backed Securities (identified cost $50,699,541) | $ 44,580,917 |
Common Stocks — 58.2% |
Security | Shares | Value | |
Aerospace & Defense — 0.5% | |||
HEICO Corp. | 32,300 | $ 5,230,339 | |
$ 5,230,339 | |||
Automobile Components — 0.3% | |||
Aptiv PLC(8) | 37,000 | $ 3,647,830 | |
$ 3,647,830 | |||
Beverages — 2.4% | |||
Coca-Cola Co. (The) | 226,100 | $ 12,657,078 |
Security | Shares | Value | |
Beverages (continued) | |||
PepsiCo, Inc. | 74,000 | $ 12,538,560 | |
$ 25,195,638 | |||
Biotechnology — 1.3% | |||
AbbVie, Inc. | 92,900 | $ 13,847,674 | |
$ 13,847,674 | |||
Broadline Retail — 2.5% | |||
Amazon.com, Inc.(8) | 213,620 | $ 27,155,374 | |
$ 27,155,374 | |||
Capital Markets — 3.5% | |||
Intercontinental Exchange, Inc. | 99,000 | $ 10,891,980 | |
S&P Global, Inc. | 27,300 | 9,975,693 | |
Stifel Financial Corp. | 104,200 | 6,402,048 | |
Tradeweb Markets, Inc., Class A | 127,166 | 10,198,713 | |
$ 37,468,434 | |||
Chemicals — 1.0% | |||
Linde PLC | 27,500 | $ 10,239,625 | |
$ 10,239,625 | |||
Commercial Services & Supplies — 0.6% | |||
Waste Management, Inc. | 44,225 | $ 6,741,659 | |
$ 6,741,659 | |||
Consumer Staples Distribution & Retail — 1.3% | |||
Walmart, Inc. | 87,800 | $ 14,041,854 | |
$ 14,041,854 | |||
Containers & Packaging — 0.6% | |||
AptarGroup, Inc. | 49,375 | $ 6,173,850 | |
$ 6,173,850 | |||
Electric Utilities — 0.6% | |||
NextEra Energy, Inc. | 109,700 | $ 6,284,713 | |
$ 6,284,713 | |||
Electrical Equipment — 0.9% | |||
AMETEK, Inc. | 63,300 | $ 9,353,208 | |
$ 9,353,208 | |||
Energy Equipment & Services — 1.2% | |||
Baker Hughes Co. | 376,600 | $ 13,301,512 | |
$ 13,301,512 | |||
Financial Services — 2.0% | |||
Shift4 Payments, Inc., Class A(8) | 105,600 | $ 5,847,072 |
Security | Shares | Value | |
Financial Services (continued) | |||
Visa, Inc., Class A | 69,700 | $ 16,031,697 | |
$ 21,878,769 | |||
Ground Transportation — 0.7% | |||
Union Pacific Corp. | 38,800 | $ 7,900,844 | |
$ 7,900,844 | |||
Health Care Equipment & Supplies — 1.6% | |||
Intuitive Surgical, Inc.(8) | 28,200 | $ 8,242,578 | |
Stryker Corp. | 33,600 | 9,181,872 | |
$ 17,424,450 | |||
Hotels, Restaurants & Leisure — 1.0% | |||
Domino's Pizza, Inc. | 10,700 | $ 4,053,053 | |
Marriott International, Inc., Class A | 35,800 | 7,036,848 | |
$ 11,089,901 | |||
Insurance — 1.9% | |||
Allstate Corp. (The) | 81,100 | $ 9,035,351 | |
W.R. Berkley Corp. | 171,900 | 10,913,931 | |
$ 19,949,282 | |||
Interactive Media & Services — 4.5% | |||
Alphabet, Inc., Class A(8) | 110,300 | $ 14,433,858 | |
Alphabet, Inc., Class C(8) | 253,540 | 33,429,249 | |
$ 47,863,107 | |||
IT Services — 0.7% | |||
Gartner, Inc.(8) | 21,500 | $ 7,387,615 | |
$ 7,387,615 | |||
Life Sciences Tools & Services — 1.7% | |||
Danaher Corp. | 37,100 | $ 9,204,510 | |
Thermo Fisher Scientific, Inc. | 18,397 | 9,312,010 | |
$ 18,516,520 | |||
Machinery — 0.7% | |||
Parker-Hannifin Corp. | 18,000 | $ 7,011,360 | |
$ 7,011,360 | |||
Media — 0.9% | |||
Comcast Corp., Class A | 220,300 | $ 9,768,102 | |
$ 9,768,102 | |||
Multi-Utilities — 0.5% | |||
Sempra | 79,200 | $ 5,387,976 | |
$ 5,387,976 | |||
Pharmaceuticals — 2.4% | |||
Bristol-Myers Squibb Co. | 121,500 | $ 7,051,860 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Eli Lilly & Co. | 35,100 | $ 18,853,263 | |
$ 25,905,123 | |||
Professional Services — 2.7% | |||
Automatic Data Processing, Inc. | 47,400 | $ 11,403,492 | |
Booz Allen Hamilton Holding Corp. | 62,400 | 6,818,448 | |
TransUnion | 141,500 | 10,158,285 | |
$ 28,380,225 | |||
Real Estate Management & Development — 0.9% | |||
FirstService Corp. | 63,000 | $ 9,169,020 | |
$ 9,169,020 | |||
Semiconductors & Semiconductor Equipment — 3.6% | |||
Analog Devices, Inc. | 64,100 | $ 11,223,269 | |
Lam Research Corp. | 12,800 | 8,022,656 | |
NVIDIA Corp. | 43,700 | 19,009,063 | |
$ 38,254,988 | |||
Software — 8.0% | |||
ANSYS, Inc.(8) | 33,400 | $ 9,938,170 | |
Fair Isaac Corp.(8) | 11,400 | 9,901,242 | |
Fortinet, Inc.(8) | 87,700 | 5,146,236 | |
Microsoft Corp. | 163,851 | 51,735,953 | |
VMware, Inc., Class A(8) | 51,200 | 8,523,776 | |
$ 85,245,377 | |||
Specialty Retail — 0.9% | |||
TJX Cos., Inc. (The) | 102,900 | $ 9,145,752 | |
$ 9,145,752 | |||
Technology Hardware, Storage & Peripherals — 4.7% | |||
Apple, Inc. | 291,408 | $ 49,891,964 | |
$ 49,891,964 | |||
Textiles, Apparel & Luxury Goods — 1.2% | |||
lululemon Athletica, Inc.(8) | 16,600 | $ 6,401,126 | |
NIKE, Inc., Class B | 64,700 | 6,186,614 | |
$ 12,587,740 | |||
Venture Capital — 0.2% | |||
Learn Capital Venture Partners III, L.P.(8)(9)(10) | 1,088,825 | $ 2,422,128 | |
Neighborhood Bancorp, Class A(8)(9)(10) | 10,000 | 8,200 | |
$ 2,430,328 |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.7% | |||
T-Mobile US, Inc.(8) | 54,645 | $ 7,653,032 | |
$ 7,653,032 | |||
Total Common Stocks (identified cost $440,931,308) | $ 621,523,185 |
Corporate Bonds — 15.8% |
Security | Principal Amount* (000’s omitted) | Value | |
Basic Materials — 0.3% | |||
Celanese U.S. Holdings, LLC: | |||
6.35%, 11/15/28 | 848 | $ 837,778 | |
6.55%, 11/15/30 | 801 | 784,286 | |
6.70%, 11/15/33 | 550 | 535,781 | |
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | 861 | 726,920 | |
$ 2,884,765 | |||
Communications — 0.7% | |||
AT&T, Inc.: | |||
3.55%, 9/15/55 | 1,963 | $ 1,202,900 | |
3.65%, 6/1/51 | 1,732 | 1,117,594 | |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 304 | 276,407 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 3,482 | 2,437,352 | |
Nokia Oyj, 4.375%, 6/12/27 | 282 | 261,378 | |
Rogers Communications, Inc., 4.55%, 3/15/52 | 2,174 | 1,587,429 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 463 | 312,223 | |
SES S.A., 5.30%, 4/4/43(1) | 274 | 184,763 | |
Sprint, LLC, 7.125%, 6/15/24 | 394 | 396,737 | |
$ 7,776,783 | |||
Consumer, Cyclical — 1.1% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 1,282 | $ 1,253,630 | |
Aptiv PLC/Aptiv Corp., 3.25%, 3/1/32 | 410 | 336,287 | |
Bath & Body Works, Inc.: | |||
6.875%, 11/1/35 | 107 | 95,683 | |
7.60%, 7/15/37 | 459 | 403,363 | |
Brunswick Corp., 5.10%, 4/1/52 | 368 | 253,780 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd.: | |||
4.50%, 10/20/25(1) | 619 | 601,235 | |
4.75%, 10/20/28(1) | 1,271 | 1,208,355 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 2,072 | 1,259,969 | |
Ford Motor Co., 4.75%, 1/15/43 | 127 | 92,834 | |
Ford Motor Credit Co., LLC, 7.35%, 11/4/27 | 1,026 | 1,048,742 | |
General Motors Financial Co., Inc.: | |||
4.30%, 4/6/29 | 673 | 604,107 | |
5.80%, 6/23/28 | 135 | 131,960 |
Security | Principal Amount* (000’s omitted) | Value | |
Consumer, Cyclical (continued) | |||
General Motors Financial Co., Inc.: (continued) | |||
5.85%, 4/6/30(11) | 2,383 | $ 2,284,130 | |
Hyundai Capital America, 5.70%, 6/26/30(1) | 273 | 262,816 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 1,023 | 863,310 | |
4.375%, 1/15/31(1)(11) | 159 | 131,699 | |
Macy's Retail Holdings, LLC: | |||
4.30%, 2/15/43 | 75 | 41,985 | |
5.875%, 4/1/29(1)(11) | 182 | 159,531 | |
WarnerMedia Holdings, Inc.: | |||
5.05%, 3/15/42 | 916 | 708,932 | |
5.391%, 3/15/62 | 506 | 374,063 | |
$ 12,116,411 | |||
Consumer, Non-cyclical — 0.8% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | 200 | $ 182,036 | |
4.25%, 11/1/29(1) | 987 | 874,706 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 770 | 592,429 | |
3.375%, 2/15/30 | 472 | 394,218 | |
4.25%, 12/15/27(11) | 575 | 530,590 | |
4.625%, 12/15/29 | 74 | 66,733 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 645 | 480,373 | |
Conservation Fund (The), 3.474%, 12/15/29 | 655 | 553,507 | |
CVS Health Corp.: | |||
5.25%, 1/30/31 | 1,170 | 1,124,777 | |
5.875%, 6/1/53 | 481 | 445,185 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 472 | 466,885 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 1,705 | 946,973 | |
Ford Foundation (The), 2.415%, 6/1/50 | 1,095 | 638,781 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1)(11) | 90 | 77,374 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 870 | 624,551 | |
3.00%, 10/15/30(1) | 192 | 146,920 | |
5.20%, 4/1/29(1) | 138 | 126,200 | |
$ 8,272,238 | |||
Diversified — 0.0%(12) | |||
Inversiones La Construccion S.A., 4.75%, 2/7/32(13) | 211 | $ 164,766 | |
$ 164,766 | |||
Energy — 0.2% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 213 | $ 173,930 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 70 | 69,405 |
Security | Principal Amount* (000’s omitted) | Value | |
Energy (continued) | |||
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 982 | $ 840,253 | |
5.00%, 1/31/28(1) | 1,047 | 951,372 | |
$ 2,034,960 | |||
Financial — 9.1% | |||
ABN AMRO Bank NV, 6.339% to 9/18/26, 9/18/27(1)(14) | 1,000 | $ 997,928 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 499 | 415,046 | |
AIB Group PLC, 6.608% to 9/13/28, 9/13/29(1)(14) | 862 | 858,976 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 165 | 153,624 | |
Ally Financial, Inc.: | |||
6.992% to 6/13/28, 6/13/29(14) | 115 | 112,600 | |
8.00%, 11/1/31(11) | 1,370 | 1,384,384 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 176 | 131,978 | |
American National Group, LLC, 6.144%, 6/13/32(1) | 200 | 181,174 | |
Ameriprise Financial, Inc., 5.15%, 5/15/33 | 863 | 816,098 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 845 | 724,306 | |
ASR Nederland N.V., 7.00% to 9/7/33, 12/7/43(13)(14) | EUR | 165 | 179,618 |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(14) | 1,352 | 1,255,731 | |
Aviation Capital Group, LLC: | |||
6.25%, 4/15/28(1) | 942 | 922,070 | |
6.375%, 7/15/30(1) | 1,105 | 1,071,000 | |
Banco Santander S.A.: | |||
1.722% to 9/14/26, 9/14/27(14) | 800 | 699,905 | |
4.175% to 3/24/27, 3/24/28(14) | 200 | 184,762 | |
5.294%, 8/18/27 | 1,600 | 1,547,874 | |
6.921%, 8/8/33 | 1,400 | 1,339,614 | |
Bank Leumi Le-Israel BM, 7.129% to 4/18/28, 7/18/33(1)(13)(14) | 200 | 196,752 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(14) | 2,414 | 2,139,838 | |
1.898% to 7/23/30, 7/23/31(14) | 680 | 516,987 | |
1.922% to 10/24/30, 10/24/31(14) | 753 | 568,378 | |
2.087% to 6/14/28, 6/14/29(14) | 1,034 | 865,967 | |
2.299% to 7/21/31, 7/21/32(14) | 960 | 727,887 | |
2.456% to 10/22/24, 10/22/25(14) | 1,307 | 1,255,604 | |
2.551% to 2/4/27, 2/4/28(14) | 1,921 | 1,713,742 | |
3.846% to 3/8/32, 3/8/37(14) | 1,419 | 1,155,224 | |
4.571% to 4/27/32, 4/27/33(14) | 759 | 674,243 | |
5.819% to 9/15/28, 9/15/29(14) | 1,002 | 990,118 | |
5.872% to 9/15/33, 9/15/34(14) | 1,888 | 1,838,352 | |
6.204% to 11/10/27, 11/10/28(14) | 310 | 311,515 | |
Bank of Nova Scotia (The), 4.90% to 6/4/25(14)(15) | 217 | 199,014 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 859 | 788,595 | |
5.125% to 1/18/28, 1/18/33(1)(14) | 1,189 | 1,024,692 | |
8.45% to 6/29/33, 6/29/38(1)(14) | 200 | 197,272 |
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
BNP Paribas S.A.: | |||
7.75% to 8/16/29(1)(14)(15) | 802 | $ 763,315 | |
9.25% to 11/17/27(1)(11)(14)(15) | 645 | 661,499 | |
Boston Properties, L.P., 2.45%, 10/1/33 | 846 | 578,176 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(14) | 432 | 332,867 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 58 | 40,676 | |
CaixaBank S.A., 6.208% to 1/18/28, 1/18/29(1)(14) | 1,247 | 1,220,907 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(14) | 721 | 603,538 | |
3.75%, 7/28/26 | 658 | 610,334 | |
4.20%, 10/29/25 | 575 | 548,410 | |
CBRE Services, Inc., 5.95%, 8/15/34 | 1,205 | 1,138,021 | |
Charles Schwab Corp. (The): | |||
5.875%, 8/24/26 | 146 | 145,576 | |
6.136% to 8/24/33, 8/24/34(14) | 904 | 879,869 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,239 | 940,744 | |
4.10%, 6/15/51 | 1,458 | 845,207 | |
Citigroup, Inc.: | |||
3.668% to 7/24/27, 7/24/28(14) | 460 | 422,194 | |
4.00% to 12/10/25(14)(15) | 770 | 675,483 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 1,126 | 790,981 | |
Danske Bank A/S, 5.375%, 1/12/24(1) | 259 | 257,985 | |
Discover Bank, 5.974%, 8/9/28 | 137 | 125,487 | |
EPR Properties: | |||
3.75%, 8/15/29 | 1,411 | 1,134,805 | |
4.50%, 6/1/27 | 1,059 | 948,733 | |
4.95%, 4/15/28 | 744 | 659,928 | |
Extra Space Storage, L.P.: | |||
2.40%, 10/15/31 | 1,045 | 800,729 | |
2.55%, 6/1/31 | 803 | 625,906 | |
5.50%, 7/1/30 | 986 | 954,239 | |
F&G Annuities & Life, Inc., 7.40%, 1/13/28(11) | 2,577 | 2,574,569 | |
Fifth Third Bancorp, 6.339% to 7/27/28, 7/27/29(14) | 969 | 957,759 | |
GA Global Funding Trust, 2.25%, 1/6/27(1) | 1,872 | 1,641,844 | |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 2,148 | 1,533,155 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1)(11) | 2,449 | 2,179,385 | |
3.75%, 9/15/30(1)(11) | 441 | 338,029 | |
6.00%, 4/15/25(1)(11) | 695 | 677,026 | |
HSBC Holdings PLC: | |||
6.161% to 3/9/28, 3/9/29(14) | 1,337 | 1,324,272 | |
7.39% to 11/3/27, 11/3/28(14) | 1,757 | 1,818,358 | |
Intesa Sanpaolo SpA: | |||
7.00%, 11/21/25(1) | 333 | 337,191 | |
7.778% to 6/20/53, 6/20/54(1)(14) | 200 | 180,536 | |
8.248% to 11/21/32, 11/21/33(1)(14) | 1,028 | 1,036,936 | |
Iron Mountain, Inc., 4.50%, 2/15/31(1) | 758 | 624,288 | |
Jefferies Financial Group, Inc., 5.875%, 7/21/28 | 1,392 | 1,363,101 |
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(14) | 1,684 | $ 1,475,869 | |
2.545% to 11/8/31, 11/8/32(14) | 929 | 719,311 | |
4.005% to 4/23/28, 4/23/29(14) | 903 | 832,661 | |
KeyBank N.A.: | |||
4.15%, 8/8/25 | 250 | 235,531 | |
5.85%, 11/15/27 | 1,134 | 1,079,092 | |
KeyCorp, 4.789% to 6/1/32, 6/1/33(14) | 500 | 417,072 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 758 | 483,278 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 304 | 178,313 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(14) | 793 | 653,246 | |
Macquarie Bank, Ltd., 6.798%, 1/18/33(1) | 1,069 | 1,050,024 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(14) | 759 | 753,398 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 388 | 387,653 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 1,637 | 1,403,326 | |
7.125%, 3/15/26(11) | 188 | 184,315 | |
PennyMac Financial Services, Inc., 4.25%, 2/15/29(1)(11) | 146 | 118,263 | |
PNC Financial Services Group, Inc. (The), Series W, 6.25% to 3/15/30(14)(15) | 411 | 353,343 | |
Radian Group, Inc., 4.875%, 3/15/27 | 1,055 | 986,889 | |
Rocket Mortgage, LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/1/31(1) | 1,552 | 1,239,559 | |
SITE Centers Corp., 3.625%, 2/1/25 | 517 | 492,442 | |
Societe Generale S.A.: | |||
6.221% to 6/15/32, 6/15/33(1)(14) | 910 | 825,226 | |
9.375% to 11/22/27(1)(14)(15) | 760 | 746,598 | |
Standard Chartered PLC, 1.822% to 11/23/24, 11/23/25(1)(14) | 661 | 624,835 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 902 | 763,192 | |
Sun Communities Operating, L.P.: | |||
2.70%, 7/15/31 | 279 | 215,002 | |
4.20%, 4/15/32 | 875 | 747,186 | |
Swedbank AB: | |||
5.337%, 9/20/27(1) | 378 | 366,613 | |
6.136%, 9/12/26(1) | 1,227 | 1,222,674 | |
Synchrony Bank, 5.40%, 8/22/25 | 500 | 482,102 | |
Synchrony Financial, 4.50%, 7/23/25 | 900 | 857,296 | |
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(14) | 782 | 631,750 | |
5.625%, 2/15/28 | 705 | 639,216 | |
Synovus Financial Corp., 5.90% to 2/7/24, 2/7/29(14) | 71 | 66,088 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(14) | 596 | 494,959 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(14) | 1,998 | 1,992,713 | |
Truist Financial Corp.: | |||
5.10% to 3/1/30(14)(15) | 1,053 | 905,540 | |
5.867% to 6/8/33, 6/8/34(14) | 2,852 | 2,686,380 | |
6.047% to 6/8/26, 6/8/27(14) | 1,229 | 1,216,058 |
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
U.S. Bancorp: | |||
5.775% to 6/12/28, 6/12/29(14) | 2,451 | $ 2,387,114 | |
5.836% to 6/10/33, 6/12/34(14) | 1,269 | 1,197,843 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(14) | 1,244 | 921,139 | |
4.375% to 2/10/31(1)(14)(15) | 649 | 466,581 | |
UniCredit SpA: | |||
2.569% to 9/22/25, 9/22/26(1)(14) | 1,339 | 1,227,246 | |
5.459% to 6/30/30, 6/30/35(1)(14) | 795 | 666,999 | |
5.861% to 6/19/27, 6/19/32(1)(14) | 200 | 182,137 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(14) | 618 | 457,872 | |
$ 97,466,870 | |||
Government - Multinational — 1.5% | |||
Asian Development Bank, 3.125%, 9/26/28 | 1,160 | $ 1,077,935 | |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 1,295 | 1,228,407 | |
European Investment Bank: | |||
1.625%, 5/13/31 | 2,540 | 2,053,330 | |
2.375%, 5/24/27 | 2,741 | 2,525,106 | |
2.875%, 6/13/25(1) | 5,102 | 4,907,399 | |
Inter-American Development Bank, 0.875%, 4/3/25(11) | 1,030 | 963,856 | |
International Bank for Reconstruction & Development, 3.125%, 11/20/25 | 2,600 | 2,495,486 | |
International Finance Corp., 5.435%, (SOFR + 0.09%), 4/3/24(5) | 679 | 679,169 | |
$ 15,930,688 | |||
Government - Regional — 0.2% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | 1,940 | $ 1,867,704 | |
$ 1,867,704 | |||
Industrial — 0.3% | |||
Berry Global, Inc., 5.50%, 4/15/28(1) | 454 | $ 438,867 | |
Cemex SAB de CV, 9.125% to 3/14/28(1)(14)(15) | 866 | 902,593 | |
Jabil, Inc., 3.00%, 1/15/31 | 495 | 401,493 | |
Penske Truck Leasing Co., L.P./PTL Finance Corp., 6.20%, 6/15/30(1) | 890 | 877,786 | |
$ 2,620,739 | |||
Other Revenue — 0.1% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | 1,625 | $ 1,305,320 | |
$ 1,305,320 | |||
Technology — 0.9% | |||
Concentrix Corp.: | |||
6.60%, 8/2/28 | 2,572 | $ 2,483,490 | |
6.65%, 8/2/26 | 1,085 | 1,078,868 | |
6.85%, 8/2/33 | 271 | 250,569 |
Security | Principal Amount* (000’s omitted) | Value | |
Technology (continued) | |||
Foundry JV Holdco, LLC, 5.875%, 1/25/34(1) | 1,365 | $ 1,305,402 | |
Intel Corp., 5.70%, 2/10/53 | 1,303 | 1,222,829 | |
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28(11) | 1,481 | 1,218,427 | |
3.15%, 10/15/31(11) | 650 | 492,804 | |
Marvell Technology, Inc., 5.75%, 2/15/29 | 449 | 445,069 | |
Micron Technology, Inc., 2.703%, 4/15/32 | 230 | 175,755 | |
Seagate HDD Cayman: | |||
5.75%, 12/1/34 | 439 | 371,234 | |
9.625%, 12/1/32(1) | 757 | 816,800 | |
$ 9,861,247 | |||
