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: 811-04000
Calvert Variable Products, Inc.
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant’s telephone number)
December 31
Date of Fiscal Year End
June 30, 2021
Date of Reporting Period
Item 1. | Report to Stockholders |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 05/03/1999 | 05/03/1999 | 17.43% | 52.81% | 13.94% | 11.95% |
Class F at NAV | 10/01/2007 | 05/03/1999 | 17.32 | 52.52 | 13.68 | 11.68 |
S&P MidCap 400® Index | — | — | 17.59% | 53.24% | 14.29% | 12.39% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.45% | 0.65% |
Net | 0.33 | 0.53 |
Top 10 Holdings (% of net assets)* | |
Bio-Techne Corp. | 0.7% |
Cognex Corp. | 0.6 |
Molina Healthcare, Inc. | 0.6 |
SPDR S&P MidCap 400 ETF Trust | 0.6 |
Fair Isaac Corp. | 0.6 |
SolarEdge Technologies, Inc. | 0.6 |
XPO Logistics, Inc. | 0.6 |
Signature Bank | 0.6 |
Camden Property Trust | 0.5 |
Graco, Inc. | 0.5 |
Total | 5.9% |
* | Excludes cash and cash equivalents. |
1 | S&P MidCap 400® Index is an unmanaged index of 400 U.S. midcap stocks. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500®are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,174.30 | $1.78 ** | 0.33% |
Class F | $1,000.00 | $1,173.20 | $2.86 ** | 0.53% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.16 | $1.66 ** | 0.33% |
Class F | $1,000.00 | $1,022.17 | $2.66 ** | 0.53% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 96.9% |
Security | Shares | Value | |
Aerospace & Defense — 1.0% | |||
Axon Enterprise, Inc.(1) | 17,564 | $ 3,105,315 | |
Curtiss-Wright Corp. | 11,065 | 1,314,080 | |
Hexcel Corp.(1) | 22,643 | 1,412,923 | |
Mercury Systems, Inc.(1) | 15,180 | 1,006,130 | |
$ 6,838,448 | |||
Air Freight & Logistics — 0.6% | |||
XPO Logistics, Inc.(1) | 27,544 | $ 3,853,130 | |
$ 3,853,130 | |||
Airlines — 0.2% | |||
JetBlue Airways Corp.(1) | 85,584 | $ 1,436,100 | |
$ 1,436,100 | |||
Auto Components — 1.6% | |||
Adient PLC(1) | 25,463 | $ 1,150,928 | |
Dana, Inc. | 39,934 | 948,832 | |
Fox Factory Holding Corp.(1) | 11,342 | 1,765,496 | |
Gentex Corp. | 65,285 | 2,160,281 | |
Goodyear Tire & Rubber Co. (The)(1) | 75,423 | 1,293,504 | |
Lear Corp. | 14,792 | 2,592,742 | |
Visteon Corp.(1) | 7,692 | 930,270 | |
$ 10,842,053 | |||
Automobiles — 0.5% | |||
Harley-Davidson, Inc. | 41,534 | $ 1,903,088 | |
Thor Industries, Inc. | 14,965 | 1,691,045 | |
$ 3,594,133 | |||
Banks — 6.7% | |||
Associated Banc-Corp. | 41,302 | $ 845,865 | |
BancorpSouth Bank | 26,649 | 754,966 | |
Bank of Hawaii Corp. | 11,072 | 932,484 | |
Bank OZK | 32,674 | 1,377,536 | |
Cathay General Bancorp | 20,242 | 796,725 | |
CIT Group, Inc. | 26,776 | 1,381,374 | |
Commerce Bancshares, Inc. | 28,470 | 2,122,723 | |
Cullen/Frost Bankers, Inc. | 15,286 | 1,712,032 | |
East West Bancorp, Inc. | 38,344 | 2,748,881 | |
F.N.B. Corp. | 86,326 | 1,064,400 | |
First Financial Bankshares, Inc. | 38,458 | 1,889,441 | |
First Horizon Corp. | 149,301 | 2,579,921 | |
Fulton Financial Corp. | 44,883 | 708,254 | |
Glacier Bancorp, Inc. | 25,814 | 1,421,835 |
Security | Shares | Value | |
Banks (continued) | |||
Hancock Whitney Corp. | 23,461 | $ 1,042,607 | |
Home BancShares, Inc. | 40,991 | 1,011,658 | |
International Bancshares Corp. | 15,402 | 661,362 | |
PacWest Bancorp | 31,601 | 1,300,697 | |
Pinnacle Financial Partners, Inc. | 20,568 | 1,815,949 | |
Prosperity Bancshares, Inc. | 25,120 | 1,803,616 | |
Signature Bank | 15,575 | 3,825,999 | |
Sterling Bancorp | 52,057 | 1,290,493 | |
Synovus Financial Corp. | 40,165 | 1,762,440 | |
Texas Capital Bancshares, Inc.(1) | 13,672 | 868,035 | |
Trustmark Corp. | 17,529 | 539,893 | |
UMB Financial Corp. | 11,751 | 1,093,548 | |
Umpqua Holdings Corp. | 59,632 | 1,100,210 | |
United Bankshares, Inc. | 36,264 | 1,323,636 | |
Valley National Bancorp | 109,706 | 1,473,352 | |
Webster Financial Corp. | 24,440 | 1,303,630 | |
Wintrust Financial Corp. | 15,598 | 1,179,677 | |
$ 43,733,239 | |||
Beverages — 0.4% | |||
Boston Beer Co., Inc. (The), Class A(1) | 2,526 | $ 2,578,541 | |
$ 2,578,541 | |||
Biotechnology — 1.8% | |||
Arrowhead Pharmaceuticals, Inc.(1) | 28,133 | $ 2,329,975 | |
Emergent BioSolutions, Inc.(1) | 12,450 | 784,226 | |
Exelixis, Inc.(1) | 84,705 | 1,543,325 | |
Halozyme Therapeutics, Inc.(1) | 36,176 | 1,642,752 | |
Ligand Pharmaceuticals, Inc.(1) | 4,569 | 599,407 | |
Neurocrine Biosciences, Inc.(1) | 25,555 | 2,487,013 | |
United Therapeutics Corp.(1) | 12,108 | 2,172,296 | |
$ 11,558,994 | |||
Building Products — 2.0% | |||
Builders FirstSource, Inc.(1) | 55,986 | $ 2,388,363 | |
Lennox International, Inc. | 9,292 | 3,259,634 | |
Owens Corning | 28,235 | 2,764,206 | |
Simpson Manufacturing Co., Inc. | 11,739 | 1,296,455 | |
Trex Co., Inc.(1) | 31,181 | 3,187,010 | |
$ 12,895,668 | |||
Capital Markets — 2.5% | |||
Affiliated Managers Group, Inc. | 11,254 | $ 1,735,479 | |
Evercore, Inc., Class A | 11,068 | 1,558,042 | |
FactSet Research Systems, Inc. | 10,231 | 3,433,626 | |
Federated Hermes, Inc., Class B | 25,287 | 857,482 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Interactive Brokers Group, Inc., Class A | 21,846 | $ 1,435,938 | |
Janus Henderson Group PLC | 46,119 | 1,789,879 | |
Jefferies Financial Group, Inc. | 54,071 | 1,849,228 | |
SEI Investments Co. | 32,038 | 1,985,395 | |
Stifel Financial Corp. | 28,405 | 1,842,348 | |
$ 16,487,417 | |||
Chemicals — 2.6% | |||
Ashland Global Holdings, Inc. | 14,768 | $ 1,292,200 | |
Avient Corp. | 24,677 | 1,213,121 | |
Cabot Corp. | 15,523 | 883,724 | |
Chemours Co. (The) | 44,740 | 1,556,952 | |
Ingevity Corp.(1) | 10,819 | 880,234 | |
Minerals Technologies, Inc. | 9,117 | 717,234 | |
NewMarket Corp. | 2,022 | 651,044 | |
Olin Corp. | 38,728 | 1,791,557 | |
RPM International, Inc. | 35,005 | 3,104,243 | |
Scotts Miracle-Gro Co. (The), Class A | 10,991 | 2,109,393 | |
Sensient Technologies Corp. | 11,428 | 989,208 | |
Valvoline, Inc. | 48,943 | 1,588,690 | |
$ 16,777,600 | |||
Commercial Services & Supplies — 1.7% | |||
Brink's Co. (The) | 13,662 | $ 1,049,788 | |
Clean Harbors, Inc.(1) | 13,568 | 1,263,724 | |
Healthcare Services Group, Inc. | 20,195 | 637,556 | |
Herman Miller, Inc. | 16,170 | 762,254 | |
IAA, Inc.(1) | 36,423 | 1,986,510 | |
KAR Auction Services, Inc.(1) | 33,722 | 591,821 | |
MSA Safety, Inc. | 9,845 | 1,630,135 | |
Stericycle, Inc.(1) | 24,802 | 1,774,583 | |
Tetra Tech, Inc. | 14,639 | 1,786,544 | |
$ 11,482,915 | |||
Communications Equipment — 0.8% | |||
Ciena Corp.(1) | 41,885 | $ 2,382,838 | |
Lumentum Holdings, Inc.(1)(2) | 20,515 | 1,682,845 | |
NetScout Systems, Inc.(1) | 19,935 | 568,945 | |
ViaSat, Inc.(1) | 18,670 | 930,513 | |
$ 5,565,141 | |||
Construction & Engineering — 1.3% | |||
AECOM (1) | 39,568 | $ 2,505,446 | |
Dycom Industries, Inc.(1) | 8,394 | 625,605 | |
EMCOR Group, Inc. | 14,746 | 1,816,560 | |
Fluor Corp.(1) | 34,347 | 607,942 |
Security | Shares | Value | |
Construction & Engineering (continued) | |||
MasTec, Inc.(1) | 15,265 | $ 1,619,616 | |
Valmont Industries, Inc. | 5,743 | 1,355,635 | |
$ 8,530,804 | |||
Construction Materials — 0.2% | |||
Eagle Materials, Inc. | 11,557 | $ 1,642,365 | |
$ 1,642,365 | |||
Consumer Finance — 0.8% | |||
FirstCash, Inc. | 11,089 | $ 847,643 | |
LendingTree, Inc.(1) | 3,010 | 637,759 | |
Navient Corp. | 48,520 | 937,892 | |
PROG Holdings, Inc. | 18,204 | 876,158 | |
SLM Corp. | 87,268 | 1,827,392 | |
$ 5,126,844 | |||
Containers & Packaging — 0.9% | |||
AptarGroup, Inc. | 17,762 | $ 2,501,600 | |
Greif, Inc., Class A | 7,422 | 449,402 | |
Silgan Holdings, Inc. | 21,186 | 879,219 | |
Sonoco Products Co. | 27,195 | 1,819,346 | |
$ 5,649,567 | |||
Diversified Consumer Services — 1.0% | |||
Adtalem Global Education, Inc.(1) | 13,751 | $ 490,086 | |
Graham Holdings Co., Class B | 1,117 | 708,066 | |
Grand Canyon Education, Inc.(1) | 12,527 | 1,127,054 | |
H&R Block, Inc. | 49,039 | 1,151,436 | |
Service Corp. International | 45,447 | 2,435,505 | |
Strategic Education, Inc. | 6,744 | 512,948 | |
WW International, Inc.(1) | 13,130 | 474,518 | |
$ 6,899,613 | |||
Diversified Telecommunication Services — 0.2% | |||
Iridium Communications, Inc.(1) | 31,749 | $ 1,269,643 | |
$ 1,269,643 | |||
Electric Utilities — 1.0% | |||
ALLETE, Inc. | 14,106 | $ 987,138 | |
Hawaiian Electric Industries, Inc. | 29,510 | 1,247,683 | |
IDACORP, Inc. | 13,654 | 1,331,265 | |
OGE Energy Corp. | 54,105 | 1,820,633 | |
PNM Resources, Inc. | 23,533 | 1,147,704 | |
$ 6,534,423 |
Security | Shares | Value | |
Electrical Equipment — 1.7% | |||
Acuity Brands, Inc. | 9,651 | $ 1,805,026 | |
EnerSys | 11,577 | 1,131,420 | |
Hubbell, Inc. | 14,681 | 2,742,998 | |
nVent Electric PLC | 45,322 | 1,415,859 | |
Regal Beloit Corp. | 10,982 | 1,466,207 | |
Sunrun, Inc.(1)(2) | 43,879 | 2,447,571 | |
$ 11,009,081 | |||
Electronic Equipment, Instruments & Components — 3.2% | |||
Arrow Electronics, Inc.(1) | 20,047 | $ 2,281,950 | |
Avnet, Inc. | 27,314 | 1,094,745 | |
Belden, Inc. | 12,092 | 611,492 | |
Cognex Corp. | 47,735 | 4,012,127 | |
Coherent, Inc.(1) | 6,630 | 1,752,574 | |
II-VI, Inc.(1)(2) | 28,349 | 2,057,854 | |
Jabil, Inc. | 36,197 | 2,103,770 | |
Littelfuse, Inc. | 6,637 | 1,691,041 | |
National Instruments Corp. | 35,572 | 1,503,984 | |
SYNNEX Corp. | 11,212 | 1,365,173 | |
Vishay Intertechnology, Inc. | 35,870 | 808,869 | |
Vontier Corp. | 45,624 | 1,486,430 | |
$ 20,770,009 | |||
Energy Equipment & Services — 0.2% | |||
ChampionX Corp.(1) | 50,611 | $ 1,298,172 | |
$ 1,298,172 | |||
Entertainment — 0.2% | |||
Cinemark Holdings, Inc.(1) | 30,133 | $ 661,420 | |
World Wrestling Entertainment, Inc., Class A(2) | 12,234 | 708,226 | |
$ 1,369,646 | |||
Equity Real Estate Investment Trusts (REITs) — 8.9% | |||
American Campus Communities, Inc. | 37,264 | $ 1,740,974 | |
Apartment Income REIT Corp. | 42,388 | 2,010,463 | |
Brixmor Property Group, Inc. | 80,264 | 1,837,243 | |
Camden Property Trust | 26,403 | 3,502,886 | |
CoreSite Realty Corp. | 11,618 | 1,563,783 | |
Corporate Office Properties Trust | 30,361 | 849,804 | |
Cousins Properties, Inc. | 40,179 | 1,477,784 | |
CyrusOne, Inc. | 33,027 | 2,362,091 | |
Douglas Emmett, Inc. | 44,582 | 1,498,847 | |
EastGroup Properties, Inc. | 10,818 | 1,779,020 | |
EPR Properties(1) | 20,209 | 1,064,610 | |
First Industrial Realty Trust, Inc. | 34,902 | 1,822,931 | |
Healthcare Realty Trust, Inc. | 38,315 | 1,157,113 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Highwoods Properties, Inc. | 28,125 | $ 1,270,406 | |
Hudson Pacific Properties, Inc. | 41,388 | 1,151,414 | |
JBG SMITH Properties | 29,856 | 940,763 | |
Kilroy Realty Corp. | 28,642 | 1,994,629 | |
Lamar Advertising Co., Class A | 23,431 | 2,446,665 | |
Life Storage, Inc. | 20,690 | 2,221,071 | |
Macerich Co. (The) | 45,214 | 825,156 | |
Medical Properties Trust, Inc. | 159,019 | 3,196,282 | |
National Retail Properties, Inc. | 47,457 | 2,224,784 | |
National Storage Affiliates Trust | 18,635 | 942,186 | |
Omega Healthcare Investors, Inc. | 63,546 | 2,306,084 | |
Park Hotels & Resorts, Inc.(1) | 63,921 | 1,317,412 | |
Pebblebrook Hotel Trust | 36,204 | 852,604 | |
Physicians Realty Trust | 57,550 | 1,062,948 | |
PotlatchDeltic Corp. | 18,121 | 963,131 | |
PS Business Parks, Inc. | 5,432 | 804,371 | |
Rayonier, Inc. | 37,730 | 1,355,639 | |
Rexford Industrial Realty, Inc. | 36,074 | 2,054,414 | |
Sabra Health Care REIT, Inc. | 58,364 | 1,062,225 | |
SL Green Realty Corp.(2) | 18,746 | 1,499,680 | |
Spirit Realty Capital, Inc. | 31,073 | 1,486,532 | |
STORE Capital Corp. | 66,007 | 2,277,902 | |
Urban Edge Properties | 29,733 | 567,900 | |
Weingarten Realty Investors | 32,426 | 1,039,902 | |
$ 58,531,649 | |||
Food & Staples Retailing — 0.8% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 37,066 | $ 1,763,600 | |
Casey's General Stores, Inc. | 9,986 | 1,943,675 | |
Grocery Outlet Holding Corp.(1) | 23,599 | 817,941 | |
Sprouts Farmers Market, Inc.(1) | 31,930 | 793,461 | |
$ 5,318,677 | |||
Food Products — 1.8% | |||
Darling Ingredients, Inc.(1) | 44,104 | $ 2,977,020 | |
Flowers Foods, Inc. | 53,220 | 1,287,924 | |
Hain Celestial Group, Inc. (The)(1) | 22,102 | 886,732 | |
Ingredion, Inc. | 18,103 | 1,638,321 | |
Lancaster Colony Corp. | 5,286 | 1,022,894 | |
Pilgrim's Pride Corp.(1) | 13,817 | 306,461 | |
Post Holdings, Inc.(1) | 15,995 | 1,734,978 | |
Sanderson Farms, Inc. | 5,470 | 1,028,196 | |
Tootsie Roll Industries, Inc.(2) | 5,058 | 171,517 | |
TreeHouse Foods, Inc.(1) | 15,196 | 676,526 | |
$ 11,730,569 |
Security | Shares | Value | |
Gas Utilities — 1.2% | |||
National Fuel Gas Co. | 24,643 | $ 1,287,597 | |
New Jersey Resources Corp. | 26,040 | 1,030,403 | |
ONE Gas, Inc. | 14,392 | 1,066,735 | |
Southwest Gas Holdings, Inc. | 15,677 | 1,037,660 | |
Spire, Inc. | 13,969 | 1,009,540 | |
UGI Corp. | 56,410 | 2,612,347 | |
$ 8,044,282 | |||
Health Care Equipment & Supplies — 3.3% | |||
Envista Holdings Corp.(1) | 43,456 | $ 1,877,734 | |
Globus Medical, Inc., Class A(1) | 20,975 | 1,626,192 | |
Haemonetics Corp.(1) | 14,033 | 935,159 | |
Hill-Rom Holdings, Inc. | 17,965 | 2,040,644 | |
ICU Medical, Inc.(1) | 5,393 | 1,109,879 | |
Integra LifeSciences Holdings Corp.(1) | 19,196 | 1,309,935 | |
LivaNova PLC(1) | 13,206 | 1,110,757 | |
Masimo Corp.(1) | 13,677 | 3,315,989 | |
Neogen Corp.(1) | 29,318 | 1,349,801 | |
NuVasive, Inc.(1) | 14,174 | 960,714 | |
Penumbra, Inc.(1) | 9,170 | 2,513,130 | |
Quidel Corp.(1)(2) | 10,580 | 1,355,509 | |
STAAR Surgical Co.(1) | 12,700 | 1,936,750 | |
$ 21,442,193 | |||
Health Care Providers & Services — 3.0% | |||
Acadia Healthcare Co., Inc.(1) | 24,256 | $ 1,522,064 | |
Amedisys, Inc.(1) | 8,804 | 2,156,364 | |
Chemed Corp. | 4,311 | 2,045,570 | |
Encompass Health Corp. | 26,905 | 2,099,397 | |
HealthEquity, Inc.(1) | 22,623 | 1,820,699 | |
LHC Group, Inc.(1) | 8,559 | 1,714,025 | |
Molina Healthcare, Inc.(1) | 15,785 | 3,994,552 | |
Patterson Cos., Inc. | 24,004 | 729,482 | |
Progyny, Inc.(1) | 10,100 | 595,900 | |
R1 RCM, Inc.(1) | 37,900 | 842,896 | |
Tenet Healthcare Corp.(1) | 28,864 | 1,933,599 | |
$ 19,454,548 | |||
Hotels, Restaurants & Leisure — 2.7% | |||
Boyd Gaming Corp.(1) | 21,812 | $ 1,341,220 | |
Choice Hotels International, Inc. | 7,809 | 928,178 | |
Churchill Downs, Inc. | 9,371 | 1,857,895 | |
Cracker Barrel Old Country Store, Inc. | 6,413 | 952,074 | |
Jack in the Box, Inc. | 6,008 | 669,532 | |
Marriott Vacations Worldwide Corp.(1) | 11,540 | 1,838,322 | |
Papa John's International, Inc. | 8,941 | 933,798 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Scientific Games Corp., Class A(1) | 15,489 | $ 1,199,468 | |
Six Flags Entertainment Corp.(1) | 20,922 | 905,504 | |
Texas Roadhouse, Inc. | 17,720 | 1,704,664 | |
Travel + Leisure Co. | 23,294 | 1,384,828 | |
Wendy's Co. (The) | 47,865 | 1,120,998 | |
Wingstop, Inc. | 8,038 | 1,267,030 | |
Wyndham Hotels & Resorts, Inc. | 25,245 | 1,824,961 | |
$ 17,928,472 | |||
Household Durables — 1.5% | |||
Helen of Troy, Ltd.(1) | 6,609 | $ 1,507,645 | |
KB Home | 24,342 | 991,206 | |
Taylor Morrison Home Corp.(1) | 34,855 | 920,869 | |
Tempur Sealy International, Inc. | 49,507 | 1,940,180 | |
Toll Brothers, Inc. | 30,346 | 1,754,302 | |
TopBuild Corp.(1) | 8,936 | 1,767,362 | |
TRI Pointe Homes, Inc.(1) | 32,683 | 700,397 | |
$ 9,581,961 | |||
Household Products — 0.1% | |||
Energizer Holdings, Inc. | 16,096 | $ 691,806 | |
$ 691,806 | |||
Industrial Conglomerates — 0.4% | |||
Carlisle Cos., Inc. | 14,107 | $ 2,699,798 | |
$ 2,699,798 | |||
Insurance — 4.0% | |||
Alleghany Corp.(1) | 3,764 | $ 2,510,851 | |
American Financial Group, Inc. | 18,631 | 2,323,658 | |
Brighthouse Financial, Inc.(1) | 23,189 | 1,056,027 | |
Brown & Brown, Inc. | 63,230 | 3,360,042 | |
CNO Financial Group, Inc. | 35,561 | 839,951 | |
First American Financial Corp. | 29,662 | 1,849,426 | |
Hanover Insurance Group, Inc. (The) | 9,703 | 1,316,115 | |
Kemper Corp. | 16,405 | 1,212,330 | |
Kinsale Capital Group, Inc. | 5,900 | 972,143 | |
Mercury General Corp. | 7,352 | 477,512 | |
Old Republic International Corp. | 76,605 | 1,908,231 | |
Primerica, Inc. | 10,660 | 1,632,472 | |
Reinsurance Group of America, Inc. | 18,376 | 2,094,864 | |
RenaissanceRe Holdings, Ltd. | 13,417 | 1,996,718 | |
RLI Corp. | 10,752 | 1,124,552 | |
Selective Insurance Group, Inc. | 16,224 | 1,316,578 | |
$ 25,991,470 |
Security | Shares | Value | |
Interactive Media & Services — 0.3% | |||
TripAdvisor, Inc.(1) | 26,605 | $ 1,072,181 | |
Yelp, Inc.(1) | 18,928 | 756,363 | |
$ 1,828,544 | |||
IT Services — 1.7% | |||
Alliance Data Systems Corp. | 13,440 | $ 1,400,314 | |
Concentrix Corp.(1) | 11,256 | 1,809,965 | |
Genpact, Ltd. | 47,085 | 2,139,071 | |
LiveRamp Holdings, Inc.(1) | 18,327 | 858,620 | |
MAXIMUS, Inc. | 16,615 | 1,461,622 | |
Sabre Corp.(1)(2) | 87,002 | 1,085,785 | |
WEX, Inc.(1) | 12,116 | 2,349,292 | |
$ 11,104,669 | |||
Leisure Products — 1.4% | |||
Brunswick Corp. | 21,055 | $ 2,097,499 | |
Callaway Golf Co.(1) | 31,446 | 1,060,673 | |
Mattel, Inc.(1) | 94,270 | 1,894,827 | |
Polaris, Inc. | 15,560 | 2,131,098 | |
YETI Holdings, Inc.(1) | 20,279 | 1,862,018 | |
$ 9,046,115 | |||
Life Sciences Tools & Services — 2.2% | |||
Bio-Techne Corp. | 10,512 | $ 4,733,133 | |
Medpace Holdings, Inc.(1) | 7,544 | 1,332,497 | |
PRA Health Sciences, Inc.(1) | 17,513 | 2,893,323 | |
Repligen Corp.(1) | 13,801 | 2,754,955 | |
Syneos Health, Inc.(1) | 27,369 | 2,449,252 | |
$ 14,163,160 | |||
Machinery — 5.1% | |||
AGCO Corp. | 16,701 | $ 2,177,476 | |
Colfax Corp.(1) | 31,728 | 1,453,460 | |
Crane Co. | 13,419 | 1,239,513 | |
Donaldson Co., Inc. | 34,090 | 2,165,738 | |
Flowserve Corp. | 35,223 | 1,420,191 | |
Graco, Inc. | 45,797 | 3,466,833 | |
ITT, Inc. | 23,272 | 2,131,483 | |
Kennametal, Inc. | 23,015 | 826,699 | |
Lincoln Electric Holdings, Inc. | 16,092 | 2,119,477 | |
Middleby Corp.(1) | 15,037 | 2,605,311 | |
Nordson Corp. | 14,607 | 3,206,383 | |
Oshkosh Corp. | 18,546 | 2,311,573 | |
Terex Corp. | 19,169 | 912,828 | |
Timken Co. (The) | 18,484 | 1,489,626 | |
Toro Co. (The) | 28,938 | 3,179,707 |
Security | Shares | Value | |
Machinery (continued) | |||
Trinity Industries, Inc. | 22,515 | $ 605,428 | |
Woodward, Inc. | 15,847 | 1,947,279 | |
$ 33,259,005 | |||
Marine — 0.1% | |||
Kirby Corp.(1) | 16,246 | $ 985,157 | |
$ 985,157 | |||
Media — 1.0% | |||
Cable One, Inc. | 1,468 | $ 2,808,005 | |
John Wiley & Sons, Inc., Class A | 12,060 | 725,771 | |
New York Times Co. (The), Class A | 39,256 | 1,709,599 | |
TEGNA, Inc. | 60,593 | 1,136,724 | |
$ 6,380,099 | |||
Metals & Mining — 2.2% | |||
Cleveland-Cliffs, Inc.(1)(2) | 124,184 | $ 2,677,407 | |
Commercial Metals Co. | 32,573 | 1,000,643 | |
Compass Minerals International, Inc. | 9,190 | 544,599 | |
Reliance Steel & Aluminum Co. | 17,220 | 2,598,498 | |
Royal Gold, Inc. | 17,733 | 2,023,335 | |
Steel Dynamics, Inc. | 54,236 | 3,232,466 | |
United States Steel Corp.(2) | 72,544 | 1,741,056 | |
Worthington Industries, Inc. | 9,446 | 577,906 | |
$ 14,395,910 | |||
Multiline Retail — 0.7% | |||
Kohl's Corp. | 42,228 | $ 2,327,185 | |
Nordstrom, Inc.(1) | 29,424 | 1,076,036 | |
Ollie's Bargain Outlet Holdings, Inc.(1) | 15,352 | 1,291,564 | |
$ 4,694,785 | |||
Multi-Utilities — 0.6% | |||
Black Hills Corp. | 16,994 | $ 1,115,316 | |
MDU Resources Group, Inc. | 54,381 | 1,704,301 | |
NorthWestern Corp. | 13,697 | 824,833 | |
$ 3,644,450 | |||
Oil, Gas & Consumable Fuels — 1.8% | |||
Antero Midstream Corp. | 79,039 | $ 821,215 | |
Cimarex Energy Co. | 27,793 | 2,013,603 | |
CNX Resources Corp.(1) | 60,237 | 822,837 | |
EQT Corp.(1) | 76,169 | 1,695,522 | |
Equitrans Midstream Corp. | 109,886 | 935,130 | |
HollyFrontier Corp. | 40,394 | 1,328,963 | |
Murphy Oil Corp. | 39,904 | 928,965 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Targa Resources Corp. | 61,803 | $ 2,747,143 | |
World Fuel Services Corp. | 17,550 | 556,862 | |
$ 11,850,240 | |||
Paper & Forest Products — 0.2% | |||
Louisiana-Pacific Corp. | 27,638 | $ 1,666,295 | |
$ 1,666,295 | |||
Personal Products — 0.2% | |||
Coty, Inc., Class A(1) | 77,786 | $ 726,521 | |
Nu Skin Enterprises, Inc., Class A | 13,526 | 766,248 | |
$ 1,492,769 | |||
Pharmaceuticals — 0.6% | |||
Jazz Pharmaceuticals PLC(1) | 16,244 | $ 2,885,584 | |
Nektar Therapeutics(1) | 49,581 | 850,810 | |
$ 3,736,394 | |||
Professional Services — 1.5% | |||
ASGN, Inc.(1) | 14,379 | $ 1,393,756 | |
CACI International, Inc., Class A(1) | 6,366 | 1,624,094 | |
FTI Consulting, Inc.(1) | 9,250 | 1,263,643 | |
Insperity, Inc. | 9,858 | 890,867 | |
KBR, Inc. | 38,615 | 1,473,162 | |
ManpowerGroup, Inc. | 14,738 | 1,752,496 | |
Science Applications International Corp. | 15,668 | 1,374,554 | |
$ 9,772,572 | |||
Real Estate Management & Development — 0.4% | |||
Jones Lang LaSalle, Inc.(1) | 13,868 | $ 2,710,639 | |
$ 2,710,639 | |||
Road & Rail — 0.9% | |||
Avis Budget Group, Inc.(1) | 13,973 | $ 1,088,357 | |
Knight-Swift Transportation Holdings, Inc. | 33,105 | 1,504,953 | |
Landstar System, Inc. | 10,382 | 1,640,563 | |
Ryder System, Inc. | 14,560 | 1,082,245 | |
Werner Enterprises, Inc. | 15,663 | 697,317 | |
$ 6,013,435 | |||
Semiconductors & Semiconductor Equipment — 4.0% | |||
Amkor Technology, Inc. | 29,500 | $ 698,265 | |
Brooks Automation, Inc. | 20,082 | 1,913,413 | |
Cirrus Logic, Inc.(1) | 15,548 | 1,323,446 | |
CMC Materials, Inc. | 7,907 | 1,191,901 | |
Cree, Inc.(1) | 31,211 | 3,056,493 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
First Solar, Inc.(1) | 22,988 | $ 2,080,644 | |
Lattice Semiconductor Corp.(1) | 36,909 | 2,073,548 | |
MKS Instruments, Inc. | 14,962 | 2,662,488 | |
Semtech Corp.(1) | 17,549 | 1,207,371 | |
Silicon Laboratories, Inc.(1) | 12,113 | 1,856,317 | |
SolarEdge Technologies, Inc.(1) | 14,049 | 3,882,722 | |
Synaptics, Inc.(1) | 9,540 | 1,484,233 | |
Universal Display Corp. | 11,595 | 2,577,917 | |
$ 26,008,758 | |||
Software — 3.9% | |||
ACI Worldwide, Inc.(1) | 32,270 | $ 1,198,508 | |
Aspen Technology, Inc.(1) | 18,384 | 2,528,535 | |
Blackbaud, Inc.(1) | 13,265 | 1,015,701 | |
CDK Global, Inc. | 32,914 | 1,635,497 | |
Ceridian HCM Holding, Inc.(1) | 35,497 | 3,404,872 | |
Commvault Systems, Inc.(1) | 12,440 | 972,435 | |
Envestnet, Inc.(1) | 14,840 | 1,125,762 | |
Fair Isaac Corp.(1) | 7,778 | 3,909,845 | |
j2 Global, Inc.(1) | 11,470 | 1,577,699 | |
Manhattan Associates, Inc.(1) | 17,195 | 2,490,524 | |
Paylocity Holding Corp.(1) | 10,160 | 1,938,528 | |
Qualys, Inc.(1) | 9,099 | 916,178 | |
SailPoint Technologies Holdings, Inc.(1) | 25,126 | 1,283,185 | |
Teradata Corp.(1) | 29,624 | 1,480,311 | |
$ 25,477,580 | |||
Specialty Retail — 3.1% | |||
American Eagle Outfitters, Inc.(2) | 40,799 | $ 1,531,186 | |
AutoNation, Inc.(1) | 14,574 | 1,381,761 | |
Dick's Sporting Goods, Inc.(2) | 17,713 | 1,774,666 | |
Five Below, Inc.(1) | 15,134 | 2,924,948 | |
Foot Locker, Inc. | 27,915 | 1,720,401 | |
Lithia Motors, Inc., Class A | 8,043 | 2,763,897 | |
Murphy USA, Inc. | 6,768 | 902,648 | |
RH (1) | 4,547 | 3,087,413 | |
Urban Outfitters, Inc.(1) | 18,931 | 780,336 | |
Williams-Sonoma, Inc. | 20,594 | 3,287,832 | |
$ 20,155,088 | |||
Technology Hardware, Storage & Peripherals — 0.4% | |||
NCR Corp.(1) | 35,625 | $ 1,624,856 | |
Xerox Holdings Corp. | 43,580 | 1,023,694 | |
$ 2,648,550 |
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods — 1.7% | |||
Capri Holdings, Ltd.(1) | 40,902 | $ 2,339,185 | |
Carter's, Inc. | 11,881 | 1,225,763 | |
Columbia Sportswear Co. | 8,424 | 828,585 | |
Crocs, Inc.(1) | 17,631 | 2,054,364 | |
Deckers Outdoor Corp.(1) | 7,518 | 2,887,438 | |
Skechers USA, Inc., Class A(1) | 36,265 | 1,807,085 | |
$ 11,142,420 | |||
Thrifts & Mortgage Finance — 0.7% | |||
Essent Group, Ltd. | 30,502 | $ 1,371,065 | |
MGIC Investment Corp. | 91,714 | 1,247,310 | |
New York Community Bancorp, Inc. | 125,702 | 1,385,236 | |
Washington Federal, Inc. | 19,570 | 621,935 | |
$ 4,625,546 | |||
Trading Companies & Distributors — 0.9% | |||
GATX Corp. | 9,673 | $ 855,770 | |
MSC Industrial Direct Co., Inc., Class A | 12,853 | 1,153,300 | |
Univar Solutions, Inc.(1) | 45,838 | 1,117,530 | |
Watsco, Inc. | 8,896 | 2,549,950 | |
$ 5,676,550 | |||
Water Utilities — 0.4% | |||
Essential Utilities, Inc. | 60,419 | $ 2,761,148 | |
$ 2,761,148 | |||
Wireless Telecommunication Services — 0.1% | |||
Telephone & Data Systems, Inc. | 27,304 | $ 618,709 | |
$ 618,709 | |||
Total Common Stocks (identified cost $408,689,502) | $635,017,558 |
Exchange-Traded Funds — 0.6% |
Security | Shares | Value | |
SPDR S&P MidCap 400 ETF Trust(2) | 8,000 | $ 3,928,080 | |
Total Exchange-Traded Funds (identified cost $3,060,309) | $ 3,928,080 |
Short-Term Investments — 2.8% | |||
Affiliated Fund — 2.2% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(3) | 14,312,781 | $ 14,312,781 | |
Total Affiliated Fund (identified cost $14,312,781) | $ 14,312,781 | ||
Securities Lending Collateral — 0.3% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(4) | 2,448,642 | $ 2,448,642 | |
Total Securities Lending Collateral (identified cost $2,448,642) | $ 2,448,642 | ||
U.S. Treasury Obligations — 0.3% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 2/24/22(5) | $ | 2,000 | $ 1,999,339 |
Total U.S. Treasury Obligations (identified cost $1,999,108) | $ 1,999,339 | ||
Total Short-Term Investments (identified cost $18,760,531) | $ 18,760,762 | ||
Total Investments — 100.3% (identified cost $430,510,342) | $657,706,400 | ||
Other Assets, Less Liabilities — (0.3)% | $ (2,222,494) | ||
Net Assets — 100.0% | $ 655,483,906 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $14,293,593. |
(3) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(4) | Represents investment of cash collateral received in connection with securities lending. |
(5) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P MidCap 400 Index | 62 | Long | 9/17/21 | $16,692,880 | $ 190,690 |
$190,690 |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $416,197,561) - including $14,293,593 of securities on loan | $ 643,393,619 |
Investments in securities of affiliated issuers, at value (identified cost $14,312,781) | 14,312,781 |
Receivable for variation margin on open futures contracts | 16,120 |
Receivable for capital shares sold | 222,216 |
Dividends receivable | 517,616 |
Dividends receivable - affiliated | 464 |
Securities lending income receivable | 1,529 |
Receivable from affiliate | 36,888 |
Directors' deferred compensation plan | 120,550 |
Total assets | $658,621,783 |
Liabilities | |
Due to custodian | $ 19,840 |
Payable for capital shares redeemed | 42,355 |
Deposits for securities loaned | 2,448,642 |
Payable to affiliates: | |
Investment advisory fee | 108,367 |
Administrative fee | 65,021 |
Distribution and service fees | 61,263 |
Sub-transfer agency fee | 108 |
Directors' deferred compensation plan | 120,550 |
Accrued expenses | 271,731 |
Total liabilities | $ 3,137,877 |
Net Assets | $655,483,906 |
Sources of Net Assets | |
Paid-in capital | $ 366,411,579 |
Distributable earnings | 289,072,327 |
Total | $655,483,906 |
Class I Shares | |
Net Assets | $ 284,567,199 |
Shares Outstanding | 2,009,872 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 141.58 |
Class F Shares | |
Net Assets | $ 370,916,707 |
Shares Outstanding | 2,612,674 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 141.97 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income | $ 4,242,679 |
Dividend income - affiliated issuers | 16,160 |
Interest income | 975 |
Securities lending income, net | 16,652 |
Total investment income | $ 4,276,466 |
Expenses | |
Investment advisory fee | $ 635,422 |
Administrative fee | 381,253 |
Distribution and service fees: | |
Class F | 357,346 |
Directors' fees and expenses | 12,794 |
Custodian fees | 11,370 |
Transfer agency fees and expenses | 197,733 |
Accounting fees | 72,120 |
Professional fees | 19,675 |
Reports to shareholders | 25,127 |
Miscellaneous | 39,881 |
Total expenses | $ 1,752,721 |
Waiver and/or reimbursement of expenses by affiliate | $ (346,597) |
Net expenses | $ 1,406,124 |
Net investment income | $ 2,870,342 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 31,276,006 |
Investment securities - affiliated issuers | 1,246,902 |
Futures contracts | 1,953,465 |
Net realized gain | $34,476,373 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 63,349,026 |
Investment securities - affiliated issuers | (1,088,008) |
Futures contracts | 35,510 |
Net change in unrealized appreciation (depreciation) | $62,296,528 |
Net realized and unrealized gain | $96,772,901 |
Net increase in net assets from operations | $99,643,243 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,870,342 | $ 6,275,091 |
Net realized gain | 34,476,373 | 17,626,539 |
Net change in unrealized appreciation (depreciation) | 62,296,528 | 48,297,327 |
Net increase in net assets from operations | $ 99,643,243 | $ 72,198,957 |
Distributions to shareholders: | ||
Class I | $ — | $ (10,841,521) |
Class F | — | (13,178,857) |
Total distributions to shareholders | $ — | $ (24,020,378) |
Capital share transactions: | ||
Class I | $ (18,428,258) | $ 1,479,371 |
Class F | (9,749,232) | 3,313,858 |
Net increase (decrease) in net assets from capital share transactions | $ (28,177,490) | $ 4,793,229 |
Net increase in net assets | $ 71,465,753 | $ 52,971,808 |
Net Assets | ||
At beginning of period | $ 584,018,153 | $ 531,046,345 |
At end of period | $655,483,906 | $584,018,153 |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 120.57 | $ 111.74 | $ 97.01 | $ 117.50 | $ 106.11 | $ 91.52 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.68 | $ 1.42 | $ 1.63 | $ 1.58 | $ 1.44 | $ 1.12 |
Net realized and unrealized gain (loss) | 20.33 | 12.48 | 22.45 | (13.43) | 15.18 | 17.43 |
Total income (loss) from operations | $ 21.01 | $ 13.90 | $ 24.08 | $ (11.85) | $ 16.62 | $ 18.55 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.29) | $ (1.34) | $ (1.40) | $ (0.81) | $ (0.44) |
From net realized gain | — | (3.78) | (8.01) | (7.24) | (4.42) | (3.52) |
Total distributions | $ — | $ (5.07) | $ (9.35) | $ (8.64) | $ (5.23) | $ (3.96) |
Net asset value — End of period | $ 141.58 | $ 120.57 | $ 111.74 | $ 97.01 | $ 117.50 | $ 106.11 |
Total Return(2) | 17.43% (3) | 13.31% | 25.82% | (11.33)% | 15.88% | 20.27% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $284,567 | $259,042 | $233,933 | $202,330 | $256,043 | $246,310 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.44% (5) | 0.45% | 0.43% | 0.44% | 0.43% | 0.54% |
Net expenses | 0.33% (5) | 0.33% | 0.32% | 0.30% | 0.30% | 0.41% |
Net investment income | 1.01% (5) | 1.40% | 1.48% | 1.35% | 1.29% | 1.15% |
Portfolio Turnover | 7% (3) | 20% | 15% | 14% | 16% | 20% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 121.01 | $ 112.35 | $ 97.71 | $ 118.58 | $ 107.30 | $ 92.83 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.55 | $ 1.22 | $ 1.40 | $ 1.31 | $ 1.18 | $ 1.14 |
Net realized and unrealized gain (loss) | 20.41 | 12.51 | 22.59 | (13.54) | 15.33 | 17.40 |
Total income (loss) from operations | $ 20.96 | $ 13.73 | $ 23.99 | $ (12.23) | $ 16.51 | $ 18.54 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.29) | $ (1.34) | $ (1.40) | $ (0.81) | $ (0.55) |
From net realized gain | — | (3.78) | (8.01) | (7.24) | (4.42) | (3.52) |
Total distributions | $ — | $ (5.07) | $ (9.35) | $ (8.64) | $ (5.23) | $ (4.07) |
Net asset value — End of period | $ 141.97 | $ 121.01 | $ 112.35 | $ 97.71 | $ 118.58 | $ 107.30 |
Total Return(2) | 17.32% (3) | 13.10% | 25.55% | (11.57)% | 15.63% | 19.96% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $370,917 | $324,976 | $297,113 | $246,076 | $294,786 | $261,005 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.64% (5) | 0.65% | 0.63% | 0.64% | 0.64% | 0.79% |
Net expenses | 0.53% (5) | 0.53% | 0.54% | 0.55% | 0.55% | 0.66% |
Net investment income | 0.82% (5) | 1.20% | 1.26% | 1.11% | 1.05% | 1.10% |
Portfolio Turnover | 7% (3) | 20% | 15% | 14% | 16% | 20% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 635,017,558(1) | $ — | $ — | $ 635,017,558 |
Exchange-Traded Funds | 3,928,080 | — | — | 3,928,080 |
Short-Term Investments: | ||||
Affiliated Fund | — | 14,312,781 | — | 14,312,781 |
Securities Lending Collateral | 2,448,642 | — | — | 2,448,642 |
U.S. Treasury Obligations | — | 1,999,339 | — | 1,999,339 |
Total Investments | $641,394,280 | $16,312,120 | $ — | $657,706,400 |
Futures Contracts | $ 190,690 | $ — | $ — | $ 190,690 |
Total | $641,584,970 | $16,312,120 | $ — | $657,897,090 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $430,018,175 |
Gross unrealized appreciation | $ 242,551,875 |
Gross unrealized depreciation | (14,672,960) |
Net unrealized appreciation | $227,878,915 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $190,690 (1) | $ — |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ 1,953,465 | $ 35,510 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $2,448,642 | $ — | $ — | $ — | $2,448,642 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares/Units, end of period |
Common Stocks | ||||||||
Eaton Vance Corp. | $2,143,939 | $ — | $ (2,303,953) | $ 1,248,022 | $ (1,088,008) | $ — | $ 11,835 | — |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 8,616,630 | 53,239,903 | (47,542,632) | (1,120) | — | 14,312,781 | 4,325 | 14,312,781 |
Totals | $1,246,902 | $(1,088,008) | $14,312,781 | $16,160 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 97,034 | $ 13,299,481 | 355,592 | $ 32,312,348 | |
Reinvestment of distributions | — | — | 107,406 | 10,841,521 | |
Shares redeemed | (235,678) | (31,727,739) | (408,073) | (41,674,498) | |
Net increase (decrease) | (138,644) | $(18,428,258) | 54,925 | $ 1,479,371 | |
Class F | |||||
Shares sold | 62,949 | $ 8,555,071 | 147,926 | $ 14,400,066 | |
Reinvestment of distributions | — | — | 130,020 | 13,178,857 | |
Shares redeemed | (135,715) | (18,304,303) | (236,985) | (24,265,065) | |
Net increase (decrease) | (72,766) | $ (9,749,232) | 40,961 | $ 3,313,858 |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 4,247,417.060 | 67,391.648 | 238,738.695 | 0 |
Proposal 2 | 4,251,270.417 | 72,269.182 | 230,007.803 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 04/27/2000 | 04/27/2000 | 17.36% | 61.71% | 16.12% | 11.78% |
Class F at NAV | 10/04/2005 | 04/27/2000 | 17.24 | 61.37 | 15.85 | 11.53 |
Russell 2000® Index | — | — | 17.54% | 62.03% | 16.46% | 12.33% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.59% | 0.79% |
Net | 0.39 | 0.59 |
Top 10 Holdings (% of net assets)* | |
iShares Russell 2000 ETF | 1.3% |
AMC Entertainment Holdings, Inc., Class A | 0.7 |
Intellia Therapeutics, Inc. | 0.3 |
Arrowhead Pharmaceuticals, Inc. | 0.3 |
Ovintiv, Inc. | 0.3 |
Lattice Semiconductor Corp. | 0.2 |
II-VI, Inc. | 0.2 |
Crocs, Inc. | 0.2 |
Scientific Games Corp., Class A | 0.2 |
STAAR Surgical Co. | 0.2 |
Total | 3.9% |
* | Excludes cash and cash equivalents. |
1 | Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,173.60 | $2.10 ** | 0.39% |
Class F | $1,000.00 | $1,172.40 | $3.18 ** | 0.59% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.86 | $1.96 ** | 0.39% |
Class F | $1,000.00 | $1,021.87 | $2.96 ** | 0.59% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 93.7% |
Security | Shares | Value | |
Aerospace & Defense — 0.7% | |||
AAR Corp.(1) | 2,667 | $ 103,346 | |
Aerojet Rocketdyne Holdings, Inc. | 6,050 | 292,155 | |
AeroVironment, Inc.(1) | 1,761 | 176,364 | |
AerSale Corp.(1) | 709 | 8,834 | |
Astronics Corp.(1) | 2,153 | 37,699 | |
Byrna Technologies, Inc.(1) | 831 | 18,880 | |
Ducommun, Inc.(1) | 914 | 49,868 | |
Kaman Corp. | 2,245 | 113,148 | |
Kratos Defense & Security Solutions, Inc.(1) | 9,875 | 281,339 | |
Maxar Technologies, Inc. | 5,624 | 224,510 | |
Moog, Inc., Class A | 2,368 | 199,054 | |
National Presto Industries, Inc. | 420 | 42,693 | |
PAE, Inc.(1) | 5,218 | 46,440 | |
Park Aerospace Corp. | 1,804 | 26,880 | |
Parsons Corp.(1) | 1,992 | 78,405 | |
Triumph Group, Inc.(1) | 4,259 | 88,374 | |
Vectrus, Inc.(1) | 987 | 46,972 | |
$ 1,834,961 | |||
Air Freight & Logistics — 0.3% | |||
Air Transport Services Group, Inc.(1) | 5,010 | $ 116,382 | |
Atlas Air Worldwide Holdings, Inc.(1) | 2,258 | 153,792 | |
Echo Global Logistics, Inc.(1) | 2,286 | 70,272 | |
Forward Air Corp. | 2,225 | 199,694 | |
Hub Group, Inc., Class A(1) | 2,664 | 175,771 | |
Radiant Logistics, Inc.(1) | 3,434 | 23,797 | |
$ 739,708 | |||
Airlines — 0.3% | |||
Allegiant Travel Co.(1) | 1,188 | $ 230,472 | |
Frontier Group Holdings, Inc.(1) | 2,730 | 46,519 | |
Hawaiian Holdings, Inc.(1) | 3,989 | 97,212 | |
Mesa Air Group, Inc.(1) | 2,494 | 23,269 | |
SkyWest, Inc.(1) | 3,905 | 168,188 | |
Spirit Airlines, Inc.(1) | 7,711 | 234,723 | |
Sun Country Airlines Holdings, Inc.(1) | 1,360 | 50,334 | |
$ 850,717 | |||
Auto Components — 1.3% | |||
Adient PLC(1) | 7,428 | $ 335,746 | |
American Axle & Manufacturing Holdings, Inc.(1) | 8,845 | 91,546 | |
Cooper-Standard Holdings, Inc.(1) | 1,470 | 42,630 | |
Dana, Inc. | 11,400 | 270,864 | |
Dorman Products, Inc.(1) | 2,166 | 224,549 | |
Fox Factory Holding Corp.(1) | 3,365 | 523,796 |
Security | Shares | Value | |
Auto Components (continued) | |||
Gentherm, Inc.(1) | 2,608 | $ 185,298 | |
Goodyear Tire & Rubber Co. (The)(1) | 21,674 | 371,709 | |
LCI Industries | 1,944 | 255,481 | |
Modine Manufacturing Co.(1) | 4,047 | 67,140 | |
Motorcar Parts of America, Inc.(1) | 1,400 | 31,416 | |
Patrick Industries, Inc. | 1,816 | 132,568 | |
Standard Motor Products, Inc. | 1,640 | 71,094 | |
Stoneridge, Inc.(1) | 2,174 | 64,133 | |
Tenneco, Inc., Class A(1) | 5,542 | 107,072 | |
Visteon Corp.(1) | 2,177 | 263,286 | |
XL Fleet Corp.(1) | 3,007 | 25,048 | |
XPEL, Inc.(1) | 1,474 | 123,624 | |
$ 3,187,000 | |||
Automobiles — 0.3% | |||
Arcimoto, Inc.(1) | 2,147 | $ 36,907 | |
Canoo, Inc.(1)(2) | 6,256 | 62,185 | |
Fisker, Inc.(1) | 12,446 | 239,959 | |
Lordstown Motors Corp., Class A(1) | 8,793 | 97,250 | |
Winnebago Industries, Inc. | 2,534 | 172,210 | |
