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: 811-3416
THE CALVERT FUND
(Exact name of registrant as specified in charter)
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Address of Principal Executive Offices)
William M. Tartikoff, Esq.
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Name and Address of Agent for Service)
Registrant's telephone number, including area code: (301) 951-4800
Date of fiscal year end: September 30
Date of reporting period: Six months ended March 31, 2009
Item 1. Report to Stockholders.
<PAGE>
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March 31, 2009
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Table of Contents
President's Letter
1
SRI Update
5
Portfolio Management Discussion
8
Shareholder Expense Example
11
Statement of Net Assets
13
Statement of Operations
18
Statements of Changes in Net Assets
19
Notes to Financial Statements
20
Financial Highlights
26
Explanation of Financial Tables
31
Proxy Voting and Availability of Quarterly Portfolio Holdings
33
Basis for Board's Approval of Investment Advisory Contract
33
Dear Shareholder:
As you are well aware, we are facing one of the most volatile and difficult periods on record for the global financial markets. Over our six-month reporting period ended March 31, the markets were challenged by expanding worldwide recession, rising unemployment, corporate bailouts, and the collapse of several key financial institutions. In response, governments around the world began to implement stimulus measures to inject liquidity into the financial system, support banks, and thaw the credit markets.
Reflecting the struggle of economies worldwide, nearly all segments of the financial markets showed steep declines for the six-month reporting period. Money market funds and Treasuries were exceptions as investors became extremely risk-averse. Major stock indexes hit 12-year lows during this period, with a six-month loss of 30.54% for the Standard & Poor's 500 Index and a decline of 30.84% for international stocks as measured by the MSCI EAFE IMI.1 Despite an upturn in March, U.S. stocks of every style, strategy, and capitalization range fell during this six-month period, with the most notable losses experienced in the small-company and value indexes. The Barclays Capital Aggregate Bond Index managed to post a gain of 4.70%, primarily as a result of its holdings of Treasuries.
Economic data released at the beginning of 2009--from figures on gross domestic product (GDP), housing, and jobs, to consumer confidence, manufacturing, and corporate earnings data--confirmed that the global economic recession was synchronized and deepening. In response, the Federal Reserve signaled its intention to provide additional capital injections and guarantees for banks to help normalize the credit market environment.
Relief for Markets Under Pressure
Although the statistics and market conditions appear grim, we do see cause for some optimism. An unprecedented amount of resources by historical standards are being directed at repairing the struggling financial markets. The U.S. Federal Reserve and Treasury Department are doing all they can to get credit flowing freely through the system again, as are policy makers around the globe. The Treasury's new Public-Private Investment Program, announced in March, is designed to remove toxic assets from bank balance sheets and encourage lending to businesses and consumers, which is essential for market recovery.
With concerted action on the home front, and the type of global cooperation signified at the G20 meeting, we believe our financial system will recover--slowly, and with new financial oversight, transparency, and regulations in place.
Sustainable and Responsible Investing (SRI)
One of the harshest lessons of this crisis is the damage that results from weak corporate governance, inadequate regulatory oversight, and the short-term profit focus of many financial institutions. Notably, because of our corporate governance criteria, Calvert's actively managed SRI equity funds avoided many of the worst-hit companies, such as Lehman Brothers, Citigroup, and Merrill Lynch.
The Obama administration and the new Congress have taken office at a time of extraordinary crisis, but also potential opportunity. We now have the chance to contain the recession, shore up the financial system, invest in a green economic renewal, and address the challenge of climate change--all at the same time.
In this environment, we believe that the opportunities for sustainable and responsible investors are brighter--and more important--than ever. In the last six months, we made progress on a number of sustainable and responsible investment initiatives.
We have been active in advocating for stronger corporate governance and financial market regulations, particularly in the areas of executive compensation, shareholder rights, and greater corporate transparency. In January, Calvert sent recommendations to the Obama transition team regarding critical governance reforms. In March, Calvert joined with Social Investment Forum leaders to meet with SEC Commissioners to discuss shareholder rights and the need for greater disclosure on the part of companies. Advocating for these types of reforms is our top priority for 2009.
We promoted the Calvert Women's Principles (CWP) Initiative to help all kinds of organizations and investors learn about and implement the CWP through practical guidance and programs. Initiative partners have already participated in meetings for the San Francisco Gender Equality Principles Initiative and a March event sponsored by the U.N. Global Compact and the U.N. Development Fund for Women (UNIFEM) to advance women in the workplace, which featured the CWP as a baseline for a set of global women's principles.
Our New SRI Strategies
We have expanded our SRI family of funds to provide investors with greater choice as well as greater opportunity to influence corporate behavior. Our Calvert Solution™ and Calvert SAGE™ (Sustainability Achieved through Greater Engagement) Strategies now accompany our original core approach--Calvert Signature™ Strategies. Our Solution funds are geared toward addressing pressing environmental, sustainability, and governance (ESG) challenges through investing in sectors like alternative energy or water renewal. Our SAGE funds invest in and engage with selected companies that are willing to work toward specific ESG improvements.
In October 2008, Calvert Global Water Fund, which is our second Calvert Solution portfolio, began trading. Also, at the end of 2008, we launched Calvert Large Cap Value Fund, the first offering under our Calvert SAGE investment approach.
Looking Ahead
With the current recession well into its 16th month, it is clear that this is no ordinary recession. Although recovery may be protracted and volatile, we are also optimistic that the coordinated, global efforts of governments to shore up the financial system and reinvigorate the economy will prove effective over the long run.
In our view, the extreme pessimism in the markets and low valuations for all kinds of companies, even those with solid balance sheets and prospects, is creating some of the most attractive investment opportunities on record for investors with long-term time horizons. In the short term, however, we are likely to continue to see sharp pull-backs followed by short-lived rallies.
Review Your Financial Goals
The financial markets will probably continue to be volatile for the foreseeable future. In this environment, it's critical to maintain a long-term view of your investments. Investors who sell indiscriminately now may lock in substantial losses and, perhaps, miss the rebound when stocks, bonds, and other assets eventually recover. Now is a good time to meet with your financial advisor to review your strategic asset allocation and current portfolio holdings.
We also encourage you to visit our newly enhanced website, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals.
As always, we appreciate your investing with Calvert.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
April 2009
1. Morgan Stanley Capital International Europe Australasia Far East Investable Markets Index (MSCI EAFE IMI).
For more complete information on any Calvert Fund, call your advisor or visit our website for a prospectus. An investor should consider the investment objectives, risks, charges and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
SRI Update
from the Calvert Sustainability Research Department
The last six months have been a challenging time to be an investor. The financial crisis we've witnessed has shaken the foundations of Wall Street and the broader global economy. Experts widely agree that excessive speculation, lack of effective regulatory oversight of the financial markets, and a number of corporate governance failures were some of the main causes of the meltdown we've experienced.
Though these lessons are painful, there is a silver lining. In an effort to prevent similar situations from happening again, the fundamental assumptions about the appropriate balance between government and markets in general are being carefully reviewed. Calvert is right in the middle of the debate, using our position as a shareholder to press for governance improvements--particularly in the areas of executive compensation, shareholder rights, and greater corporate transparency--and increasingly adding our voice to the policy debate in Washington, D.C. around regulatory reforms.
It is notable that the corporate governance standards for your funds helped us avoid many of the companies that have dominated the news headlines about the turmoil. We are also pleased to see support in the new administration and Congress for a green economic renewal and for tackling the challenge of climate change. In this environment, we believe that the opportunities for sustainable and responsible investors are brighter--and more important--than ever.
In the last six months, we made progress on a number of sustainable and responsible investment (SRI) initiatives, which we describe in more detail below.
Calvert's New SRI Strategies
Recognizing that investors want choice in how they meet their financial goals and impact corporate responsibility and sustainability practices, Calvert debuted its new line-up of SRI strategies during the reporting period:
Calvert Signature™ Strategies--Calvert's original approach, comprising two distinct research frameworks: a rigorous review of financial performance and a thorough assessment of environmental, sustainability, and governance performance.
Calvert Solution™ Strategies--A thematic approach to solving some of today's most pressing environmental and sustainability challenges. The Solution Strategies currently include alternative energy and water.
Calvert SAGE™ Strategies--An "enhanced engagement" approach emphasizing strategic engagement to advance environmental, sustainability, and governance performance in companies that may not meet certain standards today, but have the potential to improve. The first new product in this category is Calvert Large Cap Value Fund, one of the few SRI funds in this category.
Each of Calvert's three approaches is different, yet equally strong in performance potential and ability to influence corporate responsibility. For more information, please visit our website at www.calvert.com/sri.html.
Shareholder Advocacy
So far in 2009, we have filed or co-filed 31 shareholder resolutions in a variety of areas--and more than one-third have already been withdrawn after receiving a commitment from company management on the issue. In addition to the ones discussed below, about one-quarter were filed to encourage sustainability disclosure and six were in favor of board diversity. The financial crisis has played a role as well--we filed resolutions regarding responsible lending practices at two firms, and two more on loan servicing policy at Goldman Sachs and PNC Financial Group.1
Executive Compensation
Much of the discussion around the role corporations played in the financial crisis has centered on executive compensation--especially with regard to financial firms accepting federal support. In recent years, Calvert has stepped up its involvement in this core governance issue. In early 2009, we filed proposals with American Express and Huntington Bancshares asking the companies to provide shareholders with a "say on pay." Since both companies are participating in the Troubled Asset Relief Program (TARP), they are now required to hold a vote on this issue during next year's proxy season. Both companies also agreed to give public statements of support on the issues that Calvert raised, so we successfully withdrew our resolutions with the companies. Their public statements are important because they put pressure on other companies that have received taxpayer money to acknowledge say on pay as an evolving standard of good governance practice.
Tracking Political Spending
Calvert also signed on to a letter written by the Center for Political Accountability sent to 19 financial companies that received more than $1 billion under TARP. The letter called for these companies to establish board-level oversight and disclosure of corporate political spending. This action builds upon Calvert's direct engagement during the past several years with companies to advocate for such disclosure. This year, Calvert filed a resolution with U.S. Bancorp that resulted in an agreement from the company to provide the requested disclosure. These measures are part of the transparency and accountability necessary to rebuild investor and public trust.
Water Advocacy Issues
Water is quickly emerging as one of the most critical environmental and human rights issues of the 21st century. As such, Calvert launched Calvert Global Water Fund which is the only mutual fund addressing water issues with a specific focus on the use of advocacy as a component of its investment process. Calvert has been actively involved in the efforts to forge a global consensus concerning the human rights responsibilities of business connected to water--joining and participating in the United Nations Global Compact's CEO Water Mandate, among other action groups. On the company side, the focus has been on encouraging firms to improve disclosure and transparency regarding their water impacts through shareholder resolutions, letters to companies held by the fund, and ongoing dialogue.
Special Equities
A modest but important portion of certain portfolios is allocated to venture capital investment in companies that are developing products or services that address important sustainability or environmental issues. During the past six months, the program has focused on supporting earlier investments such as GROSolar.2 Vermont-based GROSolar is one of the four largest solar panel distributors in the U.S. The company is currently enjoying strong demand for its products and services--which should be further bolstered by solar-friendly provisions in the January economic stimulus package. Smart public relations efforts, such as a PBS-TV episode of "This Old House" featuring GROSolar CEO Jeff Wolfe, have certainly helped as well. The program showed how a Massachusetts couple quickly and affordably turned their modest 1970s-era house into a model for green technology.
Community Investments
Several of our Funds participate in Calvert's High Social Impact Investing (HSII) program, which is administered through the Calvert Social Investment Foundation. This community investment program may allocate 1% to 3% of Fund assets to investments that provide economic opportunity for struggling populations.3 Importantly, the loans underwritten by this program have remained extremely sound during a period in which other credit products have had negative returns. Shareholders can feel proud about the success of these investments on the basis of both financial return and societal impact.
In early 2009, the Foundation closed two loans to Fair Trade organizations such as PRODECOOP in Nicaragua, which provides its 2,318 member families assistance with sustainable coffee production practices and with marketing their coffee. The cooperative structure of the loans will strengthen the farmers' position during negotiations with coffee buyers--allowing them to earn a year-round income and provide their families with education and health services. We are proud to continue to support community investments, which help direct capital to meeting real human needs.
1. The following holdings represented the following percentages of Fund net assets as of March 31, 2009: Goldman Sachs 0.06% of CSIF Balanced Portfolio, 0.80% of CSIF Enhanced Equity Portfolio, 1.10% of Calvert Social Index Fund and 1.43% of Calvert Large Cap Value Fund. PNC Financial Group represented 0.21% of Calvert Enhanced Equity Portfolio and 0.29% of Calvert Social Index. American Express represented 0.10% of CSIF Enhaned Equity Portfolio, 0.06% of CSIF Balanced Portfolio, and 0.33% of Calvert Social Index Fund. Huntington Bancshares represented 0.01% of Calvert Social Index Fund. U.S. Bancorp represented 0.59% of Calvert Social Index Fund and 0.46% of CSIF Enhanced Equity Portfolio.
2. As of March 31, 2009, GROSolar represented 0.55% of CSIF Equity Portfolio.
3. As of March 31, 2009, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: Calvert Capital Accumulation Fund 1.94%, Calvert World Values International Equity Fund 1.46%, Calvert New Vision Small Cap Fund 1.65%, and Calvert Large Cap Growth Fund 0.42%. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization. The Foundation's Community Investment Note Program is not a mutual fund and should not be confused with any Calvert Group-sponsored investment product.
All holdings are subject to change without notice.
For more complete information on any Calvert Fund, call your advisor or visit our website for a prospectus. An investor should consider the investment objectives, risks, charges and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Portfolio Statistics
March 31, 2009
Investment Performance
(total return at NAV*)
| 6 Months
ended
3/31/09 | 12 Months
ended
3/31/09 |
Class A | -31.30% | -33.89% |
Class B | -31.91% | -34.85% |
Class C | -31.80% | -34.70% |
Class I | -31.06% | -33.46% |
Russell 2000 | | |
Index** | -37.17% | -37.50% |
Lipper Small-Cap | | |
Growth Funds Avg. | -32.56% | -37.71% |
| | | |
Ten Largest Stock Holdings | | |
| | % of Net Assets | |
priceline.com, Inc. | 4.1% | |
Calgon Carbon Corp. | 4.1% | |
Compass Minerals International, Inc. | 4.0% | |
OSI Pharmaceuticals, Inc. | 3.5% | |
Strayer Education, Inc. | 3.2% | |
Tekelec | 3.2% | |
Watson Wyatt Worldwide, Inc. | 3.0% | |
Applied Industrial Technologies, Inc. | 2.7% | |
Amedisys, Inc. | 2.6% | |
Netflix, Inc. | 2.3% | |
Total | 32.7% | |
| | | |
Economic Sectors | | |
| | % of Total Investments | |
Consumer Discretionary | 18.5% | |
Consumer Staples | 2.9% | |
Energy | 3.7% | |
Financials | 15.7% | |
Government | 2.1% | |
Health Care | 15.8% | |
Industrials | 17.4% | |
Information Technology | 13.1% | |
Materials | 8.1% | |
Utilities | 2.7% | |
Total | 100% | |
Portfolio Management Discussion
John Montgomery
of Bridgeway Capital Management
Performance
Calvert New Vision Small Cap Fund Class A shares (at NAV) returned -31.30% for the six-month period ended March 31, 2009, faring better than the Russell 2000® Index, which returned -37.17%. Strong stock selection helped the Fund's performance relative to the Index.
Investment Climate
A new administration, corporate bailouts, talk of recession, rising unemployment, impending inflation--each would test any market's resolve, but together they're enough to make your head spin. There was really nothing stimulating about this investment climate, except, hopefully, the government's new stimulus package. The market exhibited heavy volatility throughout the period and ultimately ended well below where it started. Across the board, stocks of all styles declined, with growth stocks feeling the most pain during the last three months of 2008.
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
**Source: Lipper Analytical Services, Inc.
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
(with max. load)
| | Class A Shares |
One year | -37.02% |
Five year | -12.58% |
Ten year | -0.08% |
| | Class B Shares |
One year | -38.11% |
Five year | -12.82% |
Ten year | -0.63% |
| | Class C Shares |
One year | -35.35% |
Five year | -12.51% |
Ten year | -0.47% |
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
| | Class I Shares* |
One year | -33.46% |
Five year | -11.04% |
Ten year | 1.30% |
*Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the periods January 18, 2002 through January 30, 2003 and March 12, 2003 through July 31, 2003.
Performance does not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance does not predict future results.
Small-cap stocks were certainly not spared over the last two quarters. The fourth quarter of 2008 saw negative returns across the board, with an average return of -27.45% for small-cap growth stocks (the single worst-performing area). The first quarter of 2009 was negative for all areas except large-cap growth, with small-cap growth stocks returning -9.74%.
Our benchmark, the Russell 2000 Index, is an amalgamation of both value and growth small-cap stocks, so it is very similar to the universe from which our models pick the Fund's stocks. In all, our recent model tendency toward more "growthy" stocks definitely helped our performance compared with the Index, as growth stocks in general significantly outperformed value stocks in the second half of the period. Regardless, Bridgeway's overall market view is that small-cap stocks remain a great diversifier for a portion of a shareholder's overall portfolio allocation.
Portfolio Strategy
What Worked Well
For the period, an overweight to Consumer Discretionary stocks coupled with strong stock selection in that sector moderated the Fund's decline relative to the benchmark. Top performer Netflix gained 39.0%, followed by a gain of 17.4% for Hospitality Properties Trust, and an increase of 11.6% for Priceline.com.1 The latter is now our single largest holding, representing 4.1% of Fund assets. The Fund also benefited from good stock selection in the Health Care sector. Other strong performers included Panera Bread and Interwoven, which provides content management software for websites.
What Didn't Work Well
A slight overweight to Energy, the worst-performing sector for the period, combined with weak stock selection in that sector cost us about one percentage point of return. Our worst-performing stock was Energy Partners, which declined 86.8% during the period. This oil and natural gas company was over-burdened with debt, causing its credit rating to be downgraded, its CEO to resign, and its stock to be delisted from the New York Stock Exchange--truly a rough period. By early February, the Fund had liquidated all of its Energy Partners shares.
Our top 10 list of the worst-performing stocks represented six different sectors, with Energy as the most prevalent. Aside from Energy Partners, they included Pioneer Drilling, electronics firm CTS, Swift Energy, and Glatfelter, a forest products and paper company. Seven of these 10 stocks were liquidated during the period.
Outlook
While the period was riddled with some of the largest negative swings in our investing lifetime, we actually saw some nice positive upticks toward the middle and end of March. In fact, the Russell 2000 Index was up 8.93% for March 2009. If this recession does persist, we believe that investing in small-cap stocks may be a way to sidestep some of the market turmoil. Regardless of "bears or bulls," our Fund maintains a fully invested strategy (holding little cash on hand) to help our shareholders gain exposure to the small-cap universe of stocks.
April 2009
1. All returns shown for individual holdings reflect that part of the reporting period the holdings were held.
As of March 31, 2009, the following companies represented the following percentages of Fund net assets: Netflix 2.3%, Hospitality Properties Trust 0.7%, Priceline.com 4.1%, Panera Bread 1.8%, Interwoven 0%, Energy Partners 0%, Pioneer Drilling 0%, CTS 0%, Swift Energy 0%, and Glatfelter 0%. All portfolio holdings are subject to change without notice.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges and redemption fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period October 1, 2008 to March 31, 2009).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
10/1/08 | Ending Account
Value
3/31/09 | Expenses Paid
During Period*
10/1/08 - 3/31/09 |
Class A | | | |
Actual | $1,000.00 | $687.00 | $8.17 |
Hypothetical | $1,000.00 | $1,015.24 | $9.76 |
(5% return per year before expenses) |
Class B | | | |
Actual | $1,000.00 | $680.90 | $13.94 |
Hypothetical | $1,000.00 | $1,008.34 | $16.66 |
(5% return per year before expenses) |
Class C | | | |
Actual | $1,000.00 | $682.00 | $12.42 |
Hypothetical | $1,000.00 | $1,010.16 | $14.85 |
(5% return per year before expenses) |
Class I | | | |
Actual | $1,000.00 | $689.40 | $3.87 |
Hypothetical | $1,000.00 | $1,020.34 | $4.63 |
(5% return per year before expenses) |
* Expenses are equal to the Fund's annualized expense ratio of 1.94%, 3.33%, 2.96%, and 0.92% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 182/365.
Statement of Net Assets
March 31, 2009
Equity Securities - 96.4% | | Shares | Value | |
Auto Components - 0.7% | | | | |
Fuel Systems Solutions, Inc.* | | 33,900 | $456,972 | |
| | | | | |
Biotechnology - 6.7% | | | | |
Alexion Pharmaceuticals, Inc.* | | 39,400 | 1,483,804 | |
Onyx Pharmaceuticals, Inc.* | | 24,400 | 696,620 | |
OSI Pharmaceuticals, Inc.* | | 60,500 | 2,314,730 | |
| | | | 4,495,154 | |
| | | | | |
Capital Markets - 0.7% | | | | |
LaBranche & Co., Inc.* | | 126,000 | 471,240 | |
| | | | | |
Chemicals - 4.1% | | | | |
Calgon Carbon Corp.* | | 192,900 | 2,733,393 | |
| | | | | |
Commercial Banks - 1.4% | | | | |
Glacier Bancorp, Inc. | | 35,900 | 563,989 | |
Umpqua Holdings Corp. | | 43,100 | 390,486 | |
| | | | 954,475 | |
| | | | | |
Commercial Services & Supplies - 0.6% | | | | |
Comfort Systems USA, Inc. | | 36,900 | 382,653 | |
| | | | | |
Communications Equipment - 4.2% | | | | |
Comtech Telecommunications Corp.* | | 27,000 | 668,790 | |
Tekelec* | | 159,900 | 2,115,477 | |
| | | | 2,784,267 | |
| | | | | |
Computers & Peripherals - 0.7% | | | | |
Diebold, Inc. | | 22,900 | 488,915 | |
| | | | | |
Construction & Engineering - 2.5% | | | | |
EMCOR Group, Inc.* | | 40,000 | 686,800 | |
Layne Christensen Co.* | | 31,300 | 502,991 | |
Perini Corp.* | | 41,200 | 506,760 | |
| | | | 1,696,551 | |
| | | | | |
Diversified Consumer Services - 3.6% | | | | |
Regis Corp. | | 14,700 | 212,415 | |
Strayer Education, Inc. | | 12,100 | 2,176,427 | |
| | | | 2,388,842 | |
| | | | | |
Diversified Financial Services - 2.1% | | | | |
Portfolio Recovery Associates, Inc.* | | 52,045 | 1,396,888 | |
| | | | | |
Electric Utilities - 0.7% | | | | |
IDACORP, Inc. | | 20,400 | 476,544 | |
| | | | | |
| | | | | |
Equity Securities - Cont'd | | Shares | Value | |
Electrical Equipment - 2.1% | | | | |
GrafTech International Ltd.* | | 100,100 | $616,616 | |
Woodward Governor Co. | | 69,600 | 778,128 | |
| | | | 1,394,744 | |
| | | | | |
Electronic Equipment & Instruments - 2.0% | | | | |
SYNNEX Corp.* | | 66,700 | 1,311,989 | |
| | | | | |
Energy Equipment & Services - 3.0% | | | | |
Hornbeck Offshore Services, Inc.* | | 84,700 | 1,290,828 | |
Superior Energy Services, Inc.* | | 53,420 | 688,584 | |
| | | | 1,979,412 | |
| | | | | |
Food Products - 2.9% | | | | |
Flowers Foods, Inc. | | 52,050 | 1,222,134 | |
TreeHouse Foods, Inc.* | | 25,500 | 734,145 | |
| | | | 1,956,279 | |
| | | | | |
Gas Utilities - 2.0% | | | | |
WGL Holdings, Inc. | | 40,600 | 1,331,680 | |
| | | | | |
Health Care Equipment & Supplies - 3.2% | | | | |
Gen-Probe, Inc.* | | 18,200 | 829,556 | |
Greatbatch, Inc.* | | 29,800 | 576,630 | |
Thoratec Corp.* | | 28,900 | 742,441 | |
| | | | 2,148,627 | |
| | | | | |
Health Care Providers & Services - 5.1% | | | | |
Amedisys, Inc.* | | 63,067 | 1,733,712 | |
AMERIGROUP Corp.* | | 42,385 | 1,167,283 | |
RehabCare Group, Inc.* | | 26,800 | 467,392 | |
| | | | 3,368,387 | |
| | | | | |
Hotels, Restaurants & Leisure - 1.8% | | | | |
Panera Bread Co.* | | 21,400 | 1,196,260 | |
| | | | | |
Industrial Conglomerates - 0.6% | | | | |
Standex International Corp. | | 46,000 | 423,200 | |
| | | | | |
Insurance - 4.8% | | | | |
Amerisafe, Inc.* | | 74,900 | 1,147,468 | |
HCC Insurance Holdings, Inc. | | 50,175 | 1,263,908 | |
Horace Mann Educators Corp. | | 34,200 | 286,254 | |
StanCorp Financial Group, Inc. | | 22,800 | 519,384 | |
| | | | 3,217,014 | |
| | | | | |
Internet & Catalog Retail - 9.1% | | | | |
1-800-FLOWERS.COM, Inc.* | | 164,600 | 340,722 | |
NetFlix, Inc.* | | 35,200 | 1,510,784 | |
PetMed Express, Inc.* | | 88,100 | 1,451,888 | |
priceline.com, Inc.* | | 35,012 | 2,758,245 | |
| | | | 6,061,639 | |
| | | | | |
Equity Securities - Cont'd | | Shares | Value | |
Internet Software & Services - 2.2% | | | | |
Earthlink, Inc.* | | 221,182 | $1,453,166 | |
| | | | | |
Leisure Equipment & Products - 1.0% | | | | |
Polaris Industries, Inc. | | 32,300 | 692,512 | |
| | | | | |
Life Sciences - Tools & Services - 0.8% | | | | |
eResearchTechnology, Inc.* | | 105,000 | 552,300 | |
| | | | | |
Machinery - 3.0% | | | | |
Briggs & Stratton Corp. | | 49,900 | 823,350 | |
CIRCOR International, Inc. | | 23,300 | 524,716 | |
Valmont Industries, Inc. | | 13,400 | 672,814 | |
| | | | 2,020,880 | |
| | | | | |
Metals & Mining - 4.0% | | | | |
Compass Minerals International, Inc. | | 47,800 | 2,694,486 | |
| | | | | |
Oil, Gas & Consumable Fuels - 0.8% | | | | |
World Fuel Services Corp. | | 17,000 | 537,710 | |
| | | | | |
Professional Services - 5.2% | | | | |
FTI Consulting, Inc.* | | 29,300 | 1,449,764 | |
Watson Wyatt Worldwide, Inc. | | 40,755 | 2,012,074 | |
| | | | 3,461,838 | |
| | | | | |
Real Estate Investment Trusts - 2.0% | | | | |
Camden Property Trust | | 11,900 | 256,802 | |
Hospitality Properties Trust | | 36,800 | 441,600 | |
Kilroy Realty Corp. | | 12,500 | 214,875 | |
Weingarten Realty Investors | | 47,200 | 449,344 | |
| | | | 1,362,621 | |
| | | | | |
Semiconductors & Semiconductor Equipment - 0.5% | | | | |
Standard Microsystems Corp.* | | 18,300 | 340,380 | |
| | | | | |
Software - 3.6% | | | | |
Concur Technologies, Inc.* | | 15,100 | 289,769 | |
MICROS Systems, Inc.* | | 62,630 | 1,174,313 | |
SPSS, Inc.* | | 33,700 | 958,091 | |
| | | | 2,422,173 | |
| | | | | |
Specialty Retail - 2.4% | | | | |
Gymboree Corp.* | | 34,100 | 728,035 | |
Sally Beauty Holdings, Inc.* | | 149,200 | 847,456 | |
| | | | 1,575,491 | |
| | | | | |
Thrifts & Mortgage Finance - 2.9% | | | | |
Provident Financial Services, Inc. | | 47,000 | 508,070 | |
Trustco Bank Corp. NY | | 114,993 | 692,258 | |
United Financial Bancorp, Inc. | | 53,900 | 705,551 | |
| | | | 1,905,879 | |
| | | | | |
Equity Securities - Cont'd | | Shares | Value | |
Trading Companies & Distributors - 3.4% | | | | |
Applied Industrial Technologies, Inc. | | 107,400 | $1,811,838 | |
WESCO International, Inc.* | | 25,405 | 460,338 | |
| | | | 2,272,176 | |
| | | | | |
Total Equity Securities (Cost $78,098,630) | | | 64,406,737 | |
| | | | | |
| | | | | |
| | | Principal | | |
Certificates of Deposit - 0.1% | | Amount | | |
ShoreBank, 2.13%, 2/11/10 (b)(k) | | $100,000 | 99,820 | |
| | | | | |
| | | | | |
Total Certificates Of Deposit (Cost $100,000) | | | 99,820 | |
| | | | | |
| | | | | |
High Social Impact Investments - 1.7% | | | | |
Calvert Social Investment Foundation Notes, 3.00%, 7/1/10 (b)(i)(r) | | 1,151,905 | 1,104,965 | |
| | | | | |
Total High Social Impact Investments (Cost $1,151,905) | | | 1,104,965 | |
| | | | | |
| | | | | |
U.S. Government Agencies | | | | |
And Instrumentalities - 2.1% | | | | |
Federal Home Loan Bank Discount Notes, 4/1/09 | | 1,400,000 | 1,400,000 | |
| | | | | |
| | | | | |
Total U.S. Government Agencies | | | | |
and Instrumentalities (Cost $1,400,000) | | | 1,400,000 | |
| | | | | |
| | | | | |
TOTAL INVESTMENTS (Cost $80,750,535) - 100.3% | | | 67,011,522 | |
Other assets and liabilities, net - (0.3%) | | | (212,381) | |
Net Assets - 100% | | | $66,799,141 | |
| | | | | |
| | | | | |
Net Assets Consist of: | | | | |
Paid-in capital applicable to the following shares of beneficial interest, | | | | |
unlimited number of no par value shares authorized: | | | | |
Class A: 5,348,882 shares outstanding | | | $83,071,445 | |
Class B: 498,063 shares outstanding | | | 6,824,020 | |
Class C: 694,346 shares outstanding | | | 10,137,233 | |
Class I: 627,223 shares outstanding | | | 10,735,656 | |
Undistributed net investment income (loss) | | | (303,650) | |
Accumulated net realized gain (loss) on investments | | | (29,926,550) | |
Net unrealized appreciation (depreciation) on investments | | | (13,739,013) | |
| | | | | |
Net Assets | | | $66,799,141 | |
| | | | | |
| | | | | |
Net Asset Value Per Share: | | | | |
Class A (based on net assets of $50,468,794) | | | $9.44 | |
Class B (based on net assets of $4,131,646) | | | $8.30 | |
Class C (based on net assets of $5,852,675) | | | $8.43 | |
Class I (based on net assets of $6,346,026) | | | $10.12 | |
| | Acquisition | |
Restricted Securities | Date | Cost |
Calvert Social Investment Foundation Notes, | | |
3.00%, 7/1/10 | 7/2/07 | $1,151,905 |
* Non-income producing security.
(b) This security was valued by the Board of Trustees. See Note A.
(i) Restricted securities represent 1.7% of net assets of the Fund.
(k) These certificates of deposit are fully insured by agencies of the federal government.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
See notes to financial statements.
Statement of Operations
Six Months Ended March 31, 2009
Net Investment Income | | | |
Investment Income: | | | |
Dividend income | | $421,696 | |
Interest income | | 18,725 | |
Total investment income | | 440,421 | |
| | | | |
Expenses: | | | |
Investment advisory fee | | 274,880 | |
Transfer agency fees and expenses | | 204,064 | |
Distribution Plan expenses: | | | |
Class A | | 69,144 | |
Class B | | 23,742 | |
Class C | | 32,719 | |
Trustees' fees and expenses | | 1,612 | |
Administrative fees | | 86,607 | |
Accounting fees | | 5,707 | |
Custodian fees | | 11,261 | |
Registration fees | | 20,610 | |
Reports to shareholders | | 40,352 | |
Professional fees | | 10,749 | |
Miscellaneous | | 7,042 | |
Total expenses | | 788,489 | |
Reimbursement from Advisor: | | | |
Class A | | (14,331) | |
Class B | | (1,230) | |
Class C | | (1,695) | |
Class I | | (10,510) | |
Fees waived | | (16,652) | |
Net expenses | | 744,071 | |
| | | | |
Net Investment Income (Loss) | | (303,650) | |
| | | | |
Realized and Unrealized Gain (Loss) On Investments | | | |
Net realized gain (loss) | | (14,792,375) | |
Change in unrealized appreciation or (depreciation) | | (16,881,028) | |
| | | | |
| | | | |
Net Realized and Unrealized Gain (Loss) On Investments | | (31,673,403) | |
| | | | |
Increase (Decrease) in Net Assets | | | |
Resulting From Operations | | ($31,977,053) | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | Six Months Ended | Year Ended | |
| | | March 31, | September 30, | |
Increase (Decrease) in Net Assets | | 2009 | 2008 | |
Operations: | | | | |
Net investment income (loss) | | ($303,650) | ($1,387,753) | |
Net realized gain (loss) | | (14,792,375) | (10,753,457) | |
Change in unrealized appreciation or (depreciation) | | (16,881,028) | (16,667,620) | |
| | | | | |
Increase (Decrease) in Net Assets | | | | |
Resulting From Operations | | (31,977,053) | (28,808,830) | |
| | | | | |
Capital share transactions: | | | | |
Shares sold: | | | | |
Class A Shares | | 5,321,034 | 22,333,718 | |
Class B Shares | | 197,140 | 448,992 | |
Class C Shares | | 189,932 | 856,570 | |
Class I Shares | | 1,026,391 | 2,922,607 | |
Redemption fees: | | | | |
Class A Shares | | 708 | 1,830 | |
Class B Shares | | 2 | 96 | |
Class C Shares | | 65 | 970 | |
Shares redeemed: | | | | |
Class A Shares | | (9,707,753) | (26,015,236) | |
Class B Shares | | (755,237) | (3,028,877) | |
Class C Shares | | (757,733) | (2,460,138) | |
Class I Shares | | (764,304) | (2,971,480) | |
Total capital share transactions | | (5,249,755) | (7,910,948) | |
| | | | | |
Total Increase (Decrease) in Net Assets | | (37,226,808) | (36,719,778) | |
| | | | | |
Net Assets | | | | |
Beginning of period | | 104,025,949 | 140,745,727 | |
End of period (including net investment loss | | | | |
of $303,650 and $0, respectively) | | $66,799,141 | $104,025,949 | |
| | | | | |
Capital Share Activity | | | | |
Shares sold: | | | | |
Class A Shares | | 531,919 | 1,439,303 | |
Class B Shares | | 22,232 | 32,124 | |
Class C Shares | | 20,998 | 60,850 | |
Class I Shares | | 92,533 | 179,058 | |
Shares redeemed: | | | | |
Class A Shares | | (929,297) | (1,650,545) | |
Class B Shares | | (87,214) | (218,959) | |
Class C Shares | | (82,835) | (175,890) | |
Class I Shares | | (69,923) | (184,630) | |
Total capital share activity | | (501,587) | (518,689) | |
See notes to financial statements.
Notes to Financial Statements
Note A -- Significant Accounting Policies
General: The Calvert New Vision Small Cap Fund (the "Fund"), a series of The Calvert Fund, is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The operation of each series is accounted for separately. The Fund offers four classes of shares of beneficial interest. Class A shares are sold with a maximum front-end sales charge of 4.75%. Class B shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge at the time of redemption, depending on how long investors have owned the shares. Class C shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum investment may be waived for certain institutional accounts, where it i s believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class specific expenses, (b) exchange privileges and (c) class specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the Fund's net asset value is determined, that are expected to materially affect the value of those securities then they are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Fund may invest in securities whose resale is subjec t to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
At March 31, 2009, securities valued at $1,204,785, or 1.8% of net assets, were fair valued in good faith under the direction of the Board of Trustees.
Effective October 1, 2008, the Fund adopted Financial Accounting Standards Board Statement on Financial Accounting Standards No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund's investments and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.
The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2009:
Valuation Inputs | Investments in Securities |
Level 1 - Quoted Prices | $64,406,737 |
Level 2 - Other Significant Observable Inputs | 1,400,000 |
Level 3 - Significant Unobservable Inputs | 1,204,785* |
Total | $67,011,522 |
*Level 3 securities represent 1.8% of net assets.
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities is included at the end of the Fund's Statement of Net Assets.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withhold ing taxes on foreign dividends have been provided for in accordance with the Fund's understanding of the applicable country's tax rules and rates.
Foreign Currency Transactions: The Fund's accounting records are maintained in U. S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on securities and foreign currencies.
Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund (within seven days for Class I shares). The redemption fee is paid to the Class of the Fund from which the redemption is made, and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Expense Offset Arrangements: The Fund has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. Such a deposit arrangement may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements or in any of the open tax years; thus, no provision for income tax is required. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
New Accounting Pronouncements: In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .75% based on the Fund's average daily net assets. Under the terms of the agreement, $40,930 was payable at period end. In addition, $34,405 was payable at period end for operating expenses paid by the Advisor during March 2009.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2010 for Class I. The contractual expense cap is .92%. For the purposes of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit any acquired fund fees and expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
Calvert Administrative Services Company ("CASC"), an affiliate of the Advisor, provides administrative services to the Fund for an annual fee, payable monthly, of .25% for Class A, Class B, and Class C shares and .10% for Class I shares based on their average daily net assets. Under the terms of the agreement, $10,399 was payable at period end. For the six months ended March 31, 2009, CASC waived $16,652 of its fee.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. Distribution Plans, adopted by Class A, Class B and Class C shares, allow the Fund to pay the Distributor for expenses and services associated with distribution of shares. The expenses paid may not exceed .25%, 1.00% and 1.00% annually of average daily net assets of each Class A, Class B and Class C, respectively. The amount actually paid by the Fund is an annualized fee, payable monthly of .25%, 1.00% and 1.00% of the Fund's average daily net assets of Class A, Class B and Class C, respectively. Class I does not have Distribution Plan expenses. Under the term of the agreement, $18,491 was payable at period end.
The Distributor received $6,957 as its portion of the commissions charged on sales of the Fund's Class A shares for the six months ended March 31, 2009.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received fees of $48,393 for the six months ended March 31, 2009. Under the terms of the agreement, $8,024 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
The Fund may invest in Community Investment Notes issued by the Calvert Social Investment Foundation (the "CSI Foundation"). The CSI Foundation is a 501(c)(3) non-profit organization that receives in-kind support from the Calvert Group, Ltd. and its subsidiaries. The Fund has received from the Securities and Exchange Commission an exemptive order permitting the Fund to make investments in these notes under certain conditions.
Each Trustee of the Fund who is not an employee of the Advisor or its affiliates receives an annual retainer of $32,000 plus up to $1,500 for each Board and Committee meeting attended. Trustees fees are allocated to each of the funds served.
Note C -- Investment Activity
During the period, cost of purchases and proceeds from sales of investments, other than short-term securities, were $19,312,196 and $25,280,972, respectively.
The cost of investments owned at March 31, 2009 for federal income tax purposes was $80,748,482. Net unrealized depreciation aggregated $13,736,960, of which $3,776,337 related to appreciated securities and $17,513,297 related to depreciated securities.
Net realized capital loss carryforwards for federal income tax purposes of $228,548 (acquired from Calvert Social Investment Fund Technology Portfolio), $2,052,226 and $1,688,552 at September 30, 2008 may be available, subject to certain tax limitations, to offset future capital gains until expiration in September 2010, September 2014 and September 2015, respectively.