Utilities — 0.6% | |||
AES Corp. (The), 2.45%, 1/15/31 | 1,108 | $ 853,059 | |
Avangrid, Inc., 3.15%, 12/1/24 | 388 | 374,235 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 472 | 367,454 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 1,861 | 1,644,413 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 500 | 317,580 | |
4.25%, 7/15/49 | 835 | 653,861 | |
5.35%, 1/15/34 | 676 | 667,467 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 671 | 568,280 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 73 | 70,161 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 586 | 457,134 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 902 | 784,397 | |
$ 6,758,041 | |||
Total Corporate Bonds (identified cost $188,405,942) | $ 169,060,532 |
High Social Impact Investments — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(10)(16) | $ | 2,500 | $ 2,465,725 |
Total High Social Impact Investments (identified cost $2,500,000) | $ 2,465,725 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 31,814 | $ 405,310 | |
Series A2, 6.375% | 28,000 | 378,000 | |
$ 783,310 |
Security | Shares | Value | |
Venture Capital — 0.0%(12) | |||
Lumni, Inc., Series B(8)(9)(10) | 17,265 | $ 33,192 | |
Wind Harvest Co., Inc.(8)(9)(10) | 8,696 | 0 | |
$ 33,192 | |||
Wireless Telecommunication Services — 0.1% | |||
United States Cellular Corp.: | |||
5.50% | 53,525 | $ 881,022 | |
6.25% | 4,575 | 83,036 | |
$ 964,058 | |||
Total Preferred Stocks (identified cost $3,205,535) | $ 1,780,560 |
Senior Floating-Rate Loans(17) — 0.1% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.1% | |||
CenturyLink, Inc., Term Loan, 7.681%, (SOFR + 2.25%), 3/15/27 | $ | 816 | $ 583,393 |
Total Senior Floating-Rate Loans (identified cost $812,114) | $ 583,393 |
Sovereign Government Bonds — 0.4% |
Security | Principal Amount (000’s omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 591 | $ 453,616 |
1.00%, 10/1/26 | 4,213 | 3,764,724 | |
Total Sovereign Government Bonds (identified cost $4,764,220) | $ 4,218,340 |
Taxable Municipal Obligations — 0.9% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.3% | |||
Los Angeles Unified School District, CA, 5.75%, 7/1/34(18) | $ | 800 | $ 807,584 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 880 | 651,508 | |
New York City, NY, 5.206%, 10/1/31(18) | 1,275 | 1,253,580 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 630 | 515,548 | |
$ 3,228,220 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue — 0.4% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
Social Bonds, 2.361%, 6/1/26 | $ | 935 | $ 868,232 |
Social Bonds, 2.484%, 6/1/27 | 665 | 606,653 | |
Social Bonds, 2.534%, 6/1/28 | 830 | 742,128 | |
Social Bonds, 2.584%, 6/1/29 | 455 | 397,765 | |
Social Bonds, 2.984%, 6/1/33 | 520 | 425,116 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(18) | 400 | 398,232 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(18) | 910 | 916,679 | |
$ 4,354,805 | |||
Water and Sewer — 0.2% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 270 | $ 230,761 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 430 | 350,609 | |
Green Bonds, 2.184%, 9/1/31 | 345 | 274,599 | |
Green Bonds, 2.264%, 9/1/32 | 305 | 237,400 | |
Green Bonds, 2.344%, 9/1/33 | 335 | 255,545 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 360 | 288,795 | |
Green Bonds, 1.701%, 5/1/31 | 320 | 250,864 | |
Green Bonds, 1.951%, 5/1/34 | 190 | 138,529 | |
$ 2,027,102 | |||
Total Taxable Municipal Obligations (identified cost $11,277,625) | $ 9,610,127 |
U.S. Government Agencies and Instrumentalities — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.668%, 8/1/24 | $ | 534 | $ 521,856 |
2.738%, 8/1/25 | 534 | 507,701 | |
3.435%, 8/1/34 | 530 | 458,308 | |
3.485%, 8/1/35 | 295 | 248,440 | |
3.585%, 8/1/37 | 547 | 453,450 | |
U.S. International Development Finance Corp., 3.52%, 9/20/32 | 609 | 563,514 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $3,161,914) | $ 2,753,269 |
U.S. Government Agency Mortgage-Backed Securities — 7.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.50%, 3/1/48 | $ | 212 | $ 184,986 |
6.00%, 6/1/53 | 209 | 206,972 | |
Federal National Mortgage Association: | |||
2.00%, 4/1/51 | 552 | 427,339 | |
2.68%, 7/1/26 | 624 | 584,304 | |
3.00%, with various maturities to 2049 | 1,440 | 1,205,045 | |
4.00%, with various maturities to 2048 | 1,217 | 1,102,217 | |
4.00%, 30-Year, TBA(19) | 29,577 | 26,351,247 | |
4.50%, 30-Year, TBA(19) | 11,457 | 10,524,771 | |
5.00%, 30-Year, TBA(19) | 19,969 | 18,849,656 | |
5.50%, 7/1/53 | 2,822 | 2,731,682 | |
5.50%, 30-Year, TBA(19) | 9,310 | 9,001,611 | |
7.00%, 6/1/53 | 280 | 290,244 | |
Government National Mortgage Association II: | |||
2.50%, with various maturities to 2051 | 1,953 | 1,576,102 | |
6.00%, with various maturities to 2053 | 1,066 | 1,060,942 | |
6.50%, 6/20/53 | 936 | 949,188 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $77,714,363) | $ 75,046,306 |
U.S. Treasury Obligations — 9.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bond: | |||
1.375%, 11/15/40 | $ | 961 | $ 568,930 |
1.375%, 8/15/50 | 1,708 | 833,984 | |
1.875%, 2/15/41 | 2,040 | 1,316,836 | |
1.875%, 2/15/51 | 335 | 187,842 | |
1.875%, 11/15/51 | 996 | 555,465 | |
2.00%, 2/15/50 | 1,316 | 768,266 | |
2.00%, 8/15/51 | 7,338 | 4,235,975 | |
2.25%, 2/15/52 | 1,804 | 1,107,663 | |
2.375%, 2/15/42 | 12,170 | 8,416,078 | |
2.875%, 5/15/43 | 6,612 | 4,901,016 | |
2.875%, 5/15/49 | 815 | 581,579 | |
2.875%, 5/15/52 | 648 | 459,599 | |
3.00%, 8/15/52 | 720 | 524,841 | |
3.125%, 5/15/48 | 371 | 277,938 | |
3.375%, 8/15/42 | 93 | 75,372 | |
3.625%, 2/15/53 | 2,957 | 2,446,390 | |
3.875%, 2/15/43 | 1,517 | 1,320,501 | |
3.875%, 5/15/43 | 155 | 134,777 | |
4.00%, 11/15/52 | 2,831 | 2,509,858 | |
5.375%, 2/15/31 | 44 | 46,181 | |
6.25%, 5/15/30 | 37 | 40,373 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Note: | |||
0.25%, 3/15/24 | $ | 1,111 | $ 1,085,679 |
0.25%, 6/15/24 | 2,234 | 2,153,877 | |
0.25%, 5/31/25 | 190 | 175,223 | |
0.25%, 6/30/25 | 185 | 170,048 | |
0.375%, 4/15/24 | 323 | 314,340 | |
0.375%, 9/30/27 | 305 | 257,499 | |
0.625%, 7/31/26 | 1,756 | 1,563,114 | |
0.75%, 11/15/24 | 285 | 270,750 | |
1.00%, 7/31/28 | 1,203 | 1,014,984 | |
1.125%, 1/15/25 | 839 | 795,542 | |
1.125%, 8/31/28 | 448 | 379,461 | |
1.25%, 12/31/26 | 1,012 | 906,689 | |
1.25%, 4/30/28 | 1,683 | 1,449,221 | |
1.25%, 6/30/28 | 344 | 294,631 | |
1.375%, 11/15/31 | 100 | 78,398 | |
1.50%, 1/31/27 | 342 | 307,987 | |
1.875%, 2/28/27 | 15,885 | 14,460,587 | |
1.875%, 2/15/32 | 1,351 | 1,097,635 | |
2.125%, 3/31/24 | 2,300 | 2,262,410 | |
2.50%, 5/31/24 | 2,180 | 2,137,916 | |
2.625%, 4/15/25 | 738 | 709,893 | |
2.75%, 4/30/27 | 12,701 | 11,878,908 | |
2.75%, 8/15/32 | 1,000 | 866,094 | |
2.875%, 4/30/29 | 3,300 | 3,014,215 | |
3.00%, 6/30/24 | 2,179 | 2,139,413 | |
3.125%, 8/31/27 | 2,851 | 2,691,188 | |
3.125%, 8/31/29 | 1,228 | 1,131,871 | |
3.25%, 8/31/24 | 1,070 | 1,048,772 | |
3.375%, 5/15/33 | 559 | 507,031 | |
3.625%, 5/15/26 | 64 | 62,043 | |
3.625%, 5/31/28 | 490 | 469,692 | |
3.875%, 4/30/25 | 6,150 | 6,025,439 | |
3.875%, 9/30/29 | 1,121 | 1,075,503 | |
4.125%, 11/15/32 | 173 | 166,877 | |
4.375%, 8/15/26 | 850 | 839,508 | |
4.50%, 11/15/25 | 2,732 | 2,703,506 | |
4.625%, 6/30/25 | 900 | 892,371 | |
4.625%, 9/15/26 | 117 | 116,433 | |
Total U.S. Treasury Obligations (identified cost $112,283,182) | $ 98,824,212 |
Venture Capital Limited Partnership Interests — 0.0%(12) |
Security | Value | ||
First Analysis Private Equity Fund IV, L.P.(9)(10) | $ 86,644 | ||
GEEMF Partners, L.P.(8)(9)(10)(16) | 5,673 | ||
Global Environment Emerging Markets Fund, L.P.(9)(10) | 35,281 | ||
Solstice Capital, L.P.(8)(9)(10) | 23,805 | ||
Total Venture Capital Limited Partnership Interests (identified cost $0) | $ 151,403 |
Short-Term Investments — 2.1% | |||
Affiliated Fund — 1.8% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(20) | 18,629,438 | $ 18,629,438 | |
Total Affiliated Fund (identified cost $18,629,438) | $ 18,629,438 | ||
Securities Lending Collateral — 0.3% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.36%(21) | 3,376,530 | $ 3,376,530 | |
Total Securities Lending Collateral (identified cost $3,376,530) | $ 3,376,530 | ||
Total Short-Term Investments (identified cost $22,005,968) | $ 22,005,968 | ||
Total Purchased Call Options — 0.0%(12) (identified cost $45,667) | $ 46,922 | ||
Total Investments — 105.9% (identified cost $1,001,205,707) | $1,130,296,821 | ||
Other Assets, Less Liabilities — (5.9)% | $ (62,826,644) | ||
Net Assets — 100.0% | $ 1,067,470,177 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At September 30, 2023, the aggregate value of these securities is $153,787,370 or 14.4% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2023. |
(3) | Principal amount is less than $500. |
(4) | Step coupon security. Interest rate represents the rate in effect at September 30, 2023. |
(5) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2023. |
(6) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at September 30, 2023. |
(7) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 8). |
(8) | Non-income producing security. |
(9) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(10) | Restricted security. Total market value of restricted securities amounts to $5,080,648, which represents 0.4% of the net assets of the Fund as of September 30, 2023. |
(11) | All or a portion of this security was on loan at September 30, 2023. The aggregate market value of securities on loan at September 30, 2023 was $6,463,488. |
(12) | Amount is less than 0.05%. |
(13) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At September 30, 2023, the aggregate value of these securities is $541,136 or 0.05% of the Fund's net assets. |
(14) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(15) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(16) | May be deemed to be an affiliated company (see Note 8). |
(17) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(18) | Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
(19) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date are determined upon settlement when the specific mortgage pools are assigned. |
(20) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
(21) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
U.S. 10-Year Treasury Note Futures 12/2023 | 91 | $9,833,688 | $110.00 | 11/24/23 | $ 46,922 |
Total | $46,922 |
(1) | Amount is less than 0.05%. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 162,672 | CAD | 219,830 | State Street Bank and Trust Company | 11/10/23 | $ 739 | $ — |
USD | 193,240 | EUR | 174,350 | JPMorgan Chase Bank, N.A. | 11/10/23 | 8,617 | — |
$9,356 | $ — |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 218 | Long | 12/29/23 | $ 44,190,984 | $ (192,546) |
U.S. 5-Year Treasury Note | 24 | Long | 12/29/23 | 2,528,625 | 6,831 |
U.S. 10-Year Treasury Note | 50 | Long | 12/19/23 | 5,403,125 | (49,196) |
U.S. Long Treasury Bond | 130 | Long | 12/19/23 | 14,791,563 | (637,169) |
U.S. Ultra-Long Treasury Bond | 3 | Long | 12/19/23 | 356,063 | (24,640) |
U.S. 5-Year Treasury Note | (13) | Short | 12/29/23 | (1,369,672) | 11,705 |
U.S. Ultra 10-Year Treasury Note | (91) | Short | 12/19/23 | (10,152,188) | 321,985 |
U.S. Ultra-Long Treasury Bond | (16) | Short | 12/19/23 | (1,899,000) | 103,844 |
$(459,186) |
Description | Acquisition Dates | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | $2,500,000 |
First Analysis Private Equity Fund IV, L.P. | 2/25/02-7/6/11 | 0 |
GEEMF Partners, L.P. | 2/28/97 | 0 |
Global Environment Emerging Markets Fund, L.P. | 1/14/94-2/1/95 | 0 |
Learn Capital Venture Partners III, L.P., Common Stock | 8/30/16-3/1/23 | 873,242 |
Lumni, Inc., Series B, Preferred | 8/8/13 | 116,367 |
Neighborhood Bancorp, Class A, Common Stock | 6/25/97 | 100,001 |
Solstice Capital, L.P. | 6/26/01-6/17/08 | 0 |
Wind Harvest Co., Inc., Preferred | 5/16/94 | 100,000 |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
EUR | – Euro |
USD | – United States Dollar |
Asset-Backed Securities — 15.3% |
Security | Principal Amount (000's omitted)* | Value | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 5,545 | $ 4,637,559 | |
Cologix Canadian Issuer, L.P., Series 2022-1CAN, Class C, 7.74%, 1/25/52(1) | CAD | 5,300 | 3,487,094 |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 13,910 | 12,270,910 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 5,985 | 5,199,912 | |
Conn's Receivables Funding, LLC: | |||
Series 2022-A, Class B, 9.52%, 12/15/26(1) | 9,430 | 9,470,122 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 9,900 | 8,454,966 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 5,184 | 4,473,349 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 652 | 594,232 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 5,977 | 5,116,482 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 1,193 | 1,038,271 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 13,147 | 11,211,994 | |
Driven Brands Funding, LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 8,479 | 8,190,278 | |
Series 2019-1A, Class A2, 4.641%, 4/20/49(1) | 5,454 | 5,157,871 | |
Enterprise Fleet Financing, LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(1) | 13,390 | 13,285,308 | |
ExteNet, LLC, Series 2019-1A, Class A2, 3.204%, 7/25/49(1) | 6,921 | 6,655,905 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 1,946 | 1,783,133 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 5,210 | 4,288,169 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 4,391 | 4,082,727 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 6,200 | 6,118,489 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 1,167 | 1,082,086 | |
GoodLeap Sustainable Home Solutions Trust: | |||
Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 3,402 | 2,566,899 | |
Series 2022-2CS, Class A, 4.00%, 4/20/49(1) | 9,199 | 7,913,348 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 2,067 | 1,744,405 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 3,602 | 3,317,984 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 1,673 | 1,624,880 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 1,886 | 1,803,779 | |
LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.68%, 10/15/26(1) | 2,788 | 2,781,705 | |
Loanpal Solar Loan, Ltd., Series 2020-3GS, Class A, 2.47%, 12/20/47(1) | 1,960 | 1,480,937 | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 719 | 513,625 | |
Series 2020-1A, Class C, 6.413%, 2/15/45(1) | 391 | 89,124 |
Security | Principal Amount (000's omitted)* | Value | |
Marlette Funding Trust, Series 2023-1A, Class A, 6.07%, 4/15/33(1) | 9,007 | $ 8,992,001 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 1,801 | 1,630,721 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 6,058 | 5,235,742 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 0 (3) | 78 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 619 | 523,050 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 518 | 443,222 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 1,263 | 1,020,174 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 1,573 | 1,224,607 | |
Series 2022-2A, Class B, 5.13%, 1/21/53(1) | 5,544 | 4,816,788 | |
Mosaic Solar Loans, LLC, Series 2017-1A, Class A, 4.45%, 6/20/42(1) | 93 | 87,150 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 5,303 | 4,442,356 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 6,681 | 6,025,696 | |
OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.13%, 5/14/35(1) | 8,670 | 8,328,395 | |
Oportun Funding XIII, LLC, Series 2019-A, Class A, 3.08%, 8/8/25(1) | 1,837 | 1,822,612 | |
Oportun Funding XIV, LLC: | |||
Series 2021-A, Class B, 1.76%, 3/8/28(1) | 1,226 | 1,174,215 | |
Series 2021-A, Class C, 3.44%, 3/8/28(1) | 2,650 | 2,556,472 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 1,862 | 1,845,225 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 6,319 | 5,773,866 | |
Series 2021-B, Class B, 1.96%, 5/8/31(1) | 1,694 | 1,541,065 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 30,475 | 27,735,090 | |
Series 2022-3, Class B, 8.533%, 1/8/30(1) | 7,784 | 7,862,698 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 1,921 | 1,856,238 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 1,024 | 1,020,189 | |
Series 2021-5, Class B, 2.63%, 8/15/29(1) | 3,856 | 3,720,271 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 2,903 | 2,533,224 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 1,269 | 1,222,528 | |
Series 2022-1, Class A, 2.03%, 10/15/29(1) | 4,050 | 3,965,833 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 3,095 | 2,588,210 | |
Retained Vantage Data Centers Issuer, LLC, Series 2023-1A, Class A2A, 5.00%, 9/15/48(1) | 14,860 | 13,425,430 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869% to 10/15/23, 10/15/49(1)(4) | 3,300 | 3,212,753 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 1,917 | 1,626,119 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 2,256 | 1,778,691 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 10,421 | 9,554,368 | |
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 5/15/31(1) | 2,068 | 2,063,720 |
Security | Principal Amount (000's omitted)* | Value | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 1,011 | $ 1,010,449 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 4,468 | 4,062,142 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 2,967 | 2,695,273 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 10,244 | 10,145,407 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 2,140 | 2,052,452 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 4,099 | 3,724,347 | |
Sunnova Helios II Issuer, LLC: | |||
Series 2019-AA, Class A, 3.75%, 6/20/46(1) | 1,798 | 1,588,559 | |
Series 2021-B, Class A, 1.62%, 7/20/48(1) | 8,563 | 7,042,868 | |
Sunnova Helios IV Issuer, LLC, Series 2020-AA, Class A, 2.98%, 6/20/47(1) | 3,111 | 2,772,039 | |