Workhorse Group, Inc.(1)(2) | 9,691 | 160,774 | |
$ 769,285 | |||
Banks — 7.3% | |||
1st Source Corp. | 1,262 | $ 58,633 | |
Allegiance Bancshares, Inc. | 1,683 | 64,695 | |
Altabancorp | 1,248 | 54,051 | |
Amalgamated Financial Corp. | 1,217 | 19,022 | |
Amerant Bancorp, Inc.(1) | 1,707 | 36,496 | |
American National Bankshares, Inc. | 942 | 29,287 | |
Ameris Bancorp | 5,215 | 264,035 | |
Arrow Financial Corp. | 1,159 | 41,666 | |
Associated Banc-Corp. | 11,873 | 243,159 | |
Atlantic Capital Bancshares, Inc.(1) | 1,833 | 46,668 | |
Atlantic Union Bankshares Corp. | 6,181 | 223,876 | |
Banc of California, Inc. | 3,886 | 68,160 | |
BancFirst Corp. | 1,347 | 84,093 | |
Bancorp, Inc. (The)(1) | 4,384 | 100,876 | |
BancorpSouth Bank | 8,296 | 235,026 | |
Bank First Corp. | 510 | 35,583 | |
Bank of Marin Bancorp | 1,090 | 34,771 | |
Bank of NT Butterfield & Son, Ltd. (The) | 4,076 | 144,494 | |
BankUnited, Inc. | 7,467 | 318,766 | |
Banner Corp. | 2,719 | 147,397 | |
Bar Harbor Bankshares | 1,146 | 32,799 | |
Berkshire Hills Bancorp, Inc. | 3,744 | 102,623 |
Security | Shares | Value | |
Banks (continued) | |||
Blue Ridge Bankshares, Inc. | 1,360 | $ 23,827 | |
Boston Private Financial Holdings, Inc. | 6,450 | 95,138 | |
Brookline Bancorp, Inc. | 6,307 | 94,290 | |
Bryn Mawr Bank Corp. | 1,617 | 68,221 | |
Business First Bancshares, Inc. | 1,656 | 38,005 | |
Byline Bancorp, Inc. | 1,998 | 45,215 | |
Cadence BanCorp | 10,031 | 209,447 | |
Cambridge Bancorp | 500 | 41,495 | |
Camden National Corp. | 1,318 | 62,948 | |
Capital Bancorp, Inc.(1) | 525 | 10,736 | |
Capital City Bank Group, Inc. | 1,232 | 31,773 | |
Capstar Financial Holdings, Inc. | 1,274 | 26,117 | |
Carter Bankshares, Inc.(1) | 1,998 | 24,995 | |
Cathay General Bancorp | 6,178 | 243,166 | |
CBTX, Inc. | 1,510 | 41,238 | |
Central Pacific Financial Corp. | 2,337 | 60,902 | |
Century Bancorp, Inc., Class A | 277 | 31,578 | |
CIT Group, Inc. | 7,786 | 401,680 | |
Citizens & Northern Corp. | 1,125 | 27,563 | |
City Holding Co. | 1,291 | 97,135 | |
Civista Bancshares, Inc. | 1,318 | 29,128 | |
CNB Financial Corp. | 1,282 | 29,255 | |
Coastal Financial Corp.(1) | 530 | 15,137 | |
Columbia Banking System, Inc. | 5,841 | 225,229 | |
Community Bank System, Inc. | 4,303 | 325,522 | |
Community Trust Bancorp, Inc. | 1,316 | 53,140 | |
ConnectOne Bancorp, Inc. | 2,830 | 74,061 | |
CrossFirst Bankshares, Inc.(1) | 4,100 | 56,375 | |
Customers Bancorp, Inc.(1) | 2,287 | 89,170 | |
CVB Financial Corp. | 10,136 | 208,700 | |
Dime Community Bancshares, Inc. | 2,983 | 100,288 | |
Eagle Bancorp, Inc. | 2,481 | 139,134 | |
Eastern Bankshares, Inc. | 13,899 | 285,902 | |
Enterprise Bancorp, Inc. | 790 | 25,873 | |
Enterprise Financial Services Corp. | 2,267 | 105,166 | |
Equity Bancshares, Inc., Class A(1) | 1,296 | 39,515 | |
Farmers National Banc Corp. | 1,937 | 30,043 | |
FB Financial Corp. | 2,671 | 99,682 | |
Fidelity D&D Bancorp, Inc.(2) | 249 | 13,471 | |
Financial Institutions, Inc. | 1,360 | 40,800 | |
First Bancorp, Inc. (The) | 691 | 20,350 | |
First Bancorp. | 2,301 | 94,134 | |
First BanCorp. / Puerto Rico | 17,510 | 208,719 | |
First Bancshares, Inc. (The) | 1,589 | 59,476 | |
First Bank / Hamilton | 1,315 | 17,805 | |
First Busey Corp. | 3,985 | 98,270 | |
First Choice Bancorp | 879 | 26,766 |
Security | Shares | Value | |
Banks (continued) | |||
First Commonwealth Financial Corp. | 7,774 | $ 109,380 | |
First Community Bankshares, Inc. | 1,464 | 43,700 | |
First Financial Bancorp | 7,888 | 186,393 | |
First Financial Bankshares, Inc. | 10,185 | 500,389 | |
First Financial Corp. / IN | 1,151 | 46,984 | |
First Foundation, Inc. | 3,136 | 70,591 | |
First Internet Bancorp | 680 | 21,066 | |
First Interstate BancSystem, Inc., Class A | 3,394 | 141,971 | |
First Merchants Corp. | 4,390 | 182,931 | |
First Mid Bancshares, Inc. | 1,248 | 50,556 | |
First Midwest Bancorp, Inc. | 8,933 | 177,141 | |
First of Long Island Corp. (The) | 2,051 | 43,543 | |
Five Star Bancorp(1) | 415 | 10,022 | |
Flushing Financial Corp. | 2,270 | 48,646 | |
Fulton Financial Corp. | 12,466 | 196,714 | |
German American Bancorp, Inc. | 2,058 | 76,558 | |
Glacier Bancorp, Inc. | 7,516 | 413,981 | |
Great Southern Bancorp, Inc. | 940 | 50,666 | |
Great Western Bancorp, Inc. | 4,345 | 142,473 | |
Guaranty Bancshares, Inc. | 732 | 24,939 | |
Hancock Whitney Corp. | 6,785 | 301,525 | |
Hanmi Financial Corp. | 2,767 | 52,739 | |
HarborOne Bancorp, Inc. | 3,960 | 56,786 | |
Hawthorn Bancshares, Inc. | 1 | 17 | |
HBT Financial, Inc. | 782 | 13,615 | |
Heartland Financial USA, Inc. | 3,161 | 148,535 | |
Heritage Commerce Corp. | 4,704 | 52,356 | |
Heritage Financial Corp. | 3,121 | 78,087 | |
Hilltop Holdings, Inc. | 5,065 | 184,366 | |
Home BancShares, Inc. | 11,961 | 295,198 | |
HomeTrust Bancshares, Inc. | 1,500 | 41,850 | |
Hope Bancorp, Inc. | 9,936 | 140,892 | |
Horizon Bancorp | 3,678 | 64,108 | |
Howard Bancorp, Inc.(1) | 1,153 | 18,598 | |
Independent Bank Corp. | 2,584 | 195,092 | |
Independent Bank Corp. / MI | 1,901 | 41,271 | |
Independent Bank Group, Inc. | 2,952 | 218,389 | |
International Bancshares Corp. | 4,217 | 181,078 | |
Investors Bancorp, Inc. | 17,941 | 255,839 | |
Lakeland Bancorp, Inc. | 3,834 | 67,018 | |
Lakeland Financial Corp. | 1,974 | 121,677 | |
Live Oak Bancshares, Inc. | 2,492 | 147,028 | |
Macatawa Bank Corp. | 2,061 | 18,034 | |
Mercantile Bank Corp. | 1,436 | 43,367 | |
Metrocity Bankshares, Inc. | 1,365 | 23,901 | |
Metropolitan Bank Holding Corp.(1) | 542 | 32,639 | |
Mid Penn Bancorp, Inc. | 771 | 21,164 |
Security | Shares | Value | |
Banks (continued) | |||
Midland States Bancorp, Inc. | 1,739 | $ 45,684 | |
MidWestOne Financial Group, Inc. | 980 | 28,195 | |
MVB Financial Corp. | 740 | 31,568 | |
National Bank Holdings Corp., Class A | 2,394 | 90,350 | |
NBT Bancorp, Inc. | 3,309 | 119,025 | |
Nicolet Bankshares, Inc.(1) | 802 | 56,413 | |
Northrim BanCorp, Inc. | 525 | 22,444 | |
OceanFirst Financial Corp. | 4,703 | 98,011 | |
OFG Bancorp | 4,325 | 95,669 | |
Old National Bancorp | 12,960 | 228,226 | |
Old Second Bancorp, Inc. | 2,274 | 28,198 | |
Origin Bancorp, Inc. | 1,666 | 70,738 | |
Orrstown Financial Services, Inc. | 900 | 20,763 | |
Pacific Premier Bancorp, Inc. | 7,352 | 310,916 | |
Park National Corp. | 1,166 | 136,912 | |
Peapack-Gladstone Financial Corp. | 1,655 | 51,421 | |
Peoples Bancorp, Inc. | 1,418 | 42,001 | |
Peoples Financial Services Corp. | 676 | 28,798 | |
Preferred Bank / Los Angeles | 1,081 | 68,395 | |
Premier Financial Bancorp, Inc. | 911 | 15,350 | |
Primis Financial Corp. | 1,573 | 24,004 | |
QCR Holdings, Inc. | 1,290 | 62,036 | |
RBB Bancorp | 1,147 | 27,780 | |
Red River Bancshares, Inc. | 422 | 21,315 | |
Reliant Bancorp, Inc. | 1,251 | 34,690 | |
Renasant Corp. | 4,333 | 173,320 | |
Republic Bancorp, Inc., Class A | 907 | 41,840 | |
Republic First Bancorp, Inc.(1) | 4,071 | 16,243 | |
S&T Bancorp, Inc. | 3,252 | 101,788 | |
Sandy Spring Bancorp, Inc. | 3,747 | 165,355 | |
Seacoast Banking Corp. of Florida(1) | 4,301 | 146,879 | |
ServisFirst Bancshares, Inc. | 3,962 | 269,337 | |
Sierra Bancorp | 1,243 | 31,634 | |
Silvergate Capital Corp., Class A(1) | 1,795 | 203,409 | |
Simmons First National Corp., Class A | 8,423 | 247,131 | |
SmartFinancial, Inc. | 1,098 | 26,363 | |
South Plains Financial, Inc. | 868 | 20,077 | |
South State Corp. | 5,558 | 454,422 | |
Southern First Bancshares, Inc.(1) | 613 | 31,361 | |
Southside Bancshares, Inc. | 2,444 | 93,434 | |
Spirit of Texas Bancshares, Inc. | 1,176 | 26,860 | |
Stock Yards Bancorp, Inc. | 1,663 | 84,630 | |
Summit Financial Group, Inc. | 955 | 21,020 | |
Texas Capital Bancshares, Inc.(1) | 3,977 | 252,500 | |
Tompkins Financial Corp. | 1,120 | 86,867 | |
TowneBank | 5,446 | 165,667 | |
TriCo Bancshares | 2,280 | 97,082 |
Security | Shares | Value | |
Banks (continued) | |||
TriState Capital Holdings, Inc.(1) | 2,329 | $ 47,488 | |
Triumph Bancorp, Inc.(1) | 1,845 | 136,991 | |
Trustmark Corp. | 4,949 | 152,429 | |
UMB Financial Corp. | 3,434 | 319,568 | |
United Bankshares, Inc. | 9,800 | 357,700 | |
United Community Banks, Inc. | 6,824 | 218,436 | |
Univest Financial Corp. | 2,577 | 67,956 | |
Valley National Bancorp | 31,413 | 421,877 | |
Veritex Holdings, Inc. | 3,730 | 132,079 | |
Washington Trust Bancorp, Inc. | 1,507 | 77,384 | |
WesBanco, Inc. | 5,303 | 188,946 | |
West BanCorp, Inc. | 1,387 | 38,489 | |
Westamerica BanCorp. | 2,125 | 123,314 | |
$ 18,725,347 | |||
Beverages — 0.3% | |||
Celsius Holdings, Inc.(1) | 3,566 | $ 271,337 | |
Coca-Cola Consolidated, Inc. | 383 | 154,016 | |
Duckhorn Portfolio, Inc. (The)(1) | 1,583 | 34,921 | |
MGP Ingredients, Inc.(2) | 1,083 | 73,254 | |
National Beverage Corp. | 1,978 | 93,421 | |
NewAge, Inc.(1) | 10,439 | 23,279 | |
Primo Water Corp. | 12,333 | 206,331 | |
$ 856,559 | |||
Biotechnology — 9.4% | |||
4D Molecular Therapeutics, Inc.(1) | 633 | $ 15,243 | |
89bio, Inc.(1)(2) | 560 | 10,472 | |
ACADIA Pharmaceuticals, Inc.(1) | 9,384 | 228,876 | |
Adicet Bio, Inc.(1) | 1,640 | 16,876 | |
Adverum Biotechnologies, Inc.(1) | 7,403 | 25,911 | |
Aeglea BioTherapeutics, Inc.(1) | 3,710 | 25,822 | |
Affimed NV(1) | 9,178 | 78,013 | |
Agenus, Inc.(1) | 15,457 | 84,859 | |
Agios Pharmaceuticals, Inc.(1)(2) | 4,830 | 266,181 | |
Akebia Therapeutics, Inc.(1) | 11,500 | 43,585 | |
Akero Therapeutics, Inc.(1) | 2,016 | 50,017 | |
Akouos, Inc.(1)(2) | 1,992 | 25,000 | |
Albireo Pharma, Inc.(1) | 1,419 | 49,920 | |
Aldeyra Therapeutics, Inc.(1) | 3,805 | 43,111 | |
Alector, Inc.(1)(2) | 4,559 | 94,964 | |
Aligos Therapeutics, Inc.(1) | 1,471 | 29,986 | |
Alkermes PLC(1) | 12,578 | 308,413 | |
Allakos, Inc.(1) | 2,740 | 233,914 | |
Allogene Therapeutics, Inc.(1) | 5,332 | 139,059 | |
Allovir, Inc.(1) | 2,408 | 47,534 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Alpine Immune Sciences, Inc.(1) | 911 | $ 8,199 | |
Altimmune, Inc.(1) | 2,548 | 25,098 | |
ALX Oncology Holdings, Inc.(1) | 1,419 | 77,591 | |
Amicus Therapeutics, Inc.(1) | 20,619 | 198,767 | |
AnaptysBio, Inc.(1) | 1,812 | 46,985 | |
Anavex Life Sciences Corp.(1)(2) | 4,866 | 111,237 | |
Anika Therapeutics, Inc.(1) | 1,202 | 52,035 | |
Annexon, Inc.(1) | 2,169 | 48,824 | |
Apellis Pharmaceuticals, Inc.(1) | 5,030 | 317,896 | |
Applied Molecular Transport, Inc.(1)(2) | 1,806 | 82,606 | |
Applied Therapeutics, Inc.(1)(2) | 1,179 | 24,500 | |
AquaBounty Technologies, Inc.(1) | 4,115 | 22,056 | |
Arbutus Biopharma Corp.(1)(2) | 6,124 | 18,556 | |
Arcturus Therapeutics Holdings, Inc.(1)(2) | 1,638 | 55,430 | |
Arcus Biosciences, Inc.(1) | 3,592 | 98,636 | |
Arcutis Biotherapeutics, Inc.(1) | 1,880 | 51,305 | |
Ardelyx, Inc.(1) | 6,633 | 50,278 | |
Arena Pharmaceuticals, Inc.(1) | 4,729 | 322,518 | |
Arrowhead Pharmaceuticals, Inc.(1) | 7,948 | 658,253 | |
Atara Biotherapeutics, Inc.(1) | 6,167 | 95,897 | |
Athenex, Inc.(1)(2) | 5,991 | 27,678 | |
Athersys, Inc.(1)(2) | 15,321 | 22,062 | |
Atossa Therapeutics, Inc.(1) | 9,173 | 57,973 | |
Atreca, Inc., Class A(1)(2) | 2,420 | 20,618 | |
Avid Bioservices, Inc.(1) | 4,695 | 120,427 | |
Avidity Biosciences, Inc.(1)(2) | 2,480 | 61,281 | |
Avita Medical, Inc.(1) | 1,872 | 38,413 | |
Avrobio, Inc.(1) | 2,729 | 24,261 | |
Beam Therapeutics, Inc.(1)(2) | 3,684 | 474,168 | |
Beyondspring, Inc.(1)(2) | 1,774 | 18,521 | |
BioAtla, Inc.(1)(2) | 942 | 39,922 | |
BioCryst Pharmaceuticals, Inc.(1) | 13,940 | 220,391 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 4,236 | 411,231 | |
Biomea Fusion, Inc.(1)(2) | 677 | 10,568 | |
Bioxcel Therapeutics, Inc.(1)(2) | 1,080 | 31,385 | |
Black Diamond Therapeutics, Inc.(1)(2) | 1,541 | 18,785 | |
Bluebird Bio, Inc.(1) | 5,296 | 169,366 | |
Blueprint Medicines Corp.(1) | 4,626 | 406,903 | |
Bolt Biotherapeutics, Inc.(1) | 1,032 | 15,955 | |
Bridgebio Pharma, Inc.(1)(2) | 8,438 | 514,380 | |
Brooklyn ImmunoTherapeutics, Inc.(1) | 1,867 | 33,625 | |
C4 Therapeutics, Inc.(1) | 2,700 | 102,168 | |
Cardiff Oncology, Inc.(1) | 2,835 | 18,853 | |
CareDx, Inc.(1) | 3,924 | 359,124 | |
Catalyst Pharmaceuticals, Inc.(1) | 9,063 | 52,112 | |
Celcuity, Inc.(1)(2) | 625 | 15,000 | |
Celldex Therapeutics, Inc.(1) | 3,074 | 102,795 |
Security | Shares | Value | |
Biotechnology (continued) | |||
CEL-SCI Corp.(1)(2) | 2,865 | $ 24,868 | |
Cerevel Therapeutics Holdings, Inc.(1) | 2,765 | 70,839 | |
ChemoCentryx, Inc.(1) | 4,033 | 54,002 | |
Chimerix, Inc.(1) | 4,840 | 38,720 | |
Chinook Therapeutics, Inc.(1) | 2,466 | 34,820 | |
Clene, Inc.(1)(2) | 1,794 | 20,165 | |
Clovis Oncology, Inc.(1) | 7,887 | 45,745 | |
Codiak Biosciences, Inc.(1) | 1,231 | 22,810 | |
Cogent Biosciences, Inc.(1)(2) | 2,913 | 23,624 | |
Coherus Biosciences, Inc.(1) | 5,115 | 70,740 | |
Constellation Pharmaceuticals, Inc.(1) | 2,844 | 96,127 | |
Cortexyme, Inc.(1)(2) | 1,564 | 82,892 | |
Crinetics Pharmaceuticals, Inc.(1)(2) | 2,860 | 53,911 | |
Cue Biopharma, Inc.(1)(2) | 2,450 | 28,543 | |
Cullinan Oncology, Inc.(1) | 1,068 | 27,501 | |
Curis, Inc.(1) | 6,790 | 54,795 | |
Cytokinetics, Inc.(1) | 5,655 | 111,912 | |
CytomX Therapeutics, Inc.(1) | 5,010 | 31,713 | |
Deciphera Pharmaceuticals, Inc.(1) | 3,305 | 120,996 | |
Denali Therapeutics, Inc.(1) | 7,134 | 559,591 | |
Dermtech, Inc.(1)(2) | 1,859 | 77,279 | |
Design Therapeutics, Inc.(1)(2) | 1,057 | 21,024 | |
Dicerna Pharmaceuticals, Inc.(1) | 5,365 | 200,222 | |
Dynavax Technologies Corp.(1)(2) | 8,981 | 88,463 | |
Dyne Therapeutics, Inc.(1)(2) | 2,355 | 49,549 | |
Eagle Pharmaceuticals, Inc.(1) | 867 | 37,108 | |
Editas Medicine, Inc.(1) | 5,352 | 303,137 | |
Eiger BioPharmaceuticals, Inc.(1)(2) | 2,068 | 17,619 | |
Emergent BioSolutions, Inc.(1) | 3,841 | 241,945 | |
Enanta Pharmaceuticals, Inc.(1) | 1,658 | 72,969 | |
Epizyme, Inc.(1) | 7,880 | 65,483 | |
Esperion Therapeutics, Inc.(1) | 2,273 | 48,074 | |
Evelo Biosciences, Inc.(1)(2) | 2,381 | 32,715 | |
Fate Therapeutics, Inc.(1) | 6,294 | 546,256 | |
FibroGen, Inc.(1) | 7,057 | 187,928 | |
Finch Therapeutics Group, Inc.(1) | 593 | 8,344 | |
Flexion Therapeutics, Inc.(1)(2) | 3,730 | 30,698 | |
Foghorn Therapeutics, Inc.(1) | 1,534 | 16,368 | |
Forma Therapeutics Holdings, Inc.(1)(2) | 2,458 | 61,180 | |
Forte Biosciences, Inc.(1) | 885 | 29,754 | |
Fortress Biotech, Inc.(1)(2) | 5,129 | 18,311 | |
Frequency Therapeutics, Inc.(1)(2) | 2,140 | 21,314 | |
G1 Therapeutics, Inc.(1)(2) | 2,920 | 64,065 | |
Gemini Therapeutics, Inc.(1)(2) | 1,718 | 11,115 | |
Generation Bio Co.(1)(2) | 3,277 | 88,151 | |
Geron Corp.(1)(2) | 24,481 | 34,518 | |
Global Blood Therapeutics, Inc.(1) | 4,693 | 164,349 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Gossamer Bio, Inc.(1)(2) | 4,379 | $ 35,557 | |
Greenwich Lifesciences, Inc.(1) | 316 | 14,201 | |
Gritstone bio, Inc.(1) | 2,546 | 23,245 | |
GT Biopharma, Inc.(1) | 1,870 | 28,985 | |
Halozyme Therapeutics, Inc.(1) | 11,050 | 501,781 | |
Harpoon Therapeutics, Inc.(1) | 1,102 | 15,285 | |
Heron Therapeutics, Inc.(1) | 7,128 | 110,627 | |
Homology Medicines, Inc.(1)(2) | 3,003 | 21,832 | |
Hookipa Pharma, Inc.(1)(2) | 859 | 7,868 | |
Humanigen, Inc.(1) | 3,517 | 61,125 | |
iBio, Inc.(1)(2) | 15,089 | 22,784 | |
Ideaya Biosciences, Inc.(1)(2) | 2,201 | 46,199 | |
IGM Biosciences, Inc.(1) | 627 | 52,166 | |
Immunic, Inc.(1) | 1,216 | 14,908 | |
ImmunityBio, Inc.(1) | 5,244 | 74,884 | |
ImmunoGen, Inc.(1) | 15,644 | 103,094 | |
Immunovant, Inc.(1) | 3,141 | 33,200 | |
Impel Neuropharma, Inc.(1) | 422 | 3,735 | |
Infinity Pharmaceuticals, Inc.(1) | 6,863 | 20,520 | |
Inhibrx, Inc.(1) | 2,189 | 60,241 | |
Inovio Pharmaceuticals, Inc.(1)(2) | 16,212 | 150,285 | |
Inozyme Pharma, Inc.(1)(2) | 692 | 11,792 | |
Insmed, Inc.(1) | 8,235 | 234,368 | |
Instil Bio, Inc.(1) | 1,367 | 26,410 | |
Intellia Therapeutics, Inc.(1) | 5,009 | 811,007 | |
Intercept Pharmaceuticals, Inc.(1) | 2,290 | 45,731 | |
Invitae Corp.(1)(2) | 15,712 | 529,966 | |
Ironwood Pharmaceuticals, Inc.(1) | 11,391 | 146,602 | |
iTeos Therapeutics, Inc.(1) | 1,605 | 41,168 | |
IVERIC bio, Inc.(1) | 6,845 | 43,192 | |
Jounce Therapeutics, Inc.(1) | 2,585 | 17,578 | |
Kadmon Holdings, Inc.(1)(2) | 13,434 | 51,990 | |
KalVista Pharmaceuticals, Inc.(1) | 1,550 | 37,138 | |
Karuna Therapeutics, Inc.(1) | 1,741 | 198,457 | |
Karyopharm Therapeutics, Inc.(1) | 6,194 | 63,922 | |
Keros Therapeutics, Inc.(1) | 1,092 | 46,377 | |
Kezar Life Sciences, Inc.(1) | 2,239 | 12,158 | |
Kiniksa Pharmaceuticals, Ltd., Class A(1)(2) | 2,278 | 31,733 | |
Kinnate Biopharma, Inc.(1) | 1,099 | 25,585 | |
Kodiak Sciences, Inc.(1)(2) | 2,699 | 251,007 | |
Kronos Bio, Inc.(1)(2) | 3,044 | 72,904 | |
Krystal Biotech, Inc.(1) | 1,406 | 95,608 | |
Kura Oncology, Inc.(1) | 5,246 | 109,379 | |
Kymera Therapeutics, Inc.(1) | 2,267 | 109,950 | |
Lexicon Pharmaceuticals, Inc.(1) | 5,367 | 24,635 | |
Ligand Pharmaceuticals, Inc.(1) | 1,219 | 159,921 | |
Lineage Cell Therapeutics, Inc.(1) | �� | 9,508 | 27,098 |
Security | Shares | Value | |
Biotechnology (continued) | |||
MacroGenics, Inc.(1) | 4,499 | $ 120,843 | |
Madrigal Pharmaceuticals, Inc.(1) | 890 | 86,695 | |
Magenta Therapeutics, Inc.(1) | 1,719 | 16,812 | |
MannKind Corp.(1)(2) | 18,965 | 103,359 | |
MEI Pharma, Inc.(1) | 7,667 | 21,851 | |
MeiraGTx Holdings PLC(1)(2) | 2,356 | 36,518 | |
Mersana Therapeutics, Inc.(1) | 5,400 | 73,332 | |
MiMedx Group, Inc.(1) | 8,710 | 108,962 | |
Mirum Pharmaceuticals, Inc.(1) | 225 | 3,890 | |
Molecular Templates, Inc.(1)(2) | 2,142 | 16,750 | |
Morphic Holding, Inc.(1) | 1,626 | 93,316 | |
Mustang Bio, Inc.(1) | 4,255 | 14,127 | |
Myriad Genetics, Inc.(1) | 5,791 | 177,089 | |
Neoleukin Therapeutics, Inc.(1)(2) | 2,623 | 24,210 | |
NexImmune, Inc.(1) | 521 | 8,503 | |
Nkarta, Inc.(1) | 1,106 | 35,049 | |
Nurix Therapeutics, Inc.(1)(2) | 2,456 | 65,158 | |
Ocugen, Inc.(1) | 14,478 | 116,258 | |
Olema Pharmaceuticals, Inc.(1) | 987 | 27,616 | |
Oncocyte Corp.(1) | 5,296 | 30,399 | |
Oncorus, Inc.(1) | 1,601 | 22,094 | |
Oncternal Therapeutics, Inc.(1)(2) | 3,470 | 16,483 | |
OPKO Health, Inc.(1) | 32,353 | 131,030 | |
Organogenesis Holdings, Inc.(1) | 2,990 | 49,694 | |
ORIC Pharmaceuticals, Inc.(1) | 1,859 | 32,886 | |
Outlook Therapeutics, Inc.(1) | 6,867 | 17,099 | |
Oyster Point Pharma, Inc.(1)(2) | 485 | 8,337 | |
Passage Bio, Inc.(1) | 2,908 | 38,502 | |
PMV Pharmaceuticals, Inc.(1)(2) | 2,057 | 70,267 | |
Portage Biotech, Inc.(1)(2) | 283 | 5,932 | |
Poseida Therapeutics, Inc.(1) | 2,693 | 26,984 | |
Praxis Precision Medicines, Inc.(1) | 1,912 | 34,951 | |
Precigen, Inc.(1)(2) | 7,437 | 48,489 | |
Precision BioSciences, Inc.(1)(2) | 4,034 | 50,506 | |
Prelude Therapeutics, Inc.(1)(2) | 769 | 22,016 | |
Prometheus Biosciences, Inc.(1) | 886 | 21,760 | |
Protagonist Therapeutics, Inc.(1) | 3,241 | 145,456 | |
Prothena Corp. PLC(1) | 2,577 | 132,484 | |
PTC Therapeutics, Inc.(1) | 5,446 | 230,202 | |
Puma Biotechnology, Inc.(1) | 2,522 | 23,152 | |
Radius Health, Inc.(1) | 3,845 | 70,133 | |
Rapt Therapeutics, Inc.(1) | 1,409 | 44,792 | |
Recursion Pharmaceuticals, Inc., Class A(1) | 1,657 | 60,481 | |
REGENXBIO, Inc.(1) | 2,991 | 116,200 | |
Relay Therapeutics, Inc.(1) | 4,590 | 167,948 | |
Reneo Pharmaceuticals, Inc.(1)(2) | 494 | 4,609 | |
Replimune Group, Inc.(1) | 1,993 | 76,571 |
Security | Shares | Value | |
Biotechnology (continued) | |||
REVOLUTION Medicines, Inc.(1) | 4,657 | $ 147,813 | |
Rhythm Pharmaceuticals, Inc.(1) | 3,454 | 67,629 | |
Rigel Pharmaceuticals, Inc.(1)(2) | 14,810 | 64,275 | |
Rocket Pharmaceuticals, Inc.(1) | 3,009 | 133,269 | |
Rubius Therapeutics, Inc.(1) | 3,535 | 86,289 | |
Sana Biotechnology, Inc.(1)(2) | 2,105 | 41,384 | |
Sangamo Therapeutics, Inc.(1) | 9,803 | 117,342 | |
Scholar Rock Holding Corp.(1) | 2,162 | 62,482 | |
Selecta Biosciences, Inc.(1) | 5,991 | 25,042 | |
Sensei Biotherapeutics, Inc.(1) | 620 | 6,051 | |
Seres Therapeutics, Inc.(1) | 5,457 | 130,149 | |
Sesen Bio, Inc.(1) | 13,404 | 61,926 | |
Shattuck Labs, Inc.(1) | 2,086 | 60,473 | |
Sigilon Therapeutics, Inc.(1) | 628 | 6,738 | |
Silverback Therapeutics, Inc.(1) | 1,032 | 31,878 | |
Solid Biosciences, Inc.(1) | 4,720 | 17,275 | |
Sorrento Therapeutics, Inc.(1) | 20,966 | 203,161 | |
Spectrum Pharmaceuticals, Inc.(1) | 12,291 | 46,091 | |
Spero Therapeutics, Inc.(1) | 1,713 | 23,913 | |
SpringWorks Therapeutics, Inc.(1) | 2,289 | 188,637 | |
Spruce Biosciences, Inc.(1)(2) | 584 | 6,547 | |
SQZ Biotechnologies Co.(1)(2) | 1,785 | 25,793 | |
Stoke Therapeutics, Inc.(1) | 1,497 | 50,389 | |
Summit Therapeutics, Inc.(1)(2) | 1,762 | 13,145 | |
Surface Oncology, Inc.(1) | 2,609 | 19,463 | |
Sutro Biopharma, Inc.(1) | 3,400 | 63,206 | |
Syndax Pharmaceuticals, Inc.(1) | 3,525 | 60,524 | |
Syros Pharmaceuticals, Inc.(1)(2) | 3,667 | 19,985 | |
Talaris Therapeutics, Inc.(1) | 698 | 10,254 | |
Taysha Gene Therapies, Inc.(1)(2) | 1,745 | 36,994 | |
TCR2 Therapeutics, Inc.(1) | 2,165 | 35,528 | |
TG Therapeutics, Inc.(1)(2) | 10,140 | 393,331 | |
Tonix Pharmaceuticals Holding Corp.(1) | 25,614 | 28,432 | |
Translate Bio, Inc.(1) | 5,256 | 144,750 | |
Travere Therapeutics, Inc.(1) | 4,501 | 65,670 | |
Trevena, Inc.(1) | 12,822 | 21,669 | |
Trillium Therapeutics, Inc.(1) | 7,670 | 74,399 | |
Turning Point Therapeutics, Inc.(1) | 3,605 | 281,262 | |
Twist Bioscience Corp.(1) | 3,702 | 493,292 | |
UroGen Pharma, Ltd.(1) | 1,653 | 25,241 | |
Vanda Pharmaceuticals, Inc.(1) | 4,281 | 92,084 | |
Vaxart, Inc.(1) | 9,366 | 70,151 | |
Vaxcyte, Inc.(1) | 3,117 | 70,164 | |
VBI Vaccines, Inc.(1)(2) | 14,103 | 47,245 | |
Veracyte, Inc.(1) | 5,480 | 219,090 | |
Verastem, Inc.(1) | 14,449 | 58,807 | |
Vericel Corp.(1)(2) | 3,645 | 191,363 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Viking Therapeutics, Inc.(1)(2) | 5,553 | $ 33,262 | |
Vincerx Pharma, Inc.(1) | 369 | 4,793 | |
Vir Biotechnology, Inc.(1) | 4,713 | 222,831 | |
Viracta Therapeutics, Inc.(1) | 2,843 | 32,240 | |
VistaGen Therapeutics, Inc.(1) | 15,000 | 47,250 | |
Vor BioPharma, Inc.(1) | 928 | 17,307 | |
Werewolf Therapeutics, Inc.(1) | 593 | 10,342 | |
XBiotech, Inc.(1)(2) | 1,143 | 18,928 | |
Xencor, Inc.(1) | 4,645 | 160,206 | |
XOMA Corp.(1)(2) | 537 | 18,258 | |
Y-mAbs Therapeutics, Inc.(1) | 2,645 | 89,401 | |
Zentalis Pharmaceuticals, Inc.(1) | 2,607 | 138,692 | |
ZIOPHARM Oncology, Inc.(1)(2) | 18,832 | 49,716 | |
$ 24,146,454 | |||
Building Products — 1.0% | |||
AAON, Inc. | 3,340 | $ 209,051 | |
American Woodmark Corp.(1) | 1,377 | 112,487 | |
Apogee Enterprises, Inc. | 2,204 | 89,769 | |
Caesarstone, Ltd. | 1,950 | 28,782 | |
Cornerstone Building Brands, Inc.(1) | 4,293 | 78,047 | |
CSW Industrials, Inc. | 1,073 | 127,107 | |
Gibraltar Industries, Inc.(1) | 2,573 | 196,346 | |
Griffon Corp. | 3,669 | 94,036 | |
Insteel Industries, Inc. | 1,366 | 43,917 | |
JELD-WEN Holding, Inc.(1) | 6,388 | 167,749 | |
Masonite International Corp.(1) | 1,982 | 221,568 | |
PGT Innovations, Inc.(1) | 4,639 | 107,764 | |
Quanex Building Products Corp. | 2,627 | 65,255 | |
Resideo Technologies, Inc.(1) | 11,338 | 340,140 | |
Simpson Manufacturing Co., Inc. | 3,417 | 377,373 | |
UFP Industries, Inc. | 4,722 | 351,033 | |
View, Inc.(1) | 6,644 | 56,341 | |
$ 2,666,765 | |||
Capital Markets — 1.4% | |||
Artisan Partners Asset Management, Inc., Class A | 4,606 | $ 234,077 | |
Assetmark Financial Holdings(1) | 1,445 | 36,212 | |
Associated Capital Group, Inc., Class A | 224 | 8,705 | |
B. Riley Financial, Inc. | 1,590 | 120,045 | |
BGC Partners, Inc., Class A | 26,929 | 152,687 | |
Blucora, Inc.(1) | 4,225 | 73,135 | |
Brightsphere Investment Group, Inc. | 4,548 | 106,560 | |
Cohen & Steers, Inc. | 2,048 | 168,120 | |
Cowen, Inc., Class A | 2,148 | 88,175 | |
Diamond Hill Investment Group, Inc. | 250 | 41,827 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Donnelley Financial Solutions, Inc.(1) | 2,515 | $ 82,995 | |
Federated Hermes, Inc., Class B | 7,424 | 251,748 | |
Focus Financial Partners, Inc., Class A(1) | 4,088 | 198,268 | |
GAMCO Investors, Inc., Class A | 342 | 8,584 | |
GCM Grosvenor, Inc., Class A | 2,565 | 26,727 | |
Greenhill & Co., Inc. | 1,309 | 20,368 | |
Hamilton Lane, Inc., Class A | 2,688 | 244,931 | |
Houlihan Lokey, Inc. | 4,073 | 333,131 | |
Moelis & Co., Class A | 4,797 | 272,901 | |
Open Lending Corp., Class A(1) | 8,176 | 352,304 | |
Oppenheimer Holdings, Inc., Class A | 724 | 36,808 | |
Piper Sandler Cos. | 1,417 | 183,587 | |
PJT Partners, Inc., Class A | 1,985 | 141,689 | |
Pzena Investment Management, Inc., Class A | 1,231 | 13,553 | |
Sculptor Capital Management, Inc. | 1,486 | 36,541 | |
StepStone Group, Inc., Class A(2) | 2,928 | 100,723 | |
StoneX Group, Inc.(1) | 1,391 | 84,392 | |
Value Line, Inc. | 91 | 2,821 | |
Virtus Investment Partners, Inc. | 593 | 164,718 | |
WisdomTree Investments, Inc.(2) | 11,656 | 72,267 | |
$ 3,658,599 | |||
Chemicals — 1.8% | |||
AdvanSix, Inc.(1) | 2,316 | $ 69,156 | |
American Vanguard Corp. | 2,506 | 43,880 | |
Amyris, Inc.(1)(2) | 13,112 | 214,643 | |
Avient Corp. | 7,139 | 350,953 | |
Balchem Corp. | 2,529 | 331,957 | |
Cabot Corp. | 4,401 | 250,549 | |
Chase Corp. | 627 | 64,336 | |
Danimer Scientific, Inc.(1) | 5,392 | 135,070 | |
Ferro Corp.(1) | 6,659 | 143,635 | |
FutureFuel Corp. | 1,874 | 17,990 | |
GCP Applied Technologies, Inc.(1) | 3,858 | 89,737 | |
Hawkins, Inc. | 1,498 | 49,060 | |
HB Fuller Co. | 4,089 | 260,101 | |
Ingevity Corp.(1) | 3,156 | 256,772 | |
Innospec, Inc. | 1,991 | 180,405 | |
Intrepid Potash, Inc.(1) | 831 | 26,476 | |
Koppers Holdings, Inc.(1) | 1,571 | 50,822 | |
Kraton Corp.(1) | 2,659 | 85,859 | |
Kronos Worldwide, Inc. | 1,877 | 26,879 | |
Livent Corp.(1) | 11,934 | 231,042 | |
Marrone Bio Innovations, Inc.(1) | 4,928 | 8,180 | |
Minerals Technologies, Inc. | 2,636 | 207,374 | |
Orion Engineered Carbons S.A.(1) | 4,752 | 90,240 | |
PQ Group Holdings, Inc. | 4,026 | 61,839 |
Security | Shares | Value | |
Chemicals (continued) | |||
PureCycle Technologies, Inc.(1)(2) | 2,583 | $ 61,088 | |
Quaker Chemical Corp. | 1,058 | 250,947 | |
Rayonier Advanced Materials, Inc.(1) | 5,330 | 35,658 | |
Sensient Technologies Corp. | 3,317 | 287,120 | |
Stepan Co. | 1,690 | 203,256 | |
Tredegar Corp. | 2,145 | 29,537 | |
Trinseo S.A. | 3,113 | 186,282 | |
Tronox Holdings PLC, Class A | 9,258 | 207,379 | |
Valhi, Inc. | 189 | 4,598 | |
Zymergen, Inc.(1) | 1,468 | 58,735 | |
$ 4,571,555 | |||
Commercial Services & Supplies — 1.7% | |||
ABM Industries, Inc. | 5,284 | $ 234,345 | |
ACCO Brands Corp. | 7,737 | 66,770 | |
Brady Corp., Class A | 3,699 | 207,292 | |
BrightView Holdings, Inc.(1) | 3,485 | 56,178 | |
Brink's Co. (The) | 3,816 | 293,221 | |
Casella Waste Systems, Inc., Class A(1) | 3,858 | 244,713 | |
CECO Environmental Corp.(1) | 2,281 | 16,332 | |
Cimpress PLC(1) | 1,447 | 156,869 | |
CompX International, Inc. | 124 | 2,576 | |
CoreCivic, Inc.(1) | 9,406 | 98,481 | |
Covanta Holding Corp. | 9,645 | 169,849 | |
Deluxe Corp. | 3,303 | 157,784 | |
Ennis, Inc. | 2,271 | 48,872 | |
Harsco Corp.(1) | 6,141 | 125,399 | |
Healthcare Services Group, Inc. | 6,075 | 191,788 | |
Heritage-Crystal Clean, Inc.(1) | 1,244 | 36,922 | |
Herman Miller, Inc. | 4,798 | 226,178 | |
HNI Corp. | 3,572 | 157,061 | |
Interface, Inc. | 5,094 | 77,938 | |
KAR Auction Services, Inc.(1) | 9,759 | 171,271 | |
Kimball International, Inc., Class B | 3,203 | 42,120 | |
Knoll, Inc. | 3,733 | 97,021 | |
Matthews International Corp., Class A | 2,426 | 87,239 | |
Montrose Environmental Group, Inc.(1) | 1,746 | 93,690 | |
NL Industries, Inc. | 532 | 3,458 | |
Pitney Bowes, Inc. | 14,661 | 128,577 | |
RR Donnelley & Sons Co.(1) | 5,556 | 34,892 | |
SP Plus Corp.(1) | 1,895 | 57,968 | |
Steelcase, Inc., Class A | 7,018 | 106,042 | |
Team, Inc.(1) | 2,411 | 16,154 | |
Tetra Tech, Inc. | 4,229 | 516,107 | |
UniFirst Corp. | 1,183 | 277,579 | |
US Ecology, Inc.(1) | 2,470 | 92,674 | |
Viad Corp.(1) | 1,592 | 79,361 |
Security | Shares | Value | |
Commercial Services & Supplies (continued) | |||
VSE Corp. | 830 | $ 41,093 | |
$ 4,413,814 | |||
Communications Equipment — 0.7% | |||
ADTRAN, Inc. | 4,115 | $ 84,975 | |
Aviat Networks, Inc.(1) | 756 | 24,774 | |
CalAmp Corp.(1) | 3,105 | 39,496 | |
Calix, Inc.(1) | 4,281 | 203,347 | |
Cambium Networks Corp.(1) | 659 | 31,863 | |
Casa Systems, Inc.(1) | 2,241 | 19,878 | |
Clearfield, Inc.(1) | 1,022 | 38,274 | |
Comtech Telecommunications Corp. | 2,055 | 49,649 | |
Digi International, Inc.(1) | 2,313 | 46,514 | |
DZS, Inc.(1) | 1,018 | 21,123 | |
EchoStar Corp., Class A(1) | 3,242 | 78,748 | |
EMCORE Corp.(1) | 2,864 | 26,406 | |
Extreme Networks, Inc.(1) | 9,679 | 108,018 | |
Harmonic, Inc.(1) | 7,210 | 61,429 | |
Infinera Corp.(1) | 13,753 | 140,281 | |
Inseego Corp.(1)(2) | 6,022 | 60,762 | |
KVH Industries, Inc.(1) | 1,491 | 18,339 | |
NETGEAR, Inc.(1) | 2,438 | 93,424 | |
NetScout Systems, Inc.(1) | 5,503 | 157,056 | |
Plantronics, Inc.(1) | 2,674 | 111,586 | |
Ribbon Communications, Inc.(1) | 5,864 | 44,625 | |
Viavi Solutions, Inc.(1) | 17,927 | 316,591 | |
$ 1,777,158 | |||
Construction & Engineering — 1.2% | |||
Ameresco, Inc., Class A(1) | 2,423 | $ 151,971 | |
API Group Corp.(1)(3) | 14,146 | 295,510 | |
Arcosa, Inc. | 3,800 | 223,212 | |
Argan, Inc. | 1,319 | 63,035 | |
Comfort Systems USA, Inc. | 2,796 | 220,297 | |
Concrete Pumping Holdings, Inc.(1)(2) | 2,145 | 18,168 | |
Construction Partners, Inc., Class A(1) | 2,244 | 70,462 | |
Dycom Industries, Inc.(1) | 2,344 | 174,698 | |
EMCOR Group, Inc. | 4,242 | 522,572 | |
Fluor Corp.(1) | 11,138 | 197,143 | |
Granite Construction, Inc. | 3,588 | 149,010 | |
Great Lakes Dredge & Dock Corp.(1) | 5,123 | 74,847 | |
HC2 Holdings, Inc.(1) | 3,868 | 15,395 | |
IES Holdings, Inc.(1) | 610 | 31,330 | |
Infrastructure and Energy Alternatives, Inc.(1) | 1,639 | 21,077 | |
Matrix Service Co.(1) | 2,252 | 23,646 | |
MYR Group, Inc.(1) | 1,295 | 117,741 |
Security | Shares | Value | |
Construction & Engineering (continued) | |||
Northwest Pipe Co.(1) | 837 | $ 23,645 | |
NV5 Global, Inc.(1) | 920 | 86,949 | |
Primoris Services Corp. | 4,194 | 123,429 | |
Sterling Construction Co., Inc.(1) | 2,268 | 54,727 | |
Tutor Perini Corp.(1) | 3,186 | 44,126 | |
WillScot Mobile Mini Holdings Corp.(1) | 14,785 | 412,058 | |
$ 3,115,048 | |||
Construction Materials — 0.2% | |||
Forterra, Inc.(1) | 2,437 | $ 57,294 | |
Summit Materials, Inc., Class A(1) | 9,325 | 324,976 | |
United States Lime & Minerals, Inc. | 156 | 21,698 | |
US Concrete, Inc.(1) | 1,337 | 98,671 | |
$ 502,639 | |||
Consumer Finance — 0.8% | |||
Atlanticus Holdings Corp.(1) | 446 | $ 17,706 | |
Curo Group Holdings Corp. | 1,544 | 26,248 | |
Encore Capital Group, Inc.(1) | 2,423 | 114,826 | |
Enova International, Inc.(1) | 2,903 | 99,312 | |
EZCORP, Inc., Class A(1) | 4,319 | 26,044 | |
FirstCash, Inc. | 3,158 | 241,398 | |
Green Dot Corp., Class A(1) | 4,312 | 202,017 | |
LendingClub Corp.(1) | 7,566 | 137,172 | |
LendingTree, Inc.(1) | 911 | 193,023 | |
Navient Corp. | 13,821 | 267,160 | |
Nelnet, Inc., Class A | 1,401 | 105,397 | |
Oportun Financial Corp.(1) | 1,717 | 34,391 | |
PRA Group, Inc.(1) | 3,671 | 141,223 | |
PROG Holdings, Inc. | 5,264 | 253,356 | |
Regional Management Corp. | 671 | 31,228 | |
World Acceptance Corp.(1) | 366 | 58,648 | |
$ 1,949,149 | |||
Containers & Packaging — 0.2% | |||
Greif, Inc., Class A | 2,023 | $ 122,493 | |
Greif, Inc., Class B | 446 | 26,314 | |
Myers Industries, Inc. | 3,117 | 65,457 | |
O-I Glass, Inc.(1) | 12,390 | 202,329 | |
Pactiv Evergreen, Inc. | 3,313 | 49,927 | |
Ranpak Holdings Corp.(1) | 2,558 | 64,027 | |
UFP Technologies, Inc.(1) | 499 | 28,652 | |
$ 559,199 | |||
Distributors — 0.1% | |||
Core-Mark Holding Co., Inc. | 3,502 | $ 157,625 |
Security | Shares | Value | |
Distributors (continued) | |||
Funko, Inc., Class A(1) | 1,732 | $ 36,857 | |
Greenlane Holdings, Inc., Class A(1) | 547 | 2,445 | |
$ 196,927 | |||
Diversified Consumer Services — 0.6% | |||
2U, Inc.(1) | 5,625 | $ 234,394 | |
Adtalem Global Education, Inc.(1) | 4,099 | 146,088 | |
American Public Education, Inc.(1) | 1,323 | 37,494 | |
Carriage Services, Inc. | 1,443 | 53,348 | |
Coursera, Inc.(1) | 945 | 37,384 | |
Graham Holdings Co., Class B | 304 | 192,705 | |
Houghton Mifflin Harcourt Co.(1) | 9,969 | 110,058 | |
Laureate Education, Inc., Class A(1) | 8,290 | 120,288 | |
OneSpaWorld Holdings, Ltd.(1) | 4,007 | 38,828 | |
Perdoceo Education Corp.(1) | 5,930 | 72,761 | |
Regis Corp.(1) | 2,003 | 18,748 | |
StoneMor, Inc.(1) | 2,522 | 6,608 | |
Strategic Education, Inc. | 1,912 | 145,427 | |
Stride, Inc.(1) | 3,159 | 101,499 | |
Vivint Smart Home, Inc.(1) | 7,248 | 95,673 | |
WW International, Inc.(1) | 4,129 | 149,222 | |
$ 1,560,525 | |||
Diversified Financial Services — 0.1% | |||
Alerus Financial Corp. | 1,321 | $ 38,322 | |
A-Mark Precious Metals, Inc. | 684 | 31,806 | |
Banco Latinoamericano de Comercio Exterior S.A. | 2,614 | 40,177 | |
Cannae Holdings, Inc.(1) | 7,015 | 237,879 | |
Marlin Business Services Corp. | 795 | 18,094 | |
$ 366,278 | |||
Diversified Telecommunication Services — 0.6% | |||
Anterix, Inc.(1) | 926 | $ 55,551 | |
ATN International, Inc. | 967 | 43,989 | |
Bandwidth, Inc., Class A(1)(2) | 1,790 | 246,877 | |
Cincinnati Bell, Inc.(1) | 4,444 | 68,526 | |
Cogent Communications Holdings, Inc. | 3,457 | 265,809 | |
Consolidated Communications Holdings, Inc.(1) | 5,584 | 49,083 | |
Globalstar, Inc.(1) | 47,604 | 84,735 | |
IDT Corp., Class B(1) | 1,470 | 54,331 | |
Iridium Communications, Inc.(1) | 9,372 | 374,786 | |
Liberty Latin America, Ltd., Class A(1) | 3,362 | 46,597 | |
Liberty Latin America, Ltd., Class C(1) | 12,620 | 177,942 | |
Ooma, Inc.(1) | 1,488 | 28,064 | |
ORBCOMM, Inc.(1) | 5,583 | 62,753 |
Security | Shares | Value | |
Diversified Telecommunication Services (continued) | |||
Radius Global Infrastructure, Inc., Class A(1)(2) | 3,449 | $ 50,011 | |
$ 1,609,054 | |||
Electric Utilities — 0.5% | |||
ALLETE, Inc. | 4,239 | $ 296,645 | |
MGE Energy, Inc. | 2,857 | 212,675 | |
Otter Tail Corp. | 3,227 | 157,510 | |
PNM Resources, Inc. | 6,714 | 327,442 | |
Portland General Electric Co. | 7,059 | 325,279 | |
Spark Energy, Inc., Class A | 1,012 | 11,466 | |
$ 1,331,017 | |||
Electrical Equipment — 1.0% | |||
Advent Technologies Holdings, Inc.(1) | 1,339 | $ 12,908 | |
Allied Motion Technologies, Inc. | 952 | 32,873 | |
American Superconductor Corp.(1) | 2,255 | 39,214 | |
Array Technologies, Inc.(1) | 10,015 | 156,234 | |
Atkore, Inc.(1) | 3,805 | 270,155 | |
AZZ, Inc. | 2,055 | 106,408 | |
Babcock & Wilcox Enterprises, Inc.(1) | 4,352 | 34,294 | |
Beam Global(1)(2) | 689 | 26,396 | |
Bloom Energy Corp., Class A(1)(2) | 10,919 | 293,394 | |
Encore Wire Corp. | 1,578 | 119,597 | |
EnerSys | 3,363 | 328,666 | |
Eos Energy Enterprises, Inc.(1) | 1,377 | 24,731 | |
FTC Solar, Inc.(1)(2) | 1,491 | 19,845 | |
FuelCell Energy, Inc.(1)(2) | 25,621 | 228,027 | |
GrafTech International, Ltd. | 13,368 | 155,336 | |
Powell Industries, Inc. | 811 | 25,100 | |
Preformed Line Products Co. | 222 | 16,472 | |
Romeo Power, Inc.(1) | 3,278 | 26,683 | |
Stem, Inc.(1) | 4,911 | 176,845 | |
Thermon Group Holdings, Inc.(1) | 2,669 | 45,480 | |
TPI Composites, Inc.(1) | 2,801 | 135,624 | |
Vicor Corp.(1) | 1,591 | 168,232 | |
$ 2,442,514 | |||
Electronic Equipment, Instruments & Components — 2.1% | |||
908 Devices, Inc.(1)(2) | 587 | $ 22,746 | |
Advanced Energy Industries, Inc. | 3,090 | 348,274 | |
Aeva Technologies, Inc.(1)(2) | 1,947 | 20,580 | |
Akoustis Technologies, Inc.(1)(2) | 2,785 | 29,827 | |
Arlo Technologies, Inc.(1) | 6,268 | 42,434 | |
Badger Meter, Inc. | 2,290 | 224,695 | |
Belden, Inc. | 3,469 | 175,427 | |
Benchmark Electronics, Inc. | 2,968 | 84,469 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
CTS Corp. | 2,503 | $ 93,011 | |
Daktronics, Inc.(1) | 2,960 | 19,506 | |
ePlus, Inc.(1) | 1,043 | 90,418 | |
Fabrinet (1) | 2,899 | 277,927 | |
FARO Technologies, Inc.(1) | 1,514 | 117,744 | |
Identiv, Inc.(1) | 1,620 | 27,540 | |
II-VI, Inc.(1)(2) | 8,202 | 595,383 | |
Insight Enterprises, Inc.(1) | 2,819 | 281,928 | |
Iteris, Inc.(1) | 3,527 | 23,455 | |
Itron, Inc.(1) | 3,579 | 357,828 | |
Kimball Electronics, Inc.(1) | 2,097 | 45,589 | |
Knowles Corp.(1) | 7,204 | 142,207 | |
Luna Innovations, Inc.(1) | 2,558 | 27,703 | |
Methode Electronics, Inc. | 2,986 | 146,941 | |
MicroVision, Inc.(1)(2) | 12,416 | 207,968 | |
Napco Security Technologies, Inc.(1) | 1,045 | 38,007 | |
nLight, Inc.(1) | 3,335 | 120,994 | |
Novanta, Inc.(1) | 2,784 | 375,172 | |
OSI Systems, Inc.(1) | 1,328 | 134,978 | |
Ouster, Inc.(1) | 2,277 | 28,440 | |
PAR Technology Corp.(1) | 1,860 | 130,088 | |
PC Connection, Inc. | 941 | 43,540 | |
Plexus Corp.(1) | 2,220 | 202,930 | |
Rogers Corp.(1) | 1,467 | 294,574 | |
Sanmina Corp.(1) | 5,037 | 196,242 | |
ScanSource, Inc.(1) | 2,089 | 58,764 | |
TTM Technologies, Inc.(1) | 8,703 | 124,453 | |
Velodyne Lidar, Inc.(1) | 5,543 | 58,978 | |
Vishay Intertechnology, Inc. | 10,456 | 235,783 | |
Vishay Precision Group, Inc.(1) | 1,011 | 34,414 | |
$ 5,480,957 | |||
Energy Equipment & Services — 0.9% | |||
Archrock, Inc. | 11,297 | $ 100,656 | |
Aspen Aerogels, Inc.(1) | 1,806 | 54,036 | |
Bristow Group, Inc.(1) | 578 | 14,803 | |
Cactus, Inc., Class A | 4,280 | 157,162 | |
ChampionX Corp.(1) | 15,905 | 407,963 | |
DMC Global, Inc.(1) | 1,457 | 81,898 | |
Dril-Quip, Inc.(1) | 2,927 | 99,020 | |
Frank's International NV(1) | 13,689 | 41,478 | |
FTS International, Inc., Class A(1) | 697 | 19,718 | |
Helix Energy Solutions Group, Inc.(1) | 12,468 | 71,192 | |
Helmerich & Payne, Inc. | 8,257 | 269,426 | |
Liberty Oilfield Services, Inc., Class A(1) | 6,846 | 96,939 | |
Nabors Industries, Ltd.(1) | 622 | 71,057 | |
National Energy Services Reunited Corp.(1)(2) | 2,092 | 29,811 |
Security | Shares | Value | |
Energy Equipment & Services (continued) | |||
Newpark Resources, Inc.(1) | 7,671 | $ 26,542 | |
NexTier Oilfield Solutions, Inc.(1) | 13,416 | 63,860 | |
Oceaneering International, Inc.(1) | 7,810 | 121,602 | |
Oil States International, Inc.(1) | 5,061 | 39,729 | |