Note D -- Line of Credit
A financing agreement is in place with certain Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Fund had no loans outstanding pursuant to this line of credit at March 31, 2009. For the six months ended March 31, 2009, borrowings by the Fund under the Agreement were as follows:
| Average
Daily
Balance | Weighted
Average
Interest
Rate | Maximum
Amount
Borrowed | Month of
Maximum
Amount
Borrowed |
| | $10,687 | 0.97% | $272,469 | February 2009 |
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class A Shares | | 2009 | 2008 | 2007 (w) | |
Net asset value, beginning | | $13.74 | $17.45 | $15.92 | |
Income from investment operations | | | | | |
Net investment income (loss) | | (.04) | (.16) | (.17) | |
Net realized and unrealized gain (loss) | | (4.26) | (3.55) | 1.70 | |
Total from investment operations | | (4.30) | (3.71) | 1.53 | |
Total increase (decrease) in net asset value | | (4.30) | (3.71) | 1.53 | |
Net asset value, ending | | $9.44 | $13.74 | $17.45 | |
| | | | | | |
Total return* | | (31.30%) | (21.26%) | 9.61% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | (.74%) (a) | (1.08%) | (1.03%) | |
Total expenses | | 2.04% (a) | 1.80% | 1.76% | |
Expenses before offsets | | 1.94% (a) | 1.75% | 1.73% | |
Net expenses | | 1.94% (a) | 1.74% | 1.71% | |
Portfolio turnover | | 25% | 55% | 98% | |
Net assets, ending (in thousands) | | $50,469 | $78,939 | $103,937 | |
| | | | | | |
| | | | | | |
| | | | Years Ended | | |
| | | September 30, | September 30, | September 30, | |
Class A Shares | | 2006 | 2005 | 2004 | |
Net asset value, beginning | | $18.25 | $18.70 | $16.43 | |
Income from investment operations | | | | | |
Net investment income (loss) | | (.21) | (.06) | (.10) | |
Net realized and unrealized gain (loss) | | (.22) | .22 | 2.37 | |
Total from investment operations | | (.43) | .16 | 2.37 | |
Distributions from | | | | | |
Net realized gain | | (1.90) | (.61) | -- | |
Total distributions | | (1.90) | (.61) | -- | |
Total increase (decrease) in net asset value | | (2.33) | (.45) | 2.27 | |
Net asset value, ending | | $15.92 | $18.25 | $18.70 | |
| | | | | | |
Total return* | | (3.04%) | 0.64% | 13.82% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | (1.10%) | (0.28%) | (0.53%) | |
Total expenses | | 1.74% | 1.71% | 1.69% | |
Expenses before offsets | | 1.74% | 1.71% | 1.69% | |
Net expenses | | 1.73% | 1.70% | 1.68% | |
Portfolio turnover | | 160% | 169% | 54% | |
Net assets, ending (in thousands) | | $121,941 | $172,540 | $214,143 | |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class B Shares | | 2009 | 2008 | 2007 (w) | |
Net asset value, beginning | | $12.19 | $15.64 | $14.42 | |
Income from investment operations | | | | | |
Net investment income (loss) | | (.10) | (.35) | (.31) | |
Net realized and unrealized gain (loss) | | (3.79) | (3.10) | 1.53 | |
Total from investment operations | | (3.89) | (3.45) | 1.22 | |
Total increase (decrease) in net asset value | | (3.89) | (3.45) | 1.22 | |
Net asset value, ending | | $8.30 | $12.19 | $15.64 | |
| | | | | | |
Total return* | | (31.91%) | (22.06%) | 8.46% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | (2.13%) (a) | (2.13%) | (2.02%) | |
Total expenses | | 3.43% (a) | 2.86% | 2.75% | |
Expenses before offsets | | 3.33% (a) | 2.81% | 2.72% | |
Net expenses | | 3.33% (a) | 2.80% | 2.70% | |
Portfolio turnover | | 25% | 55% | 98% | |
Net assets, ending (in thousands) | | $4,132 | $6,862 | $11,729 | |
| | | | | | |
| | | | | | |
| | | | Years Ended | | |
| | | September 30, | September 30, | September 30, | |
Class B Shares | | 2006 | 2005 | 2004 | |
Net asset value, beginning | | $16.84 | $17.45 | $15.47 | |
Income from investment operations | | | | | |
Net investment income (loss) | | (.36) | (.24) | (.24) | |
Net realized and unrealized gain (loss) | | (.16) | .24 | 2.22 | |
Total from investment operations | | (.52) | (.00) | 1.98 | |
Distributions from | | | | | |
Net realized gain | | (1.90) | (.61) | -- | |
Total distributions | | (1.90) | (.61) | -- | |
Total increase (decrease) in net asset value | | (2.42) | (.61) | 1.98 | |
Net asset value, ending | | $14.42 | $16.84 | $17.45 | |
| | | | | | |
Total return* | | (3.91%) | (0.25%) | 12.80% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | (2.02%) | (1.18%) | (1.42%) | |
Total expenses | | 2.66% | 2.61% | 2.58% | |
Expenses before offsets | | 2.66% | 2.60% | 2.58% | |
Net expenses | | 2.65% | 2.60% | 2.57% | |
Portfolio turnover | | 160% | 169% | 54% | |
Net assets, ending (in thousands) | | $14,425 | $20,309 | $26,089 | |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class C Shares | | 2009 | 2008 | 2007 (w) | |
Net asset value, beginning | | $12.36 | $15.83 | $14.57 | |
Income from investment operations | | | | | |
Net investment income (loss) | | (.08) | (.30) | (.29) | |
Net realized and unrealized gain (loss) | | (3.85) | (3.17) | 1.55 | |
Total from investment operations | | (3.93) | (3.47) | 1.26 | |
Total increase (decrease) in net asset value | | (3.93) | (3.47) | 1.26 | |
Net asset value, ending | | $8.43 | $12.36 | $15.83 | |
| | | | | | |
Total return* | | (31.80%) | (21.92%) | 8.65% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | (1.76%) (a) | (1.94%) | (1.88%) | |
Total expenses | | 3.06% (a) | 2.66% | 2.60% | |
Expenses before offsets | | 2.96% (a) | 2.61% | 2.57% | |
Net expenses | | 2.96% (a) | 2.60% | 2.55% | |
Portfolio turnover | | 25% | 55% | 98% | |
Net assets, ending (in thousands) | | $5,853 | $9,347 | $13,794 | |
| | | | | | |
| | | | | | |
| | | | Years Ended | | |
| | | September 30, | September 30, | September 30, | |
Class C Shares | | 2006 | 2005 | 2004 | |
Net asset value, beginning | | $16.98 | $17.57 | $15.57 | |
Income from investment operations | | | | | |
Net investment income (loss) | | (.33) | (.21) | (.21) | |
Net realized and unrealized gain (loss) | | (.18) | .23 | 2.21 | |
Total from investment operations | | (.51) | .02 | 2.00 | |
Distributions from | | | | | |
Net realized gain | | (1.90) | (.61) | -- | |
Total distributions | | (1.90) | (.61) | -- | |
Total increase (decrease) in net asset value | | (2.41) | (.59) | 2.00 | |
Net asset value, ending | | $14.57 | $16.98 | $17.57 | |
| | | | | | |
Total return* | | (3.81%) | (0.13%) | 12.85% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | (1.89%) | (1.06%) | (1.33%) | |
Total expenses | | 2.53% | 2.50% | 2.49% | |
Expenses before offsets | | 2.53% | 2.49% | 2.49% | |
Net expenses | | 2.52% | 2.48% | 2.48% | |
Portfolio turnover | | 160% | 169% | 54% | |
Net assets, ending (in thousands) | | $17,270 | $23,131 | $27,501 | |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class I Shares | | 2009 | 2008 | 2007 (w) | |
Net asset value, beginning | | $14.68 | $18.50 | $16.75 | |
Income from investment operations | | | | | |
Net investment income (loss) | | .02 | (.04) | (.05) | |
Net realized and unrealized gain (loss) | | (4.58) | (3.78) | 1.80 | |
Total from investment operations | | (4.56) | (3.82) | 1.75 | |
Total increase (decrease) in net asset value | | (4.56) | (3.82) | 1.75 | |
Net asset value, ending | | $10.12 | $14.68 | $18.50 | |
| | | | | | |
Total return* | | (31.06%) | (20.65%) | 10.45% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | .29% (a) | (.25%) | (.28%) | |
Total expenses | | 1.23% (a) | 1.10% | 1.06% | |
Expenses before offsets | | .92% (a) | .93% | .94% | |
Net expenses | | .92% (a) | .92% | .92% | |
Portfolio turnover | | 25% | 55% | 98% | |
Net assets, ending (in thousands) | | $6,346 | $8,878 | $11,286 | |
| | | | | | |
| | | | | | |
| | | | Years Ended | | |
| | | September 30, | September 30, | September 30, | |
Class I Shares | | 2006 | 2005 | 2004 | |
Net asset value, beginning | | $18.96 | $19.26 | $16.46 | |
Income from investment operations | | | | | |
Net investment income (loss) | | (.03) | .06 | .02 | |
Net realized and unrealized gain (loss) | | (.28) | .25 | 2.78 | |
Total from investment operations | | (.31) | .31 | 2.80 | |
Distributions from | | | | | |
Net realized gain | | (1.90) | (.61) | -- | |
Total distributions | | (1.90) | (.61) | -- | |
Total increase (decrease) in net asset value | | (2.21) | (.30) | 2.80 | |
Net asset value, ending | | $16.75 | $18.96 | $19.26 | |
| | | | | | |
Total return* | | (2.24%) | 1.42% | 17.01% | |
Ratios to average net assets:A | | | | | |
Net investment income (loss) | | (.31%) | .43% | .22% | |
Total expenses | | 1.10% | 1.16% | 1.14% | |
Expenses before offsets | | .93% | .93% | .93% | |
Net expenses | | .92% | .92% | .92% | |
Portfolio turnover | | 160% | 169% | 54% | |
Net assets, ending (in thousands) | | $26,460 | $4,979 | $2,878 | |
See notes to financial highlights.
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
(a) Annualized
(w) Per share figures are calculated using the Average Shares Method.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fee, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business , expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
Proxy Voting
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio Holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Basis for Board's Approval of Investment Advisory and Investment Subadvisory Contracts
At a meeting held on December 3, 2008, the Board of Trustees, and by a separate vote, the disinterested Trustees, approved the continuance of the Investment Advisory Agreement between The Calvert Fund and the Advisor and the Investment Subadvisory Agreement between the Advisor and the Subadvisor with respect to the Fund.
In evaluating the Investment Advisory Agreement, the Board considered a variety of information relating to the Fund and the Advisor. The disinterested Trustees reviewed a report prepared by the Advisor regarding various services provided to the Fund by the Advisor and its affiliates. Such report included, among other data, information regarding the Advisor's personnel and the Advisor's revenue and cost of providing services to the Fund, and a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses, and fees to comparable mutual funds.
The disinterested Trustees were separately represented by independent legal counsel with respect to their consideration of the reapproval of the Investment Advisory Agreement and Investment Subadvisory Agreement. Prior to voting, the disinterested Trustees reviewed the proposed continuance of the Investment Advisory Agreement and Investment Subadvisory Agreement with management and also met in private sessions with their counsel at which no representatives of management were present.
In the course of its deliberations regarding the Investment Advisory Agreement, the Board considered the following factors, among others: the nature, extent and quality of the services provided by the Advisor, including the personnel providing such services; the Advisor's financial condition; the level and method of computing the Fund's advisory fee; comparative performance, fee and expense information for the Fund; the profitability of the Calvert Group of Funds to the Advisor; the allocation of the Fund's brokerage, including the Advisor's process for monitoring "best execution"; the direct and indirect benefits, if any, derived by the Advisor from its relationship with the Fund; the effect of the Fund's growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.
In considering the nature, extent and quality of the services provided by the Advisor under the Investment Advisory Agreement, the Board reviewed information provided by the Advisor relating to its operations and personnel, including, among other information, biographical information on the Advisor's supervisory and professional staff and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Advisor as well as the Board's familiarity with the Advisor's senior management through Board of Trustees' meetings, discussions and other reports. The Advisor's administrative capabilities, including its ability to supervise the other service providers for the Fund, were also considered. The Board discussed the Advisor's effectiveness in monitoring the performance of the Subadvisor and its timeliness in responding to performance issues. The Board concluded that it was satisfied with the nature, ex tent and quality of services provided to the Fund by the Advisor under the Investment Advisory Agreement.
In considering the Fund's performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the renewal of the Investment Advisory Agreement, including, among other information, a comparison of the Fund's total return with its Lipper index and with that of other mutual funds deemed to be in its peer group by an independent third party in its report. This comparison indicated that for the one-, three- and five-year periods ended June 30, 2008, the Fund's performance was below the median of its peer group. The data also indicated that the Fund underperformed its Lipper index for the same one-, three- and five-year periods. The Board took into account management's discussion of the Fund's performance and noted the Fund's improved performance. The Board noted the Advisor's continued monitoring o f the Fund's performance. The Board also noted that the Subadvisor had assumed management of the Fund in March 2007 after the prior subadvisor had been replaced. Based upon its review, the Board concluded that appropriate action is being taken with respect to the Fund's performance.
In considering the Fund's fees and expenses, the Board compared the Fund's fees and total expense ratio with various comparative data for the funds in its peer group. Among other findings, the data indicated that the Fund's advisory fee (after taking into account waivers and/or reimbursements) was below the median of its peer group and that total expenses (net of waivers and/or reimbursements) were above the median of its peer group. The Board also noted management's discussion of the Fund's expenses and certain factors that affected the level of such expenses. Based upon its review, the Board concluded that the advisory fee was reasonable in view of the quality of services provided by the Advisor and the other factors considered.
The Board reviewed the Advisor's profitability on a fund-by-fund basis. In reviewing the overall profitability of the advisory fee to the Fund's Advisor, the Board also considered the fact that affiliates of the Advisor provided shareholder servicing and administrative services to the Fund for which they received compensation. The information considered by the Board included Calvert's operating profit margin information both before and after tax expenses with respect to the services that the Advisor and its affiliates provided to the Calvert Group of Funds complex. The Board reviewed the profitability of the Advisor's relationship with the Fund in terms of the total amount of annual advisory fees it received with respect to the Fund and whether the Advisor had the financial wherewithal to continue to provide a high level of services to the Fund. The Board noted that the Advisor had reimbursed expenses of the Fund. The Board also noted the Advisor's current undertaking to maintain expense limitations for the Fund's Class I shares. The Board also considered that the Advisor derived benefits to its reputation and other indirect benefits from its relationship with the Fund. The Board also noted that the Advisor paid the subadvisory fee to the Subadvisor. Based upon its review, the Board concluded that the Advisor's level of profitability from its relationship with the Fund was reasonable.
The Board considered the effect of the Fund's current size and potential growth on its performance and expenses. The Board concluded that adding breakpoints to the advisory fee at specified asset levels would not be appropriate at this time given the Fund's current size. The Board noted that if the Fund's assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
In reapproving the Investment Advisory Agreement, the Board, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
In evaluating the Investment Subadvisory Agreement, the disinterested Trustees reviewed information provided by the Subadvisor relating to its operations, personnel, investment philosophy, strategies and techniques. Among other information, the Subadvisor provided biographical information on portfolio management and other professional staff, performance information for itself, and descriptions of its investment philosophies, strategies and techniques, organizational and management structures and brokerage policies and practices.
The Board reapproved the Investment Subadvisory Agreement between the Subadvisor and the Advisor based on a number of factors relating to the Subadvisor's ability to perform under the Investment Subadvisory Agreement. In the course of its deliberations, the Board evaluated, among other factors: the nature, extent and the quality of the services to be provided by the Subadvisor; the Subadvisor's management style and long-term performance record; the Fund's performance record and the Subadvisor's performance in employing its investment strategies; the Subadvisor's current level of staffing and its overall resources; the qualifications and experience of the Subadvisor's personnel; the Subadvisor's financial condition with respect to its ability to perform the services required under the Investment Subadvisory Agreement; the Subadvisor's compliance systems, including those related to personal investing; and any disciplinary history. Based upon its review, the Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Subadvisor under the Investment Subadvisory Agreement.
As noted above, the Board considered, among other information, the Fund's performance during the one-, three- and five-year periods ended June 30, 2008 as compared to the Fund's peer group and noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. The Board noted the Advisor's expertise and resources in monitoring the performance, investment style and risk- adjusted performance of the Subadvisor as well as the Advisor's actions to address the Fund's performance.
In considering the cost of services to be provided by the Subadvisor and the profitability to the Subadvisor of its relationship with the Fund, the Board noted that the subadvisory fee under the Investment Subadvisory Agreement was paid by the Advisor out of the advisory fee that the Advisor received under the Investment Advisory Agreement. The Board also relied on the ability of the Advisor to negotiate the Investment Subadvisory Agreement and the corresponding subadvisory fee at arm's length. Based upon its review, the Board determined that the subadvisory fee was reasonable. For each of the above reasons, the cost of services to be provided by the Subadvisor and the profitability to the Subadvisor of its relationship with the Fund were not material factors in the Board's deliberations. For similar reasons, the Board did not consider the potential economies of scale in the Subadvisor's management of the Fund to be a material factor in its consideration.
In reapproving the Investment Subadvisory Agreement, the Board, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
Conclusions
The Board reached the following conclusions regarding the Investment Advisory Agreement and the Investment Subadvisory Agreement, among others: (a) the Advisor has demonstrated that it possesses the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) the Subadvisor is qualified to manage the Fund's assets in accordance with the Fund's investment objectives and policies; (c) the Advisor and Subadvisor maintain appropriate compliance programs; (d) the Subadvisor is likely to execute its investment strategies consistently over time; (e) appropriate action is being taken with respect to the Fund's performance; and (f) the Fund's advisory and subadvisory fees are reasonable relative to those of similar funds and to the services to be provided by the Advisor and the Subadvisor. Based on its conclusions, the Board determined that reapproval of the Investment Advisory Agreement and the Investment Subadvisory Agreement would be in the best interests of t he Fund and its shareholders.
Calvert New Vision Small Cap Fund
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Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
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Calvert
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March 31, 2009
Semi-Annual Report
Calvert Income Fund
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Table of Contents
President's Letter
1
Portfolio Management Discussion
4
Shareholder Expense Example
8
Schedule of Investments
10
Statement of Assets and Liabilities
22
Statement of Operations
23
Statements of Changes in Net Assets
24
Notes to Financial Statements
26
Financial Highlights
32
Explanation of Financial Tables
38
Proxy Voting and Availability of Quarterly Portfolio Holdings
40
Basis for Board's Approval of Investment Advisory Contract
40
Dear Shareholder:
The six months ended March 31, 2009 was a period of extraordinary turmoil and challenge in the financial markets. The financial system moved from the brink of collapse at the end of 2008 to showing some signs of stabilization in 2009. In an unprecedented fashion, virtually all major asset classes plummeted during September and October 2008 following the failure of brokerage firm Lehman Brothers. It was an extremely difficult period for all investors, particularly those whose portfolios were not shielded by the traditionally more stable fixed-income asset class. While many bond funds posted losses, they were generally not as dramatic as the declines in equity portfolios.
Facing an uncertain business and credit environment, and a faltering global economy, investors fled to the perceived safety of Treasuries and money market funds despite their low yields. By year-end, the yields of corporate bonds stood at historically high levels compared to the yields of Treasuries with similar maturities. The Barclays Capital U.S. Credit Index ended the year with a yield spread over comparable Treasuries of 515 basis points (a basis point is 0.01 percentage points), compared to a 10-year monthly average of approximately 150 basis points. In early 2009, however, the credit markets started to thaw as investors snapped up new corporate bond issues. By March, investors' enthusiasm for corporate debt had moderated.
Against this volatile backdrop, Calvert's fixed-income funds were not immune to the credit market turmoil. However, intensive credit-quality research and relative-value analysis did help us moderate, to some extent, the declines in many of the fixed-income portfolios that we manage.
Relief for Markets Under Pressure
Fortunately, in our view, government intervention to shore up the financial system and reinvigorate the economy has begun to take hold. The Federal Reserve and Treasury are doing all they can to get credit flowing freely through the system again, as are policy makers around the globe. The Treasury's new Public-Private Investment Partnership, announced in March, is designed to remove toxic assets from bank balance sheets and encourage lending to businesses and consumers, which is essential for market recovery.
With concerted action on the home front, and the type of global cooperation signified at the G20 meeting, we believe investor confidence will be restored and our financial systems will recover--slowly, and with new financial oversight, transparency, and regulations in place. As the markets grow more convinced that the global recovery has legs, we expect to see greater investor demand for assets offering higher yield and total return potential.
Confidence in Calvert Funds
As we move through the recession, with the potential for default rates still high, credit research and security selection will continue to be of paramount importance. In this challenging environment, Calvert will bring our 30 years of fixed-income experience to bear. Our taxable fixed-income portfolio management team, led by Senior Vice President Greg Habeeb, will continue to follow its time-tested strategy that seeks to optimize duration, yield curve positioning, sector allocation, and credit quality analysis in selecting securities for our portfolios. (Duration measures a portfolio's sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in price for a given shift in interest rates.)
In December 2008, Calvert became investment advisor to Calvert High Yield Bond Fund and Calvert Short-Term Government Fund, which are portfolios formerly managed by Summit Investment Partners. In addition, on December 31, 2008, we launched Calvert Government Fund. We look forward to managing these Funds, which will give Calvert investors more ways to diversify their bond fund allocations.
Recently, Calvert Long-Term Income Fund (Class A shares) was among the winners of the 2009 Lipper award, marking its second consecutive year of winning the award. The award is given to the Fund with the highest score for consistent returns relative to its peers. Calvert Long-Term Income Fund was ranked first among 116 funds in the corporate debt BBB rated category as of December 31, 2008, based on its three-year risk-adjusted returns.1
Winning the Lipper award once again validates our investment team's active management strategy that relies on rigorous analysis and independent thinking--an approach we use across all our fixed-income funds.
Consult with Your Financial Advisor
If you're concerned about how to navigate the current market environment, talk with your financial advisor about whether your allocation to bonds is appropriate and well-diversified, given your goals, time horizon, and risk attitudes.
We also encourage you to visit our newly enhanced website, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals. We are committed to continuing our efforts to identify opportunities that emerge in the fixed-income markets while we seek to meet our investors' long-term goals for stability and income. As always, we appreciate your business and hope to continue to serve you in the months and years to come.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
April 2009
1. Lipper Fund Awards are granted annually to the funds in each Lipper classification that achieve the highest score for Consistent Return, a measure of funds' historical risk-adjusted returns. The scores are subject to change every month and are calculated for the following periods: three-year, five-year, 10-year, and overall. The highest 20% of funds in each classification are named Lipper Leaders for Consistent Return. The highest Lipper Leader for Consistent Return value within each eligible classification determines the fund classification winner over three, five, or 10 years. Lipper Fund Awards are not intended to predict future results, and Lipper does not guarantee the accuracy of this information. Source: Lipper, Inc.
Past performance is no guarantee of future results. Please keep in mind investment in mutual funds involves risk, including possible loss of principal invested.
For more complete information on any Calvert Fund, call your advisor or visit our website for a prospectus. An investor should consider the investment objectives, risks, charges and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager
of Calvert Asset Management Company
Performance
For the six months ended March 31, 2009, Calvert Income Fund Class A shares (at NAV) returned -8.37% versus 2.18% for the benchmark Barclays Capital U.S. Credit Index. Significant markdowns on several holdings were the primary drivers of the Fund's performance relative to the Index.
Investment Climate
The period can be broken down into two distinct halves. From October through December, a widespread panic that major global financial firms would fall like dominoes in the aftermath of the Lehman Brothers collapse roiled the credit markets. The markets for long-term credit froze and short-term money markets seized up until a variety of government programs helped calm the market before year-end. The difference in yields between bonds of high and low credit quality soared to record highs as liquidity evaporated from the markets.
Portfolio Statistics
March 31, 2009
Investment Performance
(total return at NAV*) |
| 6 Months
ended
3/31/09 | 12 Months
ended
3/31/09 |
Class A | -8.37% | -11.48% |
Class B | -8.74% | -12.30% |
Class C | -8.71% | -12.13% |
Class I | -8.08% | -10.93% |
Class R | -8.48% | -11.78% |
Class Y | -8.19% | -11.24% |
Barclays Capital U.S. | | |
Credit Index** | 2.18% | -5.21% |
Lipper Corporate | | |
Debt Funds | | |
BBB-Rated Avg. | -2.99% | -10.26% |
| | | |
Maturity Schedule | | |
| | Weighted Average |
| | 3/31/09 | 9/30/08 |
| | 11 years | 11 years |
| | | |
SEC Yields | | |
| | 30 days ended |
| | 3/31/09 | 9/30/08 |
Class A | 5.79% | 4.88% |
Class B | 5.12% | 4.20% |
Class C | 5.31% | 4.36% |
Class I | 6.71% | 5.74% |
Class R | 5.79% | 4.77% |
Class Y | 6.36% | 5.62% |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 3.75% front-end sales charge or any deferred sales charge.
** Source: Lipper Analytical Services, Inc.
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
(with max. load)
| | Class A Shares |
One year | -14.82% |
Five year | -0.40% |
Ten year | 4.16% |
| | Class B Shares |
One year | -15.81% |
Five year | -0.43% |
Since inception | 3.64% |
(7/30/99) | |
| | Class C Shares |
One year | -13.01% |
Five year | -0.34% |
Since inception | 3.60% |
(7/31/00) | |
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
| | Class I Shares |
One year | -10.93% |
Five year | 1.01% |
Ten year | 5.16% |
| | Class R Shares* |
One year | -11.78% |
Five year | 0.21% |
Ten year | 4.48% |
| | Class Y Shares** |
One year | -11.24% |
Five year | 0.44% |
Ten year | 4.60% |
* Performance results for Class R shares prior to October 31, 2006 reflect the performance of Class A shares at net asset value (NAV). Actual Class R share performance would have been lower than Class A share performance because of higher Rule 12b-1 fees and other class-specific expenses that apply to the Class R shares.
** Performance for Class Y Shares prior to February 29, 2008 reflects the performance of Class A shares at net asset value (NAV). Actual Class Y share performance would have been different.
Performance does not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance does not predict future results.
The impact of the then 18-month-old crisis in the credit markets on the overall U.S. economy worsened. In the fourth quarter of 2008, economic growth, as measured by gross domestic product (GDP), declined at a 6.3% annual pace1--the worst quarterly performance since 1982. Concerns spread about a protracted recession. In December, the Fed cut the federal funds rate, its target interest rate, to near zero percent and aggressively sought to push down mortgage rates by buying mortgage-backed securities.
In the first quarter of 2009, most sectors of the credit markets thawed at least a bit and the window for new issues of investment-grade corporate bonds opened wide. The government also undertook a number of new initiatives to get the credit taps flowing to consumers again. On the other hand, two major U.S. automakers moved toward bankruptcy and several "rescued" organizations needed more government capital. Still, a relaxation of accounting rules and concrete signs of global cooperation at the G20 meeting cheered equity and credit markets at quarter-end.
During the reporting period, the yield on the benchmark 10-year Treasury note fell more than one percentage point to 2.71%. The rush to safety caused Treasury bill yields to plunge to the lowest levels since World War II, with the three-month T-bill yield falling to 0.21%.2 Headline inflation slid to a 0.2% pace for February 2009 while core inflation was 1.8%.3 GDP was expected to shrink at a 4.6% pace during the first quarter of 2009.4
Portfolio Strategy
Like the investment climate, Fund performance for the period changed dramatically between the first and second halves. During the fourth quarter of 2008, markdowns on several holdings were the primary cause of the Fund's underperformance, along with a short relative duration in a period when interest rates fell significantly. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest rate movements.) One key detractor was an allocation of nearly 3% to bonds issued by two banks that were nationalized by the Icelandic government in early October, causing their valuations to fall to near zero in the fourth quarter of 2008. Price markdowns on Tier 1 Capital notes (which are issued by banks to boost regulatory capital requirements) also negatively impacted returns.
The Fund's performance improved during the first quarter of 2009 as it outperformed the index. This was due largely to our shorter-than-benchmark duration. Although we lengthened the the Fund's duration during the early months of the year, its continued short relative duration was a positive as interest rates climbed during the first quarter. The Icelandic bank securities also rebounded slightly, as did some Tier 1 Capital notes as concerns about the U.S. nationalizing banks moderated. Also, the Fund successfully traded Treasuries throughout the quarter to take advantage of the significant volatility in that asset class, as well as changes in the yield curve.
Outlook
We expect the credit markets to continue to recover but do not expect a return to the heady times of a few years ago. Since financial institutions must rebuild capital, they are not inclined to flood their balance sheets with new loans. Continued government intervention in the credit markets will remain a signature of this financial crisis. Overall, we expect the economy will contract for 2009, with the worst quarters in the first half of 2009. We also believe the federal funds rate will remain near zero percent. The good news for investors is that we do not expect a protracted period of consumer price deflation as seen earlier this decade in Japan.
Portfolio Statistics
March 31, 2009
Economic Sectors | % of Total
Investments |
Asset Backed Securities | 3.3% |
Basic Materials | 3.7% |
Communications | 1.8% |
Consumer, Cyclical | 1.2% |
Consumer, Non-cyclical | 4.9% |
Diversified | 2.1% |
Energy | 8.5% |
Financial | 32.1% |
Government | 24.7% |
Industrial | 7.5% |
Insurance | 0.1% |
Mortgage Securities | 5.7% |
Technology | 0.3% |
Utilities | 4.1% |
Total | 100% |
Looking forward, we anticipate that Treasury yields will continue to generally rise as the Treasury floods the market with new debt. It's doubtful that major Treasury buyers such as China can boost their holdings enough to offset all of the new supply and keep prices from falling. Therefore, we plan to keep the Fund's duration somewhat shorter than that of the benchmark.
Corporate bonds still look inexpensive by historical standards, and we believe that liquidity in the corporate credit market will continue to improve in response to the government's aggressive efforts to revive the various segments of the credit market. However, we also anticipate that the number of corporate defaults will increase significantly later in 2009, so we will be very selective when adding corporate bonds to the portfolio.
April 2009
1. GDP data source: Commerce Department.
2. All interest rates data source: Federal Reserve.
3. Source: Bureau of Labor Statistics consumer price indexes.
4. Source: Wall Street Journal Economic Forecasting Survey, March 2009.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2008 to March 31, 2009).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
10/1/08 | Ending Account
Value
3/31/09 | Expenses Paid
During Period*
10/1/08 - 3/31/09 |
Class A | | | |
Actual | $1,000.00 | $915.70 | $5.90 |
Hypothetical | $1,000.00 | $1,018.78 | $6.21 |
(5% return per year before expenses) |
Class B | | | |
Actual | $1,000.00 | $911.40 | $10.14 |
Hypothetical | $1,000.00 | $1,014.32 | $10.69 |
(5% return per year before expenses) |
Class C | | | |
Actual | $1,000.00 | $912.30 | $9.21 |
Hypothetical | $1,000.00 | $1,015.30 | $9.71 |
(5% return per year before expenses) |
Class I | | | |
Actual | $1,000.00 | $918.60 | $2.63 |
Hypothetical | $1,000.00 | $1,022.19 | $2.77 |
(5% return per year before expenses) |
Class R | | | |
Actual | $1,000.00 | $914.00 | $7.01 |
Hypothetical | $1,000.00 | $1,017.60 | $7.39 |
(5% return per year before expenses) |
Class Y | | | |
Actual | $1,000.00 | $917.50 | $4.28 |
Hypothetical | $1,000.00 | $1,020.47 | $4.51 |
(5% return per year before expenses) |
* Expenses are equal to the Fund's annualized expense ratio of 1.23%, 2.13%, 1.93%, 0.55%, 1.47% and 0.89% for Class A, Class B, Class C, Class I, Class R and Class Y, respectively, multiplied by the average account value over the period, multiplied by 182/365.
Schedule of Investments
March 31, 2009
| | | Principal |
Asset Backed Securities - 3.2% | Amount | Value |
ACLC Business Loan Receivables Trust, 1.206%, 10/15/21 (e)(r) | $1,970,134 | $1,886,370 |
AmeriCredit Automobile Receivables Trust: | | |
3.43%, 7/6/11 | 4,086,061 | 3,971,750 |
4.63%, 6/6/12 | 10,818,711 | 10,229,522 |
1.168%, 7/6/12 (r) | 11,478,444 | 10,769,642 |
Americredit Prime Automobile Receivable Trust, 5.27%, 11/8/11 | 3,628,206 | 3,568,968 |
Atherton Franchisee Loan Funding LLC, 7.08%, 5/15/20 (e) | 1,164,656 | 1,176,043 |
Capital Auto Receivables Asset Trust, 0.616%, 7/15/10 (r) | 20,511,691 | 19,690,661 |
Captec Franchise Trust: | | |
8.155%, 6/15/13 (e) | 6,920,000 | 5,718,990 |
8.155%, 12/15/13 (e) | 2,895,000 | 1,100,100 |
Centex Home Equity Trust, 7.86%, 7/25/32 (r) | 120,536 | 18,044 |
Countrywide Asset-Backed Certificates, 0.972%, 11/25/34 (r) | 4,260,501 | 2,894,062 |
DB Master Finance LLC, 5.779%, 6/20/31 (e) | 20,750,000 | 15,101,229 |
Enterprise Mortgage Acceptance Co. LLC, 0.65%, 1/15/27 (e)(r) | 18,354,174 | 235,163 |
FMAC Loan Receivables Trust: | | |
2.974, 11/15/18 (e)(r) | 10,928,799 | 150,271 |
6.74%, 11/15/20 (e) | 1,653,205 | 1,401,128 |
GE Capital Credit Card Master Note Trust, 0.596%, 3/15/13 (r) | 5,340,000 | 5,088,581 |
GE Dealer Floorplan Master Note Trust, 0.555%, 4/20/11 (r) | 36,000,000 | 35,833,266 |
Residential Asset Mortgage Products, Inc., STEP, 4.12% to | | |
5/25/12, floating rate thereafter to 6/25/33 (r) | 155,900 | 102,514 |
SLM Student Loan Trust: | | |
1.709%, 10/25/17 (r) | 1,350,000 | 1,307,252 |
1.54%, 12/15/17 (b)(r) | 2,287,322 | 2,207,176 |
| | | |
Total Asset-Backed Securities (Cost $132,482,344) | | 122,450,732 |
| | | |
Collateralized Mortgage-Backed | | |
Obligations (Privately Originated) - 1.4% | | |
American Home Mortgage Assets, 4.387%, 5/25/46 (r) | 133,127,512 | 2,995,369 |
Banc of America Mortgage Securities, Inc.: | | |
5.00%, 1/25/19 | 70,280 | 31,008 |
4.875%, 4/25/19 | 145,112 | 54,920 |
4.798%, 8/25/19 (r) | 314,463 | 112,181 |
5.50%, 11/25/33 | 72,680 | 71,581 |
0.28%, 1/25/34 (b)(r) | 127,447,413 | 703,688 |
5.431%, 5/25/34 (r) | 977,112 | 323,563 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 (r) | 1,094,281 | 1,088,531 |
Countrywide Home Loan Mortgage Pass Through Trust, | | |
0.862%, 6/25/35 (r)(e) | 2,608,003 | 1,502,227 |
GMAC Mortgage Corp. Loan Trust, 5.00%, 5/25/18 (e) | 198,446 | 105,181 |
Impac CMB Trust: | | |
1.162%, 9/25/34 (r) | 1,238,949 | 551,961 |
0.782%, 4/25/35 (r) | 6,573,008 | 2,480,803 |
0.832%, 4/25/35 (r) | 2,355,328 | 434,732 |
0.792%, 5/25/35 (r) | 13,552,564 | 5,575,831 |
0.842%, 8/25/35 (r) | 7,211,403 | 2,681,376 |
| | | |
| | | |
Collateralized Mortgage-Backed | Principal | |
Obligations (Privately Originated) - Cont'd | Amount | Value |
MASTR Alternative Loans Trust, 6.25%, 7/25/36 | $19,575,041 | $8,857,984 |
Morgan Stanley Mortgage Loan Trust, 5.17%, 11/25/33 | 427,453 | 142,561 |
Residential Accredit Loans, Inc., 6.00%, 12/25/35 | 6,889,017 | 4,765,360 |
Residential Asset Securitization Trust, 6.25%, 11/25/36 | 19,211,001 | 10,916,373 |
Residential Funding Mortgage Securities I, 4.75%, 3/25/19 | 250,465 | 144,864 |
Salomon Brothers Mortgage Securities VII, Inc., 5.561%, | | |
9/25/33 (r) | 256,020 | 99,936 |
Structured Asset Securities Corp.: | | |
Class A2, 5.00%, 6/25/35 | 8,189,510 | 7,197,283 |
Class A3, 5.50%, 6/25/35 | 4,291,000 | 1,658,398 |
Washington Mutual Alternative Mortgage Pass-Through | | |
Certificates, 1.085%, 7/25/46 (r) | 123,306,540 | 616,533 |
| | | |
Total Collateralized Mortgage-Backed Obligations | | |
(Privately Originated) (Cost $92,625,488) | | 53,112,244 |
| | | |
Commercial Mortgage-Backed Securities - 4.1% | | |
Banc of America Commercial Mortgage, Inc.: | | |
6.128%, 8/10/14 (r) | 1,570,000 | 978,000 |
5.449%, 1/15/49 | 11,700,000 | 8,363,205 |
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.205%, | | |
12/11/49 | 45,600,000 | 36,561,875 |
Cobalt CMBS Commercial Mortgage Trust, 5.74%, 8/15/12 (r) | 30,500,000 | 24,888,781 |
Crown Castle Towers LLC: | | |
4.643%, 6/15/35 (e) | 39,250,000 | 36,900,122 |
5.245%, 11/15/36 (e) | 18,600,000 | 16,843,890 |
5.362%, 11/15/36 (e) | 11,000,000 | 10,227,136 |
Global Signal Trust III, 5.361%, 2/15/36 (e) | 22,820,000 | 22,055,621 |
LB-UBS Commercial Mortgage Trust, 4.799%, 12/15/29 (r) | 1,000,000 | 760,052 |
Wachovia Bank Commercial Mortgage Trust, 0.493%, | | |
12/15/35 (e)(r) | 91,507,922 | 725,658 |
| | | |
Total Commercial Mortgage-Backed Securities (Cost $182,282,720) | | 158,304,340 |
| | | |
Corporate Bonds - 62.3% | | |
AgFirst Farm Credit Bank: | | |
8.393% to 12/15/11, floating rate thereafter to 12/15/16 (r) | 19,175,000 | 13,785,502 |
6.585% to 6/15/12, floating rate thereafter to 6/29/49 (e)(r) | 76,150,000 | 45,701,042 |
7.30%, 10/14/49 (b)(e) | 19,950,000 | 16,664,434 |
Ahold Finance USA, Inc., 6.25%, 5/1/09 | 3,630,000 | 3,584,625 |
Alliance Mortgage Investments: | | |
12.61%, 6/1/10 (b)(r)(x)* | 3,077,944 | - |