Sunnova Helios V Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 869 | 732,121 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 6,639 | 6,211,627 | |
Sunnova Helios XII Issuer, LLC: | |||
Series 2023-B, Class A, 5.30%, 8/22/50(1) | 9,006 | 8,588,689 | |
Series 2023-B, Class B, 5.60%, 8/22/50(1) | 2,857 | 2,653,195 | |
Sunnova Sol II Issuer, LLC: | |||
Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 8,552 | 6,732,896 | |
Series 2020-2A, Class B, 5.47%, 11/1/55(1) | 2,099 | 1,666,241 | |
Sunnova Sol Issuer, LLC: | |||
Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 1,315 | 1,105,636 | |
Series 2020-1A, Class B, 5.54%, 2/1/55(1) | 4,333 | 3,609,463 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 2,633 | 2,292,235 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 3,850 | 3,050,553 | |
Sunrun Jupiter Issuer, LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1) | 24,289 | 21,179,085 | |
Sunrun Vulcan Issuer, LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(1) | 3,113 | 2,570,685 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 1,228 | 1,075,975 | |
Theorem Funding Trust, Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 1,916 | 1,926,127 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 2,852 | 2,538,140 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 7,013 | 6,813,419 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 10,830 | 9,072,054 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 3,726 | 3,265,577 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 5,597 | 4,395,979 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 1,961 | 1,584,008 |
Security | Principal Amount (000's omitted)* | Value | |
Willis Engine Structured Trust V: (continued) | |||
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 624 | $ 449,885 | |
Total Asset-Backed Securities (identified cost $445,323,361) | $ 408,691,466 |
Collateralized Mortgage Obligations — 6.5% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 7.065%, (30-day average SOFR + 1.75%), 3/25/31(1)(5) | $ | 58 | $ 58,434 |
Series 2021-1A, Class M1B, 7.515%, (30-day average SOFR + 2.20%), 3/25/31(1)(5) | 1,550 | 1,560,708 | |
Series 2021-2A, Class M1A, 6.515%, (30-day average SOFR + 1.20%), 6/25/31(1)(5) | 4,142 | 4,144,445 | |
Series 2021-3A, Class A2, 6.315%, (30-day average SOFR + 1.00%), 9/25/31(1)(5) | 3,470 | 3,441,928 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 7,779 | 6,840,625 | |
CHNGE Mortgage Trust: | |||
Series 2023-2, Class A3, 7.436% to 5/25/26, 6/25/58(1)(4) | 5,500 | 5,407,137 | |
Series 2023-4, Class A1, 7.573% to 8/25/26, 9/25/58(1)(4) | 7,080 | 7,117,865 | |
Federal Home Loan Mortgage Corp., Series 5324, Class MZ, 6.00%, 7/25/53 | 655 | 607,169 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA3, Class B2, 13.579%, (30-day average SOFR + 8.264%), 7/25/49(1)(5) | 2,905 | 3,226,796 | |
Series 2019-DNA4, Class M2, 7.379%, (30-day average SOFR + 2.064%), 10/25/49(1)(5) | 83 | 83,786 | |
Series 2019-HQA3, Class B1, 8.429%, (30-day average SOFR + 3.114%), 9/25/49(1)(5) | 3,974 | 4,154,877 | |
Series 2019-HQA4, Class B1, 8.379%, (30-day average SOFR + 3.064%), 11/25/49(1)(5) | 2,673 | 2,753,346 | |
Series 2020-HQA2, Class B1, 9.529%, (30-day average SOFR + 4.214%), 3/25/50(1)(5) | 5,321 | 5,802,653 | |
Series 2021-DNA2, Class B1, 8.715%, (30-day average SOFR + 3.40%), 8/25/33(1)(5) | 7,095 | 7,291,803 | |
Series 2021-DNA3, Class M1, 6.065%, (30-day average SOFR + 0.75%), 10/25/33(1)(5) | 903 | 901,748 | |
Series 2022-DNA2, Class M1A, 6.615%, (30-day average SOFR + 1.30%), 2/25/42(1)(5) | 4,553 | 4,552,380 | |
Series 2022-HQA1, Class M1A, 7.415%, (30-day average SOFR + 2.10%), 3/25/42(1)(5) | 1,160 | 1,173,344 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 10.679%, (30-day average SOFR + 5.364%), 10/25/23(5) | 720 | 723,635 | |
Series 2014-C02, Class 2M2, 8.029%, (30-day average SOFR + 2.714%), 5/25/24(5) | 318 | 321,477 | |
Series 2014-C03, Class 2M2, 8.329%, (30-day average SOFR + 3.014%), 7/25/24(5) | 376 | 380,229 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2018-R07, Class 1M2, 7.829%, (30-day average SOFR + 2.514%), 4/25/31(1)(5) | $ | 115 | $ 116,070 |
Series 2019-R01, Class 2B1, 9.779%, (30-day average SOFR + 4.464%), 7/25/31(1)(5) | 10,565 | 11,256,946 | |
Series 2019-R02, Class 1B1, 9.579%, (30-day average SOFR + 4.264%), 8/25/31(1)(5) | 4,692 | 4,951,150 | |
Series 2019-R03, Class 1B1, 9.529%, (30-day average SOFR + 4.214%), 9/25/31(1)(5) | 4,825 | 5,092,515 | |
Series 2019-R06, Class 2B1, 9.179%, (30-day average SOFR + 3.864%), 9/25/39(1)(5) | 20,766 | 21,331,200 | |
Series 2019-R07, Class 1B1, 8.829%, (30-day average SOFR + 3.514%), 10/25/39(1)(5) | 9,454 | 9,664,529 | |
Series 2020-R01, Class 2B1, 8.679%, (30-day average SOFR + 3.364%), 1/25/40(1)(5) | 3,000 | 3,033,713 | |
Series 2020-R02, Class 2B1, 8.429%, (30-day average SOFR + 3.114%), 1/25/40(1)(5) | 4,570 | 4,620,578 | |
Series 2021-R01, Class 1B2, 11.315%, (30-day average SOFR + 6.00%), 10/25/41(1)(5) | 10,132 | 10,304,541 | |
Series 2021-R02, Class 2B1, 8.615%, (30-day average SOFR + 3.30%), 11/25/41(1)(5) | 1,647 | 1,659,746 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 2,863 | 2,798,852 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 2,992 | 2,924,191 | |
Series 2023-116, Class CY, 6.00%, 8/20/53 | 7,271 | 7,111,467 | |
Series 2023-149, Class S, 5.505%, (21.45% - 30-day average SOFR x 3.00), 9/1/53(6) | 2,000 | 1,994,628 | |
Home Re, Ltd., Series 2021-1, Class M2, 8.284%, (30-day average SOFR + 2.964%), 7/25/33(1)(5) | 2,500 | 2,507,175 | |
LHOME Mortgage Trust, Series 2023-RTL3, Class A1, 8.00%, 8/25/28(1)(2) | 4,911 | 4,911,851 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 9.284%, (1 mo. SOFR + 3.85%), 2/25/25(1)(5) | 7,588 | 7,587,242 | |
Series 2018-GT2, Class A, 8.084%, (1 mo. SOFR + 2.65%), 8/25/25(1)(5) | 2,555 | 2,555,100 | |
Series 2021-FT1, Class A, 8.434%, (1 mo. SOFR + 3.00%), 3/25/26(1)(5) | 1,360 | 1,327,970 | |
Series 2022-GT1, Class A, 9.565%, (30-day average SOFR + 4.25%), 5/25/27(1)(5) | 4,680 | 4,692,895 | |
Radnor Re, Ltd., Series 2021-2, Class M1A, 7.165%, (30-day average SOFR + 1.85%), 11/25/31(1)(5) | 2,006 | 2,009,061 | |
Total Collateralized Mortgage Obligations (identified cost $170,252,781) | $ 172,995,805 |
Commercial Mortgage-Backed Securities — 10.0% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(2) | $ | 9,685 | $ 6,061,156 |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(2) | 4,805 | 1,063,686 |
Security | Principal Amount (000's omitted) | Value | |
BPR Trust, Series 2022-SSP, Class A, 8.332%, (1 mo. SOFR + 3.00%), 5/15/39(1)(5) | $ | 5,810 | $ 5,806,358 |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 6.367%, (1 mo. SOFR + 1.034%), 10/15/36(1)(5) | 11,903 | 11,872,758 | |
Series 2019-XL, Class B, 6.527%, (1 mo. SOFR + 1.194%), 10/15/36(1)(5) | 2,690 | 2,674,424 | |
Series 2021-VOLT, Class B, 6.397%, (1 mo. SOFR + 1.064%), 9/15/36(1)(5) | 10,584 | 10,244,521 | |
Series 2021-VOLT, Class C, 6.547%, (1 mo. SOFR + 1.214%), 9/15/36(1)(5) | 6,226 | 5,992,429 | |
Series 2021-VOLT, Class D, 7.097%, (1 mo. SOFR + 1.764%), 9/15/36(1)(5) | 7,717 | 7,377,222 | |
CSMC: | |||
Series 2018-SITE, Class A, 4.284%, 4/15/36(1) | 6,575 | 6,426,197 | |
Series 2020-TMIC, Class A, 8.948%, (1 mo. SOFR + 3.614%), 12/15/35(1)(5) | 4,710 | 4,706,659 | |
Series 2021-4SZN, Class A, 9.30%, (1 mo. SOFR + 3.967%), 11/15/23(1)(5) | 5,199 | 5,042,775 | |
Series 2021-BPNY, Class A, 9.162%, (1 mo. SOFR + 3.829%), 8/15/26(1)(5) | 3,000 | 2,635,713 | |
Series 2022-NWPT, Class A, 8.475%, (1 mo. SOFR + 3.143%), 9/9/24(1)(5) | 5,285 | 5,341,169 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 6.527%, (1 mo. SOFR + 1.194%), 7/15/38(1)(5) | 9,565 | 9,492,822 | |
Series 2021-ESH, Class C, 7.147%, (1 mo. SOFR + 1.814%), 7/15/38(1)(5) | 8,600 | 8,484,005 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 19,890 | 17,163,708 | |
Series KG03, Class A2, 1.297%, 6/25/30(2) | 4,615 | 3,608,466 | |
Series KG08, Class A2, 4.134%, 5/25/33(2) | 6,737 | 6,164,788 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 4,386 | 3,458,265 | |
Series KW06, Class A2, 3.80%, 6/25/28(2) | 5,335 | 5,015,357 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(2) | 1,896 | 1,747,207 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.029%, 9/25/27(2) | 4,936 | 4,553,064 | |
Series 2018-M4, Class A2, 3.166%, 3/25/28(2) | 5,218 | 4,813,550 | |
Series 2018-M13, Class A2, 3.866%, 9/25/30(2) | 13,564 | 12,530,293 | |
Series 2019-M1, Class A2, 3.665%, 9/25/28(2) | 7,693 | 7,196,854 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 10,779 | 9,391,317 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 13,443 | 11,558,754 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 5,500 | 4,423,162 | |
Series 2023-M1S, Class A2, 4.656%, 4/25/33(2) | 16,881 | 15,965,517 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.679%, (30-day average SOFR + 3.364%), 10/25/49(1)(5) | 7,727 | 7,556,237 | |
Series 2020-01, Class M10, 9.179%, (30-day average SOFR + 3.864%), 3/25/50(1)(5) | 6,085 | 5,950,502 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 6.529%, (1 mo. SOFR + 1.197%), 5/15/38(1)(5) | 16,052 | 15,944,751 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 2,335 | 342,019 |
Security | Principal Amount (000's omitted) | Value | |
JPMorgan Chase Commercial Mortgage Securities Trust: (continued) | |||
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(2) | $ | 385 | $ 26,195 |
Med Trust: | |||
Series 2021-MDLN, Class D, 7.447%, (1 mo. SOFR + 2.114%), 11/15/38(1)(5) | 6,753 | 6,489,239 | |
Series 2021-MDLN, Class E, 8.597%, (1 mo. SOFR + 3.264%), 11/15/38(1)(5) | 2,329 | 2,219,986 | |
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36(1)(5)(7) | 7,250 | 6,986,162 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 7.095%, (1 mo. SOFR + 1.764%), 1/18/37(1)(5) | 6,306 | 6,169,458 | |
Series 2021-HT1, Class B, 9.945%, (1 mo. SOFR + 4.614%), 1/18/37(1)(5) | 13,365 | 12,677,066 | |
WFLD Mortgage Trust: | |||
Series 2014-MONT, Class B, 3.88%, 8/10/31(1)(2) | 1,330 | 885,096 | |
Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(2) | 2,700 | 1,472,812 | |
Total Commercial Mortgage-Backed Securities (identified cost $293,609,557) | $ 267,531,719 |
Convertible Bonds — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical — 0.0%(8) | |||
Ford Motor Co., 0.00%, 3/15/26 | $ | 675 | $ 666,563 |
$ 666,563 | |||
Consumer, Non-cyclical — 0.1% | |||
BioMarin Pharmaceutical, Inc., 0.599%, 8/1/24 | $ | 575 | $ 559,187 |
Block, Inc., 0.125%, 3/1/25 | 650 | 606,450 | |
Dexcom, Inc., 0.25%, 11/15/25 | 550 | 521,125 | |
Jazz Investments I, Ltd., 2.00%, 6/15/26 | ��� 550 | 562,719 | |
$ 2,249,481 | |||
Energy — 0.0%(8) | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | $ | 800 | $ 682,400 |
$ 682,400 | |||
Financial — 0.1% | |||
Ares Capital Corp., 4.625%, 3/1/24 | $ | 750 | $ 764,531 |
$ 764,531 | |||
Technology — 0.1% | |||
Akamai Technologies, Inc., 1.125%, 2/15/29(1) | $ | 600 | $ 608,100 |
BILL Holdings, Inc., 0.00%, 12/1/25 | 550 | 555,500 | |
Rapid7, Inc., 0.25%, 3/15/27 | 650 | 556,969 |
Security | Principal Amount (000's omitted) | Value | |
Technology (continued) | |||
Tyler Technologies, Inc., 0.25%, 3/15/26(9) | $ | 650 | $ 630,825 |
$ 2,351,394 | |||
Utilities — 0.0%(8) | |||
NRG Energy, Inc., 2.75%, 6/1/48 | $ | 600 | $ 637,800 |
$ 637,800 | |||
Total Convertible Bonds (identified cost $7,649,490) | $ 7,352,169 |
Corporate Bonds — 37.8% |
Security | Principal Amount (000’s omitted) | Value | |
Basic Materials — 0.6% | |||
Celanese U.S. Holdings, LLC: | |||
6.35%, 11/15/28 | $ | 4,205 | $ 4,154,312 |
6.55%, 11/15/30 | 5,100 | 4,993,581 | |
6.70%, 11/15/33 | 2,845 | 2,771,451 | |
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | 4,488 | 3,789,101 | |
$ 15,708,445 | |||
Communications — 1.5% | |||
AT&T, Inc.: | |||
3.55%, 9/15/55 | $ | 11,437 | $ 7,008,439 |
3.65%, 6/1/51 | 8,865 | 5,720,247 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 16,467 | 11,526,673 | |
Nokia Oyj, 4.375%, 6/12/27 | 1,590 | 1,473,731 | |
Rogers Communications, Inc., 4.55%, 3/15/52 | 15,669 | 11,441,319 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 2,440 | 1,645,407 | |
SES S.A., 5.30%, 4/4/43(1) | 1,457 | 982,480 | |
$ 39,798,296 | |||
Consumer, Cyclical — 2.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | $ | 10,085 | $ 9,858,782 |
Bath & Body Works, Inc., 7.60%, 7/15/37 | 2,744 | 2,411,387 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd.: | |||
4.50%, 10/20/25(1) | 3,825 | 3,716,723 | |
4.75%, 10/20/28(1) | 4,954 | 4,709,828 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 12,954 | 7,877,240 | |
Ford Motor Credit Co., LLC, 7.35%, 11/4/27 | 6,678 | 6,826,025 | |
General Motors Financial Co., Inc.: | |||
4.30%, 4/6/29 | 4,145 | 3,720,690 | |
5.85%, 4/6/30(9) | 12,775 | 12,244,969 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 4,400 | 3,713,160 | |
4.375%, 1/15/31(1)(9) | 7,749 | 6,418,474 |
Security | Principal Amount (000’s omitted) | Value | |
Consumer, Cyclical (continued) | |||
WarnerMedia Holdings, Inc.: | |||
5.05%, 3/15/42 | $ | 3,835 | $ 2,968,074 |
5.391%, 3/15/62 | 4,972 | 3,675,571 | |
$ 68,140,923 | |||
Consumer, Non-cyclical — 2.1% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 1,014 | $ 922,922 |
4.25%, 11/1/29(1) | 5,174 | 4,585,340 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 6,085 | 4,681,730 | |
3.375%, 2/15/30 | 2,435 | 2,033,729 | |
4.25%, 12/15/27 | 2,693 | 2,485,006 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 2,149 | 1,880,575 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 3,930 | 2,926,926 | |
Conservation Fund (The), 3.474%, 12/15/29 | 3,965 | 3,350,616 | |
CVS Health Corp.: | |||
5.25%, 1/30/31 | 8,230 | 7,911,895 | |
5.875%, 6/1/53 | 3,407 | 3,153,319 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 1,089 | 1,077,427 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 10,210 | 5,670,732 | |
Ford Foundation (The), 2.415%, 6/1/50 | 6,560 | 3,826,854 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 4,091 | 3,830,319 | |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | 1,330 | 1,222,256 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1)(9) | 1,049 | 901,834 | |
President and Fellows of Harvard College, 3.619%, 10/1/37 | 1,000 | 826,399 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 4,632 | 3,325,197 | |
3.00%, 10/15/30(1) | 1,114 | 852,439 | |
$ 55,465,515 | |||
Energy — 0.4% | |||
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | $ | 5,174 | $ 4,427,159 |
5.00%, 1/31/28(1) | 7,060 | 6,415,175 | |
$ 10,842,334 | |||
Financial — 21.6% | |||
ABN AMRO Bank NV, 6.339% to 9/18/26, 9/18/27(1)(10) | $ | 5,700 | $ 5,688,190 |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 3,042 | 2,530,197 | |
AIB Group PLC, 6.608% to 9/13/28, 9/13/29(1)(10) | 4,641 | 4,624,718 | |
Ally Financial, Inc., 8.00%, 11/1/31 | 9,250 | 9,347,121 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 2,454 | 1,840,191 | |
American National Group, LLC, 6.144%, 6/13/32(1) | 6,355 | 5,756,811 | |
Ameriprise Financial, Inc., 5.15%, 5/15/33 | 5,697 | 5,387,380 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 5,050 | 4,328,690 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(10) | 6,352 | 5,899,705 |
Security | Principal Amount (000’s omitted) | Value | |
Financial (continued) | |||
Aviation Capital Group, LLC: | |||
6.25%, 4/15/28(1) | $ | 5,275 | $ 5,163,398 |
6.375%, 7/15/30(1) | 5,930 | 5,747,537 | |
Banco Santander S.A.: | |||
4.175% to 3/24/27, 3/24/28(10) | 1,200 | 1,108,574 | |
5.294%, 8/18/27 | 9,600 | 9,287,247 | |
6.921%, 8/8/33 | 7,200 | 6,889,443 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(10) | 8,928 | 7,914,031 | |
1.898% to 7/23/30, 7/23/31(10) | 3,540 | 2,691,372 | |
1.922% to 10/24/30, 10/24/31(10) | 1,865 | 1,407,735 | |
2.087% to 6/14/28, 6/14/29(10) | 4,867 | 4,076,076 | |
2.299% to 7/21/31, 7/21/32(10) | 5,365 | 4,067,828 | |
2.456% to 10/22/24, 10/22/25(10) | 8,268 | 7,942,871 | |
2.551% to 2/4/27, 2/4/28(10) | 9,133 | 8,147,633 | |
3.824% to 1/20/27, 1/20/28(10) | 7,533 | 6,998,975 | |
3.846% to 3/8/32, 3/8/37(10) | 5,351 | 4,356,310 | |
4.571% to 4/27/32, 4/27/33(10) | 5,020 | 4,459,417 | |
5.819% to 9/15/28, 9/15/29(10) | 13,095 | 12,939,720 | |
5.872% to 9/15/33, 9/15/34(10) | 8,717 | 8,487,773 | |
6.204% to 11/10/27, 11/10/28(10) | 4,060 | 4,079,847 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 5,136 | 4,715,045 | |
5.125% to 1/18/28, 1/18/33(1)(10) | 1,686 | 1,453,011 | |
BNP Paribas S.A.: | |||
7.75% to 8/16/29(1)(10)(11) | 3,725 | 3,545,322 | |
9.25% to 11/17/27(1)(9)(10)(11) | 5,958 | 6,110,406 | |
Boston Properties, L.P., 2.45%, 10/1/33(9) | 4,993 | 3,412,330 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(10) | 6,559 | 5,053,880 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 3,193 | 2,239,264 | |
CaixaBank S.A., 6.208% to 1/18/28, 1/18/29(1)(10) | 5,889 | 5,765,777 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(10) | 5,920 | 4,955,541 | |
4.20%, 10/29/25 | 2,950 | 2,813,584 | |
CBRE Services, Inc., 5.95%, 8/15/34 | 7,075 | 6,681,742 | |
Charles Schwab Corp. (The), 6.136% to 8/24/33, 8/24/34(10) | 6,357 | 6,187,307 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 5,188 | 3,939,127 | |
4.10%, 6/15/51 | 7,934 | 4,599,364 | |
Citigroup, Inc., 4.00% to 12/10/25(10)(11) | 3,895 | 3,416,893 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 7,196 | 5,054,970 | |
Discover Bank, 5.974%, 8/9/28 | 592 | 542,250 | |
EPR Properties: | |||
3.75%, 8/15/29 | 6,930 | 5,573,494 | |
4.50%, 6/1/27 | 6,725 | 6,024,768 | |
4.95%, 4/15/28 | 3,398 | 3,014,027 | |
Extra Space Storage, L.P.: | |||
2.40%, 10/15/31 | 6,172 | 4,729,281 |
Security | Principal Amount (000’s omitted) | Value | |
Financial (continued) | |||
Extra Space Storage, L.P.: (continued) | |||
2.55%, 6/1/31 | $ | 4,159 | $ 3,241,771 |
5.50%, 7/1/30 | 7,020 | 6,793,870 | |