Patterson-UTI Energy, Inc. | 14,898 | 148,086 | |
ProPetro Holding Corp.(1) | 6,820 | 62,471 | |
RPC, Inc.(1) | 5,124 | 25,364 | |
Select Energy Services, Inc., Class A(1) | 5,076 | 30,659 | |
Solaris Oilfield Infrastructure, Inc., Class A | 2,541 | 24,749 | |
TETRA Technologies, Inc.(1) | 9,623 | 41,764 | |
Tidewater, Inc.(1) | 3,229 | 38,909 | |
US Silica Holdings, Inc.(1) | 5,760 | 66,586 | |
$ 2,205,480 | |||
Entertainment — 1.1% | |||
AMC Entertainment Holdings, Inc., Class A(1) | 32,257 | $ 1,828,327 | |
Chicken Soup for the Soul Entertainment, Inc.(1) | 902 | 37,343 | |
Cinemark Holdings, Inc.(1) | 8,475 | 186,026 | |
CuriosityStream, Inc.(1)(2) | 2,040 | 27,826 | |
Eros STX Global Corp.(1) | 24,908 | 38,109 | |
IMAX Corp.(1) | 3,908 | 84,022 | |
Liberty Braves Group, Series A(1) | 713 | 20,121 | |
Liberty Braves Group, Series C(1) | 3,012 | 83,643 | |
Lions Gate Entertainment Corp., Class A(1) | 4,567 | 94,537 | |
Lions Gate Entertainment Corp., Class B(1) | 9,036 | 165,359 | |
LiveXLive Media, Inc.(1) | 4,111 | 19,404 | |
Madison Square Garden Entertainment Corp.(1) | 1,483 | 124,527 | |
Marcus Corp. (The)(1)(2) | 1,876 | 39,790 | |
$ 2,749,034 | |||
Equity Real Estate Investment Trusts (REITs) — 5.7% | |||
Acadia Realty Trust | 6,900 | $ 151,524 | |
Agree Realty Corp. | 5,274 | 371,764 | |
Alexander & Baldwin, Inc. | 6,134 | 112,375 | |
Alexander's, Inc. | 184 | 49,303 | |
American Assets Trust, Inc. | 3,916 | 146,028 | |
American Finance Trust, Inc. | 9,434 | 80,000 | |
Apartment Investment and Management Co., Class A | 11,681 | 78,379 | |
Apple Hospitality REIT, Inc. | 16,468 | 251,302 | |
Armada Hoffler Properties, Inc. | 4,892 | 65,015 | |
Ashford Hospitality Trust, Inc.(1)(2) | 8,594 | 39,189 | |
Braemar Hotels & Resorts, Inc.(1) | 3,489 | 21,667 | |
Brandywine Realty Trust | 13,308 | 182,453 | |
Broadstone Net Lease, Inc.(2) | 11,160 | 261,256 | |
BRT Apartments Corp. | 682 | 11,826 | |
CareTrust REIT, Inc. | 7,568 | 175,805 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
CatchMark Timber Trust, Inc., Class A | 4,393 | $ 51,398 | |
Centerspace | 1,104 | 87,106 | |
Chatham Lodging Trust(1) | 3,800 | 48,906 | |
City Office REIT, Inc. | 3,686 | 45,817 | |
Clipper Realty, Inc. | 1,313 | 9,651 | |
Columbia Property Trust, Inc. | 9,316 | 162,005 | |
Community Healthcare Trust, Inc. | 1,862 | 88,370 | |
CorePoint Lodging, Inc.(1) | 3,663 | 39,194 | |
Corporate Office Properties Trust | 8,859 | 247,963 | |
CTO Realty Growth, Inc. | 466 | 24,940 | |
DiamondRock Hospitality Co.(1) | 16,248 | 157,606 | |
DigitalBridge Group, Inc.(1)(2) | 37,494 | 296,203 | |
Diversified Healthcare Trust | 18,611 | 77,794 | |
Easterly Government Properties, Inc. | 6,683 | 140,878 | |
EastGroup Properties, Inc. | 3,118 | 512,755 | |
Empire State Realty Trust, Inc., Class A | 11,214 | 134,568 | |
Equity Commonwealth | 9,198 | 240,988 | |
Essential Properties Realty Trust, Inc. | 9,181 | 248,254 | |
Farmland Partners, Inc. | 2,123 | 25,582 | |
Four Corners Property Trust, Inc. | 5,983 | 165,191 | |
Franklin Street Properties Corp. | 9,022 | 47,456 | |
GEO Group, Inc. (The)(2) | 9,238 | 65,775 | |
Getty Realty Corp. | 2,913 | 90,740 | |
Gladstone Commercial Corp. | 2,560 | 57,754 | |
Gladstone Land Corp.(2) | 1,647 | 39,627 | |
Global Medical REIT, Inc. | 4,446 | 65,623 | |
Global Net Lease, Inc. | 7,553 | 139,730 | |
Healthcare Realty Trust, Inc. | 11,320 | 341,864 | |
Hersha Hospitality Trust(1) | 3,227 | 34,722 | |
Independence Realty Trust, Inc. | 8,416 | 153,424 | |
Indus Realty Trust, Inc. | 233 | 15,296 | |
Industrial Logistics Properties Trust | 5,439 | 142,175 | |
Innovative Industrial Properties, Inc.(2) | 1,858 | 354,915 | |
iStar, Inc.(2) | 5,550 | 115,051 | |
Kite Realty Group Trust | 6,756 | 148,700 | |
Lexington Realty Trust | 22,251 | 265,899 | |
LTC Properties, Inc. | 3,163 | 121,428 | |
Macerich Co. (The) | 15,500 | 282,875 | |
Mack-Cali Realty Corp. | 6,888 | 118,129 | |
Monmouth Real Estate Investment Corp. | 7,470 | 139,838 | |
National Health Investors, Inc. | 3,431 | 230,048 | |
National Storage Affiliates Trust | 5,505 | 278,333 | |
NETSTREIT Corp. | 3,112 | 71,763 | |
New Senior Investment Group, Inc. | 7,208 | 63,286 | |
NexPoint Residential Trust, Inc. | 1,745 | 95,940 | |
Office Properties Income Trust | 3,755 | 110,059 | |
One Liberty Properties, Inc. | 1,306 | 37,077 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Outfront Media, Inc.(1) | 11,413 | $ 274,254 | |
Paramount Group, Inc. | 14,640 | 147,425 | |
Pebblebrook Hotel Trust | 10,195 | 240,092 | |
Physicians Realty Trust | 16,980 | 313,621 | |
Piedmont Office Realty Trust, Inc., Class A | 10,097 | 186,492 | |
Plymouth Industrial REIT, Inc. | 2,055 | 41,141 | |
Postal Realty Trust, Inc., Class A | 945 | 17,237 | |
PotlatchDeltic Corp. | 5,331 | 283,343 | |
Preferred Apartment Communities, Inc., Class A | 3,903 | 38,054 | |
PS Business Parks, Inc. | 1,575 | 233,226 | |
QTS Realty Trust, Inc., Class A | 5,443 | 420,744 | |
Retail Opportunity Investments Corp. | 9,412 | 166,216 | |
Retail Properties of America, Inc., Class A | 16,823 | 192,623 | |
Retail Value, Inc. | 1,452 | 31,581 | |
RLJ Lodging Trust | 13,354 | 203,381 | |
RPT Realty | 6,804 | 88,316 | |
Ryman Hospitality Properties, Inc.(1) | 4,218 | 333,053 | |
Sabra Health Care REIT, Inc. | 16,713 | 304,177 | |
Safehold, Inc.(2) | 1,403 | 110,135 | |
Saul Centers, Inc. | 978 | 44,450 | |
Seritage Growth Properties, Class A(1) | 2,944 | 54,170 | |
Service Properties Trust | 12,870 | 162,162 | |
SITE Centers Corp. | 13,589 | 204,650 | |
STAG Industrial, Inc. | 12,620 | 472,367 | |
Summit Hotel Properties, Inc.(1) | 8,982 | 83,802 | |
Sunstone Hotel Investors, Inc.(1) | 16,856 | 209,351 | |
Tanger Factory Outlet Centers, Inc. | 7,847 | 147,916 | |
Terreno Realty Corp. | 5,501 | 354,924 | |
UMH Properties, Inc. | 3,128 | 68,253 | |
Uniti Group, Inc. | 15,252 | 161,519 | |
Universal Health Realty Income Trust | 1,113 | 68,505 | |
Urban Edge Properties | 9,441 | 180,323 | |
Urstadt Biddle Properties, Inc., Class A | 2,599 | 50,369 | |
Washington Real Estate Investment Trust | 6,640 | 152,720 | |
Whitestone REIT | 3,231 | 26,656 | |
Xenia Hotels & Resorts, Inc.(1) | 9,217 | 172,634 | |
$ 14,670,464 | |||
Food & Staples Retailing — 0.8% | |||
Andersons, Inc. (The) | 2,690 | $ 82,126 | |
BJ's Wholesale Club Holdings, Inc.(1) | 10,749 | 511,437 | |
Chefs' Warehouse, Inc. (The)(1) | 2,573 | 81,899 | |
HF Foods Group, Inc.(1)(2) | 3,141 | 16,616 | |
Ingles Markets, Inc., Class A | 1,243 | 72,430 | |
MedAvail Holdings, Inc.(1)(2) | 919 | 11,258 | |
Natural Grocers by Vitamin Cottage, Inc. | 875 | 9,398 | |
Performance Food Group Co.(1) | 10,348 | 501,775 |
Security | Shares | Value | |
Food & Staples Retailing (continued) | |||
PriceSmart, Inc. | 1,850 | $ 168,368 | |
Rite Aid Corp.(1)(2) | 4,628 | 75,436 | |
SpartanNash Co. | 3,190 | 61,599 | |
Sprouts Farmers Market, Inc.(1) | 9,309 | 231,329 | |
United Natural Foods, Inc.(1) | 4,376 | 161,824 | |
Village Super Market, Inc., Class A | 640 | 15,046 | |
Weis Markets, Inc. | 1,290 | 66,641 | |
$ 2,067,182 | |||
Food Products — 0.9% | |||
AppHarvest, Inc.(1) | 3,760 | $ 60,160 | |
B&G Foods, Inc. | 5,023 | 164,754 | |
Calavo Growers, Inc. | 1,424 | 90,310 | |
Cal-Maine Foods, Inc. | 2,798 | 101,316 | |
Fresh Del Monte Produce, Inc. | 2,749 | 90,387 | |
Hostess Brands, Inc.(1) | 10,500 | 169,995 | |
J&J Snack Foods Corp. | 1,156 | 201,618 | |
John B. Sanfilippo & Son, Inc. | 716 | 63,416 | |
Laird Superfood, Inc.(1) | 261 | 7,796 | |
Lancaster Colony Corp. | 1,489 | 288,136 | |
Landec Corp.(1) | 2,282 | 25,673 | |
Limoneira Co. | 1,228 | 21,551 | |
Mission Produce, Inc.(1) | 2,908 | 60,225 | |
Sanderson Farms, Inc. | 1,593 | 299,436 | |
Seneca Foods Corp., Class A(1) | 594 | 30,342 | |
Simply Good Foods Co. (The)(1) | 6,676 | 243,741 | |
Tattooed Chef, Inc.(1)(2) | 3,667 | 78,657 | |
Tootsie Roll Industries, Inc.(2) | 1,480 | 50,187 | |
TreeHouse Foods, Inc.(1) | 4,077 | 181,508 | |
Utz Brands, Inc. | 4,623 | 100,735 | |
Vital Farms, Inc.(1) | 1,946 | 38,842 | |
Whole Earth Brands, Inc.(1) | 2,930 | 42,485 | |
$ 2,411,270 | |||
Gas Utilities — 0.8% | |||
Brookfield Infrastructure Corp., Class A(2) | 2,871 | $ 216,473 | |
Chesapeake Utilities Corp. | 1,388 | 167,018 | |
New Jersey Resources Corp. | 7,754 | 306,826 | |
Northwest Natural Holding Co. | 2,394 | 125,733 | |
ONE Gas, Inc. | 4,136 | 306,560 | |
South Jersey Industries, Inc.(2) | 8,079 | 209,488 | |
Southwest Gas Holdings, Inc. | 4,551 | 301,231 | |
Spire, Inc. | 4,084 | 295,151 | |
$ 1,928,480 |
Security | Shares | Value | |
Health Care Equipment & Supplies — 3.5% | |||
Accelerate Diagnostics, Inc.(1) | 2,287 | $ 18,433 | |
Accuray, Inc.(1) | 6,420 | 29,018 | |
Acutus Medical, Inc.(1)(2) | 838 | 14,229 | |
Alphatec Holdings, Inc.(1) | 5,397 | 82,682 | |
AngioDynamics, Inc.(1) | 3,206 | 86,979 | |
Apyx Medical Corp.(1) | 2,938 | 30,291 | |
Asensus Surgical, Inc.(1) | 18,346 | 58,157 | |
Aspira Women's Health, Inc.(1)(2) | 6,816 | 38,306 | |
AtriCure, Inc.(1) | 3,557 | 282,177 | |
Atrion Corp. | 121 | 75,132 | |
Avanos Medical, Inc.(1) | 3,989 | 145,080 | |
AxoGen, Inc.(1) | 3,047 | 65,846 | |
Axonics, Inc.(1) | 3,264 | 206,970 | |
BioLife Solutions, Inc.(1) | 1,914 | 85,192 | |
Bioventus, Inc., Class A(1) | 624 | 10,982 | |
Butterfly Network, Inc.(1) | 2,548 | 36,895 | |
Cardiovascular Systems, Inc.(1) | 3,081 | 131,405 | |
Cerus Corp.(1) | 14,314 | 84,596 | |
ClearPoint Neuro, Inc.(1) | 1,475 | 28,158 | |
CONMED Corp. | 2,277 | 312,928 | |
CryoLife, Inc.(1) | 3,149 | 89,432 | |
CryoPort, Inc.(1)(2) | 3,246 | 204,823 | |
Cutera, Inc.(1)(2) | 1,488 | 72,957 | |
CytoSorbents Corp.(1)(2) | 3,468 | 26,183 | |
DarioHealth Corp.(1)(2) | 1,057 | 22,577 | |
Eargo, Inc.(1) | 1,514 | 60,424 | |
Glaukos Corp.(1) | 3,577 | 303,437 | |
Haemonetics Corp.(1) | 3,956 | 263,628 | |
Heska Corp.(1) | 751 | 172,527 | |
Inari Medical, Inc.(1) | 2,665 | 248,591 | |
Inogen, Inc.(1) | 1,598 | 104,142 | |
Integer Holdings Corp.(1) | 2,576 | 242,659 | |
Intersect ENT, Inc.(1) | 2,690 | 45,972 | |
Invacare Corp.(1) | 2,498 | 20,159 | |
iRadimed Corp.(1) | 282 | 8,294 | |
iRhythm Technologies, Inc.(1) | 2,350 | 155,922 | |
Lantheus Holdings, Inc.(1) | 5,359 | 148,123 | |
LeMaitre Vascular, Inc. | 1,302 | 79,448 | |
LivaNova PLC(1) | 3,852 | 323,992 | |
Meridian Bioscience, Inc.(1) | 3,556 | 78,872 | |
Merit Medical Systems, Inc.(1) | 4,025 | 260,256 | |
Mesa Laboratories, Inc. | 404 | 109,553 | |
Misonix, Inc.(1) | 1,277 | 28,324 | |
Natus Medical, Inc.(1) | 2,645 | 68,717 | |
Neogen Corp.(1) | 8,582 | 395,115 | |
Neuronetics, Inc.(1) | 1,958 | 31,367 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
NeuroPace, Inc.(1) | 546 | $ 12,989 | |
Nevro Corp.(1) | 2,713 | 449,788 | |
NuVasive, Inc.(1) | 4,062 | 275,322 | |
OraSure Technologies, Inc.(1) | 6,111 | 61,966 | |
Ortho Clinical Diagnostics Holdings PLC(1) | 7,177 | 153,660 | |
Orthofix Medical, Inc.(1) | 1,619 | 64,938 | |
OrthoPediatrics Corp.(1) | 1,056 | 66,718 | |
Outset Medical, Inc.(1)(2) | 3,587 | 179,278 | |
PAVmed, Inc.(1) | 5,168 | 33,075 | |
Pulmonx Corp.(1) | 1,991 | 87,843 | |
Pulse Biosciences, Inc.(1)(2) | 1,155 | 18,942 | |
Quotient, Ltd.(1)(2) | 5,345 | 19,456 | |
Retractable Technologies, Inc.(1)(2) | 1,172 | 13,548 | |
SeaSpine Holdings Corp.(1) | 2,490 | 51,070 | |
Senseonics Holdings, Inc.(1) | 32,570 | 125,069 | |
Shockwave Medical, Inc.(1) | 2,646 | 502,026 | |
SI-BONE, Inc.(1) | 2,542 | 79,997 | |
Sientra, Inc.(1) | 4,505 | 35,860 | |
Silk Road Medical, Inc.(1) | 2,660 | 127,308 | |
Soliton, Inc.(1)(2) | 727 | 16,350 | |
STAAR Surgical Co.(1) | 3,726 | 568,215 | |
Stereotaxis, Inc.(1) | 3,905 | 37,644 | |
SurModics, Inc.(1) | 1,145 | 62,116 | |
Tactile Systems Technology, Inc.(1) | 1,650 | 85,800 | |
Talis Biomedical Corp.(1) | 1,077 | 11,879 | |
TransMedics Group, Inc.(1) | 2,122 | 70,408 | |
Treace Medical Concepts, Inc.(1) | 857 | 26,790 | |
Utah Medical Products, Inc. | 296 | 25,172 | |
Vapotherm, Inc.(1)(2) | 1,694 | 40,046 | |
Varex Imaging Corp.(1) | 3,308 | 88,721 | |
ViewRay, Inc.(1) | 10,682 | 70,501 | |
Zynex, Inc.(1) | 1,374 | 21,338 | |
$ 8,872,783 | |||
Health Care Providers & Services — 3.0% | |||
1Life Healthcare, Inc.(1) | 9,143 | $ 302,268 | |
Accolade, Inc.(1) | 3,947 | 214,362 | |
AdaptHealth Corp.(1) | 6,108 | 167,420 | |
Addus HomeCare Corp.(1) | 1,220 | 106,433 | |
Agiliti, Inc.(1) | 1,772 | 38,754 | |
Alignment Healthcare, Inc.(1) | 2,065 | 48,259 | |
AMN Healthcare Services, Inc.(1) | 3,697 | 358,535 | |
Apollo Medical Holdings, Inc.(1)(2) | 2,844 | 178,632 | |
Apria, Inc.(1) | 616 | 17,248 | |
Aveanna Healthcare Holdings, Inc.(1) | 3,026 | 37,432 | |
Biodesix, Inc.(1)(2) | 963 | 12,721 | |
Brookdale Senior Living, Inc.(1) | 14,512 | 114,645 |
Security | Shares | Value | |
Health Care Providers & Services (continued) | |||
Castle Biosciences, Inc.(1) | 1,671 | $ 122,534 | |
Community Health Systems, Inc.(1) | 9,743 | 150,432 | |
CorVel Corp.(1) | 735 | 98,710 | |
Covetrus, Inc.(1) | 8,115 | 219,105 | |
Cross Country Healthcare, Inc.(1) | 2,877 | 47,499 | |
Ensign Group, Inc. (The) | 4,205 | 364,447 | |
Exagen, Inc.(1) | 849 | 12,726 | |
Fulgent Genetics, Inc.(1)(2) | 1,591 | 146,738 | |
Hanger, Inc.(1) | 3,196 | 80,795 | |
HealthEquity, Inc.(1) | 6,415 | 516,279 | |
InfuSystem Holdings, Inc.(1) | 1,278 | 26,570 | |
Innovage Holding Corp.(1) | 1,437 | 30,622 | |
Joint Corp. (The)(1) | 1,152 | 96,676 | |
LHC Group, Inc.(1) | 2,395 | 479,623 | |
Magellan Health, Inc.(1) | 1,861 | 175,306 | |
MEDNAX, Inc.(1) | 5,969 | 179,965 | |
ModivCare, Inc.(1) | 983 | 167,179 | |
National HealthCare Corp. | 1,074 | 75,073 | |
National Research Corp. | 1,192 | 54,713 | |
Ontrak, Inc.(1) | 623 | 20,235 | |
Option Care Health, Inc.(1) | 8,750 | 191,362 | |
Owens & Minor, Inc. | 5,688 | 240,773 | |
Patterson Cos., Inc. | 6,720 | 204,221 | |
Pennant Group, Inc. (The)(1) | 2,149 | 87,894 | |
PetIQ, Inc.(1) | 2,070 | 79,902 | |
Privia Health Group, Inc.(1) | 1,537 | 68,197 | |
Progyny, Inc.(1) | 4,947 | 291,873 | |
R1 RCM, Inc.(1) | 10,178 | 226,359 | |
RadNet, Inc.(1) | 3,530 | 118,926 | |
Select Medical Holdings Corp. | 8,835 | 373,367 | |
Sharps Compliance Corp.(1) | 1,261 | 12,988 | |
SOC Telemed, Inc.(1) | 3,210 | 18,265 | |
Surgery Partners, Inc.(1) | 2,485 | 165,551 | |
Tenet Healthcare Corp.(1) | 8,328 | 557,893 | |
Tivity Health, Inc.(1) | 3,730 | 98,136 | |
Triple-S Management Corp., Class B(1) | 1,726 | 38,438 | |
US Physical Therapy, Inc. | 1,002 | 116,102 | |
Viemed Healthcare, Inc.(1) | 3,037 | 21,714 | |
$ 7,573,897 | |||
Health Care Technology — 1.3% | |||
Allscripts Healthcare Solutions, Inc.(1) | 10,974 | $ 203,129 | |
American Well Corp., Class A(1) | 15,265 | 192,034 | |
Castlight Health, Inc., Class B(1) | 9,363 | 24,625 | |
Computer Programs and Systems, Inc. | 938 | 31,170 | |
Evolent Health, Inc., Class A(1) | 6,141 | 129,698 | |
Forian, Inc.(1) | 1,423 | 17,887 |
Security | Shares | Value | |
Health Care Technology (continued) | |||
Health Catalyst, Inc.(1) | 3,505 | $ 194,563 | |
HealthStream, Inc.(1) | 2,289 | 63,955 | |
iCad, Inc.(1) | 1,776 | 30,743 | |
Inovalon Holdings, Inc., Class A(1) | 6,074 | 207,002 | |
Inspire Medical Systems, Inc.(1) | 2,129 | 411,450 | |
Multiplan Corp.(1)(2) | 31,294 | 297,919 | |
NantHealth, Inc.(1) | 2,382 | 5,526 | |
NextGen Healthcare, Inc.(1) | 4,587 | 76,098 | |
Omnicell, Inc.(1) | 3,374 | 510,992 | |
OptimizeRx Corp.(1) | 1,258 | 77,870 | |
Phreesia, Inc.(1) | 2,989 | 183,226 | |
Schrodinger, Inc.(1) | 3,553 | 268,642 | |
Simulations Plus, Inc.(2) | 1,252 | 68,747 | |
Tabula Rasa HealthCare, Inc.(1) | 1,809 | 90,450 | |
Vocera Communications, Inc.(1) | 2,799 | 111,540 | |
$ 3,197,266 | |||
Hotels, Restaurants & Leisure — 2.2% | |||
Accel Entertainment, Inc.(1) | 3,729 | $ 44,263 | |
Bally's Corp.(1) | 2,560 | 138,522 | |
Biglari Holdings, Inc., Class B(1) | 80 | 12,758 | |
BJ's Restaurants, Inc.(1) | 1,896 | 93,169 | |
Bloomin' Brands, Inc.(1) | 7,121 | 193,264 | |
Bluegreen Vacations Holding Corp.(1) | 1,411 | 25,398 | |
Brinker International, Inc.(1) | 3,688 | 228,103 | |
Carrols Restaurant Group, Inc.(1) | 3,096 | 18,607 | |
Century Casinos, Inc.(1) | 1,662 | 22,321 | |
Cheesecake Factory, Inc. (The)(1) | 3,448 | 186,813 | |
Chuy's Holdings, Inc.(1) | 1,681 | 62,634 | |
Cracker Barrel Old Country Store, Inc. | 1,860 | 276,136 | |
Dave & Buster's Entertainment, Inc.(1) | 3,594 | 145,916 | |
Del Taco Restaurants, Inc. | 2,895 | 28,979 | |
Denny's Corp.(1) | 4,997 | 82,400 | |
Dine Brands Global, Inc.(1) | 1,363 | 121,648 | |
Drive Shack, Inc.(1)(2) | 6,477 | 21,439 | |
El Pollo Loco Holdings, Inc.(1) | 1,580 | 28,898 | |
Esports Technologies, Inc.(1) | 190 | 4,001 | |
Everi Holdings, Inc.(1) | 6,554 | 163,457 | |
Fiesta Restaurant Group, Inc.(1) | 1,520 | 20,414 | |
Full House Resorts, Inc.(1) | 2,565 | 25,496 | |
GAN, Ltd.(1)(2) | 3,146 | 51,720 | |
Golden Entertainment, Inc.(1) | 1,501 | 67,245 | |
Golden Nugget Online Gaming, Inc.(1) | 2,502 | 31,925 | |
Hall of Fame Resort & Entertainment Co.(1) | 4,311 | 16,942 | |
Hilton Grand Vacations, Inc.(1) | 6,710 | 277,727 | |
International Game Technology PLC(1)(2) | 8,086 | 193,741 | |
Jack in the Box, Inc. | 1,802 | 200,815 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Kura Sushi USA, Inc., Class A(1) | 280 | $ 10,643 | |
Lindblad Expeditions Holdings, Inc.(1)(2) | 2,177 | 34,854 | |
Monarch Casino & Resort, Inc.(1) | 1,097 | 72,588 | |
Nathan's Famous, Inc. | 237 | 16,903 | |
NeoGames S.A.(1) | 454 | 27,907 | |
Noodles & Co.(1) | 3,189 | 39,799 | |
ONE Group Hospitality, Inc. (The)(1) | 1,532 | 16,883 | |
Papa John's International, Inc. | 2,594 | 270,917 | |
PlayAGS, Inc.(1) | 1,838 | 18,196 | |
RCI Hospitality Holdings, Inc. | 655 | 43,361 | |
Red Robin Gourmet Burgers, Inc.(1) | 1,310 | 43,374 | |
Red Rock Resorts, Inc., Class A(1) | 4,835 | 205,487 | |
Rush Street Interactive, Inc.(1) | 4,103 | 50,303 | |
Ruth's Hospitality Group, Inc.(1) | 2,742 | 63,148 | |
Scientific Games Corp., Class A(1) | 7,541 | 583,975 | |
SeaWorld Entertainment, Inc.(1) | 4,190 | 209,249 | |
Shake Shack, Inc., Class A(1) | 2,959 | 316,672 | |
Target Hospitality Corp.(1) | 2,913 | 10,807 | |
Texas Roadhouse, Inc. | 5,539 | 532,852 | |
Wingstop, Inc. | 2,340 | 368,854 | |
$ 5,721,523 | |||
Household Durables — 1.8% | |||
Aterian, Inc.(1) | 1,551 | $ 22,691 | |
Bassett Furniture Industries, Inc. | 730 | 17,776 | |
Beazer Homes USA, Inc.(1) | 2,686 | 51,813 | |
Casper Sleep, Inc.(1) | 2,157 | 17,774 | |
Cavco Industries, Inc.(1) | 747 | 165,976 | |
Century Communities, Inc.(1) | 2,378 | 158,232 | |
Ethan Allen Interiors, Inc. | 1,924 | 53,102 | |
Flexsteel Industries, Inc. | 521 | 21,043 | |
GoPro, Inc., Class A(1) | 10,449 | 121,731 | |
Green Brick Partners, Inc.(1) | 2,495 | 56,736 | |
Hamilton Beach Brands Holding Co., Class A | 584 | 13,006 | |
Helen of Troy, Ltd.(1) | 1,918 | 437,534 | |
Hooker Furniture Corp. | 834 | 28,890 | |
Hovnanian Enterprises, Inc., Class A(1) | 401 | 42,622 | |
Installed Building Products, Inc. | 1,915 | 234,319 | |
iRobot Corp.(1) | 2,193 | 204,804 | |
KB Home | 7,034 | 286,424 | |
Landsea Homes Corp.(1) | 471 | 3,942 | |
La-Z-Boy, Inc. | 3,625 | 134,270 | |
Legacy Housing Corp.(1) | 380 | 6,426 | |
LGI Homes, Inc.(1) | 1,740 | 281,776 | |
Lifetime Brands, Inc. | 858 | 12,844 | |
Lovesac Co. (The)(1) | 1,001 | 79,870 | |
M / I Homes, Inc.(1) | 2,268 | 133,064 |
Security | Shares | Value | |
Household Durables (continued) | |||
MDC Holdings, Inc. | 4,484 | $ 226,890 | |
Meritage Homes Corp.(1) | 2,940 | 276,595 | |
Purple Innovation, Inc.(1) | 3,938 | 104,003 | |
Skyline Champion Corp.(1) | 4,277 | 227,964 | |
Sonos, Inc.(1) | 9,429 | 332,184 | |
Taylor Morrison Home Corp.(1) | 9,846 | 260,131 | |
TRI Pointe Homes, Inc.(1) | 9,223 | 197,649 | |
Tupperware Brands Corp.(1) | 4,044 | 96,045 | |
Universal Electronics, Inc.(1) | 1,223 | 59,316 | |
VOXX International Corp.(1) | 1,752 | 24,546 | |
Vuzix Corp.(1) | 4,601 | 84,428 | |
$ 4,476,416 | |||
Household Products — 0.3% | |||
Central Garden & Pet Co.(1) | 789 | $ 41,762 | |
Central Garden & Pet Co., Class A(1) | 3,253 | 157,120 | |
Energizer Holdings, Inc. | 5,338 | 229,427 | |
Oil-Dri Corp. of America | 406 | 13,877 | |
WD-40 Co. | 1,071 | 274,487 | |
$ 716,673 | |||
Independent Power and Renewable Electricity Producers — 0.3% | |||
Clearway Energy, Inc., Class A | 3,063 | $ 77,249 | |
Clearway Energy, Inc., Class C | 6,435 | 170,399 | |
Ormat Technologies, Inc. | 3,562 | 247,666 | |
Sunnova Energy International, Inc.(1) | 6,748 | 254,129 | |
$ 749,443 | |||
Industrial Conglomerates — 0.1% | |||
Raven Industries, Inc. | 2,900 | $ 167,765 | |
$ 167,765 | |||
Insurance — 1.8% | |||
Ambac Financial Group, Inc.(1) | 3,798 | $ 59,477 | |
American Equity Investment Life Holding Co. | 6,695 | 216,382 | |
American National Group, Inc. | 584 | 86,753 | |
AMERISAFE, Inc. | 1,636 | 97,653 | |
Argo Group International Holdings, Ltd. | 2,640 | 136,831 | |
BRP Group, Inc., Class A(1) | 3,625 | 96,606 | |
Citizens, Inc.(1)(2) | 4,427 | 23,419 | |
CNO Financial Group, Inc. | 10,298 | 243,239 | |
Crawford & Co., Class A | 1,459 | 13,233 | |
Donegal Group, Inc., Class A | 916 | 13,346 | |
eHealth, Inc.(1) | 1,915 | 111,836 | |
Employers Holdings, Inc. | 2,341 | 100,195 | |
Enstar Group, Ltd.(1) | 1,079 | 257,795 |
Security | Shares | Value | |
Insurance (continued) | |||
Genworth Financial, Inc., Class A(1) | 39,760 | $ 155,064 | |
Goosehead Insurance, Inc., Class A | 1,389 | 176,820 | |
Greenlight Capital Re, Ltd., Class A(1) | 2,647 | 24,167 | |
HCI Group, Inc.(2) | 444 | 44,147 | |
Heritage Insurance Holdings, Inc. | 1,906 | 16,354 | |
Horace Mann Educators Corp. | 3,472 | 129,922 | |
Independence Holding Co. | 394 | 18,250 | |
Investors Title Co. | 111 | 19,384 | |
James River Group Holdings, Ltd. | 2,807 | 105,319 | |
Kinsale Capital Group, Inc. | 1,686 | 277,802 | |
Maiden Holdings, Ltd.(1) | 5,451 | 18,370 | |
MBIA, Inc.(1) | 4,530 | 49,830 | |
MetroMile, Inc.(1) | 2,879 | 26,343 | |
National Western Life Group, Inc., Class A | 193 | 43,307 | |
NI Holdings, Inc.(1) | 903 | 17,166 | |
Palomar Holdings, Inc.(1) | 1,927 | 145,412 | |
ProAssurance Corp. | 4,215 | 95,891 | |
ProSight Global, Inc.(1) | 758 | 9,672 | |
RLI Corp. | 3,220 | 336,780 | |
Safety Insurance Group, Inc. | 1,197 | 93,701 | |
Selective Insurance Group, Inc. | 4,660 | 378,159 | |
Selectquote, Inc.(1) | 10,628 | 204,695 | |
SiriusPoint, Ltd.(1) | 7,085 | 71,346 | |
State Auto Financial Corp. | 1,338 | 22,907 | |
Stewart Information Services Corp. | 2,245 | 127,269 | |
Tiptree, Inc. | 2,311 | 21,492 | |
Trean Insurance Group, Inc.(1) | 1,026 | 15,472 | |
Trupanion, Inc.(1) | 2,994 | 344,609 | |
United Fire Group, Inc. | 1,866 | 51,744 | |
United Insurance Holdings Corp. | 1,483 | 8,453 | |
Universal Insurance Holdings, Inc. | 2,530 | 35,116 | |
Watford Holdings, Ltd.(1)(2) | 1,476 | 51,645 | |
$ 4,593,373 | |||
Interactive Media & Services — 0.5% | |||
CarGurus, Inc.(1) | 7,351 | $ 192,817 | |
Cars.com, Inc.(1) | 5,846 | 83,773 | |
Eventbrite, Inc., Class A(1)(2) | 5,885 | 111,815 | |
EverQuote, Inc., Class A(1) | 1,239 | 40,490 | |
fuboTV, Inc.(1) | 10,311 | 331,086 | |
Liberty TripAdvisor Holdings, Inc., Class A(1) | 6,271 | 25,523 | |
MediaAlpha, Inc., Class A(1) | 1,490 | 62,729 | |
QuinStreet, Inc.(1) | 4,141 | 76,940 | |
TrueCar, Inc.(1) | 7,838 | 44,285 | |
Yelp, Inc.(1) | 5,683 | 227,093 | |
$ 1,196,551 |
Security | Shares | Value | |
Internet & Direct Marketing Retail — 0.7% | |||
1-800-Flowers.com, Inc., Class A(1) | 2,081 | $ 66,322 | |
CarParts.com, Inc.(1) | 3,715 | 75,637 | |
Duluth Holdings, Inc., Class B(1) | 634 | 13,092 | |
Groupon, Inc.(1) | 2,006 | 86,579 | |
Lands' End, Inc.(1) | 1,134 | 46,551 | |
Liquidity Services, Inc.(1) | 2,122 | 54,005 | |
Overstock.com, Inc.(1) | 3,371 | 310,806 | |
PetMed Express, Inc. | 1,778 | 56,629 | |
Porch Group, Inc.(1) | 1,244 | 24,059 | |
Quotient Technology, Inc.(1) | 7,590 | 82,048 | |
RealReal, Inc. (The)(1) | 6,166 | 121,840 | |
Revolve Group, Inc.(1) | 2,816 | 194,022 | |
Shutterstock, Inc. | 1,881 | 184,658 | |
Stamps.com, Inc.(1) | 1,383 | 277,001 | |
Stitch Fix, Inc., Class A(1) | 4,633 | 279,370 | |
$ 1,872,619 | |||
IT Services — 1.4% | |||
BigCommerce Holdings, Inc., Series 1(1) | 3,684 | $ 239,165 | |
BM Technologies, Inc.(1) | 351 | 4,366 | |
Brightcove, Inc.(1) | 3,175 | 45,561 | |
Cantaloupe, Inc.(1) | 4,569 | 54,188 | |
Cass Information Systems, Inc. | 1,244 | 50,693 | |
Conduent, Inc.(1) | 13,421 | 100,658 | |
CSG Systems International, Inc. | 2,739 | 129,226 | |
DigitalOcean Holdings, Inc.(1) | 1,011 | 56,202 | |
EVERTEC, Inc. | 4,750 | 207,338 | |
Evo Payments, Inc., Class A(1) | 3,485 | 96,674 | |
ExlService Holdings, Inc.(1) | 2,575 | 273,620 | |
GreenBox POS(1) | 1,362 | 16,249 | |
GreenSky, Inc., Class A(1) | 5,489 | 30,464 | |
Grid Dynamics Holdings, Inc.(1) | 2,399 | 36,057 | |
Hackett Group, Inc. (The) | 1,931 | 34,797 | |
I3 Verticals, Inc., Class A(1) | 1,552 | 46,901 | |
IBEX Holdings, Ltd.(1) | 410 | 8,003 | |
International Money Express, Inc.(1) | 2,014 | 29,908 | |
Limelight Networks, Inc.(1)(2) | 10,253 | 32,297 | |
LiveRamp Holdings, Inc.(1) | 5,104 | 239,122 | |
Marathon Digital Holdings, Inc.(1)(2) | 7,486 | 234,836 | |
MAXIMUS, Inc. | 4,809 | 423,048 | |
MoneyGram International, Inc.(1) | 5,478 | 55,218 | |
Paya Holdings, Inc.(1) | 6,446 | 71,035 | |
Perficient, Inc.(1) | 2,650 | 213,113 | |
Priority Technology Holdings, Inc.(1) | 578 | 4,416 | |
Rackspace Technology, Inc.(1) | 4,217 | 82,695 | |
Repay Holdings Corp.(1) | 6,037 | 145,129 |
Security | Shares | Value | |
IT Services (continued) | |||
StarTek, Inc.(1) | 1,434 | $ 10,224 | |
Sykes Enterprises, Inc.(1) | 3,106 | 166,792 | |
TTEC Holdings, Inc. | 1,476 | 152,161 | |
Tucows, Inc., Class A(1) | 790 | 63,453 | |
Unisys Corp.(1) | 5,033 | 127,385 | |
Verra Mobility Corp.(1) | 10,514 | 161,600 | |
$ 3,642,594 | |||
Leisure Products — 0.6% | |||
Acushnet Holdings Corp. | 2,869 | $ 141,729 | |
American Outdoor Brands, Inc.(1) | 1,183 | 41,571 | |
AMMO, Inc.(1) | 5,168 | 50,595 | |
Callaway Golf Co.(1) | 9,076 | 306,133 | |
Clarus Corp. | 1,811 | 46,543 | |
Escalade, Inc. | 888 | 20,380 | |
Genius Brands International, Inc.(1)(2) | 22,131 | 40,721 | |
Johnson Outdoors, Inc., Class A | 405 | 49,005 | |
Latham Group, Inc.(1) | 1,820 | 58,167 | |
Malibu Boats, Inc., Class A(1) | 1,736 | 127,301 | |
Marine Products Corp. | 813 | 12,553 | |
MasterCraft Boat Holdings, Inc.(1) | 1,615 | 42,458 | |
Nautilus, Inc.(1)(2) | 2,617 | 44,096 | |
Smith + Wesson Brands, Inc.(2) | 4,170 | 144,699 | |
Sturm Ruger & Co., Inc.(2) | 1,347 | 121,203 | |
Vista Outdoor, Inc.(1) | 4,745 | 219,598 | |
$ 1,466,752 | |||
Life Sciences Tools & Services — 1.0% | |||
Akoya Biosciences, Inc.(1) | 599 | $ 11,585 | |
Berkeley Lights, Inc.(1) | 3,760 | 168,485 | |
Bionano Genomics, Inc.(1) | 22,055 | 161,663 | |
ChromaDex Corp.(1)(2) | 3,310 | 32,637 | |
Codexis, Inc.(1) | 4,645 | 105,256 | |
Fluidigm Corp.(1) | 6,011 | 37,028 | |
Harvard Bioscience, Inc.(1) | 3,333 | 27,764 | |
Inotiv, Inc.(1) | 1,015 | 27,080 | |
Luminex Corp. | 3,659 | 134,651 | |
Medpace Holdings, Inc.(1) | 2,296 | 405,542 | |
NanoString Technologies, Inc.(1) | 3,557 | 230,458 | |
NeoGenomics, Inc.(1)(2) | 8,828 | 398,761 | |
Pacific Biosciences of California, Inc.(1) | 15,401 | 538,573 | |
Personalis, Inc.(1) | 2,791 | 70,612 | |
Quanterix Corp.(1) | 2,420 | 141,957 | |
Seer, Inc.(1)(2) | 1,178 | 38,615 | |
$ 2,530,667 |
Security | Shares | Value | |
Machinery — 3.7% | |||
AgEagle Aerial Systems, Inc.(1) | 5,233 | $ 27,578 | |
Alamo Group, Inc. | 804 | 122,755 | |
Albany International Corp., Class A | 2,502 | 223,329 | |
Altra Industrial Motion Corp. | 5,081 | 330,367 | |
Astec Industries, Inc. | 1,870 | 117,698 | |
Barnes Group, Inc. | 3,822 | 195,877 | |
Blue Bird Corp.(1) | 1,311 | 32,591 | |
Chart Industries, Inc.(1) | 2,864 | 419,060 | |
CIRCOR International, Inc.(1) | 1,669 | 54,409 | |
Columbus McKinnon Corp. | 2,183 | 105,308 | |
Commercial Vehicle Group, Inc.(1) | 2,513 | 26,713 | |
Desktop Metal, Inc., Class A(1) | 6,555 | 75,383 | |
Douglas Dynamics, Inc. | 1,952 | 79,427 | |
Energy Recovery, Inc.(1) | 3,367 | 76,700 | |
Enerpac Tool Group Corp. | 4,678 | 124,528 | |
EnPro Industries, Inc. | 1,619 | 157,286 | |
ESCO Technologies, Inc. | 2,082 | 195,312 | |
Evoqua Water Technologies Corp.(1) | 9,075 | 306,553 | |
ExOne Co. (The)(1)(2) | 993 | 21,489 | |
Federal Signal Corp. | 4,867 | 195,799 | |
Franklin Electric Co., Inc. | 3,745 | 301,922 | |
Gorman-Rupp Co. (The) | 1,579 | 54,381 | |
Greenbrier Cos., Inc. (The) | 2,622 | 114,267 | |
Helios Technologies, Inc. | 2,542 | 198,403 | |
Hillenbrand, Inc. | 6,027 | 265,670 | |
Hydrofarm Holdings Group, Inc.(1) | 783 | 46,283 | |
Hyliion Holdings Corp.(1) | 9,193 | 107,098 | |
Hyster-Yale Materials Handling, Inc. | 806 | 58,822 | |
John Bean Technologies Corp. | 2,461 | 350,988 | |
Kadant, Inc. | 952 | 167,638 | |
Kennametal, Inc. | 6,756 | 242,676 | |
Lindsay Corp. | 855 | 141,314 | |
Luxfer Holdings PLC | 2,400 | 53,400 | |
Lydall, Inc.(1) | 1,313 | 79,463 | |
Manitowoc Co., Inc. (The)(1) | 2,727 | 66,812 | |
Mayville Engineering Co., Inc.(1) | 556 | 11,181 | |
Meritor, Inc.(1) | 5,811 | 136,094 | |
Meta Materials, Inc.(1)(2) | 4,825 | 36,139 | |
Miller Industries, Inc. | 1,050 | 41,412 | |
Mueller Industries, Inc. | 4,548 | 196,974 | |
Mueller Water Products, Inc., Class A | 12,351 | 178,101 | |
Navistar International Corp.(1) | 4,060 | 180,670 | |
Nikola Corp.(1) | 15,724 | 283,975 | |
NN, Inc.(1) | 3,488 | 25,637 | |
Omega Flex, Inc. | 248 | 36,384 | |
Park-Ohio Holdings Corp. | 726 | 23,334 |
Security | Shares | Value | |
Machinery (continued) | |||
Proto Labs, Inc.(1) | 2,175 | $ 199,665 | |
RBC Bearings, Inc.(1) | 1,940 | 386,875 | |
REV Group, Inc. | 2,574 | 40,386 | |
Rexnord Corp. | 9,407 | 470,726 | |
Shyft Group, Inc. (The) | 2,714 | 101,531 | |
SPX Corp.(1) | 3,497 | 213,597 | |
SPX FLOW, Inc. | 3,305 | 215,618 | |
Standex International Corp. | 1,000 | 94,910 | |
Tennant Co. | 1,548 | 123,608 | |
Terex Corp. | 5,366 | 255,529 | |
Titan International, Inc.(1) | 3,959 | 33,572 | |
TriMas Corp.(1) | 3,443 | 104,426 | |
Trinity Industries, Inc. | 6,804 | 182,960 | |
Wabash National Corp. | 4,465 | 71,440 | |
Watts Water Technologies, Inc., Class A | 2,158 | 314,874 | |
Welbilt, Inc.(1) | 10,606 | 245,529 | |
$ 9,342,446 | |||
Marine — 0.1% | |||
Costamare, Inc. | 4,298 | $ 50,759 | |
Eagle Bulk Shipping, Inc.(1) | 653 | 30,900 | |
Genco Shipping & Trading, Ltd. | 2,519 | 47,559 | |
Matson, Inc. | 3,370 | 215,680 | |
Safe Bulkers, Inc.(1) | 4,225 | 16,942 | |
$ 361,840 | |||
Media — 1.1% | |||
Advantage Solutions, Inc.(1) | 5,990 | $ 64,632 | |
AMC Networks, Inc., Class A(1) | 2,381 | 159,051 | |
Audacy, Inc.(1) | 10,833 | 46,690 | |
Boston Omaha Corp., Class A(1) | 1,113 | 35,293 | |
Cardlytics, Inc.(1)(2) | 2,507 | 318,214 | |
Clear Channel Outdoor Holdings, Inc.(1) | 28,478 | 75,182 | |
comScore, Inc.(1) | 4,319 | 21,595 | |
Daily Journal Corp.(1) | 88 | 29,788 | |
Digital Media Solutions, Inc., Class A(1) | 236 | 2,285 | |
Emerald Holding, Inc.(1) | 2,053 | 11,066 | |
Entravision Communications Corp., Class A | 5,618 | 37,528 | |
EW Scripps Co. (The), Class A | 4,675 | 95,323 | |
Fluent, Inc.(1) | 2,683 | 7,861 | |
Gannett Co., Inc.(1) | 10,067 | 55,268 | |
Gray Television, Inc. | 6,701 | 156,803 | |
Hemisphere Media Group, Inc.(1) | 1,449 | 17,098 | |
iHeartMedia, Inc., Class A(1) | 8,782 | 236,499 | |
John Wiley & Sons, Inc., Class A | 3,384 | 203,649 | |
Loral Space & Communications, Inc. | 1,011 | 39,277 |
Security | Shares | Value | |
Media (continued) | |||
Magnite, Inc.(1) | 8,236 | $ 278,706 | |
MDC Partners, Inc., Class A(1) | 4,901 | 28,671 | |
Meredith Corp.(1) | 3,226 | 140,138 | |
MSG Networks, Inc., Class A(1) | 2,533 | 36,931 | |
National CineMedia, Inc. | 5,225 | 26,491 | |
Scholastic Corp. | 2,279 | 86,351 | |
Sinclair Broadcast Group, Inc., Class A | 3,764 | 125,040 | |
TechTarget, Inc.(1) | 1,981 | 153,508 | |
TEGNA, Inc. | 17,344 | 325,374 | |
Thryv Holdings, Inc.(1) | 507 | 18,135 | |
WideOpenWest, Inc.(1) | 4,110 | 85,118 | |
$ 2,917,565 | |||
Metals & Mining — 1.2% | |||
Allegheny Technologies, Inc.(1) | 10,322 | $ 215,214 | |
Arconic Corp.(1) | 8,657 | 308,362 | |
Carpenter Technology Corp. | 3,863 | 155,370 | |
Century Aluminum Co.(1) | 4,377 | 56,419 | |
Coeur Mining, Inc.(1) | 19,006 | 168,773 | |
Commercial Metals Co. | 9,675 | 297,216 | |
Compass Minerals International, Inc. | 2,779 | 164,684 | |
Constellium SE(1) | 9,626 | 182,413 | |
Ferroglobe Representation & Warranty Insurance Trust(4) | 5,015 | 0 | |
Gatos Silver, Inc.(1) | 2,714 | 47,468 | |
Haynes International, Inc. | 1,062 | 37,574 | |
Hecla Mining Co. | 41,687 | 310,151 | |
Kaiser Aluminum Corp. | 1,239 | 153,004 | |
Materion Corp. | 1,598 | 120,409 | |
MP Materials Corp.(1) | 5,720 | 210,839 | |
Novagold Resources, Inc.(1) | 19,333 | 154,857 | |
Olympic Steel, Inc. | 846 | 24,864 | |
Perpetua Resources Corp.(1) | 2,101 | 15,337 | |
PolyMet Mining Corp.(1) | 2,264 | 8,173 | |
Ryerson Holding Corp.(1) | 965 | 14,089 | |
Schnitzer Steel Industries, Inc., Class A | 2,033 | 99,719 | |
SunCoke Energy, Inc. | 6,534 | 46,653 | |
TimkenSteel Corp.(1) | 3,716 | 52,581 | |
Warrior Met Coal, Inc. | 4,424 | 76,093 | |
Worthington Industries, Inc. | 2,839 | 173,690 | |
$ 3,093,952 | |||
Mortgage Real Estate Investment Trusts (REITs) — 1.2% | |||
AFC Gamma, Inc. | 569 | $ 11,750 | |
Apollo Commercial Real Estate Finance, Inc. | 11,004 | 175,514 | |
Arbor Realty Trust, Inc. | 9,750 | 173,745 | |
Ares Commercial Real Estate Corp. | 2,562 | 37,636 |
Security | Shares | Value | |
Mortgage Real Estate Investment Trusts (REITs) (continued) | |||
ARMOUR Residential REIT, Inc. | 5,083 | $ 58,048 | |
Blackstone Mortgage Trust, Inc., Class A | 10,859 | 346,294 | |
BrightSpire Capital, Inc. | 6,877 | 64,644 | |
Broadmark Realty Capital, Inc. | 10,466 | 110,835 | |
Capstead Mortgage Corp. | 8,164 | 50,127 | |
Chimera Investment Corp. | 18,054 | 271,893 | |
Dynex Capital, Inc. | 2,384 | 44,485 | |
Ellington Financial, Inc. | 3,471 | 66,470 | |
Granite Point Mortgage Trust, Inc. | 4,738 | 69,886 | |
Great Ajax Corp. | 1,593 | 20,677 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(2) | 5,976 | 335,552 | |
Invesco Mortgage Capital, Inc. | 18,913 | 73,761 | |
KKR Real Estate Finance Trust, Inc. | 2,170 | 46,937 | |
Ladder Capital Corp. | 9,254 | 106,791 | |
MFA Financial, Inc. | 34,716 | 159,346 | |
New York Mortgage Trust, Inc. | 29,773 | 133,085 | |
Orchid Island Capital, Inc.(2) | 6,955 | 36,096 | |
PennyMac Mortgage Investment Trust | 7,980 | 168,059 | |
Ready Capital Corp. | 4,965 | 78,795 | |
Redwood Trust, Inc. | 9,115 | 110,018 | |
TPG RE Finance Trust, Inc. | 5,301 | 71,298 | |
Two Harbors Investment Corp. | 21,477 | 162,366 | |
$ 2,984,108 | |||
Multiline Retail — 0.3% | |||
Big Lots, Inc. | 2,723 | $ 179,745 | |
Dillard's, Inc., Class A | 493 | 89,174 | |
Franchise Group, Inc.(2) | 2,222 | 78,370 | |
Macy's, Inc.(1) | 24,636 | 467,099 | |
$ 814,388 | |||
Multi-Utilities — 0.3% | |||
Avista Corp. | 5,594 | $ 238,696 | |
Black Hills Corp. | 4,945 | 324,540 | |
NorthWestern Corp. | 3,983 | 239,856 | |
Unitil Corp. | 1,244 | 65,895 | |
$ 868,987 | |||
Oil, Gas & Consumable Fuels — 3.1% | |||
Aemetis, Inc.(1) | 1,820 | $ 20,329 | |
Alto Ingredients, Inc.(1) | 5,608 | 34,265 | |
Altus Midstream Co., Class A | 256 | 17,283 | |
Antero Resources Corp.(1) | 22,440 | 337,273 | |
Arch Resources, Inc.(1) | 1,294 | 73,732 | |
Berry Corp. | 5,491 | 36,900 | |
Bonanza Creek Energy, Inc.(1) | 2,420 | 113,909 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Brigham Minerals, Inc., Class A | 3,175 | $ 67,596 | |
California Resources Corp.(1) | 6,593 | 198,713 | |
Callon Petroleum Co.(1) | 3,128 | 180,454 | |
Centennial Resource Development, Inc., Class A(1) | 14,198 | 96,263 | |
Centrus Energy Corp., Class A(1) | 741 | 18,807 | |
Chesapeake Energy Corp. | 7,748 | 402,276 | |
Clean Energy Fuels Corp.(1) | 10,983 | 111,478 | |
CNX Resources Corp.(1) | 17,742 | 242,356 | |
Comstock Resources, Inc.(1) | 7,181 | 47,897 | |
CONSOL Energy, Inc.(1) | 2,417 | 44,642 | |
Contango Oil & Gas Co.(1) | 11,600 | 50,112 | |
CVR Energy, Inc. | 2,550 | 45,798 | |
Delek US Holdings, Inc. | 5,349 | 115,645 | |
Denbury, Inc.(1) | 3,956 | 303,742 | |
DHT Holdings, Inc. | 11,353 | 73,681 | |
Diamond S Shipping, Inc.(1) | 1,939 | 19,312 | |
Dorian LPG, Ltd.(1) | 2,343 | 33,083 | |
Earthstone Energy, Inc., Class A(1) | 1,654 | 18,310 | |
Energy Fuels, Inc.(1) | 10,694 | 64,699 | |
Equitrans Midstream Corp. | 32,071 | 272,924 | |
Extraction Oil & Gas, Inc.(1) | 1,226 | 67,320 | |
Falcon Minerals Corp. | 3,404 | 17,292 | |
Frontline, Ltd. / Bermuda(2) | 9,366 | 84,294 | |
Gevo, Inc.(1) | 15,305 | 111,267 | |
Golar LNG, Ltd.(1) | 8,457 | 112,055 | |
Green Plains, Inc.(1) | 3,362 | 113,031 | |
HighPeak Energy, Inc.(1) | 391 | 4,000 | |
International Seaways, Inc. | 2,158 | 41,390 | |
Kosmos Energy, Ltd.(1) | 31,772 | 109,931 | |
Laredo Petroleum, Inc.(1) | 986 | 91,491 | |
Magnolia Oil & Gas Corp., Class A(1) | 10,918 | 170,648 | |
Matador Resources Co. | 8,684 | 312,711 | |
Murphy Oil Corp. | 11,492 | 267,534 | |
Nordic American Tankers, Ltd. | 11,683 | 38,320 | |
Northern Oil and Gas, Inc. | 3,751 | 77,908 | |
Oasis Petroleum, Inc. | 1,582 | 159,070 | |
Ovintiv, Inc. | 20,556 | 646,897 | |
Par Pacific Holdings, Inc.(1) | 3,112 | 52,344 | |
PBF Energy, Inc., Class A(1) | 7,855 | 120,182 | |
PDC Energy, Inc.(1) | 7,797 | 357,025 | |
Peabody Energy Corp.(1) | 6,004 | 47,612 | |
Penn Virginia Corp.(1) | 1,007 | 23,775 | |
Range Resources Corp.(1) | 18,749 | 314,233 | |
Renewable Energy Group, Inc.(1) | 3,508 | 218,689 | |
REX American Resources Corp.(1) | 441 | 39,769 | |
Riley Exploration Permian, Inc. | 180 | 5,216 | |