15.34%, 12/1/10 (b)(r)(x)* | 17,718,398 | - |
Anadarko Petroleum Corp.: | | |
7.625%, 3/15/14 | 25,000,000 | 24,821,626 |
8.70%, 3/15/19 | 23,800,000 | 23,825,648 |
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 (e) | 34,150,000 | 34,654,875 |
APL Ltd., 8.00%, 1/15/24 | 13,525,000 | 10,718,562 |
ArcelorMittal: | | |
5.375%, 6/1/13 | 2,400,000 | 1,862,904 |
6.125%, 6/1/18 | 31,953,000 | 23,116,430 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
ArcelorMittal USA, Inc., 6.50%, 4/15/14 | $2,600,000 | $2,062,840 |
Asian Development Bank, 6.22%, 8/15/27 | 2,470,000 | 2,992,735 |
Atlantic Marine Corp. Communities LLC, 6.158%, 12/1/51 (e) | 23,670,000 | 14,497,875 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)* | 53,561,000 | 535,610 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) | 21,885,000 | 21,085,760 |
AXA SA, 4.707%, 6/8/49 (b) | 1,050,000 | 315,000 |
BAC Capital Trust XV, 2.061%, 6/1/56 (r) | 97,145,000 | 24,102,957 |
BAE Systems Asset Trust, 6.664%, 9/15/13 (b)(e) | 38,426,301 | 34,583,671 |
Barrick Gold Corp., 6.95%, 4/1/19 | 1,750,000 | 1,759,793 |
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (b)(e) | 26,071,092 | 25,823,156 |
Bear Stearns Co's, Inc.: | | |
1.341%, 8/21/09 (r) | 2,000,000 | 1,996,900 |
1.341%, 2/23/10 (r) | 1,510,000 | 1,492,100 |
1.263%, 10/22/10 (r) | 6,000,000 | 5,730,648 |
BellSouth Telecommunications, Inc., STEP, 0.00% to 12/15/15, | | |
6.65% thereafter to 12/15/95 (r) | 20,000,000 | 7,622,080 |
BHP Billiton Finance USA Ltd., 6.50%, 4/1/19 | 2,300,000 | 2,333,482 |
BNSF Funding Trust I, 6.613% to 1/15/26, floating rate thereafter | | |
to 12/15/55 (r) | 126,081,000 | 91,408,725 |
BBVA USA Bancshares, Inc., 1.998%, 10/9/09 (e)(r) | 18,200,000 | 18,151,344 |
C8 Capital SPV Ltd., 6.64% to 12/31/14, floating rate thereafter | | |
to 12/31/49 (e)(r) | 36,165,000 | 11,391,975 |
C10 Capital SPV Ltd., 6.722% to 12/31/16, floating rate | | |
thereafter to 12/31/49 (e)(r) | 5,000,000 | 1,751,200 |
CAM US Finance SA Sociedad Unipersonal, 1.32%, 2/1/10 (e)(r) | 11,000,000 | 10,658,802 |
Camp Pendleton & Quantico Housing LLC, 5.937%, 10/1/43 (e) | 1,150,000 | 899,875 |
Cargill, Inc., 2.383%, 1/21/11 (e)(r) | 44,455,000 | 44,343,818 |
Caterpillar Financial Services Corp.: | | |
1.736%, 8/6/10 (r) | 28,710,000 | 27,655,015 |
6.125%, 2/17/14 | 10,000,000 | 9,711,220 |
7.15%, 2/15/19 | 11,700,000 | 10,701,393 |
Chase Capital VI, 1.795%, 8/1/28 (r) | 7,250,000 | 2,955,308 |
Chesapeake Energy Corp.: | | |
6.50%, 8/15/17 | 10,451,000 | 8,543,692 |
7.25%, 12/15/18 | 13,700,000 | 11,268,250 |
6.875%, 11/15/20 | 2,000,000 | 1,565,000 |
Chugach Electric Association, Inc., 6.55%, 3/15/11 | 2,780,000 | 2,884,450 |
CIT Group, Inc.: | | |
1.358%, 8/17/09 (r) | 2,745,000 | 2,532,263 |
1.451%, 3/12/10 (r) | 4,970,000 | 4,013,275 |
6.10% to 3/15/17, floating rate thereafter to 3/15/67 (b)(r) | 24,487,000 | 6,550,272 |
Citigroup Funding, Inc.: | | |
1.226%, 6/26/09 (r) | 9,765,000 | 9,596,248 |
1.514%, 4/30/12 (r) | 33,170,000 | 33,368,556 |
Comcast Corp. 1.46%, 7/14/09 (r) | 18,505,000 | 18,416,352 |
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter | | |
to 5/29/49 (b)(e)(r) | 145,513,000 | 48,019,290 |
Dime Community Bancshares, Inc.: | | |
9.25%, 5/1/10 | 500,000 | 485,973 |
9.25%, 5/1/10 (e) | 2,000,000 | 1,943,891 |
Discover Financial Services: | | |
1.861%, 6/11/10 (r) | 31,550,000 | 27,253,048 |
6.45%, 6/12/17 | 2,900,000 | 2,092,498 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
Dominion Resources, Inc.: | | |
2.366%, 6/17/10 (r) | $32,530,000 | $31,979,278 |
6.30% to 9/30/11, floating rate thereafter to 9/30/66 (r) | 19,665,000 | 11,255,951 |
Enterprise Products Operating LP, 7.034% to 1/15/18, floating rate | | |
thereafter to 1/15/68 (r) | 108,140,000 | 67,587,500 |
First Republic Bank, 7.75%, 9/15/12 | 500 | 454 |
FMG Finance Pty Ltd.: | | |
5.261%, 9/1/11 (e)(r) | 46,680,000 | 39,678,000 |
10.00%, 9/1/13 (e) | 39,050,000 | 33,192,500 |
10.625%, 9/1/16 (e) | 850,000 | 714,000 |
Ford Motor Co.: | | |
7.125%, 11/15/25 | 3,593,000 | 1,041,970 |
7.70%, 5/15/97 | 6,000,000 | 1,695,000 |
Ford Motor Credit Co. LLC, 4.01%, 1/13/12 (r) | 5,000,000 | 3,150,000 |
Fort Knox Military Housing: | | |
5.815%, 2/15/52 (e) | 11,225,000 | 7,714,381 |
5.915%, 2/15/52 (e) | 10,455,000 | 7,211,964 |
General Motors Corp.: | | |
7.70%, 4/15/16 | 10,000,000 | 1,450,000 |
8.10%, 6/15/24 | 7,150,000 | 1,001,000 |
7.40%, 9/1/25 (b) | 2,950,000 | 339,250 |
Giants Stadium LLC: | | |
0.612%, 4/1/47 (b)(e)(r) | 43,500,000 | 43,500,000 |
0.62%, 4/1/47 (b)(e)(r) | 9,200,000 | 9,200,000 |
Glitnir Banki HF: | | |
2.95%, 10/15/08 (b)(v)(y) | 30,230,000 | 3,627,600 |
3.046%, 4/20/10 (b)(e)(r)(w)(y) | 42,295,000 | 5,075,400 |
4.75%, 10/15/10 (b)(e)(w)(y) | 6,000,000 | 720,000 |
3.226%, 1/21/11 (b)(e)(r)(w)(y) | 32,920,000 | 3,950,400 |
6.693% to 6/15/11, floating rate thereafter to | | |
6/15/16 (b)(e)(r)(w)(y) | 8,400,000 | 84,000 |
6.375%, 9/25/12 (b)(e)(w)(y) | 600,000 | 72,000 |
GMAC Commercial Mortgage Asset Corp., 6.107%, 8/10/52 (e) | 37,050,000 | 33,028,963 |
Golden State Petroleum Transport Corp., 8.04%, 2/1/19 | 11,298,810 | 12,450,950 |
Goldman Sachs Group, Inc.: | | |
1.318%, 11/16/09 (r) | 12,600,000 | 12,279,140 |
1.832%, 9/29/14 (r) | 3,450,000 | 2,511,929 |
Great River Energy: | | |
5.829%, 7/1/17 (e) | 66,116,921 | 68,233,324 |
6.254%, 7/1/38 (b)(e) | 14,400,000 | 12,120,480 |
Hewlett-Packard Co., 3.00%, 2/24/11 (r) | 9,800,000 | 9,874,043 |
Home Depot, Inc., 1.445%, 12/16/09 (r) | 8,190,000 | 8,027,300 |
HRPT Properties Trust, 1.92%, 3/16/11 (r) | 39,710,000 | 29,922,394 |
Huntington National Bank, 4.65%, 6/30/09 | 6,515,000 | 6,464,475 |
Idearc, Inc., 8.00%, 11/15/16 (f) | 150,000 | 4,875 |
Illinois Tool Works, Inc., 6.25%, 4/1/19 (e) | 3,580,000 | 3,598,112 |
Independence Community Bank Corp., 3.75% to 4/1/09, floating | | |
rate thereafter to 4/1/14 (r) | 20,910,000 | 15,189,651 |
Ingersoll-Rand Global Holding Co. Ltd., 2.731%, 8/13/10 (r) | 39,650,000 | 36,828,048 |
ION Media Networks, Inc., 11.00%, 7/31/13 (b)(g)* | 325,940 | 652 |
Jersey Central Power & Light Co., 5.625%, 5/1/16 | 4,985,000 | 4,717,131 |
JET Equipment Trust, 7.63%, 8/15/12 (b)(e)(g)* | 109,297 | 601 |
John Deere Capital Corp.: | | |
1.70%, 2/26/10 (r) | 13,000,000 | 12,751,034 |
1.843%, 1/18/11 (r) | 3,300,000 | 3,161,179 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
JPMorgan Chase & Co.: | | |
7.00%, 11/15/09 | $11,497,000 | $11,731,542 |
1.623%, 1/22/10 (r) | 36,900,000 | 36,480,436 |
JPMorgan Chase Capital XXIII, 2.238%, 5/15/47 (r) | 12,800,000 | 4,981,497 |
Kansas City Southern de Mexico SA de CV, 7.375%, 6/1/14 | 150,000 | 123,750 |
Kaupthing Bank HF: | | |
3.491%, 1/15/10 (b)(e)(r)(w)(y) | 39,000,000 | 2,535,000 |
5.75%, 10/4/11 (b)(e)(w)(y) | 3,350,000 | 217,750 |
Kern River Funding Corp., 6.676%, 7/31/16 (e) | 96,618 | 92,763 |
Koninklijke Philips Electronics NV, 2.463%, 3/11/11 (r) | 62,930,000 | 60,184,268 |
Kraft Foods, Inc., 1.728%, 8/11/10 (r) | 2,300,000 | 2,232,628 |
Land O'Lakes Capital Trust I, 7.45%, 3/15/28 (e) | 59,248,000 | 36,733,760 |
Leucadia National Corp.: | | |
8.125%, 9/15/15 | 42,220,000 | 33,283,592 |
7.125%, 3/15/17 | 4,000,000 | 2,664,660 |
Lincoln National Corp., 6.05% to 4/20/17, floating rate | | |
thereafter to 4/20/67 (b)(r) | 400,000 | 92,000 |
LL & P Wind Energy, Inc. Washington Revenue Bonds: | | |
5.733%, 12/1/17 (e) | 8,060,000 | 7,507,890 |
5.983%, 12/1/22 (e) | 14,695,000 | 13,107,205 |
6.192%, 12/1/27 (e) | 3,925,000 | 3,353,755 |
Lloyds Banking Group plc: | | |
6.657% to 5/21/37, floating rate thereafter to 5/19/49 (e)(r) | 24,270,000 | 5,096,700 |
6.413% to 10/1/35, floating rate thereafter to 12/31/49 (e)(r) | 2,400,000 | 552,000 |
Lumbermens Mutual Casualty Co.: | | |
9.15%, 7/1/26 (e)(m)* | 51,271,000 | 512,710 |
8.30%, 12/1/37 (e)(m)* | 33,720,000 | 337,200 |
8.45%, 12/1/97 (e)(m)* | 1,000,000 | 10,000 |
M&I Marshall & Ilsley Bank, 1.536%, 12/4/12 (r) | 11,675,000 | 8,724,272 |
McGuire Air Force Base Military Housing Project, 5.611%, | | |
9/15/51 (e) | 11,420,000 | 7,616,341 |
Medco Health Solutions, Inc., 6.125%, 3/15/13 | 4,875,000 | 4,828,958 |
Mid-Atlantic Family Military Communities LLC, 5.24%, 8/1/50 (e) | 23,150,000 | 14,612,048 |
Monumental Global Funding III, 1.638%, 8/17/09 (e)(r) | 13,123,000 | 13,121,018 |
Morgan Stanley, 1.521%, 2/10/12 (r) | 5,770,000 | 5,747,378 |
National Fuel Gas Co., 6.50%, 4/15/18 | 4,800,000 | 4,606,801 |
NationsBank Capital Trust III, 1.644%, 1/15/27 (r) | 1,677,000 | 569,115 |
Nationwide Health Properties, Inc.: | | |
6.50%, 7/15/11 | 22,379,000 | 19,736,583 |
6.90%, 10/1/37 | 10,460,000 | 10,207,600 |
6.59%, 7/7/38 | 4,023,000 | 3,336,439 |
Noble Group Ltd.: | | |
8.50%, 5/30/13 (e) | 27,050,000 | 21,234,250 |
6.625%, 3/17/15 (e) | 32,110,000 | 20,871,500 |
Ohana Military Communities LLC: | | |
5.462%, 10/1/26 (e) | 17,500,000 | 14,965,475 |
5.88%, 10/1/51 (e) | 20,000,000 | 14,582,800 |
6.00%, 10/1/51 (b)(e) | 13,120,000 | 10,575,638 |
6.15%, 10/1/51 (e) | 10,000,000 | 7,795,800 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
OPTI Canada, Inc.: | | |
7.875%, 12/15/14 | $2,650,000 | $1,152,750 |
8.25%, 12/15/14 | 5,887,000 | 2,582,921 |
Orkney Re II plc, Series B, 6.096%, 12/21/35 (b)(e)(r)(z)* | 19,550,000 | 3,508,052 |
Overseas Shipholding Group, Inc., 7.50%, 2/15/24 | 5,080,000 | 3,124,200 |
Pacific Pilot Funding Ltd., 1.893%, 10/20/16 (e)(r) | 6,103,498 | 5,982,234 |
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) | 11,250,000 | 11,389,399 |
Pepco Holdings, Inc., 1.886%, 6/1/10 (r) | 5,000,000 | 4,664,561 |
Pfizer, Inc., 3.249%, 3/15/11 (r) | 6,625,000 | 6,759,222 |
Pioneer Natural Resources Co.: | | |
5.875%, 7/15/16 | 12,285,000 | 9,142,220 |
6.65%, 3/15/17 | 38,255,000 | 29,613,655 |
6.875%, 5/1/18 | 29,675,000 | 21,952,293 |
7.20%, 1/15/28 | 10,012,000 | 6,218,123 |
Plains All American Pipeline LP/PAA Finance Corp., 4.75%, | | |
8/15/09 | 750,000 | 748,007 |
PPF Funding, Inc., 5.35%, 4/15/12 (e) | 3,000,000 | 2,361,622 |
Preferred Term Securities IX Ltd., 2.216%, 4/3/33 (e)(r) | 748,642 | 338,386 |
Prime Property Fund, Inc., 5.50%, 1/15/14 (e) | 500,000 | 328,689 |
ProLogis: | | |
1.496%, 8/24/09 (r) | 81,750,000 | 76,551,599 |
6.625%, 5/15/18 | 3,000,000 | 1,520,709 |
Public Steers Trust, 6.646%, 11/15/18 (b) | 4,150,320 | 1,363,505 |
Puget Sound Energy, Inc., 7.02%, 12/1/27 | 571,000 | 526,938 |
RBS Capital Trust IV, STEP, 2.02%, 9/29/49 (r) | 19,868,000 | 6,936,912 |
RH Donnelley Corp., 6.875%, 1/15/13 | 375,000 | 20,625 |
Roper Industries, Inc., 6.625%, 8/15/13 | 13,830,000 | 13,972,668 |
Rouse Co., 8.00%, 4/30/09 | 8,000,000 | 2,280,000 |
Royal Bank of Scotland Group plc, 7.64% to 9/29/17, floating rate | | |
thereafter to 3/31/49 (r) | 61,910,000 | 13,929,750 |
Santander Issuances SA Unipersonal, 1.648%, 6/20/16 (e)(r) | 25,000,000 | 16,567,125 |
Shell International Finance BV, 4.00%, 3/21/14 | 60,500,000 | 61,273,252 |
Skyway Concession Co. LLC, 1.512%, 6/30/17 (b)(e)(r) | 10,140,000 | 8,204,578 |
SLM Corp., 1.299%, 7/27/09 (r) | 19,475,000 | 18,745,140 |
Sovereign Bank, 2.88%, 8/1/13 (b)(r) | 22,215,000 | 16,860,341 |
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% thereafter | | |
to 10/15/97 (b)(e)(r) | 26,500,000 | 2,355,585 |
State Street Bank and Trust Co., 1.499%, 9/15/11 (r) | 8,795,000 | 8,813,643 |
Sterling Equipment, Inc., 6.125%, 9/28/19 | 292,845 | 317,997 |
TEPPCO Partners LP, 7.00% to 6/1/17, floating rate thereafter | | |
to 6/1/67 (r) | 19,730,000 | 11,287,434 |
TIERS Trust: | | |
8.45%, 12/1/17 (b)(e)(n)* | 8,559,893 | 85,599 |
STEP, 0.00% to 4/15/18, 7.697% thereafter to | | |
10/15/97 (b)(e)(r) | 11,001,000 | 1,150,595 |
STEP, 0.00% to 10/15/28, 7.697% thereafter to 10/1/97 (b)(r) | 15,000,000 | 308,550 |
STEP, 0.00% to 10/15/33, 7.697% thereafter to | | |
10/15/97 (b)(e)(r) | 12,295,000 | 103,401 |
Toll Road Investors Partnership II LP, Zero Coupon: | | |
2/15/11 (e) | 7,600,000 | 6,813,841 |
2/15/28 (b)(e) | 16,737,000 | 3,450,165 |
2/15/29 (b)(e) | 12,600,000 | 2,388,834 |
2/15/43 (b)(e) | 196,950,000 | 26,808,834 |
2/15/45 (b)(e) | 618,495,685 | 81,177,559 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
United Parcel Services, Inc., 0.07%, 3/27/50 (r) | $2,030,000 | $1,831,774 |
UnitedHealth Group, Inc., 1.407%, 6/21/10 (r) | 32,550,000 | 31,430,247 |
Valero Energy Corp., 9.375%, 3/15/19 | 850,000 | 877,515 |
Verizon Communications, Inc., 6.35%, 4/1/19 | 36,200,000 | 35,723,617 |
Verizon North, Inc., 5.634%, 1/1/21 (e) | 4,785,000 | 4,501,532 |
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate thereafter | | |
to 3/29/49 (r) | 74,058,000 | 26,660,880 |
Wells Fargo Bank: | | |
6.584%, 9/1/27 (e) | 6,080,000 | 6,776,342 |
6.734%, 9/1/47 (e) | 37,970,000 | 43,860,666 |
Weyerhaeuser Co., 2.223%, 9/24/09 (r) | 36,390,000 | 35,410,873 |
Whitney National Bank, 5.875%, 4/1/17 (b) | 3,000,000 | 2,160,000 |
Woodside Finance Ltd., 8.75%, 3/1/19 (e) | 9,800,000 | 9,874,502 |
Xerox Corp., 2.059%, 12/18/09 (r) | 3,250,000 | 3,153,597 |
Xstrata Finance Canada Ltd., 5.80%, 11/15/16 (e) | 350,000 | 224,904 |
Xstrata Finance Dubai Ltd., 1.581%, 11/13/09 (e)(r) | 18,275,000 | 17,390,863 |
| | | |
Total Corporate Bonds (Cost $3,305,241,423) | | 2,417,758,864 |
| | | |
Taxable Municipal Obligations - 8.6% | | |
Alameda California Corridor Transportation Authority | | |
Revenue Bonds, Zero Coupon: | | |
10/1/09 | 5,155,000 | 5,030,404 |
10/1/10 | 16,230,000 | 15,003,012 |
Anaheim California Redevelopment Agency Tax Allocation Bonds: | | |
5.759%, 2/1/18 | 1,795,000 | 1,742,783 |
6.506%, 2/1/31 | 3,875,000 | 3,450,261 |
Azusa California Redevelopment Agency Tax Allocation Bonds, | | |
5.765%, 8/1/17 | 3,760,000 | 3,688,109 |
Baltimore Maryland General Revenue Bonds: | | |
5.05%, 7/1/14 | 1,520,000 | 1,615,897 |
5.07%, 7/1/15 | 1,340,000 | 1,423,469 |
Boynton Beach Florida Community Redevelopment Agency Tax | | |
Allocation Revenue Bonds, 5.10%, 10/1/15 | 1,290,000 | 1,297,585 |
Brownsville Texas Utility System Revenue Bonds, 5.084%, 9/1/16 | 2,000,000 | 1,902,660 |
Burlingame California PO Revenue Bonds, 5.285%, 6/1/12 | 1,775,000 | 1,797,596 |
California Statewide Communities Development Authority | | |
Revenue Bonds: | | |
5.44%, 8/1/10 | 1,560,000 | 1,583,681 |
5.61%, 8/1/14 | 2,270,000 | 2,445,539 |
Zero Coupon, 6/1/15 | 3,425,000 | 2,298,826 |
Zero Coupon, 6/1/15 | 1,205,000 | 808,784 |
Zero Coupon, 6/1/16 | 2,620,000 | 1,609,466 |
Zero Coupon, 6/1/17 | 1,835,000 | 1,030,628 |
Zero Coupon, 6/1/17 | 2,710,000 | 1,522,071 |
Zero Coupon, 6/1/18 | 2,810,000 | 1,450,578 |
Zero Coupon, 6/1/19 | 1,975,000 | 939,330 |
College Park Georgia Revenue Bonds: | | |
5.631%, 1/1/11 | 4,965,000 | 4,994,145 |
5.658%, 1/1/12 | 2,500,000 | 2,487,725 |
5.688%, 1/1/13 | 5,540,000 | 5,438,563 |
| | | |
| | Principal | |
Taxable Municipal Obligations - Cont'd | Amount | Value |
Detroit Michigan GO Bonds, 5.15%, 4/1/25 | $14,605,000 | $7,553,560 |
Eugene Oregon Electric Utilities Revenue Bonds, Zero Coupon, | | |
8/1/25 | 1,500,000 | 458,490 |
Fairfield California PO Revenue Bonds, 5.34%, 6/1/25 | 1,960,000 | 1,624,624 |
Florida State First Governmental Financing Commission | | |
Revenue Bonds: | | |
5.05%, 7/1/14 | 285,000 | 291,435 |
5.10%, 7/1/15 | 300,000 | 299,658 |
Fort Wayne Indiana Redevelopment District Revenue Bonds, | | |
5.24%, 6/1/21 | 1,250,000 | 1,137,462 |
Georgetown University Washington DC Revenue Bonds, 7.22%, | | |
4/1/19 | 16,290,000 | 17,606,884 |
Grant County Washington Public Utility District No. 2 | | |
Revenue Bonds: | | |
4.76%, 1/1/13 | 400,000 | 406,840 |
5.29%, 1/1/20 | 2,415,000 | 2,234,455 |
5.48%, 1/1/21 | 990,000 | 920,918 |
Indiana State Bond Bank Revenue Bonds: | | |
5.72%, 1/15/15 | 2,430,000 | 2,646,270 |
5.82%, 7/15/17 | 3,925,000 | 4,183,854 |
6.01%, 7/15/21 | 13,515,000 | 13,560,951 |
Inglewood California Pension Funding Revenue Bonds: | | |
4.79%, 9/1/11 | 235,000 | 232,777 |
4.82%, 9/1/12 | 250,000 | 243,947 |
4.90%, 9/1/13 | 260,000 | 250,396 |
4.94%, 9/1/14 | 275,000 | 260,095 |
4.95%, 9/1/15 | 285,000 | 263,092 |
Kansas City Missouri Airport Revenue Bonds, 5.125%, 9/1/17 | 4,485,000 | 4,110,189 |
King County Washington Housing Authority Revenue Bonds, | | |
6.375%, 12/31/46 | 2,000,000 | 1,977,220 |
La Mesa California COPs, 6.32%, 8/1/26 | 1,305,000 | 1,255,358 |
La Verne California PO Revenue Bonds, 5.62%, 6/1/16 | 1,000,000 | 972,880 |
Lancaster Pennsylvania Parking Authority Revenue Bonds, 5.95%, | | |
12/1/25 | 2,450,000 | 2,190,128 |
Long Beach California Bond Finance Authority Revenue Bonds: | | |
5.34%, 8/1/35 | 5,000,000 | 3,135,150 |
5.44%, 8/1/40 | 5,000,000 | 3,098,300 |
Metropolitan Washington DC Airport Authority System Revenue | | |
Bonds: | | |
5.59%, 10/1/25 | 2,785,000 | 2,729,216 |
5.69%, 10/1/30 | 2,835,000 | 2,658,153 |
Michigan State Municipal Bond Authority Revenue Bonds, | | |
5.252%, 6/1/15 | 6,000,000 | 5,776,620 |
Mississippi State Development Bank SO Revenue Bonds, 5.20%, | | |
7/1/09 | 8,835,000 | 8,893,929 |
Mississippi State Home Corp. MFH Revenue VRDN, 0.68%, | | |
8/15/40 (r) | 5,360,000 | 5,360,000 |
Moreno Valley California Public Financing Authority Revenue Bonds, | | |
5.549%, 5/1/27 | 4,385,000 | 3,519,445 |
Nevada State Department of Business & Industry Lease Revenue | | |
Bonds, 5.87%, 6/1/27 | 1,210,000 | 990,070 |
New York City IDA Revenue Bonds, 6.027%, 1/1/46 | 12,000,000 | 10,460,760 |
| | | |
| | Principal | |
Taxable Municipal Obligations - Cont'd | Amount | Value |
Northwest Washington Electric Energy Revenue Bonds, 4.06%, | | |
7/1/09 | $1,150,000 | $1,156,992 |
Oakland California Redevelopment Agency Tax Allocation Bonds: | | |
5.252%, 9/1/16 | 1,925,000 | 1,883,401 |
5.653%, 9/1/21 | 19,635,000 | 18,534,655 |
Oceanside California PO Revenue Bonds: | | |
4.95%, 8/15/16 | 2,215,000 | 1,949,643 |
5.14%, 8/15/18 | 2,760,000 | 2,404,346 |
5.20%, 8/15/19 | 3,070,000 | 2,646,616 |
5.25%, 8/15/20 | 3,395,000 | 2,905,441 |
Philadelphia Pennsylvania IDA Revenue Bonds, Zero Coupon, | | |
4/15/19 | 3,375,000 | 1,338,120 |
Philadelphia Pennsylvania School District GO Bonds, 5.09%, | | |
7/1/20 | 7,990,000 | 7,575,878 |
Pittsburgh Pennsylvania GO Bonds, 5.54%, 9/1/09 | 19,670,000 | 19,672,164 |
Pomona California Public Financing Authority Revenue Bonds, | | |
5.718%, 2/1/27 | 6,015,000 | 5,252,298 |
Rio Rancho New Mexico Event Center Revenue Bonds, 5.00%, | | |
6/1/20 | 3,260,000 | 2,997,179 |
Riverside California Public Financing Authority Tax Allocation | | |
Bonds: | | |
5.19%, 8/1/17 | 1,885,000 | 1,705,736 |
5.24%, 8/1/17 | 2,920,000 | 2,347,622 |
Sacramento City California Financing Authority Tax Allocation | | |
Revenue Bonds: | | |
5.11%, 12/1/13 | 1,235,000 | 1,118,626 |
5.54%, 12/1/20 | 21,940,000 | 17,299,909 |
San Bernardino California Joint Powers Financing Authority Tax | | |
Allocation Bonds, 5.625%, 5/1/16 | 5,430,000 | 5,082,317 |
San Diego California Redevelopment Agency Tax Allocation | | |
Bonds, 6.00%, 9/1/21 | 2,515,000 | 2,320,188 |
San Jose California Redevelopment Agency Tax Allocation Bonds: | | |
4.54%, 8/1/12 | 3,105,000 | 3,033,927 |
5.10%, 8/1/20 | 3,960,000 | 3,406,273 |
5.46%, 8/1/35 | 5,300,000 | 4,040,667 |
Santa Cruz County California Redevelopment Agency Tax Allocation | | |
Revenue Bonds, 5.60%, 9/1/25 | 1,815,000 | 1,562,860 |
Santa Fe Springs California Community Development Commission | | |
Tax Allocation Bonds, 5.35%, 9/1/18 | 1,265,000 | 937,744 |
Sonoma County California PO Revenue Bonds, 6.625%, 6/1/13 | 6,695,000 | 7,077,686 |
Thousand Oaks California Redevelopment Agency Tax | | |
Allocation Bonds: | | |
�� 5.00%, 12/1/12 | 675,000 | 660,838 |
5.00%, 12/1/13 | 710,000 | 685,327 |
5.00%, 12/1/14 | 745,000 | 704,636 |
5.125%, 12/1/15 | 785,000 | 726,478 |
5.125%, 12/1/16 | 830,000 | 747,639 |
5.25%, 12/1/21 | 5,070,000 | 4,355,130 |
5.375%, 12/1/21 | 4,880,000 | 4,242,770 |
University of Central Florida COPs, 5.125%, 10/1/20 | 3,750,000 | 2,932,387 |
Utah State Housing Corp. Military Housing Revenue Bonds: | | |
5.392%, 7/1/50 | 11,735,000 | 9,054,257 |
5.442%, 7/1/50 | 3,990,000 | 3,101,786 |
| | | |
| | Principal | |
Taxable Municipal Obligations - Cont'd | Amount | Value |
Virginia State Housing Development Authority Revenue Bonds: | | |
5.35%, 7/1/14 | $2,025,000 | $2,098,791 |
6.32%, 8/1/19 | 5,000,000 | 5,094,250 |
West Contra Costa California Unified School District COPs: | | |
5.03%, 1/1/20 | 3,190,000 | 2,748,600 |
5.15%, 1/1/24 | 3,630,000 | 2,876,122 |
Wilkes-Barre Pennsylvania GO Bonds, 5.28%, 11/15/19 | 2,025,000 | 1,787,650 |
| | | |
Total Taxable Municipal Obligations (Cost $368,845,095) | | 334,931,187 |
| | | |
U.S. Government Agencies | | |
and Instrumentalities - 11.7% | | |
Central American Bank For Economic Integration AID Bonds, | | |
Guaranteed by the United States Agency of International | | |
Development, 6.79%, 10/1/10 | 1,796,423 | 1,881,825 |
Federal Home Loan Bank Discount Notes, 4/1/09 | 449,800,000 | 449,800,000 |
Overseas Private Investment Corp., 4.05%, 11/15/14 | 1,801,600 | 1,877,736 |
| | | |
Total U.S. Government Agencies And Instrumentalities | | |
(Cost $453,425,758) | | 453,559,561 |
| | | |
U.S. Government Agency | | |
Mortgage-Backed Securities - 0.0% | | |
Ginnie Mae, 11.00%, 10/15/15 | 487 | 518 |
Government National Mortgage Association, 5.50%, 1/16/32 | 12,089,994 | 1,553,928 |
| | | |
Total U.S. Government Agency Mortgage-Backed Securities | | |
(Cost $1,594,241) | | 1,554,446 |
| | | |
U.S. Treasury - 3.5% | | |
United States Treasury Bonds: | | |
5.375%, 2/15/31 | 125,000 | 157,774 |
4.50%, 2/15/36 | 650,000 | 749,633 |
4.375%, 2/15/38 | 1,460,000 | 1,659,838 |
4.50%, 5/15/38 | 22,240,000 | 25,999,949 |
3.50%, 2/15/39 | 12,870,000 | 12,741,299 |
United States Treasury Notes: | | |
1.875%, 2/28/14 | 9,525,000 | 9,632,156 |
2.75%, 2/15/19 | 85,950,000 | 86,460,327 |
| | | |
Total U.S. Treasury (Cost $136,213,682) | | 137,400,976 |
| | | |
Certificates of Deposit - 1.1% | | |
Deutsche Bank, 1.909%, 6/18/10 (r) | 44,850,000 | 44,116,119 |
| | | |
Total Certificates Of Deposit (Cost $44,850,000) | | 44,116,119 |
| | | |
| | | |
Equity Securities - 0.6% | Shares | Value |
Avado Brands, Inc. (b)* | 4,803 | $48 |
Conseco, Inc.* | 1,204,755 | 1,108,375 |
Double Eagle Petroleum Co. Preferred | 105,000 | 1,638,000 |
First Republic Preferred Capital Corp. Preferred (e) | 6,050 | 2,438,150 |
Ford Motor Co.* | 473,761 | 1,245,991 |
Intermet Corp. (b)* | 4,772 | 48 |
ION Media Networks, Inc., Series B, Preferred (b)* | 2 | 1 |
MFH Financial Trust I, Preferred (b)(e) | 400,000 | 11,215,600 |
Woodbourne Capital: | | |
Trust I, Preferred (b)(e) | 6,450,000 | 1,741,500 |
Trust II, Preferred (b)(e) | 6,450,000 | 1,741,500 |
Trust III, Preferred (b)(e) | 6,450,000 | 1,741,500 |
Trust IV, Preferred (b)(e) | 6,450,000 | 1,741,500 |
| | | |
Total Equity Securities (Cost $100,339,066) | | 24,612,213 |
| | | |
| | | |
TOTAL INVESTMENTS (Cost $4,817,899,817) - 96.5% | | 3,747,800,682 |
Other assets and liabilities, net - 3.5% | | 134,500,999 |
Net Assets - 100% | | $3,882,301,681 |
Futures
Purchased: | # of
Contracts | Expiration
Date | Underlying
Face Amount
at Value | Unrealized
Appreciation
(Depreciation) | |
| |
| |
10 Year U.S. Treasury Notes | 334 | 6/09 | $41,442,094 | $127,780 | |
30 Year U.S. Treasury Bonds | 97 | 6/09 | 12,581,203 | 231,136 | |
Total Purchased | | | | $358,916 | |
Sold: | | | | | |
2 Year U.S. Treasury Notes | 13,791 | 6/09 | $3,004,929,623 | ($9,421,834) | |
5 Year U.S. Treasury Notes | 1,605 | 6/09 | 190,618,828 | (2,391,138) | |
Total Sold | | | | ($11,812,972) | |
(b) This security was valued by the Board of Trustees. See note A.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(f) Idearc, Inc. filed for Chapter 11 bankruptcy on March 31, 2009. This security is no longer accruing interest and subsequent to period end, $5,533 of interest was written off.
(g) Security is in default and is no longer accruing interest.
(m) The Illinois Insurance Department prohibited Lumbermens from making interest payments. This security is no longer accruing interest.
(n) The Illinois Insurance Department prohibited Lumbermens from making interest payments. This TIERS security is based on interest payments from Lumbermens. This security is no longer accruing interest.
(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments. This security is no longer accruing interest.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
(v) This security defaulted on principal and interest payments during the period.
(w) This security defaulted on interest payments during the period.
(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.
(y) The government of Iceland took control of Glitnir Bank HF and Kaupthing Bank HF (the Banks) on October 8, 2008 and October 9, 2008, respectively. The government has prohibited the Banks from paying any claims owed to foreign entities. As of October 9, 2008, these securities are no longer accruing interest.
(z) Effective April 2008, this security is no longer accruing interest.
* Non-income producing security.
Abbreviations:
COPs: Certificates of Participation
GO: General Obligation
IDA: Industrial Development Authority
LLC: Limited Liability Corporation
LP: Limited Partnership
MFH: Multi-Family Housing
PO: Pension Obligation
SO: Special Obligation
STEP: Stepped coupon bond for which the coupon rate of interest will adjust on specified future date(s)
VRDN: Variable Rate Demand Notes
See notes to financial statements.
Statement of Assets and Liabilities
March 31, 2009
Assets | | | |
Investments in securities, at value (Cost $4,817,899,817) - | | | |
see accompanying schedule | | $3,747,800,682 | |
Receivable for securities sold | | 130,886,456 | |
Receivable for shares sold | | 3,993,211 | |
Interest and dividends receivable | | 39,903,927 | |
Collateral at Broker (cash) | | 19,252,135 | |
Other assets | | 129,844 | |
Total assets | | 3,941,966,255 | |
| | | | |
Liabilities | | | |
Payable for securities purchased | | 17,878,869 | |
Payable for shares redeemed | | 32,311,934 | |
Payable for futures variation margin | | 3,533,317 | |
Payable to Bank | | 724,499 | |
Payable for line of credit | | 625,846 | |
Payable to Calvert Asset Management Company, Inc. | | 2,145,357 | |
Payable to Calvert Administrative Services Company | | 908,525 | |
Payable to Calvert Shareholder Services, Inc. | | 64,044 | |
Payable to Calvert Distributors, Inc. | | 1,042,175 | |
Accrued expenses and other liabilities | | 430,008 | |
Total liabilities | | 59,664,574 | |
Net Assets | | $3,882,301,681 | |
| | | | |
| | | | |
Net Assets Consist of: | | | |
Paid-in capital applicable to the following shares of beneficial interest, | | | |
unlimited number of no par value shares authorized: | | | |
Class A: 230,828,259 shares outstanding | | $4,116,783,728 | |
Class B: 4,717,361 shares outstanding | | 90,618,040 | |
Class C: 27,049,375 shares outstanding | | 469,067,109 | |
Class I: 22,912,632 shares outstanding | | 391,910,581 | |
Class R: 591,805 shares outstanding | | 9,186,940 | |
Class Y: 1,075,023 shares outstanding | | 16,333,047 | |
Undistributed net investment income (loss) | | (856,413) | |
Accumulated net realized gain (loss) on investments | | (129,188,160) | |
Net unrealized appreciation (depreciation) on investments | | (1,081,553,191) | |
Net Assets | | $3,882,301,681 | |
| | | | |
Net Asset Value Per Share | | | |
Class A (based on net assets of $3,120,547,762) | | $13.52 | |
Class B (based on net assets of $63,494,987) | | $13.46 | |
Class C (based on net assets of $365,504,612) | | $13.51 | |
Class I (based on net assets of $310,054,309) | | $13.53 | |
Class R (based on net assets of $8,045,313) | | $13.59 | |
Class Y (based on net assets of $14,654,698) | | $13.63 | |
See notes to financial statements.
Statement of Operations
Six Months Ended March 31, 2009
Net Investment Income | | |
Investment Income: | | |
Interest income | | $134,477,692 |
Dividend income | | 2,867,969 |
Total investment income | | 137,345,661 |
| | | |
Expenses: | | |
Investment advisory fee | | 8,432,808 |
Administrative fees | | 5,869,145 |
Transfer agency fees and expenses | | 5,059,795 |
Distribution Plan expenses: | | |
Class A | | 4,421,245 |
Class B | | 372,134 |
Class C | | 2,000,982 |
Class R | | 16,976 |
Trustees' fees and expenses | | 103,493 |
Custodian fees | | 281,717 |
Registration | | 102,410 |
Report to shareholders | | 611,274 |
Professional fees | | 114,473 |
Accounting fees | | 224,385 |
Miscellaneous | | 129,188 |
Total expenses | | 27,740,025 |
Reimbursement from Advisor: | | |
Class R | | (3,470) |
Fees paid indirectly | | (226,752) |
Net expenses | | 27,509,803 |
| | | |
Net Investment Income | | 109,835,858 |
| | | |
Realized and Unrealized Gain (Loss) | | |
Net realized gain (loss) on: | | |
Investments | | (39,230,137) |
Futures | | (75,387,936) |
| | | (114,618,073) |
Change in unrealized appreciation (depreciation) on: | | |
Investments | | (423,928,249) |
Futures | | (14,060,938) |
| | | (437,989,187) |
| | | |
Net Realized and Unrealized Gain | | |
(Loss) | | (552,607,260) |
| | | |
Increase (Decrease) in Net Assets | | |
Resulting From Operations | | ($442,771,402) |
See notes to financial statements.
Statements of Changes in Net Assets
| | | Six Months Ended | Year Ended | |
| | | March 31, | September 30, | |
Increase (Decrease) in Net Assets | | 2009 | 2008 | |
Operations: | | | | |
Net investment income | | $109,835,858 | $293,615,553 | |
Net realized gain (loss) | | (114,618,073) | 14,597,581 | |
Change in unrealized appreciation (depreciation) | | (437,989,187) | (478,174,188) | |
| | | | | |
Increase (Decrease) in Net Assets | | | | |
Resulting From Operations | | (442,771,402) | (169,961,054) | |
| | | | | |
Distributions to shareholders from | | | | |
Net investment income: | | | | |
Class A Shares | | (88,524,980) | (245,212,080) | |
Class B Shares | | (1,543,878) | (6,076,118) | |
Class C Shares | | (8,687,318) | (21,502,725) | |
Class I Shares | | (9,640,449) | (19,910,009) | |
Class R Shares | | (165,075) | (161,326) | |
Class Y Shares | | (319,510) | (31,919) | |
Net realized gain: | | | | |
Class A Shares | | (11,877,864) | (87,053,456) | |
Class B Shares | | (251,892) | (3,137,805) | |
Class C Shares | | (1,338,593) | (8,738,853) | |
Class I Shares | | (1,013,457) | (5,705,708) | |
Class R Shares | | (20,892) | (31,543) | |
Class Y Shares | | (34,185) | -- | |
Total distributions | | (123,418,093) | (397,561,542) | |
| | | | | |
Capital share transactions: | | | | |
Shares sold: | | | | |
Class A Shares | | 336,348,085 | 1,553,740,829 | |
Class B Shares | | 2,888,306 | 11,937,037 | |
Class C Shares | | 23,088,638 | 120,043,202 | |
Class I Shares | | 43,713,569 | 134,754,516 | |
Class R Shares | | 4,098,720 | 5,964,863 | |
Class Y Shares | | 5,748,284 | 10,924,458 | |
Shares issued from merger (See Note A): | | | | |
Class I Shares | | 58,005,471 | -- | |
Class Y Shares | | 440,457 | -- | |
Reinvestment of distributions: | | | | |
Class A Shares | | 83,266,272 | 256,973,806 | |
Class B Shares | | 1,320,570 | 6,825,274 | |
Class C Shares | | 5,268,006 | 15,774,933 | |
Class I Shares | | 8,810,988 | 22,061,810 | |
Class R Shares | | 109,454 | 60,134 | |
Class Y Shares | | 352,014 | 31,841 | |
Redemption fees: | | | | |
Class A Shares | | 90,525 | 123,007 | |
Class B Shares | | 1,347 | 440 | |
Class C Shares | | 4,848 | 4,545 | |
Class I Shares | | 75 | 866 | |
Class R Shares | | 2 | 215 | |
Class Y Shares | | 1,840 | -- | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | Six Months Ended | Year Ended | |
| | | March 31, | September 30, | |
Increase (Decrease) in Net Assets - Cont'd | | 2009 | 2008 | |
Shares redeemed: | | | | |
Class A Shares | | ($1,297,016,020) | ($1,903,261,804) | |
Class B Shares | | (25,589,946) | (118,322,242) | |
Class C Shares | | (89,757,128) | (113,277,680) | |
Class I Shares | | (117,146,904) | (78,859,892) | |
Class R Shares | | (1,638,995) | (710,403) | |
Class Y Shares | | (1,183,538) | (44,937) | |
Total capital share transactions | | (958,775,060) | (75,255,182) | |
| | | | | |
Total Increase (Decrease) in Net Assets | | (1,524,964,555) | (642,777,778) | |
| | | | | |
Net Assets | | | | |
Beginning of period | | 5,407,266,236 | 6,050,044,014 | |
End of period (including distributions in excess of net investment | | | | |
income of $856,413 and $1,811,061, respectively) | | $3,882,301,681 | $5,407,266,236 | |
| | | | | |
Capital Share Activity | | | | |
Shares sold: | | | | |
Class A Shares | | 24,354,585 | 95,111,265 | |
Class B Shares | | 210,182 | 733,617 | |
Class C Shares | | 1,678,616 | 7,343,554 | |
Class I Shares | | 3,157,001 | 8,211,338 | |
Class R Shares | | 297,005 | 367,375 | |
Class Y Shares | | 417,116 | 686,320 | |
Shares issued from merger (See Note A): | | | | |
Class I Shares | | 4,268,269 | -- | |
Class Y Shares | | 32,224 | -- | |
Reinvestment of distributions: | | | | |
Class A Shares | | 6,102,370 | 15,790,546 | |
Class B Shares | | 97,181 | 418,540 | |
Class C Shares | | 386,395 | 969,382 | |
Class I Shares | | 645,957 | 1,356,936 | |
Class R Shares | | 8,002 | 3,756 | |
Class Y Shares | | 25,656 | 2,045 | |
Shares redeemed: | | | | |
Class A Shares | | (93,466,551) | (117,662,459) | |
Class B Shares | | (1,863,452) | (7,280,790) | |
Class C Shares | | (6,513,766) | (7,009,618) | |
Class I Shares | | (8,526,615) | (4,888,542) | |
Class R Shares | | (118,311) | (43,857) | |
Class Y Shares | | (85,454) | (2,884) | |
Total capital share activity | | (68,893,590) | (5,893,476) | |
See notes to financial statements.
Notes to Financial Statements
Note A ---- Significant Accounting Policies
General: The Calvert Income Fund (the Fund), a series of The Calvert Fund, is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The operations of each series are accounted for separately. The Fund offers six classes of shares of beneficial interest. Class A shares are sold with a maximum front-end sales charge of 3.75%. Class B shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge at the time of redemption, depending on how long investors have owned the shares. Class C shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment may be waived for certain institutional accounts, where it is b elieved to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares. Class R shares are generally only available to certain retirement plans where plan level or omnibus accounts are held on the books of the Fund. Class R shares have no front-end or deferred sales charge and have a higher level of expenses than Class A Shares. Effective February 29, 2008, the Fund began to offer Class Y shares. Class Y shares are generally only available to wrap or similar fee-based programs offered by financial intermediaries that have entered into an agreement with the Fund's Distributor to offer Class Y shares. Class Y shares have no front-end or deferred sales charge. Each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class specific expenses, (b) exchange privileges and (c) class specific voting rights.
On December 12, 2008, the net assets of the Summit Bond Fund, a series of Summit Mutual Funds, Inc. Apex Series, merged into the Calvert Income Fund. The merger was accomplished by a tax-free exchange of 4,268,269 Class I shares and 32,224 Class Y shares of the Calvert Income Fund (valued at $58,005,471 and $440,457, respectively) for 1,518,476 Class I shares and 11,486 Class A shares of the Summit Bond Fund outstanding at December 12, 2008. The Summit Bond Fund's net assets as of December 12, 2008, including $8,114,963 of unrealized depreciation, were combined with those of the Calvert Income Fund.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the Fund's net asset value determination, that are expected to materially affect the value of those securities, then the y are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Fund may invest in securities whose resale is subject to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
At March 31, 2009, securities valued at $395,620,363 or 10.2% of net assets were fair valued in good faith under the direction of the Board of Trustees.
Effective October 1, 2008, the Fund adopted Financial Accounting Standards Board Statement on Financial Accounting Standards No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund's investments and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.
The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2009:
| | Investments | Other |
Valuation Inputs | in Securities | Financial Instruments* |
Level 1 - Quoted Prices | $143,831,492 | ($11,454,056) |
Level 2 - Other Significant Observable Inputs | 3,208,348,827 | -- |
Level 3 - Significant Unobservable Inputs | 395,620,363 | -- |
Total | $3,747,800,682 | ($11,454,056) |
* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Balance as of 9/30/08 | | $398,885,360 | |
Accrued discounts/ premiums | | 3,680,237 | |
Realized gain (loss) | | (64,729,444) | |
Change in unrealized appreciation (depreciation) | | (32,657,372) | |
Net purchases (sales) | | 24,395,198 | |
Transfers in and/ or out of Level 3 | | 66,046,384 | |
Balance as of 3/31/09 | | $395,620,363 | |
For the period ended March 31, 2009, total change in unrealized gain (loss) on Level 3 securities included in the change in net assets was ($163,068,618). Total unrealized gain (loss) for all securities (including Level 1 and Level 2) can be found on the accompanying Statement of Operations.
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Futures Contracts: The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms.
Short Sales: The Fund may use a hedging technique that involves short sales of U.S. Treasury securities for the purposes of managing the duration of the Fund. Any short sales are covered with an equivalent amount of high-quality, liquid securities.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. (See the Schedule of Investments footnotes on page 21.) A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withholding taxes on foreign dividends have been provided for in accordance with the Fund's understanding of the applicable country's tax rules and rates.
Foreign Currency Transactions: The Fund's accounting records are maintained in U. S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on securities and foreign currencies.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund (within seven days for Class I and Class R shares). The redemption fee is paid to the Class of the Fund from which the redemption is made, and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.
Expense Offset Arrangements: The Fund has arrangements with its custodian banks whereby the custodian's fees may be paid indirectly by credits earned on the Fund's cash on deposit with the banks. These credits are used to reduce the Fund's expenses. Such deposit arrangements may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements or in any of the open tax years; thus, no provision for income tax is required. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
New Accounting Pronouncements: In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the Advisor) is wholly-owned by Calvert Group, Ltd. (Calvert), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly based on the following annual rates of average daily net assets: .40% on the first $2 billion, .375% on the next $5.5 billion, .35% on the next $2.5 billion and .325% over $10 billion.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2010 for Class R and Y. The contractual expense caps are 1.47% and 0.95%, respectively. The Advisor has also contractually agreed to limit net annual fund operating expenses through December 12, 2010 for Class I and Y. The contractual expense caps are 0.84% and 1.09%, respectively. The Class Y shares' cap of 1.09% is for the period beginning February 1, 2010 through December 12, 2010. For the purposes of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
Calvert Administrative Services Company, an affiliate of the Advisor, provides administrative services to the Fund for an annual fee, payable monthly. Classes A, B, C, R and Y shares pay an annual rate of .30% on the first $3 billion, 0.25% on the next $2 billion, and 0.225% over $5 billion of the combined assets of the classes. Class I shares pay an annual rate of .10%, based on their average daily net assets.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. Distribution Plans, adopted by Class A, B, C and R shares, allow the Fund to pay the Distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed .50%, 1.00%, 1.00% and .75% annually of the Fund's average daily net assets of Class A, B, C and R, respectively. The amount actually paid by the Fund is an annualized fee, payable monthly of .25%, 1.00%, 1.00% and .50% of the Fund's average daily net assets of Class A, B, C, and R, respectively. Class I and Y shares do not have Distribution Plan expenses.
The Distributor received $68,910 as its portion of commissions charged on sales of the Fund's Class A shares for the six months ended March 31, 2009.
Calvert Shareholder Services, Inc. (CSSI), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received a fee of $395,384 for the six months ended March 31, 2009. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Trustee of the Fund who is not an employee of the Advisor or its affiliates receives an annual retainer of $32,000 plus up to $1,500 for each Board and Committee meeting attended. Trustee's fees are allocated to each of the funds served.
Note C -- Investment Activity
During the period, the cost of purchases and proceeds from sales of investments, other than short-term and U.S. government securities, were $1,234,999,719 and $1,806,965,983, respectively. U.S. government security purchases and sales were $18,488,356,520 and $18,801,803,616, respectively.