F&G Annuities & Life, Inc., 7.40%, 1/13/28 | 12,568 | 12,556,145 | |
Fifth Third Bancorp, 6.339% to 7/27/28, 7/27/29(10) | 5,583 | 5,518,235 | |
GA Global Funding Trust, 2.25%, 1/6/27(1) | 11,309 | 9,918,596 | |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 10,748 | 7,671,484 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 13,833 | 12,310,102 | |
3.75%, 9/15/30(1)(9) | 6,000 | 4,599,027 | |
6.00%, 4/15/25(1) | 6,528 | 6,359,176 | |
HSBC Holdings PLC: | |||
6.161% to 3/9/28, 3/9/29(10) | 6,451 | 6,389,586 | |
7.39% to 11/3/27, 11/3/28(10) | 9,912 | 10,258,148 | |
Intesa Sanpaolo SpA: | |||
7.00%, 11/21/25(1) | 2,208 | 2,235,788 | |
8.248% to 11/21/32, 11/21/33(1)(10) | 11,790 | 11,892,486 | |
Iron Mountain, Inc., 4.50%, 2/15/31(1) | 7,198 | 5,928,262 | |
Jefferies Financial Group, Inc., 5.875%, 7/21/28 | 8,017 | 7,850,558 | |
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(10) | 8,125 | 7,120,807 | |
1.578% to 4/22/26, 4/22/27(10) | 8,750 | 7,810,916 | |
2.545% to 11/8/31, 11/8/32(10) | 2,543 | 1,969,009 | |
4.005% to 4/23/28, 4/23/29(10) | 5,123 | 4,723,947 | |
KeyBank N.A., 5.85%, 11/15/27 | 7,526 | 7,161,595 | |
KeyCorp, 4.789% to 6/1/32, 6/1/33(10) | 3,250 | 2,710,970 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 4,662 | 2,972,352 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 2,785 | 1,633,556 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(10) | 5,399 | 4,447,507 | |
Macquarie Bank, Ltd., 6.798%, 1/18/33(1) | 5,858 | 5,754,013 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(10) | 4,701 | 4,666,300 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 3,000 | 2,997,315 | |
OneMain Finance Corp., 3.50%, 1/15/27 | 10,150 | 8,701,138 | |
PNC Financial Services Group, Inc. (The), Series W, 6.25% to 3/15/30(10)(11) | 9,555 | 8,214,573 | |
Radian Group, Inc., 4.875%, 3/15/27 | 4,207 | 3,935,396 | |
Rocket Mortgage, LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/1/31(1) | 8,074 | 6,448,583 | |
SITE Centers Corp., 3.625%, 2/1/25 | 4,767 | 4,540,562 | |
Societe Generale S.A.: | |||
6.221% to 6/15/32, 6/15/33(1)(10) | 4,545 | 4,121,595 | |
9.375% to 11/22/27(1)(10)(11) | 3,472 | 3,410,775 | |
Standard Chartered PLC, 1.822% to 11/23/24, 11/23/25(1)(10) | 3,977 | 3,759,407 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 4,782 | 4,046,103 | |
Sun Communities Operating, L.P.: | |||
4.20%, 4/15/32 | 5,200 | 4,440,418 | |
5.70%, 1/15/33 | 4,587 | 4,343,584 |
Security | Principal Amount (000’s omitted) | Value | |
Financial (continued) | |||
Swedbank AB: | |||
5.337%, 9/20/27(1) | $ | 3,525 | $ 3,418,811 |
6.136%, 9/12/26(1) | 8,620 | 8,589,608 | |
Synchrony Bank: | |||
5.40%, 8/22/25 | 3,488 | 3,363,145 | |
5.625%, 8/23/27 | 568 | 530,502 | |
Synchrony Financial, 4.50%, 7/23/25 | 9,400 | 8,953,983 | |
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(10) | 6,445 | 5,206,683 | |
5.625%, 2/15/28 | 4,830 | 4,379,309 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(10) | 3,024 | 2,511,335 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(10) | 12,137 | 12,104,884 | |
Truist Financial Corp.: | |||
5.10% to 3/1/30(10)(11) | 4,856 | 4,175,975 | |
5.867% to 6/8/33, 6/8/34(10) | 17,006 | 16,018,433 | |
6.047% to 6/8/26, 6/8/27(10) | 7,876 | 7,793,061 | |
U.S. Bancorp: | |||
5.775% to 6/12/28, 6/12/29(10) | 10,580 | 10,304,231 | |
5.836% to 6/10/33, 6/12/34(10) | 6,968 | 6,577,281 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(10) | 6,300 | 4,664,932 | |
4.375% to 2/10/31(1)(10)(11) | 2,686 | 1,931,028 | |
UniCredit SpA: | |||
2.569% to 9/22/25, 9/22/26(1)(10) | 6,576 | 6,027,161 | |
5.459% to 6/30/30, 6/30/35(1)(10) | 4,317 | 3,621,933 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(10) | 3,746 | 2,775,388 | |
$ 577,397,511 | |||
Government - Multinational — 4.0% | |||
Asian Development Bank, 3.125%, 9/26/28 | $ | 5,500 | $ 5,110,897 |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 7,640 | 7,247,127 | |
European Investment Bank: | |||
1.625%, 5/13/31 | 14,990 | 12,117,881 | |
2.375%, 5/24/27 | 17,185 | 15,831,432 | |
2.875%, 6/13/25(1) | 42,948 | 41,309,871 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 6,067 | 5,677,395 | |
International Bank for Reconstruction & Development: | |||
0.875%, 7/15/26 | 5,000 | 4,476,852 | |
3.125%, 11/20/25 | 12,050 | 11,565,616 | |
International Finance Corp., 5.435%, (SOFR + 0.09%), 4/3/24(5) | 4,067 | 4,068,010 | |
$ 107,405,081 | |||
Government - Regional — 0.4% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 12,390 | $ 11,928,273 |
$ 11,928,273 |
Security | Principal Amount (000’s omitted) | Value | |
Industrial — 0.7% | |||
Berry Global, Inc., 5.50%, 4/15/28(1) | $ | 3,145 | $ 3,040,169 |
Cemex SAB de CV, 9.125% to 3/14/28(1)(10)(11) | 4,648 | 4,844,401 | |
Jabil, Inc., 3.00%, 1/15/31 | 2,950 | 2,392,741 | |
Penske Truck Leasing Co., L.P./PTL Finance Corp., 6.20%, 6/15/30(1) | 5,150 | 5,079,323 | |
SMBC Aviation Capital Finance DAC, 3.55%, 4/15/24(1) | 3,200 | 3,155,535 | |
$ 18,512,169 | |||
Other Revenue — 0.3% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 9,400 | $ 7,550,776 |
$ 7,550,776 | |||
Technology — 2.4% | |||
Concentrix Corp.: | |||
6.60%, 8/2/28 | $ | 14,829 | $ 14,318,694 |
6.65%, 8/2/26 | 7,645 | 7,601,793 | |
Foundry JV Holdco, LLC, 5.875%, 1/25/34(1) | 7,974 | 7,625,842 | |
Intel Corp., 5.70%, 2/10/53 | 8,647 | 8,114,967 | |
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28 | 11,789 | 9,698,875 | |
3.15%, 10/15/31 | 2,935 | 2,225,199 | |
Marvell Technology, Inc., 5.75%, 2/15/29 | 3,167 | 3,139,270 | |
Micron Technology, Inc., 2.703%, 4/15/32 | 1,544 | 1,179,855 | |
Seagate HDD Cayman: | |||
5.75%, 12/1/34 | 6,242 | 5,278,461 | |
9.625%, 12/1/32(1) | 5,596 | 6,035,242 | |
$ 65,218,198 | |||
Utilities — 1.2% | |||
AES Corp. (The), 2.45%, 1/15/31 | $ | 4,180 | $ 3,218,218 |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 2,429 | 1,890,989 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 11,675 | 10,316,241 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 3,240 | 2,057,920 | |
4.25%, 7/15/49 | 4,815 | 3,770,467 | |
5.35%, 1/15/34 | 3,187 | 3,146,770 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 324 | 311,398 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 3,518 | 2,744,365 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 5,126 | 4,457,672 | |
$ 31,914,040 | |||
Total Corporate Bonds (identified cost $1,123,682,687) | $1,009,881,561 |
High Social Impact Investments — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(12)(13) | $ | 5,000 | $ 4,931,450 |
Total High Social Impact Investments (identified cost $5,000,000) | $ 4,931,450 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Real Estate Management & Development — 0.2% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 97,843 | $ 1,246,520 | |
Series A2, 6.375% | 211,400 | 2,853,900 | |
$ 4,100,420 | |||
Wireless Telecommunication Services — 0.2% | |||
United States Cellular Corp.: | |||
5.50% | 304,275 | $ 5,008,366 | |
6.25% | 40,000 | 726,000 | |
$ 5,734,366 | |||
Total Preferred Stocks (identified cost $16,618,792) | $ 9,834,786 |
Senior Floating-Rate Loans(14) — 0.1% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.1% | |||
CenturyLink, Inc., Term Loan, 7.681%, (SOFR + 2.25%), 3/15/27 | $ | 5,037 | $ 3,599,794 |
Total Senior Floating-Rate Loans (identified cost $5,016,231) | $ 3,599,794 |
Sovereign Government Bonds — 1.4% |
Security | Principal Amount (000’s omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 3,653 | $ 2,803,824 |
1.00%, 10/1/26 | 25,266 | 22,577,620 | |
1.75%, 9/14/29 | 14,365 | 12,216,792 | |
Total Sovereign Government Bonds (identified cost $43,127,281) | $ 37,598,236 |
Taxable Municipal Obligations — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.5% | |||
Commonwealth of Massachusetts, 5.456%, 12/1/39(15) | $ | 750 | $ 748,320 |
Los Angeles Unified School District, CA, 5.75%, 7/1/34(15) | 3,750 | 3,785,550 | |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 4,770 | 3,531,469 | |
New York City, NY, 5.206%, 10/1/31(15) | 1,030 | 1,012,696 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 3,085 | 2,524,548 | |
$ 11,602,583 | |||
Special Tax Revenue — 1.0% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
Social Bonds, 2.361%, 6/1/26 | $ | 5,565 | $ 5,167,603 |
Social Bonds, 2.484%, 6/1/27 | 3,980 | 3,630,795 | |
Social Bonds, 2.534%, 6/1/28 | 4,980 | 4,452,767 | |
Social Bonds, 2.584%, 6/1/29 | 2,715 | 2,373,480 | |
Social Bonds, 2.984%, 6/1/33 | 3,060 | 2,501,642 | |
Social Bonds, 3.034%, 6/1/34 | 2,195 | 1,764,144 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(15) | 3,800 | 3,783,204 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(15) | 3,215 | 3,238,598 | |
$ 26,912,233 | |||
Water and Sewer — 0.4% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 1,170 | $ 999,964 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 2,495 | 2,034,348 | |
Green Bonds, 2.184%, 9/1/31 | 1,985 | 1,579,941 | |
Green Bonds, 2.264%, 9/1/32 | 1,780 | 1,385,481 | |
Green Bonds, 2.344%, 9/1/33 | 1,945 | 1,483,685 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 2,130 | 1,708,707 | |
Green Bonds, 1.701%, 5/1/31 | 1,925 | 1,509,104 | |
Green Bonds, 1.951%, 5/1/34 | 1,120 | 816,592 | |
$ 11,517,822 | |||
Total Taxable Municipal Obligations (identified cost $58,970,932) | $ 50,032,638 |
U.S. Government Agencies and Instrumentalities — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.668%, 8/1/24 | $ | 2,726 | $ 2,664,006 |
2.738%, 8/1/25 | 2,726 | 2,591,748 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: (continued) | |||
3.435%, 8/1/34 | $ | 3,105 | $ 2,684,994 |
3.485%, 8/1/35 | 1,745 | 1,469,589 | |
3.535%, 8/1/36 | 929 | 777,688 | |
3.585%, 8/1/37 | 3,215 | 2,665,157 | |
3.635%, 8/1/38 | 657 | 542,759 | |
U.S. International Development Finance Corp.: | |||
1.79%, 10/15/29 | 1,476 | 1,316,871 | |
2.36%, 10/15/29 | 1,222 | 1,109,357 | |
3.52%, 9/20/32 | 4,186 | 3,870,889 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $22,793,758) | $ 19,693,058 |
U.S. Government Agency Mortgage-Backed Securities — 17.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.50%, 3/1/48 | $ | 1,305 | $ 1,141,120 |
5.50%, 7/1/53 | 13,632 | 13,200,651 | |
6.00%, with various maturities to 2053 | 17,253 | 17,064,765 | |
Federal National Mortgage Association: | |||
2.00%, 4/1/51 | 3,548 | 2,746,552 | |
2.68%, 7/1/26 | 2,880 | 2,696,786 | |
3.00%, with various maturities to 2049 | 7,319 | 6,127,049 | |
4.00%, with various maturities to 2048 | 7,020 | 6,355,668 | |
4.00%, 30-Year, TBA(16) | 159,545 | 142,144,560 | |
4.50%, 30-Year, TBA(16) | 64,326 | 59,091,948 | |
5.00%, 30-Year, TBA(16) | 146,129 | 137,937,870 | |
5.50%, 7/1/53 | 19,877 | 19,238,651 | |
5.50%, 30-Year, TBA(16) | 24,130 | 23,330,706 | |
6.00%, 30-Year, TBA(16) | 15,700 | 15,501,902 | |
Government National Mortgage Association: | |||
6.00%, with various maturities to 2053 | 4,336 | 4,323,909 | |
6.50%, 7/20/53 | 2,237 | 2,266,304 | |
Government National Mortgage Association II: | |||
2.50%, with various maturities to 2051 | 17,126 | 13,821,641 | |
6.00%, with various maturities to 2053 | 7,189 | 7,150,611 | |
6.50%, 6/20/53 | 1,475 | 1,500,172 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $492,781,225) | $ 475,640,865 |
U.S. Treasury Obligations — 17.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bond: | |||
1.375%, 11/15/40 | $ | 8,915 | $ 5,280,048 |
1.375%, 8/15/50 | 28,000 | 13,671,875 | |
1.625%, 11/15/50 | 7,891 | 4,135,223 | |
1.875%, 2/15/41 | 14,844 | 9,581,918 | |
1.875%, 11/15/51 | 5,814 | 3,242,441 | |
2.00%, 8/15/51 | 18,800 | 10,852,594 | |
2.375%, 2/15/42 | 153,468 | 106,129,716 | |
2.875%, 5/15/43 | 46,603 | 34,543,564 | |
2.875%, 5/15/49 | 4,593 | 3,277,251 | |
2.875%, 5/15/52 | 4,425 | 3,138,466 | |
3.625%, 2/15/53 | 3,221 | 2,664,623 | |
3.875%, 2/15/43 | 12,750 | 11,098,477 | |
4.00%, 11/15/52 | 6,550 | 5,806,984 | |
6.75%, 8/15/26 | 19,540 | 20,536,845 | |
U.S. Treasury Note: | |||
0.25%, 6/15/24 | 25,000 | 24,103,362 | |
2.00%, 4/30/24 | 25,000 | 24,508,503 | |
2.00%, 5/31/24 | 25,000 | 24,439,262 | |
2.125%, 3/31/24 | 5,000 | 4,918,282 | |
2.25%, 3/31/24 | 5,000 | 4,921,798 | |
2.25%, 4/30/24 | 25,000 | 24,543,660 | |
2.50%, 4/30/24 | 25,000 | 24,575,887 | |
2.50%, 5/15/24 | 25,000 | 24,552,498 | |
3.50%, 4/30/28 | 21,670 | 20,656,758 | |
3.50%, 4/30/30 | 12,732 | 11,917,848 | |
3.625%, 5/31/28 | 1,179 | 1,130,136 | |
3.875%, 4/30/25 | 19,787 | 19,386,236 | |
4.00%, 2/29/28 | 20,173 | 19,653,703 | |
4.125%, 7/31/28 | 1,007 | 985,365 | |
4.25%, 5/31/25 | 13,479 | 13,279,974 | |
Total U.S. Treasury Obligations (identified cost $523,033,445) | $ 477,533,297 |
Short-Term Investments — 2.9% | |||
Affiliated Fund — 2.6% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(17) | 69,542,633 | $ 69,542,633 | |
Total Affiliated Fund (identified cost $69,542,633) | $ 69,542,633 | ||
Securities Lending Collateral — 0.3% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.36%(18) | 6,811,378 | $ 6,811,378 | |
Total Securities Lending Collateral (identified cost $6,811,378) | $ 6,811,378 | ||
Total Short-Term Investments (identified cost $76,354,011) | $ 76,354,011 | ||
Total Purchased Call Options — 0.0%(8) (identified cost $282,536) | $ 290,297 | ||
Total Investments — 113.1% (identified cost $3,284,496,087) | $3,021,961,152 | ||
Other Assets, Less Liabilities — (13.1)% | $ (349,345,308) | ||
Net Assets — 100.0% | $ 2,672,615,844 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At September 30, 2023, the aggregate value of these securities is $1,065,082,422 or 39.9% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2023. |
(3) | Principal amount is less than $500. |
(4) | Step coupon security. Interest rate represents the rate in effect at September 30, 2023. |
(5) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2023. |
(6) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at September 30, 2023. |
(7) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 8). |
(8) | Amount is less than 0.05%. |
(9) | All or a portion of this security was on loan at September 30, 2023. The aggregate market value of securities on loan at September 30, 2023 was $12,338,826. |
(10) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(11) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(12) | May be deemed to be an affiliated company (see Note 8). |
(13) | Restricted security. Total market value of restricted securities amounts to $4,931,450, which represents 0.2% of the net assets of the Fund as of September 30, 2023. |
(14) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(15) | Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
(16) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(17) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
(18) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
U.S. 10-Year Treasury Note Futures 12/2023 | 563 | $60,839,188 | $110.00 | 11/24/23 | $ 290,297 |
Total | $290,297 |
(1) | Amount is less than 0.05%. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 3,979,499 | CAD | 5,298,108 | Citibank, N.A. | 11/10/23 | $ 76,763 | $ — |
$76,763 | $ — |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 1,935 | Long | 12/29/23 | $392,245,665 | $ (1,553,990) |
U.S. 5-Year Treasury Note | 1,806 | Long | 12/29/23 | 190,279,031 | (1,466,393) |
U.S. 10-Year Treasury Note | 1,144 | Long | 12/19/23 | 123,623,500 | (1,970,051) |
U.S. Long Treasury Bond | 452 | Long | 12/19/23 | 51,429,125 | (2,246,405) |
U.S. Ultra-Long Treasury Bond | 54 | Long | 12/19/23 | 6,409,125 | (412,719) |
U.S. Ultra 10-Year Treasury Note | (171) | Short | 12/19/23 | (19,077,187) | 605,048 |
$(7,044,510) |
Description | Acquisition Date | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | $5,000,000 |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
USD | – United States Dollar |
Common Stocks — 98.2% |
Security | Shares | Value | |
Capital Markets — 7.7% | |||
Charles Schwab Corp. (The) | 1,061,160 | $ 58,257,684 | |
Intercontinental Exchange, Inc. | 1,589,856 | 174,915,957 | |
Moody's Corp. | 199,558 | 63,094,253 | |
S&P Global, Inc. | 563,552 | 205,927,536 | |
$ 502,195,430 | |||
Chemicals — 7.2% | |||
Air Products & Chemicals, Inc. | 347,937 | $ 98,605,346 | |
Ecolab, Inc. | 1,061,516 | 179,820,810 | |
Linde PLC | 518,067 | 192,902,248 | |
$ 471,328,404 | |||
Consumer Staples Distribution & Retail — 2.5% | |||
Costco Wholesale Corp. | 116,933 | $ 66,062,468 | |
Dollar General Corp. | 891,738 | 94,345,880 | |
$ 160,408,348 | |||
Containers & Packaging — 0.8% | |||
Ball Corp. | 999,979 | $ 49,778,955 | |
$ 49,778,955 | |||
Electronic Equipment, Instruments & Components — 3.7% | |||
Amphenol Corp., Class A | 2,106,092 | $ 176,890,667 | |
TE Connectivity, Ltd. | 526,877 | 65,085,116 | |
$ 241,975,783 | |||
Entertainment — 1.0% | |||
Electronic Arts, Inc. | 553,508 | $ 66,642,363 | |
$ 66,642,363 | |||
Financial Services — 13.9% | |||
Fidelity National Information Services, Inc. | 786,524 | $ 43,471,181 | |
Fiserv, Inc.(1) | 1,368,096 | 154,540,124 | |
Mastercard, Inc., Class A | 789,747 | 312,668,735 | |
PayPal Holdings, Inc.(1) | 1,369,499 | 80,060,912 | |
Visa, Inc., Class A | 1,353,416 | 311,299,214 | |
$ 902,040,166 | |||
Health Care Equipment & Supplies — 1.4% | |||
IDEXX Laboratories, Inc.(1) | 131,232 | $ 57,383,817 | |
Intuitive Surgical, Inc.(1) | 116,859 | 34,156,717 | |
$ 91,540,534 | |||
Hotels, Restaurants & Leisure — 1.3% | |||
Starbucks Corp. | 933,291 | $ 85,181,469 | |
$ 85,181,469 |
Security | Shares | Value | |
Insurance — 3.2% | |||
Aon PLC, Class A | 208,857 | $ 67,715,617 | |
Marsh & McLennan Cos., Inc. | 749,065 | 142,547,069 | |
$ 210,262,686 | |||
Interactive Media & Services — 4.8% | |||
Alphabet, Inc., Class C(1) | 2,362,239 | $ 311,461,212 | |
$ 311,461,212 | |||
IT Services — 5.6% | |||
Accenture PLC, Class A | 249,025 | $ 76,478,068 | |
Gartner, Inc.(1) | 543,553 | 186,770,246 | |
VeriSign, Inc.(1) | 496,860 | 100,629,056 | |