Scorpio Tankers, Inc. | 3,824 | 84,319 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
SFL Corp., Ltd. | 8,240 | $ 63,036 | |
SM Energy Co. | 9,284 | 228,665 | |
Southwestern Energy Co.(1) | 54,567 | 309,395 | |
Talos Energy, Inc.(1) | 2,891 | 45,215 | |
Teekay Corp.(1) | 5,446 | 20,259 | |
Teekay Tankers, Ltd., Class A(1) | 1,870 | 26,965 | |
Tellurian, Inc.(1) | 24,854 | 115,571 | |
Uranium Energy Corp.(1)(2) | 16,481 | 43,840 | |
Ur-Energy, Inc.(1) | 14,187 | 19,862 | |
Vine Energy, Inc., Class A(1) | 1,617 | 25,209 | |
W&T Offshore, Inc.(1) | 8,233 | 39,930 | |
Whiting Petroleum Corp.(1) | 3,089 | 168,505 | |
World Fuel Services Corp. | 4,892 | 155,223 | |
$ 7,991,477 | |||
Paper & Forest Products — 0.2% | |||
Clearwater Paper Corp.(1) | 1,465 | $ 42,441 | |
Domtar Corp.(1) | 3,920 | 215,443 | |
Glatfelter Corp. | 3,755 | 52,457 | |
Neenah, Inc. | 1,433 | 71,894 | |
Schweitzer-Mauduit International, Inc. | 2,615 | 105,594 | |
Verso Corp., Class A | 2,350 | 41,595 | |
$ 529,424 | |||
Personal Products — 0.5% | |||
Beauty Health Co. (The)(1) | 3,640 | $ 61,152 | |
BellRing Brands, Inc., Class A(1) | 3,123 | 97,875 | |
Edgewell Personal Care Co. | 4,259 | 186,970 | |
elf Beauty, Inc.(1) | 3,854 | 104,598 | |
Honest Co. Inc. (The)(1) | 1,947 | 31,522 | |
Inter Parfums, Inc. | 1,484 | 106,848 | |
Medifast, Inc. | 919 | 260,059 | |
Nature's Sunshine Products, Inc. | 1,018 | 17,683 | |
Nu Skin Enterprises, Inc., Class A | 3,897 | 220,765 | |
Revlon, Inc., Class A(1) | 576 | 7,396 | |
USANA Health Sciences, Inc.(1) | 1,022 | 104,683 | |
Veru, Inc.(1) | 4,379 | 35,338 | |
$ 1,234,889 | |||
Pharmaceuticals — 1.6% | |||
9 Meters Biopharma, Inc.(1)(2) | 16,663 | $ 18,329 | |
Aclaris Therapeutics, Inc.(1) | 3,404 | 59,774 | |
Aerie Pharmaceuticals, Inc.(1) | 3,106 | 49,727 | |
Amneal Pharmaceuticals, Inc.(1) | 8,537 | 43,710 | |
Amphastar Pharmaceuticals, Inc.(1) | 3,073 | 61,952 | |
Ampio Pharmaceuticals, Inc.(1) | 14,914 | 24,906 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Angion Biomedica Corp.(1) | 472 | $ 6,145 | |
ANI Pharmaceuticals, Inc.(1) | 781 | 27,374 | |
Antares Pharma, Inc.(1) | 14,209 | 61,951 | |
Arvinas, Inc.(1) | 3,422 | 263,494 | |
Atea Pharmaceuticals, Inc.(1)(2) | 5,064 | 108,775 | |
Athira Pharma, Inc.(1)(2) | 2,529 | 25,897 | |
Axsome Therapeutics, Inc.(1)(2) | 2,179 | 146,995 | |
BioDelivery Sciences International, Inc.(1) | 7,195 | 25,758 | |
Cara Therapeutics, Inc.(1) | 3,311 | 47,248 | |
Cassava Sciences, Inc.(1)(2) | 3,000 | 256,320 | |
Cerecor, Inc.(1)(2) | 1,893 | 6,190 | |
Citius Pharmaceuticals, Inc.(1)(2) | 8,903 | 30,983 | |
Collegium Pharmaceutical, Inc.(1) | 2,817 | 66,594 | |
Corcept Therapeutics, Inc.(1) | 7,581 | 166,782 | |
CorMedix, Inc.(1)(2) | 2,679 | 18,378 | |
Cymabay Therapeutics, Inc.(1)(2) | 5,958 | 25,977 | |
Durect Corp.(1)(2) | 17,472 | 28,479 | |
Edgewise Therapeutics, Inc.(1) | 967 | 20,626 | |
Endo International PLC(1) | 18,425 | 86,229 | |
Evolus, Inc.(1)(2) | 2,529 | 31,992 | |
EyePoint Pharmaceuticals, Inc.(1)(2) | 1,657 | 14,896 | |
Fulcrum Therapeutics, Inc.(1)(2) | 1,100 | 11,528 | |
Harmony Biosciences Holdings, Inc.(1) | 1,753 | 49,487 | |
Ikena Oncology, Inc.(1) | 711 | 9,983 | |
Innoviva, Inc.(1) | 4,962 | 66,540 | |
Intra-Cellular Therapies, Inc.(1) | 5,570 | 227,367 | |
Kala Pharmaceuticals, Inc.(1) | 3,497 | 18,534 | |
Kaleido Biosciences, Inc.(1)(2) | 995 | 7,403 | |
KemPharm, Inc.(1) | 2,241 | 28,730 | |
Landos Biopharma, Inc.(1) | 515 | 5,948 | |
Marinus Pharmaceuticals, Inc.(1)(2) | 2,896 | 51,954 | |
Mind Medicine MindMed, Inc.(1)(2) | 25,253 | 87,123 | |
NGM Biopharmaceuticals, Inc.(1) | 2,099 | 41,392 | |
Nuvation Bio, Inc.(1)(2) | 2,777 | 25,854 | |
Ocular Therapeutix, Inc.(1) | 5,745 | 81,464 | |
Omeros Corp.(1)(2) | 4,994 | 74,111 | |
Oramed Pharmaceuticals, Inc.(1) | 2,094 | 28,018 | |
Pacira BioSciences, Inc.(1) | 3,468 | 210,438 | |
Paratek Pharmaceuticals, Inc.(1)(2) | 3,554 | 24,238 | |
Phathom Pharmaceuticals, Inc.(1)(2) | 1,588 | 53,754 | |
Phibro Animal Health Corp., Class A | 1,619 | 46,757 | |
Pliant Therapeutics, Inc.(1)(2) | 1,954 | 56,901 | |
Prestige Consumer Healthcare, Inc.(1) | 3,927 | 204,597 | |
Provention Bio, Inc.(1)(2) | 3,744 | 31,562 | |
Rain Therapeutics, Inc.(1) | 582 | 9,044 | |
Reata Pharmaceuticals, Inc., Class A(1) | 2,153 | 304,714 | |
Relmada Therapeutics, Inc.(1) | 1,242 | 39,756 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Revance Therapeutics, Inc.(1) | 5,362 | $ 158,930 | |
Seelos Therapeutics, Inc.(1) | 5,944 | 15,692 | |
SIGA Technologies, Inc.(1) | 4,584 | 28,788 | |
Supernus Pharmaceuticals, Inc.(1) | 4,123 | 126,947 | |
Tarsus Pharmaceuticals, Inc.(1)(2) | 515 | 14,925 | |
Terns Pharmaceuticals, Inc.(1) | 708 | 8,680 | |
TherapeuticsMD, Inc.(1)(2) | 27,432 | 32,644 | |
Theravance Biopharma, Inc.(1) | 3,794 | 55,089 | |
Verrica Pharmaceuticals, Inc.(1)(2) | 1,080 | 12,204 | |
WaVe Life Sciences, Ltd.(1) | 2,106 | 14,026 | |
Zogenix, Inc.(1) | 4,397 | 75,980 | |
$ 4,066,583 | |||
Professional Services — 1.5% | |||
Acacia Research Corp.(1) | 4,242 | $ 28,676 | |
ASGN, Inc.(1) | 4,140 | 401,290 | |
Atlas Technical Consultants, Inc.(1) | 1,056 | 10,222 | |
Barrett Business Services, Inc. | 606 | 44,002 | |
CBIZ, Inc.(1) | 4,147 | 135,897 | |
CRA International, Inc. | 558 | 47,765 | |
Exponent, Inc. | 4,073 | 363,352 | |
Forrester Research, Inc.(1) | 966 | 44,243 | |
Franklin Covey Co.(1) | 1,007 | 32,576 | |
GP Strategies Corp.(1) | 1,007 | 15,830 | |
Heidrick & Struggles International, Inc. | 1,525 | 67,939 | |
HireQuest, Inc. | 399 | 7,385 | |
Huron Consulting Group, Inc.(1) | 1,753 | 86,160 | |
ICF International, Inc. | 1,480 | 130,033 | |
Insperity, Inc. | 2,849 | 257,464 | |
KBR, Inc. | 11,089 | 423,045 | |
Kelly Services, Inc., Class A(1) | 2,680 | 64,240 | |
Kforce, Inc. | 1,698 | 106,855 | |
Korn Ferry | 4,186 | 303,694 | |
ManTech International Corp. / VA, Class A | 2,150 | 186,061 | |
Mistras Group, Inc.(1) | 1,338 | 13,153 | |
Rekor Systems, Inc.(1) | 2,460 | 24,994 | |
Resources Connection, Inc. | 2,400 | 34,464 | |
TriNet Group, Inc.(1) | 3,179 | 230,414 | |
TrueBlue, Inc.(1) | 2,943 | 82,728 | |
Upwork, Inc.(1) | 9,146 | 533,120 | |
Willdan Group, Inc.(1) | 898 | 33,801 | |
$ 3,709,403 | |||
Real Estate Management & Development — 0.7% | |||
Cushman & Wakefield PLC(1) | 9,516 | $ 166,244 | |
eXp World Holdings, Inc.(1)(2) | 4,867 | 188,694 |
Security | Shares | Value | |
Real Estate Management & Development (continued) | |||
Fathom Holdings, Inc.(1)(2) | 407 | $ 13,345 | |
Forestar Group, Inc.(1) | 1,430 | 29,901 | |
FRP Holdings, Inc.(1) | 588 | 32,740 | |
Kennedy-Wilson Holdings, Inc. | 9,417 | 187,116 | |
Marcus & Millichap, Inc.(1) | 1,962 | 76,263 | |
Newmark Group, Inc., Class A | 12,362 | 148,468 | |
Rafael Holdings, Inc., Class B(1) | 930 | 47,476 | |
RE / MAX Holdings, Inc., Class A | 1,564 | 52,128 | |
Realogy Holdings Corp.(1) | 9,326 | 169,920 | |
Redfin Corp.(1)(2) | 7,977 | 505,822 | |
RMR Group, Inc. (The), Class A | 1,361 | 52,589 | |
St. Joe Co. (The) | 2,613 | 116,566 | |
Tejon Ranch Co.(1) | 1,572 | 23,910 | |
$ 1,811,182 | |||
Road & Rail — 0.5% | |||
ArcBest Corp. | 2,049 | $ 119,231 | |
Avis Budget Group, Inc.(1) | 4,011 | 312,417 | |
Covenant Logistics Group, Inc.(1) | 905 | 18,715 | |
Daseke, Inc.(1) | 3,920 | 25,402 | |
Heartland Express, Inc. | 3,887 | 66,584 | |
HyreCar, Inc.(1) | 1,374 | 28,744 | |
Marten Transport, Ltd. | 5,049 | 83,258 | |
PAM Transportation Services, Inc.(1) | 187 | 9,864 | |
Saia, Inc.(1) | 2,081 | 435,949 | |
Universal Truckload Services, Inc. | 475 | 11,068 | |
US Xpress Enterprises, Inc., Class A(1) | 1,727 | 14,852 | |
Werner Enterprises, Inc. | 4,874 | 216,991 | |
Yellow Corp.(1) | 3,948 | 25,701 | |
$ 1,368,776 | |||
Semiconductors & Semiconductor Equipment — 2.5% | |||
Alpha & Omega Semiconductor, Ltd.(1) | 1,700 | $ 51,663 | |
Ambarella, Inc.(1) | 2,771 | 295,472 | |
Amkor Technology, Inc. | 8,120 | 192,200 | |
Atomera, Inc.(1)(2) | 1,466 | 31,431 | |
Axcelis Technologies, Inc.(1) | 2,813 | 113,701 | |
AXT, Inc.(1) | 3,267 | 35,872 | |
CEVA, Inc.(1) | 1,882 | 89,019 | |
CMC Materials, Inc. | 2,291 | 345,345 | |
Cohu, Inc.(1) | 3,598 | 132,370 | |
Diodes, Inc.(1) | 3,485 | 277,998 | |
DSP Group, Inc.(1) | 1,922 | 28,446 | |
FormFactor, Inc.(1) | 6,098 | 222,333 | |
Ichor Holdings, Ltd.(1) | 2,200 | 118,360 | |
Impinj, Inc.(1) | 1,504 | 77,591 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Kopin Corp.(1) | 6,085 | $ 49,775 | |
Kulicke & Soffa Industries, Inc. | 4,801 | 293,821 | |
Lattice Semiconductor Corp.(1) | 10,642 | 597,868 | |
MACOM Technology Solutions Holdings, Inc.(1) | 3,818 | 244,657 | |
MaxLinear, Inc.(1) | 5,692 | 241,853 | |
NeoPhotonics Corp.(1) | 4,198 | 42,862 | |
NVE Corp. | 408 | 30,212 | |
Onto Innovation, Inc.(1) | 3,859 | 281,861 | |
PDF Solutions, Inc.(1) | 2,532 | 46,032 | |
Photronics, Inc.(1) | 5,437 | 71,823 | |
Power Integrations, Inc. | 4,796 | 393,560 | |
Rambus, Inc.(1) | 8,788 | 208,364 | |
Semtech Corp.(1) | 5,072 | 348,954 | |
Silicon Laboratories, Inc.(1) | 3,526 | 540,360 | |
SiTime Corp.(1) | 987 | 124,944 | |
SkyWater Technology, Inc.(1) | 616 | 17,648 | |
SMART Global Holdings, Inc.(1) | 1,094 | 52,162 | |
SunPower Corp.(1) | 6,461 | 188,790 | |
Synaptics, Inc.(1) | 2,767 | 430,490 | |
Ultra Clean Holdings, Inc.(1) | 3,443 | 184,958 | |
Veeco Instruments, Inc.(1) | 4,143 | 99,598 | |
$ 6,502,393 | |||
Software — 5.6% | |||
8x8, Inc.(1) | 8,347 | $ 231,713 | |
A10 Networks, Inc.(1) | 4,968 | 55,940 | |
ACI Worldwide, Inc.(1) | 9,317 | 346,033 | |
Agilysys, Inc.(1) | 1,551 | 88,205 | |
Alarm.com Holdings, Inc.(1) | 3,708 | 314,068 | |
Alkami Technology, Inc.(1) | 546 | 19,476 | |
Altair Engineering, Inc., Class A(1) | 3,678 | 253,672 | |
American Software, Inc., Class A | 2,315 | 50,837 | |
Appfolio, Inc., Class A(1)(2) | 1,469 | 207,423 | |
Appian Corp.(1)(2) | 3,084 | 424,821 | |
Asana, Inc., Class A(1) | 5,799 | 359,712 | |
Avaya Holdings Corp.(1) | 6,471 | 174,070 | |
Benefitfocus, Inc.(1) | 2,338 | 32,966 | |
Blackbaud, Inc.(1) | 3,795 | 290,583 | |
Blackline, Inc.(1) | 4,244 | 472,230 | |
Bottomline Technologies (de), Inc.(1) | 3,610 | 133,859 | |
Box, Inc., Class A(1) | 11,819 | 301,975 | |
BTRS Holdings, Inc.(1) | 3,718 | 46,921 | |
Cerence, Inc.(1)(2) | 2,967 | 316,609 | |
ChannelAdvisor Corp.(1) | 2,410 | 59,069 | |
Cleanspark, Inc.(1) | 2,567 | 42,715 | |
Cloudera, Inc.(1) | 18,150 | 287,859 | |
Commvault Systems, Inc.(1) | 3,311 | 258,821 |
Security | Shares | Value | |
Software (continued) | |||
Cornerstone OnDemand, Inc.(1) | 4,939 | $ 254,754 | |
Digimarc Corp.(1)(2) | 926 | 31,021 | |
Digital Turbine, Inc.(1) | 6,625 | 503,699 | |
Domo, Inc., Class B(1) | 2,252 | 182,029 | |
E2open Parent Holdings, Inc.(1) | 3,276 | 37,412 | |
Ebix, Inc. | 2,269 | 76,919 | |
eGain Corp.(1) | 1,491 | 17,117 | |
Envestnet, Inc.(1) | 4,319 | 327,639 | |
GTY Technology Holdings, Inc.(1) | 3,743 | 26,613 | |
Ideanomics, Inc.(1) | 32,035 | 90,979 | |
Intelligent Systems Corp.(1)(2) | 601 | 18,908 | |
InterDigital, Inc. | 2,504 | 182,867 | |
j2 Global, Inc.(1) | 3,408 | 468,770 | |
JFrog, Ltd.(1)(2) | 4,046 | 184,174 | |
LivePerson, Inc.(1) | 5,071 | 320,690 | |
MicroStrategy, Inc., Class A(1) | 616 | 409,332 | |
Mimecast, Ltd.(1) | 4,786 | 253,897 | |
Mitek Systems, Inc.(1) | 3,089 | 59,494 | |
Model N, Inc.(1) | 2,795 | 95,785 | |
Momentive Global, Inc.(1) | 9,991 | 210,510 | |
ON24, Inc.(1) | 703 | 24,942 | |
OneSpan, Inc.(1) | 2,735 | 69,852 | |
PagerDuty, Inc.(1) | 6,330 | 269,531 | |
Ping Identity Holding Corp.(1)(2) | 3,122 | 71,494 | |
Progress Software Corp. | 3,448 | 159,470 | |
PROS Holdings, Inc.(1) | 3,289 | 149,880 | |
Q2 Holdings, Inc.(1) | 4,288 | 439,863 | |
QAD, Inc., Class A | 961 | 83,626 | |
Qualys, Inc.(1) | 2,673 | 269,144 | |
Rapid7, Inc.(1) | 4,307 | 407,571 | |
Rimini Street, Inc.(1) | 3,438 | 21,178 | |
Riot Blockchain, Inc.(1) | 6,611 | 249,036 | |
SailPoint Technologies Holdings, Inc.(1) | 7,161 | 365,712 | |
Sapiens International Corp. NV | 2,264 | 59,475 | |
SecureWorks Corp., Class A(1) | 472 | 8,746 | |
ShotSpotter, Inc.(1)(2) | 604 | 29,457 | |
Smith Micro Software, Inc.(1) | 2,954 | 15,420 | |
Sprout Social, Inc., Class A(1) | 3,464 | 309,751 | |
SPS Commerce, Inc.(1) | 2,829 | 282,476 | |
Sumo Logic, Inc.(1)(2) | 6,397 | 132,098 | |
Telos Corp.(1) | 1,341 | 45,607 | |
Tenable Holdings, Inc.(1) | 7,115 | 294,205 | |
Upland Software, Inc.(1) | 2,219 | 91,356 | |
Varonis Systems, Inc.(1) | 8,251 | 475,423 | |
Verint Systems, Inc.(1) | 5,052 | 227,694 | |
Veritone, Inc.(1) | 2,028 | 39,972 | |
Viant Technology, Inc., Class A(1) | 874 | 26,028 |
Security | Shares | Value | |
Software (continued) | |||
VirnetX Holding Corp.(1)(2) | 5,078 | $ 21,683 | |
Vonage Holdings Corp.(1) | 19,068 | 274,770 | |
Workiva, Inc.(1) | 3,326 | 370,284 | |
Xperi Holding Corp. | 8,231 | 183,057 | |
Yext, Inc.(1) | 8,933 | 127,653 | |
Zix Corp.(1) | 5,001 | 35,257 | |
Zuora, Inc., Class A(1) | 8,630 | 148,868 | |
$ 14,302,765 | |||
Specialty Retail — 2.6% | |||
Aaron's Co., Inc. (The) | 2,660 | $ 85,093 | |
Abercrombie & Fitch Co., Class A(1) | 4,811 | 223,375 | |
Academy Sports & Outdoors, Inc.(1) | 4,849 | 199,973 | |
American Eagle Outfitters, Inc.(2) | 11,935 | 447,921 | |
America's Car-Mart, Inc.(1) | 476 | 67,459 | |
Arko Corp.(1) | 1,610 | 14,796 | |
Asbury Automotive Group, Inc.(1) | 1,567 | 268,537 | |
At Home Group, Inc.(1) | 5,147 | 189,615 | |
Barnes & Noble Education, Inc.(1) | 3,013 | 21,724 | |
Bed Bath & Beyond, Inc.(1) | 8,608 | 286,560 | |
Big 5 Sporting Goods Corp. | 1,632 | 41,910 | |
Blink Charging Co.(1) | 2,863 | 117,870 | |
Boot Barn Holdings, Inc.(1) | 2,323 | 195,248 | |
Buckle, Inc. (The) | 2,523 | 125,519 | |
Caleres, Inc. | 3,058 | 83,453 | |
Camping World Holdings, Inc., Class A(2) | 3,347 | 137,194 | |
CarLotz, Inc.(1) | 3,409 | 18,613 | |
Cato Corp. (The), Class A(1) | 2,030 | 34,246 | |
Chico's FAS, Inc.(1) | 9,433 | 62,069 | |
Children's Place, Inc. (The)(1) | 1,195 | 111,207 | |
Citi Trends, Inc.(1) | 699 | 60,813 | |
Conn's, Inc.(1) | 1,614 | 41,157 | |
Container Store Group, Inc. (The)(1) | 2,581 | 33,656 | |
Designer Brands, Inc., Class A(1) | 5,217 | 86,341 | |
Genesco, Inc.(1) | 1,150 | 73,232 | |
Group 1 Automotive, Inc. | 1,378 | 212,805 | |
GrowGeneration Corp.(1) | 4,242 | 204,040 | |
Guess?, Inc. | 3,234 | 85,378 | |
Haverty Furniture Cos., Inc. | 1,371 | 58,624 | |
Hibbett, Inc.(1) | 1,274 | 114,189 | |
JOANN, Inc. | 910 | 14,332 | |
Kirkland's, Inc.(1) | 1,099 | 25,145 | |
Lazydays Holdings, Inc.(1) | 576 | 12,672 | |
Lumber Liquidators Holdings, Inc.(1) | 2,470 | 52,117 | |
MarineMax, Inc.(1) | 1,797 | 87,586 | |
Monro, Inc. | 2,683 | 170,397 | |
Murphy USA, Inc. | 1,975 | 263,406 |
Security | Shares | Value | |
Specialty Retail (continued) | |||
National Vision Holdings, Inc.(1) | 6,544 | $ 334,595 | |
ODP Corp. (The)(1) | 3,839 | 184,310 | |
OneWater Marine, Inc., Class A(1) | 718 | 30,178 | |
Party City Holdco, Inc.(1) | 8,666 | 80,854 | |
Rent-A-Center, Inc. | 5,170 | 274,372 | |
Sally Beauty Holdings, Inc.(1) | 9,177 | 202,536 | |
Shift Technologies, Inc.(1) | 4,866 | 41,750 | |
Shoe Carnival, Inc. | 692 | 49,540 | |
Signet Jewelers, Ltd.(1) | 4,089 | 330,350 | |
Sleep Number Corp.(1) | 1,876 | 206,266 | |
Sonic Automotive, Inc., Class A | 1,716 | 76,774 | |
Sportsman's Warehouse Holdings, Inc.(1) | 3,542 | 62,941 | |
Tilly's, Inc., Class A(1) | 1,890 | 30,202 | |
TravelCenters of America, Inc.(1) | 979 | 28,626 | |
Urban Outfitters, Inc.(1) | 5,380 | 221,764 | |
Winmark Corp. | 277 | 53,206 | |
Zumiez, Inc.(1) | 1,698 | 83,185 | |
$ 6,619,721 | |||
Technology Hardware, Storage & Peripherals — 0.3% | |||
3D Systems Corp.(1) | 9,520 | $ 380,514 | |
Avid Technology, Inc.(1) | 2,835 | 110,990 | |
Corsair Gaming, Inc.(1)(2) | 1,920 | 63,917 | |
Diebold Nixdorf, Inc.(1) | 5,880 | 75,499 | |
Eastman Kodak Co.(1) | 3,518 | 29,270 | |
Quantum Corp.(1)(2) | 4,380 | 30,178 | |
Super Micro Computer, Inc.(1) | 3,523 | 123,939 | |
Turtle Beach Corp.(1) | 1,190 | 37,985 | |
$ 852,292 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||
Crocs, Inc.(1) | 5,065 | $ 590,174 | |
Fossil Group, Inc.(1) | 3,623 | 51,736 | |
G-III Apparel Group, Ltd.(1) | 3,579 | 117,606 | |
Kontoor Brands, Inc.(2) | 4,067 | 229,419 | |
Movado Group, Inc. | 1,238 | 38,960 | |
Oxford Industries, Inc. | 1,334 | 131,853 | |
PLBY Group, Inc.(1) | 850 | 33,057 | |
Rocky Brands, Inc. | 588 | 32,693 | |
Steven Madden, Ltd. | 6,433 | 281,508 | |
Superior Group of Cos., Inc. | 933 | 22,308 | |
Unifi, Inc.(1) | 1,199 | 29,208 | |
Vera Bradley, Inc.(1) | 1,814 | 22,475 | |
Wolverine World Wide, Inc. | 6,377 | 214,522 | |
$ 1,795,519 |
Security | Shares | Value | |
Thrifts & Mortgage Finance — 1.4% | |||
Axos Financial, Inc.(1) | 4,474 | $ 207,549 | |
Bridgewater Bancshares, Inc.(1) | 1,907 | 30,798 | |
Capitol Federal Financial, Inc. | 10,914 | 128,567 | |
Columbia Financial, Inc.(1) | 3,148 | 54,209 | |
Essent Group, Ltd. | 8,683 | 390,301 | |
Federal Agricultural Mortgage Corp., Class C | 788 | 77,933 | |
Finance of America Cos., Inc., Class A(1) | 2,618 | 19,975 | |
Flagstar Bancorp, Inc. | 4,030 | 170,348 | |
FS Bancorp, Inc. | 267 | 19,029 | |
Hingham Institution for Savings (The) | 102 | 29,631 | |
Home Bancorp, Inc. | 638 | 24,314 | |
Home Point Capital, Inc.(1)(2) | 600 | 3,558 | |
HomeStreet, Inc. | 1,788 | 72,843 | |
Kearny Financial Corp. | 6,113 | 73,050 | |
Luther Burbank Corp. | 1,786 | 21,182 | |
Merchants Bancorp | 731 | 28,685 | |
Meridian Bancorp, Inc. | 3,666 | 75,006 | |
Meta Financial Group, Inc. | 2,526 | 127,891 | |
Mr. Cooper Group, Inc.(1) | 5,563 | 183,913 | |
NMI Holdings, Inc., Class A(1) | 6,584 | 148,008 | |
Northfield Bancorp, Inc. | 3,620 | 59,368 | |
Northwest Bancshares, Inc. | 9,836 | 134,163 | |
Ocwen Financial Corp.(1) | 641 | 19,858 | |
PCSB Financial Corp. | 1,066 | 19,369 | |
PennyMac Financial Services, Inc. | 2,770 | 170,965 | |
Pioneer Bancorp, Inc.(1)(2) | 918 | 11,034 | |
Premier Financial Corp. | 3,134 | 89,037 | |
Provident Bancorp, Inc. | 1,419 | 23,144 | |
Provident Financial Services, Inc. | 6,090 | 139,400 | |
Radian Group, Inc. | 15,076 | 335,441 | |
Southern Missouri Bancorp, Inc. | 690 | 31,022 | |
TrustCo Bank Corp. | 1,565 | 53,805 | |
Velocity Financial, Inc.(1)(2) | 672 | 8,393 | |
Walker & Dunlop, Inc. | 2,370 | 247,381 | |
Washington Federal, Inc. | 5,660 | 179,875 | |
Waterstone Financial, Inc. | 1,822 | 35,821 | |
WSFS Financial Corp. | 3,849 | 179,325 | |
$ 3,624,191 | |||
Tobacco — 0.2% | |||
22nd Century Group, Inc.(1)(2) | 11,838 | $ 54,810 | |
Turning Point Brands, Inc. | 1,011 | 46,273 | |
Universal Corp. | 1,896 | 108,015 | |
Vector Group, Ltd. | 11,264 | 159,273 | |
$ 368,371 |
Security | Shares | Value | |
Trading Companies & Distributors — 1.2% | |||
Alta Equipment Group, Inc.(1) | 1,505 | $ 20,001 | |
Applied Industrial Technologies, Inc. | 3,044 | 277,187 | |
Beacon Roofing Supply, Inc.(1) | 4,442 | 236,536 | |
BlueLinx Holdings, Inc.(1) | 703 | 35,347 | |
Boise Cascade Co. | 3,180 | 185,553 | |
CAI International, Inc. | 1,276 | 71,456 | |
Custom Truck One Source, Inc.(1)(2) | 1,171 | 11,148 | |
DXP Enterprises, Inc.(1) | 1,272 | 42,358 | |
EVI Industries, Inc.(1) | 308 | 8,747 | |
GATX Corp. | 2,833 | 250,635 | |
Global Industrial Co. | 1,000 | 36,710 | |
GMS, Inc.(1) | 3,426 | 164,928 | |
H&E Equipment Services, Inc. | 2,694 | 89,629 | |
Herc Holdings, Inc.(1) | 1,979 | 221,787 | |
Karat Packaging, Inc.(1) | 359 | 7,313 | |
Lawson Products, Inc.(1) | 447 | 23,919 | |
McGrath RentCorp | 1,962 | 160,040 | |
MRC Global, Inc.(1) | 6,928 | 65,123 | |
NOW, Inc.(1) | 9,243 | 87,716 | |
Rush Enterprises, Inc., Class A | 3,502 | 151,426 | |
Rush Enterprises, Inc., Class B | 564 | 21,511 | |
Textainer Group Holdings, Ltd.(1) | 3,758 | 126,908 | |
Titan Machinery, Inc.(1) | 1,521 | 47,060 | |
Transcat, Inc.(1) | 601 | 33,962 | |
Triton International, Ltd. | 5,234 | 273,948 | |
Veritiv Corp.(1) | 1,183 | 72,660 | |
WESCO International, Inc.(1) | 3,492 | 359,047 | |
Willis Lease Finance Corp.(1) | 332 | 14,230 | |
$ 3,096,885 | |||
Transportation Infrastructure — 0.1% | |||
Macquarie Infrastructure Corp. | 5,793 | $ 221,698 | |
$ 221,698 | |||
Water Utilities — 0.3% | |||
American States Water Co. | 2,893 | $ 230,167 | |
Artesian Resources Corp., Class A | 703 | 25,849 | |
Cadiz, Inc.(1)(2) | 1,074 | 14,606 | |
California Water Service Group | 4,020 | 223,271 | |
Global Water Resources, Inc. | 641 | 10,948 | |
Middlesex Water Co. | 1,398 | 114,259 | |
Pure Cycle Corp.(1) | 1,502 | 20,758 | |
SJW Group | 2,210 | 139,893 | |
York Water Co. (The) | 1,157 | 52,412 | |
$ 832,163 |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.2% | |||
Gogo, Inc.(1)(2) | 5,004 | $ 56,946 | |
Shenandoah Telecommunications Co. | 3,920 | 190,159 | |
Telephone & Data Systems, Inc. | 7,925 | 179,580 | |
United States Cellular Corp.(1) | 1,199 | 43,536 | |
$ 470,221 | |||
Total Common Stocks (identified cost $151,676,648) | $239,902,700 |
Exchange-Traded Funds — 1.3% |
Security | Shares | Value | |
iShares Russell 2000 ETF | 14,000 | $ 3,211,180 | |
Total Exchange-Traded Funds (identified cost $2,285,679) | $ 3,211,180 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Leisure Products — 0.0% | |||
Diamond Resorts International, Inc., Escrow Certificates(1)(4)(5) | 29 | $ 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Rights — 0.0%(6) |
Security | Shares | Value | |
Biotechnology — 0.0%(6) | |||
Aduro Biotech, Inc. CVR(1)(4)(5) | 1,109 | $ 0 | |
GTx, Inc. CVR(1)(2)(4)(5) | 57 | 0 | |
Prevail Therapeutics, Inc. CVR(1)(2)(4)(5) | 1,221 | 610 | |
Tobira Therapeutics, Inc. CVR(1)(4)(5) | 690 | 9,481 | |
$ 10,091 | |||
Health Care Equipment & Supplies — 0.0%(6) | |||
Elanco Animal Health, Inc. CVR(1)(4)(5) | 3,555 | $ 380 | |
$ 380 | |||
Pharmaceuticals — 0.0%(6) | |||
Omthera Pharmaceutical, Inc. CVR(1)(4)(5) | 508 | $ 0 | |
Progenic Pharmaceuticals, Inc. CVR(1)(4)(5) | 7,261 | 0 | |
$ 0 | |||
Total Rights (identified cost $859) | $ 10,471 |
Short-Term Investments — 7.5% | |||
Affiliated Fund — 4.7% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(7) | 12,008,368 | $ 12,008,368 | |
Total Affiliated Fund (identified cost $12,008,823) | $ 12,008,368 | ||
Securities Lending Collateral — 2.4% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(8) | 6,147,745 | $ 6,147,745 | |
Total Securities Lending Collateral (identified cost $6,147,745) | $ 6,147,745 | ||
U.S. Treasury Obligations — 0.4% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 2/24/22(9) | $ | 1,000 | $ 999,669 |
Total U.S. Treasury Obligations (identified cost $999,554) | $ 999,669 | ||
Total Short-Term Investments (identified cost $19,156,122) | $ 19,155,782 | ||
Total Investments — 102.5% (identified cost $173,119,308) | $262,280,133 | ||
Other Assets, Less Liabilities — (2.5)% | $ (6,277,153) | ||
Net Assets — 100.0% | $ 256,002,980 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $15,924,606. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2021, the aggregate value of these securities is $295,510 or 0.1% of the Fund's net assets. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(5) | Restricted security. Total market value of restricted securities amounts to $10,471, which represents less than 0.05% of the net assets of the Fund as of June 30, 2021. |
(6) | Amount is less than 0.05%. |
(7) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(8) | Represents investment of cash collateral received in connection with securities lending. |
(9) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini Russell 2000 Index | 114 | Long | 9/17/21 | $13,154,460 | $ (83,850) |
$(83,850) |
Description | Acquisition Dates | Cost |
Aduro Biotech, Inc. CVR | 10/2/20 | $0 |
Diamond Resorts International, Inc., Escrow Certificates | 5/19/21 | 0 |
Description | Acquisition Dates | Cost |
Elanco Animal Health, Inc. CVR | 7/19/19 | $ 90 |
GTx, Inc. CVR | 6/10/19 | 117 |
Omthera Pharmaceutical, Inc. CVR | 7/19/13 | 0 |
Prevail Therapeutics, Inc. CVR | 1/25/21 | 611 |
Progenic Pharmaceuticals, Inc. CVR | 6/22/20 | 0 |
Tobira Therapeutics, Inc. CVR | 11/2/16 | 41 |
Abbreviations: | |
CVR | – Contingent Value Rights |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $161,110,485) - including $15,924,606 of securities on loan | $ 250,271,765 |
Investments in securities of affiliated issuers, at value (identified cost $12,008,823) | 12,008,368 |
Receivable for variation margin on open futures contracts | 18,240 |
Receivable for investments sold | 12,363 |
Receivable for capital shares sold | 375,318 |
Dividends receivable | 171,034 |
Dividends receivable - affiliated | 617 |
Securities lending income receivable | 5,611 |
Receivable from affiliate | 57,421 |
Directors' deferred compensation plan | 43,658 |
Total assets | $262,964,395 |
Liabilities | |
Due to custodian | $ 4,077 |
Payable for investments purchased | 148,540 |
Payable for capital shares redeemed | 329,826 |
Deposits for securities loaned | 6,147,745 |
Payable to affiliates: | |
Investment advisory fee | 52,355 |
Administrative fee | 25,130 |
Distribution and service fees | 10,699 |
Sub-transfer agency fee | 109 |
Directors' deferred compensation plan | 43,658 |
Accrued expenses | 199,276 |
Total liabilities | $ 6,961,415 |
Net Assets | $256,002,980 |
Sources of Net Assets | |
Paid-in capital | $ 138,900,549 |
Distributable earnings | 117,102,431 |
Total | $256,002,980 |
Class I Shares | |
Net Assets | $ 190,316,916 |
Shares Outstanding | 1,803,500 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 105.53 |
Class F Shares | |
Net Assets | $ 65,686,064 |
Shares Outstanding | 625,560 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 105.00 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $2,267) | $ 1,171,666 |
Dividend income - affiliated issuers | 3,116 |
Interest and other income | 617 |
Securities lending income, net | 38,093 |
Total investment income | $ 1,213,492 |
Expenses | |
Investment advisory fee | $ 303,140 |
Administrative fee | 145,507 |
Distribution and service fees: | |
Class F | 59,036 |
Directors' fees and expenses | 4,874 |
Custodian fees | 9,779 |
Transfer agency fees and expenses | 108,121 |
Accounting fees | 28,138 |
Professional fees | 17,558 |
Reports to shareholders | 25,684 |
Licensing fees | 60,637 |
Miscellaneous | 16,514 |
Total expenses | $ 778,988 |
Waiver and/or reimbursement of expenses by affiliate | $ (246,938) |
Net expenses | $ 532,050 |
Net investment income | $ 681,442 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 17,479,953 |
Investment securities - affiliated issuers | (368) |
Futures contracts | 1,166,215 |
Net realized gain | $18,645,800 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 18,430,128 |
Investment securities - affiliated issuers | (455) |
Futures contracts | (153,040) |
Net change in unrealized appreciation (depreciation) | $18,276,633 |
Net realized and unrealized gain | $36,922,433 |
Net increase in net assets from operations | $37,603,875 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 681,442 | $ 1,813,462 |
Net realized gain | 18,645,800 | 6,760,350 |
Net change in unrealized appreciation (depreciation) | 18,276,633 | 26,599,059 |
Net increase in net assets from operations | $ 37,603,875 | $ 35,172,871 |
Distributions to shareholders: | ||
Class I | $ — | $ (9,760,402) |
Class F | — | (2,699,981) |
Total distributions to shareholders | $ ��— | $ (12,460,383) |
Capital share transactions: | ||
Class I | $ (7,085,566) | $ (3,896,570) |
Class F | 7,682,864 | 1,417,937 |
Net increase (decrease) in net assets from capital share transactions | $ 597,298 | $ (2,478,633) |
Net increase in net assets | $ 38,201,173 | $ 20,233,855 |
Net Assets | ||
At beginning of period | $ 217,801,807 | $ 197,567,952 |
At end of period | $256,002,980 | $217,801,807 |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 89.92 | $ 80.81 | $ 71.03 | $ 84.82 | $ 77.43 | $ 69.72 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.31 | $ 0.79 | $ 0.90 | $ 0.98 | $ 0.93 | $ 0.90 |
Net realized and unrealized gain (loss) | 15.30 | 13.71 | 15.99 | (9.44) | 10.12 | 13.70 |
Total income (loss) from operations | $ 15.61 | $ 14.50 | $ 16.89 | $ (8.46) | $ 11.05 | $ 14.60 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.82) | $ (0.77) | $ (0.96) | $ (0.64) | $ (0.41) |
From net realized gain | — | (4.57) | (6.34) | (4.37) | (3.02) | (6.48) |
Total distributions | $ — | $ (5.39) | $ (7.11) | $ (5.33) | $ (3.66) | $ (6.89) |
Net asset value — End of period | $ 105.53 | $ 89.92 | $ 80.81 | $ 71.03 | $ 84.82 | $ 77.43 |
Total Return(2) | 17.36% (3) | 19.64% | 25.08% | (11.23)% | 14.37% | 20.92% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $190,317 | $168,541 | $154,335 | $127,473 | $158,646 | $149,739 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.59% (5) | 0.59% | 0.58% | 0.59% | 0.65% | 0.75% |
Net expenses | 0.39% (5) | 0.39% | 0.39% | 0.38% | 0.38% | 0.53% |
Net investment income | 0.61% (5) | 1.08% | 1.13% | 1.13% | 1.15% | 1.25% |
Portfolio Turnover | 15% (3) | 16% | 15% | 15% | 15% | 17% (6) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 89.56 | $ 80.67 | $ 71.07 | $ 85.07 | $ 77.84 | $ 70.13 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.21 | $ 0.64 | $ 0.73 | $ 0.77 | $ 0.74 | $ 0.73 |
Net realized and unrealized gain (loss) | 15.23 | 13.64 | 15.98 | (9.44) | 10.15 | 13.76 |
Total income (loss) from operations | $ 15.44 | $ 14.28 | $ 16.71 | $ (8.67) | $ 10.89 | $ 14.49 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.82) | $ (0.77) | $ (0.96) | $ (0.64) | $ (0.30) |
From net realized gain | — | (4.57) | (6.34) | (4.37) | (3.02) | (6.48) |
Total distributions | $ — | $ (5.39) | $ (7.11) | $ (5.33) | $ (3.66) | $ (6.78) |
Net asset value — End of period | $105.00 | $ 89.56 | $ 80.67 | $ 71.07 | $ 85.07 | $ 77.84 |
Total Return(2) | 17.24% (3) | 19.40% | 24.82% | (11.46)% | 14.08% | 20.63% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 65,686 | $49,261 | $43,233 | $30,499 | $32,547 | $24,959 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.79% (5) | 0.79% | 0.78% | 0.79% | 0.86% | 0.96% |
Net expenses | 0.59% (5) | 0.59% | 0.60% | 0.63% | 0.63% | 0.78% |
Net investment income | 0.41% (5) | 0.88% | 0.92% | 0.89% | 0.91% | 1.00% |
Portfolio Turnover | 15% (3) | 16% | 15% | 15% | 15% | 17% (6) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | $ 239,902,700(2) | $ — | $ 0 | $ 239,902,700 |
Exchange-Traded Funds | 3,211,180 | — | — | 3,211,180 |
Miscellaneous | — | — | 0 | 0 |
Rights | — | — | 10,471 | 10,471 |
Short-Term Investments: | ||||
Affiliated Fund | — | 12,008,368 | — | 12,008,368 |
Securities Lending Collateral | 6,147,745 | — | — | 6,147,745 |
U.S. Treasury Obligations | — | 999,669 | — | 999,669 |
Total Investments | $249,261,625 | $13,008,037 | $10,471 | $262,280,133 |
Liability Description | ||||
Futures Contracts | $ (83,850) | $ — | $ — | $ (83,850) |
Total | $ (83,850) | $ — | $ — | $ (83,850) |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $173,073,155 |
Gross unrealized appreciation | $ 102,601,523 |
Gross unrealized depreciation | (13,478,395) |
Net unrealized appreciation | $ 89,123,128 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ — | $(83,850) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ 1,166,215 | $ (153,040) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $6,147,745 | $ — | $ — | $ — | $6,147,745 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $4,844,825 | $20,921,241 | $(13,756,875) | $(368) | $(455) | $12,008,368 | $3,116 | 12,008,368 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 132,420 | $ 13,348,684 | 280,479 | $ 19,443,152 | |
Reinvestment of distributions | — | — | 136,242 | 9,760,402 | |
Shares redeemed | (203,289) | (20,434,250) | (452,143) | (33,100,124) | |
Net decrease | (70,869) | $ (7,085,566) | (35,422) | $ (3,896,570) | |
Class F | |||||
Shares sold | 129,976 | $ 13,102,087 | 142,429 | $ 10,333,138 | |
Reinvestment of distributions | — | — | 37,820 | 2,699,981 | |
Shares redeemed | (54,435) | (5,419,223) | (166,147) | (11,615,182) | |
Net increase | 75,541 | $ 7,682,864 | 14,102 | $ 1,417,937 |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 2,145,425.025 | 31,970.556 | 228,565.735 | 0 |
Proposal 2 | 2,147,046.458 | 29,929.944 | 228,984.913 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 11/12/2002 | 11/12/2002 | 8.72% | 31.37% | 9.75% | 5.23% |
Class F at NAV | 12/17/2007 | 11/12/2002 | 8.62 | 31.11 | 9.51 | 4.99 |
MSCI EAFE Index | — | — | 8.83% | 32.35% | 10.27% | 5.89% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.74% | 0.94% |
Net | 0.48 | 0.68 |
Top 10 Holdings (% of net assets)* | |
Nestle S.A. | 2.1% |
ASML Holding NV | 1.7 |
Roche Holding AG PC | 1.6 |
LVMH Moet Hennessy Louis Vuitton SE | 1.3 |
Novartis AG | 1.2 |
Toyota Motor Corp. | 1.1 |
AstraZeneca PLC | 0.9 |
Unilever PLC | 0.9 |
AIA Group, Ltd. | 0.9 |
SAP SE | 0.9 |
Total | 12.6% |
* | Excludes cash and cash equivalents. |
1 | MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,087.20 | $2.48 ** | 0.48% |
Class F | $1,000.00 | $1,086.20 | $3.52 ** | 0.68% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.41 | $2.41 ** | 0.48% |
Class F | $1,000.00 | $1,021.42 | $3.41 ** | 0.68% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 99.4% |
Security | Shares | Value | |
Australia — 7.0% | |||
Afterpay, Ltd.(1)(2) | 1,693 | $ 150,271 | |
AGL Energy, Ltd. | 5,138 | 31,567 | |
Ampol, Ltd. | 1,867 | 39,516 | |
APA Group(2) | 9,428 | 62,909 | |
Aristocrat Leisure, Ltd. | 4,401 | 142,075 | |
ASX, Ltd.(2) | 1,431 | 83,421 | |
Aurizon Holdings, Ltd. | 13,234 | 36,861 | |
AusNet Services, Ltd. | 15,503 | 20,319 | |
Australia & New Zealand Banking Group, Ltd. | 21,979 | 463,931 | |
BHP Group, Ltd. | 22,789 | 829,071 | |
BlueScope Steel, Ltd. | 3,687 | 60,584 | |
Brambles, Ltd. | 11,380 | 97,663 | |
Cochlear, Ltd.(2) | 497 | 93,768 | |
Coles Group, Ltd. | 10,242 | 131,197 | |
Commonwealth Bank of Australia | 13,823 | 1,035,102 | |
Computershare, Ltd. | 4,516 | 57,237 | |
Crown Resorts, Ltd.(1)(2) | 2,437 | 21,752 | |
CSL, Ltd. | 3,549 | 759,019 | |
Dexus | 9,023 | 71,929 | |
Domino's Pizza Enterprises, Ltd. | 498 | 45,033 | |
Endeavour Group, Ltd.(1) | 9,763 | 46,054 | |
Evolution Mining, Ltd. | 13,620 | 46,018 | |
Fortescue Metals Group, Ltd. | 13,023 | 227,498 | |
Goodman Group | 12,738 | 201,587 | |
GPT Group (The) | 14,328 | 52,414 | |
Insurance Australia Group, Ltd.(2) | 18,559 | 71,758 | |
Lendlease Corp., Ltd.(2) | 5,044 | 43,342 | |
Macquarie Group, Ltd. | 2,720 | 318,679 | |
Magellan Financial Group, Ltd.(2) | 1,187 | 47,940 | |
Medibank Pvt, Ltd. | 21,199 | 50,259 | |
Mirvac Group | 32,152 | 70,103 | |
National Australia Bank, Ltd. | 25,946 | 510,068 | |
Newcrest Mining, Ltd. | 6,199 | 117,557 | |
Northern Star Resources, Ltd. | 9,013 | 66,193 | |
Oil Search, Ltd. | 14,805 | 42,296 | |
Orica, Ltd.(2) | 3,401 | 33,824 | |
Origin Energy, Ltd. | 14,411 | 48,669 | |
Qantas Airways, Ltd.(1) | 7,283 | 25,425 | |
QBE Insurance Group, Ltd. | 11,557 | 93,260 | |
Ramsay Health Care, Ltd.(2) | 1,442 | 68,035 | |
REA Group, Ltd. | 374 | 47,389 | |
Reece, Ltd.(2) | 2,401 | 42,519 | |
Rio Tinto, Ltd. | 2,874 | 272,471 | |
Santos, Ltd. | 15,361 | 81,590 | |
Scentre Group | 42,781 | 87,544 |
Security | Shares | Value | |
Australia (continued) | |||
Seek, Ltd. | 2,474 | $ 61,501 | |
Sonic Healthcare, Ltd. | 3,614 | 104,139 | |
South32, Ltd. | 39,130 | 85,811 | |
Stockland | 19,317 | 67,267 | |
Suncorp Group, Ltd. | 10,030 | 83,502 | |
Sydney Airport(1)(2) | 10,017 | 43,464 | |
Tabcorp Holdings, Ltd. | 15,814 | 61,357 | |
Telstra Corp., Ltd. | 33,270 | 93,834 | |
Transurban Group(2) | 21,018 | 224,159 | |
Treasury Wine Estates, Ltd. | 5,227 | 45,769 | |
Vicinity Centres | 26,887 | 31,000 | |
Washington H. Soul Pattinson & Co., Ltd.(2) | 1,000 | 25,289 | |
Wesfarmers, Ltd. | 8,792 | 389,776 | |
Westpac Banking Corp. | 28,515 | 551,817 | |
WiseTech Global, Ltd. | 995 | 23,777 | |
Woodside Petroleum, Ltd. | 7,630 | 127,052 | |
Woolworths Group, Ltd. | 9,763 | 279,382 | |
$ 9,244,613 | |||
Austria — 0.2% | |||
Erste Group Bank AG | 2,078 | $ 76,390 | |
OMV AG | 1,058 | 60,377 | |
Raiffeisen Bank International AG | 1,194 | 27,102 | |
Verbund AG | 502 | 46,245 | |
Voestalpine AG | 996 | 40,626 | |
$ 250,740 | |||
Belgium — 0.9% | |||
Ageas S.A./NV | 1,428 | $ 79,355 | |
Anheuser-Busch InBev S.A./NV | 5,942 | 428,352 | |
Elia Group S.A./NV(2) | 260 | 27,445 | |
Etablissements Franz Colruyt NV | 493 | 27,583 | |
Groupe Bruxelles Lambert S.A. | 917 | 102,678 | |
KBC Group NV | 1,859 | 141,937 | |
Proximus S.A. | 1,301 | 25,147 | |
Sofina S.A. | 130 | 56,167 | |
Solvay S.A. | 606 | 77,134 | |
UCB S.A. | 1,003 | 105,046 | |
Umicore S.A. | 1,462 | 89,442 | |
$ 1,160,286 | |||
Denmark — 2.6% | |||
Ambu A/S, Class B | 1,373 | $ 52,830 | |
AP Moller - Maersk A/S, Class A | 24 | 66,759 | |
AP Moller - Maersk A/S, Class B | 47 | 135,309 | |
Carlsberg A/S, Class B | 793 | 147,987 | |
Chr. Hansen Holding A/S | 842 | 75,977 |
Security | Shares | Value | |
Denmark (continued) | |||
Coloplast A/S, Class B | 880 | $ 144,481 | |
Danske Bank A/S | 5,328 | 93,831 | |
Demant A/S(1) | 798 | 44,971 | |
DSV Panalpina A/S | 1,634 | 381,438 | |
Genmab A/S(1) | 504 | 206,510 | |
GN Store Nord A/S | 974 | 85,176 | |
Novo Nordisk A/S, Class B | 13,415 | 1,122,951 | |
Novozymes A/S, Class B | 1,592 | 120,116 | |
Orsted A/S(3) | 1,476 | 207,173 | |
Pandora A/S | 798 | 107,661 | |
ROCKWOOL International A/S, Class B | 61 | 29,708 | |
Tryg A/S | 2,723 | 66,884 | |
Vestas Wind Systems A/S | 7,954 | 310,779 | |
$ 3,400,541 | |||
Finland — 1.2% | |||
Elisa Oyj | 1,026 | $ 61,227 | |
Fortum Oyj | 3,297 | 90,953 | |
Kesko Oyj, Class B | 2,174 | 80,278 | |
Kone Oyj, Class B | 2,644 | 215,788 | |
Neste Oyj | 3,281 | 201,263 | |
Nokia Oyj(1) | 43,206 | 231,487 | |
Nordea Bank Abp | 24,852 | 276,750 | |
Orion Oyj, Class B(2) | 819 | 35,212 | |