The cost of investments owned at March 31, 2009 for federal income tax purposes was $4,833,423,704. Net unrealized depreciation aggregated $1,085,623,022, of which $18,417,139 related to appreciated securities and $1,104,040,161 related to depreciated securities.
The Fund may sell or purchase securities to and from other funds managed by the Advisor, typically short-term variable rate demand notes. Interportfolio transactions are primarily used for cash management purposes. Interportfolio transactions are made pursuant to Rule 17a-7 of the Investment Company Act of 1940. For the six months ended March 31, 2009, such purchase and sales transactions were $38,420,000 and $82,705,000, respectively.
Note D -- Line of Credit
A financing agreement is in place with certain Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Fund had an outstanding loan balance of $625,846 at an interest rate of .70% at March 31, 2009. For the six months ended March 31, 2009, borrowings by the Fund under the Agreement were as follows:
| Average
Daily
Balance | Weighted
Average
Interest
Rate | Maximum
Amount
Borrowed | Month of
Maximum
Amount
Borrowed |
| | $943,861 | .75% | $31,227,795 | March 2009 |
Financial Highlights
| | | | Periods Ended | |
| | | March 31, | September 30, | September 30, |
Class A Shares | | 2009 | 2008 (z) | 2007 (z) |
Net asset value, beginning | | $15.19 | $16.72 | $16.72 |
| | | | | |
Income from investment operations | | | | |
Net investment income | | .35 | .79 | .77 |
Net realized and unrealized gain (loss) | | (1.62) | (1.25) | .01 |
Total from investment operations | | (1.27) | (.46) | .78 |
Distributions from | | | | |
Net investment income | | (.35) | (.79) | (.78) |
| | | | | |
Net realized gain | | (.05) | (.28) | -- |
| | | | | |
Total distributions | | (.40) | (1.07) | (.78) |
| | | | | |
Total increase (decrease) in net asset value | | (1.67) | (1.53) | -- |
Net asset value, ending | | $13.52 | $15.19 | $16.72 |
| | | | | |
| | | | | |
Total return* | | (8.37%) | (3.01%) | 4.74% |
| | | | | |
Ratios to average net assets: A | | | | |
Net investment income | | 5.05% (a) | 4.86% | 4.60% |
| | | | | |
Total expenses | | 1.24% (a) | 1.16% | 1.19% |
| | | | | |
Expenses before offsets | | 1.24% (a) | 1.16% | 1.19% |
| | | | | |
Net expenses | | 1.23% (a) | 1.16% | 1.18% |
Portfolio turnover | | 521% | 982% | 877% |
| | | | | |
Net assets, ending (in thousands) | | $3,120,548 | $4,462,549 | $5,024,998 |
| | | | | |
| | | | | |
| | | | | |
| | | | Years Ended | |
| | | September 30, | September 30, | September 30, |
Class A Shares | | 2006 | 2005 | 2004 |
Net asset value, beginning | | $17.03 | $17.37 | $17.53 |
Income from investment operations | | | | |
Net investment income | | .75 | .57 | .53 |
| | | | | |
Net realized and unrealized gain (loss) | | (.09) | .09 | .65 |
Total from investment operations | | .66 | .66 | 1.18 |
Distributions from | | | | |
Net investment income | | (.75) | (.57) | (.54) |
Net realized gain | | (.22) | (.43) | (.80) |
Total distributions | | (.97) | (1.00) | (1.34) |
Total increase (decrease) in net asset value | | (.31) | (.34) | (.16) |
Net asset value, ending | | $16.72 | $17.03 | $17.37 |
| | | | | |
Total return* | | 4.02% | 3.95% | 7.03% |
Ratios to average net assets: A | | | | |
Net investment income | | 4.54% | 3.36% | 3.08% |
Total expenses | | 1.20% | 1.20% | 1.21% |
Expenses before offsets | | 1.20% | 1.20% | 1.21% |
Net expenses | | 1.20% | 1.19% | 1.20% |
Portfolio turnover | | 578% | 742% | 824% |
Net assets, ending (in thousands) | | $3,860,160 | $2,976,466 | $2,309,621 |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | |
| | | March 31, | September 30, | September 30, |
Class B Shares | | 2009 | 2008 (z) | 2007 (z) |
Net asset value, beginning | | $15.12 | $16.68 | $16.69 |
| | | | | |
Income from investment operations | | | | |
Net investment income | | .29 | .67 | .64 |
| | | | | |
Net realized and unrealized gain (loss) | | (1.61) | (1.28) | .01 |
| | | | | |
Total from investment operations | | (1.32) | (.61) | .65 |
| | | | | |
Distributions from | | | | |
Net investment income | | (.29) | (.67) | (.66) |
| | | | | |
Net realized gain | | (.05) | (.28) | -- |
| | | | | |
Total distributions | | (.34) | (.95) | (.66) |
| | | | | |
Total increase (decrease) in net asset value | | (1.66) | (1.56) | (.01) |
| | | | | |
Net asset value, ending | | $13.46 | $15.12 | $16.68 |
| | | | | |
| | | | | |
Total return* | | (8.74%) | (3.89%) | 3.94% |
| | | | | |
Ratios to average net assets: A | | | | |
Net investment income | | 4.19% (a) | 4.07% | 3.82% |
| | | | | |
Total expenses | | 2.14% (a) | 2.00% | 1.96% |
| | | | | |
Expenses before offsets | | 2.14% (a) | 2.00% | 1.96% |
Net expenses | | 2.13% (a) | 2.00% | 1.95% |
| | | | | |
Portfolio turnover | | 521% | 982% | 877% |
| | | | | |
Net assets, ending (in thousands) | | $63,495 | $94,880 | $206,805 |
| | | | | |
| | | | | |
| | | | | |
| | | | Years Ended | |
| | | September 30, | September 30, | September 30, |
Class B Shares | | 2006 | 2005 | 2004 |
Net asset value, beginning | | $17.01 | $17.35 | $17.52 |
| | | | | |
Income from investment operations | | | | |
Net investment income | | .63 | .45 | .41 |
Net realized and unrealized gain (loss) | | (.10) | .09 | .64 |
Total from investment operations | | .53 | .54 | 1.05 |
Distributions from | | | | |
Net investment income | | (.63) | (.45) | (.42) |
Net realized gain | | (.22) | (.43) | (.80) |
Total distributions | | (.85) | (.88) | (1.22) |
Total increase (decrease) in net asset value | | (.32) | (.34) | (.17) |
Net asset value, ending | | $16.69 | $17.01 | $17.35 |
| | | | | |
Total return* | | 3.25% | 3.22% | 6.20% |
Ratios to average net assets: A | | | | |
Net investment income | | 3.74% | 2.60% | 2.37% |
Total expenses | | 1.95% | 1.94% | 1.95% |
Expenses before offsets | | 1.95% | 1.94% | 1.95% |
Net expenses | | 1.94% | 1.93% | 1.93% |
Portfolio turnover | | 578% | 742% | 824% |
Net assets, ending (in thousands) | | $285,301 | $346,829 | $373,648 |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | |
| | | March 31, | September 30, | September 30, |
Class C Shares | | 2009 | 2008 (z) | 2007 (z) |
Net asset value, beginning | | $15.18 | $16.71 | $16.70 |
| | | | | |
Income from investment operations | | | | |
Net investment income | | .30 | .68 | .65 |
| | | | | |
Net realized and unrealized gain (loss) | | (1.62) | (1.25) | .02 |
| | | | | |
Total from investment operations | | (1.32) | (.57) | .67 |
| | | | | |
Distributions from | | | | |
Net investment income | | (.30) | (.68) | (.66) |
| | | | | |
Net realized gain | | (.05) | (.28) | -- |
| | | | | |
Total distributions | | (.35) | (.96) | (.66) |
| | | | | |
Total increase (decrease) in net asset value | | (1.67) | (1.53) | .01 |
| | | | | |
Net asset value, ending | | $13.51 | $15.18 | $16.71 |
| | | | | |
| | | | | |
Total return* | | (8.71%) | (3.69%) | 4.09% |
| | | | | |
Ratios to average net assets: A | | | | |
Net investment income | | 4.39% (a) | 4.16% | 3.93% |
| | | | | |
Total expenses | | 1.94% (a) | 1.85% | 1.87% |
| | | | | |
Expenses before offsets | | 1.94% (a) | 1.85% | 1.87% |
| | | | | |
Net expenses | | 1.93% (a) | 1.85% | 1.86% |
| | | | | |
Portfolio turnover | | 521% | 982% | 877% |
| | | | | |
Net assets, ending (in thousands) | | $365,505 | $478,073 | $504,417 |
| | | | | |
| | | | | |
| | | | | |
| | | | Years Ended | |
| | | September 30, | September 30, | September 30, |
Class C Shares | | 2006 | 2005 | 2004 |
Net asset value, beginning | | $17.02 | $17.35 | $17.52 |
| | | | |
Income from investment operations | | | | |
Net investment income | | .63 | .45 | .41 |
Net realized and unrealized gain (loss) | | (.10) | .10 | .64 |
Total from investment operations | | .53 | .55 | 1.05 |
Distributions from | | | | |
Net investment income | | (.63) | (.45) | (.42) |
Net realized gain | | (.22) | (.43) | (.80) |
Total distributions | | (.85) | (.88) | (1.22) |
Total increase (decrease) in net asset value | | (.32) | (.33) | (.17) |
Net asset value, ending | | $16.70 | $17.02 | $17.35 |
| | | | | |
Total return* | | 3.24% | 3.29% | 6.23% |
Ratios to average net assets: A | | | | |
Net investment income | | 3.86% | 2.66% | 2.39% |
Total expenses | | 1.90% | 1.91% | 1.92% |
Expenses before offsets | | 1.90% | 1.91% | 1.92% |
Net expenses | | 1.89% | 1.90% | 1.91% |
Portfolio turnover | | 578% | 742% | 824% |
Net assets, ending (in thousands) | | $390,620 | $285,889 | $231,952 |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | |
| | | March 31, | September 30, | September 30, |
Class I Shares | | 2009 | 2008 (z) | 2007 (z) |
Net asset value, beginning | | $15.20 | $16.72 | $16.70 |
| | | | | |
Income from investment operations | | | | |
Net investment income | | .40 | .89 | .87 |
| | | | | |
Net realized and unrealized gain | | (1.63) | (1.24) | .01 |
| | | | | |
Total from investment operations | | (1.23) | (.35) | .88 |
| | | | | |
Distributions from | | | | |
Net investment income | | (.39) | (.89) | (.86) |
| | | | | |
Net realized gain | | (.05) | (.28) | -- |
| | | | | |
Total distributions | | (.44) | (1.17) | (.86) |
| | | | | |
Total increase (decrease) in net asset value | | (1.67) | (1.52) | .02 |
| | | | | |
Net asset value, ending | | $13.53 | $15.20 | $16.72 |
| | | | | |
| | | | | |
Total return* | | (8.08%) | (2.36%) | 5.40% |
| | | | | |
Ratios to average net assets: A | | | | |
Net investment income | | 5.80% (a) | 5.47% | 5.24% |
| | | | | |
Total expenses | | .56% (a) | .53% | .55% |
| | | | | |
Expenses before offsets | | .56% (a) | .53% | .55% |
| | | | | |
Net expenses | | .55% (a) | .53% | .54% |
| | | | | |
Portfolio turnover | | 521% | 982% | 877% |
| | | | | |
Net assets, ending (in thousands) | | $310,054 | $355,103 | $312,520 |
| | | | | |
| | | | | |
| | | | | |
| | | | Years Ended | |
| | | September 30, | September 30, | September 30, |
Class I Shares | | 2006 | 2005 | 2004 |
Net asset value, beginning | | $17.02 | $17.36 | $17.53 |
Income from investment operations | | | | |
Net investment income | | .85 | .69 | .64 |
Net realized and unrealized gain (loss) | | (.10) | .09 | .64 |
Total from investment operations | | .75 | .78 | 1.28 |
Distributions from | | | | |
Net investment income | | (.85) | (.69) | (.65) |
Net realized gain | | (.22) | (.43) | (.80) |
Total distributions | | (1.07) | (1.12) | (1.45) |
Total increase (decrease) in net asset value | | (.32) | (.34) | (.17) |
Net asset value, ending | | $16.70 | $17.02 | $17.36 |
| | | | | |
Total return* | | 4.65% | 4.66% | 7.65% |
Ratios to average net assets: A | | | | |
Net investment income | | 5.18% | 3.98% | 3.74% |
Total expenses | | .56% | .55% | .56% |
Expenses before offsets | | .56% | .55% | .56% |
Net expenses | | .55% | .55% | .56% |
Portfolio turnover | | 578% | 742% | 824% |
Net assets, ending (in thousands) | | $76,362 | $62,013 | $67,736 |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | |
| | | March 31, | September 30, | September 30, |
Class R Shares | | 2009 | 2008 (z) | 2007 #(z) |
Net asset value, beginning | | $15.25 | $16.75 | $16.78 |
Income from investment operations | | | | |
Net investment income | | .33 | .71 | .51 |
Net realized and unrealized gain | | (1.62) | (1.23) | .09 |
Total from investment operations | | (1.29) | (.52) | .60 |
Distributions from | | | | |
Net investment income | | (.32) | (.70) | (.63) |
Net realized gain | | (.05) | (.28) | -- |
Total distributions | | (.37) | (.98) | (.63) |
Total increase (decrease) in net asset value | | (1.66) | (1.50) | (.03) |
Net asset value, ending | | $13.59 | $15.25 | $16.75 |
| | | | | |
Total return* | | (8.48%) | (3.33%) | 3.66% |
Ratios to average net assets: A | | | | |
Net investment income | | 4.90% (a) | 4.44% | 4.41% (a) |
Total expenses | | 1.58% (a) | 1.78% | 10.44% (a) |
Expenses before offsets | | 1.48% (a) | 1.47% | 1.48% (a) |
Net expenses | | 1.47% (a) | 1.47% | 1.47% (a) |
Portfolio turnover | | 521% | 982% | 814% |
Net assets, ending (in thousands) | | $8,045 | $6,179 | $1,304 |
See notes to financial highlights.
Financial Highlights
| | | Periods Ended | |
| | | March 31, | September 30, | |
Class Y Shares | | 2009 | 2008 ## (z) | |
Net asset value, beginning | | $15.29 | $16.38 | |
Income from investment operations | | | | |
Net investment income | | .37 | .31 | |
Net realized and unrealized gain | | (1.62) | (1.02) | |
Total from investment operations | | (1.25) | (.71) | |
Distributions from | | | | |
Net investment income | | (.36) | (.38) | |
Net realized gain | | (.05) | -- | |
Total distributions | | (.41) | (.38) | |
Total increase (decrease) in net asset value | | 1.66 | (1.09) | |
Net asset value, ending | | $13.63 | $15.29 | |
| | | | | |
Total return* | | (8.19%) | (4.41%) | |
Ratios to average net assets: A | | | | |
Net investment income | | 5.53% (a) | 4.48% (a) | |
Total expenses | | .90% (a) | 2.34% (a) | |
Expenses before offsets | | .90% (a) | .90% (a) | |
Net expenses | | .89% (a) | .90% (a) | |
Portfolio turnover | | 521% | 529% | |
Net assets, ending (in thousands) | | $14,655 | $10,481 | |
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
# From October 31, 2006, inception.
## From February 29, 2008, inception.
(a) Annualized.
(z) Per share figures are calculated using the Average Shares Method.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business , expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
Proxy Voting
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio Holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Basis for Board's Approval of Investment Advisory Contract
At a meeting held on December 3, 2008, the Board of Trustees, and by a separate vote, the disinterested Trustees, approved the continuance of the Investment Advisory Agreement between The Calvert Fund and the Advisor with respect to the Fund.
In evaluating the Investment Advisory Agreement, the Board considered a variety of information relating to the Fund and the Advisor. The disinterested Trustees reviewed a report prepared by the Advisor regarding various services provided to the Fund by the Advisor and its affiliates. Such report included, among other data, information regarding the Advisor's personnel and the Advisor's revenue and cost of providing services to the Fund, and a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses, and fees to comparable mutual funds.
The disinterested Trustees were separately represented by independent legal counsel with respect to their consideration of the reapproval of the Investment Advisory Agreement. Prior to voting, the disinterested Trustees reviewed the proposed continuance of the Investment Advisory Agreement with management and also met in private sessions with their counsel at which no representatives of management were present.
In the course of its deliberations regarding the Investment Advisory Agreement, the Board considered the following factors, among others: the nature, extent and quality of the services provided by the Advisor, including the personnel providing such services; the Advisor's financial condition; the level and method of computing the Fund's advisory fee; comparative performance, fee and expense information for the Fund; the profitability of the Calvert Group of Funds to the Advisor; the direct and indirect benefits, if any, derived by the Advisor from its relationship with the Fund; the effect of the Fund's growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.
In considering the nature, extent and quality of the services provided by the Advisor under the Investment Advisory Agreement, the Board reviewed information provided by the Advisor relating to its operations and personnel, including, among other information, biographical information on the Advisor's investment, supervisory and professional staff and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Advisor as well as the Board's familiarity with management through Board of Trustees' meetings, discussions and other reports. The Board considered the Advisor's management style and its performance in employing its investment strategies, as well as its current level of staffing and overall resources. The Advisor's administrative capabilities, including its ability to supervise the other service providers for the Fund, were also considered. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Advisor under the Investment Advisory Agreement.
In considering the Fund's performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the renewal of the Investment Advisory Agreement, including, among other information, a comparison of the Fund's total return with its Lipper index and with that of other mutual funds deemed to be in its peer group by an independent third party in its report. This comparison indicated that for the one-, three- and five-year periods ended June 30, 2008, the Fund's performance was below the median of its peer group. The data also indicated that the Fund outperformed its Lipper index for the three- and five-year periods ended June 30, 2008 and underperformed its Lipper index for the one-year period ended June 30, 2008. The Board noted the Fund's strong performance over time. The Board also took into acco unt management's discussion of the Fund's recent performance and the factors that contributed to such underperformance. Based upon its review, the Board concluded that the Fund's overall performance was satisfactory.
In considering the Fund's fees and expenses, the Board compared the Fund's fees and total expense ratio with various comparative data for the funds in its peer group. Among other findings, the data indicated that the Fund's advisory fee was below the median of its peer group and that total expenses were above the median of its peer group. Based upon its review, the Board determined that the advisory fee was reasonable in view of the quality of services provided by the Advisor and the other factors considered.
The Board reviewed the Advisor's profitability on a fund-by-fund basis. In reviewing the overall profitability of the advisory fee to the Fund's Advisor, the Board also considered the fact that affiliates of the Advisor provided shareholder servicing and administrative services to the Fund for which they received compensation. The information considered by the Board included Calvert's operating profit margin information both before and after tax expenses with respect to the services that the Advisor and its affiliates provided to the Calvert Group of Funds complex. The Board reviewed the profitability of the Advisor's relationship with the Fund in terms of the total amount of annual advisory fees it received with respect to the Fund and whether the Advisor had the financial wherewithal to continue to provide a high level of services to the Fund. The Board noted that the Advisor had reimbursed expenses of the Fund. The Board also noted the Advisor's current undertaking to maintain expense limitations for the Fund's Class I, Class R and Class Y shares. The Board also considered that the Advisor derived benefits to its reputation and other indirect benefits from its relationship with the Fund. Based upon its review, the Board concluded that the Advisor's level of profitability from its relationship with the Fund was reasonable.
The Board considered the effect of the Fund's current size and potential growth on its performance and fees. The Board took into account that the Fund's advisory fee schedule contained breakpoints that would reduce the advisory fee rate on assets above specified levels as the Fund's assets increased. The Board noted that the Fund was currently realizing economies of scale in its advisory fee. The Board also noted that if the Fund's assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
In reapproving the Investment Advisory Agreement, the Board, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
Conclusions
The Board reached the following conclusions regarding the Investment Advisory Agreement, among others: (a) the Advisor has demonstrated that it possessed the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) the Advisor maintains appropriate compliance programs; (c) overall performance of the Fund is satisfactory relative to the performance of funds with similar investment objectives and to relevant indices; (d) the Advisor is likely to execute its investment strategies consistently over time; and (e) the Fund's advisory fee is reasonable relative to those of similar funds and to the services to be provided by the Advisor. Based on its conclusions, the Board determined that reapproval of the Investment Advisory Agreement would be in the best interests of the Fund and its shareholders.
Calvert Income Fund
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Calvert Group
c/o BFDS
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Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
Tax-Exempt Money Market Funds
CTFR Money Market Portfolio
Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
CTFR Vermont Municipal Portfolio
National Muni. Intermediate Fund
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Income Fund
Government Fund
High-Yield Bond Fund
Short-Term Government Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Calvert Large Cap Value Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Calvert Social Index Fund
Calvert Small Cap Value Fund
Calvert Mid Cap Value Fund
Calvert Global Alternative Energy Fund
Calvert International Opportunities Fund
Calvert Global Water Fund
Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
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March 31, 2009
Semi-Annual Report
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Table of Contents
President's Letter
1
Portfolio Management Discussion
4
Shareholder Expense Example
8
Schedule of Investments
10
Statement of Assets and Liabilities
21
Statement of Operations
22
Statements of Changes in Net Assets
23
Notes to Financial Statements
25
Financial Highlights
31
Explanation of Financial Tables
35
Proxy Voting and Availability of Quarterly Portfolio Holdings
37
Basis for Board's Approval of Investment Advisory Contract
37
Dear Shareholder:
The six months ended March 31, 2009 was a period of extraordinary turmoil and challenge in the financial markets. The financial system moved from the brink of collapse at the end of 2008 to showing some signs of stabilization in 2009. In an unprecedented fashion, virtually all major asset classes plummeted during September and October 2008 following the failure of brokerage firm Lehman Brothers. It was an extremely difficult period for all investors, particularly those whose portfolios were not shielded by the traditionally more stable fixed-income asset class. While many bond funds posted losses, they were generally not as dramatic as the declines in equity portfolios.
Facing an uncertain business and credit environment, and a faltering global economy, investors fled to the perceived safety of Treasuries and money market funds despite their low yields. By year-end, the yields of corporate bonds stood at historically high levels compared to the yields of Treasuries with similar maturities. The Barclays Capital U.S. Credit Index ended the year with a yield spread over comparable Treasuries of 515 basis points (a basis point is 0.01 percentage points), compared to a 10-year monthly average of approximately 150 basis points. In early 2009, however, the credit markets started to thaw as investors snapped up new corporate bond issues. By March, investors' enthusiasm for corporate debt had moderated.
Against this volatile backdrop, Calvert's fixed-income funds were not immune to the credit market turmoil. However, intensive credit-quality research and relative-value analysis did help us moderate, to some extent, the declines in the fixed-income portfolios that we manage.
Relief for Markets Under Pressure
Fortunately, in our view, government intervention to shore up the financial system and reinvigorate the economy has begun to take hold. The Federal Reserve and Treasury are doing all they can to get credit flowing freely through the system again, as are policy makers around the globe. The Treasury's new Public-Private Investment Partnership, announced in March, is designed to remove toxic assets from bank balance sheets and encourage lending to businesses and consumers, which is essential for market recovery.
With concerted action on the home front, and the type of global cooperation signified at the G20 meeting, we believe investor confidence will be restored and our financial systems will recover--slowly, and with new financial oversight, transparency, and regulations in place. As the markets grow more convinced that the global recovery has legs, we expect to see greater investor demand for assets offering higher yield and total return potential.
Confidence in Calvert Funds
As we move through the recession, with the potential for default rates still high, credit research and security selection will continue to be of paramount importance. In this challenging environment, Calvert will bring our 30 years of fixed-income experience to bear. Our taxable fixed-income portfolio management team, led by Senior Vice President Greg Habeeb, will continue to follow its time-tested strategy that seeks to optimize duration, yield curve positioning, sector allocation, and credit quality analysis in selecting securities for our portfolios. (Duration measures a portfolio's sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in price for a given shift in interest rates.)
In December 2008, Calvert became investment advisor to Calvert High Yield Bond Fund and Calvert Short-Term Government Fund, which are portfolios formerly managed by Summit Investment Partners. In addition, on December 31, 2008, we launched Calvert Government Fund. We look forward to managing these Funds, which will give Calvert investors more ways to diversify their bond fund allocations.
Recently, Calvert Long-Term Income Fund (Class A shares) was among the winners of the 2009 Lipper award, marking its second consecutive year of winning the award. The award is given to the Fund with the highest score for consistent returns relative to its peers. Calvert Long-Term Income Fund was ranked first among 116 funds in the corporate debt BBB rated category as of December 31, 2008, based on its three-year risk-adjusted returns.1
Winning the Lipper award once again validates our investment team's active management strategy that relies on rigorous analysis and independent thinking--an approach we use across all our fixed-income funds.
Consult with Your Financial Advisor
If you're concerned about how to navigate the current market environment, talk with your financial advisor about whether your allocation to bonds is appropriate and well-diversified, given your goals, time horizon, and risk attitudes.
We also encourage you to visit our newly enhanced website, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals. We are committed to continuing our efforts to identify opportunities that emerge in the fixed-income markets while we seek to meet our investors' long-term goals for stability and income. As always, we appreciate your business and hope to continue to serve you in the months and years to come.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
April 2009
1. Lipper Fund Awards are granted annually to the funds in each Lipper classification that achieve the highest score for Consistent Return, a measure of funds' historical risk-adjusted returns. The scores are subject to change every month and are calculated for the following periods: three-year, five-year, 10-year, and overall. The highest 20% of funds in each classification are named Lipper Leaders for Consistent Return. The highest Lipper Leader for Consistent Return value within each eligible classification determines the fund classification winner over three, five, or 10 years. Lipper Fund Awards are not intended to predict future results, and Lipper does not guarantee the accuracy of this information. Source: Lipper, Inc.
Past performance is no guarantee of future results. Please keep in mind investment in mutual funds involves risk, including possible loss of principal invested.
For more complete information on any Calvert Fund, call your advisor or visit our website for a prospectus. An investor should consider the investment objectives, risks, charges and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager of Calvert Asset Management Company
Performance
For the six months ended March 31, 2009, Calvert Short Duration Income Fund Class A shares (at NAV) returned 0.44% versus 3.13% for the benchmark Barclays Capital 1-5 Year U.S. Credit Index. A shorter duration than the Index hurt the Fund's relative performance as did exposures to several corporate bonds that were significantly marked down over the period. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest rate movements.)
Investment Climate
The period can be broken down into two distinct halves. From October through December, a widespread panic that major global financial firms would fall like dominoes in the aftermath of the Lehman Brothers collapse roiled the credit markets.
Portfolio Statistics
March 31, 2009
Investment Performance
(total return at NAV*)
| 6 Months
ended
3/31/09 | 12 Months
ended
3/31/09 |
Class A | 0.44% | -0.05% |
Class C | 0.02% | -0.78% |
Class I | 0.58% | 0.27% |
Class Y** | 0.46% | 0.19% |
Barclays Capital 1-5 Year U.S. Credit Index** | 3.13% | -1.68% |
Lipper Short Investment Grade Debt Funds Avg. | -2.32% | -4.99% |
| | | |
Maturity Schedule | | |
| | Weighted Average |
| | 3/31/09 | 9/30/08 |
| | 4 years | 4 years |
| | | |
SEC Yields | | |
| | 30 days ended |
| | 3/31/09 | 9/30/08 |
Class A | 3.97% | 3.78% |
Class C | 3.30% | 3.07% |
Class I | 4.42% | 4.23% |
Class Y | 4.28% | 4.04% |
* Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 2.75% front-end sales charge or any deferred sales charge.
** Source: Lipper Analytical Services, Inc.
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
(with max. load)
| | Class A Shares |
One year | -2.77% |
Five year | 2.80% |
Since inception | 4.95% |
(1/31/02) | |
| | Class C Shares |
One year | -1.78% |
Five year | 2.53% |
Since inception | 3.63% |
(10/1/02) | |
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
| | Class I Shares* |
One year | 0.27% |
Five year | 3.74% |
Since inception | 5.42% |
(2/26/02) | |
| | Class Y Shares** |
One year | 0.19% |
Five year | 3.41% |
Since inception | 5.39% |
(1/31/02) | |
*Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the period November 7, 2005 through April 21, 2006.
** The Calvert Short Duration Income Fund first offered Class Y shares beginning on February 29, 2008. Performance prior to February 29, 2008 reflects the performance of Class A shares at net asset value (NAV). Actual Class Y share performance would have been different.
Past performance does not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance does not predict future results.
The markets for long-term credit froze and short-term money markets seized up until a variety of government programs helped calm the market before year-end. The difference in yields between bonds of high and low credit quality soared to record highs as liquidity evaporated from the markets.
The impact of the then 18-month-old crisis in the credit markets on the overall U.S. economy worsened. In the fourth quarter of 2008, economic growth, as measured by gross domestic product (GDP), declined at a 6.3% annual pace1--the worst quarterly performance since 1982. Concerns spread about a protracted recession. In December, the Fed cut the federal funds rate, its target interest rate, to near zero percent and aggressively sought to push down mortgage rates by buying mortgage-backed securities.
In the first quarter of 2009, most sectors of the credit markets thawed at least a bit and the window for new issues of investment-grade corporate bonds opened wide. The government also undertook a number of new initiatives to get the credit taps flowing to consumers again. On the other hand, two major U.S. automakers moved toward bankruptcy and several "rescued" organizations needed more government capital. Still, a relaxation of accounting rules and concrete signs of global cooperation at the G20 meeting cheered equity and credit markets at quarter-end.
During the reporting period, the yield on the benchmark 10-year Treasury note fell more than one percentage point to 2.71%. The rush to safety caused Treasury bill yields to plunge to the lowest levels since World War II, with the three-month T-bill yield falling to 0.21%.2 Headline inflation slid to a 0.2% pace for February 2009 while core inflation was 1.8%.3 GDP was expected to shrink at a 4.6% pace during the first quarter of 2009.4
Portfolio Strategy
The Fund was managed throughout the period with a short duration relative to the passive benchmark, which hurt performance in a period when interest rates fell significantly. While the Fund maintained an underweight to corporate securities, which in general was a poor-performing sector, exposure to several particular corporate securities and industry sectors hurt returns.
In particular, the Portfolio's return was weighed down by an allocation of less than 1% to bonds issued by two banks that were nationalized by the Icelandic government in early October. The valuations fell to almost zero in the fourth quarter of 2008 before rebounding slightly in early 2009. Price markdowns on many corporate bonds, including Tier 1 Capital notes (which are issued by banks to meet regulatory capital requirements), also negatively impacted the Fund's returns.
On the other hand, active trading of U.S. Treasury securities helped offset some of the negative impact of the credit markdowns and short relative duration.
Outlook
We expect the credit markets to continue to recover but do not expect a return to the heady times of a few years ago. Since financial institutions must rebuild capital, they are not inclined to flood their balance sheets with new loans. Continued government intervention in the credit markets will remain a signature of this financial crisis.
Economic Sectors | % of total
investments |
Asset Backed Securities | 11.7% |
Basic Materials | 2.5% |
Communications | 1.9% |
Consumer, Cyclical | 1.4% |
Consumer, Non-cyclical | 2.8% |
Diversified | 1.1% |
Energy | 4.8% |
Financial | 26.3% |
Government | 38.2% |
Industrial | 3.1% |
Mortgage Securities | 3.1% |
Technology | 0.4% |
Utilities | 2.7% |
| | 100% |
Overall, we expect the economy will contract for 2009, with the worst quarters in the first half of 2009. We also believe the federal funds rate will remain near zero percent. The good news for investors is that we do not expect a protracted period of consumer price deflation as seen earlier this decade in Japan.
April 2009
1. GDP data source: Commerce Department.
2. All interest rate data source: Federal Reserve.
3. Source: Bureau of Labor Statistics consumer price indexes for February 2009.
4. Source: Wall Street Journal Economic Forecasting Survey, March 2009.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges and redemption fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2008 to March 31, 2009).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
10/1/08 | Ending Account
Value
3/31/09 | Expenses Paid
During Period*
10/1/08 - 3/31/09 |
Class A | | | |
Actual | $1,000.00 | $1,003.70 | $5.40 |
Hypothetical | $1,000.00 | $1,019.55 | $5.44 |
(5% return per year before expenses) |
Class C | | | |
Actual | $1,000.00 | $1,000.20 | $9.28 |
Hypothetical | $1,000.00 | $1,015.65 | $9.36 |
(5% return per year before expenses) |
Class I | | | |
Actual | $1,000.00 | $1,005.80 | $3.75 |
Hypothetical | $1,000.00 | $1,021.19 | $3.78 |
(5% return per year before expenses) |
Class Y | | | |
Actual | $1,000.00 | $1,004.60 | $4.33 |
Hypothetical | $1,000.00 | $1,020.61 | $4.36 |
(5% return per year before expenses) |
* Expenses are equal to the Fund's annualized expense ratio of 1.08%, 1.86%, 0.75%, and 0.87% for Class A, Class C, Class I, and Class Y, respectively, multiplied by the average account value over the period, multiplied by 182/365.