$ 363,877,370 | |||
Life Sciences Tools & Services — 10.7% | |||
Agilent Technologies, Inc. | 898,894 | $ 100,514,327 | |
Danaher Corp. | 1,253,583 | 311,013,942 | |
Thermo Fisher Scientific, Inc. | 559,997 | 283,453,682 | |
$ 694,981,951 | |||
Machinery — 4.0% | |||
IDEX Corp. | 538,919 | $ 112,105,931 | |
Xylem, Inc. | 1,602,308 | 145,858,097 | |
$ 257,964,028 | |||
Personal Care Products — 1.2% | |||
Estee Lauder Cos., Inc. (The), Class A | 533,183 | $ 77,071,603 | |
$ 77,071,603 | |||
Pharmaceuticals — 3.6% | |||
Zoetis, Inc. | 1,366,712 | $ 237,780,554 | |
$ 237,780,554 | |||
Professional Services — 3.7% | |||
Verisk Analytics, Inc. | 1,030,484 | $ 243,441,540 | |
$ 243,441,540 | |||
Semiconductors & Semiconductor Equipment — 0.9% | |||
Texas Instruments, Inc. | 358,788 | $ 57,050,880 | |
$ 57,050,880 | |||
Software — 10.1% | |||
Adobe, Inc.(1) | 283,547 | $ 144,580,615 | |
Intuit, Inc. | 422,244 | 215,741,349 | |
Microsoft Corp. | 940,262 | 296,887,727 | |
$ 657,209,691 | |||
Specialized REITs — 3.0% | |||
American Tower Corp. | 948,651 | $ 156,005,657 |
Security | Shares | Value | |
Specialized REITs (continued) | |||
Crown Castle, Inc. | 435,961 | $ 40,121,491 | |
$ 196,127,148 | |||
Specialty Retail — 6.6% | |||
Lowe's Cos., Inc. | 409,245 | $ 85,057,481 | |
O'Reilly Automotive, Inc.(1) | 108,801 | 98,884,877 | |
TJX Cos., Inc. (The) | 2,738,738 | 243,419,033 | |
$ 427,361,391 | |||
Textiles, Apparel & Luxury Goods — 1.3% | |||
NIKE, Inc., Class B | 882,607 | $ 84,394,881 | |
$ 84,394,881 | |||
Venture Capital — 0.0%(2) | |||
20/20 Gene Systems, Inc.(1)(3)(4) | 73,397 | $ 127,711 | |
Digital Directions International, Inc.(1)(3)(4) | 354,389 | 0 | |
Ivy Capital (Proprietary) Ltd.(1)(3)(4) | 950,000 | 14,049 | |
$ 141,760 | |||
Total Common Stocks (identified cost $3,931,655,293) | $6,390,218,147 |
High Social Impact Investments — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(4)(5) | $ | 7,970 | $ 7,860,731 |
Total High Social Impact Investments (identified cost $7,970,000) | $ 7,860,731 |
Preferred Stocks — 0.0%(2) |
Security | Shares | Value | |
Venture Capital — 0.0%(2) | |||
Entouch: | |||
Series C(1)(3)(4) | 2,628,278 | $ 265,719 | |
Series C-1(1)(3)(4) | 1,023,444 | 179,614 | |
Sword Diagnostics(1)(3)(4) | 1,264,108 | 0 | |
Total Preferred Stocks (identified cost $918,761) | $ 445,333 |
Venture Capital Limited Partnership Interests — 0.2% |
Security | Value | ||
Accion Frontier Inclusion Fund L.P.(1)(3)(4) | $ 2,322,731 | ||
Adobe Capital Social Mezzanine I L.P.(1)(3)(4) | 28,767 | ||
Africa Renewable Energy Fund L.P.(1)(3)(4) | 832,704 |
Security | Value | ||
Arborview Capital Partners L.P.(1)(3)(4) | $ 514,195 | ||
Bridges Ventures US Sustainable Growth Fund L.P.(1)(3)(4) | 955,175 | ||
Coastal Ventures III L.P.(1)(3)(4) | 353,133 | ||
Core Innovations Capital I L.P.(1)(3)(4) | 2,028,575 | ||
Cross Culture Ventures I L.P.(1)(3)(4) | 904,844 | ||
DBL Equity Fund - BAEF Il L.P.(1)(3)(4) | 1,095,981 | ||
DBL Partners III L.P.(1)(3)(4) | 1,171,598 | ||
First Analysis Private Equity Fund V L.P.(1)(3)(4) | 1,109,877 | ||
Impact Ventures II L.P.(1)(3)(4) | 170,441 | ||
LeapFrog Financial Inclusion Fund(1)(3)(4) | 3,552 | ||
New Markets Education Partners L.P.(1)(3)(4) | 25,822 | ||
New Markets Venture Partners II L.P.(1)(3)(4) | 43,379 | ||
Owl Ventures L.P.(1)(3)(4) | 875,187 | ||
Renewable Energy Asia Fund L.P.(1)(3)(4) | 79,358 | ||
SEAF India International Growth Fund L.P.(1)(3)(4) | 0 | ||
SJF Ventures II L.P., Preferred(1)(3)(4) | 71,013 | ||
SJF Ventures III L.P.(1)(3)(4) | 724,761 | ||
Westly Capital Partners Fund II L.P.(1)(3)(4) | 201,218 | ||
Total Venture Capital Limited Partnership Interests (identified cost $7,705,177) | $ 13,512,311 |
Short-Term Investments — 1.2% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(6) | 79,778,996 | $ 79,778,996 | |
Total Short-Term Investments (identified cost $79,778,996) | $ 79,778,996 | ||
Total Investments — 99.8% (identified cost $4,028,028,227) | $6,491,815,518 | ||
Other Assets, Less Liabilities — 0.2% | $ 15,780,197 | ||
Net Assets — 100.0% | $6,507,595,715 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Amount is less than 0.05%. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(4) | Restricted security. Total market value of restricted securities amounts to $21,960,135, which represents 0.4% of the net assets of the Fund as of September 30, 2023. |
(5) | May be deemed to be an affiliated company. |
(6) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
Description | Acquisition Dates | Cost |
20/20 Gene Systems, Inc. | 8/1/08-8/27/13 | $ 166,889 |
Accion Frontier Inclusion Fund L.P. | 11/12/15-12/16/22 | 781,075 |
Adobe Capital Social Mezzanine I L.P. | 2/8/13-1/4/23 | 302,202 |
Africa Renewable Energy Fund L.P. | 4/17/14-7/18/22 | 997,030 |
Arborview Capital Partners L.P. | 11/13/12-12/7/21 | 14,610 |
Bridges Ventures US Sustainable Growth Fund L.P. | 6/18/16-10/25/22 | 861,830 |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | 7,970,000 |
Coastal Ventures III L.P. | 7/30/12-1/9/19 | 88,585 |
Core Innovations Capital I L.P. | 1/6/11-6/30/17 | 0 |
Cross Culture Ventures I L.P. | 2/24/16-3/22/23 | 359,904 |
DBL Equity Fund - BAEF Il L.P. | 3/30/11-8/2/16 | 697,586 |
DBL Partners III L.P. | 1/16/15-4/28/22 | 870,896 |
Digital Directions International, Inc. | 7/2/08-7/15/09 | 683,778 |
Entouch, Series C, Preferred | 2/3/16 | 350,000 |
Entouch, Series C-1, Preferred | 10/11/17-11/5/19 | 136,289 |
First Analysis Private Equity Fund V L.P. | 6/7/13-6/13/18 | 142,751 |
Impact Ventures II L.P. | 9/8/10-2/5/18 | 638,988 |
Ivy Capital (Proprietary) Ltd. | 9/12/12-5/14/14 | 557,372 |
LeapFrog Financial Inclusion Fund | 1/20/10-1/23/19 | 0 |
New Markets Education Partners L.P. | 9/27/11-6/1/21 | 0 |
New Markets Venture Partners II L.P. | 7/21/08-5/3/16 | 0 |
Owl Ventures L.P. | 7/10/14-3/20/20 | 0 |
Renewable Energy Asia Fund L.P. | 9/29/10-1/5/17 | 1,753,943 |
SEAF India International Growth Fund L.P. | 3/22/05-5/24/10 | 195,777 |
SJF Ventures II L.P., Preferred | 2/14/06-11/20/12 | 0 |
SJF Ventures III L.P. | 2/6/12-7/14/17 | 0 |
Sword Diagnostics, Preferred | 12/26/06-11/9/10 | 432,472 |
Westly Capital Partners Fund II L.P. | 12/27/11-4/16/21 | 0 |
Abbreviations: | |
REITs | – Real Estate Investment Trusts |
September 30, 2023 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Assets | |||
Investments in securities of unaffiliated issuers, at value (identified cost $978,457,498, $3,202,738,378 and $3,940,279,231, respectively) - including $6,463,488, $12,338,826 and $0, respectively, of securities on loan | $ 1,107,636,596 | $ 2,940,500,907 | $ 6,404,175,791 |
Investments in securities of affiliated issuers, at value (identified cost $22,748,209, $81,757,709 and $87,748,996, respectively) | 22,660,225 | 81,460,245 | 87,639,727 |
Receivable for variation margin on open futures contracts | 46,994 | 835,934 | — |
Receivable for open forward foreign currency exchange contracts | 9,356 | 76,763 | — |
Cash | 200,419 | 1,056,360 | 104 |
Cash denominated in foreign currency, at value (cost $206, $721,194 and $0, respectively) | 205 | 690,025 | — |
Deposits at broker for futures contracts | 1,096,900 | 8,568,100 | — |
Deposits for forward commitment securities | 934,000 | 7,521,000 | — |
Receivable for investments sold | 2,529,834 | 13,805,125 | 9,987,560 |
Receivable for capital shares sold | 541,799 | 8,298,867 | 16,289,809 |
Dividends and interest receivable | 3,998,029 | 20,743,014 | 2,109,858 |
Dividends and interest receivable - affiliated | 81,822 | 298,111 | 429,783 |
Securities lending income receivable | 8,152 | 12,087 | — |
Receivable from affiliate | — | 44,294 | — |
Trustees' deferred compensation plan | 441,743 | 681,093 | 1,508,608 |
Other assets | — | 877 | — |
Total assets | $1,140,186,074 | $3,084,592,802 | $6,522,141,240 |
Liabilities | |||
Payable for investments purchased | $ 964,320 | $ — | $ — |
Payable for when-issued/delayed delivery/forward commitment securities | 66,219,325 | 390,995,796 | — |
Payable for capital shares redeemed | 647,748 | 11,112,074 | 8,019,611 |
Distributions payable | — | 750,897 | — |
Deposits for securities loaned | 3,376,530 | 6,811,378 | — |
Payable to affiliates: | |||
Investment advisory fee | 353,549 | 637,926 | 2,322,733 |
Administrative fee | 108,268 | 263,062 | 667,403 |
Distribution and service fees | 189,938 | 58,895 | 531,428 |
Sub-transfer agency fee | 41,332 | 18,306 | 74,974 |
Trustees' deferred compensation plan | 441,743 | 681,093 | 1,508,608 |
Accrued expenses | 373,144 | 647,531 | 1,420,768 |
Total liabilities | $ 72,715,897 | $ 411,976,958 | $ 14,545,525 |
Commitments and contingent liabilities (Note 10) | |||
Net Assets | $1,067,470,177 | $2,672,615,844 | $6,507,595,715 |
Sources of Net Assets | |||
Paid-in capital | $ 943,637,264 | $ 3,130,506,632 | $ 3,940,351,208 |
Distributable earnings (accumulated loss) | 123,832,913 | (457,890,788) | 2,567,244,507 |
Net Assets | $1,067,470,177 | $2,672,615,844 | $6,507,595,715 |
Class A Shares | |||
Net Assets | $ 728,371,591 | $ 303,884,336 | $ 1,996,461,623 |
Shares Outstanding | 20,235,135 | 22,072,669 | 28,864,737 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 36.00 | $ 13.77 | $ 69.17 |
Maximum Offering Price Per Share (100 ÷ 94.75, 96.75 and 94.75, respectively, of net asset value per share) | $ 37.99 | $ 14.23 | $ 73.00 |
September 30, 2023 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Class C Shares | |||
Net Assets | $ 50,105,454 | $ 9,683,551 | $ 122,005,487 |
Shares Outstanding | 1,449,755 | 708,397 | 3,684,013 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 34.56 | $ 13.67 | $ 33.12 |
Class I Shares | |||
Net Assets | $ 215,983,294 | $ 1,882,715,327 | $ 3,713,255,612 |
Shares Outstanding | 5,857,005 | 136,476,756 | 45,076,771 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 36.88 | $ 13.80 | $ 82.38 |
Class R6 Shares | |||
Net Assets | $ 73,009,838 | $ 476,332,630 | $ 675,872,993 |
Shares Outstanding | 1,981,256 | 34,567,091 | 8,225,107 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 36.85 | $ 13.78 | $ 82.17 |
On sales of $50,000 ($100,000 for Bond Fund) or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended September 30, 2023 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Investment Income | |||
Dividend income (net of foreign taxes withheld of $17,461, $45,856 and $0, respectively) | $ 8,055,847 | $ 1,051,381 | $ 60,467,499 |
Dividend income - affiliated issuers | 645,406 | 3,585,847 | 8,753,050 |
Interest and other income | 17,867,366 | 114,276,244 | 3,683 |
Interest income - affiliated issuers | 155,603 | 601,871 | 119,550 |
Securities lending income, net | 18,860 | 106,983 | — |
Total investment income | $ 26,743,082 | $ 119,622,326 | $ 69,343,782 |
Expenses | |||
Investment advisory fee | $ 4,229,799 | $ 7,755,789 | $ 27,002,771 |
Administrative fee | 1,287,363 | 3,167,913 | 7,680,887 |
Distribution and service fees: | |||
Class A | 1,759,271 | 613,188 | 5,053,082 |
Class C | 518,693 | 95,808 | 1,269,615 |
Trustees' fees and expenses | 72,804 | 181,609 | 437,444 |
Custodian fees | 34,524 | 56,365 | 100,051 |
Transfer agency fees and expenses | 1,013,868 | 2,019,761 | 4,721,731 |
Accounting fees | 316,146 | 482,997 | 876,826 |
Professional fees | 100,690 | 138,245 | 295,894 |
Registration fees | 73,755 | 185,290 | 309,057 |
Reports to shareholders | 68,293 | 127,511 | 323,316 |
Miscellaneous | 84,876 | 185,727 | 222,526 |
Total expenses | $ 9,560,082 | $ 15,010,203 | $ 48,293,200 |
Waiver and/or reimbursement of expenses by affiliates | $ (22,790) | $ (721,945) | $ (315,905) |
Net expenses | $ 9,537,292 | $ 14,288,258 | $ 47,977,295 |
Net investment income | $ 17,205,790 | $ 105,334,068 | $ 21,366,487 |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss): | |||
Investment securities | $ 5,933,155 | $ (112,113,747) | $ 107,990,774 |
Investment securities - affiliated issuers | 8,564 | 64,382 | — |
Futures contracts | (1,044,543) | (22,569,700) | — |
Swap contracts | — | (507,519) | — |
Foreign currency transactions | (6,629) | (11,455) | — |
Forward foreign currency exchange contracts | (3,270) | 147,696 | — |
Net realized gain (loss) | $ 4,887,277 | $(134,990,343) | $107,990,774 |
Change in unrealized appreciation (depreciation): | |||
Investment securities | $ 89,210,622 | $ 78,946,148 | $ 689,141,354 |
Investment securities - affiliated issuers | 145,037 | 310,711 | 458,514 |
Futures contracts | (255,478) | 1,793,417 | — |
Swap contracts | — | 25,890 | — |
Foreign currency | 11,552 | (31,147) | — |
Forward foreign currency exchange contracts | 6,462 | (172,132) | — |
Net change in unrealized appreciation (depreciation) | $ 89,118,195 | $ 80,872,887 | $689,599,868 |
Net realized and unrealized gain (loss) | $ 94,005,472 | $ (54,117,456) | $797,590,642 |
Net increase in net assets from operations | $111,211,262 | $ 51,216,612 | $818,957,129 |
Year Ended September 30, 2023 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 17,205,790 | $ 105,334,068 | $ 21,366,487 |
Net realized gain (loss) | 4,887,277 | (134,990,343) | 107,990,774 |
Net change in unrealized appreciation (depreciation) | 89,118,195 | 80,872,887 | 689,599,868 |
Net increase in net assets from operations | $ 111,211,262 | $ 51,216,612 | $ 818,957,129 |
Distributions to shareholders: | |||
Class A | $ (25,264,420) | $ (11,698,380) | $ (63,852,007) |
Class C | (1,462,486) | (289,225) | (7,963,077) |
Class I | (7,987,947) | (72,324,272) | (96,218,038) |
Class R6 | (2,397,546) | (21,446,626) | (15,708,813) |
Total distributions to shareholders | $ (37,112,399) | $ (105,758,503) | $ (183,741,935) |
Capital share transactions: | |||
Class A | $ (10,830,672) | $ 3,877,980 | $ (14,882,958) |
Class C | (4,774,580) | 587,820 | (355,304) |
Class I | (11,750,348) | 254,651,246 | 449,223,697 |
Class R6 | 17,574,555 | 10,997,909 | 175,056,534 |
Net increase (decrease) in net assets from capital share transactions | $ (9,781,045) | $ 270,114,955 | $ 609,041,969 |
Net increase in net assets | $ 64,317,818 | $ 215,573,064 | $1,244,257,163 |
Net Assets | |||
At beginning of year | $ 1,003,152,359 | $ 2,457,042,780 | $ 5,263,338,552 |
At end of year | $1,067,470,177 | $2,672,615,844 | $6,507,595,715 |
Year Ended September 30, 2022 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 12,405,134 | $ 61,274,930 | $ 6,667,228 |
Net realized gain (loss) | 16,770,323 | (46,864,282) | 191,909,696 |
Net change in unrealized appreciation (depreciation) | (201,501,574) | (403,031,429) | (1,199,328,123) |
Net decrease in net assets from operations | $ (172,326,117) | $ (388,620,781) | $(1,000,751,199) |
Distributions to shareholders: | |||
Class A | $ (64,304,737) | $ (12,338,091) | $ (86,833,850) |
Class C | (4,956,110) | (325,612) | (10,386,601) |
Class I | (24,360,884) | (63,325,440) | (108,527,009) |
Class R6 | (1,383,991) | (15,675,838) | (16,720,268) |
Total distributions to shareholders | $ (95,005,722) | $ (91,664,981) | $ (222,467,728) |
Capital share transactions: | |||
Class A | $ 45,914,634 | $ (5,566,801) | $ (25,744,896) |
Class C | (1,522,990) | (2,353,578) | (461,367) |
Class I | (41,414,804) | 291,288,274 | 397,670,403 |
Class R6 | 49,394,548 | 233,424,428 | 88,001,775 |
Net increase in net assets from capital share transactions | $ 52,371,388 | $ 516,792,323 | $ 459,465,915 |
Net increase (decrease) in net assets | $ (214,960,451) | $ 36,506,561 | $ (763,753,012) |
Net Assets | |||
At beginning of year | $ 1,218,112,810 | $ 2,420,536,219 | $ 6,027,091,564 |
At end of year | $1,003,152,359 | $2,457,042,780 | $ 5,263,338,552 |
Balanced Fund — Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 33.56 | $ 42.36 | $ 37.18 | $ 34.28 | $ 33.14 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.57 | $ 0.40 | $ 0.30 | $ 0.41 | $ 0.44 |
Net realized and unrealized gain (loss) | 3.12 | (5.91) | 5.77 | 3.67 | 2.24 |
Total income (loss) from operations | $ 3.69 | $ (5.51) | $ 6.07 | $ 4.08 | $ 2.68 |
Less Distributions | |||||
From net investment income | $ (0.91) | $ (0.41) | $ (0.30) | $ (0.42) | $ (0.44) |
From net realized gain | (0.34) | (2.88) | (0.59) | (0.76) | (1.10) |
Total distributions | $ (1.25) | $ (3.29) | $ (0.89) | $ (1.18) | $ (1.54) |
Net asset value — End of year | $ 36.00 | $ 33.56 | $ 42.36 | $ 37.18 | $ 34.28 |
Total Return(2) | 11.11% | (14.40)% | 16.48% | 12.22% | 8.56% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $728,372 | $688,402 | $823,892 | $686,408 | $619,744 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.92% | 0.91% | 0.90% | 0.93% | 0.96% |
Net expenses | 0.92% (4) | 0.91% (4) | 0.90% | 0.93% | 0.93% |
Net investment income | 1.57% | 1.03% | 0.73% | 1.17% | 1.37% |
Portfolio Turnover | 106% (5) | 85% (5) | 95% (5) | 98% (5) | 69% (5) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Balanced Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 32.27 | $ 40.85 | $ 35.90 | $ 33.14 | $ 32.09 |
Income (Loss) From Operations | |||||
Net investment income (loss)(1) | $ 0.28 | $ 0.10 | $ (0.01) | $ 0.14 | $ 0.20 |
Net realized and unrealized gain (loss) | 3.00 | (5.68) | 5.56 | 3.55 | 2.15 |
Total income (loss) from operations | $ 3.28 | $ (5.58) | $ 5.55 | $ 3.69 | $ 2.35 |
Less Distributions | |||||
From net investment income | $ (0.65) | $ (0.12) | $ (0.01) | $ (0.17) | $ (0.20) |
From net realized gain | (0.34) | (2.88) | (0.59) | (0.76) | (1.10) |
Total distributions | $ (0.99) | $ (3.00) | $ (0.60) | $ (0.93) | $ (1.30) |
Net asset value — End of year | $ 34.56 | $ 32.27 | $ 40.85 | $ 35.90 | $ 33.14 |
Total Return(2) | 10.25% | (15.05)% | 15.59% | 11.39% | 7.77% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $50,105 | $51,250 | $67,292 | $65,760 | $54,062 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.68% | 1.67% | 1.66% | 1.69% | 1.71% |
Net expenses | 1.68% (4) | 1.67% (4) | 1.66% | 1.68% | 1.68% |