Sampo Oyj, Class A | 3,912 | 179,892 | |
Stora Enso Oyj, Class R | 4,366 | 79,727 | |
UPM-Kymmene Oyj | 4,106 | 155,444 | |
Wartsila Oyj Abp | 3,830 | 56,903 | |
$ 1,664,924 | |||
France — 10.8% | |||
Accor S.A.(1) | 1,534 | $ 57,377 | |
Aeroports de Paris(1)(2) | 234 | 30,544 | |
Air Liquide S.A. | 3,655 | 640,904 | |
Alstom S.A.(1) | 2,153 | 108,782 | |
Amundi S.A.(3) | 448 | 39,513 | |
ArcelorMittal S.A.(1)(2) | 5,460 | 168,097 | |
Arkema S.A. | 475 | 59,700 | |
Atos SE | 785 | 47,801 | |
AXA S.A. | 14,963 | 379,946 | |
BioMerieux | 321 | 37,297 | |
BNP Paribas S.A. | 8,728 | 547,766 | |
Bollore S.A. | 6,375 | 34,198 | |
Bouygues S.A. | 1,786 | 66,153 | |
Bureau Veritas S.A.(1) | 2,318 | 73,396 | |
Capgemini SE | 1,239 | 238,276 | |
Carrefour S.A. | 4,895 | 96,331 |
Security | Shares | Value | |
France (continued) | |||
Cie de Saint-Gobain(1) | 3,853 | $ 254,282 | |
Cie Generale des Etablissements Michelin SCA | 1,289 | 205,718 | |
CNP Assurances | 1,220 | 20,793 | |
Covivio | 345 | 29,535 | |
Credit Agricole S.A. | 9,189 | 128,826 | |
Danone S.A. | 5,082 | 357,544 | |
Dassault Aviation S.A. | 17 | 20,026 | |
Dassault Systemes SE | 1,013 | 245,851 | |
Edenred | 1,978 | 112,779 | |
Eiffage S.A. | 616 | 62,744 | |
Electricite de France S.A. | 3,598 | 49,171 | |
Engie S.A. | 14,078 | 193,046 | |
EssilorLuxottica S.A. | 2,250 | 415,650 | |
Eurazeo SE | 286 | 24,936 | |
Eurofins Scientific SE(1) | 1,075 | 122,957 | |
Faurecia SE(1) | 714 | 35,100 | |
Gecina S.A. | 366 | 56,075 | |
Getlink SE | 3,525 | 55,051 | |
Hermes International | 244 | 356,072 | |
Iliad S.A. | 130 | 19,047 | |
Ipsen S.A. | 305 | 31,737 | |
Kering S.A. | 590 | 516,968 | |
Klepierre S.A. | 1,482 | 38,182 | |
La Francaise des Jeux SAEM(3) | 723 | 42,525 | |
Legrand S.A. | 2,068 | 219,173 | |
L'Oreal S.A. | 1,964 | 877,110 | |
LVMH Moet Hennessy Louis Vuitton SE | 2,171 | 1,707,832 | |
Natixis S.A.(1) | 7,719 | 36,671 | |
Orange S.A. | 15,668 | 178,816 | |
Orpea S.A.(1) | 435 | 55,381 | |
Pernod-Ricard S.A. | 1,643 | 365,177 | |
Publicis Groupe S.A. | 1,677 | 107,320 | |
Remy Cointreau S.A.(2) | 149 | 30,772 | |
Renault S.A.(1) | 1,531 | 62,063 | |
Safran S.A. | 2,662 | 369,440 | |
Sanofi | 8,849 | 929,699 | |
Sartorius Stedim Biotech | 208 | 98,444 | |
Schneider Electric SE | 4,179 | 658,797 | |
SCOR SE(1) | 1,124 | 35,783 | |
SEB S.A. | 192 | 34,733 | |
Societe Generale S.A. | 6,476 | 191,569 | |
Sodexo S.A.(1) | 722 | 67,478 | |
Suez S.A. | 2,884 | 68,614 | |
Teleperformance | 446 | 181,116 | |
Thales S.A. | 840 | 85,829 | |
TotalEnergies SE | 19,511 | 883,883 | |
Ubisoft Entertainment S.A.(1) | 727 | 50,794 |
Security | Shares | Value | |
France (continued) | |||
Unibail-Rodamco-Westfield (1) | 1,030 | $ 89,297 | |
Valeo S.A. | 1,737 | 52,394 | |
Veolia Environnement S.A. | 4,354 | 131,625 | |
Vinci S.A. | 4,142 | 442,771 | |
Vivendi SE | 5,507 | 185,030 | |
Wendel SE | 198 | 26,645 | |
Worldline S.A.(1)(3) | 1,671 | 156,580 | |
$ 14,401,532 | |||
Germany — 9.3% | |||
adidas AG | 1,475 | $ 550,407 | |
Allianz SE | 3,234 | 807,067 | |
Aroundtown S.A. | 8,106 | 63,245 | |
BASF SE | 7,119 | 561,972 | |
Bayer AG | 7,736 | 470,312 | |
Bayerische Motoren Werke AG | 2,554 | 270,764 | |
Bayerische Motoren Werke AG, PFC Shares | 409 | 36,793 | |
Bechtle AG | 220 | 40,889 | |
Beiersdorf AG | 754 | 91,012 | |
Brenntag SE | 1,248 | 116,154 | |
Carl Zeiss Meditec AG | 333 | 64,371 | |
Commerzbank AG(1) | 8,316 | 59,058 | |
Continental AG(1) | 892 | 131,232 | |
Covestro AG(3) | 1,407 | 90,974 | |
Daimler AG | 6,697 | 598,434 | |
Delivery Hero SE(1)(3) | 1,234 | 163,044 | |
Deutsche Bank AG(1) | 16,163 | 210,728 | |
Deutsche Boerse AG | 1,467 | 256,059 | |
Deutsche Lufthansa AG(1) | 2,376 | 26,720 | |
Deutsche Post AG | 7,797 | 531,012 | |
Deutsche Telekom AG | 26,054 | 551,042 | |
Deutsche Wohnen SE | 2,593 | 158,661 | |
E.ON SE | 17,390 | 201,197 | |
Evonik Industries AG | 1,690 | 56,739 | |
Fresenius Medical Care AG & Co. KGaA | 1,614 | 134,117 | |
Fresenius SE & Co. KGaA | 3,202 | 167,112 | |
Fuchs Petrolub SE, PFC Shares | 612 | 29,783 | |
GEA Group AG | 1,175 | 47,611 | |
Hannover Rueck SE | 489 | 81,862 | |
HeidelbergCement AG | 1,195 | 102,599 | |
HelloFresh SE(1) | 1,318 | 128,122 | |
Henkel AG & Co. KGaA | 829 | 76,342 | |
Henkel AG & Co. KGaA, PFC Shares | 1,353 | 142,896 | |
Infineon Technologies AG | 10,098 | 406,174 | |
KION Group AG | 600 | 64,056 | |
Knorr-Bremse AG | 597 | 68,689 | |
Lanxess AG | 652 | 44,746 |
Security | Shares | Value | |
Germany (continued) | |||
LEG Immobilien SE | 523 | $ 75,289 | |
Merck KGaA | 995 | 190,917 | |
MTU Aero Engines AG | 398 | 98,682 | |
Muenchener Rueckversicherungs-Gesellschaft AG | 1,083 | 296,808 | |
Nemetschek SE | 486 | 37,202 | |
Porsche Automobil Holding SE, PFC Shares | 1,133 | 121,628 | |
Puma SE | 797 | 95,123 | |
Rational AG | 41 | 37,145 | |
RWE AG | 4,927 | 178,639 | |
SAP SE | 8,177 | 1,148,539 | |
Sartorius AG, PFC Shares | 203 | 105,663 | |
Scout24 AG(3) | 615 | 51,890 | |
Siemens AG | 5,974 | 948,544 | |
Siemens Energy AG(1) | 3,088 | 93,020 | |
Siemens Healthineers AG(3) | 2,024 | 124,098 | |
Symrise AG | 968 | 134,897 | |
TeamViewer AG(1)(3) | 1,345 | 50,514 | |
Telefonica Deutschland Holding AG(3) | 7,582 | 20,014 | |
Uniper SE | 708 | 26,085 | |
United Internet AG | 763 | 31,204 | |
Volkswagen AG | 232 | 76,250 | |
Volkswagen AG, PFC Shares | 1,446 | 362,558 | |
Vonovia SE | 4,262 | 275,434 | |
Zalando SE(1)(3) | 1,307 | 158,068 | |
$ 12,340,206 | |||
Hong Kong — 3.2% | |||
AIA Group, Ltd. | 94,366 | $ 1,170,664 | |
Bank of East Asia, Ltd. (The) | 11,110 | 20,632 | |
BOC Hong Kong Holdings, Ltd. | 29,956 | 101,530 | |
Budweiser Brewing Co. APAC, Ltd.(3) | 12,300 | 38,730 | |
Chow Tai Fook Jewellery Group, Ltd. | 16,800 | 38,385 | |
CK Asset Holdings, Ltd. | 18,709 | 128,774 | |
CK Hutchison Holdings, Ltd. | 21,347 | 166,182 | |
CK Infrastructure Holdings, Ltd. | 4,104 | 24,447 | |
CLP Holdings, Ltd. | 13,122 | 129,683 | |
ESR Cayman, Ltd.(1)(3) | 13,600 | 45,856 | |
Futu Holdings, Ltd.(1) | 406 | 72,711 | |
Galaxy Entertainment Group, Ltd.(1) | 16,913 | 135,238 | |
Hang Lung Properties, Ltd. | 14,000 | 33,954 | |
Hang Seng Bank, Ltd. | 6,140 | 122,479 | |
Henderson Land Development Co., Ltd. | 11,806 | 55,869 | |
HK Electric Investments & HK Electric Investments, Ltd. | 20,027 | 20,294 | |
HKT Trust & HKT, Ltd. | 33,020 | 44,976 | |
Hong Kong & China Gas Co., Ltd. | 83,675 | 129,924 | |
Hong Kong Exchanges & Clearing, Ltd. | 9,406 | 559,937 | |
Hongkong Land Holdings, Ltd. | 9,294 | 44,262 |
Security | Shares | Value | |
Hong Kong (continued) | |||
Jardine Matheson Holdings, Ltd. | 1,619 | $ 103,486 | |
Link REIT | 15,789 | 152,764 | |
Melco Resorts & Entertainment Ltd. ADR(1) | 1,471 | 24,374 | |
MTR Corp., Ltd. | 12,481 | 69,494 | |
New World Development Co., Ltd. | 12,107 | 62,786 | |
Power Assets Holdings, Ltd. | 11,042 | 67,754 | |
Sands China, Ltd.(1) | 19,483 | 82,007 | |
Sino Land Co., Ltd. | 23,433 | 36,941 | |
SJM Holdings, Ltd.(1) | 15,000 | 16,374 | |
Sun Hung Kai Properties, Ltd. | 10,152 | 150,878 | |
Swire Pacific, Ltd., Class A | 4,537 | 30,741 | |
Swire Properties, Ltd. | 8,529 | 25,405 | |
Techtronic Industries Co., Ltd. | 10,525 | 183,419 | |
WH Group, Ltd.(2)(3) | 70,549 | 63,325 | |
Wharf Real Estate Investment Co., Ltd. | 13,118 | 76,255 | |
Wynn Macau, Ltd.(1) | 13,891 | 21,849 | |
Xinyi Glass Holdings, Ltd. | 14,000 | 57,042 | |
$ 4,309,421 | |||
Ireland — 1.0% | |||
CRH PLC | 6,047 | $ 305,805 | |
DCC PLC | 788 | 64,549 | |
Experian PLC | 7,036 | 271,654 | |
Flutter Entertainment PLC(1) | 1,260 | 228,471 | |
James Hardie Industries PLC CDI | 3,369 | 114,317 | |
Kerry Group PLC, Class A | 1,223 | 170,988 | |
Kingspan Group PLC | 1,176 | 111,147 | |
Smurfit Kappa Group PLC | 1,810 | 98,434 | |
$ 1,365,365 | |||
Israel — 0.6% | |||
Azrieli Group, Ltd. | 315 | $ 22,195 | |
Bank Hapoalim B.M.(1) | 9,053 | 72,683 | |
Bank Leumi Le-Israel B.M.(1) | 11,623 | 88,320 | |
Check Point Software Technologies, Ltd.(1) | 841 | 97,665 | |
CyberArk Software, Ltd.(1) | 327 | 42,598 | |
Elbit Systems, Ltd. | 215 | 27,853 | |
ICL Group, Ltd. | 5,940 | 40,306 | |
Israel Discount Bank, Ltd., Class A(1) | 9,880 | 47,067 | |
Mizrahi Tefahot Bank, Ltd.(1) | 995 | 30,651 | |
Nice, Ltd.(1) | 498 | 122,923 | |
Teva Pharmaceutical Industries, Ltd. ADR(1) | 8,820 | 87,318 | |
Wix.com, Ltd.(1) | 433 | 125,691 | |
$ 805,270 | |||
Italy — 2.1% | |||
Amplifon SpA | 989 | $ 48,900 |
Security | Shares | Value | |
Italy (continued) | |||
Assicurazioni Generali SpA | 8,378 | $ 168,203 | |
Atlantia SpA(1) | 3,751 | 68,111 | |
Davide Campari-Milano NV | 4,524 | 60,640 | |
DiaSorin SpA | 212 | 40,114 | |
Enel SpA | 63,649 | 591,482 | |
Eni SpA | 19,584 | 238,759 | |
Ferrari NV | 971 | 200,459 | |
FinecoBank Banca Fineco SpA(1) | 4,632 | 80,834 | |
Infrastrutture Wireless Italiane SpA(2)(3) | 2,913 | 32,895 | |
Intesa Sanpaolo SpA | 129,469 | 358,155 | |
Mediobanca Banca di Credito Finanziario SpA(1) | 4,446 | 52,019 | |
Moncler SpA | 1,437 | 97,411 | |
Nexi SpA(1)(3) | 3,168 | 69,618 | |
Poste Italiane SpA(3) | 4,086 | 54,080 | |
Prysmian SpA | 1,988 | 71,341 | |
Recordati Industria Chimica e Farmaceutica SpA(2) | 757 | 43,302 | |
Snam SpA | 16,457 | 95,200 | |
Telecom Italia SpA(2) | 65,121 | 32,402 | |
Telecom Italia SpA, PFC Shares | 46,896 | 24,876 | |
Tenaris S.A. | 3,576 | 39,122 | |
Terna SpA | 11,610 | 86,584 | |
UniCredit SpA | 16,782 | 198,408 | |
$ 2,752,915 | |||
Japan — 23.2% | |||
ABC-Mart, Inc. | 336 | $ 19,325 | |
Acom Co., Ltd. | 4,068 | 17,750 | |
Advantest Corp. | 1,600 | 143,659 | |
AEON Co., Ltd. | 5,248 | 140,881 | |
AGC, Inc.(2) | 1,556 | 65,182 | |
Aisin Corp. | 1,252 | 53,683 | |
Ajinomoto Co., Inc. | 3,399 | 88,305 | |
ANA Holdings, Inc.(1) | 1,383 | 32,503 | |
Asahi Group Holdings, Ltd.(2) | 3,515 | 164,287 | |
Asahi Intecc Co., Ltd.(2) | 1,600 | 38,254 | |
Asahi Kasei Corp. | 10,170 | 111,780 | |
Astellas Pharma, Inc. | 14,301 | 249,219 | |
Azbil Corp. | 1,000 | 41,437 | |
Bandai Namco Holdings, Inc. | 1,537 | 106,375 | |
Bridgestone Corp.(2) | 4,484 | 203,808 | |
Brother Industries, Ltd. | 1,905 | 38,049 | |
Canon, Inc.(2) | 7,600 | 171,775 | |
Capcom Co., Ltd. | 1,400 | 40,920 | |
Casio Computer Co., Ltd. | 1,531 | 25,690 | |
Central Japan Railway Co. | 1,159 | 176,111 | |
Chiba Bank, Ltd. (The) | 4,141 | 25,028 | |
Chubu Electric Power Co., Inc. | 5,369 | 65,688 |
Security | Shares | Value | |
Japan (continued) | |||
Chugai Pharmaceutical Co., Ltd.(2) | 5,246 | $ 207,934 | |
Concordia Financial Group, Ltd. | 8,031 | 29,512 | |
Cosmos Pharmaceutical Corp. | 200 | 29,386 | |
CyberAgent, Inc. | 3,200 | 68,535 | |
Dai Nippon Printing Co., Ltd. | 2,105 | 44,545 | |
Daifuku Co., Ltd. | 800 | 72,582 | |
Dai-ichi Life Holdings, Inc. | 8,013 | 147,433 | |
Daiichi Sankyo Co., Ltd. | 13,300 | 286,922 | |
Daikin Industries, Ltd. | 1,958 | 364,873 | |
Daito Trust Construction Co., Ltd. | 516 | 56,297 | |
Daiwa House Industry Co., Ltd. | 4,332 | 130,257 | |
Daiwa House REIT Investment Corp. | 16 | 47,083 | |
Daiwa Securities Group, Inc. | 12,125 | 66,610 | |
Denso Corp. | 3,334 | 227,350 | |
Dentsu Group, Inc.(2) | 1,805 | 64,759 | |
Disco Corp. | 200 | 60,810 | |
East Japan Railway Co. | 2,350 | 167,588 | |
Eisai Co., Ltd. | 1,951 | 191,739 | |
ENEOS Holdings, Inc. | 24,938 | 104,510 | |
FANUC Corp. | 1,562 | 374,564 | |
Fast Retailing Co., Ltd. | 500 | 375,844 | |
Fuji Electric Co., Ltd. | 1,041 | 48,591 | |
FUJIFILM Holdings Corp. | 2,727 | 201,712 | |
Fujitsu, Ltd. | 1,552 | 290,378 | |
GLP J-REIT | 31 | 53,411 | |
GMO Payment Gateway, Inc. | 300 | 38,962 | |
Hakuhodo DY Holdings, Inc. | 1,578 | 24,577 | |
Hamamatsu Photonics K.K. | 1,151 | 69,335 | |
Hankyu Hanshin Holdings, Inc. | 1,862 | 57,476 | |
Harmonic Drive Systems, Inc.(2) | 300 | 16,488 | |
Hikari Tsushin, Inc.(2) | 219 | 38,488 | |
Hino Motors, Ltd. | 2,636 | 23,316 | |
Hirose Electric Co., Ltd. | 242 | 35,403 | |
Hisamitsu Pharmaceutical Co., Inc. | 330 | 16,294 | |
Hitachi Construction Machinery Co., Ltd. | 796 | 24,378 | |
Hitachi Metals, Ltd.(1) | 1,286 | 24,575 | |
Hitachi, Ltd. | 7,484 | 428,887 | |
Honda Motor Co., Ltd. | 12,601 | 405,289 | |
Hoshizaki Corp. | 416 | 35,340 | |
HOYA Corp. | 2,923 | 386,626 | |
Hulic Co., Ltd.(2) | 2,340 | 26,287 | |
Ibiden Co., Ltd. | 900 | 48,441 | |
Idemitsu Kosan Co., Ltd. | 1,684 | 40,687 | |
Iida Group Holdings Co., Ltd. | 1,100 | 28,294 | |
INPEX Corp.(2) | 8,491 | 63,550 | |
Isuzu Motors, Ltd. | 4,355 | 57,789 | |
Ito En, Ltd.(2) | 400 | 23,740 |
Security | Shares | Value | |
Japan (continued) | |||
ITOCHU Corp. | 9,248 | $ 266,848 | |
Itochu Techno-Solutions Corp. | 700 | 21,655 | |
Japan Airlines Co., Ltd.(1) | 1,320 | 28,582 | |
Japan Exchange Group, Inc. | 4,118 | 91,732 | |
Japan Metropolitan Fund Investment Corp. | 60 | 65,038 | |
Japan Post Bank Co., Ltd. | 3,400 | 28,595 | |
Japan Post Holdings Co., Ltd. | 12,500 | 102,672 | |
Japan Post Insurance Co., Ltd. | 2,000 | 37,006 | |
Japan Real Estate Investment Corp. | 10 | 61,415 | |
Japan Tobacco, Inc.(2) | 9,134 | 172,617 | |
JFE Holdings, Inc. | 4,025 | 47,221 | |
JSR Corp. | 1,459 | 44,320 | |
Kajima Corp. | 3,581 | 45,442 | |
Kakaku.com, Inc. | 955 | 28,730 | |
Kansai Electric Power Co., Inc. (The) | 5,178 | 49,407 | |
Kansai Paint Co., Ltd. | 1,523 | 38,876 | |
Kao Corp.(2) | 3,801 | 234,370 | |
KDDI Corp. | 12,367 | 385,302 | |
Keio Corp. | 779 | 45,856 | |
Keisei Electric Railway Co., Ltd. | 1,005 | 32,128 | |
Keyence Corp. | 1,560 | 785,652 | |
Kikkoman Corp.(2) | 1,201 | 79,204 | |
Kintetsu Group Holdings Co., Ltd.(1) | 1,346 | 47,311 | |
Kirin Holdings Co., Ltd.(2) | 6,326 | 123,457 | |
Kobayashi Pharmaceutical Co., Ltd.(2) | 400 | 34,202 | |
Kobe Bussan Co., Ltd.(2) | 1,000 | 31,506 | |
Koei Tecmo Holdings Co., Ltd. | 520 | 25,281 | |
Koito Manufacturing Co., Ltd. | 747 | 46,480 | |
Komatsu, Ltd. | 6,946 | 172,077 | |
Konami Holdings Corp. | 751 | 44,977 | |
Kose Corp. | 308 | 48,386 | |
Kubota Corp.(2) | 8,011 | 162,060 | |
Kurita Water Industries, Ltd. | 732 | 35,186 | |
Kyocera Corp. | 2,548 | 157,416 | |
Kyowa Kirin Co., Ltd.(2) | 1,944 | 69,139 | |
Lasertec Corp. | 600 | 116,055 | |
Lawson, Inc. | 500 | 23,158 | |
Lion Corp.(2) | 1,722 | 29,189 | |
Lixil Corp. | 2,113 | 54,679 | |
M3, Inc. | 3,458 | 251,944 | |
Makita Corp. | 1,748 | 82,308 | |
Marubeni Corp. | 12,333 | 107,401 | |
Mazda Motor Corp.(1) | 4,510 | 42,550 | |
McDonald's Holdings Co. (Japan), Ltd.(2) | 577 | 25,426 | |
Medipal Holdings Corp. | 1,645 | 31,450 | |
MEIJI Holdings Co., Ltd. | 867 | 51,955 | |
Mercari, Inc.(1)(2) | 900 | 47,577 |
Security | Shares | Value | |
Japan (continued) | |||
MINEBEA MITSUMI, Inc. | 2,859 | $ 75,539 | |
MISUMI Group, Inc. | 2,280 | 77,159 | |
Mitsubishi Chemical Holdings Corp. | 10,522 | 88,532 | |
Mitsubishi Corp. | 9,790 | 267,426 | |
Mitsubishi Electric Corp. | 14,060 | 204,112 | |
Mitsubishi Estate Co., Ltd. | 9,168 | 148,188 | |
Mitsubishi Gas Chemical Co., Inc. | 1,148 | 24,326 | |
Mitsubishi HC Capital, Inc. | 5,566 | 29,848 | |
Mitsubishi Heavy Industries, Ltd. | 2,544 | 75,104 | |
Mitsubishi UFJ Financial Group, Inc.(4) | 95,076 | 512,104 | |
Mitsui & Co., Ltd. | 12,375 | 278,756 | |
Mitsui Chemicals, Inc. | 1,475 | 50,987 | |
Mitsui Fudosan Co., Ltd. | 7,031 | 162,583 | |
Miura Co., Ltd. | 700 | 30,396 | |
Mizuho Financial Group, Inc. | 18,700 | 268,018 | |
MonotaRO Co., Ltd. | 1,800 | 42,416 | |
MS&AD Insurance Group Holdings, Inc. | 3,328 | 96,220 | |
Murata Manufacturing Co., Ltd. | 4,514 | 343,853 | |
Nabtesco Corp.(2) | 948 | 35,765 | |
NEC Corp. | 2,055 | 105,739 | |
Nexon Co., Ltd. | 3,850 | 85,680 | |
NGK Insulators, Ltd. | 1,971 | 33,172 | |
NH Foods, Ltd. | 583 | 22,663 | |
Nidec Corp. | 3,428 | 394,186 | |
Nihon M&A Center, Inc. | 2,400 | 62,161 | |
Nintendo Co., Ltd. | 921 | 532,958 | |
Nippon Building Fund, Inc.(2) | 12 | 74,767 | |
Nippon Express Co., Ltd. | 576 | 43,923 | |
Nippon Paint Holdings Co., Ltd.(2) | 5,790 | 78,328 | |
Nippon Prologis REIT, Inc. | 16 | 50,882 | |
Nippon Sanso Holdings Corp.(2) | 1,324 | 27,179 | |
Nippon Shinyaku Co., Ltd. | 400 | 31,823 | |
Nippon Steel Corp. | 6,475 | 109,480 | |
Nippon Telegraph & Telephone Corp. | 9,904 | 258,942 | |
Nippon Yusen KK | 1,300 | 65,973 | |
Nissan Chemical Corp. | 1,047 | 51,177 | |
Nissan Motor Co., Ltd.(1) | 17,743 | 88,390 | |
Nisshin Seifun Group, Inc. | 1,417 | 20,774 | |
Nissin Foods Holdings Co., Ltd. | 498 | 35,859 | |
Nitori Holdings Co., Ltd. | 616 | 108,784 | |
Nitto Denko Corp. | 1,270 | 94,577 | |
Nomura Holdings, Inc. | 24,357 | 123,965 | |
Nomura Real Estate Holdings, Inc. | 870 | 22,036 | |
Nomura Real Estate Master Fund, Inc. | 30 | 48,013 | |
Nomura Research Institute, Ltd. | 2,900 | 95,777 | |
NSK, Ltd. | 2,296 | 19,421 | |
NTT Data Corp. | 5,030 | 78,522 |
Security | Shares | Value | |
Japan (continued) | |||
Obayashi Corp. | 5,320 | $ 42,415 | |
Obic Co., Ltd. | 560 | 104,148 | |
Odakyu Electric Railway Co., Ltd.(2) | 2,305 | 58,302 | |
Oji Holdings Corp. | 6,573 | 37,773 | |
Olympus Corp. | 9,076 | 180,530 | |
Omron Corp. | 1,463 | 115,836 | |
Ono Pharmaceutical Co., Ltd. | 3,005 | 67,012 | |
Oracle Corp. Japan | 289 | 22,082 | |
Oriental Land Co., Ltd. | 1,524 | 217,118 | |
ORIX Corp. | 9,502 | 160,599 | |
Orix JREIT, Inc. | 18 | 34,555 | |
Osaka Gas Co., Ltd. | 3,123 | 58,272 | |
Otsuka Corp. | 864 | 45,291 | |
Otsuka Holdings Co., Ltd.(2) | 3,152 | 130,877 | |
Pan Pacific International Holdings Corp.(2) | 3,336 | 69,372 | |
Panasonic Corp. | 16,847 | 193,985 | |
PeptiDream, Inc.(1) | 700 | 34,210 | |
Persol Holdings Co., Ltd. | 1,200 | 23,696 | |
Pigeon Corp.(2) | 900 | 25,384 | |
Pola Orbis Holdings, Inc.(2) | 932 | 24,575 | |
Rakuten Group, Inc. | 6,900 | 77,909 | |
Recruit Holdings Co., Ltd. | 10,557 | 517,702 | |
Renesas Electronics Corp.(1) | 10,100 | 109,003 | |
Resona Holdings, Inc. | 16,411 | 63,275 | |
Ricoh Co., Ltd. | 4,735 | 53,297 | |
Rinnai Corp. | 246 | 23,415 | |
Rohm Co., Ltd. | 707 | 65,064 | |
Ryohin Keikaku Co., Ltd. | 1,730 | 36,292 | |
Santen Pharmaceutical Co., Ltd. | 2,900 | 40,025 | |
SBI Holdings, Inc. | 1,875 | 44,289 | |
SCSK Corp. | 400 | 23,833 | |
Secom Co., Ltd. | 1,648 | 125,611 | |
Seiko Epson Corp. | 2,252 | 39,586 | |
Sekisui Chemical Co., Ltd. | 2,964 | 50,750 | |
Sekisui House, Ltd. | 4,950 | 101,647 | |
Seven & i Holdings Co., Ltd. | 5,826 | 279,070 | |
SG Holdings Co., Ltd. | 2,600 | 68,274 | |
Sharp Corp.(2) | 1,524 | 25,143 | |
Shimadzu Corp. | 1,814 | 70,094 | |
Shimano, Inc.(2) | 550 | 130,858 | |
Shimizu Corp. | 4,127 | 31,716 | |
Shin-Etsu Chemical Co., Ltd. | 2,785 | 465,821 | |
Shionogi & Co., Ltd.(2) | 2,021 | 105,326 | |
Shiseido Co., Ltd.(2) | 3,174 | 234,110 | |
Shizuoka Bank, Ltd. (The)(2) | 3,925 | 30,459 | |
SMC Corp. | 479 | 283,374 | |
SoftBank Corp. | 22,200 | 290,265 |
Security | Shares | Value | |
Japan (continued) | |||
SoftBank Group Corp. | 9,684 | $ 675,380 | |
Sohgo Security Services Co., Ltd. | 528 | 24,056 | |
Sompo Holdings, Inc. | 2,699 | 99,966 | |
Sony Group Corp. | 9,780 | 948,339 | |
Square Enix Holdings Co., Ltd. | 700 | 34,569 | |
Stanley Electric Co., Ltd. | 1,134 | 32,763 | |
Subaru Corp. | 4,728 | 93,707 | |
Sumco Corp.(2) | 1,900 | 46,543 | |
Sumitomo Chemical Co., Ltd. | 10,634 | 56,518 | |
Sumitomo Corp. | 9,025 | 121,011 | |
Sumitomo Dainippon Pharma Co., Ltd. | 1,622 | 34,020 | |
Sumitomo Electric Industries, Ltd. | 5,990 | 88,472 | |
Sumitomo Metal Mining Co., Ltd. | 2,020 | 78,559 | |
Sumitomo Mitsui Financial Group, Inc. | 10,097 | 348,063 | |
Sumitomo Mitsui Trust Holdings, Inc. | 2,482 | 79,176 | |
Sumitomo Realty & Development Co., Ltd. | 2,268 | 81,115 | |
Suntory Beverage & Food, Ltd.(2) | 1,117 | 42,102 | |
Suzuki Motor Corp. | 2,778 | 117,730 | |
Sysmex Corp. | 1,293 | 153,395 | |
T&D Holdings, Inc. | 4,306 | 55,878 | |
Taisei Corp. | 1,549 | 50,839 | |
Taisho Pharmaceutical Holdings Co., Ltd. | 267 | 14,293 | |
Takeda Pharmaceutical Co., Ltd. | 12,224 | 410,244 | |
TDK Corp. | 955 | 115,607 | |
Terumo Corp. | 5,118 | 207,292 | |
THK Co., Ltd.(2) | 828 | 24,710 | |
TIS, Inc. | 1,900 | 48,490 | |
Tobu Railway Co., Ltd.(2) | 1,573 | 40,716 | |
Toho Co., Ltd. | 856 | 35,295 | |
Toho Gas Co., Ltd. | 572 | 28,082 | |
Tohoku Electric Power Co., Inc. | 3,514 | 27,551 | |
Tokio Marine Holdings, Inc. | 4,900 | 225,695 | |
Tokyo Century Corp. | 300 | 16,129 | |
Tokyo Electric Power Co. Holdings, Inc.(1) | 11,600 | 34,542 | |
Tokyo Electron, Ltd. | 1,179 | 509,781 | |
Tokyo Gas Co., Ltd. | 2,962 | 55,868 | |
Tokyu Corp. | 3,584 | 48,778 | |
TOPPAN, Inc. | 2,074 | 33,354 | |
Toray Industries, Inc. | 10,262 | 68,406 | |
Toshiba Corp.(2) | 3,274 | 141,440 | |
Tosoh Corp. | 2,300 | 39,658 | |
TOTO, Ltd. | 1,143 | 59,223 | |
Toyo Suisan Kaisha, Ltd. | 704 | 27,134 | |
Toyota Industries Corp. | 1,161 | 100,398 | |
Toyota Motor Corp. | 16,530 | 1,444,954 | |
Toyota Tsusho Corp. | 1,765 | 83,774 | |
Trend Micro, Inc. | 1,144 | 59,904 |
Security | Shares | Value | |
Japan (continued) | |||
Tsuruha Holdings, Inc. | 272 | $ 31,657 | |
Unicharm Corp.(2) | 3,214 | 129,461 | |
United Urban Investment Corp. | 22 | 31,774 | |
USS Co., Ltd. | 1,635 | 28,580 | |
Welcia Holdings Co., Ltd. | 800 | 26,159 | |
West Japan Railway Co. | 1,278 | 73,031 | |
Yakult Honsha Co., Ltd. | 996 | 56,396 | |
Yamada Holdings Co., Ltd. | 6,405 | 29,617 | |
Yamaha Corp. | 1,109 | 60,205 | |
Yamaha Motor Co., Ltd.(2) | 2,354 | 63,940 | |
Yamato Holdings Co., Ltd. | 2,464 | 70,012 | |
Yaskawa Electric Corp. | 1,883 | 91,957 | |
Yokogawa Electric Corp. | 1,628 | 24,347 | |
Z Holdings Corp. | 20,817 | 104,178 | |
ZOZO, Inc. | 1,007 | 34,143 | |
$ 30,828,693 | |||
Netherlands — 6.3% | |||
ABN AMRO Group NV(1)(3) | 3,112 | $ 37,709 | |
Adyen NV(1)(2)(3) | 154 | 377,659 | |
Aegon NV(2) | 12,975 | 53,964 | |
Airbus SE(1) | 4,566 | 588,342 | |
Akzo Nobel NV | 1,505 | 186,350 | |
Argenx SE(1) | 363 | 109,523 | |
ASM International NV | 368 | 121,376 | |
ASML Holding NV | 3,269 | 2,256,654 | |
CNH Industrial NV | 7,554 | 125,303 | |
EXOR NV | 898 | 72,068 | |
Heineken Holding NV(2) | 927 | 93,542 | |
Heineken NV(2) | 1,986 | 241,099 | |
ING Groep NV | 29,919 | 397,155 | |
JDE Peet's NV(1)(2) | 587 | 21,306 | |
Just Eat Takeaway.com NV(1)(3) | 1,437 | 132,899 | |
Koninklijke Ahold Delhaize NV | 8,492 | 252,888 | |
Koninklijke DSM NV | 1,327 | 248,060 | |
Koninklijke KPN NV | 28,789 | 90,042 | |
Koninklijke Philips NV | 7,038 | 349,325 | |
Koninklijke Vopak NV | 531 | 24,138 | |
NN Group NV | 2,369 | 111,910 | |
Prosus NV | 3,745 | 366,889 | |
QIAGEN NV(1) | 1,873 | 90,538 | |
Randstad NV | 975 | 74,744 | |
Royal Dutch Shell PLC, Class A | 32,032 | 642,173 | |
Royal Dutch Shell PLC, Class B | 28,973 | 562,447 | |
Stellantis NV | 15,632 | 307,534 | |
STMicroelectronics NV | 5,354 | 194,707 |
Security | Shares | Value | |
Netherlands (continued) | |||
Wolters Kluwer NV | 2,106 | $ 211,682 | |
$ 8,342,026 | |||
New Zealand — 0.3% | |||
a2 Milk Co., Ltd. (The)(1)(2) | 6,163 | $ 27,731 | |
Auckland International Airport, Ltd.(1) | 10,551 | 53,603 | |
Fisher & Paykel Healthcare Corp., Ltd. | 4,305 | 93,653 | |
Mercury NZ, Ltd. | 4,384 | 20,431 | |
Meridian Energy, Ltd. | 9,757 | 36,379 | |
Ryman Healthcare, Ltd. | 2,935 | 26,933 | |
Spark New Zealand, Ltd. | 13,480 | 45,248 | |
Xero, Ltd.(1) | 981 | 100,905 | |
$ 404,883 | |||
Norway — 0.6% | |||
Adevinta ASA(1) | 1,949 | $ 37,388 | |
DNB ASA | 7,454 | 162,454 | |
Equinor ASA | 7,555 | 159,928 | |
Gjensidige Forsikring ASA | 1,602 | 35,322 | |
Mowi ASA | 3,437 | 87,504 | |
Norsk Hydro ASA | 9,871 | 63,020 | |
Orkla ASA | 6,067 | 61,830 | |
Schibsted ASA, Class A | 610 | 29,427 | |
Schibsted ASA, Class B | 630 | 26,188 | |
Telenor ASA | 5,236 | 88,305 | |
Yara International ASA | 1,431 | 75,406 | |
$ 826,772 | |||
Poland — 0.0%(5) | |||
InPost S.A.(1) | 1,684 | $ 33,887 | |
$ 33,887 | |||
Portugal — 0.1% | |||
EDP - Energias de Portugal S.A. | 21,198 | $ 112,486 | |
Galp Energia SGPS S.A. | 3,597 | 39,109 | |
Jeronimo Martins SGPS S.A. | 1,795 | 32,754 | |
$ 184,349 | |||
Singapore — 1.1% | |||
Ascendas Real Estate Investment Trust | 23,731 | $ 52,149 | |
CapitaLand Integrated Commercial Trust | 34,972 | 54,449 | |
CapitaLand, Ltd. | 21,948 | 60,625 | |
City Developments, Ltd. | 4,171 | 22,651 | |
DBS Group Holdings, Ltd. | 13,948 | 310,305 | |
Genting Singapore, Ltd. | 48,954 | 30,492 | |
Keppel Corp., Ltd. | 12,128 | 49,456 | |
Mapletree Commercial Trust | 19,300 | 31,045 | |
Mapletree Logistics Trust | 22,400 | 34,243 |
Security | Shares | Value | |
Singapore (continued) | |||
Oversea-Chinese Banking Corp., Ltd. | 26,736 | $ 238,264 | |
Sea, Ltd.(1) | 117 | 32,128 | |
Singapore Airlines, Ltd.(1)(2) | 9,600 | 34,619 | |
Singapore Exchange, Ltd. | 6,600 | 54,971 | |
Singapore Technologies Engineering, Ltd. | 13,918 | 40,159 | |
Singapore Telecommunications, Ltd. | 61,191 | 104,399 | |
United Overseas Bank, Ltd. | 8,814 | 169,735 | |
UOL Group, Ltd. | 3,470 | 18,871 | |
Venture Corp., Ltd. | 2,000 | 28,612 | |
Wilmar International, Ltd. | 15,000 | 50,291 | |
$ 1,417,464 | |||
Spain — 2.5% | |||
ACS Actividades de Construccion y Servicios S.A. | 1,744 | $ 46,754 | |
Aena SME S.A.(1)(3) | 543 | 89,096 | |
Amadeus IT Group S.A.(1) | 3,541 | 249,629 | |
Banco Bilbao Vizcaya Argentaria S.A. | 51,258 | 317,952 | |
Banco Santander S.A.(1) | 134,167 | 513,196 | |
CaixaBank S.A. | 35,134 | 108,167 | |
Cellnex Telecom S.A.(3) | 3,985 | 254,168 | |
EDP Renovaveis S.A. | 2,336 | 54,199 | |
Enagas S.A.(2) | 1,961 | 45,325 | |
Endesa S.A. | 2,524 | 61,272 | |
Ferrovial S.A. | 3,950 | 116,084 | |
Grifols S.A.(2) | 2,499 | 67,765 | |
Iberdrola S.A. | 44,701 | 545,113 | |
Industria de Diseno Textil S.A. | 8,586 | 303,144 | |
Naturgy Energy Group S.A. | 2,455 | 63,183 | |
Red Electrica Corp. S.A. | 3,451 | 64,072 | |
Repsol S.A. | 11,427 | 143,553 | |
Siemens Gamesa Renewable Energy S.A.(2) | 1,846 | 61,719 | |
Telefonica S.A. | 41,203 | 192,314 | |
$ 3,296,705 | |||
Sweden — 3.5% | |||
Alfa Laval AB | 2,529 | $ 89,388 | |
Assa Abloy AB, Class B | 7,674 | 231,355 | |
Atlas Copco AB, Class A | 5,184 | 318,341 | |
Atlas Copco AB, Class B | 2,952 | 155,471 | |
Boliden AB | 2,227 | 85,694 | |
Electrolux AB, Series B | 1,958 | 54,260 | |
Embracer Group AB(1) | 2,072 | 56,023 | |
Epiroc AB, Class A | 5,226 | 118,963 | |
Epiroc AB, Class B | 3,103 | 60,920 | |
EQT AB | 2,004 | 72,797 | |
Essity AB, Class B | 4,621 | 153,279 | |
Evolution AB(3) | 1,329 | 210,224 |
Security | Shares | Value | |
Sweden (continued) | |||
Fastighets AB Balder, Class B(1)(2) | 794 | $ 49,774 | |
H & M Hennes & Mauritz AB, Class B(1) | 5,966 | 141,689 | |
Hexagon AB, Class B | 15,400 | 228,172 | |
Husqvarna AB, Class B | 3,160 | 41,997 | |
ICA Gruppen AB | 820 | 38,172 | |
Industrivarden AB, Class A | 851 | 33,098 | |
Industrivarden AB, Class C(2) | 1,127 | 41,255 | |
Investment AB Latour, Class B | 1,245 | 40,876 | |
Investor AB, Class B | 14,024 | 323,259 | |
Kinnevik AB, Class B | 1,801 | 72,119 | |
L E Lundbergforetagen AB, Class B | 593 | 38,273 | |
Lundin Energy AB(2) | 1,471 | 52,151 | |
Nibe Industrier AB, Class B | 11,258 | 118,630 | |
Sandvik AB | 8,759 | 223,965 | |
Securitas AB, Class B | 2,477 | 39,129 | |
Sinch AB(1)(3) | 3,670 | 61,756 | |
Skandinaviska Enskilda Banken AB, Class A | 12,316 | 159,198 | |
Skanska AB, Class B | 2,734 | 72,585 | |
SKF AB, Class B | 3,034 | 77,331 | |
Svenska Cellulosa AB SCA, Class B | 4,539 | 74,449 | |
Svenska Handelsbanken AB, Class A | 11,718 | 132,272 | |
Swedbank AB, Class A | 7,146 | 133,037 | |
Swedish Match AB | 12,100 | 103,190 | |
Tele2 AB, Class B | 3,517 | 47,951 | |
Telefonaktiebolaget LM Ericsson, Class B | 22,511 | 283,051 | |
Telia Co. AB | 21,130 | 93,848 | |
Volvo AB, Class A | 1,646 | 40,853 | |
Volvo AB, Class B | 11,060 | 266,540 | |
$ 4,635,335 | |||
Switzerland — 10.0% | |||
ABB, Ltd. | 13,423 | $ 456,042 | |
Adecco Group AG | 1,241 | 84,440 | |
Alcon, Inc. | 3,962 | 277,885 | |
Baloise Holding AG | 374 | 58,395 | |
Banque Cantonale Vaudoise | 253 | 22,734 | |
Barry Callebaut AG | 29 | 67,398 | |
Chocoladefabriken Lindt & Sprungli AG | 1 | 104,774 | |
Chocoladefabriken Lindt & Sprungli AG PC | 8 | 79,641 | |
Cie Financiere Richemont S.A. | 4,048 | 490,733 | |
Clariant AG | 1,727 | 34,388 | |
Coca-Cola HBC AG | 1,588 | 57,480 | |
Credit Suisse Group AG | 19,378 | 202,847 | |
EMS-Chemie Holding AG | 64 | 62,906 | |
Geberit AG | 293 | 220,093 | |
Givaudan S.A. | 72 | 335,175 | |
Glencore PLC(1) | 77,086 | 330,860 |
Security | Shares | Value | |
Switzerland (continued) | |||
Holcim Ltd. | 4,011 | $ 241,094 | |
Julius Baer Group, Ltd. | 1,776 | 115,996 | |
Kuehne & Nagel International AG | 428 | 146,487 | |
Logitech International S.A. | 1,318 | 160,061 | |
Lonza Group AG | 581 | 411,904 | |
Nestle S.A. | 22,440 | 2,797,080 | |
Novartis AG | 17,368 | 1,584,423 | |
Partners Group Holding AG | 177 | 268,323 | |
Roche Holding AG | 249 | 101,268 | |
Roche Holding AG PC | 5,492 | 2,069,593 | |
Schindler Holding AG | 160 | 46,819 | |
Schindler Holding AG PC | 300 | 91,811 | |
SGS S.A. | 46 | 142,023 | |
Sika AG(2) | 1,112 | 364,333 | |
Sonova Holding AG(1) | 411 | 154,805 | |
Straumann Holding AG | 83 | 132,389 | |
Swatch Group AG (The) | 228 | 78,299 | |
Swatch Group AG (The), Bearer Shares | 337 | 22,252 | |
Swiss Life Holding AG | 259 | 125,991 | |
Swiss Prime Site AG | 549 | 54,487 | |
Swiss Re AG | 2,386 | 215,510 | |
Swisscom AG | 199 | 113,706 | |
Temenos AG | 527 | 84,728 | |
UBS Group AG | 28,449 | 435,760 | |
Vifor Pharma AG | 327 | 42,369 | |
Zurich Insurance Group AG | 1,171 | 470,350 | |
$ 13,357,652 | |||
United Kingdom — 12.9% | |||
3i Group PLC | 7,801 | $ 126,601 | |
Admiral Group PLC | 1,608 | 69,967 | |
Anglo American PLC | 10,080 | 401,125 | |
Antofagasta PLC | 3,041 | 60,473 | |
Ashtead Group PLC | 3,470 | 257,919 | |
Associated British Foods PLC(1) | 2,895 | 88,867 | |
AstraZeneca PLC | 10,243 | 1,230,636 | |
Auto Trader Group PLC(1)(3) | 7,242 | 63,425 | |
AVEVA Group PLC | 905 | 46,450 | |
Aviva PLC | 31,430 | 176,447 | |
BAE Systems PLC | 24,901 | 179,935 | |
Barclays PLC | 134,598 | 319,411 | |
Barratt Developments PLC | 8,311 | 80,024 | |
Berkeley Group Holdings PLC | 912 | 57,989 | |
BHP Group PLC | 16,556 | 489,908 | |
BP PLC | 158,797 | 696,387 | |
British American Tobacco PLC | 16,867 | 654,871 | |
British Land Co. PLC (The) | 7,010 | 47,953 |
Security | Shares | Value | |
United Kingdom (continued) | |||
BT Group PLC(1) | 67,314 | $ 180,896 | |
Bunzl PLC | 2,545 | 84,192 | |
Burberry Group PLC(1) | 3,124 | 89,344 | |
Coca-Cola Europacific Partners PLC | 1,647 | 97,700 | |
Compass Group PLC(1) | 13,713 | 288,904 | |
Croda International PLC | 1,133 | 115,559 | |
Diageo PLC | 18,343 | 879,152 | |
Direct Line Insurance Group PLC | 9,725 | 38,357 | |
Entain PLC(1) | 4,677 | 113,013 | |
Evraz PLC | 3,425 | 28,099 | |
Ferguson PLC | 1,726 | 240,133 | |
GlaxoSmithKline PLC | 39,066 | 768,002 | |
Halma PLC | 3,070 | 114,374 | |
Hargreaves Lansdown PLC | 2,659 | 58,510 | |
Hikma Pharmaceuticals PLC | 1,223 | 41,389 | |
HSBC Holdings PLC | 159,654 | 921,444 | |
Imperial Brands PLC | 7,551 | 162,820 | |
Informa PLC(1) | 12,081 | 83,960 | |
InterContinental Hotels Group PLC(1) | 1,394 | 92,911 | |
Intertek Group PLC | 1,299 | 99,418 | |
J Sainsbury PLC | 15,059 | 56,680 | |
JD Sports Fashion PLC(1) | 4,451 | 56,642 | |
Johnson Matthey PLC | 1,407 | 59,905 | |
Kingfisher PLC(1) | 15,641 | 78,942 | |
Land Securities Group PLC | 5,555 | 51,843 | |
Legal & General Group PLC | 45,856 | 163,595 | |
Lloyds Banking Group PLC(1) | 548,655 | 354,901 | |
London Stock Exchange Group PLC | 2,560 | 282,907 | |
M&G PLC | 18,709 | 59,268 | |
Melrose Industries PLC | 36,836 | 79,290 | |
Mondi PLC | 3,917 | 103,128 | |
National Grid PLC | 27,897 | 354,841 | |
Natwest Group PLC | 37,001 | 104,131 | |
Next PLC(1) | 1,079 | 117,432 | |
Ocado Group PLC(1) | 3,893 | 107,867 | |
Pearson PLC | 6,159 | 70,927 | |
Persimmon PLC | 2,595 | 106,301 | |
Phoenix Group Holdings PLC | 4,275 | 40,018 | |
Prudential PLC | 20,207 | 384,454 | |
Reckitt Benckiser Group PLC | 5,479 | 484,070 | |
RELX PLC | 15,048 | 399,023 | |
Rentokil Initial PLC | 13,829 | 94,717 | |
Rio Tinto PLC | 8,715 | 719,750 | |
Rolls-Royce Holdings PLC(1) | 67,400 | 92,272 | |
Sage Group PLC (The) | 8,820 | 83,545 | |
Schroders PLC | 934 | 45,424 | |
Segro PLC | 9,491 | 143,677 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Severn Trent PLC | 1,999 | $ 69,201 | |
Smith & Nephew PLC | 6,612 | 143,396 | |
Smiths Group PLC | 3,286 | 72,370 | |
Spirax-Sarco Engineering PLC | 587 | 110,560 | |
SSE PLC | 7,941 | 164,925 | |
St. James's Place PLC | 4,377 | 89,495 | |
Standard Chartered PLC | 20,555 | 131,178 | |
Standard Life Aberdeen PLC | 16,252 | 60,969 | |
Taylor Wimpey PLC | 27,593 | 60,725 | |
Tesco PLC | 59,463 | 183,692 | |
Unilever PLC | 20,478 | 1,196,602 | |
United Utilities Group PLC | 5,449 | 73,546 | |
Vodafone Group PLC | 207,707 | 348,123 | |
Whitbread PLC(1) | 1,488 | 64,323 | |
WM Morrison Supermarkets PLC | 18,613 | 63,529 | |
WPP PLC | 9,194 | 124,283 | |
$ 17,199,032 | |||
Total Common Stocks (identified cost $80,527,032) | $132,222,611 |
Rights — 0.0%(5) |
Security | Shares | Value | |
Spain — 0.0%(5) | |||
ACS Actividades de Construccion y Servicios S.A., Exp. 7/9/21(1) | 1,744 | $ 2,440 | |
Total Rights (identified cost $2,638) | $ 2,440 |
Short-Term Investments — 1.4% |
Affiliated Fund — 0.2% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(6) | 303,812 | $ 303,812 | |
Total Affiliated Fund (identified cost $303,812) | $ 303,812 |
Securities Lending Collateral — 1.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(7) | 1,509,628 | $ 1,509,628 | |
Total Securities Lending Collateral (identified cost $1,509,628) | $ 1,509,628 | ||
Total Short-Term Investments (identified cost $1,813,440) | $ 1,813,440 |
Total Investments — 100.8% (identified cost $82,343,110) | $ 134,038,491 | |
Other Assets, Less Liabilities — (0.8)% | $ (1,081,893) | |
Net Assets — 100.0% | $ 132,956,598 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $5,643,456. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2021, the aggregate value of these securities is $2,635,833 or 2.0% of the Fund's net assets. |
(4) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021 (see Note 9). |
(5) | Amount is less than 0.05%. |
(6) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(7) | Represents investment of cash collateral received in connection with securities lending. |
Economic Sectors | % of Net Assets |
Financials | 16.8% |
Industrials | 15.4 |
Consumer Discretionary | 13.0 |
Health Care | 12.3 |
Consumer Staples | 10.5 |
Information Technology | 9.1 |
Materials | 7.9 |
Communication Services | 4.8 |
Utilities | 3.4 |
Energy | 3.2 |
Real Estate | 3.0 |
Total | 99.4% |
Abbreviations: | |
ADR | – American Depositary Receipt |
CDI | – CHESS Depositary Interest |
PC | – Participation Certificate |
PFC Shares | – Preference Shares |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $81,589,095) - including $5,643,456 of securities on loan | $ 133,222,575 |
Investments in securities of affiliated issuers, at value (identified cost $754,015) | 815,916 |
Cash denominated in foreign currency, at value (cost $441,865) | 438,252 |
Receivable for investments sold | 2,684 |
Receivable for capital shares sold | 84,566 |
Dividends receivable | 176,895 |
Dividends receivable - affiliated | 16 |
Securities lending income receivable | 1,695 |
Tax reclaims receivable | 297,667 |
Receivable from affiliate | 20,903 |
Directors' deferred compensation plan | 28,114 |
Total assets | $135,089,283 |
Liabilities | |
Due to custodian | $ 442 |
Payable for investments purchased | 377,679 |
Payable for capital shares redeemed | 33,845 |
Deposits for securities loaned | 1,509,628 |
Payable to affiliates: | |
Investment advisory fee | 33,295 |
Administrative fee | 13,318 |
Distribution and service fees | 4,389 |
Sub-transfer agency fee | 79 |
Directors' deferred compensation plan | 28,114 |
Accrued expenses | 131,896 |
Total liabilities | $ 2,132,685 |
Net Assets | $132,956,598 |
Sources of Net Assets | |
Paid-in capital | $ 83,670,345 |
Distributable earnings | 49,286,253 |
Total | $132,956,598 |
Class I Shares | |
Net Assets | $ 106,216,234 |
Shares Outstanding | 1,041,820 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 101.95 |
Class F Shares | |
Net Assets | $ 26,740,364 |
Shares Outstanding | 263,009 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 101.67 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $223,425) | $ 2,181,702 |
Dividend income - affiliated issuers (net of foreign taxes withheld of $1,079) | 9,811 |
Securities lending income, net | 7,881 |
Other income | 120,103 |
Total investment income | $ 2,319,497 |
Expenses | |
Investment advisory fee | $ 193,383 |
Administrative fee | 77,353 |
Distribution and service fees: | |
Class F | 23,536 |
Directors' fees and expenses | 2,905 |
Custodian fees | 25,061 |
Transfer agency fees and expenses | 47,776 |
Accounting fees | 23,561 |
Professional fees | 16,008 |
Reports to shareholders | 17,634 |
Miscellaneous | 23,654 |
Total expenses | $ 450,871 |
Waiver and/or reimbursement of expenses by affiliate | $ (117,015) |
Net expenses | $ 333,856 |
Net investment income | $ 1,985,641 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 254,560 |
Investment securities - affiliated issuers | (10) |
Foreign currency transactions | (9,665) |
Net realized gain | $ 244,885 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 8,541,862 |
Investment securities - affiliated issuers | 12,033 |
Foreign currency | (19,616) |
Net change in unrealized appreciation (depreciation) | $ 8,534,279 |
Net realized and unrealized gain | $ 8,779,164 |
Net increase in net assets from operations | $10,764,805 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,985,641 | $ 2,282,805 |
Net realized gain (loss) | 244,885 | (858,505) |