Schedule of Investments
March 31, 2009
| | Principal | |
Asset Backed Securities - 10.7% | Amount | Value |
ACLC Business Loan Receivables Trust, 1.206%, 10/15/21 (e)(r) | $175,123 | $167,677 |
AmeriCredit Automobile Receivables Trust: | | |
4.87%, 12/6/10 | 911,773 | 905,663 |
5.20%, 3/6/11 | 163,075 | 160,771 |
3.43%, 7/6/11 | 833,201 | 809,892 |
5.56%, 9/6/11 | 475,451 | 468,366 |
5.21%, 10/6/11 | 3,071,014 | 2,917,064 |
0.598%, 5/6/12 (r) | 1,486,814 | 1,362,705 |
4.63%, 6/6/12 | 3,592,977 | 3,397,303 |
1.168%, 7/6/12 (r) | 1,925,106 | 1,806,229 |
5.02%, 11/6/12 | 6,000,000 | 5,318,415 |
Americredit Prime Automobile Receivable, 5.27%, 11/8/11 | 4,259,198 | 4,189,658 |
Banc of America Securities Auto Trust, 5.18%, 6/18/10 | 3,716,145 | 3,727,000 |
Capital Auto Receivables Asset Trust: | | |
5.04%, 5/17/10 | 6,220,358 | 6,236,189 |
0.616%, 7/15/10 (r) | 7,999,559 | 7,679,358 |
0.656%, 2/15/11 (r) | 10,370,000 | 9,300,934 |
5.00%, 4/15/11 | 1,068,759 | 1,070,059 |
4.98%, 5/15/11 | 3,190,923 | 3,194,507 |
1.256%, 11/15/11 (r) | 9,055,000 | 8,483,150 |
Capital One Auto Finance Trust, 0.596%, 10/15/12 (r) | 4,070,070 | 3,715,366 |
Captec Franchise Trust, 8.155%, 6/15/13 (e) | 1,250,000 | 1,033,054 |
Carmax Auto Owner Trust, 1.256%, 4/15/11 (r) | 4,791,125 | 4,721,832 |
Countrywide Asset-Backed Certificates, 0.972%, 11/25/34 (r) | 144,839 | 98,386 |
Daimler Chrysler Auto Trust: | | |
4.20%, 7/8/10 | 2,040,732 | 2,038,222 |
5.01%, 1/8/11 | 10,700,000 | 10,719,337 |
4.98%, 2/8/11 | 4,409,968 | 4,424,828 |
4.42%, 10/8/11 | 3,498,000 | 3,457,372 |
4.98%, 11/8/11 | 5,950,000 | 5,879,213 |
1.213%, 2/8/12 (r) | 500,000 | 477,865 |
DB Master Finance LLC, 5.779%, 6/20/31 (e) | 4,000,000 | 2,911,080 |
First Investors Auto Owner Trust, 4.93%, 2/15/11 (e) | 38,421 | 37,487 |
FMAC Loan Receivables Trust: | | |
Zero Coupon, 11/15/18 (e)(r) | 10,669,244 | 146,702 |
1.543%, 4/15/19 (e)(r) | 15,851,751 | 505,275 |
Ford Credit Auto Owner Trust: | | |
1.156%, 7/15/10 (r) | 1,835,205 | 1,812,303 |
5.26%, 10/15/10 | 1,801,057 | 1,807,088 |
5.16%, 11/15/10 | 9,201,602 | 9,243,837 |
5.07%, 12/15/10 | 2,969,891 | 2,966,465 |
1.456%, 1/15/11 (r) | 843,743 | 829,542 |
GE Dealer Floorplan Master Note Trust, 0.555%, 4/20/11 (r) | 8,500,000 | 8,460,632 |
GS Auto Loan Trust: | | |
5.39%, 12/15/11 | 10,117,327 | 10,274,013 |
4.56%, 11/15/13 | 1,786,985 | 1,786,378 |
| | | |
| | Principal | |
Asset Backed Securities - Cont'd | Amount | Value |
Harley-Davidson Motorcycle Trust, 1.456%, 11/15/11 (r) | $1,262,231 | $1,236,966 |
Household Automotive Trust: | | |
5.61%, 8/17/11 | 1,998,060 | 1,987,763 |
5.28%, 9/17/11 | 2,030,437 | 2,022,353 |
4.35%, 6/18/12 | 2,236,345 | 2,162,162 |
4.94%, 11/19/12 | 2,162,000 | 2,123,543 |
Hyundai Auto Receivables Trust, 4.18%, 2/15/12 | 3,127,292 | 3,141,003 |
Triad Auto Receivables Owner Trust: | | |
4.77%, 1/12/11 | 610,033 | 608,663 |
5.35%, 3/14/11 | 82,232 | 82,043 |
5.28%, 2/13/12 | 1,375,000 | 1,354,538 |
4.22%, 6/12/12 (b) | 1,863,506 | 1,798,283 |
4.88%, 4/12/13 | 3,315,000 | 3,120,816 |
Wachovia Auto Loan Owner Trust, 5.10%, 7/20/11 (e) | 194,124 | 194,410 |
Wachovia Auto Owner Trust, 5.38%, 3/20/13 | 3,335,000 | 3,155,639 |
WFS Financial Owner Trust: | | |
4.57%, 11/19/12 | 213,496 | 212,527 |
4.39%, 5/17/13 | 242,582 | 242,043 |
Whole Auto Loan Trust, 3.26%, 3/15/11 | 176,047 | 160,197 |
| | | |
Total Asset-Backed Securities (Cost $161,904,575) | | 162,144,166 |
| | | |
Collateralized Mortgage-Backed | | |
Obligations (Privately Originated) - 1.7% | | |
American Home Mortgage Assets, 4.387%, 5/25/46 (r) | 6,613,284 | 148,799 |
Banc of America Mortgage Securities, Inc., 6.25%, 10/25/36 | 2,779,261 | 305,719 |
Bella Vista Mortgage Trust, 0.795%, 5/20/45 (r) | 24,877 | 9,627 |
Chase Funding Mortgage Loan, 4.045%, 5/25/33 (r) | 1,679,721 | 1,670,895 |
CS First Boston Mortgage Securities Corp., 5.049%, 12/25/33 (r) | 2,938,310 | 2,277,399 |
Impac CMB Trust: | | |
1.162%, 9/25/34 (r) | 88,497 | 39,426 |
1.262%, 11/25/34 (r) | 64,603 | 32,985 |
0.782%, 4/25/35 (r) | 799,716 | 301,831 |
0.832%, 4/25/35 (r) | 273,875 | 50,550 |
0.792%, 5/25/35 (r) | 3,613,085 | 1,486,505 |
0.842%, 8/25/35 (r) | 608,557 | 226,276 |
MASTR Adjustable Rate Mortgages Trust, 0.902%, 11/25/34 (r) | 7,367 | 4,332 |
MASTR Alternative Loans Trust, 6.25%, 7/25/36 | 5,220,725 | 2,362,452 |
Residential Accredit Loans, Inc.: | | |
0.223%, 5/25/19 (r) | 69,222,283 | 414,517 |
6.00%, 12/25/35 | 4,721,307 | 3,265,884 |
Residential Asset Securitization Trust, 6.25%, 11/25/36 | 2,079,421 | 1,181,601 |
Structured Asset Securities Corp., 5.00%, 6/25/35 | 11,499,536 | 10,106,272 |
WaMu Mortgage Pass Through Certificates, 3.033%, 4/25/44 (r) | 14,048 | 7,958 |
Washington Mutual Alternative Mortgage Pass-Through | | |
Certificates, 1.085%, 7/25/46 | 146,211,932 | 731,060 |
Wells Fargo Mortgage Backed Securities Trust, 0.193%, 10/25/36 | 64,283,819 | 321,419 |
| | | |
Total Collateralized Mortgage-Backed Obligations | | |
(Privately Originated) (Cost $31,049,967) | | 24,945,507 |
| | | |
| | Principal | |
Commercial Mortgage-Backed Securities - 1.6% | Amount | Value |
Banc of America Commercial Mortgage, Inc., 5.449%, 1/15/49 | $3,000,000 | $2,144,411 |
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.205%, | | |
12/11/49 | 7,245,000 | 5,809,008 |
Cobalt CMBS Commercial Mortgage Trust, 5.74%, 8/15/12 (r) | 4,000,000 | 3,264,102 |
Crown Castle Towers LLC: | | |
4.643%, 6/15/35 (e) | 4,000,000 | 3,760,522 |
5.245%, 11/15/36 (e) | 2,000,000 | 1,811,171 |
5.362%, 11/15/36 (e) | 1,000,000 | 929,740 |
Enterprise Mortgage Acceptance Co. LLC: | | |
0.714%, 1/15/25 (e)(r) | 29,787,842 | 558,522 |
6.958%, 1/15/27 (e)(r) | 9,657,248 | 4,403,102 |
Global Signal Trust III, 5.361%, 2/15/36 (e) | 1,175,000 | 1,135,642 |
| | | |
Total Commercial Mortgage-Backed Securities (Cost $26,980,485) | 23,816,220 | |
| | | |
Corporate Bonds - 43.6% | | |
AgFirst Farm Credit Bank: | | |
8.393% to 12/15/11, floating rate thereafter to 12/15/16 (r) | 4,945,000 | 3,555,114 |
6.585% to 6/15/12, floating rate thereafter to 6/29/49 (e)(r) | 5,000,000 | 3,000,725 |
7.30%, 10/14/49 (b)(e) | 1,000,000 | 835,310 |
Alliance Mortgage Investments: | | |
12.61%, 6/1/10 (b)(r)(x)* | 385,345 | - |
15.34%, 12/1/10 (b)(r)(x)* | 259,801 | - |
AMB Property LP, 5.45%, 12/1/10 | 3,000,000 | 2,368,602 |
American Express Centurion Bank, 0.637%, 7/13/10 (r) | 1,840,000 | 1,692,257 |
American Express Credit Corp., 0.578%, 4/6/09 (r) | 3,060,000 | 3,058,872 |
Anadarko Petroleum Corp., 7.625%, 3/15/14 | 20,000,000 | 19,857,301 |
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 (e) | 2,000,000 | 2,029,568 |
APL Ltd., 8.00%, 1/15/24 | 150,000 | 118,875 |
ArcelorMittal USA, Inc., 6.50%, 4/15/14 | 11,525,000 | 9,143,934 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)* | 350,000 | 3,500 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) | 227,000 | 218,710 |
BAC Capital Trust XV, 2.061%, 6/1/56 (r) | 37,705,000 | 9,355,108 |
BAE Systems Asset Trust, 6.664%, 9/15/13 (b)(e) | 14,352,418 | 12,917,176 |
Bank of America Corp., 1.474%, 4/30/12 (r) | 18,470,000 | 18,552,764 |
Bear Stearns Co's, Inc.: | | |
1.554%, 9/9/09 (r) | 4,000,000 | 3,978,774 |
1.341%, 2/23/10 (r) | 3,425,000 | 3,384,400 |
Berkshire Hathaway Finance Corp., 4.00%, 4/15/12 (e) | 15,000,000 | 15,020,056 |
BHP Billiton Finance USA Ltd., 5.50%, 4/1/14 | 2,000,000 | 2,015,063 |
BP Capital Markets plc, 2.316%, 3/17/11 (r) | 4,900,000 | 4,882,336 |
C8 Capital SPV Ltd., 6.64% to 12/31/14, floating rate thereafter | | |
to 12/31/49 (e)(r) | 2,000,000 | 630,000 |
CAM US Finance SA Sociedad Unipersonal, 1.32%, 2/1/10 (e)(r) | 1,000,000 | 968,982 |
Capital One Financial Corp., 1.573%, 9/10/09 (r) | 160,000 | 155,954 |
Cardinal Health, Inc., 1.705%, 10/2/09 (r) | 1,000,000 | 984,802 |
Cargill, Inc.: | | |
2.383%, 1/21/11 (e)(r) | 10,000,000 | 9,974,990 |
5.60%, 9/15/12 (e) | 3,000,000 | 2,963,161 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
Caterpillar Financial Services Corp.: | | |
1.448%, 10/9/09 (r) | $1,250,000 | $1,233,868 |
1.691%, 2/8/10 (r) | 4,950,000 | 4,853,934 |
1.736%, 8/6/10 (r) | 6,000,000 | 5,779,523 |
6.20%, 9/30/13 | 10,000,000 | 9,928,409 |
Chase Capital VI, 1.795%, 8/1/28 (r) | 1,500,000 | 611,443 |
Chesapeake Energy Corp., 6.25%, 1/15/18 | 2,000,000 | 1,565,000 |
Citigroup Funding, Inc.: | | |
0.523%, 4/23/09 (r) | 3,750,000 | 3,739,142 |
1.226%, 6/26/09 (r) | 5,000,000 | 4,913,594 |
1.514%, 4/30/12 (r) | 15,000,000 | 15,089,790 |
Citigroup, Inc.: | | |
1.424%, 6/9/09 (r) | 110,000 | 108,375 |
1.262%, 12/28/09 (r) | 4,750,000 | 4,309,324 |
1.336%, 5/18/11 (r) | 2,900,000 | 2,341,730 |
Columbia University, 6.83%, 12/15/20 | 387,097 | 447,101 |
Comcast Corp., 1.46%, 7/14/09 (r) | 11,170,000 | 11,116,490 |
Compass Bancshares, Inc., 1.998%, 10/9/09 (e)(r) | 3,000,000 | 2,991,980 |
Consolidated Edison Company of New York, Inc., 5.55%, 4/1/14 | 6,930,000 | 7,070,188 |
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter | | |
to 5/29/49 (b)(e)(r) | 1,000,000 | 330,000 |
CVS Caremark Corp., 6.302% to 6/1/12, floating rate thereafter | | |
to 6/1/37 (r) | 2,000,000 | 1,200,000 |
Delhaize Group, 5.875%, 2/1/14 | 1,000,000 | 998,221 |
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) | 1,000,000 | 971,945 |
Discover Financial Services, 1.861%, 6/11/10 (r) | 6,756,000 | 5,835,867 |
Dominion Resources, Inc.: | | |
2.366%, 6/17/10 (r) | 10,000,000 | 9,830,703 |
8.875%, 1/15/19 | 2,500,000 | 2,830,669 |
6.30% to 9/30/11, floating rate thereafter to 9/30/66 (r) | 4,000,000 | 2,289,540 |
Enterprise Products Operating: | | |
LLC, 9.75%, 1/31/14 | 7,500,000 | 8,138,633 |
LP, 7.034% to 1/15/18, floating rate thereafter to 1/15/68 (r) | 1,500,000 | 937,500 |
Fifth Third Bank, 2.87%, 8/10/09 | 54,540 | 52,748 |
FMG Finance Pty Ltd.: | | |
5.261%, 9/1/11 (e)(r) | 10,600,000 | 9,010,000 |
10.00%, 9/1/13 (e) | 10,444,000 | 8,877,400 |
Ford Motor Co., 7.125%, 11/15/25 | 2,300,000 | 667,000 |
General Electric Capital Corp., 1.584%, 6/8/12 (r) | 4,830,000 | 4,845,128 |
General Motors Corp., 8.25%, 7/15/23 (b) | 3,516,000 | 413,130 |
Giants Stadium LLC: | | |
0.612%, 4/1/47 (b)(e)(r) | 14,000,000 | 14,000,000 |
0.62%, 4/1/47 (b)(e)(r) | 9,200,000 | 9,200,000 |
Glitnir Banki HF: | | |
2.95%, 10/15/08 (b)(v)(y) | 10,440,000 | 1,252,800 |
3.046%, 4/20/10 (b)(e)(r)(w)(y) | 10,830,000 | 1,299,600 |
4.75%, 10/15/10 (b)(e) | 1,000,000 | 120,000 |
3.226%, 1/21/11 (b)(e)(r)(w)(y) | 1,000,000 | 120,000 |
Zero Coupon, 7/28/11 (b)(e) | 180,000 | 21,600 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
Goldman Sachs Group, Inc.: | | |
1.318%, 11/16/09 (r) | $12,000,000 | $11,694,419 |
1.491%, 11/9/11 (r) | 12,470,000 | 12,508,582 |
1.516%, 3/15/12 (r) | 4,620,000 | 4,630,377 |
1.832%, 9/29/14 (r) | 1,500,000 | 1,092,143 |
Great River Energy, 5.829%, 7/1/17 (e) | 9,603,673 | 9,911,086 |
Hewlett-Packard Co., 3.00%, 2/24/11 (r) | 5,000,000 | 5,037,777 |
Home Depot, Inc., 1.445%, 12/16/09 (r) | 17,035,000 | 16,696,588 |
HRPT Properties Trust, 1.92%, 3/16/11 (r) | 9,911,000 | 7,468,165 |
Illinois Tool Works, Inc., 5.15%, 4/1/14 (e) | 10,000,000 | 10,066,196 |
Independence Community Bank Corp.: | | |
3.348%, 6/20/13 (r) | 2,350,000 | 1,769,292 |
3.75% to 4/1/09, floating rate thereafter to 4/1/14 (r) | 4,500,000 | 3,268,935 |
Ingersoll-Rand Global Holding Co. Ltd.: | | |
2.731%, 8/13/10 (r) | 10,000,000 | 9,288,284 |
9.50%, 4/15/14 | 750,000 | 749,940 |
Irwin Land LLC, 4.51%, 12/15/15 (e) | 1,265,000 | 1,170,226 |
John Deere Capital Corp.: | | |
1.70%, 2/26/10 (r) | 3,000,000 | 2,942,546 |
1.843%, 1/18/11 (r) | 10,000,000 | 9,579,330 |
2.043%, 6/10/11 (r) | 4,700,000 | 4,473,274 |
JPMorgan Chase & Co.: | | |
7.00%, 11/15/09 | 5,000,000 | 5,102,001 |
1.623%, 1/22/10 (r) | 10,000,000 | 9,886,297 |
1.362%, 4/1/11 (r) | 9,115,000 | 9,106,341 |
1.55%, 6/15/12 (r) | 4,370,000 | 4,381,895 |
JPMorgan Chase Capital XXIII, 2.238%, 5/15/47 (r) | 2,500,000 | 972,949 |
Kaupthing Bank HF, 5.75%, 10/4/11 (b)(e)(y) | 7,000,000 | 455,000 |
Koninklijke Philips Electronics NV, 2.463%, 3/11/11 (r) | 5,000,000 | 4,781,842 |
Leucadia National Corp.: | | |
7.00%, 8/15/13 | 4,490,000 | 3,423,625 |
8.125%, 9/15/15 | 1,000,000 | 788,337 |
7.125%, 3/15/17 | 1,000,000 | 666,165 |
LL & P Wind Energy, Inc. Washington Revenue Bonds: | | |
5.217%, 12/1/12 (e) | 3,385,000 | 3,324,849 |
5.733%, 12/1/17 (e) | 2,000,000 | 1,863,000 |
Lumbermens Mutual Casualty Co., 8.30%, 12/1/37 (e)(m)* | 300,000 | 3,000 |
M&I Marshall & Ilsley Bank, 1.536%, 12/4/12 (r) | 1,000,000 | 747,261 |
Marathon Oil Corp., 6.50%, 2/15/14 | 1,000,000 | 1,022,941 |
Medco Health Solutions, Inc., 6.125%, 3/15/13 | 3,000,000 | 2,971,666 |
Merrill Lynch & Co., Inc., 1.454%, 2/5/10 (r) | 291,000 | 274,717 |
MetLife, Inc., 1.542%, 6/29/12 (r) | 11,180,000 | 11,188,069 |
Morgan Stanley, 1.521%, 2/10/12 (r) | 3,000,000 | 2,988,238 |
Nationwide Health Properties, Inc.: | | |
6.50%, 7/15/11 | 4,000,000 | 3,527,697 |
6.59%, 7/7/38 | 1,300,000 | 1,078,143 |
Noble Group Ltd.: | | |
8.50%, 5/30/13 (e) | 4,800,000 | 3,768,000 |
6.625%, 3/17/15 (e) | 11,933,000 | 7,756,450 |
OPTI Canada, Inc.: | | |
7.875%, 12/15/14 | 1,250,000 | 543,750 |
8.25%, 12/15/14 | 750,000 | 329,063 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
Orkney Re II plc, Series B, 6.096%, 12/21/35 (b)(e)(r)(z) | $1,400,000 | $251,216 |
Pacific Pilot Funding Ltd., 1.893%, 10/20/16 (e)(r) | 476,836 | 467,362 |
Pepco Holdings, Inc., 1.886%, 6/1/10 (r) | 4,730,000 | 4,412,675 |
Pfizer, Inc., 3.249%, 3/15/11 (r) | 12,000,000 | 12,243,120 |
Pioneer Natural Resources Co.: | | |
5.875%, 7/15/16 | 3,000,000 | 2,232,532 |
6.65%, 3/15/17 | 2,000,000 | 1,548,224 |
PNC Funding Corp., 1.42%, 4/1/12 (r) | 6,970,000 | 6,959,517 |
PPF Funding, Inc., 5.35%, 4/15/12 (e) | 2,000,000 | 1,574,415 |
Preferred Term Securities IX Ltd., 2.216%, 4/3/33 (e)(r) | 748,642 | 338,386 |
ProLogis, 1.496%, 8/24/09 (r) | 9,215,000 | 8,629,027 |
Reed Elsevier Capital, Inc., 1.65%, 6/15/10 (r) | 2,500,000 | 2,456,882 |
Rockies Express Pipeline LLC, 6.25%, 7/15/13 (e) | 5,000,000 | 5,028,138 |
Roper Industries, Inc., 6.625%, 8/15/13 | 5,000,000 | 5,051,579 |
Rouse Co., 8.00%, 4/30/09 | 1,000,000 | 285,000 |
Royal Bank of Scotland Group plc, 7.64% to 9/29/17, floating | | |
rate thereafter to 3/31/49 (r) | 9,000,000 | 2,025,000 |
SABMiller plc, 1.735%, 7/1/09 (e)(r) | 175,000 | 173,299 |
Shell International Finance BV, 4.00%, 3/21/14 | 22,500,000 | 22,787,573 |
Skyway Concession Co. LLC, 1.512%, 6/30/17 (b)(e)(r) | 2,500,000 | 2,022,825 |
SLM Corp., 1.299%, 7/27/09 (r) | 4,915,000 | 4,730,802 |
Southern Union Co., 6.089%, 2/16/10 | 2,000,000 | 1,918,025 |
Sovereign Bank, 2.88%, 8/1/13 (b)(r) | 8,825,000 | 6,697,840 |
State Street Bank and Trust Co., 1.499%, 9/15/11 (r) | 10,000,000 | 10,021,198 |
Susquehanna Bancshares, Inc., 4.75% to 5/1/09, floating rate | | |
thereafter to 5/1/14 (b)(r) | 1,000,000 | 412,591 |
Thomson Reuters Corp., 5.95%, 7/15/13 | 4,930,000 | 4,829,788 |
TIERS Trust, 8.45%, 12/1/17 (b)(e)(n)* | 658,859 | 6,589 |
Time Warner Cable, Inc., 7.50%, 4/1/14 | 5,000,000 | 5,114,580 |
Toll Road Investors Partnership II LP, Zero Coupon, 2/15/45 (b)(e) | 135,806,295 | 17,824,576 |
Union Pacific Corp., 6.91%, 8/27/17 | 1,124,079 | 1,190,593 |
UnitedHealth Group, Inc., 1.407%, 6/21/10 (r) | 8,000,000 | 7,724,792 |
Verizon Communications, Inc., 6.35%, 4/1/19 | 3,000,000 | 2,960,521 |
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate | | |
thereafter to 3/29/49 (r) | 19,739,000 | 7,106,040 |
Wachovia Corp., 1.44%, 3/15/11 (r) | 175,000 | 163,254 |
Wal-Mart Stores, Inc., 8.07%, 12/21/12 | 499,194 | 539,595 |
Wells Fargo & Co., 1.44%, 6/15/12 (r) | 1,830,000 | 1,830,147 |
Weyerhaeuser Co., 2.223%, 9/24/09 (r) | 6,500,000 | 6,325,108 |
Xerox Corp., 2.059%, 12/18/09 (r) | 750,000 | 727,753 |
Xstrata Finance Dubai Ltd., 1.581%, 11/13/09 (e)(r) | 15,880,000 | 15,111,732 |
| | | |
Total Corporate Bonds (Cost $717,909,811) | | 658,029,459 |
| | | |
Taxable Municipal Obligations - 8.2% | | |
Adams-Friendship Area Wisconsin School District GO Bonds, | | |
5.09%, 3/1/10 | 105,000 | 107,238 |
Alameda California Corridor Transportation Authority Revenue | | |
Bonds Zero Coupon: | | |
10/1/09 | 6,000,000 | 5,854,980 |
10/1/11 | 11,000,000 | 9,543,050 |
| | | |
| | Principal | |
Taxable Municipal Obligations - Cont'd | Amount | Value |
Allentown Pennsylvania GO Bonds: | | |
3.41%, 10/1/09 (escrowed to maturity) | $1,895,000 | $1,912,889 |
3.41%, 10/1/09 | 15,000 | 15,067 |
Bayonne New Jersey Municipal Utilities Authority Revenue Bonds, | | |
3.70%, 4/1/10 | 365,000 | 355,452 |
Bethlehem Pennsylvania GO Bonds, 4.10%, 11/1/09 | 675,000 | 670,450 |
Boynton Beach Florida Community Redevelopment Agency Tax | | |
Allocation Revenue Bonds, 5.10%, 10/1/15 | 615,000 | 618,616 |
Bridgeview Illinois GO Bonds, 4.62%, 12/1/11 | 490,000 | 495,018 |
Burlingame California PO Revenue Bonds, 5.255%, 6/1/11 | 1,000,000 | 1,016,350 |
Butler Pennsylvania Redevelopment Authority Tax Increment | | |
Revenue Bonds, 5.25%, 12/1/13 | 680,000 | 677,960 |
California State Industry Sales Tax Revenue Bonds, 5.00%, 1/1/12 | 2,900,000 | 2,879,961 |
California State M-S-R Public Power Agency Revenue Bonds, | | |
3.45%, 7/1/09 | 3,460,000 | 3,457,301 |
California Statewide Communities Development Authority | | |
Revenue Bonds: | | |
5.41%, 8/1/09 | 1,755,000 | 1,766,039 |
Zero Coupon, 6/1/10 | 2,820,000 | 2,674,178 |
Zero Coupon, 6/1/13 | 3,190,000 | 2,499,397 |
Canyon Texas Regional Water Authority Revenue Bonds, 5.70%, | | |
8/1/12 | 165,000 | 165,502 |
Chicago Illinois GO Bonds, 5.20%, 1/1/10 | 3,600,000 | 3,669,480 |
Chicago Illinois O'Hare International Airport Revenue | | |
Bonds, 5.053%, 1/1/11 | 3,720,000 | 3,746,524 |
Cook County Illinois School District GO Bonds: | | |
No. 089 Maywood, Zero Coupon, 12/1/12 | 380,000 | 312,227 |
No. 170 Chicago Heights, Zero Coupon, 12/1/12 | 2,135,000 | 1,811,611 |
Cook County Illinois School District No 95 Taxable Limited | | |
Refunding School GO Bonds, 5.45%, 12/1/11 | 200,000 | 210,996 |
Corte Madera California COPs, 5.447%, 2/1/16 | 1,285,000 | 1,193,482 |
El Paso Texas GO Bonds: | | |
5.512%, 8/15/09 | 1,245,000 | 1,262,156 |
5.674%, 8/15/12 | 1,000,000 | 1,061,310 |
5.724%, 8/15/13 | 1,000,000 | 1,073,450 |
Escondido California Joint Powers Financing Authority Lease | | |
Revenue Bonds, 5.53%, 9/1/18 | 1,810,000 | 1,733,165 |
Fall Creek Wisconsin School District GO Bonds, 5.91%, | | |
3/1/19 | 605,000 | 618,395 |
Frisco Texas Economic Development Corp. Sales Tax Revenue | | |
Bonds, 5.619%, 2/15/17 | 1,000,000 | 998,410 |
Hillsborough County Florida Port District Revenue Bonds | | |
Zero Coupon: | | |
6/1/11 | 1,230,000 | 1,110,862 |
12/1/11 | 1,230,000 | 1,078,931 |
Illinois State MFH Development Authority Revenue Bonds, | | |
5.662%, 7/1/17 | 1,960,000 | 1,966,566 |
Inglewood California Pension Funding Revenue Bonds: | | |
4.65%, 9/1/09 | 215,000 | 215,060 |
4.74%, 9/1/10 | 225,000 | 224,989 |
Iron County Wisconsin GO Bonds, 5.26%, 3/1/19 | 580,000 | 589,883 |
| | | |
| | Principal | |
Taxable Municipal Obligations - Cont'd | Amount | Value |
La Verne California PO Revenue Bonds: | | |
5.40%, 6/1/09 | $270,000 | $271,029 |
5.45%, 6/1/10 | 340,000 | 346,202 |
5.49%, 6/1/11 | 350,000 | 358,638 |
Los Angeles California Community Redevelopment Agency | | |
Tax Allocation Bonds, 4.22%, 7/1/09 | 805,000 | 806,401 |
Los Angeles County California Pension Revenue Bonds, Zero | | |
Coupon, 6/30/10 | 363,000 | 343,663 |
Maryland State Health & Higher Educational Facilities Authority | | |
Revenue, 5.30%, 7/1/10 | 630,000 | 634,221 |
Michigan State Municipal Bond Authority Revenue Bonds, | | |
5.252%, 6/1/15 | 1,000,000 | 962,770 |
Midpeninsula California Regional Open Space District Financing | | |
Authority Revenue Bonds, 5.15%, 9/1/12 | 2,505,000 | 2,546,683 |
Nashville & Davidson County Tennessee Water & Sewage | | |
Revenue Bonds, 4.74%, 1/1/15 | 1,585,000 | 1,634,769 |
Nevada State Department of Business & Industry Lease Revenue | | |
Bonds, 5.32%, 6/1/17 | 1,140,000 | 1,099,975 |
New York State Dormitory Authority Revenue Bonds, 3.85%, | | |
3/15/11 | 1,850,000 | 1,868,389 |
New York State Urban Development Corp. Revenue Bonds, | | |
4.38%, 12/15/11 | 2,300,000 | 2,355,706 |
Northwest Washington Electric Energy Revenue Bonds, 4.06%, | | |
7/1/09 | 1,000,000 | 1,006,080 |
Northwest Washington Open Access Network Revenue Bonds, | | |
6.39%, 12/1/10 | 935,000 | 979,497 |
Oakland California PO Revenue Bonds, Zero Coupon, 12/15/10 | 2,000,000 | 1,811,900 |
Oakland California Redevelopment Agency Tax Allocation Bonds: | | |
5.268%, 9/1/11 | 2,860,000 | 2,947,974 |
5.252%, 9/1/16 | 2,085,000 | 2,039,943 |
5.263%, 9/1/16 | 2,435,000 | 2,347,949 |
Oakland City California PO Revenue Bonds, Zero Coupon, | | |
12/15/12 | 1,680,000 | 1,413,350 |
Oklahoma City Oklahoma Airport Trust Revenue Bonds, 4.60%, | | |
10/1/09 | 1,330,000 | 1,343,739 |
Orange County California PO Revenue Bonds, Zero Coupon, | | |
9/1/11 | 6,100,000 | 5,430,769 |
Oregon State Department of Administrative Services Lottery Revenue | | |
Bonds, 5.334%, 4/1/09 | 1,565,000 | 1,565,000 |
Oregon State School Boards Association GO Bonds, Zero Coupon, | | |
6/30/12 | 3,400,000 | 3,003,764 |
Palm Springs California Community Redevelopment Agency Tax | | |
Allocation Bonds, 5.59%, 9/1/17 | 1,140,000 | 1,108,969 |
Pennsylvania State Convention Center Authority Revenue Bonds, | | |
4.97%, 9/1/11 | 3,040,000 | 2,908,854 |
Pittsburg California Redevelopment Agency Tax Allocation Bonds, | | |
5.115%, 8/1/16 | 1,635,000 | 1,439,045 |
Placer County California Redevelopment Agency Tax Allocation | | |
Bonds, 5.75%, 8/1/15 | 705,000 | 722,061 |
Riverside California Public Financing Authority Tax Allocation | | |
Bonds, 5.24%, 8/1/17 | 1,795,000 | 1,443,144 |
| | | |
| | Principal | |
Taxable Municipal Obligations - Cont'd | Amount | Value |
Roseville California Redevelopment Agency Tax Allocation Bonds, | | |
5.31%, 9/1/13 | $500,000 | $514,025 |
Sacramento City California Financing Authority Tax Allocation | | |
Revenue Bonds, 4.985%, 12/1/09 | 1,035,000 | 1,025,613 |
San Diego California Redevelopment Agency Tax Allocation | | |
Bonds, 5.66%, 9/1/16 | 1,310,000 | 1,282,005 |
Santa Fe Springs California Community Development Commission | | |
Tax Allocation Bonds, 5.18%, 9/1/11 | 1,210,000 | 1,134,085 |
Schenectady New York Metroplex Development Authority Revenue | | |
Bonds, 5.15%, 8/1/09 | 135,000 | 136,277 |
Shawano-Gresham Wisconsin School District GO Bonds, | | |
5.75%, 3/1/11 | 200,000 | 209,540 |
Shorewood Wisconsin School District GO Bonds, 5.30%, 4/1/16 | 295,000 | 305,189 |
South Bend County Indiana Economic Development Income | | |
Tax Revenue Bonds: | | |
5.125%, 2/1/10 | 285,000 | 290,614 |
5.20%, 2/1/14 | 1,295,000 | 1,365,228 |
Southern California Airport Authority Tax Allocation Bonds, | | |
5.00%, 12/1/12 | 695,000 | 681,997 |
St. Paul Minnesota Sales Tax Revenue Bonds, 5.30%, 11/1/12 | 1,465,000 | 1,507,280 |
Stanislaus County California Revenue Bonds, 7.15%, 8/15/13 | 475,000 | 501,766 |
Virginia State Housing Development Authority Revenue Bonds: | | |
5.24%, 7/1/09 | 1,050,000 | 1,057,108 |
4.68%, 8/1/14 | 10,090,000 | 10,143,780 |
West Contra Costa California Unified School District COPs, | | |
4.66%, 1/1/10 | 435,000 | 434,495 |
Ypsilanti Michigan GO Bonds, 5.55%, 5/1/12 | 335,000 | 347,616 |
| | | |
Total Taxable Municipal Obligations (Cost $123,041,059) | | 123,264,047 |
| | | |
| | | |
U.S. Government Agencies And Instrumentalities - 27.3% | | |
Federal Home Loan Bank Discount Notes, 4/1/09 | 409,800,000 | 409,800,000 |
Freddie Mac, 6.625%, 9/15/09 | 250,000 | 257,092 |
New Valley Generation I, 7.299%, 3/15/19 | 757,193 | 900,782 |
New Valley Generation V, 4.929%, 1/15/21 | 740,331 | 757,806 |
Overseas Private Investment Corp., 7.45%, 12/15/10 | 413,631 | 435,935 |
Tunisia Government AID Bonds, Guaranteed by the United States | | |
Agency of International Development, 9.375%, 8/1/16 | 599,999 | 724,265 |
| | | |
Total U.S. Government Agencies And Instrumentalities | | |
(Cost $412,696,488) | | 412,875,880 |
| | | |
| | | |
U.S. Government Agency Mortgage-Backed Securities - 0.1% | | |
Government National Mortgage Association: | | |
5.50%, 1/16/32 | 4,130,178 | 530,852 |
5.50%, 5/20/32 | 4,164,808 | 540,601 |
| | | |
Total U.S. Government Agency Mortgage-Backed Securities | | |
(Cost $1,037,455) | | 1,071,453 |
| | | |
| | Principal | |
U.S. Treasury - 0.6% | Amount | Value |
United States Treasury Notes: | | |
1.50%, 12/31/13 | $2,470,000 | $2,464,983 |
1.75%, 1/31/14 | 560,000 | 563,937 |
1.875%, 2/28/14 | 6,015,000 | 6,082,669 |
2.75%, 2/15/19 | 300,000 | 301,781 |
| | | |
Total U.S. Treasury (Cost $9,346,271) | | 9,413,370 |
| | | |
Certificates Of Deposit - 1.0% | | |
Deutsche Bank, 1.909%, 6/18/10 (r) | 15,000,000 | 14,754,555 |
| | | |
Total Certificates Of Deposit (Cost $15,000,000) | | 14,754,555 |
| | | |
Equity Securities - 0.0% | Shares | |
Conseco, Inc.* | 98,632 | 90,741 |
Woodbourne Capital: | | |
Trust I, Preferred (b)(e) | 625,000 | 168,750 |
Trust II, Preferred (b)(e) | 625,000 | 168,750 |
Trust III, Preferred (b)(e) | 625,000 | 168,750 |
Trust IV, Preferred (b)(e) | 625,000 | 168,750 |
| | | |
Total Equity Securities (Cost $4,310,476) | | 765,741 |
| | | |
| | | |
TOTAL INVESTMENTS (Cost $1,503,276,587) - 94.8% | | 1,431,080,398 |
Other assets and liabilities, net - 5.2% | | 79,023,574 |
Net Assets - 100% | | $1,510,103,972 |
Futures
Purchased: | # of
Contracts | Expiration
Date | Underlying
Face Amount
at Value | Unrealized
Appreciation
(Depreciation) |
10 Year U.S. Treasury Notes | 55 | 6/09 | 6,824,297 | $67,745 |
30 Year U.S. Treasury Bonds | 30 | 6/09 | 3,891,094 | 9,799 |
Total Purchased | | | | $77,544 |
| | | | | |
Sold: | | | | |
2 Year U.S. Treasury Notes | 250 | 6/09 | 54,472,657 | ($122,204) |
5 Year U.S. Treasury Notes | 664 | 6/09 | 78,860,375 | (852,495) |
Total Sold | | | | ($974,699) |
* Non-income producing security.
(b) This security was valued by the Board of Trustees. See Note A.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(m)The Illinois Insurance Department has prohibited Lumbermens from making interest payments. This security is no longer accruing interest.
(n) The Illinois Insurance Department has prohibited Lumbermens from making interest payments. This TIERS security is based on interest payments from Lumbermens. This security is no longer accruing interest.
(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments. This security is no longer accruing interest.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
(v) This security defaulted on interest and principal during the period.
(w) This security defaulted on interest during the period.
(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.
(y) The government of Iceland took control of Glitnir Banki HF and Kaupthing Bank HF (the "Banks") on October 8, 2008 and October 9, 2008, respectively. The government has prohibited the Banks from paying any claims owed to foreign entities. As of October 9, 2008, these securities are no longer accruing interest.
(z) Effective April 2008, this security is no longer accruing interest.
Abbreviations:
COPs: Certificates of Participation
GO: General Obligation
LLC: Limited Liability Corporation
LP: Limited Partnership
MFH: Multi-Family Housing
PO: Pension Obligation
See notes to financial statements.
Statement of Assets and Liabilities
March 31, 2009
Assets | | | |
Investments in securities, at value (Cost $1,503,276,587) - | | | |
see accompanying schedule | | $1,431,080,398 | |
Cash | | 241,443 | |
Receivable for securities sold | | 97,509,879 | |
Receivable for shares sold | | 15,335,200 | |
Interest and dividends receivable | | 6,252,741 | |
Other assets | | 1,083,188 | |
Total assets | | 1,551,502,849 | |
| | | | |
Liabilities | | | |
Payable for securities purchased | | 36,046,473 | |
Payable for shares redeemed | | 3,612,831 | |
Payable for futures variation margin | | 204,375 | |
Payable to Calvert Asset Management Company, Inc. | | 631,037 | |
Payable to Calvert Administrative Services Company | | 369,648 | |
Payable to Calvert Shareholder Services, Inc. | | 27,372 | |
Payable to Calvert Distributors, Inc. | | 370,316 | |
Accrued expenses and other liabilities | | 136,825 | |
Total liabilities | | 41,398,877 | |
Net Assets | | $1,510,103,972 | |
| | | | |
Net Assets Consist of: | | | |
Paid-in capital applicable to the following shares of beneficial interest | | | |
unlimited number of no par value shares authorized: | | | |
Class A: 85,964,749 shares outstanding | | $1,379,684,327 | |
Class C: 8,145,923 shares outstanding | | 128,869,186 | |
Class I: 352,294 shares outstanding | | 4,647,436 | |
Class Y: 4,028,923 shares outstanding | | 63,234,797 | |
Undistributed net investment income | | 1,553,718 | |
Accumulated net realized gain (loss) on investments | | 5,207,852 | |
Net unrealized appreciation (depreciation) on investments | | (73,093,344) | |
| | | | |
Net Assets | | $1,510,103,972 | |
| | | | |
| | | | |
Net Asset Value Per Share: | | | |
Class A (based on net assets of $1,318,074,417) | | $15.33 | |
Class C (based on net assets of $124,395,586) | | $15.27 | |
Class I (based on net assets of $5,419,816) | | $15.38 | |
Class Y (based on net assets of $62,214,153) | | $15.44 | |
See notes to financial statements.
Statement of Operations
Six Months Ended March 31, 2009
Net Investment Income | |
Investment Income: | |
Interest income | $35,369,277 |
Dividend income | 50,525 |
Total investment income | 35,419,802 |
| | |
Expenses: | |
Investment advisory fee | 2,321,901 |
Administrative fees | 2,053,913 |
Transfer agency fees and expenses | 1,573,582 |
Distribution Plan expenses: | |
Class A | 1,529,049 |
Class C | 501,052 |
Trustees' fees and expenses | 37,654 |
Custodian fees | 74,211 |
Registration fees | 30,261 |
Reports to shareholders | 189,028 |
Professional fees | 37,723 |
Accounting fees | 77,604 |
Miscellaneous | 31,434 |
Total expenses | 8,457,412 |
Reimbursement from Advisor: | |
Class A | (621,892) |
Class I | (1,707) |
Fees paid indirectly | (89,998) |
Net expenses | 7,743,815 |
Net Investment Income | 27,675,987 |
| | |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on: | |
Investments | 9,247,323 |
Futures | (1,410,968) |
| | 7,836,355 |
| | |
Change in unrealized appreciation (depreciation) on: | |
Investments | (30,071,278) |
Futures | (964,153) |
| | (31,035,431) |
| | |
Net Realized and Unrealized Gain (Loss) | (23,199,076) |
| | |
| | |
Increase (Decrease) in Net Assets | |
Resulting From Operations | $4,476,911 |
See notes to financial statements.
Statements of Changes in Net Assets
| | | Six Months Ended | Year ended | |
| | | March 31, | September 30, | |
Increase (Decrease) in Net Assets | | 2009 | 2008 | |
Operations: | | | | |
Net investment income | | $27,675,987 | $42,668,204 | |
Net realized gain (loss) | | 7,836,355 | 7,505,799 | |
Change in unrealized appreciation (depreciation) | | (31,035,431) | (40,341,118) | |
| | | | | |
Increase (Decrease) in Net Assets | | | | |
Resulting From Operations | | 4,476,911 | 9,832,885 | |
| | | | | |
Distributions to shareholders from: | | | | |
Net investment income: | | | | |
Class A shares | | (24,193,798) | (38,503,671) | |
Class C shares | | (1,624,316) | (2,341,893) | |
Class I shares | | (67,829) | (21,679) | |
Class Y shares | | (770,946) | (181,864) | |
Net realized gain: | | | | |
Class A shares | | (10,036,888) | (5,212,748) | |
Class C shares | | (784,173) | (382,740) | |
Class I shares | | (14,844) | (2,150) | |
Class Y shares | | (273,910) | -- | |
Total distributions | | (37,766,704) | (46,646,745) | |
| | | | | |
Capital share transactions: | | | | |
Shares sold: | | | | |
Class A shares | | 473,050,716 | 969,315,652 | |
Class C shares | | 47,745,978 | 56,354,364 | |
Class I shares | | 4,110,837 | 1,290,181 | |
Class Y shares | | 49,631,682 | 33,748,184 | |
Reinvestment of distributions: | | | | |
Class A shares | | 29,509,322 | 37,083,101 | |
Class C shares | | 1,209,663 | 1,331,341 | |
Class I shares | | 82,673 | 23,829 | |
Class Y shares | | 1,011,042 | 131,166 | |
Redemption fees: | | | | |
Class A shares | | 113,048 | 54,111 | |
Class C shares | | 1,487 | 1,226 | |
Class I shares | | 208 | -- | |
Class Y shares | | 13,938 | 2,782 | |
Shares redeemed: | | | | |
Class A shares | | (438,570,496) | (292,738,936) | |
Class C shares | | (14,760,068) | (12,970,728) | |
Class I shares | | (254,610) | (63,841) | |
Class Y shares | | (19,136,434) | (2,170,181) | |
Total capital share transactions | | 133,758,986 | 791,392,251 | |
| | | | | |
Total Increase (Decrease) in Net Assets | | 100,469,193 | 754,578,391 | |
| | | | | |
Net Assets | | | | |
Beginning of period | | 1,409,634,779 | 655,056,388 | |
End of period (including undistributed net investment | | | | |
income of $1,553,718 and $534,620, respectively) | | $1,510,103,972 | $1,409,634,779 | |
See notes to financial statements.
| | | Six Months Ended | Year Ended | |
| | | March 31, | September 30, | |
Capital Share Activity | | 2009 | 2008 | |
Shares sold: | | | | |
Class A shares | | 30,927,932 | 60,334,094 | |
Class C shares | | 3,138,166 | 3,523,010 | |
Class I shares | | 267,964 | 80,535 | |
Class Y shares | | 3,225,052 | 2,104,476 | |
Reinvestment of distributions: | | | | |
Class A shares | | 1,943,707 | 2,311,010 | |
Class C shares | | 79,994 | 83,280 | |
Class I shares | | 5,414 | 1,486 | |
Class Y shares | | 66,093 | 8,223 | |
Shares redeemed: | | | | |
Class A shares | | (28,718,051) | (18,232,205) | |
Class C shares | | (970,738) | (810,610) | |
Class I shares | | (16,582) | (3,967) | |
Class Y shares | | (1,238,943) | (135,978) | |
Total capital share activity | | 8,710,008 | 49,263,354 | |
See notes to financial statements.
Notes to Financial Statements
Note A ---- Significant Accounting Policies
General: The Calvert Short Duration Income Fund (the "Fund"), a series of The Calvert Fund, is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The operations of each series are accounted for separately. The Fund currently offers four classes of shares of beneficial interest. Class A shares are sold with a maximum front-end sales charge of 2.75%. Class C shares are sold without a front-end sales change and, with certain exceptions, will be charged a deferred sales charge on shares sold within one year of purchase. Class C shares have a higher expense ratio than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment may be waived for certain institutional accounts, where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares. Effective Februa ry 29, 2008, the Fund began to offer Class Y shares. Class Y shares are generally only available to wrap or similar fee-based programs offered by financial intermediaries that have entered into an agreement with the Fund's Distributor to offer Class Y shares. Class Y shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares. Each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class specific expenses, (b) exchange privileges and (c) class specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the Fund's net asset value is determined, that are expected to materially affect the value of those securities, then the y are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Fund may invest in securities whose resale is subject to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
At March 31, 2009, securities valued at $70,657,036 or 4.7% of net assets were fair valued under the direction of the Board of Trustees.
Effective October 1, 2008, the Fund adopted Financial Accounting Standards Board Statement on Financial Accounting Standards No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund's investments and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.
The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2009:
| | Investments | Other |
Valuation Inputs | in Securities | Financial Instruments* |
Level 1 - Quoted Prices | $11,679,210 | ($897,154) |
Level 2 - Other Significant Observable Inputs | 1,348,744,152 | -- |
Level 3 - Significant Unobservable Inputs | 70,657,036 | -- |
Total | $1,431,080,398 | ($897,154) |
* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Balance as of 9/30/08 | $42,695,295 |
Accrued discounts/ premiums | 1,081,933 |
Realized gain (loss) | (1,711,214) |
Change in unrealized appreciation (depreciation) | (13,905,890) |
Net purchases (sales) | 46,030,478 |
Transfers in and/ or out of Level 3 | (3,533,566) |
Balance as of 3/31/09 | $70,657,036 |
For the six months ended March 31, 2009, total change in unrealized gain (loss) on Level 3 securities included in the change in net assets was ($19,400,857). Total unrealized gain (loss) for all securities (including Level 1 and Level 2) can be found on the accompanying Statement of Operations.
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Futures Contracts: The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms.
Short Sales: The Fund may use a hedging technique that involves short sales of U.S. Treasury securities for the purposes of managing the duration of the Fund. Any short sales are "covered" with an equivalent amount of high quality, liquid securities.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. (See the Schedule of Investments footnotes on page 20.) A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withholding taxes on foreign dividends have been provided for in accordance with the Fund's understanding of the applicable country's tax rules and rates.
Foreign Currency Transactions: The Fund's accounting records are maintained in U. S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are translated into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on securities and foreign currencies.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund (within seven days for Class I shares). The redemption fee is paid to the Class of the Fund from which the redemption is made, and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.
Expense Offset Arrangements: The Fund has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. Such a deposit arrangement may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
The Portfolio is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements or in any of the open tax years; thus, no provision for income tax is required. Each of the Portfolio's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
New Accounting Pronouncements: In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, based on the following annual rates of average net assets: .35% on the first $750 million, and .325% over $750 million.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2010. The contractual expense cap is 1.08% for Class A, .75% for Class I, and .95% for Class Y. For the purposes of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. To the extent that any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
Calvert Administrative Services Company, an affiliate of the Advisor, provides administrative services to the Fund for an annual fee, payable monthly. Class A, Class C and Class Y shares pay an annual rate of .30%, and Class I shares pay an annual rate of .10%, based on their average daily net assets.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. Distribution Plans, adopted by Class A and Class C shares, allow the Fund to pay the Distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed .50% and 1.00% annually of the Fund's average daily net assets of Class A and Class C, respectively. The amount actually paid by the Fund is an annualized fee, payable monthly of .25% and 1.00% of the Fund's average daily net assets of Class A and Class C, respectively. Class I and Y shares do not have Distribution Plan expenses.
The Distributor received $65,433 as its portion of the commissions charged on sales of the Fund's Class A shares for the six months ended March 31, 2009.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received a fee of $142,043 for the six months ended March 31, 2009. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Trustee of the Fund who is not an employee of the Advisor or its affiliates receives an annual fee of $32,000 plus up to $1,500 for each Board and Committee meeting attended. Trustee's fees are allocated to each of the funds served.
Note C -- Investment Activity
During the period, the cost of purchases and proceeds from sales of investments, other than short-term and U.S. government securities, were $813,877,632 and $581,505,454, respectively. U.S. government security purchases and sales were $1,307,375,228 and $1,353,386,423, respectively.
The cost of investments owned at March 31, 2009 for federal income tax purposes was $1,503,735,577. Net unrealized depreciation aggregated $72,655,179, of which $10,580,964 related to appreciated securities and $83,236,143 related to depreciated securities.
Note D -- Line of Credit
A financing agreement is in place with certain Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under this committed facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Fund had no loans outstanding pursuant to this line of credit at March 31, 2009. For the six months ended March 31, 2009, borrowings by the Fund under the Agreement were as follows:
| Average
Daily
Balance | Weighted
Average
Interest
Rate | Maximum
Amount
Borrowed | Month of
Maximum
Amount
Borrowed |
| | $101,206 | 0.75% | $10,948,547 | March 2009 |
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class A Shares | | 2009 (z) | 2008 (z) | 2007 (z) | |
Net asset value, beginning | | $15.70 | $16.17 | $16.11 | |
Income from investment operations | | | | | |
Net investment income | | .31 | .71 | .73 | |
Net realized and unrealized gain | | (.25) | (.36) | .13 | |
Total from investment operations | | .06 | .35 | .86 | |
Distributions from | | | | | |
Net investment income | | (.43) | (.70) | (.71) | |
Net realized gain | | -- | (.12) | (.09) | |
Total distributions | | (.43) | (.82) | (.80) | |
Total increase (decrease) in net asset value | | (.37) | (.47) | .06 | |
Net asset value, ending | | $15.33 | $15.70 | $16.17 | |
| | | | | | |
Total return* | | .44% | 2.13% | 5.47% | |
Ratios to average net assets: A | | | | | |
Net investment income | | 4.11% (a) | 4.47% | 4.54% | |
Total expenses | | 1.19% (a) | 1.17% | 1.22% | |
Expenses before offsets | | 1.09% (a) | 1.08% | 1.09% | |
Net expenses | | 1.08% (a) | 1.08% | 1.08% | |
Portfolio turnover | | 210% | 495% | 533% | |
Net assets, ending (in thousands) | | $1,318,074 | $1,284,673 | $604,790 | |
| | | | | | |
| | | | | | |
| | | | Years Ended | | |
| | | September 30, | September 30, | September 30, | |
Class A Shares | | 2006 (z) | 2005 (z) | 2004 | |
Net asset value, beginning | | $16.13 | $16.35 | $16.58 | |
Income from investment operations | | | | | |
Net investment income | | .65 | .43 | .32 | |
Net realized and unrealized gain | | .11 | .09 | .36 | |
Total from investment operations | | .76 | .52 | .68 | |
Distributions from | | | | | |
Net investment income | | (.64) | (.43) | (.32) | |
Net realized gain | | (.14) | (.31) | (.59) | |
Total distributions | | (.78) | (.74) | (.91) | |
Total increase (decrease) in net asset value | | (.02) | (.22) | (.23) | |
Net asset value, ending | | $16.11 | $16.13 | $16.35 | |
| | | | | | |
Total return* | | 4.86% | 3.25% | 4.23% | |
Ratios to average net assets: A | | | | | |
Net investment income | | 4.12% | 2.69% | 1.98% | |
Total expenses | | 1.19% | 1.19% | 1.21% | |
Expenses before offsets | | 1.09% | 1.09% | 1.09% | |
Net expenses | | 1.08% | 1.08% | 1.08% | |
Portfolio turnover | | 524% | 633% | 967% | |
Net assets, ending (in thousands) | | $390,947 | $211,734 | $141,155 | |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class C Shares | | 2009 (z) | 2008 (z) | 2007 (z) | |
Net asset value, beginning | | $15.64 | $16.11 | $16.06 | |
Income from investment operations | | | | | |
Net investment income | | .25 | .58 | .59 | |
Net realized and unrealized gain | | (.25) | (.36) | .13 | |
Total from investment operations | | -- | .22 | .72 | |
Distributions from | | | | | |
Net investment income | | (.37) | (.57) | (.58) | |
Net realized gain | | -- | (.12) | (.09) | |
Total distributions | | (.37) | (.69) | (.67) | |
Total increase (decrease) in net asset value | | (.37) | (.47) | .05 | |
Net asset value, ending | | $15.27 | $15.64 | $16.11 | |
| | | | | | |
Total return* | | .02% | 1.35% | 4.59% | |
Ratios to average net assets: A | | | | | |
Net investment income | | 3.39% (a) | 3.70% | 3.72% | |
Total expenses | | 1.87% (a) | 1.88% | 1.90% | |
Expenses before offsets | | 1.87% (a) | 1.88% | 1.90% | |
Net expenses | | 1.86% (a) | 1.87% | 1.89% | |
Portfolio turnover | | 210% | 495% | 533% | |
Net assets, ending (in thousands) | | $124,396 | $92,235 | $49,984 | |
| | | | | | |
| | | | | | |
| | | | Years Ended | | |
| | | September 30, | September 30, | September 30, | |
Class C Shares | | 2006 (z) | 2005 (z) | 2004 | |
Net asset value, beginning | | $16.08 | $16.31 | $16.54 | |
Income from investment operations | | | | | |
Net investment income | | .52 | .29 | .18 | |
Net realized and unrealized gain | | .11 | .08 | .36 | |
Total from investment operations | | .63 | .37 | .54 | |
Distributions from | | | | | |
Net investment income | | (.51) | (.29) | (.18) | |
Net realized gain | | (.14) | (.31) | (.59) | |
Total distributions | | (.65) | (.60) | (.77) | |
Total increase (decrease) in net asset value | | (.02) | (.23) | (.23) | |
Net asset value, ending | | $16.06 | $16.08 | $16.31 | |
| | | | | | |
Total return* | | 4.05% | 2.32% | 3.34% | |
Ratios to average net assets: A | | | | | |
Net investment income | | 3.28% | 1.81% | 1.12% | |
Total expenses | | 1.92% | 1.95% | 1.96% | |
Expenses before offsets | | 1.92% | 1.95% | 1.96% | |
Net expenses | | 1.91% | 1.94% | 1.95% | |
Portfolio turnover | | 524% | 633% | 967% | |
Net assets, ending (in thousands) | | $39,612 | $28,663 | $23,537 | |
See notes to financial highlights.