Net investment income (loss) | 0.81% | 0.26% | (0.03)% | 0.42% | 0.63% |
Portfolio Turnover | 106% (5) | 85% (5) | 95% (5) | 98% (5) | 69% (5) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Balanced Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 34.35 | $ 43.28 | $ 37.97 | $ 34.97 | $ 33.77 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.67 | $ 0.50 | $ 0.40 | $ 0.50 | $ 0.54 |
Net realized and unrealized gain (loss) | 3.20 | (6.05) | 5.90 | 3.76 | 2.28 |
Total income (loss) from operations | $ 3.87 | $ (5.55) | $ 6.30 | $ 4.26 | $ 2.82 |
Less Distributions | |||||
From net investment income | $ (1.00) | $ (0.50) | $ (0.40) | $ (0.50) | $ (0.52) |
From net realized gain | (0.34) | (2.88) | (0.59) | (0.76) | (1.10) |
Total distributions | $ (1.34) | $ (3.38) | $ (0.99) | $ (1.26) | $ (1.62) |
Net asset value — End of year | $ 36.88 | $ 34.35 | $ 43.28 | $ 37.97 | $ 34.97 |
Total Return(2) | 11.37% | (14.20)% | 16.75% | 12.55% | 8.87% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $215,983 | $211,957 | $315,744 | $212,490 | $140,961 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.68% | 0.67% | 0.66% | 0.69% | 0.71% |
Net expenses | 0.68% (4) | 0.67% (4) | 0.66% | 0.68% | 0.66% |
Net investment income | 1.81% | 1.25% | 0.96% | 1.41% | 1.64% |
Portfolio Turnover | 106% (5) | 85% (5) | 95% (5) | 98% (5) | 69% (5) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Balanced Fund — Class R6 | |||||
Year Ended September 30, | Period Ended September 30, 2019(1) | ||||
2023 | 2022 | 2021 | 2020 | ||
Net asset value — Beginning of period | $ 34.33 | $ 43.27 | $ 37.95 | $ 34.98 | $ 31.46 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.69 | $ 0.57 | $ 0.42 | $ 0.51 | $ 0.36 |
Net realized and unrealized gain (loss) | 3.19 | (6.10) | 5.91 | 3.75 | 3.55 |
Total income (loss) from operations | $ 3.88 | $ (5.53) | $ 6.33 | $ 4.26 | $ 3.91 |
Less Distributions | |||||
From net investment income | $ (1.02) | $ (0.53) | $ (0.42) | $ (0.53) | $ (0.39) |
From net realized gain | (0.34) | (2.88) | (0.59) | (0.76) | — |
Total distributions | $ (1.36) | $ (3.41) | $ (1.01) | $ (1.29) | $ (0.39) |
Net asset value — End of period | $ 36.85 | $ 34.33 | $ 43.27 | $37.95 | $34.98 |
Total Return(3) | 11.42% | (14.14)% | 16.82% | 12.57% | 12.44% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $73,010 | $51,544 | $11,184 | $ 4,298 | $ 230 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.62% | 0.61% | 0.61% | 0.65% | 0.66% (6) |
Net expenses | 0.62% (7) | 0.61% (7) | 0.61% | 0.64% | 0.64% (6) |
Net investment income | 1.87% | 1.51% | 1.01% | 1.43% | 1.58% (6) |
Portfolio Turnover | 106% (8) | 85% (8) | 95% (8) | 98% (8) | 69% (8)(9) |
(1) | For the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
(8) | Includes the effect of To Be Announced (TBA) transactions. |
(9) | For the year ended September 30, 2019. |
Bond Fund — Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 14.02 | $ 16.91 | $ 17.01 | $ 16.67 | $ 15.69 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.54 | $ 0.35 | $ 0.31 | $ 0.37 | $ 0.42 |
Net realized and unrealized gain (loss) | (0.25) | (2.69) | 0.12 | 0.50 | 0.99 |
Total income (loss) from operations | $ 0.29 | $ (2.34) | $ 0.43 | $ 0.87 | $ 1.41 |
Less Distributions | |||||
From net investment income | $ (0.54) | $ (0.35) | $ (0.32) | $ (0.38) | $ (0.43) |
From net realized gain | — | (0.20) | (0.21) | (0.15) | — |
Total distributions | $ (0.54) | $ (0.55) | $ (0.53) | $ (0.53) | $ (0.43) |
Net asset value — End of year | $ 13.77 | $ 14.02 | $ 16.91 | $ 17.01 | $ 16.67 |
Total Return(2) | 2.03% | (14.15)% | 2.61% | 5.32% | 9.10% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $303,884 | $305,654 | $375,792 | $327,252 | $290,893 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.76% | 0.75% | 0.74% | 0.76% | 0.78% |
Net expenses | 0.73% (4) | 0.73% (4) | 0.73% | 0.73% | 0.75% |
Net investment income | 3.80% | 2.21% | 1.84% | 2.21% | 2.59% |
Portfolio Turnover | 209% (5) | 122% (5) | 163% (5) | 153% (5) | 75% (5) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022, respectively). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Bond Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 13.92 | $ 16.79 | $ 16.89 | $ 16.55 | $ 15.58 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.42 | $ 0.22 | $ 0.18 | $ 0.23 | $ 0.28 |
Net realized and unrealized gain (loss) | (0.24) | (2.66) | 0.12 | 0.50 | 0.98 |
Total income (loss) from operations | $ 0.18 | $ (2.44) | $ 0.30 | $ 0.73 | $ 1.26 |
Less Distributions | |||||
From net investment income | $ (0.43) | $ (0.23) | $ (0.19) | $ (0.24) | $ (0.29) |
From net realized gain | — | (0.20) | (0.21) | (0.15) | — |
Total distributions | $ (0.43) | $ (0.43) | $ (0.40) | $ (0.39) | $ (0.29) |
Net asset value — End of year | $13.67 | $ 13.92 | $ 16.79 | $ 16.89 | $ 16.55 |
Total Return(2) | 1.21% | (14.83)% | 1.80% | 4.50% | 8.19% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 9,684 | $ 9,289 | $13,768 | $16,215 | $15,343 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.56% | 1.55% | 1.54% | 1.56% | 1.59% |
Net expenses | 1.53% (4) | 1.53% (4) | 1.53% | 1.53% | 1.56% |
Net investment income | 3.00% | 1.39% | 1.05% | 1.41% | 1.79% |
Portfolio Turnover | 209% (5) | 122% (5) | 163% (5) | 153% (5) | 75% (5) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022, respectively). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Bond Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 14.05 | $ 16.94 | $ 17.04 | $ 16.70 | $ 15.72 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.57 | $ 0.38 | $ 0.35 | $ 0.40 | $ 0.45 |
Net realized and unrealized gain (loss) | (0.25) | (2.68) | 0.12 | 0.50 | 0.99 |
Total income (loss) from operations | $ 0.32 | $ (2.30) | $ 0.47 | $ 0.90 | $ 1.44 |
Less Distributions | |||||
From net investment income | $ (0.57) | $ (0.39) | $ (0.36) | $ (0.41) | $ (0.46) |
From net realized gain | — | (0.20) | (0.21) | (0.15) | — |
Total distributions | $ (0.57) | $ (0.59) | $ (0.57) | $ (0.56) | $ (0.46) |
Net asset value — End of year | $ 13.80 | $ 14.05 | $ 16.94 | $ 17.04 | $ 16.70 |
Total Return(2) | 2.24% | (13.95)% | 2.81% | 5.52% | 9.30% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,882,715 | $1,668,531 | $1,709,504 | $1,379,529 | $1,144,805 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.56% | 0.55% | 0.54% | 0.56% | 0.58% |
Net expenses | 0.53% (4) | 0.53% (4) | 0.53% | 0.53% | 0.53% |
Net investment income | 4.01% | 2.43% | 2.04% | 2.40% | 2.81% |
Portfolio Turnover | 209% (5) | 122% (5) | 163% (5) | 153% (5) | 75% (5) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022, respectively). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Bond Fund — Class R6 | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 14.03 | $ 16.93 | $ 17.03 | $ 16.69 | $ 15.71 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.58 | $ 0.40 | $ 0.36 | $ 0.41 | $ 0.46 |
Net realized and unrealized gain (loss) | (0.25) | (2.70) | 0.12 | 0.50 | 0.99 |
Total income (loss) from operations | $ 0.33 | $ (2.30) | $ 0.48 | $ 0.91 | $ 1.45 |
Less Distributions | |||||
From net investment income | $ (0.58) | $ (0.40) | $ (0.37) | $ (0.42) | $ (0.47) |
From net realized gain | — | (0.20) | (0.21) | (0.15) | — |
Total distributions | $ (0.58) | $ (0.60) | $ (0.58) | $ (0.57) | $ (0.47) |
Net asset value — End of year | $ 13.78 | $ 14.03 | $ 16.93 | $ 17.03 | $ 16.69 |
Total Return(2) | 2.31% | (13.96)% | 2.89% | 5.66% | 9.31% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $476,333 | $473,569 | $321,472 | $270,643 | $252,225 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.48% | 0.48% | 0.47% | 0.49% | 0.51% |
Net expenses | 0.46% (4) | 0.46% (4) | 0.46% | 0.46% | 0.48% |
Net investment income | 4.06% | 2.55% | 2.11% | 2.48% | 2.84% |
Portfolio Turnover | 209% (5) | 122% (5) | 163% (5) | 153% (5) | 75% (5) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022, respectively). |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Equity Fund — Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 62.23 | $ 77.18 | $ 63.00 | $ 53.94 | $ 49.18 |
Income (Loss) From Operations | |||||
Net investment income (loss)(1) | $ 0.12 | $ (0.02) | $ (0.04) | $ 0.01 | $ 0.05 |
Net realized and unrealized gain (loss) | 9.03 | (11.98) | 16.02 | 10.64 | 8.36 |
Total income (loss) from operations | $ 9.15 | $ (12.00) | $ 15.98 | $ 10.65 | $ 8.41 |
Less Distributions | |||||
From net investment income | $ — | $ — | $ — | $ (0.02) | $ (0.01) |
From net realized gain | (2.21) | (2.95) | (1.80) | (1.57) | (3.64) |
Total distributions | $ (2.21) | $ (2.95) | $ (1.80) | $ (1.59) | $ (3.65) |
Net asset value — End of year | $ 69.17 | $ 62.23 | $ 77.18 | $ 63.00 | $ 53.94 |
Total Return(2) | 14.83% | (16.35)% | 25.87% | 20.27% | 18.72% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,996,462 | $1,807,406 | $2,278,654 | $1,896,037 | $1,598,391 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.91% | 0.91% | 0.91% | 0.94% | 1.00% |
Net expenses | 0.91% (4) | 0.91% (4) | 0.91% | 0.94% | 0.99% |
Net investment income (loss) | 0.18% | (0.03)% | (0.06)% | 0.01% | 0.11% |
Portfolio Turnover | 10% | 7% | 13% | 16% | 13% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Equity Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 31.03 | $ 40.04 | $ 33.61 | $ 29.67 | $ 28.80 |
Income (Loss) From Operations | |||||
Net investment loss(1) | $ (0.19) | $ (0.29) | $ (0.30) | $ (0.22) | $ (0.17) |
Net realized and unrealized gain (loss) | 4.46 | (5.89) | 8.39 | 5.70 | 4.57 |
Total income (loss) from operations | $ 4.27 | $ (6.18) | $ 8.09 | $ 5.48 | $ 4.40 |
Less Distributions | |||||
From net realized gain | $ (2.18) | $ (2.83) | $ (1.66) | $ (1.54) | $ (3.53) |
Total distributions | $ (2.18) | $ (2.83) | $ (1.66) | $ (1.54) | $ (3.53) |
Net asset value — End of year | $ 33.12 | $ 31.03 | $ 40.04 | $ 33.61 | $ 29.67 |
Total Return(2) | 13.99% | (16.96)% | 24.92% | 19.38% | 17.82% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $122,005 | $114,234 | $149,033 | $138,072 | $100,276 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 1.66% | 1.65% | 1.66% | 1.69% | 1.75% |
Net expenses | 1.66% (4) | 1.65% (4) | 1.66% | 1.69% | 1.75% |
Net investment loss | (0.57)% | (0.78)% | (0.81)% | (0.74)% | (0.64)% |
Portfolio Turnover | 10% | 7% | 13% | 16% | 13% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Equity Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 73.71 | $ 90.83 | $ 73.80 | $ 62.89 | $ 56.68 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.35 | $ 0.19 | $ 0.16 | $ 0.17 | $ 0.21 |
Net realized and unrealized gain (loss) | 10.71 | (14.20) | 18.81 | 12.46 | 9.76 |
Total income (loss) from operations | $ 11.06 | $ (14.01) | $ 18.97 | $ 12.63 | $ 9.97 |
Less Distributions | |||||
From net investment income | $ (0.17) | $ (0.08) | $ (0.13) | $ (0.15) | $ (0.12) |
From net realized gain | (2.22) | (3.03) | (1.81) | (1.57) | (3.64) |
Total distributions | $ (2.39) | $ (3.11) | $ (1.94) | $ (1.72) | $ (3.76) |
Net asset value — End of year | $ 82.38 | $ 73.71 | $ 90.83 | $ 73.80 | $ 62.89 |
Total Return(2) | 15.12% | (16.14)% | 26.19% | 20.57% | 19.05% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $3,713,256 | $2,895,475 | $3,142,730 | $2,863,128 | $1,540,337 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.66% | 0.65% | 0.66% | 0.69% | 0.75% |
Net expenses | 0.66% (4) | 0.65% (4) | 0.66% | 0.69% | 0.72% |
Net investment income | 0.43% | 0.22% | 0.19% | 0.26% | 0.37% |
Portfolio Turnover | 10% | 7% | 13% | 16% | 13% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Equity Fund — Class R6 | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 73.53 | $ 90.64 | $ 73.67 | $ 62.80 | $ 56.65 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.40 | $ 0.25 | $ 0.23 | $ 0.21 | $ 0.23 |
Net realized and unrealized gain (loss) | 10.68 | (14.16) | 18.74 | 12.44 | 9.74 |
Total income (loss) from operations | $ 11.08 | $ (13.91) | $ 18.97 | $ 12.65 | $ 9.97 |
Less Distributions | |||||
From net investment income | $ (0.22) | $ (0.17) | $ (0.19) | $ (0.21) | $ (0.18) |
From net realized gain | (2.22) | (3.03) | (1.81) | (1.57) | (3.64) |
Total distributions | $ (2.44) | $ (3.20) | $ (2.00) | $ (1.78) | $ (3.82) |
Net asset value — End of year | $ 82.17 | $ 73.53 | $ 90.64 | $ 73.67 | $ 62.80 |
Total Return(2) | 15.21% | (16.09)% | 26.28% | 20.65% | 19.12% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $675,873 | $446,224 | $456,674 | $248,096 | $58,035 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.59% | 0.59% | 0.60% | 0.63% | 0.68% |
Net expenses | 0.59% (4) | 0.59% (4) | 0.60% | 0.63% | 0.67% |
Net investment income | 0.49% | 0.29% | 0.27% | 0.32% | 0.37% |
Portfolio Turnover | 10% | 7% | 13% | 16% | 13% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(4) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended September 30, 2023 and 2022). |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Asset-Backed Securities | $ — | $ 63,535,887 | $ — | $ 63,535,887 |
Collateralized Mortgage Obligations | — | 14,110,075 | — | 14,110,075 |
Commercial Mortgage-Backed Securities | — | 44,580,917 | — | 44,580,917 |
Common Stocks | 619,092,857 (2) | — | — | 619,092,857 |
Common Stocks - Venture Capital | — | — | 2,430,328 | 2,430,328 |
Corporate Bonds | — | 169,060,532 | — | 169,060,532 |
High Social Impact Investments | — | 2,465,725 | — | 2,465,725 |
Preferred Stocks | 1,747,368 | — | — | 1,747,368 |
Preferred Stocks - Venture Capital | — | — | 33,192 | 33,192 |
Senior Floating-Rate Loans | — | 583,393 | — | 583,393 |
Sovereign Government Bonds | — | 4,218,340 | — | 4,218,340 |
Taxable Municipal Obligations | — | 9,610,127 | — | 9,610,127 |
U.S. Government Agencies and Instrumentalities | — | 2,753,269 | — | 2,753,269 |
U.S. Government Agency Mortgage-Backed Securities | — | 75,046,306 | — | 75,046,306 |
U.S. Treasury Obligations | — | 98,824,212 | — | 98,824,212 |
Venture Capital Limited Partnership Interests | — | — | 151,403 | 151,403 |
Short-Term Investments: | ||||
Affiliated Fund | 18,629,438 | — | — | 18,629,438 |
Securities Lending Collateral | 3,376,530 | — | — | 3,376,530 |
Asset Description (continued) | Level 1 | Level 2 | Level 3(1) | Total |
Purchased Call Options | $ 46,922 | $ — | $ — | $ 46,922 |
Total Investments | $642,893,115 | $484,788,783 | $2,614,923 | $1,130,296,821 |
Forward Foreign Currency Exchange Contracts | $ — | $ 9,356 | $ — | $ 9,356 |
Futures Contracts | 444,365 | — | — | 444,365 |
Total | $643,337,480 | $484,798,139 | $2,614,923 | $1,130,750,542 |
Liability Description | ||||
Futures Contracts | $ (903,551) | $ — | $ — | $ (903,551) |
Total | $ (903,551) | $ — | $ — | $ (903,551) |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 408,691,466 | $ — | $ 408,691,466 |
Collateralized Mortgage Obligations | — | 172,995,805 | — | 172,995,805 |
Commercial Mortgage-Backed Securities | — | 267,531,719 | — | 267,531,719 |
Convertible Bonds | — | 7,352,169 | — | 7,352,169 |
Corporate Bonds | — | 1,009,881,561 | — | 1,009,881,561 |
High Social Impact Investments | — | 4,931,450 | — | 4,931,450 |
Preferred Stocks | 9,834,786 | — | — | 9,834,786 |
Senior Floating-Rate Loans | — | 3,599,794 | — | 3,599,794 |
Sovereign Government Bonds | — | 37,598,236 | — | 37,598,236 |
Taxable Municipal Obligations | — | 50,032,638 | — | 50,032,638 |
U.S. Government Agencies and Instrumentalities | — | 19,693,058 | — | 19,693,058 |
U.S. Government Agency Mortgage-Backed Securities | — | 475,640,865 | — | 475,640,865 |
U.S. Treasury Obligations | — | 477,533,297 | — | 477,533,297 |
Short-Term Investments: | ||||
Affiliated Fund | 69,542,633 | — | — | 69,542,633 |
Securities Lending Collateral | 6,811,378 | — | — | 6,811,378 |
Purchased Call Options | 290,297 | — | — | 290,297 |
Total Investments | $86,479,094 | $2,935,482,058 | $ — | $3,021,961,152 |
Forward Foreign Currency Exchange Contracts | $ — | $ 76,763 | $ — | $ 76,763 |
Futures Contracts | 605,048 | — | — | 605,048 |
Total | $87,084,142 | $2,935,558,821 | $ — | $3,022,642,963 |
Liability Description | ||||
Futures Contracts | $ (7,649,558) | $ — | $ — | $ (7,649,558) |
Total | $ (7,649,558) | $ — | $ — | $ (7,649,558) |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | $ 6,390,076,387(2) | $ — | $ — | $ 6,390,076,387 |
Common Stocks - Venture Capital | — | — | 141,760 | 141,760 |
High Social Impact Investments | — | 7,860,731 | — | 7,860,731 |
Preferred Stocks - Venture Capital | — | — | 445,333 | 445,333 |
Venture Capital Limited Partnership Interests | — | — | 13,512,311 | 13,512,311 |
Short-Term Investments | 79,778,996 | — | — | 79,778,996 |
Total Investments | $6,469,855,383 | $7,860,731 | $14,099,404 | $6,491,815,518 |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Average Daily Net Assets | Annual Fee Rate |
Up to and including $500 million | 0.410% |
Over $500 million up to and including $1 billion | 0.385% |
Over $1 billion | 0.350% |
Average Daily Net Assets | Annual Fee Rate |
Up to and including $1 billion | 0.300% |
Over $1 billion | 0.290% |
Average Daily Net Assets | Annual Fee Rate |
Up to and including $2 billion | 0.500% |
Over $2 billion up to and including $3 billion | 0.425% |
Over $3 billion | 0.375% |
Class A | Class C | Class I | Class R6 | |
Balanced | 0.93% | 1.68% | 0.68% | 0.64% |
Bond | 0.73% | 1.53% | 0.53% | 0.46% |
Equity | 0.99% | 1.74% | 0.74% | 0.67% |
Balanced | Bond | Equity | |
Class A Plan | 0% up to $30 million, 0.25% over $30 million | 0.20% | 0.25% |
Balanced | Bond | Equity | |
Class A | $3,049 | $ - | $ 409 |
Class C | 5,461 | 803 | 8,545 |
Balanced | Bond | Equity | |
Purchases | |||
U.S. Government and Agency Securities | $ 408,755,350 | $ 5,075,670,463 | $ — |
Non-U.S. Government and Agency Securities | 757,451,913 | 944,422,514 | 1,238,635,306 |
Total Purchases | $1,166,207,263 | $6,020,092,977 | $1,238,635,306 |
Sales | |||
U.S. Government and Agency Securities | $ 456,138,206 | $ 4,836,745,996 | $ — |