Net change in unrealized appreciation (depreciation) | 8,534,279 | 6,711,172 |
Net increase in net assets from operations | $ 10,764,805 | $ 8,135,472 |
Distributions to shareholders: | ||
Class I | $ — | $ (3,275,864) |
Class F | — | (508,619) |
Total distributions to shareholders | $ — | $ (3,784,483) |
Capital share transactions: | ||
Class I | $ (7,822,804) | $ (13,942,734) |
Class F | 5,898,442 | 4,867,446 |
Net decrease in net assets from capital share transactions | $ (1,924,362) | $ (9,075,288) |
Net increase (decrease) in net assets | $ 8,840,443 | $ (4,724,299) |
Net Assets | ||
At beginning of period | $ 124,116,155 | $ 128,840,454 |
At end of period | $132,956,598 | $124,116,155 |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 93.77 | $ 90.02 | $ 76.31 | $ 91.21 | $ 74.93 | $ 76.87 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 1.52 | $ 1.69 | $ 2.43 | $ 2.36 | $ 2.11 | $ 1.88 |
Net realized and unrealized gain (loss) | 6.66 | 4.89 | 13.55 | (14.36) | 16.39 | (1.54) |
Total income (loss) from operations | $ 8.18 | $ 6.58 | $ 15.98 | $ (12.00) | $ 18.50 | $ 0.34 |
Less Distributions | ||||||
From net investment income | $ — | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.28) |
Total distributions | $ — | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.28) |
Net asset value — End of period | $ 101.95 | $ 93.77 | $ 90.02 | $ 76.31 | $ 91.21 | $ 74.93 |
Total Return(2) | 8.72% (3) | 7.78% | 21.26% | (13.58)% | 24.76% | 0.46% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $106,216 | $105,165 | $115,803 | $103,168 | $141,082 | $124,685 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.66% (5) | 0.74% | 0.68% | 0.69% (6) | 0.68% | 0.98% |
Net expenses | 0.48% (5) | 0.48% | 0.48% | 0.49% (6) | 0.48% | 0.97% |
Net investment income | 3.10% (5) | 2.05% | 2.87% | 2.67% | 2.49% | 2.50% |
Portfolio Turnover | 5% (3) | 9% | 7% | 6% | 3% | 22% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes interest expense of 0.01%. |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 93.60 | $ 90.04 | $ 76.49 | $ 91.65 | $ 75.47 | $ 77.45 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 1.47 | $ 1.49 | $ 2.14 | $ 2.09 | $ 1.87 | $ 1.60 |
Net realized and unrealized gain (loss) | 6.60 | 4.90 | 13.68 | (14.35) | 16.53 | (1.43) |
Total income (loss) from operations | $ 8.07 | $ 6.39 | $ 15.82 | $(12.26) | $18.40 | $ 0.17 |
Less Distributions | ||||||
From net investment income | $ — | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.15) |
Total distributions | $ — | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) | $ (2.15) |
Net asset value — End of period | $101.67 | $ 93.60 | $ 90.04 | $ 76.49 | $91.65 | $75.47 |
Total Return(2) | 8.62% (3) | 7.56% | 21.00% | (13.80)% | 24.44% | 0.24% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 26,740 | $18,951 | $13,038 | $ 7,645 | $ 7,226 | $ 4,486 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.86% (5) | 0.94% | 0.88% | 0.89% (6) | 0.91% | 1.26% |
Net expenses | 0.68% (5) | 0.68% | 0.69% | 0.74% (6) | 0.73% | 1.19% |
Net investment income | 2.99% (5) | 1.80% | 2.52% | 2.37% | 2.18% | 2.11% |
Portfolio Turnover | 5% (3) | 9% | 7% | 6% | 3% | 22% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes interest expense of 0.01%. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Australia | $ 46,054 | $ 9,198,559 | $ — | $ 9,244,613 |
Austria | — | 250,740 | — | 250,740 |
Belgium | — | 1,160,286 | — | 1,160,286 |
Denmark | — | 3,400,541 | — | 3,400,541 |
Finland | — | 1,664,924 | — | 1,664,924 |
France | — | 14,401,532 | — | 14,401,532 |
Germany | — | 12,340,206 | — | 12,340,206 |
Hong Kong | 97,085 | 4,212,336 | — | 4,309,421 |
Ireland | — | 1,365,365 | — | 1,365,365 |
Israel | 353,272 | 451,998 | — | 805,270 |
Italy | — | 2,752,915 | — | 2,752,915 |
Japan | — | 30,828,693 | — | 30,828,693 |
Netherlands | — | 8,342,026 | — | 8,342,026 |
New Zealand | — | 404,883 | — | 404,883 |
Norway | — | 826,772 | — | 826,772 |
Poland | — | 33,887 | — | 33,887 |
Portugal | — | 184,349 | — | 184,349 |
Singapore | 32,128 | 1,385,336 | — | 1,417,464 |
Spain | — | 3,296,705 | — | 3,296,705 |
Sweden | 228,172 | 4,407,163 | — | 4,635,335 |
Switzerland | — | 13,357,652 | — | 13,357,652 |
United Kingdom | 97,700 | 17,101,332 | — | 17,199,032 |
Total Common Stocks | $ 854,411 | $131,368,200 (1) | $ — | $132,222,611 |
Rights | $ 2,440 | $ — | $ — | $ 2,440 |
Short-Term Investments: | ||||
Affiliated Fund | — | 303,812 | — | 303,812 |
Securities Lending Collateral | 1,509,628 | — | — | 1,509,628 |
Total Investments | $2,366,479 | $131,672,012 | $ — | $134,038,491 |
(1) | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Aggregate cost | $85,463,082 |
Gross unrealized appreciation | $ 54,945,494 |
Gross unrealized depreciation | (6,370,085) |
Net unrealized appreciation | $48,575,409 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $1,509,628 | $ — | $ — | $ — | $1,509,628 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares/Units, end of period |
Common Stocks | ||||||||
Mitsubishi UFJ Financial Group, Inc.(1) | $ — | $ — | $ — | $ — | $ 12,033 | $ 512,104 | $ 9,706 | 95,076 |
Short-Term Investments | ||||||||
Calvert Cash Reserve Fund, LLC | 439,993 | 6,631,558 | (6,767,729) | (10) | — | 303,812 | 105 | 303,812 |
Totals | $ (10) | $12,033 | $815,916 | $9,811 |
(1) | May be deemed to be an affiliated issuer as of March 1, 2021 (see Note 2). |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 32,999 | $ 3,266,649 | 117,201 | $ 8,890,337 | |
Reinvestment of distributions | — | — | 40,086 | 3,275,864 | |
Shares redeemed | (112,735) | (11,089,453) | (322,145) | (26,108,935) | |
Net decrease | (79,736) | $ (7,822,804) | (164,858) | $(13,942,734) | |
Class F | |||||
Shares sold | 72,555 | $ 7,085,025 | 76,301 | $ 6,372,191 | |
Reinvestment of distributions | — | — | 6,232 | 508,619 | |
Shares redeemed | (12,018) | (1,186,583) | (24,856) | (2,013,364) | |
Net increase | 60,537 | $ 5,898,442 | 57,677 | $ 4,867,446 |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
1,211,604.615 | 12,997.996 | 82,043.642 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 03/31/2003 | 03/31/2003 | (1.63)% | (0.51)% | 2.79% | 3.18% |
Class F at NAV | 10/30/2015 | 03/31/2003 | (1.76) | (0.77) | 2.54 | 3.03 |
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | (1.60)% | (0.33)% | 3.02% | 3.39% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.47% | 0.72% |
Net | 0.32 | 0.57 |
1 | Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class F is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Important Notice to Shareholders | |
Effective August 24, 2021, the Bloomberg Barclays fixed income indices will be rebranded as Bloomberg indices. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 983.70 | $1.57 ** | 0.32% |
Class F | $1,000.00 | $ 982.40 | $2.80 ** | 0.57% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.21 | $1.61 ** | 0.32% |
Class F | $1,000.00 | $1,021.97 | $2.86 ** | 0.57% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Asset-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
American Express Credit Account Master Trust, Series 2019-1, Class A, 2.87%, 10/15/24 | $ | 300 | $ 306,056 |
Avis Budget Rental Car Funding AESOP, LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(1) | 300 | 304,842 | |
Total Asset-Backed Securities (identified cost $605,797) | $ 610,898 |
Commercial Mortgage-Backed Securities — 2.1% |
Security | Principal Amount (000's omitted) | Value | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-GC17, Class A4, 4.131%, 11/10/46 | $ | 422 | $ 448,847 |
Series 2014-GC21, Class A5, 3.855%, 5/10/47 | 645 | 696,271 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45 | 625 | 640,619 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/48 | 1,275 | 1,364,744 | |
Total Commercial Mortgage-Backed Securities (identified cost $3,009,924) | $ 3,150,481 |
Corporate Bonds — 28.1% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.6% | |||
Barrick North America Finance, LLC, 5.75%, 5/1/43 | $ | 100 | $ 141,639 |
Dow Chemical Co. (The), 4.375%, 11/15/42 | 100 | 119,500 | |
LYB International Finance BV, 5.25%, 7/15/43 | 100 | 129,804 | |
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 200 | 211,867 | |
Sherwin-Williams Co. (The), 4.20%, 1/15/22 | 300 | 303,265 | |
$ 906,075 | |||
Communications — 4.1% | |||
AT&T, Inc.: | |||
4.90%, 6/15/42 | $ | 200 | $ 242,457 |
5.375%, 10/15/41 | 100 | 123,616 | |
5.45%, 3/1/47 | 1,000 | 1,319,156 | |
Charter Communications Operating, LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | 500 | 566,778 | |
Comcast Corp.: | |||
4.00%, 3/1/48 | 50 | 58,734 | |
4.15%, 10/15/28 | 100 | 115,834 | |
Discovery Communications, LLC, 4.125%, 5/15/29 | 200 | 224,279 | |
Motorola Solutions, Inc., 2.30%, 11/15/30 | 250 | 245,880 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 200 | 246,187 |
Security | Principal Amount (000's omitted) | Value | |
Communications (continued) | |||
Rogers Communications, Inc., 3.625%, 12/15/25 | $ | 1,000 | $ 1,104,200 |
T-Mobile USA, Inc., 3.50%, 4/15/25 | 250 | 271,640 | |
Verizon Communications, Inc.: | |||
1.68%, 10/30/30 | 340 | 325,126 | |
2.875%, 11/20/50 | 150 | 142,848 | |
Walt Disney Co. (The), 5.40%, 10/1/43 | 100 | 139,918 | |
WPP Finance 2010, 3.75%, 9/19/24 | 1,000 | 1,088,342 | |
$ 6,214,995 | |||
Consumer, Cyclical — 2.1% | |||
Cintas Corp. No. 2, 3.25%, 6/1/22 | $ | 350 | $ 356,935 |
Ford Motor Credit Co., LLC, 5.875%, 8/2/21 | 200 | 201,270 | |
General Motors Co., 5.00%, 4/1/35 | 1,000 | 1,210,886 | |
Lowe's Cos., Inc., 3.875%, 9/15/23 | 100 | 106,749 | |
McDonald's Corp., 3.60%, 7/1/30 | 300 | 337,648 | |
Starbucks Corp., 3.75%, 12/1/47 | 250 | 276,446 | |
VF Corp., 2.95%, 4/23/30 | 225 | 238,425 | |
Wal-Mart Stores, Inc., 6.50%, 8/15/37 | 250 | 381,220 | |
$ 3,109,579 | |||
Consumer, Non-cyclical — 5.2% | |||
AbbVie, Inc.: | |||
2.90%, 11/6/22 | $ | 200 | $ 206,696 |
3.20%, 11/21/29 | 300 | 326,064 | |
Alcon Finance Corp., 3.00%, 9/23/29(1) | 350 | 368,926 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.00%, 1/17/43 | 100 | 111,916 | |
4.625%, 2/1/44 | 1,000 | 1,216,507 | |
Block Financial, LLC, 3.875%, 8/15/30 | 150 | 162,307 | |
Bunge, Ltd. Finance Corp., 1.63%, 8/17/25 | 250 | 253,284 | |
CVS Health Corp., 4.30%, 3/25/28 | 282 | 324,224 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 63 | 74,645 | |
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30 | 400 | 428,288 | |
Equifax, Inc., 3.30%, 12/15/22 | 450 | 465,751 | |
Gilead Sciences, Inc., 3.70%, 4/1/24 | 100 | 107,524 | |
Kroger Co. (The): | |||
3.85%, 8/1/23 | 100 | 106,187 | |
3.875%, 10/15/46 | 250 | 276,150 | |
Laboratory Corp. of America Holdings: | |||
2.95%, 12/1/29 | 100 | 105,465 | |
4.00%, 11/1/23 | 100 | 106,950 | |
Molson Coors Brewing Co., 5.00%, 5/1/42 | 100 | 123,011 | |
Perrigo Finance Unlimited Co., 3.15%, 6/15/30 | 250 | 255,651 | |
Pfizer, Inc., 4.40%, 5/15/44 | 1,000 | 1,293,403 | |
STERIS Irish FinCo Unlimited Co., 3.75%, 3/15/51 | 100 | 106,389 | |
Sysco Corp., 5.95%, 4/1/30 | 250 | 320,957 | |
Takeda Pharmaceutical Co., Ltd., 3.175%, 7/9/50 | 400 | 405,144 | |
Triton Container International, Ltd., 2.05%, 4/15/26(1) | 300 | 301,865 | |
Tyson Foods, Inc., 3.95%, 8/15/24 | 100 | 109,047 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
Viatris, Inc., 2.30%, 6/22/27(1) | $ | 250 | $ 255,435 |
Zoetis, Inc., 4.70%, 2/1/43 | 100 | 128,952 | |
$ 7,940,738 | |||
Energy — 3.4% | |||
BP Capital Markets America, Inc., 3.633%, 4/6/30 | $ | 200 | $ 224,405 |
Colonial Pipeline Co., 6.58%, 8/28/32(1) | 100 | 127,797 | |
HollyFrontier Corp., 5.875%, 4/1/26(2) | 1,000 | 1,157,713 | |
Shell International Finance BV: | |||
2.25%, 1/6/23 | 200 | 205,908 | |
4.125%, 5/11/35 | 1,350 | 1,608,269 | |
4.55%, 8/12/43 | 100 | 124,819 | |
Texas Eastern Transmission, L.P., 2.80%, 10/15/22(1) | 400 | 408,435 | |
TransCanada PipeLines, Ltd., 4.875%, 1/15/26 | 1,000 | 1,149,138 | |
TransContinental Gas Pipe Line Co., LLC, 4.45%, 8/1/42 | 100 | 120,218 | |
$ 5,126,702 | |||
Financial — 6.1% | |||
American International Group, Inc., 4.875%, 6/1/22 | $ | 250 | $ 260,285 |
Bank of America Corp.: | |||
2.592% to 4/29/30, 4/29/31(3) | 500 | 515,830 | |
4.125%, 1/22/24 | 300 | 326,753 | |
Berkshire Hathaway Finance Corp., 4.30%, 5/15/43 | 1,000 | 1,249,188 | |
Boston Properties, L.P., 3.85%, 2/1/23 | 100 | 104,453 | |
Capital One Bank, 3.375%, 2/15/23 | 200 | 209,327 | |
Citigroup, Inc.: | |||
4.075% to 4/23/28, 4/23/29(3) | 500 | 567,633 | |
5.50%, 9/13/25 | 80 | 93,235 | |
Discover Financial Services, 3.85%, 11/21/22 | 200 | 209,654 | |
ERP Operating, L.P., 4.625%, 12/15/21 | 100 | 100,895 | |
Excalibur One 77B, LLC, 1.492%, 1/1/25 | 14 | 13,987 | |
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24 | 500 | 543,257 | |
HSBC Holdings PLC, 2.848% to 6/4/30, 6/4/31(3) | 400 | 415,567 | |
JPMorgan Chase & Co.: | |||
3.109% to 4/22/50, 4/22/51(3) | 300 | 310,083 | |
3.375%, 5/1/23 | 700 | 737,126 | |
MetLife, Inc., 4.875%, 11/13/43 | 100 | 132,247 | |
Morgan Stanley: | |||
4.10%, 5/22/23(4) | 500 | 532,534 | |
5.00%, 11/24/25(4) | 150 | 173,067 | |
PNC Bank N.A., 2.70%, 10/22/29 | 250 | 265,022 | |
Prudential Financial, Inc., 5.10%, 8/15/43 | 1,000 | 1,201,133 | |
Simon Property Group, L.P., 2.65%, 7/15/30 | 150 | 155,600 | |
US Bancorp, 3.10%, 4/27/26 | 250 | 272,154 | |
Wells Fargo & Co.: | |||
2.625%, 7/22/22 | 400 | 410,074 | |
3.196% to 6/17/26, 6/17/27(3) | 250 | 269,970 | |
Westpac Banking Corp., 3.35%, 3/8/27 | 200 | 221,487 | |
$ 9,290,561 |
Security | Principal Amount (000's omitted) | Value | |
Industrial — 2.9% | |||
BNSF Funding Trust I, 6.613% to 1/15/26, 12/15/55(3) | $ | 540 | $ 619,564 |
Boeing Co. (The): | |||
2.196%, 2/4/26 | 300 | 302,915 | |
3.20%, 3/1/29 | 150 | 157,573 | |
4.875%, 5/1/25 | 100 | 112,099 | |
5.15%, 5/1/30 | 100 | 118,510 | |
Carrier Global Corp., 3.577%, 4/5/50 | 375 | 398,577 | |
Cummins, Inc., 4.875%, 10/1/43 | 100 | 131,978 | |
Deere & Co., 6.55%, 10/1/28 | 250 | 325,131 | |
Flex, Ltd., 4.75%, 6/15/25 | 250 | 279,224 | |
GATX Corp., 3.25%, 9/15/26 | 400 | 430,555 | |
General Electric Co., 3.45%, 5/1/27 | 250 | 274,970 | |
Lennox International, Inc., 1.70%, 8/1/27 | 300 | 300,219 | |
Parker-Hannifin Corp., 3.25%, 3/1/27(2) | 200 | 219,037 | |
Raytheon Technologies Corp., 4.50%, 6/1/42 | 100 | 124,679 | |
Roper Technologies, Inc., 2.95%, 9/15/29 | 250 | 267,541 | |
United Parcel Service, Inc., 6.20%, 1/15/38 | 250 | 370,327 | |
$ 4,432,899 | |||
Technology — 2.3% | |||
Apple, Inc., 3.85%, 5/4/43 | $ | 1,100 | $ 1,309,760 |
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.875%, 1/15/27 | 500 | 552,779 | |
Broadcom, Inc., 3.419%, 4/15/33(1) | 200 | 210,263 | |
Dell International, LLC / EMC Corp., 5.30%, 10/1/29 | 250 | 301,903 | |
International Business Machines Corp., 3.625%, 2/12/24 | 100 | 107,794 | |
Lam Research Corp., 3.75%, 3/15/26 | 325 | 364,126 | |
NetApp, Inc., 3.25%, 12/15/22 | 100 | 102,778 | |
Oracle Corp.: | |||
2.65%, 7/15/26 | 150 | 158,402 | |
3.60%, 4/1/50 | 400 | 411,407 | |
$ 3,519,212 | |||
Utilities — 1.4% | |||
DTE Electric Co., 2.25%, 3/1/30 | $ | 300 | $ 308,298 |
Duke Energy Corp., 3.15%, 8/15/27 | 500 | 540,396 | |
PacifiCorp, 4.10%, 2/1/42 | 100 | 117,665 | |
Public Service Electric & Gas Co., 3.95%, 5/1/42 | 1,000 | 1,180,003 | |
$ 2,146,362 | |||
Total Corporate Bonds (identified cost $38,363,661) | $ 42,687,123 |
Sovereign Government Bonds — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Mexico Government International Bond, 5.55%, 1/21/45 | $ | 500 | $ 605,630 |
Province of Ontario Canada, 2.45%, 6/29/22 | 400 | 408,945 | |
Province of Quebec Canada, 2.625%, 2/13/23 | 75 | 77,855 | |
Total Sovereign Government Bonds (identified cost $972,430) | $ 1,092,430 |
Taxable Municipal Obligations — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.7% | |||
New York, NY, 3.60%, 8/1/28 | $ | 1,000 | $ 1,085,030 |
Total Taxable Municipal Obligations (identified cost $992,806) | $ 1,085,030 |
U.S. Government Agencies and Instrumentalities — 3.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
0.25%, 8/24/23 | $ | 1,000 | $ 1,000,103 |
6.75%, 3/15/31 | 1,300 | 1,911,937 | |
Federal National Mortgage Association: | |||
0.50%, 4/14/25 | 1,000 | 994,375 | |
0.75%, 10/8/27 | 350 | 341,546 | |
0.875%, 8/5/30 | 850 | 805,492 | |
2.00%, 1/5/22 | 400 | 403,937 | |
2.125%, 4/24/26 | 300 | 317,935 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $5,527,991) | $ 5,775,325 |
U.S. Government Agency Mortgage-Backed Securities — 26.4% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
2.00%, with various maturities to 2050 | $ | 3,433 | $ 3,497,077 |
2.50%, with various maturities to 2051 | 3,345 | 3,479,343 | |
3.00%, 1/1/43 | 480 | 509,748 | |
3.50%, with various maturities to 2048 | 747 | 801,260 | |
4.00%, with various maturities to 2048 | 527 | 566,786 | |
4.50%, with various maturities to 2044 | 856 | 949,334 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
5.00%, with various maturities to 2040 | $ | 639 | $ 729,594 |
6.00%, with various maturities to 2040 | 49 | 57,725 | |
6.50%, 10/1/37 | 14 | 15,722 | |
Federal National Mortgage Association: | |||
1.50%, 9/1/35 | 793 | 803,063 | |
2.00%, with various maturities to 2051 | 4,459 | 4,561,524 | |
2.253%, (12 mo. USD LIBOR + 1.723%), 9/1/38(5) | 148 | 154,627 | |
2.50%, with various maturities to 2050 | 4,056 | 4,218,813 | |
3.00%, with various maturities to 2051 | 5,251 | 5,556,892 | |
3.50%, with various maturities to 2049 | 3,772 | 4,043,329 | |
4.00%, with various maturities to 2047 | 2,002 | 2,174,562 | |
4.50%, with various maturities to 2044 | 1,341 | 1,481,835 | |
5.00%, with various maturities to 2034 | 73 | 82,922 | |
5.50%, with various maturities to 2038 | 281 | 323,968 | |
6.00%, with various maturities to 2038 | 285 | 335,927 | |
6.50%, with various maturities to 2036 | 53 | 60,258 | |
Government National Mortgage Association: | |||
2.50%, with various maturities to 2051 | 3,375 | 3,499,445 | |
3.00%, 3/20/51 | 582 | 610,045 | |
4.00%, with various maturities to 2042 | 791 | 864,558 | |
4.50%, 7/20/33 | 73 | 80,304 | |
5.00%, with various maturities to 2039 | 320 | 363,171 | |
5.50%, 7/20/34 | 40 | 44,973 | |
6.00%, with various maturities to 2038 | 211 | 247,342 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $39,261,690) | $ 40,114,147 |
U.S. Treasury Obligations — 36.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 750 | $ 645,469 |
1.375%, 8/15/50 | 1,000 | 843,320 | |
1.875%, 2/15/51 | 225 | 214,805 | |
2.25%, 8/15/49 | 650 | 673,562 | |
2.50%, 2/15/45 | 1,000 | 1,082,266 | |
3.00%, 5/15/47 | 1,000 | 1,189,414 | |
3.125%, 11/15/41 | 1,000 | 1,192,422 | |
3.125%, 8/15/44 | 1,600 | 1,920,687 | |
3.125%, 5/15/48 | 750 | 914,912 | |
3.75%, 11/15/43 | 1,045 | 1,372,052 | |
3.875%, 8/15/40 | 500 | 657,578 | |
4.375%, 5/15/41 | 700 | 983,691 | |
6.25%, 8/15/23 | 1,000 | 1,126,875 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: (continued) | |||
8.00%, 11/15/21 | $ | 1,000 | $ 1,029,629 |
U.S. Treasury Notes: | |||
0.125%, 2/28/23 | 950 | 948,924 | |
0.125%, 8/15/23 | 1,500 | 1,495,664 | |
0.375%, 4/30/25 | 800 | 791,562 | |
0.375%, 11/30/25 | 2,000 | 1,964,297 | |
0.375%, 1/31/26 | 1,500 | 1,470,176 | |
0.375%, 7/31/27 | 300 | 287,578 | |
0.50%, 8/31/27 | 750 | 723,398 | |
0.625%, 5/15/30 | 300 | 280,465 | |
0.625%, 8/15/30 | 1,000 | 931,797 | |
0.875%, 11/15/30 | 250 | 237,773 | |
1.125%, 2/29/28 | 500 | 498,594 | |
1.125%, 2/15/31 | 1,100 | 1,068,031 | |
1.25%, 4/30/28 | 800 | 802,625 | |
1.50%, 2/15/30 | 1,400 | 1,414,055 | |
1.625%, 11/15/22 | 2,500 | 2,550,781 | |
1.625%, 9/30/26 | 400 | 414,516 | |
1.75%, 5/15/22 | 1,600 | 1,623,321 | |
1.875%, 7/31/22 | 1,250 | 1,274,023 | |
1.875%, 7/31/26 | 1,500 | 1,574,004 | |
2.00%, 2/15/22 | 2,000 | 2,024,282 | |
2.00%, 2/15/25 | 1,500 | 1,575,234 | |
2.125%, 9/30/24 | 2,750 | 2,892,979 | |
2.25%, 11/15/24 | 2,000 | 2,114,766 | |
2.25%, 3/31/26 | 1,000 | 1,066,016 | |
2.25%, 2/15/27 | 2,100 | 2,245,031 | |
2.25%, 11/15/27 | 1,750 | 1,872,432 | |
2.625%, 6/30/23 | 600 | 628,430 | |
2.625%, 2/15/29 | 1,000 | 1,096,758 | |
2.75%, 11/15/23 | 1,300 | 1,374,953 | |
2.75%, 2/15/24 | 3,000 | 3,186,797 | |
3.125%, 11/15/28 | 950 | 1,074,910 | |
Total U.S. Treasury Obligations (identified cost $52,338,283) | $ 55,350,854 |
Short-Term Investments — 1.0% | |||
Affiliated Fund — 0.8% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(6) | 1,223,733 | $ 1,223,733 | |
Total Affiliated Fund (identified cost $1,223,733) | $ 1,223,733 | ||
Securities Lending Collateral — 0.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(7) | 223,245 | $ 223,245 | |
Total Securities Lending Collateral (identified cost $223,245) | $ 223,245 | ||
Total Short-Term Investments (identified cost $1,446,978) | $ 1,446,978 | ||
Total Investments — 99.6% (identified cost $142,519,560) | $151,313,266 | ||
Other Assets, Less Liabilities — 0.4% | $ 633,054 | ||
Net Assets — 100.0% | $151,946,320 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2021, the aggregate value of these securities is $1,977,563 or 1.3% of the Fund's net assets. |
(2) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $1,362,983. |
(3) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(4) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021 (see Note 8). |
(5) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at June 30, 2021. |
(6) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(7) | Represents investment of cash collateral received in connection with securities lending. |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
Currency Abbreviations: | |
USD | – United States Dollar |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $140,643,715) - including $1,362,983 of securities on loan | $ 149,383,932 |
Investments in securities of affiliated issuers, at value (identified cost $1,875,845) | 1,929,334 |
Receivable for capital shares sold | 194,748 |
Interest receivable | 840,816 |
Dividends and interest receivable - affiliated | 3,067 |
Securities lending income receivable | 136 |
Receivable from affiliate | 18,807 |
Directors' deferred compensation plan | 32,509 |
Total assets | $152,403,349 |
Liabilities | |
Payable for capital shares redeemed | $ 72,583 |
Deposits for securities loaned | 223,245 |
Payable to affiliates: | |
Investment advisory fee | 24,756 |
Administrative fee | 14,854 |
Distribution and service fees | 956 |
Sub-transfer agency fee | 97 |
Directors' deferred compensation plan | 32,509 |
Accrued expenses | 88,029 |
Total liabilities | $ 457,029 |
Net Assets | $151,946,320 |
Sources of Net Assets | |
Paid-in capital | $ 139,698,126 |
Distributable earnings | 12,248,194 |
Total | $151,946,320 |
Class I Shares | |
Net Assets | $ 147,080,773 |
Shares Outstanding | 2,575,138 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 57.12 |
Class F Shares | |
Net Assets | $ 4,865,547 |
Shares Outstanding | 86,641 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 56.16 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income - affiliated issuers | $ 722 |
Interest income | 1,741,813 |
Interest income - affiliated issuers | 9,333 |
Securities lending income, net | 593 |
Total investment income | $ 1,752,461 |
Expenses | |
Investment advisory fee | $ 146,725 |
Administrative fee | 88,035 |
Distribution and service fees: | |
Class F | 5,185 |
Directors' fees and expenses | 3,459 |
Custodian fees | 4,016 |
Transfer agency fees and expenses | 58,183 |
Accounting fees | 16,545 |
Professional fees | 16,359 |
Reports to shareholders | 12,596 |
Miscellaneous | 8,309 |
Total expenses | $ 359,412 |
Waiver and/or reimbursement of expenses by affiliate | $ (119,370) |
Net expenses | $ 240,042 |
Net investment income | $ 1,512,419 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 32,240 |
Investment securities - affiliated issuers | (165) |
Net realized gain | $ 32,075 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (3,946,998) |
Investment securities - affiliated issuers | (7,796) |
Net change in unrealized appreciation (depreciation) | $(3,954,794) |
Net realized and unrealized loss | $(3,922,719) |
Net decrease in net assets from operations | $(2,410,300) |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,512,419 | $ 3,255,782 |
Net realized gain | 32,075 | 824,160 |
Net change in unrealized appreciation (depreciation) | (3,954,794) | 5,885,476 |
Net increase (decrease) in net assets from operations | $ (2,410,300) | $ 9,965,418 |
Distributions to shareholders: | ||
Class I | $ — | $ (3,948,859) |
Class F | — | (83,363) |
Total distributions to shareholders | $ — | $ (4,032,222) |
Capital share transactions: | ||
Class I | $ 5,354,511 | $ (1,964,583) |
Class F | 963,282 | 2,636,560 |
Net increase in net assets from capital share transactions | $ 6,317,793 | $ 671,977 |
Net increase in net assets | $ 3,907,493 | $ 6,605,173 |
Net Assets | ||
At beginning of period | $ 148,038,827 | $ 141,433,654 |
At end of period | $151,946,320 | $148,038,827 |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 58.07 | $ 55.68 | $ 53.01 | $ 54.93 | $ 54.60 | $ 54.84 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.58 | $ 1.34 | $ 1.50 | $ 1.50 | $ 1.44 | $ 1.33 |
Net realized and unrealized gain (loss) | (1.53) | 2.74 | 2.96 | (1.73) | 0.46 | 0.08 |
Total income (loss) from operations | $ (0.95) | $ 4.08 | $ 4.46 | $ (0.23) | $ 1.90 | $ 1.41 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.65) |
Total distributions | $ — | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.65) |
Net asset value — End of period | $ 57.12 | $ 58.07 | $ 55.68 | $ 53.01 | $ 54.93 | $ 54.60 |
Total Return(2) | (1.63)% (3) | 7.34% | 8.41% | (0.37)% | 3.49% | 2.59% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $147,081 | $144,073 | $140,169 | $139,729 | $166,650 | $166,414 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.48% (5) | 0.47% | 0.43% | 0.44% | 0.45% | 0.54% |
Net expenses | 0.32% (5) | 0.32% | 0.32% | 0.32% | 0.32% | 0.46% |
Net investment income | 2.07% (5) | 2.30% | 2.71% | 2.81% | 2.60% | 2.34% |
Portfolio Turnover | 8% (3) | 23% | 10% | 7% | 14% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 57.17 | $ 54.97 | $ 52.48 | $ 54.53 | $ 54.36 | $ 54.79 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.50 | $ 1.15 | $ 1.33 | $ 1.36 | $ 1.30 | $ 1.19 |
Net realized and unrealized gain (loss) | (1.51) | 2.74 | 2.95 | (1.72) | 0.44 | 0.09 |
Total income (loss) from operations | $ (1.01) | $ 3.89 | $ 4.28 | $ (0.36) | $ 1.74 | $ 1.28 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.71) |
Total distributions | $ — | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) | $ (1.71) |
Net asset value — End of period | $56.16 | $57.17 | $54.97 | $52.48 | $54.53 | $54.36 |
Total Return(2) | (1.76)% (3) | 7.09% | 8.15% | (0.61)% | 3.21% | 2.36% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 4,866 | $ 3,966 | $ 1,265 | $ 461 | $ 495 | $ 206 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.73% (5) | 0.72% | 0.68% | 0.69% | 1.21% | 3.18% |
Net expenses | 0.57% (5) | 0.57% | 0.57% | 0.57% | 0.57% | 0.71% |
Net investment income | 1.82% (5) | 2.00% | 2.42% | 2.57% | 2.37% | 2.09% |
Portfolio Turnover | 8% (3) | 23% | 10% | 7% | 14% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 610,898 | $ — | $ 610,898 |
Commercial Mortgage-Backed Securities | — | 3,150,481 | — | 3,150,481 |
Corporate Bonds | — | 42,687,123 | — | 42,687,123 |
Sovereign Government Bonds | — | 1,092,430 | — | 1,092,430 |
Taxable Municipal Obligations | — | 1,085,030 | — | 1,085,030 |
U.S. Government Agencies and Instrumentalities | — | 5,775,325 | — | 5,775,325 |
U.S. Government Agency Mortgage-Backed Securities | — | 40,114,147 | — | 40,114,147 |
U.S. Treasury Obligations | — | 55,350,854 | — | 55,350,854 |
Short-Term Investments: | ||||
Affiliated Fund | — | 1,223,733 | — | 1,223,733 |
Securities Lending Collateral | 223,245 | — | — | 223,245 |
Total Investments | $223,245 | $151,090,021 | $ — | $151,313,266 |
Aggregate cost | $142,835,981 |
Gross unrealized appreciation | $ 9,113,013 |
Gross unrealized depreciation | (635,728) |
Net unrealized appreciation | $ 8,477,285 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $223,245 | $ — | $ — | $ — | $223,245 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, end of period |
Corporate Bonds | ||||||||
Morgan Stanley: | ||||||||
4.10%, 5/22/23(1) | $ — | $ — | $ — | $ — | $ (5,720) | $ 532,534 | $ 6,833 | $ 500,000 |
5.00%, 11/24/25(1) | — | — | — | — | (2,076) | 173,067 | 2,500 | 150,000 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 1,886,432 | 16,197,148 | (16,859,682) | (165) | — | 1,223,733 | 722 | 1,223,733 |
Totals | $(165) | $(7,796) | $1,929,334 | $10,055 |
(1) | May be deemed to be an affiliated issuer as of March 1, 2021 (see Note 2). |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 219,712 | $12,491,818 | 408,172 | $ 23,805,010 | |
Reinvestment of distributions | — | — | 68,450 | 3,948,859 | |
Shares redeemed | (125,390) | (7,137,307) | (513,240) | (29,718,452) | |
Net increase (decrease) | 94,322 | $ 5,354,511 | (36,618) | $ (1,964,583) | |
Class F | |||||
Shares sold | 21,446 | $ 1,197,064 | 51,993 | $ 2,958,722 | |
Reinvestment of distributions | — | — | 1,467 | 83,363 | |
Shares redeemed | (4,167) | (233,782) | (7,104) | (405,525) | |
Net increase | 17,279 | $ 963,282 | 46,356 | $ 2,636,560 |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 2,288,382.929 | 79,129.545 | 153,969.182 | 0 |
Proposal 2 | 2,286,510.821 | 79,692.168 | 155,278.667 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 04/27/2000 | 04/27/2000 | 13.05% | 43.62% | 27.59% | 20.82% |
Class F at NAV | 10/30/2015 | 04/27/2000 | 12.91 | 43.26 | 27.27 | 20.64 |
NASDAQ-100 ® Index | — | — | 13.34% | 44.36% | 28.22% | 21.51% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.60% | 0.85% |
Net | 0.48 | 0.73 |
Top 10 Holdings (% of net assets) | |
Apple, Inc. | 10.6% |
Microsoft Corp. | 9.5 |
Amazon.com, Inc. | 8.0 |
Facebook, Inc., Class A | 3.9 |
Alphabet, Inc., Class C | 3.7 |
Tesla, Inc. | 3.7 |
NVIDIA Corp. | 3.5 |
Alphabet, Inc., Class A | 3.4 |
PayPal Holdings, Inc. | 2.4 |
Adobe, Inc. | 2.0 |
Total | 50.7% |
1 | NASDAQ–100® Index includes 100 of the largest domestic and international securities (by market cap), excluding financials, listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class F is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,130.50 | $2.54 ** | 0.48% |
Class F | $1,000.00 | $1,129.10 | $3.85 ** | 0.73% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.41 | $2.41 ** | 0.48% |
Class F | $1,000.00 | $1,021.18 | $3.66 ** | 0.73% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 96.2% |
Security | Shares | Value | |
Automobiles — 3.7% | |||
Tesla, Inc.(1) | 16,710 | $ 11,357,787 | |
$ 11,357,787 | |||
Beverages — 2.1% | |||
Keurig Dr Pepper, Inc. | 30,232 | $ 1,065,375 | |
Monster Beverage Corp.(1) | 11,274 | 1,029,880 | |
PepsiCo, Inc. | 29,470 | 4,366,570 | |
$ 6,461,825 | |||
Biotechnology — 4.0% | |||
Alexion Pharmaceuticals, Inc.(1) | 4,714 | $ 866,009 | |
Amgen, Inc. | 12,255 | 2,987,156 | |
Biogen, Inc.(1) | 3,197 | 1,107,025 | |
Gilead Sciences, Inc. | 26,751 | 1,842,074 | |
Incyte Corp.(1) | 4,691 | 394,654 | |
Moderna, Inc.(1) | 8,564 | 2,012,369 | |
Regeneron Pharmaceuticals, Inc.(1) | 2,233 | 1,247,220 | |
Seagen, Inc.(1) | 3,871 | 611,153 | |
Vertex Pharmaceuticals, Inc.(1) | 5,521 | 1,113,199 | |
$ 12,180,859 | |||
Commercial Services & Supplies — 0.5% | |||
Cintas Corp. | 2,241 | $ 856,062 | |
Copart, Inc.(1) | 5,046 | 665,214 | |
$ 1,521,276 | |||
Communications Equipment — 1.6% | |||
Cisco Systems, Inc. | 89,887 | $ 4,764,011 | |
$ 4,764,011 | |||
Electric Utilities — 0.8% | |||
American Electric Power Co., Inc. | 10,659 | $ 901,645 | |
Exelon Corp. | 20,843 | 923,553 | |
Xcel Energy, Inc. | 11,480 | 756,303 | |
$ 2,581,501 | |||
Electronic Equipment, Instruments & Components — 0.2% | |||
CDW Corp. | 2,970 | $ 518,711 | |
$ 518,711 | |||
Entertainment — 2.7% | |||
Activision Blizzard, Inc. | 16,573 | $ 1,581,727 | |
Electronic Arts, Inc. | 6,104 | 877,938 | |
NetEase, Inc. ADR | 6,427 | 740,712 |
Security | Shares | Value | |
Entertainment (continued) | |||
Netflix, Inc.(1) | 9,458 | $ 4,995,810 | |
$ 8,196,187 | |||
Food & Staples Retailing — 1.6% | |||
Costco Wholesale Corp. | 9,439 | $ 3,734,729 | |
Walgreens Boots Alliance, Inc. | 18,437 | 969,971 | |
$ 4,704,700 | |||
Food Products — 1.0% | |||
Kraft Heinz Co. (The) | 26,089 | $ 1,063,910 | |
Mondelez International, Inc., Class A | 29,962 | 1,870,827 | |
$ 2,934,737 | |||
Health Care Equipment & Supplies — 1.8% | |||
Align Technology, Inc.(1) | 1,688 | $ 1,031,368 | |
DexCom, Inc.(1) | 2,063 | 880,901 | |
IDEXX Laboratories, Inc.(1) | 1,819 | 1,148,789 | |
Intuitive Surgical, Inc.(1) | 2,526 | 2,323,011 | |
$ 5,384,069 | |||
Health Care Technology — 0.2% | |||
Cerner Corp. | 6,369 | $ 497,801 | |
$ 497,801 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
Booking Holdings, Inc.(1) | 876 | $ 1,916,767 | |
Marriott International, Inc., Class A(1) | 6,946 | 948,268 | |
Starbucks Corp. | 25,133 | 2,810,121 | |
$ 5,675,156 | |||
Interactive Media & Services — 11.7% | |||
Alphabet, Inc., Class A(1) | 4,215 | $ 10,292,145 | |
Alphabet, Inc., Class C(1) | 4,536 | 11,368,668 | |
Baidu, Inc. ADR(1) | 5,527 | 1,126,955 | |
Facebook, Inc., Class A(1) | 33,585 | 11,677,840 | |
Match Group, Inc.(1) | 5,765 | 929,606 | |
$ 35,395,214 | |||
Internet & Direct Marketing Retail — 9.8% | |||
Amazon.com, Inc.(1) | 7,069 | $ 24,318,491 | |
eBay, Inc. | 14,531 | 1,020,222 | |
JD.com, Inc. ADR(1) | 17,188 | 1,371,774 | |
MercadoLibre, Inc.(1) | 1,063 | 1,655,931 | |
Pinduoduo, Inc. ADR(1) | 8,070 | 1,025,051 | |
Trip.com Group, Ltd. ADR(1) | 11,237 | 398,464 | |
$ 29,789,933 |
Security | Shares | Value | |
IT Services — 4.4% | |||
Automatic Data Processing, Inc. | 9,076 | $ 1,802,675 | |
Cognizant Technology Solutions Corp., Class A | 11,249 | 779,106 | |
Fiserv, Inc.(1) | 14,222 | 1,520,190 | |
Okta, Inc.(1) | 2,667 | 652,561 | |
Paychex, Inc. | 7,686 | 824,708 | |
PayPal Holdings, Inc.(1) | 25,056 | 7,303,323 | |
VeriSign, Inc.(1) | 2,402 | 546,911 | |
$ 13,429,474 | |||
Leisure Products — 0.2% | |||
Peloton Interactive, Inc., Class A(1) | 5,732 | $ 710,883 | |
$ 710,883 | |||
Life Sciences Tools & Services — 0.5% | |||
Illumina, Inc.(1) | 3,114 | $ 1,473,576 | |
$ 1,473,576 | |||
Machinery — 0.2% | |||
PACCAR, Inc. | 7,405 | $ 660,896 | |
$ 660,896 | |||
Media — 3.1% | |||
Charter Communications, Inc., Class A(1) | 4,024 | $ 2,903,115 | |
Comcast Corp., Class A | 97,793 | 5,576,157 | |
Fox Corp., Class A | 7,012 | 260,355 | |
Fox Corp., Class B | 5,356 | 188,531 | |
Sirius XM Holdings, Inc.(2) | 86,748 | 567,332 | |
$ 9,495,490 | |||
Multiline Retail — 0.2% | |||
Dollar Tree, Inc.(1) | 4,886 | $ 486,157 | |
$ 486,157 | |||
Professional Services — 0.2% | |||
Verisk Analytics, Inc. | 3,457 | $ 604,007 | |
$ 604,007 | |||
Road & Rail — 0.5% | |||
CSX Corp. | 48,465 | $ 1,554,757 | |
$ 1,554,757 | |||
Semiconductors & Semiconductor Equipment — 14.8% | |||
Advanced Micro Devices, Inc.(1) | 25,916 | $ 2,434,290 | |
Analog Devices, Inc. | 7,867 | 1,354,383 | |
Applied Materials, Inc. | 19,495 | 2,776,088 | |
ASML Holding NV-NY Shares | 1,695 | 1,170,974 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Broadcom, Inc. | 8,709 | $ 4,152,799 | |
Intel Corp. | 86,129 | 4,835,282 | |
KLA Corp. | 3,269 | 1,059,842 | |
Lam Research Corp. | 3,042 | 1,979,429 | |
Marvell Technology, Inc. | 17,475 | 1,019,317 | |
Maxim Integrated Products, Inc. | 5,724 | 603,081 | |
Microchip Technology, Inc. | 5,834 | 873,583 | |
Micron Technology, Inc.(1) | 23,919 | 2,032,637 | |
NVIDIA Corp. | 13,288 | 10,631,729 | |
NXP Semiconductors NV | 5,882 | 1,210,045 | |
QUALCOMM, Inc. | 24,060 | 3,438,896 | |
Skyworks Solutions, Inc. | 3,521 | 675,152 | |
Texas Instruments, Inc. | 19,698 | 3,787,925 | |
Xilinx, Inc. | 5,244 | 758,492 | |
$ 44,793,944 | |||
Software — 15.5% | |||
Adobe, Inc.(1) | 10,196 | $ 5,971,185 | |
ANSYS, Inc.(1) | 1,859 | 645,184 | |
Atlassian Corp. PLC, Class A(1) | 2,886 | 741,298 | |
Autodesk, Inc.(1) | 4,694 | 1,370,179 | |
Cadence Design Systems, Inc.(1) | 5,935 | 812,027 | |
Check Point Software Technologies, Ltd.(1) | 2,913 | 338,287 | |
DocuSign, Inc.(1) | 4,150 | 1,160,215 | |
Intuit, Inc. | 5,828 | 2,856,711 | |
Microsoft Corp. | 105,568 | 28,598,371 | |
Splunk, Inc.(1) | 3,496 | 505,452 | |
Synopsys, Inc.(1) | 3,254 | 897,421 | |
Workday, Inc., Class A(1) | 4,031 | 962,361 | |
Zoom Video Communications, Inc., Class A(1) | 5,040 | 1,950,631 | |
$ 46,809,322 | |||
Specialty Retail — 0.6% | |||
O'Reilly Automotive, Inc.(1) | 1,488 | $ 842,520 | |
Ross Stores, Inc. | 7,606 | 943,144 | |
$ 1,785,664 | |||
Technology Hardware, Storage & Peripherals — 10.6% | |||
Apple, Inc. | 233,906 | $ 32,035,766 | |
$ 32,035,766 | |||
Textiles, Apparel & Luxury Goods — 0.3% | |||
lululemon Athletica, Inc.(1) | 2,669 | $ 974,105 | |
$ 974,105 |
Security | Shares | Value | |
Trading Companies & Distributors — 0.2% | |||
Fastenal Co. | 12,253 | $ 637,156 | |
$ 637,156 | |||
Wireless Telecommunication Services — 1.3% | |||
T-Mobile US, Inc.(1) | 26,595 | $ 3,851,754 | |
$ 3,851,754 | |||
Total Common Stocks (identified cost $75,453,805) | $291,266,718 |
Exchange-Traded Funds — 1.8% |
Security | Shares | Value | |
Invesco QQQ TM Trust, Series 1(2) | 15,000 | $ 5,316,450 | |
Total Exchange-Traded Funds (identified cost $4,262,970) | $ 5,316,450 |
Short-Term Investments — 2.2% | |||
Affiliated Fund — 1.8% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(3) | 5,575,922 | $ 5,575,922 | |
Total Affiliated Fund (identified cost $5,576,013) | $ 5,575,922 | ||
Securities Lending Collateral — 0.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(4) | 579,690 | $ 579,690 | |
Total Securities Lending Collateral (identified cost $579,690) | $ 579,690 |