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class I Shares | | 2009 (z) | 2008 (z) | 2007 (z) | |
Net asset value, beginning | | $15.74 | $16.19 | $16.13 | |
Income from investment operations | | | | | |
Net investment income | | .34 | .67 | .79 | |
Net realized and unrealized gain | | (.26) | (.27) | .12 | |
Total from investment operations | | .08 | .40 | .91 | |
Distributions from | | | | | |
Net investment income | | (.44) | (.73) | (.76) | |
Net realized gain | | -- | (.12) | (.09) | |
Total distributions | | (.44) | (.85) | (.85) | |
Total increase (decrease) in net asset value | | (.36) | (.45) | .06 | |
Net asset value, ending | | $15.38 | $15.74 | $16.19 | |
| | | | | | |
Total return* | | .58% | 2.49% | 5.78% | |
Ratios to average net assets: A | | | | | |
Net investment income | | 4.50% (a) | 4.58% | 4.91% | |
Total expenses | | .87% (a) | 2.64% | 6.11% | |
Expenses before offsets | | .76% (a) | .75% | .76% | |
Net expenses | | .75% (a) | .75% | .75% | |
Portfolio turnover | | 210% | 495% | 533% | |
Net assets, ending (in thousands) | | $5,420 | $1,503 | $282 | |
| | | | | | |
| | | | | | |
| | | | Periods Ended | | |
| | | September 30, | November 7, | September 30, | |
Class I Shares | | 2006 (y)(z) | 2005 (x) | 2005 (z) | |
Net asset value, beginning | | $16.04 | $16.12 | $16.37 | |
Income from investment operations | | | | | |
Net investment income | | .33 | .06 | .49 | |
Net realized and unrealized gain | | .12 | (.04) | .10 | |
Total from investment operations | | .45 | .02 | .59 | |
Distributions from | | | | | |
Net investment income | | (.36) | (.05) | (.53) | |
Net realized gain | | -- | -- | (.31) | |
Total distributions | | (.36) | (.05) | (.84) | |
Total increase (decrease) in net asset value | | .09 | (.03) | (.25) | |
Net asset value, ending | | $16.13 | $16.09 | $16.12 | |
| | | | | | |
Total return* | | 2.84% | .13% | 3.72% | |
Ratios to average net assets: A | | | | | |
Net investment income | | 4.73% (a) | 3.65% (a) | 3.00% | |
Total expenses | | .63% (a) | .81% (a) | .62% | |
Expenses before offsets | | .62% (a) | .81% (a) | .62% | |
Net expenses | | .61% (a) | .79% (a) | .61% | |
Portfolio turnover | | 209% | 293% | 633% | |
Net assets, ending (in thousands) | | $82 | $0 | $6,167 | |
See notes to financial highlights.
Financial Highlights
| | | Periods Ended | | |
| | | March 31, | September 30, | | |
Class Y Shares | | 2009 (z)^ | 2008 (z)^ | | |
Net asset value, beginning | | $15.80 | $16.19 | | |
Income from investment operations | | | | | |
Net investment income | | .31 | .31 | | |
Net realized and unrealized gain | | (.25) | (.40) | | |
Total from investment operations | | .06 | (.09) | | |
Distributions from: | | | | | |
Net investment income | | (.42) | (.30) | | |
Net realized gain | | -- | -- | | |
Total distributions | | (.42) | (.30) | | |
Total increase (decrease) in net asset value | | (.36) | (.39) | | |
Net asset value, ending | | $15.44 | $15.80 | | |
| | | | | | |
Total return* | | .46% | (.58%) | | |
Ratios to average net assets: A | | | | | |
Net investment income | | 3.55% (a) | 4.00% (a) | | |
Total expenses | | .88% (a) | 1.13% (a) | | |
Expenses before offsets | | .88% (a) | .93% (a) | | |
Net expenses | | .87% (a) | .93% (a) | | |
Portfolio turnover | | 210% | 215% | | |
Net assets, ending (in thousands) | | $62,214 | $31,224 | | |
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
(a) Annualized.
(x) The last remaining shareholder in Class I redeemed on November 7, 2005.
(y) Class I resumed upon shareholder investment on April 21, 2006.
(z) Per share figures are calculated using the Average Share Method.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
^ From February 29, 2008, inception.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business , expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
Proxy Voting
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Basis for Board's Approval of Investment Advisory Contract
At a meeting held on December 3, 2008, the Board of Trustees, and by a separate vote, the disinterested Trustees, approved the continuance of the Investment Advisory Agreement between The Calvert Fund and the Advisor with respect to the Fund.
In evaluating the Investment Advisory Agreement, the Board considered a variety of information relating to the Fund and the Advisor. The disinterested Trustees reviewed a report prepared by the Advisor regarding various services provided to the Fund by the Advisor and its affiliates. Such report included, among other data, information regarding the Advisor's personnel and the Advisor's revenue and cost of providing services to the Fund, and a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses, and fees to comparable mutual funds.
The disinterested Trustees were separately represented by independent legal counsel with respect to their consideration of the reapproval of the Investment Advisory Agreement. Prior to voting, the disinterested Trustees reviewed the proposed continuance of the Investment Advisory Agreement with management and also met in private sessions with their counsel at which no representatives of management were present.
In the course of its deliberations regarding the Investment Advisory Agreement, the Board considered the following factors, among others: the nature, extent and quality of the services provided by the Advisor, including the personnel providing such services; the Advisor's financial condition; the level and method of computing the Fund's advisory fee; comparative performance, fee and expense information for the Fund; the profitability of the Calvert Group of Funds to the Advisor; the direct and indirect benefits, if any, derived by the Advisor from its relationship with the Fund; the effect of the Fund's growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.
In considering the nature, extent and quality of the services provided by the Advisor under the Investment Advisory Agreement, the Board reviewed information provided by the Advisor relating to its operations and personnel, including, among other information, biographical information on the Advisor's investment, supervisory and professional staff and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Advisor as well as the Board's familiarity with management through Board of Trustees' meetings, discussions and other reports. The Board considered the Advisor's management style and its performance in employing its investment strategies, as well as its current level of staffing and overall resources. The Advisor's administrative capabilities, including its ability to supervise the other service providers for the Fund, were also considered. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Advisor under the Investment Advisory Agreement.
In considering the Fund's performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the renewal of the Investment Advisory Agreement, including, among other information, a comparison of the Fund's total return with its Lipper index and with that of other mutual funds deemed to be in its peer group by an independent third party in its report. This comparison indicated that for the one-, three- and five-year periods ended June 30, 2008, the Fund's performance was above the median of its peer group. The data also indicated that the Fund outperformed its Lipper index for the same one-, three- and five-year periods. The Board noted the Fund's strong performance. Based upon its review, the Board concluded that the Fund's performance was satisfactory.
In considering the Fund's fees and expenses, the Board compared the Fund's fees and total expense ratio with various comparative data for the funds in its peer group. Among other findings, the data indicated that the Fund's advisory fee (after taking into account waivers and/or reimbursements) was below the median of its peer group and that total expenses (net of waivers and/or reimbursements) were above the median of its peer group. The Board also noted management's discussion of the Fund's expenses and certain factors that affected the level of such expenses. Based upon its review, the Board determined that the advisory fee was reasonable in view of the quality of services provided by the Advisor and the other factors considered.
The Board reviewed the Advisor's profitability on a fund-by-fund basis. In reviewing the overall profitability of the advisory fee to the Fund's Advisor, the Board also considered the fact that affiliates of the Advisor provided shareholder servicing and administrative services to the Fund for which they received compensation. The information considered by the Board included Calvert's operating profit margin information both before and after tax expenses with respect to the services that the Advisor and its affiliates provided to the Calvert Group of Funds complex. The Board reviewed the profitability of the Advisor's relationship with the Fund in terms of the total amount of annual advisory fees it received with respect to the Fund and whether the Advisor had the financial wherewithal to continue to provide a high level of services to the Fund. The Board noted that the Advisor had reimbursed expenses of the Fund. The Board also noted the Advisor's current undertaking to maintain expense limitations for the Fund's Class A, Class I and Class Y shares. The Board also considered that the Advisor derived benefits to its reputation and other indirect benefits from its relationship with the Fund. Based upon its review, the Board concluded that the Advisor's level of profitability from its relationship with the Fund was reasonable.
The Board considered the effect of the Fund's current size and potential growth on its performance and fees. The Board took into account that the Fund's advisory fee schedule contained breakpoints that would reduce the advisory fee rate on assets above specified levels as the Fund's assets increased. The Board noted that the Fund was currently realizing economies of scale in its advisory fee. The Board also noted that if the Fund's assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
In reapproving the Investment Advisory Agreement, the Board, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
Conclusions
The Board reached the following conclusions regarding the Investment Advisory Agreement, among others: (a) the Advisor has demonstrated that it possessed the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) the Advisor maintains appropriate compliance programs; (c) performance of the Fund is satisfactory relative to the performance of funds with similar investment objectives and to relevant indices; (d) the Advisor is likely to execute its investment strategies consistently over time; and (e) the Fund's advisory fee is reasonable relative to those of similar funds and to the services to be provided by the Advisor. Based on its conclusions, the Board determined that reapproval of the Investment Advisory Agreement would be in the best interests of the Fund and its shareholders.
Calvert Short Duration Income Fund
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Calvert Group
c/o BFDS
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Kansas City, MO 64105
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http://www.calvert.com
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
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March 31, 2009
Semi-Annual Report
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Table of Contents
President's Letter
1
Portfolio Management Discussion
4
Shareholder Expense Example
7
Schedule of Investments
9
Statement of Assets and Liabilities
16
Statement of Operations
17
Statements of Changes in Net Assets
18
Notes to Financial Statements
19
Financial Highlights
25
Explanation of Financial Tables
27
Proxy Voting and Availability of Quarterly Portfolio Holdings
29
Basis for Board's Approval of Investment Advisory Contract
29
Dear Shareholder:
The six months ended March 31, 2009 was a period of extraordinary turmoil and challenge in the financial markets. The financial system moved from the brink of collapse at the end of 2008 to showing some signs of stabilization in 2009. In an unprecedented fashion, virtually all major asset classes plummeted during September and October 2008 following the failure of brokerage firm Lehman Brothers. It was an extremely difficult period for all investors, particularly those whose portfolios were not shielded by the traditionally more stable fixed-income asset class. While many bond funds posted losses, they were generally not as dramatic as the declines in equity portfolios.
Facing an uncertain business and credit environment, and a faltering global economy, investors fled to the perceived safety of Treasuries and money market funds despite their low yields. By year-end, the yields of corporate bonds stood at historically high levels compared to the yields of Treasuries with similar maturities. The Barclays Capital U.S. Credit Index ended the year with a yield spread over comparable Treasuries of 515 basis points (a basis point is 0.01 percentage points), compared to a 10-year monthly average of approximately 150 basis points. In early 2009, however, the credit markets started to thaw as investors snapped up new corporate bond issues. By March, investors' enthusiasm for corporate debt had moderated.
Against this volatile backdrop, Calvert's fixed-income funds were not immune to the credit market turmoil. However, intensive credit-quality research and relative-value analysis did help us moderate, to some extent, the declines in the fixed-income portfolios that we manage.
Relief for Markets Under Pressure
Fortunately, in our view, government intervention to shore up the financial system and reinvigorate the economy has begun to take hold. The Federal Reserve and Treasury are doing all they can to get credit flowing freely through the system again, as are policy makers around the globe. The Treasury's new Public-Private Investment Partnership, announced in March, is designed to remove toxic assets from bank balance sheets and encourage lending to businesses and consumers, which is essential for market recovery.
With concerted action on the home front, and the type of global cooperation signified at the G20 meeting, we believe investor confidence will be restored and our financial systems will recover--slowly, and with new financial oversight, transparency, and regulations in place. As the markets grow more convinced that the global recovery has legs, we expect to see greater investor demand for assets offering higher yield and total return potential.
Confidence in Calvert Funds
As we move through the recession, with the potential for default rates still high, credit research and security selection will continue to be of paramount importance. In this challenging environment, Calvert will bring our 30 years of fixed-income experience to bear. Our taxable fixed-income portfolio management team, led by Senior Vice President Greg Habeeb, will continue to follow its time-tested strategy that seeks to optimize duration, yield curve positioning, sector allocation, and credit quality analysis in selecting securities for our portfolios. (Duration measures a portfolio's sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in price for a given shift in interest rates.)
In December 2008, Calvert became investment advisor to Calvert High Yield Bond Fund and Calvert Short-Term Government Fund, which are portfolios formerly managed by Summit Investment Partners. In addition, on December 31, 2008, we launched Calvert Government Fund. We look forward to managing these Funds, which will give Calvert investors more ways to diversify their bond fund allocations.
Recently, Calvert Long-Term Income Fund (Class A shares) was among the winners of the 2009 Lipper award, marking its second consecutive year of winning the award. The award is given to the Fund with the highest score for consistent returns relative to its peers. Calvert Long-Term Income Fund was ranked first among 116 funds in the corporate debt BBB rated category as of December 31, 2008, based on its three-year risk-adjusted returns.1
Winning the Lipper award once again validates our investment team's active management strategy that relies on rigorous analysis and independent thinking--an approach we use across all our fixed-income funds.
Consult with Your Financial Advisor
If you're concerned about how to navigate the current market environment, talk with your financial advisor about whether your allocation to bonds is appropriate and well-diversified, given your goals, time horizon, and risk attitudes.
We also encourage you to visit our newly enhanced website, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals. We are committed to continuing our efforts to identify opportunities that emerge in the fixed-income markets while we seek to meet our investors' long-term goals for stability and income. As always, we appreciate your business and hope to continue to serve you in the months and years to come.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
April 2009
1. Lipper Fund Awards are granted annually to the funds in each Lipper classification that achieve the highest score for Consistent Return, a measure of funds' historical risk-adjusted returns. The scores are subject to change every month and are calculated for the following periods: three-year, five-year, 10-year, and overall. The highest 20% of funds in each classification are named Lipper Leaders for Consistent Return. The highest Lipper Leader for Consistent Return value within each eligible classification determines the fund classification winner over three, five, or 10 years. Lipper Fund Awards are not intended to predict future results, and Lipper does not guarantee the accuracy of this information. Source: Lipper, Inc.
Past performance is no guarantee of future results. Please keep in mind investment in mutual funds involves risk, including possible loss of principal invested.
For more complete information on any Calvert Fund, call your advisor or visit our website for a prospectus. An investor should consider the investment objectives, risks, charges and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager of Calvert Asset Management Company
Performance
For the six months ended March 31, 2009, Calvert Long-Term Income Fund Class A shares (at NAV) returned 5.03% versus 0.65% for the benchmark Barclays Capital Long-Term U.S. Credit Index. An underweight to longer-term corporate securities, a significant allocation to cash, and active Treasury trading were all positive drivers of the Fund's outperformance.
Investment Climate
The period can be broken down into two distinct halves. From October through December, a widespread panic that major global financial firms would fall like dominoes in the aftermath of the Lehman Brothers collapse roiled the credit markets. The markets for long-term credit froze and short-term money markets seized up until a variety of government programs helped calm the market before year-end. The difference in yields between bonds of high and low credit quality soared to record highs as liquidity evaporated from the markets.
Portfolio Statistics
March 31, 2009
Investment Performance
(total return at NAV*)
| 6 Months
Ended
3/31/09 | 12 Months
Ended
3/31/09 |
Class A | 5.03% | 4.49% |
Barclays Capital Long U.S. Credit Index** | 0.65% | -8.74% |
Lipper Corp Debt Funds BBB Rated | -2.99% | -10.26% |
| | | |
Average | | |
Maturity Schedule | | |
| | Weighted Average |
| | 3/31/09 | 9/30/08 |
| | 7 years | 13 years |
| | | |
SEC Yield | | |
| | 30 days ended |
| | 3/31/09 | 9/30/08 |
| | 3.33% | 3.21% |
| | | |
Economic Sectors | % of total
investments | |
Asset Backed Securities | 2.7% | |
Basic Materials | 2.8% | |
Communications | 1.8% | |
Consumer, Cyclical | 0.2% | |
Consumer, Non-cyclical | 2.2% | |
Diversified | 0.8% | |
Energy | 5.7% | |
Financial | 16.1% | |
Government | 61.4% | |
Industrial | 3.4% | |
Mortgage Securities | 1.4% | |
Utilities | 1.5% | |
Total | 100% | |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 3.75% front-end sales charge or any deferred sales charge.
**Source: Lipper Analytical Services, Inc.
The impact of the then 18-month-old crisis in the credit markets on the overall U.S. economy worsened. In the fourth quarter of 2008, economic growth, as measured by gross domestic product (GDP), declined at a 6.3% annual pace1--the worst quarterly performance since 1982. Concerns spread about a protracted recession. In December, the Fed cut the federal funds rate, its target interest rate, to near zero percent and aggressively sought to push down mortgage rates by buying mortgage-backed securities.
In the first quarter of 2009, most sectors of the credit markets thawed at least a bit and the window for new issues of investment-grade corporate bonds opened wide. The government also undertook a number of new initiatives to get the credit taps flowing to consumers again. On the other hand, two major U.S. automakers moved toward bankruptcy and several "rescued" organizations needed more government capital. Still, a relaxation of accounting rules and concrete signs of global cooperation at the G20 meeting cheered equity and credit markets at quarter-end.
During the reporting period, the yield on the benchmark 10-year Treasury note fell more than one percentage point to 2.71%. The rush to safety caused Treasury bill yields to plunge to the lowest levels since World War II, with the three-month T-bill yield falling to 0.21%.2 Headline inflation slid to a 0.2% pace for February 2009 while core inflation was 1.8%.3 GDP was expected to shrink at a 4.6% pace during the first quarter of 2009.4
Portfolio Strategy
The Fund was managed throughout the period with a short duration relative to the passive benchmark, which hurt performance in a period when interest rates fell significantly. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest rate movements.) The Fund's smaller relative exposure to poorly performing long-term corporate bonds helped returns, as did its allocation to cash.
However, the Portfolio's return was weighed down by holdings of securities issued by a bank that was nationalized by the Icelandic government in early October. Their valuation fell to almost zero in the fourth quarter of 2008 before rebounding slightly in early 2009. Price markdowns on many corporate bonds, including Tier 1 Capital notes (which are issued by banks to meet regulatory capital requirements), also negatively impacted returns.
Outlook
We expect the credit markets to continue to recover but do not expect a return to the heady times of a few years ago. Since financial institutions must rebuild capital, they are not inclined to flood their balance sheets with new loans. Continued government intervention in the credit markets will remain a signature of this financial crisis.
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
(with max. load)
Class A | |
One Year | 0.54% |
Since Inception | 5.21% |
(12/31/04) | |
Performance does not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance does not predict future results.
Overall, we expect the economy will contract for 2009, with the worst quarters in the first half of 2009. We also believe the federal funds rate will remain near zero percent. The good news for investors is that we do not expect a protracted period of consumer price deflation as seen earlier this decade in Japan.
April 2009
1. GDP data source: Commerce Department.
2. All interest rates data source: Federal Reserve.
3. Source: Bureau of Labor Statistics consumer price indexes.
4. Source: Wall Street Journal Economic Forecasting Survey, March 2009.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2008 to March 31, 2009).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
10/1/08 | Ending Account
Value
3/31/09 | Expenses Paid
During Period*
10/1/08 - 3/31/09 |
Actual | $1,000.00 | $1,051.00 | $6.39 |
Hypothetical | $1,000.00 | $1,018.70 | $6.29 |
(5% return per year before expenses) |
* Expenses are equal to the Fund's annualized expense ratio of 1.25%, multiplied by the average account value over the period, multiplied by 182/365.
Schedule of Investments
March 31, 2009
| Principal | |
Asset Backed Securities - 2.5% | Amount | Value |
AmeriCredit Automobile Receivables Trust: | | |
4.87%, 12/6/10 | $10,971 | $10,898 |
5.20%, 3/6/11 | 52,364 | 51,623 |
5.21%, 10/6/11 | 50,008 | 47,501 |
1.168%, 7/6/12 (r) | 192,511 | 180,623 |
Capital Auto Receivables Asset Trust: | | |
0.616%, 7/15/10 (r) | 170,931 | 164,089 |
5.00%, 4/15/11 | 165,355 | 165,556 |
1.256%, 11/15/11 (r) | 150,000 | 140,527 |
GE Dealer Floorplan Master Note Trust, 0.555%, 4/20/11 (r) | 75,000 | 74,653 |
Household Automotive Trust, 4.55%, 7/17/12 | 220,783 | 214,867 |
Hyundai Auto Receivables Trust, 4.18%, 2/15/12 | 152,965 | 153,636 |
| | | |
Total Asset-Backed Securities (Cost $1,179,859) | | 1,203,973 |
| | | |
Collateralized Mortgage-Backed | | |
Obligations (Privately Originated) - 1.4% | | |
Countrywide Home Loan Mortgage Pass Through Trust, | | |
0.862%, 6/25/35 (r)(e) | 170,617 | 98,276 |
Impac CMB Trust, 0.792%, 5/25/35 (r) | 177,158 | 72,887 |
MASTR Alternative Loans Trust, 6.25%, 7/25/36 | 100,399 | 45,432 |
Structured Asset Securities Corp.: | | |
5.00%, 6/25/35 | 45,998 | 40,425 |
5.50%, 6/25/35 | 1,000,000 | 386,483 |
| | | |
Total Collateralized Mortgage-Backed Obligations (Privately | | |
Originated) (Cost $699,362) | | 643,503 |
| | | |
Corporate Bonds - 32.5% | | |
AgFirst Farm Credit Bank, 8.393% to 12/15/11, floating rate | | |
thereafter to 12/15/16 (r) | 300,000 | 215,679 |
Alliance Mortgage Investments, 12.61%, 6/1/10 (b)(r)(x)* | 4,817 | - |
American Express Centurion Bank, 0.637%, 7/13/10 (r) | 100,000 | 91,970 |
Anadarko Petroleum Corp., 8.70%, 3/15/19 | 500,000 | 500,539 |
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 (e) | 400,000 | 405,914 |
APL Ltd., 8.00%, 1/15/24 | 280,000 | 221,900 |
ArcelorMittal, 6.125%, 6/1/18 | 150,000 | 108,518 |
Army Hawaii Family Housing, 5.524%, 6/15/50 (e) | 100,000 | 66,436 |
Asian Development Bank, 6.22%, 8/15/27 | 30,000 | 36,349 |
Atlantic Marine Corp. Communities LLC, 6.158%, 12/1/51 (e) | 60,000 | 36,750 |
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (b)(e)(p)* | 30,000 | 300 |
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) | 25,000 | 24,087 |
BAC Capital Trust XV, 2.061%, 6/1/56 (r) | 2,100,000 | 521,038 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
BAE Systems Asset Trust, 6.664%, 9/15/13 (b)(e) | $297,648 | $267,883 |
Barrick Gold Corp., 6.95%, 4/1/19 | 250,000 | 251,399 |
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (b)(e) | 49,981 | 49,506 |
Bear Stearns Co's, Inc., 1.554%, 9/9/09 (r) | 150,000 | 149,204 |
BHP Billiton Finance USA Ltd., 6.50%, 4/1/19 | 500,000 | 507,279 |
BNSF Funding Trust I, 6.613% to 1/15/26, floating rate thereafter | | |
to 12/15/55 (r) | 500,000 | 362,500 |
BP Capital Markets plc, 2.316%, 3/17/11 (r) | 350,000 | 348,738 |
C8 Capital SPV Ltd., 6.64% to 12/31/14, floating rate thereafter | | |
to 12/31/49 (e)(r) | 85,000 | 26,775 |
Camp Pendleton & Quantico Housing LLC, 5.937%, 10/1/43 (e) | 50,000 | 39,125 |
Cargill, Inc., 2.383%, 1/21/11 (e)(r) | 70,000 | 69,825 |
Caterpillar Financial Services Corp.: | | |
1.736%, 8/6/10 (r) | 70,000 | 67,428 |
7.15%, 2/15/19 | 500,000 | 457,324 |
Chase Capital VI, 1.795%, 8/1/28 (r) | 500,000 | 203,814 |
Chesapeake Energy Corp., 7.25%, 12/15/18 | 200,000 | 164,500 |
CIT Group, Inc., 6.10% to 3/15/17, floating rate thereafter | | |
to 3/15/67 (b)(r) | 55,000 | 14,712 |
Compass Bancshares, Inc., 1.998%, 10/9/09 (e)(r) | 100,000 | 99,733 |
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter | | |
to 5/29/49 (b)(e)(r) | 820,000 | 270,600 |
Discover Financial Services, 6.45%, 6/12/17 | 100,000 | 72,155 |
Dominion Resources, Inc.: | | |
2.366%, 6/17/10 (r) | 80,000 | 78,646 |
6.30% to 9/30/11, floating rate thereafter to 9/30/66 (r) | 500,000 | 286,192 |
Enterprise Products Operating LP, 7.034% to 1/15/18, floating | | |
rate thereafter to 1/15/68 (r) | 340,000 | 212,500 |
FMG Finance Pty Ltd.: | | |
10.00%, 9/1/13 (e) | 300,000 | 255,000 |
10.625%, 9/1/16 (e) | 150,000 | 126,000 |
Ford Motor Co., 7.125%, 11/15/25 | 175,000 | 50,750 |
Fort Knox Military Housing, 5.915%, 2/15/52 (e) | 130,000 | 89,675 |
General Motors Corp., 7.40%, 9/1/25 (b) | 200,000 | 23,000 |
Giant Stadium LLC, 0.62%, 4/1/47 (b)(e)(r) | 300,000 | 300,000 |
Glitnir Banki HF: | | |
3.046%, 4/20/10 (b)(e)(r)(w)(y) | 75,000 | 9,000 |
6.693% to 6/15/11, floating rate thereafter to | | |
6/15/16 (b)(e)(r)(w)(y) | 150,000 | 1,500 |
Great River Energy, 6.254%, 7/1/38 (b)(e) | 100,000 | 84,170 |
Illinois Tool Works, Inc., 6.25%, 4/1/19 (e) | 350,000 | 351,771 |
Ingersoll-Rand Global Holding Co. Ltd., 2.731%, 8/13/10 (r) | 200,000 | 185,766 |
Irwin Land LLC: | | |
5.03%, 12/15/25 (e) | 100,000 | 73,399 |
5.40%, 12/15/47 (e) | 125,000 | 77,791 |
Jersey Central Power & Light Co., 5.625%, 5/1/16 | 15,000 | 14,194 |
John Deere Capital Corp., 1.373%, 10/16/09 (r) | 950,000 | 945,808 |
JPMorgan Chase & Co., 1.623%, 1/22/10 (r) | 50,000 | 49,431 |
JPMorgan Chase Capital XXIII, 2.238%, 5/15/47 (r) | 500,000 | 194,590 |
Land O'Lakes Capital Trust I, 7.45%, 3/15/28 (e) | 600,000 | 372,000 |
LL & P Wind Energy, Inc. Washington Revenue Bonds, 6.192%, | | |
12/1/27 (e) | 100,000 | 85,446 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
Lloyds Banking Group plc, 6.657% to 5/21/37, floating rate thereafter | | |
to 5/19/49 (e)(r) | $30,000 | $6,300 |
Marathon Oil Corp., 7.50%, 2/15/19 | 300,000 | 302,435 |
Massachusetts Institute of Technology, 7.25%, 11/2/96 | 25,000 | 29,389 |
McGuire Air Force Base Military Housing Project, 5.611%, | | |
9/15/51 (e) | 30,000 | 20,008 |
Merrill Lynch & Co., Inc., 0.611%, 6/26/09 (r) | 285,000 | 282,389 |
MetLife, Inc., 1.542%, 6/29/12 (r) | 300,000 | 300,216 |
Monumental Global Funding III, 1.638%, 8/17/09 (e)(r) | 300,000 | 299,955 |
National Fuel Gas Co., 6.50%, 4/15/18 | 100,000 | 95,975 |
NationsBank Cap Trust III, 1.644%, 1/15/27 (r) | 65,000 | 22,059 |
Nationwide Health Properties, Inc.: | | |
6.90%, 10/1/37 | 40,000 | 39,035 |
6.59%, 7/7/38 | 30,000 | 24,880 |
Noble Group Ltd.: | | |
8.50%, 5/30/13 (e) | 300,000 | 235,500 |
6.625%, 3/17/15 (e) | 160,000 | 104,000 |
Ohana Military Communities LLC: | | |
5.675%, 10/1/26 (e) | 70,000 | 60,970 |
6.00%, 10/1/51 (b)(e) | 30,000 | 24,182 |
OPTI Canada, Inc., 7.875%, 12/15/14 | 100,000 | 43,500 |
Overseas Shipholding Group, Inc., 7.50%, 2/15/24 | 150,000 | 92,250 |
Pacific Beacon LLC, 5.628%, 7/15/51 (e) | 40,000 | 26,409 |
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) | 50,000 | 50,620 |
Pioneer Natural Resources Co.: | | |
5.875%, 7/15/16 | 100,000 | 74,418 |
6.65%, 3/15/17 | 240,000 | 185,787 |
7.20%, 1/15/28 | 100,000 | 62,107 |
PPL Montana LLC, 8.903%, 7/2/20 | 22,769 | 23,988 |
ProLogis, 1.496%, 8/24/09 (r) | 150,000 | 140,462 |
Puget Sound Energy, Inc., 7.02%, 12/1/27 | 25,000 | 23,071 |
Redstone Arsenal Military Housing, 5.45%, 9/1/26 (e) | 25,000 | 20,669 |
Rochester Gas & Electric Corp., 6.375%, 9/1/33 | 10,000 | 7,895 |
Royal Bank of Scotland Group plc, 7.64% to 9/29/17, floating | | |
rate thereafter to 3/31/49 (r) | 650,000 | 146,250 |
SABMiller plc, 1.735%, 7/1/09 (e)(r) | 60,000 | 59,417 |
Shell International Finance BV, 4.00%, 3/21/14 | 500,000 | 506,390 |
Skyway Concession Co. LLC, 1.512%, 6/30/17 (b)(e)(r) | 100,000 | 80,913 |
Southern California Edison Co., 5.75%, 4/1/35 | 10,000 | 9,786 |
SouthTrust Bank, 6.565%, 12/15/27 | 120,000 | 87,353 |
Sovereign Bank, 2.88%, 8/1/13 (b)(r) | 300,000 | 227,689 |
TEPPCO Partners LP, 7.00% to 6/1/17, floating rate thereafter | | |
to 6/1/67 (r) | 212,000 | 121,284 |
Time Warner Cable, Inc., 8.25%, 4/1/19 | 300,000 | 308,588 |
Toll Road Investors Partnership II LP, Zero Coupon: | | |
2/15/28 (b)(e) | 135,000 | 27,829 |
2/15/31 (b)(e) | 196,000 | 31,431 |
2/15/43 (b)(e) | 1,950,000 | 265,434 |
2/15/45 (b)(e) | 339,771 | 44,595 |
Valero Energy Corp., 9.375%, 3/15/19 | 150,000 | 154,855 |
| | | |
| | Principal | |
Corporate Bonds - Cont'd | Amount | Value |
Verizon Communications, Inc., 6.35%, 4/1/19 | $500,000 | $493,420 |
Verizon North, Inc., 5.634%, 1/1/21 (e) | 15,000 | 14,111 |
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate | | |
thereafter to 3/29/49 (r) | 400,000 | 144,000 |
Wells Fargo Bank: | | |
6.584%, 9/1/27 (e) | 100,000 | 111,453 |
6.734%, 9/1/47 (e) | 100,000 | 115,514 |
Woodside Finance Ltd., 8.75%, 3/1/19 (e) | 200,000 | 201,520 |
Xstrata Finance Dubai Ltd., 1.581%, 11/13/09 (e)(r) | 200,000 | 190,324 |
| | | |
Total Corporate Bonds (Cost $17,886,786) | | 15,459,234 |
| | | |
Taxable Municipal Obligations - 5.4% | | |
Adams-Friendship Area Wisconsin School District GO Bonds, | | |
5.47%, 3/1/18 | 30,000 | 30,485 |
Anaheim California Redevelopment Agency Tax Allocation Bonds, | | |
6.506%, 2/1/31 | 125,000 | 111,299 |
California Statewide Communities Development Authority Revenue | | |
Bonds, 5.61%, 8/1/14 | 30,000 | 32,320 |
Camarillo California Community Development Commission Tax | | |
Allocation Bonds, 5.78%, 9/1/26 | 30,000 | 21,457 |
Cook County Illinois School District GO Bonds, Zero Coupon, | | |
12/1/24 | 25,000 | 7,505 |
East Lansing Michigan GO Bonds, 5.00%, 4/1/14 | 85,000 | 88,955 |
Ewing Township New Jersey School District GO Bonds, 4.80%, | | |
5/1/16 | 10,000 | 10,226 |
Fairfield California PO Revenue Bonds: | | |
5.22%, 6/1/20 | 15,000 | 13,348 |
5.34%, 6/1/25 | 15,000 | 12,433 |
Florida State First Governmental Financing Commission Revenue | | |
Bonds, 5.30%, 7/1/19 | 25,000 | 23,559 |
Fort Wayne Indiana Redevelopment District Revenue Bonds, 5.24%, | | |
6/1/21 | 25,000 | 22,749 |
Georgetown University Washington DC Revenue Bonds, 7.22%, | | |
4/1/19 | 300,000 | 324,252 |
Grant County Washington Public Utility District No. 2 | | |
Revenue Bonds: | | |
5.29%, 1/1/20 | 25,000 | 23,131 |
5.48%, 1/1/21 | 10,000 | 9,302 |
Hammonton New Jersey GO Bonds, 5.90%, 3/1/18 | 15,000 | 14,856 |
Illinois State MFH Development Authority Revenue Bonds, | | |
6.537%, 1/1/33 | 70,000 | 66,102 |
Jackson & Williamson Counties Illinois Community High School | | |
District GO Bonds, Zero Coupon, 12/1/21 | 180,000 | 74,401 |
Kansas City Missouri Airport Revenue Bonds, 5.125%, 9/1/17 | 15,000 | 13,746 |
Kern County California PO Revenue Bonds, Zero Coupon, | | |
8/15/20 | 125,000 | 47,215 |
La Mesa California COPs, 6.32%, 8/1/26 | 30,000 | 28,859 |
Lancaster Pennsylvania Parking Authority Revenue Bonds, | | |
5.95%, 12/1/25 | 50,000 | 44,696 |
| | | |
| | Principal | |
Taxable Municipal Obligations - Cont'd | Amount | Value |
Leland Stanford Jr. University California Revenue Bonds, 6.875%, | | |
2/1/24 | $100,000 | $108,350 |
Linden New Jersey GO Revenue Bonds, 5.63%, 4/1/21 | 60,000 | 52,643 |
Metropolitan Washington DC Airport Authority System Revenue | | |
Bonds, 5.69%, 10/1/30 | 15,000 | 14,064 |
Moreno Valley California Public Financing Authority Revenue Bonds, | | |
5.549%, 5/1/27 | 50,000 | 40,131 |
Nashville & Davidson County Tennessee Water & Sewage Revenue | | |
Bonds, 4.74%, 1/1/15 | 80,000 | 82,512 |
Nevada State Department of Business & Industry Lease Revenue | | |
Bonds, 5.87%, 6/1/27 | 50,000 | 40,912 |
New York City IDA Revenue Bonds, 6.027%, 1/1/46 | 30,000 | 26,153 |
Oakland California PO Revenue Bonds, Zero Coupon, 12/15/20 | 120,000 | 55,207 |
Oakland California Redevelopment Agency Tax Allocation Bonds, | | |
5.411%, 9/1/21 | 30,000 | 25,370 |
Orange County California PO Revenue Bonds, Zero Coupon, 9/1/14 | 95,000 | 68,524 |
Oregon State Local Governments GO Bonds, Zero Coupon, 6/1/18 | 100,000 | 54,924 |
Oregon State School Boards Association GO Bonds, Zero Coupon: | | |
6/30/16 | 25,000 | 17,056 |
6/30/18 | 30,000 | 16,993 |
Philadelphia Pennsylvania IDA Revenue Bonds, Zero Coupon, | | |
4/15/20 | 25,000 | 8,778 |
Philadelphia Pennsylvania School District GO Bonds, 5.09%, | | |
7/1/20 | 10,000 | 9,482 |
Redlands California PO Revenue Bonds, Zero Coupon: | | |
8/1/27 | 250,000 | 58,795 |
8/1/28 | 175,000 | 37,963 |
San Bernardino California Joint Powers Financing Authority Tax | | |
Allocation Bonds, 5.625%, 5/1/16 | 40,000 | 37,439 |
San Jose California Redevelopment Agency Tax Allocation Bonds, | | |
5.10%, 8/1/20 | 15,000 | 12,903 |
Santa Cruz County California Redevelopment Agency Tax Allocation | | |
Revenue Bonds, 5.50%, 9/1/20 | 40,000 | 36,418 |
Schenectady New York Metroplex Development Authority Revenue | | |
Bonds, 5.36%, 8/1/16 | 40,000 | 39,954 |
St. Paul Minnesota Sales Tax Revenue Bonds, 6.125%, 11/1/25 | 50,000 | 46,436 |
Thorp Wisconsin School District GO Bonds, 6.15%, 4/1/26 | 40,000 | 39,135 |
Thousand Oaks California Redevelopment Agency Tax Allocation | | |
Bonds, 5.25%, 12/1/21 | 50,000 | 42,950 |
Utah State Housing Corp. Military Housing Revenue Bonds: | | |
5.392%, 7/1/50 | 15,000 | 11,573 |
5.442%, 7/1/50 | 10,000 | 7,774 |
Virginia State Housing Development Authority Revenue Bonds, | | |
6.32%, 8/1/19 | 500,000 | 509,425 |
West Contra Costa California Unified School District COPs, | | |
5.03%, 1/1/20 | 15,000 | 12,924 |
West Covina California Public Financing Authority Lease Revenue | | |
Bonds, 6.05%, 6/1/26 | 40,000 | 33,521 |
| | | |
Total Taxable Municipal Obligations (Cost $2,728,931) | | 2,569,205 |
| | | |
U.S. Government Agencies | Principal | |
and Instrumentalities - 47.5% | Amount | Value |
Federal Home Loan Bank Discount Notes, 4/1/09 | $22,600,000 | $22,600,000 |
New Valley Generation V, 4.929%, 1/15/21 | 37,017 | 37,890 |
| | | |
| | | |
Total U.S. Government Agencies And Instrumentalities (Cost $22,636,037) | 22,637,890 | |
| | | |
U.S. Treasury - 4.2% | | |
United States Treasury Bonds: | | |
5.375%, 2/15/31 | 35,000 | 44,177 |
4.50%, 5/15/38 | 1,215,000 | 1,420,411 |
3.50%, 2/15/39 | 300,000 | 297,000 |
United States Treasury Notes, 2.75%, 2/15/19 | 250,000 | 251,484 |
| | | |
Total U.S. Treasury (Cost $1,975,471) | | 2,013,072 |
| | | |
Equity Securities - 0.0% | Shares | |
Conseco, Inc.* | 1,712 | 1,575 |
| | | |
Total Equity Securities (Cost $30,993) | | 1,575 |
| | | |
TOTAL INVESTMENTS (Cost $47,137,439) - 93.5% | | 44,528,452 |
Other assets and liabilities, net - 6.5% | | 3,113,449 |
Net Assets - 100% | | $47,641,901 |
Futures
Purchased: | # of
Contracts | Expiration
Date | Underlying
Face Amount
at Value | Unrealized
Appreciation
(Depreciation) |
|
|
|
10 Year U.S. Treasury Notes | 35 | 6/09 | $4,342,734 | $20,182 |
30 Year U.S. Treasury Bonds | 85 | 6/09 | 11,024,766 | 271,716 |
Total Purchased | | | | $291,898 |
| | | | | |
Sold: | | | | |
2 Year U.S. Treasury Notes | 122 | 6/09 | $26,582,656 | ($47,290) |
5 Year U.S. Treasury Notes | 5 | 6/09 | 593,828 | (8,367) |
Total Sold | | | | ($55,657) |
* Non-income producing security.
(b) This security was valued by the Board of Trustees. See Note A.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments. This security is no longer accruing interest.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
(w) This security defaulted on interest payments during the period.
(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest.
(y) The government of Iceland took control of Glitnir Banki HF (the "Bank") on October 8, 2008. The government has prohibited the Bank from paying any claims owed to foreign entities. As of October 9, 2008, these securities are no longer accruing interest.
Abbreviations: | |
COPs: Certificates of Participation | LP: Limited Partnership |
GO: General Obligation | MFH: Multi-Family Housing |
IDA: Industrial Development Authority | PO: Pension Obligation |
LLC: Limited Liability Corporation | |
See notes to financial statements.