Non-U.S. Government and Agency Securities | 719,859,413 | 968,197,030 | 634,299,769 |
Total Sales | $1,175,997,619 | $5,804,943,026 | $ 634,299,769 |
Balanced | Bond | Equity | ||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | ||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |
Ordinary income | $17,322,425 | $24,878,937 | $105,758,503 | $65,619,833 | $ 11,059,465 | $ 15,383,698 |
Long-term capital gains | $19,789,974 | $70,126,785 | $ — | $26,045,148 | $172,682,470 | $207,084,030 |
Balanced | Bond | Equity | |
Change in: | |||
Paid-in capital | $(5,300,255) | $ 523,728 | $ 14,890,403 |
Distributable earnings (accumulated loss) | $ 5,300,255 | $(523,728) | $(14,890,403) |
Balanced | Bond | Equity | |
Undistributed ordinary income | $ — | $ — | $ 35,128,560 |
Undistributed long-term capital gains | — | — | 70,378,070 |
Deferred capital losses | — | (193,365,428) | — |
Post October capital losses | (95,828) | — | — |
Net unrealized appreciation (depreciation) | 123,928,741 | (263,774,463) | 2,461,737,877 |
Distributions payable | — | (750,897) | — |
Distributable earnings (accumulated loss) | $123,832,913 | $(457,890,788) | $2,567,244,507 |
Balanced | Bond | Equity | |
Aggregate cost | $1,006,366,515 | $3,285,696,649 | $4,030,077,641 |
Gross unrealized appreciation | $ 184,293,120 | $ 6,460,373 | $ 2,617,536,103 |
Gross unrealized depreciation | (60,364,069) | (270,203,631) | (155,798,226) |
Net unrealized appreciation (depreciation) | $ 123,929,051 | $ (263,743,258) | $2,461,737,877 |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Foreign exchange | Forward foreign currency exchange contracts | Receivable/Payable for open forward foreign currency exchange contracts | $ 9,356 | $ — |
Interest rate | Futures contracts | Distributable earnings | 444,365 (1) | (903,551) (1) |
Interest rate | Purchased options | Investments in securities of unaffiliated issuers, at value | 46,922 | — |
Total | $500,643 | $(903,551) | ||
Derivatives not subject to master netting agreements | $491,287 | $(903,551) | ||
Total Derivatives subject to master netting agreements | $ 9,356 | $ — |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Foreign exchange | Forward foreign currency exchange contracts | Receivable/Payable for open forward foreign currency exchange contracts | $ 76,763 | $ — |
Interest rate | Futures contracts | Accumulated loss | 605,048 (1) | (7,649,558) (1) |
Interest rate | Purchased options | Investments in securities of unaffiliated issuers, at value | 290,297 | — |
Total | $972,108 | $(7,649,558) | ||
Derivatives not subject to master netting agreements | $895,345 | $(7,649,558) | ||
Total Derivatives subject to master netting agreements | $ 76,763 | $ — |
(1) | Only the current day’s variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
JPMorgan Chase Bank, N.A. | $ 8,617 | $ — | $ — | $ — | $ 8,617 |
State Street Bank and Trust Company | 739 | — | — | — | 739 |
$9,356 | $ — | $ — | $ — | $9,356 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Citibank, N.A. | $76,763 | $ — | $ — | $ — | $76,763 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
Statements of Operations Caption | Foreign exchange | Interest rate | Total |
Net realized gain (loss): | |||
Forward foreign currency exchange contracts | $ (3,270) | $ — | $ (3,270) |
Futures contracts | — | (1,044,543) | (1,044,543) |
Total | $(3,270) | $(1,044,543) | $(1,047,813) |
Change in unrealized appreciation (depreciation): | |||
Investment securities(1) | $ — | $ 1,255 | $ 1,255 |
Forward foreign currency exchange contracts | 6,462 | — | 6,462 |
Futures contracts | — | (255,478) | (255,478) |
Total | $ 6,462 | $ (254,223) | $ (247,761) |
(1) | Relates to purchased options. |
Statements of Operations Caption | Credit | Foreign exchange | Interest rate | Total |
Net realized gain (loss): | ||||
Forward foreign currency exchange contracts | $ — | $ 147,696 | $ — | $ 147,696 |
Futures contracts | — | — | (22,569,700) | (22,569,700) |
Swap contracts | (507,519) | — | — | (507,519) |
Total | $(507,519) | $ 147,696 | $(22,569,700) | $(22,929,523) |
Change in unrealized appreciation (depreciation): | ||||
Investment securities(1) | $ — | $ — | $ 7,761 | $ 7,761 |
Forward foreign currency exchange contracts | — | (172,132) | — | (172,132) |
Futures contracts | — | — | 1,793,417 | 1,793,417 |
Swap contracts | 25,890 | — | — | 25,890 |
Total | $ 25,890 | $(172,132) | $ 1,801,178 | $ 1,654,936 |
(1) | Relates to purchased options. |
Balanced | Bond | |
Futures contracts — long | $38,182,000 | $356,053,000 |
Futures contracts — short | $27,664,000 | $ 64,344,000 |
Forward foreign currency exchange contracts* | $ 100,000 | $ 3,655,000 |
Swap contracts | $ — | $ 5,942,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Balanced | Bond | |
Securities on Loan | $ 6,596,448 | $ 12,594,732 |
Collateral Received: | ||
Cash | 3,376,530 | 6,811,378 |
U.S. government and/or agencies securities | 3,343,554 | 6,037,112 |
Total Collateral Received | $6,720,084 | $12,848,490 |
Balanced | Remaining Contractual Maturity of the Transactions | ||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $3,376,530 | $ — | $ — | $ — | $3,376,530 |
Bond | Remaining Contractual Maturity of the Transactions | ||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $6,811,378 | $ — | $ — | $ — | $6,811,378 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2017-CLS, Class A, 3.518%, (1 mo. USD LIBOR + 0.70%), 11/15/34 | $ 1,897,739 | $ — | $ (1,909,000) | $ 6,296 | $ 5,062 | $ — | $ 2,515 | $ — |
Series 2017-CLS, Class E, 4.768%, (1 mo. USD LIBOR + 1.95%), 11/15/34 | 222,921 | — | (225,000) | 174 | 1,905 | — | 417 | — |
Series 2017-CLS, Class F, 5.418%, (1 mo. USD LIBOR + 2.60%), 11/15/34 | 617,087 | — | (629,000) | 2,094 | 9,819 | — | 1,326 | — |
Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36 | 1,124,891 | — | (119,137) | — | (9,571) | 996,183 | 69,962 | 1,033,838 |
Series 2019-BPR, Class B, 8.022%, (1 mo. SOFR + 2.692%), 5/15/36 | 372,310 | — | — | — | (3,317) | 369,152 | 27,427 | 386,000 |
Series 2019-BPR, Class C, 8.972%, (1 mo. SOFR + 3.642%), 5/15/36 | 194,852 | — | — | — | (798) | 194,054 | 16,456 | 205,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | 2,321,900 | — | — | — | 143,825 | 2,465,725 | 37,500 | 2,500,000 |
Venture Capital Limited Partnership Interests | ||||||||
GEEMF Partners, L.P.(1)(2)(3) | 7,561 | — | — | — | (1,888) | 5,673 | — | — |
Short-Term Investments | ||||||||
Liquidity Fund | 24,252,378 | 226,029,644 | (231,652,584) | — | — | 18,629,438 | 645,406 | 18,629,438 |
Total | $ 8,564 | $145,037 | $22,660,225 | $ 801,009 |
(1) | Restricted security. |
(2) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(3) | Non-income producing security. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Series 2017-CLS, Class A, 3.518%, (1 mo. USD LIBOR + 0.70%), 11/15/34 | $ 22,340,439 | $ — | $ (22,473,000) | $ 63,777 | $ 69,480 | $ — | $ 30,050 | $ — |
Series 2017-CLS, Class B, 3.668%, (1 mo. USD LIBOR + 0.85%), 11/15/34 | 3,974,132 | — | (4,000,000) | 605 | 25,263 | — | 5,706 | — |
Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36 | 7,888,782 | — | (831,409) | — | (71,682) | 6,986,162 | 491,115 | 7,250,233 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | 4,643,800 | — | — | — | 287,650 | 4,931,450 | 75,000 | 5,000,000 |
Short-Term Investments | ||||||||
Liquidity Fund | 51,806,940 | 1,147,975,801 | (1,130,240,108) | — | — | 69,542,633 | 3,585,847 | 69,542,633 |
Total | $64,382 | $310,711 | $81,460,245 | $4,187,718 |
(1) | Restricted security. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | $ 7,402,217 | $ — | $ — | $ — | $ 458,514 | $ 7,860,731 | $ 119,550 | $ 7,970,000 |
Short-Term Investments | ||||||||
Liquidity Fund | 233,925,238 | 1,001,631,597 | (1,155,777,839) | — | — | 79,778,996 | 8,753,050 | 79,778,996 |
Total | $ — | $458,514 | $87,639,727 | $8,872,600 |
(1) | Restricted security. |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,329,003 | $ 47,937,117 | 1,732,005 | $ 69,060,507 | |
Reinvestment of distributions | 681,726 | 24,133,724 | 1,484,224 | 61,111,854 | |
Shares redeemed | (2,289,193) | (82,901,513) | (2,150,407) | (84,257,727) | |
Net increase (decrease) | (278,464) | $(10,830,672) | 1,065,822 | $ 45,914,634 | |
Class C | |||||
Shares sold | 180,770 | $ 6,264,349 | 284,898 | $ 11,004,192 | |
Reinvestment of distributions | 41,070 | 1,392,463 | 117,092 | 4,681,122 | |
Shares redeemed | (360,356) | (12,431,392) | (461,015) | (17,208,304) | |
Net decrease | (138,516) | $ (4,774,580) | (59,025) | $ (1,522,990) | |
Class I | |||||
Shares sold | 986,366 | $ 36,482,700 | 1,589,543 | $ 64,656,567 | |
Reinvestment of distributions | 212,136 | 7,690,917 | 557,958 | 23,526,500 | |
Shares redeemed | (1,512,469) | (55,923,965) | (3,271,411) | (129,597,871) | |
Net decrease | (313,967) | $(11,750,348) | (1,123,910) | $ (41,414,804) | |
Class R6 | |||||
Shares sold | 803,756 | $ 29,627,300 | 1,374,388 | $ 54,385,726 | |
Reinvestment of distributions | 65,936 | 2,397,546 | 34,453 | 1,383,991 | |
Shares redeemed | (390,046) | (14,450,291) | (165,741) | (6,375,169) | |
Net increase | 479,646 | $ 17,574,555 | 1,243,100 | $ 49,394,548 |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 3,670,540 | $ 52,346,779 | 4,067,951 | $ 63,954,551 | |
Reinvestment of distributions | 781,930 | 11,125,923 | 736,453 | 11,670,199 | |
Shares redeemed | (4,183,848) | (59,594,722) | (5,226,819) | (81,191,551) | |
Net increase (decrease) | 268,622 | $ 3,877,980 | (422,415) | $ (5,566,801) | |
Class C | |||||
Shares sold | 211,826 | $ 2,996,407 | 65,325 | $ 1,040,508 | |
Reinvestment of distributions | 20,256 | 286,070 | 20,294 | 321,931 | |
Shares redeemed | (191,049) | (2,694,657) | (238,302) | (3,716,017) | |
Net increase (decrease) | 41,033 | $ 587,820 | (152,683) | $ (2,353,578) |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 59,654,302 | $ 851,969,451 | 61,787,949 | $ 973,724,565 | |
Reinvestment of distributions | 4,913,008 | 70,050,883 | 3,872,194 | 61,131,535 | |
Shares redeemed | (46,879,852) | (667,369,088) | (47,786,437) | (743,567,826) | |
Net increase | 17,687,458 | $ 254,651,246 | 17,873,706 | $ 291,288,274 | |
Class R6 | |||||
Shares sold | 20,225,876 | $ 287,740,693 | 20,137,570 | $ 316,166,300 | |
Reinvestment of distributions | 925,369 | 13,175,881 | 654,231 | 10,248,941 | |
Shares redeemed | (20,336,076) | (289,918,665) | (6,032,216) | (92,990,813) | |
Net increase | 815,169 | $ 10,997,909 | 14,759,585 | $ 233,424,428 |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 2,529,517 | $ 174,266,162 | 2,165,482 | $ 159,816,714 | |
Reinvestment of distributions | 903,727 | 60,106,902 | 1,039,306 | 81,876,572 | |
Shares redeemed | (3,612,792) | (249,256,022) | (3,685,523) | (267,438,182) | |
Net decrease | (179,548) | $ (14,882,958) | (480,735) | $ (25,744,896) | |
Class C | |||||
Shares sold | 582,224 | $ 19,280,831 | 492,246 | $ 18,319,753 | |
Reinvestment of distributions | 220,518 | 7,065,406 | 232,685 | 9,195,700 | |
Shares redeemed | (800,389) | (26,701,541) | (765,053) | (27,976,820) | |
Net increase (decrease) | 2,353 | $ (355,304) | (40,122) | $ (461,367) | |
Class I | |||||
Shares sold | 20,558,564 | $ 1,672,279,996 | 14,355,562 | $1,212,130,853 | |
Reinvestment of distributions | 1,103,770 | 87,264,068 | 1,052,347 | 97,994,592 | |
Shares redeemed | (15,868,666) | (1,310,320,367) | (10,726,436) | (912,455,042) | |
Net increase | 5,793,668 | $ 449,223,697 | 4,681,473 | $ 397,670,403 | |
Class R6 | |||||
Shares sold | 4,247,058 | $ 348,639,943 | 2,569,972 | $ 220,034,805 | |
Reinvestment of distributions | 153,020 | 12,061,066 | 138,863 | 12,893,398 | |
Shares redeemed | (2,243,351) | (185,644,475) | (1,678,536) | (144,926,428) | |
Net increase | 2,156,727 | $ 175,056,534 | 1,030,299 | $ 88,001,775 |
Name of Investment | Unfunded Commitment |
First Analysis Private Equity Fund IV, L.P. | $ 60,000 |
Learn Capital Venture Partners III, L.P. | 8,090 |
Total | $68,090 |
Name of Investment | Unfunded Commitment |
Accion Frontier Inclusion Fund L.P. | $ 5,545 |
Adobe Capital Social Mezzanine I L.P. | 1,006 |
Arborview Capital Partners L.P. | 3,929 |
Bridges Ventures US Sustainable Growth Fund L.P. | 64,936 |
Core Innovations Capital I L.P. | 51,766 |
Cross Culture Ventures I L.P. | 26,245 |
First Analysis Private Equity Fund V L.P. | 18,302 |
Impact Ventures II L.P. | 9,632 |
LeapFrog Financial Inclusion Fund | 78,436 |
New Markets Education Partners L.P. | 51,800 |
New Markets Venture Partners II L.P. | 25,000 |
Owl Ventures L.P. | 20,000 |
Westly Capital Partners Fund II L.P. | 93,909 |
Total | $450,506 |
Boston, Massachusetts
November 22, 2023
Balanced Fund | $ 7,673,396 |
Bond Fund | $ 499,728 |
Equity Fund | $11,059,465 |
Balanced Fund | 43.02% |
Equity Fund | 100.00% |
Balanced Fund | 56.98% |
Bond Fund | 93.73% |
Balanced Fund | $ 4,532,211 |
Equity Fund | $83,947,898 |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Theodore H. Eliopoulos(1) 1964 | Trustee and President | Since 2022 | President and Chief Executive Officer of CRM and senior sponsor of Morgan Stanley Investment Management’s (MSIM) Diversity Council. Formerly, Vice Chairman & Head of Strategic Partnerships at MSIM (2019-2022). Former Chief Investment Officer and interim Chief Investment Officer (2014-2018) and Senior Investment Officer of Real Estate and Real Assets at California Public Employees’ Retirement System (CalPERS) (2007-2014). Former Chief Deputy Treasurer and Deputy Treasurer at the California State Treasurer's Office (2002-2006). Mr. Eliopoulos is an interested person because of his positions with CRM and certain affiliates. Other Directorships. The Robert Toigo Foundation; Pacific Pension & Investment Institute (PPI). |
Noninterested Trustees | |||
Richard L. Baird, Jr.(2) 1948 | Trustee | Since 1982 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships. None. |
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(3) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
John G. Guffey, Jr.(2) 1948 | Trustee | Since 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | Since 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (November 1999 - September 2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 1990 | Attorney. Other Directorships. Palm Management Corporation. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Eddie Ramos(3) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management). |
Anthony A. Williams 1951 | Trustee | Since 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Eliopoulos is an interested person of the Funds because of his positions with the Funds’ adviser and certain affiliates. | |||
(2) Effective December 31, 2023, Richard L. Baird, Jr. and John G. Guffey, Jr. will retire from the Board of Trustees. | |||
(3) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Since Inception |
Class A at NAV | 04/29/2022 | 04/29/2022 | 7.86% | (1.69)% |
Class A with 5.25% Maximum Sales Charge | — | — | 2.21 | (5.32) |
Class C at NAV | 04/29/2022 | 04/29/2022 | 7.10 | (2.40) |
Class C with 1% Maximum Deferred Sales Charge | — | — | 6.10 | (2.40) |
Class I at NAV | 04/29/2022 | 04/29/2022 | 8.25 | (1.44) |
Class R6 at NAV | 04/29/2022 | 04/29/2022 | 8.20 | (1.46) |
Russell 1000® Value Index | — | — | 14.44% | 0.34% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 5.09% | 5.84% | 4.84% | 4.84% |
Net | 0.99 | 1.74 | 0.74 | 0.74 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 04/29/2022 | $9,660 | N.A. |
Class I, at minimum investment | $1,000,000 | 04/29/2022 | $979,642 | N.A. |
Class R6, at minimum investment | $5,000,000 | 04/29/2022 | $4,896,212 | N.A. |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
BJ's Wholesale Club Holdings, Inc. | 4.9% |
American International Group, Inc. | 4.9 |
Wells Fargo & Co. | 4.6 |
Bristol-Myers Squibb Co. | 4.6 |
Micron Technology, Inc. | 4.4 |
Reinsurance Group of America, Inc. | 4.3 |
Mid-America Apartment Communities, Inc. | 4.2 |
NextEra Energy, Inc. | 4.0 |
Sanofi | 3.7 |
Zoetis, Inc. | 3.7 |
Total | 43.3% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell 1000® Value Index is an unmanaged index of U.S. large-cap value stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. | |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 991.90 | $4.94 ** | 0.99% |
Class C | $1,000.00 | $ 988.70 | $8.67 ** | 1.74% |
Class I | $1,000.00 | $ 993.90 | $3.70 ** | 0.74% |
Class R6 | $1,000.00 | $ 993.90 | $3.70 ** | 0.74% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.10 | $5.01 ** | 0.99% |
Class C | $1,000.00 | $1,016.34 | $8.80 ** | 1.74% |
Class I | $1,000.00 | $1,021.36 | $3.75 ** | 0.74% |
Class R6 | $1,000.00 | $1,021.36 | $3.75 ** | 0.74% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023. |
** | Absent a waiver and/or reimbursement of expenses by affiliate(s), expenses would be higher. |
Common Stocks — 97.6% |
Security | Shares | Value | |
Banks — 4.6% | |||
Wells Fargo & Co. | 60,392 | $ 2,467,617 | |
$ 2,467,617 | |||
Building Products — 3.7% | |||
Johnson Controls International PLC | 37,058 | $ 1,971,856 | |
$ 1,971,856 | |||
Capital Markets — 5.5% | |||
Cboe Global Markets, Inc. | 10,010 | $ 1,563,662 | |
Charles Schwab Corp. (The) | 24,833 | 1,363,332 | |
$ 2,926,994 | |||
Chemicals — 2.7% | |||
FMC Corp. | 21,614 | $ 1,447,490 | |
$ 1,447,490 | |||
Consumer Staples Distribution & Retail — 6.5% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 36,953 | $ 2,637,336 | |
Dollar Tree, Inc.(1) | 8,090 | 861,180 | |
$ 3,498,516 | |||
Containers & Packaging — 3.4% | |||
Ball Corp. | 36,784 | $ 1,831,107 | |
$ 1,831,107 | |||
Electric Utilities — 4.0% | |||
NextEra Energy, Inc. | 37,494 | $ 2,148,031 | |
$ 2,148,031 | |||
Food Products — 3.2% | |||
Hershey Co. (The) | 8,515 | $ 1,703,681 | |
$ 1,703,681 | |||
Health Care Equipment & Supplies ��� 3.0% | |||
Boston Scientific Corp.(1) | 30,346 | $ 1,602,269 | |
$ 1,602,269 | |||