U.S. Treasury Obligations — 0.2% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 2/24/22(5) | $ | 500 | $ 499,835 |
Total U.S. Treasury Obligations (identified cost $499,777) | $ 499,835 | ||
Total Short-Term Investments (identified cost $6,655,480) | $ 6,655,447 | ||
Total Investments — 100.2% (identified cost $86,372,255) | $303,238,615 |
Other Assets, Less Liabilities — (0.2)% | $ (638,568) | ||
Net Assets — 100.0% | $ 302,600,047 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $5,764,688. |
(3) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(4) | Represents investment of cash collateral received in connection with securities lending. |
(5) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini NASDAQ 100 Index | 21 | Long | 9/17/21 | $6,110,580 | $ 181,734 |
$181,734 |
Abbreviations: | |
ADR | – American Depositary Receipt |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $80,796,242) - including $5,764,688 of securities on loan | $ 297,662,693 |
Investments in securities of affiliated issuers, at value (identified cost $5,576,013) | 5,575,922 |
Cash | 21,210 |
Receivable for capital shares sold | 168,912 |
Dividends receivable | 44,700 |
Dividends receivable - affiliated | 359 |
Securities lending income receivable | 1,003 |
Receivable from affiliate | 25,484 |
Directors' deferred compensation plan | 34,406 |
Total assets | $303,534,689 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 5,842 |
Payable for capital shares redeemed | 50,940 |
Deposits for securities loaned | 579,690 |
Payable to affiliates: | |
Investment advisory fee | 71,795 |
Administrative fee | 28,718 |
Distribution and service fees | 7,368 |
Sub-transfer agency fee | 35 |
Directors' deferred compensation plan | 34,406 |
Accrued expenses | 155,848 |
Total liabilities | $ 934,642 |
Net Assets | $302,600,047 |
Sources of Net Assets | |
Paid-in capital | $ 66,898,401 |
Distributable earnings | 235,701,646 |
Total | $302,600,047 |
Class I Shares | |
Net Assets | $ 264,383,979 |
Shares Outstanding | 1,906,406 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 138.68 |
Class F Shares | |
Net Assets | $ 38,216,068 |
Shares Outstanding | 280,065 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 136.45 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $1,438) | $ 965,307 |
Dividend income - affiliated issuers | 3,053 |
Interest income | 244 |
Securities lending income, net | 3,905 |
Total investment income | $ 972,509 |
Expenses | |
Investment advisory fee | $ 409,921 |
Administrative fee | 163,968 |
Distribution and service fees: | |
Class F | 37,671 |
Directors' fees and expenses | 5,236 |
Custodian fees | 5,867 |
Transfer agency fees and expenses | 124,708 |
Accounting fees | 30,819 |
Professional fees | 15,720 |
Reports to shareholders | 21,001 |
Miscellaneous | 45,308 |
Total expenses | $ 860,219 |
Waiver and/or reimbursement of expenses by affiliate | $ (166,512) |
Net expenses | $ 693,707 |
Net investment income | $ 278,802 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 247,935 |
Investment securities - affiliated issuers | (652) |
Futures contracts | 651,943 |
Net realized gain | $ 899,226 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 33,392,792 |
Investment securities - affiliated issuers | (91) |
Futures contracts | 99,029 |
Net change in unrealized appreciation (depreciation) | $33,491,730 |
Net realized and unrealized gain | $34,390,956 |
Net increase in net assets from operations | $34,669,758 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 278,802 | $ 850,237 |
Net realized gain | 899,226 | 16,703,660 |
Net change in unrealized appreciation (depreciation) | 33,491,730 | 66,966,820 |
Net increase in net assets from operations | $ 34,669,758 | $ 84,520,717 |
Distributions to shareholders: | ||
Class I | $ — | $ (8,059,877) |
Class F | — | (560,943) |
Total distributions to shareholders | $ — | $ (8,620,820) |
Capital share transactions: | ||
Class I | $ (3,998,524) | $ (9,761,792) |
Class F | 11,119,539 | 12,791,990 |
Net increase in net assets from capital share transactions | $ 7,121,015 | $ 3,030,198 |
Net increase in net assets | $ 41,790,773 | $ 78,930,095 |
Net Assets | ||
At beginning of period | $ 260,809,274 | $ 181,879,179 |
At end of period | $302,600,047 | $260,809,274 |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 122.67 | $ 86.05 | $ 63.98 | $ 65.60 | $ 50.26 | $ 48.91 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.15 | $ 0.42 | $ 0.44 | $ 0.41 | $ 0.40 | $ 0.34 |
Net realized and unrealized gain (loss) | 15.86 | 40.48 | 24.00 | (0.46) | 15.82 | 2.91 |
Total income (loss) from operations | $ 16.01 | $ 40.90 | $ 24.44 | $ (0.05) | $ 16.22 | $ 3.25 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.49) | $ (0.41) | $ (0.40) | $ (0.30) | $ (0.26) |
From net realized gain | — | (3.79) | (1.96) | (1.17) | (0.58) | (1.64) |
Total distributions | $ — | $ (4.28) | $ (2.37) | $ (1.57) | $ (0.88) | $ (1.90) |
Net asset value — End of period | $ 138.68 | $ 122.67 | $ 86.05 | $ 63.98 | $ 65.60 | $ 50.26 |
Total Return(2) | 13.05% (3) | 48.22% | 38.77% | (0.47)% | 32.35% | 6.59% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $264,384 | $237,710 | $176,210 | $130,777 | $133,473 | $104,449 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.60% (5) | 0.60% | 0.59% | 0.60% | 0.60% | 0.66% |
Net expenses | 0.48% (5) | 0.48% | 0.48% | 0.48% | 0.48% | 0.64% |
Net investment income | 0.23% (5) | 0.42% | 0.58% | 0.58% | 0.67% | 0.69% |
Portfolio Turnover | 1% (3) | 12% | 8% | 7% | 3% | 5% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 120.85 | $ 85.03 | $ 63.40 | $ 65.18 | $ 50.07 | $ 48.91 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ (0.01) | $ 0.16 | $ 0.25 | $ 0.23 | $ 0.23 | $ 0.18 |
Net realized and unrealized gain (loss) | 15.61 | 39.94 | 23.75 | (0.44) | 15.76 | 2.93 |
Total income (loss) from operations | $ 15.60 | $ 40.10 | $24.00 | $ (0.21) | $15.99 | $ 3.11 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.49) | $ (0.41) | $ (0.40) | $ (0.30) | $ (0.31) |
From net realized gain | — | (3.79) | (1.96) | (1.17) | (0.58) | (1.64) |
Total distributions | $ — | $ (4.28) | $ (2.37) | $ (1.57) | $ (0.88) | $ (1.95) |
Net asset value — End of period | $136.45 | $120.85 | $85.03 | $63.40 | $65.18 | $50.07 |
Total Return(2) | 12.91% (3) | 47.86% | 38.44% | (0.72)% | 32.01% | 6.30% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 38,216 | $ 23,099 | $ 5,669 | $ 1,770 | $ 1,942 | $ 1,088 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.85% (5) | 0.85% | 0.84% | 0.84% | 1.01% | 1.48% |
Net expenses | 0.73% (5) | 0.73% | 0.73% | 0.73% | 0.73% | 0.94% |
Net investment income (loss) | (0.01)% (5) | 0.16% | 0.32% | 0.33% | 0.39% | 0.36% |
Portfolio Turnover | 1% (3) | 12% | 8% | 7% | 3% | 5% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 291,266,718(1) | $ — | $ — | $ 291,266,718 |
Exchange-Traded Funds | 5,316,450 | — | — | 5,316,450 |
Short-Term Investments: | ||||
Affiliated Fund | — | 5,575,922 | — | 5,575,922 |
Securities Lending Collateral | 579,690 | — | — | 579,690 |
U.S. Treasury Obligations | — | 499,835 | — | 499,835 |
Total Investments | $297,162,858 | $6,075,757 | $ — | $303,238,615 |
Futures Contracts | $ 181,734 | $ — | $ — | $ 181,734 |
Total | $297,344,592 | $6,075,757 | $ — | $303,420,349 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $ 86,394,180 |
Gross unrealized appreciation | $ 218,435,607 |
Gross unrealized depreciation | (1,409,438) |
Net unrealized appreciation | $217,026,169 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $181,734 (1) | $ — |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ 651,943 | $ 99,029 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $579,690 | $ — | $ — | $ — | $579,690 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $6,815,779 | $15,672,539 | $(16,911,653) | $(652) | $(91) | $5,575,922 | $3,053 | 5,575,922 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 88,927 | $ 11,360,634 | 216,656 | $ 21,431,435 | |
Reinvestment of distributions | — | — | 75,024 | 8,059,877 | |
Shares redeemed | (120,302) | (15,359,158) | (401,664) | (39,253,104) | |
Net decrease | (31,375) | $ (3,998,524) | (109,984) | $ (9,761,792) | |
Class F | |||||
Shares sold | 98,810 | $ 12,328,098 | 132,617 | $ 13,596,528 | |
Reinvestment of distributions | — | — | 5,297 | 560,943 | |
Shares redeemed | (9,883) | (1,208,559) | (13,448) | (1,365,481) | |
Net increase | 88,927 | $ 11,119,539 | 124,466 | $ 12,791,990 |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 1,940,571.456 | 34,674.552 | 117,320.956 | 0 |
Proposal 2 | 1,897,296.378 | 45,271.720 | 149,998.866 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 12/29/1995 | 12/29/1995 | 15.15% | 40.53% | 17.29% | 14.44% |
S&P 500® Index | — | — | 15.25% | 40.79% | 17.64% | 14.83% |
% Total Annual Operating Expense Ratios3 | |
Gross | 0.43% |
Net | 0.28 |
Top 10 Holdings (% of net assets)* | |
Apple, Inc. | 5.7% |
Microsoft Corp. | 5.4 |
Amazon.com, Inc. | 3.9 |
Facebook, Inc., Class A | 2.2 |
Alphabet, Inc., Class A | 1.9 |
Alphabet, Inc., Class C | 1.9 |
SPDR S&P 500 ETF Trust | 1.4 |
Berkshire Hathaway, Inc., Class B | 1.4 |
Tesla, Inc. | 1.4 |
NVIDIA Corp. | 1.3 |
Total | 26.5% |
* | Excludes cash and cash equivalents. |
1 | S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
$1,000.00 | $1,151.50 | $1.49 ** | 0.28% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,023.41 | $1.40 ** | 0.28% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 96.1% |
Security | Shares | Value | |
Aerospace & Defense — 1.6% | |||
Boeing Co. (The)(1) | 7,509 | $ 1,798,856 | |
General Dynamics Corp. | 3,127 | 588,689 | |
Howmet Aerospace, Inc.(1) | 5,401 | 186,172 | |
Huntington Ingalls Industries, Inc. | 562 | 118,442 | |
L3Harris Technologies, Inc. | 2,845 | 614,947 | |
Lockheed Martin Corp. | 3,341 | 1,264,067 | |
Northrop Grumman Corp. | 2,045 | 743,214 | |
Raytheon Technologies Corp. | 20,697 | 1,765,661 | |
Teledyne Technologies, Inc.(1) | 634 | 265,538 | |
Textron, Inc. | 3,141 | 216,007 | |
TransDigm Group, Inc.(1) | 750 | 485,468 | |
$ 8,047,061 | |||
Air Freight & Logistics — 0.7% | |||
C.H. Robinson Worldwide, Inc. | 1,852 | $ 173,477 | |
Expeditors International of Washington, Inc. | 2,344 | 296,750 | |
FedEx Corp. | 3,375 | 1,006,864 | |
United Parcel Service, Inc., Class B | 9,881 | 2,054,952 | |
$ 3,532,043 | |||
Airlines — 0.3% | |||
Alaska Air Group, Inc.(1) | 1,813 | $ 109,342 | |
American Airlines Group, Inc.(1) | 8,946 | 189,745 | |
Delta Air Lines, Inc.(1) | 8,832 | 382,072 | |
Southwest Airlines Co.(1) | 8,175 | 434,011 | |
United Airlines Holdings, Inc.(1) | 4,451 | 232,743 | |
$ 1,347,913 | |||
Auto Components — 0.1% | |||
Aptiv PLC(1) | 3,737 | $ 587,942 | |
BorgWarner, Inc. | 3,308 | 160,571 | |
$ 748,513 | |||
Automobiles — 1.7% | |||
Ford Motor Co.(1) | 54,082 | $ 803,659 | |
General Motors Co.(1) | 17,548 | 1,038,315 | |
Tesla, Inc.(1) | 10,586 | 7,195,304 | |
$ 9,037,278 | |||
Banks — 4.1% | |||
Bank of America Corp. | 103,014 | $ 4,247,267 | |
Citigroup, Inc. | 28,237 | 1,997,768 | |
Citizens Financial Group, Inc. | 5,818 | 266,872 | |
Comerica, Inc. | 1,907 | 136,045 |
Security | Shares | Value | |
Banks (continued) | |||
Fifth Third Bancorp | 9,617 | $ 367,658 | |
First Republic Bank | 2,404 | 449,957 | |
Huntington Bancshares, Inc. | 20,528 | 292,934 | |
JPMorgan Chase & Co. | 41,531 | 6,459,732 | |
KeyCorp | 13,258 | 273,778 | |
M&T Bank Corp. | 1,842 | 267,661 | |
People's United Financial, Inc. | 6,514 | 111,650 | |
PNC Financial Services Group, Inc. (The) | 5,868 | 1,119,380 | |
Regions Financial Corp. | 13,132 | 265,004 | |
SVB Financial Group(1) | 754 | 419,548 | |
Truist Financial Corp. | 18,371 | 1,019,590 | |
U.S. Bancorp | 18,518 | 1,054,970 | |
Wells Fargo & Co. | 56,467 | 2,557,390 | |
Zions Bancorp NA | 2,238 | 118,301 | |
$ 21,425,505 | |||
Beverages — 1.4% | |||
Brown-Forman Corp., Class B | 2,656 | $ 199,041 | |
Coca-Cola Co. (The) | 53,010 | 2,868,371 | |
Constellation Brands, Inc., Class A | 2,353 | 550,343 | |
Molson Coors Beverage Co., Class B(1) | 2,573 | 138,144 | |
Monster Beverage Corp.(1) | 5,116 | 467,347 | |
PepsiCo, Inc. | 18,874 | 2,796,560 | |
$ 7,019,806 | |||
Biotechnology — 1.7% | |||
AbbVie, Inc. | 24,127 | $ 2,717,665 | |
Alexion Pharmaceuticals, Inc.(1) | 3,043 | 559,030 | |
Amgen, Inc. | 7,849 | 1,913,194 | |
Biogen, Inc.(1) | 2,057 | 712,277 | |
Gilead Sciences, Inc. | 17,133 | 1,179,778 | |
Incyte Corp.(1) | 2,708 | 227,824 | |
Regeneron Pharmaceuticals, Inc.(1) | 1,430 | 798,712 | |
Vertex Pharmaceuticals, Inc.(1) | 3,598 | 725,465 | |
$ 8,833,945 | |||
Building Products — 0.5% | |||
A.O. Smith Corp. | 1,837 | $ 132,374 | |
Allegion PLC | 1,256 | 174,961 | |
Carrier Global Corp. | 11,309 | 549,617 | |
Fortune Brands Home & Security, Inc. | 1,933 | 192,546 | |
Johnson Controls International PLC | 9,968 | 684,104 | |
Masco Corp. | 3,559 | 209,661 | |
Trane Technologies PLC | 3,300 | 607,662 | |
$ 2,550,925 |
Security | Shares | Value | |
Capital Markets — 2.9% | |||
Ameriprise Financial, Inc. | 1,616 | $ 402,190 | |
Bank of New York Mellon Corp. (The) | 11,166 | 572,034 | |
BlackRock, Inc. | 1,938 | 1,695,692 | |
Cboe Global Markets, Inc. | 1,484 | 176,670 | |
Charles Schwab Corp. (The) | 20,489 | 1,491,804 | |
CME Group, Inc. | 4,968 | 1,056,594 | |
Franklin Resources, Inc. | 3,777 | 120,826 | |
Goldman Sachs Group, Inc. (The) | 4,648 | 1,764,056 | |
Intercontinental Exchange, Inc. | 7,774 | 922,774 | |
Invesco, Ltd. | 5,436 | 145,304 | |
MarketAxess Holdings, Inc. | 519 | 240,603 | |
Moody's Corp. | 2,227 | 806,998 | |
Morgan Stanley(2) | 20,333 | 1,864,333 | |
MSCI, Inc. | 1,143 | 609,311 | |
Nasdaq, Inc. | 1,596 | 280,577 | |
Northern Trust Corp. | 2,843 | 328,708 | |
Raymond James Financial, Inc. | 1,696 | 220,310 | |
S&P Global, Inc. | 3,291 | 1,350,791 | |
State Street Corp. | 4,869 | 400,621 | |
T. Rowe Price Group, Inc. | 3,155 | 624,595 | |
$ 15,074,791 | |||
Chemicals — 1.7% | |||
Air Products & Chemicals, Inc. | 3,062 | $ 880,876 | |
Albemarle Corp. | 1,594 | 268,525 | |
Celanese Corp. | 1,539 | 233,312 | |
CF Industries Holdings, Inc. | 2,962 | 152,395 | |
Corteva, Inc. | 10,297 | 456,672 | |
Dow, Inc. | 10,313 | 652,607 | |
DuPont de Nemours, Inc. | 7,269 | 562,693 | |
Eastman Chemical Co. | 1,880 | 219,490 | |
Ecolab, Inc. | 3,442 | 708,949 | |
FMC Corp. | 1,790 | 193,678 | |
International Flavors & Fragrances, Inc. | 3,442 | 514,235 | |
Linde PLC | 7,106 | 2,054,345 | |
LyondellBasell Industries NV, Class A | 3,561 | 366,320 | |
Mosaic Co. (The) | 4,721 | 150,647 | |
PPG Industries, Inc. | 3,279 | 556,676 | |
Sherwin-Williams Co. (The) | 3,270 | 890,911 | |
$ 8,862,331 | |||
Commercial Services & Supplies — 0.4% | |||
Cintas Corp. | 1,221 | $ 466,422 | |
Copart, Inc.(1) | 2,844 | 374,924 | |
Republic Services, Inc. | 2,876 | 316,389 | |
Rollins, Inc. | 3,334 | 114,023 |
Security | Shares | Value | |
Commercial Services & Supplies (continued) | |||
Waste Management, Inc. | 5,388 | $ 754,913 | |
$ 2,026,671 | |||
Communications Equipment — 0.8% | |||
Arista Networks, Inc.(1) | 751 | $ 272,095 | |
Cisco Systems, Inc. | 57,568 | 3,051,104 | |
F5 Networks, Inc.(1) | 853 | 159,221 | |
Juniper Networks, Inc. | 4,542 | 124,224 | |
Motorola Solutions, Inc. | 2,339 | 507,212 | |
$ 4,113,856 | |||
Construction & Engineering — 0.0%(3) | |||
Quanta Services, Inc. | 1,915 | $ 173,442 | |
$ 173,442 | |||
Construction Materials — 0.1% | |||
Martin Marietta Materials, Inc. | 852 | $ 299,742 | |
Vulcan Materials Co. | 1,812 | 315,415 | |
$ 615,157 | |||
Consumer Finance — 0.6% | |||
American Express Co. | 8,889 | $ 1,468,729 | |
Capital One Financial Corp. | 6,168 | 954,128 | |
Discover Financial Services | 4,244 | 502,023 | |
Synchrony Financial | 7,389 | 358,514 | |
$ 3,283,394 | |||
Containers & Packaging — 0.3% | |||
Amcor PLC | 21,062 | $ 241,370 | |
Avery Dennison Corp. | 1,149 | 241,566 | |
Ball Corp. | 4,538 | 367,669 | |
International Paper Co. | 5,351 | 328,070 | |
Packaging Corp. of America | 1,312 | 177,671 | |
Sealed Air Corp. | 2,076 | 123,003 | |
WestRock Co. | 3,635 | 193,455 | |
$ 1,672,804 | |||
Distributors — 0.1% | |||
Genuine Parts Co. | 1,998 | $ 252,687 | |
LKQ Corp.(1) | 3,862 | 190,088 | |
Pool Corp. | 557 | 255,473 | |
$ 698,248 | |||
Diversified Financial Services — 1.4% | |||
Berkshire Hathaway, Inc., Class B(1) | 25,996 | $ 7,224,808 | |
$ 7,224,808 |
Security | Shares | Value | |
Diversified Telecommunication Services — 1.2% | |||
AT&T, Inc. | 97,536 | $ 2,807,086 | |
Lumen Technologies, Inc. | 14,367 | 195,248 | |
Verizon Communications, Inc. | 56,880 | 3,186,986 | |
$ 6,189,320 | |||
Electric Utilities — 1.5% | |||
Alliant Energy Corp. | 3,417 | $ 190,532 | |
American Electric Power Co., Inc. | 6,873 | 581,387 | |
Duke Energy Corp. | 10,508 | 1,037,350 | |
Edison International | 5,183 | 299,681 | |
Entergy Corp. | 2,775 | 276,667 | |
Evergy, Inc. | 3,141 | 189,810 | |
Eversource Energy | 4,747 | 380,899 | |
Exelon Corp. | 13,512 | 598,717 | |
FirstEnergy Corp. | 7,518 | 279,745 | |
NextEra Energy, Inc. | 26,794 | 1,963,464 | |
NRG Energy, Inc. | 3,343 | 134,723 | |
Pinnacle West Capital Corp. | 1,540 | 126,234 | |
PPL Corp. | 10,511 | 293,993 | |
Southern Co. (The) | 14,623 | 884,838 | |
Xcel Energy, Inc. | 7,352 | 484,350 | |
$ 7,722,390 | |||
Electrical Equipment — 0.6% | |||
AMETEK, Inc. | 3,191 | $ 425,998 | |
Eaton Corp. PLC | 5,509 | 816,324 | |
Emerson Electric Co. | 8,304 | 799,177 | |
Generac Holdings, Inc.(1) | 870 | 361,181 | |
Rockwell Automation, Inc. | 1,608 | 459,920 | |
$ 2,862,600 | |||
Electronic Equipment, Instruments & Components — 0.6% | |||
Amphenol Corp., Class A | 8,292 | $ 567,256 | |
CDW Corp. | 1,915 | 334,455 | |
Corning, Inc. | 10,634 | 434,931 | |
IPG Photonics Corp.(1) | 547 | 115,291 | |
Keysight Technologies, Inc.(1) | 2,517 | 388,650 | |
TE Connectivity, Ltd. | 4,579 | 619,126 | |
Trimble, Inc.(1) | 3,428 | 280,513 | |
Zebra Technologies Corp., Class A(1) | 731 | 387,057 | |
$ 3,127,279 | |||
Energy Equipment & Services — 0.2% | |||
Baker Hughes Co. | 10,065 | $ 230,187 | |
Halliburton Co. | 12,154 | 281,000 | |
NOV, Inc.(1) | 5,692 | 87,201 |
Security | Shares | Value | |
Energy Equipment & Services (continued) | |||
Schlumberger NV | 19,351 | $ 619,426 | |
$ 1,217,814 | |||
Entertainment — 1.9% | |||
Activision Blizzard, Inc. | 10,722 | $ 1,023,308 | |
Electronic Arts, Inc. | 3,981 | 572,587 | |
Live Nation Entertainment, Inc.(1) | 1,974 | 172,903 | |
Netflix, Inc.(1) | 6,057 | 3,199,368 | |
Take-Two Interactive Software, Inc.(1) | 1,633 | 289,074 | |
Walt Disney Co. (The)(1) | 24,903 | 4,377,200 | |
$ 9,634,440 | |||
Equity Real Estate Investment Trusts (REITs) — 2.4% | |||
Alexandria Real Estate Equities, Inc. | 1,874 | $ 340,956 | |
American Tower Corp. | 6,211 | 1,677,839 | |
AvalonBay Communities, Inc. | 1,931 | 402,980 | |
Boston Properties, Inc. | 1,962 | 224,826 | |
Crown Castle International Corp. | 5,969 | 1,164,552 | |
Digital Realty Trust, Inc. | 3,847 | 578,820 | |
Duke Realty Corp. | 5,122 | 242,527 | |
Equinix, Inc. | 1,236 | 992,014 | |
Equity Residential | 4,862 | 374,374 | |
Essex Property Trust, Inc. | 899 | 269,709 | |
Extra Space Storage, Inc. | 1,880 | 307,982 | |
Federal Realty Investment Trust | 971 | 113,772 | |
Healthpeak Properties, Inc. | 7,455 | 248,177 | |
Host Hotels & Resorts, Inc.(1) | 10,149 | 173,446 | |
Iron Mountain, Inc. | 3,944 | 166,910 | |
Kimco Realty Corp. | 6,223 | 129,749 | |
Mid-America Apartment Communities, Inc. | 1,564 | 263,409 | |
Prologis, Inc. | 10,106 | 1,207,970 | |
Public Storage | 2,105 | 632,952 | |
Realty Income Corp. | 5,107 | 340,841 | |
Regency Centers Corp. | 2,158 | 138,263 | |
SBA Communications Corp. | 1,513 | 482,193 | |
Simon Property Group, Inc. | 4,546 | 593,162 | |
UDR, Inc. | 4,285 | 209,879 | |
Ventas, Inc. | 5,125 | 292,637 | |
Vornado Realty Trust | 2,404 | 112,195 | |
Welltower, Inc. | 5,776 | 479,986 | |
Weyerhaeuser Co. | 10,235 | 352,289 | |
$ 12,514,409 | |||
Food & Staples Retailing — 1.3% | |||
Costco Wholesale Corp. | 6,039 | $ 2,389,451 | |
Kroger Co. (The) | 10,537 | 403,673 |
Security | Shares | Value | |
Food & Staples Retailing (continued) | |||
Sysco Corp. | 7,064 | $ 549,226 | |
Walgreens Boots Alliance, Inc. | 9,925 | 522,154 | |
Walmart, Inc. | 18,757 | 2,645,112 | |
$ 6,509,616 | |||
Food Products — 0.9% | |||
Archer-Daniels-Midland Co. | 7,728 | $ 468,317 | |
Campbell Soup Co. | 2,841 | 129,521 | |
Conagra Brands, Inc. | 6,762 | 246,001 | |
General Mills, Inc. | 8,462 | 515,590 | |
Hershey Co. (The) | 2,028 | 353,237 | |
Hormel Foods Corp. | 4,045 | 193,149 | |
JM Smucker Co. (The) | 1,517 | 196,558 | |
Kellogg Co. | 3,442 | 221,424 | |
Kraft Heinz Co. (The) | 8,856 | 361,148 | |
Lamb Weston Holdings, Inc. | 2,129 | 171,725 | |
McCormick & Co., Inc. | 3,402 | 300,464 | |
Mondelez International, Inc., Class A | 19,189 | 1,198,161 | |
Tyson Foods, Inc., Class A | 4,175 | 307,948 | |
$ 4,663,243 | |||
Gas Utilities — 0.0%(3) | |||
Atmos Energy Corp. | 1,785 | $ 171,556 | |
$ 171,556 | |||
Health Care Equipment & Supplies — 3.5% | |||
Abbott Laboratories | 24,272 | $ 2,813,853 | |
ABIOMED, Inc.(1) | 657 | 205,056 | |
Align Technology, Inc.(1) | 997 | 609,167 | |
Baxter International, Inc. | 6,990 | 562,695 | |
Becton, Dickinson and Co. | 4,021 | 977,867 | |
Boston Scientific Corp.(1) | 19,613 | 838,652 | |
Cooper Cos., Inc. (The) | 706 | 279,767 | |
Danaher Corp. | 8,672 | 2,327,218 | |
DENTSPLY SIRONA, Inc. | 3,032 | 191,804 | |
DexCom, Inc.(1) | 1,331 | 568,337 | |
Edwards Lifesciences Corp.(1) | 8,492 | 879,516 | |
Hologic, Inc.(1) | 3,500 | 233,520 | |
IDEXX Laboratories, Inc.(1) | 1,182 | 746,492 | |
Intuitive Surgical, Inc.(1) | 1,629 | 1,498,094 | |
Medtronic PLC | 18,379 | 2,281,385 | |
ResMed, Inc. | 1,988 | 490,082 | |
STERIS PLC | 1,356 | 279,743 | |
Stryker Corp. | 4,530 | 1,176,577 | |
Teleflex, Inc. | 638 | 256,342 | |
West Pharmaceutical Services, Inc. | 1,008 | 361,973 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Zimmer Biomet Holdings, Inc. | 2,877 | $ 462,679 | |
$ 18,040,819 | |||
Health Care Providers & Services — 2.5% | |||
AmerisourceBergen Corp. | 2,040 | $ 233,560 | |
Anthem, Inc. | 3,345 | 1,277,121 | |
Cardinal Health, Inc. | 3,964 | 226,305 | |
Centene Corp.(1) | 8,049 | 587,013 | |
Cigna Corp. | 4,688 | 1,111,384 | |
CVS Health Corp. | 18,148 | 1,514,269 | |
DaVita, Inc.(1) | 957 | 115,251 | |
HCA Healthcare, Inc. | 3,590 | 742,197 | |
Henry Schein, Inc.(1) | 1,922 | 142,593 | |
Humana, Inc. | 1,783 | 789,370 | |
Laboratory Corp. of America Holdings(1) | 1,334 | 367,984 | |
McKesson Corp. | 2,200 | 420,728 | |
Quest Diagnostics, Inc. | 1,847 | 243,749 | |
UnitedHealth Group, Inc. | 12,932 | 5,178,490 | |
Universal Health Services, Inc., Class B | 1,065 | 155,948 | |
$ 13,105,962 | |||
Health Care Technology — 0.1% | |||
Cerner Corp. | 4,116 | $ 321,707 | |
$ 321,707 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
Booking Holdings, Inc.(1) | 567 | $ 1,240,647 | |
Caesars Entertainment, Inc.(1) | 2,882 | 299,007 | |
Carnival Corp.(1) | 10,821 | 285,242 | |
Chipotle Mexican Grill, Inc.(1) | 389 | 603,082 | |
Darden Restaurants, Inc. | 1,787 | 260,884 | |
Domino's Pizza, Inc. | 530 | 247,240 | |
Expedia Group, Inc.(1) | 1,930 | 315,960 | |
Hilton Worldwide Holdings, Inc.(1) | 3,842 | 463,422 | |
Las Vegas Sands Corp.(1) | 4,722 | 248,802 | |
Marriott International, Inc., Class A(1) | 3,682 | 502,667 | |
McDonald's Corp. | 10,193 | 2,354,481 | |
MGM Resorts International | 5,684 | 242,423 | |
Norwegian Cruise Line Holdings, Ltd.(1) | 5,240 | 154,108 | |
Penn National Gaming, Inc.(1)(4) | 2,057 | 157,340 | |
Royal Caribbean Cruises, Ltd.(1) | 3,030 | 258,398 | |
Starbucks Corp. | 16,096 | 1,799,694 | |
Wynn Resorts, Ltd.(1) | 1,413 | 172,810 | |
Yum! Brands, Inc. | 4,153 | 477,720 | |
$ 10,083,927 |
Security | Shares | Value | |
Household Durables — 0.4% | |||
D.R. Horton, Inc. | 4,580 | $ 413,895 | |
Garmin, Ltd. | 2,068 | 299,116 | |
Leggett & Platt, Inc. | 1,820 | 94,294 | |
Lennar Corp., Class A | 3,799 | 377,431 | |
Mohawk Industries, Inc.(1) | 816 | 156,827 | |
Newell Brands, Inc. | 5,171 | 142,047 | |
NVR, Inc.(1) | 49 | 243,692 | |
PulteGroup, Inc. | 3,613 | 197,161 | |
Whirlpool Corp. | 869 | 189,459 | |
$ 2,113,922 | |||
Household Products — 1.3% | |||
Church & Dwight Co., Inc. | 3,392 | $ 289,066 | |
Clorox Co. (The) | 1,699 | 305,667 | |
Colgate-Palmolive Co. | 11,556 | 940,081 | |
Kimberly-Clark Corp. | 4,678 | 625,823 | |
Procter & Gamble Co. (The) | 33,529 | 4,524,068 | |
$ 6,684,705 | |||
Independent Power and Renewable Electricity Producers — 0.0%(3) | |||
AES Corp. (The) | 9,101 | $ 237,263 | |
$ 237,263 | |||
Industrial Conglomerates — 1.1% | |||
3M Co. | 7,919 | $ 1,572,951 | |
General Electric Co. | 119,920 | 1,614,123 | |
Honeywell International, Inc. | 9,488 | 2,081,193 | |
Roper Technologies, Inc. | 1,452 | 682,730 | |
$ 5,950,997 | |||
Insurance — 1.8% | |||
Aflac, Inc. | 8,863 | $ 475,589 | |
Allstate Corp. (The) | 4,192 | 546,804 | |
American International Group, Inc. | 11,968 | 569,677 | |
Aon PLC, Class A | 3,127 | 746,603 | |
Arthur J. Gallagher & Co. | 2,798 | 391,944 | |
Assurant, Inc. | 863 | 134,783 | |
Chubb, Ltd. | 6,143 | 976,368 | |
Cincinnati Financial Corp. | 2,075 | 241,987 | |
Everest Re Group, Ltd. | 548 | 138,101 | |
Globe Life, Inc. | 1,401 | 133,445 | |
Hartford Financial Services Group, Inc. (The) | 4,948 | 306,628 | |
Lincoln National Corp. | 2,497 | 156,911 | |
Loews Corp. | 3,141 | 171,656 | |
Marsh & McLennan Cos., Inc. | 7,033 | 989,402 | |
MetLife, Inc. | 10,165 | 608,375 |
Security | Shares | Value | |
Insurance (continued) | |||
Principal Financial Group, Inc. | 3,509 | $ 221,734 | |
Progressive Corp. (The) | 8,106 | 796,090 | |
Prudential Financial, Inc. | 5,494 | 562,970 | |
Travelers Cos., Inc. (The) | 3,491 | 522,638 | |
Unum Group | 3,122 | 88,665 | |
Willis Towers Watson PLC | 1,785 | 410,586 | |
WR Berkley Corp. | 1,914 | 142,459 | |
$ 9,333,415 | |||
Interactive Media & Services — 6.2% | |||
Alphabet, Inc., Class A(1) | 4,121 | $ 10,062,617 | |
Alphabet, Inc., Class C(1) | 3,909 | 9,797,205 | |
Facebook, Inc., Class A(1) | 32,910 | 11,443,136 | |
Twitter, Inc.(1) | 11,046 | 760,075 | |
$ 32,063,033 | |||
Internet & Direct Marketing Retail — 4.1% | |||
Amazon.com, Inc.(1) | 5,887 | $ 20,252,222 | |
eBay, Inc. | 8,946 | 628,099 | |
Etsy, Inc.(1) | 1,736 | 357,338 | |
$ 21,237,659 | |||
IT Services — 5.0% | |||
Accenture PLC, Class A | 8,683 | $ 2,559,662 | |
Akamai Technologies, Inc.(1) | 2,259 | 263,399 | |
Automatic Data Processing, Inc. | 5,813 | 1,154,578 | |
Broadridge Financial Solutions, Inc. | 1,586 | 256,187 | |
Cognizant Technology Solutions Corp., Class A | 7,343 | 508,576 | |
DXC Technology Co.(1) | 3,481 | 135,550 | |
Fidelity National Information Services, Inc. | 8,471 | 1,200,087 | |
Fiserv, Inc.(1) | 8,136 | 869,657 | |
FleetCor Technologies, Inc.(1) | 1,139 | 291,652 | |
Gartner, Inc.(1) | 1,228 | 297,422 | |
Global Payments, Inc. | 4,086 | 766,288 | |
International Business Machines Corp. | 12,206 | 1,789,278 | |
Jack Henry & Associates, Inc. | 1,053 | 172,176 | |
Mastercard, Inc., Class A | 12,020 | 4,388,382 | |
Paychex, Inc. | 4,442 | 476,627 | |
PayPal Holdings, Inc.(1) | 16,137 | 4,703,613 | |
VeriSign, Inc.(1) | 1,354 | 308,292 | |
Visa, Inc., Class A | 23,182 | 5,420,415 | |
Western Union Co. (The) | 5,687 | 130,630 | |
$ 25,692,471 |
Security | Shares | Value | |
Leisure Products — 0.0%(3) | |||
Hasbro, Inc. | 1,748 | $ 165,221 | |
$ 165,221 | |||
Life Sciences Tools & Services — 1.2% | |||
Agilent Technologies, Inc. | 4,217 | $ 623,315 | |
Bio-Rad Laboratories, Inc., Class A(1) | 313 | 201,663 | |
Charles River Laboratories International, Inc.(1) | 700 | 258,944 | |
Illumina, Inc.(1) | 2,019 | 955,411 | |
IQVIA Holdings, Inc.(1) | 2,647 | 641,421 | |
Mettler-Toledo International, Inc.(1) | 324 | 448,850 | |
PerkinElmer, Inc. | 1,531 | 236,402 | |
Thermo Fisher Scientific, Inc. | 5,369 | 2,708,499 | |
Waters Corp.(1) | 881 | 304,482 | |
$ 6,378,987 | |||
Machinery — 1.6% | |||
Caterpillar, Inc. | 7,547 | $ 1,642,454 | |
Cummins, Inc. | 2,048 | 499,323 | |
Deere & Co. | 4,261 | 1,502,897 | |
Dover Corp. | 1,988 | 299,393 | |
Fortive Corp. | 4,624 | 322,478 | |
IDEX Corp. | 1,050 | 231,053 | |
Illinois Tool Works, Inc. | 3,988 | 891,557 | |
Ingersoll Rand, Inc.(1) | 5,100 | 248,931 | |
Otis Worldwide Corp. | 5,642 | 461,346 | |
PACCAR, Inc. | 4,801 | 428,489 | |
Parker-Hannifin Corp. | 1,786 | 548,498 | |
Pentair PLC | 2,420 | 163,326 | |
Snap-on, Inc. | 750 | 167,573 | |
Stanley Black & Decker, Inc. | 2,275 | 466,352 | |
Westinghouse Air Brake Technologies Corp. | 2,457 | 202,211 | |
Xylem, Inc. | 2,496 | 299,420 | |
$ 8,375,301 | |||
Media — 1.3% | |||
Charter Communications, Inc., Class A(1) | 1,881 | $ 1,357,047 | |
Comcast Corp., Class A | 62,986 | 3,591,462 | |
Discovery, Inc., Class A(1) | 2,457 | 75,381 | |
Discovery, Inc., Class C(1) | 4,009 | 116,181 | |
DISH Network Corp., Class A(1) | 3,394 | 141,869 | |
Fox Corp., Class A | 4,627 | 171,801 | |
Fox Corp., Class B | 2,402 | 84,550 | |
Interpublic Group of Cos., Inc. (The) | 5,374 | 174,601 | |
News Corp., Class A | 5,344 | 137,715 | |
News Corp., Class B | 2,023 | 49,260 | |
Omnicom Group, Inc. | 3,092 | 247,329 |
Security | Shares | Value | |
Media (continued) | |||
ViacomCBS, Inc., Class B | 8,174 | $ 369,465 | |
$ 6,516,661 | |||
Metals & Mining — 0.4% | |||
Freeport-McMoRan, Inc. | 20,185 | $ 749,065 | |
Newmont Corp. | 11,076 | 701,997 | |
Nucor Corp. | 4,125 | 395,711 | |
$ 1,846,773 | |||
Multiline Retail — 0.5% | |||
Dollar General Corp. | 3,227 | $ 698,291 | |
Dollar Tree, Inc.(1) | 3,169 | 315,315 | |
Target Corp. | 6,758 | 1,633,679 | |
$ 2,647,285 | |||
Multi-Utilities — 0.7% | |||
Ameren Corp. | 3,597 | $ 287,904 | |
CenterPoint Energy, Inc. | 7,634 | 187,186 | |
CMS Energy Corp. | 4,166 | 246,127 | |
Consolidated Edison, Inc. | 4,683 | 335,865 | |
Dominion Energy, Inc. | 11,150 | 820,305 | |
DTE Energy Co. | 2,646 | 342,922 | |
NiSource, Inc. | 5,358 | 131,271 | |
Public Service Enterprise Group, Inc. | 6,990 | 417,582 | |
Sempra Energy | 4,387 | 581,190 | |
WEC Energy Group, Inc. | 4,365 | 388,267 | |
$ 3,738,619 | |||
Oil, Gas & Consumable Fuels — 2.5% | |||
APA Corp. | 5,270 | $ 113,990 | |
Cabot Oil & Gas Corp. | 5,460 | 95,332 | |
Chevron Corp. | 26,402 | 2,765,345 | |
ConocoPhillips | 18,434 | 1,122,631 | |
Devon Energy Corp. | 8,137 | 237,519 | |
Diamondback Energy, Inc. | 2,420 | 227,214 | |
EOG Resources, Inc. | 8,076 | 673,861 | |
Exxon Mobil Corp. | 57,832 | 3,648,043 | |
Hess Corp. | 3,781 | 330,157 | |
Kinder Morgan, Inc. | 26,943 | 491,171 | |
Marathon Oil Corp. | 10,767 | 146,647 | |
Marathon Petroleum Corp. | 9,013 | 544,565 | |
Occidental Petroleum Corp. | 11,898 | 372,050 | |
ONEOK, Inc. | 6,158 | 342,631 | |
Phillips 66 | 6,045 | 518,782 | |
Pioneer Natural Resources Co. | 3,166 | 514,538 | |
Valero Energy Corp. | 5,654 | 441,464 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Williams Cos., Inc. (The) | 16,798 | $ 445,987 | |
$ 13,031,927 | |||
Personal Products — 0.2% | |||
Estee Lauder Cos., Inc. (The), Class A | 3,168 | $ 1,007,677 | |
$ 1,007,677 | |||
Pharmaceuticals — 3.5% | |||
Bristol-Myers Squibb Co. | 30,517 | $ 2,039,146 | |
Catalent, Inc.(1) | 2,327 | 251,595 | |
Eli Lilly & Co. | 10,874 | 2,495,800 | |
Johnson & Johnson | 36,075 | 5,942,996 | |
Merck & Co., Inc. | 34,589 | 2,689,987 | |
Organon & Co.(1) | 3,526 | 106,697 | |
Perrigo Co. PLC | 1,824 | 83,630 | |
Pfizer, Inc. | 76,467 | 2,994,448 | |
Viatris, Inc. | 16,511 | 235,942 | |
Zoetis, Inc. | 6,486 | 1,208,731 | |
$ 18,048,972 | |||
Professional Services — 0.4% | |||
Equifax, Inc. | 1,663 | $ 398,305 | |
IHS Markit, Ltd. | 5,159 | 581,213 | |
Jacobs Engineering Group, Inc. | 1,800 | 240,156 | |
Leidos Holdings, Inc. | 1,946 | 196,741 | |
Nielsen Holdings PLC | 4,897 | 120,809 | |
Robert Half International, Inc. | 1,669 | 148,491 | |
Verisk Analytics, Inc. | 2,253 | 393,644 | |
$ 2,079,359 | |||
Real Estate Management & Development — 0.1% | |||
CBRE Group, Inc., Class A(1) | 4,644 | $ 398,130 | |
$ 398,130 | |||
Road & Rail — 0.9% | |||
CSX Corp. | 31,038 | $ 995,699 | |
J.B. Hunt Transport Services, Inc. | 1,201 | 195,703 | |
Kansas City Southern | 1,267 | 359,030 | |
Norfolk Southern Corp. | 3,418 | 907,171 | |
Old Dominion Freight Line, Inc. | 1,299 | 329,686 | |
Union Pacific Corp. | 9,075 | 1,995,865 | |
$ 4,783,154 | |||
Semiconductors & Semiconductor Equipment — 5.5% | |||
Advanced Micro Devices, Inc.(1) | 16,598 | $ 1,559,050 | |
Analog Devices, Inc. | 5,105 | 878,877 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Applied Materials, Inc. | 12,536 | $ 1,785,126 | |
Broadcom, Inc. | 5,578 | 2,659,813 | |
Enphase Energy, Inc.(1) | 1,860 | 341,552 | |
Intel Corp. | 55,161 | 3,096,739 | |
KLA Corp. | 2,132 | 691,216 | |
Lam Research Corp. | 1,948 | 1,267,564 | |
Maxim Integrated Products, Inc. | 3,666 | 386,250 | |
Microchip Technology, Inc. | 3,696 | 553,439 | |
Micron Technology, Inc.(1) | 15,482 | 1,315,660 | |
Monolithic Power Systems, Inc. | 620 | 231,539 | |
NVIDIA Corp. | 8,555 | 6,844,855 | |
NXP Semiconductors NV | 3,834 | 788,730 | |
Qorvo, Inc.(1) | 1,538 | 300,910 | |
QUALCOMM, Inc. | 15,409 | 2,202,408 | |
Skyworks Solutions, Inc. | 2,282 | 437,573 | |
Teradyne, Inc. | 2,357 | 315,744 | |
Texas Instruments, Inc. | 12,616 | 2,426,057 | |
Xilinx, Inc. | 3,401 | 491,921 | |
$ 28,575,023 | |||
Software — 8.5% | |||
Adobe, Inc.(1) | 6,565 | $ 3,844,727 | |
ANSYS, Inc.(1) | 1,191 | 413,348 | |
Autodesk, Inc.(1) | 3,043 | 888,252 | |
Cadence Design Systems, Inc.(1) | 3,861 | 528,262 | |
Citrix Systems, Inc. | 1,702 | 199,594 | |
Fortinet, Inc.(1) | 1,852 | 441,128 | |
Intuit, Inc. | 3,733 | 1,829,805 | |
Microsoft Corp. | 103,443 | 28,022,709 | |
NortonLifeLock, Inc. | 7,922 | 215,637 | |
Oracle Corp. | 24,816 | 1,931,677 | |
Paycom Software, Inc.(1) | 671 | 243,888 | |
PTC, Inc.(1) | 1,470 | 207,652 | |
salesforce.com, inc.(1) | 12,650 | 3,090,015 | |
ServiceNow, Inc.(1) | 2,714 | 1,491,479 | |
Synopsys, Inc.(1) | 2,109 | 581,641 | |
Tyler Technologies, Inc.(1) | 587 | 265,541 | |
$ 44,195,355 | |||
Specialty Retail — 2.1% | |||
Advance Auto Parts, Inc. | 894 | $ 183,395 | |
AutoZone, Inc.(1) | 295 | 440,205 | |
Best Buy Co., Inc. | 3,045 | 350,114 | |
CarMax, Inc.(1) | 2,249 | 290,458 | |
Gap, Inc. (The) | 3,143 | 105,762 | |
Home Depot, Inc. (The) | 14,575 | 4,647,822 |
Security | Shares | Value | |
Specialty Retail (continued) | |||
L Brands, Inc. | 3,233 | $ 232,970 | |
Lowe's Cos., Inc. | 9,656 | 1,872,974 | |
O'Reilly Automotive, Inc.(1) | 972 | 550,356 | |
Ross Stores, Inc. | 4,927 | 610,948 | |
TJX Cos., Inc. (The) | 16,616 | 1,120,251 | |
Tractor Supply Co. | 1,574 | 292,859 | |
Ulta Beauty, Inc.(1) | 748 | 258,636 | |
$ 10,956,750 | |||
Technology Hardware, Storage & Peripherals — 6.0% | |||
Apple, Inc. | 215,439 | $ 29,506,525 | |
Hewlett Packard Enterprise Co. | 18,725 | 273,011 | |
HP, Inc. | 16,410 | 495,418 | |
NetApp, Inc. | 3,171 | 259,451 | |
Seagate Technology Holdings PLC | 2,780 | 244,445 | |
Western Digital Corp.(1) | 4,186 | 297,918 | |
$ 31,076,768 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||
Hanesbrands, Inc. | 5,429 | $ 101,359 | |
NIKE, Inc., Class B | 17,417 | 2,690,752 | |
PVH Corp.(1) | 1,085 | 116,735 | |
Ralph Lauren Corp. | 671 | 79,050 | |
Tapestry, Inc.(1) | 3,845 | 167,181 | |
Under Armour, Inc., Class A(1) | 2,891 | 61,145 | |
Under Armour, Inc., Class C(1) | 2,684 | 49,842 | |
VF Corp. | 4,393 | 360,402 | |
$ 3,626,466 | |||
Tobacco — 0.6% | |||
Altria Group, Inc. | 25,281 | $ 1,205,398 | |
Philip Morris International, Inc. | 21,290 | 2,110,052 | |
$ 3,315,450 | |||
Trading Companies & Distributors — 0.2% | |||
Fastenal Co. | 7,949 | $ 413,348 | |
United Rentals, Inc.(1) | 1,024 | 326,666 | |
W.W. Grainger, Inc. | 609 | 266,742 | |
$ 1,006,756 | |||
Water Utilities — 0.1% | |||
American Water Works Co., Inc. | 2,479 | $ 382,088 | |
$ 382,088 |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.2% | |||
T-Mobile US, Inc.(1) | 8,084 | $ 1,170,806 | |
$ 1,170,806 | |||
Total Common Stocks (identified cost $162,281,023) | $499,090,566 |
Exchange-Traded Funds — 1.4% |
Security | Shares | Value | |
SPDR S&P 500 ETF Trust | 17,000 | $ 7,277,020 | |
Total Exchange-Traded Funds (identified cost $6,601,030) | $ 7,277,020 |
Short-Term Investments — 2.5% | |||
Affiliated Fund — 2.3% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(5) | 12,057,442 | $ 12,057,442 | |
Total Affiliated Fund (identified cost $12,057,541) | $ 12,057,442 | ||
U.S. Treasury Obligations — 0.2% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 2/24/22(6) | $ | 1,000 | $ 999,669 |
Total U.S. Treasury Obligations (identified cost $999,554) | $ 999,669 | ||
Total Short-Term Investments (identified cost $13,057,095) | $ 13,057,111 | ||
Total Investments — 100.0% (identified cost $181,939,148) | $519,424,697 | ||
Other Assets, Less Liabilities — (0.0)%(3) | $ (142,715) | ||
Net Assets — 100.0% | $ 519,281,982 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Represents an investment in an issuer that is deemed to be an affiliate effective March 1, 2021 (see Note 9). |
(3) | Amount is less than 0.05% or (0.05)%, as applicable. |
(4) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $155,734. |
(5) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(6) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P 500 Index | 62 | Long | 9/17/21 | $13,294,660 | $ 305,975 |
$305,975 |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $169,414,503) - including $155,734 of securities on loan | $ 505,502,922 |
Investments in securities of affiliated issuers, at value (identified cost $12,524,645) | 13,921,775 |
Receivable for variation margin on open futures contracts | 20,489 |
Cash | 5,010 |
Receivable for capital shares sold | 172,144 |