Statement of Assets and Liabilities
March 31, 2009
Assets | | |
Investments in securities, at value (Cost $47,137,439) - see accompanying schedule | | $44,528,452 |
Cash | | 152,674 |
Receivable for securities sold | | 3,341,579 |
Receivable for futures variation margin | | 42,820 |
Receivable for shares sold | | 499,583 |
Interest and dividends receivable | | 223,211 |
Other assets | | 261,639 |
Total assets | | 49,049,958 |
| | | |
Liabilities | | |
Payable for securities purchased | | 1,206,324 |
Payable for shares redeemed | | 137,379 |
Payable to Calvert Asset Management Company, Inc. | | 22,105 |
Payable to Calvert Administrative Services Company | | 11,514 |
Payable to Calvert Shareholder Services, Inc. | | 986 |
Payable to Calvert Distributors, Inc. | | 9,595 |
Accrued expenses and other liabilities | | 20,154 |
Total liabilities | | 1,408,057 |
Net Assets | | $47,641,901 |
| | | |
| | | |
Net Assets Consist of: | | |
Paid-in capital applicable to 3,095,657 shares of | | |
beneficial interest, unlimited number of no par | | |
shares authorized | | $47,716,244 |
Undistributed net investment income | | 19,210 |
Accumulated net realized gain (loss) on investments | | 2,279,193 |
Net unrealized appreciation (depreciation) on investments | | (2,372,746) |
| | | |
Net Assets | | $47,641,901 |
| | | |
Net Asset Value Per Share | | $15.39 |
See notes to financial statements.
Statement of Operations
Six Months Ended March 31, 2009
Net Investment Income | | | |
Investment Income: | | | |
Interest income | | $952,193 | |
Total investment income | | 952,193 | |
| | | | |
Expenses: | | | |
Investment advisory fee | | 71,198 | |
Administrative fees | | 53,398 | |
Transfer agency fees and expenses | | 52,996 | |
Trustees' fees and expenses | | 1,028 | |
Distribution Plan expenses | | 44,499 | |
Custodian fees | | 16,973 | |
Accounting fees | | 2,841 | |
Registration fees | | 8,433 | |
Reports to shareholders | | 7,512 | |
Professional fees | | 9,730 | |
Miscellaneous | | 1,112 | |
Total expenses | | 269,720 | |
Reimbursement from Advisor | | (40,812) | |
Fees paid indirectly | | (6,415) | |
Net expenses | | 222,493 | |
Net Investment Income | | 729,700 | |
| | | | |
Realized and Unrealized Gain (Loss) | | | |
Net realized gain (loss) on: | | | |
Investments | | 2,239,226 | |
Futures | | 292,951 | |
| | | 2,532,177 | |
| | | | |
Change in unrealized appreciation (depreciation) on: | | | |
Investments | | (1,636,393) | |
Futures | | 266,473 | |
| | | (1,369,920) | |
| | | | |
Net Realized and Unrealized Gain | | | |
(Loss) | | 1,162,257 | |
| | | | |
Increase (Decrease) in Net Assets | | | |
Resulting From Operations | | $1,891,957 | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | Six Months Ended | Year Ended | |
| | | March 31, | September 30, | |
Increase (Decrease) in Net Assets | | 2009 | 2008 | |
Operations: | | | | |
Net investment income | | $729,700 | $787,214 | |
Net realized gain (loss) on investments | | 2,532,177 | 815,596 | |
Change in unrealized appreciation (depreciation) | | (1,369,920) | (948,863) | |
| | | | | |
Increase (Decrease) in Net Assets | | | | |
Resulting From Operations | | 1,891,957 | 653,947 | |
| | | | | |
Distributions to shareholders from: | | | | |
Net investment income | | (713,741) | (779,160) | |
Net realized gain | | (989,458) | (317,167) | |
Total distributions | | (1,703,199) | (1,096,327) | |
| | | | | |
Capital share transactions: | | | | |
Shares sold | | 24,607,826 | 23,647,400 | |
Reinvestment of distributions | | 1,427,318 | 958,721 | |
Redemption fees | | 3,116 | 2,068 | |
Shares redeemed | | (8,116,854) | (6,773,239) | |
Total capital share transactions | | 17,921,406 | 17,834,950 | |
| | | | | |
Total Increase (Decrease) in Net Assets | | 18,110,164 | 17,392,570 | |
| | | | | |
Net Assets | | | | |
Beginning of period | | 29,531,737 | 12,139,167 | |
End of period (including undistributed | | | | |
net investment income of $19,210 and | | | | |
$3,251, respectively) | | $47,641,901 | $29,531,737 | |
| | | | | |
Capital Share Activity | | | | |
Shares sold | | 1,623,699 | 1,507,320 | |
Reinvestment of distributions | | 94,996 | 61,307 | |
Shares redeemed | | (536,230) | (432,496) | |
Total capital share activity | | 1,182,465 | 1,136,131 | |
See notes to financial statements.
Notes to Financial Statements
Note A ---- Significant Accounting Policies
General: The Calvert Long-Term Income Fund (the "Fund"), a series of The Calvert Fund, is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The operations of each series are accounted for separately. The Fund offers Class A shares which are sold with a maximum front-end sales charge of 3.75%.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the Fund's net asset value determination, that are expected to materially affect the value of those securities, then the y are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Fund may invest in securities whose resale is subject to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
At March 31, 2009, securities valued at $1,722,744, or 3.6% of net assets were fair valued in good faith under the direction of the Board of Trustees.
Effective October 1, 2008, the Fund adopted Financial Accounting Standards Board Statement on Financial Accounting Standards No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund's investments and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.
The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2009:
| | Investments | Other |
Valuation Inputs | in Securities | Financial Instruments* |
Level 1 - Quoted Prices | $2,014,647 | $236,241 |
Level 2 - Other Significant Observable Inputs | 40,791,061 | -- |
Level 3 - Significant Unobservable Inputs | 1,722,744 | -- |
Total | $44,528,452 | $236,241 |
* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/ depreciation on the instrument.
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Balance as of 9/30/08 | $1,214,650 |
Accrued discounts/ premiums | 11,023 |
Realized gain (loss) | 24,788 |
Change in unrealized appreciation (depreciation) | (246,347) |
Net purchases (sales) | 426,207 |
Transfers in and/ or out of Level 3 | 292,423 |
Balance as of 3/31/09 | $1,722,744 |
For the period ended March 31, 2009, total change in unrealized gain (loss) on Level 3 securities included in the change in net assets was ($530,343). Total unrealized gain (loss) for all securities (including Level 1 and Level 2) can be found on the accompanying Statement of Operations.
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Futures Contracts: The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms.
Short Sales: The Fund may use a hedging technique that involves short sales of U.S. Treasury securities for the purposes of managing the duration of the Fund. Any short sales are "covered" with an equivalent amount of high-quality, liquid securities.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Fund's understanding of the applicable country's tax rules and rates. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. (See Schedule of Investments footnotes on page 16.) A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Foreign Currency Transactions: The Fund's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are translated into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on securities and foreign currencies.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund. The redemption fee is paid to the Class of the Fund from which the redemption is made, and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.
Expense Offset Arrangements: The Fund has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. Such a deposit arrangement may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements or in any of the open tax years; thus, no provision for income tax is required. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
New Accounting Pronouncements: In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives a monthly fee based on an annual rate of .40% of the Fund's average daily net assets.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2010. The contractual expense cap is 1.25%. For the purposes of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
Calvert Administrative Services Company, an affiliate of the Advisor, provides administrative services to the Fund for an annual fee, payable monthly, of .30% of the average daily net assets.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. The Distribution Plan, adopted by Class A shares, allows the Fund to pay the Distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed .50% annually of the Fund's average daily net assets of Class A. The amount actually paid by the Fund is an annualized fee, payable monthly of .25% of the Fund's average daily net assets of Class A.
The Distributor received $9,123 as its portion of the commissions charged on sales of the Fund's Class A shares for the six months ended March 31, 2009.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received a fee of $4,386 for the six months ended March 31, 2009. Boston Financial Data Services, Inc., is the transfer and dividend disbursing agent.
Each Trustee of the Fund who is not an employee of the Advisor or its affiliates receives an annual retainer of $32,000 plus up to $1,500 for each Board and Committee meeting attended. Trustee's fees are allocated to each of the funds served.
Note C -- Investment Activity
During the period, the cost of purchases and proceeds from sales of investments, other than short-term and U.S. government securities, were $35,067,030 and $28,250,319, respectively. U.S. government security purchases and sales were $64,402,541 and $72,242,380, respectively.
The cost of investments owned at March 31, 2009 for federal income tax purposes was $47,170,319. Net unrealized depreciation aggregated $2,641,867, of which $324,137 related to appreciated securities and $2,966,004 related to depreciated securities.
The Fund may sell or purchase securities to and from other Funds managed by the Advisor, typically short-term variable demand notes. Interportfolio transactions are primarily used for cash management purposes. Interportfolio transactions are made pursuant to Rule 17a-7 of the Investment Company Act of 1940. For the six months ended March 31, 2009, there were $300,000 such sales transactions.
Note D -- Line of Credit
A financing agreement is in place with certain Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Fund had no loans outstanding pursuant to this line of credit at March 31, 2009. For the six months ended March 31, 2009, borrowings by the Fund under the Agreement were as follows:
| Average
Daily
Balance | Weighted
Average
Interest
Rate | Maximum
Amount
Borrowed | Month of
Maximum
Amount
Borrowed |
| | $10,646 | 0.76% | $554,625 | November 2008 |
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class A Shares | | 2009 | 2008 | 2007 | |
Net asset value, beginning | | $15.44 | $15.62 | $15.36 | |
Income from investment operations | | | | | |
Net investment income | | .31 | .62 | .62 | |
Net realized and unrealized gain (loss) | | .43 | .20 | .27 | |
Total from investment operations | | .74 | .82 | .89 | |
Distributions from | | | | | |
From net investment income | | (.30) | (.61) | (.61) | |
Net realized gain | | (.49) | (.39) | (.02) | |
Total distributions | | (.79) | (1.00) | (.63) | |
Total increase (decrease) in net asset value | | (.05) | (.18) | .26 | |
Net asset value, ending | | $15.39 | $15.44 | $15.62 | |
| | | | | | |
Total return* | | 5.03% | 5.31% | 5.92% | |
Ratios to average net assets:A | | | | | |
Net investment income | | 4.10% (a) | 3.96% | 4.09% | |
Total expenses | | 1.52% (a) | 1.66% | 2.03% | |
Expenses before offsets | | 1.29% (a) | 1.28% | 1.30% | |
Net expenses | | 1.25% (a) | 1.25% | 1.25% | |
Portfolio turnover | | 416% | 604% | 767% | |
Net assets, ending (in thousands) | | $47,642 | $29,532 | $12,139 | |
| | | | | | |
| | | | | | |
| | | Periods Ended | | |
| | | September 30, | September 30, | | |
Class A Shares | | 2006 | 2005^ | | |
Net asset value, beginning | | $15.52 | $15.00 | | |
Income from investment operations | | | | | |
Net investment income | | .58 | .27 | | |
Net realized and unrealized gain (loss) | | .08 | .52 | | |
Total from investment operations | | .66 | .79 | | |
Distributions from | | | | | |
From net investment income | | (.58) | (.27) | | |
Net realized gain | | (.24) | -- | | |
Total distributions | | (.82) | (.27) | | |
Total increase (decrease) in net asset value | | (.16) | .52 | | |
Net asset value, ending | | $15.36 | $15.52 | | |
| | | | | | |
Total return* | | 4.49% | 5.29%** | | |
Ratios to average net assets:A | | | | | |
Net investment income | | 4.04% | 2.41% (a) | | |
Total expenses | | 3.76% | 6.82% (a) | | |
Expenses before offsets | | 1.55% | 1.51% (a) | | |
Net expenses | | 1.25% | 1.25% (a) | | |
Portfolio turnover | | 547% | 931% | | |
Net assets, ending (in thousands) | | $4,995 | $2,051 | | |
See notes to financial highlights.
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
(a) Annualized.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
** Total return would have been 5.15% without the payment by affiliate. On March 30, 2005, the Advisor voluntarily contributed $2,658 to the Fund to reimburse the effect of a realized loss caused by a trading error. This transaction was deemed a "payment by affiliate."
^ From December 31, 2004, inception.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business , expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
Proxy Voting
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Basis for Board's Approval of Investment Advisory Contract
At a meeting held on December 3, 2008, the Board of Trustees, and by a separate vote, the disinterested Trustees, approved the continuance of the Investment Advisory Agreement between The Calvert Fund and the Advisor with respect to the Fund.
In evaluating the Investment Advisory Agreement, the Board considered a variety of information relating to the Fund and the Advisor. The disinterested Trustees reviewed a report prepared by the Advisor regarding various services provided to the Fund by the Advisor and its affiliates. Such report included, among other data, information regarding the Advisor's personnel and the Advisor's revenue and cost of providing services to the Fund, and a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses and fees to comparable mutual funds.
The disinterested Trustees were separately represented by independent legal counsel with respect to their consideration of the reapproval of the Investment Advisory Agreement. Prior to voting, the disinterested Trustees reviewed the proposed continuance of the Investment Advisory Agreement with management and also met in private sessions with their counsel at which no representatives of management were present.
In the course of its deliberations regarding the Investment Advisory Agreement, the Board considered the following factors, among others: the nature, extent and quality of the services provided by the Advisor, including the personnel providing such services; the Advisor's financial condition; the level and method of computing the Fund's advisory fee; comparative performance, fee and expense information for the Fund; the profitability of the Calvert Group of Funds to the Advisor; the direct and indirect benefits, if any, derived by the Advisor from its relationship with the Fund; the effect of the Fund's growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.
In considering the nature, extent and quality of the services provided by the Advisor under the Investment Advisory Agreement, the Board reviewed information provided by the Advisor relating to its operations and personnel, including, among other information, biographical information on the Advisor's investment, supervisory and professional staff and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Advisor as well as the Board's familiarity with management through Board of Trustees' meetings, discussions and other reports. The Board considered the Advisor's management style and its performance in employing its investment strategies, as well as its current level of staffing and overall resources. The Advisor's administrative capabilities, including its ability to supervise the other service providers for the Fund, were also considered. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Advisor under the Investment Advisory Agreement.
In considering the Fund's performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the renewal of the Investment Advisory Agreement, including, among other information, a comparison of the Fund's total return with its Lipper index and with that of other mutual funds deemed to be in its Lipper peer group by an independent third party in its report. This comparison indicated that for the one-year period ended June 30, 2008, the Fund's performance was above the median of its peer group. The data also indicated that the Fund outperformed its Lipper index for the same one-year period. Based upon its review, the Board concluded that the Fund's performance was satisfactory.
In considering the Fund's fees and expenses, the Board compared the Fund's fees and total expense ratio with various comparative data for the funds in its peer group. Among other findings, the data indicated that the Fund's advisory fee (after taking into account waivers and/or reimbursements) was below the median of its peer group and that total expenses (net of waivers and/or reimbursements) were above the median of its peer group. The Board took into account the Advisor's current undertaking to maintain expense limitations for the Class A shares of the Fund, noting that the Advisor was currently reimbursing fund expenses. The Board also noted management's discussion of the Fund's expenses and certain factors that affected the level of such expenses. Based upon its review, the Board concluded that the advisory fee was reasonable in view of the quality of services provided by the Advisor and the other factors considered.
The Board reviewed the Advisor's profitability on a fund-by-fund basis. In reviewing the overall profitability of the advisory fee to the Fund's Advisor, the Board also considered the fact that affiliates of the Advisor provided shareholder servicing and administrative services to the Fund for which they received compensation. The information considered by the Board included Calvert's operating profit margin information both before and after tax expenses with respect to the services that the Advisor and its affiliates provided to the Calvert Group of Funds complex. The Board reviewed the profitability of the Advisor's relationship with the Fund in terms of the total amount of annual advisory fees it received with respect to the Fund and whether the Advisor had the financial wherewithal to continue to provide a high level of services to the Fund. The Board noted that the Advisor had reimbursed expenses of the Fund. The Board also noted the Advisor's current undertaking to maintain expense limitations for the Fund's Class A shares. The Board also considered that the Advisor derived benefits to its reputation and other indirect benefits from its relationship with the Fund. Based upon its review, the Board concluded that the Advisor's level of profitability from its relationship with the Fund was reasonable.
The Board considered the effect of the Fund's size and potential growth on its performance and expenses. The Board concluded that adding breakpoints to the advisory fee at specified asset levels would not be appropriate given the Fund's current size and that the Advisor was currently reimbursing fund expenses in excess of the entire advisory fee. The Board noted that if the Fund's assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
In reapproving the Investment Advisory Agreement, the Board, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
Conclusions
The Board reached the following conclusions regarding the Investment Advisory Agreement, among others: (a) the Advisor has demonstrated that it possessed the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) the Advisor maintains appropriate compliance programs; (c) performance of the Fund is satisfactory relative to the performance of funds with similar investment objectives and to relevant indices; (d) the Advisor is likely to execute its investment strategies consistently over time; and (e) the Fund's advisory fee is reasonable relative to those of similar funds and to the services to be provided by the Advisor. Based on its conclusions, the Board determined that reapproval of the Investment Advisory Agreement would be in the best interests of the Fund and its shareholders.
Calvert Long-Term Income Fund
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Calvert Group
c/o BFDS
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Kansas City, MO 64105
Web Site
http://www.calvert.com
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
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March 31, 2009
Semi-Annual Report
Calvert Ultra-Short
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Table of Contents
President's Letter
1
Portfolio Management Discussion
4
Shareholder Expense Example
7
Schedule of Investments
9
Statement of Assets and Liabilities
13
Statement of Operations
14
Statements of Changes in Net Assets
15
Notes to Financial Statements
16
Financial Highlights
21
Explanation of Financial Tables
22
Proxy Voting and Availability of Quarterly Portfolio Holdings
24
Basis for Board's Approval of Investment Advisory Contract
24
Dear Shareholder:
The six months ended March 31, 2009 was a period of extraordinary turmoil and challenge in the financial markets. The financial system moved from the brink of collapse at the end of 2008 to showing some signs of stabilization in 2009. In an unprecedented fashion, virtually all major asset classes plummeted during September and October 2008 following the failure of brokerage firm Lehman Brothers. It was an extremely difficult period for all investors, particularly those whose portfolios were not shielded by the traditionally more stable fixed-income asset class. While many bond funds posted losses, they were generally not as dramatic as the declines in equity portfolios.
Facing an uncertain business and credit environment, and a faltering global economy, investors fled to the perceived safety of Treasuries and money market funds despite their low yields. By year-end, the yields of corporate bonds stood at historically high levels compared to the yields of Treasuries with similar maturities. The Barclays Capital U.S. Credit Index ended the year with a yield spread over comparable Treasuries of 515 basis points (a basis point is 0.01 percentage points), compared to a 10-year monthly average of approximately 150 basis points. In early 2009, however, the credit markets started to thaw as investors snapped up new corporate bond issues. By March, investors' enthusiasm for corporate debt had moderated.
Against this volatile backdrop, Calvert's fixed-income funds were not immune to the credit market turmoil. However, intensive credit-quality research and relative-value analysis did help us moderate, to some extent, the declines in the fixed-income portfolios that we manage.
Relief for Markets Under Pressure
Fortunately, in our view, government intervention to shore up the financial system and reinvigorate the economy has begun to take hold. The Federal Reserve and Treasury are doing all they can to get credit flowing freely through the system again, as are policy makers around the globe. The Treasury's new Public-Private Investment Partnership, announced in March, is designed to remove toxic assets from bank balance sheets and encourage lending to businesses and consumers, which is essential for market recovery.
With concerted action on the home front, and the type of global cooperation signified at the G20 meeting, we believe investor confidence will be restored and our financial systems will recover--slowly, and with new financial oversight, transparency, and regulations in place. As the markets grow more convinced that the global recovery has legs, we expect to see greater investor demand for assets offering higher yield and total return potential.
Confidence in Calvert Funds
As we move through the recession, with the potential for default rates still high, credit research and security selection will continue to be of paramount importance. In this challenging environment, Calvert will bring our 30 years of fixed-income experience to bear. Our taxable fixed-income portfolio management team, led by Senior Vice President Greg Habeeb, will continue to follow its time-tested strategy that seeks to optimize duration, yield curve positioning, sector allocation, and credit quality analysis in selecting securities for our portfolios. (Duration measures a portfolio's sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in price for a given shift in interest rates.)
In December 2008, Calvert became investment advisor to Calvert High Yield Bond Fund and Calvert Short-Term Government Fund, which are portfolios formerly managed by Summit Investment Partners. In addition, on December 31, 2008, we launched Calvert Government Fund. We look forward to managing these Funds, which will give Calvert investors more ways to diversify their bond fund allocations.
Recently, Calvert Long-Term Income Fund (Class A shares) was among the winners of the 2009 Lipper award, marking its second consecutive year of winning the award. The award is given to the Fund with the highest score for consistent returns relative to its peers. Calvert Long-Term Income Fund was ranked first among 116 funds in the corporate debt BBB rated category as of December 31, 2008, based on its three-year risk-adjusted returns.1
Winning the Lipper award once again validates our investment team's active management strategy that relies on rigorous analysis and independent thinking--an approach we use across all our fixed-income funds.
Consult with Your Financial Advisor
If you're concerned about how to navigate the current market environment, talk with your financial advisor about whether your allocation to bonds is appropriate and well-diversified, given your goals, time horizon, and risk attitudes.
We also encourage you to visit our newly enhanced website, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals. We are committed to continuing our efforts to identify opportunities that emerge in the fixed-income markets while we seek to meet our investors' long-term goals for stability and income. As always, we appreciate your business and hope to continue to serve you in the months and years to come.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
April 2009
1. Lipper Fund Awards are granted annually to the funds in each Lipper classification that achieve the highest score for Consistent Return, a measure of funds' historical risk-adjusted returns. The scores are subject to change every month and are calculated for the following periods: three-year, five-year, 10-year, and overall. The highest 20% of funds in each classification are named Lipper Leaders for Consistent Return. The highest Lipper Leader for Consistent Return value within each eligible classification determines the fund classification winner over three, five, or 10 years. Lipper Fund Awards are not intended to predict future results, and Lipper does not guarantee the accuracy of this information. Source: Lipper, Inc.
Past performance is no guarantee of future results. Please keep in mind investment in mutual funds involves risk, including possible loss of principal invested.
For more complete information on any Calvert Fund, call your advisor or visit our website for a prospectus. An investor
should consider the investment objectives, risks, charges and expenses of an investment carefully before investing.
The prospectus contains this and other information. Read it carefully before you invest or send money.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager of Calvert Asset Management Company
Performance
For the six months ended March 31, 2009, Calvert Ultra-Short Income Fund Class A shares (at NAV) returned 1.24% versus 1.70% for the benchmark Barclays Capital Short Treasury 9-12 Month Index. A short duration relative to the Index hurt performance, as did exposure to several bonds that were significantly marked down during the period. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest rate movements.)
Investment Climate
The period can be broken down into two distinct halves. From October through December, a widespread panic that major global financial firms would fall like dominoes in the aftermath of the Lehman Brothers collapse roiled the credit markets. The markets for long-term credit froze and short-term money markets seized up until a variety of government programs helped calm the market before year-end. The difference in yields between bonds of high and low credit quality soared to record highs as
Portfolio Statistics
March 31, 2009
Investment Performance
(total return at NAV*)
| 6 Months
ended
3/31/09 | 12 Months
ended
3/31/09 |
Class A | 1.24% | 3.46% |
Barclays Capital Short Treasury 9-12 Month Index** | 1.70% | 2.63% |
Lipper Ultra-Short Obligations Funds Average | -3.10% | -4.47% |
| | | |
Maturity Schedule | | |
| | Weighted Average |
| | 3/31/09 | 9/30/08 |
| | 94 days | 94 days |
| | | |
SEC Yield | | |
| | 30 days ended |
| | 3/31/09 | 9/30/08 |
| | 1.91% | 2.23% |
| | | |
Economic Sectors | % of total investments | |
| |
Asset Backed Securities | 16.0% | |
Basic Materials | 0.2% | |
Communications | 1.5% | |
Consumer, Cyclical | 1.1% | |
Consumer, Non-cyclical | 1.8% | |
Financial | 30.1% | |
Government | 47.2% | |
Industrial | 0.4% | |
Mortgage Securities | 0.2% | |
Technology | 0.4% | |
Utilities | 1.1% | |
Total | 100% | |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 1.25% front-end sales charge or any deferred sales charge.
**Source: Lipper Analytical Services, Inc.
________________________________________________
liquidity evaporated from the markets.
The impact of the then 18-month-old crisis in the credit markets on the overall U.S. economy worsened. In the fourth quarter of 2008, economic growth, as measured by gross domestic product (GDP), declined at a 6.3% annual pace1--the worst quarterly performance since 1982. Concerns spread about a protracted recession. In December, the Fed cut the federal funds rate, its target interest rate, to near zero percent and aggressively sought to push down mortgage rates by buying mortgage-backed securities.
In the first quarter of 2009, most sectors of the credit markets thawed at least a bit and the window for new issues of investment-grade corporate bonds opened wide. The government also undertook a number of new initiatives to get the credit taps flowing to consumers again. On the other hand, two major U.S. automakers moved toward bankruptcy and several "rescued" organizations needed more government capital. Still, a relaxation of accounting rules and concrete signs of global cooperation at the G20 meeting cheered equity and credit markets at quarter-end.
During the reporting period, the yield on the benchmark 10-year Treasury note fell more than one percentage point to 2.71%. The rush to safety caused Treasury bill yields to plunge to the lowest levels since World War II, with the three-month T-bill yield falling to 0.21%.2 Headline inflation slid to a 0.2% pace for February 2009 while core inflation was 1.8%.3 GDP was expected to shrink at a 4.6% pace during the first quarter of 2009.4
Portfolio Strategy
The Fund was managed throughout the period with a short duration relative to the passive benchmark, which hurt performance in a period when interest rates fell significantly. The Fund's exposure to several particular corporate bonds and industry sectors hurt returns.
This includes a small allocation to securities issued by an Icelandic bank that was nationalized by the Icelandic government in early October. Their valuation fell to almost zero in the fourth quarter of 2008 before rebounding slightly in early 2009. Price markdowns on many corporate bonds, including Tier 1 Capital notes (which are issued by banks to meet regulatory capital requirements), also negatively impacted returns.
On the other hand, a position in an auction-rate security producing a high level of
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
(with max. load)
| | Class A Shares |
One year | 2.15% |
Since Inception | 3.57% |
(10/31/06) | |
Past performance does not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance does not predict future results.
___________________________________
income boosted returns. Active trading of U.S. Treasury securities also helped offset some of the negative impact of the credit markdowns and short relative duration.
Outlook
We expect the credit markets to continue to recover but do not expect a return to the heady times of a few years ago. Since financial institutions must rebuild capital, they are not inclined to flood their balance sheets with new loans. Continued government intervention in the credit markets will remain a signature of this financial crisis.
Overall, we expect the economy will contract for 2009, with the worst quarters in the first half of 2009. We also believe the federal funds rate will remain near zero percent. The good news for investors is that we do not expect a protracted period of consumer price deflation as seen earlier this decade in Japan.
April 2009
1 GDP data source: Commerce Department.
2 All interest rates data source: Federal Reserve.
3 Source: Bureau of Labor Statistics consumer price indexes.
4 Source: Wall Street Journal Economic Forecasting Survey, March 2009.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2008 to March 31, 2009).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
10/1/08 | Ending Account
Value
3/31/09 | Expenses Paid
During Period*
10/1/08 - 3/31/09 |
Actual | $1,000.00 | $1,012.40 | $4.47 |
Hypothetical | $1,000.00 | $1,020.49 | $4.48 |
(5% return per year before expenses) |
*Expenses are equal to the Fund's annualized expense ratio of 0.89%, multiplied by the average account value over the period, multiplied by 182/365.
Schedule of Investments
March 31, 2009
| | PRINCIPAL | |
ASSET BACKED SECURITIES - 14.9% | AMOUNT | VALUE |
AmeriCredit Automobile Receivables Trust: | | |
4.87%, 12/6/10 | $26,989 | $26,808 |
5.20%, 3/6/11 | 82,286 | 81,123 |
5.56%, 9/6/11 | 18,942 | 18,660 |
5.21%, 10/6/11 | 24,876 | 23,629 |
0.598%, 5/6/12 (r) | 308,468 | 282,719 |
4.63%, 6/6/12 | 384,962 | 363,997 |
1.168%, 7/6/12 (r) | 120,319 | 112,889 |
Americredit Prime Automobile Receivable, 5.27%, 11/8/11 | 157,748 | 155,172 |
Banc of America Securities Auto Trust, 5.18%, 6/18/10 | 86,186 | 86,438 |
Capital Auto Receivables Asset Trust: | | |
5.04%, 5/17/10 | 49,763 | 49,889 |
0.616%, 7/15/10 (r) | 102,558 | 98,453 |
4.73%, 9/15/10 | 884,000 | 872,511 |
0.656%, 2/15/11 (r) | 100,000 | 89,691 |
5.00%, 4/15/11 | 165,355 | 165,556 |
4.98%, 5/15/11 | 271,979 | 272,285 |
1.256%, 11/15/11 (r) | 500,000 | 468,423 |
0.836%, 2/15/14 (r) | 389,207 | 359,601 |
Capital One Auto Finance Trust, 0.596%, 10/15/12 (r) | 646,321 | 589,994 |
Carmax Auto Owner Trust, 1.256%, 4/15/11 (r) | 409,559 | 403,636 |
Daimler Chrysler Auto Trust: | | |
4.20%, 7/8/10 | 108,053 | 107,920 |
4.98%, 2/8/11 | 172,615 | 173,197 |
4.98%, 11/8/11 | 50,000 | 49,405 |
Ford Credit Auto Owner Trust: | | |
1.156%, 7/15/10 (r) | 71,502 | 70,609 |
5.26%, 10/15/10 | 208,456 | 209,154 |
5.16%, 11/15/10 | 179,930 | 180,755 |
5.07%, 12/15/10 | 186,492 | 186,277 |
GE Capital Credit Card Master Note Trust, 0.596%, 3/15/13 (r) | 160,000 | 152,467 |
GE Dealer Floorplan Master Note Trust, 0.555%, 4/20/11 (r) | 75,000 | 74,653 |
GS Auto Loan Trust: | | |
5.39%, 12/15/11 | 128,067 | 130,051 |
4.56%, 11/15/13 | 94,052 | 94,020 |
Harley-Davidson Motorcycle Trust: | | |
1.456%, 11/15/11 (r) | 95,463 | 93,552 |
5.10%, 5/15/12 | 403,689 | 404,894 |
Household Automotive Trust: | | |
5.43%, 6/17/11 | 192,257 | 192,092 |
5.61%, 8/17/11 | 70,101 | 69,740 |
5.28%, 9/17/11 | 95,363 | 94,983 |
4.35%, 6/18/12 | 235,707 | 227,889 |
4.55%, 7/17/12 | 110,391 | 107,433 |
Hyundai Auto Receivables Trust, 4.18%, 2/15/12 | 118,973 | 119,495 |
Triad Auto Receivables Owner Trust: | | |
4.77%, 1/12/11 | 7,579 | 7,562 |
5.35%, 3/14/11 | 3,341 | 3,334 |
SEMI-ANNUAL REPORT (UNAUDITED) CALVERT ULTRA-SHORT INCOME | | |
| | PRINCIPAL | |
ASSET BACKED SECURITIES - CONT'D | AMOUNT | VALUE |
Triad Auto Receivables Owner Trust (Cont'd): | | |
5.28%, 2/13/12 | $600,000 | $591,071 |
4.22%, 6/12/12 (b) | 56,470 | 54,493 |
Wachovia Auto Loan Owner Trust, 5.10%, 7/20/11 (e) | 46,902 | 46,972 |
WFS Financial Owner Trust: | | |
4.57%, 11/19/12 | 41,862 | 41,672 |
4.39%, 5/17/13 | 59,651 | 59,519 |
Total Asset-Backed Securities (Cost $7,942,053) | | 8,064,683 |
COLLATERALIZED MORTGAGE-BACKED | | |
OBLIGATIONS (PRIVATELY ORIGINATED) - 0.2% | | |
Adjustable Rate Mortgage Trust, 0.922%, 2/25/35 (b)(r) | 4,290 | 1,998 |
Impac CMB Trust: | | |
1.302%, 10/25/34 (r) | 4,664 | 2,378 |
0.782%, 4/25/35 (r) | 5,478 | 2,067 |
0.792%, 5/25/35 (r) | 53,614 | 22,058 |
MLCC Mortgage Investors, Inc.: | | |
0.892%, 3/25/28 (r) | 26,524 | 17,855 |
0.752%, 4/25/29 (r) | 11,533 | 8,641 |
0.802%, 7/25/29 (r) | 16,682 | 11,000 |
0.752%, 3/25/30 (r) | 7,231 | 5,009 |
Sequoia Mortgage Trust, 0.865%, 11/20/34 (r) | 33,863 | 19,520 |
Total Collateralized Mortgage-Backed Obligations | | |
(Privately Originated) (Cost $140,237) | | 90,526 |
CORPORATE BONDS - 33.9% | | |
Ahold Finance USA, Inc., 6.25%, 5/1/09 | 300,000 | 296,250 |
American Express Centurion Bank, 0.637%, 7/13/10 (r) | 60,000 | 55,182 |
American Express Credit Corp., 0.578%, 4/6/09 (r) | 120,000 | 119,956 |
BAC Capital Trust XV, 2.061%, 6/1/56 (r) | 1,600,000 | 396,981 |
Bank of America Corp., 1.474%, 4/30/12 (r) | 500,000 | 502,241 |
Bear Stearns Co's, Inc.: | | |
1.554%, 9/9/09 (r) | 150,000 | 149,204 |
1.341%, 2/23/10 (r) | 150,000 | 148,222 |
BP Capital Markets plc, 2.316%, 3/17/11 (r) | 750,000 | 747,296 |
Capital One Financial Corp., 1.573%, 9/10/09 (r) | 575,000 | 560,460 |
Cargill, Inc., 2.383%, 1/21/11 (e)(r) | 75,000 | 74,812 |
Caterpillar Financial Services Corp.: | | |
1.448%, 10/9/09 (r) | 400,000 | 394,838 |
1.691%, 2/8/10 (r) | 50,000 | 49,030 |
1.736%, 8/6/10 (r) | 70,000 | 67,428 |
1.976%, 6/24/11 (r) | 200,000 | 186,875 |
Chase Capital VI, 1.795%, 8/1/28 (r) | 250,000 | 101,907 |
CIT Group, Inc.: | | |
1.358%, 8/17/09 (r) | 20,000 | 18,450 |
1.451%, 3/12/10 (r) | 30,000 | 24,225 |
Citigroup Funding, Inc.: | | |
0.523%, 4/23/09 (r) | 50,000 | 49,855 |
1.226%, 6/26/09 (r) | 300,000 | 294,816 |
1.514%, 4/30/12 (r) | 500,000 | 502,993 |
SEMI-ANNUAL REPORT (UNAUDITED) CALVERT ULTRA-SHORT INCOME | | |
| | PRINCIPAL | |
CORPORATE BONDS - CONT'D | AMOUNT | VALUE |
Citigroup, Inc., 1.336%, 5/18/11 (r) | $100,000 | $80,749 |
Comcast Corp., 1.46%, 7/14/09 (r) | 700,000 | 696,647 |
Discover Financial Services, 1.861%, 6/11/10 (r) | 60,000 | 51,828 |
Dominion Resources, Inc., 2.366%, 6/17/10 (r) | 90,000 | 88,476 |
FMG Finance Pty Ltd., 5.261%, 9/1/11 (e)(r) | 55,000 | 46,750 |
Ford Motor Co., 7.125%, 11/15/25 | 120,000 | 34,800 |
General Electric Capital Corp., 1.584%, 6/8/12 (r) | 150,000 | 150,470 |
Giants Stadium LLC: | | |
0.612%, 4/1/47 (b)(e)(r) | 1,500,000 | 1,500,000 |
0.62%, 4/1/47 (b)(e)(r) | 1,000,000 | 1,000,000 |
Glitnir Banki HF: | | |
2.95%, 10/15/08 (b)(v)(y) | 120,000 | 14,400 |
4/20/10 (b)(e)(r)(w)(y) | 50,000 | 6,000 |
3.226%, 1/21/11 (b)(e)(r)(w)(y) | 30,000 | 3,600 |
Goldman Sachs Group, Inc.: | | |
6.65%, 5/15/09 | 275,000 | 275,878 |
1.455%, 7/23/09 (r) | 150,000 | 148,845 |
1.491%, 11/9/11 (r) | 500,000 | 501,547 |
1.516%, 3/15/12 (r) | 300,000 | 300,674 |
1.832%, 9/29/14 (r) | 250,000 | 182,024 |
Hewlett-Packard Co., 3.00%, 2/24/11 (r) | 200,000 | 201,511 |
Home Depot, Inc., 1.445%, 12/16/09 (r) | 500,000 | 490,067 |
HRPT Properties Trust, 1.92%, 3/16/11 (r) | 150,000 | 113,028 |
Ingersoll-Rand Global Holding CoLtd., 2.731%, 8/13/10 (r) | 150,000 | 139,324 |
John Deere Capital Corp.: | | |
1.373%, 10/16/09 (r) | 500,000 | 497,794 |
1.843%, 1/18/11 (r) | 100,000 | 95,793 |
2.043%, 6/10/11 (r) | 300,000 | 285,528 |
JPMorgan Chase & Co.: | | |
7.00%, 11/15/09 | 50,000 | 51,020 |
1.623%, 1/22/10 (r) | 50,000 | 49,431 |
1.362%, 4/1/11 (r) | 500,000 | 499,525 |
1.55%, 6/15/12 (r) | 300,000 | 300,817 |
JPMorgan Chase Capital XXIII, 2.238%, 5/15/47 (r) | 250,000 | 97,295 |
Koninklijke Philips Electronics NV, 2.463%, 3/11/11 (r) | 70,000 | 66,946 |
M&I Marshall & Ilsley Bank, 1.536%, 12/4/12 (r) | 25,000 | 18,682 |
Merrill Lynch & Co., Inc.: | | |
0.611%, 6/26/09 (r) | 550,000 | 544,961 |
1.328%, 8/14/09 (r) | 50,000 | 48,699 |
MetLife, Inc., 1.542%, 6/29/12 (r) | 600,000 | 600,433 |
Monumental Global Funding III, 1.638%, 8/17/09 (e)(r) | 200,000 | 199,970 |
Morgan Stanley, 1.521%, 2/10/12 (r) | 200,000 | 199,216 |
NationsBank Cap Trust III, 1.644%, 1/15/27 (r) | 30,000 | 10,181 |
Pepco Holdings, Inc., 1.886%, 6/1/10 (r) | 475,000 | 443,133 |
Pfizer, Inc., 3.249%, 3/15/11 (r) | 500,000 | 510,130 |
PNC Funding Corp., 1.42%, 4/1/12 (r) | 500,000 | 499,248 |
ProLogis, 1.496%, 8/24/09 (r) | 200,000 | 187,282 |
Reed Elsevier Capital, Inc., 1.65%, 6/15/10 (r) | 75,000 | 73,706 |
SABMiller plc, 1.735%, 7/1/09 (e)(r) | 25,000 | 24,757 |
Skyway Concession CoLLC, 1.512%, 6/30/17 (b)(e)(r) | 60,000 | 48,548 |
SLM Corp., 1.299%, 7/27/09 (r) | 210,000 | 202,130 |
Sovereign Bank, 2.88%, 8/1/13 (b)(r) | 20,000 | 15,179 |
State Street Bank and Trust Co., 1.499%, 9/15/11 (r) | 500,000 | 501,060 |
| | | |
| | PRINCIPAL | |
CORPORATE BONDS - CONT'D | AMOUNT | VALUE |
Wachovia Capital Trust III, 5.80% to 3/15/11, floating rate | | |
thereafter to 3/29/49 (r) | $400,000 | $144,000 |
Wells Fargo & Co., 1.44%, 6/15/12 (r) | 500,000 | 500,040 |
Weyerhaeuser Co., 2.223%, 9/24/09 (r) | 60,000 | 58,386 |
Xstrata Finance Dubai Ltd., 1.581%, 11/13/09 (e)(r) | 800,000 | 761,296 |
Total Corporate Bonds (Cost $18,587,037) | | 18,302,825 |
| | | |
TAXABLE MUNICIPAL OBLIGATIONS - 0.3% | | |
CIDC-Hudson House LLC New York Revenue VRDN, | | |
3.75%, 12/1/34 (r) | 50,000 | 50,000 |
Middletown New York IDA Revenue VRDN, 3.75%, 6/1/15 (r) | 50,000 | 50,000 |
SunAmerica Trust Revenue VRDN, 1.70%, 7/1/41 (r) | 44,000 | 44,000 |
Total Taxable Municipal Obligations (Cost $144,000) | | 144,000 |
| | | |
U.SGOVERNMENT AGENCIES AND INSTRUMENTALITIES - 43.6% | | |
Federal Home Loan Bank Discount Notes, 4/1/09 | 23,600,000 | 23,600,000 |
Total U.S. Government Agencies And Instrumentalities (Cost $23,600,000) | | 23,600,000 |
| | | |
CERTIFICATES OF DEPOSIT - 0.1% | | |
Deutsche Bank, 1.909%, 6/18/10 (r) | 80,000 | 78,691 |
Total Certificates Of Deposit (Cost $80,000) | | 78,691 |
| | | |
TOTAL INVESTMENTS (Cost $50,493,327) - 93.0% | | 50,280,725 |
Other assets and liabilities, net - 7.0% | | 3,795,266 |
| | | |
NET ASSETS - 100% | | $54,075,991 |
(b) This security was valued by the Board of Trustees. See Note A.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
(v) This security defaulted on principal and interest payment during the period.
(w) This security defaulted on interest payments during the period.
(y) The government of Iceland took control of Glitnir Bank HF (the "Bank") on October 8, 2008. The government has prohibited the Bank from paying any claims owed to foreign entities. As of October 9, 2008, these securities are no longer accruing interest.
Abbreviations:
IDA: Industrial Development Authority
LLC: Limited Liability Corporation
VRDN: Variable Rate Demand Notes
See notes to financial statements.
Statement of Assets and Liabilities
March 31, 2009
Assets | | |
Investments in securities, at value (Cost $50,493,327) - see accompanying schedule | | $50,280,725 |
Cash | | 181,111 |
Receivable for securities sold | | 4,550,033 |
Receivable for shares sold | | 594,528 |
Interest and dividends receivable | | 66,714 |
Other assets | | 7,487 |
Total assets | | 55,680,598 |
| | | |
Liabilities | | |
Payable for securities purchased | | 1,465,223 |
Payable for shares redeemed | | 87,847 |
Payable to Calvert Asset Management Company, Inc. | | 12,042 |
Payable to Calvert Administrative Services Company | | 10,828 |
Payable to Calvert Shareholder Services, Inc. | | 345 |
Payable to Calvert Distributors, Inc. | | 10,828 |
Accrued expenses and other liabilities | | 17,494 |
Total liabilities | | 1,604,607 |
Net Assets | | $54,075,991 |
| | | |
Net Assets Consist of: | | |
Paid-in capital applicable to 3,621,148 shares of | | |
beneficial interest, unlimited number of no par | | |
shares authorized | | $54,185,216 |
Undistributed net investment income | | 42,658 |
Accumulated net realized gain (loss) on investments | | 60,719 |
Net unrealized appreciation (depreciation) on investments | | (212,602) |
| | | |
Net Assets | | $54,075,991 |
| | | |
Net Asset Value Per Share | | $14.93 |
See notes to financial statements.