Health Care Providers & Services — 3.5% | |||
Humana, Inc. | 3,818 | $ 1,857,533 | |
$ 1,857,533 | |||
Hotels, Restaurants & Leisure — 2.8% | |||
Papa John's International, Inc. | 21,788 | $ 1,486,377 | |
$ 1,486,377 | |||
Insurance — 9.1% | |||
American International Group, Inc. | 43,168 | $ 2,615,981 |
Security | Shares | Value | |
Insurance (continued) | |||
Reinsurance Group of America, Inc. | 15,797 | $ 2,293,566 | |
$ 4,909,547 | |||
Interactive Media & Services — 3.5% | |||
Alphabet, Inc., Class A(1) | 14,437 | $ 1,889,226 | |
$ 1,889,226 | |||
Leisure Products — 2.7% | |||
Hasbro, Inc. | 21,811 | $ 1,442,580 | |
$ 1,442,580 | |||
Life Sciences Tools & Services — 3.5% | |||
Thermo Fisher Scientific, Inc. | 3,719 | $ 1,882,446 | |
$ 1,882,446 | |||
Machinery — 3.5% | |||
Westinghouse Air Brake Technologies Corp. | 17,507 | $ 1,860,469 | |
$ 1,860,469 | |||
Multi-Utilities — 3.0% | |||
CMS Energy Corp. | 29,905 | $ 1,588,255 | |
$ 1,588,255 | |||
Pharmaceuticals — 11.9% | |||
Bristol-Myers Squibb Co. | 42,215 | $ 2,450,159 | |
Sanofi | 18,450 | 1,981,073 | |
Zoetis, Inc. | 11,360 | 1,976,413 | |
$ 6,407,645 | |||
Professional Services — 3.2% | |||
Robert Half, Inc. | 23,395 | $ 1,714,386 | |
$ 1,714,386 | |||
Residential REITs — 4.2% | |||
Mid-America Apartment Communities, Inc. | 17,485 | $ 2,249,445 | |
$ 2,249,445 | |||
Semiconductors & Semiconductor Equipment — 8.0% | |||
Micron Technology, Inc. | 34,968 | $ 2,378,873 | |
Texas Instruments, Inc. | 12,159 | 1,933,403 | |
$ 4,312,276 | |||
Specialty Retail — 2.1% | |||
Lithia Motors, Inc., Class A | 3,857 | $ 1,139,088 | |
$ 1,139,088 | |||
Total Common Stocks (identified cost $53,538,501) | $52,336,834 |
Short-Term Investments — 2.5% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(2) | 1,316,739 | $ 1,316,739 | |
Total Short-Term Investments (identified cost $1,316,739) | $ 1,316,739 | ||
Total Investments — 100.1% (identified cost $54,855,240) | $53,653,573 | ||
Other Assets, Less Liabilities — (0.1)% | $ (41,052) | ||
Net Assets — 100.0% | $ 53,612,521 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
Abbreviations: | |
REITs | – Real Estate Investment Trusts |
September 30, 2023 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $53,538,501) | $ 52,336,834 |
Investments in securities of affiliated issuers, at value (identified cost $1,316,739) | 1,316,739 |
Receivable for capital shares sold | 53 |
Dividends receivable | 30,903 |
Dividends receivable - affiliated | 6,007 |
Tax reclaims receivable | 590 |
Trustees' deferred compensation plan | 207 |
Total assets | $53,691,333 |
Liabilities | |
Payable to affiliates: | |
Investment advisory fee | $ 22,541 |
Administrative fee | 5,450 |
Distribution and service fees | 121 |
Sub-transfer agency fee | 61 |
Trustees' deferred compensation plan | 207 |
Other | 6,404 |
Accrued expenses | 44,028 |
Total liabilities | $ 78,812 |
Net Assets | $53,612,521 |
Sources of Net Assets | |
Paid-in capital | $ 54,915,753 |
Accumulated loss | (1,303,232) |
Net Assets | $53,612,521 |
Class A Shares | |
Net Assets | $ 377,718 |
Shares Outstanding | 38,738 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.75 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 10.29 |
Class C Shares | |
Net Assets | $ 57,931 |
Shares Outstanding | 5,999 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.66 |
Class I Shares | |
Net Assets | $ 8,759,343 |
Shares Outstanding | 895,987 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.78 |
September 30, 2023 | |
Class R6 Shares | |
Net Assets | $ 44,417,529 |
Shares Outstanding | 4,547,587 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.77 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Year Ended | |
September 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $5,645) | $ 705,196 |
Dividend income - affiliated issuers | 33,666 |
Total investment income | $ 738,862 |
Expenses | |
Investment advisory fee | $ 181,834 |
Administrative fee | 43,640 |
Distribution and service fees: | |
Class A | 765 |
Class C | 501 |
Trustees' fees and expenses | 2,551 |
Custodian fees | 3,146 |
Transfer agency fees and expenses | 1,665 |
Accounting fees | 11,389 |
Professional fees | 32,766 |
Offering costs | 53,692 |
Registration fees | 9,948 |
Reports to shareholders | 88 |
Miscellaneous | 11,059 |
Total expenses | $ 353,044 |
Waiver and/or reimbursement of expenses by affiliates | $ (82,928) |
Net expenses | $ 270,116 |
Net investment income | $ 468,746 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (459,935) |
Foreign currency transactions | 1,820 |
Net realized loss | $ (458,115) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (771,338) |
Foreign currency | 50 |
Net change in unrealized appreciation (depreciation) | $ (771,288) |
Net realized and unrealized loss | $(1,229,403) |
Net decrease in net assets from operations | $ (760,657) |
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 468,746 | $ 26,019 |
Net realized loss | (458,115) | (75,686) |
Net change in unrealized appreciation (depreciation) | (771,288) | (430,380) |
Net decrease in net assets from operations | $ (760,657) | $ (480,047) |
Distributions to shareholders: | ||
Class A | $ (343) | $ — |
Class I | (8,563) | — |
Class R6 | (51,388) | — |
Total distributions to shareholders | $ (60,294) | $ — |
Capital share transactions: | ||
Class A | $ 182,258 | $ 195,523 |
Class C | 9,308 | 50,000 |
Class I | 3,737,146 | 5,109,792 |
Class R6 | 45,579,492 | 50,000 |
Net increase in net assets from capital share transactions | $49,508,204 | $5,405,315 |
Net increase in net assets | $48,687,253 | $4,925,268 |
Net Assets | ||
At beginning of period | $ 4,925,268 | $ — |
At end of period | $53,612,521 | $4,925,268 |
(1) | For the period from the commencement of operations, April 29, 2022, to September 30, 2022. |
Class A | ||
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Net asset value — Beginning of period | $ 9.05 | $10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.10 | $ 0.03 |
Net realized and unrealized gain (loss) | 0.61 (3) | (0.98) |
Total income (loss) from operations | $ 0.71 | $ (0.95) |
Less Distributions | ||
From net investment income | $ (0.01) | $ — |
Total distributions | $(0.01) | $ — |
Net asset value — End of period | $ 9.75 | $ 9.05 |
Total Return(4) | 7.86% | (9.50)% (5) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 378 | $ 187 |
Ratios (as a percentage of average daily net assets):(6) | ||
Total expenses | 1.22% | 5.09% (7) |
Net expenses | 0.99% (8) | 0.99% (7)(8) |
Net investment income | 1.00% | 0.77% (7) |
Portfolio Turnover | 75% | 13% (5) |
(1) | For the period from the commencement of operations, April 29, 2022, to September 30, 2022. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(5) | Not annualized. |
(6) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended September 30, 2023 and the period ended September 30, 2022). |
Class C | ||
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Net asset value — Beginning of period | $ 9.02 | $10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.02 | $ 0.01 |
Net realized and unrealized gain (loss) | 0.62 (3) | (0.99) |
Total income (loss) from operations | $0.64 | $ (0.98) |
Net asset value — End of period | $9.66 | $ 9.02 |
Total Return(4) | 7.10% | (9.80)% (5) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $ 58 | $ 45 |
Ratios (as a percentage of average daily net assets):(6) | ||
Total expenses | 1.95% | 5.84% (7) |
Net expenses | 1.74% (8) | 1.75% (7)(8) |
Net investment income | 0.24% | 0.26% (7) |
Portfolio Turnover | 75% | 13% (5) |
(1) | For the period from the commencement of operations, April 29, 2022, to September 30, 2022. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(5) | Not annualized. |
(6) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended September 30, 2023 and the period ended September 30, 2022). |
Class I | ||
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Net asset value — Beginning of period | $ 9.05 | $10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.13 | $ 0.05 |
Net realized and unrealized gain (loss) | 0.62 (3) | (1.00) |
Total income (loss) from operations | $ 0.75 | $ (0.95) |
Less Distributions | ||
From net investment income | $ (0.02) | $ — |
Total distributions | $ (0.02) | $ — |
Net asset value — End of period | $ 9.78 | $ 9.05 |
Total Return(4) | 8.25% | (9.50)% (5) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $8,759 | $4,648 |
Ratios (as a percentage of average daily net assets):(6) | ||
Total expenses | 0.96% | 4.83% (7) |
Net expenses | 0.74% (8) | 0.74% (7)(8) |
Net investment income | 1.28% | 1.27% (7) |
Portfolio Turnover | 75% | 13% (5) |
(1) | For the period from the commencement of operations, April 29, 2022, to September 30, 2022. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(5) | Not annualized. |
(6) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended September 30, 2023 and the period ended September 30, 2022). |
Class R6 | ||
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | |
Net asset value — Beginning of period | $ 9.05 | $10.00 |
Income (Loss) From Operations | ||
Net investment income(2) | $ 0.13 | $ 0.05 |
Net realized and unrealized gain (loss) | 0.61 (3) | (1.00) |
Total income (loss) from operations | $ 0.74 | $ (0.95) |
Less Distributions | ||
From net investment income | $ (0.02) | $ — |
Total distributions | $ (0.02) | $ — |
Net asset value — End of period | $ 9.77 | $ 9.05 |
Total Return(4) | 8.20% | (9.50)% (5) |
Ratios/Supplemental Data | ||
Net assets, end of period (000’s omitted) | $44,418 | $ 45 |
Ratios (as a percentage of average daily net assets):(6) | ||
Total expenses | 0.96% | 4.84% (7) |
Net expenses | 0.74% (8) | 0.75% (7)(8) |
Net investment income | 1.29% | 1.26% (7) |
Portfolio Turnover | 75% | 13% (5) |
(1) | For the period from the commencement of operations, April 29, 2022, to September 30, 2022. |
(2) | Computed using average shares outstanding. |
(3) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(5) | Not annualized. |
(6) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended September 30, 2023 and the period ended September 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | ||||
Communication Services | $ 1,889,226 | $ — | $ — | $ 1,889,226 |
Consumer Discretionary | 4,068,045 | — | — | 4,068,045 |
Consumer Staples | 5,202,197 | — | — | 5,202,197 |
Financials | 10,304,158 | — | — | 10,304,158 |
Health Care | 9,768,820 | 1,981,073 | — | 11,749,893 |
Industrials | 5,546,711 | — | — | 5,546,711 |
Information Technology | 4,312,276 | — | — | 4,312,276 |
Materials | 3,278,597 | — | — | 3,278,597 |
Real Estate | 2,249,445 | — | — | 2,249,445 |
Utilities | 3,736,286 | — | — | 3,736,286 |
Total Common Stocks | $50,355,761 | $1,981,073 (1) | $ — | $52,336,834 |
Short-Term Investments | $ 1,316,739 | $ — | $ — | $ 1,316,739 |
Total Investments | $51,672,500 | $1,981,073 | $ — | $53,653,573 |
(1) | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Year Ended September 30, | |
2023 | |
Ordinary income | $60,294 |
Undistributed ordinary income | $ 433,670 |
Deferred capital losses | (282,949) |
Net unrealized depreciation | (1,453,953) |
Accumulated loss | $(1,303,232) |
Aggregate cost | $55,107,525 |
Gross unrealized appreciation | $ 2,167,552 |
Gross unrealized depreciation | (3,621,504) |
Net unrealized depreciation | $ (1,453,952) |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $23,139 | $34,086,187 | $(32,792,587) | $ — | $ — | $1,316,739 | $33,666 | 1,316,739 |
Year Ended September 30, 2023 | Period Ended September 30, 2022(1) | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 21,774 | $ 221,842 | 21,133 | $ 200,046 | |
Reinvestment of distributions | 35 | 340 | — | — | |
Shares redeemed | (3,710) | (39,924) | (494) | (4,523) | |
Net increase | 18,099 | $ 182,258 | 20,639 | $ 195,523 | |
Class C | |||||
Shares sold | 999 | $ 9,308 | 5,000 | $ 50,000 | |
Net increase | 999 | $ 9,308 | 5,000 | $ 50,000 | |
Class I | |||||
Shares sold | 391,732 | $ 3,898,679 | 513,404 | $ 5,109,792 | |
Reinvestment of distributions | 876 | 8,563 | — | — | |
Shares redeemed | (10,025) | (170,096) | — | — | |
Net increase | 382,583 | $ 3,737,146 | 513,404 | $5,109,792 | |
Class R6 | |||||
Shares sold | 4,565,879 | $ 45,817,101 | 5,000 | $ 50,000 | |
Reinvestment of distributions | 5,265 | 51,388 | — | — | |
Shares redeemed | (28,557) | (288,997) | — | — | |
Net increase | 4,542,587 | $45,579,492 | 5,000 | $ 50,000 |
(1) | For the period from the commencement of operations, April 29, 2022, to September 30, 2022. |
Boston, Massachusetts
November 22, 2023
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Theodore H. Eliopoulos(1) 1964 | Trustee and President | Since 2022 | President and Chief Executive Officer of CRM and senior sponsor of Morgan Stanley Investment Management’s (MSIM) Diversity Council. Formerly, Vice Chairman & Head of Strategic Partnerships at MSIM (2019-2022). Former Chief Investment Officer and interim Chief Investment Officer (2014-2018) and Senior Investment Officer of Real Estate and Real Assets at California Public Employees’ Retirement System (CalPERS) (2007-2014). Former Chief Deputy Treasurer and Deputy Treasurer at the California State Treasurer's Office (2002-2006). Mr. Eliopoulos is an interested person because of his positions with CRM and certain affiliates. Other Directorships. The Robert Toigo Foundation; Pacific Pension & Investment Institute (PPI). |
Noninterested Trustees | |||
Richard L. Baird, Jr.(2) 1948 | Trustee | Since 1982 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships. None. |
Alice Gresham Bullock 1950 | Chair and Trustee | Since 2016 | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Trustee | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
Karen Fang(3) 1958 | Trustee | Since 2023 | Formerly, Managing Director, Wealth Management at GAMCO Asset Management (asset management firm) (2020-2023). Formerly, Managing Director, Senior Portfolio Manager of Fiduciary Trust Company International (wealth management firm) (1993-2019). Other Directorships. None. |
John G. Guffey, Jr.(2) 1948 | Trustee | Since 1982 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Trustee | Since 2005 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (November 1999 - September 2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Trustee | Since 1990 | Attorney. Other Directorships. Palm Management Corporation. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Eddie Ramos(3) 1967 | Trustee | Since 2023 | Private investor (2022-present). Formerly, Head of External Advisors/Diversity Portfolio Management at the New Jersey Division of Investment (2020-2022). Formerly, Chief Investment Officer and Lead Portfolio Manager – Global Fundamental Equities at Cornerstone Capital Management (asset management firm) (2011-2017). Other Directorships. Macquarie Optimum Funds (6) (asset management). |
Anthony A. Williams 1951 | Trustee | Since 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development); Old Dominion National Bank. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 46 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 46 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 127 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Eliopoulos is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. | |||
(2) Effective December 31, 2023, Richard L. Baird, Jr. and John G. Guffey, Jr. will retire from the Board of Trustees. | |||
(3) Ms. Fang and Mr. Ramos began serving as Trustees effective October 30, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
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
(a) – (d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended September 30, 2022 and September 30, 2023 by its principal accountant for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by its principal accountant during such periods.
Fiscal Years Ended | 9/30/22 | %* | 9/30/23 | %* | ||||||||||||
Audit Fees | $ | 211,500 | 0 | % | $ | 233,400 | 0 | % | ||||||||
Audit-Related Fees(1) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees(2) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
All Other Fees(3) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
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Total | $ | 211,500 | 0 | % | $ | 233,400 | 0 | % | ||||||||
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* | 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). |
(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e) 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 adviser, and any entity controlling, controlled by, or under common control with the adviser 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 adviser in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant’s principal accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant:
\Fiscal Year ended 9/30/22 | Fiscal Year ended 9/30/23 | |||||||||||
$ | % | * | $ | % | * | |||||||
$0 | 0 | % | $ | 0 | 0 | % |
* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of committee’s requirement to pre-approve). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
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.
Item 11. Controls and Procedures
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (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 Securities Exchange Act of 1934 (“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 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). |
(a)(2)(i) |
(a)(2)(ii) |
.(b) |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company 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/ Theodore H. Eliopoulos | |
Theodore H. Eliopoulos | ||
President |
Date: November 22, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: November 22, 2023 | ||
By: | /s/ Theodore H. Eliopoulos | |
Theodore H. Eliopoulos | ||
President | ||
Date: November 22, 2023 |