Dividends receivable | 316,436 |
Dividends receivable - affiliated | 377 |
Securities lending income receivable | 389 |
Receivable from affiliate | 76,418 |
Directors' deferred compensation plan | 101,432 |
Total assets | $520,117,392 |
Liabilities | |
Payable for investments purchased | $ 18,174 |
Payable for capital shares redeemed | 343,720 |
Payable to affiliates: | |
Investment advisory fee | 75,963 |
Administrative fee | 50,642 |
Sub-transfer agency fee | 176 |
Directors' deferred compensation plan | 101,432 |
Accrued expenses | 245,303 |
Total liabilities | $ 835,410 |
Net Assets | $519,281,982 |
Sources of Net Assets | |
Paid-in capital | $ 133,024,031 |
Distributable earnings | 386,257,951 |
Total | $519,281,982 |
Net Assets | $ 519,281,982 |
Shares Outstanding | 2,717,105 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 191.12 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $323) | $ 3,485,429 |
Dividend income - affiliated issuers | 10,540 |
Interest income | 488 |
Securities lending income, net | 11,241 |
Total investment income | $ 3,507,698 |
Expenses | |
Investment advisory fee | $ 443,460 |
Administrative fee | 295,640 |
Directors' fees and expenses | 10,785 |
Custodian fees | 11,384 |
Transfer agency fees and expenses | 189,269 |
Accounting fees | 55,888 |
Professional fees | 26,396 |
Reports to shareholders | 25,438 |
Miscellaneous | 37,289 |
Total expenses | $ 1,095,549 |
Waiver and/or reimbursement of expenses by affiliate | $ (405,422) |
Net expenses | $ 690,127 |
Net investment income | $ 2,817,571 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 16,251,034 |
Investment securities - affiliated issuers | 6,774 |
Futures contracts | 1,423,375 |
Net realized gain | $17,681,183 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 49,111,363 |
Investment securities - affiliated issuers | 301,247 |
Futures contracts | 137,795 |
Net change in unrealized appreciation (depreciation) | $49,550,405 |
Net realized and unrealized gain | $67,231,588 |
Net increase in net assets from operations | $70,049,159 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,817,571 | $ 6,836,974 |
Net realized gain | 17,681,183 | 25,229,331 |
Net change in unrealized appreciation (depreciation) | 49,550,405 | 42,267,475 |
Net increase in net assets from operations | $ 70,049,159 | $ 74,333,780 |
Distributions to shareholders | $ — | $ (21,497,256) |
Net decrease in net assets from capital share transactions | $ (30,819,034) | $ (31,986,452) |
Net increase in net assets | $ 39,230,125 | $ 20,850,072 |
Net Assets | ||
At beginning of period | $ 480,051,857 | $ 459,201,785 |
At end of period | $519,281,982 | $480,051,857 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 165.98 | $ 147.79 | $ 123.19 | $ 141.18 | $ 122.44 | $ 112.07 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 1.01 | $ 2.31 | $ 2.43 | $ 2.39 | $ 2.30 | $ 2.14 |
Net realized and unrealized gain (loss) | 24.13 | 23.51 | 34.42 | (7.33) | 23.60 | 10.84 |
Total income (loss) from operations | $ 25.14 | $ 25.82 | $ 36.85 | $ (4.94) | $ 25.90 | $ 12.98 |
Less Distributions | ||||||
From net investment income | $ — | $ (2.57) | $ (2.63) | $ (2.84) | $ (1.99) | $ (1.48) |
From net realized gain | — | (5.06) | (9.62) | (10.21) | (5.17) | (1.13) |
Total distributions | $ — | $ (7.63) | $ (12.25) | $ (13.05) | $ (7.16) | $ (2.61) |
Net asset value — End of period | $ 191.12 | $ 165.98 | $ 147.79 | $ 123.19 | $ 141.18 | $ 122.44 |
Total Return(2) | 15.15% (3) | 18.11% | 31.16% | (4.74)% | 21.46% | 11.58% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $519,282 | $480,052 | $459,202 | $391,342 | $515,105 | $481,681 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.44% (5) | 0.43% | 0.38% | 0.39% | 0.40% | 0.48% |
Net expenses | 0.28% (5) | 0.28% | 0.28% | 0.28% | 0.28% | 0.40% |
Net investment income | 1.14% (5) | 1.58% | 1.72% | 1.68% | 1.72% | 1.84% |
Portfolio Turnover | 4% (3) | 10% | 6% | 7% | 5% | 6% (6) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | During the year ended December 31, 2016, the Fund incurred sales of $55,737,177 to realign the combined portfolio in connection with the reorganization of Calvert VP Large Cap Core Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 499,090,566(1) | $ — | $ — | $ 499,090,566 |
Exchange-Traded Funds | 7,277,020 | — | — | 7,277,020 |
Short-Term Investments: | ||||
Affiliated Fund | — | 12,057,442 | — | 12,057,442 |
U.S. Treasury Obligations | — | 999,669 | — | 999,669 |
Total Investments | $506,367,586 | $13,057,111 | $ — | $519,424,697 |
Futures Contracts | $ 305,975 | $ — | $ — | $ 305,975 |
Total | $506,673,561 | $13,057,111 | $ — | $519,730,672 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $185,169,199 |
Gross unrealized appreciation | $ 338,270,535 |
Gross unrealized depreciation | (3,709,062) |
Net unrealized appreciation | $334,561,473 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $305,975 (1) | $ — |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ 1,423,375 | $ 137,795 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares/Units, end of period |
Common Stocks | ||||||||
Morgan Stanley(1) | $ — | $ 19,755 | $ (108,885) | $ 7,868 | $ 301,346 | $ 1,864,333 | $ 7,269 | 20,333 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 11,649,985 | 34,827,737 | (34,419,087) | (1,094) | (99) | 12,057,442 | 3,271 | 12,057,442 |
Totals | $ 6,774 | $301,247 | $13,921,775 | $10,540 |
(1) | Affiliated issuer as of March 1, 2021. |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | 49,032 | $ 8,786,681 | 146,187 | $ 20,566,726 | |
Reinvestment of distributions | — | — | 145,242 | 21,497,256 | |
Shares redeemed | (224,175) | (39,605,715) | (506,311) | (74,050,434) | |
Net decrease | (175,143) | $(30,819,034) | (214,882) | $(31,986,452) |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 2,630,268.871 | 24,612.166 | 181,776.922 | 0 |
Proposal 2 | 2,630,005.192 | 28,804.816 | 177,847.951 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class F at NAV | 04/30/2013 | 04/30/2013 | 5.65% | 15.33% | 7.14% | 5.80% |
S&P Global LargeMidCap Managed Risk Index - Conservative | — | — | 5.35% | 15.14% | 7.72% | 5.93% |
S&P 500® Daily Risk Control 7.5% Index | — | — | 7.07 | 14.06 | 9.64 | 7.54 |
Moderate Portfolio Blended Benchmark | — | — | 5.76 | 18.22 | 9.25 | 7.78 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 0.98% |
Net | 0.88 |
Top 10 Holdings (% of net assets)* | |
iShares Core U.S. Aggregate Bond ETF | 23.0% |
Vanguard Total Bond Market ETF | 22.9 |
Vanguard S&P 500 ETF | 21.1 |
Vanguard FTSE Developed Markets ETF | 9.1 |
iShares S&P 500 Growth ETF | 5.9 |
iShares S&P 500 Value ETF | 4.2 |
Vanguard REIT ETF | 2.1 |
iShares Russell 2000 ETF | 2.1 |
Vanguard FTSE Emerging Markets ETF | 1.6 |
iShares Core S&P Mid-Cap ETF | 1.0 |
Total | 93.0% |
* | Excludes cash and cash equivalents. |
1 | S&P Global LargeMidCap Managed Risk Index - Conservative is an unmanaged index designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed 50% allocation to the underlying bond index. The index dynamically allocates between the underlying equity and bond indices and cash, has a risk management overlay that seeks to limit the index volatility to 8%, and includes a synthetic put position to reduce downside risk. S&P 500® Daily Risk Control 7.5% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 7.5%. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Moderate Portfolio Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 48% Bloomberg Barclays U.S. Aggregate Bond Index, 36% Russell 3000® Index, 10% MSCI EAFE Index, 4% ICE BofA 3-Month U.S. Treasury Bill Index, and 2% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.Effective December 1, 2020, the Fund changed its primary benchmark to S&P Global LargeMidCap Managed Risk Index – Conservative because the investment adviser believes it is a more appropriate benchmark for the Fund. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
Effective August 24, 2021, the Bloomberg Barclays fixed income indices will be rebranded as Bloomberg indices. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $1,056.50 | $4.13 ** | 0.81% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.78 | $4.06 ** | 0.81% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Exchange-Traded Funds — 93.0% |
Security | Shares | Value | |
Equity Exchange-Traded Funds — 47.1% | |||
iShares Core S&P Mid-Cap ETF | 4,000 | $ 1,074,920 | |
iShares Russell 2000 ETF | 10,000 | 2,293,700 | |
iShares S&P 500 Growth ETF(1) | 91,000 | 6,618,430 | |
iShares S&P 500 Value ETF(1) | 32,000 | 4,724,480 | |
Vanguard FTSE Developed Markets ETF | 197,000 | 10,149,440 | |
Vanguard FTSE Emerging Markets ETF(1) | 32,000 | 1,737,920 | |
Vanguard REIT ETF(1) | 23,000 | 2,341,170 | |
Vanguard S&P 500 ETF(1) | 60,000 | 23,611,200 | |
$ 52,551,260 | |||
Fixed-Income Exchange-Traded Funds — 45.9% | |||
iShares Core U.S. Aggregate Bond ETF | 223,000 | $ 25,718,590 | |
Vanguard Total Bond Market ETF | 298,000 | 25,595,220 | |
$ 51,313,810 | |||
Total Exchange-Traded Funds (identified cost $78,093,794) | $103,865,070 |
Short-Term Investments — 9.4% | |||
Affiliated Fund — 6.5% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(2) | 7,339,247 | $ 7,339,247 | |
Total Affiliated Fund (identified cost $7,339,614) | $ 7,339,247 | ||
Securities Lending Collateral — 2.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(3) | 3,211,918 | $ 3,211,918 | |
Total Securities Lending Collateral (identified cost $3,211,918) | $ 3,211,918 | ||
Total Short-Term Investments (identified cost $10,551,532) | $ 10,551,165 | ||
Total Investments — 102.4% (identified cost $88,645,326) | $114,416,235 | ||
Other Assets, Less Liabilities — (2.4)% | $ (2,679,380) | ||
Net Assets — 100.0% | $ 111,736,855 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $25,284,573. |
(2) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(3) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P 500 Index | 31 | Long | 9/17/21 | $6,647,330 | $ 82,241 |
E-mini S&P MidCap 400 Index | 6 | Long | 9/17/21 | 1,615,440 | (22,279) |
MSCI EAFE Index | 22 | Long | 9/17/21 | 2,534,510 | (73,484) |
$(13,522) |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $81,305,712) - including $25,284,573 of securities on loan | $ 107,076,988 |
Investments in securities of affiliated issuers, at value (identified cost $7,339,614) | 7,339,247 |
Deposits at broker for futures contracts | 608,000 |
Receivable for capital shares sold | 16,164 |
Dividends receivable | 79,974 |
Dividends receivable - affiliated | 406 |
Securities lending income receivable | 1,674 |
Receivable from affiliate | 765 |
Directors' deferred compensation plan | 24,999 |
Total assets | $115,148,217 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 7,798 |
Payable for capital shares redeemed | 34,936 |
Deposits for securities loaned | 3,211,918 |
Payable to affiliates: | |
Investment advisory fee | 36,683 |
Administrative fee | 11,005 |
Distribution and service fees | 22,927 |
Sub-transfer agency fee | 21 |
Directors' deferred compensation plan | 24,999 |
Accrued expenses | 61,075 |
Total liabilities | $ 3,411,362 |
Net Assets | $111,736,855 |
Sources of Net Assets | |
Paid-in capital | $ 84,799,386 |
Distributable earnings | 26,937,469 |
Total | $111,736,855 |
Class F Shares | |
Net Assets | $ 111,736,855 |
Shares Outstanding | 5,537,774 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 20.18 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income | $ 802,421 |
Dividend income - affiliated issuers | 3,259 |
Securities lending income, net | 5,324 |
Total investment income | $ 811,004 |
Expenses | |
Investment advisory fee | $ 218,916 |
Administrative fee | 65,675 |
Distribution and service fees | 136,822 |
Directors' fees and expenses | 2,526 |
Custodian fees | 10,706 |
Transfer agency fees and expenses | 40,668 |
Accounting fees | 12,372 |
Professional fees | 14,778 |
Reports to shareholders | 5,766 |
Miscellaneous | 5,383 |
Total expenses | $ 513,612 |
Waiver and/or reimbursement of expenses by affiliate | $ (70,179) |
Net expenses | $ 443,433 |
Net investment income | $ 367,571 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 2,034,869 |
Investment securities - affiliated issuers | (337) |
Futures contracts | (2,427) |
Capital gains distributions received | 16,073 |
Net realized gain | $2,048,178 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 3,705,199 |
Investment securities - affiliated issuers | (275) |
Futures contracts | (23,911) |
Net change in unrealized appreciation (depreciation) | $3,681,013 |
Net realized and unrealized gain | $5,729,191 |
Net increase in net assets from operations | $6,096,762 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 367,571 | $ 1,144,171 |
Net realized gain (loss) | 2,048,178 | (1,859,323) |
Net change in unrealized appreciation (depreciation) | 3,681,013 | 5,887,684 |
Net increase in net assets from operations | $ 6,096,762 | $ 5,172,532 |
Distributions to shareholders | $ — | $ (4,029,212) |
Net decrease in net assets from capital share transactions | $ (3,565,869) | $ (2,068,280) |
Net increase (decrease) in net assets | $ 2,530,893 | $ (924,960) |
Net Assets | ||
At beginning of period | $ 109,205,962 | $ 110,130,922 |
At end of period | $111,736,855 | $109,205,962 |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 19.10 | $ 18.86 | $ 16.49 | $ 18.18 | $ 16.52 | $ 15.50 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.07 | $ 0.20 | $ 0.29 | $ 0.27 | $ 0.23 | $ 0.24 |
Net realized and unrealized gain (loss) | 1.01 | 0.77 | 2.49 | (1.26) | 1.77 | 0.78 |
Total income (loss) from operations | $ 1.08 | $ 0.97 | $ 2.78 | $ (0.99) | $ 2.00 | $ 1.02 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.32) | $ (0.28) | $ (0.25) | $ (0.23) | $ —(2) |
From net realized gain | — | (0.41) | (0.13) | (0.45) | (0.11) | — (2) |
Total distributions | $ — | $ (0.73) | $ (0.41) | $ (0.70) | $ (0.34) | $ —(2) |
Net asset value — End of period | $ 20.18 | $ 19.10 | $ 18.86 | $ 16.49 | $ 18.18 | $ 16.52 |
Total Return(3) | 5.65% (4) | 5.28% | 17.02% | (5.73)% | 12.16% | 6.61% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $111,737 | $109,206 | $110,131 | $103,205 | $118,478 | $110,067 |
Ratios (as a percentage of average daily net assets):(5)(6) | ||||||
Total expenses | 0.94% (7) | 0.93% | 0.90% | 0.89% | 0.89% | 0.90% |
Net expenses | 0.81% (7) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.67% (7) | 1.10% | 1.63% | 1.51% | 1.33% | 1.48% |
Portfolio Turnover | 5% (4) | 15% | 6% | 11% | 9% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $(0.005). |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 103,865,070 | $ — | $ — | $ 103,865,070 |
Short-Term Investments: | ||||
Affiliated Fund | — | 7,339,247 | — | 7,339,247 |
Securities Lending Collateral | 3,211,918 | — | — | 3,211,918 |
Total Investments | $107,076,988 | $7,339,247 | $ — | $114,416,235 |
Futures Contracts | $ 82,241 | $ — | $ — | $ 82,241 |
Total | $107,159,229 | $7,339,247 | $ — | $114,498,476 |
Liability Description | ||||
Futures Contracts | $ (95,763) | $ — | $ — | $ (95,763) |
Total | $ (95,763) | $ — | $ — | $ (95,763) |
Aggregate cost | $89,356,168 |
Gross unrealized appreciation | $ 25,060,434 |
Gross unrealized depreciation | (13,889) |
Net unrealized appreciation | $25,046,545 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $82,241 (1) | $(95,763) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ (2,427) | $ (23,911) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $3,211,918 | $ — | $ — | $ — | $3,211,918 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $7,832,540 | $7,408,067 | $(7,900,748) | $(337) | $(275) | $7,339,247 | $3,259 | 7,339,247 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 66,132 | $ 1,282,683 | 296,537 | $ 5,492,757 | |
Reinvestment of distributions | — | — | 222,855 | 4,029,212 | |
Shares redeemed | (247,441) | (4,848,552) | (638,983) | (11,590,249) | |
Net decrease | (181,309) | $(3,565,869) | (119,591) | $ (2,068,280) |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 5,211,275.041 | 41,361.970 | 399,692.388 | 0 |
Proposal 2 | 5,228,179.540 | 39,528.226 | 384,621.634 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class F at NAV | 04/30/2013 | 04/30/2013 | 8.00% | 19.36% | 8.08% | 6.31% |
S&P Global LargeMidCap Managed Risk Index - Moderate Conservative | — | — | 6.73% | 18.20% | 8.69% | 6.49% |
S&P 500® Daily Risk Control 10% Index | — | — | 9.52 | 18.70 | 12.34 | 9.67 |
Moderate Growth Portfolio Blended Benchmark | — | — | 8.14 | 24.49 | 11.14 | 9.26 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 1.01% |
Net | 0.89 |
Top 10 Holdings (% of net assets)* | |
Vanguard S&P 500 ETF | 23.3% |
iShares Core U.S. Aggregate Bond ETF | 18.5 |
Vanguard Total Bond Market ETF | 12.3 |
Vanguard FTSE Developed Markets ETF | 12.0 |
iShares S&P 500 Growth ETF | 10.0 |
iShares S&P 500 Value ETF | 7.9 |
Vanguard REIT ETF | 3.1 |
iShares Russell 2000 ETF | 2.5 |
Vanguard FTSE Emerging Markets ETF | 1.8 |
iShares Core S&P Mid-Cap ETF | 1.5 |
Total | 92.9% |
* | Excludes cash and cash equivalents. |
1 | S&P Global LargeMidCap Managed Risk Index-Moderate Conservative is an unmanaged index designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed 40% allocation to the underlying bond index. The index dynamically allocates between the underlying equity and bond indices and cash, has a risk management overlay that seeks to limit the index volatility to 10%, and includes a synthetic put position to reduce downside risk. S&P 500® Daily Risk Control 10% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 10%. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Moderate Growth Portfolio Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 47% Russell 3000® Index, 33% Bloomberg Barclays U.S. Aggregate Bond Index, 13% MSCI EAFE Index, 4% ICE BofA 3-Month U.S. Treasury Bill Index, and 3% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.Effective December 1, 2020, the Fund changed its primary benchmark to S&P Global LargeMidCap Managed Risk Index - Moderate Conservative because the investment adviser believes it is a more appropriate benchmark for the Fund. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
Effective August 24, 2021, the Bloomberg Barclays fixed income indices will be rebranded as Bloomberg indices. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $1,080.00 | $4.18 ** | 0.81% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.78 | $4.06 ** | 0.81% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Exchange-Traded Funds — 92.9% |
Security | Shares | Value | |
Equity Exchange-Traded Funds — 62.1% | |||
iShares Core S&P Mid-Cap ETF | 5,000 | $ 1,343,650 | |
iShares Russell 2000 ETF(1) | 10,000 | 2,293,700 | |
iShares S&P 500 Growth ETF(1) | 123,000 | 8,945,790 | |
iShares S&P 500 Value ETF | 48,000 | 7,086,720 | |
Vanguard FTSE Developed Markets ETF | 209,000 | 10,767,680 | |
Vanguard FTSE Emerging Markets ETF(1) | 30,000 | 1,629,300 | |
Vanguard REIT ETF(1) | 27,000 | 2,748,330 | |
Vanguard S&P 500 ETF | 53,000 | 20,856,560 | |
$55,671,730 | |||
Fixed-Income Exchange-Traded Funds — 30.8% | |||
iShares Core U.S. Aggregate Bond ETF | 144,000 | $ 16,607,520 | |
Vanguard Total Bond Market ETF | 128,000 | 10,993,920 | |
$27,601,440 | |||
Total Exchange-Traded Funds (identified cost $58,088,435) | $83,273,170 |
Short-Term Investments — 9.8% | |||
Affiliated Fund — 6.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(2) | 5,941,048 | $ 5,941,048 | |
Total Affiliated Fund (identified cost $5,941,151) | $ 5,941,048 | ||
Securities Lending Collateral — 3.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(3) | 2,906,118 | $ 2,906,118 | |
Total Securities Lending Collateral (identified cost $2,906,118) | $ 2,906,118 | ||
Total Short-Term Investments (identified cost $8,847,269) | $ 8,847,166 | ||
Total Investments — 102.7% (identified cost $66,935,704) | $92,120,336 | ||
Other Assets, Less Liabilities — (2.7)% | $ (2,461,738) | ||
Net Assets — 100.0% | $ 89,658,598 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $11,877,668. |
(2) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(3) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P 500 Index | 24 | Long | 9/17/21 | $5,146,320 | $ 64,291 |
E-mini S&P MidCap 400 Index | 5 | Long | 9/17/21 | 1,346,200 | (19,392) |
MSCI EAFE Index | 17 | Long | 9/17/21 | 1,958,485 | (54,886) |
$ (9,987) |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $60,994,553) - including $11,877,668 of securities on loan | $ 86,179,288 |
Investments in securities of affiliated issuers, at value (identified cost $5,941,151) | 5,941,048 |
Deposits at broker for futures contracts | 476,000 |
Receivable for capital shares sold | 9,508 |
Dividends receivable | 70,644 |
Dividends receivable - affiliated | 314 |
Securities lending income receivable | 1,528 |
Receivable from affiliate | 9,916 |
Directors' deferred compensation plan | 20,245 |
Total assets | $92,708,491 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 5,954 |
Payable for capital shares redeemed | 1,959 |
Deposits for securities loaned | 2,906,118 |
Payable to affiliates: | |
Investment advisory fee | 29,391 |
Administrative fee | 8,817 |
Distribution and service fees | 18,369 |
Sub-transfer agency fee | 21 |
Directors' deferred compensation plan | 20,245 |
Accrued expenses | 59,019 |
Total liabilities | $ 3,049,893 |
Net Assets | $89,658,598 |
Sources of Net Assets | |
Paid-in capital | $ 63,985,479 |
Distributable earnings | 25,673,119 |
Total | $89,658,598 |
Class F Shares | |
Net Assets | $ 89,658,598 |
Shares Outstanding | 4,153,665 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 21.59 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income | $ 636,864 |
Dividend income - affiliated issuers | 2,565 |
Securities lending income, net | 5,456 |
Total investment income | $ 644,885 |
Expenses | |
Investment advisory fee | $ 175,128 |
Administrative fee | 52,538 |
Distribution and service fees | 109,455 |
Directors' fees and expenses | 2,009 |
Custodian fees | 15,512 |
Transfer agency fees and expenses | 32,729 |
Accounting fees | 9,868 |
Professional fees | 13,782 |
Reports to shareholders | 6,043 |
Miscellaneous | 4,865 |
Total expenses | $ 421,929 |
Waiver and/or reimbursement of expenses by affiliate | $ (67,161) |
Net expenses | $ 354,768 |
Net investment income | $ 290,117 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 2,549,063 |
Investment securities - affiliated issuers | (426) |
Futures contracts | (217,469) |
Capital gains distributions received | 6,622 |
Net realized gain | $2,337,790 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 4,147,151 |
Investment securities - affiliated issuers | (103) |
Futures contracts | (11,141) |
Net change in unrealized appreciation (depreciation) | $4,135,907 |
Net realized and unrealized gain | $6,473,697 |
Net increase in net assets from operations | $6,763,814 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 290,117 | $ 875,070 |
Net realized gain (loss) | 2,337,790 | (2,790,191) |
Net change in unrealized appreciation (depreciation) | 4,135,907 | 4,833,581 |
Net increase in net assets from operations | $ 6,763,814 | $ 2,918,460 |
Distributions to shareholders | $ — | $ (2,255,372) |
Net decrease in net assets from capital share transactions | $ (3,461,121) | $ (3,487,916) |
Net increase (decrease) in net assets | $ 3,302,693 | $ (2,824,828) |
Net Assets | ||
At beginning of period | $ 86,355,905 | $ 89,180,733 |
At end of period | $89,658,598 | $86,355,905 |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 19.99 | $ 19.81 | $ 17.18 | $ 18.90 | $ 16.69 | $ 15.65 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.07 | $ 0.20 | $ 0.29 | $ 0.26 | $ 0.23 | $ 0.24 |
Net realized and unrealized gain (loss) | 1.53 | 0.51 | 2.86 | (1.49) | 2.19 | 0.82 |
Total income (loss) from operations | $ 1.60 | $ 0.71 | $ 3.15 | $ (1.23) | $ 2.42 | $ 1.06 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.31) | $ (0.28) | $ (0.23) | $ (0.21) | $ (0.02) |
From net realized gain | — | (0.22) | (0.24) | (0.26) | — | — |
Total distributions | $ — | $ (0.53) | $ (0.52) | $ (0.49) | $ (0.21) | $ (0.02) |
Net asset value — End of period | $ 21.59 | $ 19.99 | $ 19.81 | $ 17.18 | $ 18.90 | $ 16.69 |
Total Return(2) | 8.00% (3) | 3.82% | 18.56% | (6.69)% | 14.55% | 6.78% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $89,659 | $86,356 | $89,181 | $83,345 | $94,689 | $81,859 |
Ratios (as a percentage of average daily net assets):(4)(5) | ||||||
Total expenses | 0.96% (6) | 0.95% | 0.91% | 0.89% | 0.91% | 0.94% |
Net expenses | 0.81% (6) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.66% (6) | 1.06% | 1.56% | 1.40% | 1.29% | 1.49% |
Portfolio Turnover | 5% (3) | 16% | 7% | 14% | 8% | 6% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 83,273,170 | $ — | $ — | $ 83,273,170 |
Short-Term Investments: | ||||
Affiliated Fund | — | 5,941,048 | — | 5,941,048 |
Securities Lending Collateral | 2,906,118 | — | — | 2,906,118 |
Total Investments | $86,179,288 | $5,941,048 | $ — | $92,120,336 |
Futures Contracts | $ 64,291 | $ — | $ — | $ 64,291 |
Total | $86,243,579 | $5,941,048 | $ — | $92,184,627 |
Liability Description | ||||
Futures Contracts | $ (74,278) | $ — | $ — | $ (74,278) |
Total | $ (74,278) | $ — | $ — | $ (74,278) |
Aggregate cost | $67,402,212 |
Gross unrealized appreciation | $ 24,718,227 |
Gross unrealized depreciation | (10,090) |
Net unrealized appreciation | $24,708,137 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $64,291 (1) | $(74,278) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ (217,469) | $ (11,141) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $2,906,118 | $ — | $ — | $ — | $2,906,118 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $5,288,618 | $8,630,529 | $(7,977,570) | $(426) | $(103) | $5,941,048 | $2,565 | 5,941,048 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 32,357 | $ 666,399 | 149,020 | $ 2,811,886 | |
Reinvestment of distributions | — | — | 119,967 | 2,255,372 | |
Shares redeemed | (197,875) | (4,127,520) | (451,290) | (8,555,174) | |
Net decrease | (165,518) | $(3,461,121) | (182,303) | $(3,487,916) |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 3,825,381.117 | 283,122.175 | 229,739.684 | 0 |
Proposal 2 | 3,965,029.273 | 31,902.097 | 341,311.606 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class F at NAV | 04/30/2013 | 04/30/2013 | 9.35% | 21.22% | 8.49% | 6.33% |
S&P Global LargeMidCap Managed Risk Index - Moderate Aggressive | — | — | 9.54% | 24.28% | 10.53% | 7.51% |
S&P 500® Daily Risk Control 12% Index | — | — | 11.47 | 22.72 | 13.89 | 10.99 |
Growth Portfolio Blended Benchmark | — | — | 10.57 | 31.03 | 13.01 | 10.71 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 1.00% |
Net | 0.90 |
Top 10 Holdings (% of net assets)* | |
Vanguard S&P 500 ETF | 23.6% |
iShares Core U.S. Aggregate Bond ETF | 15.8 |
Vanguard FTSE Developed Markets ETF | 15.0 |
iShares S&P 500 Growth ETF | 14.5 |
iShares S&P 500 Value ETF | 12.5 |
Vanguard REIT ETF | 4.2 |
iShares Russell 2000 ETF | 3.3 |
Vanguard FTSE Emerging Markets ETF | 2.1 |
iShares Core S&P Mid-Cap ETF | 2.1 |
Total | 93.1% |
* | Excludes cash and cash equivalents. |
1 | S&P Global LargeMidCap Managed Risk Index - Moderate Aggressive is an unmanaged index designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed 20% allocation to the underlying bond index. The index dynamically allocates between the underlying equity and bond indices and cash, has a risk management overlay that seeks to limit the index volatility to 14%, and includes a synthetic put position to reduce downside risk. The launch date of the S&P Global LargeMidCap Managed Risk Index - Moderate Aggressive was September 6, 2016; information presented prior to the index launch date is back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. S&P 500® Daily Risk Control 12% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 12%. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Growth Portfolio Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 58% Russell 3000® Index, 18% Bloomberg Barclays U.S. Aggregate Bond Index, 16% MSCI EAFE Index, 4% ICE BofA 3-Month U.S. Treasury Bill Index, and 4% MSCI USA IMI/Equity |
REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.Effective December 1, 2020, the Fund changed its primary benchmark to S&P Global LargeMidCap Managed Risk Index - Moderate Aggressive because the investment adviser believes it is a more appropriate benchmark for the Fund. | |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/22. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
Effective August 24, 2021, the Bloomberg Barclays fixed income indices will be rebranded as Bloomberg indices. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $1,093.50 | $4.20 ** | 0.81% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.78 | $4.06 ** | 0.81% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Exchange-Traded Funds — 93.1% |
Security | Shares | Value | |
Equity Exchange-Traded Funds — 77.3% | |||
iShares Core S&P Mid-Cap ETF | 11,000 | $ 2,956,030 | |
iShares Russell 2000 ETF | 20,000 | 4,587,400 | |
iShares S&P 500 Growth ETF(1) | 279,300 | 20,313,489 | |
iShares S&P 500 Value ETF(1) | 118,000 | 17,421,520 | |
Vanguard FTSE Developed Markets ETF | 408,000 | 21,020,160 | |
Vanguard FTSE Emerging Markets ETF(1) | 55,000 | 2,987,050 | |
Vanguard REIT ETF(1) | 57,000 | 5,802,030 | |
Vanguard S&P 500 ETF(1) | 84,000 | 33,055,680 | |
$108,143,359 | |||
Fixed-Income Exchange-Traded Fund — 15.8% | |||
iShares Core U.S. Aggregate Bond ETF(1) | 192,000 | $ 22,143,360 | |
$ 22,143,360 | |||
Total Exchange-Traded Funds (identified cost $81,084,062) | $130,286,719 |
Short-Term Investments — 9.2% | |||
Affiliated Fund — 6.5% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(2) | 9,036,374 | $ 9,036,374 | |
Total Affiliated Fund (identified cost $9,036,590) | $ 9,036,374 | ||
Securities Lending Collateral — 2.7% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(3) | 3,847,657 | $ 3,847,657 | |
Total Securities Lending Collateral (identified cost $3,847,657) | $ 3,847,657 | ||
Total Short-Term Investments (identified cost $12,884,247) | $ 12,884,031 | ||
Total Investments — 102.3% (identified cost $93,968,309) | $143,170,750 | ||
Other Assets, Less Liabilities — (2.3)% | $ (3,194,570) | ||
Net Assets — 100.0% | $ 139,976,180 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $32,521,009. |
(2) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(3) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P 500 Index | 33 | Long | 9/17/21 | $7,076,190 | $ 95,582 |
E-mini S&P MidCap 400 Index | 8 | Long | 9/17/21 | 2,153,920 | (42,503) |
MSCI EAFE Index | 26 | Long | 9/17/21 | 2,995,330 | (79,593) |
$(26,514) |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $84,931,719) - including $32,521,009 of securities on loan | $ 134,134,376 |
Investments in securities of affiliated issuers, at value (identified cost $9,036,590) | 9,036,374 |
Deposits at broker for futures contracts | 690,000 |
Dividends receivable | 111,964 |
Dividends receivable - affiliated | 516 |
Securities lending income receivable | 2,782 |
Receivable from affiliate | 23,970 |
Directors' deferred compensation plan | 35,574 |
Total assets | $144,035,556 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 10,212 |
Payable for capital shares redeemed | 3,789 |
Deposits for securities loaned | 3,847,657 |
Payable to affiliates: | |
Investment advisory fee | 46,203 |
Administrative fee | 13,861 |
Distribution and service fees | 28,877 |
Sub-transfer agency fee | 25 |
Directors' deferred compensation plan | 35,574 |
Accrued expenses | 73,178 |
Total liabilities | $ 4,059,376 |
Net Assets | $139,976,180 |
Sources of Net Assets | |
Paid-in capital | $ 91,913,467 |
Distributable earnings | 48,062,713 |
Total | $139,976,180 |
Class F Shares | |
Net Assets | $ 139,976,180 |
Shares Outstanding | 6,135,832 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 22.81 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income | $ 993,888 |
Dividend income - affiliated issuers | 3,936 |
Securities lending income, net | 9,217 |
Total investment income | $ 1,007,041 |
Expenses | |
Investment advisory fee | $ 275,697 |
Administrative fee | 82,709 |
Distribution and service fees | 172,310 |
Directors' fees and expenses | 3,286 |
Custodian fees | 27,401 |
Transfer agency fees and expenses | 51,111 |
Accounting fees | 15,618 |
Professional fees | 16,606 |
Reports to shareholders | 1,955 |
Miscellaneous | 6,162 |
Total expenses | $ 652,855 |
Waiver and/or reimbursement of expenses by affiliate | $ (94,276) |
Net expenses | $ 558,579 |
Net investment income | $ 448,462 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 4,793,976 |
Investment securities - affiliated issuers | (552) |
Futures contracts | (2,047,592) |
Net realized gain | $ 2,745,832 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 9,069,014 |
Investment securities - affiliated issuers | (216) |
Futures contracts | 160,480 |
Net change in unrealized appreciation (depreciation) | $ 9,229,278 |
Net realized and unrealized gain | $11,975,110 |
Net increase in net assets from operations | $12,423,572 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 448,462 | $ 1,359,323 |
Net realized gain (loss) | 2,745,832 | (4,196,743) |
Net change in unrealized appreciation (depreciation) | 9,229,278 | 4,917,754 |
Net increase in net assets from operations | $ 12,423,572 | $ 2,080,334 |
Distributions to shareholders | $ — | $ (2,223,798) |
Net decrease in net assets from capital share transactions | $ (8,651,504) | $ (15,035,226) |
Net increase (decrease) in net assets | $ 3,772,068 | $ (15,178,690) |
Net Assets | ||
At beginning of period | $ 136,204,112 | $ 151,382,802 |
At end of period | $139,976,180 | $136,204,112 |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 20.86 | $ 20.77 | $ 17.67 | $ 19.31 | $ 16.70 | $ 15.82 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.07 | $ 0.20 | $ 0.29 | $ 0.25 | $ 0.23 | $ 0.24 |
Net realized and unrealized gain (loss) | 1.88 | 0.22 | 3.08 | (1.68) | 2.59 | 0.64 |
Total income (loss) from operations | $ 1.95 | $ 0.42 | $ 3.37 | $ (1.43) | $ 2.82 | $ 0.88 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.33) | $ (0.27) | $ (0.21) | $ (0.21) | $ — |
Total distributions | $ — | $ (0.33) | $ (0.27) | $ (0.21) | $ (0.21) | $ — |
Net asset value — End of period | $ 22.81 | $ 20.86 | $ 20.77 | $ 17.67 | $ 19.31 | $ 16.70 |
Total Return(2) | 9.35% (3) | 2.15% | 19.22% | (7.50)% | 16.92% | 5.56% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $139,976 | $136,204 | $151,383 | $150,047 | $156,279 | $128,460 |
Ratios (as a percentage of average daily net assets):(4)(5) | ||||||
Total expenses | 0.95% (6) | 0.93% | 0.89% | 0.87% | 0.87% | 0.90% |
Net expenses | 0.81% (6) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.65% (6) | 1.00% | 1.48% | 1.32% | 1.25% | 1.48% |
Portfolio Turnover | 4% (3) | 13% | 7% | 13% | 7% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 130,286,719 | $ — | $ — | $ 130,286,719 |
Short-Term Investments: | ||||
Affiliated Fund | — | 9,036,374 | — | 9,036,374 |
Securities Lending Collateral | 3,847,657 | — | — | 3,847,657 |
Total Investments | $134,134,376 | $9,036,374 | $ — | $143,170,750 |
Futures Contracts | $ 95,582 | $ — | $ — | $ 95,582 |
Total | $134,229,958 | $9,036,374 | $ — | $143,266,332 |
Liability Description | ||||
Futures Contracts | $ (122,096) | $ — | $ — | $ (122,096) |
Total | $ (122,096) | $ — | $ — | $ (122,096) |
Aggregate cost | $94,702,154 |
Gross unrealized appreciation | $ 48,468,812 |
Gross unrealized depreciation | (26,730) |
Net unrealized appreciation | $48,442,082 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $95,582 (1) | $(122,096) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |||
Derivative | Net realized gain (loss): Futures contracts | Change in unrealized appreciation (depreciation): Futures contracts | |
Futures contracts | $ (2,047,592) | $ 160,480 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $3,847,657 | $ — | $ — | $ — | $3,847,657 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $8,936,923 | $13,297,179 | $(13,196,960) | $(552) | $(216) | $9,036,374 | $3,936 | 9,036,374 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 30,095 | $ 664,262 | 109,375 | $ 2,143,779 | |
Reinvestment of distributions | — | — | 113,866 | 2,223,798 | |
Shares redeemed | (422,960) | (9,315,766) | (981,640) | (19,402,803) | |
Net decrease | (392,865) | $(8,651,504) | (758,399) | $(15,035,226) |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
Proposal 1 | 5,871,392.801 | 202,704.492 | 474,528.676 | 0 |
Proposal 2 | 5,956,155.156 | 200,519.765 | 391,951.048 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. | Code of Ethics |
Not required in this filing.
Item 3. | Audit Committee Financial Expert |
Not required in this filing.
Item 4. | Principal Accountant Fees and Services |
Not required in this filing.
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Schedule of Investments |
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
No material changes.
Item 11. | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
(a)(1) | Registrant’s Code of Ethics- Not applicable (please see Item 2) | |
(a)(2)(i) | President’s Section 302 certification. | |
(a)(2)(ii) | Treasurer’s Section 302 certification. | |
(a)(3) | Not applicable. | |
(a)(4) | Change in Independent Public Accountant. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calvert Variable Products, Inc. | ||
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | August 24, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | August 24, 2021 | |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | August 24, 2021 |