Statement of Operations
Six Months Ended March 31, 2009
Net Investment Income | | | |
Investment Income: | | | |
Interest income | | $781,024 | |
| | | | |
Expenses: | | | |
Investment advisory fee | | 61,078 | |
Administrative fees | | 50,898 | |
Transfer agency fees and expenses | | 62,665 | |
Distribution Plan expenses | | 50,898 | |
Trustees' fees and expenses | | 710 | |
Custodian fees | | 16,342 | |
Accounting fees | | 3,300 | |
Registration fees | | 7,828 | |
Reports to shareholders | | 2,790 | |
Professional fees | | 9,530 | |
Miscellaneous | | 1,061 | |
Total expenses | | 267,100 | |
Reimbursement from Advisor | | (74,176) | |
Fees paid indirectly | | (11,727) | |
Net expenses | | 181,197 | |
| | | | |
Net Investment Income | | 599,827 | |
| | | | |
Realized and Unrealized Gain (Loss) on Investments | | | |
Net realized gain (loss) | | 86,497 | |
Change in unrealized appreciation (depreciation) | | (81,358) | |
| | | | |
Net Realized and Unrealized Gain | | | |
(Loss) on Investments | | 5,139 | |
| | | | |
Increase (Decrease) in Net Assets | | | |
Resulting From Operations | | $604,966 | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | Six Months Ended | Year Ended | |
| | | March 31, | September 30, | |
Increase (Decrease) in Net Assets | | 2009 | 2008 | |
Operations: | | | | |
Net investment income | | $599,827 | $301,011 | |
Net realized gain (loss) on investments | | 86,497 | 46,817 | |
Change in unrealized appreciation (depreciation) | | (81,358) | (112,649) | |
| | | | | |
Increase (Decrease) in Net Assets | | | | |
Resulting From Operations | | 604,966 | 235,179 | |
| | | | | |
Distributions to shareholders from: | | | | |
Net investment income | | (558,853) | (295,804) | |
Net realized gain | | (75,369) | (23,059) | |
Total distributions | | (634,222) | (318,863) | |
| | | | | |
Capital share transactions: | | | | |
Shares sold | | 35,682,402 | 27,002,128 | |
Reinvestment of distributions | | 568,213 | 283,926 | |
Redemption fees | | 495 | 5,555 | |
Shares redeemed | | (9,478,427) | (3,130,982) | |
Total capital share transactions | | 26,772,683 | 24,160,627 | |
| | | | | |
Total Increase (Decrease) in Net Assets | | 26,743,427 | 24,076,943 | |
| | | | | |
Net Assets | | | | |
Beginning of period | | 27,332,564 | 3,255,621 | |
End of period (including undistributed net investment | | | | |
income of $42,658 and $1,684, respectively) | | $54,075,991 | $27,332,564 | |
| | | | | |
Capital Share Activity | | | | |
Shares sold | | 2,392,916 | 1,799,215 | |
Reinvestment of distributions | | 38,160 | 18,953 | |
Shares redeemed | | (635,605) | (208,909) | |
Total capital share activity | | 1,795,471 | 1,609,259 | |
See notes to financial statements.
Notes to Financial Statements
Note A ---- Significant Accounting Policies
General: The Calvert Ultra-Short Income Fund (the "Fund"), a series of The Calvert Fund, is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. Prior to September 30, 2008, the fund was known as Calvert Ultra-Short Floating Income Fund. The operations of each series are accounted for separately. The Fund offers Class A shares which are sold with a maximum front-end sales charge of 1.25%.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the Fund's net asset value determination, that are expected to materially affect the value of those securities, then the y are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Fund may invest in securities whose resale is subject to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
At March 31, 2009, securities valued at $2,644,218, or 4.9% of net assets, were fair valued in good faith under the direction of the Board of Trustees.
Effective October 1, 2008, the Fund adopted Financial Accounting Standards Board Statement on Financial Accounting Standards No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund's investments and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.
The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2009:
Valuation Inputs | Investments in Securities |
Level 1 - Quoted Prices | -- |
Level 2 - Other Significant Observable Inputs | $47,636,507 |
Level 3 - Significant Unobservable Inputs | 2,644,218 |
Total | $50,280,725 |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Balance as of 9/30/08 | $49,267 |
Accrued discounts/ premiums | 78 |
Realized gain (loss) | -- |
Change in unrealized appreciation (depreciation) | (106,398) |
Net purchases (sales) | 2,674,493 |
Transfers in and/ or out of Level 3 | 26,778 |
Balance as of 3/31/09 | $2,644,218 |
For the period ended March 31, 2009, total change in unrealized gain (loss) on Level 3 securities included in the change in net assets was ($152,534). Total unrealized gain (loss) for all securities (including Level 1 and Level 2) can be found on the accompanying Statement of Operations.
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Short Sales: The Fund may use a hedging technique that involves short sales of U.S. Treasury securities for the purposes of managing the duration of the Fund. Any short sales are "covered" with an equivalent amount of high-quality, liquid securities.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Fund's understanding of the applicable country's tax rules and rates. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. (See Schedule of Investments footnotes on page 12.) A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 7 days of purchase in the same Fund. The redemption fee is paid to the Class of the Fund from which the redemption is made, and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.
Expense Offset Arrangements: The Fund has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. Such a deposit arrangement may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements or in any of the open tax years; thus, no provision for income tax is required. Each of the Fund's federal tax returns for any prior open fiscal years remains subject to examination by the Internal Revenue Service.
New Accounting Pronouncements: In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives a monthly fee based on an annual rate of .30% of the first $1 billion of the Fund's average daily net assets, and .29% of all assets above $1 billion.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2010. The contractual expense cap is .89%. For the purposes of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
Calvert Administrative Services Company, an affiliate of the Advisor, provides administrative services to the Fund for an annual fee, payable monthly, of .25% of the average daily net assets.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. The Distribution Plan, adopted by Class A shares, allows the Fund to pay the Distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed .50% annually of the Fund's average daily net assets of Class A. The amount actually paid by the Fund is an annualized fee, payable monthly of .25% of the Fund's average daily net assets of Class A.
The Distributor received $3,697 as its portion of the commissions charged on sales of the Fund's Class A shares for the six months ended March 31, 2009.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received a fee of $1,413 for the six months ended March 31, 2009. Boston Financial Data Services, Inc., is the transfer and dividend disbursing agent.
Each Trustee of the Fund who is not an employee of the Advisor or its affiliates receives an annual retainer of $32,000 plus up to $1,500 for each Board and Committee meeting attended. Trustee's fees are allocated to each of the funds served.
Note C -- Investment Activity
During the period, the cost of purchases and proceeds from sales of investments, other than short-term and U.S. government securities, were $28,355,564 and $11,715,474, respectively. U.S. government security purchases and sales were $15,242,132 and $15,351,148, respectively.
The cost of investments owned at March 31, 2009 for federal income tax purposes was $50,495,168. Net unrealized depreciation aggregated $214,443, of which $269,517 related to appreciated securities and $483,960 related to depreciated securities.
Note D -- Line of Credit
A financing agreement is in place with certain Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Fund had no loans outstanding pursuant to this line of credit during the six months ended March 31, 2009.
Financial Highlights
| | | | Periods Ended | | |
| | | March 31, | September 30, | September 30, | |
Class A Shares | | 2009 | 2008 | 2007^ | |
Net asset value, beginning | | $14.97 | $15.04 | $15.00 | |
Income from investment operations | | | | | |
Net investment income | | .20 | .60 | .61 | |
Net realized and unrealized gain (loss) | | (.02) | .04 | .03 | |
Total from investment operations | | .18 | .64 | .64 | |
Distributions from | | | | | |
Net investment income | | (.19) | (.61) | (.60) | |
Net realized gain | | (.03) | (.10) | -- | |
Total distributions | | (.22) | (.71) | (.60) | |
Total increase (decrease) in net asset value | | (.04) | (.07) | .04 | |
Net asset value, ending | | $14.93 | $14.97 | $15.04 | |
| | | | | | |
Total return* | | 1.24% | 4.34% | 4.34% | |
Ratios to average net assets:A | | | | | |
Net investment income | | 2.95% (a) | 3.57% | 4.52% (a) | |
Total expenses | | 1.31% (a) | 2.09% | 3.90% (a) | |
Expenses before offsets | | .95% (a) | .92% | 1.05% (a) | |
Net expenses | | .89% (a) | .89% | .89% (a) | |
Portfolio turnover | | 176% | 475% | 506% | |
Net assets, ending (in thousands) | | $54,076 | $27,333 | $3,256 | |
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
(a) Annualized.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end sales charge.
^ From October 31, 2006, inception.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business , expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
Proxy Voting
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Basis for Board's Approval of Investment Advisory Contract
At a meeting held on December 3, 2008, the Board of Trustees, and by a separate vote, the disinterested Trustees, approved the continuance of the Investment Advisory Agreement between The Calvert Fund and the Advisor with respect to the Fund.
In evaluating the Investment Advisory Agreement, the Board considered a variety of information relating to the Fund and the Advisor. The disinterested Trustees reviewed a report prepared by the Advisor regarding various services provided to the Fund by the Advisor and its affiliates. Such report included, among other data, information regarding the Advisor's personnel and the Advisor's revenue and cost of providing services to the Fund, and a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses, and fees to comparable mutual funds.
The disinterested Trustees were separately represented by independent legal counsel with respect to their consideration of the reapproval of the Investment Advisory Agreement. Prior to voting, the disinterested Trustees reviewed the proposed continuance of the Investment Advisory Agreement with management and also met in private sessions with their counsel at which no representatives of management were present.
In the course of its deliberations regarding the Investment Advisory Agreement, the Board considered the following factors, among others: the nature, extent and quality of the services provided by the Advisor, including the personnel providing such services; the Advisor's financial condition; the level and method of computing the Fund's advisory fee; comparative performance, fee and expense information for the Fund; the profitability of the Calvert Group of Funds to the Advisor; the direct and indirect benefits, if any, derived by the Advisor from its relationship with the Fund; the effect of the Fund's growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.
In considering the nature, extent and quality of the services provided by the Advisor under the Investment Advisory Agreement, the Board reviewed information provided by the Advisor relating to its operations and personnel, including, among other information, biographical information on the Advisor's investment, supervisory and professional staff and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Advisor as well as the Board's familiarity with management through Board of Trustees' meetings, discussions and other reports. The Board considered the Advisor's management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Advisor's administrative capabilities, including its ability to supervise the other service providers for the Fund, were also considered. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Advisor under the Investment Advisory Agreement.
In considering the Fund's performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. The Board also reviewed various comparative data provided to it in connection with its consideration of the renewal of the Investment Advisory Agreement.
The Board also reviewed various comparative data provided to it in connection with its consideration of the renewal of the Investment Advisory Agreement, including, among other information, a comparison of the Fund's total return with its Lipper index and with that of other mutual funds deemed to be in its peer group by an independent third party in its report. This comparison indicated that the Fund's performance was above the median of its peer group for the one-year period ended June 30, 2008. The data also indicated that the Fund outperformed its Lipper index for the same one-year period. Based upon its review, the Board concluded that the Fund's performance was satisfactory.
In considering the Fund's fees and expenses, the Board compared the Fund's fees and total expense ratio with various comparative data for the funds in its peer group. Among other findings, the data indicated that the Fund's advisory fee (after taking into account waivers and/or reimbursements) and total expenses (net of waivers and/or reimbursements) were below the median of its peer group. The Board also took into account the Advisor's current undertakings to maintain expense limitations for the Fund, noting that the Advisor was currently reimbursing fund expenses in excess of the entire advisory fee for Class A shares. The Board also noted management's discussion of the Fund's expenses and certain factors that affected the level of such expenses. Based upon its review, the Board concluded that the advisory fee was reasonable in view of the quality of services provided by the Advisor.
The Board reviewed the Advisor's profitability on a fund-by-fund basis. In reviewing the overall profitability of the advisory fee to the Fund's Advisor, the Board also considered the fact that affiliates of the Advisor provided shareholder servicing and administrative services to the Fund for which they received compensation. The information considered by the Board included Calvert's operating profit margin information both before and after tax expenses with respect to the services that the Advisor and its affiliates provided to the Calvert Group of Funds complex. The Board reviewed the profitability of the Advisor's relationship with the Fund in terms of the total amount of annual advisory fees it received with respect to the Fund and whether the Advisor had the financial wherewithal to continue to provide a high level of services to the Fund. The Board noted that the Advisor had reimbursed expenses of the Fund. The Board also noted the Advisor's current undertaking to maintain expense limitations for the Fund's Class A shares. The Trustees also considered that the Advisor derived benefits to its reputation and other indirect benefits from its relationship with the Fund. Based upon its review, the Board concluded that the Advisor's level of profitability from its relationship with the Fund was reasonable.
The Board considered the effect of the Fund's current size and potential growth on its performance and fees. The Board took into account that the Fund's advisory fee schedule contained breakpoints that would reduce the advisory fee rate on assets above specified levels as the Fund's assets increased. The Board noted that the Fund had not yet reached the specified asset level at which a breakpoint to its advisory fee would be triggered. The Board also noted that if the Fund's assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses
In reapproving the Investment Advisory Agreement, the Board, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
Conclusions
The Board reached the following conclusions regarding the Investment Advisory Agreement, among others: (a) the Advisor has demonstrated that it possessed the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) the Advisor maintains appropriate compliance programs; (c) performance of the Fund is satisfactory relative to the performance of funds with similar investment objectives and to relevant indices; (d) the Advisor is likely to execute its investment strategies consistently over time; and (e) the Fund's advisory fee is reasonable relative to those of similar funds and to the services to be provided by the Advisor. Based on its conclusions, the Board determined that reapproval of the Investment Advisory Agreement would be in the best interests of the Fund and its shareholders.
Calvert Ultra-Short Income Fund
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Calvert Group
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Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
Tax-Exempt Money Market Funds
CTFR Money Market Portfolio
Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
CTFR Vermont Municipal Portfolio
National Muni. Intermediate Fund
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Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Income Fund
Government Fund
Short-Term Government Fund
High-Yield Bond Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Calvert Large Cap Value Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Calvert Social Index Fund
Calvert Small Cap Value Fund
Calvert Mid Cap Value Fund
Calvert Global Alternative Energy Fund
Calvert International Opportunities Fund
Calvert Global Water Fund
Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
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Calvert
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March 31, 2009
Semi-Annual Report
Calvert Government Fund
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Table of Contents
President's Letter
1
Portfolio Management Discussion
4
Shareholder Expense Example
7
Schedule of Investments
9
Statement of Assets and Liabilities
11
Statement of Operations
12
Statement of Changes in Net Assets
13
Notes to Financial Statements
14
Financial Highlights
19
Explanation of Financial Tables
21
Proxy Voting and Availability of Quarterly Portfolio Holdings
23
Basis for Board's Approval of Investment Advisory Contract
23
Dear Shareholder:
The six months ended March 31, 2009 was a period of extraordinary turmoil and challenge in the financial markets. The financial system moved from the brink of collapse at the end of 2008 to showing some signs of stabilization in 2009. In an unprecedented fashion, virtually all major asset classes plummeted during September and October 2008 following the failure of brokerage firm Lehman Brothers. It was an extremely difficult period for all investors, particularly those whose portfolios were not shielded by the traditionally more stable fixed-income asset class. While many bond funds posted losses, they were generally not as dramatic as the declines in equity portfolios.
Facing an uncertain business and credit environment, and a faltering global economy, investors fled to the perceived safety of Treasuries and money market funds despite their low yields. By year-end, the yields of corporate bonds stood at historically high levels compared to the yields of Treasuries with similar maturities. The Barclays Capital U.S. Credit Index ended the year with a yield spread over comparable Treasuries of 515 basis points (a basis point is 0.01 percentage points), compared to a 10-year monthly average of approximately 150 basis points. In early 2009, however, the credit markets started to thaw as investors snapped up new corporate bond issues. By March, investors' enthusiasm for corporate debt had moderated.
Against this volatile backdrop, Calvert's fixed-income funds were not immune to the credit market turmoil. However, intensive credit-quality research and relative-value analysis did help us moderate, to some extent, the declines in the fixed-income portfolios that we manage.
Relief for Markets Under Pressure
Fortunately, in our view, government intervention to shore up the financial system and reinvigorate the economy has begun to take hold. The Federal Reserve and Treasury are doing all they can to get credit flowing freely through the system again, as are policy makers around the globe. The Treasury's new Public-Private Investment Partnership, announced in March, is designed to remove toxic assets from bank balance sheets and encourage lending to businesses and consumers, which is essential for market recovery.
With concerted action on the home front, and the type of global cooperation signified at the G20 meeting, we believe investor confidence will be restored and our financial systems will recover--slowly, and with new financial oversight, transparency, and regulations in place. As the markets grow more convinced that the global recovery has legs, we expect to see greater investor demand for assets offering higher yield and total return potential.
Confidence in Calvert Funds
As we move through the recession, with the potential for default rates still high, credit research and security selection will continue to be of paramount importance. In this challenging environment, Calvert will bring our 30 years of fixed-income experience to bear. Our taxable fixed-income portfolio management team, led by Senior Vice President Greg Habeeb, will continue to follow its time-tested strategy that seeks to optimize duration, yield curve positioning, sector allocation, and credit quality analysis in selecting securities for our portfolios. (Duration measures a portfolio's sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in price for a given shift in interest rates.)
In December 2008, Calvert became investment advisor to Calvert High Yield Bond Fund and Calvert Short-Term Government Fund, which are portfolios formerly managed by Summit Investment Partners. In addition, on December 31, 2008, we launched Calvert Government Fund. We look forward to managing these Funds, which will give Calvert investors more ways to diversify their bond fund allocations.
Recently, Calvert Long-Term Income Fund (Class A shares) was among the winners of the 2009 Lipper award, marking its second consecutive year of winning the award. The award is given to the Fund with the highest score for consistent returns relative to its peers. Calvert Long-Term Income Fund was ranked first among 116 funds in the corporate debt BBB rated category as of December 31, 2008, based on its three-year risk-adjusted returns.1
Winning the Lipper award once again validates our investment team's active management strategy that relies on rigorous analysis and independent thinking--an approach we use across all our fixed-income funds.
Consult with Your Financial Advisor
If you're concerned about how to navigate the current market environment, talk with your financial advisor about whether your allocation to bonds is appropriate and well-diversified, given your goals, time horizon, and risk attitudes.
We also encourage you to visit our newly enhanced website, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals. We are committed to continuing our efforts to identify opportunities that emerge in the fixed-income markets while we seek to meet our investors' long-term goals for stability and income. As always, we appreciate your business and hope to continue to serve you in the months and years to come.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
April 2009
1. Lipper Fund Awards are granted annually to the funds in each Lipper classification that achieve the highest score for Consistent Return, a measure of funds' historical risk-adjusted returns. The scores are subject to change every month and are calculated for the following periods: three-year, five-year, 10-year, and overall. The highest 20% of funds in each classification are named Lipper Leaders for Consistent Return. The highest Lipper Leader for Consistent Return value within each eligible classification determines the fund classification winner over three, five, or 10 years. Lipper Fund Awards are not intended to predict future results, and Lipper does not guarantee the accuracy of this information. Source: Lipper, Inc.
Past performance is no guarantee of future results. Please keep in mind investment in mutual funds involves risk, including possible loss of principal invested.
For more complete information on any Calvert Fund, call your advisor or visit our website for a prospectus. An investor should consider the investment objectives, risks, charges and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager
of Calvert Asset Management Company
Performance
For the three-month period from the Fund's inception on December 31, 2008 through March 31, 2009, Calvert Government Fund Class A shares (at NAV) returned 4.27% versus -0.99% for the benchmark Barclays Capital U.S. Government Index. The Fund's short relative duration and active trading strategies drove this outperformance relative to the Index. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest rate movements.)
Investment Climate
The period can be broken down into two distinct halves. From October through December, just prior to the Fund's inception, a widespread panic that major global financial firms would fall like dominoes in the aftermath of the Lehman Brothers collapse
Portfolio Statistics
March 31, 2009
Investment Performance
(total return at NAV*)
| From Inception
12/31/08
through
3/31/09 |
Class A | 4.27% |
Class C | 4.07% |
Barclays Capital U.S. Government Index** | -0.99% |
Lipper General U.S. Government Funds Avg. | -0.09% |
| | |
Maturity Schedule | |
| | Weighted Average |
| | 3/31/09 |
| | 8 years |
| | |
SEC Yields | |
| | 30 days ended |
| | 3/31/09 |
Class A | 0.47% |
Class C | -0.39% |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 3.75% front-end sales charge or any deferred sales charge.
** Source: Lipper Analytical Services, Inc.
Portfolio Statistics
March 31, 2009
Average Annual Total Returns
(with max. load)
| | Class A Shares |
Since inception | 0.45% |
(12/31/08) | |
| | Class C Shares |
Since inception | 3.07% |
(12/31/08) | |
Past performance does not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance does not predict future results.
_____________________________________________
roiled the credit markets. The markets for long-term credit froze and short-term money markets seized up until a variety of government programs helped calm the market before year-end. The difference in yields between bonds of high and low credit quality soared to record highs as liquidity evaporated from the markets.
The impact of the then 18-month-old crisis in the credit markets on the overall U.S. economy worsened. In the fourth quarter of 2008, economic growth, as measured by gross domestic product (GDP), declined at a 6.3% annual pace1--the worst quarterly performance since 1982. Concerns spread about a protracted recession. In December, the Fed cut the federal funds rate, its target interest rate, to near zero percent and aggressively sought to push down mortgage rates by buying mortgage-backed securities.
In the first quarter of 2009, most sectors of the credit markets thawed at least a bit and the window for new issues of investment-grade corporate bonds opened wide. The government also undertook a number of new initiatives to get the credit taps flowing to consumers again. On the other hand, two major U.S. automakers moved toward bankruptcy and several "rescued" organizations needed more government capital. Still, a relaxation of accounting rules and concrete signs of global cooperation at the G20 meeting cheered equity and credit markets at quarter-end.
During the reporting period, the yield on the benchmark 10-year Treasury note rose from 2.2% to 2.7%. The rush to safety caused Treasury bill yields to plunge to the lowest levels since World War II, with the three-month T-bill yield falling to 0.21%.2 Headline inflation slid to a 0.2% pace for February 2009 while core inflation was 1.8%.3 GDP was expected to shrink at a 4.6% pace during the first quarter of 2009.4
Portfolio Strategy
During the turbulent markets since the Fund's inception December 31, the Fund has been positioned defensively with a high percentage of cash. The Fund was managed since inception with a short duration relative to the benchmark, which helped its performance as U.S. Treasury rates generally climbed from the end of 2008 through March 31, 2009. We also positioned the Fund to take advantage of expected changes in the shape of the U.S. Treasury yield curve, which represents the yields of Treasury securities of various maturities. One trade anticipated the 10-year Treasury yield rising more than that of shorter maturities. This benefited returns as the 10-year Treasury yield rose nearly 1/2 point while the two-year Treasury yield rose only marginally over the quarter. In addition, profitable Treasury trading strategies in a very volatile interest rate environment benefited returns.
Outlook
We expect the credit markets to continue to recover but do not expect a return to the heady times of a few years ago. Since financial institutions must rebuild capital, they are not inclined to flood their balance sheets with new loans. Continued government intervention in the credit markets will remain a signature of this financial crisis. Looking forward, we anticipate that Treasury yields will continue to generally rise as the Treasury floods the market with new debt. It's doubtful that major Treasury buyers such as China can boost their holdings enough to offset all of the new supply and keep prices from falling.
Overall, we expect the economy will contract for 2009, with the worst quarters in the first half of 2009. We also believe the federal funds rate will remain near zero percent. The good news for investors is that we do not expect a protracted period of consumer price deflation as seen earlier this decade in Japan.
April 2009
1 GDP data source: Commerce Department.
2 All interest rates data source: Federal Reserve.
3 Source: Bureau of Labor Statistics consumer price indexes.
4 Source: Wall Street Journal Economic Forecasting Survey, March 2009.
Portfolio Statistics
March 31, 2009
Economic Sectors | % of Total
Investments |
Financials | 51.9% |
Government | 48.1% |
Total | 100% |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 31, 2008, inception to March 31, 2009).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
12/31/08* | Ending Account
Value
3/31/09 | Expenses Paid
During Period**
12/31/08 - 3/31/09 |
Class A | | | |
Actual | $1,000.00 | $1,043.30 | $2.65 |
Hypothetical | $1,000.00 | $1,009.87 | $2.61 |
(5% return per year before expenses) | | | |
Class C | | | |
Actual | $1,000.00 | $1,040.70 | $5.19 |
Hypothetical | $1,000.00 | $1,007.38 | $5.10 |
(5% return per year before expenses) | | | |
* Inception date 12/31/08.
** Expenses are equal to the Fund's annualized expense ratio of 1.04% and 2.04% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 91/365.
Schedule of Investments
March 31, 2009
| | | Principal | | |
FDIC Guaranteed Corporates - 25.6% | | Amount | Value | |
Bank of America Corp., 1.474%, 4/30/12 (r) | | $30,000 | $30,134 | |
Citigroup Funding, Inc., 1.514%, 4/30/12 (r) | | 30,000 | 30,180 | |
General Electric Capital Corp., 1.584%, 6/8/12 (r) | | 20,000 | 20,063 | |
Goldman Sachs Group, Inc.: | | | | |
1.491%, 11/9/11 (r) | | 30,000 | 30,093 | |
1.516%, 3/15/12 (r) | | 80,000 | 80,180 | |
JPMorgan Chase & Co.: | | | | |
1.362%, 4/1/11 (r) | | 15,000 | 14,986 | |
1.55%, 6/15/12 (r) | | 30,000 | 30,082 | |
MetLife, Inc., 1.542%, 6/29/12 (r) | | 50,000 | 50,036 | |
Morgan Stanley, 1.521%, 2/10/12 (r) | | 30,000 | 29,882 | |
PNC Funding Corp., 1.42%, 4/1/12 (r) | | 30,000 | 29,955 | |
State Street Bank and Trust Co., 1.499%, 9/15/11 (r) | | 35,000 | 35,074 | |
Wells Fargo & Co., 1.44%, 6/15/12 (r) | | 30,000 | 30,002 | |
| | | | | |
Total FDIC Guaranteed Corporates (Cost $410,006) | | | 410,667 | |
| | | | | |
U.S. Government Agencies | | | | |
And Instrumentalities - 4.1% | | | | |
Private Export Funding Corp.: | | | | |
4.90%, 12/15/11 | | 30,000 | 32,462 | |
4.55%, 5/15/15 | | 30,000 | 32,645 | |
| | | | | |
Total U.S. Government Agencies | | | | |
and Instrumentalities (Cost $63,815) | | | 65,107 | |
| | | | | |
U.S. Treasury - 19.7% | | | | |
United States Treasury Bonds, 3.50%, 2/15/39 | | 130,000 | 128,700 | |
United States Treasury Notes, 2.75%, 2/15/19 | | 185,000 | 186,098 | |
| | | | | |
Total U.S. Treasury (Cost $310,853) | | | 314,798 | |
| | | | | |
TOTAL INVESTMENTS (Cost $784,674) - 49.4% | | | 790,572 | |
Other assets and liabilities, net - 50.6% | | | 810,658 | |
Net Assets - 100% | | | $1,601,230 | |
Futures | # of
Contracts | Expiration
Date | Underlying
Face Amount
at Value | Unrealized
Appreciation
(Depreciation) |
Purchased: | | | | |
10 Year U.S. Treasury Notes | 1 | 6/09 | $124,078 | ($611) |
30 Year U.S. Treasury Bonds | 2 | 6/09 | 259,406 | 1,778 |
Total Purchased | | | | $1,167 |
Sold: | | | | |
2 Year U.S. Treasury Notes | 15 | 6/09 | $3,268,359 | ($11,507) |
Total Sold | | | | ($11,507) |
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
See notes to financial statements.
Statement of Assets and Liabilities
March 31, 2009
Assets | | |
Investments in securities, at value (Cost $784,674) - see accompanying schedule | | $790,572 |
Cash | | 732,569 |
Receivable for securities sold | | 50,000 |
Receivable from Calvert Asset Management Co., Inc. | | 4,578 |
Interest and dividends receivable | | 2,570 |
Collateral at broker (cash) | | 12,600 |
Other assets | | 23,375 |
Total assets | | 1,616,264 |
| | | |
Liabilities | | |
Payable for futures variation margin | | 1,938 |
Payable to Calvert Administrative Services Company, Inc. | | 194 |
Payable to Calvert Shareholder Services, Inc. | | 26 |
Payable to Calvert Distributors, Inc. | | 346 |
Accrued expenses and other liabilities | | 12,530 |
Total liabilities | | 15,034 |
Net Assets | | $1,601,230 |
| | | |
| | | |
Net Assets Consist of: | | |
Paid-in capital applicable to the following shares of beneficial interest, | | |
unlimited number of no par shares authorized: | | |
Class A: 99,047 shares outstanding | | $1,497,325 |
Class C: 3,308.60 shares outstanding | | 51,138 |
Undistributed net investment income | | 152 |
Accumulated net realized gain (loss) on investments | | 57,057 |
Net unrealized appreciation (depreciation) on investments | | (4,442) |
| | | |
Net Assets | | $1,601,230 |
| | | |
Net Asset Value Per Share | | |
Class A (based on net assets of $1,549,594) | | $15.64 |
Class C (based on net assets of $51,636) | | $15.61 |
See notes to financial statements.
Statement of Operations
From Inception December 31, 2008
Through March 31, 2009
Net Investment Income | |
Investment Income: | |
Interest income | $3,447 |
Total investment income | 3,447 |
| | |
Expenses: | |
Investment advisory fee | 1,253 |
Administrative fees | 470 |
Transfer agency fees and expenses | 4,774 |
Distribution Plan expenses: | |
Class A | 774 |
Class C | 36 |
Trustees' fees and expenses | 25 |
Custodian fees | 5,253 |
Registration | 8,066 |
Report to shareholders | 825 |
Professional fees | 9,063 |
Accounting fees | 51 |
Miscellaneous | 976 |
Total expenses | 31,566 |
Reimbursement from Advisor: | |
Class A | (22,967) |
Class C | (5,291) |
Fees paid indirectly | (13) |
Net expenses | 3,295 |
| | |
Net Investment Income | 152 |
| | |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on: | |
Investments | 10,431 |
Futures | 46,626 |
| | 57,057 |
| | |
Change in unrealized appreciation (depreciation) on: | |
Investments | 5,898 |
Futures | (10,340) |
| | (4,442) |
| | |
| | |
Net Realized and Unrealized Gain | |
(Loss) | 52,615 |
| | |
Increase (Decrease) in Net Assets | |
Resulting From Operations | $52,767 |
See notes to financial statements.
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets | From Inception
December 31,
2008 Through
March 31,
2009 |
Operations: | |
Net investment income | $152 |
Net realized gain (loss) | 57,057 |
Change in unrealized appreciation (depreciation) | (4,442) |
| | |
Increase (Decrease) in Net Assets | |
Resulting From Operations | 52,767 |
| | |
| | |
Capital share transactions: | |
Shares sold: | |
Class A Shares | 1,497,325 |
Class C Shares | 51,138 |
Total capital share transactions | 1,548,463 |
| | |
Total Increase (Decrease) in Net Assets | 1,601,230 |
| | |
| | |
Net Assets | |
Beginning of period | -- |
End of period (including undistributed net investment | |
income of $152) | $1,601,230 |
| | |
| | |
Capital Share Activity | |
Shares sold: | |
Class A Shares | 99,047 |
Class C Shares | 3,309 |
Total capital share activity | 102,356 |
See notes to financial statements.
Notes to Financial Statements
Note A ---- Significant Accounting Policies
General: The Calvert Government Fund (the "Fund"), a series of The Calvert Fund, is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The operations of each series are accounted for separately. The Fund commenced operations on December 31, 2008 and offers two classes of shares of beneficial interest. Class A shares of the Fund are sold with a maximum front-end sales charge of 3.75%. Class C shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class C shares have higher levels of expenses than Class A shares. Each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class specific expenses, (b) exchange privileges and (c) class specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Short-term notes are stated at amortized cost, which approximates fair value. The Fund may invest in securities whose resale is subject to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees. At March 31, 2009, no securities were f air valued under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
Effective December 31, 2008, the Fund adopted Financial Accounting Standards Board Statement on Financial Accounting Standards No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund's investments and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities
Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.
The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2009:
| | Investments | Other |
Valuation Inputs | in Securities | Financial Instruments* |
Level 1 - Quoted Prices | $314,798 | ($10,340) |
Level 2 - Other Significant Observable Inputs | 475,774 | -- |
Level 3 - Significant Unobservable Inputs | -- | -- |
Total | $790,572 | ($10,340) |
* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/ depreciation on the instrument.
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Short Sales: The Fund may use a hedging technique that involves short sales of U.S. Treasury securities for the purposes of managing the duration of the Fund. Any short sales are "covered" with an equivalent amount of high-quality, liquid securities.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are paid monthly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 7 days of purchase in the same Fund. The redemption fee is paid to the Class of the Fund from which the redemption is made, and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.
Expense Offset Arrangements: The Fund has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. Such a deposit arrangement may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements or in any of the open tax years; thus, no provision for income tax is required.
New Accounting Pronouncements: In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, "Disclosures about Derivative Instruments and Hedging Activities." The new standard is intended to improve financial reporting about derivative instruments and hedging activities by requiring enhanced disclosures to enable investors to better understand the effect on the Fund's financial position, financial performance, and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .40% of the Fund's average daily net assets.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2010. The contractual expense cap is 1.04% for Class A and 2.04% for Class C. For the purposes of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
Calvert Administrative Services Company, an affiliate of the Advisor, provides administrative services to the Fund for an annual fee, payable monthly, of .15% for Class A and Class C based on their average daily net assets.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. The Distribution Plan, adopted by Class A and C shares, allows the Fund to pay the Distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed .50% and 1.00% annually of the Fund's average daily net assets of Class A and Class C, respectively. The amount actually paid by the Fund is an annualized fee, payable monthly of .25% and 1.00%, of the Fund's average daily net assets of Class A and Class C, respectively.
The Distributor received $238 as its portion of the commissions charged on sales of the Fund's Class A shares for the period ended March 31, 2009.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received a fee of $37 for the period ended March 31, 2009. Boston Financial Data Services, Inc., is the transfer and dividend disbursing agent.
Each Trustee of the Fund who is not an employee of the Advisor or its affiliates receives an annual retainer of $32,000 plus up to $1,500 for each Board and Committee meeting attended. Trustee's fees are allocated to each of the funds served.
Note C -- Investment Activity
During the period, the cost of purchases and proceeds from sales of investments, other than short-term and U.S. government securities, were $563,752 and $90,725, respectively. U.S. government security purchases and sales were $940,038 and $638,804, respectively.
The cost of investments owned at March 31, 2009 for federal income tax purposes was $784,674. Net unrealized appreciation aggregated $5,898, of which $6,075 related to appreciated securities and $177 related to depreciated securities.
The Fund may sell or purchase securities to and from other funds managed by the Advisor, typically short-term variable rate demand notes. Interportfolio transactions are primarily used for cash management purposes and are made pursuant to Rule 17a-7 of the Investment Company Act of 1940. For the period ended March 31, 2009, such sales transactions were $750,000.
Financial Highlights
| | Period Ended |
| | March 31, |
Class A Shares | 2009# |
Net asset value, beginning | $15.00 |
Income from investment operations | |
Net investment income | ** |
Net realized and unrealized gain (loss) | .64 |
Total from investment operations | .64 |
Total increase (decrease) in net asset value | .64 |
Net asset value, ending | $15.64 |
| | |
Total return* | 4.27% |
Ratios to average net assets: A | |
Net investment income | .06% (a) |
Total expenses | 8.46% (a) |
Expenses before offsets | 1.04% (a) |
Net expenses | 1.04% (a) |
Portfolio turnover | 144% |
Net assets, ending (in thousands) | $1,550 |
See notes to financial highlights.
Financial Highlights
| | Period Ended |
| | March 31, |
Class C Shares | 2009# |
Net asset value, beginning | $15.00 |
Income from investment operations | |
Net investment income | (.01) |
Net realized and unrealized gain (loss) | .62 |
Total from investment operations | .61 |
Total increase (decrease) in net asset value | .61 |
Net asset value, ending | $15.61 |
| | |
Total return* | 4.07% |
Ratios to average net assets: A | |
Net investment income | (.58%) (a) |
Total expenses | 150.68% (a) |
Expenses before offsets | 2.04% (a) |
Net expenses | 2.04% (a) |
Portfolio turnover | 144% |
Net assets, ending (in thousands) | $52 |
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
** Less than $.01 per share.
# From December 31, 2008, inception.
(a) Annualized.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business , expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
Proxy Voting
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio Holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Basis for Board's Approval of Investment Advisory Contract
At a meeting held on December 3, 2008, the Board of Trustees, and by a separate vote, the disinterested Trustees, voted to approve an amendment to the Investment Advisory Agreement (the "Advisory Agreement") between The Calvert Fund and the Advisor that would add the Fund to the Advisory Agreement.
In evaluating the Advisory Agreement, the Board considered a variety of information relating to the Fund and the Advisor. The disinterested Trustees reviewed a report prepared by the Advisor regarding various services to be provided to the Fund by the Advisor and its affiliates.
The disinterested Trustees were separately represented by independent legal counsel with respect to their consideration of the approval of the Advisory Agreement. Prior to voting, the disinterested Trustees reviewed the proposed approval of the Advisory Agreement with management and also met in a private session with their counsel at which no representatives of management were present.
In the course of its deliberations regarding the Advisory Agreement, the Board considered the following factors, among others: the nature, extent and quality of the services to be provided by the Advisor, including the personnel that would be providing such services; the Advisor's financial condition; the level and method of computing the Fund's advisory fee; comparative fee and expense information for the Fund; the profitability of the Calvert Group of Funds to the Advisor; the direct and indirect benefits, if any, to be derived by the Advisor from its relationship with the Fund; the effect of the Fund's potential growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.
In considering the nature, extent and quality of the services to be provided to the Fund by the Advisor under the Advisory Agreement, the Board took into account information provided by the Advisor in connection with the Board's December 2008 annual contract renewal considerations relating to the Advisor's operations and personnel, including, among other information, biographical information on the Advisor's investment, supervisory and professional staff and descriptions of its organizational and management structure. The Board also took into account similar information provided throughout the previous year by the Advisor as well as the Board's familiarity with the Advisor's senior management through Board of Trustees' meetings, discussions and other reports. The Advisor's administrative capabilities, including its ability to supervise the other service providers for the Fund, were also considered. The Board concluded that it was satisfied with the nature, extent and quality of services to be provided to the Fund by the Advisor under the Advisory Agreement.
In considering the Advisor's performance with similarly managed funds, the Board of Trustees noted the Advisor's long-term performance record with respect to the investment strategies that it would utilize in managing the Fund. The Board noted that the Advisor did not manage an account that was directly comparable to the Fund. The Board also noted that the portfolio management team that would manage the Fund had an excellent track record of managing and trading bonds and that the team would leverage its expertise in active duration and yield curve strategies and opportunistic Treasury trading in managing the Fund. The Board also took into account the overall strong performance of the Calvert Income Fund, Calvert Long-Term Income Fund and Calvert Social Investment Fund Bond Portfolio, each a fund in the Calvert Group of Funds complex that is managed by the same portfolio management team that is expected to manage the Fund.
In considering the Fund's fees and expenses, the Board compared the Fund's proposed fees and estimated total expense ratio with those of comparable funds. The Board noted that the Fund's estimated total expenses for its Class A shares, after estimated reimbursements, were above the median total expenses paid by certain comparable funds as selected by the Advisor in its report to the Board. The Board took into account that the Advisor had contractually agreed to limit the Fund's net annual operating expenses through January 31, 2010. The Board also considered the impact of the size of the Fund on the Fund's expenses. Based upon its review, the Board determined that the proposed advisory fee was reasonable in view of the services to be provided to the Fund by the Advisor.
In reviewing the estimated profitability of the advisory fee to the Fund's Advisor, the Board considered the fact that affiliates would be providing shareholder servicing and administrative services to the Fund for which they would receive compensation. The Board also considered whether the Advisor had the financial wherewithal to provide a high level of services to the Fund. The Board noted the Advisor's current undertaking to maintain expense limitations. The Board also considered that the Advisor would likely derive benefits to its reputation and other indirect benefits from its relationship with the Fund. Based upon its review, the Board concluded that the Advisor's anticipated level of profitability from its relationship with the Fund was reasonable.
The Board considered the effect of the Fund's potential size and growth on its performance and expenses. The Board concluded that adding breakpoints to the advisory fee at specified asset levels would not be appropriate at this time. The Board also noted that if the Fund's assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
In approving the amendment to the Advisory Agreement that would add the Fund to the Advisory Agreement, the Board, including the disinterested Trustees, did not identify any single factor as controlling, and each Trustee attributed different weight to various factors.
Conclusions
The Board reached the following conclusions regarding the Advisory Agreement, among others: (a) the Advisor has demonstrated that it possesses the capability and resources to perform the duties required of it under the Advisory Agreement; (b) the Advisor is qualified to manage the Fund's assets in accordance with the Fund's investment objective and policies; (c) the Advisor maintains appropriate compliance programs; (d) the Advisor's investment strategies are appropriate for pursuing the Fund's investment objective; and (e) the Fund's proposed advisory fee is reasonable in relation to those of similar funds and to the services to be provided by the Advisor. Based on its conclusions, the Board determined that approval of the amendment to the Advisory Agreement that would add the Fund to the Advisory Agreement would be in the interests of the Fund and its shareholders.
Calvert Government Fund
To Open an Account
800-368-2748
Yields and Prices
Calvert Information Network
(24 hours, 7 days a week)
800-368-2745
Service for Existing Account
Shareholders: 800-368-2745
Brokers: 800-368-2746
TDD for Hearing Impaired
800-541-1524
Branch Office
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
Registered, Certified
or Overnight Mail
Calvert Group
c/o BFDS
330 West 9th Street
Kansas City, MO 64105
Web Site
http://www.calvert.com
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
Tax-Exempt Money Market Funds
CTFR Money Market Portfolio
Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
CTFR Vermont Municipal Portfolio
National Muni. Intermediate Fund
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Income Fund
Government Fund
Short-Term Government Fund
High-Yield Bond Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Calvert Large Cap Value Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Calvert Social Index Fund
Calvert Small Cap Value Fund
Calvert Mid Cap Value Fund
Calvert Global Alternative Energy Fund
Calvert International Opportunities Fund
Calvert Global Water Fund
Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) This Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees since registrant last provided disclosure in response to this Item.
Item 11. Controls and Procedures.
(a) The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act, as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).
Attached hereto.
(a)(3) Not applicable.
(b) A certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. The certification furnished pursuant to this paragraph is not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
THE CALVERT FUND
By: | /s/ Barbara J. Krumsiek
Barbara J. Krumsiek
President -- Principal Executive Officer |
Date: | May 28, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ Barbara J. Krumsiek
Barbara J. Krumsiek
President -- Principal Executive Officer
Date: May 28, 2009
/s/ Ronald M. Wolfsheimer
Ronald M. Wolfsheimer
Treasurer -- Principal Financial Officer
Date: May 28, 2009
